UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22127
Columbia Funds Variable Series Trust II
(Exact name of registrant as specified in charter)
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
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, 2023
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, 2023 (Unaudited)
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11 | |
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14 | |
22 | |
23 |
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/07/10 | 25.12 | 22.01 | 7.61 | 11.58 | |
Class 2 | 05/07/10 | 24.96 | 21.69 | 7.34 | 11.30 | |
Russell 1000 Growth Index | 29.02 | 27.11 | 15.14 | 15.74 |
CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2023) | |
Common Stocks | 99.7 |
Money Market Funds | 0.3 |
Total | 100.0 |
Equity sector breakdown (%) (at June 30, 2023) | |
Communication Services | 11.2 |
Consumer Discretionary | 23.4 |
Consumer Staples | 2.9 |
Financials | 11.5 |
Health Care | 14.0 |
Industrials | 7.9 |
Information Technology | 27.0 |
Materials | 2.1 |
Total | 100.0 |
4 | CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,251.20 | 1,021.44 | 3.93 | 3.53 | 0.70 |
Class 2 | 1,000.00 | 1,000.00 | 1,249.60 | 1,020.19 | 5.33 | 4.78 | 0.95 |
CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (Unaudited)
Common Stocks 99.4% | ||
Issuer | Shares | Value ($) |
Communication Services 11.1% | ||
Entertainment 1.2% | ||
Roblox Corp., Class A(a) | 485,902 | 19,581,851 |
Interactive Media & Services 7.8% | ||
Alphabet, Inc., Class C(a) | 595,554 | 72,044,167 |
Meta Platforms, Inc., Class A(a) | 116,129 | 33,326,700 |
ZoomInfo Technologies, Inc.(a) | 845,673 | 21,471,638 |
Total | 126,842,505 | |
Media 2.1% | ||
Trade Desk, Inc. (The), Class A(a) | 447,778 | 34,577,417 |
Total Communication Services | 181,001,773 | |
Consumer Discretionary 23.3% | ||
Automobiles 3.0% | ||
Tesla, Inc.(a) | 186,450 | 48,807,017 |
Broadline Retail 8.0% | ||
Amazon.com, Inc.(a) | 924,660 | 120,538,678 |
MercadoLibre, Inc.(a) | 9,149 | 10,837,905 |
Total | 131,376,583 | |
Hotels, Restaurants & Leisure 5.4% | ||
Airbnb, Inc., Class A(a) | 281,957 | 36,135,609 |
Domino’s Pizza, Inc. | 73,138 | 24,646,774 |
DoorDash, Inc., Class A(a) | 348,423 | 26,626,486 |
Total | 87,408,869 | |
Specialty Retail 6.9% | ||
AutoZone, Inc.(a) | 17,240 | 42,985,526 |
Chewy, Inc., Class A(a) | 693,291 | 27,364,196 |
Floor & Decor Holdings, Inc., Class A(a) | 95,707 | 9,949,700 |
Home Depot, Inc. (The) | 103,366 | 32,109,614 |
Total | 112,409,036 | |
Total Consumer Discretionary | 380,001,505 | |
Consumer Staples 2.9% | ||
Consumer Staples Distribution & Retail 2.0% | ||
Costco Wholesale Corp. | 61,517 | 33,119,522 |
Food Products 0.9% | ||
McCormick & Co., Inc. | 158,151 | 13,795,512 |
Total Consumer Staples | 46,915,034 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Financials 11.4% | ||
Capital Markets 2.5% | ||
Intercontinental Exchange, Inc. | 363,199 | 41,070,543 |
Financial Services 5.0% | ||
Adyen NV(a) | 24,941 | 43,189,526 |
Block, Inc., Class A(a) | 97,427 | 6,485,715 |
Visa, Inc., Class A | 130,991 | 31,107,743 |
Total | 80,782,984 | |
Insurance 3.9% | ||
Brown & Brown, Inc. | 344,144 | 23,690,873 |
Progressive Corp. (The) | 303,549 | 40,180,781 |
Total | 63,871,654 | |
Total Financials | 185,725,181 | |
Health Care 13.9% | ||
Health Care Equipment & Supplies 1.0% | ||
Intuitive Surgical, Inc.(a) | 49,529 | 16,935,946 |
Health Care Technology 1.5% | ||
Veeva Systems Inc., Class A(a) | 125,076 | 24,731,278 |
Life Sciences Tools & Services 5.2% | ||
Danaher Corp. | 100,808 | 24,193,920 |
Illumina, Inc.(a) | 213,215 | 39,975,680 |
Thermo Fisher Scientific, Inc. | 39,608 | 20,665,474 |
Total | 84,835,074 | |
Pharmaceuticals 6.2% | ||
Eli Lilly & Co. | 71,272 | 33,425,143 |
Royalty Pharma PLC, Class A | 2,174,722 | 66,850,954 |
Total | 100,276,097 | |
Total Health Care | 226,778,395 | |
Industrials 7.8% | ||
Aerospace & Defense 2.8% | ||
HEICO Corp., Class A | 105,977 | 14,900,366 |
Lockheed Martin Corp. | 68,294 | 31,441,192 |
Total | 46,341,558 |
6 | CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Ground Transportation 5.0% | ||
Uber Technologies, Inc.(a) | 860,456 | 37,145,885 |
Union Pacific Corp. | 214,406 | 43,871,756 |
Total | 81,017,641 | |
Total Industrials | 127,359,199 | |
Information Technology 26.9% | ||
IT Services 5.9% | ||
Cloudflare, Inc.(a) | 440,307 | 28,782,868 |
Shopify, Inc., Class A(a) | 625,166 | 40,385,724 |
Snowflake, Inc., Class A(a) | 153,843 | 27,073,291 |
Total | 96,241,883 | |
Semiconductors & Semiconductor Equipment 1.0% | ||
ASML Holding NV | 22,260 | 16,132,935 |
Software 11.1% | ||
BILL Holdings, Inc.(a) | 190,462 | 22,255,485 |
Datadog, Inc., Class A(a) | 287,530 | 28,287,201 |
Microsoft Corp. | 382,231 | 130,164,945 |
Total | 180,707,631 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Technology Hardware, Storage & Peripherals 8.9% | ||
Apple, Inc. | 748,807 | 145,246,094 |
Total Information Technology | 438,328,543 | |
Materials 2.1% | ||
Chemicals 2.1% | ||
Sherwin-Williams Co. (The) | 130,811 | 34,732,937 |
Total Materials | 34,732,937 | |
Total Common Stocks (Cost $1,539,947,619) | 1,620,842,567 | |
Money Market Funds 0.3% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(b),(c) | 4,595,881 | 4,594,042 |
Total Money Market Funds (Cost $4,593,630) | 4,594,042 | |
Total Investments in Securities (Cost: $1,544,541,249) | 1,625,436,609 | |
Other Assets & Liabilities, Net | 4,220,685 | |
Net Assets | 1,629,657,294 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | ||||||||
28,010,773 | 159,652,562 | (183,066,950) | (2,343) | 4,594,042 | 817 | 540,436 | 4,595,881 |
■ | 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® – Morgan Stanley Advantage Fund | Semiannual Report 2023 | 7 |
June 30, 2023 (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 | ||||
Communication Services | 181,001,773 | — | — | 181,001,773 |
Consumer Discretionary | 380,001,505 | — | — | 380,001,505 |
Consumer Staples | 46,915,034 | — | — | 46,915,034 |
Financials | 142,535,655 | 43,189,526 | — | 185,725,181 |
Health Care | 226,778,395 | — | — | 226,778,395 |
Industrials | 127,359,199 | — | — | 127,359,199 |
Information Technology | 438,328,543 | — | — | 438,328,543 |
Materials | 34,732,937 | — | — | 34,732,937 |
Total Common Stocks | 1,577,653,041 | 43,189,526 | — | 1,620,842,567 |
Money Market Funds | 4,594,042 | — | — | 4,594,042 |
Total Investments in Securities | 1,582,247,083 | 43,189,526 | — | 1,625,436,609 |
8 | CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,539,947,619) | $1,620,842,567 |
Affiliated issuers (cost $4,593,630) | 4,594,042 |
Foreign currency (cost $1,414) | 1,393 |
Receivable for: | |
Investments sold | 11,343,578 |
Capital shares sold | 3,890 |
Dividends | 87,261 |
Prepaid expenses | 9,904 |
Total assets | 1,636,882,635 |
Liabilities | |
Payable for: | |
Investments purchased | 6,412,193 |
Capital shares redeemed | 617,279 |
Management services fees | 30,088 |
Distribution and/or service fees | 191 |
Service fees | 1,833 |
Compensation of board members | 137,951 |
Compensation of chief compliance officer | 133 |
Other expenses | 25,673 |
Total liabilities | 7,225,341 |
Net assets applicable to outstanding capital stock | $1,629,657,294 |
Represented by | |
Trust capital | $1,629,657,294 |
Total - representing net assets applicable to outstanding capital stock | $1,629,657,294 |
Class 1 | |
Net assets | $1,601,349,304 |
Shares outstanding | 36,195,009 |
Net asset value per share | $44.24 |
Class 2 | |
Net assets | $28,307,990 |
Shares outstanding | 661,210 |
Net asset value per share | $42.81 |
CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2023 | 9 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $4,621,508 |
Dividends — affiliated issuers | 540,436 |
Interfund lending | 142 |
Foreign taxes withheld | (49,004) |
Total income | 5,113,082 |
Expenses: | |
Management services fees | 4,897,912 |
Distribution and/or service fees | |
Class 2 | 32,588 |
Service fees | 9,278 |
Compensation of board members | 17,534 |
Custodian fees | 6,411 |
Printing and postage fees | 4,870 |
Accounting services fees | 15,164 |
Legal fees | 14,845 |
Compensation of chief compliance officer | 128 |
Other | 12,749 |
Total expenses | 5,011,479 |
Net investment income | 101,603 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 991,479 |
Investments — affiliated issuers | 817 |
Foreign currency translations | 15,162 |
Net realized gain | 1,007,458 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 316,628,948 |
Investments — affiliated issuers | (2,343) |
Foreign currency translations | (29) |
Net change in unrealized appreciation (depreciation) | 316,626,576 |
Net realized and unrealized gain | 317,634,034 |
Net increase in net assets resulting from operations | $317,735,637 |
10 | CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment income (loss) | $101,603 | $(2,334,531) |
Net realized gain (loss) | 1,007,458 | (396,296,388) |
Net change in unrealized appreciation (depreciation) | 316,626,576 | (426,424,630) |
Net increase (decrease) in net assets resulting from operations | 317,735,637 | (825,055,549) |
Increase in net assets from capital stock activity | 104,079,469 | 46,513,043 |
Total increase (decrease) in net assets | 421,815,106 | (778,542,506) |
Net assets at beginning of period | 1,207,842,188 | 1,986,384,694 |
Net assets at end of period | $1,629,657,294 | $1,207,842,188 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Shares sold | 2,848,225 | 110,998,263 | 1,160,086 | 51,274,625 |
Shares redeemed | (127,897) | (5,319,773) | (36,204) | (1,603,224) |
Net increase | 2,720,328 | 105,678,490 | 1,123,882 | 49,671,401 |
Class 2 | ||||
Shares sold | 19,522 | 741,291 | 58,154 | 2,446,134 |
Shares redeemed | (60,667) | (2,340,312) | (132,018) | (5,604,492) |
Net decrease | (41,145) | (1,599,021) | (73,864) | (3,158,358) |
Total net increase | 2,679,183 | 104,079,469 | 1,050,018 | 46,513,043 |
CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2023 | 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 6/30/2023 (Unaudited) | $35.36 | 0.00(c) | 8.88 | 8.88 |
Year Ended 12/31/2022 | $60.00 | (0.07) | (24.57) | (24.64) |
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 |
Class 2 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $34.26 | (0.04) | 8.59 | 8.55 |
Year Ended 12/31/2022 | $58.28 | (0.17) | (23.85) | (24.02) |
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 |
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) | Ratios include interfund lending expense which is less than 0.01%. |
12 | CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2023 |
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 6/30/2023 (Unaudited) | $44.24 | 25.12% | 0.70% | 0.70% | 0.02% | 11% | $1,601,349 |
Year Ended 12/31/2022 | $35.36 | (41.07%) | 0.70% | 0.70% | (0.16%) | 82% | $1,183,777 |
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 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $42.81 | 24.96% | 0.95% | 0.95% | (0.24%) | 11% | $28,308 |
Year Ended 12/31/2022 | $34.26 | (41.21%) | 0.95% | 0.95% | (0.42%) | 82% | $24,065 |
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% | $13,254 |
CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2023 | 13 |
June 30, 2023 (Unaudited)
14 | CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2023 | 15 |
June 30, 2023 (Unaudited)
16 | CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2023 | 17 |
June 30, 2023 (Unaudited)
May 1, 2023 through April 30, 2024 | Prior to May 1, 2023 | |
Class 1 | 0.72% | 0.73% |
Class 2 | 0.97 | 0.98 |
18 | CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 1,000,000 | 5.10 | 1 |
CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2023 | 19 |
June 30, 2023 (Unaudited)
20 | CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2023 | 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 | CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2023 |
• | 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 one or more 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; |
CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2023 | 23 |
• | 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® – Morgan Stanley Advantage Fund | Semiannual Report 2023 |
CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2023 | 25 |
26 | CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
3 | |
6 | |
7 | |
24 | |
25 | |
26 | |
28 | |
30 | |
44 | |
44 |
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/07/10 | 1.89 | -2.13 | 0.78 | 1.70 | |
Class 2 | 05/07/10 | 1.68 | -2.44 | 0.51 | 1.43 | |
Bloomberg U.S. Aggregate Bond Index | 2.09 | -0.94 | 0.77 | 1.52 |
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2023) | |
Asset-Backed Securities — Non-Agency | 9.2 |
Commercial Mortgage-Backed Securities - Non-Agency | 2.4 |
Corporate Bonds & Notes | 28.0 |
Foreign Government Obligations | 3.6 |
Inflation-Indexed Bonds | 1.5 |
Money Market Funds | 1.7 |
Municipal Bonds | 1.8 |
Residential Mortgage-Backed Securities - Agency | 26.6 |
Residential Mortgage-Backed Securities - Non-Agency | 3.5 |
U.S. Treasury Obligations | 21.7 |
Total | 100.0 |
Quality breakdown (%) (at June 30, 2023) | |
AAA rating | 53.9 |
AA rating | 5.8 |
A rating | 14.7 |
BBB rating | 16.8 |
BB rating | 2.7 |
B rating | 1.1 |
CCC rating | 0.1 |
Not rated | 4.9 |
Total | 100.0 |
4 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2023 |
(Unaudited)
Market exposure through derivatives investments (% of notional exposure) (at June 30, 2023)(a) | |||
Long | Short | Net | |
Fixed Income Derivative Contracts | 114.4 | (6.2) | 108.2 |
Foreign Currency Derivative Contracts | — | (8.2) | (8.2) |
Total Notional Market Value of Derivative Contracts | 114.4 | (14.4) | 100.0 |
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2023 | 5 |
(Unaudited)
January 1, 2023 — June 30, 2023 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,018.90 | 1,022.44 | 2.52 | 2.52 | 0.50 |
Class 2 | 1,000.00 | 1,000.00 | 1,016.80 | 1,021.19 | 3.77 | 3.78 | 0.75 |
6 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Asset-Backed Securities — Non-Agency(a) 9.1% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Aaset Trust(b) | ||||
Subordinated Series 2021-2A Class B | ||||
01/15/2047 | 3.538% | 6,155,595 | 4,625,548 | |
AIMCO CLO Ltd.(b),(c) | ||||
Series 2019-10A Class CR | ||||
3-month USD LIBOR + 1.900% Floor 1.900% 07/22/2032 | 7.173% | 4,650,000 | 4,475,141 | |
Aligned Data Centers Issuer LLC(b) | ||||
Series 2022-1A Class A2 | ||||
10/15/2047 | 6.350% | 5,800,000 | 5,739,210 | |
Subordinated Series 2021-1A Class B | ||||
08/15/2046 | 2.482% | 6,300,000 | 5,343,829 | |
AMMC CLO XI Ltd.(b),(c) | ||||
Series 2012-11A Class BR2 | ||||
3-month USD LIBOR + 1.600% Floor 1.600% 04/30/2031 | 6.899% | 4,500,000 | 4,368,888 | |
AMMC CLO XII Ltd.(b),(c) | ||||
Series 2013-12A Class BR | ||||
3-month USD LIBOR + 1.500% Floor 1.500% 11/10/2030 | 6.359% | 4,300,000 | 4,214,615 | |
Applebee’s Funding LLC/IHOP Funding LLC(b) | ||||
Series 2019-1A Class AII | ||||
06/07/2049 | 4.723% | 4,950,000 | 4,550,789 | |
Atrium IX(b),(c) | ||||
Series 209A Class BR2 | ||||
3-month USD LIBOR + 1.500% Floor 1.500% 05/28/2030 | 6.963% | 3,050,000 | 2,989,842 | |
BDS Ltd.(b),(c) | ||||
Series 2021-FL7 Class C | ||||
1-month USD LIBOR + 1.700% Floor 1.700% 06/16/2036 | 6.857% | 8,075,000 | 7,644,823 | |
Blackbird Capital Aircraft(b) | ||||
Series 2021-1A Class A | ||||
07/15/2046 | 2.443% | 4,954,590 | 4,266,008 | |
Carlyle US CLO Ltd.(b),(c) | ||||
Series 2019-2A Class 2AR | ||||
3-month USD LIBOR + 1.650% Floor 1.650% 07/15/2032 | 6.910% | 2,575,000 | 2,514,276 | |
Castlelake Aircraft Securitization Trust(b) | ||||
Series 2018-1 Class A | ||||
06/15/2043 | 4.125% | 2,269,149 | 2,047,519 |
Asset-Backed Securities — Non-Agency(a) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Castlelake Aircraft Structured Trust(b) | ||||
Series 2017-1R Class A | ||||
08/15/2041 | 2.741% | 3,081,876 | 2,769,313 | |
Cerberus Loan Funding XXVIII LP(b),(c) | ||||
Series 2020-1A Class A | ||||
3-month USD LIBOR + 1.850% Floor 1.850% 10/15/2031 | 7.110% | 4,602,365 | 4,583,757 | |
Cerberus Loan Funding XXXI LP(b),(c) | ||||
Series 2021-1A Class A | ||||
3-month USD LIBOR + 1.500% Floor 1.500% 04/15/2032 | 6.760% | 5,270,244 | 5,211,728 | |
Clsec Holdings LLC(b) | ||||
Subordinated Series 2021-1 Class C | ||||
05/11/2037 | 6.171% | 12,291,155 | 9,661,806 | |
Cologix Canadian Issuer LP(b) | ||||
Series 2022-1CAN Class A2 | ||||
01/25/2052 | 4.940% | CAD | 10,300,000 | 7,037,853 |
Dewolf Park CLO Ltd.(b),(c) | ||||
Series 2017-1A Class CR | ||||
3-month USD LIBOR + 1.850% Floor 1.850% 10/15/2030 | 7.110% | 5,000,000 | 4,757,910 | |
DI Issuer LLC(b) | ||||
Series 2021-1A Class A2 | ||||
09/15/2051 | 3.722% | 12,853,760 | 11,321,075 | |
Edgeconnex Data Centers Issuer LLC(b) | ||||
Series 2022-1 Class A2 | ||||
03/25/2052 | 4.250% | 5,785,295 | 5,565,855 | |
Flexential Issuer(b) | ||||
Series 2021-1A Class A2 | ||||
11/27/2051 | 3.250% | 7,633,000 | 6,666,608 | |
Goodgreen(b),(d) | ||||
Series 2018-1A Class A | ||||
10/15/2053 | 3.930% | 3,423,354 | 3,043,637 | |
Goodgreen Trust(b) | ||||
Series 2021-1A Class A | ||||
10/15/2056 | 2.660% | 2,833,384 | 2,317,042 | |
Greystone CRE Notes Ltd.(b),(c) | ||||
Series 2019-FL2 Class C | ||||
1-month USD LIBOR + 2.000% Floor 2.000% 09/15/2037 | 7.193% | 4,579,500 | 4,437,439 | |
Series 2019-FL2 Class D | ||||
1-month USD LIBOR + 2.400% Floor 2.400% 09/15/2037 | 7.593% | 3,969,000 | 3,871,216 |
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2023 | 7 |
June 30, 2023 (Unaudited)
Asset-Backed Securities — Non-Agency(a) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
KKR CLO Ltd.(b),(c) | ||||
Series 2018 Class CR | ||||
3-month USD LIBOR + 2.100% Floor 2.100% 07/18/2030 | 7.362% | 3,500,000 | 3,398,007 | |
KKR Static CLO I Ltd.(b),(c) | ||||
Series 2022-1A Class B | ||||
3-month Term SOFR + 2.600% Floor 2.600% 07/20/2031 | 7.649% | 4,125,000 | 4,082,162 | |
Lunar Aircraft Ltd.(b) | ||||
Series 2020-1A Class A | ||||
02/15/2045 | 3.376% | 5,585,047 | 4,860,052 | |
Lunar Structured Aircraft Portfolio Notes(b) | ||||
Subordinated Series 2021-1 Class B | ||||
10/15/2046 | 3.432% | 2,758,597 | 2,355,897 | |
MAPS Trust(b) | ||||
Series 2021-1A Class A | ||||
06/15/2046 | 2.521% | 5,524,712 | 4,763,793 | |
Monroe Capital MML CLO Ltd.(b),(c) | ||||
Series 2017-1A Class AR | ||||
3-month USD LIBOR + 1.300% Floor 1.300% 04/22/2029 | 6.115% | 3,289,415 | 3,268,034 | |
Neuberger Berman Loan Advisers CLO Ltd.(b),(c) | ||||
Series 2018-28A Class B | ||||
3-month USD LIBOR + 1.600% Floor 1.600% 04/20/2030 | 6.850% | 2,350,000 | 2,296,843 | |
Octagon Investment Partners 31 LLC(b),(c) | ||||
Series 2017-1A Class CR | ||||
3-month USD LIBOR + 2.050% Floor 2.050% 07/20/2030 | 7.300% | 5,250,000 | 5,085,717 | |
Palmer Square Loan Funding Ltd.(b),(c) | ||||
Series 2022-1A Class D | ||||
3-month USD LIBOR + 5.000% Floor 5.000% 04/15/2030 | 9.890% | 4,700,000 | 4,109,661 | |
Series 2022-2A Class A2 | ||||
3-month Term SOFR + 1.900% Floor 1.900% 10/15/2030 | 6.886% | 3,625,000 | 3,563,313 | |
Series 2022-4A Class A2 | ||||
3-month Term SOFR + 2.350% Floor 2.350% 07/24/2031 | 7.076% | 5,400,000 | 5,382,310 | |
Series 2022-5A Class A2 | ||||
3-month Term SOFR + 2.650% Floor 2.650% 01/15/2031 | 7.308% | 2,400,000 | 2,400,360 |
Asset-Backed Securities — Non-Agency(a) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
PFP Ltd.(b),(c) | ||||
Subordinated Series 2021-8 Class D | ||||
1-month USD LIBOR + 2.150% Floor 2.150% 08/09/2037 | 7.343% | 3,200,000 | 2,968,828 | |
Pioneer Aircraft Finance Ltd.(b) | ||||
Series 2019-1 Class A | ||||
06/15/2044 | 3.967% | 6,162,654 | 5,348,937 | |
Ready Capital Mortgage Financing LLC(b),(c) | ||||
Subordinated Series 2021-FL5 Class C | ||||
1-month USD LIBOR + 2.250% Floor 2.250% 04/25/2038 | 7.400% | 3,841,000 | 3,684,922 | |
Sierra Timeshare Receivables Funding LLC(b) | ||||
Series 2019-2A Class C | ||||
05/20/2036 | 3.120% | 1,125,090 | 1,059,409 | |
Stack Infrastructure Issuer LLC(b) | ||||
Series 2021-1A Class A2 | ||||
03/26/2046 | 1.877% | 3,999,000 | 3,499,148 | |
START Ireland(b) | ||||
Series 2019-1 Class A | ||||
03/15/2044 | 4.089% | 5,104,314 | 4,493,532 | |
Stewart Park CLO Ltd.(b),(c) | ||||
Series 2015-1A Class CR | ||||
3-month USD LIBOR + 1.800% Floor 1.800% 01/15/2030 | 7.060% | 4,150,000 | 3,960,403 | |
Stonepeak ABS(b) | ||||
Series 2021-1A Class AA | ||||
02/28/2033 | 2.301% | 3,892,940 | 3,521,709 | |
TCI-Symphony CLO Ltd.(b),(c) | ||||
Series 2017-1A Class CR | ||||
3-month USD LIBOR + 1.800% Floor 1.800% 07/15/2030 | 7.060% | 6,600,000 | 6,250,886 | |
Total Asset-Backed Securities — Non-Agency (Cost $221,346,160) | 204,379,650 | |||
Commercial Mortgage-Backed Securities - Non-Agency 2.3% | ||||
BBCMS Mortgage Trust(b),(c) | ||||
Subordinated Series 2019-BWAY Class E | ||||
1-month USD LIBOR + 2.850% Floor 2.850% 11/25/2034 | 8.044% | 8,236,000 | 2,807,756 | |
BX Commercial Mortgage Trust(b),(c) | ||||
Subordinated CMO Series 2021-VOLT Class F | ||||
1-month USD LIBOR + 2.400% Floor 2.400% 09/15/2036 | 7.593% | 4,900,000 | 4,568,056 |
8 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated Series 2023-VLT2 Class B | ||||
1-month Term SOFR + 3.129% Floor 3.129% 06/15/2040 | 8.276% | 5,537,000 | 5,510,305 | |
BX Commercial Mortgage Trust(b),(d) | ||||
Subordinated Series 2020-VIVA Class D | ||||
03/11/2044 | 3.667% | 2,426,000 | 1,932,403 | |
BX Trust(b) | ||||
Series 2019-OC11 Class C | ||||
12/09/2041 | 3.856% | 3,439,000 | 2,914,695 | |
BXMT Ltd.(b),(c) | ||||
Subordinated Series 2020-FL2 Class D | ||||
1-month Term SOFR + 1.950% Floor 1.950% 02/15/2038 | 7.109% | 3,289,000 | 2,700,554 | |
CSMC Trust(b),(c) | ||||
Subordinated Series 2021-BHAR Class B | ||||
1-month USD LIBOR + 1.150% Floor 1.500% 11/15/2038 | 6.343% | 3,281,000 | 3,195,840 | |
ELP Commercial Mortgage Trust(b),(c) | ||||
Subordinated Series 2021-ELP Class E | ||||
1-month USD LIBOR + 2.118% Floor 2.118% 11/15/2038 | 7.311% | 5,704,000 | 5,471,467 | |
Fontainebleau Miami Beach Trust(b),(d) | ||||
Subordinated Series 2019-FBLU Class D | ||||
12/10/2036 | 4.095% | 2,989,000 | 2,824,866 | |
One Market Plaza Trust(b) | ||||
Subordinated Series 2017-1MKT Class B | ||||
02/10/2032 | 3.845% | 5,370,000 | 4,798,481 | |
Shelter Growth CRE Issuer Ltd.(b),(c) | ||||
Series 2023-FL5 Class A | ||||
1-month Term SOFR + 2.754% Floor 2.754% 05/19/2038 | 7.754% | 3,218,000 | 3,208,730 | |
Tricon American Homes(b) | ||||
Series 2020-SFR1 Class C | ||||
07/17/2038 | 2.249% | 7,400,000 | 6,558,610 | |
Tricon American Homes Trust(b) | ||||
Subordinated Series 2020-SFR2 Class D | ||||
11/17/2039 | 2.281% | 7,500,000 | 6,340,181 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $62,880,773) | 52,831,944 | |||
Corporate Bonds & Notes 27.6% | ||||
Aerospace & Defense 0.5% | ||||
Boeing Co. (The) | ||||
05/01/2050 | 5.805% | 2,116,000 | 2,104,562 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Northrop Grumman Corp. | ||||
05/01/2040 | 5.150% | 1,320,000 | 1,300,880 | |
Raytheon Technologies Corp. | ||||
07/01/2050 | 3.125% | 1,250,000 | 906,892 | |
02/27/2053 | 5.375% | 1,690,000 | 1,755,041 | |
TransDigm, Inc.(b) | ||||
08/15/2028 | 6.750% | 2,597,000 | 2,610,826 | |
United Technologies Corp. | ||||
11/16/2028 | 4.125% | 3,575,000 | 3,443,255 | |
Total | 12,121,456 | |||
Agencies 0.1% | ||||
Tennessee Valley Authority | ||||
09/15/2031 | 1.500% | 2,100,000 | 1,691,055 | |
Airlines 0.2% | ||||
American Airlines, Inc./AAdvantage Loyalty IP Ltd.(b) | ||||
04/20/2026 | 5.500% | 4,938,308 | 4,895,403 | |
Automotive 1.0% | ||||
American Honda Finance Corp. | ||||
05/23/2025 | 5.000% | 1,920,000 | 1,912,744 | |
Ford Motor Credit Co. LLC | ||||
11/13/2025 | 3.375% | 4,245,000 | 3,945,060 | |
05/12/2028 | 6.800% | 1,800,000 | 1,804,089 | |
06/10/2030 | 7.200% | 4,520,000 | 4,566,372 | |
General Motors Financial Co., Inc. | ||||
06/20/2025 | 2.750% | 5,666,000 | 5,337,953 | |
04/06/2030 | 5.850% | 1,527,000 | 1,513,730 | |
Toyota Motor Credit Corp. | ||||
05/17/2030 | 4.550% | 3,340,000 | 3,257,918 | |
Total | 22,337,866 | |||
Banking 5.7% | ||||
Banco Santander SA(e) | ||||
09/14/2027 | 1.722% | 2,600,000 | 2,260,373 | |
Bank of America Corp.(e) | ||||
07/22/2027 | 1.734% | 9,890,000 | 8,824,921 | |
10/22/2030 | 2.884% | 12,272,000 | 10,569,194 | |
10/20/2032 | 2.572% | 1,775,000 | 1,444,724 | |
04/27/2033 | 4.571% | 1,425,000 | 1,339,057 | |
Bank of New York Mellon Corp. (The)(e) | ||||
04/26/2027 | 4.947% | 1,715,000 | 1,693,121 | |
Barclays PLC(e) | ||||
11/24/2027 | 2.279% | 1,750,000 | 1,540,682 | |
BB&T Corp. | ||||
Subordinated | ||||
09/16/2025 | 3.625% | 646,000 | 603,293 |
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2023 | 9 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
BNP Paribas SA(b),(e) | ||||
06/09/2026 | 2.219% | 1,305,000 | 1,208,793 | |
06/12/2029 | 5.335% | 2,020,000 | 1,993,673 | |
Canadian Imperial Bank of Commerce | ||||
04/28/2028 | 5.001% | 2,395,000 | 2,358,912 | |
Citigroup, Inc.(e) | ||||
02/24/2028 | 3.070% | 1,656,000 | 1,524,372 | |
10/27/2028 | 3.520% | 4,244,000 | 3,943,399 | |
03/31/2031 | 4.412% | 1,305,000 | 1,227,702 | |
01/25/2033 | 3.057% | 3,375,000 | 2,815,130 | |
Commonwealth Bank of Australia | ||||
03/13/2026 | 5.316% | 1,961,000 | 1,966,125 | |
Credit Agricole SA(b),(f) | ||||
07/05/2026 | 5.589% | 1,816,000 | 1,814,442 | |
Danske Bank A/S(b),(e) | ||||
09/10/2027 | 1.549% | 2,024,000 | 1,758,937 | |
Goldman Sachs Group Inc (The)(e) | ||||
01/27/2032 | 1.992% | 2,560,000 | 2,014,687 | |
Goldman Sachs Group, Inc. (The)(e) | ||||
01/24/2025 | 1.757% | 1,160,000 | 1,130,052 | |
03/09/2027 | 1.431% | 4,325,000 | 3,867,160 | |
10/21/2027 | 1.948% | 4,381,000 | 3,893,819 | |
04/23/2029 | 3.814% | 2,339,000 | 2,173,541 | |
HSBC Holdings PLC(e) | ||||
05/24/2032 | 2.804% | 4,770,000 | 3,861,049 | |
Intesa Sanpaolo SpA(b) | ||||
06/20/2033 | 6.625% | 1,570,000 | 1,562,734 | |
JPMorgan Chase & Co.(e) | ||||
04/22/2027 | 1.578% | 2,692,000 | 2,418,131 | |
06/01/2029 | 2.069% | 5,325,000 | 4,572,215 | |
04/22/2031 | 2.522% | 3,452,000 | 2,923,518 | |
04/22/2032 | 2.580% | 2,770,000 | 2,300,023 | |
Lloyds Banking Group PLC(e) | ||||
03/06/2029 | 5.871% | 984,000 | 976,870 | |
Macquarie Group Ltd.(b),(e) | ||||
06/15/2034 | 5.887% | 1,115,000 | 1,096,082 | |
Mitsubishi UFJ Financial Group, Inc.(e) | ||||
07/20/2032 | 2.309% | 1,592,000 | 1,265,938 | |
Morgan Stanley(e) | ||||
10/21/2025 | 1.164% | 4,786,000 | 4,474,467 | |
02/18/2026 | 2.630% | 5,368,000 | 5,095,779 | |
12/10/2026 | 0.985% | 1,185,000 | 1,057,216 | |
02/01/2029 | 5.123% | 828,000 | 817,106 | |
04/20/2029 | 5.164% | 2,124,000 | 2,100,620 | |
01/22/2031 | 2.699% | 3,885,000 | 3,307,131 | |
10/20/2032 | 2.511% | 2,330,000 | 1,879,937 | |
PNC Financial Services Group, Inc. (The)(e) | ||||
06/12/2029 | 5.582% | 989,000 | 984,577 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Royal Bank of Canada | ||||
11/01/2027 | 6.000% | 3,135,000 | 3,216,255 | |
Societe Generale SA(b),(e) | ||||
01/21/2026 | 2.226% | 816,000 | 757,664 | |
01/10/2034 | 6.691% | 1,274,000 | 1,294,727 | |
State Street Corp.(e) | ||||
11/04/2028 | 5.820% | 1,575,000 | 1,616,462 | |
SunTrust Bank | ||||
Subordinated | ||||
05/15/2026 | 3.300% | 2,105,000 | 1,929,624 | |
Toronto-Dominion Bank (The) | ||||
01/12/2032 | 2.450% | 2,000,000 | 1,637,344 | |
Truist Bank(e) | ||||
Subordinated | ||||
09/17/2029 | 2.636% | 1,623,000 | 1,497,193 | |
UBS Group AG(b),(e) | ||||
08/10/2027 | 1.494% | 4,792,000 | 4,118,024 | |
US Bancorp(e) | ||||
10/21/2026 | 5.727% | 2,260,000 | 2,267,762 | |
06/12/2029 | 5.775% | 1,412,000 | 1,411,442 | |
Wells Fargo & Co.(e) | ||||
06/17/2027 | 3.196% | 1,490,000 | 1,399,766 | |
07/25/2033 | 4.897% | 1,650,000 | 1,581,665 | |
04/24/2034 | 5.389% | 2,420,000 | 2,405,183 | |
Total | 127,792,613 | |||
Brokerage/Asset Managers/Exchanges 0.2% | ||||
Charles Schwab Corp. (The)(e) | ||||
05/19/2034 | 5.853% | 907,000 | 920,555 | |
Nasdaq, Inc. | ||||
02/15/2034 | 5.550% | 2,043,000 | 2,051,078 | |
08/15/2053 | 5.950% | 906,000 | 927,265 | |
Total | 3,898,898 | |||
Building Materials 0.4% | ||||
Builders FirstSource, Inc.(b) | ||||
03/01/2030 | 5.000% | 5,888,000 | 5,503,193 | |
Fortune Brands Innovations, Inc. | ||||
06/01/2033 | 5.875% | 780,000 | 781,702 | |
Standard Industries, Inc.(b) | ||||
07/15/2030 | 4.375% | 2,646,000 | 2,293,055 | |
Total | 8,577,950 | |||
Cable and Satellite 0.7% | ||||
CCO Holdings LLC/Holdings Capital Corp.(b) | ||||
01/15/2034 | 4.250% | 4,660,000 | 3,523,176 | |
Charter Communications Operating LLC/Capital | ||||
10/23/2045 | 6.484% | 1,955,000 | 1,840,778 | |
07/01/2049 | 5.125% | 1,340,000 | 1,051,010 |
10 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Comcast Corp. | ||||
07/15/2036 | 3.200% | 2,165,000 | 1,779,048 | |
04/01/2040 | 3.750% | 3,295,000 | 2,775,858 | |
11/01/2056 | 2.937% | 1,940,000 | 1,263,745 | |
Cox Communications, Inc.(b) | ||||
08/15/2024 | 3.150% | 659,000 | 638,378 | |
02/01/2025 | 3.850% | 1,180,000 | 1,141,989 | |
06/15/2033 | 5.700% | 1,770,000 | 1,787,215 | |
Total | 15,801,197 | |||
Chemicals 0.2% | ||||
Albemarle Corp. | ||||
06/01/2027 | 4.650% | 2,931,000 | 2,856,283 | |
CF Industries, Inc. | ||||
06/01/2043 | 4.950% | 1,480,000 | 1,281,057 | |
Total | 4,137,340 | |||
Construction Machinery 0.6% | ||||
Ashtead Capital, Inc.(b) | ||||
08/11/2032 | 5.500% | 2,770,000 | 2,680,211 | |
05/30/2033 | 5.550% | 938,000 | 915,988 | |
John Deere Capital Corp. | ||||
01/20/2028 | 4.750% | 4,224,000 | 4,217,622 | |
10/11/2029 | 4.850% | 1,042,000 | 1,043,774 | |
06/10/2030 | 4.700% | 1,925,000 | 1,912,630 | |
United Rentals North America, Inc.(b) | ||||
12/15/2029 | 6.000% | 2,290,000 | 2,285,607 | |
Total | 13,055,832 | |||
Consumer Products 0.5% | ||||
Clorox Co. (The) | ||||
05/15/2030 | 1.800% | 2,595,000 | 2,125,285 | |
05/01/2032 | 4.600% | 2,370,000 | 2,314,631 | |
GSK Consumer Healthcare Capital US LLC | ||||
03/24/2052 | 4.000% | 1,150,000 | 954,401 | |
Kenvue, Inc.(b) | ||||
03/22/2043 | 5.100% | 4,975,000 | 5,055,656 | |
Tempur Sealy International, Inc.(b) | ||||
10/15/2031 | 3.875% | 2,336,000 | 1,907,852 | |
Total | 12,357,825 | |||
Diversified Manufacturing 0.6% | ||||
Chart Industries, Inc.(b) | ||||
01/01/2030 | 7.500% | 3,050,000 | 3,112,460 | |
GE Capital Funding LLC | ||||
05/15/2032 | 4.550% | 2,400,000 | 2,326,320 | |
Honeywell International, Inc. | ||||
01/15/2034 | 4.500% | 2,095,000 | 2,048,950 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Regal Rexnord Corp.(b) | ||||
04/15/2033 | 6.400% | 2,727,000 | 2,721,926 | |
Trane Technologies Financing Ltd. | ||||
03/03/2033 | 5.250% | 996,000 | 1,007,811 | |
Wabtec Corp.(e) | ||||
09/15/2028 | 4.950% | 3,442,000 | 3,334,052 | |
Total | 14,551,519 | |||
Electric 3.0% | ||||
AEP Texas, Inc. | ||||
06/01/2033 | 5.400% | 1,046,000 | 1,041,093 | |
Ameren Corp. | ||||
01/15/2031 | 3.500% | 2,975,000 | 2,659,629 | |
Ameren Illinois Co. | ||||
06/01/2033 | 4.950% | 1,180,000 | 1,170,784 | |
Baltimore Gas and Electric Co. | ||||
06/15/2031 | 2.250% | 1,623,000 | 1,351,198 | |
06/01/2053 | 5.400% | 1,000,000 | 1,018,285 | |
CenterPoint Energy Houston Electric LLC | ||||
10/01/2032 | 4.450% | 2,520,000 | 2,429,326 | |
04/01/2033 | 4.950% | 1,030,000 | 1,029,626 | |
CenterPoint Energy, Inc. | ||||
06/01/2031 | 2.650% | 1,923,000 | 1,606,717 | |
Commonwealth Edison Co. | ||||
02/01/2053 | 5.300% | 1,842,000 | 1,879,547 | |
Dominion Energy, Inc. | ||||
08/01/2041 | 4.900% | 1,890,000 | 1,694,292 | |
DTE Energy Co. | ||||
06/01/2028 | 4.875% | 1,370,000 | 1,340,623 | |
Duke Energy Carolinas LLC | ||||
04/15/2031 | 2.550% | 1,050,000 | 891,935 | |
Duke Energy Corp. | ||||
06/15/2031 | 2.550% | 1,460,000 | 1,208,710 | |
08/15/2052 | 5.000% | 1,540,000 | 1,409,426 | |
Duke Energy Florida LLC | ||||
06/15/2030 | 1.750% | 1,845,000 | 1,501,768 | |
11/15/2042 | 3.850% | 340,000 | 276,365 | |
Duke Energy Indiana LLC | ||||
04/01/2053 | 5.400% | 413,000 | 417,191 | |
Duke Energy Progress LLC | ||||
12/01/2044 | 4.150% | 3,185,000 | 2,649,146 | |
03/15/2053 | 5.350% | 850,000 | 855,525 | |
Entergy Arkansas LLC | ||||
06/15/2051 | 2.650% | 1,410,000 | 881,282 | |
Exelon Corp. | ||||
03/15/2028 | 5.150% | 1,361,000 | 1,356,328 | |
FEL Energy VI Sarl(b) | ||||
12/01/2040 | 5.750% | 3,604,685 | 3,080,845 |
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2023 | 11 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Florida Power & Light Co. | ||||
02/03/2032 | 2.450% | 2,743,000 | 2,310,532 | |
02/01/2042 | 4.125% | 1,840,000 | 1,614,652 | |
Georgia Power Co. | ||||
05/17/2033 | 4.950% | 1,040,000 | 1,026,472 | |
MidAmerican Energy Co. | ||||
10/15/2044 | 4.400% | 2,030,000 | 1,772,679 | |
NextEra Energy Capital Holdings, Inc. | ||||
02/28/2028 | 4.900% | 1,870,000 | 1,851,557 | |
02/28/2033 | 5.050% | 1,120,000 | 1,105,123 | |
02/28/2053 | 5.250% | 1,007,000 | 972,117 | |
Northern States Power Co. | ||||
04/01/2052 | 3.200% | 1,685,000 | 1,206,728 | |
05/15/2053 | 5.100% | 1,790,000 | 1,763,744 | |
NRG Energy, Inc.(b) | ||||
12/02/2025 | 2.000% | 5,835,000 | 5,228,438 | |
Oncor Electric Delivery Co. LLC(b) | ||||
09/15/2052 | 4.950% | 1,000,000 | 964,153 | |
Pacific Gas and Electric Co. | ||||
06/15/2033 | 6.400% | 570,000 | 566,726 | |
06/01/2041 | 4.200% | 1,090,000 | 811,366 | |
Palomino Funding Trust I(b) | ||||
05/17/2028 | 7.233% | 1,650,000 | 1,655,488 | |
PECO Energy Co. | ||||
08/15/2052 | 4.375% | 2,400,000 | 2,120,994 | |
Public Service Electric and Gas Co. | ||||
03/15/2032 | 3.100% | 1,753,000 | 1,530,488 | |
03/15/2033 | 4.650% | 1,435,000 | 1,409,128 | |
Southern Co.(The) | ||||
06/15/2033 | 5.200% | 1,253,000 | 1,243,877 | |
Union Electric Co. | ||||
04/01/2052 | 3.900% | 1,456,000 | 1,186,003 | |
03/15/2053 | 5.450% | 1,670,000 | 1,703,286 | |
WEC Energy Group, Inc. | ||||
10/15/2027 | 1.375% | 2,148,000 | 1,835,501 | |
Xcel Energy, Inc. | ||||
06/01/2030 | 3.400% | 2,445,000 | 2,178,361 | |
06/01/2032 | 4.600% | 869,000 | 822,405 | |
Total | 68,629,459 | |||
Environmental 0.1% | ||||
Republic Services, Inc. | ||||
04/01/2034 | 5.000% | 612,000 | 610,052 | |
Waste Connections, Inc. | ||||
06/01/2032 | 3.200% | 2,501,000 | 2,178,228 | |
Total | 2,788,280 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Finance Companies 0.2% | ||||
Aircastle Ltd.(b) | ||||
08/11/2025 | 5.250% | 2,396,000 | 2,314,866 | |
Golub Capital BDC, Inc. | ||||
08/24/2026 | 2.500% | 1,110,000 | 962,061 | |
Owl Rock Capital Corp. | ||||
07/15/2026 | 3.400% | 431,000 | 382,056 | |
OWL Rock Core Income Corp. | ||||
09/23/2026 | 3.125% | 1,310,000 | 1,133,875 | |
Total | 4,792,858 | |||
Food and Beverage 1.3% | ||||
Anheuser-Busch Companies LLC/InBev Worldwide, Inc. | ||||
02/01/2036 | 4.700% | 5,740,000 | 5,589,002 | |
02/01/2046 | 4.900% | 4,685,000 | 4,474,632 | |
JDE Peet’s NV(b) | ||||
09/24/2031 | 2.250% | 2,995,000 | 2,311,498 | |
Keurig Dr Pepper, Inc. | ||||
04/15/2032 | 4.050% | 1,075,000 | 999,048 | |
Kraft Heinz Foods Co. | ||||
06/04/2042 | 5.000% | 6,740,000 | 6,304,572 | |
Mars, Inc.(b) | ||||
04/20/2033 | 4.750% | 3,335,000 | 3,305,755 | |
Mondelez International, Inc. | ||||
03/17/2027 | 2.625% | 2,100,000 | 1,939,138 | |
Nestle Holdings, Inc.(b) | ||||
03/14/2033 | 4.850% | 1,340,000 | 1,368,312 | |
PepsiCo, Inc. | ||||
05/01/2030 | 1.625% | 1,345,000 | 1,119,756 | |
United Natural Foods, Inc.(b) | ||||
10/15/2028 | 6.750% | 2,310,000 | 1,914,216 | |
Total | 29,325,929 | |||
Gaming 0.7% | ||||
Caesars Entertainment, Inc.(b) | ||||
10/15/2029 | 4.625% | 1,616,000 | 1,410,782 | |
GLP Capital LP/Financing II, Inc. | ||||
04/15/2026 | 5.375% | 2,485,000 | 2,433,988 | |
International Game Technology PLC(b) | ||||
01/15/2029 | 5.250% | 6,160,000 | 5,826,641 | |
Scientific Games International, Inc.(b) | ||||
11/15/2029 | 7.250% | 3,281,000 | 3,294,562 | |
VICI Properties LP/Note Co., Inc.(b) | ||||
08/15/2030 | 4.125% | 2,770,000 | 2,440,794 | |
Total | 15,406,767 |
12 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Health Care 1.4% | ||||
Baxter International, Inc. | ||||
02/01/2027 | 1.915% | 1,690,000 | 1,501,679 | |
CVS Health Corp. | ||||
02/21/2033 | 5.250% | 2,475,000 | 2,465,535 | |
03/25/2038 | 4.780% | 1,955,000 | 1,802,171 | |
03/25/2048 | 5.050% | 2,655,000 | 2,448,497 | |
02/21/2053 | 5.625% | 3,385,000 | 3,363,073 | |
Danaher Corp. | ||||
12/10/2051 | 2.800% | 2,110,000 | 1,456,862 | |
GE HealthCare Technologies, Inc. | ||||
11/15/2027 | 5.650% | 4,935,000 | 4,992,252 | |
HCA, Inc. | ||||
07/15/2031 | 2.375% | 1,690,000 | 1,351,962 | |
06/01/2033 | 5.500% | 2,071,000 | 2,067,037 | |
06/01/2053 | 5.900% | 2,300,000 | 2,280,322 | |
IQVIA, Inc.(b) | ||||
05/15/2028 | 5.700% | 1,415,000 | 1,401,930 | |
Kaiser Foundation Hospitals | ||||
06/01/2051 | 3.002% | 1,575,000 | 1,104,363 | |
Novant Health, Inc. | ||||
11/01/2051 | 3.168% | 1,880,000 | 1,348,725 | |
Universal Health Services, Inc. | ||||
09/01/2026 | 1.650% | 3,813,000 | 3,341,785 | |
Total | 30,926,193 | |||
Healthcare Insurance 0.7% | ||||
Centene Corp. | ||||
12/15/2029 | 4.625% | 3,567,000 | 3,286,593 | |
02/15/2030 | 3.375% | 3,474,000 | 2,987,165 | |
Elevance Health, Inc. | ||||
02/15/2053 | 5.125% | 1,070,000 | 1,035,506 | |
UnitedHealth Group, Inc. | ||||
04/15/2033 | 4.500% | 4,380,000 | 4,270,521 | |
02/15/2053 | 5.875% | 1,665,000 | 1,847,018 | |
04/15/2053 | 5.050% | 2,115,000 | 2,099,629 | |
Total | 15,526,432 | |||
Home Construction 0.2% | ||||
DR Horton, Inc. | ||||
10/15/2024 | 2.500% | 2,850,000 | 2,729,641 | |
KB Home | ||||
11/15/2029 | 4.800% | 2,605,000 | 2,399,230 | |
Total | 5,128,871 | |||
Independent Energy 1.0% | ||||
Aker BP ASA(b) | ||||
06/13/2033 | 6.000% | 3,390,000 | 3,391,723 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Antero Resources Corp.(b) | ||||
02/01/2029 | 7.625% | 1,693,000 | 1,728,250 | |
Diamondback Energy, Inc. | ||||
03/15/2033 | 6.250% | 2,140,000 | 2,216,252 | |
EQT Corp. | ||||
04/01/2028 | 5.700% | 2,148,000 | 2,129,853 | |
Geopark Ltd.(b) | ||||
01/17/2027 | 5.500% | 2,250,000 | 1,854,350 | |
MEG Energy Corp.(b) | ||||
02/01/2029 | 5.875% | 4,635,000 | 4,356,395 | |
Occidental Petroleum Corp. | ||||
09/01/2030 | 6.625% | 2,569,000 | 2,669,119 | |
Southwestern Energy Co. | ||||
03/15/2030 | 5.375% | 4,742,000 | 4,424,996 | |
Total | 22,770,938 | |||
Integrated Energy 0.3% | ||||
BP Capital Markets America, Inc. | ||||
06/17/2041 | 3.060% | 1,720,000 | 1,306,139 | |
Cenovus Energy, Inc. | ||||
01/15/2032 | 2.650% | 1,910,000 | 1,542,108 | |
Shell International Finance BV | ||||
11/07/2029 | 2.375% | 2,170,000 | 1,902,522 | |
05/11/2045 | 4.375% | 1,200,000 | 1,081,307 | |
Total | 5,832,076 | |||
Life Insurance 0.0% | ||||
Five Corners Funding Trust III(b) | ||||
02/15/2033 | 5.791% | 904,000 | 918,790 | |
Lodging 0.1% | ||||
Marriott International, Inc. | ||||
10/15/2032 | 3.500% | 1,437,000 | 1,240,893 | |
Media and Entertainment 0.5% | ||||
CBS Corp. | ||||
01/15/2026 | 4.000% | 2,471,000 | 2,354,872 | |
Fox Corp. | ||||
01/25/2039 | 5.476% | 1,369,000 | 1,279,299 | |
Gray Escrow II, Inc.(b) | ||||
11/15/2031 | 5.375% | 3,640,000 | 2,426,418 | |
ViacomCBS, Inc. | ||||
01/15/2031 | 4.950% | 1,690,000 | 1,526,563 | |
Warnermedia Holdings, Inc. | ||||
03/15/2027 | 3.755% | 1,316,000 | 1,227,926 | |
03/15/2032 | 4.279% | 635,000 | 562,652 | |
03/15/2052 | 5.141% | 1,630,000 | 1,329,185 |
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2023 | 13 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
WPP Finance 2010 | ||||
09/19/2024 | 3.750% | 445,000 | 431,651 | |
Total | 11,138,566 | |||
Metals and Mining 0.2% | ||||
Glencore Funding LLC(b) | ||||
09/23/2031 | 2.625% | 2,975,000 | 2,393,645 | |
Minera Mexico SA de CV(b) | ||||
01/26/2050 | 4.500% | 668,000 | 523,134 | |
South32 Treasury Ltd.(b) | ||||
04/14/2032 | 4.350% | 2,125,000 | 1,864,499 | |
Total | 4,781,278 | |||
Midstream 0.8% | ||||
Enbridge, Inc. | ||||
03/08/2033 | 5.700% | 2,228,000 | 2,258,765 | |
Energy Transfer LP | ||||
02/15/2033 | 5.750% | 2,106,000 | 2,119,374 | |
Energy Transfer Partners LP | ||||
03/15/2035 | 4.900% | 1,870,000 | 1,718,124 | |
Enterprise Products Operating LLC | ||||
03/15/2044 | 4.850% | 1,708,000 | 1,574,633 | |
Galaxy Pipeline Assets Bidco Ltd.(b) | ||||
09/30/2040 | 2.940% | 2,849,550 | 2,291,695 | |
Kinder Morgan Energy Partners LP | ||||
09/01/2039 | 6.500% | 1,205,000 | 1,230,658 | |
MPLX LP | ||||
03/01/2053 | 5.650% | 606,000 | 566,413 | |
Sabine Pass Liquefaction LLC | ||||
03/15/2027 | 5.000% | 3,150,000 | 3,101,471 | |
Venture Global Calcasieu Pass LLC(b) | ||||
11/01/2033 | 3.875% | 1,949,000 | 1,602,123 | |
Western Midstream Operating LP | ||||
04/01/2033 | 6.150% | 1,358,000 | 1,367,087 | |
Total | 17,830,343 | |||
Natural Gas 0.5% | ||||
Infraestructura Energetica Nova SAB de CV(b) | ||||
01/15/2051 | 4.750% | 3,400,000 | 2,526,602 | |
Sempra Energy | ||||
06/15/2027 | 3.250% | 3,200,000 | 2,959,569 | |
08/01/2033 | 5.500% | 2,735,000 | 2,721,124 | |
Southern Co. Gas Capital Corp. | ||||
01/15/2031 | 1.750% | 2,835,000 | 2,229,004 | |
Total | 10,436,299 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Office REIT 0.0% | ||||
Alexandria Real Estate Equities, Inc. | ||||
07/30/2029 | 4.500% | 264,000 | 249,920 | |
Oil Field Services 0.2% | ||||
Helmerich & Payne, Inc. | ||||
09/29/2031 | 2.900% | 3,232,000 | 2,607,601 | |
Schlumberger Investment SA | ||||
05/15/2033 | 4.850% | 1,020,000 | 1,005,463 | |
Total | 3,613,064 | |||
Other Industry 0.1% | ||||
Quanta Services, Inc. | ||||
01/15/2032 | 2.350% | 3,120,000 | 2,455,829 | |
Other REIT 0.1% | ||||
Ladder Capital Finance Holdings LLLP/Corp.(b) | ||||
10/01/2025 | 5.250% | 1,180,000 | 1,110,672 | |
02/01/2027 | 4.250% | 1,519,000 | 1,319,674 | |
Total | 2,430,346 | |||
Other Utility 0.1% | ||||
Essential Utilities, Inc. | ||||
04/15/2030 | 2.704% | 2,570,000 | 2,177,343 | |
Packaging 0.1% | ||||
Sonoco Products Co. | ||||
02/01/2027 | 2.250% | 2,314,000 | 2,066,227 | |
Pharmaceuticals 1.3% | ||||
AbbVie, Inc. | ||||
11/06/2042 | 4.400% | 4,700,000 | 4,207,888 | |
Amgen, Inc. | ||||
08/18/2029 | 4.050% | 4,715,000 | 4,464,198 | |
03/02/2033 | 5.250% | 4,301,000 | 4,305,338 | |
03/02/2053 | 5.650% | 2,300,000 | 2,331,743 | |
Bristol Myers Squibb Co. | ||||
11/13/2050 | 2.550% | 1,968,000 | 1,281,538 | |
Eli Lilly & Co. | ||||
02/27/2053 | 4.875% | 1,720,000 | 1,767,015 | |
Merck & Co., Inc. | ||||
05/17/2053 | 5.000% | 600,000 | 607,503 | |
Pfizer Investment Enterprises Pte., Ltd. | ||||
05/19/2033 | 4.750% | 2,870,000 | 2,860,382 | |
05/19/2043 | 5.110% | 3,565,000 | 3,566,166 | |
05/19/2053 | 5.300% | 2,300,000 | 2,394,852 | |
Roche Holdings, Inc.(b) | ||||
12/13/2051 | 2.607% | 2,850,000 | 1,931,008 |
14 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Viatris, Inc. | ||||
06/22/2050 | 4.000% | 888,000 | 587,406 | |
Total | 30,305,037 | |||
Property & Casualty 0.2% | ||||
Allstate Corp. (The) | ||||
03/30/2033 | 5.250% | 2,316,000 | 2,308,563 | |
Progressive Corp.(The) | ||||
06/15/2033 | 4.950% | 1,820,000 | 1,806,594 | |
Total | 4,115,157 | |||
Railroads 0.4% | ||||
Burlington Northern Santa Fe LLC | ||||
04/01/2045 | 4.150% | 2,035,000 | 1,771,048 | |
09/15/2051 | 3.300% | 1,325,000 | 989,373 | |
04/15/2054 | 5.200% | 1,098,000 | 1,120,337 | |
CSX Corp. | ||||
03/15/2029 | 4.250% | 1,900,000 | 1,841,079 | |
Union Pacific Corp. | ||||
08/15/2039 | 3.550% | 3,365,000 | 2,817,930 | |
Total | 8,539,767 | |||
Restaurants 0.1% | ||||
Starbucks Corp. | ||||
02/15/2026 | 4.750% | 2,740,000 | 2,713,078 | |
Retail REIT 0.3% | ||||
Federal Realty Investment Trust | ||||
06/01/2030 | 3.500% | 2,376,000 | 2,072,442 | |
Kimco Realty Corp. | ||||
02/01/2033 | 4.600% | 4,030,000 | 3,730,820 | |
National Retail Properties, Inc. | ||||
10/15/2048 | 4.800% | 1,730,000 | 1,433,641 | |
Total | 7,236,903 | |||
Retailers 0.4% | ||||
Lowe’s Companies, Inc. | ||||
04/01/2031 | 2.625% | 4,855,000 | 4,095,716 | |
07/01/2053 | 5.750% | 2,815,000 | 2,860,730 | |
O’Reilly Automotive, Inc. | ||||
06/15/2032 | 4.700% | 1,687,000 | 1,624,606 | |
Total | 8,581,052 | |||
Technology 0.9% | ||||
Apple, Inc. | ||||
08/08/2052 | 3.950% | 3,795,000 | 3,343,034 | |
Broadcom, Inc.(b) | ||||
04/15/2033 | 3.419% | 1,345,000 | 1,126,013 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Dell International LLC/EMC Corp. | ||||
07/15/2036 | 8.100% | 791,000 | 918,861 | |
Equinix, Inc. | ||||
11/18/2026 | 2.900% | 2,330,000 | 2,137,643 | |
07/15/2027 | 1.800% | 1,470,000 | 1,273,667 | |
Intel Corp. | ||||
02/10/2033 | 5.200% | 2,750,000 | 2,775,627 | |
02/10/2053 | 5.700% | 1,474,000 | 1,501,480 | |
International Business Machines Corp. | ||||
02/06/2033 | 4.750% | 1,875,000 | 1,839,601 | |
NXP BV/Funding LLC/USA, Inc. | ||||
05/11/2031 | 2.500% | 3,390,000 | 2,763,135 | |
Oracle Corp. | ||||
07/15/2036 | 3.850% | 1,017,000 | 850,343 | |
04/01/2040 | 3.600% | 2,608,000 | 2,018,049 | |
Total | 20,547,453 | |||
Transportation Services 0.1% | ||||
GXO Logistics, Inc. | ||||
07/15/2031 | 2.650% | 2,318,000 | 1,808,019 | |
Treasury 0.3% | ||||
Romanian Government International Bond(b) | ||||
02/17/2028 | 6.625% | 5,926,000 | 6,100,458 | |
Wireless 0.7% | ||||
American Tower Corp. | ||||
07/15/2033 | 5.550% | 623,000 | 627,488 | |
Crown Castle International Corp. | ||||
07/01/2050 | 4.150% | 1,484,000 | 1,177,250 | |
Sprint Capital Corp. | ||||
11/15/2028 | 6.875% | 9,458,000 | 10,028,820 | |
03/15/2032 | 8.750% | 1,845,000 | 2,229,975 | |
Vodafone Group PLC | ||||
06/19/2049 | 4.875% | 2,335,000 | 2,070,635 | |
Total | 16,134,168 | |||
Wirelines 0.6% | ||||
AT&T, Inc. | ||||
02/15/2034 | 5.400% | 1,225,000 | 1,228,056 | |
05/15/2035 | 4.500% | 2,621,000 | 2,408,214 | |
08/15/2037 | 4.900% | 2,185,000 | 2,049,905 | |
03/09/2049 | 4.550% | 1,480,000 | 1,255,201 | |
Telecom Italia Capital SA | ||||
11/15/2033 | 6.375% | 2,100,000 | 1,781,874 | |
Telefonica Emisiones SAU | ||||
03/06/2048 | 4.895% | 1,300,000 | 1,087,894 |
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2023 | 15 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Verizon Communications, Inc. | ||||
03/21/2031 | 2.550% | 1,335,000 | 1,114,969 | |
01/15/2036 | 4.272% | 2,450,000 | 2,212,835 | |
03/15/2039 | 4.812% | 960,000 | 898,297 | |
Total | 14,037,245 | |||
Total Corporate Bonds & Notes (Cost $665,114,471) | 621,803,992 | |||
Foreign Government Obligations(a),(g) 3.5% | ||||
Canada 1.1% | ||||
Canadian Government Bond | ||||
03/01/2028 | 3.500% | CAD | 34,000,000 | 25,449,809 |
Germany 1.1% | ||||
Bundesrepublik Deutschland Bundesanleihe(b),(h) | ||||
02/15/2032 | 0.000% | EUR | 10,000,000 | 8,932,689 |
05/15/2035 | 0.000% | EUR | 7,500,000 | 6,158,293 |
Bundesrepublik Deutschland Bundesanleihe(b) | ||||
08/15/2032 | 1.700% | EUR | 10,000,000 | 10,324,364 |
Total | 25,415,346 | |||
Mexico 0.4% | ||||
Mexico Government International Bond | ||||
02/09/2035 | 6.350% | 952,000 | 1,002,033 | |
Petroleos Mexicanos | ||||
02/16/2032 | 6.700% | 4,300,000 | 3,275,789 | |
Petroleos Mexicanos(b) | ||||
02/07/2033 | 10.000% | 4,890,000 | 4,476,979 | |
Total | 8,754,801 | |||
Norway 0.0% | ||||
Equinor ASA | ||||
11/18/2049 | 3.250% | 1,590,000 | 1,193,908 | |
Peru 0.1% | ||||
Peruvian Government International Bond | ||||
01/15/2034 | 3.000% | 1,750,000 | 1,452,254 | |
Qatar 0.1% | ||||
Ooredoo International Finance Ltd.(b) | ||||
04/08/2031 | 2.625% | 1,900,000 | 1,641,652 | |
Saudi Arabia 0.5% | ||||
SA Global Sukuk Ltd.(b) | ||||
06/17/2031 | 2.694% | 7,000,000 | 6,024,857 | |
Saudi Government International Bond(b) | ||||
01/18/2028 | 4.750% | 2,027,000 | 2,009,690 | |
10/25/2032 | 5.500% | 2,490,000 | 2,615,919 | |
Total | 10,650,466 |
Foreign Government Obligations(a),(g) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
United Arab Emirates 0.1% | ||||
Abu Dhabi National Energy Co. PJSC(b) | ||||
04/29/2028 | 2.000% | 2,240,000 | 1,990,192 | |
United States 0.1% | ||||
Antares Holdings LP(b) | ||||
01/15/2027 | 2.750% | 1,876,000 | 1,543,343 | |
DAE Funding LLC(b) | ||||
08/01/2024 | 1.550% | 1,218,000 | 1,155,314 | |
Total | 2,698,657 | |||
Total Foreign Government Obligations (Cost $81,207,210) | 79,247,085 | |||
Inflation-Indexed Bonds 1.4% | ||||
United States 1.4% | ||||
U.S. Treasury Inflation-Indexed Bond | ||||
07/15/2023 | 0.375% | 16,946,280 | 16,940,158 | |
01/15/2024 | 0.625% | 15,601,680 | 15,333,989 | |
Total | 32,274,147 | |||
Total Inflation-Indexed Bonds (Cost $32,424,165) | 32,274,147 | |||
Municipal Bonds 1.8% | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Higher Education 0.1% | ||||
California State University | ||||
Taxable Refunding Revenue Bonds | ||||
Series 2020B | ||||
11/01/2051 | 2.975% | 2,250,000 | 1,617,635 | |
Rutgers, The State University of New Jersey | ||||
Revenue Bonds | ||||
Build America Bonds | ||||
Series 2010 | ||||
05/01/2040 | 5.665% | 525,000 | 554,935 | |
University of California | ||||
Revenue Bonds | ||||
Taxable | ||||
Series 2021BJ | ||||
05/15/2051 | 3.071% | 1,255,000 | 886,127 | |
Total | 3,058,697 | |||
Hospital 0.1% | ||||
Escambia County Health Facilities Authority | ||||
Taxable Refunding Revenue Bonds | ||||
Health Care Facilities | ||||
Series 2020 (AGM) | ||||
08/15/2040 | 3.607% | 2,170,000 | 1,700,060 |
16 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Regents of the University of California Medical Center | ||||
Revenue Bonds | ||||
Taxable | ||||
Series 2020N | ||||
05/15/2060 | 3.256% | 1,595,000 | 1,119,631 | |
Total | 2,819,691 | |||
Local General Obligation 0.1% | ||||
City of Houston | ||||
Limited General Obligation Bonds | ||||
Taxable | ||||
Series 2017 | ||||
03/01/2047 | 3.961% | 800,000 | 708,997 | |
Los Angeles Community College District | ||||
Unlimited General Obligation Bonds | ||||
Build America Bonds | ||||
Series 2010 | ||||
08/01/2049 | 6.750% | 800,000 | 998,118 | |
Total | 1,707,115 | |||
Municipal Power 0.1% | ||||
Sacramento Municipal Utility District | ||||
Revenue Bonds | ||||
Build America Bonds | ||||
Series 2010 | ||||
05/15/2036 | 6.156% | 900,000 | 989,321 | |
Texas Natural Gas Securitization Finance | ||||
Series 2023 | ||||
04/01/2041 | 5.169% | 1,635,000 | 1,682,676 | |
Total | 2,671,997 | |||
Other Bond Issue 0.0% | ||||
San Diego County Regional Airport Authority | ||||
Revenue Bonds | ||||
Taxable Senior Consolidated Rental Car Facility | ||||
Series 2014 | ||||
07/01/2043 | 5.594% | 910,000 | 879,751 | |
Ports 0.1% | ||||
Port Authority of New York & New Jersey | ||||
Revenue Bonds | ||||
Consolidated 168th | ||||
Series 2011 | ||||
10/01/2051 | 4.926% | 2,000,000 | 1,998,952 | |
Sales Tax 0.1% | ||||
Santa Clara Valley Transportation Authority | ||||
Revenue Bonds | ||||
Series 2010 (BAM) | ||||
04/01/2032 | 5.876% | 2,085,000 | 2,179,180 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Special Non Property Tax 0.1% | ||||
Missouri Highway & Transportation Commission | ||||
Revenue Bonds | ||||
Build America Bonds | ||||
Series 2009 | ||||
05/01/2033 | 5.445% | 1,700,000 | 1,750,078 | |
New York State Dormitory Authority | ||||
Unrefunded Revenue Bonds | ||||
Taxable | ||||
Series 2019F | ||||
02/15/2043 | 3.190% | 1,265,000 | 992,568 | |
Total | 2,742,646 | |||
State Appropriated 0.2% | ||||
Kentucky Turnpike Authority | ||||
Revenue Bonds | ||||
Build America Bonds | ||||
Series 2010B | ||||
07/01/2030 | 5.722% | 2,050,000 | 2,115,727 | |
Michigan Strategic Fund | ||||
Taxable Revenue Bonds | ||||
Flint Water Advocacy Fund | ||||
Series 2021 | ||||
09/01/2047 | 3.225% | 3,550,000 | 2,720,163 | |
Total | 4,835,890 | |||
State General Obligation 0.3% | ||||
State of California | ||||
Unlimited General Obligation Bonds | ||||
Build America Bonds | ||||
Series 2009 | ||||
10/01/2039 | 7.300% | 3,445,000 | 4,159,750 | |
Unlimited General Obligation Refunding Bonds | ||||
Taxable | ||||
Series 2018 | ||||
04/01/2038 | 4.600% | 2,335,000 | 2,238,354 | |
Total | 6,398,104 | |||
Tobacco 0.2% | ||||
Golden State Tobacco Securitization Corp. | ||||
Revenue Bonds | ||||
Taxable | ||||
Series 2021 | ||||
06/01/2034 | 2.746% | 4,635,000 | 3,771,556 | |
Turnpike / Bridge / Toll Road 0.3% | ||||
Bay Area Toll Authority | ||||
Revenue Bonds | ||||
Build America Bonds | ||||
Subordinated Series 2010S-1 | ||||
04/01/2040 | 6.918% | 1,265,000 | 1,490,437 |
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2023 | 17 |
June 30, 2023 (Unaudited)
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Foothill-Eastern Transportation Corridor Agency | ||||
Refunding Revenue Bonds | ||||
Taxable Toll Road | ||||
Series 2019A | ||||
01/15/2049 | 4.094% | 2,285,000 | 1,887,669 | |
New Jersey Turnpike Authority | ||||
Revenue Bonds | ||||
Taxable Build America Bonds | ||||
Series 2009 | ||||
01/01/2040 | 7.414% | 1,275,000 | 1,597,000 | |
Ohio Turnpike & Infrastructure Commission | ||||
Taxable Refunding Revenue Bonds | ||||
Junior Lien - Infrastructure Projects | ||||
Series 2020 | ||||
02/15/2048 | 3.216% | 2,640,000 | 1,932,873 | |
Total | 6,907,979 | |||
Water & Sewer 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 | 1,125,983 | |
Total Municipal Bonds (Cost $46,387,248) | 41,097,541 | |||
Residential Mortgage-Backed Securities - Agency 26.2% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal Home Loan Mortgage Corp.(c) | ||||
12-month USD LIBOR + 1.867% Cap 10.024% 07/01/2036 | 4.727% | 576,650 | 580,845 | |
1-year CMT + 2.135% Cap 10.703% 10/01/2036 | 4.200% | 471,336 | 478,077 | |
1-year CMT + 2.256% Cap 10.177% 04/01/2037 | 4.487% | 508,692 | 513,318 | |
12-month USD LIBOR + 1.890% Cap 9.014% 07/01/2041 | 4.235% | 167,799 | 165,621 | |
12-month USD LIBOR + 1.650% Cap 7.140% 12/01/2042 | 3.900% | 344,675 | 339,554 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal Home Loan Mortgage Corp. | ||||
02/01/2038- 11/01/2052 | 6.000% | 21,622,885 | 21,936,101 | |
05/01/2050- 05/01/2052 | 3.500% | 12,220,364 | 11,234,596 | |
10/01/2050- 05/01/2051 | 2.500% | 17,199,978 | 14,666,803 | |
07/01/2051- 02/01/2052 | 3.000% | 29,650,586 | 26,207,607 | |
08/01/2051 | 2.000% | 10,251,559 | 8,389,545 | |
05/01/2052- 06/01/2052 | 4.000% | 35,151,723 | 33,180,630 | |
07/01/2052- 08/01/2052 | 5.000% | 13,085,920 | 12,867,837 | |
10/01/2052 | 4.500% | 29,983,819 | 28,860,817 | |
12/01/2052 | 5.500% | 3,750,145 | 3,743,094 | |
Federal National Mortgage Association | ||||
12/01/2033- 09/01/2037 | 6.000% | 626,279 | 647,928 | |
05/01/2036- 03/01/2052 | 2.000% | 33,390,536 | 28,190,473 | |
04/01/2039- 09/01/2052 | 4.500% | 15,123,714 | 14,717,555 | |
05/01/2039- 01/01/2053 | 6.500% | 19,491,341 | 19,906,950 | |
12/01/2040- 05/01/2052 | 3.500% | 55,119,269 | 50,642,480 | |
08/01/2041- 05/01/2052 | 4.000% | 38,872,464 | 36,689,300 | |
05/01/2050- 06/01/2052 | 3.000% | 37,089,897 | 32,942,606 | |
06/01/2050- 05/01/2052 | 2.500% | 65,167,416 | 55,534,823 | |
08/01/2052- 09/01/2052 | 5.000% | 20,209,268 | 19,868,981 | |
10/01/2052- 01/01/2053 | 5.500% | 30,153,311 | 30,089,991 | |
Federal National Mortgage Association(c) | ||||
6-month USD LIBOR + 1.565% Floor 1.565%, Cap 11.158% 06/01/2035 | 6.878% | 781,804 | 792,257 | |
6-month USD LIBOR + 1.565% Floor 1.565, Cap 11.342 06/01/2035 | 6.940% | 682,293 | 691,784 | |
1-year CMT + 2.151% Floor 2.151%, Cap 9.622% 03/01/2038 | 4.276% | 741,298 | 753,722 | |
12-month USD LIBOR + 1.610% Floor 1.610%, Cap 8.182% 03/01/2047 | 3.182% | 982,323 | 927,935 | |
12-month USD LIBOR + 1.610% Floor 1.610%, Cap 8.116% 04/01/2047 | 3.116% | 808,200 | 763,106 |
18 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2005-106 Class UF | ||||
1-month USD LIBOR + 0.300% Floor 0.300%, Cap 7.000% 11/25/2035 | 5.450% | 298,079 | 295,935 | |
Government National Mortgage Association | ||||
02/15/2040- 06/15/2041 | 4.500% | 6,495,876 | 6,413,433 | |
03/15/2040- 04/20/2053 | 5.000% | 11,444,658 | 11,258,491 | |
11/20/2040 | 4.000% | 393,959 | 382,521 | |
04/20/2042- 06/20/2051 | 3.500% | 10,021,984 | 9,397,774 | |
04/20/2050- 07/20/2050 | 3.000% | 22,692,242 | 20,454,552 | |
10/20/2050 | 2.000% | 31,829,540 | 26,908,257 | |
11/20/2050- 12/20/2051 | 2.500% | 44,227,285 | 38,191,398 | |
Government National Mortgage Association TBA(f) | ||||
07/20/2053 | 5.500% | 20,289,000 | 20,193,895 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $611,234,718) | 589,820,592 | |||
Residential Mortgage-Backed Securities - Non-Agency 3.5% | ||||
Angel Oak Mortgage Trust(b),(d) | ||||
CMO Series 2019-5 Class M1 | ||||
10/25/2049 | 3.304% | 5,000,000 | 4,507,452 | |
Bellemeade Re Ltd.(b),(c) | ||||
CMO Series 2018-1A Class M2 | ||||
1-month USD LIBOR + 2.900% 04/25/2028 | 8.050% | 3,162,325 | 3,174,961 | |
CMO Series 2019-3A Class M1C | ||||
1-month USD LIBOR + 1.950% Floor 1.950% 07/25/2029 | 7.100% | 1,208,263 | 1,210,921 | |
CHNGE Mortgage Trust(b),(d) | ||||
CMO Series 2022-NQM1 Class A2 | ||||
06/25/2067 | 5.820% | 4,619,524 | 4,475,501 | |
CMO Series 2023-1 Class A1 | ||||
03/25/2058 | 7.065% | 4,555,182 | 4,522,374 | |
CMO Series 2023-2 Class A3 | ||||
06/25/2058 | 7.436% | 3,761,205 | 3,716,448 | |
Citigroup Mortgage Loan Trust(b),(d) | ||||
Subordinated CMO Series 2015-PS1 Class B3 | ||||
09/25/2042 | 5.250% | 4,286,456 | 3,984,500 | |
Connecticut Avenue Securities Trust(b),(c),(f) | ||||
CMO Series 2023-R05 Class 1M1 | ||||
30-day Average SOFR + 1.900% Floor 1.900% 06/25/2043 | 6.967% | 3,306,000 | 3,309,099 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Eagle Re Ltd.(b),(c) | ||||
CMO Series 2018-1 Class B1 | ||||
1-month USD LIBOR + 4.000% Floor 4.000% 11/25/2028 | 9.150% | 3,000,000 | 3,118,740 | |
CMO Series 2018-1 Class M2 | ||||
1-month USD LIBOR + 3.000% Floor 3.000% 11/25/2028 | 8.150% | 8,130,000 | 8,208,163 | |
Fannie Mae Connecticut Avenue Securities(c) | ||||
CMO Series 2014-C02 Class 2M2 | ||||
1-month USD LIBOR + 2.600% Floor 2.600% 05/25/2024 | 7.750% | 876,718 | 884,389 | |
Freddie Mac STACR REMIC Trust(b),(c) | ||||
CMO Series 2020-HQA2 Class M2 | ||||
1-month USD LIBOR + 3.100% 03/25/2050 | 8.250% | 1,506,595 | 1,544,991 | |
Freddie Mac Structured Agency Credit Risk Debt Notes(b),(c) | ||||
CMO Series 2023-HQA2 Class M1A | ||||
30-day Average SOFR + 2.000% 06/25/2043 | 7.067% | 4,100,000 | 4,112,812 | |
GCAT Trust(b),(d) | ||||
CMO Series 2023-NQM2 Class A2 | ||||
11/25/2067 | 6.243% | 3,171,182 | 3,134,638 | |
Genworth Mortgage Insurance Corp.(b),(c) | ||||
CMO Series 2021-1 Class M2 | ||||
1-month USD LIBOR + 3.900% Floor 3.900% 08/25/2033 | 9.050% | 1,882,118 | 1,893,379 | |
Home Re Ltd.(b),(c) | ||||
CMO Series 2018-1 Class M2 | ||||
1-month USD LIBOR + 3.000% 10/25/2028 | 8.150% | 4,045,009 | 4,076,258 | |
CMO Series 2020-1 Class M2 | ||||
1-month USD LIBOR + 5.250% Floor 5.250% 10/25/2030 | 10.400% | 2,484,388 | 2,518,490 | |
Subordinated CMO Series 2022-1 Class M1A | ||||
30-day Average SOFR + 2.850% 10/25/2034 | 7.917% | 2,550,000 | 2,574,190 | |
Homeward Opportunities Fund I Trust(b),(d) | ||||
CMO Series 2020-2 Class B3 | ||||
05/25/2065 | 5.475% | 7,075,000 | 5,961,486 | |
JPMorgan Mortgage Trust(d) | ||||
CMO Series 2005-S2 Class 3A1 | ||||
02/25/2032 | 7.167% | 173,432 | 162,970 | |
CMO Series 2006-A4 Class 3A1 | ||||
06/25/2036 | 4.055% | 878,538 | 611,306 |
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2023 | 19 |
June 30, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Radnor Re Ltd.(b),(c) | ||||
Subordinated CMO Series 2021-2 Class M1A | ||||
30-day Average SOFR + 1.850% Floor 1.850% 11/25/2031 | 6.917% | 2,606,456 | 2,605,757 | |
Residential Mortgage Loan Trust(b),(d) | ||||
Subordinated CMO Series 2019-3 Class B1 | ||||
09/25/2059 | 3.810% | 4,750,000 | 4,000,604 | |
Verus Securitization Trust(b),(d) | ||||
CMO Series 2022-INV1 Class A2 | ||||
08/25/2067 | 5.802% | 4,173,137 | 4,108,090 | |
Wells Fargo Mortgage-Backed Securities Trust | ||||
CMO Series 2006-7 Class 3A1 | ||||
06/25/2036 | 6.000% | 148,194 | 131,908 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $81,365,490) | 78,549,427 | |||
U.S. Treasury Obligations 21.4% | ||||
U.S. Treasury(i) | ||||
02/15/2025 | 1.500% | 20,000,000 | 18,877,344 | |
08/15/2051 | 2.000% | 5,000,000 | 3,409,375 | |
U.S. Treasury | ||||
01/15/2026 | 3.875% | 1,500,000 | 1,472,109 | |
03/15/2026 | 4.625% | 27,000,000 | 27,031,641 | |
06/15/2026 | 4.125% | 56,000,000 | 55,426,875 | |
02/29/2028 | 4.000% | 30,000,000 | 29,784,375 | |
04/30/2028 | 3.500% | 6,000,000 | 5,829,844 | |
05/31/2028 | 3.625% | 44,900,000 | 43,921,321 | |
06/30/2028 | 4.000% | 20,000,000 | 19,890,625 | |
11/30/2029 | 3.875% | 15,000,000 | 14,867,578 | |
12/31/2029 | 3.875% | 3,500,000 | 3,470,469 | |
02/28/2030 | 4.000% | 18,000,000 | 17,991,562 | |
03/31/2030 | 3.625% | 18,000,000 | 17,611,875 | |
04/30/2030 | 3.500% | 11,500,000 | 11,169,375 | |
05/31/2030 | 3.750% | 22,500,000 | 22,190,625 | |
06/30/2030 | 3.750% | 4,000,000 | 3,946,875 |
U.S. Treasury Obligations (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
02/15/2039 | 3.500% | 5,500,000 | 5,272,266 | |
08/15/2040 | 1.125% | 2,000,000 | 1,286,563 | |
11/15/2040 | 1.375% | 3,000,000 | 2,008,125 | |
05/15/2041 | 2.250% | 5,000,000 | 3,851,562 | |
02/15/2042 | 2.375% | 4,500,000 | 3,504,375 | |
05/15/2042 | 3.000% | 4,500,000 | 3,868,594 | |
05/15/2042 | 3.250% | 13,000,000 | 11,602,500 | |
08/15/2042 | 3.375% | 21,700,000 | 19,699,531 | |
11/15/2042 | 4.000% | 18,000,000 | 17,895,937 | |
02/15/2043 | 3.875% | 22,000,000 | 21,456,875 | |
05/15/2043 | 3.875% | 16,500,000 | 16,102,969 | |
11/15/2043 | 3.750% | 3,000,000 | 2,866,406 | |
02/15/2044 | 3.625% | 900,000 | 843,188 | |
11/15/2044 | 3.000% | 15,000,000 | 12,696,094 | |
11/15/2047 | 2.750% | 3,000,000 | 2,413,594 | |
05/15/2049 | 2.875% | 5,500,000 | 4,547,812 | |
08/15/2049 | 2.250% | 3,500,000 | 2,544,609 | |
11/15/2049 | 2.375% | 7,000,000 | 5,230,312 | |
05/15/2050 | 1.250% | 1,800,000 | 1,012,500 | |
02/15/2051 | 1.875% | 3,800,000 | 2,517,500 | |
08/15/2052 | 3.000% | 1,500,000 | 1,276,172 | |
11/15/2052 | 4.000% | 37,500,000 | 38,542,969 | |
02/15/2053 | 3.625% | 4,000,000 | 3,841,875 | |
Total U.S. Treasury Obligations (Cost $505,357,665) | 481,774,196 |
Money Market Funds 1.7% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(j),(k) | 37,463,936 | 37,448,951 |
Total Money Market Funds (Cost $37,446,113) | 37,448,951 | |
Total Investments in Securities (Cost: $2,344,764,013) | 2,219,227,525 | |
Other Assets & Liabilities, Net | 32,885,370 | |
Net Assets | 2,252,112,895 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
17,016,604 CAD | 12,770,797 USD | JPMorgan | 09/15/2023 | — | (89,161) |
26,394,028 CAD | 19,771,813 USD | UBS | 09/15/2023 | — | (174,944) |
23,375,663 EUR | 25,258,339 USD | UBS | 09/15/2023 | — | (342,781) |
Total | — | (606,886) |
20 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Long Bond | 197 | 09/2023 | USD | 25,000,531 | — | (237,726) |
U.S. Treasury 10-Year Note | 825 | 09/2023 | USD | 92,619,141 | — | (721,967) |
U.S. Treasury 2-Year Note | 2,082 | 09/2023 | USD | 423,361,688 | — | (3,825,661) |
U.S. Treasury 5-Year Note | 1,901 | 09/2023 | USD | 203,585,219 | — | (1,960,230) |
U.S. Treasury Ultra 10-Year Note | 471 | 09/2023 | USD | 55,784,063 | — | (304,953) |
U.S. Treasury Ultra Bond | 79 | 09/2023 | USD | 10,761,281 | — | (38,766) |
Total | — | (7,089,303) |
Cleared credit default swap contracts - buy protection | |||||||||||
Reference entity | Counterparty | Maturity date | Pay fixed rate (%) | Payment frequency | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America High Yield Index, Series 39 | Goldman Sachs | 12/20/2027 | 5.000 | Quarterly | USD | 44,599,500 | (1,025,763) | — | — | — | (1,025,763) |
(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, 2023, the total value of these securities amounted to $511,505,480, which represents 22.71% of total net assets. |
(c) | Variable rate security. The interest rate shown was the current rate as of June 30, 2023. |
(d) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of June 30, 2023. |
(e) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of June 30, 2023. |
(f) | Represents a security purchased on a when-issued basis. |
(g) | Principal and interest may not be guaranteed by a governmental entity. |
(h) | Zero coupon bond. |
(i) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(j) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
(k) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | ||||||||
27,527,770 | 677,845,743 | (667,926,634) | 2,072 | 37,448,951 | (34,135) | 1,755,935 | 37,463,936 |
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 |
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2023 | 21 |
June 30, 2023 (Unaudited)
CAD | Canada Dollar |
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). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Asset-Backed Securities — Non-Agency | — | 204,379,650 | — | 204,379,650 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 52,831,944 | — | 52,831,944 |
Corporate Bonds & Notes | — | 621,803,992 | — | 621,803,992 |
Foreign Government Obligations | — | 79,247,085 | — | 79,247,085 |
Inflation-Indexed Bonds | — | 32,274,147 | — | 32,274,147 |
Municipal Bonds | — | 41,097,541 | — | 41,097,541 |
Residential Mortgage-Backed Securities - Agency | — | 589,820,592 | — | 589,820,592 |
Residential Mortgage-Backed Securities - Non-Agency | — | 78,549,427 | — | 78,549,427 |
U.S. Treasury Obligations | — | 481,774,196 | — | 481,774,196 |
Money Market Funds | 37,448,951 | — | — | 37,448,951 |
Total Investments in Securities | 37,448,951 | 2,181,778,574 | — | 2,219,227,525 |
Investments in Derivatives |
22 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Liability | ||||
Forward Foreign Currency Exchange Contracts | — | (606,886) | — | (606,886) |
Futures Contracts | (7,089,303) | — | — | (7,089,303) |
Swap Contracts | — | (1,025,763) | — | (1,025,763) |
Total | 30,359,648 | 2,180,145,925 | — | 2,210,505,573 |
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2023 | 23 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $2,307,317,900) | $2,181,778,574 |
Affiliated issuers (cost $37,446,113) | 37,448,951 |
Foreign currency (cost $524,035) | 522,798 |
Receivable for: | |
Investments sold | 5,969,849 |
Investments sold on a delayed delivery basis | 52,376,918 |
Capital shares sold | 15,273 |
Dividends | 128,801 |
Interest | 15,847,328 |
Foreign tax reclaims | 19,633 |
Variation margin for futures contracts | 525,037 |
Prepaid expenses | 14,035 |
Total assets | 2,294,647,197 |
Liabilities | |
Due to custodian | 30,693 |
Unrealized depreciation on forward foreign currency exchange contracts | 606,886 |
Payable for: | |
Investments purchased | 12,826,394 |
Investments purchased on a delayed delivery basis | 28,292,817 |
Capital shares redeemed | 86,285 |
Variation margin for futures contracts | 67,780 |
Variation margin for swap contracts | 333,933 |
Management services fees | 29,870 |
Distribution and/or service fees | 141 |
Service fees | 954 |
Compensation of board members | 213,350 |
Compensation of chief compliance officer | 219 |
Other expenses | 44,980 |
Total liabilities | 42,534,302 |
Net assets applicable to outstanding capital stock | $2,252,112,895 |
Represented by | |
Paid in capital | 2,617,962,544 |
Total distributable earnings (loss) | (365,849,649) |
Total - representing net assets applicable to outstanding capital stock | $2,252,112,895 |
Class 1 | |
Net assets | $2,231,495,310 |
Shares outstanding | 243,720,257 |
Net asset value per share | $9.16 |
Class 2 | |
Net assets | $20,617,585 |
Shares outstanding | 2,264,631 |
Net asset value per share | $9.10 |
24 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — affiliated issuers | $1,755,935 |
Interest | 49,505,090 |
Interfund lending | 6,684 |
Foreign taxes withheld | (47,119) |
Total income | 51,220,590 |
Expenses: | |
Management services fees | 5,518,096 |
Distribution and/or service fees | |
Class 2 | 24,551 |
Service fees | 6,172 |
Compensation of board members | 23,682 |
Custodian fees | 28,315 |
Printing and postage fees | 4,430 |
Accounting services fees | 20,145 |
Legal fees | 21,077 |
Interest on collateral | 24,373 |
Compensation of chief compliance officer | 218 |
Other | 20,186 |
Total expenses | 5,691,245 |
Net investment income | 45,529,345 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (75,923,580) |
Investments — affiliated issuers | (34,135) |
Foreign currency translations | 14,161 |
Forward foreign currency exchange contracts | 10,401 |
Futures contracts | (16,547,188) |
Swap contracts | (2,750,497) |
Net realized loss | (95,230,838) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 91,443,845 |
Investments — affiliated issuers | 2,072 |
Foreign currency translations | 696 |
Forward foreign currency exchange contracts | (575,981) |
Futures contracts | (1,039,723) |
Swap contracts | 321,537 |
Net change in unrealized appreciation (depreciation) | 90,152,446 |
Net realized and unrealized loss | (5,078,392) |
Net increase in net assets resulting from operations | $40,450,953 |
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2023 | 25 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment income | $45,529,345 | $73,564,587 |
Net realized loss | (95,230,838) | (246,860,296) |
Net change in unrealized appreciation (depreciation) | 90,152,446 | (245,862,272) |
Net increase (decrease) in net assets resulting from operations | 40,450,953 | (419,157,981) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | — | (137,963,723) |
Class 2 | — | (1,078,112) |
Total distributions to shareholders | — | (139,041,835) |
Decrease in net assets from capital stock activity | (26,220,095) | (139,015,555) |
Total increase (decrease) in net assets | 14,230,858 | (697,215,371) |
Net assets at beginning of period | 2,237,882,037 | 2,935,097,408 |
Net assets at end of period | $2,252,112,895 | $2,237,882,037 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Shares sold | 434,157 | 4,008,382 | 1,471,973 | 14,224,157 |
Distributions reinvested | — | — | 14,446,463 | 137,963,723 |
Shares redeemed | (3,461,344) | (32,009,567) | (28,043,771) | (293,997,166) |
Net decrease | (3,027,187) | (28,001,185) | (12,125,335) | (141,809,286) |
Class 2 | ||||
Shares sold | 276,756 | 2,530,774 | 379,780 | 3,799,338 |
Distributions reinvested | — | — | 113,247 | 1,078,112 |
Shares redeemed | (81,869) | (749,684) | (215,932) | (2,083,719) |
Net increase | 194,887 | 1,781,090 | 277,095 | 2,793,731 |
Total net decrease | (2,832,300) | (26,220,095) | (11,848,240) | (139,015,555) |
26 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2023 |
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2023 | 27 |
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 6/30/2023 (Unaudited) | $8.99 | 0.18 | (0.01) | 0.17 | — | — | — |
Year Ended 12/31/2022 | $11.26 | 0.30 | (1.99) | (1.69) | (0.31) | (0.27) | (0.58) |
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) |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $8.95 | 0.17 | (0.02) | 0.15 | — | — | — |
Year Ended 12/31/2022 | $11.21 | 0.27 | (1.98) | (1.71) | (0.28) | (0.27) | (0.55) |
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) |
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) | Ratios include interest on collateral expense which is less than 0.01%. |
28 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2023 |
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 6/30/2023 (Unaudited) | $9.16 | 1.89% | 0.50%(c) | 0.50%(c) | 4.01% | 70% | $2,231,495 |
Year Ended 12/31/2022 | $8.99 | (15.29%) | 0.50%(c) | 0.50%(c) | 3.03% | 194% | $2,219,348 |
Year Ended 12/31/2021 | $11.26 | 0.45% | 0.49%(c) | 0.49%(c) | 2.44% | 218% | $2,915,004 |
Year Ended 12/31/2020 | $11.72 | 8.55% | 0.49%(c) | 0.49%(c) | 2.12% | 226% | $3,052,174 |
Year Ended 12/31/2019 | $11.01 | 9.73% | 0.50%(c) | 0.50%(c) | 2.84% | 94% | $2,900,664 |
Year Ended 12/31/2018 | $10.65 | (1.05%) | 0.48%(c) | 0.48%(c) | 3.42% | 136% | $1,992,309 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $9.10 | 1.68% | 0.75%(c) | 0.75%(c) | 3.76% | 70% | $20,618 |
Year Ended 12/31/2022 | $8.95 | (15.51%) | 0.75%(c) | 0.75%(c) | 2.79% | 194% | $18,534 |
Year Ended 12/31/2021 | $11.21 | 0.29% | 0.74%(c) | 0.74%(c) | 2.18% | 218% | $20,094 |
Year Ended 12/31/2020 | $11.66 | 8.24% | 0.74%(c) | 0.74%(c) | 1.88% | 226% | $21,774 |
Year Ended 12/31/2019 | $10.96 | 9.40% | 0.75%(c) | 0.75%(c) | 2.58% | 94% | $18,712 |
Year Ended 12/31/2018 | $10.61 | (1.31%) | 0.73%(c) | 0.73%(c) | 3.17% | 136% | $13,100 |
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2023 | 29 |
June 30, 2023 (Unaudited)
30 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2023 | 31 |
June 30, 2023 (Unaudited)
32 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2023 | 33 |
