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.
June 30, 2022 (Unaudited)
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17 | |
18 | |
20 | |
22 | |
36 | |
36 |
(Unaudited)
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 |
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 | 3 |
(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 |
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 |
4 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 |
(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 ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,195.50 | 1,021.12 | 4.03 | 3.71 | 0.74 |
Class 2 | 1,000.00 | 1,000.00 | 1,194.70 | 1,019.84 | 5.44 | 5.01 | 1.00 |
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 | 5 |
June 30, 2022 (Unaudited)
Asset-Backed Securities — Non-Agency 16.5% | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 ($) | |
DT Auto Owner Trust(a) | ||||
Series 2019-3A Class D | ||||
04/15/2025 | 2.960% | 525,000 | 521,807 | |
Series 2020-2A Class B | ||||
03/16/2026 | 2.080% | 107,802 | 107,715 | |
Series 2022-1A Class A | ||||
04/15/2026 | 1.580% | 397,759 | 393,094 | |
FHF Trust(a) | ||||
Series 2021-1A Class A | ||||
03/15/2027 | 1.270% | 213,224 | 204,848 | |
Flagship Credit Auto Trust(a) | ||||
Series 2021-1 Class A | ||||
06/16/2025 | 0.310% | 289,607 | 286,748 | |
Ford Credit Floorplan Master Owner Trust | ||||
Series 2017-3 Class A | ||||
09/15/2024 | 2.480% | 1,025,000 | 1,024,702 | |
FREED ABS Trust(a) | ||||
Series 2021-3FP Class A | ||||
11/20/2028 | 0.620% | 24,235 | 24,176 | |
Subordinated Series 2021-3FP Class B | ||||
11/20/2028 | 1.010% | 150,000 | 146,496 | |
GLS Auto Receivables Issuer Trust(a) | ||||
Subordinated Series 2019-4A Class B | ||||
09/16/2024 | 2.780% | 456,044 | 456,028 | |
GLS Auto Receivables Trust(a) | ||||
Subordinated Series 2021-2A Class B | ||||
09/15/2025 | 0.770% | 560,000 | 547,675 | |
Harley-Davidson Motorcycle Trust | ||||
Series 2020-A Class A3 | ||||
10/15/2024 | 1.870% | 138,627 | 138,466 | |
HPEFS Equipment Trust(a) | ||||
Series 2021-2A Class A2 | ||||
09/20/2028 | 0.300% | 192,634 | 191,063 | |
Hyundai Auto Lease Securitization Trust(a) | ||||
Series 2021-B Class A3 | ||||
06/17/2024 | 0.330% | 500,000 | 487,343 | |
John Deere Owner Trust | ||||
Series 2021-B Class A2 | ||||
06/17/2024 | 0.250% | 443,432 | 438,398 | |
JPMorgan Chase Bank NA(a) | ||||
Subordinated Series 2021-2 Class C | ||||
12/26/2028 | 0.969% | 774,364 | 749,201 | |
JPMorgan Chase Bank NA - CACLN(a) | ||||
Series 2021-3 Class B | ||||
02/26/2029 | 0.760% | 164,976 | 159,327 |
6 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 ($) | |
Pagaya AI Debt Trust(a) | ||||
Series 2022-1 Class A | ||||
10/15/2029 | 2.030% | 631,916 | 610,541 | |
Pawnee Equipment Receivables LLC(a) | ||||
Series 2019-1 Class A2 | ||||
10/15/2024 | 2.290% | 95,278 | 95,155 | |
Santander Drive Auto Receivables Trust | ||||
Series 2021-2 Class A3 | ||||
02/18/2025 | 0.340% | 106,929 | 106,703 | |
Series 2022-2 Class A2 | ||||
10/15/2026 | 2.120% | 575,000 | 571,240 | |
Subordinated Series 2019-2 Class D | ||||
07/15/2025 | 3.220% | 190,044 | 189,575 | |
Santander Retail Auto Lease Trust(a) | ||||
Series 2021-B Class A2 | ||||
01/22/2024 | 0.310% | 256,846 | 254,713 | |
Theorem Funding Trust(a) | ||||
Series 2021-1A Class A | ||||
12/15/2027 | 1.210% | 152,898 | 150,138 | |
Series 2022-1A Class A | ||||
02/15/2028 | 1.850% | 553,842 | 544,607 | |
Tricolor Auto Securitization Trust(a) | ||||
Series 2021-1A Class A | ||||
04/15/2024 | 0.740% | 56,958 | 56,689 | |
United Auto Credit Securitization Trust(a) | ||||
Series 2022-1 Class A | ||||
07/10/2024 | 1.110% | 124,911 | 124,003 | |
Upstart Pass-Through Trust(a) | ||||
Series 2021-ST6 Class A | ||||
08/20/2027 | 1.850% | 85,217 | 80,951 | |
Upstart Securitization Trust(a) | ||||
Series 2020-3 Class A | ||||
11/20/2030 | 1.702% | 45,778 | 45,613 | |
Series 2021-3 Class A | ||||
07/20/2031 | 0.830% | 375,922 | 366,264 | |
VFI ABS LLC(a) | ||||
Series 2022-1A Class A | ||||
03/24/2028 | 2.230% | 224,673 | 220,658 | |
Westlake Automobile Receivables Trust(a) | ||||
Series 2020-2A Class B | ||||
07/15/2025 | 1.320% | 216,865 | 216,546 | |
Subordinated Series 2021-2A Class B | ||||
07/15/2026 | 0.620% | 300,000 | 288,978 | |
World Omni Auto Receivables Trust | ||||
Series 2021-A Class A3 | ||||
01/15/2026 | 0.300% | 200,000 | 195,124 |
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 | 7 |
June 30, 2022 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 ($) | |
Bank of New York Mellon Corp. (The)(b) | ||||
3-month USD LIBOR + 1.050% 10/30/2023 | 2.289% | 485,000 | 485,258 | |
Bank of Nova Scotia (The)(b) | ||||
SOFR + 0.380% 07/31/2024 | 1.890% | 425,000 | 418,741 | |
Canadian Imperial Bank of Commerce(b) | ||||
3-month USD LIBOR + 0.660% 09/13/2023 | 2.381% | 400,000 | 399,182 | |
Citigroup, Inc.(b) | ||||
3-month USD LIBOR + 1.100% 05/17/2024 | 2.544% | 675,000 | 669,116 | |
Commonwealth Bank of Australia(a),(b) | ||||
3-month USD LIBOR + 0.820% 06/04/2024 | 2.431% | 375,000 | 376,296 | |
Cooperatieve Rabobank UA(b) | ||||
3-month USD LIBOR + 0.480% 01/10/2023 | 1.469% | 450,000 | 449,378 | |
Discover Bank | ||||
02/06/2023 | 3.350% | 325,000 | 324,858 | |
DNB Bank ASA(a) | ||||
12/02/2022 | 2.150% | 360,000 | 359,444 | |
Goldman Sachs Group, Inc. (The)(b) | ||||
3-month USD LIBOR + 1.600% 11/29/2023 | 3.198% | 650,000 | 652,108 | |
HSBC Holdings PLC(c) | ||||
08/17/2024 | 0.732% | 407,000 | 390,561 | |
JPMorgan Chase & Co.(c) | ||||
06/14/2025 | 3.845% | 675,000 | 668,380 | |
Morgan Stanley(b) | ||||
3-month USD LIBOR + 1.220% 05/08/2024 | 2.591% | 650,000 | 651,086 | |
National Australia Bank Ltd.(a),(b) | ||||
3-month USD LIBOR + 0.410% 12/13/2022 | 2.131% | 360,000 | 359,513 | |
PNC Bank NA(b) | ||||
3-month USD LIBOR + 0.500% 07/27/2022 | 1.725% | 426,000 | 426,045 | |
Royal Bank of Canada(b) | ||||
3-month USD LIBOR + 0.660% 10/05/2023 | 1.622% | 399,000 | 398,228 | |
Skandinaviska Enskilda Banken AB(a),(b) | ||||
3-month USD LIBOR + 0.320% 09/01/2023 | 1.900% | 350,000 | 347,630 | |
Svenska Handelsbanken AB(a) | ||||
06/30/2023 | 0.625% | 375,000 | 364,498 | |
Toronto-Dominion Bank (The)(b) | ||||
SOFR + 0.910% 03/08/2024 | 2.420% | 400,000 | 398,530 |
8 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 ($) | |
CenterPoint Energy, Inc.(b) | ||||
SOFR + 0.650% 05/13/2024 | 2.160% | 206,000 | 201,069 | |
Consumers Energy Co. | ||||
08/15/2023 | 3.375% | 297,000 | 297,279 | |
DTE Energy Co. | ||||
11/01/2022 | 2.250% | 325,000 | 323,866 | |
Duke Energy Corp.(b) | ||||
SOFR + 0.250% 06/10/2023 | 1.760% | 347,000 | 344,180 | |
Eversource Energy(b) | ||||
SOFR + 0.250% 08/15/2023 | 1.760% | 331,000 | 328,455 | |
Mississippi Power Co.(b) | ||||
SOFR + 0.300% 06/28/2024 | 1.810% | 319,000 | 310,094 | |
NextEra Energy Capital Holdings, Inc.(b) | ||||
SOFR + 1.020% 03/21/2024 | 2.530% | 281,000 | 278,948 | |
PPL Electric Utilities Corp.(b) | ||||
SOFR + 0.330% 06/24/2024 | 1.840% | 353,000 | 346,246 | |
Public Service Enterprise Group, Inc. | ||||
11/08/2023 | 0.841% | 72,000 | 69,155 | |
Total | 2,848,118 | |||
Food and Beverage 1.0% | ||||
Campbell Soup Co. | ||||
03/15/2023 | 3.650% | 325,000 | 324,873 | |
ConAgra Foods, Inc. | ||||
01/25/2023 | 3.200% | 350,000 | 350,264 | |
Mondelez International, Inc. | ||||
03/17/2024 | 2.125% | 351,000 | 342,216 | |
Tyson Foods, Inc. | ||||
09/28/2023 | 3.900% | 346,000 | 347,153 | |
Total | 1,364,506 | |||
Health Care 0.8% | ||||
Becton Dickinson and Co. | ||||
06/06/2024 | 3.363% | 360,000 | 356,269 | |
Cigna Corp.(b) | ||||
3-month USD LIBOR + 0.890% 07/15/2023 | 1.934% | 375,000 | 377,132 | |
Thermo Fisher Scientific, Inc.(b) | ||||
SOFR + 0.350% 04/18/2023 | 1.860% | 400,000 | 398,899 | |
Total | 1,132,300 |
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 | 9 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 ($) | |
Plains All American Pipeline LP/Finance Corp. | ||||
10/15/2023 | 3.850% | 325,000 | 323,331 | |
Southern Natural Gas Co. LLC(a) | ||||
04/28/2023 | 0.625% | 200,000 | 193,873 | |
Williams Companies, Inc. (The) | ||||
11/15/2023 | 4.500% | 279,000 | 280,734 | |
Total | 1,847,033 | |||
Pharmaceuticals 1.3% | ||||
AbbVie, Inc.(b) | ||||
3-month USD LIBOR + 0.650% 11/21/2022 | 2.155% | 400,000 | 399,910 | |
Amgen, Inc. | ||||
05/22/2024 | 3.625% | 400,000 | 399,318 | |
AstraZeneca PLC | ||||
05/26/2023 | 0.300% | 350,000 | 341,926 | |
Bristol-Myers Squibb Co. | ||||
11/13/2023 | 0.537% | 425,000 | 410,897 | |
Roche Holdings, Inc.(a),(b) | ||||
SOFR + 0.330% 09/11/2023 | 1.840% | 350,000 | 348,498 | |
Total | 1,900,549 | |||
Property & Casualty 0.5% | ||||
Chubb INA Holdings, Inc. | ||||
05/15/2024 | 3.350% | 350,000 | 349,064 | |
Loews Corp. | ||||
05/15/2023 | 2.625% | 350,000 | 348,776 | |
Total | 697,840 | |||
Railroads 0.3% | ||||
CSX Corp. | ||||
08/01/2024 | 3.400% | 145,000 | 144,028 | |
Union Pacific Corp. | ||||
01/15/2023 | 2.950% | 335,000 | 335,043 | |
Total | 479,071 | |||
Technology 1.7% | ||||
Broadcom Corp./Cayman Finance Ltd. | ||||
01/15/2024 | 3.625% | 350,000 | 349,645 | |
Fidelity National Information Services, Inc. | ||||
03/01/2023 | 0.375% | 350,000 | 342,780 | |
International Business Machines Corp. | ||||
02/12/2024 | 3.625% | 303,000 | 303,863 | |
Microchip Technology, Inc. | ||||
02/15/2024 | 0.972% | 315,000 | 299,291 | |
NXP BV/Funding LLC | ||||
03/01/2024 | 4.875% | 85,000 | 85,874 |
10 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 $701,216) | 699,371 |
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 | 11 |
June 30, 2022 (Unaudited)
Money Market Funds 36.3% | ||
Shares | Value ($) | |
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: $119,006,353) | 117,869,188 | |
Other Assets & Liabilities, Net | 25,310,117 | |
Net Assets | 143,179,305 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | 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) |
12 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 |
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) |
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 | 13 |
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% |
(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 |
CMO | Collateralized Mortgage Obligation |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing Rate |
USD | US Dollar |
14 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
■ | 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). |
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 |
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 | 15 |
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 |
16 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 |
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 |
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 | 17 |
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) |
18 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 |
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 | 19 |
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%. |
20 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 |
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 |
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 | 21 |
June 30, 2022 (Unaudited)
CVPCSF Offshore Fund, Ltd. | |
% of consolidated fund net assets | 17.15% |
Net assets | $24,553,429 |
Net investment income (loss) | (100,451) |
Net realized gain (loss) | 35,625,826 |
Net change in unrealized appreciation (depreciation) | (9,768,841) |
22 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 | 23 |
June 30, 2022 (Unaudited)
24 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 | 25 |
June 30, 2022 (Unaudited)
Asset derivatives | ||
Risk exposure category | Consolidated statement of assets and liabilities location | Fair value ($) |
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 ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 19,376* |
Commodity-related investment risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 11,799,815* |
Total | 11,819,191 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Consolidated Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Consolidated Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | 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 ($) |
Commodity-related investment risk | (9,768,841) | — | (9,768,841) |
Interest rate risk | (20,586) | 10,823 | (9,763) |
Total | (9,789,427) | 10,823 | (9,778,604) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 163,722,797 |
Futures contracts — short | 5,086,125 |
26 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 |
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. |
Morgan Stanley ($) | |
Liabilities | |
Centrally cleared interest rate swap contracts (a) | 27,517 |
Total liabilities | 27,517 |
Total financial and derivative net assets | (27,517) |
Total collateral received (pledged) (b) | (27,517) |
Net amount (c) | - |
(a) | Centrally cleared swaps are included within payable/receivable for variation margin on the Consolidated Statement of Assets and Liabilities. |
(b) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(c) | Represents the net amount due from/(to) counterparties in the event of default. |
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 | 27 |
June 30, 2022 (Unaudited)
28 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 | 29 |
June 30, 2022 (Unaudited)
May 1, 2022 through April 30, 2023 | Prior to May 1, 2022 | |
Class 1 | 0.74% | 0.80% |
Class 2 | 0.99 | 1.05 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
119,006,000 | 7,398,000 | (12,957,000) | (5,559,000) |
30 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
(156,520) | — | (156,520) |
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 | 31 |
June 30, 2022 (Unaudited)
32 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 | 33 |
June 30, 2022 (Unaudited)
34 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 | 35 |
• | 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. |
36 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 |
• | 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). |
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 | 37 |
38 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 |
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 | 39 |
40 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – Conservative Portfolio (Unaudited)
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 |
* | 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. |
Portfolio Navigator Funds | Semiannual Report 2022 | 3 |
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 |
4 | Portfolio Navigator Funds | Semiannual Report 2022 |
Variable Portfolio – Moderately Conservative Portfolio (Unaudited)
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 |
* | 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. |
Portfolio Navigator Funds | Semiannual Report 2022 | 5 |
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 |
6 | Portfolio Navigator Funds | Semiannual Report 2022 |
Variable Portfolio – Moderate Portfolio (Unaudited)
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 |
* | 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. |
Portfolio Navigator Funds | Semiannual Report 2022 | 7 |
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 |
8 | Portfolio Navigator Funds | Semiannual Report 2022 |
Variable Portfolio – Moderately Aggressive Portfolio (Unaudited)
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 |
* | 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. |
Portfolio Navigator Funds | Semiannual Report 2022 | 9 |
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 |
10 | Portfolio Navigator Funds | Semiannual Report 2022 |
Variable Portfolio – Aggressive Portfolio (Unaudited)
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 |
* | 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. |
Portfolio Navigator Funds | Semiannual Report 2022 | 11 |
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 |
12 | Portfolio Navigator Funds | Semiannual Report 2022 |
(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 – 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 |
(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 |
14 | Portfolio Navigator Funds | Semiannual Report 2022 |
Variable Portfolio – Conservative Portfolio, June 30, 2022 (Unaudited)
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: $1,070,758,117) | 973,447,119 | |
Other Assets & Liabilities, Net | 2,940,809 | |
Net Assets | 976,387,928 |
Portfolio Navigator Funds | Semiannual Report 2022 | 15 |
Variable Portfolio – Conservative Portfolio, June 30, 2022 (Unaudited)
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
EURO STOXX 50 Index | 126 | 09/2022 | EUR | 4,335,660 | — | (180,824) |
Russell 2000 Index E-mini | 29 | 09/2022 | USD | 2,476,600 | — | (207,132) |
S&P 500 Index E-mini | 126 | 09/2022 | USD | 23,873,850 | — | (1,436,083) |
U.S. Treasury 10-Year Note | 203 | 09/2022 | USD | 24,061,844 | — | (320,745) |
U.S. Ultra Treasury Bond | 86 | 09/2022 | USD | 13,273,562 | — | (387,192) |
Total | — | (2,531,976) |
(a) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | 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 |
16 | Portfolio Navigator Funds | Semiannual Report 2022 |
Variable Portfolio – Conservative Portfolio, June 30, 2022 (Unaudited)
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. |
EUR | Euro |
USD | US Dollar |
Portfolio Navigator Funds | Semiannual Report 2022 | 17 |
Variable Portfolio – Conservative Portfolio, June 30, 2022 (Unaudited)
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.
■ | 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). |
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 |
18 | Portfolio Navigator Funds | Semiannual Report 2022 |
Variable Portfolio – Moderately Conservative Portfolio, June 30, 2022 (Unaudited)
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 $1,681,397,814) | 1,491,258,434 | |
Portfolio Navigator Funds | Semiannual Report 2022 | 19 |
Variable Portfolio – Moderately Conservative Portfolio, June 30, 2022 (Unaudited)
Money Market Funds 4.0% | ||
Shares | Value ($) | |
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: $2,458,857,073) | 2,359,028,594 | |
Other Assets & Liabilities, Net | 5,908,409 | |
Net Assets | 2,364,937,003 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
EURO STOXX 50 Index | 434 | 09/2022 | EUR | 14,933,940 | — | (622,838) |
Russell 2000 Index E-mini | 267 | 09/2022 | USD | 22,801,800 | — | (1,907,042) |
S&P 500 Index E-mini | 223 | 09/2022 | USD | 42,252,925 | — | (2,541,638) |
U.S. Ultra Treasury Bond | 147 | 09/2022 | USD | 22,688,531 | — | (661,829) |
Total | — | (5,733,347) |
(a) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Short-Term Cash Fund, 1.247% | |||||||||
118,825,058 | 64,426,373 | (89,455,174) | (18,236) | 93,778,021 | — | (23,343) | 221,774 | 93,834,321 | |
Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares | |||||||||
6,922,099 | — | (2,111,115) | 805,829 | 5,616,813 | — | 613,058 | — | 819,973 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
59,775,278 | — | (1,402,985) | (13,313,329) | 45,058,964 | — | 2,707,972 | — | 1,365,423 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
60,084,868 | — | (1,543,132) | (13,145,102) | 45,396,634 | — | 1,927,125 | — | 636,878 | |
Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares | |||||||||
17,789,981 | 330,400 | (282,873) | (3,678,953) | 14,158,555 | — | (25,537) | 327,820 | 1,910,736 | |
Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares | |||||||||
13,441,489 | 2,948,130 | — | (6,969,410) | 9,420,209 | 2,948,130 | — | — | 1,002,150 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
251,634,555 | 2,376 | (10,035,842) | (31,417,925) | 210,183,164 | — | (635,840) | — | 23,431,791 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
59,365,722 | 24,683 | (63,606) | (17,671,251) | 41,655,548 | — | 117,929 | — | 1,560,133 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
59,300,108 | 80,198,252 | (41,661,498) | (2,002,486) | 95,834,376 | — | (2,367,709) | — | 10,428,115 |
20 | Portfolio Navigator Funds | Semiannual Report 2022 |
Variable Portfolio – Moderately Conservative Portfolio, June 30, 2022 (Unaudited)
Affiliated issuers | Beginning of period($) | 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 |
Portfolio Navigator Funds | Semiannual Report 2022 | 21 |
Variable Portfolio – Moderately Conservative Portfolio, June 30, 2022 (Unaudited)
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 ($) | End of period shares |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
13,927,091 | 13,878 | — | (4,259,736) | 9,681,233 | — | — | — | 365,606 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
7,471,340 | 43,558 | — | (1,235,053) | 6,279,845 | — | — | — | 200,186 | |
Total | 2,959,205,724 | (441,861,692) | 2,359,028,594 | 24,002,822 | 9,468,814 | 4,004,341 |
(b) | Non-income producing investment. |
(c) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
EUR | Euro |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
22 | Portfolio Navigator Funds | Semiannual Report 2022 |
Variable Portfolio – Moderately Conservative Portfolio, June 30, 2022 (Unaudited)
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2022:
Level 1 ($) | 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 |
Portfolio Navigator Funds | Semiannual Report 2022 | 23 |
Variable Portfolio – Moderate Portfolio, June 30, 2022 (Unaudited)
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 $7,321,406,963) | 6,482,258,171 | |
24 | Portfolio Navigator Funds | Semiannual Report 2022 |
Variable Portfolio – Moderate Portfolio, June 30, 2022 (Unaudited)
Money Market Funds 7.1% | ||
Shares | Value ($) | |
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: $14,106,580,372) | 14,245,609,525 | |
Other Assets & Liabilities, Net | 39,115,994 | |
Net Assets | 14,284,725,519 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | 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. |
(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 |
Portfolio Navigator Funds | Semiannual Report 2022 | 25 |
Variable Portfolio – Moderate Portfolio, June 30, 2022 (Unaudited)
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 |
26 | Portfolio Navigator Funds | Semiannual Report 2022 |
Variable Portfolio – Moderate Portfolio, June 30, 2022 (Unaudited)
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. |
EUR | Euro |
USD | US Dollar |
■ | 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). |
Portfolio Navigator Funds | Semiannual Report 2022 | 27 |
Variable Portfolio – Moderate Portfolio, June 30, 2022 (Unaudited)
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.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Alternative Strategies Funds | — | — | — | 47,437,215 | 47,437,215 |
Equity Funds | — | — | — | 6,699,740,744 | 6,699,740,744 |
Fixed Income Funds | — | — | — | 6,482,258,171 | 6,482,258,171 |
Money Market Funds | 1,016,173,395 | — | — | — | 1,016,173,395 |
Total Investments in Securities | 1,016,173,395 | — | — | 13,229,436,130 | 14,245,609,525 |
Investments in Derivatives | |||||
Liability | |||||
Futures Contracts | (38,281,315) | — | — | — | (38,281,315) |
Swap Contracts | — | (724,567) | — | — | (724,567) |
Total | 977,892,080 | (724,567) | — | 13,229,436,130 | 14,206,603,643 |
28 | Portfolio Navigator Funds | Semiannual Report 2022 |
Variable Portfolio – Moderately Aggressive Portfolio, June 30, 2022 (Unaudited)
Alternative Strategies Funds 0.4% | ||
Shares | Value ($) | |
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 $2,082,223,121) | 1,840,550,701 | |
Portfolio Navigator Funds | Semiannual Report 2022 | 29 |
Variable Portfolio – Moderately Aggressive Portfolio, June 30, 2022 (Unaudited)
Money Market Funds 5.4% | ||
Shares | Value ($) | |
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: $5,644,025,577) | 5,883,236,434 | |
Other Assets & Liabilities, Net | 17,852,130 | |
Net Assets | 5,901,088,564 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
EURO STOXX 50 Index | 933 | 09/2022 | EUR | 32,104,530 | — | (1,338,959) |
Russell 2000 Index E-mini | 1,120 | 09/2022 | USD | 95,648,000 | — | (7,999,578) |
S&P 500 Index E-mini | 355 | 09/2022 | USD | 67,263,625 | — | (4,046,105) |
U.S. Treasury 10-Year Note | 1,689 | 09/2022 | USD | 200,199,281 | — | (1,138,428) |
U.S. Ultra Treasury Bond | 173 | 09/2022 | USD | 26,701,469 | — | (278,811) |
Total | — | (14,801,881) |
(a) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Short-Term Cash Fund, 1.247% | |||||||||
497,839,691 | 223,177,446 | (400,710,773) | (43,888) | 320,262,476 | — | (102,952) | 800,637 | 320,454,748 | |
Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares | |||||||||
25,094,136 | — | (6,038,911) | 3,339,729 | 22,394,954 | — | 1,724,694 | — | 3,269,337 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
230,260,343 | — | (4,668,159) | (50,226,071) | 175,366,113 | — | 8,771,390 | — | 5,314,125 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
233,251,063 | — | (5,983,791) | (51,023,645) | 176,243,627 | — | 7,268,732 | — | 2,472,554 | |
Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares | |||||||||
37,323,828 | 692,358 | (365,598) | (7,747,103) | 29,903,485 | — | (69,951) | 692,357 | 4,035,558 | |
Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares | |||||||||
17,490,304 | 3,848,746 | — | (9,071,916) | 12,267,134 | 3,839,099 | — | — | 1,305,014 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
494,574,681 | — | (20,416,289) | (61,626,794) | 412,531,598 | — | (1,266,270) | — | 45,990,145 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
309,819,393 | 62,547 | (330,329) | (92,439,677) | 217,111,934 | — | 921,178 | — | 8,131,533 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
56,529,405 | 139,172,352 | (44,553,244) | (1,739,659) | 149,408,854 | — | (3,173,933) | — | 16,257,764 |
30 | Portfolio Navigator Funds | Semiannual Report 2022 |
Variable Portfolio – Moderately Aggressive Portfolio, June 30, 2022 (Unaudited)
Affiliated issuers | Beginning of period($) | 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 |
Portfolio Navigator Funds | Semiannual Report 2022 | 31 |
Variable Portfolio – Moderately Aggressive Portfolio, June 30, 2022 (Unaudited)
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 ($) | End of period shares |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
58,728,627 | 24,098 | — | (17,954,966) | 40,797,759 | — | — | — | 1,540,701 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
28,563,644 | 92,664 | — | (4,703,471) | 23,952,837 | — | — | — | 763,559 | |
Total | 7,583,426,092 | (1,439,716,056) | 5,883,236,434 | 97,893,981 | 77,062,396 | 15,362,976 |
(b) | Non-income producing investment. |
(c) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
EUR | Euro |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
32 | Portfolio Navigator Funds | Semiannual Report 2022 |
Variable Portfolio – Moderately Aggressive Portfolio, June 30, 2022 (Unaudited)
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2022:
Level 1 ($) | 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 |
Portfolio Navigator Funds | Semiannual Report 2022 | 33 |
Variable Portfolio – Aggressive Portfolio, June 30, 2022 (Unaudited)
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 $396,342,396) | 346,849,740 | |
34 | Portfolio Navigator Funds | Semiannual Report 2022 |
Variable Portfolio – Aggressive Portfolio, June 30, 2022 (Unaudited)
Money Market Funds 2.8% | ||
Shares | Value ($) | |
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: $1,896,990,846) | 2,076,485,920 | |
Other Assets & Liabilities, Net | 3,589,086 | |
Net Assets | 2,080,075,006 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | 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. |
Portfolio Navigator Funds | Semiannual Report 2022 | 35 |
Variable Portfolio – Aggressive Portfolio, June 30, 2022 (Unaudited)
(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 |
36 | Portfolio Navigator Funds | Semiannual Report 2022 |
Variable Portfolio – Aggressive Portfolio, June 30, 2022 (Unaudited)
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. |
EUR | Euro |
USD | US Dollar |
■ | 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). |
Portfolio Navigator Funds | Semiannual Report 2022 | 37 |
Variable Portfolio – Aggressive Portfolio, June 30, 2022 (Unaudited)
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.
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 |
38 | Portfolio Navigator Funds | Semiannual Report 2022 |
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 |
Portfolio Navigator Funds | Semiannual Report 2022 | 39 |
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 |
40 | Portfolio Navigator Funds | Semiannual Report 2022 |
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) |
Portfolio Navigator Funds | Semiannual Report 2022 | 41 |
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) |
42 | Portfolio Navigator Funds | Semiannual Report 2022 |
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) |
Portfolio Navigator Funds | Semiannual Report 2022 | 43 |
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) |
44 | Portfolio Navigator Funds | Semiannual Report 2022 |
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) |
Portfolio Navigator Funds | Semiannual Report 2022 | 45 |
Variable Portfolio – 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) | $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. |
46 | Portfolio Navigator Funds | Semiannual Report 2022 |
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 |
Portfolio Navigator Funds | Semiannual Report 2022 | 47 |
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. |
48 | Portfolio Navigator Funds | Semiannual Report 2022 |
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 |
Portfolio Navigator Funds | Semiannual Report 2022 | 49 |
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. |
50 | Portfolio Navigator Funds | Semiannual Report 2022 |
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 |
Portfolio Navigator Funds | Semiannual Report 2022 | 51 |
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. |
52 | Portfolio Navigator Funds | Semiannual Report 2022 |
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 |
Portfolio Navigator Funds | Semiannual Report 2022 | 53 |
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. |
54 | Portfolio Navigator Funds | Semiannual Report 2022 |
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% | $1,384,255 |
Portfolio Navigator Funds | Semiannual Report 2022 | 55 |
June 30, 2022 (Unaudited)
56 | Portfolio Navigator Funds | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Portfolio Navigator Funds | Semiannual Report 2022 | 57 |
June 30, 2022 (Unaudited)
58 | Portfolio Navigator Funds | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Credit default swap contracts | Funds |
To increase or decrease its credit exposure to an index | Variable Portfolio — Moderate Portfolio Variable Portfolio — Aggressive Portfolio |
To manage credit risk exposure | Variable Portfolio — Moderate Portfolio Variable Portfolio — Aggressive Portfolio |
Portfolio Navigator Funds | Semiannual Report 2022 | 59 |
June 30, 2022 (Unaudited)
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
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 |
June 30, 2022 (Unaudited)
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) |
Derivative instrument | Average notional amounts ($) |
Futures contracts — long | 65,654,411* |
Futures contracts — short | 602,624** |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2022. |
** | Based on the ending daily outstanding amounts for the six months ended June 30, 2022. |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
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. |
Portfolio Navigator Funds | Semiannual Report 2022 | 61 |
June 30, 2022 (Unaudited)
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) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 100,776,079 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2022. |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
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 |
June 30, 2022 (Unaudited)
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) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 679,473,512 |
Credit default swap contracts — sell protection | 52,323,000 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2022. |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
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. |
Portfolio Navigator Funds | Semiannual Report 2022 | 63 |
June 30, 2022 (Unaudited)
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) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 464,572,111 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2022. |
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
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 ($) |
Credit risk | Component of trust capital - unrealized depreciation on swap contracts | 142,745* |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 3,491,621* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 87,028* |
Total | 3,721,394 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
64 | Portfolio Navigator Funds | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | 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 ($) | |||
Credit risk | — | (146,454) | (146,454) | |||
Equity risk | (5,929,230) | — | (5,929,230) | |||
Interest rate risk | (87,028) | — | (87,028) | |||
Total | (6,016,258) | (146,454) | (6,162,712) |
Derivative instrument | Average notional amounts ($)* |
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. |
Morgan Stanley ($) | |||||||||
Liabilities | |||||||||
Centrally cleared credit default swap contracts (a) | 18,152 | ||||||||
Total financial and derivative net assets | (18,152) | ||||||||
Total collateral received (pledged) (b) | (18,152) | ||||||||
Net amount (c) | - |
(a) | Centrally cleared swaps are included within payable/receivable for variation margin in the Statement of Assets and Liabilities. |
(c) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(d) | Represents the net amount due from/(to) counterparties in the event of default. |
Portfolio Navigator Funds | Semiannual Report 2022 | 65 |
June 30, 2022 (Unaudited)
Morgan Stanley ($) | |||||||||
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. |
66 | Portfolio Navigator Funds | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
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 |
Portfolio Navigator Funds | Semiannual Report 2022 | 67 |
June 30, 2022 (Unaudited)
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 |
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 |
68 | Portfolio Navigator Funds | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
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 |
Portfolio Navigator Funds | Semiannual Report 2022 | 69 |
June 30, 2022 (Unaudited)
70 | Portfolio Navigator Funds | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Portfolio Navigator Funds | Semiannual Report 2022 | 71 |
(Unaudited)
• | 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. |
72 | Portfolio Navigator Funds | Semiannual Report 2022 |
(Unaudited)
• | 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 |
(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). |
74 | Portfolio Navigator Funds | Semiannual Report 2022 |
(Unaudited)
Portfolio Navigator Funds | Semiannual Report 2022 | 75 |
(Unaudited)
76 | Portfolio Navigator Funds | Semiannual Report 2022 |
Portfolio Navigator Funds | Semiannual Report 2022 | 77 |
June 30, 2022 (Unaudited)
3 | |
5 | |
6 | |
9 | |
10 | |
11 | |
12 | |
14 | |
21 | |
21 |
(Unaudited)
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 |
CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2022) | |
Common Stocks | 99.4 |
Money Market Funds | 0.6 |
Total | 100.0 |
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 |
4 | CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2022 |
(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 ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 723.20 | 1,021.37 | 2.95 | 3.46 | 0.69 |
Class 2 | 1,000.00 | 1,000.00 | 722.30 | 1,020.13 | 4.01 | 4.71 | 0.94 |
CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2022 | 5 |
June 30, 2022 (Unaudited)
Common Stocks 99.6% | ||
Issuer | Shares | Value ($) |
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 ($) |
Insurance 2.9% | ||
Progressive Corp. (The) | 469,248 | 54,559,465 |
Total Financials | 297,573,369 | |
Health Care 6.9% | ||
Health Care Equipment & Supplies 1.0% | ||
IDEXX Laboratories, Inc.(a) | 21,559 | 7,561,388 |
Intuitive Surgical, Inc.(a) | 56,473 | 11,334,696 |
Total | 18,896,084 | |
Life Sciences Tools & Services 4.0% | ||
Danaher Corp. | 290,433 | 73,630,574 |
Pharmaceuticals 1.9% | ||
Zoetis, Inc. | 208,301 | 35,804,859 |
Total Health Care | 128,331,517 | |
Industrials 11.5% | ||
Aerospace & Defense 5.1% | ||
TransDigm Group, Inc.(a) | 177,760 | 95,398,459 |
Commercial Services & Supplies 1.2% | ||
Copart, Inc.(a) | 202,308 | 21,982,787 |
Professional Services 2.3% | ||
CoStar Group, Inc.(a) | 723,098 | 43,682,350 |
Road & Rail 2.9% | ||
Union Pacific Corp. | 253,755 | 54,120,867 |
Total Industrials | 215,184,463 | |
Information Technology 32.7% | ||
IT Services 10.4% | ||
MasterCard, Inc., Class A | 293,406 | 92,563,725 |
PayPal Holdings, Inc.(a) | 103,111 | 7,201,272 |
Snowflake, Inc., Class A(a) | 3,893 | 541,361 |
Visa, Inc., Class A | 474,114 | 93,348,305 |
Total | 193,654,663 | |
Semiconductors & Semiconductor Equipment 0.4% | ||
NVIDIA Corp. | 54,696 | 8,291,367 |
6 | CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
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: $1,714,366,119) | 1,870,608,281 | |
Other Assets & Liabilities, Net | (3,016,724) | |
Net Assets | 1,867,591,557 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | 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 |
CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2022 | 7 |
June 30, 2022 (Unaudited)
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). |
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 |
8 | CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2022 |
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 |
CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2022 | 9 |
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) |
10 | CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2022 |
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) |
CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2022 | 11 |
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%. |
12 | CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2022 |
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% | $45,101 |
CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2022 | 13 |
June 30, 2022 (Unaudited)
14 | CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2022 | 15 |
June 30, 2022 (Unaudited)
16 | CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
May 1, 2022 through April 30, 2023 | Prior to May 1, 2022 | |
Class 1 | 0.73% | 0.74% |
Class 2 | 0.98 | 0.99 |
CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2022 | 17 |
June 30, 2022 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 4,400,000 | 0.79 | 8 |
18 | CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2022 | 19 |
June 30, 2022 (Unaudited)
20 | CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2022 |
• | 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. |
CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2022 | 21 |
• | 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). |
22 | CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2022 |
CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2022 | 23 |
24 | CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2022 |
CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2022 | 25 |
June 30, 2022 (Unaudited)
(Unaudited)
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 |
Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2022 | 3 |
(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 |
4 | Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2022 |
(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 ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,000.60 | 1,023.55 | 1.24 | 1.25 | 0.25 |
Class 2 | 1,000.00 | 1,000.00 | 1,000.60 | 1,023.46 | 1.34 | 1.35 | 0.27 |
Class 3 | 1,000.00 | 1,000.00 | 1,000.60 | 1,023.51 | 1.29 | 1.30 | 0.26 |
Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2022 | 5 |
June 30, 2022 (Unaudited)
Repurchase Agreements 12.7% | ||||
Issuer | Yield | Principal Amount ($) | 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 $349,852,636) | 349,852,636 | |||
6 | Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
U.S. Treasury Obligations 4.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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: $464,582,386) | 464,582,386 | |
Other Assets & Liabilities, Net | 7,263,310 | |
Net Assets | 471,845,696 |
(a) | Variable rate security. The interest rate shown was the current rate as of June 30, 2022. |
(b) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of June 30, 2022. |
SOFR | Secured Overnight Financing Rate |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2022 | 7 |
June 30, 2022 (Unaudited)
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2022:
Level 1 ($) | 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 |
8 | Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2022 |
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 |
Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2022 | 9 |
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 |
10 | Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2022 |
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) |
Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2022 | 11 |
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% |
12 | Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2022 |
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% | $224,799 |
Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2022 | 13 |
June 30, 2022 (Unaudited)
14 | Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
RBC Dominion Securities ($) | 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. |
Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2022 | 15 |
June 30, 2022 (Unaudited)
16 | Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Fee rate(s) contractual through April 30, 2023 | |
Class 1 | 0.45% |
Class 2 | 0.70 |
Class 3 | 0.575 |
Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2022 | 17 |
June 30, 2022 (Unaudited)
18 | Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2022 | 19 |
June 30, 2022 (Unaudited)
20 | Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2022 |
• | 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. |
Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2022 | 21 |
(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). |
22 | Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2022 |
(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.
Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2022 | 23 |
(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.
24 | Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
3 | |
5 | |
6 | |
12 | |
13 | |
14 | |
16 | |
18 | |
30 | |
30 |
(Unaudited)
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 |
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022 | 3 |
(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 |
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. |
4 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022 |
(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 ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 806.10 | 1,020.93 | 3.49 | 3.91 | 0.78 |
Class 2 | 1,000.00 | 1,000.00 | 804.30 | 1,019.69 | 4.61 | 5.16 | 1.03 |
Class 3 | 1,000.00 | 1,000.00 | 804.80 | 1,020.28 | 4.07 | 4.56 | 0.91 |
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022 | 5 |
June 30, 2022 (Unaudited)
Common Stocks 98.2% | ||
Issuer | Shares | Value ($) |
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 ($) |
TeamViewer AG(a) | 2,000,756 | 20,007,784 |
Total | 144,129,909 | |
Hong Kong 1.8% | ||
Hong Kong Exchanges and Clearing Ltd. | 765,000 | 37,834,044 |
WH Group Ltd. | 30,620,750 | 23,700,019 |
Total | 61,534,063 | |
Ireland 1.3% | ||
Amarin Corp. PLC, ADR(a) | 511,857 | 762,667 |
Flutter Entertainment PLC(a) | 438,075 | 44,411,074 |
Total | 45,173,741 | |
Israel 2.3% | ||
Bank Hapoalim BM | 4,313,898 | 36,224,783 |
Check Point Software Technologies Ltd.(a) | 338,002 | 41,161,884 |
Total | 77,386,667 | |
Japan 20.7% | ||
Amano Corp. | 1,433,300 | 24,801,853 |
BayCurrent Consulting, Inc. | 150,100 | 40,129,568 |
COMSYS Holdings Corp. | 1,937,000 | 36,875,338 |
Denso Corp. | 407,200 | 21,493,027 |
ExaWizards, Inc.(a) | 1,067,100 | 4,129,086 |
Invincible Investment Corp. | 87,348 | 25,729,215 |
ITOCHU Corp. | 2,518,700 | 67,949,410 |
JustSystems Corp. | 464,400 | 13,216,835 |
Kinden Corp. | 1,459,900 | 16,849,937 |
Koito Manufacturing Co., Ltd. | 883,200 | 28,052,086 |
MatsukiyoCocokara & Co. | 1,736,500 | 70,223,112 |
Meitec Corp. | 1,195,200 | 19,267,597 |
Mitsubishi UFJ Financial Group, Inc. | 3,828,500 | 20,482,675 |
Money Forward, Inc.(a) | 217,800 | 5,482,063 |
Net Protections Holdings, Inc.(a) | 790,700 | 2,800,799 |
Nihon M&A Center Holdings, Inc. | 2,631,800 | 28,055,393 |
Nippon Telegraph & Telephone Corp. | 673,600 | 19,354,663 |
ORIX Corp. | 3,254,600 | 54,546,607 |
Round One Corp. | 3,200,000 | 35,982,214 |
Shionogi & Co., Ltd. | 612,500 | 31,261,045 |
Ship Healthcare Holdings, Inc. | 2,299,400 | 41,040,234 |
6 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
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 ($) |
Sweden 2.0% | ||
Granges AB | 1,491,468 | 11,204,426 |
Samhallsbyggnadsbolaget i Norden AB | 16,951,249 | 28,333,277 |
Sandvik AB | 1,059,730 | 17,270,534 |
Stillfront Group AB(a) | 4,894,224 | 10,865,300 |
Total | 67,673,537 | |
Switzerland 5.4% | ||
Landis+Gyr Group AG(a) | 451,127 | 23,675,664 |
Nestlé SA, Registered Shares | 342,138 | 39,986,612 |
Roche Holding AG, Genusschein Shares | 155,397 | 51,949,194 |
UBS AG | 4,182,145 | 67,611,610 |
Total | 183,223,080 | |
Taiwan 3.6% | ||
Fubon Financial Holding Co., Ltd. | 30,157,100 | 60,656,463 |
Parade Technologies Ltd. | 1,121,000 | 43,641,275 |
Tripod Technology Corp. | 4,802,000 | 18,016,408 |
Total | 122,314,146 | |
United Kingdom 15.5% | ||
AstraZeneca PLC, ADR | 1,949,379 | 128,795,470 |
British American Tobacco PLC | 1,913,368 | 82,015,130 |
Crest Nicholson Holdings PLC | 3,438,614 | 10,253,517 |
DCC PLC | 810,026 | 50,397,033 |
Intermediate Capital Group PLC | 1,097,795 | 17,551,065 |
JD Sports Fashion PLC(a) | 27,594,504 | 38,881,138 |
John Wood Group PLC(a) | 4,333,030 | 8,228,372 |
Just Group PLC | 15,079,437 | 13,127,546 |
Liberty Global PLC, Class C(a) | 3,022,338 | 66,763,446 |
TP Icap Group PLC | 18,365,109 | 25,105,616 |
Vodafone Group PLC | 56,690,848 | 88,148,180 |
Total | 529,266,513 | |
United States 6.0% | ||
ACADIA Pharmaceuticals, Inc.(a) | 115,625 | 1,629,156 |
Aerie Pharmaceuticals, Inc.(a) | 540,033 | 4,050,248 |
Broadcom, Inc. | 58,926 | 28,626,840 |
Burford Capital Ltd. | 3,592,101 | 36,244,299 |
Insmed, Inc.(a) | 398,596 | 7,860,313 |
Jazz Pharmaceuticals PLC(a) | 197,820 | 30,861,898 |
Livent Corp.(a) | 1,852,194 | 42,026,282 |
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022 | 7 |
June 30, 2022 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
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 | $3,408,727,780 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | 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) |
8 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
(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 |
ADR | American Depositary Receipt |
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 |
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022 | 9 |
June 30, 2022 (Unaudited)
■ | 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). |
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 |
10 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
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 |
* | Rounds to zero. |
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022 | 11 |
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 |
12 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022 |
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) |
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022 | 13 |
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 |
14 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022 |
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022 | 15 |
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%. |
16 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022 |
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% | $312,588 |
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022 | 17 |
June 30, 2022 (Unaudited)
18 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022 | 19 |
June 30, 2022 (Unaudited)
20 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 12,006,524 |
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022 | 21 |
June 30, 2022 (Unaudited)
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 11,914,356 |
Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | 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) |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 752,980 |
Options contracts — written | (220,950) |
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 17,687,093 | (15,314,836) |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2022. |
State Street ($) | |
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 |
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. |
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022 | 23 |
June 30, 2022 (Unaudited)
24 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
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 |
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022 | 25 |
June 30, 2022 (Unaudited)
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) |
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Borrower | 1,700,000 | 0.86 | 1 |
26 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022 | 27 |
June 30, 2022 (Unaudited)
28 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022 | 29 |
• | 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. |
30 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022 |
• | 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). |
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022 | 31 |
32 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022 |
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022 | 33 |
34 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
(Unaudited)
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 |
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022 | 3 |
(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 |
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 |
(a) | Rounds to zero. |
4 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022 |
(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 (%) | ||||
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 |
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022 | 5 |
June 30, 2022 (Unaudited)
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 ($) | |
Ford Motor Co. | ||||
02/12/2032 | 3.250% | 573,000 | 428,306 | |
01/15/2043 | 4.750% | 790,000 | 563,127 | |
Ford Motor Credit Co. LLC | ||||
11/01/2024 | 4.063% | 400,000 | 380,132 | |
06/16/2025 | 5.125% | 414,000 | 395,616 | |
11/13/2025 | 3.375% | 728,000 | 655,439 | |
05/28/2027 | 4.950% | 256,000 | 237,582 | |
08/17/2027 | 4.125% | 689,000 | 606,645 | |
02/16/2028 | 2.900% | 410,000 | 330,606 | |
02/10/2029 | 2.900% | 657,000 | 515,091 | |
11/13/2030 | 4.000% | 838,000 | 679,401 | |
Goodyear Tire & Rubber Co. (The) | ||||
07/15/2029 | 5.000% | 278,000 | 231,714 | |
IAA Spinco, Inc.(a) | ||||
06/15/2027 | 5.500% | 747,000 | 695,639 | |
Jaguar Land Rover Automotive PLC(a) | ||||
07/15/2029 | 5.500% | 342,000 | 254,076 | |
KAR Auction Services, Inc.(a) | ||||
06/01/2025 | 5.125% | 1,875,000 | 1,764,320 | |
Panther BF Aggregator 2 LP/Finance Co., Inc.(a) | ||||
05/15/2027 | 8.500% | 761,000 | 736,125 | |
Tenneco, Inc.(a) | ||||
01/15/2029 | 7.875% | 679,000 | 657,633 | |
Total | 10,144,040 | |||
Brokerage/Asset Managers/Exchanges 1.1% | ||||
AG Issuer LLC(a) | ||||
03/01/2028 | 6.250% | 243,000 | 210,055 | |
Hightower Holding LLC(a) | ||||
04/15/2029 | 6.750% | 736,000 | 554,091 | |
NFP Corp.(a) | ||||
08/15/2028 | 4.875% | 744,000 | 637,814 | |
08/15/2028 | 6.875% | 2,036,000 | 1,693,112 | |
Total | 3,095,072 | |||
Building Materials 1.2% | ||||
American Builders & Contractors Supply Co., Inc.(a) | ||||
01/15/2028 | 4.000% | 1,259,000 | 1,086,428 | |
Beacon Roofing Supply, Inc.(a) | ||||
11/15/2026 | 4.500% | 514,000 | 467,727 | |
Interface, Inc.(a) | ||||
12/01/2028 | 5.500% | 119,000 | 101,760 | |
SRS Distribution, Inc.(a) | ||||
07/01/2028 | 4.625% | 1,022,000 | 892,671 | |
12/01/2029 | 6.000% | 686,000 | 538,123 |
6 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 ($) | |
Innophos Holdings, Inc.(a) | ||||
02/15/2028 | 9.375% | 755,000 | 687,940 | |
Iris Holdings, Inc.(a),(b) | ||||
02/15/2026 | 8.750% | 353,000 | 289,418 | |
Olympus Water US Holding Corp.(a) | ||||
10/01/2028 | 4.250% | 504,000 | 395,281 | |
SPCM SA(a) | ||||
03/15/2027 | 3.125% | 301,000 | 253,980 | |
Unifrax Escrow Issuer Corp.(a) | ||||
09/30/2028 | 5.250% | 303,000 | 242,105 | |
09/30/2029 | 7.500% | 170,000 | 118,618 | |
WR Grace Holdings LLC(a) | ||||
06/15/2027 | 4.875% | 1,688,000 | 1,468,656 | |
08/15/2029 | 5.625% | 803,000 | 592,440 | |
Total | 7,726,738 | |||
Construction Machinery 1.0% | ||||
H&E Equipment Services, Inc.(a) | ||||
12/15/2028 | 3.875% | 1,962,000 | 1,585,636 | |
Herc Holdings, Inc.(a) | ||||
07/15/2027 | 5.500% | 782,000 | 715,716 | |
Ritchie Bros. Auctioneers, Inc.(a) | ||||
01/15/2025 | 5.375% | 364,000 | 356,504 | |
Total | 2,657,856 | |||
Consumer Cyclical Services 2.4% | ||||
APX Group, Inc.(a) | ||||
02/15/2027 | 6.750% | 466,000 | 437,650 | |
Arches Buyer, Inc.(a) | ||||
06/01/2028 | 4.250% | 737,000 | 601,487 | |
12/01/2028 | 6.125% | 142,000 | 115,907 | |
Match Group, Inc.(a) | ||||
06/01/2028 | 4.625% | 511,000 | 463,246 | |
Prime Security Services Borrower LLC/Finance, Inc.(a) | ||||
04/15/2026 | 5.750% | 454,000 | 425,651 | |
Staples, Inc.(a) | ||||
04/15/2026 | 7.500% | 1,329,000 | 1,102,066 | |
04/15/2027 | 10.750% | 176,000 | 116,501 | |
Uber Technologies, Inc.(a) | ||||
05/15/2025 | 7.500% | 647,000 | 645,063 | |
08/15/2029 | 4.500% | 3,193,000 | 2,626,637 | |
Total | 6,534,208 | |||
Consumer Products 1.0% | ||||
CD&R Smokey Buyer, Inc.(a) | ||||
07/15/2025 | 6.750% | 837,000 | 743,039 | |
Mattel, Inc.(a) | ||||
12/15/2027 | 5.875% | 671,000 | 655,939 |
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022 | 7 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 |
8 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022 |
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 |
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022 | 9 |
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 |
10 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022 |
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 |
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022 | 11 |
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 ($) | |
BroadStreet Partners, Inc.(a) | ||||
04/15/2029 | 5.875% | 1,106,000 | 862,613 | |
GTCR AP Finance, Inc.(a) | ||||
05/15/2027 | 8.000% | 186,000 | 174,736 | |
HUB International Ltd.(a) | ||||
05/01/2026 | 7.000% | 1,374,000 | 1,297,352 | |
12/01/2029 | 5.625% | 882,000 | 738,987 | |
MGIC Investment Corp. | ||||
08/15/2028 | 5.250% | 101,000 | 90,466 | |
Radian Group, Inc. | ||||
03/15/2025 | 6.625% | 40,000 | 39,364 | |
03/15/2027 | 4.875% | 235,000 | 212,017 | |
USI, Inc.(a) | ||||
05/01/2025 | 6.875% | 738,000 | 712,741 | |
Total | 6,938,051 | |||
Restaurants 0.8% | ||||
1011778 BC ULC/New Red Finance, Inc.(a) | ||||
04/15/2025 | 5.750% | 551,000 | 554,955 | |
Fertitta Entertainment LLC/Finance Co., Inc.(a) | ||||
01/15/2030 | 6.750% | 635,000 | 487,805 | |
IRB Holding Corp.(a) | ||||
06/15/2025 | 7.000% | 650,000 | 634,348 | |
Yum! Brands, Inc. | ||||
04/01/2032 | 5.375% | 660,000 | 608,897 | |
Total | 2,286,005 | |||
Retailers 1.2% | ||||
Asbury Automotive Group, Inc.(a) | ||||
11/15/2029 | 4.625% | 201,000 | 166,034 | |
02/15/2032 | 5.000% | 201,000 | 164,410 | |
Group 1 Automotive, Inc.(a) | ||||
08/15/2028 | 4.000% | 440,000 | 372,620 | |
L Brands, Inc.(a) | ||||
10/01/2030 | 6.625% | 719,000 | 621,033 | |
LCM Investments Holdings II LLC(a) | ||||
05/01/2029 | 4.875% | 814,000 | 622,980 | |
PetSmart, Inc./Finance Corp.(a) | ||||
02/15/2028 | 4.750% | 662,000 | 571,996 | |
02/15/2029 | 7.750% | 770,000 | 694,689 | |
Total | 3,213,762 | |||
Supermarkets 0.4% | ||||
Albertsons Companies LLC/Safeway, Inc./New Albertsons LP/Albertsons LLC(a) | ||||
03/15/2026 | 7.500% | 420,000 | 417,787 | |
Albertsons Companies, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(a) | ||||
01/15/2027 | 4.625% | 708,000 | 633,306 |
12 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 ($) | |
Plantronics, Inc.(a) | ||||
03/01/2029 | 4.750% | 1,720,000 | 1,714,571 | |
PTC, Inc.(a) | ||||
02/15/2025 | 3.625% | 178,000 | 169,277 | |
02/15/2028 | 4.000% | 256,000 | 236,595 | |
Sabre GLBL, Inc.(a) | ||||
04/15/2025 | 9.250% | 163,000 | 157,390 | |
09/01/2025 | 7.375% | 251,000 | 232,871 | |
Shift4 Payments LLC/Finance Sub, Inc.(a) | ||||
11/01/2026 | 4.625% | 1,177,000 | 1,045,254 | |
Square, Inc.(a) | ||||
06/01/2031 | 3.500% | 318,000 | 255,279 | |
Switch Ltd.(a) | ||||
09/15/2028 | 3.750% | 277,000 | 274,068 | |
06/15/2029 | 4.125% | 769,000 | 763,036 | |
Tempo Acquisition LLC/Finance Corp.(a) | ||||
06/01/2025 | 5.750% | 344,000 | 328,379 | |
Verscend Escrow Corp.(a) | ||||
08/15/2026 | 9.750% | 1,020,000 | 991,756 | |
ZoomInfo Technologies LLC/Finance Corp.(a) | ||||
02/01/2029 | 3.875% | 1,475,000 | 1,235,310 | |
Total | 21,542,695 | |||
Wireless 4.0% | ||||
Altice France Holding SA(a) | ||||
05/15/2027 | 10.500% | 954,000 | 798,722 | |
02/15/2028 | 6.000% | 1,327,000 | 915,210 | |
Altice France SA(a) | ||||
02/01/2027 | 8.125% | 1,292,000 | 1,190,501 | |
07/15/2029 | 5.125% | 806,000 | 608,146 | |
10/15/2029 | 5.500% | 653,000 | 500,237 | |
Sprint Capital Corp. | ||||
11/15/2028 | 6.875% | 2,101,000 | 2,213,897 | |
03/15/2032 | 8.750% | 346,000 | 417,047 | |
T-Mobile USA, Inc. | ||||
02/15/2029 | 2.625% | 893,000 | 750,914 | |
02/15/2031 | 2.875% | 496,000 | 411,743 | |
04/15/2031 | 3.500% | 159,000 | 137,657 | |
T-Mobile USA, Inc.(a) | ||||
04/15/2031 | 3.500% | 850,000 | 730,060 | |
Vmed O2 UK Financing I PLC(a) | ||||
01/31/2031 | 4.250% | 1,539,000 | 1,256,450 | |
07/15/2031 | 4.750% | 1,182,000 | 970,761 | |
Total | 10,901,345 | |||
Wirelines 1.7% | ||||
CenturyLink, Inc. | ||||
04/01/2024 | 7.500% | 545,000 | 540,430 |
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022 | 13 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 $8,130,083) | 7,243,635 |
14 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Money Market Funds 2.0% | ||
Shares | Value ($) | |
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 |
(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 |
LIBOR | London Interbank Offered Rate |
■ | 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). |
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022 | 15 |
June 30, 2022 (Unaudited)
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.
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 |
16 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022 |
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 |
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022 | 17 |
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) |
18 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022 |
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 |
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022 | 19 |
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. |
20 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022 |
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% | $364,733 |
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022 | 21 |
June 30, 2022 (Unaudited)
22 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022 | 23 |
June 30, 2022 (Unaudited)
24 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
May 1, 2022 through April 30, 2023 | Prior to May 1, 2022 | |
Class 1 | 0.66% | 0.67% |
Class 2 | 0.91 | 0.92 |
Class 3 | 0.785 | 0.795 |
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022 | 25 |
June 30, 2022 (Unaudited)
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
305,708,000 | 125,000 | (39,095,000) | (38,970,000) |
26 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022 | 27 |
June 30, 2022 (Unaudited)
28 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022 | 29 |
• | 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. |
30 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022 |
(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. |
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022 | 31 |
(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.
32 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022 |
(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.
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022 | 33 |
June 30, 2022 (Unaudited)
(Unaudited)
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 |
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2022) | |
Common Stocks | 98.5 |
Money Market Funds | 1.5 |
Total | 100.0 |
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 |
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 |
4 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2022 |
(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 (%) | ||||
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 |
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2022 | 5 |
June 30, 2022 (Unaudited)
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 |
6 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2022 |
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: $1,440,672,867) | 1,943,754,461 | |
Other Assets & Liabilities, Net | 306,508 | |
Net Assets | 1,944,060,969 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | 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 |
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2022 | 7 |
June 30, 2022 (Unaudited)
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). |
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 |
8 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2022 |
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 |
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2022 | 9 |
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) |
10 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2022 |
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) |
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2022 | 11 |
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%. |
12 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2022 |
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% | $232,010 |
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2022 | 13 |
June 30, 2022 (Unaudited)
14 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2022 | 15 |
June 30, 2022 (Unaudited)
16 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Contractual expense cap July 1, 2022 through April 30, 2023 | Voluntary expense cap May 1, 2022 through June 30, 2022 | Contractual expense cap prior to May 1, 2022 | |
Class 1 | 0.75% | 0.75% | 0.75% |
Class 2 | 1.00 | 1.00 | 1.00 |
Class 3 | 0.875 | 0.875 | 0.875 |
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2022 | 17 |
June 30, 2022 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 2,800,000 | 0.69 | 3 |
18 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2022 | 19 |
June 30, 2022 (Unaudited)
20 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2022 |
• | 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. |
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2022 | 21 |
(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). |
22 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2022 |
(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.
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2022 | 23 |
(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.
24 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
(Unaudited)
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 |
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2022) | |
Common Stocks | 93.4 |
Convertible Preferred Stocks | 6.3 |
Money Market Funds | 0.3 |
Total | 100.0 |
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 |
4 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2022 |
(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 ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 934.60 | 1,021.47 | 3.21 | 3.36 | 0.67 |
Class 2 | 1,000.00 | 1,000.00 | 933.20 | 1,020.23 | 4.41 | 4.61 | 0.92 |
Class 3 | 1,000.00 | 1,000.00 | 933.90 | 1,020.88 | 3.79 | 3.96 | 0.79 |
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2022 | 5 |
June 30, 2022 (Unaudited)
Common Stocks 93.4% | ||
Issuer | Shares | Value ($) |
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 ($) |
Tobacco 2.2% | ||
Altria Group, Inc. | 140,000 | 5,847,800 |
Philip Morris International, Inc. | 135,000 | 13,329,900 |
Total | 19,177,700 | |
Total Consumer Staples | 119,504,350 | |
Energy 9.8% | ||
Oil, Gas & Consumable Fuels 9.8% | ||
Chevron Corp. | 162,500 | 23,526,750 |
Devon Energy Corp. | 62,500 | 3,444,375 |
Exxon Mobil Corp. | 435,000 | 37,253,400 |
Pioneer Natural Resources Co. | 35,000 | 7,807,800 |
Shell PLC, ADR | 80,000 | 4,183,200 |
Valero Energy Corp. | 87,500 | 9,299,500 |
Total | 85,515,025 | |
Total Energy | 85,515,025 | |
Financials 16.3% | ||
Banks 7.9% | ||
Bank of America Corp. | 200,000 | 6,226,000 |
JPMorgan Chase & Co. | 250,000 | 28,152,500 |
M&T Bank Corp. | 55,000 | 8,766,450 |
PNC Financial Services Group, Inc. (The) | 65,000 | 10,255,050 |
Truist Financial Corp. | 200,000 | 9,486,000 |
U.S. Bancorp | 140,000 | 6,442,800 |
Total | 69,328,800 | |
Capital Markets 4.9% | ||
Ares Capital Corp. | 250,000 | 4,482,500 |
BlackRock, Inc. | 14,000 | 8,526,560 |
Blackstone, Inc. | 65,000 | 5,929,950 |
Morgan Stanley | 200,000 | 15,212,000 |
State Street Corp. | 137,500 | 8,476,875 |
Total | 42,627,885 | |
Consumer Finance 0.4% | ||
OneMain Holdings, Inc. | 100,000 | 3,738,000 |
6 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
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 ($) |
Information Technology 9.7% | ||
Communications Equipment 2.4% | ||
Cisco Systems, Inc. | 380,000 | 16,203,200 |
Juniper Networks, Inc. | 155,000 | 4,417,500 |
Total | 20,620,700 | |
Electronic Equipment, Instruments & Components 0.5% | ||
Corning, Inc. | 140,000 | 4,411,400 |
IT Services 1.5% | ||
International Business Machines Corp. | 90,000 | 12,707,100 |
Semiconductors & Semiconductor Equipment 3.9% | ||
Broadcom, Inc. | 35,000 | 17,003,350 |
QUALCOMM, Inc. | 50,000 | 6,387,000 |
Texas Instruments, Inc. | 70,000 | 10,755,500 |
Total | 34,145,850 | |
Technology Hardware, Storage & Peripherals 1.4% | ||
HP, Inc. | 245,000 | 8,031,100 |
Seagate Technology Holdings PLC | 65,000 | 4,643,600 |
Total | 12,674,700 | |
Total Information Technology | 84,559,750 | |
Materials 2.5% | ||
Chemicals 2.0% | ||
Dow, Inc. | 140,000 | 7,225,400 |
International Flavors & Fragrances, Inc. | 37,500 | 4,467,000 |
Nutrien Ltd. | 80,000 | 6,375,200 |
Total | 18,067,600 | |
Metals & Mining 0.5% | ||
Newmont Corp. | 70,000 | 4,176,900 |
Total Materials | 22,244,500 | |
Real Estate 6.9% | ||
Equity Real Estate Investment Trusts (REITS) 6.9% | ||
Alexandria Real Estate Equities, Inc. | 31,500 | 4,568,445 |
AvalonBay Communities, Inc. | 35,000 | 6,798,750 |
Crown Castle International Corp. | 67,500 | 11,365,650 |
Kimco Realty Corp. | 315,000 | 6,227,550 |
Life Storage, Inc. | 52,500 | 5,862,150 |
Medical Properties Trust, Inc. | 300,000 | 4,581,000 |
Simon Property Group, Inc. | 85,000 | 8,068,200 |
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2022 | 7 |
June 30, 2022 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
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: $802,723,764) | 874,247,462 | |
Other Assets & Liabilities, Net | 550,601 | |
Net Assets | 874,798,063 |
(a) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
(b) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | 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 |
8 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
ADR | American Depositary Receipt |
■ | 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). |
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 |
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2022 | 9 |
June 30, 2022 (Unaudited)
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 |
10 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2022 |
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 |
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2022 | 11 |
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) |
12 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2022 |
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) |
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2022 | 13 |
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%. |
14 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2022 |
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% | $939,770 |
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2022 | 15 |
June 30, 2022 (Unaudited)
16 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2022 | 17 |
June 30, 2022 (Unaudited)
18 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Fee rate(s) contractrual through April 30, 2023 | |||
Class 1 | 0.67% | ||
Class 2 | 0.92 | ||
Class 3 | 0.795 |
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2022 | 19 |
June 30, 2022 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Borrower | 300,000 | 0.85 | 1 |
20 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2022 | 21 |
June 30, 2022 (Unaudited)
22 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2022 |
• | 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. |
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2022 | 23 |
(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). |
24 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2022 |
(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.
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2022 | 25 |
(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.
26 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
(Unaudited)
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 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 | 3 |
(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 |
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 |
4 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 |
(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 ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 905.20 | 1,022.56 | 2.13 | 2.26 | 0.45 |
Class 2 | 1,000.00 | 1,000.00 | 904.00 | 1,021.32 | 3.30 | 3.51 | 0.70 |
Class 3 | 1,000.00 | 1,000.00 | 904.30 | 1,021.92 | 2.74 | 2.91 | 0.58 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 | 5 |
June 30, 2022 (Unaudited)
Asset-Backed Securities — Non-Agency 4.4% | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 $54,739,073) | 47,233,700 | |||
6 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency 5.6% | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 $57,364,572) | 54,159,888 | |||
Residential Mortgage-Backed Securities - Agency 91.4% | ||||
Federal Home Loan Mortgage Corp. | ||||
10/01/2023- 06/01/2039 | 5.000% | 1,490,724 | 1,571,868 | |
08/01/2035- 08/01/2051 | 2.000% | 38,967,454 | 35,198,989 | |
08/01/2041- 06/01/2048 | 4.500% | 6,466,742 | 6,595,325 | |
10/01/2041- 11/01/2048 | 4.000% | 27,252,449 | 27,517,389 | |
07/01/2042- 04/01/2047 | 3.500% | 34,213,595 | 33,713,710 | |
11/01/2042- 01/01/2052 | 3.000% | 56,148,068 | 52,894,068 | |
02/01/2051- 03/01/2052 | 2.500% | 36,749,246 | 33,262,634 | |
Federal Home Loan Mortgage Corp.(b) | ||||
12-month USD LIBOR + 1.618% Cap 10.990% 01/01/2037 | 1.868% | 39,900 | 40,548 | |
12-month USD LIBOR + 1.910% Cap 10.449% 09/01/2037 | 2.627% | 56,315 | 57,985 | |
Federal Home Loan Mortgage Corp.(b),(d) | ||||
CMO Series 264 Class S1 | ||||
-1.0 x 1-month USD LIBOR + 5.950% Cap 5.950% 07/15/2042 | 4.626% | 3,789,125 | 448,573 | |
CMO Series 318 Class S1 | ||||
-1.0 x 1-month USD LIBOR + 5.950% Cap 5.950% 11/15/2043 | 4.626% | 8,088,726 | 1,070,443 | |
CMO Series 4183 Class AS | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 04/15/2039 | 4.826% | 10,487 | 19 | |
CMO Series 4286 Class NS | ||||
-1.0 x 1-month USD LIBOR + 5.900% Cap 5.900% 12/15/2043 | 4.576% | 2,585,701 | 421,015 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 | 7 |
June 30, 2022 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 |
8 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 |
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 ($) | |
CMO Series 2017-90 Class SP | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 11/25/2047 | 4.526% | 3,904,633 | 573,584 | |
CMO Series 2019-33 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 07/25/2049 | 4.426% | 11,386,697 | 1,649,960 | |
CMO Series 2019-34 Class SM | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 07/25/2049 | 4.426% | 9,709,673 | 1,730,897 | |
CMO Series 2020-40 Class LS | ||||
-1.0 x 1-month USD LIBOR + 6.080% Cap 6.080% 06/25/2050 | 4.456% | 9,829,754 | 1,943,648 | |
Federal National Mortgage Association REMICS(d) | ||||
CMO Series 2021-13 Class IO | ||||
03/25/2051 | 3.000% | 7,424,830 | 1,394,422 | |
CMO Series 2021-54 Class LI | ||||
04/25/2049 | 2.500% | 11,782,591 | 1,717,244 | |
Government National Mortgage Association | ||||
08/20/2040 | 5.000% | 1,930,514 | 2,053,101 | |
07/20/2041 | 4.500% | 2,609,378 | 2,730,173 | |
04/20/2051- 05/20/2051 | 2.500% | 24,437,373 | 22,125,950 | |
Government National Mortgage Association(e) | ||||
04/20/2048 | 4.500% | 4,829,902 | 4,957,457 | |
Government National Mortgage Association(d) | ||||
CMO Series 2012-121 Class PI | ||||
09/16/2042 | 4.500% | 1,934,160 | 316,408 | |
CMO Series 2012-129 Class AI | ||||
08/20/2037 | 3.000% | 782,327 | 15,294 | |
CMO Series 2014-131 Class EI | ||||
09/16/2039 | 4.000% | 2,542,937 | 178,089 | |
CMO Series 2019-129 Class AI | ||||
10/20/2049 | 3.500% | 6,254,574 | 1,035,839 | |
CMO Series 2020-104 Class IY | ||||
07/20/2050 | 3.000% | 11,070,505 | 1,645,935 | |
CMO Series 2020-138 Class IN | ||||
09/20/2050 | 2.500% | 6,796,256 | 1,059,065 | |
CMO Series 2020-138 Class JI | ||||
09/20/2050 | 2.500% | 19,089,122 | 2,685,481 | |
CMO Series 2020-142 Class GI | ||||
09/20/2050 | 3.000% | 4,592,331 | 658,308 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 | 9 |
June 30, 2022 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 ($) | |
CMO Series 2018-1 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 01/20/2048 | 4.605% | 2,589,111 | 342,258 | |
CMO Series 2018-105 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 08/20/2048 | 4.605% | 3,277,304 | 384,267 | |
CMO Series 2018-139 Class KS | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 10/20/2048 | 4.555% | 5,462,961 | 676,959 | |
CMO Series 2018-155 Class LS | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 11/20/2048 | 4.555% | 4,715,045 | 574,950 | |
CMO Series 2018-21 Class WS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 02/20/2048 | 4.605% | 4,154,256 | 553,015 | |
CMO Series 2018-40 Class SC | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 03/20/2048 | 4.605% | 2,259,748 | 277,834 | |
CMO Series 2018-63 Class HS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 04/20/2048 | 4.605% | 3,162,905 | 396,048 | |
CMO Series 2018-94 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 05/20/2048 | 4.605% | 4,316,527 | 581,261 | |
CMO Series 2018-97 Class MS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 07/20/2048 | 4.605% | 3,722,211 | 444,279 | |
CMO Series 2019-23 Class SQ | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 02/20/2049 | 4.455% | 3,681,393 | 585,242 |
10 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 | 11 |
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: $1,282,624,586) | 1,196,608,215 | |
Other Assets & Liabilities, Net | (234,956,486) | |
Net Assets | 961,651,729 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 10-Year Note | 414 | 09/2022 | USD | 49,071,938 | — | (280,538) |
U.S. Treasury 2-Year Note | 7 | 09/2022 | USD | 1,470,109 | — | (4,060) |
U.S. Ultra Treasury Bond | 90 | 09/2022 | USD | 13,890,938 | — | (381,352) |
Total | — | (665,950) |
12 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | 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. |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 | 13 |
June 30, 2022 (Unaudited)
(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 |
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 |
USD | US Dollar |
■ | 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). |
14 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
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.
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 |
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 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 | 15 |
June 30, 2022 (Unaudited)
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.
16 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 |
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 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 | 17 |
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) |
18 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 |
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 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 | 19 |
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% |
20 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 |
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% | $120,079 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 | 21 |
June 30, 2022 (Unaudited)
22 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 | 23 |
June 30, 2022 (Unaudited)
24 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 | 25 |
June 30, 2022 (Unaudited)
26 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
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 ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 374,158* |
Credit risk | Upfront receipts on swap contracts | 4,915,767 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 665,950* |
Interest rate risk | Options contracts written, at value | 2,836,881 |
Total | 8,792,756 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |||||
Risk exposure category | Futures contracts ($) | 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 ($) |
Credit risk | — | — | — | (2,651,243) | (2,651,243) |
Interest rate risk | (1,035,689) | (2,969,090) | 1,450,160 | — | (2,554,619) |
Total | (1,035,689) | (2,969,090) | 1,450,160 | (2,651,243) | (5,205,862) |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 | 27 |
June 30, 2022 (Unaudited)
Derivative instrument | Average notional amounts ($)* |
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 ($)* |
Options contracts — purchased | 2,921,666 |
Options contracts — written | (5,203,555) |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2022. |
28 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Citi ($)(a) | Citi ($)(a) | JPMorgan ($)(a) | JPMorgan ($)(a) | Morgan Stanley ($) | Total ($) | |
Assets | ||||||
Options purchased calls | 3 | - | 1,117,312 | - | - | 1,117,315 |
OTC credit default swap contracts (b) | - | 54,501 | - | - | 447,159 | 501,660 |
Total assets | 3 | 54,501 | 1,117,312 | - | 447,159 | 1,618,975 |
Liabilities | ||||||
Options contracts written | 2,836,881 | - | - | - | - | 2,836,881 |
OTC credit default swap contracts (b) | - | 930,126 | - | 875,625 | 3,484,174 | 5,289,925 |
Total liabilities | 2,836,881 | 930,126 | - | 875,625 | 3,484,174 | 8,126,806 |
Total financial and derivative net assets | (2,836,878) | (875,625) | 1,117,312 | (875,625) | (3,037,015) | (6,507,831) |
Total collateral received (pledged) (c) | (2,836,878) | (825,000) | 1,060,000 | (780,000) | (2,827,000) | (6,208,878) |
Net amount (d) | - | (50,625) | 57,312 | (95,625) | (210,015) | (298,953) |
(a) | Exposure can only be netted across transactions governed under the same master agreement with the same legal entity. |
(b) | Over-the-Counter (OTC) swap contracts are presented at market value plus periodic payments receivable (payable), which is comprised of unrealized appreciation, unrealized depreciation, upfront payments and upfront receipts. |
(c) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(d) | Represents the net amount due from/(to) counterparties in the event of default. |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 | 29 |
June 30, 2022 (Unaudited)
30 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 | 31 |
June 30, 2022 (Unaudited)
May 1, 2022 through April 30, 2023 | Prior to May 1, 2022 | |
Class 1 | 0.57% | 0.58% |
Class 2 | 0.82 | 0.83 |
Class 3 | 0.695 | 0.705 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
1,277,341,000 | 11,860,000 | (100,571,000) | (88,711,000) |
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
— | (7,535,407) | (7,535,407) |
32 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 | 33 |
June 30, 2022 (Unaudited)
34 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 | 35 |
June 30, 2022 (Unaudited)
36 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 |
• | 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. |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 | 37 |
(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). |
38 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 |
(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.
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 | 39 |
(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.
40 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
(Unaudited)
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 |
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2022) | |
Common Stocks | 98.9 |
Money Market Funds | 1.1 |
Total | 100.0 |
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 |
4 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022 |
(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 ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 799.20 | 1,023.55 | 1.12 | 1.25 | 0.25 |
Class 2 | 1,000.00 | 1,000.00 | 798.10 | 1,022.32 | 2.23 | 2.51 | 0.50 |
Class 3 | 1,000.00 | 1,000.00 | 798.80 | 1,022.96 | 1.65 | 1.86 | 0.37 |
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022 | 5 |
June 30, 2022 (Unaudited)
Common Stocks 98.9% | ||
Issuer | Shares | Value ($) |
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 ($) |
Wireless Telecommunication Services 0.2% | ||
T-Mobile USA, Inc.(a) | 27,309 | 3,674,153 |
Total Communication Services | 131,168,129 | |
Consumer Discretionary 10.4% | ||
Auto Components 0.1% | ||
Aptiv PLC(a) | 12,558 | 1,118,541 |
BorgWarner, Inc. | 11,104 | 370,541 |
Total | 1,489,082 | |
Automobiles 2.0% | ||
Ford Motor Co. | 183,031 | 2,037,135 |
General Motors Co.(a) | 67,579 | 2,146,309 |
Tesla Motors, Inc.(a) | 38,895 | 26,192,671 |
Total | 30,376,115 | |
Distributors 0.1% | ||
Genuine Parts Co. | 6,563 | 872,879 |
LKQ Corp. | 12,060 | 592,025 |
Pool Corp. | 1,857 | 652,234 |
Total | 2,117,138 | |
Hotels, Restaurants & Leisure 1.8% | ||
Booking Holdings, Inc.(a) | 1,883 | 3,293,348 |
Caesars Entertainment, Inc.(a) | 9,936 | 380,549 |
Carnival Corp.(a) | 37,615 | 325,370 |
Chipotle Mexican Grill, Inc.(a) | 1,296 | 1,694,209 |
Darden Restaurants, Inc. | 5,781 | 653,947 |
Domino’s Pizza, Inc. | 1,671 | 651,205 |
Expedia Group, Inc.(a) | 7,025 | 666,181 |
Hilton Worldwide Holdings, Inc. | 12,901 | 1,437,687 |
Las Vegas Sands Corp.(a) | 15,937 | 535,324 |
Marriott International, Inc., Class A | 12,743 | 1,733,175 |
McDonald’s Corp. | 34,278 | 8,462,553 |
MGM Resorts International | 16,390 | 474,490 |
Norwegian Cruise Line Holdings Ltd.(a) | 19,425 | 216,006 |
Penn National Gaming, Inc.(a) | 7,577 | 230,492 |
Royal Caribbean Cruises Ltd.(a) | 10,399 | 363,029 |
Starbucks Corp. | 53,158 | 4,060,740 |
6 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
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 ($) |
Tractor Supply Co. | 5,186 | 1,005,306 |
Ulta Beauty, Inc.(a) | 2,421 | 933,247 |
Total | 30,585,733 | |
Textiles, Apparel & Luxury Goods 0.5% | ||
NIKE, Inc., Class B | 58,807 | 6,010,076 |
PVH Corp. | 3,130 | 178,097 |
Ralph Lauren Corp. | 2,145 | 192,299 |
Tapestry, Inc. | 11,671 | 356,199 |
VF Corp. | 14,961 | 660,827 |
Total | 7,397,498 | |
Total Consumer Discretionary | 155,819,807 | |
Consumer Staples 6.9% | ||
Beverages 1.9% | ||
Brown-Forman Corp., Class B | 8,472 | 594,395 |
Coca-Cola Co. (The) | 180,834 | 11,376,267 |
Constellation Brands, Inc., Class A | 7,544 | 1,758,205 |
Keurig Dr. Pepper, Inc. | 34,190 | 1,209,984 |
Molson Coors Beverage Co., Class B | 8,729 | 475,818 |
Monster Beverage Corp.(a) | 17,431 | 1,615,854 |
PepsiCo, Inc. | 64,087 | 10,680,739 |
Total | 27,711,262 | |
Food & Staples Retailing 1.5% | ||
Costco Wholesale Corp. | 20,543 | 9,845,849 |
Kroger Co. (The) | 30,408 | 1,439,211 |
Sysco Corp. | 23,614 | 2,000,342 |
Walgreens Boots Alliance, Inc. | 33,230 | 1,259,417 |
Walmart, Inc. | 65,071 | 7,911,332 |
Total | 22,456,151 | |
Food Products 1.1% | ||
Archer-Daniels-Midland Co. | 26,081 | 2,023,886 |
Campbell Soup Co. | 9,369 | 450,180 |
ConAgra Foods, Inc. | 22,242 | 761,566 |
General Mills, Inc. | 27,912 | 2,105,960 |
Hershey Co. (The) | 6,767 | 1,455,988 |
Hormel Foods Corp. | 13,135 | 622,074 |
JM Smucker Co. (The) | 5,027 | 643,506 |
Kellogg Co. | 11,745 | 837,888 |
Kraft Heinz Co. (The) | 32,903 | 1,254,920 |
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022 | 7 |
June 30, 2022 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
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 ($) |
Occidental Petroleum Corp. | 41,267 | 2,429,801 |
ONEOK, Inc. | 20,700 | 1,148,850 |
Phillips 66 | 22,299 | 1,828,295 |
Pioneer Natural Resources Co. | 10,430 | 2,326,725 |
Valero Energy Corp. | 18,915 | 2,010,286 |
Williams Companies, Inc. (The) | 56,454 | 1,761,929 |
Total | 59,483,252 | |
Total Energy | 64,388,634 | |
Financials 10.7% | ||
Banks 3.7% | ||
Bank of America Corp. | 328,621 | 10,229,972 |
Citigroup, Inc. | 90,007 | 4,139,422 |
Citizens Financial Group, Inc. | 22,734 | 811,376 |
Comerica, Inc. | 6,061 | 444,756 |
Fifth Third Bancorp | 31,800 | 1,068,480 |
First Republic Bank | 8,319 | 1,199,600 |
Huntington Bancshares, Inc. | 66,705 | 802,461 |
JPMorgan Chase & Co. | 136,131 | 15,329,712 |
KeyCorp | 43,220 | 744,681 |
M&T Bank Corp. | 8,316 | 1,325,487 |
PNC Financial Services Group, Inc. (The) | 19,169 | 3,024,293 |
Regions Financial Corp. | 43,314 | 812,137 |
Signature Bank | 2,917 | 522,756 |
SVB Financial Group(a) | 2,728 | 1,077,533 |
Truist Financial Corp. | 61,711 | 2,926,953 |
U.S. Bancorp | 62,666 | 2,883,889 |
Wells Fargo & Co. | 175,681 | 6,881,425 |
Zions Bancorp | 7,015 | 357,063 |
Total | 54,581,996 | |
Capital Markets 2.8% | ||
Ameriprise Financial, Inc.(b) | 5,094 | 1,210,742 |
Bank of New York Mellon Corp. (The) | 34,446 | 1,436,743 |
BlackRock, Inc. | 6,601 | 4,020,273 |
Cboe Global Markets, Inc. | 4,922 | 557,121 |
Charles Schwab Corp. (The) | 69,903 | 4,416,472 |
CME Group, Inc. | 16,659 | 3,410,097 |
Factset Research Systems, Inc. | 1,757 | 675,690 |
Franklin Resources, Inc. | 12,976 | 302,471 |
Goldman Sachs Group, Inc. (The) | 15,919 | 4,728,261 |
8 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
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 ($) |
Principal Financial Group, Inc. | 10,892 | 727,477 |
Progressive Corp. (The) | 27,109 | 3,151,963 |
Prudential Financial, Inc. | 17,381 | 1,663,014 |
Travelers Companies, Inc. (The) | 11,122 | 1,881,064 |
Willis Towers Watson PLC | 5,167 | 1,019,914 |
WR Berkley Corp. | 9,710 | 662,805 |
Total | 32,538,050 | |
Total Financials | 160,323,276 | |
Health Care 15.0% | ||
Biotechnology 2.2% | ||
AbbVie, Inc. | 81,905 | 12,544,570 |
Amgen, Inc. | 24,760 | 6,024,108 |
Biogen, Inc.(a) | 6,788 | 1,384,345 |
Gilead Sciences, Inc. | 58,137 | 3,593,448 |
Incyte Corp.(a) | 8,727 | 662,990 |
Moderna, Inc.(a) | 16,039 | 2,291,171 |
Regeneron Pharmaceuticals, Inc.(a) | 5,007 | 2,959,788 |
Vertex Pharmaceuticals, Inc.(a) | 11,854 | 3,340,338 |
Total | 32,800,758 | |
Health Care Equipment & Supplies 2.7% | ||
Abbott Laboratories | 81,156 | 8,817,599 |
ABIOMED, Inc.(a) | 2,112 | 522,741 |
Align Technology, Inc.(a) | 3,397 | 803,968 |
Baxter International, Inc. | 23,338 | 1,499,000 |
Becton Dickinson and Co. | 13,213 | 3,257,401 |
Boston Scientific Corp.(a) | 66,260 | 2,469,510 |
Cooper Companies, Inc. (The) | 2,285 | 715,479 |
Dentsply Sirona, Inc. | 9,986 | 356,800 |
DexCom, Inc.(a) | 18,192 | 1,355,850 |
Edwards Lifesciences Corp.(a) | 28,818 | 2,740,303 |
Hologic, Inc.(a) | 11,559 | 801,039 |
IDEXX Laboratories, Inc.(a) | 3,894 | 1,365,743 |
Intuitive Surgical, Inc.(a) | 16,638 | 3,339,413 |
Medtronic PLC | 62,180 | 5,580,655 |
ResMed, Inc. | 6,780 | 1,421,291 |
STERIS PLC | 4,641 | 956,742 |
Stryker Corp. | 15,599 | 3,103,109 |
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022 | 9 |
June 30, 2022 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
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 ($) |
Pharmaceuticals 4.8% | ||
Bristol-Myers Squibb Co. | 98,681 | 7,598,437 |
Catalent, Inc.(a) | 8,306 | 891,151 |
Eli Lilly & Co. | 36,553 | 11,851,579 |
Johnson & Johnson | 121,965 | 21,650,007 |
Merck & Co., Inc. | 117,209 | 10,685,944 |
Organon & Co. | 11,756 | 396,765 |
Pfizer, Inc. | 260,063 | 13,635,103 |
Viatris, Inc. | 56,191 | 588,320 |
Zoetis, Inc. | 21,813 | 3,749,437 |
Total | 71,046,743 | |
Total Health Care | 223,911,352 | |
Industrials 7.7% | ||
Aerospace & Defense 1.7% | ||
Boeing Co. (The)(a) | 25,777 | 3,524,231 |
General Dynamics Corp. | 10,683 | 2,363,614 |
Howmet Aerospace, Inc. | 17,433 | 548,268 |
Huntington Ingalls Industries, Inc. | 1,856 | 404,274 |
L3Harris Technologies, Inc. | 8,940 | 2,160,798 |
Lockheed Martin Corp. | 10,977 | 4,719,671 |
Northrop Grumman Corp. | 6,773 | 3,241,355 |
Raytheon Technologies Corp. | 68,932 | 6,625,054 |
Textron, Inc. | 9,969 | 608,807 |
TransDigm Group, Inc.(a) | 2,403 | 1,289,618 |
Total | 25,485,690 | |
Air Freight & Logistics 0.7% | ||
CH Robinson Worldwide, Inc. | 5,899 | 597,982 |
Expeditors International of Washington, Inc. | 7,775 | 757,751 |
FedEx Corp. | 11,052 | 2,505,599 |
United Parcel Service, Inc., Class B | 34,041 | 6,213,844 |
Total | 10,075,176 | |
Airlines 0.2% | ||
Alaska Air Group, Inc.(a) | 5,844 | 234,052 |
American Airlines Group, Inc.(a) | 30,105 | 381,731 |
Delta Air Lines, Inc.(a) | 29,713 | 860,786 |
Southwest Airlines Co.(a) | 27,483 | 992,686 |
United Airlines Holdings, Inc.(a) | 15,144 | 536,401 |
Total | 3,005,656 |
10 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
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 ($) |
Ingersoll Rand, Inc. | 18,815 | 791,735 |
Nordson Corp. | 2,498 | 505,695 |
Otis Worldwide Corp. | 19,596 | 1,384,849 |
PACCAR, Inc. | 16,115 | 1,326,909 |
Parker-Hannifin Corp. | 5,950 | 1,463,998 |
Pentair PLC | 7,666 | 350,873 |
Snap-On, Inc. | 2,474 | 487,452 |
Stanley Black & Decker, Inc. | 6,997 | 733,705 |
Westinghouse Air Brake Technologies Corp. | 8,466 | 694,889 |
Xylem, Inc. | 8,347 | 652,569 |
Total | 22,700,855 | |
Professional Services 0.3% | ||
Equifax, Inc. | 5,670 | 1,036,363 |
Jacobs Engineering Group, Inc. | 5,962 | 757,949 |
Leidos Holdings, Inc. | 6,334 | 637,897 |
Nielsen Holdings PLC | 16,672 | 387,124 |
Robert Half International, Inc. | 5,122 | 383,586 |
Verisk Analytics, Inc. | 7,319 | 1,266,846 |
Total | 4,469,765 | |
Road & Rail 0.9% | ||
CSX Corp. | 100,776 | 2,928,550 |
JB Hunt Transport Services, Inc. | 3,885 | 611,771 |
Norfolk Southern Corp. | 11,047 | 2,510,873 |
Old Dominion Freight Line, Inc. | 4,256 | 1,090,728 |
Union Pacific Corp. | 29,109 | 6,208,367 |
Total | 13,350,289 | |
Trading Companies & Distributors 0.2% | ||
Fastenal Co. | 26,679 | 1,331,816 |
United Rentals, Inc.(a) | 3,319 | 806,218 |
W.W. Grainger, Inc. | 1,990 | 904,316 |
Total | 3,042,350 | |
Total Industrials | 115,423,149 |
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022 | 11 |
June 30, 2022 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
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 ($) |
VeriSign, Inc.(a) | 4,417 | 739,097 |
Visa, Inc., Class A | 76,278 | 15,018,375 |
Total | 64,772,621 | |
Semiconductors & Semiconductor Equipment 5.1% | ||
Advanced Micro Devices, Inc.(a) | 75,110 | 5,743,662 |
Analog Devices, Inc. | 24,255 | 3,543,413 |
Applied Materials, Inc. | 40,945 | 3,725,176 |
Broadcom, Inc. | 18,924 | 9,193,468 |
Enphase Energy, Inc.(a) | 6,258 | 1,221,812 |
Intel Corp. | 189,524 | 7,090,093 |
KLA Corp. | 6,917 | 2,207,076 |
Lam Research Corp. | 6,429 | 2,739,718 |
Microchip Technology, Inc. | 25,770 | 1,496,722 |
Micron Technology, Inc. | 51,757 | 2,861,127 |
Monolithic Power Systems, Inc. | 2,032 | 780,369 |
NVIDIA Corp. | 116,060 | 17,593,535 |
NXP Semiconductors NV | 12,170 | 1,801,525 |
ON Semiconductor Corp.(a) | 20,139 | 1,013,193 |
Qorvo, Inc.(a) | 5,026 | 474,052 |
QUALCOMM, Inc. | 51,912 | 6,631,239 |
Skyworks Solutions, Inc. | 7,459 | 691,002 |
SolarEdge Technologies, Inc.(a) | 2,567 | 702,537 |
Teradyne, Inc. | 7,425 | 664,909 |
Texas Instruments, Inc. | 42,741 | 6,567,155 |
Total | 76,741,783 | |
Software 8.9% | ||
Adobe, Inc.(a) | 21,900 | 8,016,714 |
ANSYS, Inc.(a) | 4,032 | 964,817 |
Autodesk, Inc.(a) | 10,082 | 1,733,701 |
Cadence Design Systems, Inc.(a) | 12,781 | 1,917,533 |
Ceridian HCM Holding, Inc.(a) | 6,368 | 299,805 |
Citrix Systems, Inc. | 5,781 | 561,740 |
Fortinet, Inc.(a) | 30,878 | 1,747,077 |
Intuit, Inc. | 13,108 | 5,052,348 |
Microsoft Corp. | 346,650 | 89,030,120 |
NortonLifeLock, Inc. | 26,969 | 592,239 |
Oracle Corp. | 72,964 | 5,097,995 |
Paycom Software, Inc.(a) | 2,232 | 625,228 |
PTC, Inc.(a) | 4,880 | 518,939 |
12 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
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 ($) |
Containers & Packaging 0.3% | ||
Amcor PLC | 69,653 | 865,787 |
Avery Dennison Corp. | 3,787 | 613,002 |
Ball Corp. | 14,822 | 1,019,309 |
International Paper Co. | 17,179 | 718,597 |
Packaging Corp. of America | 4,343 | 597,162 |
Sealed Air Corp. | 6,771 | 390,822 |
WestRock Co. | 11,812 | 470,590 |
Total | 4,675,269 | |
Metals & Mining 0.4% | ||
Freeport-McMoRan, Inc. | 67,173 | 1,965,482 |
Newmont Corp. | 36,785 | 2,194,961 |
Nucor Corp. | 12,332 | 1,287,584 |
Total | 5,448,027 | |
Total Materials | 38,380,341 | |
Real Estate 2.9% | ||
Equity Real Estate Investment Trusts (REITS) 2.8% | ||
Alexandria Real Estate Equities, Inc. | 6,884 | 998,387 |
American Tower Corp. | 21,539 | 5,505,153 |
AvalonBay Communities, Inc. | 6,481 | 1,258,934 |
Boston Properties, Inc. | 6,610 | 588,158 |
Camden Property Trust | 4,937 | 663,928 |
Crown Castle International Corp. | 20,071 | 3,379,555 |
Digital Realty Trust, Inc. | 13,194 | 1,712,977 |
Duke Realty Corp. | 17,819 | 979,154 |
Equinix, Inc. | 4,219 | 2,771,967 |
Equity Residential | 15,861 | 1,145,481 |
Essex Property Trust, Inc. | 3,028 | 791,852 |
Extra Space Storage, Inc. | 6,224 | 1,058,827 |
Federal Realty OP LP | 3,313 | 317,187 |
Healthpeak Properties, Inc. | 25,008 | 647,957 |
Host Hotels & Resorts, Inc. | 33,130 | 519,478 |
Iron Mountain, Inc. | 13,467 | 655,708 |
Kimco Realty Corp. | 28,644 | 566,292 |
Mid-America Apartment Communities, Inc. | 5,350 | 934,485 |
Prologis, Inc. | 34,311 | 4,036,689 |
Public Storage | 7,078 | 2,213,078 |
Realty Income Corp. | 27,884 | 1,903,362 |
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022 | 13 |
June 30, 2022 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
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: $982,983,827) | 1,494,814,276 | |
Other Assets & Liabilities, Net | 175,540 | |
Net Assets | 1,494,989,816 |
14 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | 85 | 09/2022 | USD | 16,105,375 | — | (488,894) |
(a) | Non-income producing investment. |
(b) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | 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. |
USD | US Dollar |
■ | 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). |
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022 | 15 |
June 30, 2022 (Unaudited)
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.
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 |
16 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022 |
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 |
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022 | 17 |
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) |
18 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022 |
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) |
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022 | 19 |
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%. |
20 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022 |
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% | $452,967 |
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022 | 21 |
June 30, 2022 (Unaudited)
22 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022 | 23 |
June 30, 2022 (Unaudited)
24 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
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. |
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) |
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. |
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022 | 25 |
June 30, 2022 (Unaudited)
26 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022 | 27 |
June 30, 2022 (Unaudited)
Fee rate(s) contractual through April 30, 2023 | |
Class 1 | 0.26% |
Class 2 | 0.51 |
Class 3 | 0.385 |
28 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022 | 29 |
June 30, 2022 (Unaudited)
30 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022 | 31 |
• | 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. |
32 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022 |
(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). |
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022 | 33 |
(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.
34 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022 |
(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.
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022 | 35 |
June 30, 2022 (Unaudited)
(Unaudited)
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 |
Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2022) | |
Common Stocks | 94.1 |
Money Market Funds | 5.9 |
Total | 100.0 |
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 |
4 | Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2022 |
(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 (%) | ||||
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 |
Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2022 | 5 |
June 30, 2022 (Unaudited)
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 |
6 | Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2022 |
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: $489,561,580) | 424,348,884 | |
Other Assets & Liabilities, Net | (21,842,111) | |
Net Assets | 402,506,773 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | 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 |
Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2022 | 7 |
June 30, 2022 (Unaudited)
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). |
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 |
8 | Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2022 |
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 |
Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2022 | 9 |
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) |
10 | Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2022 |
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) |
Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2022 | 11 |
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. |
12 | Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2022 |
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% | $268,941 |
Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2022 | 13 |
June 30, 2022 (Unaudited)
14 | Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2022 | 15 |
June 30, 2022 (Unaudited)
16 | Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Fee rate(s) contractual through April 30, 2023 | |
Class 1 | 0.84% |
Class 2 | 1.09 |
Class 3 | 0.965 |
Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2022 | 17 |
June 30, 2022 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 566,667 | 0.69 | 3 |
18 | Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2022 | 19 |
June 30, 2022 (Unaudited)
20 | Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2022 | 21 |
• | 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. |
22 | Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2022 |
(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). |
Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2022 | 23 |
(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.
24 | Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2022 |
(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.
Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2022 | 25 |
June 30, 2022 (Unaudited)
(Unaudited)
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 |
Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2022) | |
Common Stocks | 98.3 |
Money Market Funds | 1.4 |
Preferred Stocks | 0.3 |
Total | 100.0 |
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 |
4 | Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2022 |
(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 ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 888.30 | 1,021.42 | 3.18 | 3.41 | 0.68 |
Class 2 | 1,000.00 | 1,000.00 | 887.30 | 1,020.18 | 4.35 | 4.66 | 0.93 |
Class 3 | 1,000.00 | 1,000.00 | 888.00 | 1,020.78 | 3.79 | 4.06 | 0.81 |
Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2022 | 5 |
June 30, 2022 (Unaudited)
Common Stocks 98.3% | ||
Issuer | Shares | Value ($) |
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 ($) |
Insurance 6.0% | ||
American International Group, Inc. | 1,191,020 | 60,896,853 |
MetLife, Inc. | 1,047,923 | 65,799,085 |
Total | 126,695,938 | |
Total Financials | 400,176,162 | |
Health Care 15.5% | ||
Health Care Equipment & Supplies 2.5% | ||
Baxter International, Inc. | 809,589 | 51,999,902 |
Health Care Providers & Services 9.5% | ||
Centene Corp.(a) | 811,700 | 68,677,937 |
Cigna Corp. | 284,131 | 74,874,201 |
Humana, Inc. | 122,817 | 57,486,953 |
Total | 201,039,091 | |
Pharmaceuticals 3.5% | ||
Bristol-Myers Squibb Co. | 949,088 | 73,079,776 |
Total Health Care | 326,118,769 | |
Industrials 10.0% | ||
Aerospace & Defense 3.3% | ||
Raytheon Technologies Corp. | 714,331 | 68,654,353 |
Airlines 2.5% | ||
Southwest Airlines Co.(a) | 1,469,398 | 53,074,656 |
Machinery 1.5% | ||
Caterpillar, Inc. | 170,091 | 30,405,467 |
Road & Rail 2.7% | ||
CSX Corp. | 1,139,509 | 33,114,131 |
Union Pacific Corp. | 114,227 | 24,362,335 |
Total | 57,476,466 | |
Total Industrials | 209,610,942 | |
Information Technology 13.7% | ||
Communications Equipment 3.2% | ||
Cisco Systems, Inc. | 1,596,751 | 68,085,463 |
Electronic Equipment, Instruments & Components 3.2% | ||
Corning, Inc. | 2,156,720 | 67,958,247 |
IT Services 0.2% | ||
EPAM Systems, Inc.(a) | 10,486 | 3,091,063 |
6 | Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
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: $1,819,052,213) | 2,102,695,644 | |
Other Assets & Liabilities, Net | 209,211 | |
Net Assets | 2,102,904,855 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | 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 |
Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2022 | 7 |
June 30, 2022 (Unaudited)
■ | 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). |
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 |
8 | Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2022 |
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 |
Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2022 | 9 |
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) |
10 | Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2022 |
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 |
Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2022 | 11 |
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%. |
12 | Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2022 |
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% | $56,053 |
Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2022 | 13 |
June 30, 2022 (Unaudited)
14 | Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2022 | 15 |
June 30, 2022 (Unaudited)
16 | Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Fee rate(s) contractual through April 30, 2023 | |
Class 1 | 0.72% |
Class 2 | 0.97 |
Class 3 | 0.845 |
Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2022 | 17 |
June 30, 2022 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 8,400,000 | 0.98 | 2 |
18 | Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2022 | 19 |
June 30, 2022 (Unaudited)
20 | Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2022 |
• | 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. |
Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2022 | 21 |
(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). |
22 | Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2022 |
(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.
Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2022 | 23 |
(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.