June 30, 2023 (Unaudited)
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 1,025,763* |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 606,886 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 7,089,303* |
Total | 8,721,952 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin for futures and centrally cleared swaps, if any, is reported in receivables or payables in the Statement of Assets and Liabilities. |
34 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2023 |
June 30, 2023 (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 | — | — | (2,750,497) | (2,750,497) |
Foreign exchange risk | 10,401 | — | — | 10,401 |
Interest rate risk | — | (16,547,188) | — | (16,547,188) |
Total | 10,401 | (16,547,188) | (2,750,497) | (19,287,284) |
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 | — | — | 321,537 | 321,537 |
Foreign exchange risk | (575,981) | — | — | (575,981) |
Interest rate risk | — | (1,039,723) | — | (1,039,723) |
Total | (575,981) | (1,039,723) | 321,537 | (1,294,167) |
Derivative instrument | Average notional amounts ($) |
Futures contracts — long | 710,937,697* |
Futures contracts — short | 206,085** |
Credit default swap contracts — buy protection | 44,824,750* |
Derivative instrument | Average unrealized appreciation ($)** | Average unrealized depreciation ($)** |
Forward foreign currency exchange contracts | 55,618 | (422,363) |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2023. |
** | Based on the ending daily outstanding amounts for the six months ended June 30, 2023. |
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2023 | 35 |
June 30, 2023 (Unaudited)
Goldman Sachs ($) | JPMorgan ($) | UBS ($) | Total ($) | |
Liabilities | ||||
Centrally cleared credit default swap contracts (a) | 333,933 | - | - | 333,933 |
Forward foreign currency exchange contracts | - | 89,161 | 517,725 | 606,886 |
Total liabilities | 333,933 | 89,161 | 517,725 | 940,819 |
Total financial and derivative net assets | (333,933) | (89,161) | (517,725) | (940,819) |
Total collateral received (pledged) (b) | (333,933) | - | - | (333,933) |
Net amount (c) | - | (89,161) | (517,725) | (606,886) |
(a) | Centrally cleared swaps are included within payable/receivable for variation margin in the Statement of Assets and Liabilities. |
(b) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(c) | Represents the net amount due from/(to) counterparties in the event of default. |
36 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2023 | 37 |
June 30, 2023 (Unaudited)
38 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Contractual expense cap July 1, 2023 through April 30, 2024 | Voluntary expense cap May 1, 2023 through June 30, 2023 | Contractual expense cap prior to May 1, 2023 | |
Class 1 | 0.54% | 0.54% | 0.54% |
Class 2 | 0.79 | 0.79 | 0.79 |
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2023 | 39 |
June 30, 2023 (Unaudited)
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
2,344,764,000 | 5,039,000 | (139,297,000) | (134,258,000) |
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
(171,642,227) | (82,698,801) | (254,341,028) |
40 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 9,160,000 | 4.95 | 5 |
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2023 | 41 |
June 30, 2023 (Unaudited)
42 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2023 | 43 |
• | 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. |
44 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2023 |
• | 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 one or more 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 2023 | 45 |
46 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2023 |
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2023 | 47 |
48 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
3 | |
5 | |
6 | |
9 | |
10 | |
11 | |
12 | |
14 | |
21 | |
21 |
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/07/10 | 21.85 | 21.30 | 11.26 | 13.84 | |
Class 2 | 05/07/10 | 21.71 | 21.00 | 10.98 | 13.56 | |
Russell 1000 Growth Index | 29.02 | 27.11 | 15.14 | 15.74 |
CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2023) | |
Common Stocks | 100.0 |
Money Market Funds | 0.0(a) |
Total | 100.0 |
(a) | Rounds to zero. |
Equity sector breakdown (%) (at June 30, 2023) | |
Communication Services | 9.5 |
Consumer Discretionary | 13.2 |
Consumer Staples | 0.9 |
Financials | 26.7 |
Health Care | 6.5 |
Industrials | 10.6 |
Information Technology | 23.6 |
Materials | 2.4 |
Real Estate | 6.6 |
Total | 100.0 |
4 | CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | |||||||
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 | 1,218.50 | 1,021.44 | 3.87 | 3.53 | 0.70 |
Class 2 | 1,000.00 | 1,000.00 | 1,217.10 | 1,020.19 | 5.25 | 4.78 | 0.95 |
CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (Unaudited)
Common Stocks 100.0% | ||
Issuer | Shares | Value ($) |
Communication Services 9.5% | ||
Entertainment 3.1% | ||
Netflix, Inc.(a) | 155,776 | 68,617,770 |
Interactive Media & Services 6.4% | ||
Alphabet, Inc., Class A(a) | 836,418 | 100,119,235 |
Alphabet, Inc., Class C(a) | 350,015 | 42,341,314 |
Total | 142,460,549 | |
Total Communication Services | 211,078,319 | |
Consumer Discretionary 13.2% | ||
Broadline Retail 7.8% | ||
Amazon.com, Inc.(a) | 1,336,050 | 174,167,478 |
Hotels, Restaurants & Leisure 2.5% | ||
Hilton Worldwide Holdings, Inc. | 374,909 | 54,568,005 |
Specialty Retail 2.9% | ||
CarMax, Inc.(a) | 204,884 | 17,148,791 |
O’Reilly Automotive, Inc.(a) | 49,210 | 47,010,313 |
Total | 64,159,104 | |
Total Consumer Discretionary | 292,894,587 | |
Consumer Staples 0.9% | ||
Consumer Staples Distribution & Retail 0.9% | ||
Costco Wholesale Corp. | 38,937 | 20,962,902 |
Total Consumer Staples | 20,962,902 | |
Financials 26.7% | ||
Capital Markets 13.9% | ||
Brookfield Asset Management Ltd., Class A | 569,487 | 18,582,361 |
Brookfield Corp. | 2,700,388 | 90,868,056 |
Charles Schwab Corp. (The) | 651,574 | 36,931,214 |
KKR & Co., Inc., Class A | 705,536 | 39,510,016 |
Moody’s Corp. | 203,692 | 70,827,782 |
S&P Global, Inc. | 130,202 | 52,196,680 |
Total | 308,916,109 | |
Financial Services 9.5% | ||
MasterCard, Inc., Class A | 269,345 | 105,933,388 |
Visa, Inc., Class A | 442,774 | 105,149,970 |
Total | 211,083,358 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Insurance 3.3% | ||
Progressive Corp. (The) | 554,010 | 73,334,304 |
Total Financials | 593,333,771 | |
Health Care 6.5% | ||
Health Care Equipment & Supplies 1.2% | ||
IDEXX Laboratories, Inc.(a) | 36,767 | 18,465,490 |
Intuitive Surgical, Inc.(a) | 23,701 | 8,104,320 |
Total | 26,569,810 | |
Life Sciences Tools & Services 3.5% | ||
Danaher Corp. | 320,103 | 76,824,720 |
Pharmaceuticals 1.8% | ||
Zoetis, Inc. | 239,732 | 41,284,248 |
Total Health Care | 144,678,778 | |
Industrials 10.6% | ||
Aerospace & Defense 5.7% | ||
HEICO Corp., Class A | 72,196 | 10,150,758 |
TransDigm Group, Inc. | 131,196 | 117,311,527 |
Total | 127,462,285 | |
Commercial Services & Supplies 2.2% | ||
Copart, Inc.(a) | 535,119 | 48,808,204 |
Ground Transportation 2.7% | ||
Union Pacific Corp. | 289,800 | 59,298,876 |
Total Industrials | 235,569,365 | |
Information Technology 23.6% | ||
Semiconductors & Semiconductor Equipment 0.8% | ||
NVIDIA Corp. | 40,510 | 17,136,540 |
Software 22.8% | ||
Adobe, Inc.(a) | 192,876 | 94,314,435 |
Intuit, Inc. | 170,766 | 78,243,274 |
Microsoft Corp. | 813,792 | 277,128,728 |
Roper Technologies, Inc. | 110,549 | 53,151,959 |
Salesforce, Inc.(a) | 17,508 | 3,698,740 |
Total | 506,537,136 | |
Total Information Technology | 523,673,676 |
6 | CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Materials 2.4% | ||
Chemicals 2.4% | ||
Linde PLC | 95,494 | 36,390,854 |
Sherwin-Williams Co. (The) | 64,029 | 17,000,980 |
Total | 53,391,834 | |
Total Materials | 53,391,834 | |
Real Estate 6.6% | ||
Real Estate Management & Development 2.8% | ||
CoStar Group, Inc.(a) | 694,271 | 61,790,119 |
Specialized REITs 3.8% | ||
American Tower Corp. | 410,280 | 79,569,703 |
SBA Communications Corp. | 19,455 | 4,508,891 |
Total | 84,078,594 | |
Total Real Estate | 145,868,713 | |
Total Common Stocks (Cost $1,738,860,563) | 2,221,451,945 | |
Money Market Funds 0.0% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(b),(c) | 109,550 | 109,506 |
Total Money Market Funds (Cost $109,495) | 109,506 | |
Total Investments in Securities (Cost: $1,738,970,058) | 2,221,561,451 | |
Other Assets & Liabilities, Net | (1,088,455) | |
Net Assets | 2,220,472,996 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | ||||||||
24,180,590 | 147,349,803 | (171,420,319) | (568) | 109,506 | 1,511 | 91,860 | 109,550 |
■ | 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® – Principal Blue Chip Growth Fund | Semiannual Report 2023 | 7 |
June 30, 2023 (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 | ||||
Communication Services | 211,078,319 | — | — | 211,078,319 |
Consumer Discretionary | 292,894,587 | — | — | 292,894,587 |
Consumer Staples | 20,962,902 | — | — | 20,962,902 |
Financials | 593,333,771 | — | — | 593,333,771 |
Health Care | 144,678,778 | — | — | 144,678,778 |
Industrials | 235,569,365 | — | — | 235,569,365 |
Information Technology | 523,673,676 | — | — | 523,673,676 |
Materials | 53,391,834 | — | — | 53,391,834 |
Real Estate | 145,868,713 | — | — | 145,868,713 |
Total Common Stocks | 2,221,451,945 | — | — | 2,221,451,945 |
Money Market Funds | 109,506 | — | — | 109,506 |
Total Investments in Securities | 2,221,561,451 | — | — | 2,221,561,451 |
8 | CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,738,860,563) | $2,221,451,945 |
Affiliated issuers (cost $109,495) | 109,506 |
Receivable for: | |
Investments sold | 8,328,092 |
Dividends | 746,159 |
Foreign tax reclaims | 137,294 |
Prepaid expenses | 12,410 |
Total assets | 2,230,785,406 |
Liabilities | |
Payable for: | |
Investments purchased | 2,233,215 |
Capital shares redeemed | 4,036,084 |
Management services fees | 40,265 |
Distribution and/or service fees | 450 |
Service fees | 47,822 |
Compensation of board members | 224,432 |
Compensation of chief compliance officer | 191 |
Interfund lending | 3,700,000 |
Other expenses | 29,951 |
Total liabilities | 10,312,410 |
Net assets applicable to outstanding capital stock | $2,220,472,996 |
Represented by | |
Trust capital | $2,220,472,996 |
Total - representing net assets applicable to outstanding capital stock | $2,220,472,996 |
Class 1 | |
Net assets | $2,154,087,253 |
Shares outstanding | 41,802,293 |
Net asset value per share | $51.53 |
Class 2 | |
Net assets | $66,385,743 |
Shares outstanding | 1,330,724 |
Net asset value per share | $49.89 |
CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2023 | 9 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $7,404,599 |
Dividends — affiliated issuers | 91,860 |
Foreign taxes withheld | (138,753) |
Total income | 7,357,706 |
Expenses: | |
Management services fees | 6,950,665 |
Distribution and/or service fees | |
Class 2 | 76,341 |
Service fees | 134,712 |
Compensation of board members | 19,756 |
Custodian fees | 7,293 |
Printing and postage fees | 13,232 |
Accounting services fees | 15,045 |
Legal fees | 19,375 |
Interest on interfund lending | 16,604 |
Compensation of chief compliance officer | 198 |
Other | 17,332 |
Total expenses | 7,270,553 |
Net investment income | 87,153 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 55,308,321 |
Investments — affiliated issuers | 1,511 |
Net realized gain | 55,309,832 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 351,119,247 |
Investments — affiliated issuers | (568) |
Net change in unrealized appreciation (depreciation) | 351,118,679 |
Net realized and unrealized gain | 406,428,511 |
Net increase in net assets resulting from operations | $406,515,664 |
10 | CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment income | $87,153 | $3,340,383 |
Net realized gain | 55,309,832 | 451,909,515 |
Net change in unrealized appreciation (depreciation) | 351,118,679 | (1,150,259,189) |
Net increase (decrease) in net assets resulting from operations | 406,515,664 | (695,009,291) |
Increase (decrease) in net assets from capital stock activity | (70,479,585) | 99,136,896 |
Total increase (decrease) in net assets | 336,036,079 | (595,872,395) |
Net assets at beginning of period | 1,884,436,917 | 2,480,309,312 |
Net assets at end of period | $2,220,472,996 | $1,884,436,917 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Shares sold | 2,387,675 | 110,749,829 | 3,707,328 | 165,005,090 |
Shares redeemed | (3,799,806) | (178,492,944) | (1,414,276) | (67,990,067) |
Net increase (decrease) | (1,412,131) | (67,743,115) | 2,293,052 | 97,015,023 |
Class 2 | ||||
Shares sold | 59,620 | 2,688,132 | 187,771 | 8,334,742 |
Shares redeemed | (119,306) | (5,424,602) | (138,704) | (6,212,869) |
Net increase (decrease) | (59,686) | (2,736,470) | 49,067 | 2,121,873 |
Total net increase (decrease) | (1,471,817) | (70,479,585) | 2,342,119 | 99,136,896 |
CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2023 | 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 6/30/2023 (Unaudited) | $42.29 | 0.00(c) | 9.24 | 9.24 |
Year Ended 12/31/2022 | $58.74 | 0.08 | (16.53) | (16.45) |
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) |
Class 2 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $40.99 | (0.05) | 8.95 | 8.90 |
Year Ended 12/31/2022 | $57.08 | (0.04) | (16.05) | (16.09) |
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) |
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) | Ratios include interfund lending expense which is less than 0.01%. |
12 | CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2023 |
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 6/30/2023 (Unaudited) | $51.53 | 21.85% | 0.70%(d) | 0.70%(d) | 0.02% | 8% | $2,154,087 |
Year Ended 12/31/2022 | $42.29 | (28.01%) | 0.70%(d) | 0.70%(d) | 0.17% | 89% | $1,827,444 |
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 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $49.89 | 21.71% | 0.95%(d) | 0.95%(d) | (0.24%) | 8% | $66,386 |
Year Ended 12/31/2022 | $40.99 | (28.19%) | 0.95%(d) | 0.95%(d) | (0.08%) | 89% | $56,993 |
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% | $44,937 |
CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2023 | 13 |
June 30, 2023 (Unaudited)
14 | CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2023 | 15 |
June 30, 2023 (Unaudited)
16 | CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Contractual expense cap July 1, 2023 through April 30, 2024 | Voluntary expense cap May 1, 2023 through June 30, 2023 | Contractual expense cap prior to May 1, 2023 | |
Class 1 | 0.70% | 0.73% | 0.73% |
Class 2 | 0.95 | 0.98 | 0.98 |
CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2023 | 17 |
June 30, 2023 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Borrower | 2,971,795 | 5.40 | 39 |
18 | CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2023 | 19 |
June 30, 2023 (Unaudited)
20 | CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2023 |
• | 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 2023 | 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 one or more 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 2023 |
CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2023 | 23 |
24 | CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2023 |
CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2023 | 25 |
June 30, 2023 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | 2.16 | 3.33 | 1.30 | 0.75 | |
Class 2 | 05/03/10 | 2.03 | 3.10 | 1.17 | 0.65 | |
Class 3 | 10/13/81 | 2.09 | 3.22 | 1.23 | 0.70 |
Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2023) | |
Repurchase Agreements | 12.7 |
Treasury Bills | 12.2 |
U.S. Government & Agency Obligations | 69.3 |
U.S. Treasury Obligations | 5.8 |
Total | 100.0 |
4 | Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,021.60 | 1,022.99 | 1.97 | 1.97 | 0.39 |
Class 2 | 1,000.00 | 1,000.00 | 1,020.30 | 1,021.74 | 3.22 | 3.23 | 0.64 |
Class 3 | 1,000.00 | 1,000.00 | 1,020.90 | 1,022.39 | 2.57 | 2.57 | 0.51 |
Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (Unaudited)
Repurchase Agreements 12.3% | ||||
Issuer | Yield | Principal Amount ($) | Value ($) | |
Tri-party RBC Dominion Securities, Inc. | ||||
dated 06/30/2023, matures 07/03/2023, | ||||
repurchase price $45,018,938 (collateralized by U.S. Treasury Securities, Total Market Value $45,900,081) | ||||
5.050% | 45,000,000 | 45,000,000 | ||
Tri-party TD Securities (USA) LLC | ||||
dated 06/30/2023, matures 07/03/2023, | ||||
repurchase price $15,006,313 (collateralized by U.S. Treasury Securities, Total Market Value $15,300,071) | ||||
5.050% | 15,000,000 | 15,000,000 | ||
Total Repurchase Agreements (Cost $60,000,000) | 60,000,000 | |||
Treasury Bills 11.9% | ||||
United States 11.9% | ||||
U.S. Treasury Bills | ||||
07/13/2023 | 4.790% | 12,000,000 | 11,979,552 | |
07/20/2023 | 4.930% | 15,000,000 | 14,959,617 | |
08/03/2023 | 4.990% | 6,000,000 | 5,972,241 | |
08/08/2023 | 4.990% | 6,500,000 | 6,465,554 | |
08/10/2023 | 5.030% | 12,500,000 | 12,429,758 | |
09/07/2023 | 5.110% | 6,000,000 | 5,942,614 | |
Total | 57,749,336 | |||
Total Treasury Bills (Cost $57,749,336) | 57,749,336 | |||
U.S. Government & Agency Obligations 67.3% | ||||
Federal Agricultural Mortgage Corp.(a) | ||||
SOFR + 0.150% 08/17/2023 | 5.210% | 5,000,000 | 5,000,000 | |
SOFR + 0.230% 03/20/2024 | 5.290% | 2,500,000 | 2,500,000 | |
Federal Agricultural Mortgage Corp. | ||||
09/29/2023 | 4.200% | 6,000,000 | 6,000,000 | |
12/12/2023 | 4.940% | 3,500,000 | 3,500,000 | |
12/22/2023 | 4.840% | 5,000,000 | 5,000,000 | |
04/10/2024 | 4.990% | 5,000,000 | 5,000,000 | |
06/27/2024 | 5.300% | 3,500,000 | 3,500,000 | |
Federal Agricultural Mortgage Corp. Discount Notes | ||||
08/17/2023 | 5.000% | 10,000,000 | 9,934,722 | |
Federal Farm Credit Banks Discount Notes | ||||
07/12/2023 | 4.660% | 10,000,000 | 9,984,692 | |
07/18/2023 | 4.820% | 5,000,000 | 4,988,147 | |
08/21/2023 | 5.080% | 10,000,000 | 9,928,175 | |
Federal Farm Credit Banks Funding Corp. | ||||
11/09/2023 | 5.010% | 5,000,000 | 5,000,000 |
U.S. Government & Agency Obligations (continued) | ||||
Issuer | Yield | Principal Amount ($) | Value ($) | |
Federal Home Loan Banks(a) | ||||
SOFR + 0.020% 08/23/2023 | 5.070% | 7,000,000 | 7,000,000 | |
SOFR + 0.025% 09/25/2023 | 5.090% | 7,500,000 | 7,500,000 | |
SOFR + 0.030% 09/25/2023 | 5.090% | 7,000,000 | 7,000,000 | |
SOFR + 0.030% 10/10/2023 | 5.090% | 7,500,000 | 7,500,000 | |
SOFR + 0.030% 11/10/2023 | 5.090% | 7,500,000 | 7,500,000 | |
SOFR + 0.035% 12/11/2023 | 5.100% | 7,500,000 | 7,500,000 | |
Federal Home Loan Banks | ||||
12/29/2023 | 4.870% | 5,250,000 | 5,250,000 | |
01/10/2024 | 4.970% | 3,750,000 | 3,749,809 | |
01/10/2024 | 5.000% | 2,500,000 | 2,500,000 | |
01/26/2024 | 5.050% | 5,500,000 | 5,500,000 | |
03/08/2024 | 5.060% | 2,000,000 | 1,977,364 | |
04/05/2024 | 5.540% | 2,500,000 | 2,500,000 | |
04/05/2024 | 5.590% | 2,500,000 | 2,500,000 | |
Federal Home Loan Banks Discount Notes | ||||
07/03/2023 | 3.250% | 5,000,000 | 4,998,667 | |
07/06/2023 | 4.230% | 13,000,000 | 12,990,972 | |
07/10/2023 | 4.590% | 7,000,000 | 6,991,215 | |
07/14/2023 | 4.670% | 10,000,000 | 9,982,125 | |
07/21/2023 | 4.910% | 3,000,000 | 2,991,550 | |
07/24/2023 | 4.940% | 10,000,000 | 9,967,608 | |
07/25/2023 | 5.080% | 5,000,000 | 4,982,667 | |
07/26/2023 | 4.940% | 5,000,000 | 4,982,465 | |
07/28/2023 | 5.060% | 5,000,000 | 4,980,650 | |
08/01/2023 | 4.980% | 3,000,000 | 2,986,954 | |
08/02/2023 | 4.660% | 5,300,000 | 5,277,764 | |
08/08/2023 | 5.070% | 3,000,000 | 2,983,850 | |
08/09/2023 | 5.050% | 9,000,000 | 8,950,492 | |
08/16/2023 | 5.190% | 2,000,000 | 1,986,711 | |
09/01/2023 | 5.080% | 5,000,000 | 4,956,514 | |
09/20/2023 | 5.150% | 5,000,000 | 4,942,850 | |
Federal Home Loan Mortgage Corp. Discount Notes | ||||
07/05/2023 | 4.000% | 17,000,000 | 16,990,696 | |
07/06/2023 | 4.180% | 12,000,000 | 11,991,767 | |
07/07/2023 | 4.270% | 8,000,000 | 7,993,460 | |
07/10/2023 | 4.510% | 12,000,000 | 11,985,180 | |
07/19/2023 | 4.600% | 10,000,000 | 9,976,100 | |
Federal National Mortgage Association | ||||
02/09/2024 | 5.120% | 5,000,000 | 5,000,000 | |
05/13/2024 | 5.020% | 5,000,000 | 5,000,000 |
6 | Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
U.S. Government & Agency Obligations (continued) | ||||
Issuer | Yield | Principal Amount ($) | Value ($) | |
Federal National Mortgage Association Discount Notes | ||||
07/03/2023 | 3.300% | 16,000,000 | 15,995,667 | |
07/11/2023 | 4.530% | 9,000,000 | 8,987,737 | |
Total U.S. Government & Agency Obligations (Cost $327,186,570) | 327,186,570 | |||
U.S. Treasury Obligations 5.6% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
U.S. Treasury(a) | ||||
3-month U.S. Treasury Index + -0.015% 01/31/2024 | 5.182% | 15,000,000 | 15,003,919 | |
3-month U.S. Treasury Index + 0.037% 07/31/2024 | 5.234% | 12,500,000 | 12,497,430 | |
Total U.S. Treasury Obligations (Cost $27,501,349) | 27,501,349 |
Total Investments in Securities (Cost: $472,437,255) | 472,437,255 | |
Other Assets & Liabilities, Net | 14,059,929 | |
Net Assets | 486,497,184 |
(a) | Variable rate security. The interest rate shown was the current rate as of June 30, 2023. |
SOFR | Secured Overnight Financing Rate |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2023 | 7 |
June 30, 2023 (Unaudited)
The Fund’s Board of Trustees (the Board) has designated the Investment Manager, through its Valuation Committee (the Committee), as valuation designee, responsible for determining the fair value of the assets of the Fund for which market quotations are not readily available using valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Repurchase Agreements | — | 60,000,000 | — | 60,000,000 |
Treasury Bills | — | 57,749,336 | — | 57,749,336 |
U.S. Government & Agency Obligations | — | 327,186,570 | — | 327,186,570 |
U.S. Treasury Obligations | — | 27,501,349 | — | 27,501,349 |
Total Investments in Securities | — | 472,437,255 | — | 472,437,255 |
8 | Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $412,437,255) | $412,437,255 |
Repurchase agreements (cost $60,000,000) | 60,000,000 |
Cash | 13,693,386 |
Receivable for: | |
Capital shares sold | 45,586 |
Interest | 1,212,947 |
Expense reimbursement due from Investment Manager | 1,008 |
Prepaid expenses | 4,949 |
Total assets | 487,395,131 |
Liabilities | |
Payable for: | |
Capital shares redeemed | 680,413 |
Distributions to shareholders | 61,222 |
Management services fees | 4,360 |
Distribution and/or service fees | 1,916 |
Service fees | 26,419 |
Compensation of board members | 99,622 |
Compensation of chief compliance officer | 48 |
Other expenses | 23,947 |
Total liabilities | 897,947 |
Net assets applicable to outstanding capital stock | $486,497,184 |
Represented by | |
Paid in capital | 486,578,323 |
Total distributable earnings (loss) | (81,139) |
Total - representing net assets applicable to outstanding capital stock | $486,497,184 |
Class 1 | |
Net assets | $94,871,135 |
Shares outstanding | 94,793,770 |
Net asset value per share | $1.00 |
Class 2 | |
Net assets | $172,660,401 |
Shares outstanding | 172,683,730 |
Net asset value per share | $1.00 |
Class 3 | |
Net assets | $218,965,648 |
Shares outstanding | 218,873,705 |
Net asset value per share | $1.00 |
Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2023 | 9 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Interest | $11,362,088 |
Total income | 11,362,088 |
Expenses: | |
Management services fees | 796,610 |
Distribution and/or service fees | |
Class 2 | 211,190 |
Class 3 | 139,202 |
Service fees | 148,311 |
Compensation of board members | 12,269 |
Custodian fees | 5,397 |
Printing and postage fees | 11,201 |
Accounting services fees | 15,045 |
Legal fees | 9,103 |
Compensation of chief compliance officer | 45 |
Other | 6,188 |
Total expenses | 1,354,561 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (63,465) |
Total net expenses | 1,291,096 |
Net investment income | 10,070,992 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (3,393) |
Net realized loss | (3,393) |
Net realized and unrealized loss | (3,393) |
Net increase in net assets resulting from operations | $10,067,599 |
10 | Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment income | $10,070,992 | $5,526,334 |
Net realized loss | (3,393) | (501) |
Net increase in net assets resulting from operations | 10,067,599 | 5,525,833 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (1,970,439) | (1,053,553) |
Class 2 | (3,437,458) | (1,810,203) |
Class 3 | (4,663,095) | (2,662,579) |
Total distributions to shareholders | (10,070,992) | (5,526,335) |
Increase (decrease) in net assets from capital stock activity | (5,061,369) | 95,572,613 |
Total increase (decrease) in net assets | (5,064,762) | 95,572,111 |
Net assets at beginning of period | 491,561,946 | 395,989,835 |
Net assets at end of period | $486,497,184 | $491,561,946 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Shares sold | 12,942,271 | 12,942,271 | 17,628,069 | 17,628,069 |
Distributions reinvested | 1,967,086 | 1,967,086 | 1,044,619 | 1,044,619 |
Shares redeemed | (9,256,295) | (9,256,295) | (17,570,853) | (17,570,853) |
Net increase | 5,653,062 | 5,653,062 | 1,101,835 | 1,101,835 |
Class 2 | ||||
Shares sold | 19,647,490 | 19,647,490 | 93,359,714 | 93,359,714 |
Distributions reinvested | 3,432,244 | 3,432,244 | 1,794,211 | 1,794,211 |
Shares redeemed | (20,905,597) | (20,905,597) | (33,826,593) | (33,826,593) |
Net increase | 2,174,137 | 2,174,137 | 61,327,332 | 61,327,332 |
Class 3 | ||||
Shares sold | 7,272,976 | 7,272,977 | 64,438,978 | 64,438,977 |
Distributions reinvested | 4,657,994 | 4,657,994 | 2,640,059 | 2,640,059 |
Shares redeemed | (24,819,539) | (24,819,539) | (33,935,590) | (33,935,590) |
Net increase (decrease) | (12,888,569) | (12,888,568) | 33,143,447 | 33,143,446 |
Total net increase (decrease) | (5,061,370) | (5,061,369) | 95,572,614 | 95,572,613 |
Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2023 | 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 6/30/2023 (Unaudited) | $1.00 | 0.02 | (0.00)(b) | 0.02 | (0.02) | — | (0.02) |
Year Ended 12/31/2022 | $1.00 | 0.01 | (0.00)(b) | 0.01 | (0.01) | — | (0.01) |
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) |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $1.00 | 0.02 | (0.00)(b) | 0.02 | (0.02) | — | (0.02) |
Year Ended 12/31/2022 | $1.00 | 0.01 | (0.00)(b) | 0.01 | (0.01) | — | (0.01) |
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) |
Class 3 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $1.00 | 0.02 | (0.00)(b) | 0.02 | (0.02) | — | (0.02) |
Year Ended 12/31/2022 | $1.00 | 0.01 | (0.00)(b) | 0.01 | (0.01) | — | (0.01) |
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) |
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) | 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: |
12/31/2022 | 12/31/2021 | 12/31/2020 | |
Class 1 | 0.10% | 0.40% | 0.23% |
Class 2 | 0.21% | 0.66% | 0.46% |
Class 3 | 0.16% | 0.53% | 0.33% |
12 | Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2023 |
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 6/30/2023 (Unaudited) | $1.00 | 2.16% | 0.42% | 0.39% | 4.33% | $94,871 |
Year Ended 12/31/2022 | $1.00 | 1.22% | 0.45% | 0.35%(c) | 1.21% | $89,219 |
Year Ended 12/31/2021 | $1.00 | 0.02% | 0.48% | 0.05%(c) | 0.01% | $88,117 |
Year Ended 12/31/2020 | $1.00 | 0.31% | 0.49% | 0.21%(c) | 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 |
Class 2 | ||||||
Six Months Ended 6/30/2023 (Unaudited) | $1.00 | 2.03% | 0.67% | 0.64% | 4.07% | $172,660 |
Year Ended 12/31/2022 | $1.00 | 1.12% | 0.69% | 0.48%(c) | 1.25% | $170,487 |
Year Ended 12/31/2021 | $1.00 | 0.02% | 0.73% | 0.04%(c) | 0.01% | $109,160 |
Year Ended 12/31/2020 | $1.00 | 0.24% | 0.74% | 0.23%(c) | 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 |
Class 3 | ||||||
Six Months Ended 6/30/2023 (Unaudited) | $1.00 | 2.09% | 0.54% | 0.51% | 4.19% | $218,966 |
Year Ended 12/31/2022 | $1.00 | 1.17% | 0.57% | 0.40%(c) | 1.21% | $231,856 |
Year Ended 12/31/2021 | $1.00 | 0.02% | 0.61% | 0.05%(c) | 0.01% | $198,713 |
Year Ended 12/31/2020 | $1.00 | 0.28% | 0.61% | 0.23%(c) | 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% | $209,931 |
Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2023 | 13 |
June 30, 2023 (Unaudited)
14 | Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
RBC Dominion Securities ($) | TD Securities ($) | Total ($) | |
Assets | |||
Repurchase agreements | 45,000,000 | 15,000,000 | 60,000,000 |
Total financial and derivative net assets | 45,000,000 | 15,000,000 | 60,000,000 |
Total collateral received (pledged) (a) | 45,000,000 | 15,000,000 | 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 2023 | 15 |
June 30, 2023 (Unaudited)
16 | Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
May 1, 2023 through April 30, 2024 | Prior to May 1, 2023 | |
Class 1 | 0.34% | 0.45% |
Class 2 | 0.59 | 0.70 |
Class 3 | 0.465 | 0.575 |
Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2023 | 17 |
June 30, 2023 (Unaudited)
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
(501) | — | (501) |
18 | Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2023 | 19 |
June 30, 2023 (Unaudited)
20 | Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2023 |
• | 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 2023 | 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 2023 |
(Unaudited)
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2023 | 23 |
(Unaudited)
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 2023 |
June 30, 2023 (Unaudited)
3 | |
5 | |
6 | |
12 | |
13 | |
14 | |
16 | |
18 | |
31 | |
31 |
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | 7.76 | 14.06 | 3.62 | 4.50 | |
Class 2 | 05/03/10 | 7.56 | 13.81 | 3.35 | 4.23 | |
Class 3 | 01/13/92 | 7.65 | 13.97 | 3.48 | 4.37 | |
MSCI EAFE Index (Net) | 11.67 | 18.77 | 4.39 | 5.41 |
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Equity sector breakdown (%) (at June 30, 2023) | |
Communication Services | 3.5 |
Consumer Discretionary | 10.7 |
Consumer Staples | 12.3 |
Energy | 10.0 |
Financials | 17.7 |
Health Care | 15.4 |
Industrials | 11.6 |
Information Technology | 11.7 |
Materials | 5.9 |
Real Estate | 0.3 |
Utilities | 0.9 |
Total | 100.0 |
Country breakdown (%) (at June 30, 2023) | |
Australia | 4.6 |
Austria | 0.5 |
Brazil | 0.4 |
Canada | 5.3 |
China | 1.0 |
Denmark | 1.6 |
Finland | 1.4 |
France | 6.0 |
Country breakdown (%) (at June 30, 2023) | |
Germany | 2.1 |
Greece | 0.5 |
Hong Kong | 0.4 |
Ireland | 1.7 |
Israel | 3.2 |
Japan | 21.2 |
Netherlands | 10.4 |
Norway | 1.4 |
Russian Federation | 0.0(a) |
Singapore | 2.5 |
South Africa | 0.3 |
South Korea | 2.8 |
Sweden | 0.2 |
Switzerland | 4.6 |
Taiwan | 4.0 |
United Kingdom | 13.4 |
United States(b) | 10.5 |
Total | 100.0 |
(a) | Rounds to zero. |
(b) | Includes investments in Money Market Funds. |
4 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | |||||||
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 | 1,077.60 | 1,020.99 | 4.09 | 3.98 | 0.79 |
Class 2 | 1,000.00 | 1,000.00 | 1,075.60 | 1,019.75 | 5.38 | 5.24 | 1.04 |
Class 3 | 1,000.00 | 1,000.00 | 1,076.50 | 1,020.39 | 4.71 | 4.58 | 0.91 |
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (Unaudited)
Common Stocks 97.5% | ||
Issuer | Shares | Value ($) |
Australia 4.6% | ||
Ansell Ltd. | 1,557,186 | 27,828,101 |
Northern Star Resources Ltd. | 7,554,386 | 61,544,615 |
Paladin Energy Ltd.(a) | 37,523,518 | 18,454,937 |
Santos Ltd. | 10,652,944 | 53,301,877 |
Total | 161,129,530 | |
Austria 0.6% | ||
Kontron AG | 976,278 | 19,312,296 |
Brazil 0.4% | ||
JBS S/A | 3,708,512 | 13,561,682 |
Canada 5.2% | ||
Alimentation Couche-Tard, Inc. | 954,875 | 48,963,698 |
Cameco Corp. | 1,909,110 | 59,812,416 |
Pan American Silver Corp. | 1,146,328 | 16,713,462 |
Vermilion Energy, Inc. | 1,310,036 | 16,309,948 |
Whitecap Resources, Inc. | 6,211,451 | 43,464,919 |
Total | 185,264,443 | |
China 1.0% | ||
China Merchants Bank Co., Ltd., Class H | 5,781,000 | 26,367,670 |
Li Ning Co., Ltd. | 1,872,000 | 10,109,141 |
Total | 36,476,811 | |
Denmark 1.6% | ||
Novo Nordisk A/S, Class B | 351,286 | 56,746,686 |
Finland 1.4% | ||
UPM-Kymmene OYJ | 1,706,773 | 50,856,404 |
France 6.0% | ||
DBV Technologies SA, ADR(a) | 611,932 | 1,162,671 |
Eiffage SA | 649,812 | 67,845,953 |
Sanofi | 829,881 | 89,341,492 |
TotalEnergies SE | 713,932 | 40,983,004 |
Worldline SA(a) | 376,899 | 13,802,056 |
Total | 213,135,176 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Germany 2.1% | ||
Duerr AG | 686,724 | 22,240,028 |
E.ON SE | 2,471,685 | 31,574,307 |
KION Group AG | 518,313 | 20,893,555 |
Total | 74,707,890 | |
Greece 0.5% | ||
JUMBO SA | 694,535 | 19,098,490 |
Hong Kong 0.4% | ||
WH Group Ltd. | 27,454,750 | 14,621,687 |
Ireland 1.7% | ||
Amarin Corp. PLC, ADR(a) | 458,925 | 546,121 |
Flutter Entertainment PLC(a) | 295,768 | 59,526,518 |
Total | 60,072,639 | |
Israel 3.1% | ||
Bank Hapoalim BM | 4,791,759 | 39,515,693 |
Check Point Software Technologies Ltd.(a) | 571,914 | 71,843,836 |
Total | 111,359,529 | |
Japan 21.0% | ||
Amano Corp. | 1,251,500 | 26,415,431 |
BayCurrent Consulting, Inc. | 1,058,000 | 39,782,869 |
Denso Corp. | 362,300 | 24,437,908 |
Hitachi Ltd. | 353,800 | 21,998,049 |
Invincible Investment Corp. | 23,793 | 9,458,195 |
ITOCHU Corp. | 2,177,200 | 86,481,771 |
JustSystems Corp. | 416,300 | 11,674,825 |
Kinden Corp. | 1,308,900 | 17,708,812 |
MatsukiyoCocokara & Co. | 1,122,600 | 63,057,765 |
Mebuki Financial Group, Inc. | 7,647,400 | 18,143,682 |
Meitec Corp. | 663,200 | 11,443,429 |
Mitsubishi UFJ Financial Group, Inc. | 7,573,600 | 55,825,565 |
Nihon M&A Center Holdings, Inc. | 1,657,000 | 12,748,950 |
ORIX Corp. | 2,742,700 | 50,016,422 |
Round One Corp. | 7,993,900 | 31,666,570 |
Shimamura Co., Ltd. | 323,800 | 30,616,364 |
Ship Healthcare Holdings, Inc. | 2,061,700 | 34,107,271 |
Suntory Beverage & Food Ltd. | 704,400 | 25,535,712 |
6 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Takeda Pharmaceutical Co., Ltd. | 2,469,585 | 77,600,682 |
Takuma Co., Ltd. | 964,500 | 9,928,675 |
Toppan Printing Co., Ltd. | 1,789,100 | 38,665,453 |
Uchida Yoko Co., Ltd. | 262,600 | 10,639,301 |
USS Co., Ltd. | 1,969,500 | 32,606,433 |
ValueCommerce Co., Ltd. | 546,700 | 5,143,520 |
Total | 745,703,654 | |
Netherlands 10.3% | ||
Adyen NV(a) | 13,397 | 23,199,153 |
ASR Nederland NV | 1,575,396 | 71,055,869 |
ING Groep NV | 4,208,224 | 56,733,580 |
Koninklijke Ahold Delhaize NV | 2,036,583 | 69,433,273 |
Prosus NV(a) | 835,127 | 61,159,818 |
Shell PLC | 2,816,348 | 84,837,448 |
Total | 366,419,141 | |
Norway 1.4% | ||
SalMar ASA | 603,954 | 24,338,108 |
Yara International ASA | 691,804 | 24,442,754 |
Total | 48,780,862 | |
Russian Federation —% | ||
Lukoil PJSC(b),(c),(d),(e) | 133,228 | — |
Singapore 2.5% | ||
BW LPG Ltd. | 973,867 | 9,718,103 |
DBS Group Holdings Ltd. | 1,480,000 | 34,562,118 |
Venture Corp., Ltd. | 4,009,300 | 43,772,701 |
Total | 88,052,922 | |
South Africa 0.3% | ||
Impala Platinum Holdings Ltd. | 1,479,467 | 9,856,230 |
South Korea 2.8% | ||
Hyundai Home Shopping Network Corp. | 246,580 | 8,579,905 |
Samsung Electronics Co., Ltd. | 924,493 | 50,905,619 |
Youngone Corp. | 786,392 | 38,616,236 |
Total | 98,101,760 | |
Sweden 0.2% | ||
Stillfront Group AB(a) | 4,561,764 | 7,626,067 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Switzerland 4.5% | ||
Landis+Gyr Group AG(a) | 330,924 | 28,461,511 |
Nestlé SA, Registered Shares | 306,760 | 36,900,653 |
Novartis AG, Registered Shares | 190,330 | 19,188,963 |
UBS AG | 3,749,667 | 76,000,763 |
Total | 160,551,890 | |
Taiwan 4.0% | ||
Fubon Financial Holding Co., Ltd. | 24,674,955 | 48,299,230 |
Parade Technologies Ltd. | 1,771,000 | 61,391,954 |
Taiwan Semiconductor Manufacturing Co., Ltd., ADR | 157,347 | 15,879,459 |
Tripod Technology Corp. | 4,133,000 | 16,403,297 |
Total | 141,973,940 | |
United Kingdom 13.3% | ||
AstraZeneca PLC, ADR | 1,638,847 | 117,292,280 |
British American Tobacco PLC | 2,210,101 | 73,431,593 |
Crest Nicholson Holdings PLC | 2,654,622 | 6,368,825 |
DCC PLC | 942,803 | 52,741,881 |
Intermediate Capital Group PLC | 984,272 | 17,253,087 |
JD Sports Fashion PLC | 24,740,940 | 45,958,702 |
John Wood Group PLC(a) | 3,162,348 | 5,448,268 |
Just Group PLC | 13,520,066 | 13,358,636 |
Liberty Global PLC, Class C(a) | 2,709,801 | 48,153,164 |
TP Icap Group PLC | 16,465,961 | 31,618,597 |
Vodafone Group PLC | 64,097,605 | 60,433,077 |
Total | 472,058,110 | |
United States 8.6% | ||
ACADIA Pharmaceuticals, Inc.(a) | 103,670 | 2,482,897 |
Broadcom, Inc. | 54,011 | 46,850,762 |
Burford Capital Ltd. | 3,135,563 | 38,191,157 |
Energy Fuels, Inc.(a) | 2,148,852 | 13,408,836 |
Insmed, Inc.(a) | 357,380 | 7,540,718 |
Jazz Pharmaceuticals PLC(a) | 371,541 | 46,059,938 |
Livent Corp.(a) | 1,447,697 | 39,710,329 |
Primo Water Corp. | 4,497,256 | 56,395,590 |
Roche Holding AG, Genusschein Shares | 159,506 | 48,724,307 |
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2023 | 7 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Sage Therapeutics, Inc.(a) | 125,290 | 5,891,136 |
Total | 305,255,670 | |
Total Common Stocks (Cost $3,559,744,675) | 3,460,723,509 | |
Exchange-Traded Equity Funds 1.2% | ||
Shares | Value ($) | |
United States 1.2% | ||
iShares MSCI EAFE ETF | 612,975 | 44,440,687 |
Total Exchange-Traded Equity Funds (Cost $44,435,186) | 44,440,687 |
Call Option Contracts Purchased 0.1% | |||||
Value ($) | |||||
(Cost $3,079,049) | 2,575,302 |
Money Market Funds 0.5% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(f),(g) | 18,252,571 | 18,245,270 |
Total Money Market Funds (Cost $18,244,897) | 18,245,270 | |
Total Investments in Securities (Cost $3,625,503,807) | 3,525,984,768 | |
Other Assets & Liabilities, Net | 24,036,687 | |
Net Assets | $3,550,021,455 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
165,256,000 CAD | 123,963,694 USD | State Street | 08/03/2023 | — | (840,549) |
6,401,000 EUR | 7,002,366 USD | State Street | 08/03/2023 | 6,642 | — |
5,872,092,000 JPY | 42,417,530 USD | State Street | 08/03/2023 | 1,526,202 | — |
151,605,164,000 KRW | 116,610,387 USD | State Street | 08/03/2023 | 1,392,585 | — |
505,235,000 NOK | 46,258,046 USD | State Street | 08/03/2023 | — | (866,907) |
18,947,000 SGD | 14,023,316 USD | State Street | 08/03/2023 | — | (2,333) |
6,076,738,000 TWD | 197,990,942 USD | State Street | 08/03/2023 | 2,931,110 | — |
52,938,646 USD | 79,079,000 AUD | State Street | 08/03/2023 | — | (210,482) |
21,059,800 USD | 27,882,000 CAD | State Street | 08/03/2023 | — | (2,822) |
49,432,753 USD | 44,640,000 CHF | State Street | 08/03/2023 | 603,694 | — |
31,905,253 USD | 220,673,000 DKK | State Street | 08/03/2023 | 495,489 | — |
291,260,845 USD | 270,026,000 EUR | State Street | 08/03/2023 | 3,853,541 | — |
56,711,065 USD | 45,376,000 GBP | State Street | 08/03/2023 | 929,614 | — |
60,115,501 USD | 98,958,000 NZD | State Street | 08/03/2023 | 607,371 | — |
74,209,150 USD | 803,412,000 SEK | State Street | 08/03/2023 | 389,147 | — |
17,574,480 USD | 188,887,000 SEK | State Street | 08/03/2023 | — | (35,972) |
42,525,941 USD | 57,110,000 SGD | State Street | 08/03/2023 | — | (249,866) |
Total | 12,735,395 | (2,208,931) |
Call option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
CBOE Volatility Index | Morgan Stanley | USD | 6,943,131 | 5,109 | 14.00 | 07/19/2023 | 963,144 | 733,142 |
CBOE Volatility Index | Morgan Stanley | USD | 4,185,720 | 3,080 | 14.00 | 08/16/2023 | 1,036,355 | 868,560 |
CBOE Volatility Index | Morgan Stanley | USD | 3,307,806 | 2,434 | 14.00 | 09/20/2023 | 1,079,550 | 973,600 |
Total | 3,079,049 | 2,575,302 |
8 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2023 |
June 30, 2023 (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, 2023, 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 approved by the Fund’s Board of Trustees. At June 30, 2023, 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 ($) |
Lukoil PJSC | 01/25/2022-01/26/2022 | 133,228 | 10,912,642 | — |
(d) | As a result of sanctions and restricted cross-border payments, certain income and/or principal has not been recognized by the Fund. The Fund will continue to monitor the net realizable value and record the income when it is considered collectible. |
(e) | Valuation based on significant unobservable inputs. |
(f) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
(g) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | ||||||||
8,505,402 | 408,867,112 | (399,127,617) | 373 | 18,245,270 | (5,516) | 506,789 | 18,252,571 |
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 2023 | 9 |
June 30, 2023 (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 | ||||
Australia | — | 161,129,530 | — | 161,129,530 |
Austria | — | 19,312,296 | — | 19,312,296 |
Brazil | 13,561,682 | — | — | 13,561,682 |
Canada | 185,264,443 | — | — | 185,264,443 |
China | — | 36,476,811 | — | 36,476,811 |
Denmark | — | 56,746,686 | — | 56,746,686 |
Finland | — | 50,856,404 | — | 50,856,404 |
France | 1,162,671 | 211,972,505 | — | 213,135,176 |
Germany | — | 74,707,890 | — | 74,707,890 |
Greece | — | 19,098,490 | — | 19,098,490 |
Hong Kong | — | 14,621,687 | — | 14,621,687 |
Ireland | 546,121 | 59,526,518 | — | 60,072,639 |
Israel | 71,843,836 | 39,515,693 | — | 111,359,529 |
Japan | — | 745,703,654 | — | 745,703,654 |
Netherlands | — | 366,419,141 | — | 366,419,141 |
Norway | — | 48,780,862 | — | 48,780,862 |
Russian Federation | — | — | 0* | 0* |
Singapore | — | 88,052,922 | — | 88,052,922 |
South Africa | — | 9,856,230 | — | 9,856,230 |
South Korea | — | 98,101,760 | — | 98,101,760 |
Sweden | — | 7,626,067 | — | 7,626,067 |
Switzerland | — | 160,551,890 | — | 160,551,890 |
10 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Taiwan | 15,879,459 | 126,094,481 | — | 141,973,940 |
United Kingdom | 165,445,444 | 306,612,666 | — | 472,058,110 |
United States | 256,531,363 | 48,724,307 | — | 305,255,670 |
Total Common Stocks | 710,235,019 | 2,750,488,490 | 0* | 3,460,723,509 |
Exchange-Traded Equity Funds | 44,440,687 | — | — | 44,440,687 |
Call Option Contracts Purchased | 2,575,302 | — | — | 2,575,302 |
Money Market Funds | 18,245,270 | — | — | 18,245,270 |
Total Investments in Securities | 775,496,278 | 2,750,488,490 | 0* | 3,525,984,768 |
Investments in Derivatives | ||||
Asset | ||||
Forward Foreign Currency Exchange Contracts | — | 12,735,395 | — | 12,735,395 |
Liability | ||||
Forward Foreign Currency Exchange Contracts | — | (2,208,931) | — | (2,208,931) |
Total | 775,496,278 | 2,761,014,954 | 0* | 3,536,511,232 |
* | Rounds to zero. |
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2023 | 11 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $3,604,179,861) | $3,505,164,196 |
Affiliated issuers (cost $18,244,897) | 18,245,270 |
Option contracts purchased (cost $3,079,049) | 2,575,302 |
Cash | 82,340 |
Unrealized appreciation on forward foreign currency exchange contracts | 12,735,395 |
Receivable for: | |
Investments sold | 2,827,220 |
Capital shares sold | 49,408 |
Dividends | 7,429,382 |
Foreign tax reclaims | 6,343,940 |
Prepaid expenses | 13,335 |
Total assets | 3,555,465,788 |
Liabilities | |
Foreign currency (cost $117,307) | 117,866 |
Unrealized depreciation on forward foreign currency exchange contracts | 2,208,931 |
Payable for: | |
Capital shares redeemed | 2,723,760 |
Foreign capital gains taxes deferred | 1,900 |
Management services fees | 73,094 |
Distribution and/or service fees | 1,208 |
Service fees | 28,079 |
Compensation of board members | 188,357 |
Compensation of chief compliance officer | 319 |
Other expenses | 100,819 |
Total liabilities | 5,444,333 |
Net assets applicable to outstanding capital stock | $3,550,021,455 |
Represented by | |
Paid in capital | 3,785,378,286 |
Total distributable earnings (loss) | (235,356,831) |
Total - representing net assets applicable to outstanding capital stock | $3,550,021,455 |
Class 1 | |
Net assets | $3,274,325,867 |
Shares outstanding | 263,196,395 |
Net asset value per share | $12.44 |
Class 2 | |
Net assets | $80,303,451 |
Shares outstanding | 6,510,362 |
Net asset value per share | $12.33 |
Class 3 | |
Net assets | $195,392,137 |
Shares outstanding | 15,752,972 |
Net asset value per share | $12.40 |
12 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $72,031,189 |
Dividends — affiliated issuers | 506,789 |
Foreign taxes withheld | (6,190,104) |
Total income | 66,347,874 |
Expenses: | |
Management services fees | 13,576,267 |
Distribution and/or service fees | |
Class 2 | 99,643 |
Class 3 | 123,153 |
Service fees | 112,600 |
Compensation of board members | 31,457 |
Custodian fees | 217,680 |
Printing and postage fees | 21,714 |
Accounting services fees | 54,386 |
Legal fees | 30,057 |
Interest on collateral | 349 |
Compensation of chief compliance officer | 370 |
Other | 65,040 |
Total expenses | 14,332,716 |
Net investment income | 52,015,158 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (70,565,171) |
Investments — affiliated issuers | (5,516) |
Foreign currency translations | (139,374) |
Forward foreign currency exchange contracts | 9,637,450 |
Option contracts purchased | (1,843,709) |
Option contracts written | 560,084 |
Net realized loss | (62,356,236) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 275,101,971 |
Investments — affiliated issuers | 373 |
Foreign currency translations | 263,321 |
Forward foreign currency exchange contracts | 4,109,766 |
Option contracts purchased | (100,185) |
Net change in unrealized appreciation (depreciation) | 279,375,246 |
Net realized and unrealized gain | 217,019,010 |
Net increase in net assets resulting from operations | $269,034,168 |
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2023 | 13 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment income | $52,015,158 | $73,455,324 |
Net realized loss | (62,356,236) | (117,594,940) |
Net change in unrealized appreciation (depreciation) | 279,375,246 | (582,495,223) |
Net increase (decrease) in net assets resulting from operations | 269,034,168 | (626,634,839) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (63,470,257) | (277,530,934) |
Class 2 | (1,343,019) | (6,228,789) |
Class 3 | (3,552,124) | (16,564,749) |
Total distributions to shareholders | (68,365,400) | (300,324,472) |
Increase (decrease) in net assets from capital stock activity | (160,911,748) | 122,892,216 |
Total increase (decrease) in net assets | 39,757,020 | (804,067,095) |
Net assets at beginning of period | 3,510,264,435 | 4,314,331,530 |
Net assets at end of period | $3,550,021,455 | $3,510,264,435 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Shares sold | 862,451 | 10,770,551 | 1,204,794 | 14,466,627 |
Distributions reinvested | 5,198,219 | 63,470,257 | 24,165,063 | 277,530,934 |
Shares redeemed | (18,299,428) | (227,210,716) | (13,923,873) | (176,559,819) |
Net increase (decrease) | (12,238,758) | (152,969,908) | 11,445,984 | 115,437,742 |
Class 2 | ||||
Shares sold | 211,466 | 2,572,225 | 1,118,157 | 13,173,148 |
Distributions reinvested | 110,901 | 1,343,019 | 547,986 | 6,228,789 |
Shares redeemed | (455,442) | (5,600,604) | (995,837) | (12,079,788) |
Net increase (decrease) | (133,075) | (1,685,360) | 670,306 | 7,322,149 |
Class 3 | ||||
Shares sold | 8,179 | 101,933 | 76,258 | 848,707 |
Distributions reinvested | 291,636 | 3,552,124 | 1,448,223 | 16,564,749 |
Shares redeemed | (802,608) | (9,910,537) | (1,403,048) | (17,281,131) |
Net increase (decrease) | (502,793) | (6,256,480) | 121,433 | 132,325 |
Total net increase (decrease) | (12,874,626) | (160,911,748) | 12,237,723 | 122,892,216 |
14 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2023 |
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2023 | 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 6/30/2023 (Unaudited) | $11.77 | 0.18 | 0.73 | 0.91 | (0.24) | — | (0.24) |
Year Ended 12/31/2022 | $15.08 | 0.25 | (2.50) | (2.25) | (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) |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $11.66 | 0.16 | 0.72 | 0.88 | (0.21) | — | (0.21) |
Year Ended 12/31/2022 | $14.98 | 0.22 | (2.49) | (2.27) | (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) |
Class 3 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $11.73 | 0.17 | 0.72 | 0.89 | (0.22) | — | (0.22) |
Year Ended 12/31/2022 | $15.05 | 0.24 | (2.50) | (2.26) | (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) |
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) | Ratios include interest on collateral expense which is less than 0.01%. |
(d) | Ratios include interfund lending expense which is less than 0.01%. |
16 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2023 |
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 6/30/2023 (Unaudited) | $12.44 | 7.76% | 0.79%(c) | 0.79%(c) | 2.91% | 20% | $3,274,326 |
Year Ended 12/31/2022 | $11.77 | (14.68%) | 0.79%(d) | 0.79%(d) | 2.03% | 35% | $3,242,143 |
Year Ended 12/31/2021 | $15.08 | 9.96% | 0.78%(c) | 0.78%(c) | 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%(c) | 0.89%(c) | 1.96% | 113% | $706,469 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $12.33 | 7.56% | 1.04%(c) | 1.04%(c) | 2.67% | 20% | $80,303 |
Year Ended 12/31/2022 | $11.66 | (14.90%) | 1.04%(d) | 1.04%(d) | 1.77% | 35% | $77,447 |
Year Ended 12/31/2021 | $14.98 | 9.74% | 1.03%(c) | 1.03%(c) | 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%(c) | 1.14%(c) | 1.75% | 113% | $51,287 |
Class 3 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $12.40 | 7.65% | 0.91%(c) | 0.91%(c) | 2.79% | 20% | $195,392 |
Year Ended 12/31/2022 | $11.73 | (14.80%) | 0.91%(d) | 0.91%(d) | 1.90% | 35% | $190,674 |
Year Ended 12/31/2021 | $15.05 | 9.88% | 0.91%(c) | 0.91%(c) | 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%(c) | 1.02%(c) | 1.88% | 113% | $228,786 |
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2023 | 17 |
June 30, 2023 (Unaudited)
18 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2023 | 19 |
June 30, 2023 (Unaudited)
20 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Investments, at value — Option contracts purchased | 2,575,302 |
Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 12,735,395 |
Total | 15,310,697 |
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2023 | 21 |
June 30, 2023 (Unaudited)
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 2,208,931 |
Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Option contracts purchased ($) | Option contracts written ($) | Total ($) |
Equity risk | — | (1,843,709) | 560,084 | (1,283,625) |
Foreign exchange risk | 9,637,450 | — | — | 9,637,450 |
Total | 9,637,450 | (1,843,709) | 560,084 | 8,353,825 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Forward foreign currency exchange contracts ($) | Option contracts purchased ($) | Total ($) |
Equity risk | — | (100,185) | (100,185) |
Foreign exchange risk | 4,109,766 | — | 4,109,766 |
Total | 4,109,766 | (100,185) | 4,009,581 |
Derivative instrument | Average value ($) |
Option contracts purchased | 1,287,651* |
Option contracts written | (39,967)** |
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 11,754,762 | (3,542,351) |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2023. |
** | Based on the ending daily outstanding amounts for the six months ended June 30, 2023. |
22 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Morgan Stanley ($) | State Street ($) | Total ($) | |
Assets | |||
Forward foreign currency exchange contracts | - | 12,735,395 | 12,735,395 |
Call option contracts purchased | 2,575,302 | - | 2,575,302 |
Total Assets | 2,575,302 | 12,735,395 | 15,310,697 |
Liabilities | |||
Forward foreign currency exchange contracts | - | 2,208,931 | 2,208,931 |
Total financial and derivative net assets | 2,575,302 | 10,526,464 | 13,101,766 |
Total collateral received (pledged) (a) | - | 4,226,449 | 4,226,449 |
Net amount (b) | 2,575,302 | 6,300,015 | 8,875,317 |
(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 2023 | 23 |
June 30, 2023 (Unaudited)
24 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2023 | 25 |
June 30, 2023 (Unaudited)
Contractual expense cap July 1, 2023 through April 30, 2024 | Voluntary expense cap May 1, 2023 through June 30, 2023 | Contractual expense cap prior to May 1, 2023 | |
Class 1 | 0.86% | 0.86% | 0.86% |
Class 2 | 1.11 | 1.11 | 1.11 |
Class 3 | 0.985 | 0.985 | 0.985 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
3,625,504,000 | 406,629,000 | (495,622,000) | (88,993,000) |
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
(21,304,604) | (86,477,623) | (107,782,227) |
26 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2023 | 27 |
June 30, 2023 (Unaudited)
28 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2023 | 29 |
June 30, 2023 (Unaudited)
30 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2023 |
• | 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 – Overseas Core Fund | Semiannual Report 2023 | 31 |
• | 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 one or more 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). |
32 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2023 |
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2023 | 33 |
34 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2023 |
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2023 | 35 |
June 30, 2023 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | 4.86 | 8.72 | 3.73 | 4.28 | |
Class 2 | 05/03/10 | 4.75 | 8.34 | 3.46 | 4.00 | |
Class 3 | 05/01/96 | 4.88 | 8.60 | 3.60 | 4.14 | |
ICE BofA US Cash Pay High Yield Constrained Index | 5.34 | 8.88 | 3.17 | 4.32 |
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2023) | |
Convertible Bonds | 0.9 |
Corporate Bonds & Notes | 92.4 |
Foreign Government Obligations | 0.6 |
Money Market Funds | 2.8 |
Senior Loans | 3.3 |
Total | 100.0 |
Quality breakdown (%) (at June 30, 2023) | |
BBB rating | 3.1 |
BB rating | 42.2 |
B rating | 42.9 |
CCC rating | 11.7 |
Not rated | 0.1 |
Total | 100.0 |
4 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | |||||||
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 | 1,048.60 | 1,021.69 | 3.32 | 3.28 | 0.65 |
Class 2 | 1,000.00 | 1,000.00 | 1,047.50 | 1,020.44 | 4.59 | 4.53 | 0.90 |
Class 3 | 1,000.00 | 1,000.00 | 1,048.80 | 1,021.04 | 3.98 | 3.93 | 0.78 |
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (Unaudited)
Convertible Bonds 0.9% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Cable and Satellite 0.9% | ||||
DISH Network Corp. | ||||
Subordinated | ||||
08/15/2026 | 3.375% | 4,704,000 | 2,387,280 | |
Total Convertible Bonds (Cost $3,914,863) | 2,387,280 | |||
Corporate Bonds & Notes 91.2% | ||||
Aerospace & Defense 1.5% | ||||
Bombardier, Inc.(a) | ||||
04/15/2027 | 7.875% | 542,000 | 540,729 | |
Moog, Inc.(a) | ||||
12/15/2027 | 4.250% | 440,000 | 408,539 | |
Spirit AeroSystems, Inc.(a) | ||||
11/30/2029 | 9.375% | 366,000 | 392,333 | |
TransDigm, Inc.(a) | ||||
03/15/2026 | 6.250% | 2,101,000 | 2,090,749 | |
08/15/2028 | 6.750% | 651,000 | 654,466 | |
Total | 4,086,816 | |||
Airlines 2.4% | ||||
Air Canada(a) | ||||
08/15/2026 | 3.875% | 718,000 | 665,642 | |
American Airlines, Inc.(a) | ||||
07/15/2025 | 11.750% | 170,000 | 186,513 | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd.(a) | ||||
04/20/2026 | 5.500% | 2,834,603 | 2,809,976 | |
04/20/2029 | 5.750% | 959,753 | 932,733 | |
Hawaiian Brand Intellectual Property Ltd./Miles Loyalty Ltd.(a) | ||||
01/20/2026 | 5.750% | 931,386 | 881,787 | |
Mileage Plus Holdings LLC/Intellectual Property Assets Ltd.(a) | ||||
06/20/2027 | 6.500% | 1,111,141 | 1,113,919 | |
Total | 6,590,570 | |||
Automotive 3.6% | ||||
American Axle & Manufacturing, Inc. | ||||
03/15/2026 | 6.250% | 306,000 | 297,422 | |
04/01/2027 | 6.500% | 44,000 | 41,737 | |
Clarios Global LP(a) | ||||
05/15/2025 | 6.750% | 700,000 | 701,280 | |
Ford Motor Co. | ||||
02/12/2032 | 3.250% | 573,000 | 449,985 | |
01/15/2043 | 4.750% | 340,000 | 261,029 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Ford Motor Credit Co. LLC | ||||
11/01/2024 | 4.063% | 400,000 | 387,450 | |
06/16/2025 | 5.125% | 414,000 | 402,068 | |
11/13/2025 | 3.375% | 728,000 | 676,562 | |
05/28/2027 | 4.950% | 256,000 | 241,553 | |
08/17/2027 | 4.125% | 689,000 | 628,302 | |
11/04/2027 | 7.350% | 483,000 | 494,276 | |
02/16/2028 | 2.900% | 410,000 | 350,995 | |
05/12/2028 | 6.800% | 303,000 | 303,688 | |
02/10/2029 | 2.900% | 657,000 | 544,427 | |
06/10/2030 | 7.200% | 1,070,000 | 1,080,977 | |
11/13/2030 | 4.000% | 838,000 | 716,373 | |
Goodyear Tire & Rubber Co. (The) | ||||
07/15/2029 | 5.000% | 278,000 | 250,706 | |
IHO Verwaltungs GmbH(a),(b) | ||||
09/15/2026 | 4.750% | 155,000 | 142,803 | |
KAR Auction Services, Inc.(a) | ||||
06/01/2025 | 5.125% | 600,000 | 589,414 | |
Panther BF Aggregator 2 LP/Finance Co., Inc.(a) | ||||
05/15/2027 | 8.500% | 761,000 | 762,995 | |
ZF North America Capital, Inc.(a) | ||||
04/14/2030 | 7.125% | 351,000 | 357,431 | |
Total | 9,681,473 | |||
Banking 0.2% | ||||
Ally Financial, Inc. | ||||
05/21/2024 | 3.875% | 208,000 | 203,338 | |
Subordinated | ||||
11/20/2025 | 5.750% | 367,000 | 353,197 | |
Total | 556,535 | |||
Brokerage/Asset Managers/Exchanges 1.9% | ||||
AG Issuer LLC(a) | ||||
03/01/2028 | 6.250% | 29,000 | 27,633 | |
AG TTMT Escrow Issuer LLC(a) | ||||
09/30/2027 | 8.625% | 986,000 | 1,012,035 | |
Hightower Holding LLC(a) | ||||
04/15/2029 | 6.750% | 736,000 | 637,094 | |
NFP Corp.(a) | ||||
08/15/2028 | 4.875% | 744,000 | 666,918 | |
08/15/2028 | 6.875% | 2,166,000 | 1,881,697 | |
10/01/2030 | 7.500% | 778,000 | 754,513 | |
Total | 4,979,890 | |||
Building Materials 1.3% | ||||
American Builders & Contractors Supply Co., Inc.(a) | ||||
01/15/2028 | 4.000% | 1,259,000 | 1,147,802 |
6 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Beacon Roofing Supply, Inc.(a) | ||||
11/15/2026 | 4.500% | 514,000 | 487,869 | |
Interface, Inc.(a) | ||||
12/01/2028 | 5.500% | 119,000 | 96,996 | |
SRS Distribution, Inc.(a) | ||||
07/01/2028 | 4.625% | 1,022,000 | 915,941 | |
12/01/2029 | 6.000% | 686,000 | 591,696 | |
White Cap Buyer LLC(a) | ||||
10/15/2028 | 6.875% | 316,000 | 286,450 | |
Total | 3,526,754 | |||
Cable and Satellite 5.7% | ||||
CCO Holdings LLC/Capital Corp.(a) | ||||
02/01/2028 | 5.000% | 666,000 | 607,065 | |
06/01/2029 | 5.375% | 749,000 | 677,226 | |
03/01/2030 | 4.750% | 1,876,000 | 1,605,215 | |
08/15/2030 | 4.500% | 1,354,000 | 1,127,901 | |
02/01/2032 | 4.750% | 764,000 | 621,772 | |
CSC Holdings LLC(a) | ||||
12/01/2030 | 4.625% | 1,080,000 | 480,802 | |
02/15/2031 | 3.375% | 2,892,000 | 1,968,435 | |
DISH DBS Corp. | ||||
06/01/2029 | 5.125% | 1,902,000 | 887,360 | |
DISH Network Corp.(a) | ||||
11/15/2027 | 11.750% | 133,000 | 130,062 | |
Radiate Holdco LLC/Finance, Inc.(a) | ||||
09/15/2026 | 4.500% | 1,841,000 | 1,470,076 | |
09/15/2028 | 6.500% | 257,000 | 150,019 | |
Sirius XM Radio, Inc.(a) | ||||
09/01/2026 | 3.125% | 607,000 | 546,886 | |
08/01/2027 | 5.000% | 299,000 | 276,395 | |
07/15/2028 | 4.000% | 380,000 | 330,595 | |
07/01/2030 | 4.125% | 1,100,000 | 898,649 | |
Videotron Ltd.(a) | ||||
06/15/2029 | 3.625% | 676,000 | 584,640 | |
VZ Secured Financing BV(a) | ||||
01/15/2032 | 5.000% | 1,426,000 | 1,150,074 | |
Ziggo BV(a) | ||||
01/15/2030 | 4.875% | 2,067,000 | 1,717,998 | |
Total | 15,231,170 | |||
Chemicals 4.0% | ||||
Ashland LLC(a) | ||||
09/01/2031 | 3.375% | 200,000 | 159,801 | |
Avient Corp.(a) | ||||
08/01/2030 | 7.125% | 528,000 | 534,047 | |
Axalta Coating Systems LLC(a) | ||||
02/15/2029 | 3.375% | 509,000 | 433,470 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Axalta Coating Systems LLC/Dutch Holding B BV(a) | ||||
06/15/2027 | 4.750% | 642,000 | 607,462 | |
Cheever Escrow Issuer LLC(a) | ||||
10/01/2027 | 7.125% | 615,000 | 558,303 | |
Element Solutions, Inc.(a) | ||||
09/01/2028 | 3.875% | 1,110,000 | 968,642 | |
HB Fuller Co. | ||||
10/15/2028 | 4.250% | 596,000 | 532,093 | |
Herens Holdco Sarl(a) | ||||
05/15/2028 | 4.750% | 740,000 | 569,390 | |
Ingevity Corp.(a) | ||||
11/01/2028 | 3.875% | 876,000 | 748,392 | |
Innophos Holdings, Inc.(a) | ||||
02/15/2028 | 9.375% | 755,000 | 754,491 | |
Iris Holdings, Inc.(a),(b) | ||||
02/15/2026 | 8.750% | 353,000 | 335,177 | |
Olympus Water US Holding Corp.(a) | ||||
10/01/2028 | 4.250% | 824,000 | 651,240 | |
11/15/2028 | 9.750% | 1,086,000 | 1,059,011 | |
SPCM SA(a) | ||||
03/15/2027 | 3.125% | 301,000 | 269,987 | |
Unifrax Escrow Issuer Corp.(a) | ||||
09/30/2028 | 5.250% | 303,000 | 218,754 | |
09/30/2029 | 7.500% | 170,000 | 106,377 | |
WR Grace Holdings LLC(a) | ||||
06/15/2027 | 4.875% | 1,688,000 | 1,571,780 | |
08/15/2029 | 5.625% | 638,000 | 521,387 | |
03/01/2031 | 7.375% | 169,000 | 166,596 | |
Total | 10,766,400 | |||
Construction Machinery 1.0% | ||||
H&E Equipment Services, Inc.(a) | ||||
12/15/2028 | 3.875% | 2,018,000 | 1,753,024 | |
Herc Holdings, Inc.(a) | ||||
07/15/2027 | 5.500% | 782,000 | 750,756 | |
Ritchie Bros Holdings, Inc.(a) | ||||
03/15/2028 | 6.750% | 142,000 | 143,620 | |
03/15/2031 | 7.750% | 167,000 | 173,758 | |
Total | 2,821,158 | |||
Consumer Cyclical Services 2.4% | ||||
APX Group, Inc.(a) | ||||
02/15/2027 | 6.750% | 466,000 | 457,149 | |
Arches Buyer, Inc.(a) | ||||
06/01/2028 | 4.250% | 1,129,000 | 980,415 | |
12/01/2028 | 6.125% | 688,000 | 593,226 |
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2023 | 7 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Match Group, Inc.(a) | ||||
06/01/2028 | 4.625% | 511,000 | 469,188 | |
02/15/2029 | 5.625% | 276,000 | 261,147 | |
Prime Security Services Borrower LLC/Finance, Inc.(a) | ||||
04/15/2026 | 5.750% | 454,000 | 445,348 | |
Staples, Inc.(a) | ||||
04/15/2026 | 7.500% | 319,000 | 262,868 | |
Uber Technologies, Inc.(a) | ||||
05/15/2025 | 7.500% | 647,000 | 655,484 | |
08/15/2029 | 4.500% | 2,543,000 | 2,340,723 | |
Total | 6,465,548 | |||
Consumer Products 1.5% | ||||
CD&R Smokey Buyer, Inc.(a) | ||||
07/15/2025 | 6.750% | 1,207,000 | 1,125,592 | |
Mattel, Inc.(a) | ||||
12/15/2027 | 5.875% | 671,000 | 658,758 | |
Newell Brands, Inc. | ||||
09/15/2027 | 6.375% | 218,000 | 209,330 | |
09/15/2029 | 6.625% | 308,000 | 295,586 | |
Prestige Brands, Inc.(a) | ||||
01/15/2028 | 5.125% | 335,000 | 319,884 | |
Scotts Miracle-Gro Co. (The) | ||||
04/01/2031 | 4.000% | 360,000 | 283,282 | |
Spectrum Brands, Inc. | ||||
07/15/2025 | 5.750% | 511,000 | 510,794 | |
Spectrum Brands, Inc.(a) | ||||
10/01/2029 | 5.000% | 694,000 | 622,576 | |
07/15/2030 | 5.500% | 153,000 | 139,642 | |
Total | 4,165,444 | |||
Diversified Manufacturing 1.9% | ||||
Chart Industries, Inc.(a) | ||||
01/01/2030 | 7.500% | 364,000 | 371,454 | |
01/01/2031 | 9.500% | 125,000 | 133,373 | |
Emerald Debt Merger Sub LLC(a) | ||||
12/15/2030 | 6.625% | 544,000 | 539,794 | |
Madison IAQ LLC(a) | ||||
06/30/2028 | 4.125% | 998,000 | 878,988 | |
06/30/2029 | 5.875% | 333,000 | 270,531 | |
Resideo Funding, Inc.(a) | ||||
09/01/2029 | 4.000% | 569,000 | 472,785 | |
Vertical US Newco, Inc.(a) | ||||
07/15/2027 | 5.250% | 257,000 | 237,621 | |
WESCO Distribution, Inc.(a) | ||||
06/15/2025 | 7.125% | 740,000 | 748,690 | |
06/15/2028 | 7.250% | 1,417,000 | 1,445,706 | |
Total | 5,098,942 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Electric 4.8% | ||||
Clearway Energy Operating LLC(a) | ||||
03/15/2028 | 4.750% | 1,228,000 | 1,132,502 | |
02/15/2031 | 3.750% | 2,003,000 | 1,663,233 | |
01/15/2032 | 3.750% | 1,003,000 | 820,733 | |
FirstEnergy Corp. | ||||
11/15/2031 | 7.375% | 225,000 | 256,830 | |
Leeward Renewable Energy Operations LLC(a) | ||||
07/01/2029 | 4.250% | 943,000 | 839,951 | |
NextEra Energy Operating Partners LP(a) | ||||
07/15/2024 | 4.250% | 495,000 | 485,838 | |
09/15/2027 | 4.500% | 2,603,000 | 2,418,869 | |
NRG Energy, Inc. | ||||
01/15/2028 | 5.750% | 440,000 | 417,213 | |
NRG Energy, Inc.(a) | ||||
06/15/2029 | 5.250% | 1,846,000 | 1,648,568 | |
Pattern Energy Operations LP/Inc.(a) | ||||
08/15/2028 | 4.500% | 259,000 | 237,388 | |
PG&E Corp. | ||||
07/01/2028 | 5.000% | 260,000 | 238,671 | |
TerraForm Power Operating LLC(a) | ||||
01/31/2028 | 5.000% | 1,207,000 | 1,112,934 | |
01/15/2030 | 4.750% | 828,000 | 731,039 | |
Vistra Operations Co. LLC(a) | ||||
02/15/2027 | 5.625% | 653,000 | 625,984 | |
07/31/2027 | 5.000% | 277,000 | 259,764 | |
Total | 12,889,517 | |||
Environmental 1.3% | ||||
Clean Harbors, Inc.(a) | ||||
02/01/2031 | 6.375% | 103,000 | 103,698 | |
GFL Environmental, Inc.(a) | ||||
06/01/2025 | 4.250% | 1,195,000 | 1,153,510 | |
08/01/2025 | 3.750% | 633,000 | 602,579 | |
12/15/2026 | 5.125% | 405,000 | 390,636 | |
Waste Pro USA, Inc.(a) | ||||
02/15/2026 | 5.500% | 1,251,000 | 1,162,037 | |
Total | 3,412,460 | |||
Finance Companies 2.2% | ||||
Navient Corp. | ||||
03/25/2024 | 6.125% | 437,000 | 433,124 | |
06/25/2025 | 6.750% | 445,000 | 438,434 | |
OneMain Finance Corp. | ||||
01/15/2029 | 9.000% | 386,000 | 389,320 | |
09/15/2030 | 4.000% | 552,000 | 425,617 | |
Provident Funding Associates LP/Finance Corp.(a) | ||||
06/15/2025 | 6.375% | 966,000 | 852,253 |
8 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Quicken Loans LLC/Co-Issuer, Inc.(a) | ||||
03/01/2031 | 3.875% | 869,000 | 704,594 | |
Rocket Mortgage LLC/Co-Issuer, Inc.(a) | ||||
10/15/2033 | 4.000% | 2,121,000 | 1,658,865 | |
Springleaf Finance Corp. | ||||
03/15/2024 | 6.125% | 974,000 | 970,523 | |
11/15/2029 | 5.375% | 61,000 | 52,086 | |
Total | 5,924,816 | |||
Food and Beverage 2.7% | ||||
Darling Ingredients, Inc.(a) | ||||
04/15/2027 | 5.250% | 683,000 | 662,432 | |
06/15/2030 | 6.000% | 504,000 | 492,520 | |
FAGE International SA/USA Dairy Industry, Inc.(a) | ||||
08/15/2026 | 5.625% | 2,462,000 | 2,328,060 | |
Performance Food Group, Inc.(a) | ||||
05/01/2025 | 6.875% | 170,000 | 170,237 | |
Pilgrim’s Pride Corp. | ||||
04/15/2031 | 4.250% | 379,000 | 325,181 | |
03/01/2032 | 3.500% | 167,000 | 132,988 | |
Post Holdings, Inc.(a) | ||||
03/01/2027 | 5.750% | 591,000 | 577,426 | |
01/15/2028 | 5.625% | 440,000 | 423,251 | |
04/15/2030 | 4.625% | 324,000 | 284,125 | |
Primo Water Holdings, Inc.(a) | ||||
04/30/2029 | 4.375% | 498,000 | 426,432 | |
Simmons Foods, Inc./Prepared Foods, Inc./Pet Food, Inc./Feed(a) | ||||
03/01/2029 | 4.625% | 1,049,000 | 845,266 | |
Triton Water Holdings, Inc.(a) | ||||
04/01/2029 | 6.250% | 700,000 | 599,487 | |
Total | 7,267,405 | |||
Gaming 4.1% | ||||
Boyd Gaming Corp. | ||||
12/01/2027 | 4.750% | 675,000 | 639,896 | |
Boyd Gaming Corp.(a) | ||||
06/15/2031 | 4.750% | 157,000 | 140,346 | |
Caesars Entertainment, Inc.(a) | ||||
10/15/2029 | 4.625% | 808,000 | 705,391 | |
02/15/2030 | 7.000% | 1,042,000 | 1,047,072 | |
Churchill Downs, Inc.(a) | ||||
05/01/2031 | 6.750% | 315,000 | 311,917 | |
Colt Merger Sub, Inc.(a) | ||||
07/01/2025 | 5.750% | 1,197,000 | 1,211,234 | |
07/01/2025 | 6.250% | 918,000 | 913,928 | |
07/01/2027 | 8.125% | 1,232,000 | 1,259,400 | |
International Game Technology PLC(a) | ||||
02/15/2025 | 6.500% | 200,000 | 200,568 | |
04/15/2026 | 4.125% | 339,000 | 321,763 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Midwest Gaming Borrower LLC(a) | ||||
05/01/2029 | 4.875% | 1,001,000 | 886,638 | |
Scientific Games Holdings LP/US FinCo, Inc.(a) | ||||
03/01/2030 | 6.625% | 845,000 | 743,711 | |
Scientific Games International, Inc.(a) | ||||
05/15/2028 | 7.000% | 369,000 | 368,260 | |
VICI Properties LP/Note Co., Inc.(a) | ||||
05/01/2024 | 5.625% | 480,000 | 477,242 | |
06/15/2025 | 4.625% | 400,000 | 386,833 | |
12/01/2026 | 4.250% | 561,000 | 525,800 | |
Wynn Las Vegas LLC/Capital Corp.(a) | ||||
03/01/2025 | 5.500% | 874,000 | 859,633 | |
Total | 10,999,632 | |||
Health Care 5.6% | ||||
180 Medical, Inc.(a) | ||||
10/15/2029 | 3.875% | 200,000 | 174,908 | |
Acadia Healthcare Co., Inc.(a) | ||||
07/01/2028 | 5.500% | 138,000 | 131,948 | |
04/15/2029 | 5.000% | 729,000 | 676,924 | |
AdaptHealth LLC(a) | ||||
03/01/2030 | 5.125% | 858,000 | 697,507 | |
Avantor Funding, Inc.(a) | ||||
07/15/2028 | 4.625% | 764,000 | 708,155 | |
11/01/2029 | 3.875% | 1,334,000 | 1,169,646 | |
Catalent Pharma Solutions, Inc.(a) | ||||
04/01/2030 | 3.500% | 819,000 | 663,396 | |
Charles River Laboratories International, Inc.(a) | ||||
05/01/2028 | 4.250% | 249,000 | 228,700 | |
03/15/2029 | 3.750% | 249,000 | 220,041 | |
03/15/2031 | 4.000% | 291,000 | 254,031 | |
CHS/Community Health Systems, Inc.(a) | ||||
04/15/2029 | 6.875% | 654,000 | 408,377 | |
05/15/2030 | 5.250% | 1,433,000 | 1,133,382 | |
Indigo Merger Sub, Inc.(a) | ||||
07/15/2026 | 2.875% | 297,000 | 270,738 | |
IQVIA, Inc.(a) | ||||
05/15/2030 | 6.500% | 270,000 | 273,187 | |
Mozart Debt Merger Sub, Inc.(a) | ||||
10/01/2029 | 5.250% | 1,743,000 | 1,512,954 | |
Select Medical Corp.(a) | ||||
08/15/2026 | 6.250% | 1,190,000 | 1,168,297 | |
Surgery Center Holdings, Inc.(a) | ||||
07/01/2025 | 6.750% | 42,000 | 41,940 | |
04/15/2027 | 10.000% | 348,000 | 356,690 | |
Teleflex, Inc. | ||||
11/15/2027 | 4.625% | 693,000 | 655,112 |
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2023 | 9 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Teleflex, Inc.(a) | ||||
06/01/2028 | 4.250% | 223,000 | 204,911 | |
Tenet Healthcare Corp. | ||||
02/01/2027 | 6.250% | 886,000 | 878,592 | |
11/01/2027 | 5.125% | 1,522,000 | 1,453,086 | |
10/01/2028 | 6.125% | 704,000 | 677,600 | |
01/15/2030 | 4.375% | 148,000 | 133,548 | |
06/15/2030 | 6.125% | 446,000 | 439,513 | |
US Acute Care Solutions LLC(a) | ||||
03/01/2026 | 6.375% | 620,000 | 530,795 | |
Total | 15,063,978 | |||
Home Construction 0.6% | ||||
Meritage Homes Corp.(a) | ||||
04/15/2029 | 3.875% | 349,000 | 310,219 | |
Shea Homes LP/Funding Corp. | ||||
02/15/2028 | 4.750% | 432,000 | 385,397 | |
04/01/2029 | 4.750% | 102,000 | 89,076 | |
Taylor Morrison Communities, Inc./Holdings II(a) | ||||
03/01/2024 | 5.625% | 848,000 | 843,771 | |
Total | 1,628,463 | |||
Independent Energy 4.3% | ||||
Baytex Energy Corp.(a) | ||||
04/30/2030 | 8.500% | 563,000 | 550,076 | |
Callon Petroleum Co.(a) | ||||
06/15/2030 | 7.500% | 287,000 | 270,940 | |
Centennial Resource Production LLC(a) | ||||
04/01/2027 | 6.875% | 140,000 | 138,121 | |
CNX Resources Corp.(a) | ||||
03/14/2027 | 7.250% | 71,000 | 70,424 | |
01/15/2029 | 6.000% | 342,000 | 317,501 | |
Colgate Energy Partners III LLC(a) | ||||
07/01/2029 | 5.875% | 2,099,000 | 1,978,505 | |
CrownRock LP/Finance, Inc.(a) | ||||
05/01/2029 | 5.000% | 249,000 | 234,130 | |
Hilcorp Energy I LP/Finance Co.(a) | ||||
11/01/2028 | 6.250% | 1,936,000 | 1,825,123 | |
02/01/2029 | 5.750% | 418,000 | 380,910 | |
Matador Resources Co. | ||||
09/15/2026 | 5.875% | 1,155,000 | 1,122,369 | |
Matador Resources Co.(a) | ||||
04/15/2028 | 6.875% | 333,000 | 329,572 | |
Occidental Petroleum Corp. | ||||
09/01/2030 | 6.625% | 709,000 | 736,631 | |
01/01/2031 | 6.125% | 515,000 | 522,884 | |
09/15/2036 | 6.450% | 701,000 | 721,625 | |
SM Energy Co. | ||||
07/15/2028 | 6.500% | 568,000 | 545,762 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Southwestern Energy Co. | ||||
02/01/2032 | 4.750% | 1,922,000 | 1,698,018 | |
Total | 11,442,591 | |||
Leisure 3.1% | ||||
Carnival Corp.(a) | ||||
03/01/2026 | 7.625% | 481,000 | 471,025 | |
03/01/2027 | 5.750% | 1,062,000 | 976,958 | |
Carnival Holdings Bermuda Ltd.(a) | ||||
05/01/2028 | 10.375% | 842,000 | 921,108 | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Operations LLC(a) | ||||
05/01/2025 | 5.500% | 464,000 | 460,557 | |
Cinemark USA, Inc.(a) | ||||
03/15/2026 | 5.875% | 827,000 | 784,766 | |
07/15/2028 | 5.250% | 24,000 | 21,327 | |
Live Nation Entertainment, Inc.(a) | ||||
10/15/2027 | 4.750% | 297,000 | 277,025 | |
NCL Corp., Ltd.(a) | ||||
02/15/2027 | 5.875% | 426,000 | 414,211 | |
Royal Caribbean Cruises Ltd.(a) | ||||
06/01/2025 | 11.500% | 700,000 | 742,105 | |
08/31/2026 | 5.500% | 410,000 | 389,032 | |
07/15/2027 | 5.375% | 180,000 | 168,764 | |
01/15/2029 | 9.250% | 145,000 | 154,627 | |
01/15/2030 | 7.250% | 1,487,000 | 1,509,033 | |
Six Flags Entertainment Corp.(a) | ||||
05/15/2031 | 7.250% | 614,000 | 597,958 | |
Viking Cruises Ltd.(a) | ||||
07/15/2031 | 9.125% | 585,000 | 591,112 | |
Total | 8,479,608 | |||
Lodging 0.2% | ||||
Hilton Domestic Operating Co., Inc.(a) | ||||
05/01/2025 | 5.375% | 310,000 | 307,203 | |
05/01/2028 | 5.750% | 140,000 | 138,036 | |
Total | 445,239 | |||
Media and Entertainment 3.0% | ||||
Clear Channel International BV(a) | ||||
08/01/2025 | 6.625% | 506,000 | 504,278 | |
Clear Channel Outdoor Holdings, Inc.(a) | ||||
04/15/2028 | 7.750% | 1,065,000 | 835,451 | |
06/01/2029 | 7.500% | 135,000 | 100,022 | |
Clear Channel Worldwide Holdings, Inc.(a) | ||||