24 | Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
(Unaudited)
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 |
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2022) | |
Common Stocks | 98.9 |
Money Market Funds | 1.1 |
Total | 100.0 |
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 |
4 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2022 |
(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 ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Columbia Variable Portfolio – Core Equity Fund | 1,000.00 | 1,000.00 | 805.00 | 1,022.81 | 1.79 | 2.01 | 0.40 |
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2022 | 5 |
June 30, 2022 (Unaudited)
Common Stocks 98.9% | ||
Issuer | Shares | Value ($) |
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 ($) |
Consumer Staples 6.6% | ||
Food & Staples Retailing 0.7% | ||
Kroger Co. (The) | 26,818 | 1,269,296 |
Food Products 1.6% | ||
Tyson Foods, Inc., Class A | 34,947 | 3,007,539 |
Household Products 2.0% | ||
Procter & Gamble Co. (The) | 25,946 | 3,730,775 |
Tobacco 2.3% | ||
Altria Group, Inc. | 61,285 | 2,559,874 |
Philip Morris International, Inc. | 15,985 | 1,578,359 |
Total | 4,138,233 | |
Total Consumer Staples | 12,145,843 | |
Energy 4.1% | ||
Oil, Gas & Consumable Fuels 4.1% | ||
ConocoPhillips Co. | 7,687 | 690,370 |
Devon Energy Corp. | 9,100 | 501,501 |
Exxon Mobil Corp. | 53,481 | 4,580,113 |
Marathon Petroleum Corp. | 20,820 | 1,711,612 |
Total | 7,483,596 | |
Total Energy | 7,483,596 | |
Financials 10.4% | ||
Banks 2.0% | ||
Wells Fargo & Co. | 91,894 | 3,599,488 |
Capital Markets 2.3% | ||
Bank of New York Mellon Corp. (The) | 17,062 | 711,656 |
Morgan Stanley | 46,546 | 3,540,289 |
Total | 4,251,945 | |
Consumer Finance 2.0% | ||
Capital One Financial Corp. | 24,364 | 2,538,485 |
Discover Financial Services | 12,773 | 1,208,070 |
Total | 3,746,555 | |
Diversified Financial Services 0.2% | ||
Voya Financial, Inc. | 5,955 | 354,501 |
6 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
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 ($) |
Air Freight & Logistics 0.8% | ||
United Parcel Service, Inc., Class B | 7,894 | 1,440,971 |
Airlines 0.2% | ||
Delta Air Lines, Inc.(a) | 5,255 | 152,237 |
Southwest Airlines Co.(a) | 4,873 | 176,013 |
Total | 328,250 | |
Commercial Services & Supplies 0.9% | ||
Cintas Corp. | 3,643 | 1,360,770 |
Republic Services, Inc. | 2,806 | 367,221 |
Total | 1,727,991 | |
Electrical Equipment 1.1% | ||
Emerson Electric Co. | 24,641 | 1,959,945 |
Machinery 1.0% | ||
Otis Worldwide Corp. | 15,193 | 1,073,689 |
Snap-On, Inc. | 3,995 | 787,135 |
Total | 1,860,824 | |
Professional Services 0.3% | ||
Robert Half International, Inc. | 7,155 | 535,838 |
Road & Rail 0.4% | ||
Norfolk Southern Corp. | 2,883 | 655,277 |
Total Industrials | 15,265,272 | |
Information Technology 26.6% | ||
Communications Equipment 2.0% | ||
Cisco Systems, Inc. | 84,668 | 3,610,243 |
IT Services 2.2% | ||
Accenture PLC, Class A | 3,256 | 904,028 |
Gartner, Inc.(a) | 3,150 | 761,765 |
MasterCard, Inc., Class A | 4,194 | 1,323,123 |
VeriSign, Inc.(a) | 6,296 | 1,053,510 |
Total | 4,042,426 | |
Semiconductors & Semiconductor Equipment 4.8% | ||
Advanced Micro Devices, Inc.(a) | 34,562 | 2,642,956 |
Lam Research Corp. | 6,790 | 2,893,558 |
QUALCOMM, Inc. | 24,913 | 3,182,387 |
Total | 8,718,901 |
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2022 | 7 |
June 30, 2022 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
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: $163,722,246) | 182,750,093 | |
Other Assets & Liabilities, Net | 14,605 | |
Net Assets | 182,764,698 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | 11 | 09/2022 | USD | 2,084,225 | — | (125,345) |
(a) | Non-income producing investment. |
(b) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(c) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
8 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
(d) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | 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 |
USD | US Dollar |
■ | 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). |
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 |
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2022 | 9 |
June 30, 2022 (Unaudited)
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 |
10 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2022 |
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 |
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2022 | 11 |
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) |
12 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2022 |
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) |
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2022 | 13 |
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 | $211,730 |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Annualized. |
(c) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
14 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2022 | 15 |
June 30, 2022 (Unaudited)
16 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2022 | 17 |
June 30, 2022 (Unaudited)
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
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. |
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) |
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. |
18 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2022 | 19 |
June 30, 2022 (Unaudited)
20 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2022 | 21 |
June 30, 2022 (Unaudited)
22 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2022 | 23 |
• | 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. |
24 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2022 |
(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). |
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2022 | 25 |
(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.
26 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2022 |
(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.
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2022 | 27 |
June 30, 2022 (Unaudited)
(Unaudited)
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 |
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022 | 3 |
(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 |
(a) | Rounds to zero. |
Quality breakdown (%) (at June 30, 2022) | |
BBB rating | 1 |
BB rating | 44.5 |
B rating | 49.6 |
CCC rating | 4.9 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022 |
(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 (%) | ||||
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 |
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022 | 5 |
June 30, 2022 (Unaudited)
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 ($) | |
TransDigm, Inc. | ||||
06/15/2026 | 6.375% | 997,000 | 933,636 | |
11/15/2027 | 5.500% | 27,000 | 22,992 | |
01/15/2029 | 4.625% | 194,000 | 156,184 | |
Total | 2,730,827 | |||
Airlines 1.9% | ||||
Air Canada(d) | ||||
08/15/2026 | 3.875% | 400,000 | 339,515 | |
American Airlines, Inc.(d) | ||||
07/15/2025 | 11.750% | 176,000 | 182,158 | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd.(d) | ||||
04/20/2026 | 5.500% | 1,353,605 | 1,247,085 | |
04/20/2029 | 5.750% | 30,469 | 26,015 | |
Hawaiian Brand Intellectual Property Ltd./Miles Loyalty Ltd.(d) | ||||
01/20/2026 | 5.750% | 533,471 | 478,056 | |
Mileage Plus Holdings LLC/Intellectual Property Assets Ltd.(d) | ||||
06/20/2027 | 6.500% | 546,278 | 536,505 | |
Total | 2,809,334 | |||
Automotive 4.6% | ||||
American Axle & Manufacturing, Inc. | ||||
03/15/2026 | 6.250% | 163,000 | 149,350 | |
04/01/2027 | 6.500% | 50,000 | 44,270 | |
Clarios Global LP(d) | ||||
05/15/2025 | 6.750% | 279,000 | 276,312 | |
Ford Motor Co. | ||||
02/12/2032 | 3.250% | 317,000 | 236,951 | |
01/15/2043 | 4.750% | 446,000 | 317,917 | |
Ford Motor Credit Co. LLC | ||||
03/18/2024 | 5.584% | 513,000 | 509,725 | |
11/01/2024 | 4.063% | 178,000 | 169,159 | |
06/16/2025 | 5.125% | 512,000 | 489,264 | |
11/13/2025 | 3.375% | 734,000 | 660,841 | |
05/28/2027 | 4.950% | 143,000 | 132,712 | |
08/17/2027 | 4.125% | 712,000 | 626,896 | |
02/16/2028 | 2.900% | 237,000 | 191,106 | |
11/13/2030 | 4.000% | 359,000 | 291,056 | |
Goodyear Tire & Rubber Co. (The) | ||||
07/15/2029 | 5.000% | 151,000 | 125,859 | |
IAA Spinco, Inc.(d) | ||||
06/15/2027 | 5.500% | 410,000 | 381,810 | |
Jaguar Land Rover Automotive PLC(d) | ||||
07/15/2029 | 5.500% | 270,000 | 200,586 | |
KAR Auction Services, Inc.(d) | ||||
06/01/2025 | 5.125% | 1,036,000 | 974,845 |
6 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 ($) | |
Virgin Media Finance PLC(d) | ||||
07/15/2030 | 5.000% | 790,000 | 626,069 | |
Virgin Media Secured Finance PLC(d) | ||||
05/15/2029 | 5.500% | 172,000 | 154,104 | |
VZ Secured Financing BV(d) | ||||
01/15/2032 | 5.000% | 780,000 | 647,404 | |
Ziggo BV(d) | ||||
01/15/2030 | 4.875% | 1,140,000 | 966,372 | |
Total | 10,226,206 | |||
Chemicals 2.9% | ||||
Axalta Coating Systems LLC(d) | ||||
02/15/2029 | 3.375% | 571,000 | 466,379 | |
Element Solutions, Inc.(d) | ||||
09/01/2028 | 3.875% | 539,000 | 445,733 | |
HB Fuller Co. | ||||
10/15/2028 | 4.250% | 398,000 | 334,367 | |
Herens Holdco Sarl(d) | ||||
05/15/2028 | 4.750% | 413,000 | 344,403 | |
Illuminate Buyer LLC/Holdings IV, Inc.(d) | ||||
07/01/2028 | 9.000% | 247,000 | 195,890 | |
Ingevity Corp.(d) | ||||
11/01/2028 | 3.875% | 872,000 | 730,210 | |
Innophos Holdings, Inc.(d) | ||||
02/15/2028 | 9.375% | 462,000 | 420,965 | |
Olympus Water US Holding Corp.(d) | ||||
10/01/2028 | 4.250% | 286,000 | 224,306 | |
SPCM SA(d) | ||||
03/15/2027 | 3.125% | 35,000 | 29,533 | |
Unifrax Escrow Issuer Corp.(d) | ||||
09/30/2028 | 5.250% | 168,000 | 134,236 | |
WR Grace Holdings LLC(d) | ||||
06/15/2027 | 4.875% | 642,000 | 558,576 | |
08/15/2029 | 5.625% | 637,000 | 469,968 | |
Total | 4,354,566 | |||
Construction Machinery 1.2% | ||||
H&E Equipment Services, Inc.(d) | ||||
12/15/2028 | 3.875% | 1,058,000 | 855,047 | |
Herc Holdings, Inc.(d) | ||||
07/15/2027 | 5.500% | 607,000 | 555,550 | |
Ritchie Bros. Auctioneers, Inc.(d) | ||||
01/15/2025 | 5.375% | 301,000 | 294,801 | |
Total | 1,705,398 |
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022 | 7 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 ($) | |
NextEra Energy Operating Partners LP(d) | ||||
09/15/2027 | 4.500% | 2,127,000 | 1,969,955 | |
NRG Energy, Inc.(d) | ||||
06/15/2029 | 5.250% | 684,000 | 611,060 | |
02/15/2031 | 3.625% | 798,000 | 627,960 | |
Pattern Energy Operations LP/Inc.(d) | ||||
08/15/2028 | 4.500% | 286,000 | 248,794 | |
PG&E Corp. | ||||
07/01/2028 | 5.000% | 241,000 | 207,141 | |
TerraForm Power Operating LLC(d) | ||||
01/31/2028 | 5.000% | 566,000 | 513,853 | |
01/15/2030 | 4.750% | 660,000 | 565,600 | |
Vistra Operations Co. LLC(d) | ||||
07/31/2027 | 5.000% | 154,000 | 139,589 | |
05/01/2029 | 4.375% | 279,000 | 234,375 | |
Total | 8,228,150 | |||
Environmental 1.1% | ||||
GFL Environmental, Inc.(d) | ||||
06/01/2025 | 4.250% | 700,000 | 660,567 | |
08/01/2028 | 4.000% | 410,000 | 340,669 | |
Waste Pro USA, Inc.(d) | ||||
02/15/2026 | 5.500% | 768,000 | 681,192 | |
Total | 1,682,428 | |||
Finance Companies 2.1% | ||||
Navient Corp. | ||||
06/25/2025 | 6.750% | 490,000 | 447,959 | |
Provident Funding Associates LP/Finance Corp.(d) | ||||
06/15/2025 | 6.375% | 1,323,000 | 1,185,710 | |
Quicken Loans LLC/Co-Issuer, Inc.(d) | ||||
03/01/2029 | 3.625% | 380,000 | 298,416 | |
03/01/2031 | 3.875% | 90,000 | 67,731 | |
Rocket Mortgage LLC/Co-Issuer, Inc.(d) | ||||
10/15/2033 | 4.000% | 1,552,000 | 1,107,299 | |
Total | 3,107,115 | |||
Food and Beverage 2.6% | ||||
Darling Ingredients, Inc.(d) | ||||
04/15/2027 | 5.250% | 374,000 | 362,671 | |
FAGE International SA/USA Dairy Industry, Inc.(d) | ||||
08/15/2026 | 5.625% | 1,233,000 | 1,078,808 | |
Lamb Weston Holdings, Inc.(d) | ||||
01/31/2032 | 4.375% | 230,000 | 200,011 | |
Performance Food Group, Inc.(d) | ||||
05/01/2025 | 6.875% | 185,000 | 184,231 |
8 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 |
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022 | 9 |
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 ($) | |
Leisure 2.6% | ||||
Carnival Corp.(d) | ||||
03/01/2026 | 7.625% | 1,028,000 | 802,494 | |
03/01/2027 | 5.750% | 695,000 | 502,059 | |
05/01/2029 | 6.000% | 177,000 | 123,933 | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Operations LLC | ||||
10/01/2028 | 6.500% | 296,000 | 282,121 | |
Cinemark USA, Inc.(d) | ||||
03/15/2026 | 5.875% | 434,000 | 387,430 | |
07/15/2028 | 5.250% | 313,000 | 251,268 | |
Live Nation Entertainment, Inc.(d) | ||||
10/15/2027 | 4.750% | 165,000 | 146,821 | |
NCL Corp., Ltd.(d) | ||||
03/15/2026 | 5.875% | 93,000 | 72,965 | |
Royal Caribbean Cruises Ltd.(d) | ||||
07/01/2026 | 4.250% | 458,000 | 325,276 | |
08/31/2026 | 5.500% | 809,000 | 594,595 | |
07/15/2027 | 5.375% | 178,000 | 129,289 | |
04/01/2028 | 5.500% | 368,000 | 255,737 | |
Total | 3,873,988 | |||
Media and Entertainment 2.0% | ||||
Clear Channel International BV(d) | ||||
08/01/2025 | 6.625% | 346,000 | 321,503 | |
Clear Channel Worldwide Holdings, Inc.(d) | ||||
08/15/2027 | 5.125% | 1,089,000 | 919,593 | |
iHeartCommunications, Inc.(d) | ||||
01/15/2028 | 4.750% | 266,000 | 219,179 | |
Outfront Media Capital LLC/Corp.(d) | ||||
01/15/2029 | 4.250% | 154,000 | 122,843 | |
03/15/2030 | 4.625% | 891,000 | 715,114 | |
Playtika Holding Corp.(d) | ||||
03/15/2029 | 4.250% | 383,000 | 318,355 | |
Roblox Corp.(d) | ||||
05/01/2030 | 3.875% | 405,000 | 328,159 | |
Univision Communications, Inc.(d) | ||||
06/30/2030 | 7.375% | 67,000 | 65,492 | |
Total | 3,010,238 | |||
Metals and Mining 2.8% | ||||
Allegheny Technologies, Inc. | ||||
10/01/2029 | 4.875% | 116,000 | 93,771 | |
10/01/2031 | 5.125% | 488,000 | 382,660 | |
Constellium SE(d) | ||||
06/15/2028 | 5.625% | 334,000 | 302,254 | |
04/15/2029 | 3.750% | 1,290,000 | 1,027,507 |
10 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 ($) | |
Western Gas Partners LP | ||||
07/01/2026 | 4.650% | 908,000 | 854,576 | |
Total | 10,555,636 | |||
Oil Field Services 0.6% | ||||
Transocean Sentry Ltd.(d) | ||||
05/15/2023 | 5.375% | 943,150 | 896,879 | |
Other REIT 1.2% | ||||
Blackstone Mortgage Trust, Inc.(d) | ||||
01/15/2027 | 3.750% | 480,000 | 395,280 | |
Ladder Capital Finance Holdings LLLP/Corp.(d) | ||||
02/01/2027 | 4.250% | 843,000 | 682,613 | |
06/15/2029 | 4.750% | 173,000 | 133,527 | |
Park Intermediate Holdings LLC/PK Domestic Property LLC/Finance Co-Issuer(d) | ||||
05/15/2029 | 4.875% | 283,000 | 243,412 | |
RLJ Lodging Trust LP(d) | ||||
07/01/2026 | 3.750% | 194,000 | 170,500 | |
09/15/2029 | 4.000% | 92,000 | 76,060 | |
Total | 1,701,392 | |||
Packaging 2.3% | ||||
Ardagh Metal Packaging Finance USA LLC/PLC(d) | ||||
06/15/2027 | 6.000% | 155,000 | 153,347 | |
09/01/2029 | 4.000% | 757,000 | 607,040 | |
Ardagh Packaging Finance PLC/Holdings USA, Inc.(d) | ||||
04/30/2025 | 5.250% | 399,000 | 370,083 | |
08/15/2027 | 5.250% | 436,000 | 305,797 | |
BWAY Holding Co.(d) | ||||
04/15/2024 | 5.500% | 548,000 | 523,440 | |
Canpack SA/US LLC(d) | ||||
11/15/2029 | 3.875% | 627,000 | 495,552 | |
Trivium Packaging Finance BV(d) | ||||
08/15/2026 | 5.500% | 1,051,000 | 990,753 | |
Total | 3,446,012 | |||
Pharmaceuticals 1.4% | ||||
Bausch Health Companies, Inc.(d) | ||||
02/01/2027 | 6.125% | 313,000 | 266,758 | |
06/01/2028 | 4.875% | 136,000 | 106,434 | |
Grifols Escrow Issuer SA(d) | ||||
10/15/2028 | 4.750% | 142,000 | 123,161 | |
Jazz Securities DAC(d) | ||||
01/15/2029 | 4.375% | 205,000 | 183,029 | |
Organon Finance 1 LLC(d) | ||||
04/30/2028 | 4.125% | 848,000 | 750,436 | |
04/30/2031 | 5.125% | 690,000 | 595,504 | |
Total | 2,025,322 |
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022 | 11 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 |
12 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022 |
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 ($) | |
Consumer Cyclical Services 0.7% | ||||
8th Avenue Food & Provisions, Inc.(h),(i) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 3.750% 10/01/2025 | 5.416% | 1,295,796 | 1,086,615 | |
Consumer Products 0.3% | ||||
SWF Holdings I Corp.(h),(i) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 4.000% Floor 0.750% 10/06/2028 | 5.595% | 548,000 | 448,675 | |
Health Care 0.5% | ||||
Surgery Center Holdings, Inc.(h),(i) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.750% Floor 0.750% 08/31/2026 | 4.950% | 715,581 | 665,269 | |
Media and Entertainment 0.5% | ||||
Cengage Learning, Inc.(h),(i) | ||||
Tranche B 1st Lien Term Loan | ||||
1-month USD LIBOR + 4.750% Floor 1.000% 07/14/2026 | 5.750% | 740,169 | 665,804 | |
Technology 1.6% | ||||
Ascend Learning LLC(h),(i) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 3.500% Floor 0.500% 12/11/2028 | 2.500% | 802,987 | 739,752 | |
Loyalty Ventures, Inc.(h),(i) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 4.500% Floor 0.500% 11/03/2027 | 6.166% | 270,463 | 210,149 |
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022 | 13 |
June 30, 2022 (Unaudited)
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | 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 |
(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 |
LIBOR | London Interbank Offered Rate |
14 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
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.
■ | 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). |
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 |
* | Rounds to zero. |
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022 | 15 |
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 |
16 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022 |
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) |
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022 | 17 |
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) |
18 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022 |
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022 | 19 |
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. |
20 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022 |
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% | $199,852 |
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022 | 21 |
June 30, 2022 (Unaudited)
22 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022 | 23 |
June 30, 2022 (Unaudited)
24 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022 | 25 |
June 30, 2022 (Unaudited)
Fee rate(s) contractual through April 30, 2023 | |
Class 1 | 0.64% |
Class 2 | 0.89 |
Class 3 | 0.765 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
166,815,000 | 78,000 | (21,001,000) | (20,923,000) |
26 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022 | 27 |
June 30, 2022 (Unaudited)
28 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022 | 29 |
June 30, 2022 (Unaudited)
30 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022 |
• | 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. |
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022 | 31 |
(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). |
32 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022 |
(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.
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022 | 33 |
(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.
34 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
(Unaudited)
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 |
Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2022) | |
Common Stocks | 98.3 |
Money Market Funds | 1.7 |
Total | 100.0 |
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 |
4 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2022 |
(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 (%) | ||||
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 |
Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2022 | 5 |
June 30, 2022 (Unaudited)
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 |
6 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2022 |
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: $236,299,018) | 275,813,015 | |
Other Assets & Liabilities, Net | (1,331,408) | |
Net Assets | 274,481,607 |
Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2022 | 7 |
June 30, 2022 (Unaudited)
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | 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 |
■ | 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). |
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 |
8 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
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 |
Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2022 | 9 |
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 |
10 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2022 |
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) |
Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2022 | 11 |
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) |
12 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2022 |
Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2022 | 13 |
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. |
14 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2022 |
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 |
Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2022 | 15 |
June 30, 2022 (Unaudited)
16 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2022 | 17 |
June 30, 2022 (Unaudited)
18 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Fee rate(s) contractual through April 30, 2023 | |
Class 1 | 0.83% |
Class 2 | 1.08 |
Class 3 | 0.955 |
Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2022 | 19 |
June 30, 2022 (Unaudited)
20 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2022 | 21 |
June 30, 2022 (Unaudited)
22 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2022 |
• | 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. |
Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2022 | 23 |
(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). |
24 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2022 |
(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.
Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2022 | 25 |
(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.
26 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
(Unaudited)
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 |
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2022 | 3 |
(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 |
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 |
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. |
4 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2022 |
(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 (%) | ||||
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 |
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2022 | 5 |
June 30, 2022 (Unaudited)
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 |
6 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2022 |
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 | $108,822,858 |
(a) | Non-income producing investment. |
(b) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(c) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
(d) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | 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 |
ADR | American Depositary Receipt |
■ | 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). |
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2022 | 7 |
June 30, 2022 (Unaudited)
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.
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 |
8 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2022 |
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 |
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2022 | 9 |
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) |
10 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2022 |
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 |
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2022 | 11 |
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%. |
12 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2022 |
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% | $46,688 |
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2022 | 13 |
June 30, 2022 (Unaudited)
14 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2022 | 15 |
June 30, 2022 (Unaudited)
16 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | |
Risk exposure category | Options contracts written ($) |
Equity risk | 18,480 |
Derivative instrument | Average value ($)* |
Options contracts — written | (2,122) |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2022. |
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2022 | 17 |
June 30, 2022 (Unaudited)
18 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2022 | 19 |
June 30, 2022 (Unaudited)
May 1, 2022 through April 30, 2023 | Prior to May 1, 2022 | |
Class 1 | 0.98% | 0.99% |
Class 2 | 1.23 | 1.24 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
92,991,000 | 25,174,000 | (9,302,000) | 15,872,000 |
20 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Borrower | 450,000 | 0.73 | 2 |
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2022 | 21 |
June 30, 2022 (Unaudited)
22 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2022 | 23 |
• | 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. |
24 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2022 |
(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). |
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2022 | 25 |
(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.
26 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2022 |
(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.
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2022 | 27 |
June 30, 2022 (Unaudited)
(Unaudited)
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 |
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022 | 3 |
(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 |
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 |
4 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022 |
(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 ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 933.90 | 1,022.46 | 2.25 | 2.36 | 0.47 |
Class 2 | 1,000.00 | 1,000.00 | 932.60 | 1,021.22 | 3.45 | 3.61 | 0.72 |
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022 | 5 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes 86.7% | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 ($) | |
Sky PLC(b) | ||||
09/16/2024 | 3.750% | 14,515,000 | 14,432,744 | |
Total | 35,866,702 | |||
Construction Machinery 1.3% | ||||
United Rentals North America, Inc. | ||||
11/15/2027 | 3.875% | 6,255,000 | 5,815,749 | |
01/15/2028 | 4.875% | 11,980,000 | 11,342,951 | |
Total | 17,158,700 | |||
Diversified Manufacturing 1.3% | ||||
Carrier Global Corp. | ||||
02/15/2025 | 2.242% | 12,400,000 | 11,780,874 | |
General Electric Co.(c) | ||||
Junior Subordinated | ||||
3-month USD LIBOR + 3.330% 12/31/2049 | 5.159% | 5,665,000 | 4,955,696 | |
Honeywell International, Inc. | ||||
08/19/2022 | 0.483% | 1,039,000 | 1,036,630 | |
Total | 17,773,200 | |||
Electric 16.4% | ||||
AEP Texas, Inc. | ||||
10/01/2022 | 2.400% | 11,023,000 | 11,039,600 | |
AES Corp. (The) | ||||
01/15/2026 | 1.375% | 27,670,000 | 24,412,790 | |
American Electric Power Co., Inc. | ||||
11/01/2025 | 1.000% | 1,500,000 | 1,349,634 | |
CenterPoint Energy, Inc. | ||||
09/01/2024 | 2.500% | 5,660,000 | 5,472,433 | |
CMS Energy Corp. | ||||
03/01/2024 | 3.875% | 2,130,000 | 2,125,030 | |
11/15/2025 | 3.600% | 30,396,000 | 29,850,171 | |
Dominion Energy, Inc. | ||||
03/15/2025 | 3.300% | 1,000,000 | 979,839 | |
DTE Energy Co. | ||||
03/15/2027 | 3.800% | 6,879,000 | 6,646,398 | |
Edison International | ||||
11/15/2024 | 3.550% | 2,150,000 | 2,099,209 | |
Emera U.S. Finance LP | ||||
06/15/2024 | 0.833% | 2,962,000 | 2,764,550 | |
Emera US Finance LP | ||||
06/15/2026 | 3.550% | 22,710,000 | 21,752,376 | |
Entergy Corp. | ||||
09/15/2025 | 0.900% | 2,615,000 | 2,355,838 |
6 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 ($) | |
HCA, Inc. | ||||
02/01/2025 | 5.375% | 15,170,000 | 15,140,826 | |
06/15/2026 | 5.250% | 8,500,000 | 8,440,314 | |
HCA, Inc.(b) | ||||
03/15/2027 | 3.125% | 2,933,000 | 2,680,799 | |
Thermo Fisher Scientific, Inc.(c) | ||||
SOFR + 0.390% 10/18/2023 | 1.900% | 14,166,000 | 14,001,829 | |
Total | 81,047,930 | |||
Healthcare Insurance 1.9% | ||||
Aetna, Inc. | ||||
11/15/2024 | 3.500% | 2,425,000 | 2,398,739 | |
Centene Corp. | ||||
12/15/2027 | 4.250% | 4,407,000 | 4,115,086 | |
07/15/2028 | 2.450% | 22,050,000 | 18,393,029 | |
Total | 24,906,854 | |||
Independent Energy 0.5% | ||||
Canadian Natural Resources Ltd. | ||||
07/15/2025 | 2.050% | 6,365,000 | 5,962,206 | |
Integrated Energy 0.8% | ||||
Cenovus Energy, Inc. | ||||
04/15/2027 | 4.250% | 11,390,000 | 11,175,878 | |
Life Insurance 5.5% | ||||
CoreBridge Financial, Inc.(b) | ||||
04/05/2027 | 3.650% | 1,508,000 | 1,419,776 | |
Five Corners Funding Trust(b) | ||||
11/15/2023 | 4.419% | 15,160,000 | 15,219,902 | |
MassMutual Global Funding II(b) | ||||
07/01/2022 | 2.250% | 3,557,000 | 3,557,090 | |
Peachtree Corners Funding Trust(b) | ||||
02/15/2025 | 3.976% | 20,087,000 | 19,990,337 | |
Principal Life Global Funding II(b) | ||||
11/21/2024 | 2.250% | 17,640,000 | 16,901,195 | |
08/16/2026 | 1.250% | 15,227,000 | 13,462,019 | |
Voya Financial, Inc. | ||||
06/15/2026 | 3.650% | 2,245,000 | 2,181,131 | |
Total | 72,731,450 | |||
Media and Entertainment 4.2% | ||||
Magallanes, Inc.(b) | ||||
03/15/2029 | 4.054% | 33,215,000 | 30,450,522 | |
Netflix, Inc.(b) | ||||
11/15/2029 | 5.375% | 16,705,000 | 15,789,556 |
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022 | 7 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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: $1,379,178,044) | 1,317,779,917 | |
Other Assets & Liabilities, Net | (4,287,233) | |
Net Assets | 1,313,492,684 |
8 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | 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 | — |
(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 |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing Rate |
USD | US Dollar |
■ | 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. |
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022 | 9 |
June 30, 2022 (Unaudited)
■ | 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). |
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 |
10 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022 |
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 |
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022 | 11 |
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) |
12 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022 |
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 |
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022 | 13 |
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. |
14 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022 |
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% | $40,342 |
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022 | 15 |
June 30, 2022 (Unaudited)
16 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022 | 17 |
June 30, 2022 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
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 ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 721,796* |
18 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | |||||
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 ($) | |||||
Interest rate risk | 315,208 |
Derivative instrument | Average notional amounts ($)* |
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. |
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022 | 19 |
June 30, 2022 (Unaudited)
20 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
May 1, 2022 through April 30, 2023 | Prior to May 1, 2022 | |
Class 1 | 0.45% | 0.48% |
Class 2 | 0.70 | 0.73 |
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022 | 21 |
June 30, 2022 (Unaudited)
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
1,379,178,000 | 657,000 | (62,156,000) | (61,499,000) |
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
(2,350,051) | — | (2,350,051) |
22 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022 | 23 |
June 30, 2022 (Unaudited)
24 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022 | 25 |
• | 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. |
26 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022 |
(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). |
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022 | 27 |
(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.
28 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022 |
(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.
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022 | 29 |
June 30, 2022 (Unaudited)
(Unaudited)
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 |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022 | 3 |
(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 |
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. |
4 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022 |
(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 (%) | ||||
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 |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022 | 5 |
June 30, 2022 (Unaudited)
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 $49,209,925) | 43,314,589 | |||
Foreign Government Obligations(a),(d) 75.4% | ||||
Angola 1.8% | ||||
Angolan Government International Bond(b) | ||||
11/26/2029 | 8.000% | 3,800,000 | 3,014,497 | |
11/26/2029 | 8.000% | 1,846,000 | 1,464,411 | |
04/14/2032 | 8.750% | 1,847,000 | 1,477,654 | |
05/08/2048 | 9.375% | 1,900,000 | 1,382,532 | |
Total | 7,339,094 | |||
Argentina 1.3% | ||||
Argentine Republic Government International Bond(c) | ||||
07/09/2035 | 1.125% | 23,600,000 | 5,211,263 | |
07/09/2046 | 1.125% | 720,000 | 163,819 | |
Total | 5,375,082 | |||
Bahrain 1.5% | ||||
Bahrain Government International Bond(b) | ||||
05/18/2034 | 5.625% | 3,480,000 | 2,847,008 |
6 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Foreign Government Obligations(a),(d) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022 | 7 |
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 ($) | |
Petroleos Mexicanos | ||||
11/12/2026 | 7.470% | MXN | 4,700,000 | 201,584 |
01/28/2031 | 5.950% | 8,700,000 | 6,331,131 | |
02/16/2032 | 6.700% | 15,320,000 | 11,680,340 | |
01/23/2045 | 6.375% | 7,700,000 | 4,713,120 | |
09/21/2047 | 6.750% | 2,893,000 | 1,790,051 | |
01/23/2050 | 7.690% | 2,029,000 | 1,360,806 | |
Total | 39,553,159 | |||
Netherlands 0.4% | ||||
Syngenta Finance NV(b) | ||||
04/24/2023 | 4.441% | 1,750,000 | 1,755,151 | |
Oman 1.1% | ||||
Oman Government International Bond(b) | ||||
01/25/2031 | 6.250% | 1,846,000 | 1,781,074 | |
01/17/2048 | 6.750% | 3,200,000 | 2,757,707 | |
Total | 4,538,781 | |||
Pakistan 0.5% | ||||
Pakistan Government International Bond(b) | ||||
09/30/2025 | 8.250% | 529,000 | 378,239 | |
12/05/2027 | 6.875% | 1,400,000 | 942,166 | |
04/08/2031 | 7.375% | 1,395,000 | 876,286 | |
Total | 2,196,691 | |||
Panama 1.9% | ||||
Panama Government International Bond | ||||
03/16/2025 | 3.750% | 950,000 | 939,082 | |
09/29/2032 | 2.252% | 2,800,000 | 2,189,332 | |
01/19/2033 | 3.298% | 2,978,000 | 2,551,781 | |
01/19/2063 | 4.500% | 2,435,000 | 1,887,086 | |
Total | 7,567,281 | |||
Paraguay 1.6% | ||||
Paraguay Government International Bond(b) | ||||
06/28/2033 | 3.849% | 4,560,000 | 3,721,593 | |
08/11/2044 | 6.100% | 2,700,000 | 2,347,415 | |
03/30/2050 | 5.400% | 675,000 | 522,523 | |
Total | 6,591,531 | |||
Peru 0.3% | ||||
Peruvian Government International Bond | ||||
01/15/2034 | 3.000% | 1,519,000 | 1,246,449 | |
Philippines 0.7% | ||||
Philippine Government International Bond | ||||
07/06/2046 | 3.200% | 3,540,000 | 2,644,312 | |
Qatar 5.6% | ||||
Ooredoo International Finance Ltd.(b) | ||||
04/08/2031 | 2.625% | 1,367,000 | 1,189,411 |
8 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Foreign Government Obligations(a),(d) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 | $404,147,192 |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022 | 9 |
June 30, 2022 (Unaudited)
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | 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 | — |
(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 |
EUR | Euro |
IDR | Indonesian Rupiah |
MXN | Mexican Peso |
USD | US Dollar |
10 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
■ | 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). |
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 |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022 | 11 |
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 |
12 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022 |
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) |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022 | 13 |
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 |
14 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022 |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022 | 15 |
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%. |
16 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022 |
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% | $94,637 |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022 | 17 |
June 30, 2022 (Unaudited)
18 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022 | 19 |
June 30, 2022 (Unaudited)
20 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 47,133 |
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 |
June 30, 2022 (Unaudited)
Derivative instrument | Average notional amounts ($)* |
Futures contracts — short | 4,152,799 |
Derivative instrument | Average unrealized appreciation ($)** | Average unrealized depreciation ($)** |
Forward foreign currency exchange contracts | 23,567 | (104,571) |
* | Based on the ending daily outstanding amounts for the six months ended June 30, 2022. |
** | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2022. |
Goldman Sachs International ($) | 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. |
22 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022 | 23 |
June 30, 2022 (Unaudited)
24 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Fee rate(s) contractual through April 30, 2023 | |
Class 1 | 0.80% |
Class 2 | 1.05 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
506,826,000 | 140,000 | (108,339,000) | (108,199,000) |
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
(4,526,990) | (11,440,173) | (15,967,163) |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022 | 25 |
June 30, 2022 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 1,700,000 | 0.86 | 4 |
26 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022 | 27 |
June 30, 2022 (Unaudited)
28 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022 | 29 |
• | 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. |
30 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022 |
(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). |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022 | 31 |
(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.
32 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022 |
(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.
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022 | 33 |
June 30, 2022 (Unaudited)
(Unaudited)
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 |
* | 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. |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 | 3 |
(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 |
(a) | Rounds to zero. |
4 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 |
(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 ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 843.30 | 1,021.08 | 3.43 | 3.76 | 0.75 |
Class 2 | 1,000.00 | 1,000.00 | 842.20 | 1,019.79 | 4.61 | 5.06 | 1.01 |
Class 3 | 1,000.00 | 1,000.00 | 842.90 | 1,020.43 | 4.02 | 4.41 | 0.88 |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 | 5 |
June 30, 2022 (Unaudited)
Asset-Backed Securities — Non-Agency 7.4% | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 ($) | |
Barings CLO Ltd.(a),(b) | ||||
Series 2018-4A Class B | ||||
3-month USD LIBOR + 1.700% Floor 1.700% 10/15/2030 | 2.744% | 3,450,000 | 3,314,995 | |
Basswood Park CLO Ltd.(a),(b) | ||||
Series 2021-1A Class A | ||||
3-month USD LIBOR + 1.000% Floor 1.000% 04/20/2034 | 2.063% | 1,025,000 | 986,151 | |
Carbone CLO Ltd.(a),(b) | ||||
Series 2017-1A Class A1 | ||||
3-month USD LIBOR + 1.140% Floor 1.140% 01/20/2031 | 2.203% | 1,850,000 | 1,810,362 | |
Carlyle CLO Ltd.(a),(b) | ||||
Series C17A Class CR | ||||
3-month USD LIBOR + 2.800% 04/30/2031 | 4.086% | 500,000 | 459,013 | |
Carlyle US CLO Ltd.(a),(b) | ||||
Series 2016-4A Class A2R | ||||
3-month USD LIBOR + 1.450% Floor 1.450% 10/20/2027 | 2.513% | 3,425,000 | 3,309,810 | |
Carmax Auto Owner Trust | ||||
Subordinated Series 2021-1 Class C | ||||
12/15/2026 | 0.940% | 275,000 | 257,179 | |
Cascade Funding Mortgage Trust(a) | ||||
CMO Series 2021-GRN1 Class A | ||||
03/20/2041 | 1.100% | 754,208 | 715,574 | |
Crossroads Asset Trust(a) | ||||
Subordinated Series 2021-A Class B | ||||
06/20/2025 | 1.120% | 175,000 | 169,706 | |
Drive Auto Receivables Trust | ||||
Subordinated Series 2020-2 Class D | ||||
05/15/2028 | 3.050% | 225,000 | 222,260 | |
Subordinated Series 2021-2 Class D | ||||
03/15/2029 | 1.390% | 3,410,000 | 3,163,689 | |
Dryden CLO Ltd.(a),(b) | ||||
Series 2018-55A Class A1 | ||||
3-month USD LIBOR + 1.020% 04/15/2031 | 2.064% | 1,300,000 | 1,275,673 | |
Dryden Senior Loan Fund(a),(b) | ||||
Series 2015-41A Class AR | ||||
3-month USD LIBOR + 0.970% Floor 0.970% 04/15/2031 | 2.014% | 2,100,000 | 2,052,139 |
6 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 ($) | |
Jay Park CLO Ltd.(a),(b) | ||||
Series 2016-1A Class A2R | ||||
3-month USD LIBOR + 1.450% 10/20/2027 | 2.513% | 4,075,000 | 3,978,712 | |
LendingPoint Asset Securitization Trust(a) | ||||
Subordinated Series 2020-REV1 Class B | ||||
10/15/2028 | 4.494% | 1,575,000 | 1,558,352 | |
LL ABS Trust(a) | ||||
Series 2021-1A Class A | ||||
05/15/2029 | 1.070% | 504,553 | 489,348 | |
Madison Park Funding XLVIII Ltd.(a),(b) | ||||
Series 2021-48A Class A | ||||
3-month USD LIBOR + 1.150% Floor 1.150% 04/19/2033 | 2.194% | 475,000 | 464,353 | |
Madison Park Funding XXXIII Ltd.(a),(b) | ||||
Series 2019-33A Class BR | ||||
3-month Term SOFR + 1.800% Floor 1.800% 10/15/2032 | 2.646% | 3,600,000 | 3,430,350 | |
Magnetite XII Ltd.(a),(b) | ||||
Series 2015-12A Class ARR | ||||
3-month USD LIBOR + 1.100% Floor 1.100% 10/15/2031 | 2.144% | 2,150,000 | 2,102,829 | |
MVW Owner Trust(a) | ||||
Series 2016-1A Class A | ||||
12/20/2033 | 2.250% | 95,630 | 95,343 | |
Series 2017-1A Class A | ||||
12/20/2034 | 2.420% | 454,364 | 445,834 | |
NRZ Advance Receivables Trust(a) | ||||
Series 2020-T3 Class AT3 | ||||
10/15/2052 | 1.317% | 720,000 | 715,456 | |
Octagon Investment Partners 39 Ltd.(a),(b) | ||||
Series 2018-3A Class B | ||||
3-month USD LIBOR + 1.850% Floor 1.650% 10/20/2030 | 2.713% | 3,525,000 | 3,371,952 | |
OHA Credit Funding Ltd.(a),(b) | ||||
Series 2019-4A Class AR | ||||
3-month USD LIBOR + 1.150% Floor 1.150% 10/22/2036 | 2.286% | 1,375,000 | 1,331,128 | |
Series 2021-8A Class A | ||||
3-month USD LIBOR + 1.190% Floor 1.190% 01/18/2034 | 2.234% | 650,000 | 632,704 | |
Pagaya AI Debt Selection Trust(a) | ||||
Series 2021-5 Class A | ||||
08/15/2029 | 1.530% | 1,435,058 | 1,389,172 |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 | 7 |
June 30, 2022 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 $93,486,022) | 90,209,796 | |||
Commercial Mortgage-Backed Securities - Non-Agency 6.5% | ||||
1211 Avenue of the Americas Trust(a) | ||||
Series 2015-1211 Class A1A2 | ||||
08/10/2035 | 3.901% | 1,275,000 | 1,243,037 | |
American Homes 4 Rent Trust(a) | ||||
Series 2014-SFR2 Class A | ||||
10/17/2036 | 3.786% | 1,123,568 | 1,122,212 | |
Series 2014-SFR3 Class A | ||||
12/17/2036 | 3.678% | 1,242,820 | 1,230,831 | |
Series 2015-SFR1 Class A | ||||
04/17/2052 | 3.467% | 1,148,743 | 1,137,099 | |
Series 2015-SFR2 Class A | ||||
10/17/2052 | 3.732% | 684,806 | 673,885 | |
AMSR Trust(a) | ||||
Subordinated Series 2020-SFR2 Class C | ||||
07/17/2037 | 2.533% | 500,000 | 475,470 | |
Ashford Hospitality Trust(a),(b) | ||||
Series 2018-KEYS Class B | ||||
1-month USD LIBOR + 1.450% Floor 1.450% 05/15/2035 | 2.774% | 2,625,000 | 2,536,791 | |
BBCMS Trust(a),(b) | ||||
Subordinated Series 2018-BXH Class B | ||||
1-month USD LIBOR + 1.250% Floor 1.250% 10/15/2037 | 2.574% | 1,150,000 | 1,089,704 | |
Subordinated Series 2018-BXH Class C | ||||
1-month USD LIBOR + 1.500% Floor 1.500% 10/15/2037 | 2.824% | 625,000 | 589,109 | |
BB-UBS Trust(a) | ||||
Series 2012-SHOW Class A | ||||
11/05/2036 | 3.430% | 1,325,000 | 1,274,527 | |
BHMS Mortgage Trust(a),(b) | ||||
Series 2018-ATLS Class A | ||||
1-month USD LIBOR + 1.250% Floor 1.250% 07/15/2035 | 2.574% | 2,375,000 | 2,290,582 |
8 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 | 9 |
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 |
10 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 |
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 |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 | 11 |
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 |
12 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 |
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 ($) | |
Airlines 0.0% | ||||
Air Canada(a) | ||||
08/15/2026 | 3.875% | 29,000 | 24,615 | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd.(a) | ||||
04/20/2026 | 5.500% | 128,934 | 118,788 | |
04/20/2029 | 5.750% | 36,290 | 30,984 | |
Delta Air Lines, Inc. | ||||
01/15/2026 | 7.375% | 29,000 | 28,960 | |
Hawaiian Brand Intellectual Property Ltd./Miles Loyalty Ltd.(a) | ||||
01/20/2026 | 5.750% | 64,253 | 57,578 | |
United Airlines, Inc.(a) | ||||
04/15/2026 | 4.375% | 38,000 | 33,703 | |
04/15/2029 | 4.625% | 40,000 | 33,920 | |
Total | 328,548 | |||
Automotive 0.1% | ||||
Ford Motor Co. | ||||
02/12/2032 | 3.250% | 31,000 | 23,172 | |
Ford Motor Credit Co. LLC | ||||
11/13/2025 | 3.375% | 65,000 | 58,521 | |
01/09/2027 | 4.271% | 55,000 | 49,264 | |
05/28/2027 | 4.950% | 55,000 | 51,043 | |
08/17/2027 | 4.125% | 45,000 | 39,621 | |
02/16/2028 | 2.900% | 25,000 | 20,159 | |
11/13/2030 | 4.000% | 31,000 | 25,133 | |
Goodyear Tire & Rubber Co. (The) | ||||
07/15/2029 | 5.000% | 21,000 | 17,504 | |
IAA Spinco, Inc.(a) | ||||
06/15/2027 | 5.500% | 112,500 | 104,765 | |
IHO Verwaltungs GmbH(a),(e) | ||||
09/15/2026 | 4.750% | 42,827 | 36,712 | |
KAR Auction Services, Inc.(a) | ||||
06/01/2025 | 5.125% | 124,000 | 116,680 | |
Panther BF Aggregator 2 LP/Finance Co., Inc.(a) | ||||
05/15/2026 | 6.250% | 15,000 | 14,457 | |
05/15/2027 | 8.500% | 55,000 | 53,202 | |
Tenneco, Inc.(a) | ||||
01/15/2029 | 7.875% | 48,000 | 46,490 | |
Total | 656,723 | |||
Banking 1.9% | ||||
Bank of America Corp.(f) | ||||
04/23/2040 | 4.078% | 4,325,000 | 3,801,474 | |
Citigroup, Inc.(f) | ||||
01/25/2033 | 3.057% | 1,325,000 | 1,125,457 | |
Citigroup, Inc. | ||||
Subordinated | ||||
03/09/2026 | 4.600% | 1,510,000 | 1,513,197 |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 | 13 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 |
14 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 |
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 ($) | |
Arches Buyer, Inc.(a) | ||||
06/01/2028 | 4.250% | 47,000 | 38,358 | |
12/01/2028 | 6.125% | 76,000 | 62,035 | |
Match Group, Inc.(a) | ||||
02/15/2029 | 5.625% | 31,000 | 28,981 | |
Staples, Inc.(a) | ||||
04/15/2026 | 7.500% | 49,000 | 40,633 | |
04/15/2027 | 10.750% | 5,000 | 3,310 | |
Uber Technologies, Inc.(a) | ||||
05/15/2025 | 7.500% | 56,000 | 55,832 | |
01/15/2028 | 6.250% | 39,000 | 36,056 | |
08/15/2029 | 4.500% | 88,000 | 72,391 | |
Total | 342,254 | |||
Consumer Products 0.0% | ||||
CD&R Smokey Buyer, Inc.(a) | ||||
07/15/2025 | 6.750% | 60,000 | 53,264 | |
Mattel, Inc.(a) | ||||
04/01/2026 | 3.375% | 18,000 | 16,531 | |
04/01/2029 | 3.750% | 67,000 | 60,264 | |
Prestige Brands, Inc.(a) | ||||
01/15/2028 | 5.125% | 64,000 | 59,546 | |
Scotts Miracle-Gro Co. (The) | ||||
02/01/2032 | 4.375% | 21,000 | 15,951 | |
Tempur Sealy International, Inc.(a) | ||||
10/15/2031 | 3.875% | 33,000 | 24,739 | |
Total | 230,295 | |||
Diversified Manufacturing 0.3% | ||||
BWX Technologies, Inc.(a) | ||||
06/30/2028 | 4.125% | 26,000 | 23,162 | |
Carrier Global Corp. | ||||
04/05/2040 | 3.377% | 1,900,000 | 1,492,232 | |
Gates Global LLC/Co.(a) | ||||
01/15/2026 | 6.250% | 103,000 | 95,754 | |
GE Capital International Funding Co. Unlimited Co. | ||||
11/15/2035 | 4.418% | 1,050,000 | 982,728 | |
Honeywell International, Inc. | ||||
06/01/2050 | 2.800% | 300,000 | 231,617 | |
Madison IAQ LLC(a) | ||||
06/30/2028 | 4.125% | 32,000 | 26,510 | |
06/30/2029 | 5.875% | 33,000 | 25,170 | |
Resideo Funding, Inc.(a) | ||||
09/01/2029 | 4.000% | 86,000 | 67,158 | |
Stevens Holding Co., Inc.(a) | ||||
10/01/2026 | 6.125% | 12,000 | 11,549 | |
Vertical Holdco GmbH(a) | ||||
07/15/2028 | 7.625% | 28,000 | 25,128 |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 | 15 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 ($) | |
PG&E Corp. | ||||
07/01/2028 | 5.000% | 15,000 | 12,893 | |
07/01/2030 | 5.250% | 33,000 | 27,129 | |
Progress Energy, Inc. | ||||
03/01/2031 | 7.750% | 850,000 | 993,051 | |
Southern Co. (The) | ||||
07/01/2046 | 4.400% | 925,000 | 806,447 | |
TerraForm Power Operating LLC(a) | ||||
01/15/2030 | 4.750% | 28,000 | 23,995 | |
Vistra Operations Co. LLC(a) | ||||
09/01/2026 | 5.500% | 10,000 | 9,436 | |
02/15/2027 | 5.625% | 55,000 | 51,712 | |
07/31/2027 | 5.000% | 61,000 | 55,292 | |
05/01/2029 | 4.375% | 31,000 | 26,042 | |
WEC Energy Group, Inc. | ||||
10/15/2027 | 1.375% | 300,000 | 259,855 | |
Xcel Energy, Inc. | ||||
06/01/2030 | 3.400% | 900,000 | 827,772 | |
Total | 9,995,767 | |||
Environmental 0.0% | ||||
GFL Environmental, Inc.(a) | ||||
12/15/2026 | 5.125% | 51,000 | 48,695 | |
Waste Pro USA, Inc.(a) | ||||
02/15/2026 | 5.500% | 81,000 | 71,844 | |
Total | 120,539 | |||
Finance Companies 0.0% | ||||
Navient Corp. | ||||
01/25/2023 | 5.500% | 60,000 | 59,575 | |
06/25/2025 | 6.750% | 31,000 | 28,340 | |
Provident Funding Associates LP/Finance Corp.(a) | ||||
06/15/2025 | 6.375% | 45,000 | 40,330 | |
Quicken Loans LLC/Co-Issuer, Inc.(a) | ||||
03/01/2031 | 3.875% | 55,000 | 41,392 | |
Rocket Mortgage LLC/Co-Issuer, Inc.(a) | ||||
10/15/2033 | 4.000% | 92,000 | 65,639 | |
Springleaf Finance Corp. | ||||
03/15/2024 | 6.125% | 34,000 | 32,478 | |
Total | 267,754 | |||
Food and Beverage 0.4% | ||||
Anheuser-Busch InBev Worldwide, Inc. | ||||
01/15/2042 | 4.950% | 1,650,000 | 1,572,558 | |
Bacardi Ltd.(a) | ||||
05/15/2038 | 5.150% | 1,300,000 | 1,233,689 | |
Darling Ingredients, Inc.(a) | ||||
06/15/2030 | 6.000% | 43,000 | 42,890 |
16 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 | 17 |
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 |
18 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 |
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 ($) | |
Netflix, Inc. | ||||
04/15/2028 | 4.875% | 30,000 | 28,324 | |
11/15/2028 | 5.875% | 57,000 | 55,799 | |
05/15/2029 | 6.375% | 99,000 | 99,789 | |
Netflix, Inc.(a) | ||||
06/15/2030 | 4.875% | 36,000 | 33,039 | |
Outfront Media Capital LLC/Corp.(a) | ||||
08/15/2027 | 5.000% | 45,000 | 39,362 | |
03/15/2030 | 4.625% | 31,000 | 24,881 | |
Roblox Corp.(a) | ||||
05/01/2030 | 3.875% | 53,000 | 42,944 | |
Scripps Escrow II, Inc.(a) | ||||
01/15/2029 | 3.875% | 7,000 | 5,809 | |
01/15/2031 | 5.375% | 15,000 | 11,976 | |
Scripps Escrow, Inc.(a) | ||||
07/15/2027 | 5.875% | 11,000 | 9,630 | |
Univision Communications, Inc.(a) | ||||
05/01/2029 | 4.500% | 25,000 | 21,603 | |
06/30/2030 | 7.375% | 7,000 | 6,842 | |
Total | 2,465,849 | |||
Metals and Mining 0.1% | ||||
Allegheny Technologies, Inc. | ||||
10/01/2029 | 4.875% | 32,000 | 25,868 | |
10/01/2031 | 5.125% | 46,000 | 36,070 | |
Constellium NV(a) | ||||
02/15/2026 | 5.875% | 35,000 | 32,699 | |
Constellium SE(a) | ||||
06/15/2028 | 5.625% | 86,000 | 77,826 | |
04/15/2029 | 3.750% | 145,000 | 115,495 | |
Hudbay Minerals, Inc.(a) | ||||
04/01/2026 | 4.500% | 125,000 | 104,625 | |
04/01/2029 | 6.125% | 42,000 | 34,057 | |
Kaiser Aluminum Corp.(a) | ||||
03/01/2028 | 4.625% | 27,000 | 22,602 | |
06/01/2031 | 4.500% | 75,000 | 57,426 | |
Novelis Corp.(a) | ||||
11/15/2026 | 3.250% | 28,000 | 23,738 | |
01/30/2030 | 4.750% | 73,000 | 60,705 | |
08/15/2031 | 3.875% | 26,000 | 20,027 | |
Total | 611,138 | |||
Midstream 0.5% | ||||
Cheniere Energy Partners LP | ||||
10/01/2029 | 4.500% | 19,000 | 16,975 | |
03/01/2031 | 4.000% | 37,000 | 31,544 | |
Cheniere Energy Partners LP(a) | ||||
01/31/2032 | 3.250% | 64,000 | 50,448 |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 | 19 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 |
20 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 |
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 ($) | |
American International Group, Inc. | ||||
06/30/2050 | 4.375% | 300,000 | 265,509 | |
AssuredPartners, Inc.(a) | ||||
08/15/2025 | 7.000% | 20,000 | 18,895 | |
01/15/2029 | 5.625% | 58,000 | 46,904 | |
Berkshire Hathaway Finance Corp. | ||||
03/15/2052 | 3.850% | 1,250,000 | 1,069,776 | |
BroadStreet Partners, Inc.(a) | ||||
04/15/2029 | 5.875% | 66,000 | 51,476 | |
HUB International Ltd.(a) | ||||
05/01/2026 | 7.000% | 45,000 | 42,490 | |
12/01/2029 | 5.625% | 59,000 | 49,433 | |
Loews Corp. | ||||
05/15/2030 | 3.200% | 665,000 | 604,848 | |
Radian Group, Inc. | ||||
03/15/2027 | 4.875% | 20,000 | 18,044 | |
Ryan Specialty Group LLC(a) | ||||
02/01/2030 | 4.375% | 16,000 | 13,924 | |
USI, Inc.(a) | ||||
05/01/2025 | 6.875% | 38,000 | 36,699 | |
Total | 2,404,125 | |||
Railroads 0.1% | ||||
CSX Corp. | ||||
03/15/2044 | 4.100% | 1,000,000 | 877,424 | |
Union Pacific Corp. | ||||
09/15/2037 | 3.600% | 715,000 | 639,347 | |
Total | 1,516,771 | |||
Restaurants 0.0% | ||||
1011778 BC ULC/New Red Finance, Inc.(a) | ||||
01/15/2028 | 3.875% | 57,000 | 49,582 | |
10/15/2030 | 4.000% | 41,000 | 32,910 | |
IRB Holding Corp.(a) | ||||
06/15/2025 | 7.000% | 58,000 | 56,603 | |
Total | 139,095 | |||
Retailers 0.1% | ||||
Asbury Automotive Group, Inc.(a) | ||||
11/15/2029 | 4.625% | 39,000 | 32,216 | |
02/15/2032 | 5.000% | 41,000 | 33,536 | |
Group 1 Automotive, Inc.(a) | ||||
08/15/2028 | 4.000% | 46,000 | 38,956 | |
L Brands, Inc.(a) | ||||
07/01/2025 | 9.375% | 6,000 | 6,082 | |
10/01/2030 | 6.625% | 45,000 | 38,869 |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 | 21 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 ($) | |
Intel Corp. | ||||
03/25/2060 | 4.950% | 260,000 | 263,843 | |
International Business Machines Corp. | ||||
05/15/2040 | 2.850% | 600,000 | 456,281 | |
ION Trading Technologies Sarl(a) | ||||
05/15/2028 | 5.750% | 32,000 | 25,457 | |
Iron Mountain, Inc.(a) | ||||
09/15/2027 | 4.875% | 14,000 | 12,670 | |
03/15/2028 | 5.250% | 25,000 | 22,440 | |
07/15/2028 | 5.000% | 54,000 | 47,884 | |
07/15/2030 | 5.250% | 48,000 | 41,782 | |
Logan Merger Sub, Inc.(a) | ||||
09/01/2027 | 5.500% | 115,000 | 78,707 | |
Minerva Merger Sub, Inc.(a) | ||||
02/15/2030 | 6.500% | 84,000 | 70,091 | |
NCR Corp.(a) | ||||
09/01/2027 | 5.750% | 25,000 | 22,201 | |
10/01/2028 | 5.000% | 90,000 | 76,663 | |
04/15/2029 | 5.125% | 54,000 | 45,783 | |
Nielsen Finance LLC/Co.(a) | ||||
10/01/2028 | 5.625% | 79,000 | 73,342 | |
07/15/2029 | 4.500% | 31,000 | 28,068 | |
07/15/2031 | 4.750% | 17,000 | 15,340 | |
NXP BV/Funding LLC/USA, Inc. | ||||
05/01/2030 | 3.400% | 1,240,000 | 1,104,625 | |
Oracle Corp. | ||||
04/15/2038 | 6.500% | 700,000 | 723,980 | |
Plantronics, Inc.(a) | ||||
03/01/2029 | 4.750% | 96,000 | 95,697 | |
QUALCOMM, Inc. | ||||
05/20/2050 | 3.250% | 340,000 | 277,767 | |
RELX Capital, Inc. | ||||
05/20/2032 | 4.750% | 809,000 | 820,395 | |
Shift4 Payments LLC/Finance Sub, Inc.(a) | ||||
11/01/2026 | 4.625% | 55,000 | 48,844 | |
Switch Ltd.(a) | ||||
06/15/2029 | 4.125% | 28,000 | 27,783 | |
Tempo Acquisition LLC/Finance Corp.(a) | ||||
06/01/2025 | 5.750% | 45,000 | 42,957 | |
Verscend Escrow Corp.(a) | ||||
08/15/2026 | 9.750% | 64,000 | 62,228 | |
ZoomInfo Technologies LLC/Finance Corp.(a) | ||||
02/01/2029 | 3.875% | 111,000 | 92,962 | |
Total | 5,882,043 | |||
Transportation Services 0.1% | ||||
Avis Budget Car Rental LLC/Finance, Inc.(a) | ||||
07/15/2027 | 5.750% | 4,000 | 3,580 |
22 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 $101,025) | 88,483 | |||
Residential Mortgage-Backed Securities - Agency 7.6% | ||||
Federal Home Loan Mortgage Corp. | ||||
01/01/2030 | 3.500% | 55,703 | 55,868 | |
04/01/2032 | 6.000% | 33,860 | 35,713 | |
04/01/2032 | 7.000% | 19,227 | 20,486 | |
07/01/2032 | 6.500% | 11,240 | 11,812 | |
01/01/2033 | 3.000% | 593,159 | 588,407 | |
01/01/2034- 05/01/2041 | 5.000% | 318,164 | 334,648 | |
04/01/2041 | 4.500% | 51,462 | 53,234 | |
Federal Home Loan Mortgage Corp.(h) | ||||
05/01/2032 | 6.500% | 100,769 | 105,899 | |
06/01/2037 | 6.000% | 25,108 | 26,784 | |
02/01/2038 | 5.500% | 174,509 | 187,777 | |
03/01/2038 | 5.000% | 42,964 | 45,059 | |
05/01/2039- 08/01/2041 | 4.500% | 529,401 | 547,611 | |
07/01/2043 | 3.000% | 139,065 | 133,155 | |
Federal National Mortgage Association | ||||
05/01/2024- 12/01/2028 | 6.000% | 13,156 | 13,857 | |
03/01/2026- 12/01/2032 | 7.000% | 276,490 | 282,821 | |
10/01/2026- 12/01/2045 | 3.500% | 447,626 | 447,101 | |
11/01/2026- 01/01/2029 | 4.000% | 209,158 | 211,842 | |
08/01/2028- 09/01/2032 | 6.500% | 70,988 | 75,465 | |
02/01/2038- 03/01/2038 | 5.500% | 99,299 | 105,563 | |
Federal National Mortgage Association(h) | ||||
02/01/2031 | 3.500% | 137,270 | 137,175 | |
10/01/2040 | 4.500% | 126,945 | 131,173 |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 | 23 |
June 30, 2022 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 |
24 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 |
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 |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 | 25 |
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 |
26 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 |
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 $154,718,774) | 146,822,916 | |||
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 | 27 |
June 30, 2022 (Unaudited)
Senior Loans 0.0% | ||||
Borrower | Coupon Rate | Principal Amount ($) | 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: $1,252,647,454) | 1,295,066,304 | |
Other Assets & Liabilities, Net | (79,062,854) | |
Net Assets | 1,216,003,450 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 10-Year Note | 985 | 09/2022 | USD | 116,753,281 | — | (1,476,113) |
U.S. Ultra Treasury Bond | 45 | 09/2022 | USD | 6,945,469 | — | (215,598) |
Total | — | (1,691,711) |
28 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | 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) |
(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 |
CMO | Collateralized Mortgage Obligation |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing Rate |
TBA | To Be Announced |
USD | US Dollar |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 | 29 |
June 30, 2022 (Unaudited)
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.
■ | 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). |
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 |
30 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
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 |
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 |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 | 31 |
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 |
32 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 |
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) |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 | 33 |
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) |
34 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 | 35 |
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%. |
36 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 |
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% | $1,165,032 |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 | 37 |
June 30, 2022 (Unaudited)
38 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 | 39 |
June 30, 2022 (Unaudited)
40 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
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. |
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 |
June 30, 2022 (Unaudited)
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. |
42 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 | 43 |
June 30, 2022 (Unaudited)
44 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 | 45 |
June 30, 2022 (Unaudited)
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 |
46 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 | 47 |
June 30, 2022 (Unaudited)
48 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 | 49 |
• | 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. |
50 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 |
(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). |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 | 51 |
(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.
52 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 |
(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.
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 | 53 |
June 30, 2022 (Unaudited)
(Unaudited)
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 |
* | 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. |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022 | 3 |
(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. |
4 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022 |
(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 ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 829.70 | 1,023.55 | 1.13 | 1.25 | 0.25 | 3.31 | 3.66 | 0.73 |
Class 2 | 1,000.00 | 1,000.00 | 828.70 | 1,022.32 | 2.27 | 2.51 | 0.50 | 4.44 | 4.91 | 0.98 |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022 | 5 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes 0.3% | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 ($) | |
Wells Fargo & Co.(b) | ||||
04/30/2041 | 3.068% | 487,000 | 379,564 | |
04/25/2053 | 4.611% | 541,000 | 500,645 | |
Total | 8,361,692 | |||
Cable and Satellite 0.0% | ||||
Charter Communications Operating LLC/Capital | ||||
05/01/2047 | 5.375% | 245,000 | 209,723 | |
06/30/2062 | 3.950% | 516,000 | 343,926 | |
04/01/2063 | 5.500% | 718,000 | 612,403 | |
Comcast Corp. | ||||
11/01/2052 | 4.049% | 121,000 | 106,033 | |
11/01/2056 | 2.937% | 514,000 | 356,688 | |
NBCUniversal Media LLC | ||||
01/15/2043 | 4.450% | 326,000 | 302,612 | |
Total | 1,931,385 | |||
Construction Machinery 0.0% | ||||
Caterpillar, Inc. | ||||
09/19/2049 | 3.250% | 135,000 | 110,968 | |
United Rentals North America, Inc. | ||||
02/15/2031 | 3.875% | 190,000 | 160,485 | |
Total | 271,453 | |||
Diversified Manufacturing 0.0% | ||||
Carrier Global Corp. | ||||
04/05/2050 | 3.577% | 467,000 | 354,389 | |
GE Capital International Funding Co. Unlimited Co. | ||||
11/15/2035 | 4.418% | 484,000 | 452,990 | |
General Electric Co.(c) | ||||
Junior Subordinated | ||||
3-month USD LIBOR + 3.330% 12/31/2049 | 5.159% | 110,000 | 96,227 | |
Total | 903,606 | |||
Electric 0.1% | ||||
AEP Texas, Inc. | ||||
01/15/2050 | 3.450% | 570,000 | 439,445 | |
AES Corp. (The) | ||||
01/15/2031 | 2.450% | 235,000 | 189,024 | |
Berkshire Hathaway Energy Co.(a) | ||||
05/01/2053 | 4.600% | 260,000 | 250,881 | |
CenterPoint Energy, Inc. | ||||
09/01/2049 | 3.700% | 203,000 | 162,856 | |
Dominion Resources, Inc. | ||||
12/01/2044 | 4.700% | 250,000 | 230,851 |
6 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 ($) | |
Tyson Foods, Inc. | ||||
06/02/2047 | 4.550% | 80,000 | 73,034 | |
Total | 2,155,975 | |||
Health Care 0.0% | ||||
Becton Dickinson and Co. | ||||
05/20/2050 | 3.794% | 295,000 | 243,742 | |
Cigna Corp. | ||||
12/15/2048 | 4.900% | 164,000 | 157,452 | |
03/15/2050 | 3.400% | 400,000 | 305,893 | |
CVS Health Corp. | ||||
07/20/2045 | 5.125% | 535,000 | 516,477 | |
03/25/2048 | 5.050% | 80,000 | 76,540 | |
HCA, Inc.(a) | ||||
03/15/2052 | 4.625% | 626,000 | 500,827 | |
Thermo Fisher Scientific, Inc. | ||||
10/15/2041 | 2.800% | 131,000 | 102,743 | |
Total | 1,903,674 | |||
Healthcare Insurance 0.0% | ||||
Aetna, Inc. | ||||
08/15/2047 | 3.875% | 199,000 | 164,414 | |
Anthem, Inc. | ||||
08/15/2044 | 4.650% | 135,000 | 127,934 | |
Centene Corp. | ||||
12/15/2029 | 4.625% | 115,000 | 107,236 | |
02/15/2030 | 3.375% | 70,000 | 59,366 | |
08/01/2031 | 2.625% | 230,000 | 184,575 | |
UnitedHealth Group, Inc. | ||||
08/15/2039 | 3.500% | 208,000 | 181,421 | |
05/15/2041 | 3.050% | 547,000 | 442,169 | |
05/15/2062 | 4.950% | 134,000 | 135,797 | |
Total | 1,402,912 | |||
Independent Energy 0.0% | ||||
Canadian Natural Resources Ltd. | ||||
02/15/2037 | 6.500% | 105,000 | 112,227 | |
ConocoPhillips Co. | ||||
11/15/2044 | 4.300% | 220,000 | 202,191 | |
Occidental Petroleum Corp. | ||||
04/15/2046 | 4.400% | 24,000 | 19,440 | |
08/15/2049 | 4.400% | 116,000 | 92,864 | |
Total | 426,722 | |||
Integrated Energy 0.0% | ||||
BP Capital Markets America, Inc. | ||||
03/17/2052 | 3.001% | 85,000 | 61,392 | |
Cenovus Energy, Inc. | ||||
02/15/2052 | 3.750% | 321,000 | 244,154 |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022 | 7 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 ($) | |
Plains All American Pipeline LP/Finance Corp. | ||||
06/15/2044 | 4.700% | 309,000 | 244,690 | |
Western Gas Partners LP | ||||
08/15/2048 | 5.500% | 80,000 | 65,572 | |
Williams Companies, Inc. (The) | ||||
06/24/2044 | 5.750% | 330,000 | 331,204 | |
Total | 1,681,662 | |||
Natural Gas 0.0% | ||||
NiSource, Inc. | ||||
02/15/2043 | 5.250% | 133,000 | 129,042 | |
05/15/2047 | 4.375% | 464,000 | 408,281 | |
Sempra Energy | ||||
02/01/2048 | 4.000% | 180,000 | 149,070 | |
Total | 686,393 | |||
Pharmaceuticals 0.0% | ||||
AbbVie, Inc. | ||||
11/06/2042 | 4.400% | 170,000 | 154,552 | |
06/15/2044 | 4.850% | 337,000 | 323,128 | |
11/14/2048 | 4.875% | 112,000 | 107,920 | |
11/21/2049 | 4.250% | 225,000 | 199,433 | |
Amgen, Inc. | ||||
02/22/2062 | 4.400% | 726,000 | 631,357 | |
Bristol-Myers Squibb Co. | ||||
03/15/2062 | 3.900% | 290,000 | 249,474 | |
Gilead Sciences, Inc. | ||||
10/01/2040 | 2.600% | 360,000 | 264,103 | |
10/01/2050 | 2.800% | 150,000 | 104,971 | |
Total | 2,034,938 | |||
Property & Casualty 0.0% | ||||
Berkshire Hathaway Finance Corp. | ||||
03/15/2052 | 3.850% | 665,000 | 569,121 | |
Liberty Mutual Group, Inc.(a) | ||||
10/15/2050 | 3.951% | 180,000 | 136,753 | |
Total | 705,874 | |||
Railroads 0.0% | ||||
Canadian Pacific Railway Co. | ||||
12/02/2051 | 3.100% | 81,000 | 59,677 | |
CSX Corp. | ||||
11/01/2046 | 3.800% | 477,000 | 403,281 | |
Norfolk Southern Corp. | ||||
08/15/2052 | 4.050% | 210,000 | 182,885 | |
Total | 645,843 |
8 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022 | 9 |
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 $3,787,568,404) | 3,364,780,538 |
10 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Residential Mortgage-Backed Securities - Agency 9.7% | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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: $13,545,739,855) | 14,154,827,102 | |
Other Assets & Liabilities, Net | (1,102,923,053) | |
Net Assets | 13,051,904,049 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | 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 ($) |
EURO STOXX 50 Index | (1,842) | 09/2022 | EUR | (63,383,220) | 2,819,512 | — |
FTSE 100 Index | (200) | 09/2022 | GBP | (14,242,000) | 326,901 | — |
OMXS30 Index | (1,550) | 07/2022 | SEK | (289,927,500) | 1,354,966 | — |
Russell 2000 Index E-mini | (1,430) | 09/2022 | USD | (122,122,000) | 9,865,034 | — |
S&P 500 Index E-mini | (2,431) | 09/2022 | USD | (460,613,725) | 14,151,145 | — |
SPI 200 Index | (59) | 09/2022 | AUD | (9,529,975) | 185,079 | — |
TOPIX Index | (199) | 09/2022 | JPY | (3,722,295,000) | 1,024,060 | — |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022 | 11 |
June 30, 2022 (Unaudited)
Short futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | 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. |
(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 ($) | End of period shares |
Columbia Short-Term Cash Fund, 1.247% | |||||||||
2,693,409,348 | 1,903,342,866 | (2,415,142,093) | (310,818) | 2,181,299,303 | — | (667,234) | 5,100,408 | 2,182,608,868 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
268,192,699 | — | (5,054,783) | (57,084,814) | 206,053,102 | — | 8,147,874 | — | 6,244,033 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
847,899,756 | — | (18,812,603) | (185,772,526) | 643,314,627 | — | 25,187,320 | — | 9,025,177 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
764,704,221 | 16,350 | (18,611,621) | (97,229,024) | 648,879,926 | — | (1,301,504) | — | 72,338,899 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
421,739,430 | 21,424,524 | (117,857) | (125,936,600) | 317,109,497 | — | 222,710 | — | 11,876,760 |
12 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Affiliated issuers | Beginning of period($) | 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 |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022 | 13 |
June 30, 2022 (Unaudited)
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. |
LIBOR | London Interbank Offered Rate |
TBA | To Be Announced |
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 |
■ | 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). |
14 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
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.
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 |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022 | 15 |
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 |
16 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022 |
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) |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022 | 17 |
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) |
18 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022 |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022 | 19 |
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. |
20 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022 |
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% | $14,678,387 |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022 | 21 |
June 30, 2022 (Unaudited)
22 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022 | 23 |
June 30, 2022 (Unaudited)
24 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022 | 25 |
June 30, 2022 (Unaudited)
26 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
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 |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022 | 27 |
June 30, 2022 (Unaudited)
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of trust capital - unrealized depreciation on swap contracts | 2,769,591* |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 91,071* |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 1,028,468 |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 8,623,698* |
Total | 12,512,828 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |||||
Risk exposure category | Forward foreign currency exchange contracts ($) | 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 ($) |
Credit risk | — | — | — | (3,224,510) | (3,224,510) |
Equity risk | — | 19,519,374 | 108,162,439 | — | 127,681,813 |
Foreign exchange risk | 1,715,132 | (1,806,915) | — | — | (91,783) |
Interest rate risk | — | (15,788,637) | — | — | (15,788,637) |
Total | 1,715,132 | 1,923,822 | 108,162,439 | (3,224,510) | 108,576,883 |
Derivative instrument | Average notional amounts ($)* |
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 ($)* |
Forward foreign currency exchange contracts | 5,888,816 | (2,018,414) |
28 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2022. |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022 | 29 |
June 30, 2022 (Unaudited)
Barclays ($) | 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. |
30 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022 | 31 |
June 30, 2022 (Unaudited)
32 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
May 1, 2022 through April 30, 2023 | Prior to May 1, 2022 | |
Class 1 | 0.79% | 0.80% |
Class 2 | 1.04 | 1.05 |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022 | 33 |
June 30, 2022 (Unaudited)
34 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022 | 35 |
• | 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. |
36 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022 |
(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). |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022 | 37 |
(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.
38 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022 |
(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.
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022 | 39 |
June 30, 2022 (Unaudited)
(Unaudited)
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 |
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2022 | 3 |
(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 |
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. |
4 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2022 |
(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 ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 700.80 | 1,019.19 | 4.77 | 5.66 | 1.13 |
Class 2 | 1,000.00 | 1,000.00 | 700.40 | 1,017.95 | 5.82 | 6.90 | 1.38 |
Class 3 | 1,000.00 | 1,000.00 | 700.30 | 1,018.60 | 5.27 | 6.26 | 1.25 |
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2022 | 5 |
June 30, 2022 (Unaudited)
Common Stocks 95.8% | ||
Issuer | Shares | Value ($) |
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 ($) |
Meituan, Class B(a) | 388,800 | 9,702,228 |
Midea Group Co., Ltd., Class A | 377,500 | 3,416,774 |
NetEase, Inc. | 64,800 | 1,220,800 |
NetEase, Inc., ADR | 46,021 | 4,296,520 |
New Horizon Health Ltd.(a) | 251,000 | 757,513 |
Pinduoduo, Inc., ADR(a) | 28,481 | 1,760,126 |
Shenzhen Mindray Bio-Medical Electronics Co., Ltd., Class A | 54,100 | 2,536,768 |
Shenzhou International Group Holdings Ltd. | 186,800 | 2,280,008 |
Silergy Corp. | 15,000 | 1,212,891 |
Tencent Holdings Ltd. | 278,601 | 12,610,915 |
WuXi AppTec Co., Ltd., Class H | 173,539 | 2,321,597 |
WuXi Biologics Cayman, Inc.(a) | 603,000 | 5,587,050 |
Zhejiang Sanhua Intelligent Controls Co., Ltd., Class A | 341,000 | 1,402,456 |
Total | 88,927,180 | |
Hong Kong 3.3% | ||
AIA Group Ltd. | 310,200 | 3,389,422 |
Hong Kong Exchanges and Clearing Ltd. | 32,300 | 1,597,438 |
Techtronic Industries Co., Ltd. | 326,003 | 3,404,173 |
Total | 8,391,033 | |
India 13.1% | ||
Apollo Hospitals Enterprise Ltd. | 58,978 | 2,759,399 |
AU Small Finance Bank Ltd.(a) | 220,006 | 1,655,608 |
Bajaj Finance Ltd. | 25,450 | 1,751,142 |
Balkrishna Industries Ltd. | 68,938 | 1,884,924 |
Cholamandalam Investment and Finance Co., Ltd. | 286,411 | 2,256,156 |
Divi’s Laboratories Ltd. | 17,218 | 793,640 |
Dixon Technologies India Ltd. | 13,953 | 634,259 |
Eicher Motors Ltd. | 39,021 | 1,386,324 |
Godrej Properties Ltd.(a) | 34,332 | 516,199 |
HDFC Bank Ltd., ADR | 76,497 | 4,204,275 |
HDFC Life Insurance Co., Ltd. | 138,529 | 967,240 |
ICICI Bank Ltd., ADR | 280,335 | 4,973,143 |
Infosys Ltd., ADR | 203,619 | 3,768,988 |
InterGlobe Aviation Ltd.(a) | 57,455 | 1,175,756 |
Reliance Industries Ltd.(a) | 132,461 | 4,373,780 |
Total | 33,100,833 |
6 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
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 |
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2022 | 7 |
June 30, 2022 (Unaudited)
(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 |
ADR | American Depositary Receipt |
GDR | Global Depositary Receipt |
■ | 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). |
8 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
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.
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 |
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2022 | 9 |
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 |
10 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2022 |
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) |
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2022 | 11 |
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) |
12 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2022 |
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2022 | 13 |
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%. |
14 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2022 |
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% | $244,408 |
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2022 | 15 |
June 30, 2022 (Unaudited)
16 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2022 | 17 |
June 30, 2022 (Unaudited)
18 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
May 1, 2022 through April 30, 2023 | Prior to May 1, 2022 | |
Class 1 | 1.12% | 1.13% |
Class 2 | 1.37 | 1.38 |
Class 3 | 1.245 | 1.255 |
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2022 | 19 |
June 30, 2022 (Unaudited)
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
268,211,000 | 39,772,000 | (54,256,000) | (14,484,000) |
20 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 200,000 | 0.61 | 1 |
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2022 | 21 |
June 30, 2022 (Unaudited)
22 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2022 | 23 |
June 30, 2022 (Unaudited)
24 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2022 | 25 |
• | 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. |
26 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2022 |
(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). |
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2022 | 27 |
(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.
28 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2022 |
(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.
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2022 | 29 |
June 30, 2022 (Unaudited)
(Unaudited)
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 |
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2022) | |
Common Stocks | 98.7 |
Money Market Funds | 1.3 |
Total | 100.0 |
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 |
4 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2022 |
(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 ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 804.40 | 1,021.47 | 3.00 | 3.36 | 0.67 |
Class 2 | 1,000.00 | 1,000.00 | 803.30 | 1,020.23 | 4.11 | 4.61 | 0.92 |
Class 3 | 1,000.00 | 1,000.00 | 803.80 | 1,020.88 | 3.53 | 3.96 | 0.79 |
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2022 | 5 |
June 30, 2022 (Unaudited)
Common Stocks 98.8% | ||
Issuer | Shares | Value ($) |
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 ($) |
Consumer Staples 6.6% | ||
Food & Staples Retailing 0.7% | ||
Kroger Co. (The) | 538,433 | 25,484,034 |
Food Products 1.6% | ||
Tyson Foods, Inc., Class A | 692,906 | 59,631,491 |
Household Products 2.0% | ||
Procter & Gamble Co. (The) | 510,509 | 73,406,089 |
Tobacco 2.3% | ||
Altria Group, Inc. | 1,210,234 | 50,551,474 |
Philip Morris International, Inc. | 318,234 | 31,422,425 |
Total | 81,973,899 | |
Total Consumer Staples | 240,495,513 | |
Energy 4.1% | ||
Oil, Gas & Consumable Fuels 4.1% | ||
ConocoPhillips Co. | 154,259 | 13,854,001 |
Devon Energy Corp. | 182,700 | 10,068,597 |
Exxon Mobil Corp. | 1,064,491 | 91,163,009 |
Marathon Petroleum Corp. | 417,162 | 34,294,888 |
Total | 149,380,495 | |
Total Energy | 149,380,495 | |
Financials 10.4% | ||
Banks 2.0% | ||
Wells Fargo & Co. | 1,829,007 | 71,642,204 |
Capital Markets 2.3% | ||
Bank of New York Mellon Corp. (The) | 341,457 | 14,242,171 |
Morgan Stanley | 928,831 | 70,646,886 |
Total | 84,889,057 | |
Consumer Finance 2.0% | ||
Capital One Financial Corp. | 489,930 | 51,045,807 |
Discover Financial Services | 252,317 | 23,864,142 |
Total | 74,909,949 | |
Diversified Financial Services 0.2% | ||
Voya Financial, Inc. | 119,711 | 7,126,396 |
6 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
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 ($) |
Air Freight & Logistics 0.8% | ||
United Parcel Service, Inc., Class B | 158,609 | 28,952,487 |
Airlines 0.2% | ||
Delta Air Lines, Inc.(a) | 103,415 | 2,995,933 |
Southwest Airlines Co.(a) | 95,552 | 3,451,338 |
Total | 6,447,271 | |
Commercial Services & Supplies 0.9% | ||
Cintas Corp. | 73,119 | 27,312,140 |
Republic Services, Inc. | 54,903 | 7,185,156 |
Total | 34,497,296 | |
Electrical Equipment 1.1% | ||
Emerson Electric Co. | 494,750 | 39,352,415 |
Machinery 1.0% | ||
Otis Worldwide Corp. | 299,694 | 21,179,375 |
Snap-On, Inc. | 79,825 | 15,727,920 |
Total | 36,907,295 | |
Professional Services 0.3% | ||
Robert Half International, Inc. | 140,132 | 10,494,485 |
Road & Rail 0.3% | ||
Norfolk Southern Corp. | 57,512 | 13,071,902 |
Total Industrials | 305,187,569 | |
Information Technology 26.6% | ||
Communications Equipment 2.0% | ||
Cisco Systems, Inc. | 1,698,099 | 72,406,941 |
IT Services 2.2% | ||
Accenture PLC, Class A | 65,636 | 18,223,835 |
Gartner, Inc.(a) | 62,800 | 15,186,924 |
MasterCard, Inc., Class A | 83,956 | 26,486,439 |
VeriSign, Inc.(a) | 126,381 | 21,147,333 |
Total | 81,044,531 | |
Semiconductors & Semiconductor Equipment 4.8% | ||
Advanced Micro Devices, Inc.(a) | 680,940 | 52,071,482 |
Lam Research Corp. | 135,948 | 57,934,240 |
QUALCOMM, Inc. | 495,094 | 63,243,308 |
Total | 173,249,030 |
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2022 | 7 |
June 30, 2022 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
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: $3,376,143,338) | 3,656,073,590 | |
Other Assets & Liabilities, Net | (5,178,025) | |
Net Assets | 3,650,895,565 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | 295 | 09/2022 | USD | 55,895,125 | — | (2,733,014) |
(a) | Non-income producing investment. |
(b) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(c) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
8 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
(d) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | 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 |
USD | US Dollar |
■ | 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). |
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 |
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2022 | 9 |
June 30, 2022 (Unaudited)
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 |
10 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2022 |
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 |
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2022 | 11 |
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) |
12 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2022 |
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) |
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2022 | 13 |
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%. |
14 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2022 |
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% | $1,328,984 |
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2022 | 15 |
June 30, 2022 (Unaudited)
16 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2022 | 17 |
June 30, 2022 (Unaudited)
18 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
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. |
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) |
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. |
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2022 | 19 |
June 30, 2022 (Unaudited)
20 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2022 | 21 |
June 30, 2022 (Unaudited)
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 |
22 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2022 | 23 |
June 30, 2022 (Unaudited)
24 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2022 | 25 |
• | 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. |
26 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2022 |
(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). |
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2022 | 27 |
(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.
28 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2022 |
(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.
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2022 | 29 |
June 30, 2022 (Unaudited)
(Unaudited)
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 |
Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2022) | |
Common Stocks | 98.4 |
Money Market Funds | 1.6 |
Total | 100.0 |
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 |
4 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2022 |
(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 (%) | ||||
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 |
Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2022 | 5 |
June 30, 2022 (Unaudited)
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 |
6 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2022 |
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: $2,735,932,916) | 3,003,479,895 | |
Other Assets & Liabilities, Net | 34,076,409 | |
Net Assets | 3,037,556,304 |
Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2022 | 7 |
June 30, 2022 (Unaudited)
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | 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 |
■ | 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). |
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 |
8 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
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 |
Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2022 | 9 |
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. |
10 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2022 |
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) |
Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2022 | 11 |
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 |
12 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2022 |
Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2022 | 13 |
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. |
14 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2022 |
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% | $2 |
Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2022 | 15 |
June 30, 2022 (Unaudited)
16 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2022 | 17 |
June 30, 2022 (Unaudited)
18 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Contractual expense cap July 1, 2022 through April 30, 2023 | Voluntary expense cap May 1, 2022 through June 30, 2022 | Contractual expense cap prior to May 1, 2022 | |
Class 1 | 0.69% | 0.69% | 0.69% |
Class 2 | 0.94 | 0.94 | 0.94 |
Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2022 | 19 |
June 30, 2022 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Borrower | 3,700,000 | 0.61 | 1 |
20 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2022 | 21 |
June 30, 2022 (Unaudited)
22 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2022 |
• | 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. |
Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2022 | 23 |
(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). |
24 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2022 |
(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.
Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2022 | 25 |
(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.
26 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
(Unaudited)
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 |
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 | 3 |
(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 |
(a) | Rounds to zero. |
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. |
4 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 |
(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 ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 869.80 | 1,021.77 | 2.83 | 3.06 | 0.61 |
Class 2 | 1,000.00 | 1,000.00 | 868.50 | 1,020.53 | 3.98 | 4.31 | 0.86 |
Class 3 | 1,000.00 | 1,000.00 | 869.90 | 1,021.12 | 3.43 | 3.71 | 0.74 |
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 | 5 |
June 30, 2022 (Unaudited)
Asset-Backed Securities — Non-Agency 3.3% | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 $26,575) | 18,914 | |||
Corporate Bonds & Notes(c) 51.1% | ||||
Australia 0.5% | ||||
APT Pipelines Ltd.(a) | ||||
07/15/2030 | 2.000% | EUR | 300,000 | 270,833 |
Ausgrid Finance Pty, Ltd.(a) | ||||
10/07/2031 | 0.875% | EUR | 200,000 | 159,509 |
Total | 430,342 | |||
Belgium 0.4% | ||||
Anheuser-Busch InBev SA/NV(a) | ||||
04/02/2040 | 3.700% | EUR | 150,000 | 151,248 |
House of Finance NV (The)(a) | ||||
07/15/2026 | 4.375% | EUR | 100,000 | 101,750 |
Solvay SA(a),(e) | ||||
12/31/2049 | 2.500% | EUR | 100,000 | 90,123 |
Total | 343,121 | |||
Bermuda 1.0% | ||||
Bacardi Ltd.(a) | ||||
07/03/2023 | 2.750% | EUR | 450,000 | 475,243 |
05/15/2048 | 5.300% | 345,000 | 324,172 | |
Total | 799,415 |
6 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 ($) | |
Elis SA(a) | ||||
04/11/2024 | 1.750% | EUR | 100,000 | 100,732 |
Faurecia SE(a) | ||||
06/15/2027 | 2.375% | EUR | 100,000 | 78,411 |
Foncia Management SASU(a) | ||||
03/31/2028 | 3.375% | EUR | 100,000 | 85,172 |
Iliad Holding SA(a) | ||||
10/15/2026 | 5.125% | EUR | 100,000 | 93,394 |
Iliad Holding SAS(a) | ||||
10/15/2026 | 6.500% | 35,000 | 31,489 | |
10/15/2028 | 7.000% | 50,000 | 43,703 | |
Rexel SA(a) | ||||
06/15/2028 | 2.125% | EUR | 100,000 | 82,432 |
SANEF SA(a) | ||||
03/16/2026 | 1.875% | EUR | 200,000 | 200,081 |
Verallia SA(a) | ||||
11/10/2031 | 1.875% | EUR | 100,000 | 78,097 |
Total | 1,187,874 | |||
Germany 2.3% | ||||
ADLER Real Estate AG(a) | ||||
02/06/2024 | 2.125% | EUR | 100,000 | 75,936 |
Amprion GmbH(a) | ||||
09/23/2033 | 0.625% | EUR | 300,000 | 220,909 |
Aroundtown SA(a) | ||||
01/31/2028 | 1.625% | EUR | 300,000 | 253,244 |
Bayer AG(a) | ||||
01/06/2030 | 1.125% | EUR | 300,000 | 263,115 |
Cheplapharm Arzneimittel GmbH(a) | ||||
02/11/2027 | 3.500% | EUR | 100,000 | 89,327 |
Commerzbank AG(a) | ||||
12/04/2026 | 0.500% | EUR | 350,000 | 332,112 |
Deutsche Bank AG(a),(e) | ||||
11/19/2030 | 1.750% | EUR | 100,000 | 86,420 |
Deutsche Lufthansa AG(a) | ||||
02/11/2025 | 2.875% | EUR | 100,000 | 93,485 |
Eurogrid GmbH(a) | ||||
04/21/2033 | 0.741% | EUR | 100,000 | 78,084 |
Grand City Properties SA(a) | ||||
01/11/2028 | 0.125% | EUR | 100,000 | 80,706 |
Gruenenthal GmbH(a) | ||||
11/15/2026 | 3.625% | EUR | 100,000 | 94,650 |
Techem Verwaltungsgesellschaft 674 mbH(a) | ||||
07/30/2026 | 6.000% | EUR | 87,920 | 77,982 |
thyssenkrupp AG(a) | ||||
02/22/2024 | 2.875% | EUR | 100,000 | 100,389 |
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 | 7 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 ($) | |
Galaxy Pipeline Assets Bidco Ltd.(a) | ||||
03/31/2036 | 2.625% | 400,000 | 324,128 | |
Total | 516,902 | |||
Liberia 0.1% | ||||
Royal Caribbean Cruises Ltd. | ||||
11/15/2022 | 5.250% | 34,000 | 33,769 | |
03/15/2028 | 3.700% | 33,000 | 21,007 | |
Royal Caribbean Cruises Ltd.(a) | ||||
07/01/2026 | 4.250% | 19,000 | 13,494 | |
08/31/2026 | 5.500% | 20,000 | 14,699 | |
07/15/2027 | 5.375% | 11,000 | 7,990 | |
04/01/2028 | 5.500% | 19,000 | 13,204 | |
Total | 104,163 | |||
Luxembourg 0.8% | ||||
Altice Financing SA(a) | ||||
01/15/2025 | 2.250% | EUR | 100,000 | 92,033 |
Altice France Holding SA(a) | ||||
05/15/2027 | 8.000% | EUR | 100,000 | 86,581 |
02/15/2028 | 6.000% | 50,000 | 34,484 | |
FAGE International SA/USA Dairy Industry, Inc.(a) | ||||
08/15/2026 | 5.625% | 45,000 | 39,372 | |
Garfunkelux Holdco 3 SA(a) | ||||
11/01/2025 | 6.750% | EUR | 100,000 | 93,274 |
Herens Holdco Sarl(a) | ||||
05/15/2028 | 4.750% | 19,000 | 15,844 | |
ION Trading Technologies Sarl(a) | ||||
05/15/2028 | 5.750% | 19,000 | 15,115 | |
P3 Group Sarl(a) | ||||
01/26/2029 | 1.625% | EUR | 250,000 | 193,648 |
Sani/Ikos Financial Holdings 1 Sarl(a) | ||||
12/15/2026 | 5.625% | EUR | 100,000 | 90,609 |
Total | 660,960 | |||
Mauritius 0.5% | ||||
Network i2i Ltd.(a),(e) | ||||
12/31/2049 | 5.650% | 450,000 | 416,983 | |
Netherlands 3.2% | ||||
Braskem Netherlands Finance BV(a) | ||||
01/31/2050 | 5.875% | 200,000 | 158,832 | |
Clear Channel International BV(a) | ||||
08/01/2025 | 6.625% | 30,000 | 27,876 | |
Constellium SE(a) | ||||
02/15/2026 | 4.250% | EUR | 100,000 | 94,785 |
06/15/2028 | 5.625% | 15,000 | 13,574 | |
04/15/2029 | 3.750% | 33,000 | 26,285 |
8 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 ($) | |
Ziggo BV(a) | ||||
01/15/2030 | 4.875% | 40,000 | 33,908 | |
Total | 2,716,435 | |||
Panama 0.3% | ||||
Carnival Corp.(a) | ||||
02/01/2026 | 10.125% | EUR | 100,000 | 103,683 |
03/01/2026 | 7.625% | 38,000 | 29,664 | |
03/01/2027 | 5.750% | 102,000 | 73,684 | |
08/01/2028 | 4.000% | 19,000 | 15,586 | |
05/01/2029 | 6.000% | 40,000 | 28,007 | |
Total | 250,624 | |||
Poland 0.2% | ||||
CANPACK SA/Eastern PA Land Investment Holding LLC(a) | ||||
11/01/2025 | 3.125% | 9,000 | 7,920 | |
Canpack SA/US LLC(a) | ||||
11/15/2029 | 3.875% | 33,000 | 26,081 | |
InPost SA(a) | ||||
07/15/2027 | 2.250% | EUR | 100,000 | 82,056 |
Total | 116,057 | |||
Spain 0.6% | ||||
Cirsa Finance International Sarl(a) | ||||
12/20/2023 | 6.250% | EUR | 84,917 | 85,043 |
Grifols Escrow Issuer SA(a) | ||||
10/15/2028 | 4.750% | 8,000 | 6,939 | |
Grifols SA(a) | ||||
11/15/2027 | 2.250% | EUR | 100,000 | 87,729 |
Lorca Telecom Bondco SA(a) | ||||
09/18/2027 | 4.000% | EUR | 100,000 | 88,057 |
NorteGas Energia Distribucion SA(a) | ||||
09/28/2027 | 2.065% | EUR | 235,000 | 230,044 |
Total | 497,812 | |||
Sweden 0.9% | ||||
Heimstaden Bostad AB(a),(e) | ||||
12/31/2049 | 3.375% | EUR | 100,000 | 62,306 |
Sagax AB(a) | ||||
01/17/2024 | 2.000% | EUR | 365,000 | 374,237 |
01/30/2027 | 1.125% | EUR | 300,000 | 264,661 |
Verisure Holding AB(a) | ||||
02/15/2027 | 3.250% | EUR | 100,000 | 86,500 |
Total | 787,704 | |||
Switzerland 0.4% | ||||
Credit Suisse Group AG(a) | ||||
01/18/2033 | 0.625% | EUR | 250,000 | 169,649 |
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 | 9 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 |
10 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 |
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 |
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 | 11 |
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 |
12 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 |
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 |
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 | 13 |
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 ($) | |
iHeartCommunications, Inc. | ||||
05/01/2026 | 6.375% | 10,082 | 9,342 | |
05/01/2027 | 8.375% | 43,385 | 34,669 | |
iHeartCommunications, Inc.(a) | ||||
01/15/2028 | 4.750% | 15,000 | 12,360 | |
Illuminate Buyer LLC/Holdings IV, Inc.(a) | ||||
07/01/2028 | 9.000% | 31,000 | 24,585 | |
Ingevity Corp.(a) | ||||
11/01/2028 | 3.875% | 15,000 | 12,561 | |
Innophos Holdings, Inc.(a) | ||||
02/15/2028 | 9.375% | 12,000 | 10,934 | |
Inspired Entertainment Financing PLC(a) | ||||
06/01/2026 | 7.875% | GBP | 100,000 | 118,235 |
IQVIA, Inc.(a) | ||||
01/15/2028 | 2.250% | EUR | 100,000 | 86,718 |
IRB Holding Corp.(a) | ||||
06/15/2025 | 7.000% | 16,000 | 15,615 | |
Iris Holdings, Inc.(a),(f) | ||||
02/15/2026 | 8.750% | 10,000 | 8,199 | |
JBS USA LUX SA/Food Co./Finance, Inc.(a) | ||||
12/01/2031 | 3.750% | 19,000 | 15,583 | |
JPMorgan Chase & Co.(a),(e) | ||||
07/25/2031 | 1.001% | EUR | 400,000 | 350,060 |
JPMorgan Chase & Co.(e) | ||||
04/22/2032 | 2.580% | 311,000 | 261,864 | |
11/08/2032 | 2.545% | 173,000 | 143,742 | |
Kaiser Aluminum Corp.(a) | ||||
03/01/2028 | 4.625% | 4,000 | 3,348 | |
06/01/2031 | 4.500% | 30,000 | 22,970 | |
KAR Auction Services, Inc.(a) | ||||
06/01/2025 | 5.125% | 48,000 | 45,167 | |
Kinder Morgan Energy Partners LP | ||||
03/01/2043 | 5.000% | 105,000 | 91,899 | |
Kinder Morgan, Inc. | ||||
02/15/2046 | 5.050% | 90,000 | 80,430 | |
Kraft Heinz Foods Co.(a) | ||||
05/25/2028 | 2.250% | EUR | 400,000 | 394,128 |
Kraft Heinz Foods Co. | ||||
06/01/2046 | 4.375% | 505,000 | 420,700 | |
L Brands, Inc.(a) | ||||
07/01/2025 | 9.375% | 5,000 | 5,069 | |
10/01/2030 | 6.625% | 6,000 | 5,182 | |
L Brands, Inc. | ||||
06/15/2029 | 7.500% | 9,000 | 8,206 | |
11/01/2035 | 6.875% | 20,000 | 16,245 |
14 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 |
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 | 15 |
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 ($) | |
Rockies Express Pipeline LLC(a) | ||||
05/15/2025 | 3.600% | 14,000 | 12,578 | |
RP Escrow Issuer LLC(a) | ||||
12/15/2025 | 5.250% | 22,000 | 19,063 | |
Ryan Specialty Group LLC(a) | ||||
02/01/2030 | 4.375% | 8,000 | 6,962 | |
Sabre GLBL, Inc.(a) | ||||
04/15/2025 | 9.250% | 4,000 | 3,862 | |
Scientific Games Holdings LP/US FinCo, Inc.(a) | ||||
03/01/2030 | 6.625% | 28,000 | 23,813 | |
Scientific Games International, Inc.(a) | ||||
05/15/2028 | 7.000% | 13,000 | 12,273 | |
Select Medical Corp.(a) | ||||
08/15/2026 | 6.250% | 39,000 | 36,485 | |
Sempra Energy | ||||
06/15/2027 | 3.250% | 260,000 | 246,583 | |
Service Properties Trust | ||||
03/15/2024 | 4.650% | 9,000 | 7,794 | |
Shea Homes LP/Funding Corp.(a) | ||||
02/15/2028 | 4.750% | 38,000 | 30,605 | |
Shift4 Payments LLC/Finance Sub, Inc.(a) | ||||
11/01/2026 | 4.625% | 28,000 | 24,866 | |
Silgan Holdings, Inc. | ||||
06/01/2028 | 2.250% | EUR | 100,000 | 82,156 |
Sirius XM Radio, Inc.(a) | ||||
09/01/2026 | 3.125% | 18,000 | 16,093 | |
07/01/2030 | 4.125% | 25,000 | 20,877 | |
Six Flags Entertainment Corp.(a) | ||||
07/31/2024 | 4.875% | 21,000 | 20,010 | |
Six Flags Theme Parks, Inc.(a) | ||||
07/01/2025 | 7.000% | 13,000 | 13,194 | |
Southern Co. (The) | ||||
07/01/2046 | 4.400% | 220,000 | 191,804 | |
Southern Co. (The)(e) | ||||
09/15/2081 | 1.875% | EUR | 100,000 | 72,031 |
Southwestern Energy Co. | ||||
02/01/2029 | 5.375% | 9,000 | 8,362 | |
02/01/2032 | 4.750% | 46,000 | 39,348 | |
Spectrum Brands, Inc. | ||||
07/15/2025 | 5.750% | 28,000 | 27,708 | |
Spectrum Brands, Inc.(a) | ||||
10/01/2026 | 4.000% | EUR | 100,000 | 99,441 |
Sprint Capital Corp. | ||||
11/15/2028 | 6.875% | 81,000 | 85,353 | |
Sprint Corp. | ||||
03/01/2026 | 7.625% | 29,000 | 30,590 |
16 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 |
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 | 17 |
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 ($) | |
France 0.3% | ||||
Electricite de France SA(a),(e) | ||||
12/31/2049 | 3.375% | EUR | 200,000 | 136,741 |
12/31/2049 | 6.000% | GBP | 100,000 | 107,406 |
Total | 244,147 | |||
Germany 0.5% | ||||
Bundesrepublik Deutschland Bundesanleihe(a) | ||||
02/15/2026 | 0.500% | EUR | 400,000 | 413,925 |
Guatemala 0.2% | ||||
Guatemala Government Bond(a) | ||||
06/01/2050 | 6.125% | 200,000 | 168,245 | |
India 0.4% | ||||
Export-Import Bank of India(a) | ||||
01/15/2030 | 3.250% | 200,000 | 174,158 | |
Indian Railway Finance Corp., Ltd.(a) | ||||
02/13/2030 | 3.249% | 200,000 | 174,039 | |
Total | 348,197 | |||
Indonesia 1.1% | ||||
Indonesia Government International Bond(a) | ||||
01/08/2027 | 4.350% | 400,000 | 399,890 | |
01/15/2045 | 5.125% | 200,000 | 190,746 | |
Perusahaan Penerbit SBSN Indonesia III(a) | ||||
06/23/2025 | 2.300% | 200,000 | 190,521 | |
PT Indonesia Asahan Aluminium Persero(a) | ||||
11/15/2048 | 6.757% | 200,000 | 181,385 | |
Total | 962,542 | |||
Ivory Coast 0.5% | ||||
Ivory Coast Government International Bond(a) | ||||
03/03/2028 | 6.375% | 250,000 | 221,918 | |
06/15/2033 | 6.125% | 200,000 | 156,524 | |
Total | 378,442 | |||
Kazakhstan 0.3% | ||||
KazMunayGas National Co. JSC(a) | ||||
04/24/2030 | 5.375% | 300,000 | 265,557 | |
Malaysia 0.2% | ||||
Petronas Capital Ltd.(a) | ||||
04/21/2030 | 3.500% | 200,000 | 188,550 |
18 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Foreign Government Obligations(c),(g) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 $16,665,162) | 13,668,601 | |||
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 | 19 |
June 30, 2022 (Unaudited)
Residential Mortgage-Backed Securities - Agency 0.9% | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 |
20 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 |
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 | $84,643,740 |
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 | 21 |
June 30, 2022 (Unaudited)
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | 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 | — |
(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 $36,084, which represents 0.04% of total net assets. |
(k) | Valuation based on significant unobservable inputs. |
(l) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
22 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
(m) | The stated interest rate represents the weighted average interest rate at June 30, 2022 of contracts within the senior loan facility. Interest rates on contracts are primarily determined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. These base lending rates are primarily the LIBOR and other short-term rates. Base lending rates may be subject to a floor or minimum rate. The interest rate for senior loans purchased on a when-issued or delayed delivery basis will be determined upon settlement, therefore no interest rate is disclosed. Senior loans often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay cannot be predicted with accuracy. As a result, remaining maturities of senior loans may be less than the stated maturities. Generally, the Fund is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. |
(n) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
(o) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | 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 |
CMO | Collateralized Mortgage Obligation |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing Rate |
EUR | Euro |
GBP | British Pound |
USD | US Dollar |
■ | 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). |
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 | 23 |
June 30, 2022 (Unaudited)
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.