08/15/2027 | 5.125% | 1,158,000 | 1,053,187 | |
iHeartCommunications, Inc. | ||||
05/01/2026 | 6.375% | 701,000 | 590,587 |
10 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
iHeartCommunications, Inc.(a) | ||||
08/15/2027 | 5.250% | 1,883,000 | 1,440,114 | |
Outfront Media Capital LLC/Corp.(a) | ||||
08/15/2027 | 5.000% | 239,000 | 216,872 | |
01/15/2029 | 4.250% | 278,000 | 233,675 | |
03/15/2030 | 4.625% | 877,000 | 734,498 | |
Playtika Holding Corp.(a) | ||||
03/15/2029 | 4.250% | 1,327,000 | 1,179,297 | |
Roblox Corp.(a) | ||||
05/01/2030 | 3.875% | 861,000 | 725,612 | |
Univision Communications, Inc.(a) | ||||
06/30/2030 | 7.375% | 573,000 | 546,179 | |
Total | 8,159,772 | |||
Metals and Mining 3.1% | ||||
Allegheny Technologies, Inc. | ||||
10/01/2029 | 4.875% | 212,000 | 192,049 | |
10/01/2031 | 5.125% | 886,000 | 791,022 | |
Constellium NV(a) | ||||
02/15/2026 | 5.875% | 438,000 | 431,025 | |
Constellium SE(a) | ||||
06/15/2028 | 5.625% | 303,000 | 286,146 | |
04/15/2029 | 3.750% | 2,594,000 | 2,228,687 | |
Hudbay Minerals, Inc.(a) | ||||
04/01/2026 | 4.500% | 595,000 | 553,740 | |
04/01/2029 | 6.125% | 2,376,000 | 2,188,197 | |
Kaiser Aluminum Corp.(a) | ||||
06/01/2031 | 4.500% | 325,000 | 259,625 | |
Novelis Corp.(a) | ||||
11/15/2026 | 3.250% | 421,000 | 381,482 | |
01/30/2030 | 4.750% | 1,043,000 | 927,027 | |
08/15/2031 | 3.875% | 267,000 | 220,360 | |
Total | 8,459,360 | |||
Midstream 4.9% | ||||
CNX Midstream Partners LP(a) | ||||
04/15/2030 | 4.750% | 651,000 | 550,707 | |
DCP Midstream Operating LP | ||||
04/01/2044 | 5.600% | 624,000 | 591,081 | |
Delek Logistics Partners LP/Finance Corp. | ||||
05/15/2025 | 6.750% | 885,000 | 871,364 | |
EQM Midstream Partners LP | ||||
08/01/2024 | 4.000% | 170,000 | 166,601 | |
07/15/2028 | 5.500% | 720,000 | 680,465 | |
07/15/2048 | 6.500% | 552,000 | 499,639 | |
EQM Midstream Partners LP(a) | ||||
07/01/2025 | 6.000% | 860,000 | 853,178 | |
06/01/2027 | 7.500% | 226,000 | 228,216 | |
07/01/2027 | 6.500% | 503,000 | 496,065 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Holly Energy Partners LP/Finance Corp.(a) | ||||
04/15/2027 | 6.375% | 659,000 | 652,897 | |
02/01/2028 | 5.000% | 861,000 | 803,009 | |
NuStar Logistics LP | ||||
10/01/2025 | 5.750% | 1,237,000 | 1,210,122 | |
06/01/2026 | 6.000% | 1,107,000 | 1,079,838 | |
04/28/2027 | 5.625% | 124,000 | 119,196 | |
TransMontaigne Partners LP/TLP Finance Corp. | ||||
02/15/2026 | 6.125% | 1,237,000 | 1,069,034 | |
Venture Global Calcasieu Pass LLC(a) | ||||
08/15/2029 | 3.875% | 902,000 | 787,943 | |
08/15/2031 | 4.125% | 1,415,000 | 1,218,254 | |
11/01/2033 | 3.875% | 1,599,000 | 1,314,415 | |
Total | 13,192,024 | |||
Oil Field Services 0.9% | ||||
Nabors Industries Ltd.(a) | ||||
01/15/2026 | 7.250% | 247,000 | 230,740 | |
01/15/2028 | 7.500% | 452,000 | 396,427 | |
Nabors Industries, Inc.(a) | ||||
05/15/2027 | 7.375% | 305,000 | 290,114 | |
Transocean Titan Financing Ltd.(a) | ||||
02/01/2028 | 8.375% | 801,000 | 817,626 | |
Venture Global LNG, Inc.(a) | ||||
06/01/2028 | 8.125% | 381,000 | 387,499 | |
06/01/2031 | 8.375% | 277,000 | 279,689 | |
Total | 2,402,095 | |||
Other REIT 1.6% | ||||
Blackstone Mortgage Trust, Inc.(a) | ||||
01/15/2027 | 3.750% | 869,000 | 730,417 | |
Ladder Capital Finance Holdings LLLP/Corp.(a) | ||||
10/01/2025 | 5.250% | 175,000 | 164,718 | |
02/01/2027 | 4.250% | 2,141,000 | 1,860,054 | |
06/15/2029 | 4.750% | 322,000 | 262,148 | |
Park Intermediate Holdings LLC/PK Domestic Property LLC/Finance Co-Issuer(a) | ||||
05/15/2029 | 4.875% | 501,000 | 431,945 | |
RHP Hotel Properties LP/Finance Corp.(a) | ||||
07/15/2028 | 7.250% | 167,000 | 168,710 | |
RLJ Lodging Trust LP(a) | ||||
07/01/2026 | 3.750% | 346,000 | 317,531 | |
Service Properties Trust | ||||
03/15/2024 | 4.650% | 326,000 | 320,900 | |
10/01/2024 | 4.350% | 152,000 | 146,306 | |
Total | 4,402,729 |
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2023 | 11 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Packaging 1.5% | ||||
Ardagh Metal Packaging Finance USA LLC/PLC(a) | ||||
06/15/2027 | 6.000% | 249,000 | 244,779 | |
09/01/2029 | 4.000% | 1,314,000 | 1,042,974 | |
Ardagh Packaging Finance PLC/Holdings USA, Inc.(a) | ||||
04/30/2025 | 5.250% | 368,000 | 359,933 | |
08/15/2026 | 4.125% | 641,000 | 597,306 | |
Canpack SA/US LLC(a) | ||||
11/15/2029 | 3.875% | 939,000 | 763,449 | |
Trivium Packaging Finance BV(a) | ||||
08/15/2026 | 5.500% | 623,000 | 598,023 | |
08/15/2027 | 8.500% | 530,000 | 510,361 | |
Total | 4,116,825 | |||
Pharmaceuticals 1.2% | ||||
1375209 BC Ltd.(a) | ||||
01/30/2028 | 9.000% | 84,000 | 84,209 | |
Bausch Health Companies, Inc.(a) | ||||
02/01/2027 | 6.125% | 574,000 | 367,486 | |
06/01/2028 | 4.875% | 871,000 | 518,593 | |
09/30/2028 | 11.000% | 151,000 | 107,417 | |
10/15/2030 | 14.000% | 30,000 | 17,962 | |
Endo Dac/Finance LLC/Finco, Inc.(a),(c) | ||||
06/30/2028 | 0.000% | 302,000 | 16,580 | |
Grifols Escrow Issuer SA(a) | ||||
10/15/2028 | 4.750% | 478,000 | 414,879 | |
Jazz Securities DAC(a) | ||||
01/15/2029 | 4.375% | 363,000 | 324,020 | |
Organon Finance 1 LLC(a) | ||||
04/30/2028 | 4.125% | 303,000 | 269,049 | |
04/30/2031 | 5.125% | 1,216,000 | 1,003,030 | |
Total | 3,123,225 | |||
Property & Casualty 3.5% | ||||
Alliant Holdings Intermediate LLC/Co-Issuer(a) | ||||
10/15/2027 | 4.250% | 567,000 | 519,719 | |
10/15/2027 | 6.750% | 1,234,000 | 1,160,043 | |
04/15/2028 | 6.750% | 1,213,000 | 1,196,004 | |
11/01/2029 | 5.875% | 471,000 | 415,779 | |
AssuredPartners, Inc.(a) | ||||
08/15/2025 | 7.000% | 740,000 | 730,637 | |
01/15/2029 | 5.625% | 686,000 | 594,765 | |
BroadStreet Partners, Inc.(a) | ||||
04/15/2029 | 5.875% | 1,106,000 | 959,443 | |
GTCR AP Finance, Inc.(a) | ||||
05/15/2027 | 8.000% | 186,000 | 182,310 | |
HUB International Ltd.(a) | ||||
05/01/2026 | 7.000% | 89,000 | 88,841 | |
12/01/2029 | 5.625% | 602,000 | 540,595 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
HUB International, Ltd.(a) | ||||
06/15/2030 | 7.250% | 1,769,000 | 1,826,648 | |
MGIC Investment Corp. | ||||
08/15/2028 | 5.250% | 101,000 | 95,125 | |
Radian Group, Inc. | ||||
03/15/2025 | 6.625% | 40,000 | 39,947 | |
03/15/2027 | 4.875% | 235,000 | 221,747 | |
USI, Inc.(a) | ||||
05/01/2025 | 6.875% | 738,000 | 732,735 | |
Total | 9,304,338 | |||
Restaurants 0.8% | ||||
1011778 BC ULC/New Red Finance, Inc.(a) | ||||
04/15/2025 | 5.750% | 551,000 | 550,032 | |
Fertitta Entertainment LLC/Finance Co., Inc.(a) | ||||
01/15/2029 | 4.625% | 130,000 | 114,328 | |
01/15/2030 | 6.750% | 160,000 | 135,865 | |
IRB Holding Corp.(a) | ||||
06/15/2025 | 7.000% | 650,000 | 653,250 | |
Yum! Brands, Inc. | ||||
04/01/2032 | 5.375% | 660,000 | 626,570 | |
Total | 2,080,045 | |||
Retailers 1.6% | ||||
Asbury Automotive Group, Inc.(a) | ||||
11/15/2029 | 4.625% | 201,000 | 178,905 | |
02/15/2032 | 5.000% | 201,000 | 175,616 | |
Group 1 Automotive, Inc.(a) | ||||
08/15/2028 | 4.000% | 440,000 | 386,864 | |
Hanesbrands, Inc.(a) | ||||
05/15/2026 | 4.875% | 140,000 | 130,695 | |
02/15/2031 | 9.000% | 288,000 | 290,177 | |
L Brands, Inc.(a) | ||||
07/01/2025 | 9.375% | 200,000 | 212,131 | |
10/01/2030 | 6.625% | 719,000 | 694,717 | |
L Brands, Inc. | ||||
06/15/2029 | 7.500% | 145,000 | 146,997 | |
LCM Investments Holdings II LLC(a) | ||||
05/01/2029 | 4.875% | 814,000 | 698,516 | |
Lithia Motors, Inc.(a) | ||||
01/15/2031 | 4.375% | 325,000 | 280,554 | |
PetSmart, Inc./Finance Corp.(a) | ||||
02/15/2028 | 4.750% | 992,000 | 918,659 | |
Wolverine World Wide, Inc.(a) | ||||
08/15/2029 | 4.000% | 357,000 | 284,269 | |
Total | 4,398,100 |
12 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Supermarkets 0.2% | ||||
Albertsons Companies LLC/Safeway, Inc./New Albertsons LP/Albertsons LLC(a) | ||||
02/15/2028 | 6.500% | 415,000 | 415,654 | |
SEG Holding LLC/Finance Corp.(a) | ||||
10/15/2028 | 5.625% | 169,000 | 160,910 | |
Total | 576,564 | |||
Technology 8.5% | ||||
Black Knight InfoServ LLC(a) | ||||
09/01/2028 | 3.625% | 1,480,000 | 1,329,429 | |
Block, Inc. | ||||
06/01/2031 | 3.500% | 318,000 | 263,743 | |
Boxer Parent Co., Inc.(a) | ||||
10/02/2025 | 7.125% | 212,000 | 211,842 | |
03/01/2026 | 9.125% | 129,000 | 128,697 | |
Camelot Finance SA(a) | ||||
11/01/2026 | 4.500% | 501,000 | 472,536 | |
Clarivate Science Holdings Corp.(a) | ||||
07/01/2028 | 3.875% | 811,000 | 717,130 | |
07/01/2029 | 4.875% | 963,000 | 854,323 | |
Cloud Software Group, Inc.(a) | ||||
09/30/2029 | 9.000% | 904,000 | 790,114 | |
Condor Merger Sub, Inc.(a) | ||||
02/15/2030 | 7.375% | 628,000 | 545,964 | |
Entegris Escrow Corp.(a) | ||||
04/15/2029 | 4.750% | 701,000 | 650,947 | |
06/15/2030 | 5.950% | 787,000 | 755,318 | |
Gartner, Inc.(a) | ||||
07/01/2028 | 4.500% | 637,000 | 597,116 | |
06/15/2029 | 3.625% | 304,000 | 268,083 | |
HealthEquity, Inc.(a) | ||||
10/01/2029 | 4.500% | 823,000 | 727,926 | |
Helios Software Holdings, Inc.(a) | ||||
05/01/2028 | 4.625% | 765,000 | 655,802 | |
ION Trading Technologies Sarl(a) | ||||
05/15/2028 | 5.750% | 798,000 | 688,344 | |
Iron Mountain, Inc.(a) | ||||
09/15/2027 | 4.875% | 912,000 | 861,014 | |
Logan Merger Sub, Inc.(a) | ||||
09/01/2027 | 5.500% | 1,684,000 | 939,987 | |
Minerva Merger Sub, Inc.(a) | ||||
02/15/2030 | 6.500% | 1,223,000 | 1,028,634 | |
NCR Corp.(a) | ||||
10/01/2028 | 5.000% | 716,000 | 640,476 | |
04/15/2029 | 5.125% | 1,761,000 | 1,559,060 | |
10/01/2030 | 5.250% | 46,000 | 40,067 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Neptune Bidco US, Inc.(a) | ||||
04/15/2029 | 9.290% | 952,000 | 874,233 | |
Picard Midco, Inc.(a) | ||||
03/31/2029 | 6.500% | 1,443,000 | 1,282,679 | |
PTC, Inc.(a) | ||||
02/15/2025 | 3.625% | 178,000 | 172,045 | |
02/15/2028 | 4.000% | 256,000 | 237,189 | |
Seagate HDD Cayman(a) | ||||
12/15/2029 | 8.250% | 311,000 | 324,955 | |
07/15/2031 | 8.500% | 346,000 | 363,089 | |
Sensata Technologies BV(a) | ||||
09/01/2030 | 5.875% | 503,000 | 489,186 | |
Shift4 Payments LLC/Finance Sub, Inc.(a) | ||||
11/01/2026 | 4.625% | 1,177,000 | 1,110,375 | |
Synaptics, Inc.(a) | ||||
06/15/2029 | 4.000% | 635,000 | 537,320 | |
Tempo Acquisition LLC/Finance Corp.(a) | ||||
06/01/2025 | 5.750% | 344,000 | 343,634 | |
Verscend Escrow Corp.(a) | ||||
08/15/2026 | 9.750% | 1,020,000 | 1,021,177 | |
ZoomInfo Technologies LLC/Finance Corp.(a) | ||||
02/01/2029 | 3.875% | 1,627,000 | 1,399,133 | |
Total | 22,881,567 | |||
Wireless 2.5% | ||||
Altice France Holding SA(a) | ||||
02/15/2028 | 6.000% | 687,000 | 334,741 | |
Altice France SA(a) | ||||
02/01/2027 | 8.125% | 847,000 | 733,273 | |
07/15/2029 | 5.125% | 1,760,000 | 1,249,432 | |
SBA Communications Corp. | ||||
02/01/2029 | 3.125% | 785,000 | 665,583 | |
Sprint Capital Corp. | ||||
11/15/2028 | 6.875% | 1,336,000 | 1,416,632 | |
Vmed O2 UK Financing I PLC(a) | ||||
01/31/2031 | 4.250% | 1,539,000 | 1,245,935 | |
07/15/2031 | 4.750% | 1,182,000 | 984,785 | |
Total | 6,630,381 | |||
Wirelines 1.6% | ||||
CenturyLink, Inc.(a) | ||||
02/15/2027 | 4.000% | 330,000 | 246,534 | |
Frontier Communications Holdings LLC(a) | ||||
05/15/2030 | 8.750% | 597,000 | 583,323 | |
03/15/2031 | 8.625% | 613,000 | 593,188 |
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2023 | 13 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Iliad Holding SAS(a) | ||||
10/15/2026 | 6.500% | 1,931,000 | 1,823,119 | |
10/15/2028 | 7.000% | 1,173,000 | 1,082,355 | |
Total | 4,328,519 | |||
Total Corporate Bonds & Notes (Cost $265,570,317) | 245,579,953 | |||
Foreign Government Obligations(d) 0.6% | ||||
Canada 0.6% | ||||
NOVA Chemicals Corp.(a) | ||||
06/01/2027 | 5.250% | 1,514,000 | 1,349,213 | |
05/15/2029 | 4.250% | 225,000 | 183,576 | |
Total | 1,532,789 | |||
Total Foreign Government Obligations (Cost $1,720,335) | 1,532,789 | |||
Senior Loans 3.2% | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Consumer Cyclical Services 0.5% | ||||
8th Avenue Food & Provisions, Inc.(e),(f) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 3.750% 10/01/2025 | 8.967% | 1,121,267 | 1,027,159 | |
2nd Lien Term Loan | ||||
1-month USD LIBOR + 7.750% 10/01/2026 | 12.967% | 752,935 | 494,679 | |
Total | 1,521,838 | |||
Health Care 0.2% | ||||
Surgery Center Holdings, Inc.(e),(f) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.750% Floor 0.750% 08/31/2026 | 8.896% | 573,536 | 572,429 | |
Media and Entertainment 1.3% | ||||
Cengage Learning, Inc.(e),(f) | ||||
Tranche B 1st Lien Term Loan | ||||
3-month USD LIBOR + 4.750% Floor 1.000% 07/14/2026 | 9.880% | 3,540,374 | 3,464,256 | |
Technology 1.2% | ||||
Applied Systems, Inc.(e),(f) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 4.500% Floor 0.500% 09/18/2026 | 9.742% | 382,271 | 382,630 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Ascend Learning LLC(e),(f),(g) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 3.500% Floor 0.500% 12/11/2028 | 8.702% | 761,225 | 714,006 | |
Ascend Learning LLC(e),(f) | ||||
2nd Lien Term Loan | ||||
1-month Term SOFR + 5.750% Floor 0.500% 12/10/2029 | 10.952% | 348,000 | 294,349 | |
DCert Buyer, Inc.(e),(f) | ||||
2nd Lien Term Loan | ||||
1-month USD LIBOR + 7.000% 02/19/2029 | 12.264% | 478,000 | 435,778 | |
UKG, Inc.(e),(f) | ||||
1st Lien Term Loan | ||||
3-month Term SOFR + 3.250% Floor 0.500% 05/04/2026 | 8.271% | 345,805 | 338,996 | |
3-month USD LIBOR + 3.750% 05/04/2026 | 8.895% | 421,575 | 415,412 | |
2nd Lien Term Loan | ||||
3-month Term SOFR + 5.250% Floor 0.500% 05/03/2027 | 10.271% | 677,000 | 654,754 | |
Total | 3,235,925 | |||
Total Senior Loans (Cost $9,183,467) | 8,794,448 |
Money Market Funds 2.8% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(h),(i) | 7,520,533 | 7,517,524 |
Total Money Market Funds (Cost $7,517,072) | 7,517,524 | |
Total Investments in Securities (Cost: $287,906,054) | 265,811,994 | |
Other Assets & Liabilities, Net | 3,423,961 | |
Net Assets | 269,235,955 |
14 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2023 |
June 30, 2023 (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, 2023, the total value of these securities amounted to $210,126,568, which represents 78.05% 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 security in default. |
(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, 2023 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, 2023. |
(g) | Represents a security purchased on a forward commitment basis. |
(h) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
(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, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | ||||||||
8,808,317 | 25,079,360 | (26,369,735) | (418) | 7,517,524 | (1,317) | 243,765 | 7,520,533 |
LIBOR | London Interbank Offered Rate |
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 – High Yield Bond Fund | Semiannual Report 2023 | 15 |
June 30, 2023 (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 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. Representatives of Columbia Management Investment Advisers, LLC report to 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 | ||||
Convertible Bonds | — | 2,387,280 | — | 2,387,280 |
Corporate Bonds & Notes | — | 245,579,953 | — | 245,579,953 |
Foreign Government Obligations | — | 1,532,789 | — | 1,532,789 |
Senior Loans | — | 8,794,448 | — | 8,794,448 |
Money Market Funds | 7,517,524 | — | — | 7,517,524 |
Total Investments in Securities | 7,517,524 | 258,294,470 | — | 265,811,994 |
16 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $280,388,982) | $258,294,470 |
Affiliated issuers (cost $7,517,072) | 7,517,524 |
Cash | 22,266 |
Receivable for: | |
Investments sold | 34,998 |
Capital shares sold | 160,504 |
Dividends | 40,014 |
Interest | 4,167,698 |
Foreign tax reclaims | 3,978 |
Expense reimbursement due from Investment Manager | 1,006 |
Prepaid expenses | 4,565 |
Total assets | 270,247,023 |
Liabilities | |
Payable for: | |
Investments purchased | 648,395 |
Investments purchased on a delayed delivery basis | 167,888 |
Capital shares redeemed | 46,756 |
Management services fees | 4,848 |
Distribution and/or service fees | 1,172 |
Service fees | 22,582 |
Compensation of board members | 87,245 |
Compensation of chief compliance officer | 26 |
Other expenses | 32,156 |
Total liabilities | 1,011,068 |
Net assets applicable to outstanding capital stock | $269,235,955 |
Represented by | |
Paid in capital | 281,821,884 |
Total distributable earnings (loss) | (12,585,929) |
Total - representing net assets applicable to outstanding capital stock | $269,235,955 |
Class 1 | |
Net assets | $2,859,799 |
Shares outstanding | 473,452 |
Net asset value per share | $6.04 |
Class 2 | |
Net assets | $76,675,408 |
Shares outstanding | 12,858,455 |
Net asset value per share | $5.96 |
Class 3 | |
Net assets | $189,700,748 |
Shares outstanding | 31,524,820 |
Net asset value per share | $6.02 |
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2023 | 17 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — affiliated issuers | $243,765 |
Interest | 8,440,681 |
Interfund lending | 27 |
Total income | 8,684,473 |
Expenses: | |
Management services fees | 884,872 |
Distribution and/or service fees | |
Class 2 | 92,704 |
Class 3 | 119,897 |
Service fees | 95,190 |
Compensation of board members | 8,966 |
Custodian fees | 4,382 |
Printing and postage fees | 13,510 |
Accounting services fees | 20,145 |
Legal fees | 7,691 |
Compensation of chief compliance officer | 26 |
Other | 4,962 |
Total expenses | 1,252,345 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (162,726) |
Total net expenses | 1,089,619 |
Net investment income | 7,594,854 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (3,283,101) |
Investments — affiliated issuers | (1,317) |
Net realized loss | (3,284,418) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 8,401,488 |
Investments — affiliated issuers | (418) |
Net change in unrealized appreciation (depreciation) | 8,401,070 |
Net realized and unrealized gain | 5,116,652 |
Net increase in net assets resulting from operations | $12,711,506 |
18 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment income | $7,594,854 | $14,274,196 |
Net realized loss | (3,284,418) | (8,642,712) |
Net change in unrealized appreciation (depreciation) | 8,401,070 | (40,645,117) |
Net increase (decrease) in net assets resulting from operations | 12,711,506 | (35,013,633) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | — | (113,321) |
Class 2 | — | (4,354,480) |
Class 3 | — | (12,119,118) |
Total distributions to shareholders | — | (16,586,919) |
Decrease in net assets from capital stock activity | (9,030,255) | (13,833,790) |
Total increase (decrease) in net assets | 3,681,251 | (65,434,342) |
Net assets at beginning of period | 265,554,704 | 330,989,046 |
Net assets at end of period | $269,235,955 | $265,554,704 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Shares sold | 79,257 | 471,723 | 207,094 | 1,272,766 |
Distributions reinvested | — | — | 19,305 | 113,321 |
Shares redeemed | (7,750) | (45,949) | (21,457) | (133,155) |
Net increase | 71,507 | 425,774 | 204,942 | 1,252,932 |
Class 2 | ||||
Shares sold | 841,044 | 4,960,489 | 5,238,813 | 32,291,853 |
Distributions reinvested | — | — | 749,480 | 4,354,480 |
Shares redeemed | (623,412) | (3,666,878) | (6,045,771) | (36,963,368) |
Net increase (decrease) | 217,632 | 1,293,611 | (57,478) | (317,035) |
Class 3 | ||||
Shares sold | 56,014 | 335,285 | 64,495 | 391,004 |
Distributions reinvested | — | — | 2,071,644 | 12,119,117 |
Shares redeemed | (1,869,739) | (11,084,925) | (4,483,278) | (27,279,808) |
Net decrease | (1,813,725) | (10,749,640) | (2,347,139) | (14,769,687) |
Total net decrease | (1,524,586) | (9,030,255) | (2,199,675) | (13,833,790) |
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2023 | 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 6/30/2023 (Unaudited) | $5.76 | 0.17 | 0.11 | 0.28 | — | — | — |
Year Ended 12/31/2022 | $6.85 | 0.31 | (1.03) | (0.72) | (0.33) | (0.04) | (0.37) |
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) |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $5.69 | 0.16 | 0.11 | 0.27 | — | — | — |
Year Ended 12/31/2022 | $6.77 | 0.29 | (1.01) | (0.72) | (0.32) | (0.04) | (0.36) |
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) |
Class 3 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $5.74 | 0.17 | 0.11 | 0.28 | — | — | — |
Year Ended 12/31/2022 | $6.83 | 0.30 | (1.02) | (0.72) | (0.33) | (0.04) | (0.37) |
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) |
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. |
20 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2023 |
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 6/30/2023 (Unaudited) | $6.04 | 4.86% | 0.78% | 0.65% | 5.83% | 14% | $2,860 |
Year Ended 12/31/2022 | $5.76 | (10.54%) | 0.78% | 0.66% | 5.21% | 40% | $2,314 |
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 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $5.96 | 4.75% | 1.02% | 0.90% | 5.57% | 14% | $76,675 |
Year Ended 12/31/2022 | $5.69 | (10.78%) | 1.02% | 0.91% | 4.87% | 40% | $71,928 |
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 |
Class 3 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $6.02 | 4.88% | 0.90% | 0.78% | 5.69% | 14% | $189,701 |
Year Ended 12/31/2022 | $5.74 | (10.70%) | 0.90% | 0.79% | 4.99% | 40% | $191,313 |
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% | $279,157 |
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2023 | 21 |
June 30, 2023 (Unaudited)
22 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2023 | 23 |
June 30, 2023 (Unaudited)
24 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2023 | 25 |
June 30, 2023 (Unaudited)
May 1, 2023 through April 30, 2024 | Prior to May 1, 2023 | |
Class 1 | 0.64% | 0.66% |
Class 2 | 0.89 | 0.91 |
Class 3 | 0.765 | 0.785 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
287,906,000 | 1,041,000 | (23,135,000) | (22,094,000) |
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
(3,958,924) | (4,890,024) | (8,848,948) |
26 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 200,000 | 4.85 | 1 |
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2023 | 27 |
June 30, 2023 (Unaudited)
28 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2023 | 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 2023 |
(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 one or more 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 – High Yield Bond Fund | Semiannual Report 2023 | 31 |
(Unaudited)
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
32 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2023 |
(Unaudited)
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 2023 | 33 |
June 30, 2023 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | 30.30 | 27.08 | 13.52 | 14.55 | |
Class 2 | 05/03/10 | 30.12 | 26.76 | 13.23 | 14.27 | |
Class 3 | 09/15/99 | 30.20 | 26.94 | 13.38 | 14.40 | |
Russell 1000 Growth Index | 29.02 | 27.11 | 15.14 | 15.74 |
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2023) | |
Common Stocks | 99.7 |
Money Market Funds | 0.3 |
Total | 100.0 |
Equity sector breakdown (%) (at June 30, 2023) | |
Communication Services | 9.8 |
Consumer Discretionary | 12.6 |
Consumer Staples | 5.2 |
Financials | 6.2 |
Health Care | 14.9 |
Industrials | 6.6 |
Information Technology | 42.4 |
Real Estate | 2.3 |
Total | 100.0 |
Equity sub-industry breakdown (%) (at June 30, 2023) | |
Information Technology | |
Application Software | 4.3 |
Electronic Manufacturing Services | 1.5 |
Semiconductors | 11.1 |
Systems Software | 14.6 |
Technology Hardware, Storage & Peripherals | 10.9 |
Total | 42.4 |
4 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | |||||||
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 | 1,303.00 | 1,021.39 | 4.08 | 3.58 | 0.71 |
Class 2 | 1,000.00 | 1,000.00 | 1,301.20 | 1,020.14 | 5.51 | 4.84 | 0.96 |
Class 3 | 1,000.00 | 1,000.00 | 1,302.00 | 1,020.74 | 4.82 | 4.23 | 0.84 |
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (Unaudited)
Common Stocks 100.0% | ||
Issuer | Shares | Value ($) |
Communication Services 9.8% | ||
Entertainment 1.1% | ||
Activision Blizzard, Inc.(a) | 313,976 | 26,468,177 |
Interactive Media & Services 8.7% | ||
Alphabet, Inc., Class A(a) | 568,602 | 68,061,659 |
Alphabet, Inc., Class C(a) | 764,869 | 92,526,203 |
Meta Platforms, Inc., Class A(a) | 142,990 | 41,035,270 |
Total | 201,623,132 | |
Total Communication Services | 228,091,309 | |
Consumer Discretionary 12.6% | ||
Automobiles 1.7% | ||
Tesla, Inc.(a) | 153,943 | 40,297,659 |
Broadline Retail 6.2% | ||
Amazon.com, Inc.(a) | 1,098,780 | 143,236,961 |
Hotels, Restaurants & Leisure 3.1% | ||
Hilton Worldwide Holdings, Inc. | 257,189 | 37,433,859 |
Starbucks Corp. | 357,356 | 35,399,685 |
Total | 72,833,544 | |
Textiles, Apparel & Luxury Goods 1.6% | ||
NIKE, Inc., Class B | 337,166 | 37,213,012 |
Total Consumer Discretionary | 293,581,176 | |
Consumer Staples 5.2% | ||
Beverages 1.5% | ||
Coca-Cola Co. (The) | 602,155 | 36,261,774 |
Consumer Staples Distribution & Retail 2.3% | ||
Costco Wholesale Corp. | 99,282 | 53,451,443 |
Household Products 1.4% | ||
Procter & Gamble Co. (The) | 209,563 | 31,799,090 |
Total Consumer Staples | 121,512,307 | |
Financials 6.2% | ||
Capital Markets 1.9% | ||
S&P Global, Inc. | 111,462 | 44,684,001 |
Financial Services 4.3% | ||
Visa, Inc., Class A | 421,134 | 100,010,903 |
Total Financials | 144,694,904 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Health Care 14.9% | ||
Biotechnology 3.4% | ||
Alnylam Pharmaceuticals, Inc.(a) | 80,828 | 15,352,470 |
BioMarin Pharmaceutical, Inc.(a) | 145,614 | 12,621,821 |
Exact Sciences Corp.(a) | 277,843 | 26,089,458 |
Vertex Pharmaceuticals, Inc.(a) | 70,036 | 24,646,369 |
Total | 78,710,118 | |
Health Care Equipment & Supplies 5.2% | ||
Boston Scientific Corp.(a) | 581,968 | 31,478,649 |
DexCom, Inc.(a) | 284,065 | 36,505,193 |
Intuitive Surgical, Inc.(a) | 154,466 | 52,818,104 |
Total | 120,801,946 | |
Health Care Providers & Services 1.3% | ||
Cigna Group (The) | 106,531 | 29,892,599 |
Life Sciences Tools & Services 0.6% | ||
Bio-Techne Corp. | 190,507 | 15,551,087 |
Pharmaceuticals 4.4% | ||
Eli Lilly & Co. | 141,851 | 66,525,282 |
Zoetis, Inc. | 209,596 | 36,094,527 |
Total | 102,619,809 | |
Total Health Care | 347,575,559 | |
Industrials 6.6% | ||
Commercial Services & Supplies 1.3% | ||
Cintas Corp. | 63,380 | 31,504,930 |
Construction & Engineering 1.3% | ||
MasTec, Inc.(a) | 262,565 | 30,974,793 |
Electrical Equipment 2.6% | ||
AMETEK, Inc. | 174,128 | 28,187,840 |
Eaton Corp. PLC | 158,687 | 31,911,956 |
Total | 60,099,796 | |
Industrial Conglomerates 1.4% | ||
Honeywell International, Inc. | 152,997 | 31,746,878 |
Total Industrials | 154,326,397 |
6 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Information Technology 42.4% | ||
Electronic Equipment, Instruments & Components 1.5% | ||
TE Connectivity Ltd. | 255,699 | 35,838,772 |
Semiconductors & Semiconductor Equipment 11.1% | ||
Advanced Micro Devices, Inc.(a) | 291,736 | 33,231,648 |
Broadcom, Inc. | 72,621 | 62,993,634 |
NVIDIA Corp. | 294,763 | 124,690,644 |
QUALCOMM, Inc. | 319,960 | 38,088,039 |
Total | 259,003,965 | |
Software 18.9% | ||
Adobe, Inc.(a) | 142,128 | 69,499,171 |
Dynatrace, Inc.(a) | 606,311 | 31,206,827 |
Microsoft Corp. | 696,484 | 237,180,661 |
Palo Alto Networks, Inc.(a) | 182,181 | 46,549,067 |
ServiceNow, Inc.(a) | 101,271 | 56,911,264 |
Total | 441,346,990 | |
Technology Hardware, Storage & Peripherals 10.9% | ||
Apple, Inc. | 1,304,054 | 252,947,354 |
Total Information Technology | 989,137,081 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Real Estate 2.3% | ||
Industrial REITs 1.0% | ||
Prologis, Inc. | 186,871 | 22,915,991 |
Specialized REITs 1.3% | ||
Equinix, Inc. | 41,057 | 32,186,224 |
Total Real Estate | 55,102,215 | |
Total Common Stocks (Cost $1,384,240,525) | 2,334,020,948 | |
Money Market Funds 0.3% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(b),(c) | 6,419,797 | 6,417,229 |
Total Money Market Funds (Cost $6,416,874) | 6,417,229 | |
Total Investments in Securities (Cost: $1,390,657,399) | 2,340,438,177 | |
Other Assets & Liabilities, Net | (6,555,304) | |
Net Assets | 2,333,882,873 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | ||||||||
51,483,773 | 189,865,557 | (234,927,327) | (4,774) | 6,417,229 | (810) | 705,945 | 6,419,797 |
■ | 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.). |
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2023 | 7 |
June 30, 2023 (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 | 228,091,309 | — | — | 228,091,309 |
Consumer Discretionary | 293,581,176 | — | — | 293,581,176 |
Consumer Staples | 121,512,307 | — | — | 121,512,307 |
Financials | 144,694,904 | — | — | 144,694,904 |
Health Care | 347,575,559 | — | — | 347,575,559 |
Industrials | 154,326,397 | — | — | 154,326,397 |
Information Technology | 989,137,081 | — | — | 989,137,081 |
Real Estate | 55,102,215 | — | — | 55,102,215 |
Total Common Stocks | 2,334,020,948 | — | — | 2,334,020,948 |
Money Market Funds | 6,417,229 | — | — | 6,417,229 |
Total Investments in Securities | 2,340,438,177 | — | — | 2,340,438,177 |
8 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,384,240,525) | $2,334,020,948 |
Affiliated issuers (cost $6,416,874) | 6,417,229 |
Receivable for: | |
Capital shares sold | 421,826 |
Dividends | 532,535 |
Expense reimbursement due from Investment Manager | 969 |
Prepaid expenses | 11,970 |
Total assets | 2,341,405,477 |
Liabilities | |
Payable for: | |
Capital shares redeemed | 7,149,906 |
Management services fees | 43,429 |
Distribution and/or service fees | 2,029 |
Service fees | 53,459 |
Compensation of board members | 242,759 |
Compensation of chief compliance officer | 204 |
Other expenses | 30,818 |
Total liabilities | 7,522,604 |
Net assets applicable to outstanding capital stock | $2,333,882,873 |
Represented by | |
Trust capital | $2,333,882,873 |
Total - representing net assets applicable to outstanding capital stock | $2,333,882,873 |
Class 1 | |
Net assets | $1,909,138,058 |
Shares outstanding | 56,270,307 |
Net asset value per share | $33.93 |
Class 2 | |
Net assets | $176,872,330 |
Shares outstanding | 5,388,067 |
Net asset value per share | $32.83 |
Class 3 | |
Net assets | $247,872,485 |
Shares outstanding | 7,419,932 |
Net asset value per share | $33.41 |
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2023 | 9 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $8,373,007 |
Dividends — affiliated issuers | 705,945 |
Total income | 9,078,952 |
Expenses: | |
Management services fees | 7,363,610 |
Distribution and/or service fees | |
Class 2 | 194,853 |
Class 3 | 136,345 |
Service fees | 233,321 |
Compensation of board members | 19,241 |
Custodian fees | 6,170 |
Printing and postage fees | 11,389 |
Accounting services fees | 15,045 |
Legal fees | 19,733 |
Compensation of chief compliance officer | 197 |
Other | 17,965 |
Total expenses | 8,017,869 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (62,903) |
Total net expenses | 7,954,966 |
Net investment income | 1,123,986 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 40,514,271 |
Investments — affiliated issuers | (810) |
Net realized gain | 40,513,461 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 529,828,350 |
Investments — affiliated issuers | (4,774) |
Net change in unrealized appreciation (depreciation) | 529,823,576 |
Net realized and unrealized gain | 570,337,037 |
Net increase in net assets resulting from operations | $571,461,023 |
10 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment income | $1,123,986 | $2,418,192 |
Net realized gain (loss) | 40,513,461 | (57,760,710) |
Net change in unrealized appreciation (depreciation) | 529,823,576 | (814,166,429) |
Net increase (decrease) in net assets resulting from operations | 571,461,023 | (869,508,947) |
Increase (decrease) in net assets from capital stock activity | (200,666,057) | 97,785,079 |
Total increase (decrease) in net assets | 370,794,966 | (771,723,868) |
Net assets at beginning of period | 1,963,087,907 | 2,734,811,775 |
Net assets at end of period | $2,333,882,873 | $1,963,087,907 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Shares sold | 170,682 | 5,006,374 | 7,516,629 | 218,725,533 |
Shares redeemed | (6,263,301) | (191,000,274) | (3,275,553) | (93,546,436) |
Net increase (decrease) | (6,092,619) | (185,993,900) | 4,241,076 | 125,179,097 |
Class 2 | ||||
Shares sold | 288,208 | 8,364,857 | 814,666 | 23,258,825 |
Shares redeemed | (453,172) | (13,371,004) | (726,188) | (21,027,671) |
Net increase (decrease) | (164,964) | (5,006,147) | 88,478 | 2,231,154 |
Class 3 | ||||
Shares sold | 35,687 | 1,101,643 | 40,178 | 1,158,546 |
Shares redeemed | (371,378) | (10,767,653) | (1,041,187) | (30,783,718) |
Net decrease | (335,691) | (9,666,010) | (1,001,009) | (29,625,172) |
Total net increase (decrease) | (6,593,274) | (200,666,057) | 3,328,545 | 97,785,079 |
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2023 | 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 6/30/2023 (Unaudited) | $26.04 | 0.02 | 7.87 | 7.89 |
Year Ended 12/31/2022 | $37.95 | 0.04 | (11.95) | (11.91) |
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) |
Class 2 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $25.23 | (0.02) | 7.62 | 7.60 |
Year Ended 12/31/2022 | $36.85 | (0.03) | (11.59) | (11.62) |
Year Ended 12/31/2021 | $28.71 | (0.07) | 8.21 | 8.14 |
Year Ended 12/31/2020 | $21.36 | 0.00(d) | 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) |
Class 3 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $25.66 | 0.00(d) | 7.75 | 7.75 |
Year Ended 12/31/2022 | $37.43 | 0.00(d) | (11.77) | (11.77) |
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) |
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) | Ratios include interfund lending expense which is less than 0.01%. |
(d) | Rounds to zero. |
12 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2023 |
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 6/30/2023 (Unaudited) | $33.93 | 30.30% | 0.72% | 0.71% | 0.14% | 25% | $1,909,138 |
Year Ended 12/31/2022 | $26.04 | (31.38%) | 0.72% | 0.72% | 0.15% | 46% | $1,624,014 |
Year Ended 12/31/2021 | $37.95 | 28.73% | 0.71%(c) | 0.71%(c) | 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 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $32.83 | 30.12% | 0.97% | 0.96% | (0.11%) | 25% | $176,872 |
Year Ended 12/31/2022 | $25.23 | (31.53%) | 0.97% | 0.97% | (0.12%) | 46% | $140,088 |
Year Ended 12/31/2021 | $36.85 | 28.35% | 0.96%(c) | 0.96%(c) | (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 |
Class 3 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $33.41 | 30.20% | 0.85% | 0.84% | 0.01% | 25% | $247,872 |
Year Ended 12/31/2022 | $25.66 | (31.44%) | 0.85% | 0.85% | 0.00%(d) | 46% | $198,985 |
Year Ended 12/31/2021 | $37.43 | 28.54% | 0.83%(c) | 0.83%(c) | (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 |
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2023 | 13 |
June 30, 2023 (Unaudited)
14 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2023 | 15 |
June 30, 2023 (Unaudited)
16 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
May 1, 2023 through April 30, 2024 | Prior to May 1, 2023 | |
Class 1 | 0.70% | 0.75% |
Class 2 | 0.95 | 1.00 |
Class 3 | 0.825 | 0.875 |
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2023 | 17 |
June 30, 2023 (Unaudited)
18 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2023 | 19 |
June 30, 2023 (Unaudited)
20 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2023 |
• | 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 2023 | 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 one or more 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 2023 |
(Unaudited)
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2023 | 23 |
(Unaudited)
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 2023 |
June 30, 2023 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | 0.03 | 5.84 | 8.22 | 8.70 | |
Class 2 | 05/03/10 | -0.08 | 5.58 | 7.96 | 8.43 | |
Class 3 | 09/15/99 | -0.03 | 5.73 | 8.09 | 8.57 | |
MSCI USA High Dividend Yield Index (Net) | 0.27 | 5.37 | 6.76 | 8.95 | ||
Russell 1000 Value Index | 5.12 | 11.54 | 8.11 | 9.22 |
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2023) | |
Common Stocks | 97.2 |
Convertible Preferred Stocks | 1.8 |
Money Market Funds | 1.0 |
Total | 100.0 |
Equity sector breakdown (%) (at June 30, 2023) | |
Communication Services | 4.2 |
Consumer Discretionary | 4.9 |
Consumer Staples | 13.7 |
Energy | 10.7 |
Financials | 18.5 |
Health Care | 15.9 |
Industrials | 5.9 |
Information Technology | 10.3 |
Materials | 1.3 |
Real Estate | 7.3 |
Utilities | 7.3 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | |||||||
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 | 1,000.30 | 1,021.59 | 3.34 | 3.38 | 0.67 |
Class 2 | 1,000.00 | 1,000.00 | 999.20 | 1,020.34 | 4.59 | 4.63 | 0.92 |
Class 3 | 1,000.00 | 1,000.00 | 999.70 | 1,020.99 | 3.94 | 3.98 | 0.79 |
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (Unaudited)
Common Stocks 96.5% | ||
Issuer | Shares | Value ($) |
Communication Services 4.1% | ||
Diversified Telecommunication Services 2.1% | ||
AT&T, Inc. | 750,000 | 11,962,500 |
Verizon Communications, Inc. | 175,000 | 6,508,250 |
Total | 18,470,750 | |
Media 2.0% | ||
Comcast Corp., Class A | 425,000 | 17,658,750 |
Total Communication Services | 36,129,500 | |
Consumer Discretionary 4.8% | ||
Automobiles 0.6% | ||
Ford Motor Co. | 350,000 | 5,295,500 |
Broadline Retail 0.5% | ||
Macy’s, Inc. | 267,500 | 4,293,375 |
Hotels, Restaurants & Leisure 1.1% | ||
Darden Restaurants, Inc. | 30,000 | 5,012,400 |
Restaurant Brands International, Inc. | 60,000 | 4,651,200 |
Total | 9,663,600 | |
Specialty Retail 2.1% | ||
Home Depot, Inc. (The) | 60,000 | 18,638,400 |
Textiles, Apparel & Luxury Goods 0.5% | ||
Tapestry, Inc. | 101,000 | 4,322,800 |
Total Consumer Discretionary | 42,213,675 | |
Consumer Staples 13.5% | ||
Beverages 5.0% | ||
Coca-Cola Co. (The) | 361,100 | 21,745,442 |
PepsiCo, Inc. | 117,500 | 21,763,350 |
Total | 43,508,792 | |
Consumer Staples Distribution & Retail 0.4% | ||
Target Corp. | 27,500 | 3,627,250 |
Food Products 1.7% | ||
Bunge Ltd. | 47,500 | 4,481,625 |
JM Smucker Co. (The) | 27,500 | 4,060,925 |
Kraft Heinz Co. (The) | 169,400 | 6,013,700 |
Total | 14,556,250 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Household Products 3.6% | ||
Procter & Gamble Co. (The) | 210,000 | 31,865,400 |
Personal Care Products 0.3% | ||
Kenvue, Inc.(a) | 105,201 | 2,779,411 |
Tobacco 2.5% | ||
Altria Group, Inc. | 146,000 | 6,613,800 |
Philip Morris International, Inc. | 157,500 | 15,375,150 |
Total | 21,988,950 | |
Total Consumer Staples | 118,326,053 | |
Energy 10.5% | ||
Oil, Gas & Consumable Fuels 10.5% | ||
Chesapeake Energy Corp. | 55,000 | 4,602,400 |
Chevron Corp. | 140,000 | 22,029,000 |
ConocoPhillips Co. | 104,000 | 10,775,440 |
Exxon Mobil Corp. | 385,000 | 41,291,250 |
Valero Energy Corp. | 57,500 | 6,744,750 |
Williams Companies, Inc. (The) | 208,500 | 6,803,355 |
Total | 92,246,195 | |
Total Energy | 92,246,195 | |
Financials 18.1% | ||
Banks 10.2% | ||
Bank of America Corp. | 600,000 | 17,214,000 |
JPMorgan Chase & Co. | 240,000 | 34,905,600 |
M&T Bank Corp. | 52,500 | 6,497,400 |
New York Community Bancorp, Inc. | 450,000 | 5,058,000 |
PNC Financial Services Group, Inc. (The) | 55,000 | 6,927,250 |
Wells Fargo & Co. | 450,000 | 19,206,000 |
Total | 89,808,250 | |
Capital Markets 6.4% | ||
Ares Capital Corp. | 236,000 | 4,434,440 |
BlackRock, Inc. | 12,700 | 8,777,478 |
Blackstone, Inc. | 100,000 | 9,297,000 |
Carlyle Group, Inc. (The) | 165,000 | 5,271,750 |
CME Group, Inc. | 35,000 | 6,485,150 |
6 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Morgan Stanley | 175,000 | 14,945,000 |
State Street Corp. | 92,500 | 6,769,150 |
Total | 55,979,968 | |
Insurance 1.0% | ||
MetLife, Inc. | 160,000 | 9,044,800 |
Mortgage Real Estate Investment Trusts (REITS) 0.5% | ||
Starwood Property Trust, Inc. | 227,500 | 4,413,500 |
Total Financials | 159,246,518 | |
Health Care 15.6% | ||
Biotechnology 3.8% | ||
AbbVie, Inc. | 167,500 | 22,567,275 |
Amgen, Inc. | 47,500 | 10,545,950 |
Total | 33,113,225 | |
Health Care Equipment & Supplies 2.3% | ||
Baxter International, Inc. | 98,000 | 4,464,880 |
Medtronic PLC | 174,100 | 15,338,210 |
Total | 19,803,090 | |
Health Care Providers & Services 1.5% | ||
Cardinal Health, Inc. | 50,000 | 4,728,500 |
CVS Health Corp. | 127,000 | 8,779,510 |
Total | 13,508,010 | |
Pharmaceuticals 8.0% | ||
Bristol-Myers Squibb Co. | 225,000 | 14,388,750 |
Johnson & Johnson | 165,000 | 27,310,800 |
Merck & Co., Inc. | 250,000 | 28,847,500 |
Total | 70,547,050 | |
Total Health Care | 136,971,375 | |
Industrials 5.8% | ||
Aerospace & Defense 0.7% | ||
Raytheon Technologies Corp. | 67,500 | 6,612,300 |
Air Freight & Logistics 1.6% | ||
United Parcel Service, Inc., Class B | 77,500 | 13,891,875 |
Building Products 0.8% | ||
Johnson Controls International PLC | 97,500 | 6,643,650 |
Electrical Equipment 0.8% | ||
Emerson Electric Co. | 80,000 | 7,231,200 |
Ground Transportation 0.5% |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Union Pacific Corp. | 22,500 | 4,603,950 |
Machinery 1.4% | ||
AGCO Corp. | 37,500 | 4,928,249 |
Stanley Black & Decker, Inc. | 74,500 | 6,981,395 |
Total | 11,909,644 | |
Total Industrials | 50,892,619 | |
Information Technology 10.1% | ||
Communications Equipment 2.3% | ||
Cisco Systems, Inc. | 386,000 | 19,971,640 |
Electronic Equipment, Instruments & Components 0.5% | ||
Corning, Inc. | 125,000 | 4,380,000 |
IT Services 1.3% | ||
International Business Machines Corp. | 82,500 | 11,039,325 |
Semiconductors & Semiconductor Equipment 5.3% | ||
Broadcom, Inc. | 38,500 | 33,396,055 |
QUALCOMM, Inc. | 37,500 | 4,464,000 |
Texas Instruments, Inc. | 50,000 | 9,001,000 |
Total | 46,861,055 | |
Technology Hardware, Storage & Peripherals 0.7% | ||
Dell Technologies, Inc. | 41,000 | 2,218,510 |
HP, Inc. | 143,500 | 4,406,885 |
Total | 6,625,395 | |
Total Information Technology | 88,877,415 | |
Materials 1.3% | ||
Chemicals 0.8% | ||
Dow, Inc. | 128,400 | 6,838,584 |
Metals & Mining 0.5% | ||
Newmont Corp. | 105,000 | 4,479,300 |
Total Materials | 11,317,884 | |
Real Estate 7.2% | ||
Health Care REITs 0.8% | ||
Welltower, Inc. | 81,000 | 6,552,090 |
Industrial REITs 1.5% | ||
Prologis, Inc. | 110,000 | 13,489,300 |
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2023 | 7 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Residential REITs 1.4% | ||
AvalonBay Communities, Inc. | 27,500 | 5,204,925 |
Invitation Homes, Inc. | 200,000 | 6,880,000 |
Total | 12,084,925 | |
Retail REITs 0.8% | ||
Simon Property Group, Inc. | 62,500 | 7,217,500 |
Specialized REITs 2.7% | ||
American Tower Corp. | 65,000 | 12,606,100 |
Life Storage, Inc. | 50,000 | 6,648,000 |
VICI Properties, Inc. | 138,000 | 4,337,340 |
Total | 23,591,440 | |
Total Real Estate | 62,935,255 | |
Utilities 5.5% | ||
Electric Utilities 4.5% | ||
American Electric Power Co., Inc. | 95,000 | 7,999,000 |
Duke Energy Corp. | 90,000 | 8,076,600 |
Entergy Corp. | 82,500 | 8,033,025 |
FirstEnergy Corp. | 225,000 | 8,748,000 |
NextEra Energy, Inc. | 85,000 | 6,307,000 |
Total | 39,163,625 | |
Multi-Utilities 1.0% | ||
DTE Energy Co. | 80,000 | 8,801,600 |
Total Utilities | 47,965,225 | |
Total Common Stocks (Cost $768,953,755) | 847,121,714 |
Convertible Preferred Stocks 1.7% | |||
Issuer | Shares | Value ($) | |
Utilities 1.7% | |||
Electric Utilities 0.7% | |||
NextEra Energy, Inc. | 6.926% | 140,000 | 6,300,000 |
Multi-Utilities 1.0% | |||
NiSource, Inc. | 7.750% | 87,500 | 8,943,375 |
Total Utilities | 15,243,375 | ||
Total Convertible Preferred Stocks (Cost $15,699,918) | 15,243,375 |
Money Market Funds 1.0% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(b),(c) | 8,893,328 | 8,889,770 |
Total Money Market Funds (Cost $8,889,679) | 8,889,770 | |
Total Investments in Securities (Cost: $793,543,352) | 871,254,859 | |
Other Assets & Liabilities, Net | 7,083,045 | |
Net Assets | 878,337,904 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | ||||||||
2,119,900 | 88,606,532 | (81,836,753) | 91 | 8,889,770 | (1,023) | 135,165 | 8,893,328 |
8 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2023 |
June 30, 2023 (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 | 36,129,500 | — | — | 36,129,500 |
Consumer Discretionary | 42,213,675 | — | — | 42,213,675 |
Consumer Staples | 118,326,053 | — | — | 118,326,053 |
Energy | 92,246,195 | — | — | 92,246,195 |
Financials | 159,246,518 | — | — | 159,246,518 |
Health Care | 136,971,375 | — | — | 136,971,375 |
Industrials | 50,892,619 | — | — | 50,892,619 |
Information Technology | 88,877,415 | — | — | 88,877,415 |
Materials | 11,317,884 | — | — | 11,317,884 |
Real Estate | 62,935,255 | — | — | 62,935,255 |
Utilities | 47,965,225 | — | — | 47,965,225 |
Total Common Stocks | 847,121,714 | — | — | 847,121,714 |
Convertible Preferred Stocks | ||||
Utilities | — | 15,243,375 | — | 15,243,375 |
Total Convertible Preferred Stocks | — | 15,243,375 | — | 15,243,375 |
Money Market Funds | 8,889,770 | — | — | 8,889,770 |
Total Investments in Securities | 856,011,484 | 15,243,375 | — | 871,254,859 |
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2023 | 9 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $784,653,673) | $862,365,089 |
Affiliated issuers (cost $8,889,679) | 8,889,770 |
Receivable for: | |
Investments sold | 10,265,118 |
Capital shares sold | 76,692 |
Dividends | 1,589,931 |
Foreign tax reclaims | 43,906 |
Expense reimbursement due from Investment Manager | 2,752 |
Prepaid expenses | 7,505 |
Total assets | 883,240,763 |
Liabilities | |
Payable for: | |
Investments purchased | 4,260,288 |
Capital shares redeemed | 273,203 |
Management services fees | 16,698 |
Distribution and/or service fees | 3,251 |
Service fees | 52,464 |
Compensation of board members | 271,851 |
Compensation of chief compliance officer | 83 |
Other expenses | 25,021 |
Total liabilities | 4,902,859 |
Net assets applicable to outstanding capital stock | $878,337,904 |
Represented by | |
Trust capital | $878,337,904 |
Total - representing net assets applicable to outstanding capital stock | $878,337,904 |
Class 1 | |
Net assets | $47,453,776 |
Shares outstanding | 1,270,412 |
Net asset value per share | $37.35 |
Class 2 | |
Net assets | $124,653,975 |
Shares outstanding | 3,450,788 |
Net asset value per share | $36.12 |
Class 3 | |
Net assets | $706,230,153 |
Shares outstanding | 19,227,540 |
Net asset value per share | $36.73 |
10 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $17,796,758 |
Dividends — affiliated issuers | 135,165 |
European Union tax reclaim | 10,615 |
Foreign taxes withheld | (14,888) |
Total income | 17,927,650 |
Expenses: | |
Management services fees | 3,098,388 |
Distribution and/or service fees | |
Class 2 | 154,521 |
Class 3 | 448,292 |
Service fees | 294,005 |
Compensation of board members | 15,425 |
Custodian fees | 4,148 |
Printing and postage fees | 23,026 |
Accounting services fees | 16,858 |
Legal fees | 11,980 |
Compensation of chief compliance officer | 91 |
Other | 9,890 |
Total expenses | 4,076,624 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (499,698) |
Total net expenses | 3,576,926 |
Net investment income | 14,350,724 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (1,638,898) |
Investments — affiliated issuers | (1,023) |
Foreign currency translations | (782) |
Net realized loss | (1,640,703) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (13,338,936) |
Investments — affiliated issuers | 91 |
Net change in unrealized appreciation (depreciation) | (13,338,845) |
Net realized and unrealized loss | (14,979,548) |
Net decrease in net assets resulting from operations | $(628,824) |
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2023 | 11 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment income | $14,350,724 | $27,333,826 |
Net realized gain (loss) | (1,640,703) | 46,536,840 |
Net change in unrealized appreciation (depreciation) | (13,338,845) | (85,790,232) |
Net decrease in net assets resulting from operations | (628,824) | (11,919,566) |
Decrease in net assets from capital stock activity | (33,009,716) | (33,981,615) |
Total decrease in net assets | (33,638,540) | (45,901,181) |
Net assets at beginning of period | 911,976,444 | 957,877,625 |
Net assets at end of period | $878,337,904 | $911,976,444 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Shares sold | 65,737 | 2,419,165 | 119,195 | 4,358,688 |
Shares redeemed | (70,703) | (2,625,446) | (203,003) | (7,515,140) |
Net decrease | (4,966) | (206,281) | (83,808) | (3,156,452) |
Class 2 | ||||
Shares sold | 198,814 | 7,107,931 | 808,816 | 28,600,555 |
Shares redeemed | (164,939) | (5,862,085) | (194,156) | (6,837,104) |
Net increase | 33,875 | 1,245,846 | 614,660 | 21,763,451 |
Class 3 | ||||
Shares sold | 28,379 | 1,035,917 | 80,183 | 2,835,418 |
Shares redeemed | (966,751) | (35,085,198) | (1,519,893) | (55,424,032) |
Net decrease | (938,372) | (34,049,281) | (1,439,710) | (52,588,614) |
Total net decrease | (909,463) | (33,009,716) | (908,858) | (33,981,615) |
12 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2023 |
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2023 | 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 6/30/2023 (Unaudited) | $37.34 | 0.62 | (0.61) | 0.01 |
Year Ended 12/31/2022 | $37.76 | 1.15(c) | (1.57) | (0.42) |
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) |
Class 2 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $36.15 | 0.56 | (0.59) | (0.03) |
Year Ended 12/31/2022 | $36.66 | 1.03(c) | (1.54) | (0.51) |
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) |
Class 3 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $36.74 | 0.59 | (0.60) | (0.01) |
Year Ended 12/31/2022 | $37.20 | 1.09(c) | (1.55) | (0.46) |
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) |
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) | Ratios include interfund lending expense which is less than 0.01%. |
14 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2023 |
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 6/30/2023 (Unaudited) | $37.35 | 0.03% | 0.78% | 0.67% | 3.37% | 22% | $47,454 |
Year Ended 12/31/2022 | $37.34 | (1.11%) | 0.78%(d) | 0.67%(d) | 3.12% | 44% | $47,618 |
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 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $36.12 | (0.08%) | 1.03% | 0.92% | 3.12% | 22% | $124,654 |
Year Ended 12/31/2022 | $36.15 | (1.39%) | 1.03%(d) | 0.92%(d) | 2.90% | 44% | $123,529 |
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 |
Class 3 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $36.73 | (0.03%) | 0.91% | 0.79% | 3.24% | 22% | $706,230 |
Year Ended 12/31/2022 | $36.74 | (1.24%) | 0.90%(d) | 0.79%(d) | 3.00% | 44% | $740,830 |
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 |
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2023 | 15 |
June 30, 2023 (Unaudited)
16 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2023 | 17 |
June 30, 2023 (Unaudited)
18 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2023 | 19 |
June 30, 2023 (Unaudited)
Contractual expense cap July 1, 2023 through April 30, 2024 | Voluntary expense cap May 1, 2023 through June 30, 2023 | Contractual expense cap prior to May 1, 2023 | |
Class 1 | 0.68% | 0.67% | 0.67% |
Class 2 | 0.93 | 0.92 | 0.92 |
Class 3 | 0.805 | 0.795 | 0.795 |
20 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2023 | 21 |
June 30, 2023 (Unaudited)
22 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2023 |
• | 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 2023 | 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 one or more 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 2023 |
(Unaudited)
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2023 | 25 |
(Unaudited)
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 2023 |
June 30, 2023 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | 1.61 | -3.62 | -0.21 | 1.20 | |
Class 2 | 05/03/10 | 1.38 | -3.91 | -0.48 | 0.94 | |
Class 3 | 09/15/99 | 1.50 | -3.77 | -0.35 | 1.08 | |
Bloomberg U.S. Mortgage-Backed Securities Index | 1.87 | -1.52 | 0.03 | 1.13 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2023) | |
Asset-Backed Securities — Non-Agency | 4.8 |
Call Option Contracts Purchased | 0.1 |
Commercial Mortgage-Backed Securities - Agency | 3.6 |
Commercial Mortgage-Backed Securities - Non-Agency | 3.7 |
Money Market Funds | 3.0 |
Residential Mortgage-Backed Securities - Agency | 77.6 |
Residential Mortgage-Backed Securities - Non-Agency | 7.2 |
Total | 100.0 |
Quality breakdown (%) (at June 30, 2023) | |
AAA rating | 85.4 |
AA rating | 3.2 |
A rating | 4.3 |
BBB rating | 4.0 |
BB rating | 0.7 |
B rating | 0.9 |
CCC rating | 0.1 |
Not rated | 1.4 |
Total | 100.0 |
4 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | |||||||
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 | 1,016.10 | 1,022.64 | 2.31 | 2.32 | 0.46 |
Class 2 | 1,000.00 | 1,000.00 | 1,013.80 | 1,021.39 | 3.56 | 3.58 | 0.71 |
Class 3 | 1,000.00 | 1,000.00 | 1,015.00 | 1,021.99 | 2.96 | 2.97 | 0.59 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (Unaudited)
Asset-Backed Securities — Non-Agency 6.2% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
ACM Auto Trust(a),(b) | ||||
Series 2023-2A Class A | ||||
06/20/2030 | 7.970% | 3,200,000 | 3,199,680 | |
Apidos CLO XXVIII(a),(c) | ||||
Series 2017-28A Class B | ||||
3-month USD LIBOR + 1.700% Floor 1.700% 01/20/2031 | 6.950% | 4,125,000 | 3,927,532 | |
Carlyle Global Market Strategies CLO Ltd.(a),(c) | ||||
Series 2013-3A Class BR | ||||
3-month USD LIBOR + 1.700% Floor 1.700% 10/15/2030 | 6.960% | 2,750,000 | 2,607,448 | |
Series 2013-4A Class BRR | ||||
3-month USD LIBOR + 1.420% Floor 1.420% 01/15/2031 | 6.680% | 6,500,000 | 6,298,389 | |
Lendingpoint Asset Securitization Trust(a) | ||||
Series 2022-C Class A | ||||
02/15/2030 | 6.560% | 1,914,477 | 1,911,933 | |
Madison Park Funding XVIII Ltd.(a),(c) | ||||
Series 2015-18A Class CRR | ||||
3-month USD LIBOR + 1.900% Floor 1.900% 10/21/2030 | 7.161% | 8,000,000 | 7,635,368 | |
Marlette Funding Trust(a) | ||||
Series 2023-2A Class A | ||||
06/15/2033 | 6.040% | 2,074,513 | 2,068,046 | |
OZLM Funding IV Ltd.(a),(c) | ||||
Series 2013-4A Class D2R | ||||
3-month USD LIBOR + 7.250% Floor 7.250% 10/22/2030 | 12.523% | 2,000,000 | 1,732,678 | |
OZLM XI Ltd.(a),(c) | ||||
Series 2015-11A Class A2R | ||||
3-month USD LIBOR + 1.750% 10/30/2030 | 7.049% | 3,000,000 | 2,935,332 | |
Pagaya AI Debt Selection Trust(a) | ||||
Series 2021-5 Class A | ||||
08/15/2029 | 1.530% | 1,130,827 | 1,109,849 | |
Pagaya AI Debt Trust(a) | ||||
Series 2022-5 Class A | ||||
06/17/2030 | 8.096% | 3,087,886 | 3,109,354 | |
Subordinated Series 2022-1 Class B | ||||
10/15/2029 | 3.344% | 1,999,736 | 1,851,962 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Palmer Square Loan Funding Ltd.(a),(c) | ||||
Series 2021-4A Class B | ||||
3-month USD LIBOR + 1.750% Floor 1.750% 10/15/2029 | 7.010% | 5,250,000 | 5,020,355 | |
RR 3 Ltd.(a),(c) | ||||
Series 2014-14A Class A2R2 | ||||
3-month USD LIBOR + 1.400% Floor 1.400% 01/15/2030 | 6.660% | 3,750,000 | 3,665,644 | |
Sound Point IV-R CLO Ltd.(a),(c) | ||||
Series 2013-3RA Class B | ||||
3-month USD LIBOR + 1.750% Floor 1.750% 04/18/2031 | 7.012% | 5,000,000 | 4,788,400 | |
Theorem Funding Trust(a) | ||||
Series 2022-3A Class A | ||||
04/15/2029 | 7.600% | 2,083,805 | 2,089,320 | |
Upstart Pass-Through Trust(a) | ||||
Series 2021-ST2 Class A | ||||
04/20/2027 | 2.500% | 513,401 | 493,371 | |
Total Asset-Backed Securities — Non-Agency (Cost $56,224,332) | 54,444,661 | |||
Commercial Mortgage-Backed Securities - Agency 4.7% | ||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates(d) | ||||
Series K063 Class A2 | ||||
01/25/2027 | 3.430% | 4,362,000 | 4,168,146 | |
Federal National Mortgage Association(d) | ||||
Series 2017-M15 Class ATS2 | ||||
11/25/2027 | 3.205% | 5,975,836 | 5,624,370 | |
Series 2018-M7 Class A2 | ||||
03/25/2028 | 3.130% | 22,928,939 | 21,484,437 | |
Federal National Mortgage Association | ||||
Series 2017-T1 Class A | ||||
06/25/2027 | 2.898% | 3,971,986 | 3,683,579 | |
FRESB Mortgage Trust(d) | ||||
Series 2018-SB45 Class A10F (FHLMC) | ||||
11/25/2027 | 3.160% | 3,211,091 | 3,026,097 | |
Government National Mortgage Association(d),(e) | ||||
Series 2019-102 Class IB | ||||
03/16/2060 | 0.834% | 6,679,267 | 373,804 | |
Series 2019-118 Class IO | ||||
06/16/2061 | 0.811% | 9,651,997 | 460,980 | |
Series 2019-131 Class IO | ||||
07/16/2061 | 0.802% | 12,878,197 | 686,586 |
6 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Commercial Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2019-134 Class IO | ||||
08/16/2061 | 0.652% | 8,632,890 | 368,671 | |
Series 2019-139 Class IO | ||||
11/16/2061 | 0.636% | 9,156,074 | 404,791 | |
Series 2020-19 Class IO | ||||
12/16/2061 | 0.694% | 9,440,267 | 485,642 | |
Series 2020-3 Class IO | ||||
02/16/2062 | 0.615% | 9,847,906 | 447,330 | |
Total Commercial Mortgage-Backed Securities - Agency (Cost $49,759,042) | 41,214,433 | |||
Commercial Mortgage-Backed Securities - Non-Agency 4.8% | ||||
Braemar Hotels & Resorts Trust(a),(c) | ||||
Subordinated Series 2018-PRME Class D | ||||
1-month USD LIBOR + 1.800% Floor 1.925% 06/15/2035 | 6.994% | 3,500,000 | 3,278,497 | |
Credit Suisse Mortgage Capital Certificates OA LLC(a) | ||||
Subordinated Series 2014-USA Class E | ||||
09/15/2037 | 4.373% | 4,200,000 | 2,269,088 | |
Hilton USA Trust(a),(d) | ||||
Subordinated Series 2016-HHV Class F | ||||
11/04/2038 | 4.333% | 7,500,000 | 6,601,987 | |
Hilton USA Trust(a) | ||||
Subordinated Series 2016-SFP Class E | ||||
11/05/2035 | 5.519% | 1,000,000 | 715,950 | |
Subordinated Series 2016-SFP Class F | ||||
11/05/2035 | 6.155% | 2,000,000 | 1,373,309 | |
Home Partners of America Trust(a) | ||||
Subordinated Series 2021-2 Class B | ||||
12/17/2026 | 2.302% | 8,679,531 | 7,650,443 | |
Morgan Stanley Capital I Trust(a),(d) | ||||
Series 2019-MEAD Class D | ||||
11/10/2036 | 3.283% | 2,917,500 | 2,578,190 | |
Progress Residential Trust(a) | ||||
Series 2020-SFR1 Class E | ||||
04/17/2037 | 3.032% | 4,000,000 | 3,713,342 | |
Series 2020-SFR3 Class B | ||||
10/17/2027 | 1.495% | 3,000,000 | 2,702,277 | |
Series 2022-SFR1 Class A | ||||
02/17/2041 | 2.709% | 4,979,590 | 4,282,274 | |
SFO Commercial Mortgage Trust(a),(c) | ||||
Series 2021-555 Class A | ||||
1-month USD LIBOR + 1.150% Floor 1.150% 05/15/2038 | 6.343% | 5,000,000 | 4,350,223 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Wells Fargo Commercial Mortgage Trust(a),(c) | ||||
Subordinated Series 2017-SMP Class D | ||||
1-month USD LIBOR + 1.775% Floor 1.650% 12/15/2034 | 6.968% | 3,000,000 | 2,670,480 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $47,933,252) | 42,186,060 | |||
Residential Mortgage-Backed Securities - Agency 100.3% | ||||
Fannie Mae REMICS | ||||
CMO Series 2018-7 Class CD | ||||
02/25/2048 | 3.000% | 10,299,923 | 9,216,138 | |
Federal Home Loan Mortgage Corp. | ||||
10/01/2023- 06/01/2039 | 5.000% | 1,254,631 | 1,265,052 | |
08/01/2035- 08/01/2051 | 2.000% | 35,114,480 | 29,964,953 | |
08/01/2041- 06/01/2048 | 4.500% | 5,306,655 | 5,214,336 | |
10/01/2041- 11/01/2048 | 4.000% | 24,195,687 | 23,218,056 | |
07/01/2042- 04/01/2047 | 3.500% | 30,302,338 | 28,299,630 | |
11/01/2042- 08/01/2052 | 3.000% | 68,996,229 | 61,405,342 | |
02/01/2051- 03/01/2052 | 2.500% | 41,804,084 | 35,708,856 | |
Federal Home Loan Mortgage Corp.(c) | ||||
12-month USD LIBOR + 1.619% Cap 10.987% 01/01/2037 | 3.868% | 32,245 | 32,200 | |
12-month USD LIBOR + 1.910% Cap 10.449% 09/01/2037 | 4.628% | 53,166 | 53,929 | |
Federal Home Loan Mortgage Corp.(c),(e) | ||||
CMO Series 264 Class S1 | ||||
-1.0 x 1-month USD LIBOR + 5.950% Cap 5.950% 07/15/2042 | 0.757% | 3,290,108 | 293,503 | |
CMO Series 318 Class S1 | ||||
-1.0 x 1-month USD LIBOR + 5.950% Cap 5.950% 11/15/2043 | 0.757% | 6,956,589 | 662,029 | |
CMO Series 4286 Class NS | ||||
-1.0 x 1-month USD LIBOR + 5.900% Cap 5.900% 12/15/2043 | 0.707% | 2,295,020 | 276,716 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2023 | 7 |
June 30, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 4594 Class SA | ||||
-1.0 x 1-month USD LIBOR + 5.950% Cap 5.950% 06/15/2046 | 0.757% | 5,347,321 | 584,095 | |
CMO Series 4965 Class KS | ||||
-1.0 x 1-month USD LIBOR + 5.850% Cap 5.850% 04/25/2050 | 0.700% | 3,111,604 | 283,444 | |
CMO Series 4987 Class KS | ||||
-1.0 x 1-month USD LIBOR + 6.080% Cap 6.080% 06/25/2050 | 0.930% | 6,432,007 | 868,905 | |
CMO Series 4993 Class MS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 07/25/2050 | 0.900% | 7,875,157 | 1,104,562 | |
CMO STRIPS Series 309 Class S4 | ||||
-1.0 x 1-month USD LIBOR + 5.970% Cap 5.970% 08/15/2043 | 0.777% | 1,942,678 | 175,903 | |
CMO STRIPS Series 326 Class S1 | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 03/15/2044 | 0.807% | 802,392 | 75,726 | |
Federal Home Loan Mortgage Corp.(e) | ||||
CMO Series 266 | ||||
07/15/2042 | 4.000% | 2,011,932 | 331,629 | |
CMO Series 267 | ||||
08/15/2042 | 4.000% | 1,563,466 | 258,252 | |
CMO Series 4139 Class CI | ||||
05/15/2042 | 3.500% | 1,077,012 | 94,165 | |
CMO Series 4147 Class CI | ||||
01/15/2041 | 3.500% | 1,077,526 | 40,672 | |
CMO Series 4177 Class IY | ||||
03/15/2043 | 4.000% | 3,967,550 | 620,050 | |
Federal Home Loan Mortgage Corp.(d),(e) | ||||
CMO Series 4068 Class GI | ||||
09/15/2036 | 99,994.395% | 1,526,190 | 83,085 | |
Federal Home Loan Mortgage Corp. REMICS(c),(e) | ||||
CMO Series 4983 Class SY | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 05/25/2050 | 0.950% | 8,354,709 | 893,493 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal Home Loan Mortgage Corp. REMICS(e) | ||||
CMO Series 5105 Class ID | ||||
05/25/2051 | 3.000% | 10,069,384 | 1,817,513 | |
Federal National Mortgage Association | ||||
09/01/2023- 11/01/2023 | 5.500% | 14,360 | 14,307 | |
03/01/2027- 01/01/2052 | 2.500% | 92,916,551 | 80,903,051 | |
03/01/2027- 05/01/2052 | 3.500% | 64,271,957 | 59,754,464 | |
05/01/2027- 11/01/2050 | 3.000% | 72,217,414 | 64,871,266 | |
06/01/2036- 05/01/2051 | 2.000% | 77,211,107 | 64,208,277 | |
12/01/2037- 06/01/2053 | 5.000% | 13,993,531 | 13,805,918 | |
05/01/2039- 08/01/2047 | 4.500% | 3,148,996 | 3,100,744 | |
11/01/2043- 08/01/2052 | 4.000% | 41,923,440 | 39,951,098 | |
CMO Series 2017-72 Class B | ||||
09/25/2047 | 3.000% | 2,482,540 | 2,250,524 | |
Federal National Mortgage Association(c) | ||||
6-month USD LIBOR + 1.383% Floor 1.383%, Cap 9.383% 02/01/2033 | 3.758% | 8,100 | 7,910 | |
12-month USD LIBOR + 1.694% Floor 1.694%, Cap 8.944% 12/01/2033 | 4.069% | 999 | 1,002 | |
12-month USD LIBOR + 1.585% Floor 1.585%, Cap 9.155% 06/01/2034 | 5.335% | 12,324 | 12,033 | |
Federal National Mortgage Association(d) | ||||
CMO Series 2003-W11 Class A1 | ||||
06/25/2033 | 5.447% | 581 | 587 | |
Federal National Mortgage Association(d),(e) | ||||
CMO Series 2006-5 Class N1 | ||||
08/25/2034 | 0.000% | 1,630,023 | 16 | |
Federal National Mortgage Association(e) | ||||
CMO Series 2012-129 Class IC | ||||
01/25/2041 | 3.500% | 836,630 | 35,925 | |
CMO Series 2012-133 Class EI | ||||
07/25/2031 | 3.500% | 140,684 | 1,686 | |
CMO Series 2012-134 Class AI | ||||
07/25/2040 | 3.500% | 173,060 | 1,133 | |
CMO Series 2012-144 Class HI | ||||
07/25/2042 | 3.500% | 998,682 | 100,407 | |
CMO Series 2012-40 Class IP | ||||
09/25/2040 | 4.000% | 2,287,619 | 138,515 | |
CMO Series 2013-1 Class AI | ||||
02/25/2043 | 3.500% | 958,308 | 129,471 |
8 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2013-10 Class AI | ||||
11/25/2041 | 3.500% | 3,312,619 | 200,522 | |
CMO Series 2013-16 | ||||
01/25/2040 | 3.500% | 678,693 | 18,725 | |
CMO Series 2020-55 Class MI | ||||
08/25/2050 | 2.500% | 10,835,300 | 1,661,651 | |
CMO Series 2021-3 Class TI | ||||
02/25/2051 | 2.500% | 39,197,564 | 6,203,857 | |
Federal National Mortgage Association(c),(e) | ||||
CMO Series 2012-99 Class SL | ||||
-1.0 x 1-month USD LIBOR + 6.620% Cap 6.620% 09/25/2042 | 1.470% | 4,060,902 | 614,624 | |
CMO Series 2014-93 Class ES | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 01/25/2045 | 1.000% | 2,341,786 | 258,140 | |
CMO Series 2016-37 Class SA | ||||
-1.0 x 1-month USD LIBOR + 5.850% Cap 5.850% 06/25/2046 | 0.700% | 3,234,152 | 377,037 | |
CMO Series 2016-42 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 07/25/2046 | 0.850% | 8,322,003 | 911,856 | |
CMO Series 2017-3 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 02/25/2047 | 0.850% | 5,782,351 | 581,523 | |
CMO Series 2017-51 Class SC | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 07/25/2047 | 1.000% | 6,317,125 | 702,710 | |
CMO Series 2017-72 Class S | ||||
-1.0 x 1-month USD LIBOR + 3.950% Cap 2.750% 09/25/2047 | 0.000% | 14,041,342 | 534,613 | |
CMO Series 2017-90 Class SP | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 11/25/2047 | 1.000% | 3,324,644 | 352,821 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2019-33 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 07/25/2049 | 0.900% | 9,770,924 | 1,005,368 | |
CMO Series 2019-34 Class SM | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 07/25/2049 | 0.900% | 8,410,690 | 1,108,365 | |
CMO Series 2020-40 Class LS | ||||
-1.0 x 1-month USD LIBOR + 6.080% Cap 6.080% 06/25/2050 | 0.930% | 9,165,455 | 1,303,517 | |
Federal National Mortgage Association REMICS(e) | ||||
CMO Series 2021-13 Class IO | ||||
03/25/2051 | 3.000% | 7,054,937 | 1,246,945 | |
CMO Series 2021-54 Class LI | ||||
04/25/2049 | 2.500% | 10,940,949 | 1,444,877 | |
Freddie Mac REMICS | ||||
CMO Series 4633 Class ZM | ||||
11/15/2046 | 3.000% | 3,995,213 | 3,512,740 | |
CMO Series 5104 Class LH | ||||
06/25/2049 | 2.000% | 3,162,170 | 2,640,716 | |
Freddie Mac REMICS(e) | ||||
CMO Series 5177 Class PI | ||||
12/25/2051 | 2.500% | 13,132,697 | 1,492,291 | |
Government National Mortgage Association | ||||
08/20/2040 | 5.000% | 1,714,212 | 1,735,479 | |
07/20/2041 | 4.500% | 2,287,874 | 2,271,906 | |
04/20/2051- 05/20/2051 | 2.500% | 22,823,320 | 19,253,948 | |
Government National Mortgage Association(f) | ||||
04/20/2048 | 4.500% | 4,044,505 | 3,960,212 | |
Government National Mortgage Association(e) | ||||
CMO Series 2012-121 Class PI | ||||
09/16/2042 | 4.500% | 1,565,323 | 231,893 | |
CMO Series 2012-129 Class AI | ||||
08/20/2037 | 3.000% | 234,480 | 1,193 | |
CMO Series 2014-131 Class EI | ||||
09/16/2039 | 4.000% | 2,095,143 | 173,409 | |
CMO Series 2020-104 Class IY | ||||
07/20/2050 | 3.000% | 9,774,497 | 1,397,199 | |
CMO Series 2020-138 Class IN | ||||
09/20/2050 | 2.500% | 6,442,786 | 910,214 | |
CMO Series 2020-138 Class JI | ||||
09/20/2050 | 2.500% | 16,876,038 | 2,346,406 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2023 | 9 |
June 30, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2020-142 Class GI | ||||
09/20/2050 | 3.000% | 3,840,307 | 518,401 | |
CMO Series 2020-144 Class KI | ||||
09/20/2050 | 2.500% | 7,275,176 | 874,037 | |
CMO Series 2020-175 Class KI | ||||
11/20/2050 | 2.500% | 12,101,419 | 1,643,727 | |
CMO Series 2020-191 Class UC | ||||
12/20/2050 | 4.000% | 11,113,330 | 1,876,669 | |
CMO Series 2021-1 Class IB | ||||
01/20/2051 | 2.500% | 11,165,811 | 1,450,688 | |
CMO Series 2021-1 Class QI | ||||
01/20/2051 | 2.500% | 13,049,020 | 1,734,692 | |
CMO Series 2021-122 Class HI | ||||
11/20/2050 | 2.500% | 8,922,140 | 1,149,076 | |
CMO Series 2021-142 Class IX | ||||
08/20/2051 | 2.500% | 12,428,076 | 1,723,676 | |
CMO Series 2021-146 Class IK | ||||
08/20/2051 | 3.500% | 10,902,433 | 1,840,841 | |
CMO Series 2021-158 Class VI | ||||
09/20/2051 | 3.000% | 9,134,970 | 1,445,584 | |
CMO Series 2021-159 Class IP | ||||
09/20/2051 | 3.000% | 6,941,520 | 986,855 | |
CMO Series 2021-175 Class IJ | ||||
10/20/2051 | 3.000% | 11,795,167 | 1,788,301 | |
CMO Series 2021-228 Class IJ | ||||
12/20/2051 | 2.500% | 13,910,537 | 1,942,284 | |
CMO Series 2021-27 Class IN | ||||
02/20/2051 | 2.500% | 7,438,080 | 963,917 | |
CMO Series 2021-67 Class GI | ||||
04/20/2051 | 3.000% | 11,203,674 | 1,609,679 | |
CMO Series 2021-8 Class BI | ||||
01/20/2051 | 2.500% | 11,643,555 | 1,753,170 | |
CMO Series 2021-8 Class IO | ||||
01/20/2051 | 3.000% | 20,311,910 | 3,119,966 | |
Government National Mortgage Association(c),(e) | ||||
CMO Series 2014-131 Class BS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 09/16/2044 | 1.042% | 1,959,847 | 247,890 | |
CMO Series 2017-170 Class QS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 11/20/2047 | 1.054% | 3,181,921 | 288,958 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2018-1 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 01/20/2048 | 1.043% | 2,255,864 | 206,555 | |
CMO Series 2018-105 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 08/20/2048 | 1.043% | 2,879,696 | 222,251 | |
CMO Series 2018-139 Class KS | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 10/20/2048 | 0.993% | 4,816,055 | 401,372 | |
CMO Series 2018-147 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 10/20/2048 | 1.043% | 5,977,747 | 532,523 | |
CMO Series 2018-155 Class LS | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 11/20/2048 | 1.004% | 4,089,676 | 387,319 | |
CMO Series 2018-21 Class WS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 02/20/2048 | 1.043% | 3,645,106 | 390,635 | |
CMO Series 2018-36 Class SG | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 03/20/2048 | 1.043% | 18,424,976 | 2,012,015 | |
CMO Series 2018-40 Class SC | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 03/20/2048 | 1.043% | 1,980,141 | 165,212 | |
CMO Series 2018-63 Class HS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 04/20/2048 | 1.043% | 2,815,552 | 235,902 | |
CMO Series 2018-94 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 05/20/2048 | 1.043% | 3,715,386 | 397,390 |
10 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2018-97 Class MS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 07/20/2048 | 1.043% | 3,241,236 | 257,886 | |
CMO Series 2019-117 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 09/20/2049 | 0.943% | 8,336,260 | 856,071 | |
CMO Series 2019-23 Class SQ | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 02/20/2049 | 0.904% | 3,328,695 | 433,078 | |
CMO Series 2019-43 Class SE | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 04/20/2049 | 0.943% | 6,566,332 | 623,647 | |
CMO Series 2019-52 Class AS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 04/16/2049 | 0.892% | 8,003,434 | 1,358,386 | |
CMO Series 2019-92 Class SD | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 07/20/2049 | 0.943% | 16,284,940 | 1,729,311 | |
CMO Series 2020-104 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 07/20/2050 | 1.043% | 6,841,027 | 739,420 | |
CMO Series 2020-125 Class SD | ||||
-1.0 x 1-month USD LIBOR + 6.250% Cap 6.250% 08/20/2050 | 1.093% | 8,347,784 | 894,973 | |
CMO Series 2020-133 Class SK | ||||
-1.0 x 1-month USD LIBOR + 6.300% Cap 6.300% 09/20/2050 | 1.143% | 15,049,965 | 1,723,218 | |
CMO Series 2020-140 Class SG | ||||
-1.0 x 1-month USD LIBOR + 6.350% Cap 6.350% 09/20/2050 | 1.193% | 17,654,697 | 2,256,431 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2020-79 Class S | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 06/20/2050 | 0.943% | 7,270,071 | 806,924 | |
CMO Series 2021-161 Class SM | ||||
-1.0 x 1-month USD LIBOR + 6.300% Cap 6.300% 09/20/2051 | 1.143% | 13,823,883 | 1,549,548 | |
CMO Series 2021-193 Class ES | ||||
30-day Average SOFR + 1.700% 11/20/2051 | 0.000% | 76,453,128 | 369,139 | |
CMO Series 2021-46 Class SE | ||||
-1.0 x 1-month USD LIBOR + 6.300% Cap 6.300% 03/20/2051 | 1.143% | 14,081,375 | 1,460,450 | |
Government National Mortgage Association TBA(b) | ||||
07/20/2053 | 3.000% | 17,000,000 | 15,189,101 | |
07/20/2053 | 4.000% | 19,000,000 | 17,978,008 | |
07/20/2053 | 4.500% | 40,000,000 | 38,606,250 | |
Uniform Mortgage-Backed Security TBA(b) | ||||
07/13/2053 | 2.000% | 25,000,000 | 20,385,742 | |
07/13/2053 | 3.000% | 15,000,000 | 13,200,586 | |
07/13/2053 | 3.500% | 43,256,536 | 39,415,829 | |
07/13/2053 | 4.000% | 31,000,000 | 29,090,352 | |
07/13/2053 | 4.500% | 33,000,000 | 31,726,406 | |
07/13/2053 | 5.000% | 43,000,000 | 42,133,281 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $989,155,432) | 885,278,947 | |||
Residential Mortgage-Backed Securities - Non-Agency 9.4% | ||||
Arroyo Mortgage Trust(a),(d) | ||||
CMO Series 2019-3 Class M1 | ||||
10/25/2048 | 4.204% | 1,740,000 | 1,458,515 | |