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 |
24 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 |
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 |
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 | 25 |
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) |
26 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 |
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) |
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 | 27 |
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%. |
28 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 |
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% | $131,599 |
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 | 29 |
June 30, 2022 (Unaudited)
30 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 | 31 |
June 30, 2022 (Unaudited)
32 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 | 33 |
June 30, 2022 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
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 ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 132,968* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
34 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | 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 ($) |
Credit risk | — | — | 18,146 | 18,146 |
Foreign exchange risk | 166,705 | — | — | 166,705 |
Interest rate risk | — | 38,091 | — | 38,091 |
Total | 166,705 | 38,091 | 18,146 | 222,942 |
Derivative instrument | Average notional amounts ($)* |
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. |
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 | 35 |
June 30, 2022 (Unaudited)
36 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Morgan Stanley ($) | UBS ($) | Total ($) | |
Assets | |||
Centrally cleared credit default swap contracts (a) | 1,807 | - | 1,807 |
Forward foreign currency exchange contracts | - | 161,627 | 161,627 |
Total assets | 1,807 | 161,627 | 163,434 |
Total financial and derivative net assets | 1,807 | 161,627 | 163,434 |
Total collateral received (pledged) (b) | - | - | - |
Net amount (c) | 1,807 | 161,627 | 163,434 |
(a) | Centrally cleared swaps are included within payable/receivable for variation margin in the Statement of Assets and Liabilities. |
(b) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(c) | Represents the net amount due from/(to) counterparties in the event of default. |
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 | 37 |
June 30, 2022 (Unaudited)
38 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 | 39 |
June 30, 2022 (Unaudited)
Contractual expense cap May 1, 2022 through April 30, 2023 | Voluntary expense cap May 1, 2022 through June 30, 2022 | Contractual expense cap prior to May 1, 2022 | |
Class 1 | 0.66% | 0.61% | 0.61% |
Class 2 | 0.91 | 0.86 | 0.86 |
Class 3 | 0.785 | 0.735 | 0.735 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
92,402,000 | 369,000 | (12,763,000) | (12,394,000) |
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
(1,744,023) | (3,031,073) | (4,775,096) |
40 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 | 41 |
June 30, 2022 (Unaudited)
42 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 | 43 |
June 30, 2022 (Unaudited)
44 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 | 45 |
• | 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. |
46 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 |
(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). |
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 | 47 |
(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.
48 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 |
(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.
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 | 49 |
June 30, 2022 (Unaudited)
(Unaudited)
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 |
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 | 3 |
(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 |
(a) | Rounds to zero. |
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 |
(a) | Rounds to zero. |
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 |
4 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
(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 ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 870.00 | 1,022.36 | 2.27 | 2.46 | 0.49 |
Class 2 | 1,000.00 | 1,000.00 | 869.40 | 1,021.12 | 3.43 | 3.71 | 0.74 |
Class 3 | 1,000.00 | 1,000.00 | 869.20 | 1,021.77 | 2.83 | 3.06 | 0.61 |
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 | 5 |
June 30, 2022 (Unaudited)
Asset-Backed Securities — Agency 0.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 ($) | |
Goldentree Loan Opportunities XI Ltd.(a),(b) | ||||
Series 2015-11A Class BR2 | ||||
3-month USD LIBOR + 1.350% 01/18/2031 | 2.394% | 10,000,000 | 9,611,640 | |
LendingClub Receivables Trust(a),(c),(d),(e) | ||||
Series 2020-JPSL Class R | ||||
02/15/2025 | 0.000% | 93,000 | 2,285,010 | |
LendingPoint Asset Securitization Trust(a) | ||||
Series 2021-A Class A | ||||
12/15/2028 | 1.000% | 4,665,980 | 4,631,348 | |
Series 2021-B Class A | ||||
02/15/2029 | 1.110% | 8,605,980 | 8,455,729 | |
LL ABS Trust(a) | ||||
Series 2021-1A Class A | ||||
05/15/2029 | 1.070% | 4,905,380 | 4,757,545 | |
LP LMS Asset Securitization Trust(a) | ||||
Series 2021-2A Class A | ||||
01/15/2029 | 1.750% | 11,522,371 | 11,326,561 | |
Lucali CLO Ltd.(a),(b) | ||||
Series 2020-1A Class D | ||||
3-month USD LIBOR + 3.600% Floor 3.600% 01/15/2033 | 4.644% | 9,750,000 | 8,887,652 | |
Madison Park Funding XLVII Ltd.(a),(b) | ||||
Series 2020-47A Class D | ||||
3-month USD LIBOR + 4.100% Floor 4.000% 01/19/2034 | 5.044% | 13,175,000 | 12,556,276 | |
Madison Park Funding XXIV Ltd.(a),(b) | ||||
Series 2016-24A Class BR | ||||
3-month USD LIBOR + 1.750% 10/20/2029 | 2.813% | 20,000,000 | 19,464,320 | |
Madison Park Funding XXVII Ltd.(a),(b) | ||||
Series 2018-27A Class A2 | ||||
3-month USD LIBOR + 1.350% 04/20/2030 | 2.413% | 11,300,000 | 10,775,092 | |
Marlette Funding Trust(a) | ||||
Series 2020-2A Class D | ||||
09/16/2030 | 4.650% | 4,145,000 | 4,077,186 | |
Series 2021-1A Class A | ||||
06/16/2031 | 0.600% | 444,871 | 443,981 | |
Octagon 55 Ltd.(a),(b) | ||||
Series 2021-1A Class D | ||||
3-month USD LIBOR + 3.100% Floor 3.100% 07/20/2034 | 4.163% | 6,000,000 | 5,498,034 |
6 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 $70,257,576) | 62,167,653 | |||
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 | 7 |
June 30, 2022 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency 7.1% | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 |
8 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
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 |
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 | 9 |
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 ($) | |
DIRECTV Holdings LLC/Financing Co., Inc.(a) | ||||
08/15/2027 | 5.875% | 756,000 | 644,976 | |
DISH DBS Corp. | ||||
07/01/2026 | 7.750% | 466,000 | 361,675 | |
06/01/2029 | 5.125% | 1,327,000 | 806,391 | |
DISH DBS Corp.(a) | ||||
12/01/2028 | 5.750% | 1,086,000 | 803,782 | |
Radiate Holdco LLC/Finance, Inc.(a) | ||||
09/15/2026 | 4.500% | 604,000 | 521,618 | |
09/15/2028 | 6.500% | 907,000 | 701,772 | |
Sirius XM Radio, Inc.(a) | ||||
09/01/2026 | 3.125% | 552,000 | 493,515 | |
07/01/2030 | 4.125% | 266,000 | 222,136 | |
Videotron Ltd.(a) | ||||
06/15/2029 | 3.625% | 3,204,000 | 2,644,829 | |
Virgin Media Finance PLC(a) | ||||
07/15/2030 | 5.000% | 1,218,000 | 965,255 | |
Virgin Media Secured Finance PLC(a) | ||||
05/15/2029 | 5.500% | 566,000 | 507,110 | |
VZ Secured Financing BV(a) | ||||
01/15/2032 | 5.000% | 901,000 | 747,835 | |
Ziggo Bond Co. BV(a) | ||||
02/28/2030 | 5.125% | 432,000 | 338,853 | |
Ziggo Bond Finance BV(a) | ||||
01/15/2027 | 6.000% | 419,000 | 373,490 | |
Ziggo BV(a) | ||||
01/15/2030 | 4.875% | 1,060,000 | 898,557 | |
Total | 45,562,922 | |||
Chemicals 0.2% | ||||
Axalta Coating Systems LLC(a) | ||||
02/15/2029 | 3.375% | 390,000 | 318,542 | |
Axalta Coating Systems LLC/Dutch Holding B BV(a) | ||||
06/15/2027 | 4.750% | 555,000 | 495,199 | |
Element Solutions, Inc.(a) | ||||
09/01/2028 | 3.875% | 732,000 | 605,336 | |
HB Fuller Co. | ||||
10/15/2028 | 4.250% | 600,000 | 504,071 | |
Herens Holdco Sarl(a) | ||||
05/15/2028 | 4.750% | 544,000 | 453,645 | |
Illuminate Buyer LLC/Holdings IV, Inc.(a) | ||||
07/01/2028 | 9.000% | 845,000 | 670,150 | |
Innophos Holdings, Inc.(a) | ||||
02/15/2028 | 9.375% | 535,000 | 487,481 | |
Iris Holdings, Inc.(a),(i) | ||||
02/15/2026 | 8.750% | 323,000 | 264,822 |
10 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 |
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 | 11 |
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 |
12 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
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 |
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 | 13 |
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 ($) | |
Media and Entertainment 0.7% | ||||
Cengage Learning, Inc.(a) | ||||
06/15/2024 | 9.500% | 841,000 | 778,091 | |
Clear Channel Outdoor Holdings, Inc.(a) | ||||
04/15/2028 | 7.750% | 249,000 | 181,182 | |
06/01/2029 | 7.500% | 1,070,000 | 773,075 | |
Clear Channel Worldwide Holdings, Inc.(a) | ||||
08/15/2027 | 5.125% | 401,000 | 338,620 | |
iHeartCommunications, Inc. | ||||
05/01/2026 | 6.375% | 566,350 | 524,790 | |
05/01/2027 | 8.375% | 801,774 | 640,699 | |
iHeartCommunications, Inc.(a) | ||||
08/15/2027 | 5.250% | 439,000 | 375,736 | |
01/15/2028 | 4.750% | 313,000 | 257,907 | |
Magallanes, Inc.(a) | ||||
03/15/2062 | 5.391% | 21,377,000 | 17,928,087 | |
Netflix, Inc. | ||||
11/15/2028 | 5.875% | 1,470,000 | 1,439,036 | |
05/15/2029 | 6.375% | 1,124,000 | 1,132,960 | |
Netflix, Inc.(a) | ||||
11/15/2029 | 5.375% | 379,000 | 358,231 | |
06/15/2030 | 4.875% | 276,000 | 253,297 | |
Outfront Media Capital LLC/Corp.(a) | ||||
08/15/2027 | 5.000% | 318,000 | 278,161 | |
01/15/2029 | 4.250% | 245,000 | 195,432 | |
03/15/2030 | 4.625% | 177,000 | 142,060 | |
Roblox Corp.(a) | ||||
05/01/2030 | 3.875% | 479,000 | 388,119 | |
Univision Communications, Inc.(a) | ||||
05/01/2029 | 4.500% | 252,000 | 217,760 | |
Total | 26,203,243 | |||
Metals and Mining 0.2% | ||||
Allegheny Technologies, Inc. | ||||
10/01/2029 | 4.875% | 129,000 | 104,280 | |
10/01/2031 | 5.125% | 1,135,000 | 889,998 | |
Constellium SE(a) | ||||
06/15/2028 | 5.625% | 1,541,000 | 1,394,532 | |
04/15/2029 | 3.750% | 1,110,000 | 884,134 | |
Hudbay Minerals, Inc.(a) | ||||
04/01/2029 | 6.125% | 776,000 | 629,239 | |
Kaiser Aluminum Corp.(a) | ||||
03/01/2028 | 4.625% | 74,000 | 61,947 | |
06/01/2031 | 4.500% | 1,076,000 | 823,867 |
14 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 |
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 | 15 |
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 ($) | |
Ryan Specialty Group LLC(a) | ||||
02/01/2030 | 4.375% | 172,000 | 149,680 | |
Total | 19,456,749 | |||
Restaurants 0.1% | ||||
Fertitta Entertainment LLC/Finance Co., Inc.(a) | ||||
01/15/2030 | 6.750% | 935,000 | 718,264 | |
IRB Holding Corp.(a) | ||||
06/15/2025 | 7.000% | 554,000 | 540,659 | |
Yum! Brands, Inc. | ||||
04/01/2032 | 5.375% | 457,000 | 421,615 | |
Total | 1,680,538 | |||
Retailers 0.4% | ||||
Asbury Automotive Group, Inc.(a) | ||||
11/15/2029 | 4.625% | 151,000 | 124,732 | |
02/15/2032 | 5.000% | 151,000 | 123,512 | |
L Brands, Inc.(a) | ||||
10/01/2030 | 6.625% | 361,000 | 311,812 | |
L Brands, Inc. | ||||
11/01/2035 | 6.875% | 237,000 | 192,507 | |
Lowe’s Companies, Inc. | ||||
10/15/2050 | 3.000% | 11,031,000 | 7,691,507 | |
04/01/2062 | 4.450% | 5,199,000 | 4,443,061 | |
PetSmart, Inc./Finance Corp.(a) | ||||
02/15/2028 | 4.750% | 659,000 | 569,404 | |
02/15/2029 | 7.750% | 515,000 | 464,630 | |
Total | 13,921,165 | |||
Supermarkets 0.0% | ||||
Albertsons Companies LLC/Safeway, Inc./New Albertsons LP/Albertsons LLC(a) | ||||
02/15/2028 | 5.875% | 357,000 | 333,832 | |
Albertsons Companies, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(a) | ||||
02/15/2030 | 4.875% | 924,000 | 787,561 | |
Total | 1,121,393 | |||
Technology 1.4% | ||||
Broadcom, Inc.(a) | ||||
04/15/2034 | 3.469% | 11,191,000 | 9,077,112 | |
11/15/2036 | 3.187% | 2,726,000 | 2,070,649 | |
Clarivate Science Holdings Corp.(a) | ||||
07/01/2028 | 3.875% | 364,000 | 306,014 | |
07/01/2029 | 4.875% | 732,000 | 600,900 | |
CommScope Technologies LLC(a) | ||||
06/15/2025 | 6.000% | 181,000 | 156,567 | |
Condor Merger Sub, Inc.(a) | ||||
02/15/2030 | 7.375% | 493,000 | 400,741 |
16 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 $1,026,614,334) | 865,117,764 | |||
Foreign Government Obligations(j) 2.3% | ||||
Belarus 0.0% | ||||
Republic of Belarus International Bond(a) | ||||
02/28/2023 | 6.875% | 1,365,000 | 245,330 |
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 | 17 |
June 30, 2022 (Unaudited)
Foreign Government Obligations(j) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 ($) | |
Local General Obligation 0.2% | ||||
City of New York | ||||
Unlimited General Obligation Bonds | ||||
Series 2021A-1 | ||||
08/01/2047 | 5.000% | 6,045,000 | 6,573,583 | |
Municipal Power 0.1% | ||||
Los Angeles Department of Water & Power | ||||
Refunding Revenue Bonds | ||||
Series 2021B | ||||
07/01/2051 | 5.000% | 3,105,000 | 3,397,521 |
18 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | 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 ($) | |
CMO STRIPS Series 2012-278 Class S1 | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 09/15/2042 | 4.726% | 2,226,094 | 272,351 | |
CMO STRIPS Series 309 Class S4 | ||||
-1.0 x 1-month USD LIBOR + 5.970% Cap 5.970% 08/15/2043 | 4.646% | 1,125,251 | 144,834 | |
Federal Home Loan Mortgage Corp.(g) | ||||
CMO Series 4176 Class BI | ||||
03/15/2043 | 3.500% | 1,014,529 | 145,855 | |
Federal National Mortgage Association | ||||
02/01/2027- 05/01/2052 | 3.000% | 131,264,230 | 123,661,064 | |
08/01/2040 | 4.500% | 1,460,404 | 1,488,425 | |
08/01/2043- 05/01/2052 | 3.500% | 83,107,348 | 80,807,830 | |
05/01/2048 | 4.000% | 1,241,738 | 1,244,286 | |
CMO Series 2017-72 Class B | ||||
09/25/2047 | 3.000% | 12,919,239 | 12,347,802 | |
Federal National Mortgage Association(k) | ||||
05/01/2044- 02/01/2048 | 4.000% | 15,890,140 | 16,017,789 | |
06/01/2044 | 4.500% | 4,881,943 | 5,044,595 | |
10/01/2051 | 2.500% | 42,278,106 | 38,298,558 | |
Federal National Mortgage Association(g) | ||||
CMO Series 2012-131 Class MI | ||||
01/25/2040 | 3.500% | 1,038,865 | 49,819 | |
CMO Series 2020-76 Class EI | ||||
11/25/2050 | 2.500% | 28,957,065 | 4,592,984 | |
CMO Series 2021-3 Class TI | ||||
02/25/2051 | 2.500% | 94,755,106 | 16,554,333 | |
Federal National Mortgage Association(b),(g) | ||||
CMO Series 2013-101 Class CS | ||||
-1.0 x 1-month USD LIBOR + 5.900% Cap 5.900% 10/25/2043 | 4.276% | 2,007,207 | 266,778 | |
CMO Series 2014-93 Class ES | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 01/25/2045 | 4.526% | 2,699,707 | 426,499 | |
CMO Series 2016-31 Class VS | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 06/25/2046 | 4.376% | 1,494,521 | 198,178 |
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 | 19 |
June 30, 2022 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 ($) | |
CMO Series 2019-60 Class SH | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 10/25/2049 | 4.426% | 26,343,280 | 3,971,621 | |
CMO Series 2019-67 Class SE | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 11/25/2049 | 4.426% | 19,797,346 | 3,672,121 | |
Freddie Mac REMICS(g) | ||||
CMO Series 5152 Class XI | ||||
11/25/2050 | 2.500% | 62,092,859 | 9,069,165 | |
Government National Mortgage Association(k) | ||||
04/20/2048 | 4.500% | 9,454,903 | 9,704,603 | |
Government National Mortgage Association(g) | ||||
CMO Series 2014-184 Class CI | ||||
11/16/2041 | 3.500% | 3,547,013 | 376,091 | |
CMO Series 2020-175 Class KI | ||||
11/20/2050 | 2.500% | 62,173,275 | 8,997,331 | |
CMO Series 2020-191 Class UG | ||||
12/20/2050 | 3.500% | 38,078,870 | 6,456,295 | |
CMO Series 2021-119 Class QI | ||||
07/20/2051 | 3.000% | 34,643,498 | 5,233,489 | |
CMO Series 2021-16 Class KI | ||||
01/20/2051 | 2.500% | 42,585,051 | 6,675,411 | |
CMO Series 2021-179 Class IB | ||||
09/20/2051 | 3.000% | 43,034,808 | 6,373,666 | |
CMO Series 2021-9 Class MI | ||||
01/20/2051 | 2.500% | 39,959,191 | 5,230,279 | |
Government National Mortgage Association(b),(g) | ||||
CMO Series 2017-130 Class HS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 08/20/2047 | 4.605% | 11,493,213 | 1,618,505 | |
CMO Series 2017-149 Class BS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 10/20/2047 | 4.605% | 14,755,000 | 2,007,666 | |
CMO Series 2017-163 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 11/20/2047 | 4.605% | 6,204,372 | 810,473 |
20 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 ($) | |
CMO Series 2018-97 Class SM | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 07/20/2048 | 4.605% | 10,875,554 | 1,253,407 | |
CMO Series 2019-20 Class JS | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 02/20/2049 | 4.405% | 17,176,979 | 2,143,933 | |
CMO Series 2019-5 Class SH | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 01/20/2049 | 4.555% | 12,626,344 | 1,654,650 | |
CMO Series 2019-56 Class SG | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 05/20/2049 | 4.555% | 13,654,145 | 1,580,415 | |
CMO Series 2019-59 Class KS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 05/20/2049 | 4.455% | 13,385,806 | 1,415,323 | |
CMO Series 2019-85 Class SC | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 07/20/2049 | 4.555% | 12,065,623 | 1,651,863 | |
CMO Series 2019-90 Class SD | ||||
-1.0 x 1-month USD LIBOR + 6.150% 07/20/2049 | 4.555% | 17,277,941 | 2,243,409 | |
CMO Series 2020-188 Class SA | ||||
1-month USD LIBOR + 6.300% Cap 6.300% 12/20/2050 | 4.705% | 20,794,030 | 3,577,906 | |
CMO Series 2020-21 Class VS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 02/20/2050 | 4.455% | 8,649,452 | 1,178,447 | |
CMO Series 2020-62 Class SG | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 05/20/2050 | 4.555% | 13,246,772 | 1,634,735 |
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 | 21 |
June 30, 2022 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 ($) | |
CMO Series 2020-3A Class M1B | ||||
1-month USD LIBOR + 2.850% Floor 2.850% 10/25/2030 | 4.474% | 3,984,119 | 3,958,268 | |
CMO Series 2020-3A Class M1C | ||||
1-month USD LIBOR + 3.700% Floor 3.700% 10/25/2030 | 4.706% | 13,300,000 | 13,406,385 | |
CMO Series 2021-1A Class M1B | ||||
30-day Average SOFR + 2.200% Floor 2.200% 03/25/2031 | 2.489% | 15,350,000 | 14,788,899 | |
CMO Series 2021-2A Class M1B | ||||
30-day Average SOFR + 1.500% Floor 1.500% 06/25/2031 | 1.789% | 7,000,000 | 6,538,263 | |
BRAVO Residential Funding Trust(a),(f) | ||||
CMO Series 2019-NQM2 Class A1 | ||||
11/25/2059 | 2.748% | 1,689,850 | 1,657,466 | |
CMO Series 2019-NQM2 Class A3 | ||||
11/25/2059 | 3.108% | 758,342 | 743,322 | |
CMO Series 2019-NQM2 Class M1 | ||||
11/25/2059 | 3.451% | 3,750,000 | 3,473,802 | |
Bunker Hill Loan Depositary Trust(a),(f) | ||||
CMO Series 2019-3 Class A3 | ||||
11/25/2059 | 3.135% | 3,809,784 | 3,699,368 | |
BVRT Financing Trust(a),(b),(e) | ||||
CMO Series 2021-3F Class M1 | ||||
30-day Average SOFR + 1.750% Floor 1.750% 07/12/2033 | 1.976% | 18,411,620 | 18,411,620 | |
CMO Series 2021-3F Class M2 | ||||
30-day Average SOFR + 2.900% Floor 2.900% 07/12/2033 | 3.126% | 23,700,000 | 23,700,000 | |
CHL GMSR Issuer Trust(a),(b) | ||||
CMO Series 2018-GT1 Class A | ||||
1-month USD LIBOR + 1.000% 05/25/2023 | 4.374% | 14,900,000 | 14,749,035 | |
CHNGE Mortgage Trust(a),(f) | ||||
CMO Series 2022-2 Class A1 | ||||
03/25/2067 | 3.757% | 16,106,517 | 15,304,765 | |
CIM Trust(a),(b) | ||||
CMO Series 2018-R6 Class A1 | ||||
1-month USD LIBOR + 1.076% Floor 1.076% 09/25/2058 | 2.789% | 1,049,103 | 1,021,143 | |
Citigroup Mortgage Loan Trust, Inc.(a) | ||||
CMO Series 2015-RP2 Class B3 | ||||
01/25/2053 | 4.250% | 2,412,372 | 2,334,396 |
22 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 |
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 | 23 |
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 |
24 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
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 $8,042,932) | 7,247,683 | |||
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 | 25 |
June 30, 2022 (Unaudited)
U.S. Treasury Obligations 1.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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: $4,164,896,971) | 3,863,874,295 | |
Other Assets & Liabilities, Net | (283,936,059) | |
Net Assets | 3,579,938,236 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | 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 ($) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | 50,000,000 | 50,000,000 | 1.00 | 07/08/2022 | 510,000 | 5 |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 93,240,000 | 93,240,000 | 2.25 | 04/27/2023 | 2,237,760 | 1,367,234 |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 190,320,000 | 190,320,000 | 2.50 | 05/12/2023 | 5,690,568 | 4,290,308 |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 131,500,000 | 131,500,000 | 2.25 | 05/26/2023 | 2,695,750 | 2,098,950 |
26 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Call option contracts purchased (continued) | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | 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) |
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 | 27 |
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. |
28 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
(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 |
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 |
EUR | Euro |
GBP | British Pound |
JPY | Japanese Yen |
USD | US Dollar |
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 | 29 |
June 30, 2022 (Unaudited)
■ | 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). |
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 |
30 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
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 |
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 |
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 | 31 |
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 |
32 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
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. |
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 | 33 |
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) |
34 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
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 |
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 | 35 |
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%. |
36 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
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% | $617,144 |
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 | 37 |
June 30, 2022 (Unaudited)
38 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 | 39 |
June 30, 2022 (Unaudited)
40 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 | 41 |
June 30, 2022 (Unaudited)
42 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 | 43 |
June 30, 2022 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
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 ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 6,793,324* |
Credit risk | Upfront receipts on swap contracts | 21,406,977 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 20,149,966* |
Interest rate risk | Options contracts written, at value | 27,687,025 |
Total | 76,037,292 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Forward foreign currency exchange contracts ($) | 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 ($) |
Credit risk | — | — | — | — | 3,954,905 | 3,954,905 |
Foreign exchange risk | 20,484 | — | — | — | — | 20,484 |
Interest rate risk | — | (13,814,062) | (26,530,637) | 4,388,763 | — | (35,955,936) |
Total | 20,484 | (13,814,062) | (26,530,637) | 4,388,763 | 3,954,905 | (31,980,547) |
44 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Derivative instrument | Average notional amounts ($)* |
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 ($)* |
Forward foreign currency exchange contracts | 18,214 | (8,307) |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2022. |
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 | 45 |
June 30, 2022 (Unaudited)
46 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Citi ($)(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. |
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 | 47 |
June 30, 2022 (Unaudited)
48 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 | 49 |
June 30, 2022 (Unaudited)
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 |
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) |
50 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 | 51 |
June 30, 2022 (Unaudited)
52 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 | 53 |
June 30, 2022 (Unaudited)
54 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
• | 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. |
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 | 55 |
(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). |
56 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
(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.
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 | 57 |
(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.
58 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
3 | |
6 | |
7 | |
14 | |
15 | |
16 | |
18 | |
20 | |
36 | |
36 |
(Unaudited)
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 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 | 3 |
(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 |
4 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 |
(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. |
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) |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 | 5 |
(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 (%) | ||||
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 |
6 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
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 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 | 7 |
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 |
8 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 |
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 | $108,528,695 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
2,397,000 CAD | 1,895,690 USD | Citi | 07/05/2022 | 33,509 | — |
6,061,000 GBP | 7,623,798 USD | Citi | 07/05/2022 | 245,743 | — |
1,830,218 USD | 2,361,000 CAD | Citi | 07/05/2022 | 3,995 | — |
8,850 USD | 11,195 CAD | Citi | 07/05/2022 | — | (152) |
734,408 USD | 684,413 EUR | Citi | 07/05/2022 | — | (17,177) |
4,553,813 USD | 3,750,000 GBP | Citi | 07/05/2022 | 11,062 | — |
1,496,082 USD | 1,195,612 GBP | Citi | 07/05/2022 | — | (40,663) |
8,677 USD | 13,336 NZD | Citi | 07/05/2022 | — | (348) |
79,237 USD | 778,483 SEK | Citi | 07/05/2022 | — | (3,137) |
2,361,000 CAD | 1,830,087 USD | Citi | 08/03/2022 | — | (4,045) |
208,000 GBP | 253,427 USD | Citi | 08/03/2022 | 96 | — |
3,750,000 GBP | 4,556,003 USD | Citi | 08/03/2022 | — | (11,264) |
4,512,073 JPY | 33,269 USD | Citi | 08/03/2022 | — | (46) |
37,813 USD | 54,975 AUD | Citi | 08/03/2022 | 142 | — |
83,415 USD | 107,607 CAD | Citi | 08/03/2022 | 179 | — |
134,000 EUR | 1,393,010 NOK | Citi | 09/21/2022 | 447 | — |
1,638,000 AUD | 1,178,810 USD | Deutsche Bank | 07/05/2022 | 48,180 | — |
2,571,000 DKK | 371,307 USD | Deutsche Bank | 07/05/2022 | 9,069 | — |
21,859,827 EUR | 23,404,979 USD | Deutsche Bank | 07/05/2022 | 496,973 | — |
16,333,755 GBP | 20,639,007 USD | Deutsche Bank | 07/05/2022 | 755,927 | — |
439,962,000 JPY | 3,427,149 USD | Deutsche Bank | 07/05/2022 | 184,505 | — |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 | 9 |
June 30, 2022 (Unaudited)
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | 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 ($) |
EUR Put/NOK Call | Deutsche Bank | EUR | 391,933 | 374,000 | 9.83 | 08/29/2022 | 614 | 614 |
EUR Put/NOK Call | Deutsche Bank | EUR | 291,330 | 278,000 | 9.65 | 09/08/2022 | 247 | 233 |
EUR Put/NOK Call | Citi | EUR | 586,852 | 560,000 | 9.39 | 09/30/2022 | 383 | 237 |
SOFR 1-Year Mid Curve | UBS | USD | 11,641,800 | 48 | 96.63 | 07/15/2022 | 11,400 | 4,200 |
SOFR 1-Year Mid Curve | UBS | USD | 7,033,588 | 29 | 96.50 | 07/15/2022 | 8,700 | 1,450 |
U.S. Treasury 10-Year Note | UBS | USD | 829,719 | 7 | 115.00 | 08/26/2022 | 6,136 | 3,062 |
Total | 27,480 | 9,796 |
10 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Call option contracts written | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Premium received ($) | 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) |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 | 11 |
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% |
(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 |
SOFR | Secured Overnight Financing Rate |
TBA | To Be Announced |
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 |
12 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
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.
■ | 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). |
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 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 | 13 |
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.. |
14 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 |
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) |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 | 15 |
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 |
16 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 | 17 |
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%. |
18 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 |
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% | $111,829 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 | 19 |
June 30, 2022 (Unaudited)
20 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 | 21 |
June 30, 2022 (Unaudited)
22 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 | 23 |
June 30, 2022 (Unaudited)
24 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
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 ($) |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 299,973 |
Foreign exchange risk | Options contracts written, at value | 11 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 144,911* |
Interest rate risk | Options contracts written, at value | 262,837 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 149,120* |
Total | 856,852 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 | 25 |
June 30, 2022 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Forward foreign currency exchange contracts ($) | 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 ($) |
Foreign exchange risk | 2,420,832 | — | 7 | (160) | — | 2,420,679 |
Interest rate risk | — | (96,875) | (17,157) | 3,222 | (115,110) | (225,920) |
Total | 2,420,832 | (96,875) | (17,150) | 3,062 | (115,110) | 2,194,759 |
Derivative instrument | Average notional amounts ($)* |
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 ($)* |
Forward foreign currency exchange contracts | 1,624,284 | (312,534) |
Interest rate swap contracts | 1,746,053 | (1,302,476) |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2022. |
26 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Citi ($) | 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. |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 | 27 |
June 30, 2022 (Unaudited)
28 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Purchases ($) | Sales ($) | Net realized gain (loss) ($) |
93,630 | — | — |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 | 29 |
June 30, 2022 (Unaudited)
Fee rate(s) contractual through April 30, 2023 | |
Class 1 | 0.60% |
Class 2 | 0.85 |
Class 3 | 0.725 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
124,374,000 | 2,918,000 | (14,563,000) | (11,645,000) |
30 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 | 31 |
June 30, 2022 (Unaudited)
32 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 | 33 |
June 30, 2022 (Unaudited)
34 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 | 35 |
• | 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. |
36 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 |
• | 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). |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 | 37 |
38 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 | 39 |
40 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
3 | |
5 | |
6 | |
10 | |
11 | |
12 | |
14 | |
16 | |
23 | |
23 |
(Unaudited)
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 |
CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2022 | 3 |
(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 |
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 |
4 | CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2022 |
(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 (%) | ||||
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 |
CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2022 | 5 |
June 30, 2022 (Unaudited)
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 |
6 | CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2022 |
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 |
CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2022 | 7 |
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: $416,221,569) | 465,813,911 | |
Other Assets & Liabilities, Net | 568,920 | |
Net Assets | 466,382,831 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | 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 |
■ | 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). |
8 | CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
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.
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 |
CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2022 | 9 |
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 |
10 | CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2022 |
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) |
CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2022 | 11 |
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) |
12 | CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2022 |
CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2022 | 13 |
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. |
14 | CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2022 |
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 |
CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2022 | 15 |
June 30, 2022 (Unaudited)
16 | CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2022 | 17 |
June 30, 2022 (Unaudited)
18 | CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
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 |
CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2022 | 19 |
June 30, 2022 (Unaudited)
20 | CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2022 | 21 |
June 30, 2022 (Unaudited)
22 | CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2022 |
• | 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. |
CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2022 | 23 |
• | 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). |
24 | CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2022 |
CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2022 | 25 |
26 | CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2022 |
CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2022 | 27 |
June 30, 2022 (Unaudited)
3 | |
5 | |
6 | |
11 | |
12 | |
13 | |
14 | |
16 | |
26 | |
26 |
(Unaudited)
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 |
Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2022) | |
Common Stocks | 98.6 |
Money Market Funds | 1.4 |
Total | 100.0 |
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 |
4 | Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022 |
(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 (%) | ||||
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 |
Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022 | 5 |
June 30, 2022 (Unaudited)
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 |
6 | Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022 |
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 |
Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022 | 7 |
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 $2,730,175,610) | 2,588,767,664 | |
8 | Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Money Market Funds 1.4% | ||
Shares | Value ($) | |
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: $2,766,837,418) | 2,625,431,098 | |
Other Assets & Liabilities, Net | 2,373,339 | |
Net Assets | 2,627,804,437 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | 10 | 09/2022 | USD | 1,894,750 | 9,855 | — |
S&P 500 Index E-mini | 47 | 09/2022 | USD | 8,905,325 | — | (90,996) |
Total | 9,855 | (90,996) |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | 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 |
ADR | American Depositary Receipt |
USD | US Dollar |
■ | 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. |
Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022 | 9 |
June 30, 2022 (Unaudited)
■ | 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). |
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 |
10 | Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022 |
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 |
Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022 | 11 |
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) |
12 | Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022 |
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) |
Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022 | 13 |
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%. |
14 | Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022 |
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% | $42,254 |
Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022 | 15 |
June 30, 2022 (Unaudited)
16 | Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022 | 17 |
June 30, 2022 (Unaudited)
18 | Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
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 ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 90,996* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Equity risk | (3,256,931) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Equity risk | (81,141) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 24,995,532 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2022. |
Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022 | 19 |
June 30, 2022 (Unaudited)
20 | Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022 | 21 |
June 30, 2022 (Unaudited)
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 |
22 | Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Borrower | 400,000 | 0.86 | 4 |
Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022 | 23 |
June 30, 2022 (Unaudited)
24 | Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022 | 25 |
• | 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. |
26 | Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022 |
• | 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). |
Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022 | 27 |
28 | Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022 |
Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022 | 29 |
30 | Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
3 | |
5 | |
6 | |
12 | |
13 | |
14 | |
16 | |
18 | |
25 | |
25 |
(Unaudited)
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 |
Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2022) | |
Common Stocks | 97.9 |
Money Market Funds | 2.1 |
Rights | 0.0(a) |
Total | 100.0 |
(a) | Rounds to zero. |
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 |
4 | Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022 |
(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 (%) | ||||
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 |
Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022 | 5 |
June 30, 2022 (Unaudited)
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 |
6 | Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022 |
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 |
Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022 | 7 |
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 |
8 | Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022 |
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 $667,533,405) | 589,961,573 | |
Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022 | 9 |
June 30, 2022 (Unaudited)
Rights 0.0% | ||
Issuer | Shares | Value ($) |
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 |
(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 |
CVR | Contingent Value Rights |
10 | Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
■ | 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). |
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 |
* | Rounds to zero. |
Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022 | 11 |
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 |
12 | Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022 |
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) |
Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022 | 13 |
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) |
14 | Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022 |
Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022 | 15 |
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%. |
16 | Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022 |
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 |
Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022 | 17 |
June 30, 2022 (Unaudited)
18 | Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022 | 19 |
June 30, 2022 (Unaudited)
20 | Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
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 |
Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022 | 21 |
June 30, 2022 (Unaudited)
22 | Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022 | 23 |
June 30, 2022 (Unaudited)
24 | Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022 |
• | 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. |
Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022 | 25 |
• | 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). |
26 | Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022 |
Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022 | 27 |
28 | Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022 |
Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022 | 29 |
June 30, 2022 (Unaudited)
3 | |
5 | |
6 | |
9 | |
10 | |
11 | |
12 | |
14 | |
21 | |
21 |
(Unaudited)
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 |
CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2022) | |
Common Stocks | 93.9 |
Money Market Funds | 6.1 |
Total | 100.0 |
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 |
4 | CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2022 |
(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 (%) | ||||
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 |
CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2022 | 5 |
June 30, 2022 (Unaudited)
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 |
6 | CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2022 |
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: $1,577,557,658) | 1,235,632,624 | |
Other Assets & Liabilities, Net | (76,006) | |
Net Assets | 1,235,556,618 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | 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 |
■ | 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.). |
CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2022 | 7 |
June 30, 2022 (Unaudited)
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
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 |
8 | CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2022 |
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 |
CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2022 | 9 |
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) |
10 | CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2022 |
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 |
CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2022 | 11 |
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%. |
12 | CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2022 |
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% | $9,269 |
CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2022 | 13 |
June 30, 2022 (Unaudited)
14 | CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2022 | 15 |
June 30, 2022 (Unaudited)
16 | CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
May 1, 2022 through April 30, 2023 | Prior to May 1, 2022 | |
Class 1 | 0.73% | 0.74% |
Class 2 | 0.98 | 0.99 |
CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2022 | 17 |
June 30, 2022 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 3,933,333 | 0.93 | 3 |
18 | CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2022 | 19 |
June 30, 2022 (Unaudited)
20 | CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2022 |
• | 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. |
CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2022 | 21 |
• | 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). |
22 | CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2022 |
CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2022 | 23 |
24 | CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2022 |
CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2022 | 25 |
June 30, 2022 (Unaudited)
3 | |
6 | |
7 | |
26 | |
27 | |
28 | |
30 | |
32 | |
46 | |
46 |
(Unaudited)
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 |
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 | 3 |
(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 |
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 |
4 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 |
(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 |
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 | 5 |
(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 ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 881.90 | 1,022.36 | 2.29 | 2.46 | 0.49 |
Class 2 | 1,000.00 | 1,000.00 | 880.50 | 1,021.12 | 3.45 | 3.71 | 0.74 |
6 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Asset-Backed Securities — Non-Agency 10.5% | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 ($) | |
Castlelake Aircraft Securitization Trust(a) | ||||
Series 2018-1 Class A | ||||
06/15/2043 | 4.125% | 3,122,944 | 2,806,744 | |
Castlelake Aircraft Structured Trust(a) | ||||
Series 2017-1R Class A | ||||
08/15/2041 | 2.741% | 4,581,812 | 4,072,954 | |
Clsec Holdings LLC | ||||
Subordinated Series 2021-1 Class C | ||||
05/11/2037 | 6.171% | 12,804,706 | 10,917,884 | |
Cologix Canadian Issuer LP(a) | ||||
Series 2022-1CAN Class A2 | ||||
01/25/2052 | 4.940% | CAD | 10,300,000 | 7,470,877 |
Dewolf Park CLO Ltd.(a),(b) | ||||
Series 2017-1A Class CR | ||||
3-month USD LIBOR + 1.850% Floor 1.850% 10/15/2030 | 2.894% | 5,000,000 | 4,716,385 | |
DI Issuer LLC(a) | ||||
Series 2021-1A Class A2 | ||||
09/15/2051 | 3.722% | 13,300,000 | 12,086,156 | |
Dryden CLO Ltd.(a),(b) | ||||
Series 2019-72A Class CR | ||||
3-month USD LIBOR + 1.850% Floor 1.850% 05/15/2032 | 3.261% | 4,550,000 | 4,224,657 | |
Edgeconnex Data Centers Issuer LLC(a) | ||||
Series 2022-1 Class A2 | ||||
03/25/2052 | 4.250% | 5,851,232 | 5,540,735 | |
Flexential Issuer(a) | ||||
Series 2021-1A Class A2 | ||||
11/27/2051 | 3.250% | 12,525,000 | 11,402,422 | |
Goldentree Loan Management US CLO 4 Ltd.(a),(b) | ||||
Series 2019-4A Class CR | ||||
3-month USD LIBOR + 2.000% Floor 2.000% 04/24/2031 | 3.184% | 7,785,000 | 7,289,025 | |
Goodgreen(a),(c) | ||||
Series 2018-1A Class A | ||||
10/15/2053 | 3.930% | 3,967,102 | 3,742,426 | |
Goodgreen Trust(a) | ||||
Series 2021-1A Class A | ||||
10/15/2056 | 2.660% | 3,393,366 | 3,073,827 | |
KKR CLO Ltd.(a),(b) | ||||
Series 2018 Class CR | ||||
3-month USD LIBOR + 2.100% Floor 2.100% 07/18/2030 | 3.144% | 3,525,000 | 3,349,384 |
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 | 7 |
June 30, 2022 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 $272,079,979) | 248,930,743 | |||
Commercial Mortgage-Backed Securities - Non-Agency 3.8% | ||||
BBCMS Mortgage Trust(a),(b) | ||||
Subordinated Series 2019-BWAY Class E | ||||
1-month USD LIBOR + 2.850% Floor 2.850% 11/25/2034 | 4.174% | 8,236,000 | 7,817,900 |
8 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 ($) | |
TransDigm, Inc. | ||||
01/15/2029 | 4.625% | 3,445,000 | 2,773,473 | |
United Technologies Corp. | ||||
11/16/2028 | 4.125% | 3,575,000 | 3,531,893 | |
Total | 8,685,405 | |||
Agencies 0.1% | ||||
Tennessee Valley Authority | ||||
09/15/2031 | 1.500% | 2,100,000 | 1,772,614 | |
Airlines 1.0% | ||||
Air Canada(a) | ||||
08/15/2026 | 3.875% | 9,885,000 | 8,390,270 | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd.(a) | ||||
04/20/2026 | 5.500% | 9,381,000 | 8,642,779 | |
British Airways Pass-Through Trust(a) | ||||
03/15/2035 | 2.900% | 1,428,999 | 1,225,078 | |
Delta Air Lines, Inc./SkyMiles IP Ltd.(a) | ||||
10/20/2028 | 4.750% | 4,384,000 | 4,137,785 | |
United Airlines Pass-Through Trust | ||||
Series 2020-1 Class B | ||||
01/15/2026 | 4.875% | 1,782,010 | 1,686,364 | |
Total | 24,082,276 | |||
Automotive 0.7% | ||||
Aptiv PLC | ||||
12/01/2051 | 3.100% | 1,940,000 | 1,251,737 | |
Ford Motor Credit Co. LLC | ||||
11/13/2025 | 3.375% | 4,245,000 | 3,821,894 | |
02/10/2029 | 2.900% | 3,354,000 | 2,629,550 | |
General Motors Co. | ||||
04/01/2038 | 5.150% | 1,855,000 | 1,624,235 | |
General Motors Financial Co., Inc. | ||||
06/20/2025 | 2.750% | 5,666,000 | 5,339,018 | |
10/15/2028 | 2.400% | 2,032,000 | 1,686,058 | |
Total | 16,352,492 | |||
Banking 6.2% | ||||
Ally Financial, Inc. | ||||
06/09/2027 | 4.750% | 1,547,000 | 1,485,673 | |
Banco Santander SA(e) | ||||
09/14/2027 | 1.722% | 2,000,000 | 1,736,500 | |
03/24/2028 | 4.175% | 1,000,000 | 955,659 | |
Banco Santander SA | ||||
Subordinated | ||||
11/19/2025 | 5.179% | 2,600,000 | 2,607,050 |
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 | 9 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 ($) | |
National Australia Bank Ltd.(a) | ||||
Subordinated | ||||
08/21/2030 | 2.332% | 1,736,000 | 1,395,852 | |
PNC Financial Services Group, Inc. (The)(e) | ||||
12/31/2049 | 3.400% | 2,304,000 | 1,755,578 | |
Subordinated | ||||
06/06/2033 | 4.626% | 957,000 | 925,284 | |
Societe Generale SA(a) | ||||
06/13/2025 | 4.351% | 1,990,000 | 1,984,671 | |
Societe Generale SA(a),(e) | ||||
06/09/2027 | 1.792% | 2,310,000 | 2,014,035 | |
Swedbank AB(a) | ||||
04/04/2025 | 3.356% | 652,000 | 640,935 | |
Toronto-Dominion Bank (The) | ||||
06/08/2032 | 4.456% | 1,094,000 | 1,081,777 | |
Truist Financial Corp.(e) | ||||
06/06/2028 | 4.123% | 984,000 | 971,542 | |
UBS Group AG(a),(e) | ||||
05/12/2026 | 4.488% | 3,314,000 | 3,301,441 | |
08/10/2027 | 1.494% | 2,865,000 | 2,502,235 | |
05/12/2028 | 4.751% | 479,000 | 473,912 | |
UniCredit SpA(a),(e) | ||||
Subordinated | ||||
06/19/2032 | 5.861% | 4,455,000 | 3,936,879 | |
US Bancorp(e) | ||||
Subordinated | ||||
11/03/2036 | 2.491% | 2,845,000 | 2,322,669 | |
Wells Fargo & Co.(e) | ||||
03/24/2028 | 3.526% | 1,458,000 | 1,383,515 | |
04/30/2041 | 3.068% | 3,995,000 | 3,113,673 | |
04/25/2053 | 4.611% | 1,100,000 | 1,017,948 | |
Westpac Banking Corp.(e) | ||||
Subordinated | ||||
02/04/2030 | 2.894% | 1,355,000 | 1,284,113 | |
Total | 147,695,351 | |||
Brokerage/Asset Managers/Exchanges 0.2% | ||||
Blue Owl Finance LLC(a) | ||||
06/10/2031 | 3.125% | 597,000 | 459,072 | |
10/07/2051 | 4.125% | 1,281,000 | 849,888 | |
Coinbase Global, Inc.(a) | ||||
10/01/2028 | 3.375% | 3,413,000 | 2,132,182 | |
Intercontinental Exchange, Inc. | ||||
06/15/2029 | 4.350% | 939,000 | 925,874 | |
Total | 4,367,016 |
10 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 ($) | |
Consumer Products 0.3% | ||||
Clorox Co. (The) | ||||
05/01/2032 | 4.600% | 4,440,000 | 4,457,453 | |
GSK Consumer Healthcare Capital US LLC(a) | ||||
03/24/2052 | 4.000% | 1,150,000 | 991,278 | |
Tempur Sealy International, Inc.(a) | ||||
10/15/2031 | 3.875% | 2,336,000 | 1,751,210 | |
Total | 7,199,941 | |||
Diversified Manufacturing 0.3% | ||||
GE Capital International Funding Co. Unlimited Co. | ||||
11/15/2035 | 4.418% | 4,583,000 | 4,289,372 | |
Wabtec Corp.(e) | ||||
09/15/2028 | 4.950% | 3,442,000 | 3,310,113 | |
Total | 7,599,485 | |||
Electric 2.2% | ||||
AEP Texas, Inc. | ||||
07/01/2030 | 2.100% | 2,760,000 | 2,296,796 | |
Ameren Corp. | ||||
01/15/2031 | 3.500% | 2,975,000 | 2,726,219 | |
Baltimore Gas and Electric Co. | ||||
06/15/2031 | 2.250% | 1,623,000 | 1,383,374 | |
06/01/2052 | 4.550% | 867,000 | 840,600 | |
CenterPoint Energy, Inc. | ||||
06/01/2031 | 2.650% | 1,923,000 | 1,639,962 | |
Commonwealth Edison Co. | ||||
11/15/2049 | 3.200% | 2,730,000 | 2,125,630 | |
Dominion Energy, Inc. | ||||
08/01/2041 | 4.900% | 1,890,000 | 1,812,133 | |
Duke Energy Carolinas LLC | ||||
04/15/2031 | 2.550% | 1,050,000 | 919,706 | |
Duke Energy Corp. | ||||
06/15/2031 | 2.550% | 1,160,000 | 964,411 | |
Duke Energy Florida LLC | ||||
06/15/2030 | 1.750% | 1,845,000 | 1,534,598 | |
11/15/2042 | 3.850% | 340,000 | 295,576 | |
Duke Energy Progress LLC | ||||
12/01/2044 | 4.150% | 3,185,000 | 2,853,180 | |
Entergy Arkansas LLC | ||||
06/15/2051 | 2.650% | 1,410,000 | 981,485 | |
Exelon Corp. | ||||
04/15/2046 | 4.450% | 905,000 | 816,653 | |
Exelon Corp.(a) | ||||
03/15/2052 | 4.100% | 513,000 | 440,124 | |
FEL Energy VI Sarl(a) | ||||
12/01/2040 | 5.750% | 4,426,874 | 3,236,899 |
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 | 11 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 |
12 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 |
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 ($) | |
Universal Health Services, Inc.(a) | ||||
09/01/2026 | 1.650% | 3,813,000 | 3,303,440 | |
10/15/2030 | 2.650% | 4,480,000 | 3,570,241 | |
Total | 27,025,605 | |||
Healthcare Insurance 0.4% | ||||
Centene Corp. | ||||
12/15/2029 | 4.625% | 3,567,000 | 3,326,182 | |
02/15/2030 | 3.375% | 3,474,000 | 2,946,243 | |
Humana, Inc. | ||||
02/03/2032 | 2.150% | 2,730,000 | 2,210,307 | |
Total | 8,482,732 | |||
Home Construction 0.4% | ||||
DR Horton, Inc. | ||||
10/15/2024 | 2.500% | 2,850,000 | 2,722,183 | |
KB Home | ||||
11/15/2029 | 4.800% | 4,675,000 | 3,934,378 | |
Meritage Homes Corp.(a) | ||||
04/15/2029 | 3.875% | 3,135,000 | 2,600,472 | |
Total | 9,257,033 | |||
Independent Energy 0.8% | ||||
Aker BP ASA(a) | ||||
01/15/2030 | 3.750% | 3,030,000 | 2,714,583 | |
01/15/2031 | 4.000% | 1,280,000 | 1,150,301 | |
Antero Resources Corp.(a) | ||||
02/01/2029 | 7.625% | 2,897,000 | 2,957,302 | |
Continental Resources, Inc.(a) | ||||
11/15/2026 | 2.268% | 2,040,000 | 1,809,789 | |
04/01/2032 | 2.875% | 1,436,000 | 1,123,032 | |
Geopark Ltd.(a) | ||||
01/17/2027 | 5.500% | 2,250,000 | 1,884,816 | |
MEG Energy Corp.(a) | ||||
02/01/2029 | 5.875% | 4,635,000 | 4,237,815 | |
Southwestern Energy Co. | ||||
03/15/2030 | 5.375% | 4,742,000 | 4,363,081 | |
Total | 20,240,719 | |||
Integrated Energy 0.1% | ||||
BP Capital Markets America, Inc. | ||||
06/17/2041 | 3.060% | 1,720,000 | 1,339,618 | |
Cenovus Energy, Inc. | ||||
01/15/2032 | 2.650% | 1,910,000 | 1,581,936 | |
Total | 2,921,554 | |||
Leisure 0.1% | ||||
Carnival Corp.(a) | ||||
03/01/2027 | 5.750% | 2,393,000 | 1,728,673 |
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 | 13 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 ($) | |
Netflix, Inc. | ||||
02/15/2025 | 5.875% | 1,175,000 | 1,193,775 | |
04/15/2028 | 4.875% | 3,258,000 | 3,075,965 | |
11/15/2028 | 5.875% | 1,110,000 | 1,086,619 | |
Take-Two Interactive Software, Inc. | ||||
04/14/2032 | 4.000% | 1,205,000 | 1,131,329 | |
Viacom, Inc. | ||||
03/15/2043 | 4.375% | 1,815,000 | 1,405,865 | |
ViacomCBS, Inc. | ||||
01/15/2031 | 4.950% | 1,185,000 | 1,128,466 | |
Walt Disney Co. (The) | ||||
05/13/2040 | 3.500% | 1,905,000 | 1,626,734 | |
Total | 20,686,945 | |||
Metals and Mining 0.8% | ||||
Alcoa Nederland Holding BV(a) | ||||
03/31/2029 | 4.125% | 2,840,000 | 2,542,842 | |
Freeport-McMoRan, Inc. | ||||
08/01/2030 | 4.625% | 9,046,000 | 8,388,807 | |
Glencore Funding LLC(a) | ||||
09/23/2031 | 2.625% | 2,975,000 | 2,399,152 | |
Minera Mexico SA de CV(a) | ||||
01/26/2050 | 4.500% | 3,200,000 | 2,471,158 | |
Nucor Corp. | ||||
04/01/2032 | 3.125% | 1,255,000 | 1,093,966 | |
South32 Treasury Ltd.(a) | ||||
04/14/2032 | 4.350% | 2,125,000 | 1,984,608 | |
Teck Resources Ltd. | ||||
07/15/2041 | 6.250% | 1,105,000 | 1,137,969 | |
Total | 20,018,502 | |||
Midstream 1.0% | ||||
Enbridge, Inc. | ||||
08/01/2051 | 3.400% | 800,000 | 603,728 | |
Energy Transfer Operating LP | ||||
04/15/2029 | 5.250% | 4,110,000 | 4,072,798 | |
Energy Transfer Partners LP | ||||
03/15/2035 | 4.900% | 1,870,000 | 1,684,760 | |
Enterprise Products Operating LLC | ||||
03/15/2044 | 4.850% | 2,795,000 | 2,539,027 | |
02/15/2053 | 3.300% | 1,473,000 | 1,073,959 | |
Galaxy Pipeline Assets Bidco Ltd.(a) | ||||
09/30/2040 | 2.940% | 5,895,660 | 4,814,843 | |
Kinder Morgan Energy Partners LP | ||||
09/01/2039 | 6.500% | 1,736,000 | 1,780,078 | |
MPLX LP | ||||
08/15/2030 | 2.650% | 2,000,000 | 1,669,763 |
14 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 ($) | |
Other Utility 0.2% | ||||
American Water Capital Corp. | ||||
06/01/2032 | 4.450% | 3,070,000 | 3,051,586 | |
Essential Utilities, Inc. | ||||
04/15/2030 | 2.704% | 2,570,000 | 2,246,120 | |
Total | 5,297,706 | |||
Packaging 0.1% | ||||
Sonoco Products Co. | ||||
02/01/2027 | 2.250% | 2,795,000 | 2,516,272 | |
Paper 0.1% | ||||
Georgia-Pacific LLC(a) | ||||
04/30/2027 | 2.100% | 3,105,000 | 2,841,549 | |
Pharmaceuticals 0.8% | ||||
AbbVie, Inc. | ||||
11/21/2029 | 3.200% | 2,885,000 | 2,652,569 | |
11/06/2042 | 4.400% | 2,700,000 | 2,454,644 | |
Bristol Myers Squibb Co. | ||||
03/15/2032 | 2.950% | 2,680,000 | 2,460,049 | |
11/13/2050 | 2.550% | 1,968,000 | 1,391,521 | |
CSL Finance PLC(a) | ||||
04/27/2032 | 4.250% | 1,600,000 | 1,564,443 | |
Merck & Co., Inc. | ||||
06/10/2027 | 1.700% | 2,175,000 | 1,977,078 | |
Roche Holdings, Inc.(a) | ||||
12/13/2051 | 2.607% | 2,850,000 | 2,081,582 | |
Royalty Pharma PLC | ||||
09/02/2030 | 2.200% | 3,545,000 | 2,860,956 | |
Viatris, Inc. | ||||
06/22/2050 | 4.000% | 888,000 | 591,685 | |
Total | 18,034,527 | |||
Property & Casualty 0.2% | ||||
Alleghany Corp. | ||||
08/15/2051 | 3.250% | 1,440,000 | 1,060,079 | |
American International Group, Inc. | ||||
05/01/2036 | 6.250% | 2,600,000 | 2,925,225 | |
Total | 3,985,304 | |||
Railroads 0.3% | ||||
Burlington Northern Santa Fe LLC | ||||
04/01/2045 | 4.150% | 2,035,000 | 1,853,202 | |
09/15/2051 | 3.300% | 1,325,000 | 1,064,953 | |
Norfolk Southern Corp. | ||||
06/01/2053 | 4.550% | 1,290,000 | 1,218,111 |
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 | 15 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 ($) | |
Intel Corp. | ||||
08/12/2041 | 2.800% | 3,900,000 | 2,967,611 | |
08/12/2061 | 3.200% | 2,707,000 | 1,974,793 | |
KLA Corp. | ||||
07/15/2032 | 4.650% | 938,000 | 958,575 | |
Microchip Technology, Inc. | ||||
09/01/2025 | 4.250% | 4,865,000 | 4,746,119 | |
Moody’s Corp. | ||||
08/18/2060 | 2.550% | 1,610,000 | 997,187 | |
NCR Corp.(a) | ||||
04/15/2029 | 5.125% | 3,000,000 | 2,543,504 | |
Oracle Corp. | ||||
04/01/2040 | 3.600% | 2,325,000 | 1,741,284 | |
Qorvo, Inc. | ||||
10/15/2029 | 4.375% | 2,401,000 | 2,113,440 | |
Qorvo, Inc.(a) | ||||
04/01/2031 | 3.375% | 866,000 | 684,740 | |
Total | 30,214,677 | |||
Transportation Services 0.1% | ||||
GXO Logistics, Inc. | ||||
07/15/2031 | 2.650% | 2,318,000 | 1,827,080 | |
Wireless 0.8% | ||||
American Tower Corp. | ||||
07/15/2027 | 3.550% | 1,955,000 | 1,835,598 | |
03/15/2029 | 3.950% | 485,000 | 451,644 | |
Sprint Corp. | ||||
02/15/2025 | 7.625% | 5,325,000 | 5,558,874 | |
T-Mobile USA, Inc. | ||||
02/01/2028 | 4.750% | 5,258,000 | 5,068,365 | |
02/15/2031 | 2.550% | 1,670,000 | 1,404,886 | |
04/15/2031 | 3.500% | 2,520,000 | 2,181,733 | |
Vodafone Group PLC(e) | ||||
06/04/2081 | 4.125% | 3,030,000 | 2,273,658 | |
Total | 18,774,758 | |||
Wirelines 1.2% | ||||
AT&T, Inc. | ||||
03/01/2029 | 4.350% | 5,930,000 | 5,844,013 | |
05/15/2035 | 4.500% | 1,300,000 | 1,232,485 | |
08/15/2037 | 4.900% | 2,365,000 | 2,343,695 | |
03/09/2049 | 4.550% | 2,503,000 | 2,275,709 | |
09/15/2055 | 3.550% | 1,176,000 | 881,310 | |
Level 3 Financing, Inc.(a) | ||||
09/15/2027 | 4.625% | 2,284,000 | 1,963,687 | |
Telecom Italia Capital SA | ||||
11/15/2033 | 6.375% | 3,600,000 | 2,783,649 |
16 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 ($) | |
Higher Education 0.1% | ||||
California State University | ||||
Taxable Refunding Revenue Bonds | ||||
Series 2020B | ||||
11/01/2051 | 2.975% | 2,250,000 | 1,772,230 | |
Los Angeles Community College District | ||||
Unlimited General Obligation Bonds | ||||
Build America Bonds | ||||
Series 2010 | ||||
08/01/2049 | 6.750% | 800,000 | 1,101,686 | |
Rutgers, The State University of New Jersey | ||||
Revenue Bonds | ||||
Build America Bonds | ||||
Series 2010 | ||||
05/01/2040 | 5.665% | 525,000 | 586,841 | |
Total | 3,460,757 |
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 | 17 |
June 30, 2022 (Unaudited)
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | 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 ($) | |
Refunded / Escrowed 0.0% | ||||
City of Chicago | ||||
Prerefunded 01/01/23 Unlimited General Obligation Bonds | ||||
Taxable | ||||
Series 2017B | ||||
01/01/2029 | 7.045% | 95,000 | 96,765 | |
Sales Tax 0.1% | ||||
Santa Clara Valley Transportation Authority | ||||
Revenue Bonds | ||||
Series 2010 (BAM) | ||||
04/01/2032 | 5.876% | 2,220,000 | 2,410,484 | |
Special Non Property Tax 0.1% | ||||
Missouri Highway & Transportation Commission | ||||
Revenue Bonds | ||||
Build America Bonds | ||||
Series 2009 | ||||
05/01/2033 | 5.445% | 1,700,000 | 1,861,709 | |
New York State Dormitory Authority | ||||
Unrefunded Revenue Bonds | ||||
Taxable | ||||
Series 2019F | ||||
02/15/2043 | 3.190% | 1,265,000 | 1,037,575 | |
Total | 2,899,284 | |||
State Appropriated 0.2% | ||||
Kentucky Turnpike Authority | ||||
Revenue Bonds | ||||
Build America Bonds | ||||
Series 2010B | ||||
07/01/2030 | 5.722% | 2,050,000 | 2,267,704 | |
Michigan Strategic Fund | ||||
Taxable Revenue Bonds | ||||
Flint Water Advocacy Fund | ||||
Series 2021 | ||||
09/01/2047 | 3.225% | 3,550,000 | 2,744,588 | |
Total | 5,012,292 | |||
State General Obligation 0.3% | ||||
State of California | ||||
Unlimited General Obligation Bonds | ||||
Build America Bonds | ||||
Series 2009 | ||||
10/01/2039 | 7.300% | 3,445,000 | 4,456,475 | |
Unlimited General Obligation Refunding Bonds | ||||
Taxable | ||||
Series 2018 | ||||
04/01/2038 | 4.600% | 2,335,000 | 2,361,026 | |
Total | 6,817,501 |
18 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | 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 ($) | |
Federal Home Loan Mortgage Corp.(b) | ||||
12-month USD LIBOR + 1.872% Cap 10.057% 07/01/2036 | 2.692% | 734,072 | 752,204 | |
1-year CMT + 2.135% Cap 10.643% 10/01/2036 | 2.196% | 536,337 | 554,160 | |
1-year CMT + 2.256% Cap 10.179% 04/01/2037 | 2.499% | 646,579 | 665,519 | |
12-month USD LIBOR + 1.882% Cap 9.165% 07/01/2041 | 2.307% | 347,724 | 357,799 | |
12-month USD LIBOR + 1.650% Cap 7.148% 12/01/2042 | 1.900% | 386,191 | 388,723 | |
Federal Home Loan Mortgage Corp. | ||||
02/01/2038 | 6.000% | 306,536 | 336,384 | |
03/01/2042- 01/01/2052 | 2.500% | 33,349,215 | 30,325,587 | |
07/01/2051- 12/01/2051 | 3.000% | 27,786,344 | 26,023,487 | |
08/01/2051 | 2.000% | 11,031,604 | 9,625,871 | |
05/01/2052 | 3.500% | 5,766,648 | 5,569,975 | |
05/01/2052- 06/01/2052 | 4.000% | 16,683,232 | 16,506,789 | |
Federal Home Loan Mortgage Corp.(g) | ||||
05/01/2052 | 4.000% | 7,109,638 | 7,063,110 | |
Federal Home Loan Mortgage Corp. REMICS(h) | ||||
CMO Series 5146 Class DI | ||||
07/25/2039 | 5.500% | 3,709,270 | 710,932 | |
Federal National Mortgage Association | ||||
12/01/2033- 09/01/2037 | 6.000% | 669,777 | 732,448 | |
03/01/2034- 04/01/2052 | 3.500% | 24,123,561 | 23,665,778 | |
06/01/2036- 03/01/2052 | 2.000% | 39,920,159 | 36,091,308 | |
04/01/2039- 11/01/2040 | 4.500% | 5,206,224 | 5,375,195 | |
05/01/2039 | 6.500% | 193,247 | 215,782 | |
08/01/2041- 11/01/2059 | 4.000% | 48,859,248 | 48,502,912 | |
03/01/2042- 03/01/2052 | 2.500% | 42,596,057 | 38,755,378 | |
05/01/2050- 02/01/2052 | 3.000% | 14,327,066 | 13,499,400 |
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 | 19 |
June 30, 2022 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 |
20 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 |
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 |
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 | 21 |
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 ($) | |
U.S. Treasury | ||||
03/31/2024 | 2.250% | 15,000,000 | 14,811,328 | |
01/15/2025 | 1.125% | 35,000,000 | 33,373,047 | |
02/15/2025 | 1.500% | 38,000,000 | 36,518,594 | |
03/15/2025 | 1.750% | 70,000,000 | 67,675,782 | |
06/15/2025 | 2.875% | 8,300,000 | 8,267,578 | |
03/31/2027 | 2.500% | 58,000,000 | 56,595,312 | |
04/30/2027 | 2.750% | 26,000,000 | 25,650,625 | |
05/31/2027 | 2.625% | 65,000,000 | 63,771,094 | |
04/30/2029 | 2.875% | 11,000,000 | 10,872,813 | |
02/15/2032 | 1.875% | 3,000,000 | 2,717,813 | |
05/15/2032 | 2.875% | 14,000,000 | 13,844,688 | |
02/15/2039 | 3.500% | 7,350,000 | 7,675,008 | |
08/15/2040 | 1.125% | 5,000,000 | 3,452,344 | |
11/15/2040 | 1.375% | 6,000,000 | 4,320,000 | |
02/15/2041 | 1.875% | 17,000,000 | 13,331,719 | |
05/15/2041 | 2.250% | 15,000,000 | 12,510,938 | |
08/15/2041 | 3.750% | 2,000,000 | 2,100,625 | |
11/15/2041 | 2.000% | 2,500,000 | 1,985,156 | |
11/15/2041 | 3.125% | 6,400,000 | 6,140,000 | |
02/15/2042 | 2.375% | 19,000,000 | 16,108,437 | |
05/15/2042 | 3.000% | 15,000,000 | 14,048,437 | |
05/15/2042 | 3.250% | 23,500,000 | 22,938,203 | |
02/15/2044 | 3.625% | 900,000 | 922,781 | |
11/15/2044 | 3.000% | 15,000,000 | 13,893,750 | |
11/15/2047 | 2.750% | 3,000,000 | 2,686,875 | |
08/15/2049 | 2.250% | 14,100,000 | 11,568,609 | |
11/15/2049 | 2.375% | 14,000,000 | 11,821,250 | |
02/15/2051 | 1.875% | 5,500,000 | 4,125,859 | |
05/15/2051 | 2.375% | 12,500,000 | 10,552,734 | |
11/15/2051 | 1.875% | 5,000,000 | 3,752,344 | |
02/15/2052 | 2.250% | 13,500,000 | 11,110,078 |
22 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
U.S. Treasury Obligations (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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: $2,717,196,735) | 2,480,933,211 | |
Other Assets & Liabilities, Net | (101,910,286) | |
Net Assets | 2,379,022,925 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | 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 | — |
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 | 23 |
June 30, 2022 (Unaudited)
(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 |
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 |
CAD | Canada Dollar |
MXN | Mexican Peso |
USD | US Dollar |
■ | 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). |
24 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
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.
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 |
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 | 25 |
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 |
26 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 |
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) |
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 | 27 |
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) |
28 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 |
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 | 29 |
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%. |
30 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 |
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% | $11,701 |
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 | 31 |
June 30, 2022 (Unaudited)
32 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 | 33 |
June 30, 2022 (Unaudited)
34 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 | 35 |
June 30, 2022 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
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 ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 638,311* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
36 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Forward foreign currency exchange contracts ($) | 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 ($) | ||
Credit risk | — | — | 5,921,515 | 5,921,515 | ||
Foreign exchange risk | 961,033 | — | — | 961,033 | ||
Interest rate risk | — | (8,603) | — | (8,603) | ||
Total | 961,033 | (8,603) | 5,921,515 | 6,873,945 |
Derivative instrument | Average notional amounts ($)* |
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. |
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 | 37 |
June 30, 2022 (Unaudited)
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. |
38 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 | 39 |
June 30, 2022 (Unaudited)
40 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Fee rate(s) contractual through April 30, 2023 | |
Class 1 | 0.54% |
Class 2 | 0.79 |
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) |
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 | 41 |
June 30, 2022 (Unaudited)
42 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 | 43 |
June 30, 2022 (Unaudited)
44 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 | 45 |
• | 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. |
46 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 |
• | 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). |
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 | 47 |
48 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 |
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 | 49 |
50 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
3 | |
5 | |
6 | |
62 | |
63 | |
64 | |
66 | |
68 | |
82 | |
82 |
(Unaudited)
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 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 | 3 |
(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 |
(a) | Rounds to zero. |
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 |
(a) | Rounds to zero. |
4 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
(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 ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 893.90 | 1,022.46 | 2.21 | 2.36 | 0.47 |
Class 2 | 1,000.00 | 1,000.00 | 891.60 | 1,021.22 | 3.38 | 3.61 | 0.72 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 | 5 |
June 30, 2022 (Unaudited)
Asset-Backed Securities — Non-Agency 9.4% | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 ($) | |
Series 2022-A2 Class A | ||||
05/15/2027 | 3.490% | 8,659,000 | 8,641,511 | |
Cars Net Lease Mortgage Notes(a) | ||||
Series 2020-1A Class A3 | ||||
12/15/2050 | 3.100% | 853,550 | 801,188 | |
Carvana Auto Receivables Trust(a) | ||||
Series 2019-2A Class C | ||||
06/17/2024 | 3.000% | 621,523 | 621,574 | |
Subordinated Series 2019-3A Class D | ||||
04/15/2025 | 3.040% | 4,440,000 | 4,413,577 | |
Chase Funding Trust(b) | ||||
Series 2003-2 Class 2A2 | ||||
1-month USD LIBOR + 0.560% Floor 0.560% 02/25/2033 | 2.184% | 558,545 | 533,141 | |
Chase Funding Trust(c) | ||||
Series 2003-4 Class 1A5 | ||||
05/25/2033 | 5.916% | 196,549 | 193,258 | |
Series 2003-6 Class 1A5 | ||||
11/25/2034 | 5.850% | 158,993 | 153,812 | |
College Ave Student Loans LLC(a),(b) | ||||
Series 2017-A Class A1 | ||||
1-month USD LIBOR + 1.650% Floor 1.650% 11/26/2046 | 3.274% | 744,351 | 739,705 | |
College Ave Student Loans LLC(a) | ||||
Series 2018-A Class A2 | ||||
12/26/2047 | 4.130% | 443,567 | 437,365 | |
Series 2019-A Class A2 | ||||
12/28/2048 | 3.280% | 1,087,125 | 1,047,512 | |
Series 2021-A Class A2 | ||||
07/25/2051 | 1.600% | 2,539,944 | 2,279,409 | |
Conix Mortgage Asset Trust(a),(d),(e),(f) | ||||
Series 2013-1 Class A | ||||
12/25/2047 | 0.000% | 1,078,519 | 17,041 | |
Consumer Receivables Asset Investment Trust(a),(b) | ||||
Series 2021-1 Class A1X | ||||
3-month USD LIBOR + 3.000% Floor 3.000% 03/24/2023 | 4.524% | 3,249,603 | 3,224,390 | |
COOF Securitization Trust Ltd.(a),(c),(f),(g) | ||||
CMO Series 2014-1 Class A | ||||
06/25/2040 | 2.792% | 391,663 | 24,933 | |
Credit Acceptance Auto Loan Trust(a) | ||||
Series 2021-2A Class A | ||||
02/15/2030 | 0.960% | 1,250,000 | 1,197,085 |
6 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 | 7 |
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 |
8 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
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 ($) | |
Series 2005-2 Class A5 | ||||
3-month USD LIBOR + 0.100% Floor 0.100% 03/23/2037 | 2.196% | 4,311,820 | 4,166,031 | |
Series 2005-3 Class A5 | ||||
3-month USD LIBOR + 0.120% Floor 0.120% 12/24/2035 | 2.216% | 5,176,677 | 5,147,483 | |
Series 2005-4 Class A4 | ||||
3-month USD LIBOR + 0.180% Floor 0.180% 03/22/2032 | 2.276% | 413,052 | 390,991 | |
Nissan Auto Lease Trust | ||||
Series 2022-A Class A3 | ||||
05/15/2025 | 3.810% | 3,654,000 | 3,655,322 | |
Octane Receivables Trust(a) | ||||
Subordinated Series 2021-1A Class B | ||||
04/20/2027 | 1.530% | 700,000 | 637,113 | |
Subordinated Series 2021-1A Class C | ||||
11/20/2028 | 2.230% | 600,000 | 552,280 | |
Oportun Funding XIV LLC(a) | ||||
Series 2021-1 Class A | ||||
03/08/2028 | 1.210% | 1,385,000 | 1,303,719 | |
Oportun Issuance Trust(a) | ||||
Subordinated Series 2022-A Class C | ||||
06/09/2031 | 7.400% | 5,250,000 | 5,166,562 | |
Pagaya AI Debt Selection Trust(a) | ||||
Series 2021-1 Class B | ||||
11/15/2027 | 2.130% | 4,498,146 | 4,276,518 | |
Regional Management Issuance Trust(a) | ||||
Subordinated Series 2021-2 Class D | ||||
08/15/2033 | 4.940% | 4,300,000 | 3,392,003 | |
Renew(a) | ||||
Series 2017-1A Class A | ||||
09/20/2052 | 3.670% | 237,673 | 222,047 | |
Santander Drive Auto Receivables Trust | ||||
Series 2022-2 Class A3 | ||||
10/15/2026 | 2.980% | 5,746,000 | 5,662,209 | |
Series 2022-3 Class A3 | ||||
12/15/2026 | 3.400% | 2,223,000 | 2,205,244 | |
Santander Retail Auto Lease Trust(a) | ||||
Series 2020-A Class A4 | ||||
03/20/2024 | 1.760% | 4,410,000 | 4,396,375 | |
SART(f) | ||||
Series 2017-1 Class X | ||||
11/17/2025 | 4.750% | 735,358 | 707,046 | |
SART(a),(f) | ||||
Series 2018-1 Class A | ||||
06/15/2025 | 4.750% | 957,437 | 911,959 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 | 9 |
June 30, 2022 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 |
10 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
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 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 | 11 |
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 $245,668,471) | 237,660,602 | |||
Commercial Mortgage-Backed Securities - Non-Agency 5.6% | ||||
3650R Commercial Mortgage Trust | ||||
Series 2021-PF1 Class A5 | ||||
11/15/2054 | 2.522% | 1,397,000 | 1,201,457 | |
American Homes 4 Rent Trust(a) | ||||
Series 2014-SFR2 Class A | ||||
10/17/2036 | 3.786% | 2,251,456 | 2,248,740 | |
Series 2014-SFR2 Class E | ||||
10/17/2036 | 6.231% | 500,000 | 512,712 | |
Series 2014-SFR3 Class A | ||||
12/17/2036 | 3.678% | 993,396 | 983,813 | |
Series 2014-SFR3 Class E | ||||
12/17/2036 | 6.418% | 1,000,000 | 1,022,220 | |
Series 2015-SFR1 Class A | ||||
04/17/2052 | 3.467% | 1,083,720 | 1,072,735 | |
Series 2015-SFR1 Class E | ||||
04/17/2052 | 5.639% | 1,150,000 | 1,164,722 | |
Subordinated Series 2014-SFR3 Class C | ||||
12/17/2036 | 4.596% | 200,000 | 199,295 | |
Subordinated Series 2015-SFR2 Class D | ||||
10/17/2045 | 5.036% | 2,000,000 | 1,995,690 |
12 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 ($) | |
Benchmark Mortgage Trust | ||||
Series 2021-B31 Class A5 | ||||
12/15/2054 | 2.669% | 437,000 | 382,954 | |
Benchmark Mortgage Trust(c) | ||||
Series 2022-B35 Class A5 | ||||
05/15/2055 | 4.594% | 1,301,000 | 1,324,523 | |
BMO Mortgage Trust(c),(h) | ||||
Series 2022-C2 Class A5 | ||||
07/15/2054 | 4.974% | 1,737,000 | 1,796,731 | |
BX Commercial Mortgage Trust(a),(b) | ||||
Series 2021-VOLT Class A | ||||
1-month USD LIBOR + 0.700% Floor 0.700% 09/15/2036 | 2.024% | 6,056,000 | 5,840,888 | |
Series 2021-XL2 Class A | ||||
1-month USD LIBOR + 0.689% Floor 0.689% 10/15/2038 | 2.013% | 2,805,987 | 2,672,101 | |
Camden Property Trust(a),(f) | ||||
Series 2016-SFR1 Class A | ||||
12/05/2026 | 5.000% | 4,639,297 | 4,632,338 | |
CFCRE Commercial Mortgage Trust | ||||
Series 2017-C8 Class ASB | ||||
06/15/2050 | 3.367% | 867,742 | 851,503 | |
Citigroup Commercial Mortgage Trust | ||||
Series 2020-GC46 Class A5 | ||||
02/15/2053 | 2.717% | 6,215,000 | 5,545,052 | |
Citigroup Commercial Mortgage Trust(c) | ||||
Series 2022-GC48 Class A5 | ||||
05/15/2054 | 4.580% | 1,743,000 | 1,797,557 | |
Citigroup/Deutsche Bank Commercial Mortgage Trust(a),(c),(g) | ||||
CMO Series 2006-CD2 Class X | ||||
01/15/2046 | 0.023% | 839,501 | 1 | |
COMM Mortgage Trust(c) | ||||
Series 2013-CR10 Class A4 | ||||
08/10/2046 | 4.210% | 36,000 | 35,958 | |
COMM Mortgage Trust | ||||
Series 2013-CR11 Class A4 | ||||
08/10/2050 | 4.258% | 5,303,000 | 5,278,821 | |
Series 2013-CR6 Class A4 | ||||
03/10/2046 | 3.101% | 3,325,000 | 3,308,799 | |
Series 2014-UBS4 Class A4 | ||||
08/10/2047 | 3.420% | 1,700,000 | 1,672,309 | |
Series 2015-LC19 Class A3 | ||||
02/10/2048 | 2.922% | 2,727,298 | 2,646,703 | |
Series 2015-LC23 Class A3 | ||||
10/10/2048 | 3.521% | 1,565,000 | 1,528,693 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 | 13 |
June 30, 2022 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 |
14 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
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 $314,459,029) | 292,461,325 | |||
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 | 15 |
June 30, 2022 (Unaudited)
Convertible Bonds 0.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 ($) | |
Agencies 0.1% | ||||
Crowley Conro LLC | ||||
08/15/2043 | 4.181% | 649,314 | 650,630 | |
Israel Government AID Bond(k) | ||||
11/01/2024 | 0.000% | 5,000,000 | 4,625,130 | |
Total | 5,275,760 | |||
Airlines 0.4% | ||||
Air Canada Pass-Through Trust(a) | ||||
05/15/2025 | 4.125% | 1,425,252 | 1,292,611 | |
Series 2017-1 Class A | ||||
01/15/2030 | 3.550% | 446,515 | 397,526 | |
Series 2017-1 Class AA | ||||
01/15/2030 | 3.300% | 315,187 | 281,241 | |
American Airlines Pass-Through Trust | ||||
Series 2016-3 Class AA | ||||
10/15/2028 | 3.000% | 2,429,300 | 2,156,266 | |
Series 2017-1 Class AA | ||||
02/15/2029 | 3.650% | 519,645 | 475,492 | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd.(a) | ||||
04/20/2026 | 5.500% | 900,000 | 829,176 | |
04/20/2029 | 5.750% | 680,000 | 580,586 | |
British Airways Pass-Through Trust(a) | ||||
Series 2018-1 Class A | ||||
09/20/2031 | 4.125% | 503,216 | 441,838 | |
Series 2018-1 Class AA | ||||
09/20/2031 | 3.800% | 362,913 | 338,316 | |
Series 2019-1 Class AA | ||||
12/15/2032 | 3.300% | 600,122 | 538,057 | |
Continental Airlines Pass-Through Trust | ||||
10/29/2024 | 4.000% | 104,306 | 99,351 | |
Delta Air Lines, Inc./SkyMiles IP Ltd.(a) | ||||
10/20/2025 | 4.500% | 4,076,000 | 3,959,088 | |
10/20/2028 | 4.750% | 5,242,000 | 4,947,598 | |
Spirit Airlines Pass-Through Trust | ||||
02/15/2030 | 3.375% | 239,365 | 216,323 | |
United Airlines Pass-Through Trust | ||||
Series 2016-2 Class A | ||||
04/07/2030 | 3.100% | 1,074,591 | 891,954 | |
United Airlines, Inc.(a) | ||||
04/15/2026 | 4.375% | 1,040,000 | 922,398 | |
United Airlines, Inc. Pass-Through Trust | ||||
08/15/2025 | 4.300% | 190,294 | 180,850 | |
03/01/2026 | 4.600% | 241,557 | 214,521 | |
Series 2016-1 Class AA | ||||
07/07/2028 | 3.100% | 610,042 | 548,717 |
16 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 | 17 |
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 ($) | |
Bank of America NA | ||||
Subordinated | ||||
10/15/2036 | 6.000% | 350,000 | 384,102 | |
Bank of Montreal(j) | ||||
Subordinated | ||||
12/15/2032 | 3.803% | 199,000 | 184,782 | |
Bank of New York Mellon Corp. (The) | ||||
08/16/2023 | 2.200% | 375,000 | 371,021 | |
Bank of New York Mellon Corp. (The)(j) | ||||
06/13/2033 | 4.289% | 4,501,000 | 4,411,434 | |
Bank of Nova Scotia (The) | ||||
04/11/2025 | 3.450% | 1,150,000 | 1,134,539 | |
Subordinated | ||||
12/16/2025 | 4.500% | 260,000 | 260,319 | |
Banque Federative du Credit Mutuel SA(a) | ||||
07/20/2023 | 3.750% | 300,000 | 299,837 | |
10/04/2026 | 1.604% | 745,000 | 666,497 | |
Barclays PLC(j) | ||||
12/10/2024 | 1.007% | 577,000 | 547,636 | |
BBVA USA | ||||
08/27/2024 | 2.500% | 307,000 | 299,105 | |
BNP Paribas SA(a),(j) | ||||
06/09/2026 | 2.219% | 1,291,000 | 1,198,007 | |
01/13/2027 | 1.323% | 230,000 | 203,113 | |
01/13/2031 | 3.052% | 341,000 | 295,197 | |
Subordinated | ||||
08/12/2035 | 2.588% | 488,000 | 384,775 | |
BNZ International Funding Ltd.(a) | ||||
11/03/2022 | 2.650% | 350,000 | 349,618 | |
BPCE SA(a) | ||||
01/20/2026 | 1.000% | 401,000 | 356,283 | |
Subordinated | ||||
07/11/2024 | 4.625% | 300,000 | 298,795 | |
BPCE SA(a),(j) | ||||
10/06/2026 | 1.652% | 284,000 | 254,545 | |
01/20/2032 | 2.277% | 855,000 | 679,296 | |
Subordinated | ||||
10/19/2032 | 3.116% | 1,900,000 | 1,529,405 | |
BPCE SA | ||||
12/02/2026 | 3.375% | 700,000 | 669,578 | |
Capital One Financial Corp. | ||||
01/29/2024 | 3.900% | 367,000 | 367,070 | |
Subordinated | ||||
10/29/2025 | 4.200% | 239,000 | 235,510 | |
Capital One Financial Corp.(j) | ||||
11/02/2027 | 1.878% | 450,000 | 394,146 |
18 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 | 19 |
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 |
20 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
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 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 | 21 |
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 |
22 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
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 ($) | |
WR Grace Holdings LLC(a) | ||||
10/01/2024 | 5.625% | 805,000 | 788,329 | |
Total | 16,294,350 | |||
Construction Machinery 0.2% | ||||
Herc Holdings, Inc.(a) | ||||
07/15/2027 | 5.500% | 1,020,000 | 933,543 | |
John Deere Capital Corp. | ||||
03/07/2025 | 2.125% | 1,336,000 | 1,290,474 | |
03/08/2027 | 2.350% | 2,222,000 | 2,085,148 | |
United Rentals North America, Inc. | ||||
01/15/2028 | 4.875% | 2,150,000 | 2,035,672 | |
01/15/2030 | 5.250% | 765,000 | 710,033 | |
02/15/2031 | 3.875% | 1,055,000 | 891,113 | |
Total | 7,945,983 | |||
Consumer Cyclical Services 0.2% | ||||
ADT Security Corp. (The)(a) | ||||
07/15/2032 | 4.875% | 580,000 | 462,711 | |
Allied Universal Holdco LLC/Finance Corp./Atlas Luxco 4 Sarl(a) | ||||
06/01/2028 | 4.625% | 920,000 | 755,708 | |
06/01/2028 | 4.625% | 910,000 | 752,992 | |
Arches Buyer, Inc.(a) | ||||
06/01/2028 | 4.250% | 1,295,000 | 1,056,888 | |
Booking Holdings, Inc. | ||||
03/15/2023 | 2.750% | 321,000 | 320,014 | |
Ford Foundation (The) | ||||
06/01/2070 | 2.815% | 440,000 | 299,313 | |
Garda World Security Corp(a) | ||||
02/15/2027 | 4.625% | 1,050,000 | 902,286 | |
Prime Security Services Borrower LLC/Finance, Inc.(a) | ||||
04/15/2026 | 5.750% | 1,980,000 | 1,856,365 | |
Service Corp. International | ||||
06/01/2029 | 5.125% | 980,000 | 925,146 | |
Staples, Inc.(a) | ||||
04/15/2026 | 7.500% | 1,140,000 | 945,338 | |
Uber Technologies, Inc.(a) | ||||
05/15/2025 | 7.500% | 985,000 | 982,051 | |
Total | 9,258,812 | |||
Consumer Products 0.4% | ||||
ACCO Brands Corp.(a) | ||||
03/15/2029 | 4.250% | 1,285,000 | 1,054,889 | |
CD&R Smokey Buyer, Inc.(a) | ||||
07/15/2025 | 6.750% | 800,000 | 710,193 | |
Central Garden & Pet Co. | ||||
10/15/2030 | 4.125% | 1,255,000 | 1,040,473 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 | 23 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 ($) | |
TriMas Corp.(a) | ||||
04/15/2029 | 4.125% | 725,000 | 618,251 | |
Vertical US Newco, Inc.(a) | ||||
07/15/2027 | 5.250% | 790,000 | 705,517 | |
WESCO Distribution, Inc.(a) | ||||
06/15/2028 | 7.250% | 1,805,000 | 1,784,662 | |
WW Grainger, Inc. | ||||
06/15/2045 | 4.600% | 200,000 | 191,374 | |
Xylem, Inc. | ||||
01/30/2031 | 2.250% | 176,000 | 146,540 | |
Total | 14,207,124 | |||
Electric 2.0% | ||||
AEP Transmission Co. LLC | ||||
09/15/2049 | 3.150% | 440,000 | 335,852 | |
08/15/2051 | 2.750% | 600,000 | 421,399 | |
AES Corp. (The) | ||||
01/15/2026 | 1.375% | 1,917,000 | 1,691,338 | |
Alabama Power Co. | ||||
02/15/2033 | 5.700% | 467,000 | 510,372 | |
05/15/2038 | 6.125% | 70,000 | 77,095 | |
07/15/2051 | 3.125% | 360,000 | 269,908 | |
Alexander Funding Trust(a) | ||||
11/15/2023 | 1.841% | 1,567,000 | 1,495,986 | |
Ameren Corp. | ||||
03/15/2027 | 1.950% | 240,000 | 215,346 | |
American Transmission Systems, Inc.(a) | ||||
01/15/2032 | 2.650% | 617,000 | 522,143 | |
Ausgrid Finance Pty Ltd.(a) | ||||
05/01/2023 | 3.850% | 850,000 | 849,809 | |
Baltimore Gas and Electric Co. | ||||
06/15/2031 | 2.250% | 1,326,000 | 1,130,224 | |
08/15/2046 | 3.500% | 376,000 | 308,950 | |
Berkshire Hathaway Energy Co. | ||||
11/15/2023 | 3.750% | 333,000 | 335,009 | |
02/01/2025 | 3.500% | 180,000 | 179,899 | |
Berkshire Hathaway Energy Co.(a) | ||||
05/01/2053 | 4.600% | 197,000 | 190,091 | |
Calpine Corp.(a) | ||||
06/01/2026 | 5.250% | 360,000 | 344,250 | |
02/15/2028 | 4.500% | 1,115,000 | 1,014,857 | |
CenterPoint Energy Houston Electric LLC | ||||
03/01/2052 | 3.600% | 977,000 | 841,713 | |
Commonwealth Edison Co. | ||||
06/15/2046 | 3.650% | 243,000 | 206,065 | |
Connecticut Light & Power Co. (The) | ||||
04/01/2048 | 4.000% | 236,000 | 213,863 |
24 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 | 25 |
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 |
26 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
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 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 | 27 |
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 |
28 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
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 ($) | |
07/15/2051 | 3.500% | 102,000 | 70,331 | |
HCA, Inc.(a) | ||||
03/15/2052 | 4.625% | 1,084,000 | 867,247 | |
Hologic, Inc.(a) | ||||
02/15/2029 | 3.250% | 1,480,000 | 1,264,491 | |
IQVIA, Inc.(a) | ||||
05/15/2027 | 5.000% | 1,628,000 | 1,540,296 | |
Memorial Health Services | ||||
11/01/2049 | 3.447% | 1,230,000 | 1,007,466 | |
Mozart Debt Merger Sub, Inc.(a) | ||||
04/01/2029 | 3.875% | 1,515,000 | 1,291,500 | |
MultiCare Health System | ||||
08/15/2050 | 2.803% | 570,000 | 407,715 | |
NYU Langone Hospitals | ||||
07/01/2055 | 3.380% | 550,000 | 414,095 | |
Owens & Minor, Inc. | ||||
12/15/2024 | 4.375% | 865,000 | 845,915 | |
Providence St Joseph Health Obligated Group | ||||
10/01/2026 | 2.746% | 307,000 | 293,068 | |
Quest Diagnostics, Inc. | ||||
06/30/2031 | 2.800% | 179,000 | 153,638 | |
STERIS Irish FinCo Unlimited, Co. | ||||
03/15/2051 | 3.750% | 2,602,000 | 2,025,617 | |
Tenet Healthcare Corp.(a) | ||||
02/01/2027 | 6.250% | 1,400,000 | 1,293,915 | |
11/01/2027 | 5.125% | 2,860,000 | 2,583,985 | |
06/01/2029 | 4.250% | 615,000 | 519,702 | |
Thermo Fisher Scientific, Inc. | ||||
10/15/2028 | 1.750% | 895,000 | 783,098 | |
10/15/2031 | 2.000% | 1,503,000 | 1,261,140 | |
10/15/2041 | 2.800% | 1,426,000 | 1,118,402 | |
Universal Health Services, Inc.(a) | ||||
10/15/2030 | 2.650% | 341,000 | 271,753 | |
Yale-New Haven Health Services Corp. | ||||
07/01/2050 | 2.496% | 950,000 | 647,879 | |
Total | 60,978,906 | |||
Healthcare Insurance 0.4% | ||||
Aetna, Inc. | ||||
12/15/2037 | 6.750% | 201,000 | 228,258 | |
Anthem, Inc. | ||||
12/01/2024 | 3.350% | 350,000 | 345,632 | |
03/01/2028 | 4.101% | 193,000 | 190,952 | |
12/01/2047 | 4.375% | 94,000 | 87,013 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 | 29 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 |
30 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
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 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 | 31 |
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 ($) | |
Netflix, Inc. | ||||
04/15/2028 | 4.875% | 3,435,000 | 3,243,075 | |
11/15/2028 | 5.875% | 1,703,000 | 1,667,128 | |
News Corp.(a) | ||||
05/15/2029 | 3.875% | 1,010,000 | 874,970 | |
Nexstar Escrow, Inc.(a) | ||||
07/15/2027 | 5.625% | 1,580,000 | 1,458,733 | |
Outfront Media Capital LLC/Corp.(a) | ||||
06/15/2025 | 6.250% | 920,000 | 878,214 | |
Scripps Escrow II, Inc.(a) | ||||
01/15/2029 | 3.875% | 825,000 | 684,612 | |
Sinclair Television Group, Inc.(a) | ||||
12/01/2030 | 4.125% | 1,325,000 | 1,051,404 | |
Take-Two Interactive Software, Inc. | ||||
04/14/2027 | 3.700% | 142,000 | 137,778 | |
TEGNA, Inc. | ||||
09/15/2029 | 5.000% | 795,000 | 751,838 | |
Univision Communications, Inc.(a) | ||||
06/01/2027 | 6.625% | 820,000 | 781,968 | |
Walt Disney Co. (The) | ||||
07/15/2024 | 9.500% | 139,000 | 154,641 | |
09/01/2049 | 2.750% | 445,000 | 318,649 | |
WMG Acquisition Corp.(a) | ||||
07/15/2030 | 3.875% | 570,000 | 476,800 | |
Total | 36,607,465 | |||
Metals and Mining 0.5% | ||||
Alcoa Nederland Holding BV(a) | ||||
05/15/2028 | 6.125% | 1,950,000 | 1,897,810 | |
Allegheny Technologies, Inc. | ||||
12/01/2027 | 5.875% | 840,000 | 737,320 | |
Anglo American Capital PLC(a) | ||||
03/16/2029 | 3.875% | 2,505,000 | 2,297,446 | |
03/16/2052 | 4.750% | 1,973,000 | 1,690,425 | |
Arconic Corp.(a) | ||||
02/15/2028 | 6.125% | 1,375,000 | 1,277,383 | |
BHP Billiton Finance U.S.A. Ltd. | ||||
03/01/2026 | 6.420% | 468,000 | 506,728 | |
Cleveland-Cliffs, Inc.(a) | ||||
03/15/2026 | 6.750% | 102,000 | 101,227 | |
03/01/2029 | 4.625% | 1,250,000 | 1,102,933 | |
Constellium SE(a) | ||||
06/15/2028 | 5.625% | 675,000 | 610,843 | |
FMG Resources Pty Ltd.(a) | ||||
09/15/2027 | 4.500% | 1,365,000 | 1,237,365 |
32 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 | 33 |
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 ($) | |
Southern Co. Gas Capital Corp. | ||||
10/01/2023 | 2.450% | 201,000 | 198,179 | |
06/15/2026 | 3.250% | 169,000 | 162,055 | |
01/15/2031 | 1.750% | 1,399,000 | 1,103,390 | |
10/01/2046 | 3.950% | 247,000 | 201,719 | |
09/30/2051 | 3.150% | 750,000 | 531,687 | |
Total | 5,442,106 | |||
Office REIT 0.1% | ||||
Alexandria Real Estate Equities, Inc. | ||||
04/15/2026 | 3.800% | 122,000 | 119,740 | |
12/15/2030 | 4.900% | 1,000,000 | 991,519 | |
02/01/2033 | 1.875% | 225,000 | 169,253 | |
02/01/2050 | 4.000% | 661,000 | 547,336 | |
Boston Properties LP | ||||
12/01/2028 | 4.500% | 350,000 | 339,979 | |
Corporate Office Properties LP | ||||
04/15/2031 | 2.750% | 550,000 | 446,187 | |
Office Properties Income Trust | ||||
10/15/2031 | 3.450% | 485,000 | 360,190 | |
Total | 2,974,204 | |||
Oil Field Services 0.1% | ||||
Baker Hughes, Inc. | ||||
09/15/2040 | 5.125% | 300,000 | 293,809 | |
Guara Norte Sarl(a) | ||||
06/15/2034 | 5.198% | 936,150 | 760,881 | |
Halliburton Co. | ||||
11/15/2035 | 4.850% | 169,000 | 162,035 | |
08/01/2043 | 4.750% | 260,000 | 231,261 | |
MV24 Capital BV(a) | ||||
06/01/2034 | 6.748% | 533,340 | 479,273 | |
National Oilwell Varco, Inc. | ||||
12/01/2029 | 3.600% | 1,000,000 | 897,228 | |
Oceaneering International, Inc. | ||||
11/15/2024 | 4.650% | 850,000 | 789,128 | |
Schlumberger Holdings Corp.(a) | ||||
05/01/2024 | 3.750% | 184,000 | 183,348 | |
05/17/2028 | 3.900% | 351,000 | 331,982 | |
Total | 4,128,945 | |||
Other Financial Institutions 0.1% | ||||
Icahn Enterprises LP/Finance Corp. | ||||
05/15/2027 | 5.250% | 1,115,000 | 986,845 | |
Kennedy-Wilson, Inc. | ||||
03/01/2029 | 4.750% | 1,430,000 | 1,174,207 | |
Mitsubishi UFJ Lease & Finance Co., Ltd.(a) | ||||
09/19/2022 | 2.652% | 335,000 | 334,512 |
34 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 ($) | |
Prologis LP | ||||
04/15/2030 | 2.250% | 280,000 | 242,365 | |
04/15/2050 | 3.000% | 546,000 | 411,965 | |
Public Storage | ||||
11/09/2026 | 1.500% | 507,000 | 457,467 | |
Rexford Industrial Realty LP | ||||
09/01/2031 | 2.150% | 986,000 | 772,022 | |
RHP Hotel Properties LP/Finance Corp. | ||||
10/15/2027 | 4.750% | 1,425,000 | 1,266,188 | |
Sun Communities Operating LP | ||||
11/01/2028 | 2.300% | 890,000 | 760,673 | |
04/15/2032 | 4.200% | 1,781,000 | 1,608,154 | |
Trust F/1401(a) | ||||
01/15/2050 | 6.390% | 1,158,000 | 918,350 | |
WP Carey, Inc. | ||||
10/01/2026 | 4.250% | 345,000 | 341,220 | |
04/01/2033 | 2.250% | 436,000 | 335,360 | |
Total | 16,683,962 | |||
Other Utility 0.0% | ||||
American Water Capital Corp. | ||||
10/15/2037 | 6.593% | 300,000 | 348,128 | |
12/01/2046 | 4.000% | 431,000 | 373,365 | |
05/01/2050 | 3.450% | 408,000 | 324,966 | |
Entergy Texas Restoration Funding II LLC | ||||
12/15/2035 | 3.697% | 585,000 | 553,934 | |
Total | 1,600,393 | |||
Packaging 0.2% | ||||
Ardagh Packaging Finance PLC/Holdings USA, Inc.(a) | ||||
08/15/2026 | 4.125% | 1,465,000 | 1,241,200 | |
BWAY Holding Co.(a) | ||||
04/15/2024 | 5.500% | 1,890,000 | 1,805,294 | |
Crown Cork & Seal Co., Inc. | ||||
12/15/2026 | 7.375% | 730,000 | 745,302 | |
LABL Escrow Issuer LLC(a) | ||||
07/15/2026 | 6.750% | 910,000 | 817,449 | |
Owens-Brockway Glass Container, Inc.(a) | ||||
05/13/2027 | 6.625% | 1,175,000 | 1,096,517 | |
Reynolds Group Issuer, Inc./LLC(a) | ||||
10/15/2027 | 4.000% | 1,175,000 | 1,003,885 | |
Sealed Air Corp.(a) | ||||
12/01/2027 | 4.000% | 780,000 | 703,156 | |
Trivium Packaging Finance BV(a) | ||||
08/15/2026 | 5.500% | 780,000 | 735,288 | |
Total | 8,148,091 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 | 35 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 |
36 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
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 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 | 37 |
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 |
38 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
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 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 | 39 |
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 |
40 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
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 ($) | |
Province of Saskatchewan | ||||
06/08/2027 | 3.250% | 1,349,000 | 1,342,230 | |
Total | 2,863,128 | |||
Chile 0.1% | ||||
Chile Government International Bond | ||||
01/27/2032 | 2.550% | 592,000 | 503,031 | |
01/31/2034 | 3.500% | 1,288,000 | 1,145,427 | |
03/07/2042 | 4.340% | 2,867,000 | 2,554,558 | |
Interchile SA(a) | ||||