Bellemeade Re Ltd.(a),(c) | ||||
CMO Series 2022-1 Class M1A | ||||
30-day Average SOFR + 1.750% Floor 1.750% 01/26/2032 | 6.817% | 4,550,000 | 4,539,275 | |
CHNGE Mortgage Trust(a),(d) | ||||
CMO Series 2022-1 Class A1 | ||||
01/25/2067 | 3.007% | 3,416,733 | 3,014,504 | |
CMO Series 2022-2 Class A1 | ||||
03/25/2067 | 3.757% | 3,664,041 | 3,325,929 | |
CMO Series 2023-3 Class A1 | ||||
07/25/2058 | 6.728% | 4,950,000 | 4,932,986 | |
Citigroup Mortgage Loan Trust, Inc.(a),(d) | ||||
CMO Series 2014-A Class B2 | ||||
01/25/2035 | 5.482% | 827,396 | 800,211 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2023 | 11 |
June 30, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Citigroup Mortgage Loan Trust, Inc.(a) | ||||
CMO Series 2015-RP2 Class B2 | ||||
01/25/2053 | 4.250% | 2,009,739 | 1,877,673 | |
Connecticut Avenue Securities Trust(a),(c) | ||||
CMO Series 2022-R01 Class 1M2 | ||||
30-day Average SOFR + 1.900% 12/25/2041 | 6.967% | 5,500,000 | 5,365,528 | |
Credit Suisse Mortgage Trust(a),(d) | ||||
CMO Series 2021-NQM1 Class A2 | ||||
05/25/2065 | 0.994% | 1,123,957 | 938,956 | |
Ellington Financial Mortgage Trust(a),(d) | ||||
CMO Series 2019-2 Class M1 | ||||
11/25/2059 | 3.469% | 1,200,000 | 1,045,060 | |
Freddie Mac STACR(c) | ||||
CMO Series 2020-CS01 Class M3 | ||||
1-month USD LIBOR + 0.000% 04/25/2033 | 4.000% | 2,233,603 | 2,167,513 | |
Freddie Mac STACR REMIC Trust(a),(c) | ||||
CMO Series 2023-HQA1 Class M1A | ||||
30-day Average SOFR + 2.000% 05/25/2043 | 7.067% | 2,607,712 | 2,611,375 | |
Freddie Mac Structured Agency Credit Risk Debt Notes(a),(c),(g),(h) | ||||
CMO Series 2019-CS02 Class M2 | ||||
1-month USD LIBOR + 0.000% 02/25/2032 | 4.506% | 8,000,000 | 7,690,000 | |
Freddie Mac Structured Agency Credit Risk Debt Notes(a),(c) | ||||
CMO Series 2022-DNA2 Class M1B | ||||
30-day Average SOFR + 2.400% 02/25/2042 | 7.467% | 3,500,000 | 3,457,764 | |
GCAT LLC(a),(d) | ||||
CMO Series 2021-CM1 Class A1 | ||||
04/25/2065 | 1.469% | 860,816 | 777,414 | |
GCAT Trust(a),(d) | ||||
CMO Series 2022-NQM2 Class A3 | ||||
02/25/2067 | 4.210% | 3,167,058 | 2,879,432 | |
Home Re Ltd.(a),(c) | ||||
Subordinated CMO Series 2022-1 Class M1A | ||||
30-day Average SOFR + 2.850% 10/25/2034 | 7.917% | 2,600,000 | 2,624,664 | |
Legacy Mortgage Asset Trust(a),(d) | ||||
CMO Series 2021-GS1 Class A1 | ||||
10/25/2066 | 1.892% | 3,800,936 | 3,472,944 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
New Residential Mortgage Loan Trust(a),(d),(e) | ||||
CMO Series 2014-1A Class AIO | ||||
01/25/2054 | 2.275% | 8,949,200 | 412,855 | |
PNMAC GMSR Issuer Trust(a),(c) | ||||
CMO Series 2018-GT1 Class A | ||||
1-month USD LIBOR + 2.850% Floor 2.850% 02/25/2025 | 8.000% | 11,500,000 | 11,486,200 | |
CMO Series 2018-GT2 Class A | ||||
1-month USD LIBOR + 2.650% 08/25/2025 | 7.800% | 10,500,000 | 10,369,767 | |
Pretium Mortgage Credit Partners(a),(d) | ||||
CMO Series 2022-NPL1 Class A1 | ||||
01/25/2052 | 2.981% | 2,145,276 | 1,974,730 | |
SG Residential Mortgage Trust(a),(d) | ||||
CMO Series 2019-3 Class M1 | ||||
09/25/2059 | 3.526% | 2,200,000 | 2,004,028 | |
Stanwich Mortgage Loan Co. LLC(a),(d) | ||||
CMO Series 2021-NPB1 Class A1 | ||||
10/16/2026 | 2.735% | 1,667,181 | 1,509,437 | |
VCAT LLC(a),(d) | ||||
CMO Series 2021-NPL1 Class A1 | ||||
12/26/2050 | 2.289% | 2,257,052 | 2,157,973 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $84,896,608) | 82,894,733 |
Call Option Contracts Purchased 0.1% | ||||
Value ($) | ||||
(Cost $2,525,640) | 1,108,635 |
Money Market Funds 3.8% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(i),(j) | 34,002,680 | 33,989,079 |
Total Money Market Funds (Cost $33,987,837) | 33,989,079 | |
Total Investments in Securities (Cost: $1,264,482,143) | 1,141,116,548 | |
Other Assets & Liabilities, Net | (258,678,284) | |
Net Assets | 882,438,264 |
12 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 2-Year Note | 296 | 09/2023 | USD | 60,189,750 | — | (835,345) |
U.S. Treasury 5-Year Note | 1,270 | 09/2023 | USD | 136,009,063 | — | (1,314,069) |
Total | — | (2,149,414) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Long Bond | (11) | 09/2023 | USD | (1,395,969) | 3,244 | — |
U.S. Treasury 10-Year Note | (1,321) | 09/2023 | USD | (148,302,891) | 2,446,152 | — |
U.S. Treasury Ultra Bond | (28) | 09/2023 | USD | (3,814,125) | 39,326 | — |
Total | 2,488,722 | — |
Call option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 41,020,000 | 41,020,000 | 3.30 | 11/14/2023 | 1,312,640 | 580,831 |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 20,000,000 | 20,000,000 | 3.30 | 11/30/2023 | 530,000 | 313,276 |
10-Year OTC interest rate swap with Morgan Stanley to receive exercise rate and pay SOFR | Morgan Stanley | USD | 20,000,000 | 20,000,000 | 3.00 | 01/10/2024 | 683,000 | 214,528 |
Total | 2,525,640 | 1,108,635 |
Credit default swap contracts - sell protection | |||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 16.073 | USD | 5,000,000 | (1,553,294) | 2,500 | — | (834,733) | — | (716,061) |
Markit CMBX North America Index, Series 7 BBB- | Morgan Stanley | 01/17/2047 | 3.000 | Monthly | 69.683 | USD | 2,500,000 | (507,064) | 1,250 | — | (130,870) | — | (374,944) |
Total | (2,060,358) | 3,750 | — | (965,603) | — | (1,091,005) |
(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, 2023, the total value of these securities amounted to $177,357,941, which represents 20.10% of total net assets. |
(b) | Represents a security purchased on a when-issued basis. |
(c) | Variable rate security. The interest rate shown was the current rate as of June 30, 2023. |
(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, 2023. |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2023 | 13 |
June 30, 2023 (Unaudited)
(e) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
(f) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(g) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At June 30, 2023, the total value of these securities amounted to $7,690,000, which represents 0.87% of total net assets. |
(h) | Valuation based on significant unobservable inputs. |
(i) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
(j) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | ||||||||
36,684,692 | 93,856,457 | (96,549,967) | (2,103) | 33,989,079 | (4,233) | 710,968 | 34,002,680 |
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 2023 |
June 30, 2023 (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 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. Representatives of Columbia Management Investment Advisers, LLC report to 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 | — | 54,444,661 | — | 54,444,661 |
Commercial Mortgage-Backed Securities - Agency | — | 41,214,433 | — | 41,214,433 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 42,186,060 | — | 42,186,060 |
Residential Mortgage-Backed Securities - Agency | — | 885,278,947 | — | 885,278,947 |
Residential Mortgage-Backed Securities - Non-Agency | — | 75,204,733 | 7,690,000 | 82,894,733 |
Call Option Contracts Purchased | — | 1,108,635 | — | 1,108,635 |
Money Market Funds | 33,989,079 | — | — | 33,989,079 |
Total Investments in Securities | 33,989,079 | 1,099,437,469 | 7,690,000 | 1,141,116,548 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 2,488,722 | — | — | 2,488,722 |
Liability | ||||
Futures Contracts | (2,149,414) | — | — | (2,149,414) |
Swap Contracts | — | (1,091,005) | — | (1,091,005) |
Total | 34,328,387 | 1,098,346,464 | 7,690,000 | 1,140,364,851 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2023 | 15 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,227,968,666) | $1,106,018,834 |
Affiliated issuers (cost $33,987,837) | 33,989,079 |
Option contracts purchased (cost $2,525,640) | 1,108,635 |
Cash collateral held at broker for: | |
Swap contracts | 1,781,000 |
TBA | 1,659,000 |
Receivable for: | |
Investments sold | 544 |
Investments sold on a delayed delivery basis | 37,859,887 |
Capital shares sold | 56,336 |
Dividends | 115,161 |
Interest | 3,850,022 |
Prepaid expenses | 7,369 |
Total assets | 1,186,445,867 |
Liabilities | |
Unrealized depreciation on swap contracts | 1,091,005 |
Upfront receipts on swap contracts | 965,603 |
Payable for: | |
Investments purchased | 10,928,938 |
Investments purchased on a delayed delivery basis | 290,548,018 |
Capital shares redeemed | 55,565 |
Variation margin for futures contracts | 238,266 |
Management services fees | 10,325 |
Distribution and/or service fees | 383 |
Service fees | 6,462 |
Compensation of board members | 130,445 |
Compensation of chief compliance officer | 85 |
Other expenses | 32,508 |
Total liabilities | 304,007,603 |
Net assets applicable to outstanding capital stock | $882,438,264 |
Represented by | |
Paid in capital | 1,037,648,559 |
Total distributable earnings (loss) | (155,210,295) |
Total - representing net assets applicable to outstanding capital stock | $882,438,264 |
Class 1 | |
Net assets | $793,755,570 |
Shares outstanding | 89,921,914 |
Net asset value per share | $8.83 |
Class 2 | |
Net assets | $23,467,813 |
Shares outstanding | 2,669,220 |
Net asset value per share | $8.79 |
Class 3 | |
Net assets | $65,214,881 |
Shares outstanding | 7,392,049 |
Net asset value per share | $8.82 |
16 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — affiliated issuers | $710,968 |
Interest | 15,690,519 |
Interfund lending | 461 |
Total income | 16,401,948 |
Expenses: | |
Management services fees | 1,913,685 |
Distribution and/or service fees | |
Class 2 | 29,599 |
Class 3 | 41,558 |
Service fees | 36,978 |
Compensation of board members | 14,769 |
Custodian fees | 14,476 |
Printing and postage fees | 7,061 |
Accounting services fees | 20,145 |
Legal fees | 11,890 |
Interest on collateral | 31,930 |
Compensation of chief compliance officer | 87 |
Other | 9,865 |
Total expenses | 2,132,043 |
Net investment income | 14,269,905 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (7,121,795) |
Investments — affiliated issuers | (4,233) |
Futures contracts | (532,170) |
Option contracts purchased | (1,400,000) |
Option contracts written | 990,675 |
Swap contracts | (5,416) |
Net realized loss | (8,072,939) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 9,139,595 |
Investments — affiliated issuers | (2,103) |
Futures contracts | (88,000) |
Option contracts purchased | (308,179) |
Option contracts written | (588,771) |
Swap contracts | (646,311) |
Net change in unrealized appreciation (depreciation) | 7,506,231 |
Net realized and unrealized loss | (566,708) |
Net increase in net assets resulting from operations | $13,703,197 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2023 | 17 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment income | $14,269,905 | $24,436,989 |
Net realized loss | (8,072,939) | (49,786,312) |
Net change in unrealized appreciation (depreciation) | 7,506,231 | (126,291,235) |
Net increase (decrease) in net assets resulting from operations | 13,703,197 | (151,640,558) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | — | (18,641,016) |
Class 2 | — | (438,338) |
Class 3 | — | (1,483,948) |
Total distributions to shareholders | — | (20,563,302) |
Decrease in net assets from capital stock activity | (16,582,611) | (49,338,414) |
Total decrease in net assets | (2,879,414) | (221,542,274) |
Net assets at beginning of period | 885,317,678 | 1,106,859,952 |
Net assets at end of period | $882,438,264 | $885,317,678 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Shares sold | 181,665 | 1,609,732 | 463,317 | 4,204,040 |
Distributions reinvested | — | — | 1,983,087 | 18,641,016 |
Shares redeemed | (1,718,756) | (15,351,778) | (6,716,612) | (62,858,001) |
Net decrease | (1,537,091) | (13,742,046) | (4,270,208) | (40,012,945) |
Class 2 | ||||
Shares sold | 173,851 | 1,540,577 | 603,458 | 5,378,299 |
Distributions reinvested | — | — | 46,731 | 438,338 |
Shares redeemed | (253,578) | (2,260,103) | (729,381) | (6,860,686) |
Net decrease | (79,727) | (719,526) | (79,192) | (1,044,049) |
Class 3 | ||||
Shares sold | 169,818 | 1,513,890 | 142,360 | 1,378,679 |
Distributions reinvested | — | — | 157,867 | 1,483,948 |
Shares redeemed | (408,732) | (3,634,929) | (1,185,016) | (11,144,047) |
Net decrease | (238,914) | (2,121,039) | (884,789) | (8,281,420) |
Total net decrease | (1,855,732) | (16,582,611) | (5,234,189) | (49,338,414) |
18 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2023 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2023 | 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 6/30/2023 (Unaudited) | $8.69 | 0.14 | (0.00)(c) | 0.14 | — | — | — |
Year Ended 12/31/2022 | $10.34 | 0.24 | (1.69) | (1.45) | (0.20) | — | (0.20) |
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) |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $8.67 | 0.13 | (0.01) | 0.12 | — | — | — |
Year Ended 12/31/2022 | $10.31 | 0.21 | (1.67) | (1.46) | (0.18) | — | (0.18) |
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) |
Class 3 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $8.69 | 0.14 | (0.01) | 0.13 | — | — | — |
Year Ended 12/31/2022 | $10.34 | 0.22 | (1.68) | (1.46) | (0.19) | — | (0.19) |
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) |
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) | 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 | 6/30/2023 | 12/31/2022 | 12/31/2021 | 12/31/2020 | 12/31/2019 | 12/31/2018 |
Class 1 | 0.01% | less than 0.01% | less than 0.01% | less than 0.01% | 0.01% | less than 0.01% |
Class 2 | 0.01% | less than 0.01% | less than 0.01% | less than 0.01% | 0.01% | less than 0.01% |
Class 3 | 0.01% | 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 2023 |
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 6/30/2023 (Unaudited) | $8.83 | 1.61% | 0.46%(d) | 0.46%(d) | 3.21% | 161% | $793,756 |
Year Ended 12/31/2022 | $8.69 | (14.14%) | 0.45%(d) | 0.45%(d) | 2.54% | 301% | $795,136 |
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 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $8.79 | 1.38% | 0.71%(d) | 0.71%(d) | 2.95% | 161% | $23,468 |
Year Ended 12/31/2022 | $8.67 | (14.32%) | 0.70%(d) | 0.70%(d) | 2.29% | 301% | $23,834 |
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 |
Class 3 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $8.82 | 1.50% | 0.59%(d) | 0.59%(d) | 3.08% | 161% | $65,215 |
Year Ended 12/31/2022 | $8.69 | (14.26%) | 0.58%(d) | 0.58%(d) | 2.41% | 301% | $66,348 |
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% | $99,204 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2023 | 21 |
June 30, 2023 (Unaudited)
22 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2023 | 23 |
June 30, 2023 (Unaudited)
24 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2023 | 25 |
June 30, 2023 (Unaudited)
26 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 2,488,722* |
Interest rate risk | Investments, at value — Option contracts purchased | 1,108,635 |
Total | 3,597,357 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 1,091,005* |
Credit risk | Upfront receipts on swap contracts | 965,603 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 2,149,414* |
Total | 4,206,022 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin for futures and centrally cleared swaps, if any, is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | Option contracts purchased ($) | Option contracts written ($) | Swap contracts ($) | Total ($) | |
Credit risk | — | — | — | (5,416) | (5,416) | |
Interest rate risk | (532,170) | (1,400,000) | 990,675 | — | (941,495) | |
Total | (532,170) | (1,400,000) | 990,675 | (5,416) | (946,911) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||||||
Risk exposure category | Futures contracts ($) | Option contracts purchased ($) | Option contracts written ($) | Swap contracts ($) | Total ($) | ||
Credit risk | — | — | — | (646,311) | (646,311) | ||
Interest rate risk | (88,000) | (308,179) | (588,771) | — | (984,950) | ||
Total | (88,000) | (308,179) | (588,771) | (646,311) | (1,631,261) |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2023 | 27 |
June 30, 2023 (Unaudited)
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 112,980,454 |
Futures contracts — short | 110,359,481 |
Credit default swap contracts — sell protection | 7,500,000 |
Derivative instrument | Average value ($)* |
Option contracts purchased | 1,655,896 |
Option contracts written | (1,720,867) |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2023. |
28 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Citi ($) | JPMorgan ($) | Morgan Stanley ($) | Total ($) | ||||||
Assets | |||||||||
Call option contracts purchased | 894,107 | - | 214,528 | 1,108,635 | |||||
Liabilities | |||||||||
OTC credit default swap contracts (a) | - | 1,550,794 | 505,814 | 2,056,608 | |||||
Total financial and derivative net assets | 894,107 | 1,550,794 | (291,286) | (947,973) | |||||
Total collateral received (pledged) (b) | 894,107 | (1,550,794) | (181,000) | (837,687) | |||||
Net amount (c) | - | - | (110,286) | (110,286) |
(a) | Over-the-Counter (OTC) swap contracts are presented at market value plus periodic payments receivable (payable), which is comprised of unrealized appreciation, unrealized depreciation, upfront payments and upfront receipts. |
(b) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(c) | Represents the net amount due from/(to) counterparties in the event of default. |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2023 | 29 |
June 30, 2023 (Unaudited)
30 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2023 | 31 |
June 30, 2023 (Unaudited)
May 1, 2023 through April 30, 2024 | Prior to May 1, 2023 | |
Class 1 | 0.51% | 0.57% |
Class 2 | 0.76 | 0.82 |
Class 3 | 0.635 | 0.695 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
1,263,517,000 | 9,343,000 | (133,461,000) | (124,118,000) |
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
(35,030,151) | (25,905,288) | (60,935,439) |
32 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 1,033,333 | 5.35 | 3 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2023 | 33 |
June 30, 2023 (Unaudited)
34 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2023 | 35 |
June 30, 2023 (Unaudited)
36 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2023 |
• | 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 2023 | 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 one or more 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 2023 |
(Unaudited)
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2023 | 39 |
(Unaudited)
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 2023 |
June 30, 2023 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 04/25/11 | 16.75 | 19.29 | 11.99 | 12.52 | |
Class 2 | 04/25/11 | 16.60 | 19.00 | 11.71 | 12.25 | |
Class 3 | 05/01/00 | 16.67 | 19.12 | 11.85 | 12.38 | |
S&P 500 Index | 16.89 | 19.59 | 12.31 | 12.86 |
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2023) | |
Common Stocks | 99.2 |
Money Market Funds | 0.8 |
Total | 100.0 |
Equity sector breakdown (%) (at June 30, 2023) | |
Communication Services | 8.4 |
Consumer Discretionary | 10.6 |
Consumer Staples | 6.7 |
Energy | 4.1 |
Financials | 12.4 |
Health Care | 13.4 |
Industrials | 8.5 |
Information Technology | 28.3 |
Materials | 2.5 |
Real Estate | 2.5 |
Utilities | 2.6 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | |||||||
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 | 1,167.50 | 1,023.68 | 1.35 | 1.26 | 0.25 |
Class 2 | 1,000.00 | 1,000.00 | 1,166.00 | 1,022.44 | 2.70 | 2.52 | 0.50 |
Class 3 | 1,000.00 | 1,000.00 | 1,166.70 | 1,023.04 | 2.05 | 1.92 | 0.38 |
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (Unaudited)
Common Stocks 99.2% | ||
Issuer | Shares | Value ($) |
Communication Services 8.3% | ||
Diversified Telecommunication Services 0.7% | ||
AT&T, Inc. | 335,547 | 5,351,975 |
Verizon Communications, Inc. | 197,319 | 7,338,293 |
Total | 12,690,268 | |
Entertainment 1.4% | ||
Activision Blizzard, Inc.(a) | 33,578 | 2,830,625 |
Electronic Arts, Inc. | 12,228 | 1,585,972 |
Live Nation Entertainment, Inc.(a) | 6,755 | 615,448 |
Netflix, Inc.(a) | 20,865 | 9,190,824 |
Take-Two Interactive Software, Inc.(a) | 7,442 | 1,095,165 |
Walt Disney Co. (The)(a) | 85,767 | 7,657,278 |
Warner Bros Discovery, Inc.(a) | 104,051 | 1,304,799 |
Total | 24,280,111 | |
Interactive Media & Services 5.3% | ||
Alphabet, Inc., Class A(a) | 278,848 | 33,378,106 |
Alphabet, Inc., Class C(a) | 239,862 | 29,016,106 |
Match Group, Inc.(a) | 13,070 | 546,980 |
Meta Platforms, Inc., Class A(a) | 103,830 | 29,797,133 |
Total | 92,738,325 | |
Media 0.7% | ||
Charter Communications, Inc., Class A(a) | 4,877 | 1,791,663 |
Comcast Corp., Class A | 195,225 | 8,111,599 |
Fox Corp., Class A | 12,629 | 429,386 |
Fox Corp., Class B | 6,413 | 204,510 |
Interpublic Group of Companies, Inc. (The) | 18,119 | 699,031 |
News Corp., Class A | 17,880 | 348,660 |
News Corp., Class B | 5,512 | 108,697 |
Omnicom Group, Inc. | 9,364 | 890,985 |
Paramount Global, Class B | 23,797 | 378,610 |
Total | 12,963,141 | |
Wireless Telecommunication Services 0.2% | ||
T-Mobile US, Inc.(a) | 27,033 | 3,754,884 |
Total Communication Services | 146,426,729 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Consumer Discretionary 10.6% | ||
Auto Components 0.1% | ||
Aptiv PLC(a) | 12,697 | 1,296,237 |
BorgWarner, Inc. | 11,001 | 538,059 |
Total | 1,834,296 | |
Automobiles 2.2% | ||
Ford Motor Co. | 184,455 | 2,790,804 |
General Motors Co. | 65,247 | 2,515,924 |
Tesla, Inc.(a) | 126,450 | 33,100,817 |
Total | 38,407,545 | |
Broadline Retail 3.2% | ||
Amazon.com, Inc.(a) | 418,976 | 54,617,712 |
eBay, Inc. | 25,099 | 1,121,674 |
Etsy, Inc.(a) | 5,790 | 489,892 |
Total | 56,229,278 | |
Distributors 0.1% | ||
Genuine Parts Co. | 6,595 | 1,116,072 |
LKQ Corp. | 11,918 | 694,462 |
Pool Corp. | 1,832 | 686,340 |
Total | 2,496,874 | |
Hotels, Restaurants & Leisure 2.1% | ||
Booking Holdings, Inc.(a) | 1,734 | 4,682,372 |
Caesars Entertainment, Inc.(a) | 10,101 | 514,848 |
Carnival Corp.(a) | 47,143 | 887,703 |
Chipotle Mexican Grill, Inc.(a) | 1,295 | 2,770,005 |
Darden Restaurants, Inc. | 5,676 | 948,346 |
Domino’s Pizza, Inc. | 1,659 | 559,066 |
Expedia Group, Inc.(a) | 6,693 | 732,147 |
Hilton Worldwide Holdings, Inc. | 12,421 | 1,807,877 |
Las Vegas Sands Corp.(a) | 15,425 | 894,650 |
Marriott International, Inc., Class A | 12,103 | 2,223,200 |
McDonald’s Corp. | 34,268 | 10,225,914 |
MGM Resorts International | 14,173 | 622,478 |
Norwegian Cruise Line Holdings Ltd.(a) | 19,909 | 433,419 |
Royal Caribbean Cruises Ltd.(a) | 10,323 | 1,070,908 |
Starbucks Corp. | 53,808 | 5,330,221 |
6 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Wynn Resorts Ltd. | 4,861 | 513,370 |
Yum! Brands, Inc. | 13,146 | 1,821,378 |
Total | 36,037,902 | |
Household Durables 0.4% | ||
D.R. Horton, Inc. | 14,568 | 1,772,780 |
Garmin Ltd. | 7,183 | 749,115 |
Lennar Corp., Class A | 11,911 | 1,492,568 |
Mohawk Industries, Inc.(a) | 2,481 | 255,940 |
Newell Brands, Inc. | 17,687 | 153,877 |
NVR, Inc.(a) | 143 | 908,139 |
PulteGroup, Inc. | 10,477 | 813,853 |
Whirlpool Corp. | 2,570 | 382,390 |
Total | 6,528,662 | |
Leisure Products 0.0% | ||
Hasbro, Inc. | 6,115 | 396,068 |
Specialty Retail 2.1% | ||
Advance Auto Parts, Inc. | 2,790 | 196,137 |
AutoZone, Inc.(a) | 864 | 2,154,263 |
Bath & Body Works, Inc. | 10,746 | 402,975 |
Best Buy Co., Inc. | 9,134 | 748,531 |
CarMax, Inc.(a) | 7,426 | 621,556 |
Home Depot, Inc. (The) | 47,531 | 14,765,030 |
Lowe’s Companies, Inc. | 27,991 | 6,317,569 |
O’Reilly Automotive, Inc.(a) | 2,857 | 2,729,292 |
Ross Stores, Inc. | 16,055 | 1,800,247 |
TJX Companies, Inc. (The) | 54,047 | 4,582,645 |
Tractor Supply Co. | 5,143 | 1,137,118 |
Ulta Beauty, Inc.(a) | 2,351 | 1,106,369 |
Total | 36,561,732 | |
Textiles, Apparel & Luxury Goods 0.4% | ||
NIKE, Inc., Class B | 57,830 | 6,382,697 |
Ralph Lauren Corp. | 1,929 | 237,846 |
Tapestry, Inc. | 10,880 | 465,664 |
VF Corp. | 15,506 | 296,009 |
Total | 7,382,216 | |
Total Consumer Discretionary | 185,874,573 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Consumer Staples 6.6% | ||
Beverages 1.7% | ||
Brown-Forman Corp., Class B | 8,585 | 573,306 |
Coca-Cola Co. (The) | 182,681 | 11,001,050 |
Constellation Brands, Inc., Class A | 7,568 | 1,862,712 |
Keurig Dr. Pepper, Inc. | 39,533 | 1,236,197 |
Molson Coors Beverage Co., Class B | 8,812 | 580,182 |
Monster Beverage Corp.(a) | 35,864 | 2,060,028 |
PepsiCo, Inc. | 64,664 | 11,977,066 |
Total | 29,290,541 | |
Consumer Staples Distribution & Retail 1.8% | ||
Costco Wholesale Corp. | 20,815 | 11,206,380 |
Dollar General Corp. | 10,284 | 1,746,018 |
Dollar Tree, Inc.(a) | 9,759 | 1,400,416 |
Kroger Co. (The) | 30,652 | 1,440,644 |
Sysco Corp. | 23,782 | 1,764,624 |
Target Corp. | 21,664 | 2,857,482 |
Walgreens Boots Alliance, Inc. | 33,612 | 957,606 |
Walmart, Inc. | 65,834 | 10,347,788 |
Total | 31,720,958 | |
Food Products 1.0% | ||
Archer-Daniels-Midland Co. | 25,563 | 1,931,540 |
Bunge Ltd. | 7,068 | 666,866 |
Campbell Soup Co. | 9,418 | 430,497 |
ConAgra Foods, Inc. | 22,384 | 754,788 |
General Mills, Inc. | 27,568 | 2,114,466 |
Hershey Co. (The) | 6,913 | 1,726,176 |
Hormel Foods Corp. | 13,596 | 546,831 |
JM Smucker Co. (The) | 5,005 | 739,088 |
Kellogg Co. | 12,066 | 813,248 |
Kraft Heinz Co. (The) | 37,441 | 1,329,156 |
Lamb Weston Holdings, Inc. | 6,839 | 786,143 |
McCormick & Co., Inc. | 11,773 | 1,026,959 |
Mondelez International, Inc., Class A | 63,920 | 4,662,325 |
Tyson Foods, Inc., Class A | 13,405 | 684,191 |
Total | 18,212,274 |
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2023 | 7 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Household Products 1.4% | ||
Church & Dwight Co., Inc. | 11,465 | 1,149,137 |
Clorox Co. (The) | 5,802 | 922,750 |
Colgate-Palmolive Co. | 38,937 | 2,999,707 |
Kimberly-Clark Corp. | 15,835 | 2,186,180 |
Procter & Gamble Co. (The) | 110,627 | 16,786,541 |
Total | 24,044,315 | |
Personal Care Products 0.1% | ||
Estee Lauder Companies, Inc. (The), Class A | 10,883 | 2,137,203 |
Tobacco 0.6% | ||
Altria Group, Inc. | 83,783 | 3,795,370 |
Philip Morris International, Inc. | 72,854 | 7,112,007 |
Total | 10,907,377 | |
Total Consumer Staples | 116,312,668 | |
Energy 4.1% | ||
Energy Equipment & Services 0.4% | ||
Baker Hughes Co. | 47,516 | 1,501,981 |
Halliburton Co. | 42,346 | 1,396,994 |
Schlumberger NV | 66,900 | 3,286,128 |
Total | 6,185,103 | |
Oil, Gas & Consumable Fuels 3.7% | ||
APA Corp. | 14,484 | 494,918 |
Chevron Corp. | 81,795 | 12,870,443 |
ConocoPhillips Co. | 56,796 | 5,884,634 |
Coterra Energy, Inc. | 35,552 | 899,466 |
Devon Energy Corp. | 30,119 | 1,455,952 |
Diamondback Energy, Inc. | 8,500 | 1,116,560 |
EOG Resources, Inc. | 27,451 | 3,141,492 |
EQT Corp. | 16,974 | 698,141 |
Exxon Mobil Corp. | 189,763 | 20,352,082 |
Hess Corp. | 12,971 | 1,763,407 |
Kinder Morgan, Inc. | 92,571 | 1,594,073 |
Marathon Oil Corp. | 28,988 | 667,304 |
Marathon Petroleum Corp. | 19,914 | 2,321,972 |
Occidental Petroleum Corp. | 33,723 | 1,982,912 |
ONEOK, Inc. | 21,001 | 1,296,182 |
Phillips 66 | 21,537 | 2,054,199 |
Pioneer Natural Resources Co. | 10,971 | 2,272,972 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Targa Resources Corp. | 10,608 | 807,269 |
Valero Energy Corp. | 16,968 | 1,990,346 |
Williams Companies, Inc. (The) | 57,177 | 1,865,686 |
Total | 65,530,010 | |
Total Energy | 71,715,113 | |
Financials 12.3% | ||
Banks 3.0% | ||
Bank of America Corp. | 325,416 | 9,336,185 |
Citigroup, Inc. | 91,373 | 4,206,813 |
Citizens Financial Group, Inc. | 22,717 | 592,459 |
Comerica, Inc. | 6,180 | 261,785 |
Fifth Third Bancorp | 31,950 | 837,409 |
Huntington Bancshares, Inc. | 67,758 | 730,431 |
JPMorgan Chase & Co. | 137,161 | 19,948,696 |
KeyCorp | 43,898 | 405,618 |
M&T Bank Corp. | 7,785 | 963,472 |
PNC Financial Services Group, Inc. (The) | 18,733 | 2,359,421 |
Regions Financial Corp. | 44,041 | 784,811 |
Truist Financial Corp. | 62,515 | 1,897,330 |
U.S. Bancorp | 65,474 | 2,163,261 |
Wells Fargo & Co. | 176,115 | 7,516,588 |
Zions Bancorp | 6,951 | 186,704 |
Total | 52,190,983 | |
Capital Markets 2.6% | ||
Ameriprise Financial, Inc.(b) | 4,890 | 1,624,262 |
Bank of New York Mellon Corp. (The) | 33,705 | 1,500,547 |
BlackRock, Inc. | 7,029 | 4,858,023 |
Cboe Global Markets, Inc. | 4,955 | 683,840 |
Charles Schwab Corp. (The) | 69,751 | 3,953,487 |
CME Group, Inc. | 16,884 | 3,128,436 |
FactSet Research Systems, Inc. | 1,799 | 720,769 |
Franklin Resources, Inc. | 13,400 | 357,914 |
Goldman Sachs Group, Inc. (The) | 15,604 | 5,032,914 |
Intercontinental Exchange, Inc. | 26,278 | 2,971,516 |
Invesco Ltd. | 21,505 | 361,499 |
MarketAxess Holdings, Inc. | 1,768 | 462,191 |
Moody’s Corp. | 7,407 | 2,575,562 |
Morgan Stanley | 61,143 | 5,221,612 |
MSCI, Inc. | 3,758 | 1,763,592 |
8 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Nasdaq, Inc. | 15,894 | 792,316 |
Northern Trust Corp. | 9,779 | 725,015 |
Raymond James Financial, Inc. | 8,952 | 928,949 |
S&P Global, Inc. | 15,395 | 6,171,702 |
State Street Corp. | 15,689 | 1,148,121 |
T. Rowe Price Group, Inc. | 10,541 | 1,180,803 |
Total | 46,163,070 | |
Consumer Finance 0.5% | ||
American Express Co. | 27,908 | 4,861,573 |
Capital One Financial Corp. | 17,921 | 1,960,020 |
Discover Financial Services | 11,919 | 1,392,735 |
Synchrony Financial | 20,115 | 682,301 |
Total | 8,896,629 | |
Financial Services 4.2% | ||
Berkshire Hathaway, Inc., Class B(a) | 83,701 | 28,542,041 |
Fidelity National Information Services, Inc. | 27,807 | 1,521,043 |
Fiserv, Inc.(a) | 28,976 | 3,655,322 |
FleetCor Technologies, Inc.(a) | 3,465 | 869,992 |
Global Payments, Inc. | 12,295 | 1,211,303 |
Jack Henry & Associates, Inc. | 3,420 | 572,269 |
MasterCard, Inc., Class A | 39,274 | 15,446,464 |
PayPal Holdings, Inc.(a) | 52,367 | 3,494,450 |
Visa, Inc., Class A | 75,953 | 18,037,319 |
Total | 73,350,203 | |
Insurance 2.0% | ||
Aflac, Inc. | 25,808 | 1,801,398 |
Allstate Corp. (The) | 12,337 | 1,345,227 |
American International Group, Inc. | 33,970 | 1,954,634 |
Aon PLC, Class A | 9,587 | 3,309,432 |
Arch Capital Group Ltd.(a) | 17,480 | 1,308,378 |
Arthur J Gallagher & Co. | 10,054 | 2,207,557 |
Assurant, Inc. | 2,495 | 313,671 |
Brown & Brown, Inc. | 11,050 | 760,682 |
Chubb Ltd. | 19,440 | 3,743,366 |
Cincinnati Financial Corp. | 7,379 | 718,124 |
Everest Re Group Ltd. | 2,012 | 687,822 |
Globe Life, Inc. | 4,171 | 457,225 |
Hartford Financial Services Group, Inc. (The) | 14,561 | 1,048,683 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Lincoln National Corp. | 7,242 | 186,554 |
Loews Corp. | 8,878 | 527,176 |
Marsh & McLennan Companies, Inc. | 23,220 | 4,367,218 |
MetLife, Inc. | 30,194 | 1,706,867 |
Principal Financial Group, Inc. | 10,597 | 803,676 |
Progressive Corp. (The) | 27,475 | 3,636,866 |
Prudential Financial, Inc. | 17,132 | 1,511,385 |
Travelers Companies, Inc. (The) | 10,841 | 1,882,648 |
Willis Towers Watson PLC | 4,995 | 1,176,323 |
WR Berkley Corp. | 9,425 | 561,353 |
Total | 36,016,265 | |
Total Financials | 216,617,150 | |
Health Care 13.3% | ||
Biotechnology 1.9% | ||
AbbVie, Inc. | 82,809 | 11,156,857 |
Amgen, Inc. | 25,079 | 5,568,040 |
Biogen, Inc.(a) | 6,794 | 1,935,271 |
Gilead Sciences, Inc. | 58,546 | 4,512,140 |
Incyte Corp.(a) | 8,691 | 541,015 |
Moderna, Inc.(a) | 15,388 | 1,869,642 |
Regeneron Pharmaceuticals, Inc.(a) | 5,064 | 3,638,686 |
Vertex Pharmaceuticals, Inc.(a) | 12,089 | 4,254,240 |
Total | 33,475,891 | |
Health Care Equipment & Supplies 2.9% | ||
Abbott Laboratories | 81,619 | 8,898,103 |
Align Technology, Inc.(a) | 3,340 | 1,181,158 |
Baxter International, Inc. | 23,743 | 1,081,731 |
Becton Dickinson & Co. | 13,331 | 3,519,517 |
Boston Scientific Corp.(a) | 67,480 | 3,649,993 |
Cooper Companies, Inc. (The) | 2,321 | 889,941 |
Dentsply Sirona, Inc. | 9,973 | 399,120 |
DexCom, Inc.(a) | 18,194 | 2,338,111 |
Edwards Lifesciences Corp.(a) | 28,454 | 2,684,066 |
GE HealthCare Technologies, Inc. | 18,352 | 1,490,917 |
Hologic, Inc.(a) | 11,552 | 935,365 |
IDEXX Laboratories, Inc.(a) | 3,896 | 1,956,688 |
Insulet Corp.(a) | 3,271 | 943,160 |
Intuitive Surgical, Inc.(a) | 16,446 | 5,623,545 |
Medtronic PLC | 62,445 | 5,501,405 |
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2023 | 9 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
ResMed, Inc. | 6,896 | 1,506,776 |
STERIS PLC | 4,660 | 1,048,407 |
Stryker Corp. | 15,857 | 4,837,812 |
Teleflex, Inc. | 2,205 | 533,676 |
Zimmer Biomet Holdings, Inc. | 9,789 | 1,425,278 |
Total | 50,444,769 | |
Health Care Providers & Services 2.8% | ||
AmerisourceBergen Corp. | 7,602 | 1,462,853 |
Cardinal Health, Inc. | 11,950 | 1,130,111 |
Centene Corp.(a) | 25,757 | 1,737,310 |
Cigna Group (The) | 13,887 | 3,896,692 |
CVS Health Corp. | 60,173 | 4,159,759 |
DaVita, Inc.(a) | 2,597 | 260,921 |
Elevance Health, Inc. | 11,126 | 4,943,171 |
HCA Healthcare, Inc. | 9,684 | 2,938,900 |
Henry Schein, Inc.(a) | 6,149 | 498,684 |
Humana, Inc. | 5,864 | 2,621,970 |
Laboratory Corp. of America Holdings | 4,159 | 1,003,691 |
McKesson Corp. | 6,365 | 2,719,828 |
Molina Healthcare, Inc.(a) | 2,736 | 824,193 |
Quest Diagnostics, Inc. | 5,257 | 738,924 |
UnitedHealth Group, Inc. | 43,699 | 21,003,487 |
Universal Health Services, Inc., Class B | 2,954 | 466,053 |
Total | 50,406,547 | |
Life Sciences Tools & Services 1.6% | ||
Agilent Technologies, Inc. | 13,879 | 1,668,950 |
Bio-Rad Laboratories, Inc., Class A(a) | 1,002 | 379,878 |
Bio-Techne Corp. | 7,389 | 603,164 |
Charles River Laboratories International, Inc.(a) | 2,402 | 505,020 |
Danaher Corp. | 31,171 | 7,481,040 |
Illumina, Inc.(a) | 7,421 | 1,391,363 |
IQVIA Holdings, Inc.(a) | 8,709 | 1,957,522 |
Mettler-Toledo International, Inc.(a) | 1,034 | 1,356,236 |
Revvity, Inc. | 5,888 | 699,436 |
Thermo Fisher Scientific, Inc. | 18,104 | 9,445,762 |
Waters Corp.(a) | 2,771 | 738,582 |
West Pharmaceutical Services, Inc. | 3,485 | 1,332,908 |
Total | 27,559,861 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Pharmaceuticals 4.1% | ||
Bristol-Myers Squibb Co. | 98,606 | 6,305,854 |
Catalent, Inc.(a) | 8,453 | 366,522 |
Eli Lilly & Co. | 36,981 | 17,343,349 |
Johnson & Johnson | 121,975 | 20,189,302 |
Merck & Co., Inc. | 119,097 | 13,742,603 |
Organon & Co. | 11,972 | 249,137 |
Pfizer, Inc. | 264,969 | 9,719,063 |
Viatris, Inc. | 56,278 | 561,655 |
Zoetis, Inc. | 21,690 | 3,735,235 |
Total | 72,212,720 | |
Total Health Care | 234,099,788 | |
Industrials 8.4% | ||
Aerospace & Defense 1.6% | ||
Axon Enterprise, Inc.(a) | 3,294 | 642,725 |
Boeing Co. (The)(a) | 26,542 | 5,604,609 |
General Dynamics Corp. | 10,559 | 2,271,769 |
Howmet Aerospace, Inc. | 17,264 | 855,604 |
Huntington Ingalls Industries, Inc. | 1,872 | 426,067 |
L3Harris Technologies, Inc. | 8,892 | 1,740,787 |
Lockheed Martin Corp. | 10,579 | 4,870,360 |
Northrop Grumman Corp. | 6,700 | 3,053,860 |
Raytheon Technologies Corp. | 68,580 | 6,718,097 |
Textron, Inc. | 9,466 | 640,186 |
TransDigm Group, Inc. | 2,449 | 2,189,822 |
Total | 29,013,886 | |
Air Freight & Logistics 0.6% | ||
CH Robinson Worldwide, Inc. | 5,465 | 515,623 |
Expeditors International of Washington, Inc. | 7,171 | 868,623 |
FedEx Corp. | 10,854 | 2,690,707 |
United Parcel Service, Inc., Class B | 34,018 | 6,097,726 |
Total | 10,172,679 | |
Building Products 0.4% | ||
Allegion PLC | 4,128 | 495,442 |
AO Smith Corp. | 5,845 | 425,399 |
Carrier Global Corp. | 39,184 | 1,947,837 |
Johnson Controls International PLC | 32,203 | 2,194,312 |
10 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Masco Corp. | 10,565 | 606,220 |
Trane Technologies PLC | 10,704 | 2,047,247 |
Total | 7,716,457 | |
Commercial Services & Supplies 0.5% | ||
Cintas Corp. | 4,057 | 2,016,654 |
Copart, Inc.(a) | 20,133 | 1,836,331 |
Republic Services, Inc. | 9,649 | 1,477,937 |
Rollins, Inc. | 10,871 | 465,605 |
Waste Management, Inc. | 17,376 | 3,013,346 |
Total | 8,809,873 | |
Construction & Engineering 0.1% | ||
Quanta Services, Inc. | 6,814 | 1,338,610 |
Electrical Equipment 0.6% | ||
AMETEK, Inc. | 10,818 | 1,751,218 |
Eaton Corp. PLC | 18,709 | 3,762,380 |
Emerson Electric Co. | 26,824 | 2,424,621 |
Generac Holdings, Inc.(a) | 2,919 | 435,311 |
Rockwell Automation, Inc. | 5,392 | 1,776,394 |
Total | 10,149,924 | |
Ground Transportation 0.8% | ||
CSX Corp. | 95,424 | 3,253,958 |
JB Hunt Transport Services, Inc. | 3,892 | 704,569 |
Norfolk Southern Corp. | 10,685 | 2,422,931 |
Old Dominion Freight Line, Inc. | 4,220 | 1,560,345 |
Union Pacific Corp. | 28,617 | 5,855,610 |
Total | 13,797,413 | |
Industrial Conglomerates 0.8% | ||
3M Co. | 25,893 | 2,591,630 |
General Electric Co. | 51,112 | 5,614,653 |
Honeywell International, Inc. | 31,233 | 6,480,848 |
Total | 14,687,131 | |
Machinery 1.8% | ||
Caterpillar, Inc. | 24,189 | 5,951,703 |
Cummins, Inc. | 6,644 | 1,628,843 |
Deere & Co. | 12,656 | 5,128,085 |
Dover Corp. | 6,564 | 969,175 |
Fortive Corp. | 16,594 | 1,240,733 |
IDEX Corp. | 3,547 | 763,527 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Illinois Tool Works, Inc. | 12,980 | 3,247,077 |
Ingersoll Rand, Inc. | 18,987 | 1,240,990 |
Nordson Corp. | 2,526 | 626,903 |
Otis Worldwide Corp. | 19,398 | 1,726,616 |
PACCAR, Inc. | 24,528 | 2,051,767 |
Parker-Hannifin Corp. | 6,022 | 2,348,821 |
Pentair PLC | 7,742 | 500,133 |
Snap-On, Inc. | 2,484 | 715,864 |
Stanley Black & Decker, Inc. | 7,188 | 673,588 |
Westinghouse Air Brake Technologies Corp. | 8,442 | 925,834 |
Xylem, Inc. | 11,230 | 1,264,723 |
Total | 31,004,382 | |
Passenger Airlines 0.2% | ||
Alaska Air Group, Inc.(a) | 6,004 | 319,293 |
American Airlines Group, Inc.(a) | 30,643 | 549,735 |
Delta Air Lines, Inc.(a) | 30,167 | 1,434,139 |
Southwest Airlines Co. | 27,930 | 1,011,345 |
United Airlines Holdings, Inc.(a) | 15,394 | 844,669 |
Total | 4,159,181 | |
Professional Services 0.7% | ||
Automatic Data Processing, Inc. | 19,390 | 4,261,728 |
Broadridge Financial Solutions, Inc. | 5,538 | 917,259 |
Ceridian HCM Holding, Inc.(a) | 7,277 | 487,341 |
Equifax, Inc. | 5,756 | 1,354,387 |
Jacobs Solutions, Inc. | 5,954 | 707,871 |
Leidos Holdings, Inc. | 6,438 | 569,634 |
Paychex, Inc. | 15,059 | 1,684,650 |
Paycom Software, Inc. | 2,282 | 733,070 |
Robert Half International, Inc. | 5,058 | 380,463 |
Verisk Analytics, Inc. | 6,796 | 1,536,100 |
Total | 12,632,503 | |
Trading Companies & Distributors 0.3% | ||
Fastenal Co. | 26,802 | 1,581,050 |
United Rentals, Inc. | 3,226 | 1,436,763 |
W.W. Grainger, Inc. | 2,096 | 1,652,885 |
Total | 4,670,698 | |
Total Industrials | 148,152,737 |
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2023 | 11 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Information Technology 28.0% | ||
Communications Equipment 0.9% | ||
Arista Networks, Inc.(a) | 11,720 | 1,899,343 |
Cisco Systems, Inc. | 192,242 | 9,946,601 |
F5, Inc.(a) | 2,838 | 415,086 |
Juniper Networks, Inc. | 15,094 | 472,895 |
Motorola Solutions, Inc. | 7,872 | 2,308,700 |
Total | 15,042,625 | |
Electronic Equipment, Instruments & Components 0.6% | ||
Amphenol Corp., Class A | 27,942 | 2,373,673 |
CDW Corp. | 6,326 | 1,160,821 |
Corning, Inc. | 35,912 | 1,258,357 |
Keysight Technologies, Inc.(a) | 8,361 | 1,400,049 |
TE Connectivity Ltd. | 14,790 | 2,072,966 |
Teledyne Technologies, Inc.(a) | 2,208 | 907,731 |
Trimble Navigation Ltd.(a) | 11,628 | 615,586 |
Zebra Technologies Corp., Class A(a) | 2,414 | 714,134 |
Total | 10,503,317 | |
IT Services 1.1% | ||
Accenture PLC, Class A | 29,642 | 9,146,928 |
Akamai Technologies, Inc.(a) | 7,144 | 642,031 |
Cognizant Technology Solutions Corp., Class A | 23,819 | 1,554,904 |
DXC Technology Co.(a) | 10,687 | 285,557 |
EPAM Systems, Inc.(a) | 2,718 | 610,871 |
Gartner, Inc.(a) | 3,710 | 1,299,650 |
International Business Machines Corp. | 42,620 | 5,702,982 |
VeriSign, Inc.(a) | 4,251 | 960,599 |
Total | 20,203,522 | |
Semiconductors & Semiconductor Equipment 7.3% | ||
Advanced Micro Devices, Inc.(a) | 75,584 | 8,609,773 |
Analog Devices, Inc. | 23,743 | 4,625,374 |
Applied Materials, Inc. | 39,667 | 5,733,468 |
Broadcom, Inc. | 19,569 | 16,974,738 |
Enphase Energy, Inc.(a) | 6,432 | 1,077,231 |
First Solar, Inc.(a) | 4,663 | 886,390 |
Intel Corp. | 195,771 | 6,546,582 |
KLA Corp. | 6,440 | 3,123,529 |
Lam Research Corp. | 6,305 | 4,053,232 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Microchip Technology, Inc. | 25,711 | 2,303,449 |
Micron Technology, Inc. | 51,367 | 3,241,771 |
Monolithic Power Systems, Inc. | 2,115 | 1,142,586 |
NVIDIA Corp. | 116,079 | 49,103,739 |
NXP Semiconductors NV | 12,191 | 2,495,254 |
ON Semiconductor Corp.(a) | 20,270 | 1,917,137 |
Qorvo, Inc.(a) | 4,688 | 478,317 |
QUALCOMM, Inc. | 52,287 | 6,224,245 |
Skyworks Solutions, Inc. | 7,470 | 826,854 |
SolarEdge Technologies, Inc.(a) | 2,645 | 711,637 |
Teradyne, Inc. | 7,277 | 810,148 |
Texas Instruments, Inc. | 42,602 | 7,669,212 |
Total | 128,554,666 | |
Software 10.2% | ||
Adobe, Inc.(a) | 21,530 | 10,527,955 |
ANSYS, Inc.(a) | 4,068 | 1,343,538 |
Autodesk, Inc.(a) | 10,052 | 2,056,740 |
Cadence Design Systems, Inc.(a) | 12,799 | 3,001,621 |
Fair Isaac Corp.(a) | 1,173 | 949,203 |
Fortinet, Inc.(a) | 30,589 | 2,312,222 |
Gen Digital, Inc. | 26,698 | 495,248 |
Intuit, Inc. | 13,168 | 6,033,446 |
Microsoft Corp. | 348,993 | 118,846,076 |
Oracle Corp. | 72,229 | 8,601,752 |
Palo Alto Networks, Inc.(a) | 14,203 | 3,629,009 |
PTC, Inc.(a) | 5,000 | 711,500 |
Roper Technologies, Inc. | 5,003 | 2,405,442 |
Salesforce, Inc.(a) | 45,952 | 9,707,820 |
ServiceNow, Inc.(a) | 9,563 | 5,374,119 |
Synopsys, Inc.(a) | 7,148 | 3,112,311 |
Tyler Technologies, Inc.(a) | 1,968 | 819,613 |
Total | 179,927,615 | |
Technology Hardware, Storage & Peripherals 7.9% | ||
Apple, Inc.(c) | 693,950 | 134,605,482 |
Hewlett Packard Enterprise Co. | 60,823 | 1,021,826 |
HP, Inc. | 40,689 | 1,249,559 |
NetApp, Inc. | 10,040 | 767,056 |
12 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Seagate Technology Holdings PLC | 9,039 | 559,243 |
Western Digital Corp.(a) | 15,017 | 569,595 |
Total | 138,772,761 | |
Total Information Technology | 493,004,506 | |
Materials 2.5% | ||
Chemicals 1.7% | ||
Air Products & Chemicals, Inc. | 10,426 | 3,122,900 |
Albemarle Corp. | 5,507 | 1,228,557 |
Celanese Corp., Class A | 4,698 | 544,028 |
CF Industries Holdings, Inc. | 9,149 | 635,124 |
Corteva, Inc. | 33,366 | 1,911,872 |
Dow, Inc. | 33,199 | 1,768,179 |
DuPont de Nemours, Inc. | 21,544 | 1,539,103 |
Eastman Chemical Co. | 5,593 | 468,246 |
Ecolab, Inc. | 11,626 | 2,170,458 |
FMC Corp. | 5,869 | 612,371 |
International Flavors & Fragrances, Inc. | 11,973 | 952,931 |
Linde PLC | 22,980 | 8,757,218 |
LyondellBasell Industries NV, Class A | 11,908 | 1,093,512 |
Mosaic Co. (The) | 15,588 | 545,580 |
PPG Industries, Inc. | 11,050 | 1,638,715 |
Sherwin-Williams Co. (The) | 11,015 | 2,924,703 |
Total | 29,913,497 | |
Construction Materials 0.2% | ||
Martin Marietta Materials, Inc. | 2,909 | 1,343,056 |
Vulcan Materials Co. | 6,245 | 1,407,873 |
Total | 2,750,929 | |
Containers & Packaging 0.2% | ||
Amcor PLC | 69,064 | 689,259 |
Avery Dennison Corp. | 3,789 | 650,950 |
Ball Corp. | 14,764 | 859,412 |
International Paper Co. | 16,290 | 518,185 |
Packaging Corp. of America | 4,221 | 557,847 |
Sealed Air Corp. | 6,777 | 271,080 |
WestRock Co. | 12,022 | 349,480 |
Total | 3,896,213 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Metals & Mining 0.4% | ||
Freeport-McMoRan, Inc. | 67,273 | 2,690,920 |
Newmont Corp. | 37,301 | 1,591,261 |
Nucor Corp. | 11,791 | 1,933,488 |
Steel Dynamics, Inc. | 7,537 | 821,005 |
Total | 7,036,674 | |
Total Materials | 43,597,313 | |
Real Estate 2.5% | ||
Health Care REITs 0.2% | ||
Healthpeak Properties, Inc. | 25,674 | 516,047 |
Ventas, Inc. | 18,777 | 887,589 |
Welltower, Inc. | 23,329 | 1,887,083 |
Total | 3,290,719 | |
Hotel & Resort REITs 0.0% | ||
Host Hotels & Resorts, Inc. | 33,383 | 561,836 |
Industrial REITs 0.3% | ||
Prologis, Inc. | 43,344 | 5,315,275 |
Office REITs 0.1% | ||
Alexandria Real Estate Equities, Inc. | 7,390 | 838,691 |
Boston Properties, Inc. | 6,699 | 385,795 |
Total | 1,224,486 | |
Real Estate Management & Development 0.2% | ||
CBRE Group, Inc., Class A(a) | 14,589 | 1,177,478 |
CoStar Group, Inc.(a) | 19,175 | 1,706,575 |
Total | 2,884,053 | |
Residential REITs 0.3% | ||
AvalonBay Communities, Inc. | 6,665 | 1,261,484 |
Camden Property Trust | 5,011 | 545,548 |
Equity Residential | 16,006 | 1,055,916 |
Essex Property Trust, Inc. | 3,012 | 705,712 |
Invitation Homes, Inc. | 27,285 | 938,604 |
Mid-America Apartment Communities, Inc. | 5,476 | 831,585 |
UDR, Inc. | 14,523 | 623,908 |
Total | 5,962,757 |
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2023 | 13 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Retail REITs 0.3% | ||
Federal Realty Investment Trust | 3,443 | 333,179 |
Kimco Realty Corp. | 29,095 | 573,753 |
Realty Income Corp. | 31,598 | 1,889,245 |
Regency Centers Corp. | 7,223 | 446,165 |
Simon Property Group, Inc. | 15,348 | 1,772,387 |
Total | 5,014,729 | |
Specialized REITs 1.1% | ||
American Tower Corp. | 21,874 | 4,242,243 |
Crown Castle, Inc. | 20,355 | 2,319,249 |
Digital Realty Trust, Inc. | 13,675 | 1,557,172 |
Equinix, Inc. | 4,390 | 3,441,497 |
Extra Space Storage, Inc. | 6,339 | 943,560 |
Iron Mountain, Inc. | 13,688 | 777,752 |
Public Storage | 7,427 | 2,167,793 |
SBA Communications Corp. | 5,085 | 1,178,500 |
VICI Properties, Inc. | 47,135 | 1,481,453 |
Weyerhaeuser Co. | 34,371 | 1,151,772 |
Total | 19,260,991 | |
Total Real Estate | 43,514,846 | |
Utilities 2.6% | ||
Electric Utilities 1.7% | ||
Alliant Energy Corp. | 11,799 | 619,212 |
American Electric Power Co., Inc. | 24,162 | 2,034,440 |
Constellation Energy Corp. | 15,227 | 1,394,032 |
Duke Energy Corp. | 36,171 | 3,245,986 |
Edison International | 17,976 | 1,248,433 |
Entergy Corp. | 9,925 | 966,397 |
Evergy, Inc. | 10,780 | 629,768 |
Eversource Energy | 16,373 | 1,161,173 |
Exelon Corp. | 46,681 | 1,901,784 |
FirstEnergy Corp. | 25,543 | 993,112 |
NextEra Energy, Inc. | 94,972 | 7,046,922 |
NRG Energy, Inc. | 10,806 | 404,036 |
PG&E Corp.(a) | 75,876 | 1,311,137 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Pinnacle West Capital Corp. | 5,316 | 433,041 |
PPL Corp. | 34,595 | 915,384 |
Southern Co. (The) | 51,179 | 3,595,325 |
Xcel Energy, Inc. | 25,832 | 1,605,975 |
Total | 29,506,157 | |
Gas Utilities 0.1% | ||
Atmos Energy Corp. | 6,782 | 789,018 |
Independent Power and Renewable Electricity Producers 0.0% | ||
AES Corp. (The) | 31,416 | 651,254 |
Multi-Utilities 0.7% | ||
Ameren Corp. | 12,326 | 1,006,664 |
CenterPoint Energy, Inc. | 29,618 | 863,365 |
CMS Energy Corp. | 13,689 | 804,229 |
Consolidated Edison, Inc. | 16,265 | 1,470,356 |
Dominion Energy, Inc. | 39,236 | 2,032,032 |
DTE Energy Co. | 9,674 | 1,064,334 |
NiSource, Inc. | 19,388 | 530,262 |
Public Service Enterprise Group, Inc. | 23,420 | 1,466,326 |
Sempra Energy | 14,769 | 2,150,219 |
WEC Energy Group, Inc. | 14,805 | 1,306,393 |
Total | 12,694,180 | |
Water Utilities 0.1% | ||
American Water Works Co., Inc. | 9,136 | 1,304,164 |
Total Utilities | 44,944,773 | |
Total Common Stocks (Cost $990,004,659) | 1,744,260,196 | |
Money Market Funds 0.8% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(b),(d) | 14,928,243 | 14,922,272 |
Total Money Market Funds (Cost $14,921,975) | 14,922,272 | |
Total Investments in Securities (Cost: $1,004,926,634) | 1,759,182,468 | |
Other Assets & Liabilities, Net | (235,536) | |
Net Assets | 1,758,946,932 |
14 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | 74 | 09/2023 | USD | 16,606,525 | 309,941 | — |
(a) | Non-income producing investment. |
(b) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Ameriprise Financial, Inc. | ||||||||
1,556,539 | — | (3,302) | 71,025 | 1,624,262 | 30,381 | 12,943 | 4,890 | |
Columbia Short-Term Cash Fund, 5.323% | ||||||||
15,170,108 | 30,118,591 | (30,365,383) | (1,044) | 14,922,272 | (776) | 329,269 | 14,928,243 | |
Total | 16,726,647 | 69,981 | 16,546,534 | 29,605 | 342,212 |
(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, 2023. |
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 2023 | 15 |
June 30, 2023 (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 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. Representatives of Columbia Management Investment Advisers, LLC report to 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 | 146,426,729 | — | — | 146,426,729 |
Consumer Discretionary | 185,874,573 | — | — | 185,874,573 |
Consumer Staples | 116,312,668 | — | — | 116,312,668 |
Energy | 71,715,113 | — | — | 71,715,113 |
Financials | 216,617,150 | — | — | 216,617,150 |
Health Care | 234,099,788 | — | — | 234,099,788 |
Industrials | 148,152,737 | — | — | 148,152,737 |
Information Technology | 493,004,506 | — | — | 493,004,506 |
Materials | 43,597,313 | — | — | 43,597,313 |
Real Estate | 43,514,846 | — | — | 43,514,846 |
Utilities | 44,944,773 | — | — | 44,944,773 |
Total Common Stocks | 1,744,260,196 | — | — | 1,744,260,196 |
Money Market Funds | 14,922,272 | — | — | 14,922,272 |
Total Investments in Securities | 1,759,182,468 | — | — | 1,759,182,468 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 309,941 | — | — | 309,941 |
Total | 1,759,492,409 | — | — | 1,759,492,409 |
16 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $989,437,697) | $1,742,635,934 |
Affiliated issuers (cost $15,488,937) | 16,546,534 |
Receivable for: | |
Capital shares sold | 51,295 |
Dividends | 1,161,597 |
Foreign tax reclaims | 18,884 |
Variation margin for futures contracts | 225,750 |
Expense reimbursement due from Investment Manager | 67 |
Prepaid expenses | 8,762 |
Total assets | 1,760,648,823 |
Liabilities | |
Due to custodian | 2,482 |
Payable for: | |
Capital shares redeemed | 1,495,127 |
Variation margin for futures contracts | 12,571 |
Management services fees | 9,536 |
Distribution and/or service fees | 3,297 |
Service fees | 42,695 |
Compensation of board members | 89,269 |
Compensation of chief compliance officer | 149 |
Other expenses | 46,765 |
Total liabilities | 1,701,891 |
Net assets applicable to outstanding capital stock | $1,758,946,932 |
Represented by | |
Trust capital | $1,758,946,932 |
Total - representing net assets applicable to outstanding capital stock | $1,758,946,932 |
Class 1 | |
Net assets | $887,856,654 |
Shares outstanding | 23,729,899 |
Net asset value per share | $37.42 |
Class 2 | |
Net assets | $102,483,793 |
Shares outstanding | 2,821,833 |
Net asset value per share | $36.32 |
Class 3 | |
Net assets | $768,606,485 |
Shares outstanding | 20,839,946 |
Net asset value per share | $36.88 |
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2023 | 17 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $13,629,570 |
Dividends — affiliated issuers | 342,212 |
Foreign taxes withheld | (3,707) |
Total income | 13,968,075 |
Expenses: | |
Management services fees | 1,622,561 |
Distribution and/or service fees | |
Class 2 | 104,768 |
Class 3 | 445,364 |
Service fees | 252,058 |
Compensation of board members | 19,476 |
Custodian fees | 7,970 |
Printing and postage fees | 12,225 |
Licensing fees and expenses | 73,479 |
Accounting services fees | 15,045 |
Legal fees | 16,546 |
Interest on collateral | 322 |
Compensation of chief compliance officer | 158 |
Other | 14,044 |
Total expenses | 2,584,016 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (4,015) |
Total net expenses | 2,580,001 |
Net investment income | 11,388,074 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 8,171,637 |
Investments — affiliated issuers | 29,605 |
Futures contracts | 891,573 |
Net realized gain | 9,092,815 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 232,120,835 |
Investments — affiliated issuers | 69,981 |
Futures contracts | 848,139 |
Net change in unrealized appreciation (depreciation) | 233,038,955 |
Net realized and unrealized gain | 242,131,770 |
Net increase in net assets resulting from operations | $253,519,844 |
18 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment income | $11,388,074 | $20,795,445 |
Net realized gain | 9,092,815 | 14,845,162 |
Net change in unrealized appreciation (depreciation) | 233,038,955 | (375,320,548) |
Net increase (decrease) in net assets resulting from operations | 253,519,844 | (339,679,941) |
Increase (decrease) in net assets from capital stock activity | (19,513,406) | 14,682,657 |
Total increase (decrease) in net assets | 234,006,438 | (324,997,284) |
Net assets at beginning of period | 1,524,940,494 | 1,849,937,778 |
Net assets at end of period | $1,758,946,932 | $1,524,940,494 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Shares sold | 425,693 | 14,632,720 | 1,277,557 | 41,750,318 |
Shares redeemed | (1,083,142) | (37,593,501) | (1,045,214) | (35,602,655) |
Net increase (decrease) | (657,449) | (22,960,781) | 232,343 | 6,147,663 |
Class 2 | ||||
Shares sold | 654,484 | 21,902,386 | 1,209,861 | 40,293,552 |
Shares redeemed | (60,270) | (2,051,306) | (111,912) | (3,687,478) |
Net increase | 594,214 | 19,851,080 | 1,097,949 | 36,606,074 |
Class 3 | ||||
Shares sold | 251,979 | 8,543,008 | 708,135 | 23,521,650 |
Shares redeemed | (733,274) | (24,946,713) | (1,544,160) | (51,592,730) |
Net decrease | (481,295) | (16,403,705) | (836,025) | (28,071,080) |
Total net increase (decrease) | (544,530) | (19,513,406) | 494,267 | 14,682,657 |
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2023 | 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 6/30/2023 (Unaudited) | $32.05 | 0.25 | 5.12 | 5.37 |
Year Ended 12/31/2022 | $39.25 | 0.46 | (7.66) | (7.20) |
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) |
Class 2 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $31.15 | 0.20 | 4.97 | 5.17 |
Year Ended 12/31/2022 | $38.24 | 0.37 | (7.46) | (7.09) |
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) |
Class 3 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $31.61 | 0.23 | 5.04 | 5.27 |
Year Ended 12/31/2022 | $38.76 | 0.41 | (7.56) | (7.15) |
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) |
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) | Ratios include interest on collateral expense which is less than 0.01%. |
(d) | Ratios include interfund lending expense which is less than 0.01%. |
20 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2023 |
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 6/30/2023 (Unaudited) | $37.42 | 16.75% | 0.25%(c) | 0.25%(c) | 1.47% | 1% | $887,857 |
Year Ended 12/31/2022 | $32.05 | (18.34%) | 0.25%(c) | 0.25%(c) | 1.36% | 2% | $781,574 |
Year Ended 12/31/2021 | $39.25 | 28.39% | 0.25%(c) | 0.25%(c) | 1.14% | 5% | $947,973 |
Year Ended 12/31/2020 | $30.57 | 18.03% | 0.26%(d) | 0.26%(d) | 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 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $36.32 | 16.60% | 0.50%(c) | 0.50%(c) | 1.23% | 1% | $102,484 |
Year Ended 12/31/2022 | $31.15 | (18.54%) | 0.50%(c) | 0.50%(c) | 1.15% | 2% | $69,385 |
Year Ended 12/31/2021 | $38.24 | 28.07% | 0.50%(c) | 0.50%(c) | 0.89% | 5% | $43,195 |
Year Ended 12/31/2020 | $29.86 | 17.74% | 0.51%(d) | 0.51%(d) | 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 |
Class 3 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $36.88 | 16.67% | 0.38%(c) | 0.38%(c) | 1.35% | 1% | $768,606 |
Year Ended 12/31/2022 | $31.61 | (18.45%) | 0.38%(c) | 0.38%(c) | 1.23% | 2% | $673,982 |
Year Ended 12/31/2021 | $38.76 | 28.22% | 0.38%(c) | 0.38%(c) | 1.01% | 5% | $858,770 |
Year Ended 12/31/2020 | $30.23 | 17.85% | 0.38%(d) | 0.38%(d) | 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% | $442,813 |
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2023 | 21 |
June 30, 2023 (Unaudited)
22 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2023 | 23 |
June 30, 2023 (Unaudited)
24 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 309,941* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin for futures and centrally cleared swaps, if any, 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 ($) |
Equity risk | 891,573 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Equity risk | 848,139 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 15,751,213 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2023. |
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2023 | 25 |
June 30, 2023 (Unaudited)
26 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2023 | 27 |
June 30, 2023 (Unaudited)
May 1, 2023 through April 30, 2024 | Prior to May 1, 2023 | |
Class 1 | 0.25% | 0.26% |
Class 2 | 0.50 | 0.51 |
Class 3 | 0.375 | 0.385 |
28 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2023 | 29 |
June 30, 2023 (Unaudited)
30 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2023 |
• | 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 Index Fund | Semiannual Report 2023 | 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 one or more 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 – Large Cap Index Fund | Semiannual Report 2023 |
(Unaudited)
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2023 | 33 |
(Unaudited)
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 – Large Cap Index Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | 20.19 | 27.40 | 9.49 | 11.06 | |
Class 2 | 05/03/10 | 20.03 | 27.08 | 9.22 | 10.78 | |
Class 3 | 05/01/01 | 20.12 | 27.26 | 9.35 | 10.92 | |
Russell Midcap Growth Index | 15.94 | 23.13 | 9.71 | 11.53 |
Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2023) | |
Common Stocks | 95.9 |
Money Market Funds | 4.1 |
Total | 100.0 |
Equity sector breakdown (%) (at June 30, 2023) | |
Communication Services | 11.7 |
Consumer Discretionary | 14.6 |
Consumer Staples | 1.0 |
Energy | 4.4 |
Health Care | 18.7 |
Industrials | 17.8 |
Information Technology | 23.7 |
Materials | 6.1 |
Real Estate | 2.0 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | |||||||
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 | 1,201.90 | 1,020.79 | 4.56 | 4.18 | 0.83 |
Class 2 | 1,000.00 | 1,000.00 | 1,200.30 | 1,019.55 | 5.92 | 5.44 | 1.08 |
Class 3 | 1,000.00 | 1,000.00 | 1,201.20 | 1,020.14 | 5.27 | 4.84 | 0.96 |
Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (Unaudited)
Common Stocks 94.9% | ||
Issuer | Shares | Value ($) |
Communication Services 11.1% | ||
Entertainment 7.8% | ||
Activision Blizzard, Inc.(a) | 58,592 | 4,939,306 |
Endeavor Group Holdings, Inc., Class A(a) | 281,823 | 6,741,206 |
Liberty Media Group LLC, Class C(a) | 78,078 | 5,877,712 |
Spotify Technology SA(a) | 38,621 | 6,200,602 |
Take-Two Interactive Software, Inc.(a) | 86,434 | 12,719,627 |
Total | 36,478,453 | |
Interactive Media & Services 0.8% | ||
Pinterest, Inc., Class A(a) | 140,901 | 3,852,233 |
Media 2.5% | ||
Trade Desk, Inc. (The), Class A(a) | 154,484 | 11,929,254 |
Total Communication Services | 52,259,940 | |
Consumer Discretionary 13.8% | ||
Automobiles 0.8% | ||
Ferrari NV | 11,211 | 3,645,929 |
Hotels, Restaurants & Leisure 9.1% | ||
Booking Holdings, Inc.(a) | 3,472 | 9,375,546 |
Churchill Downs, Inc. | 37,709 | 5,247,962 |
DraftKings, Inc., Class A(a) | 180,404 | 4,793,334 |
Flutter Entertainment PLC(a) | 33,220 | 6,676,795 |
Hilton Worldwide Holdings, Inc. | 45,850 | 6,673,468 |
Norwegian Cruise Line Holdings Ltd.(a) | 111,910 | 2,436,281 |
Restaurant Brands International, Inc. | 98,647 | 7,647,115 |
Total | 42,850,501 | |
Specialty Retail 2.1% | ||
Tractor Supply Co. | 45,678 | 10,099,406 |
Textiles, Apparel & Luxury Goods 1.8% | ||
On Holding AG, Class A(a) | 264,946 | 8,743,218 |
Total Consumer Discretionary | 65,339,054 | |
Consumer Staples 0.9% | ||
Beverages 0.9% | ||
Molson Coors Beverage Co., Class B | 65,877 | 4,337,342 |
Total Consumer Staples | 4,337,342 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Energy 4.2% | ||
Oil, Gas & Consumable Fuels 4.2% | ||
Antero Resources Corp.(a) | 212,982 | 4,904,976 |
Hess Corp. | 83,171 | 11,307,097 |
Marathon Petroleum Corp. | 30,971 | 3,611,219 |
Total | 19,823,292 | |
Total Energy | 19,823,292 | |
Health Care 17.8% | ||
Biotechnology 1.2% | ||
Exact Sciences Corp.(a) | 61,629 | 5,786,963 |
Health Care Equipment & Supplies 5.0% | ||
Baxter International, Inc. | 102,278 | 4,659,786 |
DexCom, Inc.(a) | 92,166 | 11,844,253 |
Insulet Corp.(a) | 23,972 | 6,912,086 |
Total | 23,416,125 | |
Health Care Providers & Services 5.3% | ||
AmerisourceBergen Corp. | 38,793 | 7,464,937 |
Chemed Corp. | 12,652 | 6,853,209 |
HCA Healthcare, Inc. | 34,843 | 10,574,153 |
Total | 24,892,299 | |
Life Sciences Tools & Services 6.3% | ||
Bio-Techne Corp. | 161,404 | 13,175,408 |
Repligen Corp.(a) | 58,962 | 8,340,765 |
West Pharmaceutical Services, Inc. | 21,642 | 8,277,416 |
Total | 29,793,589 | |
Total Health Care | 83,888,976 | |
Industrials 16.9% | ||
Aerospace & Defense 4.0% | ||
HEICO Corp. | 34,487 | 6,102,130 |
Howmet Aerospace, Inc. | 109,995 | 5,451,352 |
TransDigm Group, Inc. | 8,395 | 7,506,557 |
Total | 19,060,039 | |
Commercial Services & Supplies 1.3% | ||
Rollins, Inc. | 140,189 | 6,004,295 |
Construction & Engineering 0.7% | ||
WillScot Mobile Mini Holdings Corp.(a) | 72,326 | 3,456,459 |
6 | Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Electrical Equipment 2.4% | ||
AMETEK, Inc. | 37,998 | 6,151,116 |
Generac Holdings, Inc.(a) | 33,912 | 5,057,297 |
Total | 11,208,413 | |
Ground Transportation 5.5% | ||
CSX Corp. | 209,504 | 7,144,086 |
Old Dominion Freight Line, Inc. | 14,088 | 5,209,038 |
XPO, Inc.(a) | 231,903 | 13,682,277 |
Total | 26,035,401 | |
Trading Companies & Distributors 3.0% | ||
Ferguson PLC | 23,379 | 3,677,751 |
SiteOne Landscape Supply, Inc.(a) | 61,970 | 10,371,299 |
Total | 14,049,050 | |
Total Industrials | 79,813,657 | |
Information Technology 22.5% | ||
Communications Equipment 1.8% | ||
Arista Networks, Inc.(a) | 50,971 | 8,260,361 |
IT Services 8.2% | ||
Cloudflare, Inc.(a) | 212,678 | 13,902,761 |
MongoDB, Inc.(a) | 41,116 | 16,898,265 |
Snowflake, Inc., Class A(a) | 45,629 | 8,029,791 |
Total | 38,830,817 | |
Semiconductors & Semiconductor Equipment 7.1% | ||
Lam Research Corp. | 19,813 | 12,736,985 |
Lattice Semiconductor Corp.(a) | 94,203 | 9,050,082 |
Monolithic Power Systems, Inc. | 21,755 | 11,752,704 |
Total | 33,539,771 | |
Software 5.4% | ||
Fortinet, Inc.(a) | 192,365 | 14,540,870 |
HubSpot, Inc.(a) | 14,803 | 7,876,528 |
Splunk, Inc.(a) | 28,762 | 3,051,361 |
Total | 25,468,759 | |
Total Information Technology | 106,099,708 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Materials 5.8% | ||
Chemicals 1.1% | ||
Sherwin-Williams Co. (The) | 18,703 | 4,966,020 |
Construction Materials 2.5% | ||
Vulcan Materials Co. | 53,336 | 12,024,068 |
Containers & Packaging 1.5% | ||
Avery Dennison Corp. | 40,895 | 7,025,761 |
Metals & Mining 0.7% | ||
Royal Gold, Inc. | 28,028 | 3,217,054 |
Total Materials | 27,232,903 | |
Real Estate 1.9% | ||
Real Estate Management & Development 1.9% | ||
CoStar Group, Inc.(a) | 102,787 | 9,148,043 |
Total Real Estate | 9,148,043 | |
Total Common Stocks (Cost $400,899,213) | 447,942,915 | |
Money Market Funds 4.1% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(b),(c) | 19,309,288 | 19,301,564 |
Total Money Market Funds (Cost $19,300,816) | 19,301,564 | |
Total Investments in Securities (Cost: $420,200,029) | 467,244,479 | |
Other Assets & Liabilities, Net | 4,634,510 | |
Net Assets | 471,878,989 |
Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2023 | 7 |
June 30, 2023 (Unaudited)
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | ||||||||
11,384,999 | 138,174,011 | (130,258,072) | 626 | 19,301,564 | (7,683) | 292,942 | 19,309,288 |
■ | 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 | 52,259,940 | — | — | 52,259,940 |
Consumer Discretionary | 58,662,259 | 6,676,795 | — | 65,339,054 |
Consumer Staples | 4,337,342 | — | — | 4,337,342 |
Energy | 19,823,292 | — | — | 19,823,292 |
8 | Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Health Care | 83,888,976 | — | — | 83,888,976 |
Industrials | 79,813,657 | — | — | 79,813,657 |
Information Technology | 106,099,708 | — | — | 106,099,708 |
Materials | 27,232,903 | — | — | 27,232,903 |
Real Estate | 9,148,043 | — | — | 9,148,043 |
Total Common Stocks | 441,266,120 | 6,676,795 | — | 447,942,915 |
Money Market Funds | 19,301,564 | — | — | 19,301,564 |
Total Investments in Securities | 460,567,684 | 6,676,795 | — | 467,244,479 |
Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2023 | 9 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $400,899,213) | $447,942,915 |
Affiliated issuers (cost $19,300,816) | 19,301,564 |
Foreign currency (cost $18,128) | 18,213 |
Receivable for: | |
Investments sold | 9,276,797 |
Capital shares sold | 88,246 |
Dividends | 142,081 |
Foreign tax reclaims | 3,582 |
Expense reimbursement due from Investment Manager | 834 |
Prepaid expenses | 5,669 |
Total assets | 476,779,901 |
Liabilities | |
Payable for: | |
Investments purchased | 4,317,004 |
Capital shares redeemed | 423,007 |
Management services fees | 10,511 |
Distribution and/or service fees | 1,114 |
Service fees | 15,294 |
Compensation of board members | 110,697 |
Compensation of chief compliance officer | 42 |
Other expenses | 23,243 |
Total liabilities | 4,900,912 |
Net assets applicable to outstanding capital stock | $471,878,989 |
Represented by | |
Trust capital | $471,878,989 |
Total - representing net assets applicable to outstanding capital stock | $471,878,989 |
Class 1 | |
Net assets | $184,587,573 |
Shares outstanding | 4,236,361 |
Net asset value per share | $43.57 |
Class 2 | |
Net assets | $41,314,485 |
Shares outstanding | 979,142 |
Net asset value per share | $42.19 |
Class 3 | |
Net assets | $245,976,931 |
Shares outstanding | 5,738,969 |
Net asset value per share | $42.86 |
10 | Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $933,342 |
Dividends — affiliated issuers | 292,942 |
Interfund lending | 54 |
Foreign taxes withheld | (5,373) |
Total income | 1,220,965 |
Expenses: | |
Management services fees | 1,799,662 |
Distribution and/or service fees | |
Class 2 | 47,339 |
Class 3 | 142,690 |
Service fees | 83,296 |
Compensation of board members | 8,802 |
Custodian fees | 5,502 |
Printing and postage fees | 15,225 |
Accounting services fees | 15,045 |
Legal fees | 8,801 |
Compensation of chief compliance officer | 42 |
Other | 6,116 |
Total expenses | 2,132,520 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (114,095) |
Total net expenses | 2,018,425 |
Net investment loss | (797,460) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 4,076,323 |
Investments — affiliated issuers | (7,683) |
Foreign currency translations | (852) |
Net realized gain | 4,067,788 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 77,732,389 |
Investments — affiliated issuers | 626 |
Foreign currency translations | (75) |
Net change in unrealized appreciation (depreciation) | 77,732,940 |
Net realized and unrealized gain | 81,800,728 |
Net increase in net assets resulting from operations | $81,003,268 |
Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2023 | 11 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment loss | $(797,460) | $(2,164,594) |
Net realized gain (loss) | 4,067,788 | (24,004,120) |
Net change in unrealized appreciation (depreciation) | 77,732,940 | (158,850,921) |
Net increase (decrease) in net assets resulting from operations | 81,003,268 | (185,019,635) |
Decrease in net assets from capital stock activity | (19,993,291) | (13,193,801) |
Total increase (decrease) in net assets | 61,009,977 | (198,213,436) |
Net assets at beginning of period | 410,869,012 | 609,082,448 |
Net assets at end of period | $471,878,989 | $410,869,012 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Shares sold | 33,344 | 1,337,330 | 547,523 | 19,218,032 |
Shares redeemed | (267,673) | (10,799,948) | (188,964) | (7,439,868) |
Net increase (decrease) | (234,329) | (9,462,618) | 358,559 | 11,778,164 |
Class 2 | ||||
Shares sold | 52,913 | 2,041,312 | 126,812 | 4,887,387 |
Shares redeemed | (53,932) | (2,123,387) | (123,753) | (4,692,951) |
Net increase (decrease) | (1,019) | (82,075) | 3,059 | 194,436 |
Class 3 | ||||
Shares sold | 8,244 | 330,328 | 13,407 | 492,790 |
Shares redeemed | (275,860) | (10,778,926) | (662,447) | (25,659,191) |
Net decrease | (267,616) | (10,448,598) | (649,040) | (25,166,401) |
Total net decrease | (502,964) | (19,993,291) | (287,422) | (13,193,801) |
12 | Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2023 |
Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2023 | 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 6/30/2023 (Unaudited) | $36.25 | (0.05) | 7.37 | 7.32 |
Year Ended 12/31/2022 | $52.41 | (0.15) | (16.01) | (16.16) |
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) |
Class 2 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $35.15 | (0.10) | 7.14 | 7.04 |
Year Ended 12/31/2022 | $50.95 | (0.24) | (15.56) | (15.80) |
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) |
Class 3 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $35.68 | (0.08) | 7.26 | 7.18 |
Year Ended 12/31/2022 | $51.65 | (0.20) | (15.77) | (15.97) |
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)(d) | (1.24) | (1.24) |
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) | Ratios include interfund lending expense which is less than 0.01%. |
(d) | Rounds to zero. |
14 | Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2023 |
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 6/30/2023 (Unaudited) | $43.57 | 20.19% | 0.88% | 0.83% | (0.28%) | 108% | $184,588 |
Year Ended 12/31/2022 | $36.25 | (30.84%) | 0.88% | 0.84% | (0.39%) | 73% | $162,078 |
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%(c) | 0.77%(c) | (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 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $42.19 | 20.03% | 1.14% | 1.08% | (0.53%) | 108% | $41,314 |
Year Ended 12/31/2022 | $35.15 | (31.01%) | 1.13% | 1.09% | (0.64%) | 73% | $34,453 |
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%(c) | 1.02%(c) | (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 |
Class 3 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $42.86 | 20.12% | 1.01% | 0.96% | (0.40%) | 108% | $245,977 |
Year Ended 12/31/2022 | $35.68 | (30.92%) | 1.01% | 0.96% | (0.52%) | 73% | $214,338 |
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%(c) | 0.90%(c) | (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% | $227,630 |
Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2023 | 15 |
June 30, 2023 (Unaudited)
16 | Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2023 | 17 |
June 30, 2023 (Unaudited)
18 | Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2023 | 19 |
June 30, 2023 (Unaudited)
May 1, 2023 through April 30, 2024 | Prior to May 1, 2023 | |
Class 1 | 0.82% | 0.84% |
Class 2 | 1.07 | 1.09 |
Class 3 | 0.945 | 0.965 |
20 | Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 200,000 | 4.85 | 2 |
Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2023 | 21 |
June 30, 2023 (Unaudited)
22 | Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2023 | 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 – Select Mid Cap Growth Fund | Semiannual Report 2023 |
(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 one or more 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 2023 | 25 |
(Unaudited)
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
26 | Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2023 |
(Unaudited)
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 2023 | 27 |
June 30, 2023 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | 1.69 | 12.36 | 8.92 | 10.46 | |
Class 2 | 05/03/10 | 1.54 | 12.09 | 8.65 | 10.18 | |
Class 3 | 02/04/04 | 1.60 | 12.19 | 8.79 | 10.32 | |
Russell 1000 Value Index | 5.12 | 11.54 | 8.11 | 9.22 | ||
S&P 500 Index | 16.89 | 19.59 | 12.31 | 12.86 |
Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2023) | |
Common Stocks | 97.8 |
Money Market Funds | 2.1 |
Preferred Stocks | 0.1 |
Total | 100.0 |
Equity sector breakdown (%) (at June 30, 2023) | |
Communication Services | 6.3 |
Consumer Discretionary | 3.8 |
Consumer Staples | 3.3 |
Energy | 10.9 |
Financials | 16.6 |
Health Care | 12.9 |
Industrials | 10.3 |
Information Technology | 16.4 |
Materials | 9.7 |
Utilities | 9.8 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,016.90 | 1,021.44 | 3.52 | 3.53 | 0.70 |
Class 2 | 1,000.00 | 1,000.00 | 1,015.40 | 1,020.19 | 4.77 | 4.78 | 0.95 |
Class 3 | 1,000.00 | 1,000.00 | 1,016.00 | 1,020.84 | 4.12 | 4.13 | 0.82 |
Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (Unaudited)
Common Stocks 97.8% | ||
Issuer | Shares | Value ($) |
Communication Services 6.2% | ||
Diversified Telecommunication Services 3.7% | ||
Verizon Communications, Inc. | 1,975,281 | 73,460,700 |
Interactive Media & Services 2.5% | ||