06/30/2056 | 4.500% | 769,000 | 633,084 | |
Total | 4,836,100 | |||
Colombia 0.0% | ||||
Colombia Government International Bond | ||||
01/28/2026 | 4.500% | 300,000 | 281,190 | |
Ecopetrol SA | ||||
01/16/2025 | 4.125% | 300,000 | 278,491 | |
06/26/2026 | 5.375% | 580,000 | 536,256 | |
Total | 1,095,937 | |||
Dominican Republic 0.1% | ||||
Dominican Republic International Bond(a) | ||||
09/23/2032 | 4.875% | 1,000,000 | 769,470 | |
02/22/2033 | 6.000% | 725,000 | 603,556 | |
01/30/2060 | 5.875% | 1,500,000 | 1,025,541 | |
Total | 2,398,567 | |||
Ecuador 0.0% | ||||
Ecuador Government International Bond(a),(j) | ||||
07/31/2030 | 5.000% | 600,000 | 396,395 | |
Egypt 0.0% | ||||
Egypt Government International Bond(a) | ||||
11/20/2059 | 8.150% | 600,000 | 345,925 | |
El Salvador 0.0% | ||||
El Salvador Government International Bond(a) | ||||
01/20/2050 | 7.125% | 600,000 | 185,710 | |
Ghana 0.0% | ||||
Ghana Government International Bond(a),(k) | ||||
04/07/2025 | 0.000% | 900,000 | 505,554 | |
Ghana Government International Bond(a) | ||||
06/16/2049 | 8.627% | 500,000 | 234,747 | |
Total | 740,301 | |||
Hungary 0.0% | ||||
Hungary Government International Bond(a) | ||||
09/21/2051 | 3.125% | 473,000 | 311,934 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 | 41 |
June 30, 2022 (Unaudited)
Foreign Government Obligations(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 ($) | |
Nigeria 0.1% | ||||
Nigeria Government International Bond(a) | ||||
11/28/2027 | 6.500% | 1,200,000 | 909,962 | |
09/28/2028 | 6.125% | 540,000 | 381,857 | |
01/21/2031 | 8.747% | 1,200,000 | 896,700 | |
09/28/2033 | 7.375% | 442,000 | 288,320 | |
Total | 2,476,839 | |||
Norway 0.0% | ||||
Equinor ASA | ||||
09/23/2027 | 7.250% | 400,000 | 457,370 | |
Oman 0.0% | ||||
Oman Government International Bond(a) | ||||
01/17/2028 | 5.625% | 400,000 | 384,639 | |
10/28/2032 | 7.375% | 300,000 | 310,026 | |
Total | 694,665 | |||
Pakistan 0.0% | ||||
Pakistan Government International Bond(a) | ||||
04/08/2026 | 6.000% | 1,100,000 | 743,155 | |
Paraguay 0.1% | ||||
Bioceanico Sovereign Certificate Ltd.(a),(k) | ||||
06/05/2034 | 0.000% | 374,448 | 233,281 | |
Paraguay Government International Bond(a) | ||||
04/28/2031 | 4.950% | 542,000 | 501,593 | |
06/28/2033 | 3.849% | 1,027,000 | 838,175 | |
03/13/2048 | 5.600% | 1,800,000 | 1,423,912 | |
03/30/2050 | 5.400% | 1,629,000 | 1,261,022 | |
Total | 4,257,983 | |||
Peru 0.1% | ||||
Fondo MIVIVIENDA SA(a) | ||||
04/12/2027 | 4.625% | 300,000 | 290,556 | |
Peruvian Government International Bond | ||||
12/01/2032 | 1.862% | 1,622,000 | 1,235,487 | |
11/18/2050 | 5.625% | 98,000 | 101,726 | |
01/15/2072 | 3.600% | 804,000 | 542,860 | |
Total | 2,170,629 | |||
Saudi Arabia 0.0% | ||||
Saudi Arabian Oil Co.(a) | ||||
11/24/2023 | 1.250% | 200,000 | 193,247 | |
11/24/2025 | 1.625% | 338,000 | 312,974 | |
Saudi Government International Bond(a) | ||||
02/02/2033 | 2.250% | 743,000 | 618,415 | |
Total | 1,124,636 |
42 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Foreign Government Obligations(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 ($) | |
Airport 0.0% | ||||
City of Los Angeles Department of Airports | ||||
Revenue Bonds | ||||
Build America Bonds | ||||
Series 2009 | ||||
05/15/2039 | 6.582% | 405,000 | 464,533 | |
Higher Education 0.1% | ||||
Ohio State University (The) | ||||
Revenue Bonds | ||||
Taxable | ||||
Series 2011A | ||||
06/01/2111 | 4.800% | 2,014,000 | 2,019,493 | |
University of Texas System (The) | ||||
Refunding Revenue Bonds | ||||
Taxable | ||||
Series 2020B | ||||
08/15/2049 | 2.439% | 685,000 | 491,636 | |
Total | 2,511,129 | |||
Hospital 0.0% | ||||
Regents of the University of California Medical Center | ||||
Taxable Revenue Bonds | ||||
Series 2020N | ||||
05/15/2120 | 3.706% | 1,360,000 | 989,621 | |
Joint Power Authority 0.0% | ||||
American Municipal Power, Inc. | ||||
Revenue Bonds | ||||
Build America Bonds | ||||
Series 2010 | ||||
02/15/2050 | 7.499% | 1,265,000 | 1,660,268 | |
Ports 0.1% | ||||
Port Authority of New York & New Jersey | ||||
Revenue Bonds | ||||
Consolidated 174th | ||||
Series 2012 | ||||
10/01/2062 | 4.458% | 1,850,000 | 1,798,785 | |
Taxable Consolidated 160th | ||||
Series 2010 | ||||
11/01/2040 | 5.647% | 835,000 | 935,202 | |
Total | 2,733,987 | |||
Special Non Property Tax 0.0% | ||||
New York State Dormitory Authority | ||||
Revenue Bonds | ||||
Build America Bonds | ||||
Series 2010 | ||||
03/15/2040 | 5.600% | 415,000 | 459,787 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 | 43 |
June 30, 2022 (Unaudited)
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | 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 ($) | |
CMO Series 2017-4742 Class PA | ||||
10/15/2047 | 3.000% | 1,380,152 | 1,330,599 | |
CMO Series 2127 Class PG | ||||
02/15/2029 | 6.250% | 85,930 | 88,916 | |
CMO Series 2165 Class PE | ||||
06/15/2029 | 6.000% | 41,283 | 43,569 | |
CMO Series 2326 Class ZQ | ||||
06/15/2031 | 6.500% | 213,355 | 224,551 | |
CMO Series 2399 Class TH | ||||
01/15/2032 | 6.500% | 126,429 | 137,157 | |
CMO Series 2517 Class Z | ||||
10/15/2032 | 5.500% | 53,935 | 55,369 | |
CMO Series 2557 Class HL | ||||
01/15/2033 | 5.300% | 200,133 | 210,716 | |
CMO Series 262 Class 35 | ||||
07/15/2042 | 3.500% | 2,278,779 | 2,239,002 | |
CMO Series 2752 Class EZ | ||||
02/15/2034 | 5.500% | 512,167 | 538,945 | |
CMO Series 2764 Class ZG | ||||
03/15/2034 | 5.500% | 416,436 | 440,056 | |
CMO Series 2953 Class PG | ||||
03/15/2035 | 5.500% | 1,707,003 | 1,822,699 | |
CMO Series 2986 Class CH | ||||
06/15/2025 | 5.000% | 113,648 | 115,139 | |
CMO Series 2989 Class TG | ||||
06/15/2025 | 5.000% | 87,538 | 88,835 | |
CMO Series 299 Class 300 | ||||
01/15/2043 | 3.000% | 269,215 | 259,175 | |
CMO Series 2990 Class UZ | ||||
06/15/2035 | 5.750% | 644,373 | 684,589 | |
CMO Series 3101 Class UZ | ||||
01/15/2036 | 6.000% | 181,525 | 197,330 | |
CMO Series 3123 Class AZ | ||||
03/15/2036 | 6.000% | 200,694 | 215,470 | |
CMO Series 3143 Class BC | ||||
02/15/2036 | 5.500% | 235,152 | 251,156 | |
CMO Series 3164 Class MG | ||||
06/15/2036 | 6.000% | 64,294 | 64,372 | |
CMO Series 3195 Class PD | ||||
07/15/2036 | 6.500% | 152,961 | 163,459 | |
CMO Series 3200 Class AY | ||||
08/15/2036 | 5.500% | 155,316 | 166,102 | |
CMO Series 3213 Class JE | ||||
09/15/2036 | 6.000% | 207,583 | 224,563 | |
CMO Series 3229 Class HE | ||||
10/15/2026 | 5.000% | 254,934 | 258,624 |
44 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 ($) | |
CMO Series R006 Class ZA | ||||
04/15/2036 | 6.000% | 260,167 | 283,667 | |
CMO Series R007 Class ZA | ||||
05/15/2036 | 6.000% | 500,386 | 536,486 | |
CMO STRIPS Series 264 Class 30 | ||||
07/15/2042 | 3.000% | 291,425 | 277,576 | |
Federal Home Loan Mortgage Corp.(b) | ||||
1-year CMT + 2.250% Cap 10.325% 07/01/2036 | 2.525% | 38,738 | 40,044 | |
12-month USD LIBOR + 1.836% Cap 9.131% 07/01/2040 | 2.327% | 104,376 | 107,118 | |
12-month USD LIBOR + 1.641% Cap 7.804% 05/01/2049 | 2.804% | 812,932 | 811,929 | |
1-month SOFR + 2.130% Floor 2.130%, Cap 8.912% 07/01/2052 | 3.912% | 1,268,000 | 1,269,276 | |
1-month SOFR + 2.130% Floor 2.130%, Cap 9.303% 07/01/2052 | 4.303% | 1,561,000 | 1,573,780 | |
CMO Series 2551 Class NS | ||||
-1.8 x 1-month USD LIBOR + 14.483% Cap 14.483% 01/15/2033 | 12.056% | 69,943 | 77,497 | |
CMO Series 3852 Class QN | ||||
-3.6 x 1-month USD LIBOR + 27.211% Cap 5.500% 05/15/2041 | 5.500% | 174,126 | 173,715 | |
CMO Series 3966 Class BF | ||||
1-month USD LIBOR + 0.500% Floor 0.500%, Cap 7.000% 10/15/2040 | 1.824% | 1,551 | 1,551 | |
CMO Series 4048 Class FJ | ||||
1-month USD LIBOR + 0.400% Floor 0.400%, Cap 9,999.000% 07/15/2037 | 1.462% | 357,634 | 355,640 | |
CMO Series 4846 Class PF | ||||
1-month USD LIBOR + 0.350% Floor 0.350%, Cap 6.500% 12/15/2048 | 1.674% | 174,437 | 172,721 | |
Structured Pass-Through Securities | ||||
1-year MTA + 1.200% Floor 1.200% 10/25/2044 | 1.844% | 382,361 | 392,873 | |
Federal Home Loan Mortgage Corp.(m) | ||||
04/01/2041 | 2.000% | 1,347,421 | 1,207,211 | |
Federal Home Loan Mortgage Corp.(f),(m) | ||||
07/01/2052 | 4.206% | 3,030,000 | 3,032,841 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 | 45 |
June 30, 2022 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 ($) | |
CMO Series 3740 Class SC | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 10/15/2040 | 4.676% | 239,289 | 34,868 | |
CMO STRIPS Series 239 Class S30 | ||||
-1.0 x 1-month USD LIBOR + 7.700% Cap 7.700% 08/15/2036 | 6.376% | 205,053 | 34,557 | |
Federal Home Loan Mortgage Corp.(c) | ||||
CMO Series 3688 Class GT | ||||
11/15/2046 | 7.510% | 241,763 | 265,232 | |
CMO Series 4272 Class W | ||||
04/15/2040 | 5.655% | 1,285,933 | 1,352,282 | |
Federal Home Loan Mortgage Corp.(g) | ||||
CMO Series 3714 Class IP | ||||
08/15/2040 | 5.000% | 163,033 | 14,708 | |
Federal Home Loan Mortgage Corp.(c),(g) | ||||
CMO Series 3802 Class LS | ||||
01/15/2040 | 1.007% | 350,973 | 12,813 | |
Federal Home Loan National Mortgage Corp.(b) | ||||
12-month USD LIBOR + 1.638% Cap 7.443% 09/01/2045 | 2.425% | 3,845,803 | 3,862,849 | |
12-month USD LIBOR + 1.681% Cap 7.721% 09/01/2047 | 2.649% | 2,078,892 | 2,107,961 | |
12-month USD LIBOR + 1.635% Floor 1.635%, Cap 7.971% 04/01/2048 | 2.905% | 4,528,457 | 4,599,988 | |
12-month USD LIBOR + 1.637% Floor 1.637%, Cap 8.600% 03/01/2049 | 3.431% | 1,742,013 | 1,754,589 | |
Federal National Mortgage Association | ||||
01/01/2023- 11/01/2048 | 6.000% | 341,358 | 364,882 | |
02/01/2024- 10/01/2038 | 6.500% | 1,250,651 | 1,364,281 | |
05/01/2033- 03/01/2060 | 3.500% | 33,690,920 | 32,969,336 | |
09/01/2033- 08/01/2059 | 4.000% | 28,133,879 | 28,320,100 | |
11/01/2033- 06/01/2049 | 5.500% | 3,452,790 | 3,674,135 | |
05/01/2034- 08/01/2049 | 4.500% | 17,769,289 | 18,289,174 | |
12/01/2035- 07/01/2061 | 2.500% | 97,850,790 | 90,759,245 | |
01/01/2036- 11/01/2049 | 5.000% | 14,270,176 | 14,922,692 | |
11/01/2037- 01/01/2039 | 7.000% | 377,636 | 422,332 |
46 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 | 47 |
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 ($) | |
CMO Series 2005-SV Class 75 | ||||
-4.0 x 1-month USD LIBOR + 24.200% Cap 24.200% 09/25/2035 | 17.706% | 31,248 | 38,240 | |
CMO Series 2005-W3 Class 2AF | ||||
1-month USD LIBOR + 0.220% Floor 0.220%, Cap 9.500% 03/25/2045 | 1.844% | 236,623 | 235,877 | |
CMO Series 2007-101 Class A2 | ||||
1-month USD LIBOR + 0.250% Floor 0.250% 06/27/2036 | 1.256% | 156,014 | 151,022 | |
CMO Series 2010-28 Class BS | ||||
-2.2 x 1-month USD LIBOR + 11.588% Cap 11.588% 04/25/2040 | 7.935% | 34,157 | 34,219 | |
CMO Series 2010-35 Class SJ | ||||
-3.3 x 1-month USD LIBOR + 17.667% Cap 17.667% 04/25/2040 | 12.255% | 232,690 | 244,404 | |
CMO Series 2010-49 Class SC | ||||
-2.0 x 1-month USD LIBOR + 12.660% Cap 12.660% 03/25/2040 | 9.413% | 146,172 | 157,295 | |
CMO Series 2011-75 Class FA | ||||
1-month USD LIBOR + 0.550% Floor 0.550%, Cap 6.500% 08/25/2041 | 2.174% | 78,218 | 78,429 | |
Federal National Mortgage Association(m) | ||||
01/01/2042- 03/01/2042 | 2.000% | 45,050,823 | 40,309,937 | |
12/01/2047 | 2.500% | 5,781,573 | 5,276,572 | |
Federal National Mortgage Association(b),(g) | ||||
CMO Series 1996-4 Class SA | ||||
-1.0 x 1-month USD LIBOR + 8.500% Cap 8.500% 02/25/2024 | 6.876% | 10,646 | 385 | |
CMO Series 2006-117 Class GS | ||||
-1.0 x 1-month USD LIBOR + 6.650% Cap 6.650% 12/25/2036 | 5.026% | 108,792 | 11,002 | |
CMO Series 2006-43 Class SI | ||||
-1.0 x 1-month USD LIBOR + 6.600% Cap 6.600% 06/25/2036 | 4.976% | 510,725 | 62,807 |
48 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 ($) | |
CMO Series 2009-68 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.750% Cap 6.750% 09/25/2039 | 5.126% | 230,287 | 26,615 | |
CMO Series 2010-125 Class SA | ||||
-1.0 x 1-month USD LIBOR + 4.440% Cap 4.440% 11/25/2040 | 2.816% | 424,361 | 30,551 | |
CMO Series 2010-147 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.530% Cap 6.530% 01/25/2041 | 4.906% | 1,026,684 | 157,762 | |
CMO Series 2010-35 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.420% Cap 6.420% 04/25/2040 | 4.796% | 103,690 | 9,997 | |
CMO Series 2010-42 Class S | ||||
-1.0 x 1-month USD LIBOR + 6.400% Cap 6.400% 05/25/2040 | 4.776% | 96,077 | 10,763 | |
CMO Series 2010-68 Class SA | ||||
-1.0 x 1-month USD LIBOR + 5.000% Cap 5.000% 07/25/2040 | 3.376% | 360,049 | 32,504 | |
Federal National Mortgage Association(c) | ||||
CMO Series 2003-W16 Class AF5 | ||||
11/25/2033 | 4.561% | 303,558 | 299,019 | |
CMO Series 2010-61 Class WA | ||||
06/25/2040 | 6.007% | 75,635 | 80,988 | |
CMO Series 2011-2 Class WA | ||||
02/25/2051 | 5.817% | 75,150 | 79,455 | |
CMO Series 2011-43 Class WA | ||||
05/25/2051 | 5.849% | 92,618 | 99,180 | |
Federal National Mortgage Association(i) | ||||
CMO Series 2006-15 Class OP | ||||
03/25/2036 | 0.000% | 96,690 | 82,404 | |
CMO Series 2006-8 Class WQ | ||||
03/25/2036 | 0.000% | 162,531 | 134,412 | |
CMO Series 2009-86 Class BO | ||||
03/25/2037 | 0.000% | 36,248 | 31,659 | |
CMO Series 2013-101 Class DO | ||||
10/25/2043 | 0.000% | 1,078,499 | 863,906 | |
CMO Series 2013-128 Class | ||||
12/25/2043 | 0.000% | 647,655 | 535,144 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 | 49 |
June 30, 2022 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 |
50 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
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 ($) | |
CMO Series 2013-H07 Class HA | ||||
1-month USD LIBOR + 0.410% Floor 0.410%, Cap 11.000% 03/20/2063 | 1.213% | 552,921 | 547,639 | |
CMO Series 2013-H09 Class GA | ||||
1-month USD LIBOR + 0.480% Floor 0.480%, Cap 11.000% 04/20/2063 | 1.283% | 852,305 | 846,738 | |
CMO Series 2013-H09 Class SA | ||||
1-month USD LIBOR + 0.500% Floor 0.500%, Cap 10.500% 04/20/2063 | 1.303% | 1,624,289 | 1,608,915 | |
CMO Series 2013-H21 Class FA | ||||
1-month USD LIBOR + 0.750% Floor 0.750%, Cap 11.000% 09/20/2063 | 1.553% | 1,386,532 | 1,382,530 | |
CMO Series 2013-H21 Class FB | ||||
1-month USD LIBOR + 0.700% Floor 0.700%, Cap 11.000% 09/20/2063 | 1.503% | 1,725,012 | 1,718,812 | |
CMO Series 2015-H23 Class FB | ||||
1-month USD LIBOR + 0.520% Floor 0.520%, Cap 11.000% 09/20/2065 | 1.323% | 1,036,876 | 1,026,700 | |
CMO Series 2015-H26 Class FG | ||||
1-month USD LIBOR + 0.520% Floor 0.520%, Cap 11.000% 10/20/2065 | 1.323% | 560,660 | 555,066 | |
CMO Series 2015-H30 Class FE | ||||
1-month USD LIBOR + 0.600% Floor 0.600%, Cap 11.000% 11/20/2065 | 1.403% | 4,458,204 | 4,421,857 | |
CMO Series 2020-H05 Class FK | ||||
1-month USD LIBOR + 0.610% Floor 0.610%, Cap 99.000% 03/20/2070 | 1.413% | 3,135,569 | 3,108,035 | |
Government National Mortgage Association(b),(g) | ||||
CMO Series 2005-3 Class SE | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 01/20/2035 | 4.505% | 449,800 | 37,783 | |
CMO Series 2007-40 Class SN | ||||
-1.0 x 1-month USD LIBOR + 6.680% Cap 6.680% 07/20/2037 | 5.085% | 313,558 | 25,538 | |
CMO Series 2008-62 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 07/20/2038 | 4.555% | 292,092 | 12,607 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 | 51 |
June 30, 2022 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 $1,144,176,724) | 1,101,423,737 | |||
Residential Mortgage-Backed Securities - Non-Agency 4.9% | ||||
Ajax Mortgage Loan Trust(a),(c) | ||||
CMO Series 2021-B Class A | ||||
06/25/2066 | 2.239% | 3,284,773 | 3,060,976 | |
Anchor Mortgage Trust(a),(c) | ||||
CMO Series 2021-1 Class A2 | ||||
10/25/2026 | 3.650% | 6,666,667 | 6,299,822 | |
Angel Oak Mortgage Trust(a),(c) | ||||
CMO Series 2020-2 Class A1A | ||||
01/26/2065 | 2.531% | 944,446 | 912,307 | |
CMO Series 2021-6 Class A1 | ||||
09/25/2066 | 1.483% | 1,612,327 | 1,393,479 | |
Angel Oak Mortgage Trust I LLC(a),(c) | ||||
CMO Series 2019-2 Class A1 | ||||
03/25/2049 | 3.628% | 38,316 | 38,244 | |
Angel Oak Mortgage Trust LLC(a),(c) | ||||
CMO Series 2020-5 Class A1 | ||||
05/25/2065 | 1.373% | 258,712 | 248,123 | |
ANTLR Mortgage Trust(a),(c) | ||||
CMO Series 2021-RTL1 Class A1 | ||||
11/25/2024 | 2.115% | 3,399,000 | 3,257,324 | |
CMO Series 2021-RTL1 Class A2 | ||||
01/25/2025 | 2.981% | 4,600,000 | 4,394,275 | |
Banc of America Funding Trust | ||||
CMO Series 2004-3 Class 1A1 | ||||
10/25/2034 | 5.500% | 27,749 | 26,695 | |
Bear Stearns Adjustable Rate Mortgage Trust(c) | ||||
CMO Series 2003-4 Class 3A1 | ||||
07/25/2033 | 3.496% | 21,142 | 20,753 |
52 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 | 53 |
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 ($) | |
CMO Series 2021-1 Class A | ||||
1-month USD LIBOR + 0.700% Floor 0.700% 02/25/2055 | 1.368% | 664,000 | 655,471 | |
CMO Series 2021-2 Class A | ||||
1-month USD LIBOR + 0.750% Floor 0.750% 04/25/2055 | 2.374% | 2,054,000 | 2,023,967 | |
Merrill Lynch Mortgage Investors Trust(b) | ||||
CMO Series 2003-A Class 2A1 | ||||
1-month USD LIBOR + 0.780% Floor 0.390%, Cap 11.750% 03/25/2028 | 2.404% | 41,356 | 39,848 | |
CMO Series 2003-E Class A1 | ||||
1-month USD LIBOR + 0.620% Floor 0.620%, Cap 11.750% 10/25/2028 | 2.244% | 177,536 | 168,862 | |
CMO Series 2004-A Class A1 | ||||
1-month USD LIBOR + 0.460% Floor 0.230%, Cap 11.750% 04/25/2029 | 2.084% | 134,950 | 126,173 | |
CMO Series 2004-G Class A2 | ||||
6-month USD LIBOR + 0.600% Floor 0.300%, Cap 11.750% 01/25/2030 | 3.435% | 22,924 | 21,598 | |
Merrill Lynch Mortgage Investors Trust(c) | ||||
CMO Series 2004-1 Class 2A1 | ||||
12/25/2034 | 2.292% | 110,543 | 106,002 | |
CMO Series 2004-A4 Class A2 | ||||
08/25/2034 | 2.959% | 139,513 | 133,298 | |
MFA Trust(a),(c) | ||||
CMO Series 2021-NQM2 Class A1 | ||||
11/25/2064 | 1.029% | 995,777 | 899,356 | |
Mill City Securities Ltd.(a),(c) | ||||
CMO Series 2021-RS1 Class A2 | ||||
04/28/2066 | 3.951% | 4,449,000 | 4,189,014 | |
Morgan Stanley Mortgage Loan Trust(c) | ||||
CMO Series 2004-3 Class 4A | ||||
04/25/2034 | 5.649% | 125,719 | 123,889 | |
MRA Issuance Trust(a),(b),(d),(f) | ||||
CMO Series 2021-EBO2 Class A | ||||
1-month USD LIBOR + 2.735% 04/15/2023 | 2.966% | 7,000,000 | 7,000,000 | |
CMO Series 2021-EBO5 Class A1X | ||||
1-month USD LIBOR + 1.750% Floor 1.750% 02/15/2023 | 1.842% | 9,600,000 | 9,600,000 | |
CMO Series 2021-EBO7 Class A1X | ||||
1-month USD LIBOR + 2.750% Floor 2.750% 02/15/2023 | 2.850% | 9,600,000 | 9,600,000 |
54 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 | 55 |
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 |
56 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
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 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 | 57 |
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: $5,977,839,897) | 5,506,867,656 | |
Other Assets & Liabilities, Net | (274,699,371) | |
Net Assets | 5,232,168,285 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | 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 | — |
(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. |
58 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
(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 |
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 |
USD | US Dollar |
■ | 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). |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 | 59 |
June 30, 2022 (Unaudited)
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.
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 |
60 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
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 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 | 61 |
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 |
62 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
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) |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 | 63 |
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 |
64 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 | 65 |
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%. |
66 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
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% | $10,669 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 | 67 |
June 30, 2022 (Unaudited)
68 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 | 69 |
June 30, 2022 (Unaudited)
70 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 | 71 |
June 30, 2022 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
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 ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 2,642,396* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
72 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | 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) |
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 ($)** |
Forward foreign currency exchange contracts | 60,297 | (39,530) |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2022. |
** | Based on the ending daily outstanding amounts for the six months ended June 30, 2022. |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 | 73 |
June 30, 2022 (Unaudited)
74 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Citi ($) | |
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. |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 | 75 |
June 30, 2022 (Unaudited)
76 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Fee rate(s) contractual through April 30, 2023 | |
Class 1 | 0.54% |
Class 2 | 0.79 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 | 77 |
June 30, 2022 (Unaudited)
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) |
78 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 1,620,000 | 0.85 | 5 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 | 79 |
June 30, 2022 (Unaudited)
80 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 | 81 |
• | 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. |
82 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
• | 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). |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 | 83 |
84 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 | 85 |
86 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
3 | |
5 | |
6 | |
12 | |
13 | |
14 | |
16 | |
18 | |
27 | |
27 |
(Unaudited)
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 |
Variable Portfolio – Partners International Value Fund | Semiannual Report 2022 | 3 |
(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 |
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. |
4 | Variable Portfolio – Partners International Value Fund | Semiannual Report 2022 |
(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 (%) | ||||
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 |
Variable Portfolio – Partners International Value Fund | Semiannual Report 2022 | 5 |
June 30, 2022 (Unaudited)
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 |
6 | Variable Portfolio – Partners International Value Fund | Semiannual Report 2022 |
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 |
Variable Portfolio – Partners International Value Fund | Semiannual Report 2022 | 7 |
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 $18,421,613) | 9,723,547 |
8 | Variable Portfolio – Partners International Value Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Money Market Funds 1.5% | ||
Shares | Value ($) | |
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 |
(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 |
ADR | American Depositary Receipt |
■ | 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). |
Variable Portfolio – Partners International Value Fund | Semiannual Report 2022 | 9 |
June 30, 2022 (Unaudited)
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.
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 |
10 | Variable Portfolio – Partners International Value Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
The Fund does not hold any significant investments (greater than one percent of net assets) categorized as Level 3.
Variable Portfolio – Partners International Value Fund | Semiannual Report 2022 | 11 |
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 |
12 | Variable Portfolio – Partners International Value Fund | Semiannual Report 2022 |
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) |
Variable Portfolio – Partners International Value Fund | Semiannual Report 2022 | 13 |
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 |
14 | Variable Portfolio – Partners International Value Fund | Semiannual Report 2022 |
Variable Portfolio – Partners International Value Fund | Semiannual Report 2022 | 15 |
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%. |
16 | Variable Portfolio – Partners International Value Fund | Semiannual Report 2022 |
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% | $20,666 |
Variable Portfolio – Partners International Value Fund | Semiannual Report 2022 | 17 |
June 30, 2022 (Unaudited)
18 | Variable Portfolio – Partners International Value Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – Partners International Value Fund | Semiannual Report 2022 | 19 |
June 30, 2022 (Unaudited)
20 | Variable Portfolio – Partners International Value Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – Partners International Value Fund | Semiannual Report 2022 | 21 |
June 30, 2022 (Unaudited)
Fee rate(s) contractual through April 30, 2023 | |
Class 1 | 0.84% |
Class 2 | 1.09 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
1,504,038,000 | 33,627,000 | (270,053,000) | (236,426,000) |
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
— | (19,464,530) | (19,464,530) |
22 | Variable Portfolio – Partners International Value Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – Partners International Value Fund | Semiannual Report 2022 | 23 |
June 30, 2022 (Unaudited)
24 | Variable Portfolio – Partners International Value Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – Partners International Value Fund | Semiannual Report 2022 | 25 |
June 30, 2022 (Unaudited)
26 | Variable Portfolio – Partners International Value Fund | Semiannual Report 2022 |
• | 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. |
Variable Portfolio – Partners International Value Fund | Semiannual Report 2022 | 27 |
• | 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). |
28 | Variable Portfolio – Partners International Value Fund | Semiannual Report 2022 |
Variable Portfolio – Partners International Value Fund | Semiannual Report 2022 | 29 |
30 | Variable Portfolio – Partners International Value Fund | Semiannual Report 2022 |
Variable Portfolio – Partners International Value Fund | Semiannual Report 2022 | 31 |
June 30, 2022 (Unaudited)
3 | |
5 | |
6 | |
9 | |
10 | |
11 | |
12 | |
14 | |
23 | |
23 |
(Unaudited)
Schroder Investment Management North America Limited (sub-subadviser)
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 |
Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2022 | 3 |
(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 |
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. |
4 | Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2022 |
(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 ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 771.00 | 1,020.73 | 3.60 | 4.11 | 0.82 |
Class 2 | 1,000.00 | 1,000.00 | 770.40 | 1,019.49 | 4.70 | 5.36 | 1.07 |
Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2022 | 5 |
June 30, 2022 (Unaudited)
Common Stocks 97.9% | ||
Issuer | Shares | Value ($) |
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 ($) |
Japan 9.0% | ||
Bridgestone Corp. | 1,426,900 | 52,023,905 |
Recruit Holdings Co., Ltd. | 1,385,300 | 40,797,699 |
SMC Corp. | 77,100 | 34,320,260 |
Sony Group Corp. | 524,100 | 42,743,908 |
Total | 169,885,772 | |
Netherlands 6.0% | ||
ASML Holding NV | 130,205 | 61,513,781 |
Shell PLC | 1,984,551 | 51,494,220 |
Total | 113,008,001 | |
Norway 1.8% | ||
Equinor ASA | 987,715 | 34,417,321 |
Spain 2.0% | ||
Iberdrola SA | 3,575,449 | 37,225,475 |
Sweden 2.2% | ||
Nibe Industrier AB, Class B | 304,487 | 2,295,298 |
Svenska Handelsbanken AB, Class A | 4,581,997 | 39,331,443 |
Total | 41,626,741 | |
Switzerland 13.7% | ||
Chocoladefabriken Lindt & Spruengli AG | 3,541 | 36,054,612 |
Cie Financiere Richemont SA, Class A, Registered Shares | 310,428 | 33,390,624 |
Lonza Group AG, Registered Shares | 49,248 | 26,305,201 |
Nestlé SA, Registered Shares | 693,171 | 81,012,808 |
Roche Holding AG, Genusschein Shares | 177,649 | 59,388,034 |
Sika AG | 94,824 | 21,888,914 |
Total | 258,040,193 | |
Taiwan 1.5% | ||
Taiwan Semiconductor Manufacturing Co., Ltd., ADR | 345,525 | 28,246,669 |
United Kingdom 22.7% | ||
AstraZeneca PLC | 538,579 | 71,050,315 |
Bunzl PLC | 807,852 | 26,829,365 |
Burberry Group PLC | 1,532,569 | 30,745,599 |
Diageo PLC | 805,331 | 34,784,435 |
GSK PLC | 2,305,255 | 49,681,937 |
HSBC Holdings PLC | 6,137,584 | 40,093,905 |
6 | Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
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 |
(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 |
ADR | American Depositary Receipt |
■ | 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). |
Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2022 | 7 |
June 30, 2022 (Unaudited)
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.
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 |
* | Rounds to zero. |
8 | Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2022 |
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 |
Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2022 | 9 |
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) |
10 | Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2022 |
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) |
Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2022 | 11 |
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%. |
12 | Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2022 |
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% | $8,554 |
Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2022 | 13 |
June 30, 2022 (Unaudited)
14 | Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2022 | 15 |
June 30, 2022 (Unaudited)
16 | Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2022 | 17 |
June 30, 2022 (Unaudited)
Fee rate(s) contractual through April 30, 2023 | |
Class 1 | 0.88% |
Class 2 | 1.13 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
2,024,499,000 | 75,541,000 | (228,130,000) | (152,589,000) |
18 | Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Borrower | 1,150,000 | 1.34 | 2 |
Lender | 2,200,000 | 0.86 | 2 |
Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2022 | 19 |
June 30, 2022 (Unaudited)
20 | Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2022 | 21 |
June 30, 2022 (Unaudited)
22 | Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2022 |
• | 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. |
Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2022 | 23 |
• | 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). |
24 | Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2022 |
Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2022 | 25 |
26 | Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2022 |
Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2022 | 27 |
June 30, 2022 (Unaudited)
3 | |
5 | |
6 | |
10 | |
11 | |
12 | |
14 | |
16 | |
23 | |
23 |
(Unaudited)
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 |
CTIVP® – MFS® Value Fund | Semiannual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2022) | |
Common Stocks | 99.2 |
Money Market Funds | 0.8 |
Total | 100.0 |
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 |
4 | CTIVP® – MFS® Value Fund | Semiannual Report 2022 |
(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 ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 867.20 | 1,021.37 | 3.19 | 3.46 | 0.69 |
Class 2 | 1,000.00 | 1,000.00 | 866.10 | 1,020.13 | 4.35 | 4.71 | 0.94 |
CTIVP® – MFS® Value Fund | Semiannual Report 2022 | 5 |
June 30, 2022 (Unaudited)
Common Stocks 99.3% | ||
Issuer | Shares | Value ($) |
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 ($) |
Financials 26.0% | ||
Banks 6.6% | ||
Citigroup, Inc. | 380,237 | 17,487,100 |
JPMorgan Chase & Co. | 470,694 | 53,004,851 |
PNC Financial Services Group, Inc. (The) | 111,998 | 17,669,924 |
Truist Financial Corp. | 204,549 | 9,701,759 |
U.S. Bancorp | 99,683 | 4,587,412 |
Total | 102,451,046 | |
Capital Markets 7.0% | ||
BlackRock, Inc. | 36,016 | 21,935,185 |
Goldman Sachs Group, Inc. (The) | 54,350 | 16,143,037 |
KKR & Co., Inc., Class A | 183,652 | 8,501,251 |
Moody’s Corp. | 39,685 | 10,793,129 |
Morgan Stanley | 353,841 | 26,913,147 |
Nasdaq, Inc. | 162,493 | 24,786,682 |
Total | 109,072,431 | |
Consumer Finance 1.6% | ||
American Express Co. | 180,620 | 25,037,544 |
Insurance 10.8% | ||
Aon PLC, Class A | 141,694 | 38,212,038 |
Chubb Ltd. | 178,258 | 35,041,958 |
Marsh & McLennan Companies, Inc. | 236,929 | 36,783,227 |
Progressive Corp. (The) | 306,927 | 35,686,402 |
Travelers Companies, Inc. (The) | 135,405 | 22,901,048 |
Total | 168,624,673 | |
Total Financials | 405,185,694 | |
Health Care 19.9% | ||
Health Care Equipment & Supplies 3.8% | ||
Abbott Laboratories | 212,125 | 23,047,381 |
Boston Scientific Corp.(a) | 381,914 | 14,233,935 |
Medtronic PLC | 251,212 | 22,546,277 |
Total | 59,827,593 | |
Health Care Providers & Services 4.2% | ||
Cigna Corp. | 161,826 | 42,644,387 |
McKesson Corp. | 69,872 | 22,792,945 |
Total | 65,437,332 |
6 | CTIVP® – MFS® Value Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
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 ($) |
Road & Rail 2.6% | ||
Canadian National Railway Co. | 83,993 | 9,446,693 |
Union Pacific Corp. | 141,433 | 30,164,830 |
Total | 39,611,523 | |
Total Industrials | 275,660,996 | |
Information Technology 6.7% | ||
IT Services 2.2% | ||
Accenture PLC, Class A | 123,215 | 34,210,645 |
Semiconductors & Semiconductor Equipment 4.5% | ||
Analog Devices, Inc. | 73,718 | 10,769,462 |
KLA Corp. | 28,922 | 9,228,432 |
NXP Semiconductors NV | 94,764 | 14,027,915 |
Texas Instruments, Inc. | 238,063 | 36,578,380 |
Total | 70,604,189 | |
Total Information Technology | 104,814,834 | |
Materials 4.0% | ||
Chemicals 4.0% | ||
DuPont de Nemours, Inc. | 306,215 | 17,019,430 |
International Flavors & Fragrances, Inc. | 62,689 | 7,467,514 |
PPG Industries, Inc. | 186,658 | 21,342,476 |
Sherwin-Williams Co. (The) | 76,815 | 17,199,646 |
Total | 63,029,066 | |
Total Materials | 63,029,066 | |
Real Estate 0.4% | ||
Equity Real Estate Investment Trusts (REITS) 0.4% | ||
Public Storage | 21,663 | 6,773,370 |
Total Real Estate | 6,773,370 | |
Utilities 7.3% | ||
Electric Utilities 5.5% | ||
American Electric Power Co., Inc. | 128,380 | 12,316,777 |
Duke Energy Corp. | 336,126 | 36,036,068 |
Southern Co. (The) | 419,670 | 29,926,668 |
Xcel Energy, Inc. | 117,751 | 8,332,061 |
Total | 86,611,574 |
CTIVP® – MFS® Value Fund | Semiannual Report 2022 | 7 |
June 30, 2022 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
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: $1,269,030,890) | 1,562,516,618 | |
Other Assets & Liabilities, Net | (1,189,195) | |
Net Assets | 1,561,327,423 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | 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 |
■ | 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). |
8 | CTIVP® – MFS® Value Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
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.
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 |
CTIVP® – MFS® Value Fund | Semiannual Report 2022 | 9 |
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 |
10 | CTIVP® – MFS® Value Fund | Semiannual Report 2022 |
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) |
CTIVP® – MFS® Value Fund | Semiannual Report 2022 | 11 |
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) |
12 | CTIVP® – MFS® Value Fund | Semiannual Report 2022 |
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%. |
14 | CTIVP® – MFS® Value Fund | Semiannual Report 2022 |
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% | $49,410 |
CTIVP® – MFS® Value Fund | Semiannual Report 2022 | 15 |
June 30, 2022 (Unaudited)
16 | CTIVP® – MFS® Value Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
CTIVP® – MFS® Value Fund | Semiannual Report 2022 | 17 |
June 30, 2022 (Unaudited)
18 | CTIVP® – MFS® Value Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
May 1, 2022 through April 30, 2023 | Prior to May 1, 2022 | |
Class 1 | 0.68% | 0.72% |
Class 2 | 0.93 | 0.97 |
CTIVP® – MFS® Value Fund | Semiannual Report 2022 | 19 |
June 30, 2022 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Borrower | 400,000 | 0.86 | 1 |
20 | CTIVP® – MFS® Value Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
CTIVP® – MFS® Value Fund | Semiannual Report 2022 | 21 |
June 30, 2022 (Unaudited)
22 | CTIVP® – MFS® Value Fund | Semiannual Report 2022 |
• | 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. |
CTIVP® – MFS® Value Fund | Semiannual Report 2022 | 23 |
• | 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). |
24 | CTIVP® – MFS® Value Fund | Semiannual Report 2022 |
CTIVP® – MFS® Value Fund | Semiannual Report 2022 | 25 |
26 | CTIVP® – MFS® Value Fund | Semiannual Report 2022 |
CTIVP® – MFS® Value Fund | Semiannual Report 2022 | 27 |
June 30, 2022 (Unaudited)
3 | |
5 | |
6 | |
10 | |
11 | |
12 | |
14 | |
16 | |
25 | |
25 |
(Unaudited)
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 |
Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022 | 3 |
(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 |
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. |
4 | Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022 |
(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 ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 709.70 | 1,020.48 | 3.69 | 4.36 | 0.87 |
Class 2 | 1,000.00 | 1,000.00 | 708.50 | 1,019.24 | 4.74 | 5.61 | 1.12 |
Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022 | 5 |
June 30, 2022 (Unaudited)
Common Stocks 97.3% | ||
Issuer | Shares | Value ($) |
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 ($) |
France 13.7% | ||
Air Liquide SA | 43,780 | 5,892,912 |
Airbus Group SE | 293,901 | 28,746,426 |
Dassault Systemes SE | 349,665 | 12,951,896 |
L’Oreal SA | 50,414 | 17,504,020 |
LVMH Moet Hennessy Louis Vuitton SE | 46,637 | 28,582,793 |
Safran SA | 222,103 | 22,113,798 |
Sartorius Stedim Biotech | 31,609 | 9,973,204 |
Teleperformance SA | 23,919 | 7,385,807 |
TotalEnergies SE | 137,200 | 7,221,792 |
VINCI SA | 190,148 | 17,067,969 |
Total | 157,440,617 | |
Germany 2.9% | ||
Adidas AG | 35,900 | 6,376,952 |
Infineon Technologies AG | 452,834 | 11,015,425 |
Merck KGaA | 40,600 | 6,886,626 |
Rational AG | 7,502 | 4,373,591 |
SAP SE | 53,900 | 4,913,010 |
Total | 33,565,604 | |
Hong Kong 3.4% | ||
AIA Group Ltd. | 2,010,200 | 21,964,590 |
CLP Holdings Ltd. | 603,000 | 5,011,100 |
Hang Lung Properties Ltd. | 2,855,000 | 5,432,560 |
Jardine Matheson Holdings Ltd. | 139,700 | 7,340,385 |
Total | 39,748,635 | |
India 4.7% | ||
Housing Development Finance Corp., Ltd. | 457,367 | 12,653,841 |
Infosys Ltd. | 671,995 | 12,490,056 |
Reliance Industries Ltd.(a) | 885,004 | 29,222,280 |
Total | 54,366,177 | |
Ireland 3.5% | ||
ICON PLC(a) | 91,978 | 19,931,633 |
Kingspan Group PLC | 148,857 | 9,000,486 |
Ryanair Holdings PLC, ADR(a) | 164,981 | 11,094,972 |
Total | 40,027,091 |
6 | Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
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 ($) |
Sweden 3.3% | ||
Atlas Copco AB, Class A(a) | 1,009,572 | 9,449,640 |
EQT AB | 208,060 | 4,276,269 |
Evolution AB | 68,144 | 6,233,885 |
Hexagon AB, Class B | 1,360,288 | 14,213,724 |
Indutrade AB | 211,979 | 3,889,396 |
Total | 38,062,914 | |
Switzerland 8.6% | ||
Givaudan SA | 1,600 | 5,639,540 |
Kuehne & Nagel International AG | 31,700 | 7,531,999 |
Lonza Group AG, Registered Shares | 43,399 | 23,181,031 |
Nestlé SA, Registered Shares | 57,500 | 6,720,184 |
Novartis AG, Registered Shares | 73,000 | 6,188,986 |
Partners Group Holding AG | 10,856 | 9,804,020 |
Roche Holding AG, Genusschein Shares | 19,400 | 6,485,417 |
SGS SA, Registered Shares | 2,170 | 4,977,286 |
Sika AG | 40,261 | 9,293,740 |
Straumann Holding AG, Registered Shares | 120,695 | 14,539,659 |
VAT Group AG | 19,200 | 4,591,805 |
Total | 98,953,667 | |
Taiwan 2.3% | ||
Taiwan Semiconductor Manufacturing Co., Ltd. | 1,029,000 | 16,491,117 |
Taiwan Semiconductor Manufacturing Co., Ltd., ADR | 118,000 | 9,646,500 |
Total | 26,137,617 | |
United Kingdom 16.3% | ||
Ashtead Group PLC | 217,283 | 9,140,781 |
AstraZeneca PLC | 175,241 | 23,118,110 |
Bunzl PLC | 482,169 | 16,013,191 |
Compass Group PLC | 1,470,557 | 30,192,580 |
Diageo PLC | 555,010 | 23,972,391 |
Experian PLC | 618,007 | 18,145,185 |
Halma PLC | 181,683 | 4,460,707 |
Linde PLC | 47,197 | 13,570,553 |
London Stock Exchange Group PLC | 165,190 | 15,414,162 |
Prudential PLC | 499,000 | 6,207,179 |
Rentokil Initial PLC | 2,304,124 | 13,356,915 |
Segro PLC | 663,537 | 7,921,152 |
Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022 | 7 |
June 30, 2022 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
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 | $1,152,692,092 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | 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 |
ADR | American Depositary Receipt |
■ | 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). |
8 | Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
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.
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 |
Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022 | 9 |
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 |
10 | Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022 |
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) |
Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022 | 11 |
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 |
12 | Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022 |
Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022 | 13 |
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%. |
14 | Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022 |
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% | $33,356 |
Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022 | 15 |
June 30, 2022 (Unaudited)
16 | Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022 | 17 |
June 30, 2022 (Unaudited)
18 | Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022 | 19 |
June 30, 2022 (Unaudited)
Fee rate(s) contractual through April 30, 2023 | |
Class 1 | 0.87% |
Class 2 | 1.12 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
1,266,550,000 | 50,264,000 | (143,891,000) | (93,627,000) |
20 | Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 3,625,000 | 1.16 | 4 |
Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022 | 21 |
June 30, 2022 (Unaudited)
22 | Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022 | 23 |
June 30, 2022 (Unaudited)
24 | Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022 |
• | 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. |
Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022 | 25 |
• | 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). |
26 | Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022 |
Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022 | 27 |
28 | Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022 |
Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022 | 29 |
June 30, 2022 (Unaudited)
3 | |
5 | |
6 | |
11 | |
12 | |
13 | |
14 | |
16 | |
23 | |
23 |
(Unaudited)
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 |
CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2022) | |
Common Stocks | 97.6 |
Convertible Preferred Stocks | 0.6 |
Money Market Funds | 1.8 |
Total | 100.0 |
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 |
4 | CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2022 |
(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 ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 899.70 | 1,021.42 | 3.20 | 3.41 | 0.68 |
Class 2 | 1,000.00 | 1,000.00 | 898.50 | 1,020.18 | 4.38 | 4.66 | 0.93 |
CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2022 | 5 |
June 30, 2022 (Unaudited)
Common Stocks 97.6% | ||
Issuer | Shares | Value ($) |
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 ($) |
Household Products 1.6% | ||
Kimberly-Clark Corp. | 219,278 | 29,635,422 |
Tobacco 1.5% | ||
Philip Morris International, Inc. | 278,342 | 27,483,489 |
Total Consumer Staples | 156,726,425 | |
Energy 7.1% | ||
Oil, Gas & Consumable Fuels 7.1% | ||
ConocoPhillips Co. | 277,223 | 24,897,398 |
Exxon Mobil Corp. | 296,355 | 25,379,842 |
TC Energy Corp. | 488,852 | 25,327,422 |
TotalEnergies SE, ADR | 1,086,227 | 57,178,989 |
Total | 132,783,651 | |
Total Energy | 132,783,651 | |
Financials 13.6% | ||
Banks 5.8% | ||
Bank of America Corp. | 518,388 | 16,137,418 |
Citigroup, Inc. | 315,900 | 14,528,241 |
Fifth Third Bancorp | 200,018 | 6,720,605 |
Huntington Bancshares, Inc. | 1,473,471 | 17,725,856 |
Wells Fargo & Co. | 1,364,274 | 53,438,613 |
Total | 108,550,733 | |
Capital Markets 2.3% | ||
Charles Schwab Corp. (The) | 199,633 | 12,612,813 |
Goldman Sachs Group, Inc. (The) | 69,098 | 20,523,488 |
Morgan Stanley | 128,452 | 9,770,059 |
Total | 42,906,360 | |
Diversified Financial Services 1.2% | ||
Equitable Holdings, Inc. | 896,540 | 23,372,798 |
Insurance 4.3% | ||
American International Group, Inc. | 744,958 | 38,089,702 |
Chubb Ltd. | 214,878 | 42,240,717 |
Total | 80,330,419 | |
Total Financials | 255,160,310 | |
Health Care 20.7% | ||
Biotechnology 1.8% | ||
AbbVie, Inc. | 224,685 | 34,412,755 |
6 | CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
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 ($) |
Machinery 1.9% | ||
Cummins, Inc. | 151,003 | 29,223,611 |
Illinois Tool Works, Inc. | 32,398 | 5,904,535 |
Total | 35,128,146 | |
Total Industrials | 199,162,101 | |
Information Technology 9.8% | ||
Communications Equipment 0.7% | ||
Cisco Systems, Inc. | 325,724 | 13,888,871 |
Electronic Equipment, Instruments & Components 0.7% | ||
TE Connectivity Ltd. | 112,775 | 12,760,491 |
IT Services 1.9% | ||
Fiserv, Inc.(a) | 389,719 | 34,673,300 |
Semiconductors & Semiconductor Equipment 4.2% | ||
Applied Materials, Inc. | 79,130 | 7,199,248 |
NXP Semiconductors NV | 41,871 | 6,198,164 |
QUALCOMM, Inc. | 349,388 | 44,630,823 |
Texas Instruments, Inc. | 137,331 | 21,100,908 |
Total | 79,129,143 | |
Software 2.3% | ||
Citrix Systems, Inc. | 156,773 | 15,233,632 |
Microsoft Corp. | 106,206 | 27,276,887 |
Total | 42,510,519 | |
Total Information Technology | 182,962,324 | |
Materials 5.2% | ||
Chemicals 3.1% | ||
CF Industries Holdings, Inc. | 199,522 | 17,105,021 |
International Flavors & Fragrances, Inc. | 237,361 | 28,274,442 |
RPM International, Inc. | 149,800 | 11,792,256 |
Total | 57,171,719 | |
Containers & Packaging 2.1% | ||
International Paper Co. | 945,844 | 39,564,655 |
Total Materials | 96,736,374 |
CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2022 | 7 |
June 30, 2022 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
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: $1,768,554,663) | 1,868,998,636 | |
Other Assets & Liabilities, Net | (780,279) | |
Net Assets | 1,868,218,357 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | 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 |
ADR | American Depositary Receipt |
8 | CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
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.
■ | 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). |
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 |
CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2022 | 9 |
June 30, 2022 (Unaudited)
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.
10 | CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2022 |
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 |
CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2022 | 11 |
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) |
12 | CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2022 |
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 |
CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2022 | 13 |
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%. |
14 | CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2022 |
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 |
CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2022 | 15 |
June 30, 2022 (Unaudited)
16 | CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2022 | 17 |
June 30, 2022 (Unaudited)
18 | CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Fee rate(s) contractual through April 30, 2023 | |||
Class 1 | 0.71% | ||
Class 2 | 0.96 |
CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2022 | 19 |
June 30, 2022 (Unaudited)
20 | CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2022 | 21 |
June 30, 2022 (Unaudited)
22 | CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2022 |
• | 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. |
CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2022 | 23 |
• | 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). |
24 | CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2022 |
CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2022 | 25 |
26 | CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2022 |
CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2022 | 27 |
June 30, 2022 (Unaudited)
3 | |
5 | |
6 | |
9 | |
10 | |
11 | |
12 | |
14 | |
21 | |
21 |
(Unaudited)
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 |
CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2022) | |
Common Stocks | 99.2 |
Money Market Funds | 0.8 |
Total | 100.0 |
Equity sector breakdown (%) (at June 30, 2022) | |
Real Estate | 100.0 |
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 |
4 | CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2022 |
(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 (%) | ||||
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 |
CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2022 | 5 |
June 30, 2022 (Unaudited)
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 |
6 | CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2022 |
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 | $198,851,026 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | 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 |
■ | 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). |
CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2022 | 7 |
June 30, 2022 (Unaudited)
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.
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 |
8 | CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2022 |
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 |
CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2022 | 9 |
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) |
10 | CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2022 |
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) |
CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2022 | 11 |
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%. |
12 | CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2022 |
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% | $27,353 |
CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2022 | 13 |
June 30, 2022 (Unaudited)
14 | CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2022 | 15 |
June 30, 2022 (Unaudited)
16 | CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
May 1, 2022 through April 30, 2023 | Prior to May 1, 2022 | |
Class 1 | 0.85% | 0.89% |
Class 2 | 1.10 | 1.14 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
198,065,000 | 14,077,000 | (13,456,000) | 621,000 |
CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2022 | 17 |
June 30, 2022 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Borrower | 450,000 | 0.73 | 2 |
18 | CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2022 | 19 |
June 30, 2022 (Unaudited)
20 | CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2022 |
• | 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. |
CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2022 | 21 |
• | 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). |
22 | CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2022 |
CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2022 | 23 |
24 | CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2022 |
CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2022 | 25 |
June 30, 2022 (Unaudited)
3 | |
5 | |
6 | |
9 | |
10 | |
11 | |
12 | |
14 | |
21 | |
21 |
(Unaudited)
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 |
CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2022) | |
Common Stocks | 97.5 |
Money Market Funds | 2.5 |
Total | 100.0 |
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 |
4 | CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2022 |
(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 ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 715.60 | 1,020.63 | 3.57 | 4.21 | 0.84 |
Class 2 | 1,000.00 | 1,000.00 | 714.60 | 1,019.39 | 4.63 | 5.46 | 1.09 |
CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2022 | 5 |
June 30, 2022 (Unaudited)
Common Stocks 97.1% | ||
Issuer | Shares | Value ($) |
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 ($) |
Insurance 1.9% | ||
Arthur J Gallagher & Co. | 36,860 | 6,009,654 |
Total Financials | 30,186,882 | |
Health Care 17.4% | ||
Biotechnology 3.2% | ||
Ascendis Pharma A/S ADR(a) | 45,020 | 4,185,059 |
Horizon Therapeutics PLC(a) | 59,250 | 4,725,780 |
Rocket Pharmaceuticals, Inc.(a) | 82,540 | 1,135,751 |
Total | 10,046,590 | |
Health Care Equipment & Supplies 8.2% | ||
Cooper Companies, Inc. (The) | 19,019 | 5,955,229 |
DexCom, Inc.(a) | 115,510 | 8,608,960 |
IDEXX Laboratories, Inc.(a) | 19,480 | 6,832,221 |
Insulet Corp.(a) | 18,768 | 4,090,298 |
Total | 25,486,708 | |
Health Care Providers & Services 1.7% | ||
Quest Diagnostics, Inc. | 38,980 | 5,183,560 |
Life Sciences Tools & Services 4.3% | ||
Avantor, Inc.(a) | 188,476 | 5,861,604 |
ICON PLC(a) | 35,540 | 7,701,518 |
Total | 13,563,122 | |
Total Health Care | 54,279,980 | |
Industrials 16.9% | ||
Aerospace & Defense 2.7% | ||
TransDigm Group, Inc.(a) | 15,603 | 8,373,662 |
Commercial Services & Supplies 3.5% | ||
Copart, Inc.(a) | 63,800 | 6,932,508 |
Waste Connections, Inc. | 31,590 | 3,915,896 |
Total | 10,848,404 | |
Electrical Equipment 4.0% | ||
AMETEK, Inc. | 51,760 | 5,687,907 |
Rockwell Automation, Inc. | 34,075 | 6,791,488 |
Total | 12,479,395 | |
Machinery 1.7% | ||
IDEX Corp. | 28,970 | 5,261,821 |
6 | CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
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: $330,411,934) | 310,027,648 | |
Other Assets & Liabilities, Net | 1,266,682 | |
Net Assets | 311,294,330 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | 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 |
CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2022 | 7 |
June 30, 2022 (Unaudited)
ADR | American Depositary Receipt |
■ | 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). |
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 |
8 | CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2022 |
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 |
CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2022 | 9 |
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) |
10 | CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2022 |
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) |
CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2022 | 11 |
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%. |
12 | CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2022 |
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% | $19,303 |
CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2022 | 13 |
June 30, 2022 (Unaudited)
14 | CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2022 | 15 |
June 30, 2022 (Unaudited)
16 | CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Fee rate(s) contractual through April 30, 2023 | |
Class 1 | 0.84% |
Class 2 | 1.09 |
CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2022 | 17 |
June 30, 2022 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 4,700,000 | 1.36 | 1 |
18 | CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2022 | 19 |
June 30, 2022 (Unaudited)
20 | CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2022 |
• | 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. |
CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2022 | 21 |
• | 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). |
22 | CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2022 |
CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2022 | 23 |
24 | CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2022 |
CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2022 | 25 |
June 30, 2022 (Unaudited)
3 | |
5 | |
6 | |
11 | |
12 | |
13 | |
14 | |
16 | |
24 | |
24 | |
26 |
(Unaudited)
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 |
Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2022) | |
Common Stocks | 95.8 |
Money Market Funds | 4.2 |
Total | 100.0 |
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 |
4 | Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022 |
(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 ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 694.00 | 1,020.53 | 3.61 | 4.31 | 0.86 |
Class 2 | 1,000.00 | 1,000.00 | 693.30 | 1,019.29 | 4.66 | 5.56 | 1.11 |
Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022 | 5 |
June 30, 2022 (Unaudited)
Common Stocks 98.7% | ||
Issuer | Shares | Value ($) |
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 ($) |
Specialty Retail 1.9% | ||
Boot Barn Holdings, Inc.(a) | 22,225 | 1,531,525 |
Leslie’s, Inc.(a) | 147,262 | 2,235,437 |
Lithia Motors, Inc., Class A | 14,910 | 4,097,417 |
Monro, Inc. | 66,765 | 2,862,883 |
Total | 10,727,262 | |
Textiles, Apparel & Luxury Goods 1.1% | ||
Crocs, Inc.(a) | 21,960 | 1,068,793 |
Deckers Outdoor Corp.(a) | 8,065 | 2,059,398 |
G-III Apparel Group Ltd.(a) | 140,544 | 2,843,205 |
Total | 5,971,396 | |
Total Consumer Discretionary | 62,835,795 | |
Consumer Staples 3.7% | ||
Beverages 0.7% | ||
Celsius Holdings, Inc.(a) | 26,230 | 1,711,770 |
Duckhorn Portfolio, Inc. (The)(a) | 108,600 | 2,287,116 |
Total | 3,998,886 | |
Food & Staples Retailing 2.0% | ||
Performance Food Group, Inc.(a) | 110,513 | 5,081,388 |
The Chefs’ Warehouse(a) | 155,205 | 6,035,922 |
Total | 11,117,310 | |
Food Products 0.9% | ||
Freshpet, Inc.(a) | 64,899 | 3,367,609 |
Simply Good Foods Co. (The)(a) | 35,400 | 1,337,058 |
Total | 4,704,667 | |
Personal Products 0.1% | ||
Thorne HealthTech, Inc.(a) | 135,866 | 657,592 |
Total Consumer Staples | 20,478,455 | |
Energy 0.5% | ||
Energy Equipment & Services 0.5% | ||
Core Laboratories NV | 146,871 | 2,909,514 |
Total Energy | 2,909,514 | |
Financials 5.6% | ||
Banks 0.5% | ||
Hilltop Holdings, Inc. | 97,160 | 2,590,286 |
6 | Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
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 ($) |
SI-BONE, Inc.(a) | 168,620 | 2,225,784 |
Silk Road Medical, Inc.(a) | 30,440 | 1,107,712 |
Tandem Diabetes Care, Inc.(a) | 25,555 | 1,512,600 |
Varex Imaging Corp.(a) | 107,548 | 2,300,452 |
Total | 51,163,533 | |
Health Care Providers & Services 5.1% | ||
AdaptHealth Corp.(a) | 205,426 | 3,705,885 |
AMN Healthcare Services, Inc.(a) | 70,308 | 7,713,491 |
Castle Biosciences, Inc.(a) | 102,838 | 2,257,294 |
HealthEquity, Inc.(a) | 93,847 | 5,761,267 |
ModivCare, Inc.(a) | 35,228 | 2,976,766 |
Privia Health Group, Inc.(a) | 57,069 | 1,661,849 |
U.S. Physical Therapy, Inc. | 39,703 | 4,335,568 |
Total | 28,412,120 | |
Health Care Technology 1.0% | ||
Inspire Medical Systems, Inc.(a) | 29,370 | 5,365,018 |
Life Sciences Tools & Services 1.9% | ||
Akoya Biosciences, Inc.(a) | 47,804 | 614,281 |
Alpha Teknova, Inc.(a) | 18,684 | 156,946 |
Codexis, Inc.(a) | 305,576 | 3,196,325 |
Medpace Holdings, Inc.(a) | 37,381 | 5,594,814 |
NeoGenomics, Inc.(a) | 140,026 | 1,141,212 |
Total | 10,703,578 | |
Pharmaceuticals 2.4% | ||
Amylyx Pharmaceuticals, Inc.(a) | 89,110 | 1,716,259 |
Pacira Pharmaceuticals, Inc.(a) | 116,172 | 6,772,828 |
Supernus Pharmaceuticals, Inc.(a) | 160,806 | 4,650,509 |
Total | 13,139,596 | |
Total Health Care | 150,118,296 | |
Industrials 15.9% | ||
Aerospace & Defense 0.6% | ||
Kratos Defense & Security Solutions, Inc.(a) | 246,518 | 3,421,670 |
Air Freight & Logistics 0.9% | ||
Forward Air Corp. | 51,688 | 4,753,228 |
Building Products 1.3% | ||
Zurn Water Solutions Corp. | 259,345 | 7,064,558 |
Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022 | 7 |
June 30, 2022 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
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 ($) |
Electronic Equipment, Instruments & Components 5.0% | ||
Advanced Energy Industries, Inc. | 48,180 | 3,516,176 |
ePlus, Inc.(a) | 89,406 | 4,749,247 |
Fabrinet(a) | 50,523 | 4,097,415 |
II-VI, Inc.(a) | 98,107 | 4,998,552 |
Novanta, Inc.(a) | 58,113 | 7,047,364 |
Plexus Corp.(a) | 44,397 | 3,485,164 |
Total | 27,893,918 | |
IT Services 4.6% | ||
BigCommerce Holdings, Inc.(a) | 167,100 | 2,707,020 |
DigitalOcean Holdings, Inc.(a) | 40,000 | 1,654,400 |
Endava PLC, ADR(a) | 39,598 | 3,495,315 |
Evo Payments, Inc., Class A(a) | 122,305 | 2,876,614 |
Flywire Corp.(a) | 55,700 | 981,991 |
I3 Verticals, Inc.(a) | 187,908 | 4,701,458 |
Paymentus Holdings, Inc., Class A(a) | 96,271 | 1,287,143 |
Perficient, Inc.(a) | 28,400 | 2,603,996 |
Shift4 Payments, Inc., Class A(a) | 52,500 | 1,735,650 |
TTEC Holdings, Inc. | 48,193 | 3,271,823 |
Total | 25,315,410 | |
Semiconductors & Semiconductor Equipment 7.1% | ||
Allegro MicroSystems, Inc.(a) | 166,659 | 3,448,175 |
Ambarella, Inc.(a) | 62,550 | 4,094,523 |
Credo Technology Group Holding Ltd.(a) | 328,420 | 3,835,946 |
Diodes, Inc.(a) | 69,600 | 4,494,072 |
Impinj, Inc.(a) | 74,229 | 4,355,015 |
Power Integrations, Inc. | 53,703 | 4,028,262 |
Semtech Corp.(a) | 158,413 | 8,707,963 |
Silicon Laboratories, Inc.(a) | 18,825 | 2,639,641 |
SiTime Corp.(a) | 8,500 | 1,385,755 |
Ultra Clean Holdings, Inc.(a) | 73,920 | 2,200,598 |
Total | 39,189,950 | |
Software 12.8% | ||
Box, Inc., Class A(a) | 218,128 | 5,483,738 |
CyberArk Software Ltd.(a) | 38,500 | 4,926,460 |
Descartes Systems Group, Inc. (The)(a) | 75,709 | 4,698,501 |
Domo, Inc., Class B(a) | 65,700 | 1,826,460 |
Envestnet, Inc.(a) | 57,487 | 3,033,589 |
8 | Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
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: $610,492,887) | 571,872,612 | |
Other Assets & Liabilities, Net | (17,290,213) | |
Net Assets | 554,582,399 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | 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 |
ADR | American Depositary Receipt |
Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022 | 9 |
June 30, 2022 (Unaudited)
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.
■ | 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). |
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 |
10 | Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022 |
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 |
Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022 | 11 |
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) |
12 | Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022 |
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) |
Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022 | 13 |
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%. |
14 | Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022 |
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% | $7,101 |
Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022 | 15 |
June 30, 2022 (Unaudited)
16 | Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022 | 17 |
June 30, 2022 (Unaudited)
18 | Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
May 1, 2022 through April 30, 2023 | Prior to May 1, 2022 | |
Class 1 | 0.85% | 0.87% |
Class 2 | 1.10 | 1.12 |
Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022 | 19 |
June 30, 2022 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 32,000,000 | 2.08 | 1 |
20 | Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022 | 21 |
June 30, 2022 (Unaudited)
22 | Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022 | 23 |
• | 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. |
• | 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 |
• | 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. |
Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022 | 25 |
26 | Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022 |
• | 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). |
Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022 | 27 |
28 | Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022 |
Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022 | 29 |
30 | Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
3 | |
5 | |
6 | |
28 | |
29 | |
30 | |
32 | |
34 | |
47 | |
47 |
(Unaudited)
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 |
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 | 3 |
(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 |
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 |
(a) | Rounds to zero. |
4 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 |
(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 ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 889.20 | 1,022.41 | 2.25 | 2.41 | 0.48 |
Class 2 | 1,000.00 | 1,000.00 | 888.70 | 1,021.17 | 3.42 | 3.66 | 0.73 |
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 | 5 |
June 30, 2022 (Unaudited)
Asset-Backed Securities — Non-Agency 5.3% | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 ($) | |
LCM(a),(b) | ||||
Series 2019A Class AR | ||||
3-month USD LIBOR + 1.240% Floor 1.240% 07/15/2027 | 2.284% | 2,648,704 | 2,632,561 | |
Navient Student Loan Trust(b) | ||||
Series 2014-1 Class A3 | ||||
1-month USD LIBOR + 0.510% Floor 0.510% 06/25/2031 | 1.516% | 4,222,953 | 4,143,832 | |
Series 2014-3 Class A | ||||
1-month USD LIBOR + 0.620% Floor 0.620% 03/25/2083 | 1.626% | 4,510,285 | 4,476,126 | |
Series 2014-4 Class A | ||||
1-month USD LIBOR + 0.620% Floor 0.620% 03/25/2083 | 1.626% | 3,216,722 | 3,193,834 | |
Series 2015-2 Class A3 | ||||
1-month USD LIBOR + 0.570% Floor 0.570% 11/26/2040 | 1.576% | 8,287,749 | 8,213,133 | |
Navient Student Loan Trust(a),(b) | ||||
Series 2016-2 Class A3 | ||||
1-month USD LIBOR + 1.500% 06/25/2065 | 2.506% | 7,763,523 | 7,762,615 | |
Nelnet Student Loan Trust(a),(b) | ||||
Series 2014-4A Class A2 | ||||
1-month USD LIBOR + 0.950% Floor 0.950% 11/25/2048 | 2.574% | 4,345,000 | 4,226,362 | |
Neuberger Berman Loan Advisers CLO 43 Ltd.(a),(b) | ||||
Series 2021-43A Class B | ||||
3-month USD LIBOR + 1.600% Floor 1.600% 07/17/2035 | 2.644% | 8,500,000 | 8,051,931 | |
New Economy Assets Phase 1 Sponsor LLC(a) | ||||
Subordinated Series 2021-1 Class B1 | ||||
10/20/2061 | 2.410% | 8,935,000 | 7,744,250 | |
Regatta XIII Funding Ltd.(a),(b) | ||||
Series 2018-2A Class A2 | ||||
3-month USD LIBOR + 1.750% 07/15/2031 | 2.794% | 3,500,000 | 3,300,206 | |
Rockford Tower CLO Ltd.(a),(b) | ||||
Series 2020-1A Class A | ||||
3-month USD LIBOR + 1.280% 01/20/2032 | 2.343% | 8,000,000 | 7,859,104 |
6 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 $23,510,882) | 22,233,862 | |||
Commercial Mortgage-Backed Securities - Non-Agency 3.6% | ||||
BFLD Trust(a),(b) | ||||
Series 2020-EYP Class A | ||||
1-month USD LIBOR + 1.150% Floor 1.150% 10/15/2035 | 2.474% | 7,500,000 | 7,282,035 | |
BPR Trust(a),(b) | ||||
Series 2022-OANA Class A | ||||
1-month Term SOFR + 1.898% Floor 1.898% 04/15/2037 | 3.177% | 8,446,000 | 8,273,205 | |
BX Commercial Mortgage Trust(a),(b) | ||||
Series 2019-XL Class A | ||||
1-month USD LIBOR + 0.920% Floor 0.921% 10/15/2036 | 2.244% | 10,047,921 | 9,872,840 | |
Series 2022-CSMO Class A | ||||
1-month Term SOFR + 2.115% Floor 2.115% 06/15/2027 | 2.865% | 6,925,000 | 6,829,512 | |
Subordinated Series 2022-CSMO Class B | ||||
1-month Term SOFR + 3.141% Floor 3.141% 06/15/2027 | 3.891% | 4,080,000 | 4,008,401 | |
BX Trust(a) | ||||
Series 2019-OC11 Class A | ||||
12/09/2041 | 3.202% | 1,355,000 | 1,213,270 |
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 | 7 |
June 30, 2022 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 ($) | |
Aerospace & Defense 0.2% | ||||
Boeing Co. (The) | ||||
02/04/2024 | 1.433% | 6,730,000 | 6,438,250 | |
Airlines 0.2% | ||||
Delta Air Lines Pass-Through Trust | ||||
06/10/2028 | 2.000% | 7,923,709 | 6,952,412 | |
Apartment REIT 0.0% | ||||
Post Apartment Homes LP | ||||
12/01/2022 | 3.375% | 1,157,000 | 1,156,291 |
8 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 |
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 | 9 |
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 ($) | |
Chemicals 0.2% | ||||
International Flavors & Fragrances, Inc. | ||||
09/26/2048 | 5.000% | 5,060,000 | 4,727,919 | |
Consumer Products 0.1% | ||||
Clorox Co. (The) | ||||
05/01/2032 | 4.600% | 2,500,000 | 2,509,827 | |
Spectrum Brands, Inc.(a) | ||||
03/15/2031 | 3.875% | 2,000,000 | 1,613,757 | |
Total | 4,123,584 | |||
Diversified Manufacturing 0.2% | ||||
GE Capital International Funding Co. Unlimited Co. | ||||
11/15/2035 | 4.418% | 3,838,000 | 3,592,103 | |
General Electric Co.(b) | ||||
3-month USD LIBOR + 0.380% 05/05/2026 | 1.743% | 1,886,000 | 1,786,298 | |
General Electric Co. | ||||
03/15/2032 | 6.750% | 930,000 | 1,040,362 | |
Total | 6,418,763 | |||
Electric 1.6% | ||||
AEP Transmission Co. LLC | ||||
12/01/2047 | 3.750% | 1,600,000 | 1,355,569 | |
04/01/2050 | 3.650% | 305,000 | 253,033 | |
Appalachian Power Co. | ||||
05/15/2033 | 5.950% | 3,225,000 | 3,432,397 | |
Duke Energy Carolinas LLC | ||||
12/15/2041 | 4.250% | 900,000 | 832,220 | |
Duke Energy Corp. | ||||
06/15/2031 | 2.550% | 3,120,000 | 2,593,934 | |
09/01/2046 | 3.750% | 1,110,000 | 875,439 | |
Duke Energy Progress LLC | ||||
04/01/2052 | 4.000% | 500,000 | 449,466 | |
Entergy Louisiana LLC | ||||
04/01/2025 | 3.780% | 5,900,000 | 5,845,223 | |
Eversource Energy | ||||
07/01/2027 | 4.600% | 3,135,000 | 3,161,139 | |
Florida Power & Light Co. | ||||
03/01/2049 | 3.990% | 1,500,000 | 1,372,845 | |
ITC Holdings Corp. | ||||
07/01/2023 | 4.050% | 1,740,000 | 1,745,055 | |
11/15/2027 | 3.350% | 1,000,000 | 954,811 | |
Metropolitan Edison Co.(a) | ||||
04/15/2025 | 4.000% | 3,000,000 | 2,946,373 | |
01/15/2029 | 4.300% | 1,752,000 | 1,724,046 | |
Mong Duong Finance Holdings BV(a) | ||||
05/07/2029 | 5.125% | 400,000 | 323,189 |
10 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 |
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 | 11 |
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 ($) | |
Humana, Inc. | ||||
04/01/2030 | 4.875% | 1,333,000 | 1,345,752 | |
Molina Healthcare, Inc.(a) | ||||
06/15/2028 | 4.375% | 4,438,000 | 3,978,148 | |
11/15/2030 | 3.875% | 2,000,000 | 1,709,073 | |
UnitedHealth Group, Inc. | ||||
12/15/2048 | 4.450% | 1,245,000 | 1,192,589 | |
05/15/2051 | 3.250% | 457,000 | 359,499 | |
Total | 17,115,689 | |||
Healthcare REIT 0.2% | ||||
Healthcare Trust of America Holdings LP | ||||
08/01/2026 | 3.500% | 2,367,000 | 2,251,001 | |
07/01/2027 | 3.750% | 1,695,000 | 1,607,525 | |
03/15/2031 | 2.000% | 1,880,000 | 1,458,279 | |
Total | 5,316,805 | |||
Independent Energy 0.1% | ||||
Hess Corp. | ||||
02/15/2041 | 5.600% | 2,000,000 | 1,948,945 | |
Occidental Petroleum Corp.(i) | ||||
10/10/2036 | 0.000% | 2,048,000 | 1,016,087 | |
Total | 2,965,032 | |||
Integrated Energy 0.1% | ||||
Exxon Mobil Corp. | ||||
03/19/2050 | 4.327% | 247,000 | 233,216 | |
Shell International Finance BV | ||||
05/10/2046 | 4.000% | 2,037,000 | 1,803,622 | |
Total | 2,036,838 | |||
Life Insurance 0.6% | ||||
Athene Global Funding(a),(b) | ||||
SOFR + 0.700% 05/24/2024 | 2.210% | 3,780,000 | 3,670,388 | |
Athene Global Funding(a) | ||||
06/29/2026 | 1.608% | 3,760,000 | 3,268,356 | |
03/08/2027 | 3.205% | 1,550,000 | 1,409,666 | |
01/07/2029 | 2.717% | 1,770,000 | 1,507,949 | |
New York Life Insurance Co.(a) | ||||
Subordinated | ||||
05/15/2050 | 3.750% | 3,235,000 | 2,646,390 | |
Teachers Insurance & Annuity Association of America(a) | ||||
Subordinated | ||||
05/15/2050 | 3.300% | 3,035,000 | 2,346,792 | |
Teachers Insurance & Annuity Association of America(a),(h) | ||||
Subordinated | ||||
09/15/2054 | 4.375% | 3,920,000 | 3,866,083 | |
Total | 18,715,624 |
12 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 ($) | |
SL Green Operating Partnership LP | ||||
10/15/2022 | 3.250% | 7,000,000 | 6,990,230 | |
Total | 14,914,523 | |||
Oil Field Services 0.1% | ||||
Transocean Phoenix 2 Ltd.(a) | ||||
10/15/2024 | 7.750% | 996,299 | 963,823 | |
Transocean Poseidon Ltd.(a) | ||||
02/01/2027 | 6.875% | 1,150,313 | 1,025,854 | |
Transocean Proteus Ltd.(a) | ||||
12/01/2024 | 6.250% | 1,152,000 | 1,087,620 | |
USA Compression Partners LP/Finance Corp. | ||||
04/01/2026 | 6.875% | 1,650,000 | 1,501,018 | |
Total | 4,578,315 | |||
Other Industry 0.0% | ||||
PowerTeam Services LLC(a) | ||||
12/04/2025 | 9.033% | 961,000 | 775,939 | |
Other REIT 0.3% | ||||
American Assets Trust LP | ||||
02/01/2031 | 3.375% | 3,650,000 | 3,109,037 | |
American Campus Communities Operating Partnership LP | ||||
07/01/2024 | 4.125% | 1,000,000 | 1,003,910 | |
11/15/2027 | 3.625% | 1,072,000 | 1,054,117 | |
01/15/2029 | 2.250% | 1,770,000 | 1,636,874 | |
02/01/2030 | 2.850% | 2,735,000 | 2,593,210 | |
Lexington Realty Trust | ||||
10/01/2031 | 2.375% | 1,895,000 | 1,470,061 | |
Total | 10,867,209 | |||
Packaging 0.2% | ||||
Berry Global Escrow Corp.(a) | ||||
07/15/2026 | 4.875% | 582,000 | 555,775 | |
Berry Global, Inc. | ||||
01/15/2026 | 1.570% | 5,900,000 | 5,267,554 | |
Trivium Packaging Finance BV(a) | ||||
08/15/2026 | 5.500% | 1,750,000 | 1,649,684 | |
Total | 7,473,013 | |||
Paper 0.1% | ||||
Weyerhaeuser Co. | ||||
03/09/2033 | 3.375% | 3,535,000 | 3,082,927 | |
Pharmaceuticals 1.0% | ||||
AbbVie, Inc. | ||||
03/15/2035 | 4.550% | 530,000 | 516,298 | |
05/14/2035 | 4.500% | 4,702,000 | 4,561,461 | |
11/06/2042 | 4.400% | 280,000 | 254,556 | |
05/14/2045 | 4.700% | 1,000,000 | 941,865 |
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 | 13 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 ($) | |
Retailers 0.1% | ||||
Alimentation Couche-Tard, Inc.(a) | ||||
01/25/2030 | 2.950% | 331,000 | 285,052 | |
Magic MergeCo, Inc.(a) | ||||
05/01/2029 | 7.875% | 3,655,000 | 2,420,186 | |
Total | 2,705,238 | |||
Technology 0.6% | ||||
Broadcom, Inc. | ||||
11/15/2032 | 4.300% | 3,305,000 | 3,006,640 | |
CommScope, Inc.(a) | ||||
09/01/2029 | 4.750% | 1,500,000 | 1,202,250 | |
Intel Corp. | ||||
08/12/2051 | 3.050% | 579,000 | 431,156 | |
Oracle Corp. | ||||
03/25/2031 | 2.875% | 1,425,000 | 1,174,109 | |
07/15/2036 | 3.850% | 260,000 | 208,688 | |
04/01/2050 | 3.600% | 3,400,000 | 2,372,915 | |
03/25/2051 | 3.950% | 4,468,000 | 3,280,626 | |
S&P Global, Inc.(a) | ||||
08/01/2028 | 4.750% | 2,500,000 | 2,543,841 | |
Tencent Holdings Ltd.(a) | ||||
04/22/2051 | 3.840% | 3,570,000 | 2,761,837 | |
TSMC Arizona Corp. | ||||
04/22/2052 | 4.500% | 1,650,000 | 1,628,531 | |
Total | 18,610,593 | |||
Tobacco 0.7% | ||||
BAT Capital Corp. | ||||
08/15/2037 | 4.390% | 3,870,000 | 3,075,549 | |
08/15/2047 | 4.540% | 6,792,000 | 4,990,752 | |
03/16/2052 | 5.650% | 1,730,000 | 1,478,637 | |
Imperial Brands Finance PLC(a) | ||||
02/11/2023 | 3.500% | 2,005,000 | 1,994,173 | |
07/26/2024 | 3.125% | 4,145,000 | 4,012,991 | |
07/26/2026 | 3.500% | 950,000 | 890,108 | |
Reynolds American, Inc. | ||||
08/15/2035 | 5.700% | 1,185,000 | 1,104,488 | |
08/15/2045 | 5.850% | 4,180,000 | 3,516,398 | |
Total | 21,063,096 | |||
Wireless 1.4% | ||||
Sprint Corp. | ||||
09/15/2023 | 7.875% | 270,000 | 278,869 | |
Sprint Spectrum Co. I/II/III LLC(a) | ||||
03/20/2025 | 4.738% | 11,161,587 | 11,192,373 | |
03/20/2028 | 5.152% | 4,880,000 | 4,918,956 | |
T-Mobile USA, Inc.(a) | ||||
02/15/2026 | 2.250% | 1,970,000 | 1,779,659 |
14 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 ($) | |
Chile 0.1% | ||||
Chile Government International Bond | ||||
01/31/2031 | 2.450% | 361,000 | 308,063 | |
01/27/2032 | 2.550% | 200,000 | 169,943 | |
Corporación Nacional del Cobre de Chile(a) | ||||
01/14/2030 | 3.150% | 749,000 | 655,214 | |
Empresa de Transporte de Pasajeros Metro SA(a) | ||||
05/07/2030 | 3.650% | 520,000 | 469,085 | |
Total | 1,602,305 | |||
Colombia 0.1% | ||||
Colombia Government International Bond | ||||
01/28/2026 | 4.500% | 1,640,000 | 1,537,169 | |
01/30/2030 | 3.000% | 1,340,000 | 1,020,414 | |
Ecopetrol SA | ||||
04/29/2030 | 6.875% | 400,000 | 354,100 | |
Total | 2,911,683 | |||
Dominican Republic 0.0% | ||||
Dominican Republic International Bond(a) | ||||
01/30/2030 | 4.500% | 300,000 | 240,729 | |
09/23/2032 | 4.875% | 1,090,000 | 838,722 | |
Total | 1,079,451 | |||
Egypt 0.0% | ||||
Egypt Government International Bond(a) | ||||
10/06/2025 | 5.250% | 750,000 | 614,242 | |
03/01/2029 | 7.600% | 400,000 | 291,592 | |
Total | 905,834 | |||
Guatemala 0.0% | ||||
Guatemala Government Bond(a) | ||||
06/01/2030 | 4.900% | 253,000 | 231,187 | |
Hong Kong 0.1% | ||||
Airport Authority(a) | ||||
01/12/2052 | 3.250% | 3,635,000 | 2,906,232 | |
Hungary 0.0% | ||||
Hungary Government International Bond(a) | ||||
09/22/2031 | 2.125% | 1,100,000 | 850,535 | |
Indonesia 0.1% | ||||
Indonesia Government International Bond | ||||
02/14/2030 | 2.850% | 701,000 | 624,176 | |
PT Indonesia Asahan Aluminium Persero(a) | ||||
11/15/2028 | 6.530% | 1,200,000 | 1,218,401 | |
PT Pertamina Persero(a) | ||||
08/25/2030 | 3.100% | 1,443,000 | 1,258,328 |
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 | 15 |
June 30, 2022 (Unaudited)
Foreign Government Obligations(j) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 $61,076,966) | 51,076,540 | |||
16 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Inflation-Indexed Bonds 0.2% | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 ($) | |
Federal Home Loan Mortgage Corp. | ||||
04/01/2031- 01/01/2050 | 3.000% | 35,909,207 | 34,051,384 | |
09/01/2032- 01/01/2050 | 3.500% | 79,207,741 | 77,742,244 | |
07/01/2035- 10/01/2048 | 5.000% | 2,188,399 | 2,272,665 | |
04/01/2036- 09/01/2039 | 6.000% | 137,288 | 146,560 | |
06/01/2038- 01/01/2040 | 5.500% | 383,599 | 412,336 | |
03/01/2039- 10/01/2048 | 4.500% | 4,920,780 | 5,049,581 | |
08/01/2044- 01/01/2049 | 4.000% | 5,456,024 | 5,498,179 | |
04/01/2052 | 2.000% | 15,121,601 | 13,170,269 | |
04/01/2052 | 2.500% | 12,248,809 | 11,048,204 | |
CMO Series 360 Class 250 | ||||
11/15/2047 | 2.500% | 1,811,901 | 1,716,065 | |
Federal Home Loan Mortgage Corp.(b),(d) | ||||
CMO Series 2980 Class SL | ||||
-1.0 x 1-month USD LIBOR + 6.700% Cap 6.700% 11/15/2034 | 5.376% | 226,434 | 30,559 |
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 | 17 |
June 30, 2022 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 $1,045,776,210) | 1,030,790,629 | |||
Residential Mortgage-Backed Securities - Non-Agency 7.4% | ||||
Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-Through Certificates(b) | ||||
CMO Series 2005-R8 Class M3 | ||||
1-month USD LIBOR + 0.765% Floor 0.510% 10/25/2035 | 2.389% | 6,190,908 | 6,174,803 | |
BCAP LLC Trust(b) | ||||
CMO Series 2007-AA1 Class 2A1 | ||||
1-month USD LIBOR + 0.180% Floor 0.180% 03/25/2037 | 1.804% | 5,086,915 | 4,672,365 | |
BRAVO Residential Funding Trust(a),(c) | ||||
CMO Series 2021-B Class A1 | ||||
04/01/2069 | 2.115% | 3,701,583 | 3,524,809 | |
CIM Group(a),(c) | ||||
CMO Series 2020-R7 Class A1A | ||||
12/27/2061 | 2.250% | 9,149,702 | 8,183,675 | |
CIM Trust(a),(c) | ||||
CMO Series 2019-R4 Class A1 | ||||
10/25/2059 | 3.000% | 7,194,863 | 7,290,392 | |
CMO Series 2020-R3 Class A1A | ||||
01/26/2060 | 4.000% | 8,270,053 | 7,893,307 |
18 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | 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 |
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 | 19 |
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 ($) | |
Aerospace & Defense 0.0% | ||||
TransDigm, Inc.(b),(n) | ||||
Tranche E Term Loan | ||||
1-month USD LIBOR + 2.250% 05/30/2025 | 3.916% | 921,731 | 873,957 | |
TransDigm, Inc.(b),(k),(n) | ||||
Tranche F Term Loan | ||||
1-month USD LIBOR + 2.250% 12/09/2025 | 3.916% | 265,646 | 251,331 | |
Total | 1,125,288 | |||
Airlines 0.0% | ||||
American Airlines, Inc.(b),(n) | ||||
Term Loan | ||||
1-month USD LIBOR + 1.750% 01/29/2027 | 3.402% | 345,475 | 303,348 | |
United AirLines, Inc.(b),(n) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 3.750% Floor 0.750% 04/21/2028 | 5.392% | 451,957 | 418,910 | |
Total | 722,258 |
20 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | 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 ($) | |
TruGreen LP(b),(k),(n) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 4.000% Floor 0.750% 11/02/2027 | 5.666% | 339,364 | 321,829 | |
Total | 2,231,371 | |||
Consumer Products 0.1% | ||||
Acuity Specialty Products, Inc.(b),(n) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 4.000% Floor 1.000% 08/12/2024 | 5.000% | 1,113,308 | 968,578 | |
AI Aqua Merger Sub, Inc.(b),(k),(n) | ||||
Delayed Draw Term Loan | ||||
1-month Term SOFR + 4.000% Floor 0.500% 07/31/2028 | 4.922% | 77,136 | 69,937 | |
Tranche B Term Loan | ||||
1-month Term SOFR + 4.000% Floor 0.500% 07/31/2028 | 4.922% | 339,400 | 307,724 | |
Total | 1,346,239 | |||
Diversified Manufacturing 0.0% | ||||
Homer City Generation LP(b),(g),(n),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 13.000% Floor 1.000% 04/05/2023 | 15.000% | 277,227 | 138,614 | |
Electric 0.0% | ||||
Vistra Operations Co. LLC(b),(n) | ||||
Term Loan | ||||
3-month USD LIBOR + 1.750% 12/31/2025 | 3.388% | 340,413 | 325,343 | |
Finance Companies 0.1% | ||||
Avolon Borrower 1 LLC(b),(n) | ||||
Tranche B3 Term Loan | ||||
3-month USD LIBOR + 1.750% Floor 0.750% 01/15/2025 | 3.345% | 175,812 | 167,489 | |
Tranche B5 Term Loan | ||||
1-month USD LIBOR + 2.250% Floor 0.500% 12/01/2027 | 3.845% | 2,474,875 | 2,346,503 | |
Total | 2,513,992 |
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 | 21 |
June 30, 2022 (Unaudited)
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | 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 ($) | |
Media and Entertainment 0.1% | ||||
Diamond Sports Group LLC(b),(n) | ||||
2nd Lien Term Loan | ||||
SOFR + 3.250% 08/24/2026 | 4.431% | 627,014 | 146,301 | |
Sinclair Television Group, Inc.(b),(n) | ||||
Tranche B3 Term Loan | ||||
1-month USD LIBOR + 3.000% 04/01/2028 | 4.670% | 1,584,000 | 1,464,535 | |
Total | 1,610,836 | |||
Oil Field Services 0.0% | ||||
Lucid Energy Group(b),(k),(n) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 4.250% Floor 0.750% 11/24/2028 | 3.250% | 549,956 | 541,904 | |
Other Financial Institutions 0.1% | ||||
Deerfield Dakota Holdings LLC(b),(k),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 3.750% Floor 1.000% 04/09/2027 | 5.275% | 707,251 | 660,396 | |
Petvet Care Centers LLC(b),(k),(n) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.500% Floor 0.750% 02/14/2025 | 2.500% | 150,800 | 141,877 | |
Trans Union LLC(b),(k),(n) | ||||
Tranche B6 Term Loan | ||||
1-month USD LIBOR + 2.250% Floor 0.500% 12/01/2028 | 3.916% | 1,025,240 | 975,475 | |
Total | 1,777,748 | |||
Other Industry 0.0% | ||||
Artera Services LLC(b),(n) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 3.250% Floor 1.000% 03/06/2025 | 5.500% | 451,462 | 355,901 | |
Packaging 0.1% | ||||
Berry Global, Inc.(b),(n) | ||||
Tranche Z Term Loan | ||||
1-month USD LIBOR + 1.750% 07/01/2026 | 3.005% | 2,567,994 | 2,475,623 |
22 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | 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 ($) | |
athenahealth Group, Inc.(b),(n) | ||||
Term Loan | ||||
SOFR + 3.500% Floor 0.500% 02/15/2029 | 5.009% | 855,072 | 785,068 | |
CDK Global(b),(k),(n) | ||||
Term Loan B | ||||
1-month Term SOFR + 4.500% Floor 0.500% 06/08/2029 | 3.500% | 564,830 | 532,425 | |
Entegris, Inc.(b),(k),(n) | ||||
Term Loan | ||||
SOFR + 3.000% 03/02/2029 | 4.728% | 560,000 | 540,400 | |
Ingram Micro, Inc.(b),(k),(n) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.500% Floor 0.500% 06/30/2028 | 5.750% | 433,645 | 409,253 | |
Peraton Corp.(b),(n) | ||||
Tranche B 1st Lien Term Loan | ||||
3-month USD LIBOR + 3.750% Floor 0.750% 02/01/2028 | 5.416% | 222,858 | 208,809 | |
Proofpoint, Inc.(b),(k),(n) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 3.250% Floor 0.500% 08/31/2028 | 4.825% | 470,453 | 436,176 | |
Total | 3,045,193 | |||
Wireless 0.0% | ||||
SBA Senior Finance II LLC(b),(n) | ||||
Term Loan | ||||
3-month USD LIBOR + 1.750% 04/11/2025 | 3.420% | 1,396,800 | 1,343,456 | |
Wirelines 0.2% | ||||
Lumen Technologies, Inc.(b),(n) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 2.250% 03/15/2027 | 3.916% | 243,750 | 223,716 | |
Telenet Financing USD LLC(b),(n) | ||||
Term Loan | ||||
6-month USD LIBOR + 2.000% 04/30/2028 | 3.324% | 750,000 | 692,498 |
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 | 23 |
June 30, 2022 (Unaudited)
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | 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: $4,004,582,765) | 3,817,130,267 | |
Other Assets & Liabilities, Net | (651,371,729) | |
Net Assets | 3,165,758,538 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | 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) |
24 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
(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($) | End of period shares |
Columbia Short-Term Cash Fund, 1.247% | ||||||||
756,024,900 | 1,687,746,284 | (1,738,697,834) | (30,719) | 705,042,631 | (289,540) | 1,734,409 | 705,465,911 |
CMO | Collateralized Mortgage Obligation |
CMT | Constant Maturity Treasury |
CVR | Contingent Value Rights |
LIBOR | London Interbank Offered Rate |
MTA | Monthly Treasury Average |
SOFR | Secured Overnight Financing Rate |
TBA | To Be Announced |
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 | 25 |
June 30, 2022 (Unaudited)
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Asset-Backed Securities — Non-Agency | — | 167,572,946 | — | 167,572,946 |
Commercial Mortgage-Backed Securities - Agency | — | 22,233,862 | — | 22,233,862 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 114,364,043 | — | 114,364,043 |
Common Stocks | ||||
Communication Services | — | — | 12 | 12 |
Financials | — | 3,236,687 | — | 3,236,687 |
Utilities | — | — | 1,763 | 1,763 |
Total Common Stocks | — | 3,236,687 | 1,775 | 3,238,462 |
Corporate Bonds & Notes | — | 907,559,208 | — | 907,559,208 |
Foreign Government Obligations | — | 51,076,540 | — | 51,076,540 |
Inflation-Indexed Bonds | — | 6,132,201 | — | 6,132,201 |
Municipal Bonds | — | 21,285,685 | — | 21,285,685 |
Residential Mortgage-Backed Securities - Agency | — | 1,030,790,629 | — | 1,030,790,629 |
Residential Mortgage-Backed Securities - Non-Agency | — | 234,646,840 | — | 234,646,840 |
Senior Loans | — | 52,382,059 | 530,628 | 52,912,687 |
Treasury Bills | 51,981,008 | — | — | 51,981,008 |
U.S. Treasury Obligations | 448,293,525 | — | — | 448,293,525 |
Money Market Funds | 705,042,631 | — | — | 705,042,631 |
Total Investments in Securities | 1,205,317,164 | 2,611,280,700 | 532,403 | 3,817,130,267 |
26 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Level 1 ($) | 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 |
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 | 27 |
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 |
28 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 |
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) |
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 | 29 |
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 |
30 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 |
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%. |
32 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 |
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% | $7,071 |
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 | 33 |
June 30, 2022 (Unaudited)
34 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 | 35 |
June 30, 2022 (Unaudited)
36 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
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. |
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) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 710,704,572 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2022. |
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 | 37 |
June 30, 2022 (Unaudited)
38 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 | 39 |
June 30, 2022 (Unaudited)
40 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 | 41 |
June 30, 2022 (Unaudited)
Fee rate(s) contractual through April 30, 2023 | |
Class 1 | 0.54% |
Class 2 | 0.79 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
4,004,583,000 | 6,867,000 | (199,406,000) | (192,539,000) |
42 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
(8,873,827) | — | (8,873,827) |
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 | 43 |
June 30, 2022 (Unaudited)
44 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 | 45 |
June 30, 2022 (Unaudited)
46 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 |
• | 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. |
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 | 47 |
• | 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). |
48 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 |
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 | 49 |
50 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 |
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 | 51 |
June 30, 2022 (Unaudited)
(Unaudited)
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 |
Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2022) | |
Common Stocks | 95.2 |
Money Market Funds | 4.8 |
Total | 100.0 |
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 |
4 | Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2022 |
(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 ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 805.10 | 1,020.58 | 3.80 | 4.26 | 0.85 |
Class 2 | 1,000.00 | 1,000.00 | 804.10 | 1,019.34 | 4.92 | 5.51 | 1.10 |
Class 3 | 1,000.00 | 1,000.00 | 804.50 | 1,019.98 | 4.34 | 4.86 | 0.97 |
Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2022 | 5 |
June 30, 2022 (Unaudited)
Common Stocks 95.5% | ||
Issuer | Shares | Value ($) |
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 ($) |
Popular, Inc. | 31,922 | 2,455,760 |
Stock Yards Bancorp, Inc. | 31,733 | 1,898,268 |
Total | 11,791,042 | |
Consumer Finance 0.5% | ||
PROG Holdings, Inc.(a) | 29,618 | 488,697 |
Insurance 5.9% | ||
CNO Financial Group, Inc. | 72,987 | 1,320,335 |
Hanover Insurance Group, Inc. (The) | 16,876 | 2,468,115 |
Lincoln National Corp. | 33,108 | 1,548,461 |
Total | 5,336,911 | |
Mortgage Real Estate Investment Trusts (REITS) 0.8% | ||
Ladder Capital Corp., Class A | 70,273 | 740,677 |
Thrifts & Mortgage Finance 5.8% | ||
Axos Financial, Inc.(a) | 73,369 | 2,630,279 |
Radian Group, Inc. | 134,721 | 2,647,267 |
Total | 5,277,546 | |
Total Financials | 23,634,873 | |
Health Care 7.7% | ||
Biotechnology 0.4% | ||
Ligand Pharmaceuticals, Inc.(a) | 3,702 | 330,292 |
Health Care Equipment & Supplies 3.7% | ||
CONMED Corp. | 21,691 | 2,077,130 |
LivaNova PLC(a) | 21,156 | 1,321,616 |
Total | 3,398,746 | |
Health Care Providers & Services 1.0% | ||
LHC Group, Inc.(a) | 5,818 | 906,095 |
Life Sciences Tools & Services 2.6% | ||
Syneos Health, Inc.(a) | 32,791 | 2,350,459 |
Total Health Care | 6,985,592 | |
Industrials 16.4% | ||
Aerospace & Defense 2.0% | ||
Curtiss-Wright Corp. | 13,898 | 1,835,370 |
Airlines 1.3% | ||
Spirit Airlines, Inc.(a) | 48,658 | 1,160,007 |
6 | Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
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: $78,406,329) | 91,290,933 | |
Other Assets & Liabilities, Net | (246,578) | |
Net Assets | 91,044,355 |
Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2022 | 7 |
June 30, 2022 (Unaudited)
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | 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 |
■ | 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). |
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 |
8 | Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
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 |
Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2022 | 9 |
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 |
10 | Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2022 |
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) |
Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2022 | 11 |
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 |
12 | Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2022 |
Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2022 | 13 |
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. |
14 | Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2022 |
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 |
Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2022 | 15 |
June 30, 2022 (Unaudited)
16 | Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2022 | 17 |
June 30, 2022 (Unaudited)
18 | Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Fee rate(s) contractual through April 30, 2023 | |
Class 1 | 0.85% |
Class 2 | 1.10 |
Class 3 | 0.975 |
Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2022 | 19 |
June 30, 2022 (Unaudited)
20 | Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2022 | 21 |
June 30, 2022 (Unaudited)
22 | Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2022 |
• | 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. |
Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2022 | 23 |
(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). |
24 | Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2022 |
(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.
Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2022 | 25 |
(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.
26 | Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2022 |
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
date within 90 days of the filing of this report, have concluded that such controls and procedures are adequately designed to ensure that information required to be disclosed by the registrant in Form N-CSR is accumulated and communicated to the registrant's management, including the principal executive officer and principal financial officer, or persons performing similar functions, as appropriate to allow timely decisions regarding required disclosure.
(b)There was no change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable.
Item 13. Exhibits.
(a)(1) Code of ethics required to be disclosed under Item 2 of Form N-CSR: Not applicable for semiannual reports.
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 |
|