Alphabet, Inc., Class A(a) | 423,435 | 50,685,170 |
Total Communication Services | 124,145,870 | |
Consumer Discretionary 3.6% | ||
Broadline Retail 0.2% | ||
Qurate Retail, Inc.(a) | 2,987,467 | 2,956,995 |
Specialty Retail 3.4% | ||
Lowe’s Companies, Inc. | 307,826 | 69,476,328 |
Total Consumer Discretionary | 72,433,323 | |
Consumer Staples 3.2% | ||
Tobacco 3.2% | ||
Philip Morris International, Inc. | 665,062 | 64,923,353 |
Total Consumer Staples | 64,923,353 | |
Energy 10.7% | ||
Energy Equipment & Services 2.9% | ||
TechnipFMC PLC(a) | 3,528,469 | 58,643,155 |
Oil, Gas & Consumable Fuels 7.8% | ||
Chevron Corp. | 291,674 | 45,894,904 |
Marathon Petroleum Corp. | 447,729 | 52,205,201 |
Williams Companies, Inc. (The) | 1,815,801 | 59,249,587 |
Total | 157,349,692 | |
Total Energy | 215,992,847 | |
Financials 16.3% | ||
Banks 9.7% | ||
Bank of America Corp. | 1,481,746 | 42,511,293 |
Citigroup, Inc. | 906,744 | 41,746,494 |
JPMorgan Chase & Co. | 342,871 | 49,867,158 |
Wells Fargo & Co. | 1,433,434 | 61,178,963 |
Total | 195,303,908 | |
Capital Markets 1.8% | ||
Morgan Stanley | 428,314 | 36,578,015 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Insurance 4.8% | ||
American International Group, Inc. | 847,116 | 48,743,055 |
MetLife, Inc. | 852,625 | 48,198,891 |
Total | 96,941,946 | |
Total Financials | 328,823,869 | |
Health Care 12.6% | ||
Health Care Equipment & Supplies 2.3% | ||
Baxter International, Inc. | 1,012,681 | 46,137,746 |
Health Care Providers & Services 7.8% | ||
Centene Corp.(a) | 665,496 | 44,887,705 |
Cigna Group (The) | 242,373 | 68,009,864 |
Humana, Inc. | 101,824 | 45,528,565 |
Total | 158,426,134 | |
Pharmaceuticals 2.5% | ||
Bristol-Myers Squibb Co. | 781,181 | 49,956,525 |
Total Health Care | 254,520,405 | |
Industrials 10.1% | ||
Aerospace & Defense 2.9% | ||
Raytheon Technologies Corp. | 607,758 | 59,535,974 |
Ground Transportation 2.9% | ||
CSX Corp. | 966,549 | 32,959,321 |
Union Pacific Corp. | 121,964 | 24,956,273 |
Total | 57,915,594 | |
Machinery 1.5% | ||
Caterpillar, Inc. | 121,573 | 29,913,037 |
Passenger Airlines 2.8% | ||
Southwest Airlines Co. | 1,534,859 | 55,577,244 |
Total Industrials | 202,941,849 | |
Information Technology 16.0% | ||
Communications Equipment 3.9% | ||
Cisco Systems, Inc. | 1,534,555 | 79,397,876 |
Electronic Equipment, Instruments & Components 3.3% | ||
Corning, Inc. | 1,921,819 | 67,340,538 |
6 | Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Semiconductors & Semiconductor Equipment 5.7% | ||
Applied Materials, Inc. | 433,647 | 62,679,337 |
QUALCOMM, Inc. | 439,108 | 52,271,416 |
Total | 114,950,753 | |
Software 3.1% | ||
Teradata Corp.(a) | 1,152,593 | 61,559,992 |
Total Information Technology | 323,249,159 | |
Materials 9.5% | ||
Chemicals 3.5% | ||
FMC Corp. | 682,223 | 71,183,148 |
Metals & Mining 6.0% | ||
Barrick Gold Corp. | 3,160,101 | 53,500,510 |
Freeport-McMoRan, Inc. | 1,692,350 | 67,694,000 |
Total | 121,194,510 | |
Total Materials | 192,377,658 | |
Utilities 9.6% | ||
Electric Utilities 8.0% | ||
FirstEnergy Corp. | 1,952,424 | 75,910,245 |
PG&E Corp.(a) | 4,890,816 | 84,513,300 |
Total | 160,423,545 | |
Independent Power and Renewable Electricity Producers 1.6% | ||
AES Corp. (The) | 1,579,501 | 32,743,056 |
Total Utilities | 193,166,601 | |
Total Common Stocks (Cost $1,625,297,341) | 1,972,574,934 |
Preferred Stocks 0.1% | |||
Issuer | Shares | Value ($) | |
Consumer Discretionary 0.1% | |||
Broadline Retail 0.1% | |||
Qurate Retail, Inc. | 8.000% | 74,161 | 2,782,521 |
Total Consumer Discretionary | 2,782,521 | ||
Total Preferred Stocks (Cost $10,096,980) | 2,782,521 |
Money Market Funds 2.1% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(b),(c) | 41,211,314 | 41,194,829 |
Total Money Market Funds (Cost $41,192,809) | 41,194,829 | |
Total Investments in Securities (Cost: $1,676,587,130) | 2,016,552,284 | |
Other Assets & Liabilities, Net | 641,140 | |
Net Assets | 2,017,193,424 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | ||||||||
40,487,742 | 132,059,241 | (131,350,377) | (1,777) | 41,194,829 | (7,855) | 1,220,178 | 41,211,314 |
Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2023 | 7 |
June 30, 2023 (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 | 124,145,870 | — | — | 124,145,870 |
Consumer Discretionary | 72,433,323 | — | — | 72,433,323 |
Consumer Staples | 64,923,353 | — | — | 64,923,353 |
Energy | 215,992,847 | — | — | 215,992,847 |
Financials | 328,823,869 | — | — | 328,823,869 |
Health Care | 254,520,405 | — | — | 254,520,405 |
Industrials | 202,941,849 | — | — | 202,941,849 |
Information Technology | 323,249,159 | — | — | 323,249,159 |
Materials | 192,377,658 | — | — | 192,377,658 |
Utilities | 193,166,601 | — | — | 193,166,601 |
Total Common Stocks | 1,972,574,934 | — | — | 1,972,574,934 |
Preferred Stocks | ||||
Consumer Discretionary | 2,782,521 | — | — | 2,782,521 |
Total Preferred Stocks | 2,782,521 | — | — | 2,782,521 |
Money Market Funds | 41,194,829 | — | — | 41,194,829 |
Total Investments in Securities | 2,016,552,284 | — | — | 2,016,552,284 |
8 | Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,635,394,321) | $1,975,357,455 |
Affiliated issuers (cost $41,192,809) | 41,194,829 |
Receivable for: | |
Capital shares sold | 2,991 |
Dividends | 2,045,152 |
Prepaid expenses | 11,793 |
Total assets | 2,018,612,220 |
Liabilities | |
Payable for: | |
Capital shares redeemed | 1,222,362 |
Management services fees | 37,288 |
Distribution and/or service fees | 918 |
Service fees | 24,395 |
Compensation of board members | 109,142 |
Compensation of chief compliance officer | 185 |
Other expenses | 24,506 |
Total liabilities | 1,418,796 |
Net assets applicable to outstanding capital stock | $2,017,193,424 |
Represented by | |
Trust capital | $2,017,193,424 |
Total - representing net assets applicable to outstanding capital stock | $2,017,193,424 |
Class 1 | |
Net assets | $1,840,438,557 |
Shares outstanding | 49,281,427 |
Net asset value per share | $37.35 |
Class 2 | |
Net assets | $92,281,164 |
Shares outstanding | 2,551,608 |
Net asset value per share | $36.17 |
Class 3 | |
Net assets | $84,473,703 |
Shares outstanding | 2,300,560 |
Net asset value per share | $36.72 |
Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2023 | 9 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $25,222,134 |
Dividends — affiliated issuers | 1,220,178 |
Interfund lending | 7,799 |
Foreign taxes withheld | (95,814) |
Total income | 26,354,297 |
Expenses: | |
Management services fees | 6,744,248 |
Distribution and/or service fees | |
Class 2 | 112,176 |
Class 3 | 54,034 |
Service fees | 90,848 |
Compensation of board members | 22,484 |
Custodian fees | 6,389 |
Printing and postage fees | 6,801 |
Accounting services fees | 15,045 |
Legal fees | 19,481 |
Compensation of chief compliance officer | 203 |
Other | 18,276 |
Total expenses | 7,089,985 |
Net investment income | 19,264,312 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 64,428,697 |
Investments — affiliated issuers | (7,855) |
Net realized gain | 64,420,842 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (49,030,713) |
Investments — affiliated issuers | (1,777) |
Net change in unrealized appreciation (depreciation) | (49,032,490) |
Net realized and unrealized gain | 15,388,352 |
Net increase in net assets resulting from operations | $34,652,664 |
10 | Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment income | $19,264,312 | $35,515,878 |
Net realized gain | 64,420,842 | 234,511,088 |
Net change in unrealized appreciation (depreciation) | (49,032,490) | (324,892,259) |
Net increase (decrease) in net assets resulting from operations | 34,652,664 | (54,865,293) |
Decrease in net assets from capital stock activity | (60,440,036) | (517,403,308) |
Total decrease in net assets | (25,787,372) | (572,268,601) |
Net assets at beginning of period | 2,042,980,796 | 2,615,249,397 |
Net assets at end of period | $2,017,193,424 | $2,042,980,796 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Shares sold | 213,985 | 7,700,102 | 477,652 | 17,149,837 |
Shares redeemed | (1,745,182) | (65,871,532) | (15,457,963) | (560,216,793) |
Net decrease | (1,531,197) | (58,171,430) | (14,980,311) | (543,066,956) |
Class 2 | ||||
Shares sold | 311,960 | 11,094,071 | 682,648 | 24,067,748 |
Shares redeemed | (222,551) | (7,842,606) | (164,030) | (5,764,146) |
Net increase | 89,409 | 3,251,465 | 518,618 | 18,303,602 |
Class 3 | ||||
Shares sold | 51,544 | 1,856,630 | 335,088 | 11,855,188 |
Shares redeemed | (207,381) | (7,376,701) | (126,093) | (4,495,142) |
Net increase (decrease) | (155,837) | (5,520,071) | 208,995 | 7,360,046 |
Total net decrease | (1,597,625) | (60,440,036) | (14,252,698) | (517,403,308) |
Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2023 | 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 6/30/2023 (Unaudited) | $36.73 | 0.36 | 0.26 | 0.62 |
Year Ended 12/31/2022 | $37.42 | 0.58 | (1.27) | (0.69) |
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) |
Class 2 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $35.62 | 0.30 | 0.25 | 0.55 |
Year Ended 12/31/2022 | $36.37 | 0.47 | (1.22) | (0.75) |
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) |
Class 3 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $36.14 | 0.33 | 0.25 | 0.58 |
Year Ended 12/31/2022 | $36.86 | 0.52 | (1.24) | (0.72) |
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) |
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) | Ratios include interfund lending expense which is less than 0.01%. |
12 | Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2023 |
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 6/30/2023 (Unaudited) | $37.35 | 1.69% | 0.70% | 0.70% | 1.96% | 6% | $1,840,439 |
Year Ended 12/31/2022 | $36.73 | (1.84%) | 0.69% | 0.69% | 1.60% | 7% | $1,866,511 |
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%(c) | 0.71%(c) | 2.59% | 29% | $1,913,998 |
Year Ended 12/31/2019 | $27.67 | 26.75% | 0.73%(c) | 0.73%(c) | 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 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $36.17 | 1.54% | 0.95% | 0.95% | 1.70% | 6% | $92,281 |
Year Ended 12/31/2022 | $35.62 | (2.06%) | 0.94% | 0.94% | 1.36% | 7% | $87,697 |
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%(c) | 0.96%(c) | 2.32% | 29% | $34,020 |
Year Ended 12/31/2019 | $27.03 | 26.43% | 0.98%(c) | 0.98%(c) | 1.48% | 11% | $32,815 |
Year Ended 12/31/2018 | $21.38 | (12.45%) | 0.98% | 0.98% | 1.36% | 16% | $24,610 |
Class 3 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $36.72 | 1.60% | 0.82% | 0.82% | 1.83% | 6% | $84,474 |
Year Ended 12/31/2022 | $36.14 | (1.95%) | 0.81% | 0.81% | 1.48% | 7% | $88,772 |
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%(c) | 0.83%(c) | 2.40% | 29% | $52,721 |
Year Ended 12/31/2019 | $27.32 | 26.54% | 0.86%(c) | 0.86%(c) | 1.61% | 11% | $56,957 |
Year Ended 12/31/2018 | $21.59 | (12.31%) | 0.85% | 0.85% | 1.48% | 16% | $48,804 |
Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2023 | 13 |
June 30, 2023 (Unaudited)
14 | Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2023 | 15 |
June 30, 2023 (Unaudited)
16 | Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Fee rate(s) contractual through April 30, 2024 | |
Class 1 | 0.72% |
Class 2 | 0.97 |
Class 3 | 0.845 |
Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2023 | 17 |
June 30, 2023 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 9,100,000 | 5.27 | 6 |
18 | Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2023 | 19 |
June 30, 2023 (Unaudited)
20 | Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2023 |
• | 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 2023 | 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 one or more 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 2023 |
(Unaudited)
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2023 | 23 |
(Unaudited)
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 2023 |
June 30, 2023 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Columbia Variable Portfolio — Core Equity Fund | 09/10/04 | 15.97 | 17.34 | 11.02 | 12.61 | |
S&P 500 Index | 16.89 | 19.59 | 12.31 | 12.86 |
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2023) | |
Common Stocks | 98.2 |
Money Market Funds | 1.8 |
Total | 100.0 |
Equity sector breakdown (%) (at June 30, 2023) | |
Communication Services | 8.9 |
Consumer Discretionary | 11.0 |
Consumer Staples | 6.4 |
Energy | 4.5 |
Financials | 12.3 |
Health Care | 13.1 |
Industrials | 8.5 |
Information Technology | 28.6 |
Materials | 2.5 |
Real Estate | 2.1 |
Utilities | 2.1 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Columbia Variable Portfolio – Core Equity Fund | 1,000.00 | 1,000.00 | 1,159.70 | 1,022.94 | 2.15 | 2.02 | 0.40 |
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (Unaudited)
Common Stocks 98.3% | ||
Issuer | Shares | Value ($) |
Communication Services 8.7% | ||
Entertainment 0.4% | ||
Electronic Arts, Inc. | 6,164 | 799,471 |
Interactive Media & Services 7.8% | ||
Alphabet, Inc., Class A(a) | 79,755 | 9,546,674 |
Meta Platforms, Inc., Class A(a) | 19,881 | 5,705,449 |
Total | 15,252,123 | |
Media 0.5% | ||
Fox Corp., Class A | 28,391 | 965,294 |
Total Communication Services | 17,016,888 | |
Consumer Discretionary 10.8% | ||
Automobiles 0.9% | ||
Tesla, Inc.(a) | 6,846 | 1,792,077 |
Broadline Retail 2.2% | ||
Amazon.com, Inc.(a) | 24,510 | 3,195,124 |
Etsy, Inc.(a) | 11,600 | 981,476 |
Total | 4,176,600 | |
Hotels, Restaurants & Leisure 2.5% | ||
Booking Holdings, Inc.(a) | 713 | 1,925,335 |
Expedia Group, Inc.(a) | 17,368 | 1,899,886 |
MGM Resorts International | 20,961 | 920,607 |
Total | 4,745,828 | |
Household Durables 2.1% | ||
Lennar Corp., Class A | 18,520 | 2,320,741 |
PulteGroup, Inc. | 23,502 | 1,825,635 |
Total | 4,146,376 | |
Specialty Retail 3.1% | ||
Bath & Body Works, Inc. | 7,380 | 276,750 |
Best Buy Co., Inc. | 9,400 | 770,330 |
O’Reilly Automotive, Inc.(a) | 3,192 | 3,049,318 |
TJX Companies, Inc. (The) | 23,600 | 2,001,044 |
Total | 6,097,442 | |
Total Consumer Discretionary | 20,958,323 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Consumer Staples 6.3% | ||
Consumer Staples Distribution & Retail 2.0% | ||
Kroger Co. (The) | 6,036 | 283,692 |
Walmart, Inc. | 23,641 | 3,715,893 |
Total | 3,999,585 | |
Food Products 2.3% | ||
Archer-Daniels-Midland Co. | 38,272 | 2,891,832 |
General Mills, Inc. | 20,140 | 1,544,738 |
Total | 4,436,570 | |
Household Products 0.4% | ||
Procter & Gamble Co. (The) | 5,239 | 794,966 |
Tobacco 1.6% | ||
Altria Group, Inc. | 68,484 | 3,102,325 |
Total Consumer Staples | 12,333,446 | |
Energy 4.4% | ||
Oil, Gas & Consumable Fuels 4.4% | ||
Exxon Mobil Corp. | 36,085 | 3,870,116 |
Marathon Petroleum Corp. | 19,639 | 2,289,907 |
Valero Energy Corp. | 20,929 | 2,454,972 |
Total | 8,614,995 | |
Total Energy | 8,614,995 | |
Financials 12.1% | ||
Banks 2.3% | ||
Citigroup, Inc. | 42,235 | 1,944,499 |
Wells Fargo & Co. | 59,161 | 2,524,992 |
Total | 4,469,491 | |
Capital Markets 3.6% | ||
CME Group, Inc. | 3,138 | 581,440 |
Morgan Stanley | 40,508 | 3,459,383 |
State Street Corp. | 39,979 | 2,925,663 |
Total | 6,966,486 | |
Consumer Finance 0.7% | ||
Synchrony Financial | 39,270 | 1,332,038 |
6 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Financial Services 2.3% | ||
MasterCard, Inc., Class A | 6,248 | 2,457,338 |
Visa, Inc., Class A | 8,464 | 2,010,031 |
Total | 4,467,369 | |
Insurance 3.2% | ||
Aon PLC, Class A | 847 | 292,385 |
Lincoln National Corp. | 9,233 | 237,842 |
Marsh & McLennan Companies, Inc. | 19,642 | 3,694,267 |
MetLife, Inc. | 35,456 | 2,004,328 |
Total | 6,228,822 | |
Total Financials | 23,464,206 | |
Health Care 12.9% | ||
Biotechnology 2.3% | ||
AbbVie, Inc. | 12,060 | 1,624,844 |
Amgen, Inc. | 683 | 151,639 |
BioMarin Pharmaceutical, Inc.(a) | 6,065 | 525,714 |
Regeneron Pharmaceuticals, Inc.(a) | 1,305 | 937,695 |
Vertex Pharmaceuticals, Inc.(a) | 3,246 | 1,142,300 |
Total | 4,382,192 | |
Health Care Equipment & Supplies 2.9% | ||
Abbott Laboratories | 25,920 | 2,825,798 |
Hologic, Inc.(a) | 34,567 | 2,798,890 |
Total | 5,624,688 | |
Health Care Providers & Services 3.1% | ||
Cardinal Health, Inc. | 18,609 | 1,759,853 |
Centene Corp.(a) | 7,289 | 491,643 |
CVS Health Corp. | 19,749 | 1,365,249 |
Humana, Inc. | 1,795 | 802,598 |
McKesson Corp. | 4,009 | 1,713,086 |
Total | 6,132,429 | |
Life Sciences Tools & Services 0.8% | ||
IQVIA Holdings, Inc.(a) | 6,659 | 1,496,744 |
Pharmaceuticals 3.8% | ||
Bristol-Myers Squibb Co. | 53,913 | 3,447,736 |
Pfizer, Inc. | 89,133 | 3,269,398 |
Viatris, Inc. | 77,321 | 771,664 |
Total | 7,488,798 | |
Total Health Care | 25,124,851 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Industrials 8.3% | ||
Aerospace & Defense 2.3% | ||
Lockheed Martin Corp. | 7,026 | 3,234,630 |
Textron, Inc. | 19,154 | 1,295,385 |
Total | 4,530,015 | |
Air Freight & Logistics 0.6% | ||
United Parcel Service, Inc., Class B | 6,719 | 1,204,381 |
Building Products 0.3% | ||
Masco Corp. | 9,853 | 565,365 |
Commercial Services & Supplies 0.9% | ||
Cintas Corp. | 3,508 | 1,743,757 |
Ground Transportation 0.3% | ||
CSX Corp. | 16,493 | 562,411 |
Machinery 2.8% | ||
Caterpillar, Inc. | 10,441 | 2,569,008 |
Parker-Hannifin Corp. | 7,521 | 2,933,491 |
Total | 5,502,499 | |
Passenger Airlines 0.2% | ||
Delta Air Lines, Inc.(a) | 4,869 | 231,472 |
Southwest Airlines Co. | 4,514 | 163,452 |
Total | 394,924 | |
Professional Services 0.9% | ||
Automatic Data Processing, Inc. | 7,633 | 1,677,657 |
Total Industrials | 16,181,009 | |
Information Technology 28.1% | ||
Communications Equipment 2.2% | ||
Cisco Systems, Inc. | 83,018 | 4,295,351 |
Semiconductors & Semiconductor Equipment 6.3% | ||
Advanced Micro Devices, Inc.(a) | 12,825 | 1,460,896 |
Applied Materials, Inc. | 2,000 | 289,080 |
Lam Research Corp. | 6,134 | 3,943,303 |
NVIDIA Corp. | 6,833 | 2,890,496 |
QUALCOMM, Inc. | 30,420 | 3,621,197 |
Total | 12,204,972 |
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2023 | 7 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Software 11.5% | ||
Adobe, Inc.(a) | 8,703 | 4,255,680 |
Autodesk, Inc.(a) | 12,252 | 2,506,882 |
Fortinet, Inc.(a) | 38,030 | 2,874,688 |
Microsoft Corp. | 37,516 | 12,775,698 |
Total | 22,412,948 | |
Technology Hardware, Storage & Peripherals 8.1% | ||
Apple, Inc.(b) | 81,136 | 15,737,950 |
Total Information Technology | 54,651,221 | |
Materials 2.5% | ||
Chemicals 1.2% | ||
CF Industries Holdings, Inc. | 11,030 | 765,702 |
Mosaic Co. (The) | 44,977 | 1,574,195 |
Total | 2,339,897 | |
Metals & Mining 1.3% | ||
Nucor Corp. | 14,966 | 2,454,125 |
Total Materials | 4,794,022 | |
Real Estate 2.1% | ||
Hotel & Resort REITs 0.8% | ||
Host Hotels & Resorts, Inc. | 90,992 | 1,531,396 |
Specialized REITs 1.3% | ||
SBA Communications Corp. | 4,324 | 1,002,130 |
Weyerhaeuser Co. | 47,192 | 1,581,404 |
Total | 2,583,534 | |
Total Real Estate | 4,114,930 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Utilities 2.1% | ||
Electric Utilities 2.1% | ||
American Electric Power Co., Inc. | 31,990 | 2,693,558 |
Evergy, Inc. | 24,370 | 1,423,695 |
Total | 4,117,253 | |
Total Utilities | 4,117,253 | |
Total Common Stocks (Cost $156,414,672) | 191,371,144 | |
Money Market Funds 1.8% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(c),(d) | 3,426,541 | 3,425,171 |
Total Money Market Funds (Cost $3,425,069) | 3,425,171 | |
Total Investments in Securities (Cost: $159,839,741) | 194,796,315 | |
Other Assets & Liabilities, Net | (135,150) | |
Net Assets | 194,661,165 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | 16 | 09/2023 | USD | 3,590,600 | 104,171 | — |
(a) | Non-income producing investment. |
(b) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(c) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
8 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
(d) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | ||||||||
1,480,215 | 10,916,795 | (8,971,832) | (7) | 3,425,171 | (239) | 64,840 | 3,426,541 |
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 | 17,016,888 | — | — | 17,016,888 |
Consumer Discretionary | 20,958,323 | — | — | 20,958,323 |
Consumer Staples | 12,333,446 | — | — | 12,333,446 |
Energy | 8,614,995 | — | — | 8,614,995 |
Financials | 23,464,206 | — | — | 23,464,206 |
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2023 | 9 |
June 30, 2023 (Unaudited)
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Health Care | 25,124,851 | — | — | 25,124,851 |
Industrials | 16,181,009 | — | — | 16,181,009 |
Information Technology | 54,651,221 | — | — | 54,651,221 |
Materials | 4,794,022 | — | — | 4,794,022 |
Real Estate | 4,114,930 | — | — | 4,114,930 |
Utilities | 4,117,253 | — | — | 4,117,253 |
Total Common Stocks | 191,371,144 | — | — | 191,371,144 |
Money Market Funds | 3,425,171 | — | — | 3,425,171 |
Total Investments in Securities | 194,796,315 | — | — | 194,796,315 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 104,171 | — | — | 104,171 |
Total | 194,900,486 | — | — | 194,900,486 |
10 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $156,414,672) | $191,371,144 |
Affiliated issuers (cost $3,425,069) | 3,425,171 |
Receivable for: | |
Dividends | 152,161 |
Variation margin for futures contracts | 44,625 |
Expense reimbursement due from Investment Manager | 245 |
Prepaid expenses | 4,146 |
Total assets | 194,997,492 |
Liabilities | |
Payable for: | |
Capital shares redeemed | 256,904 |
Variation margin for futures contracts | 903 |
Management services fees | 2,114 |
Compensation of board members | 58,280 |
Compensation of chief compliance officer | 18 |
Other expenses | 18,108 |
Total liabilities | 336,327 |
Net assets applicable to outstanding capital stock | $194,661,165 |
Represented by | |
Trust capital | $194,661,165 |
Total - representing net assets applicable to outstanding capital stock | $194,661,165 |
Shares outstanding | 5,458,921 |
Net asset value per share | 35.66 |
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2023 | 11 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $1,609,738 |
Dividends — affiliated issuers | 64,840 |
Total income | 1,674,578 |
Expenses: | |
Management services fees | 367,504 |
Compensation of board members | 8,099 |
Custodian fees | 5,153 |
Printing and postage fees | 4,638 |
Accounting services fees | 15,045 |
Legal fees | 7,118 |
Interest on collateral | 22 |
Compensation of chief compliance officer | 18 |
Other | 4,217 |
Total expenses | 411,814 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (44,241) |
Total net expenses | 367,573 |
Net investment income | 1,307,005 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 7,556,838 |
Investments — affiliated issuers | (239) |
Futures contracts | 199,413 |
Net realized gain | 7,756,012 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 18,089,567 |
Investments — affiliated issuers | (7) |
Futures contracts | 165,727 |
Net change in unrealized appreciation (depreciation) | 18,255,287 |
Net realized and unrealized gain | 26,011,299 |
Net increase in net assets resulting from operations | $27,318,304 |
12 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment income | $1,307,005 | $2,609,536 |
Net realized gain | 7,756,012 | 11,021,199 |
Net change in unrealized appreciation (depreciation) | 18,255,287 | (56,445,803) |
Net increase (decrease) in net assets resulting from operations | 27,318,304 | (42,815,068) |
Decrease in net assets from capital stock activity | (7,793,489) | (20,320,318) |
Total increase (decrease) in net assets | 19,524,815 | (63,135,386) |
Net assets at beginning of period | 175,136,350 | 238,271,736 |
Net assets at end of period | $194,661,165 | $175,136,350 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Shares sold | 1,813 | 58,479 | 3,613 | 115,298 |
Shares redeemed | (237,825) | (7,851,968) | (621,141) | (20,435,616) |
Total net decrease | (236,012) | (7,793,489) | (617,528) | (20,320,318) |
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2023 | 13 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Per share data | ||||||
Net asset value, beginning of period | $30.75 | $37.75 | $28.34 | $24.76 | $19.78 | $20.45 |
Income from investment operations: | ||||||
Net investment income | 0.23 | 0.43 | 0.41 | 0.40 | 0.38 | 0.36 |
Net realized and unrealized gain (loss) | 4.68 | (7.43) | 9.00 | 3.18 | 4.60 | (1.03) |
Total from investment operations | 4.91 | (7.00) | 9.41 | 3.58 | 4.98 | (0.67) |
Net asset value, end of period | $35.66 | $30.75 | $37.75 | $28.34 | $24.76 | $19.78 |
Total return | 15.97% | (18.54%) | 33.20% | 14.46% | 25.18% | (3.28%) |
Ratios to average net assets | ||||||
Total gross expenses(a) | 0.45%(b) | 0.44% | 0.45% | 0.45% | 0.45% | 0.44% |
Total net expenses(a),(c) | 0.40%(b) | 0.40% | 0.40% | 0.40% | 0.40% | 0.40% |
Net investment income | 1.42% | 1.33% | 1.24% | 1.63% | 1.67% | 1.67% |
Supplemental data | ||||||
Portfolio turnover | 25% | 48% | 56% | 72% | 66% | 73% |
Net assets, end of period (in thousands) | $194,661 | $175,136 | $238,272 | $201,002 | $196,278 | $178,338 |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Ratios include interest on collateral expense which is less than 0.01%. |
(c) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
14 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2023 | 15 |
June 30, 2023 (Unaudited)
16 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2023 | 17 |
June 30, 2023 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 104,171* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin for futures and centrally cleared swaps, if any, 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 ($) |
Equity risk | 199,413 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Equity risk | 165,727 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 3,553,844 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2023. |
18 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2023 | 19 |
June 30, 2023 (Unaudited)
20 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2023 | 21 |
June 30, 2023 (Unaudited)
22 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2023 | 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 2023 |
(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 one or more 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 2023 | 25 |
(Unaudited)
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
26 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2023 |
(Unaudited)
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 2023 | 27 |
June 30, 2023 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | 4.50 | 8.38 | 3.50 | 4.07 | |
Class 2 | 05/03/10 | 4.37 | 8.13 | 3.25 | 3.83 | |
Class 3 | 06/01/04 | 4.47 | 8.16 | 3.38 | 3.94 | |
ICE BofA BB-B US Cash Pay High Yield Constrained Index | 4.84 | 8.54 | 3.37 | 4.34 |
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2023) | |
Common Stocks | 0.0(a) |
Convertible Bonds | 0.8 |
Corporate Bonds & Notes | 91.8 |
Foreign Government Obligations | 0.6 |
Money Market Funds | 3.3 |
Senior Loans | 3.5 |
Total | 100.0 |
(a) | Rounds to zero. |
Quality breakdown (%) (at June 30, 2023) | |
BBB rating | 3.5 |
BB rating | 43.4 |
B rating | 48.5 |
CCC rating | 4.5 |
Not rated | 0.1 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,045.00 | 1,021.74 | 3.26 | 3.23 | 0.64 |
Class 2 | 1,000.00 | 1,000.00 | 1,043.70 | 1,020.49 | 4.53 | 4.48 | 0.89 |
Class 3 | 1,000.00 | 1,000.00 | 1,044.70 | 1,021.14 | 3.87 | 3.83 | 0.76 |
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (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 | 56 |
Ziff Davis Holdings, Inc.(a),(b),(c) | 553 | 6 |
Total | 62 | |
Total Communication Services | 62 | |
Consumer Discretionary 0.0% | ||
Auto Components 0.0% | ||
Lear Corp. | 216 | 31,007 |
Total Consumer Discretionary | 31,007 | |
Industrials 0.0% | ||
Commercial Services & Supplies 0.0% | ||
Quad/Graphics, Inc.(b) | 1,277 | 4,801 |
Total Industrials | 4,801 | |
Utilities —% | ||
Independent Power and Renewable Electricity Producers —% | ||
Calpine Corp. Escrow(a),(b),(c) | 6,049,000 | 0 |
Total Utilities | 0 | |
Total Common Stocks (Cost $331,985) | 35,870 |
Convertible Bonds 0.8% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Cable and Satellite 0.8% | ||||
DISH Network Corp. | ||||
Subordinated | ||||
08/15/2026 | 3.375% | 2,321,000 | 1,177,907 | |
Total Convertible Bonds (Cost $1,971,410) | 1,177,907 | |||
Corporate Bonds & Notes 90.8% | ||||
Aerospace & Defense 1.8% | ||||
Bombardier, Inc.(d) | ||||
04/15/2027 | 7.875% | 230,000 | 229,461 | |
Moog, Inc.(d) | ||||
12/15/2027 | 4.250% | 447,000 | 415,038 | |
Spirit AeroSystems, Inc.(d) | ||||
11/30/2029 | 9.375% | 199,000 | 213,318 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
TransDigm, Inc.(d) | ||||
03/15/2026 | 6.250% | 1,488,000 | 1,480,740 | |
08/15/2028 | 6.750% | 357,000 | 358,901 | |
Total | 2,697,458 | |||
Airlines 2.5% | ||||
Air Canada(d) | ||||
08/15/2026 | 3.875% | 400,000 | 370,831 | |
American Airlines, Inc.(d) | ||||
07/15/2025 | 11.750% | 176,000 | 193,096 | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd.(d) | ||||
04/20/2026 | 5.500% | 1,353,605 | 1,341,845 | |
04/20/2029 | 5.750% | 609,138 | 591,989 | |
Hawaiian Brand Intellectual Property Ltd./Miles Loyalty Ltd.(d) | ||||
01/20/2026 | 5.750% | 503,966 | 477,128 | |
Mileage Plus Holdings LLC/Intellectual Property Assets Ltd.(d) | ||||
06/20/2027 | 6.500% | 695,178 | 696,916 | |
Total | 3,671,805 | |||
Automotive 4.1% | ||||
American Axle & Manufacturing, Inc. | ||||
03/15/2026 | 6.250% | 163,000 | 158,430 | |
04/01/2027 | 6.500% | 50,000 | 47,428 | |
Clarios Global LP(d) | ||||
05/15/2025 | 6.750% | 279,000 | 279,510 | |
Ford Motor Co. | ||||
02/12/2032 | 3.250% | 317,000 | 248,945 | |
01/15/2043 | 4.750% | 186,000 | 142,798 | |
Ford Motor Credit Co. LLC | ||||
03/18/2024 | 5.584% | 513,000 | 509,174 | |
11/01/2024 | 4.063% | 178,000 | 172,415 | |
06/16/2025 | 5.125% | 512,000 | 497,243 | |
11/13/2025 | 3.375% | 734,000 | 682,138 | |
05/28/2027 | 4.950% | 143,000 | 134,930 | |
08/17/2027 | 4.125% | 712,000 | 649,276 | |
11/04/2027 | 7.350% | 263,000 | 269,140 | |
02/16/2028 | 2.900% | 237,000 | 202,892 | |
06/10/2030 | 7.200% | 219,000 | 221,247 | |
11/13/2030 | 4.000% | 359,000 | 306,895 | |
Goodyear Tire & Rubber Co. (The) | ||||
07/15/2029 | 5.000% | 151,000 | 136,175 | |
IHO Verwaltungs GmbH(d),(e) | ||||
09/15/2026 | 4.750% | 85,000 | 78,311 | |
KAR Auction Services, Inc.(d) | ||||
06/01/2025 | 5.125% | 364,000 | 357,578 | |
Panther BF Aggregator 2 LP/Finance Co., Inc.(d) | ||||
05/15/2026 | 6.250% | 300,000 | 297,832 | |
05/15/2027 | 8.500% | 344,000 | 344,902 |
6 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
ZF North America Capital, Inc.(d) | ||||
04/14/2030 | 7.125% | 193,000 | 196,536 | |
Total | 5,933,795 | |||
Banking 0.2% | ||||
Ally Financial, Inc. | ||||
05/21/2024 | 3.875% | 114,000 | 111,445 | |
Subordinated | ||||
11/20/2025 | 5.750% | 201,000 | 193,440 | |
Total | 304,885 | |||
Brokerage/Asset Managers/Exchanges 1.4% | ||||
AG Issuer LLC(d) | ||||
03/01/2028 | 6.250% | 30,000 | 28,585 | |
AG TTMT Escrow Issuer LLC(d) | ||||
09/30/2027 | 8.625% | 549,000 | 563,497 | |
NFP Corp.(d) | ||||
08/15/2028 | 4.875% | 1,112,000 | 996,792 | |
10/01/2030 | 7.500% | 418,000 | 405,381 | |
Total | 1,994,255 | |||
Building Materials 1.0% | ||||
American Builders & Contractors Supply Co., Inc.(d) | ||||
01/15/2028 | 4.000% | 420,000 | 382,904 | |
Beacon Roofing Supply, Inc.(d) | ||||
11/15/2026 | 4.500% | 514,000 | 487,869 | |
Interface, Inc.(d) | ||||
12/01/2028 | 5.500% | 134,000 | 109,223 | |
SRS Distribution, Inc.(d) | ||||
07/01/2028 | 4.625% | 609,000 | 545,801 | |
Total | 1,525,797 | |||
Cable and Satellite 6.0% | ||||
CCO Holdings LLC/Capital Corp.(d) | ||||
05/01/2027 | 5.125% | 886,000 | 823,953 | |
06/01/2029 | 5.375% | 243,000 | 219,714 | |
03/01/2030 | 4.750% | 1,041,000 | 890,741 | |
08/15/2030 | 4.500% | 370,000 | 308,215 | |
02/01/2031 | 4.250% | 178,000 | 143,797 | |
02/01/2032 | 4.750% | 419,000 | 340,998 | |
CSC Holdings LLC(d) | ||||
02/01/2028 | 5.375% | 689,000 | 555,545 | |
02/15/2031 | 3.375% | 680,000 | 462,841 | |
DISH DBS Corp. | ||||
06/01/2029 | 5.125% | 1,038,000 | 484,269 | |
DISH Network Corp.(d) | ||||
11/15/2027 | 11.750% | 148,000 | 144,731 | |
Radiate Holdco LLC/Finance, Inc.(d) | ||||
09/15/2026 | 4.500% | 792,000 | 632,428 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Sirius XM Radio, Inc.(d) | ||||
09/01/2026 | 3.125% | 338,000 | 304,526 | |
07/15/2028 | 4.000% | 435,000 | 378,444 | |
07/01/2030 | 4.125% | 539,000 | 440,338 | |
Videotron Ltd.(d) | ||||
06/15/2029 | 3.625% | 370,000 | 319,995 | |
Virgin Media Finance PLC(d) | ||||
07/15/2030 | 5.000% | 790,000 | 628,852 | |
Virgin Media Secured Finance PLC(d) | ||||
05/15/2029 | 5.500% | 172,000 | 156,095 | |
VZ Secured Financing BV(d) | ||||
01/15/2032 | 5.000% | 780,000 | 629,073 | |
Ziggo BV(d) | ||||
01/15/2030 | 4.875% | 1,140,000 | 947,517 | |
Total | 8,812,072 | |||
Chemicals 3.9% | ||||
Avient Corp.(d) | ||||
08/01/2030 | 7.125% | 287,000 | 290,287 | |
Axalta Coating Systems LLC(d) | ||||
02/15/2029 | 3.375% | 571,000 | 486,270 | |
Cheever Escrow Issuer LLC(d) | ||||
10/01/2027 | 7.125% | 320,000 | 290,499 | |
Element Solutions, Inc.(d) | ||||
09/01/2028 | 3.875% | 539,000 | 470,359 | |
HB Fuller Co. | ||||
10/15/2028 | 4.250% | 398,000 | 355,324 | |
Herens Holdco Sarl(d) | ||||
05/15/2028 | 4.750% | 413,000 | 317,781 | |
Illuminate Buyer LLC/Holdings IV, Inc.(d) | ||||
07/01/2028 | 9.000% | 247,000 | 215,830 | |
Ingevity Corp.(d) | ||||
11/01/2028 | 3.875% | 927,000 | 791,963 | |
Innophos Holdings, Inc.(d) | ||||
02/15/2028 | 9.375% | 462,000 | 461,689 | |
Olympus Water US Holding Corp.(d) | ||||
10/01/2028 | 4.250% | 441,000 | 348,539 | |
11/15/2028 | 9.750% | 591,000 | 576,313 | |
SPCM SA(d) | ||||
03/15/2027 | 3.125% | 35,000 | 31,394 | |
Unifrax Escrow Issuer Corp.(d) | ||||
09/30/2028 | 5.250% | 168,000 | 121,289 | |
WR Grace Holdings LLC(d) | ||||
06/15/2027 | 4.875% | 642,000 | 597,798 | |
08/15/2029 | 5.625% | 347,000 | 283,575 | |
03/01/2031 | 7.375% | 92,000 | 90,691 | |
Total | 5,729,601 |
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2023 | 7 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Construction Machinery 1.2% | ||||
H&E Equipment Services, Inc.(d) | ||||
12/15/2028 | 3.875% | 1,085,000 | 942,533 | |
Herc Holdings, Inc.(d) | ||||
07/15/2027 | 5.500% | 607,000 | 582,748 | |
Ritchie Bros Holdings, Inc.(d) | ||||
03/15/2028 | 6.750% | 78,000 | 78,890 | |
03/15/2031 | 7.750% | 92,000 | 95,723 | |
Total | 1,699,894 | |||
Consumer Cyclical Services 2.1% | ||||
APX Group, Inc.(d) | ||||
02/15/2027 | 6.750% | 269,000 | 263,890 | |
Arches Buyer, Inc.(d) | ||||
06/01/2028 | 4.250% | 609,000 | 528,851 | |
Match Group, Inc.(d) | ||||
06/01/2028 | 4.625% | 222,000 | 203,835 | |
02/15/2029 | 5.625% | 211,000 | 199,645 | |
Staples, Inc.(d) | ||||
04/15/2026 | 7.500% | 175,000 | 144,207 | |
Uber Technologies, Inc.(d) | ||||
05/15/2025 | 7.500% | 429,000 | 434,625 | |
08/15/2029 | 4.500% | 1,395,000 | 1,284,038 | |
Total | 3,059,091 | |||
Consumer Products 1.2% | ||||
CD&R Smokey Buyer, Inc.(d) | ||||
07/15/2025 | 6.750% | 660,000 | 615,485 | |
Newell Brands, Inc. | ||||
09/15/2027 | 6.375% | 118,000 | 113,307 | |
09/15/2029 | 6.625% | 166,000 | 159,309 | |
Scotts Miracle-Gro Co. (The) | ||||
04/01/2031 | 4.000% | 195,000 | 153,444 | |
Spectrum Brands, Inc. | ||||
07/15/2025 | 5.750% | 524,000 | 523,789 | |
Spectrum Brands, Inc.(d) | ||||
10/01/2029 | 5.000% | 201,000 | 180,314 | |
07/15/2030 | 5.500% | 84,000 | 76,666 | |
Total | 1,822,314 | |||
Diversified Manufacturing 1.5% | ||||
Chart Industries, Inc.(d) | ||||
01/01/2030 | 7.500% | 199,000 | 203,075 | |
01/01/2031 | 9.500% | 69,000 | 73,622 | |
Emerald Debt Merger Sub LLC(d) | ||||
12/15/2030 | 6.625% | 297,000 | 294,704 | |
Madison IAQ LLC(d) | ||||
06/30/2028 | 4.125% | 294,000 | 258,940 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Resideo Funding, Inc.(d) | ||||
09/01/2029 | 4.000% | 317,000 | 263,397 | |
Vertical US Newco, Inc.(d) | ||||
07/15/2027 | 5.250% | 282,000 | 260,736 | |
WESCO Distribution, Inc.(d) | ||||
06/15/2028 | 7.250% | 773,000 | 788,659 | |
Total | 2,143,133 | |||
Electric 5.2% | ||||
Clearway Energy Operating LLC(d) | ||||
03/15/2028 | 4.750% | 1,006,000 | 927,766 | |
02/15/2031 | 3.750% | 1,017,000 | 844,487 | |
01/15/2032 | 3.750% | 552,000 | 451,690 | |
FirstEnergy Corp. | ||||
11/15/2031 | 7.375% | 134,000 | 152,956 | |
Leeward Renewable Energy Operations LLC(d) | ||||
07/01/2029 | 4.250% | 527,000 | 469,411 | |
NextEra Energy Operating Partners LP(d) | ||||
09/15/2027 | 4.500% | 2,136,000 | 1,984,904 | |
NRG Energy, Inc.(d) | ||||
06/15/2029 | 5.250% | 709,000 | 633,171 | |
02/15/2031 | 3.625% | 583,000 | 456,084 | |
Pattern Energy Operations LP/Inc.(d) | ||||
08/15/2028 | 4.500% | 286,000 | 262,135 | |
PG&E Corp. | ||||
07/01/2028 | 5.000% | 141,000 | 129,433 | |
TerraForm Power Operating LLC(d) | ||||
01/31/2028 | 5.000% | 566,000 | 521,889 | |
01/15/2030 | 4.750% | 660,000 | 582,713 | |
Vistra Operations Co. LLC(d) | ||||
07/31/2027 | 5.000% | 154,000 | 144,418 | |
Total | 7,561,057 | |||
Environmental 1.2% | ||||
Clean Harbors, Inc.(d) | ||||
02/01/2031 | 6.375% | 56,000 | 56,379 | |
GFL Environmental, Inc.(d) | ||||
06/01/2025 | 4.250% | 700,000 | 675,696 | |
08/01/2028 | 4.000% | 410,000 | 367,610 | |
Waste Pro USA, Inc.(d) | ||||
02/15/2026 | 5.500% | 683,000 | 634,430 | |
Total | 1,734,115 | |||
Finance Companies 2.4% | ||||
Navient Corp. | ||||
06/25/2025 | 6.750% | 490,000 | 482,770 |
8 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
OneMain Finance Corp. | ||||
01/15/2029 | 9.000% | 209,000 | 210,797 | |
09/15/2030 | 4.000% | 301,000 | 232,084 | |
Provident Funding Associates LP/Finance Corp.(d) | ||||
06/15/2025 | 6.375% | 1,121,000 | 989,002 | |
Quicken Loans LLC/Co-Issuer, Inc.(d) | ||||
03/01/2029 | 3.625% | 380,000 | 319,478 | |
03/01/2031 | 3.875% | 90,000 | 72,973 | |
Rocket Mortgage LLC/Co-Issuer, Inc.(d) | ||||
10/15/2033 | 4.000% | 1,267,000 | 990,939 | |
Springleaf Finance Corp. | ||||
03/15/2024 | 6.125% | 220,000 | 219,215 | |
11/15/2029 | 5.375% | 33,000 | 28,178 | |
Total | 3,545,436 | |||
Food and Beverage 2.8% | ||||
Darling Ingredients, Inc.(d) | ||||
04/15/2027 | 5.250% | 374,000 | 362,737 | |
06/15/2030 | 6.000% | 270,000 | 263,850 | |
FAGE International SA/USA Dairy Industry, Inc.(d) | ||||
08/15/2026 | 5.625% | 1,343,000 | 1,269,937 | |
Performance Food Group, Inc.(d) | ||||
05/01/2025 | 6.875% | 185,000 | 185,257 | |
Pilgrim’s Pride Corp. | ||||
04/15/2031 | 4.250% | 316,000 | 271,127 | |
03/01/2032 | 3.500% | 93,000 | 74,059 | |
Post Holdings, Inc.(d) | ||||
03/01/2027 | 5.750% | 154,000 | 150,463 | |
01/15/2028 | 5.625% | 431,000 | 414,594 | |
04/15/2030 | 4.625% | 175,000 | 153,463 | |
Primo Water Holdings, Inc.(d) | ||||
04/30/2029 | 4.375% | 282,000 | 241,474 | |
Simmons Foods, Inc./Prepared Foods, Inc./Pet Food, Inc./Feed(d) | ||||
03/01/2029 | 4.625% | 573,000 | 461,714 | |
US Foods, Inc.(d) | ||||
06/01/2030 | 4.625% | 276,000 | 247,216 | |
Total | 4,095,891 | |||
Gaming 3.6% | ||||
Boyd Gaming Corp.(d) | ||||
06/15/2031 | 4.750% | 177,000 | 158,224 | |
Caesars Entertainment, Inc.(d) | ||||
02/15/2030 | 7.000% | 569,000 | 571,770 | |
Churchill Downs, Inc.(d) | ||||
05/01/2031 | 6.750% | 172,000 | 170,316 | |
Colt Merger Sub, Inc.(d) | ||||
07/01/2025 | 5.750% | 702,000 | 710,348 | |
07/01/2025 | 6.250% | 759,000 | 755,633 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
International Game Technology PLC(d) | ||||
02/15/2025 | 6.500% | 627,000 | 628,781 | |
04/15/2026 | 4.125% | 200,000 | 189,831 | |
Midwest Gaming Borrower LLC(d) | ||||
05/01/2029 | 4.875% | 550,000 | 487,163 | |
Scientific Games Holdings LP/US FinCo, Inc.(d) | ||||
03/01/2030 | 6.625% | 462,000 | 406,621 | |
Scientific Games International, Inc.(d) | ||||
05/15/2028 | 7.000% | 349,000 | 348,300 | |
VICI Properties LP/Note Co., Inc.(d) | ||||
12/01/2026 | 4.250% | 569,000 | 533,298 | |
Wynn Las Vegas LLC/Capital Corp.(d) | ||||
03/01/2025 | 5.500% | 357,000 | 351,132 | |
Total | 5,311,417 | |||
Health Care 7.2% | ||||
Acadia Healthcare Co., Inc.(d) | ||||
07/01/2028 | 5.500% | 151,000 | 144,378 | |
04/15/2029 | 5.000% | 320,000 | 297,141 | |
AdaptHealth LLC(d) | ||||
03/01/2030 | 5.125% | 477,000 | 387,775 | |
Avantor Funding, Inc.(d) | ||||
07/15/2028 | 4.625% | 348,000 | 322,563 | |
11/01/2029 | 3.875% | 736,000 | 645,322 | |
Catalent Pharma Solutions, Inc.(d) | ||||
07/15/2027 | 5.000% | 187,000 | 172,141 | |
04/01/2030 | 3.500% | 353,000 | 285,932 | |
Charles River Laboratories International, Inc.(d) | ||||
05/01/2028 | 4.250% | 251,000 | 230,537 | |
03/15/2029 | 3.750% | 143,000 | 126,369 | |
03/15/2031 | 4.000% | 163,000 | 142,292 | |
CHS/Community Health Systems, Inc.(d) | ||||
05/15/2030 | 5.250% | 779,000 | 616,123 | |
02/15/2031 | 4.750% | 212,000 | 160,194 | |
Hologic, Inc.(d) | ||||
02/01/2028 | 4.625% | 290,000 | 274,214 | |
Indigo Merger Sub, Inc.(d) | ||||
07/15/2026 | 2.875% | 200,000 | 182,315 | |
IQVIA, Inc.(d) | ||||
05/15/2027 | 5.000% | 669,000 | 644,388 | |
05/15/2030 | 6.500% | 146,000 | 147,724 | |
Mozart Debt Merger Sub, Inc.(d) | ||||
10/01/2029 | 5.250% | 945,000 | 820,276 | |
Select Medical Corp.(d) | ||||
08/15/2026 | 6.250% | 1,033,000 | 1,014,160 | |
Teleflex, Inc. | ||||
11/15/2027 | 4.625% | 599,000 | 566,251 |
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2023 | 9 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Teleflex, Inc.(d) | ||||
06/01/2028 | 4.250% | 246,000 | 226,046 | |
Tenet Healthcare Corp. | ||||
01/01/2026 | 4.875% | 1,205,000 | 1,173,937 | |
02/01/2027 | 6.250% | 1,288,000 | 1,277,231 | |
11/01/2027 | 5.125% | 304,000 | 290,235 | |
01/15/2030 | 4.375% | 80,000 | 72,188 | |
US Acute Care Solutions LLC(d) | ||||
03/01/2026 | 6.375% | 336,000 | 287,657 | |
Total | 10,507,389 | |||
Home Construction 0.4% | ||||
Meritage Homes Corp.(d) | ||||
04/15/2029 | 3.875% | 197,000 | 175,109 | |
Shea Homes LP/Funding Corp. | ||||
02/15/2028 | 4.750% | 400,000 | 356,849 | |
Total | 531,958 | |||
Independent Energy 4.3% | ||||
Baytex Energy Corp.(d) | ||||
04/30/2030 | 8.500% | 307,000 | 299,952 | |
Callon Petroleum Co.(d) | ||||
06/15/2030 | 7.500% | 156,000 | 147,270 | |
Centennial Resource Production LLC(d) | ||||
04/01/2027 | 6.875% | 77,000 | 75,967 | |
CNX Resources Corp.(d) | ||||
03/14/2027 | 7.250% | 32,000 | 31,741 | |
01/15/2029 | 6.000% | 416,000 | 386,200 | |
Colgate Energy Partners III LLC(d) | ||||
07/01/2029 | 5.875% | 1,129,000 | 1,064,189 | |
CrownRock LP/Finance, Inc.(d) | ||||
05/01/2029 | 5.000% | 141,000 | 132,580 | |
Hilcorp Energy I LP/Finance Co.(d) | ||||
11/01/2028 | 6.250% | 630,000 | 593,919 | |
02/01/2029 | 5.750% | 505,000 | 460,191 | |
Matador Resources Co. | ||||
09/15/2026 | 5.875% | 668,000 | 649,127 | |
Matador Resources Co.(d) | ||||
04/15/2028 | 6.875% | 183,000 | 181,116 | |
Occidental Petroleum Corp. | ||||
09/01/2030 | 6.625% | 607,000 | 630,656 | |
01/01/2031 | 6.125% | 364,000 | 369,572 | |
09/15/2036 | 6.450% | 54,000 | 55,589 | |
SM Energy Co. | ||||
07/15/2028 | 6.500% | 309,000 | 296,902 | |
Southwestern Energy Co. | ||||
02/01/2032 | 4.750% | 1,048,000 | 925,871 | |
Total | 6,300,842 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Leisure 2.8% | ||||
Carnival Corp.(d) | ||||
03/01/2026 | 7.625% | 158,000 | 154,723 | |
03/01/2027 | 5.750% | 695,000 | 639,347 | |
Carnival Holdings Bermuda Ltd.(d) | ||||
05/01/2028 | 10.375% | 464,000 | 507,594 | |
Cinemark USA, Inc.(d) | ||||
03/15/2026 | 5.875% | 451,000 | 427,968 | |
07/15/2028 | 5.250% | 14,000 | 12,441 | |
Live Nation Entertainment, Inc.(d) | ||||
10/15/2027 | 4.750% | 165,000 | 153,903 | |
NCL Corp., Ltd.(d) | ||||
02/15/2027 | 5.875% | 234,000 | 227,524 | |
Royal Caribbean Cruises Ltd.(d) | ||||
06/01/2025 | 11.500% | 67,000 | 71,030 | |
07/01/2026 | 4.250% | 78,000 | 71,939 | |
08/31/2026 | 5.500% | 134,000 | 127,147 | |
07/15/2027 | 5.375% | 98,000 | 91,882 | |
01/15/2029 | 9.250% | 80,000 | 85,312 | |
01/15/2030 | 7.250% | 904,000 | 917,394 | |
Six Flags Entertainment Corp.(d) | ||||
05/15/2031 | 7.250% | 337,000 | 328,195 | |
Viking Cruises Ltd.(d) | ||||
07/15/2031 | 9.125% | 317,000 | 320,312 | |
Total | 4,136,711 | |||
Lodging 0.3% | ||||
Hilton Domestic Operating Co., Inc.(d) | ||||
05/01/2028 | 5.750% | 380,000 | 374,668 | |
Media and Entertainment 3.1% | ||||
Clear Channel International BV(d) | ||||
08/01/2025 | 6.625% | 346,000 | 344,822 | |
Clear Channel Worldwide Holdings, Inc.(d) | ||||
08/15/2027 | 5.125% | 1,089,000 | 990,433 | |
iHeartCommunications, Inc. | ||||
05/01/2026 | 6.375% | 303,285 | 255,515 | |
iHeartCommunications, Inc.(d) | ||||
08/15/2027 | 5.250% | 601,000 | 459,643 | |
01/15/2028 | 4.750% | 266,000 | 200,792 | |
Outfront Media Capital LLC/Corp.(d) | ||||
01/15/2029 | 4.250% | 154,000 | 129,446 | |
03/15/2030 | 4.625% | 891,000 | 746,223 | |
Playtika Holding Corp.(d) | ||||
03/15/2029 | 4.250% | 728,000 | 646,970 | |
Roblox Corp.(d) | ||||
05/01/2030 | 3.875% | 473,000 | 398,623 |
10 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Univision Communications, Inc.(d) | ||||
06/30/2030 | 7.375% | 309,000 | 294,536 | |
Total | 4,467,003 | |||
Metals and Mining 3.0% | ||||
Allegheny Technologies, Inc. | ||||
10/01/2029 | 4.875% | 116,000 | 105,084 | |
10/01/2031 | 5.125% | 488,000 | 435,687 | |
Constellium SE(d) | ||||
06/15/2028 | 5.625% | 334,000 | 315,422 | |
04/15/2029 | 3.750% | 1,431,000 | 1,229,472 | |
Hudbay Minerals, Inc.(d) | ||||
04/01/2026 | 4.500% | 277,000 | 257,792 | |
04/01/2029 | 6.125% | 1,567,000 | 1,443,141 | |
Kaiser Aluminum Corp.(d) | ||||
06/01/2031 | 4.500% | 179,000 | 142,994 | |
Novelis Corp.(d) | ||||
11/15/2026 | 3.250% | 284,000 | 257,342 | |
08/15/2031 | 3.875% | 143,000 | 118,020 | |
Total | 4,304,954 | |||
Midstream 5.8% | ||||
CNX Midstream Partners LP(d) | ||||
04/15/2030 | 4.750% | 360,000 | 304,538 | |
DCP Midstream Operating LP | ||||
04/01/2044 | 5.600% | 336,000 | 318,274 | |
Delek Logistics Partners LP/Finance Corp. | ||||
05/15/2025 | 6.750% | 383,000 | 377,099 | |
DT Midstream, Inc.(d) | ||||
06/15/2029 | 4.125% | 283,000 | 248,427 | |
EQM Midstream Partners LP(d) | ||||
07/01/2025 | 6.000% | 148,000 | 146,826 | |
06/01/2027 | 7.500% | 124,000 | 125,216 | |
07/01/2027 | 6.500% | 539,000 | 531,569 | |
01/15/2029 | 4.500% | 302,000 | 269,507 | |
EQM Midstream Partners LP | ||||
12/01/2026 | 4.125% | 170,000 | 158,203 | |
07/15/2048 | 6.500% | 285,000 | 257,966 | |
Holly Energy Partners LP/Finance Corp.(d) | ||||
04/15/2027 | 6.375% | 360,000 | 356,666 | |
02/01/2028 | 5.000% | 545,000 | 508,292 | |
NuStar Logistics LP | ||||
10/01/2025 | 5.750% | 596,000 | 583,050 | |
06/01/2026 | 6.000% | 755,000 | 736,475 | |
TransMontaigne Partners LP/TLP Finance Corp. | ||||
02/15/2026 | 6.125% | 979,000 | 846,066 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Venture Global Calcasieu Pass LLC(d) | ||||
08/15/2029 | 3.875% | 496,000 | 433,281 | |
08/15/2031 | 4.125% | 773,000 | 665,520 | |
11/01/2033 | 3.875% | 873,000 | 717,626 | |
Western Gas Partners LP | ||||
07/01/2026 | 4.650% | 908,000 | 873,744 | |
Total | 8,458,345 | |||
Oil Field Services 0.7% | ||||
Nabors Industries Ltd.(d) | ||||
01/15/2026 | 7.250% | 75,000 | 70,063 | |
Nabors Industries, Inc.(d) | ||||
05/15/2027 | 7.375% | 167,000 | 158,849 | |
Transocean Titan Financing Ltd.(d) | ||||
02/01/2028 | 8.375% | 436,000 | 445,050 | |
Venture Global LNG, Inc.(d) | ||||
06/01/2028 | 8.125% | 206,000 | 209,514 | |
06/01/2031 | 8.375% | 150,000 | 151,456 | |
Total | 1,034,932 | |||
Other REIT 1.5% | ||||
Blackstone Mortgage Trust, Inc.(d) | ||||
01/15/2027 | 3.750% | 480,000 | 403,452 | |
Ladder Capital Finance Holdings LLLP/Corp.(d) | ||||
10/01/2025 | 5.250% | 255,000 | 240,018 | |
02/01/2027 | 4.250% | 843,000 | 732,380 | |
06/15/2029 | 4.750% | 343,000 | 279,245 | |
Park Intermediate Holdings LLC/PK Domestic Property LLC/Finance Co-Issuer(d) | ||||
05/15/2029 | 4.875% | 283,000 | 243,993 | |
RHP Hotel Properties LP/Finance Corp.(d) | ||||
07/15/2028 | 7.250% | 91,000 | 91,931 | |
RLJ Lodging Trust LP(d) | ||||
07/01/2026 | 3.750% | 194,000 | 178,038 | |
Total | 2,169,057 | |||
Packaging 1.9% | ||||
Ardagh Metal Packaging Finance USA LLC/PLC(d) | ||||
06/15/2027 | 6.000% | 155,000 | 152,372 | |
09/01/2029 | 4.000% | 757,000 | 600,861 | |
Ardagh Packaging Finance PLC/Holdings USA, Inc.(d) | ||||
04/30/2025 | 5.250% | 399,000 | 390,253 | |
Canpack SA/US LLC(d) | ||||
11/15/2029 | 3.875% | 627,000 | 509,779 | |
Sealed Air Corp.(d) | ||||
02/01/2028 | 6.125% | 54,000 | 53,599 | |
Trivium Packaging Finance BV(d) | ||||
08/15/2026 | 5.500% | 1,051,000 | 1,008,864 | |
Total | 2,715,728 |
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2023 | 11 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Pharmaceuticals 1.0% | ||||
Bausch Health Companies, Inc.(d) | ||||
02/01/2027 | 6.125% | 313,000 | 200,389 | |
06/01/2028 | 4.875% | 476,000 | 283,410 | |
Grifols Escrow Issuer SA(d) | ||||
10/15/2028 | 4.750% | 142,000 | 123,248 | |
Jazz Securities DAC(d) | ||||
01/15/2029 | 4.375% | 205,000 | 182,986 | |
Organon Finance 1 LLC(d) | ||||
04/30/2028 | 4.125% | 168,000 | 149,176 | |
04/30/2031 | 5.125% | 690,000 | 569,154 | |
Total | 1,508,363 | |||
Property & Casualty 2.2% | ||||
Alliant Holdings Intermediate LLC/Co-Issuer(d) | ||||
10/15/2027 | 4.250% | 1,379,000 | 1,264,007 | |
04/15/2028 | 6.750% | 666,000 | 656,668 | |
HUB International, Ltd.(d) | ||||
06/15/2030 | 7.250% | 809,000 | 835,364 | |
Lumbermens Mutual Casualty Co.(d),(f) | ||||
12/01/2097 | 0.000% | 30,000 | 3 | |
Lumbermens Mutual Casualty Co.(f) | ||||
Subordinated | ||||
07/01/2026 | 0.000% | 645,000 | 80 | |
MGIC Investment Corp. | ||||
08/15/2028 | 5.250% | 112,000 | 105,485 | |
Radian Group, Inc. | ||||
03/15/2025 | 6.625% | 44,000 | 43,942 | |
03/15/2027 | 4.875% | 262,000 | 247,224 | |
Total | 3,152,773 | |||
Restaurants 1.4% | ||||
IRB Holding Corp.(d) | ||||
06/15/2025 | 7.000% | 1,723,000 | 1,731,615 | |
Yum! Brands, Inc. | ||||
04/01/2032 | 5.375% | 361,000 | 342,715 | |
Total | 2,074,330 | |||
Retailers 1.6% | ||||
Asbury Automotive Group, Inc.(d) | ||||
11/15/2029 | 4.625% | 111,000 | 98,798 | |
02/15/2032 | 5.000% | 111,000 | 96,982 | |
Group 1 Automotive, Inc.(d) | ||||
08/15/2028 | 4.000% | 131,000 | 115,180 | |
Hanesbrands, Inc.(d) | ||||
05/15/2026 | 4.875% | 75,000 | 70,015 | |
02/15/2031 | 9.000% | 157,000 | 158,187 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
L Brands, Inc.(d) | ||||
07/01/2025 | 9.375% | 110,000 | 116,672 | |
10/01/2030 | 6.625% | 398,000 | 384,558 | |
L Brands, Inc. | ||||
06/15/2029 | 7.500% | 80,000 | 81,102 | |
LCM Investments Holdings II LLC(d) | ||||
05/01/2029 | 4.875% | 443,000 | 380,151 | |
Lithia Motors, Inc.(d) | ||||
01/15/2031 | 4.375% | 175,000 | 151,067 | |
Penske Automotive Group, Inc. | ||||
09/01/2025 | 3.500% | 208,000 | 198,084 | |
PetSmart, Inc./Finance Corp.(d) | ||||
02/15/2028 | 4.750% | 375,000 | 347,275 | |
Wolverine World Wide, Inc.(d) | ||||
08/15/2029 | 4.000% | 197,000 | 156,866 | |
Total | 2,354,937 | |||
Supermarkets 0.3% | ||||
Albertsons Companies LLC/Safeway, Inc./New Albertsons LP/Albertsons LLC(d) | ||||
02/15/2028 | 6.500% | 225,000 | 225,355 | |
SEG Holding LLC/Finance Corp.(d) | ||||
10/15/2028 | 5.625% | 189,000 | 179,953 | |
Total | 405,308 | |||
Technology 6.7% | ||||
Black Knight InfoServ LLC(d) | ||||
09/01/2028 | 3.625% | 500,000 | 449,132 | |
Block, Inc. | ||||
06/01/2031 | 3.500% | 175,000 | 145,142 | |
Boxer Parent Co., Inc.(d) | ||||
10/02/2025 | 7.125% | 233,000 | 232,826 | |
Camelot Finance SA(d) | ||||
11/01/2026 | 4.500% | 505,000 | 476,308 | |
Clarivate Science Holdings Corp.(d) | ||||
07/01/2028 | 3.875% | 225,000 | 198,957 | |
Cloud Software Group, Inc.(d) | ||||
09/30/2029 | 9.000% | 175,000 | 152,953 | |
Entegris Escrow Corp.(d) | ||||
04/15/2029 | 4.750% | 382,000 | 354,725 | |
06/15/2030 | 5.950% | 430,000 | 412,690 | |
Gartner, Inc.(d) | ||||
06/15/2029 | 3.625% | 171,000 | 150,797 | |
HealthEquity, Inc.(d) | ||||
10/01/2029 | 4.500% | 455,000 | 402,438 | |
Helios Software Holdings, Inc.(d) | ||||
05/01/2028 | 4.625% | 432,000 | 370,335 |
12 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
ION Trading Technologies Sarl(d) | ||||
05/15/2028 | 5.750% | 436,000 | 376,088 | |
Iron Mountain, Inc.(d) | ||||
09/15/2027 | 4.875% | 268,000 | 253,017 | |
Logan Merger Sub, Inc.(d) | ||||
09/01/2027 | 5.500% | 912,000 | 509,066 | |
NCR Corp.(d) | ||||
10/01/2028 | 5.000% | 424,000 | 379,276 | |
04/15/2029 | 5.125% | 910,000 | 805,647 | |
10/01/2030 | 5.250% | 26,000 | 22,647 | |
Neptune Bidco US, Inc.(d) | ||||
04/15/2029 | 9.290% | 524,000 | 481,195 | |
Picard Midco, Inc.(d) | ||||
03/31/2029 | 6.500% | 788,000 | 700,451 | |
PTC, Inc.(d) | ||||
02/15/2028 | 4.000% | 262,000 | 242,748 | |
Seagate HDD Cayman(d) | ||||
12/15/2029 | 8.250% | 170,000 | 177,628 | |
07/15/2031 | 8.500% | 188,000 | 197,285 | |
Sensata Technologies BV(d) | ||||
09/01/2030 | 5.875% | 270,000 | 262,585 | |
Shift4 Payments LLC/Finance Sub, Inc.(d) | ||||
11/01/2026 | 4.625% | 648,000 | 611,320 | |
Synaptics, Inc.(d) | ||||
06/15/2029 | 4.000% | 345,000 | 291,930 | |
Tempo Acquisition LLC/Finance Corp.(d) | ||||
06/01/2025 | 5.750% | 377,000 | 376,599 | |
ZoomInfo Technologies LLC/Finance Corp.(d) | ||||
02/01/2029 | 3.875% | 917,000 | 788,571 | |
Total | 9,822,356 | |||
Wireless 2.8% | ||||
Altice France SA(d) | ||||
02/01/2027 | 8.125% | 661,000 | 572,248 | |
01/15/2028 | 5.500% | 821,000 | 621,966 | |
07/15/2029 | 5.125% | 456,000 | 323,716 | |
SBA Communications Corp. | ||||
02/15/2027 | 3.875% | 922,000 | 849,484 | |
Sprint Capital Corp. | ||||
11/15/2028 | 6.875% | 729,000 | 772,997 | |
Vmed O2 UK Financing I PLC(d) | ||||
01/31/2031 | 4.250% | 438,000 | 354,594 | |
07/15/2031 | 4.750% | 665,000 | 554,046 | |
Total | 4,049,051 | |||
Wirelines 1.7% | ||||
CenturyLink, Inc.(d) | ||||
02/15/2027 | 4.000% | 420,000 | 313,771 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Frontier Communications Holdings LLC(d) | ||||
05/15/2030 | 8.750% | 324,000 | 316,577 | |
03/15/2031 | 8.625% | 334,000 | 323,205 | |
Iliad Holding SAS(d) | ||||
10/15/2026 | 6.500% | 1,042,000 | 983,786 | |
10/15/2028 | 7.000% | 638,000 | 588,698 | |
Total | 2,526,037 | |||
Total Corporate Bonds & Notes (Cost $143,986,466) | 132,536,758 | |||
Foreign Government Obligations(g) 0.5% | ||||
Canada 0.5% | ||||
NOVA Chemicals Corp.(d) | ||||
06/01/2027 | 5.250% | 771,000 | 687,083 | |
05/15/2029 | 4.250% | 124,000 | 101,171 | |
Total | 788,254 | |||
Total Foreign Government Obligations (Cost $893,213) | 788,254 | |||
Senior Loans 3.5% | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Consumer Cyclical Services 0.8% | ||||
8th Avenue Food & Provisions, Inc.(h),(i) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 3.750% 10/01/2025 | 8.967% | 1,282,368 | 1,174,739 | |
Health Care 0.4% | ||||
Surgery Center Holdings, Inc.(h),(i) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.750% Floor 0.750% 08/31/2026 | 8.896% | 643,431 | 642,188 | |
Media and Entertainment 0.7% | ||||
Cengage Learning, Inc.(h),(i),(j) | ||||
Tranche B 1st Lien Term Loan | ||||
3-month USD LIBOR + 4.750% Floor 1.000% 07/14/2026 | 9.880% | 1,042,895 | 1,020,473 | |
Technology 1.6% | ||||
Ascend Learning LLC(h),(i) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 3.500% Floor 0.500% 12/11/2028 | 8.702% | 792,925 | 743,740 |
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2023 | 13 |
June 30, 2023 (Unaudited)
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
UKG, Inc.(h),(i) | ||||
1st Lien Term Loan | ||||
3-month Term SOFR + 3.250% Floor 0.500% 05/04/2026 | 8.271% | 1,126,982 | 1,104,792 | |
3-month USD LIBOR + 3.750% 05/04/2026 | 8.895% | 406,175 | 400,237 | |
Total | 2,248,769 | |||
Total Senior Loans (Cost $5,277,521) | 5,086,169 |
Money Market Funds 3.3% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(k),(l) | 4,821,493 | 4,819,565 |
Total Money Market Funds (Cost $4,819,209) | 4,819,565 | |
Total Investments in Securities (Cost: $157,279,804) | 144,444,523 | |
Other Assets & Liabilities, Net | 1,567,412 | |
Net Assets | 146,011,935 |
(a) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At June 30, 2023, 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, 2023, the total value of these securities amounted to $110,653,114, which represents 75.78% of total net assets. |
(e) | Payment-in-kind security. Interest can be paid by issuing additional par of the security or in cash. |
(f) | Represents a security in default. |
(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, 2023 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, 2023. |
(j) | Represents a security purchased on a forward commitment basis. |
(k) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
(l) | 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, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | ||||||||
6,447,839 | 13,659,518 | (15,287,513) | (279) | 4,819,565 | (312) | 144,702 | 4,821,493 |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing Rate |
14 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2023 |
June 30, 2023 (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 | 56 | — | 6 | 62 |
Consumer Discretionary | 31,007 | — | — | 31,007 |
Industrials | 4,801 | — | — | 4,801 |
Utilities | — | — | 0* | 0* |
Total Common Stocks | 35,864 | — | 6 | 35,870 |
Convertible Bonds | — | 1,177,907 | — | 1,177,907 |
Corporate Bonds & Notes | — | 132,536,758 | — | 132,536,758 |
Foreign Government Obligations | — | 788,254 | — | 788,254 |
Senior Loans | — | 5,086,169 | — | 5,086,169 |
Money Market Funds | 4,819,565 | — | — | 4,819,565 |
Total Investments in Securities | 4,855,429 | 139,589,088 | 6 | 144,444,523 |
* | Rounds to zero. |
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2023 | 15 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $152,460,595) | $139,624,958 |
Affiliated issuers (cost $4,819,209) | 4,819,565 |
Cash | 24,818 |
Receivable for: | |
Investments sold | 31,306 |
Capital shares sold | 121,509 |
Dividends | 22,576 |
Interest | 2,188,905 |
Foreign tax reclaims | 1,718 |
Expense reimbursement due from Investment Manager | 613 |
Prepaid expenses | 4,077 |
Total assets | 146,840,045 |
Liabilities | |
Payable for: | |
Investments purchased | 267,899 |
Investments purchased on a delayed delivery basis | 220,512 |
Capital shares redeemed | 130,685 |
Management services fees | 2,635 |
Distribution and/or service fees | 557 |
Service fees | 10,724 |
Compensation of board members | 171,113 |
Compensation of chief compliance officer | 15 |
Other expenses | 23,970 |
Total liabilities | 828,110 |
Net assets applicable to outstanding capital stock | $146,011,935 |
Represented by | |
Paid in capital | 152,590,189 |
Total distributable earnings (loss) | (6,578,254) |
Total - representing net assets applicable to outstanding capital stock | $146,011,935 |
Class 1 | |
Net assets | $16,019,116 |
Shares outstanding | 2,554,719 |
Net asset value per share | $6.27 |
Class 2 | |
Net assets | $32,983,263 |
Shares outstanding | 5,311,083 |
Net asset value per share | $6.21 |
Class 3 | |
Net assets | $97,009,556 |
Shares outstanding | 15,369,769 |
Net asset value per share | $6.31 |
16 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $333 |
Dividends — affiliated issuers | 144,702 |
Interest | 4,303,808 |
Total income | 4,448,843 |
Expenses: | |
Management services fees | 483,958 |
Distribution and/or service fees | |
Class 2 | 41,133 |
Class 3 | 61,119 |
Service fees | 49,846 |
Compensation of board members | 6,870 |
Custodian fees | 3,104 |
Printing and postage fees | 9,865 |
Accounting services fees | 15,045 |
Legal fees | 6,880 |
Compensation of chief compliance officer | 14 |
Other | 3,982 |
Total expenses | 681,816 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (110,254) |
Total net expenses | 571,562 |
Net investment income | 3,877,281 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (1,429,348) |
Investments — affiliated issuers | (312) |
Net realized loss | (1,429,660) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 3,885,562 |
Investments — affiliated issuers | (279) |
Net change in unrealized appreciation (depreciation) | 3,885,283 |
Net realized and unrealized gain | 2,455,623 |
Net increase in net assets resulting from operations | $6,332,904 |
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2023 | 17 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment income | $3,877,281 | $7,298,986 |
Net realized loss | (1,429,660) | (3,091,672) |
Net change in unrealized appreciation (depreciation) | 3,885,283 | (22,176,745) |
Net increase (decrease) in net assets resulting from operations | 6,332,904 | (17,969,431) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | — | (1,514,214) |
Class 2 | — | (2,901,842) |
Class 3 | — | (9,245,559) |
Total distributions to shareholders | — | (13,661,615) |
Decrease in net assets from capital stock activity | (5,762,973) | (3,896,840) |
Total increase (decrease) in net assets | 569,931 | (35,527,886) |
Net assets at beginning of period | 145,442,004 | 180,969,890 |
Net assets at end of period | $146,011,935 | $145,442,004 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Shares sold | 87,521 | 542,243 | 109,761 | 715,344 |
Distributions reinvested | — | — | 248,231 | 1,514,214 |
Shares redeemed | (188,976) | (1,165,304) | (415,637) | (2,713,004) |
Net decrease | (101,455) | (623,061) | (57,645) | (483,446) |
Class 2 | ||||
Shares sold | 317,023 | 1,940,680 | 523,046 | 3,394,478 |
Distributions reinvested | — | — | 478,852 | 2,901,842 |
Shares redeemed | (433,602) | (2,651,526) | (557,326) | (3,608,498) |
Net increase (decrease) | (116,579) | (710,846) | 444,572 | 2,687,822 |
Class 3 | ||||
Shares sold | 117,481 | 728,961 | 42,500 | 291,923 |
Distributions reinvested | — | — | 1,503,343 | 9,245,559 |
Shares redeemed | (828,801) | (5,158,027) | (2,389,613) | (15,638,698) |
Net decrease | (711,320) | (4,429,066) | (843,770) | (6,101,216) |
Total net decrease | (929,354) | (5,762,973) | (456,843) | (3,896,840) |
18 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2023 |
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2023 | 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 6/30/2023 (Unaudited) | $6.00 | 0.17 | 0.10 | 0.27 | — | — | — |
Year Ended 12/31/2022 | $7.33 | 0.31 | (1.03) | (0.72) | (0.37) | (0.24) | (0.61) |
Year Ended 12/31/2021 | $7.71 | 0.33 | 0.01(c) | 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) |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $5.95 | 0.16 | 0.10 | 0.26 | — | — | — |
Year Ended 12/31/2022 | $7.27 | 0.29 | (1.02) | (0.73) | (0.35) | (0.24) | (0.59) |
Year Ended 12/31/2021 | $7.66 | 0.30 | 0.01(c) | 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) |
Class 3 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $6.04 | 0.16 | 0.11 | 0.27 | — | — | — |
Year Ended 12/31/2022 | $7.38 | 0.30 | (1.04) | (0.74) | (0.36) | (0.24) | (0.60) |
Year Ended 12/31/2021 | $7.75 | 0.32 | 0.02(c) | 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) |
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) | 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 the shares sold and redeemed by the Fund in relation to fluctuations in the market value of the portfolio. |
20 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2023 |
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 6/30/2023 (Unaudited) | $6.27 | 4.50% | 0.79% | 0.64% | 5.43% | 12% | $16,019 |
Year Ended 12/31/2022 | $6.00 | (10.01%) | 0.79% | 0.64% | 4.79% | 26% | $15,940 |
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 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $6.21 | 4.37% | 1.04% | 0.89% | 5.18% | 12% | $32,983 |
Year Ended 12/31/2022 | $5.95 | (10.22%) | 1.04% | 0.89% | 4.55% | 26% | $32,300 |
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 |
Class 3 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $6.31 | 4.47% | 0.92% | 0.76% | 5.30% | 12% | $97,010 |
Year Ended 12/31/2022 | $6.04 | (10.21%) | 0.91% | 0.76% | 4.66% | 26% | $97,202 |
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% | $146,078 |
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2023 | 21 |
June 30, 2023 (Unaudited)
22 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2023 | 23 |
June 30, 2023 (Unaudited)
24 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2023 | 25 |
June 30, 2023 (Unaudited)
Fee rate(s) contractual through April 30, 2024 | |
Class 1 | 0.64% |
Class 2 | 0.89 |
Class 3 | 0.765 |
26 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
157,280,000 | 493,000 | (13,328,000) | (12,835,000) |
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
(1,354,914) | (1,776,917) | (3,131,831) |
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2023 | 27 |
June 30, 2023 (Unaudited)
28 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2023 | 29 |
June 30, 2023 (Unaudited)
30 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2023 |
• | 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 2023 | 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 one or more 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 2023 |
(Unaudited)
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2023 | 33 |
(Unaudited)
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 2023 |
June 30, 2023 (Unaudited)
3 | |
5 | |
6 | |
10 | |
11 | |
12 | |
14 | |
16 | |
23 | |
24 |
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/07/10 | 2.05 | 10.50 | 8.59 | 9.54 | |
Class 2 | 05/07/10 | 1.94 | 10.22 | 8.32 | 9.27 | |
Russell 1000 Value Index | 5.12 | 11.54 | 8.11 | 9.22 |
CTIVP® – MFS® Value Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2023) | |
Common Stocks | 98.4 |
Money Market Funds | 1.6 |
Total | 100.0 |
Equity sector breakdown (%) (at June 30, 2023) | |
Communication Services | 3.6 |
Consumer Discretionary | 3.7 |
Consumer Staples | 7.6 |
Energy | 4.9 |
Financials | 24.9 |
Health Care | 17.3 |
Industrials | 16.2 |
Information Technology | 8.5 |
Materials | 3.8 |
Real Estate | 2.1 |
Utilities | 7.4 |
Total | 100.0 |
4 | CTIVP® – MFS® Value Fund | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,020.50 | 1,021.64 | 3.32 | 3.33 | 0.66 |
Class 2 | 1,000.00 | 1,000.00 | 1,019.40 | 1,020.39 | 4.58 | 4.58 | 0.91 |
CTIVP® – MFS® Value Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (Unaudited)
Common Stocks 98.5% | ||
Issuer | Shares | Value ($) |
Communication Services 3.5% | ||
Media 3.5% | ||
Charter Communications, Inc., Class A(a) | 39,545 | 14,527,647 |
Comcast Corp., Class A | 867,348 | 36,038,309 |
Total | 50,565,956 | |
Total Communication Services | 50,565,956 | |
Consumer Discretionary 3.6% | ||
Hotels, Restaurants & Leisure 1.4% | ||
Marriott International, Inc., Class A | 107,244 | 19,699,650 |
Specialty Retail 2.2% | ||
Lowe’s Companies, Inc. | 141,315 | 31,894,796 |
Total Consumer Discretionary | 51,594,446 | |
Consumer Staples 7.5% | ||
Beverages 2.6% | ||
Diageo PLC | 538,339 | 23,143,734 |
PepsiCo, Inc. | 72,866 | 13,496,240 |
Total | 36,639,974 | |
Consumer Staples Distribution & Retail 1.2% | ||
Target Corp. | 132,288 | 17,448,787 |
Food Products 2.0% | ||
Archer-Daniels-Midland Co. | 55,210 | 4,171,667 |
Nestlé SA, Registered Shares | 200,179 | 24,079,854 |
Total | 28,251,521 | |
Household Products 1.4% | ||
Kimberly-Clark Corp. | 86,830 | 11,987,750 |
Reckitt Benckiser Group PLC | 103,347 | 7,766,617 |
Total | 19,754,367 | |
Personal Care Products 0.3% | ||
Kenvue, Inc.(a) | 157,940 | 4,172,775 |
Total Consumer Staples | 106,267,424 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Energy 4.8% | ||
Oil, Gas & Consumable Fuels 4.8% | ||
ConocoPhillips Co. | 339,551 | 35,180,879 |
EOG Resources, Inc. | 111,556 | 12,766,468 |
Pioneer Natural Resources Co. | 98,437 | 20,394,178 |
Total | 68,341,525 | |
Total Energy | 68,341,525 | |
Financials 24.5% | ||
Banks 6.5% | ||
Citigroup, Inc. | 380,883 | 17,535,853 |
JPMorgan Chase & Co. | 388,452 | 56,496,459 |
PNC Financial Services Group, Inc. (The) | 109,332 | 13,770,365 |
Truist Financial Corp. | 168,808 | 5,123,323 |
Total | 92,926,000 | |
Capital Markets 5.1% | ||
BlackRock, Inc. | 21,479 | 14,844,996 |
Goldman Sachs Group, Inc. (The) | 17,026 | 5,491,566 |
KKR & Co., Inc., Class A | 161,776 | 9,059,456 |
Morgan Stanley | 292,017 | 24,938,252 |
Nasdaq, Inc. | 385,543 | 19,219,319 |
Total | 73,553,589 | |
Consumer Finance 1.8% | ||
American Express Co. | 149,675 | 26,073,385 |
Insurance 11.1% | ||
Aon PLC, Class A | 110,210 | 38,044,492 |
Chubb Ltd. | 140,774 | 27,107,441 |
Marsh & McLennan Companies, Inc. | 195,532 | 36,775,659 |
Progressive Corp. (The) | 253,300 | 33,529,321 |
Travelers Companies, Inc. (The) | 128,588 | 22,330,592 |
Total | 157,787,505 | |
Total Financials | 350,340,479 |
6 | CTIVP® – MFS® Value Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Health Care 17.1% | ||
Health Care Equipment & Supplies 3.6% | ||
Abbott Laboratories | 191,125 | 20,836,448 |
Boston Scientific Corp.(a) | 271,743 | 14,698,579 |
Medtronic PLC | 182,641 | 16,090,672 |
Total | 51,625,699 | |
Health Care Providers & Services 4.4% | ||
Cigna Group (The) | 136,959 | 38,430,695 |
McKesson Corp. | 57,664 | 24,640,404 |
Total | 63,071,099 | |
Life Sciences Tools & Services 2.0% | ||
Danaher Corp. | 36,229 | 8,694,960 |
Thermo Fisher Scientific, Inc. | 36,145 | 18,858,654 |
Total | 27,553,614 | |
Pharmaceuticals 7.1% | ||
Johnson & Johnson | 245,620 | 40,655,022 |
Merck & Co., Inc. | 246,276 | 28,417,788 |
Pfizer, Inc. | 742,305 | 27,227,747 |
Roche Holding AG, Genusschein Shares | 15,957 | 4,874,386 |
Total | 101,174,943 | |
Total Health Care | 243,425,355 | |
Industrials 16.0% | ||
Aerospace & Defense 4.5% | ||
General Dynamics Corp. | 109,780 | 23,619,167 |
Northrop Grumman Corp. | 70,691 | 32,220,958 |
Raytheon Technologies Corp. | 94,039 | 9,212,060 |
Total | 65,052,185 | |
Building Products 1.7% | ||
Johnson Controls International PLC | 172,051 | 11,723,555 |
Masco Corp. | 25,216 | 1,446,894 |
Trane Technologies PLC | 57,869 | 11,068,025 |
Total | 24,238,474 | |
Electrical Equipment 1.4% | ||
Eaton Corp. PLC | 99,805 | 20,070,786 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Ground Transportation 2.5% | ||
Canadian National Railway Co. | 69,318 | 8,392,330 |
Union Pacific Corp. | 132,662 | 27,145,299 |
Total | 35,537,629 | |
Industrial Conglomerates 2.0% | ||
Honeywell International, Inc. | 135,306 | 28,075,995 |
Machinery 2.7% | ||
Illinois Tool Works, Inc. | 98,217 | 24,569,965 |
Otis Worldwide Corp. | 57,892 | 5,152,967 |
PACCAR, Inc. | 103,488 | 8,656,771 |
Total | 38,379,703 | |
Professional Services 1.2% | ||
Equifax, Inc. | 71,044 | 16,716,653 |
Total Industrials | 228,071,425 | |
Information Technology 8.4% | ||
IT Services 2.0% | ||
Accenture PLC, Class A | 92,013 | 28,393,372 |
Semiconductors & Semiconductor Equipment 6.4% | ||
Analog Devices, Inc. | 91,074 | 17,742,126 |
KLA Corp. | 44,381 | 21,525,673 |
NXP Semiconductors NV | 85,939 | 17,589,994 |
Texas Instruments, Inc. | 192,018 | 34,567,080 |
Total | 91,424,873 | |
Total Information Technology | 119,818,245 | |
Materials 3.7% | ||
Chemicals 3.7% | ||
Corteva, Inc. | 92,594 | 5,305,636 |
DuPont de Nemours, Inc. | 282,678 | 20,194,516 |
International Flavors & Fragrances, Inc. | 9,101 | 724,349 |
PPG Industries, Inc. | 91,657 | 13,592,733 |
Sherwin-Williams Co. (The) | 50,002 | 13,276,531 |
Total | 53,093,765 | |
Total Materials | 53,093,765 | |
Real Estate 2.1% | ||
Industrial REITs 1.7% | ||
Prologis, Inc. | 198,647 | 24,360,081 |
CTIVP® – MFS® Value Fund | Semiannual Report 2023 | 7 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Specialized REITs 0.4% | ||
Public Storage | 17,877 | 5,217,939 |
Total Real Estate | 29,578,020 | |
Utilities 7.3% | ||
Electric Utilities 5.9% | ||
American Electric Power Co., Inc. | 86,494 | 7,282,795 |
Duke Energy Corp. | 277,397 | 24,893,607 |
Exelon Corp. | 289,689 | 11,801,930 |
PG&E Corp.(a) | 207,359 | 3,583,163 |
Southern Co. (The) | 384,231 | 26,992,228 |
Xcel Energy, Inc. | 167,929 | 10,440,146 |
Total | 84,993,869 | |
Multi-Utilities 1.4% | ||
Dominion Energy, Inc. | 381,103 | 19,737,324 |
Total Utilities | 104,731,193 | |
Total Common Stocks (Cost $1,130,861,624) | 1,405,827,833 | |
Money Market Funds 1.6% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(b),(c) | 23,287,113 | 23,277,799 |
Total Money Market Funds (Cost $23,277,457) | 23,277,799 | |
Total Investments in Securities (Cost: $1,154,139,081) | 1,429,105,632 | |
Other Assets & Liabilities, Net | (1,656,840) | |
Net Assets | 1,427,448,792 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | ||||||||
16,334,636 | 71,887,836 | (64,944,829) | 156 | 23,277,799 | (242) | 431,539 | 23,287,113 |
■ | 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 2023 |
June 30, 2023 (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 | ||||
Communication Services | 50,565,956 | — | — | 50,565,956 |
Consumer Discretionary | 51,594,446 | — | — | 51,594,446 |
Consumer Staples | 51,277,219 | 54,990,205 | — | 106,267,424 |
Energy | 68,341,525 | — | — | 68,341,525 |
Financials | 350,340,479 | — | — | 350,340,479 |
Health Care | 238,550,969 | 4,874,386 | — | 243,425,355 |
Industrials | 228,071,425 | — | — | 228,071,425 |
Information Technology | 119,818,245 | — | — | 119,818,245 |
Materials | 53,093,765 | — | — | 53,093,765 |
Real Estate | 29,578,020 | — | — | 29,578,020 |
Utilities | 104,731,193 | — | — | 104,731,193 |
Total Common Stocks | 1,345,963,242 | 59,864,591 | — | 1,405,827,833 |
Money Market Funds | 23,277,799 | — | — | 23,277,799 |
Total Investments in Securities | 1,369,241,041 | 59,864,591 | — | 1,429,105,632 |
CTIVP® – MFS® Value Fund | Semiannual Report 2023 | 9 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,130,861,624) | $1,405,827,833 |
Affiliated issuers (cost $23,277,457) | 23,277,799 |
Foreign currency (cost $31,003) | 31,003 |
Receivable for: | |
Capital shares sold | 3,306 |
Dividends | 1,194,344 |
Foreign tax reclaims | 64,834 |
Expense reimbursement due from Investment Manager | 3,316 |
Prepaid expenses | 9,721 |
Total assets | 1,430,412,156 |
Liabilities | |
Due to custodian | 45,989 |
Payable for: | |
Investments purchased | 1,949,623 |
Capital shares redeemed | 761,844 |
Management services fees | 26,776 |
Distribution and/or service fees | 579 |
Service fees | 3,732 |
Compensation of board members | 149,065 |
Compensation of chief compliance officer | 137 |
Other expenses | 25,619 |
Total liabilities | 2,963,364 |
Net assets applicable to outstanding capital stock | $1,427,448,792 |
Represented by | |
Trust capital | $1,427,448,792 |
Total - representing net assets applicable to outstanding capital stock | $1,427,448,792 |
Class 1 | |
Net assets | $1,342,281,949 |
Shares outstanding | 36,973,885 |
Net asset value per share | $36.30 |
Class 2 | |
Net assets | $85,166,843 |
Shares outstanding | 2,422,994 |
Net asset value per share | $35.15 |
10 | CTIVP® – MFS® Value Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $17,072,763 |
Dividends — affiliated issuers | 431,539 |
Foreign taxes withheld | (304,711) |
Total income | 17,199,591 |
Expenses: | |
Management services fees | 4,913,721 |
Distribution and/or service fees | |
Class 2 | 104,522 |
Service fees | 27,140 |
Compensation of board members | 18,525 |
Custodian fees | 8,521 |
Printing and postage fees | 5,804 |
Accounting services fees | 15,045 |
Legal fees | 15,736 |
Interest on interfund lending | 170 |
Compensation of chief compliance officer | 143 |
Other | 14,371 |
Total expenses | 5,123,698 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (321,850) |
Total net expenses | 4,801,848 |
Net investment income | 12,397,743 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 79,036,964 |
Investments — affiliated issuers | (242) |
Foreign currency translations | 8,062 |
Net realized gain | 79,044,784 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (58,766,036) |
Investments — affiliated issuers | 156 |
Net change in unrealized appreciation (depreciation) | (58,765,880) |
Net realized and unrealized gain | 20,278,904 |
Net increase in net assets resulting from operations | $32,676,647 |
CTIVP® – MFS® Value Fund | Semiannual Report 2023 | 11 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment income | $12,397,743 | $26,236,698 |
Net realized gain | 79,044,784 | 156,195,770 |
Net change in unrealized appreciation (depreciation) | (58,765,880) | (304,184,987) |
Net increase (decrease) in net assets resulting from operations | 32,676,647 | (121,752,519) |
Decrease in net assets from capital stock activity | (146,953,296) | (275,258,048) |
Total decrease in net assets | (114,276,649) | (397,010,567) |
Net assets at beginning of period | 1,541,725,441 | 1,938,736,008 |
Net assets at end of period | $1,427,448,792 | $1,541,725,441 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Shares sold | 120,471 | 4,218,591 | 126,441 | 4,338,303 |
Shares redeemed | (4,126,269) | (150,754,270) | (8,048,313) | (282,830,627) |
Net decrease | (4,005,798) | (146,535,679) | (7,921,872) | (278,492,324) |
Class 2 | ||||
Shares sold | 85,250 | 2,944,848 | 244,469 | 8,324,601 |
Shares redeemed | (97,924) | (3,362,465) | (151,977) | (5,090,325) |
Net increase (decrease) | (12,674) | (417,617) | 92,492 | 3,234,276 |
Total net decrease | (4,018,472) | (146,953,296) | (7,829,380) | (275,258,048) |
12 | CTIVP® – MFS® Value Fund | Semiannual Report 2023 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $35.57 | 0.31 | 0.42 | 0.73 |
Year Ended 12/31/2022 | $37.88 | 0.56 | (2.87) | (2.31) |
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) |
Class 2 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $34.48 | 0.26 | 0.41 | 0.67 |
Year Ended 12/31/2022 | $36.82 | 0.46 | (2.80) | (2.34) |
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) |
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) | Ratios include interfund lending expense which is less than 0.01%. |
(d) | Ratios include line of credit interest expense which is less than 0.01%. |
14 | CTIVP® – MFS® Value Fund | Semiannual Report 2023 |
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 6/30/2023 (Unaudited) | $36.30 | 2.05% | 0.71%(c) | 0.66%(c) | 1.76% | 6% | $1,342,282 |
Year Ended 12/31/2022 | $35.57 | (6.10%) | 0.70%(c) | 0.68%(c) | 1.60% | 13% | $1,457,733 |
Year Ended 12/31/2021 | $37.88 | 25.43% | 0.69%(c) | 0.69%(c) | 1.33% | 10% | $1,852,472 |
Year Ended 12/31/2020 | $30.20 | 3.57% | 0.71%(c),(d) | 0.71%(c),(d) | 1.59% | 38% | $1,719,205 |
Year Ended 12/31/2019 | $29.16 | 29.83% | 0.70%(c) | 0.70%(c) | 1.62% | 12% | $1,493,599 |
Year Ended 12/31/2018 | $22.46 | (10.02%) | 0.69%(c) | 0.69%(c) | 2.00% | 8% | $1,588,214 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $35.15 | 1.94% | 0.96%(c) | 0.91%(c) | 1.52% | 6% | $85,167 |
Year Ended 12/31/2022 | $34.48 | (6.36%) | 0.95%(c) | 0.93%(c) | 1.36% | 13% | $83,993 |
Year Ended 12/31/2021 | $36.82 | 25.11% | 0.94%(c) | 0.94%(c) | 1.08% | 10% | $86,264 |
Year Ended 12/31/2020 | $29.43 | 3.33% | 0.96%(c),(d) | 0.96%(c),(d) | 1.36% | 38% | $67,733 |
Year Ended 12/31/2019 | $28.48 | 29.51% | 0.95%(c) | 0.95%(c) | 1.36% | 12% | $63,976 |
Year Ended 12/31/2018 | $21.99 | (10.25%) | 0.94%(c) | 0.94%(c) | 1.80% | 8% | $45,033 |
CTIVP® – MFS® Value Fund | Semiannual Report 2023 | 15 |
June 30, 2023 (Unaudited)
16 | CTIVP® – MFS® Value Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
CTIVP® – MFS® Value Fund | Semiannual Report 2023 | 17 |
June 30, 2023 (Unaudited)
18 | CTIVP® – MFS® Value Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
CTIVP® – MFS® Value Fund | Semiannual Report 2023 | 19 |
June 30, 2023 (Unaudited)
May 1, 2023 through April 30, 2024 | Prior to May 1, 2023 | |
Class 1 | 0.62% | 0.68% |
Class 2 | 0.87 | 0.93 |
20 | CTIVP® – MFS® Value Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Borrower | 400,000 | 5.10 | 3 |
CTIVP® – MFS® Value Fund | Semiannual Report 2023 | 21 |
June 30, 2023 (Unaudited)
22 | CTIVP® – MFS® Value Fund | Semiannual Report 2023 |
• | 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 2023 | 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 one or more 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; |
24 | CTIVP® – MFS® Value Fund | Semiannual Report 2023 |
• | 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® – MFS® Value Fund | Semiannual Report 2023 | 25 |
26 | CTIVP® – MFS® Value Fund | Semiannual Report 2023 |
CTIVP® – MFS® Value Fund | Semiannual Report 2023 | 27 |
June 30, 2023 (Unaudited)
3 | |
5 | |
6 | |
10 | |
11 | |
12 | |
14 | |
16 | |
23 | |
24 |
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/07/10 | 1.62 | 7.36 | 7.56 | 8.02 | |
Class 2 | 05/07/10 | 1.48 | 7.11 | 7.29 | 7.75 | |
Russell 1000 Value Index | 5.12 | 11.54 | 8.11 | 9.22 |
CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2023) | |
Common Stocks | 97.8 |
Money Market Funds | 2.2 |
Total | 100.0 |
Equity sector breakdown (%) (at June 30, 2023) | |
Communication Services | 3.8 |
Consumer Discretionary | 2.4 |
Consumer Staples | 11.0 |
Energy | 8.4 |
Financials | 19.4 |
Health Care | 21.0 |
Industrials | 12.0 |
Information Technology | 8.1 |
Materials | 2.4 |
Real Estate | 4.4 |
Utilities | 7.1 |
Total | 100.0 |
4 | CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,016.20 | 1,021.44 | 3.52 | 3.53 | 0.70 |
Class 2 | 1,000.00 | 1,000.00 | 1,014.80 | 1,020.19 | 4.77 | 4.78 | 0.95 |
CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (Unaudited)
Common Stocks 97.6% | ||
Issuer | Shares | Value ($) |
Communication Services 3.7% | ||
Diversified Telecommunication Services 1.2% | ||
Verizon Communications, Inc. | 571,000 | 21,235,490 |
Entertainment 0.9% | ||
Walt Disney Co. (The)(a) | 180,473 | 16,112,629 |
Media 1.6% | ||
News Corp., Class A | 1,368,583 | 26,687,369 |
Total Communication Services | 64,035,488 | |
Consumer Discretionary 2.4% | ||
Auto Components 0.3% | ||
Magna International, Inc. | 93,773 | 5,292,548 |
Broadline Retail 0.5% | ||
Kohl’s Corp. | 358,209 | 8,256,717 |
Hotels, Restaurants & Leisure 0.7% | ||
Las Vegas Sands Corp.(a) | 192,025 | 11,137,450 |
Specialty Retail 0.9% | ||
Best Buy Co., Inc. | 190,645 | 15,623,358 |
Total Consumer Discretionary | 40,310,073 | |
Consumer Staples 10.7% | ||
Beverages 0.8% | ||
Coca-Cola Co. (The) | 214,375 | 12,909,662 |
Consumer Staples Distribution & Retail 2.3% | ||
Walmart, Inc. | 251,597 | 39,546,016 |
Food Products 2.4% | ||
ConAgra Foods, Inc. | 881,616 | 29,728,092 |
Tyson Foods, Inc., Class A | 235,000 | 11,994,400 |
Total | 41,722,492 | |
Household Products 2.2% | ||
Colgate-Palmolive Co. | 180,000 | 13,867,200 |
Kimberly-Clark Corp. | 173,917 | 24,010,981 |
Total | 37,878,181 | |
Personal Care Products 0.3% | ||
Kenvue, Inc.(a) | 164,556 | 4,347,570 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Tobacco 2.7% | ||
Philip Morris International, Inc. | 469,902 | 45,871,833 |
Total Consumer Staples | 182,275,754 | |
Energy 8.2% | ||
Energy Equipment & Services 0.5% | ||
Baker Hughes Co. | 294,000 | 9,293,340 |
Oil, Gas & Consumable Fuels 7.7% | ||
ConocoPhillips Co. | 112,824 | 11,689,695 |
EOG Resources, Inc. | 76,000 | 8,697,440 |
EQT Corp. | 236,000 | 9,706,680 |
Exxon Mobil Corp. | 245,677 | 26,348,858 |
Suncor Energy, Inc. | 430,000 | 12,607,600 |
TC Energy Corp. | 459,172 | 18,555,141 |
TotalEnergies SE, ADR | 701,477 | 40,433,134 |
Williams Companies, Inc. (The) | 76,651 | 2,501,122 |
Total | 130,539,670 | |
Total Energy | 139,833,010 | |
Financials 18.9% | ||
Banks 8.9% | ||
Bank of America Corp. | 1,357,080 | 38,934,625 |
Fifth Third Bancorp | 739,548 | 19,383,553 |
Huntington Bancshares, Inc. | 1,640,650 | 17,686,207 |
U.S. Bancorp | 769,431 | 25,422,000 |
Wells Fargo & Co. | 1,199,701 | 51,203,239 |
Total | 152,629,624 | |
Financial Services 4.0% | ||
Equitable Holdings, Inc. | 803,320 | 21,818,171 |
Fiserv, Inc.(a) | 364,072 | 45,927,683 |
Total | 67,745,854 | |
Insurance 6.0% | ||
American International Group, Inc. | 592,812 | 34,110,403 |
Chubb Ltd. | 215,750 | 41,544,820 |
Hartford Financial Services Group, Inc. (The) | 366,645 | 26,405,773 |
Total | 102,060,996 | |
Total Financials | 322,436,474 |
6 | CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Health Care 20.5% | ||
Biotechnology 0.8% | ||
AbbVie, Inc. | 96,370 | 12,983,930 |
Health Care Equipment & Supplies 7.4% | ||
Baxter International, Inc. | 421,000 | 19,180,760 |
Becton Dickinson & Co. | 164,116 | 43,328,265 |
Medtronic PLC | 348,063 | 30,664,350 |
Zimmer Biomet Holdings, Inc. | 224,433 | 32,677,445 |
Total | 125,850,820 | |
Health Care Providers & Services 5.0% | ||
Cigna Group (The) | 103,884 | 29,149,850 |
CVS Health Corp. | 287,813 | 19,896,513 |
Elevance Health, Inc. | 83,594 | 37,139,978 |
Total | 86,186,341 | |
Pharmaceuticals 7.3% | ||
Bristol-Myers Squibb Co. | 192,328 | 12,299,376 |
Elanco Animal Health, Inc.(a) | 845,486 | 8,505,589 |
Johnson & Johnson | 357,346 | 59,147,910 |
Merck & Co., Inc. | 192,981 | 22,268,078 |
Pfizer, Inc. | 595,909 | 21,857,942 |
Total | 124,078,895 | |
Total Health Care | 349,099,986 | |
Industrials 11.8% | ||
Aerospace & Defense 2.0% | ||
L3Harris Technologies, Inc. | 169,462 | 33,175,576 |
Air Freight & Logistics 0.8% | ||
United Parcel Service, Inc., Class B | 75,541 | 13,540,724 |
Ground Transportation 2.2% | ||
Norfolk Southern Corp. | 75,000 | 17,007,000 |
Union Pacific Corp. | 102,000 | 20,871,240 |
Total | 37,878,240 | |
Industrial Conglomerates 3.2% | ||
General Electric Co. | 217,328 | 23,873,481 |
Siemens AG, ADR | 374,782 | 31,269,936 |
Total | 55,143,417 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Machinery 2.8% | ||
Cummins, Inc. | 91,512 | 22,435,082 |
Stanley Black & Decker, Inc. | 270,622 | 25,359,987 |
Total | 47,795,069 | |
Passenger Airlines 0.8% | ||
Southwest Airlines Co. | 357,395 | 12,941,273 |
Total Industrials | 200,474,299 | |
Information Technology 7.9% | ||
Communications Equipment 0.6% | ||
Cisco Systems, Inc. | 192,208 | 9,944,842 |
IT Services 0.7% | ||
Accenture PLC, Class A | 39,000 | 12,034,620 |
Semiconductors & Semiconductor Equipment 4.3% | ||
Applied Materials, Inc. | 42,320 | 6,116,933 |
Micron Technology, Inc. | 253,612 | 16,005,453 |
QUALCOMM, Inc. | 378,712 | 45,081,876 |
Texas Instruments, Inc. | 38,653 | 6,958,313 |
Total | 74,162,575 | |
Software 1.0% | ||
Microsoft Corp. | 47,813 | 16,282,239 |
Technology Hardware, Storage & Peripherals 1.3% | ||
Western Digital Corp.(a) | 599,159 | 22,726,101 |
Total Information Technology | 135,150,377 | |
Materials 2.3% | ||
Chemicals 1.5% | ||
CF Industries Holdings, Inc. | 216,127 | 15,003,536 |
RPM International, Inc. | 115,215 | 10,338,242 |
Total | 25,341,778 | |
Containers & Packaging 0.8% | ||
International Paper Co. | 441,377 | 14,040,203 |
Total Materials | 39,381,981 | |
Real Estate 4.3% | ||
Residential REITs 2.6% | ||
AvalonBay Communities, Inc. | 237,236 | 44,901,657 |
Specialized REITs 1.7% | ||
Weyerhaeuser Co. | 860,672 | 28,841,119 |
Total Real Estate | 73,742,776 |
CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2023 | 7 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Utilities 6.9% | ||
Electric Utilities 3.2% | ||
Southern Co. (The) | 766,273 | 53,830,678 |
Multi-Utilities 3.7% | ||
Ameren Corp. | 205,811 | 16,808,584 |
Dominion Energy, Inc. | 406,945 | 21,075,682 |
Sempra Energy | 179,167 | 26,084,924 |
Total | 63,969,190 | |
Total Utilities | 117,799,868 | |
Total Common Stocks (Cost $1,564,491,251) | 1,664,540,086 | |
Money Market Funds 2.2% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(b),(c) | 36,970,101 | 36,955,313 |
Total Money Market Funds (Cost $36,953,429) | 36,955,313 | |
Total Investments in Securities (Cost: $1,601,444,680) | 1,701,495,399 | |
Other Assets & Liabilities, Net | 3,964,880 | |
Net Assets | 1,705,460,279 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | ||||||||
33,788,844 | 97,554,498 | (94,387,520) | (509) | 36,955,313 | (1,425) | 841,132 | 36,970,101 |
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 | CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2023 |
June 30, 2023 (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 | ||||
Communication Services | 64,035,488 | — | — | 64,035,488 |
Consumer Discretionary | 40,310,073 | — | — | 40,310,073 |
Consumer Staples | 182,275,754 | — | — | 182,275,754 |
Energy | 139,833,010 | — | — | 139,833,010 |
Financials | 322,436,474 | — | — | 322,436,474 |
Health Care | 349,099,986 | — | — | 349,099,986 |
Industrials | 169,204,363 | 31,269,936 | — | 200,474,299 |
Information Technology | 135,150,377 | — | — | 135,150,377 |
Materials | 39,381,981 | — | — | 39,381,981 |
Real Estate | 73,742,776 | — | — | 73,742,776 |
Utilities | 117,799,868 | — | — | 117,799,868 |
Total Common Stocks | 1,633,270,150 | 31,269,936 | — | 1,664,540,086 |
Money Market Funds | 36,955,313 | — | — | 36,955,313 |
Total Investments in Securities | 1,670,225,463 | 31,269,936 | — | 1,701,495,399 |
CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2023 | 9 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,564,491,251) | $1,664,540,086 |
Affiliated issuers (cost $36,953,429) | 36,955,313 |
Receivable for: | |
Investments sold | 14,253,657 |
Capital shares sold | 843 |
Dividends | 4,171,455 |
Foreign tax reclaims | 147,913 |
Prepaid expenses | 9,357 |
Total assets | 1,720,078,624 |
Liabilities | |
Payable for: | |
Investments purchased | 13,973,305 |
Capital shares redeemed | 431,875 |
Management services fees | 31,735 |
Distribution and/or service fees | 323 |
Service fees | 2,077 |
Compensation of board members | 153,651 |
Compensation of chief compliance officer | 165 |
Other expenses | 25,214 |
Total liabilities | 14,618,345 |
Net assets applicable to outstanding capital stock | $1,705,460,279 |
Represented by | |
Trust capital | $1,705,460,279 |
Total - representing net assets applicable to outstanding capital stock | $1,705,460,279 |
Class 1 | |
Net assets | $1,658,204,767 |
Shares outstanding | 50,954,604 |
Net asset value per share | $32.54 |
Class 2 | |
Net assets | $47,255,512 |
Shares outstanding | 1,500,565 |
Net asset value per share | $31.49 |
10 | CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $24,864,551 |
Dividends — affiliated issuers | 841,132 |
Foreign taxes withheld | (810,533) |
Total income | 24,895,150 |
Expenses: | |
Management services fees | 5,852,062 |
Distribution and/or service fees | |
Class 2 | 59,075 |
Service fees | 14,787 |
Compensation of board members | 20,531 |
Custodian fees | 8,123 |
Printing and postage fees | 4,799 |
Accounting services fees | 15,045 |
Legal fees | 17,705 |
Compensation of chief compliance officer | 171 |
Other | 51,746 |
Total expenses | 6,044,044 |
Net investment income | 18,851,106 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 39,133,891 |
Investments — affiliated issuers | (1,425) |
Foreign currency translations | 7,796 |
Net realized gain | 39,140,262 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (23,190,544) |
Investments — affiliated issuers | (509) |
Foreign currency translations | (45) |
Net change in unrealized appreciation (depreciation) | (23,191,098) |
Net realized and unrealized gain | 15,949,164 |
Net increase in net assets resulting from operations | $34,800,270 |
CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2023 | 11 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment income | $18,851,106 | $33,494,929 |
Net realized gain | 39,140,262 | 234,273,476 |
Net change in unrealized appreciation (depreciation) | (23,191,098) | (374,636,534) |
Net increase (decrease) in net assets resulting from operations | 34,800,270 | (106,868,129) |
Decrease in net assets from capital stock activity | (158,318,673) | (347,573,294) |
Total decrease in net assets | (123,518,403) | (454,441,423) |
Net assets at beginning of period | 1,828,978,682 | 2,283,420,105 |
Net assets at end of period | $1,705,460,279 | $1,828,978,682 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Shares sold | 200,501 | 6,295,661 | 172,303 | 5,344,497 |
Shares redeemed | (4,887,505) | (163,980,531) | (11,052,167) | (360,238,515) |
Net decrease | (4,687,004) | (157,684,870) | (10,879,864) | (354,894,018) |
Class 2 | ||||
Shares sold | 64,965 | 2,009,698 | 311,671 | 9,926,306 |
Shares redeemed | (85,384) | (2,643,501) | (83,878) | (2,605,582) |
Net increase (decrease) | (20,419) | (633,803) | 227,793 | 7,320,724 |
Total net decrease | (4,707,423) | (158,318,673) | (10,652,071) | (347,573,294) |
12 | CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2023 |
CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2023 | 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 6/30/2023 (Unaudited) | $32.02 | 0.35 | 0.17 | 0.52 |
Year Ended 12/31/2022 | $33.69 | 0.54 | (2.21) | (1.67) |
Year Ended 12/31/2021 | $26.89 | 0.44 | 6.36 | 6.80 |
Year Ended 12/31/2020 | $26.19 | 0.50 | 0.20(c) | 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) |
Class 2 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $31.03 | 0.31 | 0.15 | 0.46 |
Year Ended 12/31/2022 | $32.72 | 0.46 | (2.15) | (1.69) |
Year Ended 12/31/2021 | $26.19 | 0.35 | 6.18 | 6.53 |
Year Ended 12/31/2020 | $25.56 | 0.44 | 0.19(c) | 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) |
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) | 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 the shares sold and redeemed by the Fund in relation to fluctuations in the market value of the portfolio. |
(d) | Ratios include interfund lending expense which is less than 0.01%. |
14 | CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2023 |
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 6/30/2023 (Unaudited) | $32.54 | 1.62% | 0.70% | 0.70% | 2.21% | 19% | $1,658,205 |
Year Ended 12/31/2022 | $32.02 | (4.96%) | 0.69% | 0.69% | 1.69% | 30% | $1,781,787 |
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%(d) | 0.70%(d) | 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 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $31.49 | 1.48% | 0.95% | 0.95% | 1.99% | 19% | $47,256 |
Year Ended 12/31/2022 | $31.03 | (5.17%) | 0.94% | 0.94% | 1.48% | 30% | $47,191 |
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%(d) | 0.96%(d) | 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 |
CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2023 | 15 |
June 30, 2023 (Unaudited)
16 | CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2023 | 17 |
June 30, 2023 (Unaudited)
18 | CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2023 | 19 |
June 30, 2023 (Unaudited)
Fee rate(s) contractual through April 30, 2024 | |
Class 1 | 0.71% |
Class 2 | 0.96 |
20 | CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2023 | 21 |
June 30, 2023 (Unaudited)
22 | CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2023 |
• | 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 2023 | 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 one or more 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; |
24 | CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2023 |
• | 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® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2023 | 25 |
26 | CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2023 |
CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2023 | 27 |
June 30, 2023 (Unaudited)
3 | |
5 | |
6 | |
9 | |
10 | |
11 | |
12 | |
14 | |
22 | |
22 |
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/07/10 | 5.57 | -1.41 | 5.02 | 5.17 | |
Class 2 | 05/07/10 | 5.30 | -1.87 | 4.72 | 4.89 | |
FTSE Nareit Equity REITs Index | 5.37 | -0.13 | 4.55 | 6.42 |
CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2023) | |
Common Stocks | 99.6 |
Money Market Funds | 0.4 |
Total | 100.0 |
Equity sub-industry breakdown (%) (at June 30, 2023) | |
Real Estate | |
Data Center REITs | 12.1 |
Diversified REITs | 1.2 |
Health Care REITs | 12.4 |
Hotel & Resort REITs | 3.0 |
Industrial REITs | 14.8 |
Multi-Family Residential REITs | 11.6 |
Office REITs | 5.6 |
Other Specialized REITs | 2.8 |
Real Estate Operating Companies | 1.0 |
Retail REITs | 16.0 |
Self Storage REITs | 8.5 |
Single-Family Residential REITs | 7.1 |
Telecom Tower REITs | 3.9 |
Total | 100.0 |
4 | CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | |||||||
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 | 1,055.70 | 1,020.94 | 4.10 | 4.03 | 0.80 |
Class 2 | 1,000.00 | 1,000.00 | 1,053.00 | 1,019.70 | 5.37 | 5.29 | 1.05 |
CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (Unaudited)
Common Stocks 99.3% | ||
Issuer | Shares | Value ($) |
Real Estate 99.3% | ||
Data Center REITs 12.0% | ||
Digital Realty Trust, Inc. | 94,020 | 10,706,057 |
Equinix, Inc. | 15,659 | 12,275,717 |
Total Data Center REITs | 22,981,774 | |
Diversified REITs 1.1% | ||
Broadstone Net Lease, Inc. | 142,260 | 2,196,494 |
Total Diversified REITs | 2,196,494 | |
Health Care REITs 12.4% | ||
Healthpeak Properties, Inc. | 187,100 | 3,760,710 |
Medical Properties Trust, Inc. | 245,920 | 2,277,219 |
Omega Healthcare Investors, Inc. | 70,400 | 2,160,576 |
Sabra Health Care REIT, Inc. | 64,998 | 765,026 |
Ventas, Inc. | 133,040 | 6,288,801 |
Welltower, Inc. | 104,450 | 8,448,961 |
Total Health Care REITs | 23,701,293 | |
Hotel & Resort REITs 3.0% | ||
DiamondRock Hospitality Co. | 179,880 | 1,440,839 |
Host Hotels & Resorts, Inc. | 170,400 | 2,867,832 |
Xenia Hotels & Resorts, Inc. | 116,730 | 1,436,946 |
Total Hotel & Resort REITs | 5,745,617 | |
Industrial REITs 14.7% | ||
Americold Realty Trust, Inc. | 33,090 | 1,068,807 |
First Industrial Realty Trust, Inc. | 67,000 | 3,526,880 |
Prologis, Inc. | 153,640 | 18,840,874 |
Rexford Industrial Realty, Inc. | 79,610 | 4,157,234 |
STAG Industrial, Inc. | 17,640 | 632,923 |
Total Industrial REITs | 28,226,718 | |
Multi-Family Residential REITs 11.6% | ||
AvalonBay Communities, Inc. | 39,060 | 7,392,886 |
Camden Property Trust | 11,030 | 1,200,836 |
Elme Communities | 11,697 | 192,299 |
Equity Residential | 120,960 | 7,979,731 |
Mid-America Apartment Communities, Inc. | 11,300 | 1,716,018 |
UDR, Inc. | 86,070 | 3,697,567 |
Total Multi-Family Residential REITs | 22,179,337 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Office REITs 5.6% | ||
Alexandria Real Estate Equities, Inc. | 28,310 | 3,212,902 |
Boston Properties, Inc. | 21,160 | 1,218,604 |
Cousins Properties, Inc. | 75,980 | 1,732,344 |
Douglas Emmett, Inc. | 132,404 | 1,664,318 |
Highwoods Properties, Inc. | 33,850 | 809,354 |
Kilroy Realty Corp. | 67,670 | 2,036,190 |
Total Office REITs | 10,673,712 | |
Other Specialized REITs 2.8% | ||
Outfront Media, Inc. | 22,120 | 347,727 |
VICI Properties, Inc. | 160,810 | 5,054,258 |
Total Other Specialized REITs | 5,401,985 | |
Real Estate Operating Companies 1.0% | ||
Tricon Residential, Inc.(a) | 223,999 | 1,973,431 |
Total Real Estate Operating Companies | 1,973,431 | |
Retail REITs 15.8% | ||
Acadia Realty Trust | 97,064 | 1,396,751 |
Agree Realty Corp. | 64,057 | 4,188,687 |
Brixmor Property Group, Inc. | 151,940 | 3,342,680 |
Kimco Realty Corp. | 127,253 | 2,509,429 |
Realty Income Corp. | 128,040 | 7,655,512 |
Regency Centers Corp. | 18,520 | 1,143,980 |
Retail Opportunity Investments Corp. | 139,124 | 1,879,565 |
RPT Realty | 125,500 | 1,311,475 |
Simon Property Group, Inc. | 48,170 | 5,562,672 |
Urban Edge Properties | 89,625 | 1,382,914 |
Total Retail REITs | 30,373,665 | |
Self Storage REITs 8.5% | ||
Extra Space Storage, Inc. | 34,370 | 5,115,975 |
Life Storage, Inc. | 16,000 | 2,127,360 |
National Storage Affiliates Trust | 6,010 | 209,328 |
Public Storage | 30,115 | 8,789,966 |
Total Self Storage REITs | 16,242,629 |
6 | CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Single-Family Residential REITs 7.0% | ||
American Homes 4 Rent, Class A | 6,660 | 236,097 |
Invitation Homes, Inc. | 223,650 | 7,693,560 |
Sun Communities, Inc. | 42,257 | 5,512,848 |
Total Single-Family Residential REITs | 13,442,505 | |
Telecom Tower REITs 3.8% | ||
American Tower Corp. | 16,769 | 3,252,180 |
SBA Communications Corp. | 17,570 | 4,072,023 |
Total Telecom Tower REITs | 7,324,203 | |
Total Real Estate | 190,463,363 | |
Total Common Stocks (Cost: $197,574,931) | 190,463,363 | |
Money Market Funds 0.4% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(b),(c) | 817,717 | 817,390 |
Total Money Market Funds (Cost: $817,339) | 817,390 | |
Total Investments in Securities (Cost $198,392,270) | 191,280,753 | |
Other Assets & Liabilities, Net | 645,192 | |
Net Assets | $191,925,945 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | ||||||||
1,713,043 | 5,870,705 | (6,766,359) | 1 | 817,390 | (64) | 24,832 | 817,717 |
■ | 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 2023 | 7 |
June 30, 2023 (Unaudited)
The Fund’s Board of Trustees (the Board) has designated the Investment Manager, through its Valuation Committee (the Committee), as valuation designee, responsible for determining the fair value of the assets of the Fund for which market quotations are not readily available using valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Real Estate | 190,463,363 | — | — | 190,463,363 |
Total Common Stocks | 190,463,363 | — | — | 190,463,363 |
Money Market Funds | 817,390 | — | — | 817,390 |
Total Investments in Securities | 191,280,753 | — | — | 191,280,753 |
8 | CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $197,574,931) | $190,463,363 |
Affiliated issuers (cost $817,339) | 817,390 |
Receivable for: | |
Investments sold | 138,923 |
Capital shares sold | 21,789 |
Dividends | 807,554 |
Foreign tax reclaims | 1,299 |
Prepaid expenses | 4,297 |
Total assets | 192,254,615 |
Liabilities | |
Payable for: | |
Investments purchased | 95,807 |
Capital shares redeemed | 147,760 |
Management services fees | 3,927 |
Distribution and/or service fees | 177 |
Service fees | 1,484 |
Compensation of board members | 62,188 |
Compensation of chief compliance officer | 17 |
Other expenses | 17,310 |
Total liabilities | 328,670 |
Net assets applicable to outstanding capital stock | $191,925,945 |
Represented by | |
Paid in capital | 181,515,386 |
Total distributable earnings (loss) | 10,410,559 |
Total - representing net assets applicable to outstanding capital stock | $191,925,945 |
Class 1 | |
Net assets | $165,956,524 |
Shares outstanding | 25,787,777 |
Net asset value per share | $6.44 |
Class 2 | |
Net assets | $25,969,421 |
Shares outstanding | 4,080,036 |
Net asset value per share | $6.36 |
CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2023 | 9 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $3,845,439 |
Dividends — affiliated issuers | 24,832 |
Foreign taxes withheld | (1,949) |
Total income | 3,868,322 |
Expenses: | |
Management services fees | 710,438 |
Distribution and/or service fees | |
Class 2 | 33,068 |
Service fees | 8,744 |
Compensation of board members | 8,036 |
Custodian fees | 3,404 |
Printing and postage fees | 4,547 |
Accounting services fees | 15,164 |
Legal fees | 7,183 |
Compensation of chief compliance officer | 19 |
Other | 4,312 |
Total expenses | 794,915 |
Net investment income | 3,073,407 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (782,694) |
Investments — affiliated issuers | (64) |
Net realized loss | (782,758) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 7,781,918 |
Investments — affiliated issuers | 1 |
Net change in unrealized appreciation (depreciation) | 7,781,919 |
Net realized and unrealized gain | 6,999,161 |
Net increase in net assets resulting from operations | $10,072,568 |
10 | CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment income | $3,073,407 | $3,793,280 |
Net realized gain (loss) | (782,758) | 14,606,302 |
Net change in unrealized appreciation (depreciation) | 7,781,919 | (78,142,265) |
Net increase (decrease) in net assets resulting from operations | 10,072,568 | (59,742,683) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | — | (37,423,414) |
Class 2 | — | (6,236,896) |
Total distributions to shareholders | — | (43,660,310) |
Increase (decrease) in net assets from capital stock activity | (2,986,775) | 23,981,207 |
Total increase (decrease) in net assets | 7,085,793 | (79,421,786) |
Net assets at beginning of period | 184,840,152 | 264,261,938 |
Net assets at end of period | $191,925,945 | $184,840,152 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Shares sold | 167,235 | 1,040,216 | 225,693 | 1,701,834 |
Distributions reinvested | — | — | 5,278,338 | 37,423,414 |
Shares redeemed | (370,248) | (2,365,036) | (2,257,777) | (21,156,150) |
Net increase (decrease) | (203,013) | (1,324,820) | 3,246,254 | 17,969,098 |
Class 2 | ||||
Shares sold | 78,103 | 482,691 | 333,845 | 2,594,980 |
Distributions reinvested | — | — | 887,183 | 6,236,896 |
Shares redeemed | (345,354) | (2,144,646) | (375,722) | (2,819,767) |
Net increase (decrease) | (267,251) | (1,661,955) | 845,306 | 6,012,109 |
Total net increase (decrease) | (470,264) | (2,986,775) | 4,091,560 | 23,981,207 |
CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2023 | 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 6/30/2023 (Unaudited) | $6.10 | 0.10 | 0.24 | 0.34 | — | — | — |
Year Ended 12/31/2022 | $10.08 | 0.14 | (2.32) | (2.18) | (0.14) | (1.66) | (1.80) |
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) |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $6.04 | 0.09 | 0.23 | 0.32 | — | — | — |
Year Ended 12/31/2022 | $10.00 | 0.12 | (2.30) | (2.18) | (0.12) | (1.66) | (1.78) |
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) |
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) | Ratios include interfund lending expense which is less than 0.01%. |
12 | CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2023 |
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 6/30/2023 (Unaudited) | $6.44 | 5.57% | 0.80% | 0.80% | 3.28% | 21% | $165,957 |
Year Ended 12/31/2022 | $6.10 | (24.12%) | 0.80%(c) | 0.80%(c) | 1.83% | 49% | $158,574 |
Year Ended 12/31/2021 | $10.08 | 41.44% | 0.80%(c) | 0.80%(c) | 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 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $6.36 | 5.30% | 1.05% | 1.05% | 3.01% | 21% | $25,969 |
Year Ended 12/31/2022 | $6.04 | (24.33%) | 1.05%(c) | 1.05%(c) | 1.60% | 49% | $26,266 |
Year Ended 12/31/2021 | $10.00 | 41.20% | 1.05%(c) | 1.05%(c) | 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% | $24,164 |
CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2023 | 13 |
June 30, 2023 (Unaudited)
14 | CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2023 | 15 |
June 30, 2023 (Unaudited)
16 | CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2023 | 17 |
June 30, 2023 (Unaudited)
Contractual expense cap July 1, 2023 through April 30, 2024 | Voluntary expense cap May 1, 2023 through June 30, 2023 | Contractual expense cap prior to May 1, 2023 | |
Class 1 | 0.88% | 0.85% | 0.85% |
Class 2 | 1.13 | 1.10 | 1.10 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
198,392,000 | 12,801,000 | (19,912,000) | (7,111,000) |
18 | CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2023 | 19 |
June 30, 2023 (Unaudited)
20 | CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2023 | 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 | CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2023 |
• | 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 one or more 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® – CenterSquare Real Estate Fund | Semiannual Report 2023 | 23 |
24 | CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2023 |
CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2023 | 25 |
26 | CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
3 | |
5 | |
6 | |
10 | |
11 | |
12 | |
14 | |
16 | |
23 | |
23 |
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/07/10 | 16.36 | 20.98 | 10.31 | 10.89 | |
Class 2 | 05/07/10 | 16.21 | 20.69 | 10.04 | 10.61 | |
Russell Midcap Growth Index | 15.94 | 23.13 | 9.71 | 11.53 |
CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2023) | |
Common Stocks | 99.9 |
Money Market Funds | 0.1 |
Total | 100.0 |
Equity sector breakdown (%) (at June 30, 2023) | |
Communication Services | 1.1 |
Consumer Discretionary | 11.6 |
Consumer Staples | 2.5 |
Energy | 2.8 |
Financials | 10.7 |
Health Care | 19.6 |
Industrials | 21.5 |
Information Technology | 23.6 |
Materials | 3.6 |
Real Estate | 3.0 |
Total | 100.0 |
4 | CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | |||||||
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 | 1,163.60 | 1,020.79 | 4.48 | 4.18 | 0.83 |
Class 2 | 1,000.00 | 1,000.00 | 1,162.10 | 1,019.55 | 5.82 | 5.44 | 1.08 |
CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (Unaudited)
Common Stocks 99.9% | ||
Issuer | Shares | Value ($) |
Communication Services 1.1% | ||
Entertainment 1.1% | ||
Live Nation Entertainment, Inc.(a) | 42,790 | 3,898,597 |
Total Communication Services | 3,898,597 | |
Consumer Discretionary 11.6% | ||
Auto Components 1.2% | ||
Aptiv PLC(a) | 41,920 | 4,279,613 |
Broadline Retail 0.9% | ||
Etsy, Inc.(a) | 37,840 | 3,201,642 |
Hotels, Restaurants & Leisure 6.1% | ||
Chipotle Mexican Grill, Inc.(a) | 4,313 | 9,225,507 |
Hilton Worldwide Holdings, Inc. | 51,010 | 7,424,506 |
Vail Resorts, Inc. | 19,070 | 4,801,063 |
Total | 21,451,076 | |
Textiles, Apparel & Luxury Goods 3.4% | ||
lululemon athletica, Inc.(a) | 15,317 | 5,797,484 |
Tapestry, Inc. | 146,931 | 6,288,647 |
Total | 12,086,131 | |
Total Consumer Discretionary | 41,018,462 | |
Consumer Staples 2.5% | ||
Beverages 2.5% | ||
Constellation Brands, Inc., Class A | 36,500 | 8,983,745 |
Total Consumer Staples | 8,983,745 | |
Energy 2.8% | ||
Energy Equipment & Services 0.7% | ||
Halliburton Co. | 78,480 | 2,589,055 |
Oil, Gas & Consumable Fuels 2.1% | ||
Devon Energy Corp. | 152,100 | 7,352,514 |
Total Energy | 9,941,569 | |
Financials 10.7% | ||
Capital Markets 6.2% | ||
Ares Management Corp., Class A | 75,350 | 7,259,973 |
LPL Financial Holdings, Inc. | 27,108 | 5,894,092 |
MSCI, Inc. | 18,145 | 8,515,267 |
Total | 21,669,332 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Financial Services 1.6% | ||
Global Payments, Inc. | 57,680 | 5,682,633 |
Insurance 2.9% | ||
American International Group, Inc. | 77,750 | 4,473,735 |
Arthur J Gallagher & Co. | 26,670 | 5,855,932 |
Total | 10,329,667 | |
Total Financials | 37,681,632 | |
Health Care 19.6% | ||
Biotechnology 3.3% | ||
Ascendis Pharma A/S ADR(a) | 67,670 | 6,039,547 |
Legend Biotech Corp., ADR(a) | 32,950 | 2,274,539 |
Sarepta Therapeutics, Inc.(a) | 27,800 | 3,183,656 |
Total | 11,497,742 | |
Health Care Equipment & Supplies 10.6% | ||
Align Technology, Inc.(a) | 17,690 | 6,255,892 |
Cooper Companies, Inc. (The) | 17,549 | 6,728,813 |
DexCom, Inc.(a) | 65,690 | 8,441,822 |
IDEXX Laboratories, Inc.(a) | 12,680 | 6,368,276 |
Insulet Corp.(a) | 20,318 | 5,858,492 |
Masimo Corp.(a) | 24,090 | 3,964,010 |
Total | 37,617,305 | |
Life Sciences Tools & Services 5.7% | ||
Avantor, Inc.(a) | 259,096 | 5,321,832 |
Bio-Techne Corp. | 60,370 | 4,928,003 |
ICON PLC(a) | 40,310 | 10,085,562 |
Total | 20,335,397 | |
Total Health Care | 69,450,444 | |
Industrials 21.5% | ||
Aerospace & Defense 3.3% | ||
TransDigm Group, Inc. | 13,043 | 11,662,659 |
Building Products 1.7% | ||
Builders FirstSource, Inc.(a) | 44,070 | 5,993,520 |
Commercial Services & Supplies 3.1% | ||
Copart, Inc.(a) | 68,710 | 6,267,039 |
Waste Connections, Inc. | 33,090 | 4,729,554 |
Total | 10,996,593 |
6 | CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Electrical Equipment 5.1% | ||
AMETEK, Inc. | 47,700 | 7,721,676 |
Rockwell Automation, Inc. | 31,405 | 10,346,377 |
Total | 18,068,053 | |
Ground Transportation 1.8% | ||
JB Hunt Transport Services, Inc. | 35,210 | 6,374,066 |
Professional Services 2.7% | ||
Ceridian HCM Holding, Inc.(a) | 86,740 | 5,808,978 |
Genpact Ltd. | 97,470 | 3,661,948 |
Total | 9,470,926 | |
Trading Companies & Distributors 3.8% | ||
Watsco, Inc. | 18,520 | 7,064,825 |
WESCO International, Inc. | 34,940 | 6,256,356 |
Total | 13,321,181 | |
Total Industrials | 75,886,998 | |
Information Technology 23.5% | ||
Communications Equipment 1.4% | ||
Arista Networks, Inc.(a) | 29,820 | 4,832,629 |
Electronic Equipment, Instruments & Components 1.5% | ||
CDW Corp. | 29,230 | 5,363,705 |
IT Services 1.7% | ||
MongoDB, Inc.(a) | 14,890 | 6,119,641 |
Semiconductors & Semiconductor Equipment 3.0% | ||
Marvell Technology, Inc. | 58,170 | 3,477,403 |
Microchip Technology, Inc. | 78,550 | 7,037,294 |
Total | 10,514,697 | |
Software 14.2% | ||
Fair Isaac Corp.(a) | 8,510 | 6,886,377 |
Fortinet, Inc.(a) | 136,130 | 10,290,067 |
HubSpot, Inc.(a) | 13,610 | 7,241,745 |
NiCE Ltd., ADR(a) | 21,550 | 4,450,075 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Palo Alto Networks, Inc.(a) | 36,780 | 9,397,658 |
Splunk, Inc.(a) | 65,530 | 6,952,078 |
Zscaler, Inc.(a) | 35,660 | 5,217,058 |
Total | 50,435,058 | |
Technology Hardware, Storage & Peripherals 1.7% | ||
NetApp, Inc. | 78,435 | 5,992,434 |
Total Information Technology | 83,258,164 | |
Materials 3.6% | ||
Chemicals 1.6% | ||
Celanese Corp., Class A | 47,960 | 5,553,768 |
Construction Materials 2.0% | ||
Vulcan Materials Co. | 32,220 | 7,263,677 |
Total Materials | 12,817,445 | |
Real Estate 3.0% | ||
Real Estate Management & Development 2.0% | ||
CoStar Group, Inc.(a) | 79,300 | 7,057,700 |
Residential REITs 1.0% | ||
Essex Property Trust, Inc. | 15,530 | 3,638,679 |
Total Real Estate | 10,696,379 | |
Total Common Stocks (Cost $300,542,441) | 353,633,435 | |
Money Market Funds 0.1% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(b),(c) | 372,079 | 371,930 |
Total Money Market Funds (Cost $371,930) | 371,930 | |
Total Investments in Securities (Cost: $300,914,371) | 354,005,365 | |
Other Assets & Liabilities, Net | (41,627) | |
Net Assets | 353,963,738 |
CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2023 | 7 |
June 30, 2023 (Unaudited)
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | ||||||||
8,638,059 | 50,327,174 | (58,592,677) | (626) | 371,930 | (326) | 128,175 | 372,079 |
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 | 3,898,597 | — | — | 3,898,597 |
Consumer Discretionary | 41,018,462 | — | — | 41,018,462 |
Consumer Staples | 8,983,745 | — | — | 8,983,745 |
8 | CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Energy | 9,941,569 | — | — | 9,941,569 |
Financials | 37,681,632 | — | — | 37,681,632 |
Health Care | 69,450,444 | — | — | 69,450,444 |
Industrials | 75,886,998 | — | — | 75,886,998 |
Information Technology | 83,258,164 | — | — | 83,258,164 |
Materials | 12,817,445 | — | — | 12,817,445 |
Real Estate | 10,696,379 | — | — | 10,696,379 |
Total Common Stocks | 353,633,435 | — | — | 353,633,435 |
Money Market Funds | 371,930 | — | — | 371,930 |
Total Investments in Securities | 354,005,365 | — | — | 354,005,365 |
CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2023 | 9 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $300,542,441) | $353,633,435 |
Affiliated issuers (cost $371,930) | 371,930 |
Receivable for: | |
Investments sold | 803,376 |
Capital shares sold | 6,599 |
Dividends | 92,557 |
Expense reimbursement due from Investment Manager | 209 |
Prepaid expenses | 5,795 |
Total assets | 354,913,901 |
Liabilities | |
Payable for: | |
Capital shares redeemed | 843,412 |
Management services fees | 7,809 |
Distribution and/or service fees | 201 |
Service fees | 1,487 |
Compensation of board members | 80,098 |
Compensation of chief compliance officer | 32 |
Other expenses | 17,124 |
Total liabilities | 950,163 |
Net assets applicable to outstanding capital stock | $353,963,738 |
Represented by | |
Trust capital | $353,963,738 |
Total - representing net assets applicable to outstanding capital stock | $353,963,738 |
Class 1 | |
Net assets | $324,226,453 |
Shares outstanding | 7,820,365 |
Net asset value per share | $41.46 |
Class 2 | |
Net assets | $29,737,285 |
Shares outstanding | 742,116 |
Net asset value per share | $40.07 |
10 | CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $1,403,274 |
Dividends — affiliated issuers | 128,175 |
Foreign taxes withheld | (2,421) |
Total income | 1,529,028 |
Expenses: | |
Management services fees | 1,351,474 |
Distribution and/or service fees | |
Class 2 | 34,321 |
Service fees | 8,779 |
Compensation of board members | 9,130 |
Custodian fees | 4,724 |
Printing and postage fees | 5,014 |
Accounting services fees | 15,045 |
Legal fees | 8,111 |
Interest on interfund lending | 83 |
Compensation of chief compliance officer | 32 |
Other | 7,408 |
Total expenses | 1,444,121 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (19,688) |
Total net expenses | 1,424,433 |
Net investment income | 104,595 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 4,701,199 |
Investments — affiliated issuers | (326) |
Net realized gain | 4,700,873 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 46,298,835 |
Investments — affiliated issuers | (626) |
Net change in unrealized appreciation (depreciation) | 46,298,209 |
Net realized and unrealized gain | 50,999,082 |
Net increase in net assets resulting from operations | $51,103,677 |
CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2023 | 11 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment income | $104,595 | $119,518 |
Net realized gain (loss) | 4,700,873 | (4,014,520) |
Net change in unrealized appreciation (depreciation) | 46,298,209 | (104,689,270) |
Net increase (decrease) in net assets resulting from operations | 51,103,677 | (108,584,272) |
Increase (decrease) in net assets from capital stock activity | (15,069,669) | 79,485 |
Total increase (decrease) in net assets | 36,034,008 | (108,504,787) |
Net assets at beginning of period | 317,929,730 | 426,434,517 |
Net assets at end of period | $353,963,738 | $317,929,730 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Shares sold | 10,085 | 387,132 | 238,398 | 8,573,368 |
Shares redeemed | (379,589) | (14,919,571) | (225,469) | (8,747,179) |
Net increase (decrease) | (369,504) | (14,532,439) | 12,929 | (173,811) |
Class 2 | ||||
Shares sold | 26,667 | 999,772 | 76,858 | 2,924,539 |
Shares redeemed | (41,759) | (1,537,002) | (70,047) | (2,671,243) |
Net increase (decrease) | (15,092) | (537,230) | 6,811 | 253,296 |
Total net increase (decrease) | (384,596) | (15,069,669) | 19,740 | 79,485 |
12 | CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2023 |
CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2023 | 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 6/30/2023 (Unaudited) | $35.63 | 0.02 | 5.81 | 5.83 |
Year Ended 12/31/2022 | $47.89 | 0.02 | (12.28) | (12.26) |
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) |
Class 2 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $34.48 | (0.03) | 5.62 | 5.59 |
Year Ended 12/31/2022 | $46.46 | (0.07) | (11.91) | (11.98) |
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) |
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) | Ratios include interfund lending expense which is less than 0.01%. |
14 | CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2023 |
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 6/30/2023 (Unaudited) | $41.46 | 16.36% | 0.84%(c) | 0.83%(c) | 0.08% | 36% | $324,226 |
Year Ended 12/31/2022 | $35.63 | (25.60%) | 0.84% | 0.84% | 0.06% | 60% | $291,820 |
Year Ended 12/31/2021 | $47.89 | 16.72% | 0.84%(c) | 0.84%(c) | (0.32%) | 58% | $391,573 |
Year Ended 12/31/2020 | $41.03 | 27.50% | 0.83%(c) | 0.83%(c) | (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 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $40.07 | 16.21% | 1.09%(c) | 1.08%(c) | (0.17%) | 36% | $29,737 |
Year Ended 12/31/2022 | $34.48 | (25.79%) | 1.09% | 1.09% | (0.19%) | 60% | $26,110 |
Year Ended 12/31/2021 | $46.46 | 16.41% | 1.09%(c) | 1.09%(c) | (0.56%) | 58% | $34,861 |
Year Ended 12/31/2020 | $39.91 | 27.18% | 1.08%(c) | 1.08%(c) | (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% | $18,181 |
CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2023 | 15 |
June 30, 2023 (Unaudited)
16 | CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2023 | 17 |
June 30, 2023 (Unaudited)
18 | CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
May 1, 2023 through April 30, 2024 | Prior to May 1, 2023 | |
Class 1 | 0.82% | 0.84% |
Class 2 | 1.07 | 1.09 |
CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2023 | 19 |
June 30, 2023 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Borrower | 300,000 | 4.98 | 2 |
20 | CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2023 | 21 |
June 30, 2023 (Unaudited)
22 | CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2023 |
• | 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 2023 | 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 one or more 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® – Westfield Mid Cap Growth Fund | Semiannual Report 2023 |
CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2023 | 25 |
26 | CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2023 |
CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2023 | 27 |
June 30, 2023 (Unaudited)
3 | |
5 | |
6 | |
28 | |
29 | |
30 | |
32 | |
34 | |
47 | |
47 |
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/07/10 | 2.41 | -1.16 | 0.91 | 1.43 | |
Class 2 | 05/07/10 | 2.20 | -1.45 | 0.65 | 1.17 | |
Bloomberg U.S. Aggregate Bond Index | 2.09 | -0.94 | 0.77 | 1.52 |
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2023) | |
Asset-Backed Securities — Non-Agency | 4.0 |
Commercial Mortgage-Backed Securities - Agency | 0.6 |
Commercial Mortgage-Backed Securities - Non-Agency | 2.9 |
Common Stocks | 0.1 |
Corporate Bonds & Notes | 23.9 |
Foreign Government Obligations | 0.8 |
Inflation-Indexed Bonds | 1.2 |
Money Market Funds(a) | 18.8 |
Municipal Bonds | 0.4 |
Residential Mortgage-Backed Securities - Agency | 31.2 |
Residential Mortgage-Backed Securities - Non-Agency | 7.4 |
Senior Loans | 1.4 |
Treasury Bills | 0.5 |
U.S. Treasury Obligations | 6.8 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds, including investing for the purpose of covering obligations relating to the Fund’s investment in derivatives. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and the derivative instruments discussion in Note 2 to the Notes to Financial Statements. |
Quality breakdown (%) (at June 30, 2023) | |
AAA rating | 56.8 |
AA rating | 2.4 |
A rating | 13.7 |
BBB rating | 14.9 |
BB rating | 2.0 |
B rating | 2.5 |
CCC rating | 1.2 |
CC rating | 0.5 |
Not rated | 6.0 |
Total | 100.0 |
4 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,024.10 | 1,022.49 | 2.47 | 2.47 | 0.49 |
Class 2 | 1,000.00 | 1,000.00 | 1,022.00 | 1,021.24 | 3.73 | 3.73 | 0.74 |
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (Unaudited)
Asset-Backed Securities — Non-Agency 4.8% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
AIMCO CLO(a),(b) | ||||
Series 2015-AA Class AR2 | ||||
3-month USD LIBOR + 1.140% Floor 1.140% 10/17/2034 | 6.400% | 10,425,000 | 10,211,308 | |
Aligned Data Centers Issuer LLC(a) | ||||
Series 2021-1A Class A2 | ||||
08/15/2046 | 1.937% | 7,600,000 | 6,645,295 | |
Apidos CLO XXII(a),(b) | ||||
Series 2015-22A Class A1R | ||||
3-month USD LIBOR + 1.060% Floor 1.060% 04/20/2031 | 6.310% | 8,000,000 | 7,930,368 | |
BlueMountain Fuji US Clo I Ltd.(a),(b) | ||||
Series 2017-1A Class A1R | ||||
3-month USD LIBOR + 0.980% Floor 0.980% 07/20/2029 | 6.230% | 8,577,853 | 8,488,222 | |
Cedar Funding XII CLO Ltd.(a),(b) | ||||
Series 2020-12A Class A1R | ||||
3-month USD LIBOR + 1.130% Floor 1.130% 10/25/2034 | 6.385% | 7,200,000 | 7,059,283 | |
Cedar Funding XIV CLO Ltd.(a),(b) | ||||
Series 2021-14A Class A | ||||
3-month USD LIBOR + 1.100% Floor 1.100% 07/15/2033 | 6.360% | 8,765,000 | 8,646,296 | |
CIFC Funding Ltd.(a),(b) | ||||
Series 2021-7A Class B | ||||
3-month USD LIBOR + 1.600% Floor 1.600% 01/23/2035 | 6.873% | 8,675,000 | 8,397,357 | |
Eaton Vance CLO Ltd.(a),(b) | ||||
Series 2019-1A Class AR | ||||
3-month USD LIBOR + 1.100% Floor 1.100% 04/15/2031 | 6.360% | 9,100,000 | 8,995,505 | |
Education Loan Asset-Backed Trust I(a),(b) | ||||
Series 2013-1 Class A2 | ||||
1-month USD LIBOR + 0.800% Floor 0.800% 04/26/2032 | 5.950% | 1,230,634 | 1,218,420 | |
Global SC Finance II SRL(a) | ||||
Series 2014-1A Class A2 | ||||
07/17/2029 | 3.090% | 596,723 | 580,022 | |
Henderson Receivables LLC(a) | ||||
Series 2014-2A Class A | ||||
01/17/2073 | 3.610% | 1,935,684 | 1,665,133 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Navient Student Loan Trust(b) | ||||
Series 2014-1 Class A3 | ||||
1-month USD LIBOR + 0.510% Floor 0.510% 06/25/2031 | 5.660% | 3,274,896 | 3,180,009 | |
Series 2014-3 Class A | ||||
1-month USD LIBOR + 0.620% Floor 0.620% 03/25/2083 | 5.770% | 3,761,019 | 3,652,922 | |
Series 2014-4 Class A | ||||
1-month USD LIBOR + 0.620% Floor 0.620% 03/25/2083 | 5.770% | 2,696,026 | 2,669,723 | |
Series 2015-2 Class A3 | ||||
1-month USD LIBOR + 0.570% Floor 0.570% 11/26/2040 | 5.720% | 6,957,202 | 6,740,250 | |
Navient Student Loan Trust(a),(b) | ||||
Series 2016-2 Class A3 | ||||
1-month USD LIBOR + 1.500% 06/25/2065 | 6.650% | 6,560,754 | 6,565,290 | |
Nelnet Student Loan Trust(a),(b) | ||||
Series 2014-4A Class A2 | ||||
1-month USD LIBOR + 0.950% Floor 0.950% 11/25/2048 | 6.100% | 4,176,846 | 4,156,034 | |
Neuberger Berman Loan Advisers CLO 43 Ltd.(a),(b) | ||||
Series 2021-43A Class B | ||||
3-month USD LIBOR + 1.600% Floor 1.600% 07/17/2035 | 6.860% | 8,500,000 | 8,307,118 | |
New Economy Assets Phase 1 Sponsor LLC(a) | ||||
Subordinated Series 2021-1 Class B1 | ||||
10/20/2061 | 2.410% | 8,935,000 | 7,440,492 | |
Regatta XIII Funding Ltd.(a),(b) | ||||
Series 2018-2A Class A2 | ||||
3-month USD LIBOR + 1.750% 07/15/2031 | 7.010% | 3,500,000 | 3,413,697 | |
Rockford Tower CLO Ltd.(a),(b) | ||||
Series 2020-1A Class A | ||||
3-month USD LIBOR + 1.280% 01/20/2032 | 6.530% | 8,000,000 | 7,940,632 | |
SLC Student Loan Trust(b) | ||||
Series 2006-1 Class B | ||||
3-month USD LIBOR + 0.210% Floor 0.210% 03/15/2055 | 5.762% | 225,675 | 196,832 |
6 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
SLM Student Loan Trust(b) | ||||
Series 2007-7 Class A4 | ||||
3-month USD LIBOR + 0.330% Floor 0.330% 12/25/2023 | 5.585% | 3,244,521 | 3,142,302 | |
Series 2007-7 Class B | ||||
3-month USD LIBOR + 0.750% Floor 0.750% 10/27/2070 | 6.005% | 1,990,000 | 1,698,803 | |
Series 2008-4 Class A4 | ||||
3-month USD LIBOR + 1.650% Floor 1.650% 07/25/2026 | 6.905% | 933,597 | 923,237 | |
Series 2008-5 Class B | ||||
3-month USD LIBOR + 1.850% Floor 1.850% 07/25/2073 | 7.105% | 5,860,000 | 5,702,728 | |
Series 2008-6 Class A4 | ||||
3-month USD LIBOR + 1.100% Floor 1.100% 07/25/2023 | 6.355% | 3,542,093 | 3,506,252 | |
SLM Student Loan Trust(a),(b) | ||||
Series 2009-3 Class A | ||||
1-month USD LIBOR + 0.750% Floor 0.750% 01/25/2045 | 5.900% | 1,989,019 | 1,913,049 | |
Wachovia Student Loan Trust(a),(b) | ||||
Series 2006-1 Class A6 | ||||
3-month USD LIBOR + 0.170% Floor 0.170% 04/25/2040 | 5.425% | 5,885,685 | 5,636,623 | |
Total Asset-Backed Securities — Non-Agency (Cost $149,789,419) | 146,623,202 | |||
Commercial Mortgage-Backed Securities - Agency 0.7% | ||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates | ||||
Series K155 Class A3 | ||||
04/25/2033 | 3.750% | 6,990,000 | 6,485,414 | |
Federal National Mortgage Association | ||||
04/01/2040 | 2.455% | 4,525,000 | 3,259,560 | |
Series 2001-M2 Class Z2 | ||||
06/25/2031 | 6.300% | 8,777 | 8,709 | |
Government National Mortgage Association(c),(d) | ||||
Series 2012-55 Class IO | ||||
04/16/2052 | 0.000% | 357,888 | 4 | |
Government National Mortgage Association | ||||
Series 2020-193 Class AC | ||||
09/16/2062 | 1.250% | 1,575,102 | 1,188,682 | |
Series 2021-14 Class AB | ||||
06/16/2063 | 1.340% | 1,889,115 | 1,441,466 |
Commercial Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2021-2 Class AH | ||||
06/16/2063 | 1.500% | 4,437,736 | 3,403,797 | |
Series 2021-21 Class AH | ||||
06/16/2063 | 1.400% | 3,033,057 | 2,332,120 | |
Series 2021-31 Class B | ||||
01/16/2061 | 1.250% | 3,295,444 | 2,481,222 | |
Total Commercial Mortgage-Backed Securities - Agency (Cost $23,126,889) | 20,600,974 | |||
Commercial Mortgage-Backed Securities - Non-Agency 3.5% | ||||
BFLD Trust(a),(b) | ||||
Series 2020-EYP Class A | ||||
1-month USD LIBOR + 1.150% Floor 1.150% 10/15/2035 | 6.343% | 7,500,000 | 6,226,265 | |
BPR Trust(a),(b) | ||||
Series 2022-OANA Class A | ||||
1-month Term SOFR + 1.898% Floor 1.898% 04/15/2037 | 7.045% | 8,446,000 | 8,192,641 | |
BX Commercial Mortgage Trust(a),(b) | ||||
Series 2019-XL Class A | ||||
1-month Term SOFR + 1.034% Floor 0.920% 10/15/2036 | 6.182% | 9,720,088 | 9,659,452 | |
Series 2022-CSMO Class A | ||||
1-month Term SOFR + 2.115% Floor 2.115% 06/15/2027 | 7.262% | 6,925,000 | 6,912,029 | |
Subordinated Series 2022-CSMO Class B | ||||
1-month Term SOFR + 3.141% Floor 3.141% 06/15/2027 | 8.288% | 4,080,000 | 4,059,609 | |
BX Trust(a) | ||||
Series 2019-OC11 Class A | ||||
12/09/2041 | 3.202% | 1,355,000 | 1,157,690 | |
BXHPP Trust(a),(b) | ||||
Series 2021-FILM Class A | ||||
1-month USD LIBOR + 0.650% Floor 0.650% 08/15/2036 | 5.843% | 8,878,000 | 8,352,067 | |
BXSC Commercial Mortgage Trust(a),(b) | ||||
Series 2022-WSS Class D | ||||
1-month Term SOFR + 3.188% Floor 3.188% 03/15/2035 | 8.335% | 8,939,000 | 8,782,074 | |
CF Hippolyta Issuer LLC(a) | ||||
Series 2020-1 Class A1 | ||||
07/15/2060 | 1.690% | 9,850,798 | 8,840,016 |
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2023 | 7 |
June 30, 2023 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Hudson Yards Mortgage Trust(a) | ||||
Series 2019-30HY Class A | ||||
07/10/2039 | 3.228% | 2,770,000 | 2,370,789 | |
Invitation Homes Trust(a),(b) | ||||
Series 2018-SFR4 Class A | ||||
1-month USD LIBOR + 1.100% Floor 1.000% 01/17/2038 | 6.246% | 9,789,740 | 9,754,849 | |
JPMorgan Chase Commercial Mortgage Securities Trust(a) | ||||
Series 2019-OSB Class A | ||||
06/05/2039 | 3.397% | 2,720,000 | 2,346,637 | |
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 | 5.993% | 7,374,920 | 7,254,361 | |
Manhattan West(a) | ||||
Series 2020-1MW Class A | ||||
09/10/2039 | 2.130% | 3,470,000 | 2,961,025 | |
MKT Mortgage Trust(a) | ||||
Series 2020-525M Class A | ||||
02/12/2040 | 2.694% | 2,035,000 | 1,517,520 | |
Progress Residential Trust(a) | ||||
Subordinated Series 2019-SRF4 Class G | ||||
10/17/2036 | 3.927% | 2,541,000 | 2,427,489 | |
RBS Commercial Funding, Inc., Trust(a),(c) | ||||
Series 2013-GSP Class A | ||||
01/15/2032 | 3.961% | 1,475,000 | 1,424,150 | |
StorageMart Commercial Mortgage Trust(a),(b) | ||||
Subordinated Series 2022-MINI Class F | ||||
1-month Term SOFR + 3.350% Floor 3.350% 01/15/2039 | 8.497% | 5,607,000 | 5,219,166 | |
Wells Fargo Commercial Mortgage Trust | ||||
Series 2015-SG1 Class A4 | ||||
09/15/2048 | 3.789% | 10,705,477 | 10,152,892 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $113,734,064) | 107,610,721 |
Common Stocks 0.1% | ||
Issuer | Shares | Value ($) |
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% | ||
Financial Services 0.1% | ||
Intelsat Emergence SA(f) | 114,573 | 2,595,078 |
Total Financials | 2,595,078 | |
Utilities 0.0% | ||
Electric Utilities 0.0% | ||
Homer City Holdings(f),(g) | 32,056 | 1,763 |
Total Utilities | 1,763 | |
Total Common Stocks (Cost $5,832,928) | 2,596,853 |
Corporate Bonds & Notes 28.8% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Aerospace & Defense 0.2% | ||||
Boeing Co. (The) | ||||
02/04/2024 | 1.433% | 6,730,000 | 6,551,415 | |
Airlines 0.4% | ||||
Delta Air Lines Pass-Through Trust | ||||
06/10/2028 | 2.000% | 7,385,564 | 6,553,295 | |
United Airlines Pass-Through Trust | ||||
Series 2023-1 Class A | ||||
07/15/2036 | 5.800% | 5,000,000 | 5,094,492 | |
Total | 11,647,787 | |||
Apartment REIT 0.2% | ||||
American Homes 4 Rent LP | ||||
07/15/2031 | 2.375% | 1,905,000 | 1,516,831 | |
04/15/2032 | 3.625% | 2,835,000 | 2,456,013 | |
Invitation Homes Operating Partnership LP | ||||
08/15/2031 | 2.000% | 4,265,000 | 3,306,957 | |
01/15/2034 | 2.700% | 70,000 | 53,149 | |
Total | 7,332,950 |
8 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Banking 11.0% | ||||
American Express Co. | ||||
03/04/2027 | 2.550% | 3,535,000 | 3,221,202 | |
Bank of America Corp.(h) | ||||
07/22/2027 | 1.734% | 12,270,000 | 10,948,612 | |
02/04/2028 | 2.551% | 28,000 | 25,274 | |
04/24/2028 | 3.705% | 4,972,000 | 4,664,848 | |
06/14/2029 | 2.087% | 9,300,000 | 7,945,988 | |
02/07/2030 | 3.974% | 4,925,000 | 4,565,424 | |
04/22/2032 | 2.687% | 1,100,000 | 911,343 | |
07/21/2032 | 2.299% | 4,183,000 | 3,343,955 | |
10/20/2032 | 2.572% | 10,650,000 | 8,668,346 | |
02/04/2033 | 2.972% | 2,627,000 | 2,187,153 | |
Bank of America Corp.(b) | ||||
Subordinated | ||||
3-month USD LIBOR + 0.650% 12/01/2026 | 6.146% | 1,000,000 | 971,691 | |
Capital One Financial Corp.(h) | ||||
03/01/2030 | 3.273% | 4,950,000 | 4,214,470 | |
Citigroup, Inc.(h) | ||||
04/24/2025 | 3.352% | 590,000 | 576,771 | |
06/09/2027 | 1.462% | 1,815,000 | 1,611,545 | |
02/24/2028 | 3.070% | 1,760,000 | 1,620,105 | |
10/27/2028 | 3.520% | 1,735,000 | 1,612,111 | |
11/05/2030 | 2.976% | 3,060,000 | 2,657,210 | |
03/31/2031 | 4.412% | 3,110,000 | 2,925,787 | |
06/03/2031 | 2.572% | 2,325,000 | 1,938,840 | |
05/01/2032 | 2.561% | 5,995,000 | 4,894,876 | |
11/03/2032 | 2.520% | 644,000 | 519,040 | |
01/25/2033 | 3.057% | 11,649,000 | 9,716,578 | |
Credit Suisse Group AG(a),(h) | ||||
09/11/2025 | 2.593% | 370,000 | 352,424 | |
07/15/2026 | 6.373% | 3,450,000 | 3,428,518 | |
02/02/2027 | 1.305% | 5,350,000 | 4,679,313 | |
05/14/2032 | 3.091% | 6,770,000 | 5,469,892 | |
08/12/2033 | 6.537% | 13,710,000 | 14,031,262 | |
11/15/2033 | 9.016% | 12,907,000 | 15,440,840 | |
Credit Suisse Group AG(a) | ||||
01/09/2028 | 4.282% | 2,940,000 | 2,713,357 | |
Discover Bank | ||||
08/08/2023 | 4.200% | 4,000,000 | 3,989,552 | |
DNB Bank ASA(a),(h) | ||||
09/16/2026 | 1.127% | 645,000 | 575,795 | |
Fifth Third Bancorp | ||||
05/05/2027 | 2.550% | 4,635,000 | 4,103,025 | |
Goldman Sachs Group, Inc. (The) | ||||
12/06/2023 | 1.217% | 9,325,000 | 9,150,540 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Goldman Sachs Group, Inc. (The)(h) | ||||
09/29/2025 | 3.272% | 2,930,000 | 2,831,757 | |
03/09/2027 | 1.431% | 12,950,000 | 11,579,125 | |
09/10/2027 | 1.542% | 1,092,000 | 960,358 | |
10/21/2027 | 1.948% | 9,195,000 | 8,172,487 | |
07/21/2032 | 2.383% | 3,675,000 | 2,939,461 | |
10/21/2032 | 2.650% | 110,000 | 89,602 | |
HSBC Holdings PLC(h) | ||||
04/18/2026 | 1.645% | 2,000,000 | 1,846,733 | |
06/04/2026 | 2.099% | 6,565,000 | 6,079,553 | |
05/24/2027 | 1.589% | 1,450,000 | 1,279,882 | |
06/09/2028 | 4.755% | 860,000 | 826,276 | |
09/22/2028 | 2.013% | 8,240,000 | 7,058,596 | |
08/17/2029 | 2.206% | 5,105,000 | 4,271,454 | |
05/24/2032 | 2.804% | 1,715,000 | 1,388,197 | |
03/09/2044 | 6.332% | 1,030,000 | 1,066,780 | |
JPMorgan Chase & Co.(h) | ||||
08/09/2025 | 0.768% | 2,830,000 | 2,664,751 | |
12/10/2025 | 1.561% | 5,705,000 | 5,342,744 | |
04/22/2027 | 1.578% | 4,495,000 | 4,037,704 | |
02/24/2028 | 2.947% | 2,290,000 | 2,102,422 | |
10/15/2030 | 2.739% | 2,320,000 | 1,999,471 | |
04/22/2032 | 2.580% | 1,090,000 | 905,063 | |
11/08/2032 | 2.545% | 3,840,000 | 3,142,627 | |
01/25/2033 | 2.963% | 9,245,000 | 7,793,102 | |
Lloyds Banking Group PLC | ||||
03/12/2024 | 3.900% | 3,175,000 | 3,124,304 | |
Lloyds Banking Group PLC(h) | ||||
07/09/2025 | 3.870% | 4,114,000 | 4,007,113 | |
08/11/2033 | 4.976% | 2,730,000 | 2,556,036 | |
Macquarie Group Ltd.(a),(h) | ||||
01/12/2027 | 1.340% | 5,000,000 | 4,448,800 | |
01/14/2033 | 2.871% | 4,360,000 | 3,480,935 | |
06/21/2033 | 4.442% | 2,220,000 | 1,981,924 | |
Morgan Stanley(h) | ||||
05/30/2025 | 0.790% | 970,000 | 921,582 | |
10/21/2025 | 1.164% | 2,745,000 | 2,566,321 | |
05/04/2027 | 1.593% | 5,470,000 | 4,896,840 | |
07/20/2027 | 1.512% | 2,235,000 | 1,980,424 | |
04/28/2032 | 1.928% | 8,020,000 | 6,257,826 | |
07/21/2032 | 2.239% | 2,020,000 | 1,605,614 | |
Subordinated | ||||
09/16/2036 | 2.484% | 3,725,000 | 2,819,453 | |
Nationwide Building Society(a),(h) | ||||
02/16/2028 | 2.972% | 4,305,000 | 3,868,930 | |
PNC Financial Services Group, Inc. (The)(h) | ||||
06/12/2029 | 5.582% | 1,530,000 | 1,523,158 | |
10/28/2033 | 6.037% | 4,135,000 | 4,240,380 | |
01/24/2034 | 5.068% | 1,825,000 | 1,749,914 | |
Royal Bank of Scotland Group PLC(h) | ||||
03/22/2025 | 4.269% | 6,935,000 | 6,810,756 |
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2023 | 9 |
June 30, 2023 (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 | 8,792,343 | |
03/15/2025 | 1.089% | 7,235,000 | 6,926,690 | |
08/21/2026 | 1.532% | 465,000 | 414,036 | |
06/14/2027 | 1.673% | 2,185,000 | 1,891,694 | |
01/11/2028 | 2.469% | 1,035,000 | 904,542 | |
UBS Group AG(a),(h) | ||||
08/10/2027 | 1.494% | 500,000 | 429,677 | |
Wells Fargo & Co.(h) | ||||
02/11/2026 | 2.164% | 5,075,000 | 4,780,931 | |
04/30/2026 | 2.188% | 3,297,000 | 3,090,134 | |
06/02/2028 | 2.393% | 5,333,000 | 4,755,951 | |
03/02/2033 | 3.350% | 18,190,000 | 15,568,336 | |
07/25/2033 | 4.897% | 2,850,000 | 2,731,966 | |
04/04/2051 | 5.013% | 4,010,000 | 3,723,422 | |
Total | 334,903,864 | |||
Brokerage/Asset Managers/Exchanges 0.1% | ||||
Intercontinental Exchange, Inc. | ||||
09/15/2032 | 1.850% | 3,937,000 | 3,031,420 | |
Jane Street Group/JSG Finance, Inc.(a) | ||||
11/15/2029 | 4.500% | 1,000,000 | 861,814 | |
Total | 3,893,234 | |||
Cable and Satellite 1.1% | ||||
Cable One, Inc.(a) | ||||
11/15/2030 | 4.000% | 3,955,000 | 3,098,252 | |
Charter Communications Operating LLC/Capital | ||||
05/01/2047 | 5.375% | 5,300,000 | 4,379,881 | |
04/01/2048 | 5.750% | 4,189,000 | 3,583,367 | |
07/01/2049 | 5.125% | 1,335,000 | 1,047,089 | |
03/01/2050 | 4.800% | 2,745,000 | 2,065,627 | |
04/01/2053 | 5.250% | 2,875,000 | 2,320,458 | |
Cox Communications, Inc.(a) | ||||
06/15/2031 | 2.600% | 2,610,000 | 2,131,992 | |
CSC Holdings LLC(a) | ||||
02/01/2028 | 5.375% | 855,000 | 689,392 | |
04/01/2028 | 7.500% | 300,000 | 171,000 | |
05/15/2028 | 11.250% | 600,000 | 582,523 | |
02/01/2029 | 6.500% | 3,814,000 | 3,091,767 | |
01/15/2030 | 5.750% | 1,500,000 | 708,227 | |
11/15/2031 | 4.500% | 400,000 | 278,816 | |
Intelsat Jackson Holdings SA(a) | ||||
03/15/2030 | 6.500% | 6,965,000 | 6,328,123 | |
Time Warner Cable LLC | ||||
09/01/2041 | 5.500% | 850,000 | 710,163 | |
VZ Secured Financing BV(a) | ||||
01/15/2032 | 5.000% | 2,000,000 | 1,613,007 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Ziggo BV(a) | ||||
01/15/2030 | 4.875% | 500,000 | 415,578 | |
Total | 33,215,262 | |||
Chemicals 0.2% | ||||
EverArc Escrow Sarl(a) | ||||
10/30/2029 | 5.000% | 325,000 | 258,667 | |
International Flavors & Fragrances, Inc.(a) | ||||
11/01/2030 | 2.300% | 3,220,000 | 2,551,847 | |
11/15/2040 | 3.268% | 370,000 | 259,094 | |
12/01/2050 | 3.468% | 120,000 | 80,179 | |
International Flavors & Fragrances, Inc. | ||||
09/26/2048 | 5.000% | 5,140,000 | 4,359,133 | |
Total | 7,508,920 | |||
Construction Machinery 0.0% | ||||
OT Merger Corp.(a) | ||||
10/15/2029 | 7.875% | 425,000 | 260,333 | |
Consumer Cyclical Services 0.0% | ||||
WASH Multifamily Acquisition, Inc.(a) | ||||
04/15/2026 | 5.750% | 650,000 | 608,694 | |
Consumer Products 0.0% | ||||
Newell Brands, Inc. | ||||
04/01/2046 | 5.750% | 1,148,000 | 909,106 | |
Diversified Manufacturing 0.1% | ||||
General Electric Co.(b) | ||||
3-month USD LIBOR + 0.380% 05/05/2026 | 5.706% | 1,886,000 | 1,876,003 | |
Electric 1.5% | ||||
AEP Transmission Co. LLC | ||||
04/01/2050 | 3.650% | 305,000 | 236,390 | |
Appalachian Power Co. | ||||
05/15/2033 | 5.950% | 3,225,000 | 3,223,176 | |
Arizona Public Service Co. | ||||
08/01/2033 | 5.550% | 3,215,000 | 3,220,921 | |
Duke Energy Carolinas LLC | ||||
01/15/2033 | 4.950% | 3,060,000 | 3,040,408 | |
12/15/2041 | 4.250% | 900,000 | 779,902 | |
Duke Energy Corp. | ||||
09/01/2046 | 3.750% | 1,110,000 | 843,156 | |
Duke Energy Progress LLC | ||||
03/15/2033 | 5.250% | 2,885,000 | 2,933,889 | |
04/01/2052 | 4.000% | 500,000 | 405,641 | |
Entergy Louisiana LLC | ||||
04/01/2025 | 3.780% | 5,900,000 | 5,705,759 |
10 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Eversource Energy | ||||
07/01/2027 | 4.600% | 3,135,000 | 3,059,896 | |
FirstEnergy Transmission LLC(a) | ||||
04/01/2049 | 4.550% | 1,000,000 | 830,808 | |
Florida Power & Light Co. | ||||
03/01/2049 | 3.990% | 1,500,000 | 1,263,197 | |
Metropolitan Edison Co.(a) | ||||
04/15/2025 | 4.000% | 3,000,000 | 2,869,366 | |
01/15/2029 | 4.300% | 1,752,000 | 1,657,456 | |
Mong Duong Finance Holdings BV(a) | ||||
05/07/2029 | 5.125% | 400,000 | 351,185 | |
Northern States Power Co. | ||||
08/15/2045 | 4.000% | 2,250,000 | 1,837,440 | |
PacifiCorp | ||||
07/01/2025 | 3.350% | 2,000,000 | 1,900,128 | |
PECO Energy Co. | ||||
05/15/2052 | 4.600% | 2,690,000 | 2,467,305 | |
Pennsylvania Electric Co.(a) | ||||
03/15/2028 | 3.250% | 6,950,000 | 6,300,504 | |
Progress Energy, Inc. | ||||
10/30/2031 | 7.000% | 2,894,000 | 3,167,531 | |
Total | 46,094,058 | |||
Environmental 0.1% | ||||
Waste Pro USA, Inc.(a) | ||||
02/15/2026 | 5.500% | 2,500,000 | 2,322,218 | |
Finance Companies 0.8% | ||||
AerCap Ireland Capital DAC/Global Aviation Trust | ||||
10/01/2025 | 4.450% | 3,070,000 | 2,954,708 | |
10/29/2028 | 3.000% | 6,350,000 | 5,507,511 | |
01/30/2032 | 3.300% | 3,650,000 | 2,983,788 | |
Air Lease Corp. | ||||
03/01/2025 | 3.250% | 2,810,000 | 2,682,082 | |
07/01/2025 | 3.375% | 4,500,000 | 4,255,518 | |
Avolon Holdings Funding Ltd.(a) | ||||
02/15/2027 | 3.250% | 2,035,000 | 1,816,062 | |
11/18/2027 | 2.528% | 3,398,000 | 2,863,963 | |
Park Aerospace Holdings Ltd.(a) | ||||
02/15/2024 | 5.500% | 733,000 | 726,123 | |
Total | 23,789,755 | |||
Food and Beverage 0.8% | ||||
Bacardi Ltd.(a) | ||||
05/15/2025 | 4.450% | 3,375,000 | 3,285,555 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
JBS USA LUX SA/Food Co./Finance, Inc.(a) | ||||
02/02/2029 | 3.000% | 1,565,000 | 1,330,354 | |
12/01/2031 | 3.750% | 2,570,000 | 2,120,459 | |
04/01/2033 | 5.750% | 1,230,000 | 1,158,391 | |
12/01/2052 | 6.500% | 4,280,000 | 4,048,257 | |
Pilgrim’s Pride Corp. | ||||
04/15/2031 | 4.250% | 1,800,000 | 1,544,395 | |
03/01/2032 | 3.500% | 2,634,000 | 2,097,541 | |
07/01/2033 | 6.250% | 425,000 | 413,449 | |
Post Holdings, Inc.(a) | ||||
03/01/2027 | 5.750% | 1,700,000 | 1,660,955 | |
04/15/2030 | 4.625% | 3,500,000 | 3,069,253 | |
Simmons Foods, Inc./Prepared Foods, Inc./Pet Food, Inc./Feed(a) | ||||
03/01/2029 | 4.625% | 1,331,000 | 1,072,497 | |
Smithfield Foods, Inc.(a) | ||||
09/13/2031 | 2.625% | 1,500,000 | 1,108,451 | |
Triton Water Holdings, Inc.(a) | ||||
04/01/2029 | 6.250% | 2,000,000 | 1,712,819 | |
Total | 24,622,376 | |||
Gaming 0.6% | ||||
GLP Capital LP/Financing II, Inc. | ||||
09/01/2024 | 3.350% | 1,045,000 | 1,008,778 | |
06/01/2028 | 5.750% | 870,000 | 849,919 | |
01/15/2029 | 5.300% | 2,325,000 | 2,215,120 | |
01/15/2030 | 4.000% | 2,353,000 | 2,039,552 | |
01/15/2031 | 4.000% | 3,030,000 | 2,619,861 | |
01/15/2032 | 3.250% | 59,000 | 47,692 | |
VICI Properties LP | ||||
02/15/2030 | 4.950% | 75,000 | 70,330 | |
05/15/2032 | 5.125% | 4,398,000 | 4,111,281 | |
05/15/2052 | 5.625% | 1,069,000 | 967,408 | |
VICI Properties LP/Note Co., Inc.(a) | ||||
06/15/2025 | 4.625% | 270,000 | 261,112 | |
09/01/2026 | 4.500% | 1,010,000 | 952,756 | |
02/01/2027 | 5.750% | 420,000 | 411,931 | |
01/15/2028 | 4.500% | 654,000 | 602,852 | |
02/15/2029 | 3.875% | 1,700,000 | 1,496,213 | |
08/15/2030 | 4.125% | 540,000 | 475,823 | |
Total | 18,130,628 | |||
Health Care 1.7% | ||||
Becton Dickinson and Co. | ||||
06/06/2024 | 3.363% | 626,000 | 612,686 | |
Catalent Pharma Solutions, Inc.(a) | ||||
02/15/2029 | 3.125% | 1,000,000 | 812,867 | |
CommonSpirit Health | ||||
10/01/2025 | 1.547% | 5,000,000 | 4,543,427 | |
10/01/2030 | 2.782% | 1,575,000 | 1,325,674 |
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2023 | 11 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CVS Health Corp. | ||||
02/21/2033 | 5.250% | 374,000 | 372,570 | |
07/20/2035 | 4.875% | 775,000 | 736,300 | |
07/20/2045 | 5.125% | 1,780,000 | 1,644,872 | |
03/25/2048 | 5.050% | 8,170,000 | 7,534,545 | |
Dentsply Sirona, Inc. | ||||
06/01/2030 | 3.250% | 801,000 | 695,032 | |
Embecta Corp.(a) | ||||
02/15/2030 | 5.000% | 1,800,000 | 1,495,665 | |
Fresenius Medical Care US Finance III, Inc.(a) | ||||
12/01/2026 | 1.875% | 3,755,000 | 3,239,082 | |
HCA, Inc. | ||||
04/15/2025 | 5.250% | 488,000 | 481,729 | |
06/15/2026 | 5.250% | 4,480,000 | 4,432,447 | |
06/15/2029 | 4.125% | 4,000,000 | 3,704,729 | |
09/01/2030 | 3.500% | 5,236,000 | 4,586,460 | |
07/15/2031 | 2.375% | 1,125,000 | 899,975 | |
06/15/2047 | 5.500% | 2,405,000 | 2,258,392 | |
06/15/2049 | 5.250% | 5,500,000 | 4,973,297 | |
HCA, Inc.(a) | ||||
03/15/2032 | 3.625% | 1,120,000 | 972,460 | |
03/15/2052 | 4.625% | 1,000,000 | 821,142 | |
ModivCare Escrow Issuer, Inc.(a) | ||||
10/01/2029 | 5.000% | 3,375,000 | 2,498,610 | |
Universal Health Services, Inc. | ||||
09/01/2026 | 1.650% | 1,890,000 | 1,656,432 | |
Total | 50,298,393 | |||
Healthcare Insurance 0.6% | ||||
Centene Corp. | ||||
12/15/2027 | 4.250% | 2,155,000 | 2,016,486 | |
07/15/2028 | 2.450% | 8,542,000 | 7,321,983 | |
03/01/2031 | 2.500% | 2,000,000 | 1,594,777 | |
Humana, Inc. | ||||
04/01/2030 | 4.875% | 1,333,000 | 1,304,950 | |
Molina Healthcare, Inc.(a) | ||||
06/15/2028 | 4.375% | 2,913,000 | 2,686,949 | |
11/15/2030 | 3.875% | 2,000,000 | 1,717,660 | |
UnitedHealth Group, Inc. | ||||
12/15/2048 | 4.450% | 1,245,000 | 1,134,707 | |
Total | 17,777,512 | |||
Healthcare REIT 0.3% | ||||
Healthcare Realty Holdings LP | ||||
01/15/2028 | 3.625% | 2,898,000 | 2,583,431 | |
03/15/2031 | 2.050% | 417,000 | 310,596 | |
Healthcare Trust of America Holdings LP | ||||
08/01/2026 | 3.500% | 2,367,000 | 2,179,936 | |
02/15/2030 | 3.100% | 125,000 | 106,315 | |
03/15/2031 | 2.000% | 1,485,000 | 1,139,815 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Physicians Realty LP | ||||
11/01/2031 | 2.625% | 1,905,000 | 1,482,104 | |
Total | 7,802,197 | |||
Independent Energy 0.1% | ||||
Hess Corp. | ||||
02/15/2041 | 5.600% | 1,800,000 | 1,722,036 | |
Life Insurance 0.8% | ||||
Athene Global Funding(a),(b) | ||||
SOFR + 0.700% 05/24/2024 | 5.760% | 3,780,000 | 3,742,092 | |
Athene Global Funding(a) | ||||
06/29/2026 | 1.608% | 3,760,000 | 3,254,973 | |
03/08/2027 | 3.205% | 1,550,000 | 1,384,935 | |
01/07/2029 | 2.717% | 1,770,000 | 1,438,241 | |
Metropolitan Life Global Funding I(a) | ||||
08/25/2029 | 4.300% | 5,500,000 | 5,204,244 | |
New York Life Insurance Co.(a) | ||||
Subordinated | ||||
05/15/2050 | 3.750% | 3,235,000 | 2,465,710 | |
Teachers Insurance & Annuity Association of America(a) | ||||
Subordinated | ||||
05/15/2050 | 3.300% | 3,035,000 | 2,094,838 | |
Teachers Insurance & Annuity Association of America(a),(h) | ||||
Subordinated | ||||
09/15/2054 | 4.375% | 3,920,000 | 3,806,895 | |
Total | 23,391,928 | |||
Media and Entertainment 1.0% | ||||
Diamond Sports Group LLC/Finance Co.(a),(i) | ||||
08/15/2026 | 0.000% | 3,161,000 | 104,540 | |
Meta Platforms, Inc. | ||||
08/15/2052 | 4.450% | 1,850,000 | 1,611,035 | |
05/15/2053 | 5.600% | 7,705,000 | 7,911,874 | |
Take-Two Interactive Software, Inc. | ||||
04/14/2032 | 4.000% | 3,355,000 | 3,073,772 | |
Warnermedia Holdings, Inc. | ||||
03/15/2032 | 4.279% | 35,000 | 31,012 | |
03/15/2042 | 5.050% | 6,975,000 | 5,851,512 | |
03/15/2052 | 5.141% | 14,715,000 | 11,999,360 | |
Total | 30,583,105 | |||
Midstream 0.8% | ||||
Enbridge, Inc. | ||||
03/08/2033 | 5.700% | 930,000 | 942,842 | |
Energy Transfer Operating LP | ||||
05/15/2050 | 5.000% | 6,890,000 | 5,821,904 |
12 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Energy Transfer Partners LP | ||||
03/15/2045 | 5.150% | 3,048,000 | 2,625,559 | |
12/15/2045 | 6.125% | 2,400,000 | 2,286,084 | |
EQM Midstream Partners LP | ||||
07/15/2028 | 5.500% | 695,000 | 656,838 | |
Galaxy Pipeline Assets Bidco Ltd.(a) | ||||
03/31/2034 | 2.160% | 377,904 | 321,332 | |
Plains All American Pipeline LP/Finance Corp. | ||||
09/15/2030 | 3.800% | 2,175,000 | 1,931,319 | |
Rockies Express Pipeline LLC(a) | ||||
05/15/2025 | 3.600% | 1,808,000 | 1,717,024 | |
07/15/2029 | 4.950% | 910,000 | 836,228 | |
04/15/2040 | 6.875% | 1,890,000 | 1,707,400 | |
Sabine Pass Liquefaction LLC | ||||
05/15/2030 | 4.500% | 481,000 | 457,535 | |
Sunoco Logistics Partners Operations LP | ||||
05/15/2045 | 5.350% | 925,000 | 808,035 | |
10/01/2047 | 5.400% | 1,095,000 | 968,411 | |
TMS Issuer Sarl(a) | ||||
08/23/2032 | 5.780% | 650,000 | 668,182 | |
TransMontaigne Partners LP/TLP Finance Corp. | ||||
02/15/2026 | 6.125% | 2,037,000 | 1,760,406 | |
Venture Global Calcasieu Pass LLC(a) | ||||
08/15/2031 | 4.125% | 1,495,000 | 1,287,130 | |
Williams Companies, Inc. (The) | ||||
06/24/2044 | 5.750% | 180,000 | 175,579 | |
Total | 24,971,808 | |||
Natural Gas 0.2% | ||||
KeySpan Gas East Corp.(a) | ||||
03/06/2033 | 5.994% | 6,000,000 | 6,051,298 | |
Office REIT 0.1% | ||||
Hudson Pacific Properties LP | ||||
11/01/2027 | 3.950% | 3,076,000 | 2,246,445 | |
02/15/2028 | 5.950% | 975,000 | 779,210 | |
04/01/2029 | 4.650% | 485,000 | 343,881 | |
01/15/2030 | 3.250% | 1,240,000 | 783,991 | |
Kilroy Realty LP | ||||
11/15/2033 | 2.650% | 628,000 | 428,120 | |
Total | 4,581,647 | |||
Oil Field Services 0.1% | ||||
Archrock Partners LP/Finance Corp.(a) | ||||
04/01/2028 | 6.250% | 325,000 | 305,326 | |
USA Compression Partners LP/Finance Corp. | ||||
04/01/2026 | 6.875% | 1,563,000 | 1,527,880 | |
Total | 1,833,206 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Other Financial Institutions 0.1% | ||||
Icahn Enterprises LP/Finance Corp. | ||||
12/15/2025 | 6.375% | 350,000 | 325,229 | |
05/15/2026 | 6.250% | 900,000 | 819,981 | |
05/15/2027 | 5.250% | 1,430,000 | 1,233,034 | |
Total | 2,378,244 | |||
Other Industry 0.0% | ||||
Adtalem Global Education, Inc.(a) | ||||
03/01/2028 | 5.500% | 325,000 | 295,255 | |
PowerTeam Services LLC(a) | ||||
12/04/2025 | 9.033% | 961,000 | 841,284 | |
Total | 1,136,539 | |||
Other REIT 0.3% | ||||
American Assets Trust LP | ||||
02/01/2031 | 3.375% | 3,650,000 | 2,859,092 | |
CubeSmart LP | ||||
02/15/2032 | 2.500% | 875,000 | 694,930 | |
Extra Space Storage LP | ||||
06/01/2031 | 2.550% | 1,175,000 | 951,403 | |
03/15/2032 | 2.350% | 4,464,000 | 3,493,670 | |
Lexington Realty Trust | ||||
10/01/2031 | 2.375% | 1,895,000 | 1,440,427 | |
Life Storage LP | ||||
12/15/2027 | 3.875% | 270,000 | 250,934 | |
10/15/2031 | 2.400% | 500,000 | 396,162 | |
Total | 10,086,618 | |||
Packaging 0.2% | ||||
Berry Global Escrow Corp.(a) | ||||
07/15/2026 | 4.875% | 582,000 | 561,147 | |
Berry Global, Inc. | ||||
01/15/2026 | 1.570% | 2,981,000 | 2,690,482 | |
01/15/2027 | 1.650% | 2,883,000 | 2,492,447 | |
Total | 5,744,076 | |||
Paper 0.1% | ||||
Weyerhaeuser Co. | ||||
03/09/2033 | 3.375% | 3,535,000 | 3,041,417 | |
Pharmaceuticals 1.1% | ||||
1375209 BC Ltd.(a) | ||||
01/30/2028 | 9.000% | 900,000 | 902,241 | |
AbbVie, Inc. | ||||
05/14/2045 | 4.700% | 1,000,000 | 911,665 | |
05/14/2046 | 4.450% | 1,425,000 | 1,255,293 |
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2023 | 13 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Amgen, Inc. | ||||
03/02/2033 | 5.250% | 1,690,000 | 1,691,705 | |
03/02/2043 | 5.600% | 3,190,000 | 3,197,481 | |
03/02/2053 | 5.650% | 2,100,000 | 2,128,983 | |
Bayer US Finance II LLC(a) | ||||
07/15/2024 | 3.375% | 2,860,000 | 2,792,319 | |
12/15/2025 | 4.250% | 2,780,000 | 2,676,835 | |
12/15/2028 | 4.375% | 2,579,000 | 2,446,023 | |
06/25/2038 | 4.625% | 7,482,000 | 6,508,103 | |
06/25/2048 | 4.875% | 4,585,000 | 4,118,400 | |
Grifols Escrow Issuer SA(a) | ||||
10/15/2028 | 4.750% | 2,194,000 | 1,904,276 | |
Kevlar SpA(a) | ||||
09/01/2029 | 6.500% | 2,750,000 | 2,347,334 | |
Total | 32,880,658 | |||
Property & Casualty 0.7% | ||||
Alliant Holdings Intermediate LLC/Co-Issuer(a) | ||||
10/15/2027 | 6.750% | 335,000 | 314,923 | |
Aon Corp./Global Holdings PLC | ||||
02/28/2052 | 3.900% | 3,545,000 | 2,784,270 | |
Arthur J. Gallagher & Co. | ||||
03/09/2052 | 3.050% | 2,240,000 | 1,430,454 | |
Berkshire Hathaway Finance Corp. | ||||
10/15/2050 | 2.850% | 1,000,000 | 696,503 | |
Farmers Exchange Capital(a) | ||||
Subordinated | ||||
07/15/2028 | 7.050% | 3,225,000 | 3,318,318 | |
Farmers Exchange Capital II(a),(h) | ||||
Subordinated | ||||
11/01/2053 | 6.151% | 3,810,000 | 3,670,640 | |
Nationwide Mutual Insurance Co.(a),(b) | ||||
Subordinated | ||||
3-month USD LIBOR + 2.290% 12/15/2024 | 7.842% | 6,815,000 | 6,794,521 | |
Willis North America, Inc. | ||||
09/15/2029 | 2.950% | 3,595,000 | 3,098,810 | |
Total | 22,108,439 | |||
Restaurants 0.0% | ||||
Fertitta Entertainment LLC/Finance Co., Inc.(a) | ||||
01/15/2030 | 6.750% | 787,000 | 668,287 | |
Retailers 0.1% | ||||
Alimentation Couche-Tard, Inc.(a) | ||||
01/25/2030 | 2.950% | 331,000 | 284,210 | |
Magic MergeCo, Inc.(a) | ||||
05/01/2029 | 7.875% | 3,655,000 | 2,466,892 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Rent-A-Center, Inc.(a) | ||||
02/15/2029 | 6.375% | 350,000 | 311,813 | |
Total | 3,062,915 | |||
Technology 1.0% | ||||
Broadcom, Inc.(a) | ||||
02/15/2033 | 2.600% | 1,950,000 | 1,520,075 | |
11/15/2035 | 3.137% | 3,100,000 | 2,376,093 | |
CommScope, Inc.(a) | ||||
09/01/2029 | 4.750% | 2,450,000 | 1,934,933 | |
Global Payments, Inc. | ||||
08/15/2052 | 5.950% | 3,150,000 | 3,018,663 | |
NCR Corp.(a) | ||||
10/01/2028 | 5.000% | 814,000 | 728,139 | |
04/15/2029 | 5.125% | 1,000,000 | 885,326 | |
10/01/2030 | 5.250% | 390,000 | 339,700 | |
Open Text Corp.(a) | ||||
12/01/2027 | 6.900% | 650,000 | 662,345 | |
Oracle Corp. | ||||
03/25/2031 | 2.875% | 1,425,000 | 1,214,473 | |
11/09/2032 | 6.250% | 4,000,000 | 4,243,810 | |
07/15/2036 | 3.850% | 260,000 | 217,394 | |
04/01/2050 | 3.600% | 5,400,000 | 3,855,848 | |
03/25/2051 | 3.950% | 4,468,000 | 3,373,601 | |
11/09/2052 | 6.900% | 2,000,000 | 2,241,137 | |
02/06/2053 | 5.550% | 745,000 | 721,819 | |
Tencent Holdings Ltd.(a) | ||||
04/22/2051 | 3.840% | 3,570,000 | 2,621,414 | |
Total | 29,954,770 | |||
Tobacco 0.7% | ||||
BAT Capital Corp. | ||||
08/15/2037 | 4.390% | 3,870,000 | 3,092,499 | |
08/15/2047 | 4.540% | 9,792,000 | 7,225,379 | |
09/06/2049 | 4.758% | 205,000 | 154,760 | |
03/16/2052 | 5.650% | 1,425,000 | 1,238,867 | |
Imperial Brands Finance PLC(a) | ||||
07/26/2024 | 3.125% | 4,145,000 | 4,004,859 | |
07/26/2026 | 3.500% | 950,000 | 881,748 | |
Reynolds American, Inc. | ||||
08/15/2035 | 5.700% | 1,185,000 | 1,114,991 | |
08/15/2045 | 5.850% | 4,180,000 | 3,723,272 | |
Total | 21,436,375 | |||
Treasury 0.0% | ||||
Romanian Government International Bond(a) | ||||
02/17/2028 | 6.625% | 200,000 | 205,888 |
14 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Wireless 1.3% | ||||
American Tower Corp. | ||||
04/15/2031 | 2.700% | 2,845,000 | 2,364,915 | |
03/15/2033 | 5.650% | 1,000,000 | 1,017,304 | |
07/15/2033 | 5.550% | 6,375,000 | 6,420,926 | |
Crown Castle, Inc. | ||||
05/01/2033 | 5.100% | 929,000 | 913,949 | |
Sprint Spectrum Co. I/II/III LLC(a) | ||||
03/20/2025 | 4.738% | 1,820,875 | 1,796,249 | |
03/20/2028 | 5.152% | 4,636,000 | 4,582,413 | |
T-Mobile US, Inc. | ||||
02/15/2026 | 2.250% | 1,970,000 | 1,814,608 | |
04/15/2026 | 2.625% | 5,424,000 | 5,029,600 | |
04/15/2027 | 3.750% | 2,625,000 | 2,486,764 | |
04/15/2030 | 3.875% | 6,375,000 | 5,876,531 | |
02/15/2031 | 2.550% | 2,340,000 | 1,944,919 | |
04/15/2040 | 4.375% | 3,000,000 | 2,655,716 | |
Vodafone Group PLC | ||||
06/19/2049 | 4.875% | 4,340,000 | 3,848,631 | |
Total | 40,752,525 | |||
Wirelines 0.4% | ||||
AT&T, Inc. | ||||
03/01/2037 | 5.250% | 5,640,000 | 5,511,228 | |
03/01/2039 | 4.850% | 2,796,000 | 2,576,028 | |
09/15/2055 | 3.550% | 281,000 | 196,723 | |
C&W Senior Financing DAC(a) | ||||
09/15/2027 | 6.875% | 480,000 | 418,883 | |
Frontier Communications Corp.(a) | ||||
05/01/2028 | 5.000% | 400,000 | 345,103 | |
Frontier Communications Holdings LLC(a) | ||||
03/15/2031 | 8.625% | 2,868,000 | 2,775,308 | |
Northwest Fiber LLC/Finance Sub, Inc.(a) | ||||
04/30/2027 | 4.750% | 315,000 | 278,099 | |
Total | 12,101,372 | |||
Total Corporate Bonds & Notes (Cost $955,523,824) | 878,237,856 | |||
Foreign Government Obligations(j) 0.9% | ||||
Azerbaijan 0.0% | ||||
Southern Gas Corridor CJSC(a) | ||||
03/24/2026 | 6.875% | 600,000 | 609,544 | |
Bahrain 0.0% | ||||
Bahrain Government International Bond(a) | ||||
01/26/2026 | 7.000% | 415,000 | 422,540 |
Foreign Government Obligations(j) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Brazil 0.0% | ||||
Brazilian Government International Bond | ||||
06/12/2030 | 3.875% | 925,000 | 821,668 | |
Chile 0.0% | ||||
Chile Government International Bond | ||||
01/27/2032 | 2.550% | 489,000 | 418,352 | |
07/27/2033 | 2.550% | 720,000 | 588,815 | |
Total | 1,007,167 | |||
Colombia 0.1% | ||||
Colombia Government International Bond | ||||
03/15/2029 | 4.500% | 734,000 | 643,110 | |
04/15/2031 | 3.125% | 400,000 | 302,901 | |
04/20/2033 | 8.000% | 200,000 | 203,989 | |
Ecopetrol SA | ||||
01/13/2033 | 8.875% | 280,000 | 277,000 | |
Total | 1,427,000 | |||
Dominican Republic 0.0% | ||||
Dominican Republic International Bond(a) | ||||
01/30/2030 | 4.500% | 300,000 | 262,832 | |
09/23/2032 | 4.875% | 620,000 | 528,295 | |
Total | 791,127 | |||
Guatemala 0.0% | ||||
Guatemala Government Bond(a) | ||||
08/10/2029 | 5.250% | 480,000 | 457,046 | |
Hungary 0.0% | ||||
Hungary Government International Bond(a) | ||||
06/16/2029 | 5.250% | 250,000 | 243,787 | |
09/22/2031 | 2.125% | 1,100,000 | 851,779 | |
Total | 1,095,566 | |||
Indonesia 0.1% | ||||
Indonesia Government International Bond | ||||
02/14/2030 | 2.850% | 701,000 | 623,858 | |
01/11/2033 | 4.850% | 500,000 | 499,631 | |
PT Pertamina Persero(a) | ||||
08/25/2030 | 3.100% | 1,443,000 | 1,269,881 | |
Total | 2,393,370 | |||
Kazakhstan 0.0% | ||||
KazMunayGas National Co. JSC(a) | ||||
04/24/2030 | 5.375% | 534,000 | 496,929 | |
KazTransGas JSC(a) | ||||
09/26/2027 | 4.375% | 400,000 | 372,802 | |
Total | 869,731 |
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2023 | 15 |
June 30, 2023 (Unaudited)
Foreign Government Obligations(j) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Mexico 0.2% | ||||
Mexico Government International Bond | ||||
05/24/2031 | 2.659% | 2,496,000 | 2,077,091 | |
05/19/2033 | 4.875% | 800,000 | 764,548 | |
02/12/2034 | 3.500% | 200,000 | 167,632 | |
Petroleos Mexicanos | ||||
01/28/2031 | 5.950% | 1,860,000 | 1,358,510 | |
06/15/2035 | 6.625% | 587,000 | 408,117 | |
09/21/2047 | 6.750% | 453,000 | 283,658 | |
01/28/2060 | 6.950% | 1,730,000 | 1,077,777 | |
Total | 6,137,333 | |||
Oman 0.0% | ||||
Oman Government International Bond(a) | ||||
10/28/2027 | 6.750% | 300,000 | 309,877 | |
01/17/2028 | 5.625% | 700,000 | 691,602 | |
Total | 1,001,479 | |||
Panama 0.1% | ||||
Panama Government International Bond | ||||
01/23/2030 | 3.160% | 1,486,000 | 1,300,577 | |
09/29/2032 | 2.252% | 300,000 | 229,194 | |
Total | 1,529,771 | |||
Paraguay 0.0% | ||||
Paraguay Government International Bond(a) | ||||
04/28/2031 | 4.950% | 420,000 | 403,555 | |
Peru 0.1% | ||||
Peruvian Government International Bond | ||||
08/25/2027 | 4.125% | 347,000 | 338,203 | |
06/20/2030 | 2.844% | 482,000 | 421,877 | |
01/23/2031 | 2.783% | 1,320,000 | 1,130,907 | |
12/01/2032 | 1.862% | 200,000 | 154,079 | |
Total | 2,045,066 | |||
Philippines 0.1% | ||||
Philippine Government International Bond | ||||
05/05/2030 | 2.457% | 770,000 | 664,949 | |
06/10/2031 | 1.648% | 550,000 | 436,779 | |
Total | 1,101,728 | |||
Poland 0.0% | ||||
Republic of Poland Government International Bond | ||||
11/16/2032 | 5.750% | 172,000 | 180,476 | |
10/04/2033 | 4.875% | 585,000 | 574,546 | |
Total | 755,022 | |||
Qatar 0.1% | ||||
Qatar Energy(a) | ||||
07/12/2031 | 2.250% | 600,000 | 503,121 |
Foreign Government Obligations(j) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Qatar Government International Bond(a) | ||||
04/16/2030 | 3.750% | 790,000 | 759,946 | |
Total | 1,263,067 | |||
Romania 0.0% | ||||
Romanian Government International Bond(a) | ||||
02/14/2031 | 3.000% | 1,140,000 | 945,135 | |
Saudi Arabia 0.1% | ||||
Saudi Government International Bond(a) | ||||
03/04/2028 | 3.625% | 725,000 | 687,001 | |
10/22/2030 | 3.250% | 610,000 | 553,469 | |
Total | 1,240,470 | |||
South Africa 0.0% | ||||
Republic of South Africa Government International Bond | ||||
09/30/2029 | 4.850% | 865,000 | 760,400 | |
Transnet SOC Ltd.(a) | ||||
02/06/2028 | 8.250% | 285,000 | 276,806 | |
Total | 1,037,206 | |||
United Arab Emirates 0.0% | ||||
Finance Department Government of Sharjah(a) | ||||
11/23/2032 | 6.500% | 879,000 | 904,999 | |
Total Foreign Government Obligations (Cost $31,414,542) | 28,259,590 | |||
Inflation-Indexed Bonds 1.4% | ||||
United States 1.4% | ||||
U.S. Treasury Inflation-Indexed Bond | ||||
04/15/2028 | 1.250% | 21,327,982 | 20,639,032 | |
01/15/2033 | 1.125% | 24,425,785 | 23,419,015 | |
Total | 44,058,047 | |||
Total Inflation-Indexed Bonds (Cost $45,334,597) | 44,058,047 | |||
Municipal Bonds 0.5% | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Airport 0.0% | ||||
County of Miami-Dade Aviation | ||||
Refunding Revenue Bonds | ||||
Taxable | ||||
Series 2019B | ||||
10/01/2034 | 3.555% | 930,000 | 813,481 |
16 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Hospital 0.2% | ||||
Regents of the University of California Medical Center | ||||
Revenue Bonds | ||||
Taxable | ||||
Series 2020N | ||||
05/15/2060 | 3.256% | 6,725,000 | 4,720,702 | |
Local General Obligation 0.1% | ||||
City of New York | ||||
Unlimited General Obligation Bonds | ||||
Build America Bonds | ||||
Series 2010 | ||||
10/01/2024 | 5.047% | 3,412,455 | 3,397,283 | |
Special Non Property Tax 0.2% | ||||
New York City Transitional Finance Authority | ||||
Refunding Revenue Bonds | ||||
Future Tax Secured | ||||
Subordinated Series 2020B-3 | ||||
08/01/2035 | 2.000% | 2,000,000 | 1,452,271 | |
New York City Transitional Finance Authority Future Tax | ||||
Secured Revenue Bonds | ||||
Build America Bonds | ||||
Series 2010 | ||||
08/01/2037 | 5.508% | 2,930,000 | 3,048,162 | |
Total | 4,500,433 | |||
Transportation 0.0% | ||||
Metropolitan Transportation Authority | ||||
Revenue Bonds | ||||
Taxable Green Bonds | ||||
Series 2020C-2 | ||||
11/15/2049 | 5.175% | 970,000 | 883,498 | |
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 | 1,204,866 | |
Total Municipal Bonds (Cost $18,797,372) | 15,520,263 | |||
Residential Mortgage-Backed Securities - Agency 37.6% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal Home Loan Mortgage Corp. | ||||
04/01/2031- 01/01/2050 | 3.000% | 32,302,391 | 28,977,808 | |
09/01/2032- 01/01/2050 | 3.500% | 48,557,879 | 45,146,202 | |
07/01/2035- 10/01/2048 | 5.000% | 1,785,963 | 1,786,062 | |
04/01/2036- 09/01/2039 | 6.000% | 132,248 | 134,422 | |
06/01/2038- 01/01/2040 | 5.500% | 341,395 | 350,202 | |
03/01/2039- 10/01/2048 | 4.500% | 4,194,022 | 4,132,993 | |
08/01/2044- 01/01/2049 | 4.000% | 4,766,329 | 4,575,682 | |
12/01/2051- 04/01/2052 | 2.500% | 27,916,809 | 23,688,364 | |
03/01/2052- 04/01/2052 | 2.000% | 30,854,081 | 25,192,481 | |
CMO Series 360 Class 250 | ||||
11/15/2047 | 2.500% | 1,502,909 | 1,358,325 | |
Federal Home Loan Mortgage Corp.(b),(d) | ||||
CMO Series 2980 Class SL | ||||
-1.0 x 1-month USD LIBOR + 6.700% Cap 6.700% 11/15/2034 | 1.507% | 208,855 | 16,274 | |
Federal Home Loan Mortgage Corp.(d) | ||||
CMO Series 4037 Class PI | ||||
04/15/2027 | 3.000% | 101,244 | 2,297 | |
CMO Series 4093 Class IA | ||||
03/15/2042 | 4.000% | 2,157,500 | 452,009 | |
Federal National Mortgage Association | ||||
12/01/2025- 06/01/2049 | 3.500% | 14,503,462 | 13,459,211 | |
06/01/2032- 04/01/2052 | 3.000% | 20,915,846 | 18,788,049 | |
05/01/2033- 08/01/2039 | 5.000% | 113,810 | 113,970 | |
11/01/2038- 11/01/2040 | 6.000% | 1,500,280 | 1,551,416 | |
10/01/2040- 04/01/2052 | 2.000% | 117,493,022 | 96,986,999 | |
08/01/2043- 07/01/2047 | 4.000% | 14,585,738 | 13,989,101 | |
02/01/2046- 08/01/2048 | 4.500% | 5,736,148 | 5,613,412 | |
12/01/2051- 04/01/2052 | 2.500% | 156,676,084 | 133,076,241 | |
CMO Series 2013-13 Class PH | ||||
04/25/2042 | 2.500% | 2,237,856 | 2,071,427 | |
CMO Series 2018-54 Class KA | ||||
01/25/2047 | 3.500% | 754,198 | 716,881 |
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2023 | 17 |
June 30, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2018-86 Class JA | ||||
05/25/2047 | 4.000% | 558,608 | 541,873 | |
CMO Series 2018-94D Class KD | ||||
12/25/2048 | 3.500% | 632,422 | 592,713 | |
CMO Series 2019-1 Class KP | ||||
02/25/2049 | 3.250% | 1,225,389 | 1,115,067 | |
Federal National Mortgage Association(k) | ||||
10/01/2050- 05/01/2051 | 2.000% | 14,013,399 | 11,491,442 | |
Federal National Mortgage Association(b),(d) | ||||
CMO Series 2006-8 Class HL | ||||
-1.0 x 1-month USD LIBOR + 6.700% Cap 6.700% 03/25/2036 | 1.550% | 570,320 | 44,844 | |
CMO Series 2013-81 Class NS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 10/25/2042 | 1.050% | 149,204 | 4,140 | |
Federal National Mortgage Association(d) | ||||
CMO Series 2013-45 Class IK | ||||
02/25/2043 | 3.000% | 133,954 | 14,759 | |
Government National Mortgage Association | ||||
08/15/2033- 08/20/2048 | 4.500% | 5,123,561 | 5,046,091 | |
04/15/2035- 10/20/2047 | 5.000% | 2,686,363 | 2,683,417 | |
07/15/2040- 10/20/2048 | 4.000% | 6,066,391 | 5,818,287 | |
04/20/2046- 07/20/2049 | 3.500% | 16,468,099 | 15,403,140 | |
11/20/2046- 10/20/2049 | 3.000% | 10,360,416 | 9,359,997 | |
Government National Mortgage Association(l) | ||||
CMO Series 2006-26 Class | ||||
06/20/2036 | 0.000% | 16,729 | 13,870 | |
Government National Mortgage Association TBA(m) | ||||
07/20/2053 | 2.500% | 45,525,000 | 39,418,248 | |
07/20/2053 | 4.500% | 17,300,000 | 16,697,203 | |
07/20/2053 | 5.000% | 7,900,000 | 7,762,984 | |
Uniform Mortgage-Backed Security TBA(m) | ||||
08/11/2052- 07/13/2053 | 5.000% | 95,650,000 | 93,725,254 | |
07/13/2053- 08/14/2053 | 2.000% | 113,125,000 | 92,345,357 | |
07/13/2053- 08/14/2053 | 2.500% | 54,925,000 | 46,582,361 | |
07/13/2053- 08/14/2053 | 3.000% | 94,550,000 | 83,288,912 | |
07/13/2053 | 4.000% | 78,825,000 | 73,969,257 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
07/13/2053- 08/14/2053 | 4.500% | 112,100,000 | 107,775,937 | |
07/13/2053 | 5.500% | 69,450,000 | 69,113,602 | |
08/14/2053 | 3.500% | 43,000,000 | 39,222,383 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $1,183,592,288) | 1,144,210,966 | |||
Residential Mortgage-Backed Securities - Non-Agency 9.0% | ||||
Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-Through Certificates(b) | ||||
CMO Series 2005-R8 Class M3 | ||||
1-month USD LIBOR + 0.765% Floor 0.510% 10/25/2035 | 5.915% | 2,066,525 | 2,053,727 | |
Angel Oak Mortgage Trust(a),(c) | ||||
CMO Series 2021-6 Class A1 | ||||
09/25/2066 | 1.483% | 4,703,652 | 3,728,410 | |
CMO Series 2022-1 Class A1 | ||||
12/25/2066 | 2.881% | 8,053,102 | 7,069,199 | |
BCAP LLC Trust(b) | ||||
CMO Series 2007-AA1 Class 2A1 | ||||
1-month USD LIBOR + 0.360% Floor 0.360% 03/25/2037 | 5.510% | 4,566,935 | 4,068,247 | |
BRAVO Residential Funding Trust(a),(c) | ||||
CMO Series 2021-A Class A1 | ||||
10/25/2059 | 1.991% | 7,421,422 | 6,977,916 | |
CMO Series 2021-B Class A1 | ||||
04/01/2069 | 2.115% | 9,798,702 | 9,264,231 | |
CIM Group(a),(c) | ||||
CMO Series 2020-R7 Class A1A | ||||
12/27/2061 | 2.250% | 7,551,804 | 6,457,262 | |
CIM Trust(a),(c) | ||||
CMO Series 2019-R4 Class A1 | ||||
10/25/2059 | 3.000% | 6,145,294 | 5,471,897 | |
CMO Series 2020-R3 Class A1A | ||||
01/26/2060 | 4.000% | 6,767,894 | 6,208,937 | |
CMO Series 2020-R6 Class A1A | ||||
12/25/2060 | 2.250% | 4,862,299 | 4,089,850 | |
CMO Series 2021-NR2 Class A1 | ||||
07/25/2059 | 2.568% | 5,713,060 | 5,445,429 | |
CMO Series 2021-NR3 Class A1 | ||||
06/25/2057 | 2.566% | 3,428,677 | 3,270,499 | |
CMO Series 2021-R3 Class A1A | ||||
06/25/2057 | 1.951% | 10,277,581 | 8,806,047 | |
CMO Series 2021-R5 Class A1A | ||||
08/25/2061 | 2.000% | 8,531,833 | 6,796,102 | |
CMO Series 2022-I1 Class A1 | ||||
02/25/2067 | 4.350% | 7,349,541 | 7,051,414 |
18 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2023-R1 Class A1A | ||||
04/25/2062 | 5.400% | 15,244,644 | 14,609,229 | |
CitiMortgage Alternative Loan Trust | ||||
CMO Series 2006-A5 Class 1A12 | ||||
10/25/2036 | 6.000% | 957,898 | 839,513 | |
Connecticut Avenue Securities Trust(a),(b) | ||||
CMO Series 2022-R01 Class 1M2 | ||||
30-day Average SOFR + 1.900% 12/25/2041 | 6.967% | 4,386,054 | 4,278,817 | |
CMO Series 2022-R03 Class 1M2 | ||||
30-day Average SOFR + 3.500% 03/25/2042 | 8.567% | 5,000,000 | 5,102,907 | |
Countrywide Alternative Loan Trust(b) | ||||
CMO Series 2005-76 Class 1A1 | ||||
1-year MTA + 1.480% Floor 1.480% 01/25/2036 | 5.694% | 2,376,074 | 2,127,335 | |
Countrywide Alternative Loan Trust(c) | ||||
CMO Series 2006-HY12 Class A5 | ||||
08/25/2036 | 3.952% | 3,145,788 | 2,930,577 | |
Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates(c) | ||||
CMO Series 2004-AR5 Class 2A1 | ||||
06/25/2034 | 4.532% | 120,776 | 120,406 | |
Credit Suisse Mortgage Capital Trust(a),(c) | ||||
CMO Series 2021-RP11 Class PT | ||||
10/25/2061 | 3.783% | 9,905,141 | 6,985,656 | |
CSMC Trust(a),(c) | ||||
CMO Series 2018-RPL9 Class A | ||||
09/25/2057 | 3.850% | 5,148,345 | 4,806,472 | |
CMO Series 2022-RPL3 Class A1 | ||||
03/25/2061 | 3.613% | 12,571,673 | 12,060,578 | |
CSMCM Trust(a) | ||||
CMO Series 2021-RP11 Class CERT | ||||
10/27/2061 | 3.778% | 416,693 | 311,003 | |
CWABS Asset-Backed Certificates Trust(b) | ||||
CMO Series 2006-14 Class 2A3 | ||||
1-month USD LIBOR + 0.480% Floor 0.240% 02/25/2037 | 5.630% | 2,951,129 | 2,828,581 | |
First Horizon Alternative Mortgage Securities Trust(c) | ||||
CMO Series 2005-AA10 Class 2A1 | ||||
12/25/2035 | 5.536% | 967,947 | 760,409 | |
CMO Series 2005-AA7 Class 2A1 | ||||
09/25/2035 | 5.067% | 689,652 | 595,327 | |
CMO Series 2005-AA8 Class 2A1 | ||||
10/25/2035 | 5.195% | 1,690,845 | 1,106,932 | |
First Horizon Alternative Mortgage Securities Trust | ||||
CMO Series 2006-FA8 Class 1A11 | ||||
02/25/2037 | 6.000% | 770,548 | 328,790 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
GMAC Mortgage Loan Trust(c) | ||||
CMO Series 2005-AR6 Class 2A1 | ||||
11/19/2035 | 3.351% | 1,213,799 | 1,045,546 | |
GS Mortgage-Backed Securities Trust(a) | ||||
CMO Series 2018-RPL1 Class A1A | ||||
10/25/2057 | 3.750% | 4,185,163 | 3,941,562 | |
GSR Mortgage Loan Trust(c) | ||||
CMO Series 2005-AR6 Class 4A5 | ||||
09/25/2035 | 4.319% | 183,131 | 169,355 | |
HarborView Mortgage Loan Trust(b) | ||||
CMO Series 2006-10 Class 1A1A | ||||
1-month USD LIBOR + 0.200% Floor 0.200% 11/19/2036 | 5.346% | 8,573,215 | 6,783,630 | |
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 | 5.690% | 3,376,664 | 1,423,766 | |
JPMorgan Mortgage Acquisition Trust(b) | ||||
CMO Series 2006-FRE1 Class M1 | ||||
1-month USD LIBOR + 0.585% Floor 0.585% 05/25/2035 | 5.735% | 3,868,491 | 3,771,718 | |
JPMorgan Mortgage Trust(a),(c) | ||||
CMO Series 2021-13 Class A3 | ||||
04/25/2052 | 2.500% | 9,950,145 | 7,995,485 | |
Long Beach Mortgage Loan Trust(b) | ||||
CMO Series 2006-10 Class 1A | ||||
1-month USD LIBOR + 0.300% Floor 0.150% 11/25/2036 | 5.450% | 4,163,227 | 2,972,189 | |
Merrill Lynch First Franklin Mortgage Loan Trust(b) | ||||
CMO Series 2007-2 Class A2C | ||||
1-month USD LIBOR + 0.480% Floor 0.240% 05/25/2037 | 5.630% | 3,223,927 | 2,407,015 | |
Merrill Lynch Mortgage-Backed Securities Trust(b) | ||||
CMO Series 2007-2 Class 1A1 | ||||
1-year CMT + 2.400% Floor 2.400% 08/25/2036 | 6.614% | 620,518 | 546,563 | |
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 | 5.410% | 314,828 | 292,622 | |
MortgageIT Trust(b) | ||||
CMO Series 2005-4 Class A1 | ||||
1-month USD LIBOR + 0.560% Floor 0.280%, Cap 11.500% 10/25/2035 | 5.710% | 968,212 | 943,122 |
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2023 | 19 |
June 30, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
New Century Home Equity Loan Trust(b) | ||||
CMO Series 2005-1 Class M1 | ||||
1-month USD LIBOR + 0.675% Floor 0.675%, Cap 12.500% 03/25/2035 | 5.825% | 2,000,262 | 1,954,799 | |
Preston Ridge Partners Mortgage Trust(a),(c) | ||||
CMO Series 2021-10 Class A1 | ||||
10/25/2026 | 2.487% | 8,654,193 | 7,971,871 | |
CMO Series 2021-7 Class A1 | ||||
08/25/2026 | 1.867% | 13,546,514 | 12,621,299 | |
CMO Series 2022-1 Class A1 | ||||
02/25/2027 | 3.720% | 14,015,387 | 13,299,471 | |
CMO Series 2022-4 Class A1 | ||||
08/25/2027 | 5.000% | 3,516,080 | 3,344,282 | |
Pretium Mortgage Credit Partners LLC(a),(c) | ||||
CMO Series 2022-RN2 Class A1 | ||||
06/25/2052 | 5.000% | 9,423,342 | 8,767,622 | |
CMO Series 2022-RN3 Class A1 | ||||
08/25/2052 | 5.000% | 10,719,677 | 9,910,354 | |
PRPM LLC(a),(c) | ||||
CMO Series 2021-11 Class A1 | ||||
11/25/2026 | 2.487% | 4,974,818 | 4,629,455 | |
RALI Trust(c) | ||||
CMO Series 2005-QA8 Class CB21 | ||||
07/25/2035 | 4.702% | 908,865 | 509,151 | |
Starwood Mortgage Residential Trust(a),(c) | ||||
CMO Series 2021-3 Class A1 | ||||
06/25/2056 | 1.127% | 6,344,906 | 5,068,170 | |
Structured Asset Mortgage Investments II Trust(b) | ||||
CMO Series 2006-AR3 Class 12A1 | ||||
1-month USD LIBOR + 0.440% Floor 0.220%, Cap 10.500% 05/25/2036 | 5.590% | 4,780,260 | 3,809,165 | |
Verus Securitization Trust(a),(c) | ||||
CMO Series 2021-7 Class A1 | ||||
10/25/2066 | 1.829% | 16,686,504 | 14,072,482 | |
WaMu Mortgage Pass-Through Certificates Trust(c) | ||||
CMO Series 2003-AR10 Class A7 | ||||
10/25/2033 | 4.229% | 321,893 | 303,051 | |
CMO Series 2003-AR9 Class 1A6 | ||||
09/25/2033 | 4.152% | 258,571 | 239,463 | |
CMO Series 2005-AR4 Class A5 | ||||
04/25/2035 | 3.913% | 395,588 | 351,302 | |
CMO Series 2007-HY2 Class 1A1 | ||||
12/25/2036 | 3.768% | 1,749,764 | 1,562,378 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
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 | 5.670% | 1,615,185 | 1,489,448 | |
CMO Series 2006-AR11 Class 1A | ||||
1-year MTA + 0.960% Floor 0.960% 09/25/2046 | 5.174% | 3,066,835 | 2,516,628 | |
CMO Series 2006-AR4 Class 1A1A | ||||
1-year MTA + 0.940% Floor 0.940% 05/25/2046 | 5.154% | 1,980,781 | 1,842,794 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $294,715,164) | 273,107,457 | |||
Senior Loans 1.7% | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Aerospace & Defense 0.0% | ||||
TransDigm, Inc.(b),(n) | ||||
Tranche 1 Term Loan | ||||
1-month Term SOFR + 3.250% 08/24/2028 | 8.492% | 783,846 | 783,094 | |
Airlines 0.0% | ||||
United AirLines, Inc.(b),(n) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 3.750% Floor 0.750% 04/21/2028 | 9.292% | 356,088 | 355,397 | |
Brokerage/Asset Managers/Exchanges 0.0% | ||||
Deerfield Dakota Holdings LLC(b),(n) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 3.750% Floor 1.000% 04/09/2027 | 8.992% | 842,763 | 816,275 | |
Cable and Satellite 0.1% | ||||
Charter Communications Operating LLC(b),(n) | ||||
Tranche B2 Term Loan | ||||
1-month Term SOFR + 1.750% 02/01/2027 | 6.795% | 241,228 | 239,619 | |
CSC Holdings LLC(b),(k),(n) | ||||
Term Loan | ||||
3-month USD LIBOR + 2.500% 04/15/2027 | 7.693% | 439,528 | 382,859 |
20 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
DirectTV Financing LLC(b),(n) | ||||
Term Loan | ||||
1-month USD LIBOR + 5.000% Floor 0.750% 08/02/2027 | 10.217% | 1,588,112 | 1,550,840 | |
Virgin Media Bristol LLC(b),(n) | ||||
Tranche N Term Loan | ||||
1-month USD LIBOR + 2.500% 01/31/2028 | 7.693% | 1,750,000 | 1,732,937 | |
Total | 3,906,255 | |||
Chemicals 0.0% | ||||
Chemours Co. (The)(b),(n) | ||||
Tranche B2 Term Loan | ||||
1-month Term SOFR + 1.750% 04/03/2025 | 6.952% | 49,791 | 49,313 | |
Construction Machinery 0.0% | ||||
ASP Blade Holdings, Inc.(b),(n) | ||||
Term Loan | ||||
3-month USD LIBOR + 4.000% Floor 0.500% 10/13/2028 | 9.217% | 124,406 | 107,647 | |
Consumer Cyclical Services 0.1% | ||||
8th Avenue Food & Provisions, Inc.(b),(k),(n) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 3.750% 10/01/2025 | 8.967% | 67,295 | 61,647 | |
Amentum Government Services Holdings LLC(b),(g),(n) | ||||
Tranche 1 1st Lien Term Loan | ||||
1-month USD LIBOR + 4.000% 01/29/2027 | 9.217% | 361,702 | 355,372 | |
Arches Buyer, Inc.(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 3.250% Floor 0.500% 12/06/2027 | 8.452% | 267,999 | 258,201 | |
Pre-Paid Legal Services, Inc.(b),(n) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 3.750% Floor 0.500% 12/15/2028 | 8.943% | 510,199 | 502,388 | |
Prime Security Services Borrower LLC(b),(n) | ||||
Tranche B1 1st Lien Term Loan | ||||
3-month USD LIBOR + 2.750% Floor 0.750% 09/23/2026 | 7.943% | 469,162 | 468,735 | |
Safe Fleet Holdings LLC(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 3.750% Floor 0.500% 02/23/2029 | 8.932% | 197,028 | 196,618 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Spin Holdco, Inc.(b),(n) | ||||
Term Loan | ||||
1-month USD LIBOR + 4.000% Floor 0.750% 03/04/2028 | 9.230% | 953,169 | 813,596 | |
TruGreen LP(b),(n) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 4.000% Floor 0.750% 11/02/2027 | 9.202% | 335,067 | 307,592 | |
Total | 2,964,149 | |||
Consumer Products 0.1% | ||||
Acuity Specialty Products, Inc.(b),(n) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 4.000% Floor 1.000% 08/12/2024 | 9.242% | 1,113,309 | 941,859 | |
Osmosis Buyer Ltd.(b),(n) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 3.750% Floor 0.500% 07/31/2028 | 8.896% | 413,483 | 405,420 | |
Prestige Brands, Inc.(b),(n) | ||||
Tranche B5 Term Loan | ||||
1-month USD LIBOR + 2.000% Floor 0.500% 07/03/2028 | 7.193% | 562,500 | 561,898 | |
Total | 1,909,177 | |||
Diversified Manufacturing 0.0% | ||||
Filtration Group Corp.(b),(k),(n) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 11.450% Floor 0.500% 10/21/2028 | 9.454% | 145,199 | 145,017 | |
Homer City Generation LP(b),(n),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 11.000% Floor 1.000% 04/05/2023 | 15.000% | 321,209 | 202,362 | |
Total | 347,379 | |||
Environmental 0.0% | ||||
Patriot Container Corp.(b),(k),(n) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 3.750% Floor 1.000% 03/20/2025 | 67,295 | 61,767 |
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2023 | 21 |
June 30, 2023 (Unaudited)
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Finance Companies 0.1% | ||||
Avolon Borrower 1 LLC(b),(n) | ||||
Tranche B5 Term Loan | ||||
1-month USD LIBOR + 2.250% Floor 0.500% 12/01/2027 | 7.396% | 2,449,749 | 2,444,776 | |
Tranche B6 Term Loan | ||||
1-month Term SOFR + 2.500% Floor 0.500% 06/22/2028 | 7.589% | 175,812 | 175,592 | |
Total | 2,620,368 | |||
Food and Beverage 0.1% | ||||
City Brewing Company LLC(b),(k),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 3.500% Floor 0.750% 04/05/2028 | 8.760% | 243,705 | 157,189 | |
Froneri International Ltd.(b),(n) | ||||
Tranche B2 1st Lien Term Loan | ||||
1-month USD LIBOR + 2.250% 01/29/2027 | 7.452% | 441,392 | 438,413 | |
H-Food Holdings LLC/Hearthside Food Solutions LLC(b),(n) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.688% 05/23/2025 | 9.269% | 71,239 | 62,463 | |
Hostess Brands LLC(b),(n) | ||||
Tranche B 1st Lien Term Loan | ||||
3-month USD LIBOR + 2.250% Floor 0.750% 08/03/2025 | 7.523% | 759,849 | 758,823 | |
Hostess Brands LLC(b),(k),(n) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 2.500% 06/21/2030 | 2.500% | 736,526 | 734,074 | |
Naked Juice LLC(b),(n) | ||||
1st Lien Term Loan | ||||
3-month Term SOFR + 3.250% Floor 0.500% 01/24/2029 | 8.592% | 1,868,581 | 1,734,604 | |
2nd Lien Term Loan | ||||
1-month Term SOFR + 6.000% Floor 0.500% 01/24/2030 | 11.342% | 264,360 | 208,183 | |
Total | 4,093,749 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Gaming 0.1% | ||||
Fertitta Entertainment LLC(b),(n) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 4.000% Floor 0.500% 01/27/2029 | 9.102% | 656,610 | 647,174 | |
Light and Wonder International, Inc.(b),(n) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 3.000% Floor 0.500% 04/14/2029 | 8.248% | 454,927 | 453,717 | |
Total | 1,100,891 | |||
Health Care 0.1% | ||||
Avantor Funding, Inc.(b),(n) | ||||
Tranche B5 Term Loan | ||||
1-month Term SOFR + 2.250% Floor 0.500% 11/08/2027 | 7.452% | 727,148 | 726,341 | |
Bausch & Lomb Corp.(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 3.250% Floor 0.500% 05/10/2027 | 8.592% | 504,125 | 488,372 | |
Gainwell Acquisition Corp.(b),(n) | ||||
Tranche B 1st Lien Term Loan | ||||
3-month USD LIBOR + 4.000% Floor 0.750% 10/01/2027 | 9.342% | 837,121 | 823,518 | |
ICON PLC(b),(n) | ||||
Term Loan | ||||
3-month Term SOFR + 2.250% Floor 0.500% 07/03/2028 | 7.753% | 398,542 | 398,315 | |
3-month USD LIBOR + 2.250% 07/03/2028 | 7.753% | 99,297 | 99,240 | |
Medline Borrower LP(b),(n) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.250% Floor 0.500% 10/23/2028 | 8.352% | 987,500 | 975,462 | |
Total | 3,511,248 | |||
Leisure 0.1% | ||||
Crown Finance US, Inc.(b),(n),(p) | ||||
Debtor in Possession Term Loan | ||||
1-month Term SOFR + 10.000% Floor 1.000% 09/07/2023 | 15.194% | 1,001,650 | 1,010,625 |
22 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Formula One Management Ltd.(b),(n) | ||||
Tranche B 1st Lien Term Loan | ||||
1-month Term SOFR + 3.000% Floor 0.500% 01/15/2030 | 8.102% | 56,838 | 56,810 | |
William Morris Endeavor Entertainment LLC(b),(k),(n) | ||||
Tranche B1 1st Lien Term Loan | ||||
3-month USD LIBOR + 2.750% 05/18/2025 | 7.950% | 286,319 | 285,291 | |
Total | 1,352,726 | |||
Lodging 0.0% | ||||
Hilton Worldwide Finance LLC(b),(n) | ||||
Tranche B2 Term Loan | ||||
3-month Term SOFR + 1.750% 06/22/2026 | 6.939% | 124,535 | 124,346 | |
Media and Entertainment 0.0% | ||||
MH Sub I, LLC/Micro Holding Corp.(b),(n) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 4.250% Floor 0.500% 05/03/2028 | 9.352% | 311,585 | 298,499 | |
Other Financial Institutions 0.0% | ||||
Trans Union LLC(b),(n) | ||||
Tranche B6 Term Loan | ||||
1-month USD LIBOR + 2.250% Floor 0.500% 12/01/2028 | 7.467% | 934,973 | 931,953 | |
Other Industry 0.0% | ||||
Artera Services LLC(b),(n) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 3.250% Floor 1.000% 03/06/2025 | 8.592% | 447,925 | 385,440 | |
Packaging 0.1% | ||||
Berry Global, Inc.(b),(n) | ||||
Tranche Z Term Loan | ||||
1-month USD LIBOR + 1.750% 07/01/2026 | 6.972% | 2,456,030 | 2,452,272 | |
Pharmaceuticals 0.3% | ||||
Elanco Animal Health, Inc.(b),(n) | ||||
Term Loan | ||||
1-month USD LIBOR + 1.750% 08/01/2027 | 7.010% | 2,601,754 | 2,552,165 | |
Grifols Worldwide Operations Ltd.(b),(n) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 2.000% 11/15/2027 | 7.414% | 1,404,715 | 1,380,722 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Horizon Therapeutics USA, Inc.(b),(n) | ||||
Tranche B2 Term Loan | ||||
1-month USD LIBOR + 1.750% Floor 0.500% 03/15/2028 | 6.954% | 2,378,383 | 2,370,320 | |
Jazz Pharmaceuticals PLC(b),(n) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.500% Floor 0.500% 05/05/2028 | 8.864% | 1,555,648 | 1,553,144 | |
Organon & Co.(b),(n) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.000% Floor 0.500% 06/02/2028 | 8.250% | 1,812,080 | 1,809,253 | |
Total | 9,665,604 | |||
Property & Casualty 0.1% | ||||
Acrisure LLC(b),(n) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 3.500% 02/15/2027 | 8.693% | 1,304,771 | 1,264,232 | |
AmWINS Group, Inc.(b),(n) | ||||
Term Loan | ||||
1-month USD LIBOR + 2.250% Floor 0.750% 02/19/2028 | 7.443% | 1,759,161 | 1,741,359 | |
Asurion LLC(b),(n) | ||||
Tranche B7 Term Loan | ||||
3-month USD LIBOR + 3.000% 11/03/2024 | 8.538% | 334,246 | 333,704 | |
Total | 3,339,295 | |||
Railroads 0.0% | ||||
Genesee & Wyoming, Inc.(b),(k),(n) | ||||
Term Loan | ||||
3-month USD LIBOR + 2.000% 12/30/2026 | 7.342% | 97,175 | 97,024 | |
Restaurants 0.0% | ||||
1011778 BC ULC(b),(n) | ||||
Tranche B4 Term Loan | ||||
1-month USD LIBOR + 1.750% 11/19/2026 | 6.943% | 524,470 | 520,316 | |
KFC Holding Co./Yum! Brands(b),(n) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 1.750% 03/15/2028 | 6.896% | 400,168 | 396,366 | |
Total | 916,682 |
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2023 | 23 |
June 30, 2023 (Unaudited)
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Technology 0.2% | ||||
athenahealth Group, Inc.(b),(k),(n),(q) | ||||
Delayed Draw Term Loan | ||||
1-month Term SOFR + 3.500% Floor 0.500% 02/15/2029 | 3.500% | 122,494 | 117,748 | |
athenahealth Group, Inc.(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 3.500% Floor 0.500% 02/15/2029 | 8.589% | 994,611 | 956,070 | |
Central Parent, Inc.(b),(n) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 4.250% Floor 0.500% 07/06/2029 | 9.492% | 661,505 | 659,217 | |
Coherent Corp.(b),(n) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 2.750% Floor 0.500% 07/02/2029 | 7.967% | 156,011 | 155,426 | |
DTI Holdco, Inc.(b),(n) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 4.750% Floor 0.750% 04/26/2029 | 9.795% | 95,347 | 88,345 | |
Entegris, Inc.(b),(n) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 2.750% 07/06/2029 | 7.903% | 231,093 | 231,238 | |
Gen Digital, Inc.(b),(n) | ||||
Tranche A Term Loan | ||||
1-month Term SOFR + 1.750% 09/10/2027 | 6.952% | 691,035 | 675,059 | |
Open Text Corp.(b),(k),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 1.750% 05/30/2025 | 6.852% | 371,209 | 370,848 | |
Open Text Corp.(b),(n) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 3.500% Floor 0.500% 01/31/2030 | 8.702% | 195,364 | 196,178 | |
Oracle Corp.(b),(n) | ||||
Tranche 1 Term Loan | ||||
1-month Term SOFR + 1.600% 08/16/2027 | 6.777% | 1,890,039 | 1,871,139 | |
Peraton Corp.(b),(n) | ||||
Tranche B 1st Lien Term Loan | ||||
1-month USD LIBOR + 3.750% Floor 0.750% 02/01/2028 | 8.952% | 953,675 | 935,117 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Proofpoint, Inc.(b),(n) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 3.250% Floor 0.500% 08/31/2028 | 8.467% | 266,568 | 260,570 | |
RealPage, Inc.(b),(n) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 3.000% Floor 0.500% 04/24/2028 | 8.217% | 143,539 | 140,273 | |
Renaissance Holding Corp.(b),(n) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 4.750% 04/05/2030 | 9.992% | 400,992 | 395,478 | |
Total | 7,052,706 | |||
Wireless 0.1% | ||||
SBA Senior Finance II LLC(b),(n) | ||||
Term Loan | ||||
1-month USD LIBOR + 1.750% 04/11/2025 | 6.950% | 1,382,250 | 1,381,628 | |
Wirelines 0.1% | ||||
Frontier Communications Holdings LLC(b),(n) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 3.750% Floor 0.750% 05/01/2028 | 9.000% | 247,263 | 238,883 | |
Zayo Group Holdings, Inc.(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 4.250% Floor 0.500% 03/09/2027 | 9.352% | 372,878 | 294,242 | |
1-month USD LIBOR + 3.000% 03/09/2027 | 8.217% | 2,480,724 | 1,941,588 | |
Total | 2,474,713 | |||
Total Senior Loans (Cost $54,179,461) | 53,099,597 | |||
Treasury Bills 0.6% | ||||
Issuer | Yield | Principal Amount ($) | Value ($) | |
United States 0.6% | ||||
U.S. Treasury Bills(r) | ||||
12/21/2023 | 5.350% | 17,355,000 | 16,923,696 | |
Total Treasury Bills (Cost $16,914,954) | 16,923,696 | |||
24 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
U.S. Treasury Obligations 8.2% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
U.S. Treasury | ||||
05/31/2025 | 4.250% | 4,305,000 | 4,250,851 | |
06/30/2025 | 4.625% | 1,800,000 | 1,791,773 | |
05/31/2028 | 3.625% | 1,452,000 | 1,420,351 | |
06/30/2028 | 4.000% | 5,340,000 | 5,310,797 | |
05/15/2033 | 3.375% | 21,114,000 | 20,365,113 | |
11/15/2041 | 2.000% | 80,035,000 | 58,600,627 | |
02/15/2042 | 2.375% | 17,495,000 | 13,624,231 | |
05/15/2043 | 3.875% | 38,630,000 | 37,700,466 | |
05/15/2053 | 3.625% | 111,718,000 | 107,423,839 | |
Total U.S. Treasury Obligations (Cost $267,047,111) | 250,488,048 |
Money Market Funds 22.7% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(s),(t) | 690,382,779 | 690,106,626 |
Total Money Market Funds (Cost $690,138,018) | 690,106,626 | |
Total Investments in Securities (Cost: $3,850,140,631) | 3,671,443,896 | |
Other Assets & Liabilities, Net | (624,578,973) | |
Net Assets | 3,046,864,923 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 2-Year Note | 3,678 | 09/2023 | USD | 747,898,313 | — | (11,076,310) |
U.S. Treasury 5-Year Note | 2,929 | 09/2023 | USD | 313,677,594 | — | (5,969,678) |
U.S. Treasury Ultra 10-Year Note | 207 | 09/2023 | USD | 24,516,563 | — | (292,063) |
U.S. Treasury Ultra Bond | 374 | 09/2023 | USD | 50,945,813 | 571,792 | — |
U.S. Treasury Ultra Bond | 37 | 09/2023 | USD | 5,040,094 | — | (12,180) |
Total | 571,792 | (17,350,231) |
(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, 2023, the total value of these securities amounted to $694,243,381, which represents 22.79% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of June 30, 2023. |
(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, 2023. |
(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, 2023, 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, 2023. |
(i) | Represents a security in default. |
(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, 2023 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. |
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2023 | 25 |
June 30, 2023 (Unaudited)
(o) | Payment-in-kind security. Interest can be paid by issuing additional par of the security or in cash. |
(p) | The borrower filed for protection under Chapter 11 of the U.S. Federal Bankruptcy Code. |
(q) | At June 30, 2023, 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% | 122,494 |
(r) | Zero coupon bond. |
(s) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
(t) | 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, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | ||||||||
720,353,529 | 805,015,220 | (835,182,177) | (79,946) | 690,106,626 | (5,677) | 17,752,320 | 690,382,779 |
CMO | Collateralized Mortgage Obligation |
CMT | Constant Maturity Treasury |
CVR | Contingent Value Rights |
LIBOR | London Interbank Offered Rate |
MTA | Monthly Treasury Average |
SOFR | Secured Overnight Financing Rate |
TBA | To Be Announced |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
26 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Asset-Backed Securities — Non-Agency | — | 146,623,202 | — | 146,623,202 |
Commercial Mortgage-Backed Securities - Agency | — | 20,600,974 | — | 20,600,974 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 107,610,721 | — | 107,610,721 |
Common Stocks | ||||
Communication Services | — | — | 12 | 12 |
Financials | — | 2,595,078 | — | 2,595,078 |
Utilities | — | — | 1,763 | 1,763 |
Total Common Stocks | — | 2,595,078 | 1,775 | 2,596,853 |
Corporate Bonds & Notes | — | 878,237,856 | — | 878,237,856 |
Foreign Government Obligations | — | 28,259,590 | — | 28,259,590 |
Inflation-Indexed Bonds | — | 44,058,047 | — | 44,058,047 |
Municipal Bonds | — | 15,520,263 | — | 15,520,263 |
Residential Mortgage-Backed Securities - Agency | — | 1,144,210,966 | — | 1,144,210,966 |
Residential Mortgage-Backed Securities - Non-Agency | — | 273,107,457 | — | 273,107,457 |
Senior Loans | — | 52,744,225 | 355,372 | 53,099,597 |
Treasury Bills | — | 16,923,696 | — | 16,923,696 |
U.S. Treasury Obligations | — | 250,488,048 | — | 250,488,048 |
Money Market Funds | 690,106,626 | — | — | 690,106,626 |
Total Investments in Securities | 690,106,626 | 2,980,980,123 | 357,147 | 3,671,443,896 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 571,792 | — | — | 571,792 |
Liability | ||||
Futures Contracts | (17,350,231) | — | — | (17,350,231) |
Total | 673,328,187 | 2,980,980,123 | 357,147 | 3,654,665,457 |
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2023 | 27 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $3,160,002,613) | $2,981,337,270 |
Affiliated issuers (cost $690,138,018) | 690,106,626 |
Cash | 475,638 |
Cash collateral held at broker for: | |
TBA | 381,000 |
Margin deposits on: | |
Futures contracts | 14,007,000 |
Receivable for: | |
Investments sold | 35,683,240 |
Investments sold on a delayed delivery basis | 257,449,790 |
Capital shares sold | 4,418 |
Dividends | 3,240,259 |
Interest | 15,355,793 |
Foreign tax reclaims | 252,959 |
Variation margin for futures contracts | 575,203 |
Prepaid expenses | 15,299 |
Total assets | 3,998,884,495 |
Liabilities | |
Payable for: | |
Investments purchased | 9,079,643 |
Investments purchased on a delayed delivery basis | 942,370,460 |
Capital shares redeemed | 194,000 |
Variation margin for futures contracts | 114,937 |
Management services fees | 39,842 |
Distribution and/or service fees | 141 |
Service fees | 930 |
Compensation of board members | 180,430 |
Compensation of chief compliance officer | 289 |
Other expenses | 38,900 |
Total liabilities | 952,019,572 |
Net assets applicable to outstanding capital stock | $3,046,864,923 |
Represented by | |
Paid in capital | 3,465,608,719 |
Total distributable earnings (loss) | (418,743,796) |
Total - representing net assets applicable to outstanding capital stock | $3,046,864,923 |
Class 1 | |
Net assets | $3,026,138,429 |
Shares outstanding | 324,384,466 |
Net asset value per share | $9.33 |
Class 2 | |
Net assets | $20,726,494 |
Shares outstanding | 2,233,961 |
Net asset value per share | $9.28 |
28 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — affiliated issuers | $17,752,320 |
Interest | 51,868,603 |
Interfund lending | 647 |
Foreign taxes withheld | (5,865) |
Total income | 69,615,705 |
Expenses: | |
Management services fees | 7,504,536 |
Distribution and/or service fees | |
Class 2 | 24,853 |
Service fees | 6,609 |
Compensation of board members | 29,645 |
Custodian fees | 24,291 |
Printing and postage fees | 4,508 |
Accounting services fees | 20,370 |
Legal fees | 26,964 |
Interest on collateral | 22,294 |
Compensation of chief compliance officer | 315 |
Other | 25,655 |
Total expenses | 7,690,040 |
Net investment income | 61,925,665 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (45,538,627) |
Investments — affiliated issuers | (5,677) |
Futures contracts | 380,217 |
Net realized loss | (45,164,087) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 75,491,449 |
Investments — affiliated issuers | (79,946) |
Futures contracts | (16,254,696) |
Net change in unrealized appreciation (depreciation) | 59,156,807 |
Net realized and unrealized gain | 13,992,720 |
Net increase in net assets resulting from operations | $75,918,385 |
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2023 | 29 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment income | $61,925,665 | $74,743,309 |
Net realized loss | (45,164,087) | (300,642,795) |
Net change in unrealized appreciation (depreciation) | 59,156,807 | (291,049,803) |
Net increase (decrease) in net assets resulting from operations | 75,918,385 | (516,949,289) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | — | (37,000,722) |
Class 2 | — | (154,318) |
Total distributions to shareholders | — | (37,155,040) |
Increase (decrease) in net assets from capital stock activity | (221,625,485) | 43,090,237 |
Total decrease in net assets | (145,707,100) | (511,014,092) |
Net assets at beginning of period | 3,192,572,023 | 3,703,586,115 |
Net assets at end of period | $3,046,864,923 | $3,192,572,023 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Shares sold | 366,305 | 3,428,390 | 31,189,346 | 292,102,913 |
Distributions reinvested | — | — | 3,822,389 | 37,000,722 |
Shares redeemed | (24,268,915) | (227,296,170) | (29,862,998) | (287,551,959) |
Net increase (decrease) | (23,902,610) | (223,867,780) | 5,148,737 | 41,551,676 |
Class 2 | ||||
Shares sold | 329,232 | 3,071,843 | 490,698 | 4,627,675 |
Distributions reinvested | — | — | 15,991 | 154,318 |
Shares redeemed | (89,074) | (829,548) | (331,182) | (3,243,432) |
Net increase | 240,158 | 2,242,295 | 175,507 | 1,538,561 |
Total net increase (decrease) | (23,662,452) | (221,625,485) | 5,324,244 | 43,090,237 |
30 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2023 |
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 6/30/2023 (Unaudited) | $9.11 | 0.18 | 0.04 | 0.22 | — | — | — |
Year Ended 12/31/2022 | $10.74 | 0.22 | (1.74) | (1.52) | (0.11) | — | (0.11) |
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) |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $9.08 | 0.17 | 0.03 | 0.20 | — | — | — |
Year Ended 12/31/2022 | $10.69 | 0.20 | (1.72) | (1.52) | (0.09) | — | (0.09) |
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) |
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) | Ratios include interest on collateral expense which is less than 0.01%. |
32 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2023 |
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 6/30/2023 (Unaudited) | $9.33 | 2.41% | 0.49%(c) | 0.49%(c) | 3.94% | 191% | $3,026,138 |
Year Ended 12/31/2022 | $9.11 | (14.19%) | 0.49%(c) | 0.49%(c) | 2.32% | 399% | $3,174,476 |
Year Ended 12/31/2021 | $10.74 | (1.14%) | 0.48%(c) | 0.48%(c) | 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 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $9.28 | 2.20% | 0.74%(c) | 0.74%(c) | 3.71% | 191% | $20,726 |
Year Ended 12/31/2022 | $9.08 | (14.31%) | 0.74%(c) | 0.74%(c) | 2.11% | 399% | $18,096 |
Year Ended 12/31/2021 | $10.69 | (1.41%) | 0.73%(c) | 0.73%(c) | 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% | $7,961 |
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2023 | 33 |
June 30, 2023 (Unaudited)
34 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2023 | 35 |
June 30, 2023 (Unaudited)
36 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 571,792* |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 17,350,231* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin for futures and centrally cleared swaps, if any, is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | |||||
Interest rate risk | 380,217 | |||||
Total | 380,217 | |||||
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | |||||
Interest rate risk | (16,254,696) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 1,080,301,190 |
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2023 | 37 |
June 30, 2023 (Unaudited)
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2023. |
38 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2023 | 39 |
June 30, 2023 (Unaudited)
40 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2023 | 41 |
June 30, 2023 (Unaudited)
Fee rate(s) contractual through April 30, 2024 | |
Class 1 | 0.54% |
Class 2 | 0.79 |
42 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
3,850,141,000 | 9,359,000 | (204,835,000) | (195,476,000) |
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
(246,470,298) | (62,931,228) | (309,401,526) |
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 1,400,000 | 5.44 | 3 |
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2023 | 43 |
June 30, 2023 (Unaudited)
44 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2023 | 45 |
June 30, 2023 (Unaudited)
46 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2023 |
• | 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 2023 | 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 one or more 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 2023 |
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2023 | 49 |
50 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2023 |
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2023 | 51 |
June 30, 2023 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | 4.43 | 12.84 | 9.14 | 9.51 | |
Class 2 | 05/03/10 | 4.32 | 12.54 | 8.88 | 9.25 | |
Class 3 | 05/02/05 | 4.38 | 12.70 | 9.01 | 9.38 | |
Russell Midcap Value Index | 5.23 | 10.50 | 6.84 | 9.03 |
Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2023) | |
Common Stocks | 98.0 |
Money Market Funds | 2.0 |
Total | 100.0 |
Equity sector breakdown (%) (at June 30, 2023) | |
Communication Services | 6.8 |
Consumer Discretionary | 9.6 |
Consumer Staples | 4.5 |
Energy | 4.2 |
Financials | 15.3 |
Health Care | 7.4 |
Industrials | 17.4 |
Information Technology | 9.9 |
Materials | 8.1 |
Real Estate | 9.0 |
Utilities | 7.8 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,044.30 | 1,020.79 | 4.23 | 4.18 | 0.83 |
Class 2 | 1,000.00 | 1,000.00 | 1,043.20 | 1,019.55 | 5.50 | 5.44 | 1.08 |
Class 3 | 1,000.00 | 1,000.00 | 1,043.80 | 1,020.19 | 4.84 | 4.78 | 0.95 |
Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (Unaudited)
Common Stocks 98.0% | ||
Issuer | Shares | Value ($) |
Communication Services 6.7% | ||
Entertainment 4.8% | ||
Live Nation Entertainment, Inc.(a) | 59,537 | 5,424,416 |
Take-Two Interactive Software, Inc.(a) | 55,824 | 8,215,060 |
Total | 13,639,476 | |
Media 1.9% | ||
Nexstar Media Group, Inc., Class A | 31,516 | 5,248,990 |
Total Communication Services | 18,888,466 | |
Consumer Discretionary 9.5% | ||
Hotels, Restaurants & Leisure 2.2% | ||
Hyatt Hotels Corp., Class A | 55,259 | 6,331,576 |
Household Durables 2.2% | ||
D.R. Horton, Inc. | 50,297 | 6,120,642 |
Specialty Retail 3.9% | ||
Burlington Stores, Inc.(a) | 31,031 | 4,883,969 |
O’Reilly Automotive, Inc.(a) | 6,308 | 6,026,033 |
Total | 10,910,002 | |
Textiles, Apparel & Luxury Goods 1.2% | ||
Capri Holdings Ltd.(a) | 91,273 | 3,275,788 |
Total Consumer Discretionary | 26,638,008 | |
Consumer Staples 4.4% | ||
Consumer Staples Distribution & Retail 3.1% | ||
Dollar Tree, Inc.(a) | 29,543 | 4,239,421 |
U.S. Foods Holding Corp.(a) | 103,962 | 4,574,328 |
Total | 8,813,749 | |
Food Products 1.3% | ||
Tyson Foods, Inc., Class A | 68,655 | 3,504,151 |
Total Consumer Staples | 12,317,900 | |
Energy 4.1% | ||
Oil, Gas & Consumable Fuels 4.1% | ||
Devon Energy Corp. | 110,894 | 5,360,616 |
Marathon Petroleum Corp. | 53,744 | 6,266,550 |
Total | 11,627,166 | |
Total Energy | 11,627,166 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Financials 15.0% | ||
Banks 3.9% | ||
Popular, Inc. | 90,189 | 5,458,238 |
Regions Financial Corp. | 314,008 | 5,595,623 |
Total | 11,053,861 | |
Capital Markets 2.3% | ||
Carlyle Group, Inc. (The) | 205,000 | 6,549,750 |
Consumer Finance 2.6% | ||
Discover Financial Services | 62,956 | 7,356,409 |
Financial Services 2.4% | ||
Voya Financial, Inc. | 94,425 | 6,771,217 |
Insurance 3.8% | ||
Hanover Insurance Group, Inc. (The) | 45,709 | 5,166,488 |
Reinsurance Group of America, Inc. | 39,245 | 5,442,889 |
Total | 10,609,377 | |
Total Financials | 42,340,614 | |
Health Care 7.3% | ||
Health Care Equipment & Supplies 2.4% | ||
Zimmer Biomet Holdings, Inc. | 46,878 | 6,825,437 |
Health Care Providers & Services 3.6% | ||
Centene Corp.(a) | 72,737 | 4,906,111 |
Quest Diagnostics, Inc. | 36,369 | 5,112,026 |
Total | 10,018,137 | |
Life Sciences Tools & Services 1.3% | ||
Agilent Technologies, Inc. | 30,545 | 3,673,036 |
Total Health Care | 20,516,610 | |
Industrials 17.0% | ||
Building Products 3.2% | ||
Trane Technologies PLC | 47,724 | 9,127,692 |
Electrical Equipment 3.7% | ||
AMETEK, Inc. | 63,835 | 10,333,610 |
Machinery 5.6% | ||
Ingersoll Rand, Inc. | 120,605 | 7,882,743 |
ITT, Inc. | 84,882 | 7,911,851 |
Total | 15,794,594 |
6 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Passenger Airlines 2.1% | ||
Southwest Airlines Co. | 163,518 | 5,920,987 |
Professional Services 2.4% | ||
CACI International, Inc., Class A(a) | 19,755 | 6,733,294 |
Total Industrials | 47,910,177 | |
Information Technology 9.7% | ||
Communications Equipment 2.1% | ||
Motorola Solutions, Inc. | 20,233 | 5,933,934 |
Electronic Equipment, Instruments & Components 2.4% | ||
Corning, Inc. | 188,498 | 6,604,970 |
Semiconductors & Semiconductor Equipment 5.2% | ||
Marvell Technology, Inc. | 67,932 | 4,060,975 |
ON Semiconductor Corp.(a) | 54,025 | 5,109,684 |
Teradyne, Inc. | 49,381 | 5,497,587 |
Total | 14,668,246 | |
Total Information Technology | 27,207,150 | |
Materials 7.9% | ||
Chemicals 4.0% | ||
Chemours Co. LLC (The) | 169,276 | 6,244,592 |
FMC Corp. | 48,374 | 5,047,343 |
Total | 11,291,935 | |
Metals & Mining 3.9% | ||
ATI, Inc.(a) | 138,905 | 6,143,768 |
Freeport-McMoRan, Inc. | 121,853 | 4,874,120 |
Total | 11,017,888 | |
Total Materials | 22,309,823 | |
Real Estate 8.8% | ||
Health Care REITs 2.6% | ||
Welltower, Inc. | 89,785 | 7,262,708 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Industrial REITs 2.2% | ||
First Industrial Realty Trust, Inc. | 119,437 | 6,287,164 |
Specialized REITs 4.0% | ||
Gaming and Leisure Properties, Inc. | 109,917 | 5,326,578 |
Lamar Advertising Co., Class A | 60,185 | 5,973,361 |
Total | 11,299,939 | |
Total Real Estate | 24,849,811 | |
Utilities 7.6% | ||
Electric Utilities 3.6% | ||
Entergy Corp. | 61,185 | 5,957,584 |
PG&E Corp.(a) | 250,000 | 4,320,000 |
Total | 10,277,584 | |
Independent Power and Renewable Electricity Producers 1.4% | ||
AES Corp. (The) | 191,200 | 3,963,576 |
Multi-Utilities 2.6% | ||
Ameren Corp. | 89,029 | 7,270,998 |
Total Utilities | 21,512,158 | |
Total Common Stocks (Cost $212,364,339) | 276,117,883 | |
Money Market Funds 2.0% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(b),(c) | 5,551,309 | 5,549,088 |
Total Money Market Funds (Cost $5,548,733) | 5,549,088 | |
Total Investments in Securities (Cost: $217,913,072) | 281,666,971 | |
Other Assets & Liabilities, Net | 114,778 | |
Net Assets | 281,781,749 |
Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2023 | 7 |
June 30, 2023 (Unaudited)
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | ||||||||
4,006,708 | 18,028,639 | (16,486,199) | (60) | 5,549,088 | (317) | 96,207 | 5,551,309 |
■ | 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 | 18,888,466 | — | — | 18,888,466 |
Consumer Discretionary | 26,638,008 | — | — | 26,638,008 |
Consumer Staples | 12,317,900 | — | — | 12,317,900 |
Energy | 11,627,166 | — | — | 11,627,166 |
Financials | 42,340,614 | — | — | 42,340,614 |
Health Care | 20,516,610 | — | — | 20,516,610 |
Industrials | 47,910,177 | — | — | 47,910,177 |
8 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Information Technology | 27,207,150 | — | — | 27,207,150 |
Materials | 22,309,823 | — | — | 22,309,823 |
Real Estate | 24,849,811 | — | — | 24,849,811 |
Utilities | 21,512,158 | — | — | 21,512,158 |
Total Common Stocks | 276,117,883 | — | — | 276,117,883 |
Money Market Funds | 5,549,088 | — | — | 5,549,088 |
Total Investments in Securities | 281,666,971 | — | — | 281,666,971 |
Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2023 | 9 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $212,364,339) | $276,117,883 |
Affiliated issuers (cost $5,548,733) | 5,549,088 |
Receivable for: | |
Capital shares sold | 30,120 |
Dividends | 284,671 |
Expense reimbursement due from Investment Manager | 525 |
Prepaid expenses | 4,638 |
Total assets | 281,986,925 |
Liabilities | |
Payable for: | |
Capital shares redeemed | 95,286 |
Management services fees | 6,279 |
Distribution and/or service fees | 557 |
Service fees | 9,070 |
Compensation of board members | 76,485 |
Compensation of chief compliance officer | 26 |
Accounting services fees | 15,045 |
Other expenses | 2,428 |
Total liabilities | 205,176 |
Net assets applicable to outstanding capital stock | $281,781,749 |
Represented by | |
Trust capital | $281,781,749 |
Total - representing net assets applicable to outstanding capital stock | $281,781,749 |
Class 1 | |
Net assets | $167,917,808 |
Shares outstanding | 4,813,714 |
Net asset value per share | $34.88 |
Class 2 | |
Net assets | $50,001,772 |
Shares outstanding | 1,477,531 |
Net asset value per share | $33.84 |
Class 3 | |
Net assets | $63,862,169 |
Shares outstanding | 1,859,074 |
Net asset value per share | $34.35 |
10 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $2,603,105 |
Dividends — affiliated issuers | 96,207 |
Foreign taxes withheld | (9,921) |
Total income | 2,689,391 |
Expenses: | |
Management services fees | 1,138,587 |
Distribution and/or service fees | |
Class 2 | 61,395 |
Class 3 | 40,364 |
Service fees | 46,049 |
Compensation of board members | 8,817 |
Custodian fees | 3,650 |
Printing and postage fees | 6,941 |
Accounting services fees | 15,045 |
Legal fees | 7,790 |
Compensation of chief compliance officer | 28 |
Other | 4,911 |
Total expenses | 1,333,577 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (83,904) |
Total net expenses | 1,249,673 |
Net investment income | 1,439,718 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (2,079,559) |
Investments — affiliated issuers | (317) |
Net realized loss | (2,079,876) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 12,956,574 |
Investments — affiliated issuers | (60) |
Net change in unrealized appreciation (depreciation) | 12,956,514 |
Net realized and unrealized gain | 10,876,638 |
Net increase in net assets resulting from operations | $12,316,356 |
Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2023 | 11 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment income | $1,439,718 | $2,477,791 |
Net realized gain (loss) | (2,079,876) | 26,536,016 |
Net change in unrealized appreciation (depreciation) | 12,956,514 | (61,234,662) |
Net increase (decrease) in net assets resulting from operations | 12,316,356 | (32,220,855) |
Decrease in net assets from capital stock activity | (10,739,001) | (33,053,649) |
Total increase (decrease) in net assets | 1,577,355 | (65,274,504) |
Net assets at beginning of period | 280,204,394 | 345,478,898 |
Net assets at end of period | $281,781,749 | $280,204,394 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Shares sold | 33,674 | 1,129,921 | 101,870 | 3,446,177 |
Shares redeemed | (204,645) | (7,249,432) | (1,152,445) | (39,237,356) |
Net decrease | (170,971) | (6,119,511) | (1,050,575) | (35,791,179) |
Class 2 | ||||
Shares sold | 65,695 | 2,161,026 | 292,808 | 9,704,722 |
Shares redeemed | (84,992) | (2,777,742) | (174,208) | (5,742,927) |
Net increase (decrease) | (19,297) | (616,716) | 118,600 | 3,961,795 |
Class 3 | ||||
Shares sold | 16,999 | 576,054 | 119,998 | 4,008,253 |
Shares redeemed | (137,612) | (4,578,828) | (157,218) | (5,232,518) |
Net decrease | (120,613) | (4,002,774) | (37,220) | (1,224,265) |
Total net decrease | (310,881) | (10,739,001) | (969,195) | (33,053,649) |
12 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2023 |
Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2023 | 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 6/30/2023 (Unaudited) | $33.40 | 0.19 | 1.29 | 1.48 |
Year Ended 12/31/2022 | $36.88 | 0.30 | (3.78) | (3.48) |
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) |
Class 2 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $32.44 | 0.14 | 1.26 | 1.40 |
Year Ended 12/31/2022 | $35.91 | 0.22 | (3.69) | (3.47) |
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) |
Class 3 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $32.91 | 0.16 | 1.28 | 1.44 |
Year Ended 12/31/2022 | $36.39 | 0.26 | (3.74) | (3.48) |
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) |
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. |
14 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2023 |
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 6/30/2023 (Unaudited) | $34.88 | 4.43% | 0.89% | 0.83% | 1.11% | 8% | $167,918 |
Year Ended 12/31/2022 | $33.40 | (9.44%) | 0.88% | 0.83% | 0.89% | 24% | $166,488 |
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 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $33.84 | 4.32% | 1.14% | 1.08% | 0.87% | 8% | $50,002 |
Year Ended 12/31/2022 | $32.44 | (9.66%) | 1.13% | 1.08% | 0.66% | 24% | $48,561 |
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 |
Class 3 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $34.35 | 4.38% | 1.01% | 0.95% | 0.98% | 8% | $63,862 |
Year Ended 12/31/2022 | $32.91 | (9.56%) | 1.01% | 0.95% | 0.78% | 24% | $65,155 |
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 |
Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2023 | 15 |
June 30, 2023 (Unaudited)
16 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2023 | 17 |
June 30, 2023 (Unaudited)
18 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
May 1, 2023 through April 30, 2024 | Prior to May 1, 2023 | |
Class 1 | 0.82% | 0.83% |
Class 2 | 1.07 | 1.08 |
Class 3 | 0.945 | 0.955 |
Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2023 | 19 |
June 30, 2023 (Unaudited)
20 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2023 | 21 |
June 30, 2023 (Unaudited)
22 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2023 |
• | 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 2023 | 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 one or more 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 2023 |
(Unaudited)
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2023 | 25 |
(Unaudited)
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 2023 |
June 30, 2023 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/01/96 | 31.27 | 27.02 | 19.73 | 21.09 | |
Class 2 | 05/01/00 | 31.05 | 26.74 | 19.43 | 20.78 | |
MSCI World Information Technology Index (Net) | 38.87 | 36.77 | 18.70 | 19.35 |
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Equity sector breakdown (%) (at June 30, 2023) | |
Communication Services | 8.6 |
Consumer Discretionary | 1.9 |
Financials | 4.2 |
Health Care | 0.0(a) |
Industrials | 2.5 |
Information Technology | 82.8 |
Total | 100.0 |
(a) | Rounds to zero. |
Equity sub-industry breakdown (%) (at June 30, 2023) | |
Information Technology | |
Application Software | 9.0 |
Communications Equipment | 3.3 |
Electronic Equipment & Instruments | 1.7 |
Internet Services & Infrastructure | 2.5 |
IT Consulting & Other Services | 0.6 |
Semiconductor Materials & Equipment | 14.6 |
Semiconductors | 25.3 |
Systems Software | 15.4 |
Technology Hardware, Storage & Peripherals | 10.4 |
Total | 82.8 |
Country breakdown (%) (at June 30, 2023) | |
Germany | 0.7 |
Israel | 1.1 |
Japan | 3.9 |
Netherlands | 1.6 |
United States(a) | 92.7 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds. |
4 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | |||||||
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 | 1,312.70 | 1,020.09 | 5.59 | 4.89 | 0.97 |
Class 2 | 1,000.00 | 1,000.00 | 1,310.50 | 1,018.85 | 7.03 | 6.14 | 1.22 |
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (Unaudited)
Common Stocks 96.8% | ||
Issuer | Shares | Value ($) |
Germany 0.7% | ||
TeamViewer SE(a) | 62,615 | 1,006,435 |
Israel 1.1% | ||
Check Point Software Technologies Ltd.(a) | 4,388 | 551,220 |
CyberArk Software Ltd.(a) | 3,729 | 582,954 |
Tower Semiconductor Ltd.(a) | 8,630 | 323,798 |
Total | 1,457,972 | |
Japan 3.9% | ||
Renesas Electronics Corp.(a) | 264,400 | 4,989,840 |
Sumco Corp. | 32,700 | 463,921 |
Total | 5,453,761 | |
Netherlands 1.6% | ||
NXP Semiconductors NV | 11,118 | 2,275,632 |
United States 89.5% | ||
Activision Blizzard, Inc.(a) | 24,277 | 2,046,551 |
Adeia, Inc. | 95,019 | 1,046,159 |
Advanced Energy Industries, Inc. | 20,667 | 2,303,337 |
Alphabet, Inc., Class A(a) | 41,398 | 4,955,341 |
Alphabet, Inc., Class C(a) | 16,927 | 2,047,659 |
Analog Devices, Inc. | 19,424 | 3,783,989 |
Apple, Inc.(b) | 40,411 | 7,838,522 |
Applied Materials, Inc. | 33,720 | 4,873,889 |
Arista Networks, Inc.(a) | 10,478 | 1,698,065 |
Bloom Energy Corp., Class A(a) | 191,417 | 3,129,668 |
Broadcom, Inc. | 8,045 | 6,978,474 |
Cerence, Inc.(a) | 22,427 | 655,541 |
Comcast Corp., Class A(b) | 16,288 | 676,766 |
Dell Technologies, Inc. | 39,321 | 2,127,659 |
Dropbox, Inc., Class A(a) | 147,870 | 3,943,693 |
DXC Technology Co.(a) | 24,164 | 645,662 |
eBay, Inc. | 56,802 | 2,538,481 |
Eiger BioPharmaceuticals, Inc.(a) | 70,340 | 49,519 |
F5, Inc.(a) | 10,958 | 1,602,717 |
Fidelity National Information Services, Inc. | 14,731 | 805,786 |
Fiserv, Inc.(a) | 10,452 | 1,318,520 |
Fortinet, Inc.(a) | 34,054 | 2,574,142 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Gen Digital, Inc. | 104,787 | 1,943,799 |
GoDaddy, Inc., Class A(a) | 45,122 | 3,390,016 |
HireRight Holdings Corp.(a) | 24,378 | 275,715 |
Kulicke & Soffa Industries, Inc. | 6,000 | 356,700 |
Lam Research Corp. | 14,486 | 9,312,470 |
Lumentum Holdings, Inc.(a) | 19,542 | 1,108,618 |
Marvell Technology, Inc. | 58,606 | 3,503,467 |
Match Group, Inc.(a) | 14,593 | 610,717 |
Microchip Technology, Inc. | 28,291 | 2,534,591 |
Microsoft Corp. | 16,766 | 5,709,494 |
NetApp, Inc. | 34,425 | 2,630,070 |
NVIDIA Corp. | 3,000 | 1,269,060 |
ON Semiconductor Corp.(a) | 11,025 | 1,042,744 |
Oracle Corp. | 25,433 | 3,028,816 |
Palo Alto Networks, Inc.(a) | 13,220 | 3,377,842 |
Pinterest, Inc., Class A(a) | 13,800 | 377,292 |
Qorvo, Inc.(a) | 15,921 | 1,624,420 |
Rambus, Inc.(a) | 14,799 | 949,652 |
RingCentral, Inc., Class A(a) | 3,728 | 122,017 |
Salesforce, Inc.(a) | 3,931 | 830,463 |
Semtech Corp.(a) | 9,600 | 244,416 |
Skyworks Solutions, Inc. | 2,064 | 228,464 |
SMART Global Holdings, Inc.(a) | 46,225 | 1,340,987 |
Splunk, Inc.(a) | 10,646 | 1,129,434 |
Synaptics, Inc.(a) | 32,036 | 2,735,234 |
Synopsys, Inc.(a) | 10,195 | 4,439,005 |
Tenable Holdings, Inc.(a) | 14,115 | 614,708 |
Teradyne, Inc. | 41,123 | 4,578,224 |
Thoughtworks Holding, Inc.(a) | 25,123 | 189,679 |
T-Mobile US, Inc.(a) | 5,591 | 776,590 |
Transphorm, Inc.(a) | 29,417 | 100,018 |
Visa, Inc., Class A | 14,635 | 3,475,520 |
VMware, Inc., Class A(a) | 8,125 | 1,167,481 |
Western Digital Corp.(a) | 36,386 | 1,380,121 |
Total | 124,037,984 | |
Total Common Stocks (Cost $93,730,081) | 134,231,784 | |
6 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Money Market Funds 3.4% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(c),(d) | 4,669,793 | 4,667,925 |
Total Money Market Funds (Cost $4,667,513) | 4,667,925 | |
Total Investments in Securities (Cost $98,397,594) | 138,899,709 | |
Other Assets & Liabilities, Net | (270,878) | |
Net Assets | $138,628,831 |
Call option contracts written | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Premium received ($) | Value ($) |
Apple, Inc. | Morgan Stanley | USD | (1,706,936) | (88) | 180.00 | 9/15/2023 | (48,656) | (159,500) |
Comcast Corp | Morgan Stanley | USD | (527,685) | (127) | 45.00 | 1/19/2024 | (12,275) | (18,161) |
Total | (60,931) | (177,661) |
(a) | Non-income producing investment. |
(b) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(c) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
(d) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | ||||||||
1,590,299 | 17,988,987 | (14,911,675) | 314 | 4,667,925 | (165) | 63,733 | 4,669,793 |
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 – Seligman Global Technology Fund | Semiannual Report 2023 | 7 |
June 30, 2023 (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 | ||||
Germany | — | 1,006,435 | — | 1,006,435 |
Israel | 1,457,972 | — | — | 1,457,972 |
Japan | — | 5,453,761 | — | 5,453,761 |
Netherlands | 2,275,632 | — | — | 2,275,632 |
United States | 124,037,984 | — | — | 124,037,984 |
Total Common Stocks | 127,771,588 | 6,460,196 | — | 134,231,784 |
Money Market Funds | 4,667,925 | — | — | 4,667,925 |
Total Investments in Securities | 132,439,513 | 6,460,196 | — | 138,899,709 |
Investments in Derivatives | ||||
Liability | ||||
Call Option Contracts Written | (177,661) | — | — | (177,661) |
Total | 132,261,852 | 6,460,196 | — | 138,722,048 |
8 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $93,730,081) | $134,231,784 |
Affiliated issuers (cost $4,667,513) | 4,667,925 |
Cash | 5 |
Receivable for: | |
Investments sold | 44,091 |
Capital shares sold | 44,057 |
Dividends | 62,284 |
Foreign tax reclaims | 2,486 |
Expense reimbursement due from Investment Manager | 777 |
Prepaid expenses | 3,934 |
Total assets | 139,057,343 |
Liabilities | |
Option contracts written, at value (premiums received $60,931) | 177,661 |
Payable for: | |
Investments purchased | 52,314 |
Capital shares redeemed | 80,500 |
Management services fees | 3,436 |
Distribution and/or service fees | 580 |
Service fees | 50,052 |
Compensation of board members | 48,326 |
Compensation of chief compliance officer | 11 |
Other expenses | 15,632 |
Total liabilities | 428,512 |
Net assets applicable to outstanding capital stock | $138,628,831 |
Represented by | |
Paid in capital | 87,042,134 |
Total distributable earnings (loss) | 51,586,697 |
Total - representing net assets applicable to outstanding capital stock | $138,628,831 |
Class 1 | |
Net assets | $52,985,497 |
Shares outstanding | 1,953,948 |
Net asset value per share | $27.12 |
Class 2 | |
Net assets | $85,643,334 |
Shares outstanding | 3,724,073 |
Net asset value per share | $23.00 |
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2023 | 9 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $499,478 |
Dividends — affiliated issuers | 63,733 |
Foreign taxes withheld | (6,951) |
Total income | 556,260 |
Expenses: | |
Management services fees | 550,023 |
Distribution and/or service fees | |
Class 2 | 92,707 |
Service fees | 104,369 |
Compensation of board members | 7,506 |
Custodian fees | 7,034 |
Printing and postage fees | 4,035 |
Accounting services fees | 16,309 |
Legal fees | 6,689 |
Compensation of chief compliance officer | 12 |
Other | 5,205 |
Total expenses | 793,889 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (116,373) |
Total net expenses | 677,516 |
Net investment loss | (121,256) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 5,177,939 |
Investments — affiliated issuers | (165) |
Foreign currency translations | (3,938) |
Option contracts written | 695 |
Net realized gain | 5,174,531 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 27,526,422 |
Investments — affiliated issuers | 314 |
Foreign currency translations | (99) |
Option contracts written | (130,406) |
Net change in unrealized appreciation (depreciation) | 27,396,231 |
Net realized and unrealized gain | 32,570,762 |
Net increase in net assets resulting from operations | $32,449,506 |
10 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment loss | $(121,256) | $(383,216) |
Net realized gain | 5,174,531 | 6,654,335 |
Net change in unrealized appreciation (depreciation) | 27,396,231 | (58,071,633) |
Net increase (decrease) in net assets resulting from operations | 32,449,506 | (51,800,514) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | — | (11,069,734) |
Class 2 | — | (18,760,666) |
Total distributions to shareholders | — | (29,830,400) |
Increase (decrease) in net assets from capital stock activity | (702,361) | 14,755,455 |
Total increase (decrease) in net assets | 31,747,145 | (66,875,459) |
Net assets at beginning of period | 106,881,686 | 173,757,145 |
Net assets at end of period | $138,628,831 | $106,881,686 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Shares sold | 62,156 | 1,483,106 | 61,279 | 1,346,007 |
Distributions reinvested | — | — | 466,094 | 11,069,734 |
Shares redeemed | (75,643) | (1,734,276) | (233,114) | (6,564,096) |
Net increase (decrease) | (13,487) | (251,170) | 294,259 | 5,851,645 |
Class 2 | ||||
Shares sold | 707,262 | 14,651,181 | 651,021 | 13,854,015 |
Distributions reinvested | — | — | 929,206 | 18,760,666 |
Shares redeemed | (757,366) | (15,102,372) | (914,227) | (23,710,871) |
Net increase (decrease) | (50,104) | (451,191) | 666,000 | 8,903,810 |
Total net increase (decrease) | (63,591) | (702,361) | 960,259 | 14,755,455 |
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2023 | 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 6/30/2023 (Unaudited) | $20.66 | (0.01) | 6.47 | 6.46 | — | — | — |
Year Ended 12/31/2022 | $39.33 | (0.04) | (11.51) | (11.55) | — | (7.12) | (7.12) |
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) |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $17.55 | (0.03) | 5.48 | 5.45 | — | — | — |
Year Ended 12/31/2022 | $34.73 | (0.10) | (10.04) | (10.14) | — | (7.04) | (7.04) |
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) |
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) | Ratios include interfund lending expense which is less than 0.01%. |
(d) | Ratios include line of credit interest expense which is less than 0.01%. |
12 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2023 |
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 6/30/2023 (Unaudited) | $27.12 | 31.27% | 1.17% | 0.97% | (0.05%) | 12% | $52,985 |
Year Ended 12/31/2022 | $20.66 | (31.72%) | 1.17%(c) | 0.98%(c) | (0.16%) | 15% | $40,656 |
Year Ended 12/31/2021 | $39.33 | 39.03% | 1.17%(c) | 0.99%(c) | (0.04%) | 35% | $65,802 |
Year Ended 12/31/2020 | $31.55 | 46.18% | 1.19%(c),(d) | 0.98%(c),(d) | 0.62% | 46% | $58,611 |
Year Ended 12/31/2019 | $23.36 | 55.31% | 1.18%(c) | 0.97%(c) | 0.09% | 56% | $44,565 |
Year Ended 12/31/2018 | $17.78 | (8.15%) | 1.09%(c),(d) | 1.03%(c),(d) | 0.05% | 44% | $32,129 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $23.00 | 31.05% | 1.42% | 1.22% | (0.30%) | 12% | $85,643 |
Year Ended 12/31/2022 | $17.55 | (31.86%) | 1.42%(c) | 1.23%(c) | (0.41%) | 15% | $66,225 |
Year Ended 12/31/2021 | $34.73 | 38.68% | 1.42%(c) | 1.24%(c) | (0.28%) | 35% | $107,955 |
Year Ended 12/31/2020 | $28.26 | 45.80% | 1.44%(c),(d) | 1.23%(c),(d) | 0.37% | 46% | $77,167 |
Year Ended 12/31/2019 | $21.12 | 54.97% | 1.43%(c) | 1.21%(c) | (0.15%) | 56% | $57,023 |
Year Ended 12/31/2018 | $16.33 | (8.45%) | 1.33%(c),(d) | 1.28%(c),(d) | (0.22%) | 44% | $33,975 |
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2023 | 13 |
June 30, 2023 (Unaudited)
14 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2023 | 15 |
June 30, 2023 (Unaudited)
16 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Option contracts written, at value | 177,661 |
Amount of realized gain (loss) on derivatives recognized in income | |
Risk exposure category | Option contracts written ($) |
Equity risk | 695 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |
Risk exposure category | Option contracts written ($) |
Equity risk | (130,406) |
Derivative instrument | Average value ($)* |
Option contracts written | (124,770) |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2023. |
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2023 | 17 |
June 30, 2023 (Unaudited)
Morgan Stanley ($) | |
Liabilities | |
Call option contracts written | 177,661 |
Total financial and derivative net assets | (177,661) |
Total collateral received (pledged) (a) | (177,661) |
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. |
18 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2023 | 19 |
June 30, 2023 (Unaudited)
May 1, 2023 through April 30, 2024 | Prior to May 1, 2023 | |
Class 1 | 0.96% | 0.98% |
Class 2 | 1.21 | 1.23 |
20 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
98,337,000 | 46,397,000 | (6,012,000) | 40,385,000 |
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2023 | 21 |
June 30, 2023 (Unaudited)
22 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2023 | 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 2023 |
(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 one or more 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 2023 | 25 |
(Unaudited)
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
26 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2023 |
(Unaudited)
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 2023 | 27 |
June 30, 2023 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/07/10 | 2.29 | 2.87 | 1.90 | 1.62 | |
Class 2 | 05/07/10 | 2.30 | 2.72 | 1.66 | 1.37 | |
Bloomberg U.S. 1-5 Year Corporate Index | 1.75 | 1.72 | 1.81 | 1.92 |
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2023) | |
Corporate Bonds & Notes | 92.9 |
Money Market Funds | 5.6 |
U.S. Treasury Obligations | 1.5 |
Total | 100.0 |
Quality breakdown (%) (at June 30, 2023) | |
AAA rating | 2.1 |
AA rating | 0.9 |
A rating | 29.2 |
BBB rating | 64.4 |
BB rating | 3.4 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,022.90 | 1,022.74 | 2.22 | 2.22 | 0.44 |
Class 2 | 1,000.00 | 1,000.00 | 1,023.00 | 1,021.49 | 3.48 | 3.48 | 0.69 |
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes 89.3% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Aerospace & Defense 4.1% | ||||
Boeing Co. (The) | ||||
02/01/2026 | 2.750% | 21,500,000 | 20,028,236 | |
02/04/2026 | 2.196% | 5,991,000 | 5,501,495 | |
Howmet Aerospace, Inc. | ||||
01/15/2029 | 3.000% | 9,025,000 | 7,905,766 | |
Total | 33,435,497 | |||
Automotive 0.7% | ||||
General Motors Financial Co., Inc. | ||||
04/10/2028 | 2.400% | 6,237,000 | 5,378,440 | |
Banking 15.6% | ||||
Bank of America Corp.(a) | ||||
12/20/2028 | 3.419% | 40,552,000 | 37,281,719 | |
HSBC Holdings PLC(a) | ||||
03/09/2029 | 6.161% | 17,410,000 | 17,572,649 | |
JPMorgan Chase & Co.(a) | ||||
06/14/2030 | 4.565% | 24,105,000 | 23,174,632 | |
10/15/2030 | 2.739% | 13,477,000 | 11,615,032 | |
Morgan Stanley(a) | ||||
05/04/2027 | 1.593% | 3,793,000 | 3,395,560 | |
01/21/2028 | 2.475% | 10,880,000 | 9,824,158 | |
PNC Financial Services Group, Inc. (The)(a) | ||||
06/12/2029 | 5.582% | 9,151,000 | 9,110,080 | |
US Bancorp(a) | ||||
06/12/2029 | 5.775% | 7,782,000 | 7,778,924 | |
Wells Fargo & Co.(a) | ||||
06/17/2027 | 3.196% | 8,718,000 | 8,190,038 | |
Total | 127,942,792 | |||
Building Materials 0.7% | ||||
Ferguson Finance PLC(b) | ||||
04/20/2027 | 4.250% | 6,192,000 | 5,941,483 | |
Cable and Satellite 2.2% | ||||
Charter Communications Operating LLC/Capital | ||||
01/15/2029 | 2.250% | 21,875,000 | 18,218,221 | |
Electric 21.1% | ||||
AES Corp. (The) | ||||
01/15/2026 | 1.375% | 10,487,000 | 9,365,993 | |
CenterPoint Energy, Inc. | ||||
09/01/2024 | 2.500% | 2,772,000 | 2,662,571 | |
CMS Energy Corp. | ||||
11/15/2025 | 3.600% | 30,396,000 | 28,769,360 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
DTE Energy Co. | ||||
03/15/2027 | 3.800% | 6,879,000 | 6,432,637 | |
Edison International | ||||
11/15/2024 | 3.550% | 2,150,000 | 2,079,629 | |
11/15/2028 | 5.250% | 3,388,000 | 3,301,079 | |
Emera U.S. Finance LP | ||||
06/15/2024 | 0.833% | 2,962,000 | 2,804,411 | |
Emera US Finance LP | ||||
06/15/2026 | 3.550% | 24,794,000 | 23,476,633 | |
Eversource Energy | ||||
08/15/2030 | 1.650% | 7,816,000 | 6,212,201 | |
FirstEnergy Transmission LLC(b) | ||||
01/15/2025 | 4.350% | 11,980,000 | 11,681,311 | |
Georgia Power Co. | ||||
07/30/2023 | 2.100% | 12,915,000 | 12,873,232 | |
NextEra Energy Capital Holdings, Inc.(c) | ||||
SOFR + 0.400% 11/03/2023 | 5.460% | 7,255,000 | 7,254,075 | |
NextEra Energy Operating Partners LP(b) | ||||
07/15/2024 | 4.250% | 9,550,000 | 9,373,242 | |
NRG Energy, Inc.(b) | ||||
12/02/2027 | 2.450% | 12,997,000 | 10,940,902 | |
Pacific Gas and Electric Co. | ||||
06/15/2028 | 3.000% | 11,645,000 | 10,085,849 | |
01/15/2029 | 6.100% | 3,956,000 | 3,894,362 | |
Pennsylvania Electric Co.(b) | ||||
03/30/2026 | 5.150% | 1,221,000 | 1,202,663 | |
Public Service Enterprise Group, Inc. | ||||
11/08/2023 | 0.841% | 3,045,000 | 2,991,101 | |
Southern Co.(The) | ||||
06/15/2028 | 4.850% | 8,515,000 | 8,360,138 | |
WEC Energy Group, Inc. | ||||
06/15/2025 | 3.550% | 2,212,000 | 2,115,361 | |
01/15/2028 | 4.750% | 6,555,000 | 6,410,683 | |
Total | 172,287,433 | |||
Environmental 0.6% | ||||
GFL Environmental, Inc.(b) | ||||
08/01/2025 | 3.750% | 5,450,000 | 5,188,080 | |
Food and Beverage 3.3% | ||||
Bacardi Ltd.(b) | ||||
05/15/2028 | 4.700% | 28,013,000 | 27,066,088 |
6 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Health Care 6.2% | ||||
GE HealthCare Technologies, Inc. | ||||
11/15/2027 | 5.650% | 8,040,000 | 8,133,275 | |
HCA, Inc. | ||||
06/15/2026 | 5.250% | 8,113,000 | 8,026,885 | |
06/01/2028 | 5.200% | 8,505,000 | 8,457,084 | |
HCA, Inc.(b) | ||||
03/15/2027 | 3.125% | 13,375,000 | 12,282,534 | |
Thermo Fisher Scientific, Inc.(c) | ||||
SOFR + 0.390% 10/18/2023 | 5.450% | 14,166,000 | 14,162,685 | |
Total | 51,062,463 | |||
Healthcare Insurance 2.9% | ||||
Aetna, Inc. | ||||
11/15/2024 | 3.500% | 2,425,000 | 2,352,957 | |
Centene Corp. | ||||
07/15/2028 | 2.450% | 24,490,000 | 20,992,198 | |
Total | 23,345,155 | |||
Independent Energy 0.5% | ||||
Canadian Natural Resources Ltd. | ||||
07/15/2025 | 2.050% | 1,974,000 | 1,839,843 | |
Occidental Petroleum Corp. | ||||
09/01/2028 | 6.375% | 2,504,000 | 2,553,040 | |
Total | 4,392,883 | |||
Life Insurance 9.5% | ||||
Five Corners Funding Trust(b) | ||||
11/15/2023 | 4.419% | 15,160,000 | 15,007,601 | |
MassMutual Global Funding II(b) | ||||
04/10/2026 | 4.500% | 6,720,000 | 6,578,085 | |
New York Life Global Funding(b) | ||||
08/07/2030 | 1.200% | 5,055,000 | 3,912,279 | |
Peachtree Corners Funding Trust(b) | ||||
02/15/2025 | 3.976% | 20,087,000 | 19,355,801 | |
Principal Life Global Funding II(b) | ||||
11/21/2024 | 2.250% | 17,640,000 | 16,739,431 | |
08/16/2026 | 1.250% | 13,167,000 | 11,492,569 | |
Voya Financial, Inc. | ||||
06/15/2026 | 3.650% | 5,350,000 | 5,031,036 | |
Total | 78,116,802 | |||
Media and Entertainment 2.0% | ||||
Netflix, Inc.(b) | ||||
11/15/2029 | 5.375% | 3,880,000 | 3,893,269 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Warnermedia Holdings, Inc. | ||||
03/15/2029 | 4.054% | 13,240,000 | 12,099,783 | |
Total | 15,993,052 | |||
Midstream 3.3% | ||||
Colorado Interstate Gas Co. LLC/Issuing Corp.(b) | ||||
08/15/2026 | 4.150% | 4,685,000 | 4,474,500 | |
Plains All American Pipeline LP/Finance Corp. | ||||
12/15/2026 | 4.500% | 16,055,000 | 15,529,087 | |
Western Gas Partners LP | ||||
07/01/2026 | 4.650% | 7,609,000 | 7,321,932 | |
Total | 27,325,519 | |||
Natural Gas 1.1% | ||||
NiSource, Inc. | ||||
03/30/2028 | 5.250% | 5,883,000 | 5,888,895 | |
09/01/2029 | 2.950% | 3,728,000 | 3,265,829 | |
Total | 9,154,724 | |||
Packaging 1.5% | ||||
Berry Global, Inc.(b) | ||||
04/15/2028 | 5.500% | 12,720,000 | 12,550,761 | |
Pharmaceuticals 2.8% | ||||
Amgen, Inc. | ||||
03/02/2028 | 5.150% | 6,243,000 | 6,234,539 | |
Pfizer Investment Enterprises Pte Ltd. | ||||
05/19/2028 | 4.450% | 16,790,000 | 16,514,137 | |
Total | 22,748,676 | |||
Technology 4.5% | ||||
Fidelity National Information Services, Inc. | ||||
03/01/2024 | 0.600% | 1,734,000 | 1,672,637 | |
07/15/2025 | 4.500% | 6,264,000 | 6,128,771 | |
Microchip Technology, Inc. | ||||
09/01/2023 | 2.670% | 12,140,000 | 12,074,844 | |
02/15/2024 | 0.972% | 6,364,000 | 6,160,357 | |
09/01/2024 | 0.983% | 11,387,000 | 10,744,718 | |
Total | 36,781,327 | |||
Tobacco 1.4% | ||||
BAT Capital Corp. | ||||
08/15/2027 | 3.557% | 12,055,000 | 11,098,596 | |
Transportation Services 1.6% | ||||
ERAC USA Finance LLC(b) | ||||
05/01/2028 | 4.600% | 13,155,000 | 12,799,954 |
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2023 | 7 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Wireless 3.7% | ||||
Sprint Spectrum Co. I/II/III LLC(b) | ||||
03/20/2028 | 5.152% | 15,605,650 | 15,425,265 | |
T-Mobile US, Inc. | ||||
02/15/2026 | 2.250% | 10,253,000 | 9,444,252 | |
04/15/2027 | 3.750% | 5,368,000 | 5,085,315 | |
Total | 29,954,832 | |||
Total Corporate Bonds & Notes (Cost $759,770,092) | 730,782,778 | |||
U.S. Treasury Obligations 1.4% | ||||
U.S. Treasury | ||||
07/31/2027 | 2.750% | 12,218,600 | 11,519,849 | |
Total U.S. Treasury Obligations (Cost $12,088,099) | 11,519,849 |
Money Market Funds 5.4% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(d),(e) | 44,207,114 | 44,189,431 |
Total Money Market Funds (Cost $44,186,248) | 44,189,431 | |
Total Investments in Securities (Cost: $816,044,439) | 786,492,058 | |
Other Assets & Liabilities, Net | 31,509,547 | |
Net Assets | 818,001,605 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 2-Year Note | 1,302 | 09/2023 | USD | 264,753,563 | — | (3,258,328) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 10-Year Note | (389) | 09/2023 | USD | (43,671,328) | 828,828 | — |
U.S. Treasury 5-Year Note | (873) | 09/2023 | USD | (93,492,844) | 1,651,675 | — |
U.S. Treasury Ultra 10-Year Note | (11) | 09/2023 | USD | (1,302,813) | 15,703 | — |
Total | 2,496,206 | — |
(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, 2023. |
(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, 2023, the total value of these securities amounted to $205,905,818, which represents 25.17% of total net assets. |
(c) | Variable rate security. The interest rate shown was the current rate as of June 30, 2023. |
(d) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
8 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
(e) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | ||||||||
20,549,107 | 237,486,503 | (213,846,342) | 163 | 44,189,431 | (1,549) | 480,206 | 44,207,114 |
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. |
■ | 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 – Limited Duration Credit Fund | Semiannual Report 2023 | 9 |
June 30, 2023 (Unaudited)
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2023:
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Corporate Bonds & Notes | — | 730,782,778 | — | 730,782,778 |
U.S. Treasury Obligations | — | 11,519,849 | — | 11,519,849 |
Money Market Funds | 44,189,431 | — | — | 44,189,431 |
Total Investments in Securities | 44,189,431 | 742,302,627 | — | 786,492,058 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 2,496,206 | — | — | 2,496,206 |
Liability | ||||
Futures Contracts | (3,258,328) | — | — | (3,258,328) |
Total | 43,427,309 | 742,302,627 | — | 785,729,936 |
10 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $771,858,191) | $742,302,627 |
Affiliated issuers (cost $44,186,248) | 44,189,431 |
Cash | 4 |
Margin deposits on: | |
Futures contracts | 2,547,256 |
Receivable for: | |
Investments sold | 27,743,985 |
Capital shares sold | 301,517 |
Dividends | 104,312 |
Interest | 6,158,421 |
Expense reimbursement due from Investment Manager | 2,041 |
Prepaid expenses | 6,485 |
Total assets | 823,356,079 |
Liabilities | |
Payable for: | |
Investments purchased | 4,934,052 |
Capital shares redeemed | 137,068 |
Variation margin for futures contracts | 109,246 |
Management services fees | 10,707 |
Distribution and/or service fees | 703 |
Service fees | 5,109 |
Compensation of board members | 136,060 |
Compensation of chief compliance officer | 90 |
Other expenses | 21,439 |
Total liabilities | 5,354,474 |
Net assets applicable to outstanding capital stock | $818,001,605 |
Represented by | |
Paid in capital | 861,244,025 |
Total distributable earnings (loss) | (43,242,420) |
Total - representing net assets applicable to outstanding capital stock | $818,001,605 |
Class 1 | |
Net assets | $715,126,747 |
Shares outstanding | 76,236,400 |
Net asset value per share | $9.38 |
Class 2 | |
Net assets | $102,874,858 |
Shares outstanding | 11,030,550 |
Net asset value per share | $9.33 |
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2023 | 11 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — affiliated issuers | $480,206 |
Interest | 16,633,329 |
Foreign taxes withheld | (13,075) |
Total income | 17,100,460 |
Expenses: | |
Management services fees | 2,061,681 |
Distribution and/or service fees | |
Class 2 | 128,719 |
Service fees | 33,749 |
Compensation of board members | 14,546 |
Custodian fees | 3,937 |
Printing and postage fees | 5,718 |
Accounting services fees | 15,045 |
Legal fees | 11,810 |
Compensation of chief compliance officer | 83 |
Other | 10,714 |
Total expenses | 2,286,002 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (272,378) |
Total net expenses | 2,013,624 |
Net investment income | 15,086,836 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (14,156,570) |
Investments — affiliated issuers | (1,549) |
Futures contracts | (2,226,865) |
Net realized loss | (16,384,984) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 23,393,474 |
Investments — affiliated issuers | 163 |
Futures contracts | (1,309,080) |
Net change in unrealized appreciation (depreciation) | 22,084,557 |
Net realized and unrealized gain | 5,699,573 |
Net increase in net assets resulting from operations | $20,786,409 |
12 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment income | $15,086,836 | $26,334,079 |
Net realized loss | (16,384,984) | (35,108,860) |
Net change in unrealized appreciation (depreciation) | 22,084,557 | (51,686,086) |
Net increase (decrease) in net assets resulting from operations | 20,786,409 | (60,460,867) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | — | (9,185,017) |
Class 2 | — | (477,058) |
Total distributions to shareholders | — | (9,662,075) |
Increase (decrease) in net assets from capital stock activity | (121,683,606) | 90,106,344 |
Total increase (decrease) in net assets | (100,897,197) | 19,983,402 |
Net assets at beginning of period | 918,898,802 | 898,915,400 |
Net assets at end of period | $818,001,605 | $918,898,802 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Shares sold | 206,483 | 1,927,070 | 82,536,420 | 767,606,691 |
Distributions reinvested | — | — | 990,832 | 9,185,017 |
Shares redeemed | (13,242,093) | (123,552,725) | (76,228,754) | (701,071,006) |
Net increase (decrease) | (13,035,610) | (121,625,655) | 7,298,498 | 75,720,702 |
Class 2 | ||||
Shares sold | 749,395 | 6,964,632 | 2,904,349 | 26,681,242 |
Distributions reinvested | — | — | 51,630 | 477,058 |
Shares redeemed | (753,859) | (7,022,583) | (1,373,476) | (12,772,658) |
Net increase (decrease) | (4,464) | (57,951) | 1,582,503 | 14,385,642 |
Total net increase (decrease) | (13,040,074) | (121,683,606) | 8,881,001 | 90,106,344 |
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2023 | 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 6/30/2023 (Unaudited) | $9.17 | 0.16 | 0.05 | 0.21 | — | — |
Year Ended 12/31/2022 | $9.84 | 0.23 | (0.83) | (0.60) | (0.07) | (0.07) |
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) |
Class 2 | ||||||
Six Months Ended 6/30/2023 (Unaudited) | $9.12 | 0.15 | 0.06 | 0.21 | — | — |
Year Ended 12/31/2022 | $9.79 | 0.20 | (0.82) | (0.62) | (0.05) | (0.05) |
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(c) | (0.16) | (0.16) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Rounds to zero. |
14 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2023 |
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 6/30/2023 (Unaudited) | $9.38 | 2.29% | 0.50% | 0.44% | 3.52% | 34% | $715,127 |
Year Ended 12/31/2022 | $9.17 | (6.08%) | 0.49% | 0.46% | 2.45% | 110% | $818,216 |
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 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $9.33 | 2.30% | 0.75% | 0.69% | 3.29% | 34% | $102,875 |
Year Ended 12/31/2022 | $9.12 | (6.36%) | 0.74% | 0.71% | 2.18% | 110% | $100,683 |
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% | $46,253 |
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2023 | 15 |
June 30, 2023 (Unaudited)
16 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2023 | 17 |
June 30, 2023 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 2,496,206* |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 3,258,328* |
18 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin for futures and centrally cleared swaps, if any, is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | |||||
Interest rate risk | (2,226,865) | |||||
Total | (2,226,865) | |||||
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | |||||
Interest rate risk | (1,309,080) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 250,364,743 |
Futures contracts — short | 158,436,540 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2023. |
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2023 | 19 |
June 30, 2023 (Unaudited)
20 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
May 1, 2023 through April 30, 2024 | Prior to May 1, 2023 | |
Class 1 | 0.41% | 0.45% |
Class 2 | 0.66 | 0.70 |
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2023 | 21 |
June 30, 2023 (Unaudited)
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
816,044,000 | 2,829,000 | (33,143,000) | (30,314,000) |
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
(14,973,388) | (22,053,312) | (37,026,700) |
22 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2023 | 23 |
June 30, 2023 (Unaudited)
24 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2023 | 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 2023 |
(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 one or more 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 2023 | 27 |
(Unaudited)
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
28 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2023 |
(Unaudited)
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 2023 | 29 |
June 30, 2023 (Unaudited)
3 | |
5 | |
6 | |
17 | |
18 | |
19 | |
20 | |
22 | |
34 | |
34 |
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 04/30/13 | -7.83 | -8.18 | 6.14 | -0.63 | |
Class 2 | 04/30/13 | -7.98 | -8.58 | 5.85 | -0.91 | |
Bloomberg Commodity Index Total Return | -7.79 | -9.61 | 4.73 | -0.99 |
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2023) | |
Asset-Backed Securities — Non-Agency | 35.1 |
Commercial Mortgage-Backed Securities - Non-Agency | 3.0 |
Corporate Bonds & Notes | 41.1 |
Foreign Government Obligations | 0.8 |
Money Market Funds(a) | 15.7 |
Residential Mortgage-Backed Securities - Non-Agency | 2.6 |
U.S. Government & Agency Obligations | 0.8 |
U.S. Treasury Obligations | 0.9 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds, including investing for the purpose of covering obligations relating to the Fund’s investment in derivatives. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Consolidated Portfolio of Investments and the derivative instruments discussion in Note 2 to the Notes to Consolidated Financial Statements. |
Commodities market exposure (%) (at June 30, 2023) | |||
Commodities contracts(a) | Long | Short | Net |
Agriculture | 28.7 | — | 28.7 |
Energy | 31.5 | — | 31.5 |
Industrial Metals | 13.9 | — | 13.9 |
Livestock | 6.5 | — | 6.5 |
Precious Metals | 19.4 | — | 19.4 |
Total notional market value of commodities contracts | 100.0 | — | 100.0 |
4 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | |||||||
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 | 921.70 | 1,021.24 | 3.55 | 3.73 | 0.74 |
Class 2 | 1,000.00 | 1,000.00 | 920.20 | 1,020.00 | 4.74 | 4.99 | 0.99 |
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (Unaudited)
Asset-Backed Securities — Non-Agency 28.9% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
ACC Auto Trust(a) | ||||
Series 2021-A Class A | ||||
04/15/2027 | 1.080% | 6,560 | 6,544 | |
American Credit Acceptance Receivables Trust(a) | ||||
Subordinated Series 2020-3 Class C | ||||
06/15/2026 | 1.850% | 210,165 | 209,394 | |
Subordinated Series 2021-3 Class C | ||||
11/15/2027 | 0.980% | 851,575 | 835,947 | |
AmeriCredit Automobile Receivables Trust | ||||
Series 2021-3 Class A3 | ||||
08/18/2026 | 0.760% | 1,586,922 | 1,532,888 | |
Atalaya Equipment Leasing Trust(a) | ||||
Series 2021-1A Class A2 | ||||
05/15/2026 | 1.230% | 43,662 | 42,731 | |
BMW Vehicle Lease Trust | ||||
Series 2021-1 Class A4 | ||||
07/25/2024 | 0.370% | 291,839 | 290,556 | |
Subordinated Series 2022-1 Class A3 | ||||
03/25/2025 | 1.100% | 817,089 | 802,961 | |
Carmax Auto Owner Trust | ||||
Series 2019-3 Class A4 | ||||
04/15/2025 | 2.300% | 436,649 | 434,236 | |
CarMax Auto Owner Trust | ||||
Series 2019-4 Class A3 | ||||
11/15/2024 | 2.020% | 58,320 | 58,169 | |
Series 2022-1 Class A2 | ||||
02/18/2025 | 0.910% | 167,763 | 167,042 | |
CCG Receivables Trust(a) | ||||
Series 2021-2 Class A2 | ||||
03/14/2029 | 0.540% | 1,030,975 | 991,152 | |
Commercial Equipment Finance LLC(a) | ||||
Series 2021-A Class A | ||||
02/16/2027 | 2.050% | 136,873 | 132,420 | |
CPS Auto Receivables Trust(a) | ||||
Series 2022-A Class A | ||||
04/16/2029 | 0.980% | 16,924 | 16,850 | |
Dext ABS LLC(a) | ||||
Series 2023-1 Class A1 | ||||
04/15/2024 | 5.680% | 370,354 | 370,051 | |
DLL Finance LLC(a) | ||||
Series 2023-1A Class A1 | ||||
02/20/2024 | 5.014% | 516,760 | 516,285 | |
Drive Auto Receivables Trust | ||||
Subordinated Series 2020-2 Class C | ||||
08/17/2026 | 2.280% | 37,155 | 37,023 |
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% | 212,334 | 210,296 | |
Series 2022-1A Class A | ||||
04/15/2026 | 1.580% | 401,348 | 397,746 | |
Series 2022-3A Class A | ||||
10/15/2026 | 6.050% | 1,166,943 | 1,166,936 | |
Subordinated Series 2019-3A Class E | ||||
08/17/2026 | 3.850% | 625,000 | 619,041 | |
Subordinated Series 2020-1A Class D | ||||
11/17/2025 | 2.550% | 251,026 | 245,501 | |
Enterprise Fleet Financing LLC(a) | ||||
Series 2023-1 Class A1 | ||||
03/20/2024 | 5.330% | 190,523 | 190,318 | |
Exeter Automobile Receivables Trust | ||||
Series 2023-1A Class A2 | ||||
06/16/2025 | 5.610% | 904,858 | 904,219 | |
Exeter Automobile Receivables Trust(a) | ||||
Subordinated Series 2020-1A Class D | ||||
12/15/2025 | 2.730% | 147,785 | 144,631 | |
Subordinated Series 2020-2A Class D | ||||
04/15/2026 | 4.730% | 925,134 | 919,004 | |
FHF Trust(a) | ||||
Series 2021-1A Class A | ||||
03/15/2027 | 1.270% | 111,471 | 107,085 | |
Ford Credit Auto Lease Trust | ||||
Series 2021-B Class A3 | ||||
10/15/2024 | 0.370% | 59,222 | 58,865 | |
Ford Credit Auto Owner Trust(a) | ||||
Series 2019-1 Class A | ||||
07/15/2030 | 3.520% | 550,000 | 542,896 | |
Ford Credit Auto Owner Trust | ||||
Series 2020-B Class A4 | ||||
11/15/2025 | 0.790% | 300,000 | 293,348 | |
Series 2023-A Class A1 | ||||
04/15/2024 | 5.028% | 296,855 | 296,765 | |
Ford Credit Floorplan Master Owner Trust | ||||
Series 2020-1 Class A1 | ||||
09/15/2025 | 0.700% | 575,000 | 569,532 | |
FREED ABS Trust(a) | ||||
Series 2022-4FP Class A | ||||
12/18/2029 | 6.490% | 40,603 | 40,613 | |
GLS Auto Receivables Issuer Trust(a) | ||||
Subordinated Series 2020-3A Class C | ||||
05/15/2025 | 1.920% | 161,780 | 161,325 |
6 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
GLS Auto Receivables Trust(a) | ||||
Subordinated Series 2021-2A Class B | ||||
09/15/2025 | 0.770% | 89,403 | 89,117 | |
GM Financial Automobile Leasing Trust | ||||
Series 2021-2 Class A4 | ||||
05/20/2025 | 0.410% | 722,000 | 714,181 | |
Subordinated Series 2021-1 Class C | ||||
02/20/2025 | 0.700% | 200,000 | 199,564 | |
GM Financial Consumer Automobile Receivables Trust | ||||
Series 2020-1 Class A4 | ||||
03/17/2025 | 1.900% | 179,596 | 178,467 | |
Series 2020-3 Class A3 | ||||
04/16/2025 | 0.450% | 242,625 | 239,043 | |
Series 2021-2 Class A3 | ||||
04/16/2026 | 0.510% | 448,808 | 433,769 | |
Series 2023-1 Class A2A | ||||
03/16/2026 | 5.190% | 775,000 | 772,172 | |
GreatAmerica Leasing Receivables(a) | ||||
Series 2023-1 Class A1 | ||||
06/14/2024 | 5.519% | 1,057,169 | 1,057,166 | |
Harley-Davidson Motorcycle Trust | ||||
Series 2021-A Class A3 | ||||
04/15/2026 | 0.370% | 437,124 | 426,613 | |
Honda Auto Receivables Owner Trust | ||||
Series 2020-2 Class A4 | ||||
10/15/2026 | 1.090% | 300,000 | 296,179 | |
Hyundai Auto Lease Securitization Trust(a) | ||||
Series 2021-B Class A3 | ||||
06/17/2024 | 0.330% | 151,634 | 151,039 | |
JPMorgan Chase Bank NA(a) | ||||
Subordinated Series 2021-2 Class C | ||||
12/26/2028 | 0.969% | 346,700 | 334,677 | |
JPMorgan Chase Bank NA - CACLN(a) | ||||
Series 2021-3 Class B | ||||
02/26/2029 | 0.760% | 90,832 | 86,780 | |
Kubota Credit Owner Trust(a) | ||||
Series 2023-1A Class A1 | ||||
03/15/2024 | 5.292% | 557,665 | 557,247 | |
LAD Auto Receivables Trust(a) | ||||
Series 2021-1A Class A | ||||
08/17/2026 | 1.300% | 31,728 | 30,932 | |
Lendbuzz Securitization Trust(a) | ||||
Series 2021-1A Class A | ||||
06/15/2026 | 1.460% | 54,192 | 51,999 | |
LL ABS Trust(a) | ||||
Series 2021-1A Class A | ||||
05/15/2029 | 1.070% | 29,540 | 28,828 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Mercedes-Benz Auto Receivables Trust | ||||
Series 2020-1 Class A4 | ||||
10/15/2026 | 0.770% | 150,000 | 144,375 | |
MMAF Equipment Finance LLC(a) | ||||
Series 2020-A Class A2 | ||||
04/09/2024 | 0.740% | 11,907 | 11,900 | |
Nissan Auto Lease Trust | ||||
Series 2021-A Class A3 | ||||
08/15/2024 | 0.520% | 113,225 | 112,395 | |
Oportun Issuance Trust(a) | ||||
Series 2022-3 Class A | ||||
01/08/2030 | 7.451% | 216,906 | 217,340 | |
Oscar US Funding XIII LLC(a) | ||||
Series 2021-2A Class A2 | ||||
08/12/2024 | 0.390% | 48,050 | 47,785 | |
Pagaya AI Debt Selection Trust(a) | ||||
Series 2021-1 Class A | ||||
11/15/2027 | 1.180% | 31,338 | 31,280 | |
Series 2021-3 Class A | ||||
05/15/2029 | 1.150% | 120,140 | 118,983 | |
Pagaya AI Debt Trust(a) | ||||
Series 2022-1 Class A | ||||
10/15/2029 | 2.030% | 304,364 | 296,303 | |
Santander Drive Auto Receivables Trust | ||||
Series 2020-2 Class D | ||||
09/15/2026 | 2.220% | 1,273,590 | 1,250,922 | |
Series 2022-1 Class A3 | ||||
11/17/2025 | 1.940% | 352,647 | 350,837 | |
Series 2022-2 Class A3 | ||||
10/15/2026 | 2.980% | 836,727 | 827,526 | |
Series 2022-3 Class A3 | ||||
12/15/2026 | 3.400% | 664,434 | 655,888 | |
Series 2022-4 Class A2 | ||||
07/15/2025 | 4.050% | 276,532 | 276,152 | |
Series 2022-5 Class A3 | ||||
08/17/2026 | 4.110% | 400,000 | 396,009 | |
Subordinated Series 2019-2 Class D | ||||
07/15/2025 | 3.220% | 29,785 | 29,691 | |
Subordinated Series 2020-4 Class C | ||||
01/15/2026 | 1.010% | 40,338 | 40,198 | |
Santander Retail Auto Lease Trust(a) | ||||
Series 2021-A Class A3 | ||||
07/22/2024 | 0.510% | 145,429 | 143,855 | |
Theorem Funding Trust(a) | ||||
Series 2021-1A Class A | ||||
12/15/2027 | 1.210% | 18,500 | 18,390 | |
Series 2022-1A Class A | ||||
02/15/2028 | 1.850% | 146,624 | 144,374 |
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2023 | 7 |
June 30, 2023 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Toyota Auto Loan Extended Note Trust(a) | ||||
Series 2019-1A Class A | ||||
11/25/2031 | 2.560% | 1,700,000 | 1,650,977 | |
Toyota Auto Receivables Owner Trust | ||||
Series 2022-A Class A3 | ||||
06/15/2026 | 1.230% | 425,000 | 407,164 | |
Upstart Pass-Through Trust(a) | ||||
Series 2021-ST6 Class A | ||||
08/20/2027 | 1.850% | 43,482 | 41,189 | |
Upstart Securitization Trust(a) | ||||
Series 2021-3 Class A | ||||
07/20/2031 | 0.830% | 70,334 | 69,633 | |
Verizon Master Trust | ||||
Series 2021-1 Class A | ||||
05/20/2027 | 0.500% | 1,500,000 | 1,431,841 | |
Series 2022-1 Class A | ||||
01/20/2027 | 1.040% | 1,825,000 | 1,820,834 | |
VFI ABS LLC(a) | ||||
Series 2022-1A Class A | ||||
03/24/2028 | 2.230% | 107,548 | 104,747 | |
Volkswagen Auto Loan Enhanced Trust | ||||
Series 2020-1 Class A4 | ||||
08/20/2026 | 1.260% | 650,000 | 636,550 | |
Westlake Automobile Receivables Trust(a) | ||||
Series 2022-1A Class A2A | ||||
12/16/2024 | 1.970% | 33,947 | 33,838 | |
Series 2022-3A Class A2 | ||||
07/15/2025 | 5.240% | 346,868 | 346,180 | |
Series 2023-2A Class A1 | ||||
03/15/2024 | 5.266% | 553,182 | 552,954 | |
Subordinated Series 2021-2A Class B | ||||
07/15/2026 | 0.620% | 1,134,000 | 1,119,330 | |
World Omni Auto Receivables Trust | ||||
Series 2021-A Class A3 | ||||
01/15/2026 | 0.300% | 157,132 | 152,273 | |
World Omni Automobile Lease Securitization Trust | ||||
Series 2022-A Class A2 | ||||
10/15/2024 | 2.630% | 368,737 | 366,260 | |
World Omni Select Auto Trust | ||||
Series 2021-A Class A3 | ||||
03/15/2027 | 0.530% | 199,227 | 193,119 | |
Total Asset-Backed Securities — Non-Agency (Cost $32,954,540) | 33,001,235 | |||
Commercial Mortgage-Backed Securities - Non-Agency 2.5% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
GS Mortgage Securities Corp. Trust(a),(b) | ||||
Series 2022-SHIP Class A | ||||
1-month Term SOFR + 0.731% Floor 0.731% 08/15/2036 | 5.878% | 325,000 | 322,684 | |
GS Mortgage Securities Trust(c) | ||||
Series 2013-GC13 Class A5 | ||||
07/10/2046 | 4.086% | 566,677 | 565,395 | |
GS Mortgage Securities Trust | ||||
Series 2013-GC14 Class A5 | ||||
08/10/2046 | 4.243% | 1,007,556 | 1,005,813 | |
JPMorgan Chase Commercial Mortgage Securities Trust | ||||
Subordinated Series 2013-C16 Class AS | ||||
12/15/2046 | 4.517% | 525,000 | 519,670 | |
Morgan Stanley Bank of America Merrill Lynch Trust | ||||
Series 2013-C13 Class A4 | ||||
11/15/2046 | 4.039% | 420,000 | 415,926 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $2,812,363) | 2,829,488 | |||
Corporate Bonds & Notes 33.9% | ||||
Aerospace & Defense 1.2% | ||||
BAE Systems Holdings, Inc.(a) | ||||
12/15/2025 | 3.850% | 414,000 | 397,024 | |
Boeing Co. (The) | ||||
05/01/2025 | 4.875% | 390,000 | 384,410 | |
Harris Corp. | ||||
04/27/2025 | 3.832% | 201,000 | 194,816 | |
United Technologies Corp. | ||||
08/16/2025 | 3.950% | 400,000 | 391,897 | |
Total | 1,368,147 | |||
Automotive 0.7% | ||||
Daimler Trucks Finance North America LLC(a),(b) | ||||
SOFR + 1.000% 04/05/2024 | 6.060% | 335,000 | 335,502 | |
Toyota Motor Credit Corp. | ||||
06/14/2024 | 0.500% | 450,000 | 427,181 | |
Total | 762,683 | |||
Banking 10.3% | ||||
American Express Co.(b) | ||||
3-month USD LIBOR + 0.750% 08/03/2023 | 6.052% | 415,000 | 415,011 | |
SOFR + 0.720% 05/03/2024 | 5.780% | 14,000 | 14,009 | |
Bank of America Corp.(b) | ||||
SOFR + 1.100% 04/25/2025 | 6.160% | 725,000 | 726,497 |
8 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Bank of Montreal | ||||
06/07/2025 | 3.700% | 375,000 | 362,352 | |
Bank of New York Mellon Corp. (The)(b) | ||||
SOFR + 0.260% 04/26/2024 | 5.320% | 77,000 | 76,810 | |
Bank of Nova Scotia (The)(b) | ||||
SOFR + 1.090% 06/12/2025 | 6.150% | 400,000 | 400,934 | |
BBVA USA | ||||
08/27/2024 | 2.500% | 464,000 | 444,657 | |
Canadian Imperial Bank of Commerce(b) | ||||
3-month USD LIBOR + 0.660% 09/13/2023 | 6.204% | 450,000 | 450,353 | |
Citigroup, Inc.(d) | ||||
04/24/2025 | 3.352% | 750,000 | 733,183 | |
Commonwealth Bank of Australia(a),(b) | ||||
3-month USD LIBOR + 0.820% 06/04/2024 | 6.319% | 400,000 | 401,073 | |
Cooperatieve Rabobank UA(b) | ||||
SOFR + 0.300% 01/12/2024 | 5.360% | 400,000 | 399,422 | |
Credit Suisse AG | ||||
08/09/2024 | 4.750% | 350,000 | 342,245 | |
Discover Bank | ||||
09/12/2024 | 2.450% | 325,000 | 307,855 | |
Goldman Sachs Group, Inc. (The)(b) | ||||
3-month USD LIBOR + 1.600% 11/29/2023 | 7.063% | 650,000 | 652,277 | |
HSBC Holdings PLC(d) | ||||
08/17/2024 | 0.732% | 407,000 | 404,037 | |
JPMorgan Chase & Co.(d) | ||||
12/15/2025 | 5.546% | 775,000 | 772,040 | |
Morgan Stanley(d) | ||||
10/21/2025 | 1.164% | 650,000 | 607,690 | |
National Australia Bank Ltd. | ||||
05/13/2025 | 5.200% | 375,000 | 374,155 | |
Royal Bank of Canada(b) | ||||
3-month USD LIBOR + 0.660% 10/05/2023 | 5.883% | 399,000 | 399,269 | |
Skandinaviska Enskilda Banken AB(a),(b) | ||||
3-month USD LIBOR + 0.320% 09/01/2023 | 5.816% | 350,000 | 349,853 | |
State Street Corp.(d) | ||||
12/03/2024 | 3.776% | 425,000 | 421,048 | |
Toronto-Dominion Bank (The)(b) | ||||
SOFR + 0.910% 03/08/2024 | 5.970% | 375,000 | 375,654 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Truist Bank(b) | ||||
SOFR + 0.200% 01/17/2024 | 5.260% | 400,000 | 396,122 | |
UBS Group AG(a),(d) | ||||
08/05/2025 | 4.490% | 400,000 | 390,921 | |
US Bancorp | ||||
11/17/2025 | 3.950% | 415,000 | 399,213 | |
Wells Fargo & Co.(d) | ||||
05/19/2025 | 0.805% | 675,000 | 643,535 | |
Westpac Banking Corp.(b) | ||||
3-month USD LIBOR + 0.770% 02/26/2024 | 6.194% | 450,000 | 450,752 | |
Total | 11,710,967 | |||
Cable and Satellite 0.7% | ||||
Charter Communications Operating LLC/Capital(b) | ||||
3-month USD LIBOR + 1.650% 02/01/2024 | 6.949% | 375,000 | 376,161 | |
Comcast Corp. | ||||
10/15/2025 | 3.950% | 400,000 | 389,781 | |
Total | 765,942 | |||
Chemicals 0.3% | ||||
DuPont de Nemours, Inc.(b) | ||||
3-month USD LIBOR + 1.110% 11/15/2023 | 6.431% | 390,000 | 390,856 | |
Construction Machinery 0.7% | ||||
Caterpillar Financial Services Corp. | ||||
05/15/2025 | 1.450% | 425,000 | 396,687 | |
John Deere Capital Corp. | ||||
03/03/2025 | 5.150% | 400,000 | 400,298 | |
Total | 796,985 | |||
Consumer Products 0.3% | ||||
Kenvue, Inc.(a) | ||||
03/22/2025 | 5.500% | 350,000 | 350,916 | |
Diversified Manufacturing 0.7% | ||||
Carrier Global Corp. | ||||
02/15/2025 | 2.242% | 412,000 | 389,978 | |
Siemens Financieringsmaatschappij NV(a) | ||||
05/27/2025 | 3.250% | 450,000 | 434,465 | |
Total | 824,443 | |||
Electric 2.5% | ||||
CenterPoint Energy, Inc.(b) | ||||
SOFR + 0.650% 05/13/2024 | 5.710% | 206,000 | 205,755 |
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2023 | 9 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Consumers Energy Co. | ||||
08/15/2023 | 3.375% | 297,000 | 296,057 | |
DTE Energy Co. | ||||
11/01/2024 | 4.220% | 380,000 | 371,809 | |
Duke Energy Corp. | ||||
09/15/2025 | 0.900% | 332,000 | 302,132 | |
Eversource Energy(b) | ||||
SOFR + 0.250% 08/15/2023 | 5.310% | 331,000 | 330,811 | |
Mississippi Power Co.(b) | ||||
SOFR + 0.300% 06/28/2024 | 5.360% | 319,000 | 316,501 | |
NextEra Energy Capital Holdings, Inc. | ||||
03/01/2025 | 6.051% | 375,000 | 377,186 | |
Public Service Enterprise Group, Inc. | ||||
11/08/2023 | 0.841% | 222,000 | 218,071 | |
WEC Energy Group, Inc. | ||||
09/27/2025 | 5.000% | 390,000 | 386,519 | |
Xcel Energy, Inc. | ||||
06/01/2025 | 3.300% | 47,000 | 45,025 | |
Total | 2,849,866 | |||
Food and Beverage 1.0% | ||||
Bacardi Ltd.(a) | ||||
05/15/2025 | 4.450% | 425,000 | 413,736 | |
Mondelez International, Inc. | ||||
05/04/2025 | 1.500% | 425,000 | 396,508 | |
Tyson Foods, Inc. | ||||
08/15/2024 | 3.950% | 375,000 | 368,065 | |
Total | 1,178,309 | |||
Health Care 2.0% | ||||
Becton Dickinson and Co. | ||||
06/06/2024 | 3.363% | 400,000 | 391,492 | |
Cigna Corp. | ||||
11/15/2025 | 4.125% | 375,000 | 365,181 | |
CVS Health Corp. | ||||
07/20/2025 | 3.875% | 400,000 | 388,944 | |
GE HealthCare Technologies, Inc. | ||||
11/15/2025 | 5.600% | 400,000 | 400,415 | |
HCA, Inc. | ||||
02/01/2025 | 5.375% | 375,000 | 371,778 | |
Thermo Fisher Scientific, Inc. | ||||
10/18/2024 | 1.215% | 400,000 | 378,283 | |
Total | 2,296,093 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Healthcare Insurance 0.7% | ||||
UnitedHealth Group, Inc. | ||||
07/15/2025 | 3.750% | 400,000 | 389,371 | |
Wellpoint, Inc. | ||||
08/15/2024 | 3.500% | 400,000 | 389,844 | |
Total | 779,215 | |||
Independent Energy 0.6% | ||||
Pioneer Natural Resources Co. | ||||
03/29/2026 | 5.100% | 315,000 | 313,324 | |
Woodside Finance Ltd.(a) | ||||
03/05/2025 | 3.650% | 408,000 | 392,932 | |
Total | 706,256 | |||
Integrated Energy 0.7% | ||||
Chevron USA, Inc.(b) | ||||
3-month USD LIBOR + 0.200% 08/11/2023 | 5.539% | 400,000 | 399,959 | |
Shell International Finance BV(b) | ||||
3-month USD LIBOR + 0.400% 11/13/2023 | 5.721% | 415,000 | 415,425 | |
Total | 815,384 | |||
Life Insurance 1.4% | ||||
Corebridge Financial, Inc. | ||||
04/04/2025 | 3.500% | 400,000 | 381,187 | |
Five Corners Funding Trust(a) | ||||
11/15/2023 | 4.419% | 446,000 | 441,516 | |
Metropolitan Life Global Funding I(a) | ||||
09/27/2024 | 0.700% | 397,000 | 371,652 | |
New York Life Global Funding(a) | ||||
06/24/2025 | 0.950% | 116,000 | 106,012 | |
Principal Life Global Funding II(a) | ||||
06/23/2025 | 1.250% | 283,000 | 258,048 | |
Total | 1,558,415 | |||
Media and Entertainment 0.7% | ||||
Walt Disney Co. (The) | ||||
09/15/2024 | 3.700% | 393,000 | 384,744 | |
Warnermedia Holdings, Inc. | ||||
03/15/2025 | 3.638% | 425,000 | 410,007 | |
Total | 794,751 | |||
Midstream 2.0% | ||||
Enable Midstream Partners LP | ||||
05/15/2024 | 3.900% | 193,000 | 189,479 | |
Enbridge, Inc. | ||||
02/16/2024 | 2.150% | 408,000 | 398,509 |
10 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Enterprise Products Operating LLC | ||||
02/15/2024 | 3.900% | 385,000 | 380,289 | |
Kinder Morgan Energy Partners LP | ||||
02/01/2024 | 4.150% | 198,000 | 196,021 | |
05/01/2024 | 4.300% | 300,000 | 296,209 | |
Plains All American Pipeline LP/Finance Corp. | ||||
10/15/2025 | 4.650% | 400,000 | 389,979 | |
Williams Companies, Inc. (The) | ||||
09/15/2025 | 4.000% | 400,000 | 386,457 | |
Total | 2,236,943 | |||
Natural Gas 0.3% | ||||
NiSource, Inc. | ||||
08/15/2025 | 0.950% | 425,000 | 387,897 | |
Pharmaceuticals 2.4% | ||||
AbbVie, Inc. | ||||
03/15/2025 | 3.800% | 410,000 | 398,768 | |
Amgen, Inc. | ||||
05/01/2025 | 3.125% | 410,000 | 392,897 | |
AstraZeneca PLC | ||||
11/16/2025 | 3.375% | 425,000 | 408,507 | |
Bristol-Myers Squibb Co. | ||||
11/13/2023 | 0.537% | 350,000 | 343,735 | |
Gilead Sciences, Inc. | ||||
02/01/2025 | 3.500% | 400,000 | 387,851 | |
Pfizer Investment Enterprises Pte., Ltd. | ||||
05/19/2026 | 4.450% | 500,000 | 493,892 | |
Roche Holdings, Inc.(a),(b) | ||||
SOFR + 0.330% 09/10/2023 | 5.390% | 150,000 | 150,002 | |
SOFR + 0.240% 03/05/2024 | 5.300% | 215,000 | 214,295 | |
Total | 2,789,947 | |||
Property & Casualty 0.7% | ||||
Chubb INA Holdings, Inc. | ||||
03/15/2025 | 3.150% | 400,000 | 386,930 | |
Loews Corp. | ||||
04/01/2026 | 3.750% | 375,000 | 363,636 | |
Total | 750,566 | |||
Railroads 0.6% | ||||
CSX Corp. | ||||
11/01/2025 | 3.350% | 400,000 | 382,676 | |
Union Pacific Corp. | ||||
01/15/2025 | 3.250% | 342,000 | 331,522 | |
Total | 714,198 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Retailers 0.3% | ||||
Lowe’s Companies, Inc. | ||||
09/08/2025 | 4.400% | 403,000 | 395,083 | |
Technology 1.5% | ||||
Broadcom, Inc. | ||||
11/15/2025 | 3.150% | 425,000 | 403,877 | |
International Business Machines Corp. | ||||
02/12/2024 | 3.625% | 303,000 | 298,704 | |
Microchip Technology, Inc. | ||||
02/15/2024 | 0.972% | 375,000 | 363,000 | |
NXP BV/Funding LLC | ||||
03/01/2026 | 5.350% | 23,000 | 22,863 | |
NXP BV/Funding LLC/USA, Inc. | ||||
05/01/2025 | 2.700% | 210,000 | 199,087 | |
Oracle Corp. | ||||
04/01/2025 | 2.500% | 400,000 | 379,662 | |
Total | 1,667,193 | |||
Transportation Services 0.1% | ||||
ERAC USA Finance LLC(a) | ||||
11/01/2025 | 3.800% | 152,000 | 145,468 | |
Wireless 0.7% | ||||
American Tower Corp. | ||||
01/15/2025 | 2.950% | 400,000 | 382,588 | |
T-Mobile USA, Inc. | ||||
04/15/2025 | 3.500% | 400,000 | 384,875 | |
Total | 767,463 | |||
Wirelines 0.8% | ||||
AT&T, Inc.(b) | ||||
3-month USD LIBOR + 1.180% 06/12/2024 | 6.720% | 440,000 | 442,877 | |
Verizon Communications, Inc.(b) | ||||
SOFR + 0.500% 03/22/2024 | 5.560% | 440,000 | 439,013 | |
Total | 881,890 | |||
Total Corporate Bonds & Notes (Cost $39,021,150) | 38,685,876 | |||
Foreign Government Obligations(e) 0.7% | ||||
Canada 0.7% | ||||
Province of Ontario | ||||
01/29/2024 | 3.050% | 400,000 | 394,199 |
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2023 | 11 |
June 30, 2023 (Unaudited)
Foreign Government Obligations(e) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Province of Quebec | ||||
10/16/2024 | 2.875% | 400,000 | 387,330 | |
Total | 781,529 | |||
Total Foreign Government Obligations (Cost $788,520) | 781,529 | |||
Residential Mortgage-Backed Securities - Non-Agency 2.1% | ||||
Bellemeade Re Ltd.(a),(b) | ||||
CMO Series 2021-3A Class M1A | ||||
30-day Average SOFR + 1.000% Floor 1.000% 09/25/2031 | 6.067% | 179,982 | 178,459 | |
CFMT LLC(a),(c) | ||||
CMO Series 2021-EBO1 Class A | ||||
11/25/2050 | 0.985% | 131,304 | 122,438 | |
Connecticut Avenue Securities Trust(a),(b) | ||||
CMO Series 2022-R05 Class 2M1 | ||||
30-day Average SOFR + 1.900% 04/25/2042 | 6.967% | 212,229 | 212,709 | |
Oceanview Trust(a),(c) | ||||
CMO Series 2021-1 Class A | ||||
12/29/2051 | 1.219% | 124,889 | 121,568 | |
Pretium Mortgage Credit Partners LLC(a),(c) | ||||
CMO Series 2021-RN2 Class A1 | ||||
07/25/2051 | 1.744% | 174,205 | 157,000 | |
Towd Point Mortgage Trust(a),(c) | ||||
CMO Series 2021-SJ1 Class A1 | ||||
07/25/2068 | 2.250% | 488,587 | 444,604 | |
VCAT Asset Securitization LLC(a),(c) | ||||
CMO Series 2021-NPL6 Class A1 | ||||
09/25/2051 | 1.917% | 728,602 | 660,173 | |
VCAT LLC(a),(c) | ||||
CMO Series 2021-NPL4 Class A1 | ||||
08/25/2051 | 1.868% | 421,819 | 385,697 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2021-NPL5 Class A1 | ||||
08/25/2051 | 1.868% | 188,792 | 170,962 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $2,651,471) | 2,453,610 | |||
U.S. Government & Agency Obligations 0.7% | ||||
Federal Farm Credit Banks Funding Corp.(b) | ||||
SOFR + 0.018% 07/13/2023 | 5.078% | 75,000 | 74,997 | |
SOFR + 0.050% 08/22/2023 | 5.110% | 280,000 | 279,953 | |
SOFR + 0.060% 12/27/2023 | 5.120% | 425,000 | 424,753 | |
Total U.S. Government & Agency Obligations (Cost $779,997) | 779,703 | |||
U.S. Treasury Obligations 0.7% | ||||
U.S. Treasury | ||||
10/31/2023 | 0.375% | 825,000 | 811,884 | |
Total U.S. Treasury Obligations (Cost $812,051) | 811,884 |
Money Market Funds 13.0% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(f),(g) | 14,832,349 | 14,826,416 |
Total Money Market Funds (Cost $14,824,021) | 14,826,416 | |
Total Investments in Securities (Cost: $94,644,113) | 94,169,741 | |
Other Assets & Liabilities, Net | 19,959,955 | |
Net Assets | 114,129,696 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Brent Crude | 25 | 07/2023 | USD | 1,885,250 | 24,960 | — |
Brent Crude | 22 | 09/2023 | USD | 1,652,640 | — | (80,543) |
Brent Crude | 23 | 11/2023 | USD | 1,717,180 | — | (80,495) |
Brent Crude | 45 | 01/2024 | USD | 3,338,100 | 40,738 | — |
Cocoa | 4 | 09/2023 | USD | 134,120 | 16,262 | — |
Coffee | 3 | 09/2023 | USD | 178,875 | 14,887 | — |
Coffee | 24 | 12/2023 | USD | 1,422,900 | — | (137,562) |
Coffee | 24 | 03/2024 | USD | 1,427,850 | — | (197,414) |
12 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Long futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Copper | 4 | 09/2023 | USD | 375,950 | — | (4,640) |
Copper | 26 | 12/2023 | USD | 2,451,800 | — | (160,167) |
Copper | 26 | 03/2024 | USD | 2,456,025 | — | (46,039) |
Corn | 34 | 09/2023 | USD | 830,450 | — | (99,769) |
Corn | 82 | 12/2023 | USD | 2,028,475 | — | (252,201) |
Corn | 81 | 03/2024 | USD | 2,051,325 | — | (130,959) |
Cotton | 18 | 12/2023 | USD | 723,330 | 7,122 | — |
Cotton | 35 | 03/2024 | USD | 1,404,375 | — | (19,202) |
Gas Oil | 11 | 09/2023 | USD | 770,825 | 15,250 | — |
Gas Oil | 17 | 09/2023 | USD | 1,191,275 | — | (14,757) |
Gas Oil | 8 | 11/2023 | USD | 557,600 | — | (50,157) |
Gas Oil | 16 | 01/2024 | USD | 1,103,600 | — | (36,391) |
Gas Oil | 8 | 03/2024 | USD | 548,800 | 8,050 | — |
Gold 100 oz. | 20 | 08/2023 | USD | 3,858,800 | 270,277 | — |
Gold 100 oz. | 38 | 12/2023 | USD | 7,478,400 | 144,079 | — |
Gold 100 oz. | 37 | 02/2024 | USD | 7,354,860 | — | (285,573) |
Lead | 32 | 09/2023 | USD | 1,682,000 | 28,237 | — |
Lead | 4 | 11/2023 | USD | 209,650 | — | (183) |
Lead | 8 | 01/2024 | USD | 419,100 | — | (9,269) |
Lead | 4 | 03/2024 | USD | 209,700 | 3,509 | — |
Lean Hogs | 26 | 08/2023 | USD | 963,040 | 81,406 | — |
Lean Hogs | 15 | 10/2023 | USD | 470,250 | — | (61,604) |
Lean Hogs | 15 | 12/2023 | USD | 450,900 | — | (11,841) |
Lean Hogs | 29 | 02/2024 | USD | 936,990 | 13,454 | — |
Live Cattle | 22 | 08/2023 | USD | 1,559,140 | 148,118 | — |
Live Cattle | 13 | 10/2023 | USD | 933,660 | 87,155 | — |
Live Cattle | 12 | 12/2023 | USD | 880,920 | 73,074 | — |
Live Cattle | 24 | 02/2024 | USD | 1,794,720 | 87,717 | — |
Natural Gas | 11 | 08/2023 | USD | 305,140 | 11,534 | — |
Natural Gas | 49 | 08/2023 | USD | 1,359,260 | — | (114,275) |
Natural Gas | 1 | 10/2023 | USD | 32,110 | 1,635 | — |
Natural Gas | 48 | 10/2023 | USD | 1,541,280 | — | (49,434) |
Natural Gas | 83 | 12/2023 | USD | 3,194,670 | 78,733 | — |
Natural Gas | 46 | 02/2024 | USD | 1,611,380 | 56,189 | — |
Nickel | 1 | 09/2023 | USD | 123,054 | — | (41,416) |
Nickel | 4 | 11/2023 | USD | 495,408 | — | (79,955) |
Nickel | 8 | 01/2024 | USD | 998,400 | — | (146,665) |
Nickel | 4 | 03/2024 | USD | 502,680 | — | (22,306) |
NY Harbor ULSD Heat Oil | 1 | 08/2023 | USD | 102,564 | 5,983 | — |
NY Harbor ULSD Heat Oil | 19 | 08/2023 | USD | 1,948,716 | — | (2,333) |
NY Harbor ULSD Heat Oil | 4 | 10/2023 | USD | 408,341 | — | (32,209) |
NY Harbor ULSD Heat Oil | 8 | 12/2023 | USD | 811,440 | — | (24,750) |
NY Harbor ULSD Heat Oil | 4 | 02/2024 | USD | 401,705 | 9,664 | — |
Primary Aluminum | 9 | 09/2023 | USD | 483,188 | — | (61,398) |
Primary Aluminum | 17 | 11/2023 | USD | 922,038 | — | (104,142) |
Primary Aluminum | 34 | 01/2024 | USD | 1,864,688 | — | (153,008) |
Primary Aluminum | 17 | 03/2024 | USD | 943,181 | — | (38,173) |
RBOB Gasoline | 28 | 08/2023 | USD | 2,895,900 | 124,162 | — |
RBOB Gasoline | 6 | 10/2023 | USD | 543,362 | — | (13,832) |
RBOB Gasoline | 13 | 12/2023 | USD | 1,145,563 | — | (39,965) |
RBOB Gasoline | 7 | 02/2024 | USD | 620,134 | 11,568 | — |
Silver | 9 | 09/2023 | USD | 1,035,900 | — | (34,714) |
Silver | 17 | 12/2023 | USD | 1,983,645 | 109,142 | — |
Silver | 1 | 12/2023 | USD | 116,685 | — | (71) |
Silver | 18 | 03/2024 | USD | 2,129,580 | — | (174,054) |
Soybean | 18 | 11/2023 | USD | 1,208,925 | 86,848 | — |
Soybean | 49 | 01/2024 | USD | 3,299,538 | 187,381 | — |
Soybean | 25 | 03/2024 | USD | 1,657,500 | 138,267 | — |
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2023 | 13 |
June 30, 2023 (Unaudited)
Long futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Soybean Meal | 60 | 12/2023 | USD | 2,383,800 | 61,653 | — |
Soybean Meal | 5 | 12/2023 | USD | 198,650 | — | (6,870) |
Soybean Meal | 43 | 01/2024 | USD | 1,696,350 | 9,448 | — |
Soybean Meal | 4 | 01/2024 | USD | 157,800 | — | (5,978) |
Soybean Meal | 24 | 03/2024 | USD | 925,200 | 59,290 | — |
Soybean Oil | 62 | 12/2023 | USD | 2,193,684 | 169,280 | — |
Soybean Oil | 55 | 01/2024 | USD | 1,927,200 | 217,472 | — |
Soybean Oil | 28 | 03/2024 | USD | 964,992 | 102,671 | — |
Sugar #11 | 41 | 09/2023 | USD | 1,046,517 | 153,930 | — |
Sugar #11 | 40 | 02/2024 | USD | 1,025,472 | 4,104 | — |
Sugar #11 | 76 | 02/2024 | USD | 1,948,397 | — | (51,907) |
Wheat | 10 | 09/2023 | USD | 400,000 | 6,581 | — |
Wheat | 11 | 09/2023 | USD | 358,050 | — | (48,972) |
Wheat | 20 | 12/2023 | USD | 800,250 | — | (15,968) |
Wheat | 35 | 12/2023 | USD | 1,171,188 | — | (75,829) |
Wheat | 35 | 03/2024 | USD | 1,199,188 | 9,755 | — |
Wheat | 2 | 03/2024 | USD | 79,625 | 819 | — |
Wheat | 18 | 03/2024 | USD | 716,625 | — | (6,202) |
WTI Crude | 29 | 08/2023 | USD | 2,052,620 | — | (32,975) |
WTI Crude | 26 | 10/2023 | USD | 1,835,080 | — | (90,581) |
WTI Crude | 51 | 12/2023 | USD | 3,580,200 | — | (180,340) |
WTI Crude | 26 | 02/2024 | USD | 1,813,760 | 38,106 | — |
Zinc | 14 | 09/2023 | USD | 836,238 | — | (130,258) |
Zinc | 10 | 11/2023 | USD | 597,625 | — | (120,721) |
Zinc | 19 | 01/2024 | USD | 1,136,794 | — | (128,125) |
Zinc | 9 | 03/2024 | USD | 539,269 | 397 | — |
Total | 2,718,907 | (3,706,192) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 2-Year Note | (59) | 09/2023 | USD | (11,997,281) | 151,970 | — |
(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, 2023, the total value of these securities amounted to $23,133,318, which represents 20.27% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of June 30, 2023. |
(c) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of June 30, 2023. |
(d) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of June 30, 2023. |
(e) | Principal and interest may not be guaranteed by a governmental entity. |
(f) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
(g) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | ||||||||
53,530,926 | 32,428,654 | (71,128,416) | (4,748) | 14,826,416 | 2,328 | 586,160 | 14,832,349 |
14 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
CMO | Collateralized Mortgage Obligation |
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. |
■ | 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 | — | 33,001,235 | — | 33,001,235 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 2,829,488 | — | 2,829,488 |
Corporate Bonds & Notes | — | 38,685,876 | — | 38,685,876 |
Foreign Government Obligations | — | 781,529 | — | 781,529 |
Residential Mortgage-Backed Securities - Non-Agency | — | 2,453,610 | — | 2,453,610 |
U.S. Government & Agency Obligations | — | 779,703 | — | 779,703 |
U.S. Treasury Obligations | — | 811,884 | — | 811,884 |
Money Market Funds | 14,826,416 | — | — | 14,826,416 |
Total Investments in Securities | 14,826,416 | 79,343,325 | — | 94,169,741 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 2,870,877 | — | — | 2,870,877 |
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2023 | 15 |
June 30, 2023 (Unaudited)
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Liability | ||||
Futures Contracts | (3,706,192) | — | — | (3,706,192) |
Total | 13,991,101 | 79,343,325 | — | 93,334,426 |
16 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $79,820,092) | $79,343,325 |
Affiliated issuers (cost $14,824,021) | 14,826,416 |
Cash | 9,222,429 |
Margin deposits on: | |
Futures contracts | 9,067,724 |
Receivable for: | |
Investments sold | 269,657 |
Capital shares sold | 13,497 |
Dividends | 56,353 |
Interest | 358,877 |
Foreign tax reclaims | 4,845 |
Variation margin for futures contracts | 2,029,891 |
Expense reimbursement due from Investment Manager | 98 |
Prepaid expenses | 3,854 |
Total assets | 115,196,966 |
Liabilities | |
Payable for: | |
Investments purchased | 375,062 |
Capital shares redeemed | 134,289 |
Variation margin for futures contracts | 476,512 |
Management services fees | 1,945 |
Distribution and/or service fees | 239 |
Service fees | 5,316 |
Compensation of board members | 45,998 |
Compensation of chief compliance officer | 13 |
Other expenses | 27,896 |
Total liabilities | 1,067,270 |
Net assets applicable to outstanding capital stock | $114,129,696 |
Represented by | |
Paid in capital | 242,958,788 |
Total distributable earnings (loss) | (128,829,092) |
Total - representing net assets applicable to outstanding capital stock | $114,129,696 |
Class 1 | |
Net assets | $78,849,769 |
Shares outstanding | 16,753,668 |
Net asset value per share | $4.71 |
Class 2 | |
Net assets | $35,279,927 |
Shares outstanding | 7,645,020 |
Net asset value per share | $4.61 |
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2023 | 17 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — affiliated issuers | $586,160 |
Interest | 1,706,858 |
Interfund lending | 607 |
Foreign taxes withheld | (389) |
Total income | 2,293,236 |
Expenses: | |
Management services fees | 388,928 |
Distribution and/or service fees | |
Class 2 | 52,261 |
Service fees | 30,427 |
Compensation of board members | 7,582 |
Custodian fees | 10,707 |
Printing and postage fees | 3,929 |
Accounting services fees | 20,145 |
Legal fees | 6,763 |
Compensation of chief compliance officer | 12 |
Other | 6,050 |
Total expenses | 526,804 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (17,706) |
Total net expenses | 509,098 |
Net investment income | 1,784,138 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (137,136) |
Investments — affiliated issuers | 2,328 |
Futures contracts | (9,469,442) |
Increase from payment by affiliate (Note 6) | 15,987 |
Net realized loss | (9,588,263) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 490,557 |
Investments — affiliated issuers | (4,748) |
Futures contracts | (3,202,767) |
Net change in unrealized appreciation (depreciation) | (2,716,958) |
Net realized and unrealized loss | (12,305,221) |
Net decrease in net assets resulting from operations | $(10,521,083) |
18 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment income | $1,784,138 | $801,332 |
Net realized gain (loss) | (9,588,263) | 27,304,299 |
Net change in unrealized appreciation (depreciation) | (2,716,958) | (3,675,827) |
Net increase (decrease) in net assets resulting from operations | (10,521,083) | 24,429,804 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | — | (24,044,863) |
Class 2 | — | (12,866,164) |
Total distributions to shareholders | — | (36,911,027) |
Increase (decrease) in net assets from capital stock activity | (13,073,599) | 18,688,156 |
Total increase (decrease) in net assets | (23,594,682) | 6,206,933 |
Net assets at beginning of period | 137,724,378 | 131,517,445 |
Net assets at end of period | $114,129,696 | $137,724,378 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Shares sold | 126,334 | 611,985 | 641,720 | 4,356,555 |
Distributions reinvested | — | — | 4,571,267 | 24,044,863 |
Shares redeemed | (429,586) | (2,110,284) | (6,058,930) | (39,870,413) |
Net decrease | (303,252) | (1,498,299) | (845,943) | (11,468,995) |
Class 2 | ||||
Shares sold | 451,153 | 2,150,988 | 4,640,308 | 30,920,837 |
Distributions reinvested | — | — | 2,488,619 | 12,866,164 |
Shares redeemed | (2,897,364) | (13,726,288) | (2,169,967) | (13,629,850) |
Net increase (decrease) | (2,446,211) | (11,575,300) | 4,958,960 | 30,157,151 |
Total net increase (decrease) | (2,749,463) | (13,073,599) | 4,113,017 | 18,688,156 |
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2023 | 19 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Increase from payment by affiliate | Total from investment operations | Distributions from net investment income | Total distributions to shareholders | |
Class 1 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $5.11 | 0.07 | (0.47) | 0.00(c) | (0.40) | — | — |
Year Ended 12/31/2022 | $5.73 | 0.04 | 1.10 | — | 1.14 | (1.76) | (1.76) |
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) |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $5.01 | 0.06 | (0.46) | 0.00(c) | (0.40) | — | — |
Year Ended 12/31/2022 | $5.65 | 0.03 | 1.08 | — | 1.11 | (1.75) | (1.75) |
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) | — | — |
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) | Rounds to zero. |
(d) | 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%. |
(e) | 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 | 12/31/2022 | 12/31/2021 |
Class 1 | 0.01% | 0.01% |
Class 2 | less than 0.01% | 0.01% |
(f) | Ratios include interfund lending expense which is less than 0.01%. |
20 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2023 |
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 6/30/2023 (Unaudited) | $4.71 | (7.83%)(d) | 0.77% | 0.74% | 2.98% | 55% | $78,850 |
Year Ended 12/31/2022 | $5.11 | 19.09% | 0.75%(e) | 0.74%(e) | 0.58% | 93% | $87,123 |
Year Ended 12/31/2021 | $5.73 | 32.63% | 0.76%(e) | 0.76%(e) | (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%(f) | 0.66%(f) | 1.18% | 0% | $226,877 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $4.61 | (7.98%)(d) | 1.02% | 0.99% | 2.71% | 55% | $35,280 |
Year Ended 12/31/2022 | $5.01 | 18.70% | 1.01%(e) | 0.99%(e) | 0.48% | 93% | $50,602 |
Year Ended 12/31/2021 | $5.65 | 32.01% | 1.01%(e) | 1.01%(e) | (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%(f) | 0.92%(f) | 1.05% | 0% | $15,269 |
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2023 | 21 |
June 30, 2023 (Unaudited)
CVPCSF Offshore Fund, Ltd. | |
% of consolidated fund net assets | 17.31% |
Net assets | $19,759,415 |
Net investment income (loss) | 136,286 |
Net realized gain (loss) | (9,520,235) |
Net change in unrealized appreciation (depreciation) | (3,356,710) |
22 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2023 | 23 |
June 30, 2023 (Unaudited)
24 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Asset derivatives | ||
Risk exposure category | Consolidated statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 151,970* |
Commodity-related investment risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 2,718,907* |
Total | 2,870,877 |
Liability derivatives | ||
Risk exposure category | Consolidated statement of assets and liabilities location | Fair value ($) |
Commodity-related investment risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 3,706,192* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Consolidated Portfolio of Investments. Only the current day’s variation margin for futures and centrally cleared swaps, if any, is reported in receivables or payables in the Consolidated Statement of Assets and Liabilities. |
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2023 | 25 |
June 30, 2023 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Commodity-related investment risk | (9,520,236) |
Interest rate risk | 50,794 |
Total | (9,469,442) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Commodity-related investment risk | (3,356,711) |
Interest rate risk | 153,944 |
Total | (3,202,767) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 128,272,227 |
Futures contracts — short | 11,572,875 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2023. |
26 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2023 | 27 |
June 30, 2023 (Unaudited)
28 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Contractual expense cap July 1, 2023 through April 30, 2024 | Voluntary expense cap May 1, 2023 through June 30, 2023 | Contractual expense cap prior to May 1, 2023 | |
Class 1 | 0.76% | 0.74% | 0.74% |
Class 2 | 1.01 | 0.99 | 0.99 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
94,644,000 | 3,007,000 | (4,317,000) | (1,310,000) |
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
(57,780) | (247,142) | (304,922) |
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2023 | 29 |
June 30, 2023 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 614,286 | 4.96 | 7 |
30 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2023 | 31 |
June 30, 2023 (Unaudited)
32 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2023 | 33 |
• | 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. |
34 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2023 |
• | 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 one or more 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 2023 | 35 |
36 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2023 |
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2023 | 37 |
38 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 04/30/12 | 3.39 | 7.40 | 0.22 | 1.80 | |
Class 2 | 04/30/12 | 3.27 | 7.14 | -0.01 | 1.55 | |
JPMorgan Emerging Markets Bond Index-Global | 3.81 | 6.85 | 0.82 | 2.60 |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Quality breakdown (%) (at June 30, 2023) | |
AA rating | 9.5 |
A rating | 8.9 |
BBB rating | 30.5 |
BB rating | 24.3 |
B rating | 17.9 |
CCC rating | 1.9 |
CC rating | 3.4 |
C rating | 0.1 |
D rating | 0.5 |
Not rated | 3.0 |
Total | 100.0 |
Country breakdown (%) (at June 30, 2023) | |
Angola | 1.5 |
Argentina | 2.1 |
Azerbaijan | 0.6 |
Bahrain | 1.7 |
Brazil | 1.6 |
Chile | 0.6 |
China | 0.4 |
Colombia | 5.5 |
Croatia | 0.2 |
Dominican Republic | 3.8 |
Ecuador | 0.7 |
Egypt | 1.9 |
Ghana | 0.5 |
Country breakdown (%) (at June 30, 2023) | |
Guatemala | 0.9 |
Hong Kong | 0.5 |
Hungary | 1.2 |
India | 2.3 |
Indonesia | 6.2 |
Isle of Man | 0.2 |
Ivory Coast | 1.5 |
Jersey | 1.4 |
Jordan | 0.3 |
Kazakhstan | 2.6 |
Malaysia | 0.5 |
Mexico | 9.6 |
Mongolia | 0.4 |
Netherlands | 0.7 |
Nigeria | 1.2 |
Oman | 1.3 |
Pakistan | 0.4 |
Panama | 2.3 |
Paraguay | 1.8 |
Peru | 1.6 |
Philippines | 1.1 |
Qatar | 5.7 |
Romania | 1.4 |
Russian Federation | 0.7 |
Saudi Arabia | 6.2 |
Serbia | 0.3 |
South Africa | 1.6 |
Turkey | 4.9 |
Ukraine | 0.9 |
United Arab Emirates | 3.8 |
United Kingdom | 0.5 |
United States(a) | 11.3 |
Venezuela | 0.2 |
Virgin Islands | 3.4 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds. |
4 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,033.90 | 1,021.19 | 3.80 | 3.78 | 0.75 |
Class 2 | 1,000.00 | 1,000.00 | 1,032.70 | 1,019.95 | 5.07 | 5.04 | 1.00 |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes 11.5% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Brazil 0.4% | ||||
Hidrovias International Finance Sarl(a) | ||||
02/08/2031 | 4.950% | 1,845,000 | 1,476,459 | |
China 0.4% | ||||
Country Garden Holdings Co., Ltd.(a) | ||||
07/12/2026 | 2.700% | 4,800,000 | 1,486,429 | |
Colombia 0.9% | ||||
Banco de Bogota SA(a) | ||||
Subordinated | ||||
05/12/2026 | 6.250% | 535,000 | 517,178 | |
Millicom International Cellular SA(a) | ||||
01/15/2028 | 5.125% | 1,800,000 | 1,580,301 | |
03/25/2029 | 6.250% | 1,080,000 | 967,860 | |
03/25/2029 | 6.250% | 810,000 | 725,895 | |
Total | 3,791,234 | |||
Guatemala 0.5% | ||||
Energuate Trust(a) | ||||
05/03/2027 | 5.875% | 1,650,000 | 1,533,214 | |
05/03/2027 | 5.875% | 650,000 | 603,994 | |
Total | 2,137,208 | |||
Hong Kong 0.5% | ||||
Xiaomi Best Time International Ltd.(a) | ||||
07/14/2031 | 2.875% | 2,800,000 | 2,126,441 | |
India 1.0% | ||||
Adani Electricity Mumbai Ltd.(a) | ||||
02/12/2030 | 3.949% | 1,900,000 | 1,423,514 | |
Adani Ports & Special Economic Zone Ltd.(a) | ||||
08/04/2027 | 4.200% | 2,900,000 | 2,482,120 | |
Total | 3,905,634 | |||
Isle of Man 0.2% | ||||
AngloGold Ashanti Holdings PLC | ||||
10/01/2030 | 3.750% | 735,000 | 626,961 | |
Jersey 1.3% | ||||
Galaxy Pipeline Assets Bidco Ltd.(a) | ||||
03/31/2036 | 2.625% | 2,600,000 | 2,100,725 | |
09/30/2040 | 2.940% | 3,989,370 | 3,208,373 | |
Total | 5,309,098 | |||
Jordan 0.3% | ||||
Jordan Government International Bond(a) | ||||
01/13/2029 | 7.500% | 1,030,000 | 1,030,230 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Netherlands 0.7% | ||||
Braskem Netherlands Finance BV(a) | ||||
01/31/2050 | 5.875% | 2,800,000 | 2,263,331 | |
Mong Duong Finance Holdings BV(a) | ||||
05/07/2029 | 5.125% | 430,000 | 377,524 | |
Total | 2,640,855 | |||
Russian Federation 0.3% | ||||
Phosagro OAO Via Phosagro Bond Funding DAC(a) | ||||
09/16/2028 | 2.600% | 2,128,000 | 1,365,659 | |
Saudi Arabia 0.8% | ||||
Greensaif Pipelines Bidco Sarl(a) | ||||
02/23/2038 | 6.129% | 3,200,000 | 3,267,816 | |
Turkey 0.5% | ||||
Turk Telekomunikasyon AS(a) | ||||
02/28/2025 | 6.875% | 2,000,000 | 1,894,061 | |
United Kingdom 0.4% | ||||
Tullow Oil PLC(a) | ||||
03/01/2025 | 7.000% | 2,900,000 | 1,784,982 | |
Virgin Islands 3.3% | ||||
Gold Fields Orogen Holdings BVI Ltd.(a) | ||||
05/15/2029 | 6.125% | 2,900,000 | 2,932,137 | |
JGSH Philippines Ltd.(a) | ||||
07/09/2030 | 4.125% | 8,211,000 | 7,437,235 | |
Studio City Finance Ltd.(a) | ||||
01/15/2029 | 5.000% | 3,880,000 | 2,897,102 | |
Total | 13,266,474 | |||
Total Corporate Bonds & Notes (Cost $50,567,739) | 46,109,541 | |||
Foreign Government Obligations(b),(c) 74.1% | ||||
Angola 1.5% | ||||
Angolan Government International Bond(a) | ||||
11/26/2029 | 8.000% | 5,200,000 | 4,414,345 | |
05/08/2048 | 9.375% | 1,900,000 | 1,507,455 | |
Total | 5,921,800 | |||
Argentina 2.0% | ||||
Argentine Republic Government International Bond(d) | ||||
07/09/2035 | 0.500% | 26,500,000 | 7,943,741 | |
07/09/2046 | 0.500% | 720,000 | 216,873 | |
Total | 8,160,614 |
6 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Foreign Government Obligations(b),(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Azerbaijan 0.6% | ||||
Republic of Azerbaijan International Bond(a) | ||||
09/01/2032 | 3.500% | 2,900,000 | 2,481,791 | |
Bahrain 1.6% | ||||
Bahrain Government International Bond(a) | ||||
05/18/2034 | 5.625% | 3,480,000 | 3,028,031 | |
CBB International Sukuk Programme Co. WLL(a) | ||||
05/18/2029 | 3.875% | 3,867,000 | 3,461,026 | |
Total | 6,489,057 | |||
Brazil 1.2% | ||||
Brazil Minas SPE via State of Minas Gerais(a) | ||||
02/15/2028 | 5.333% | 150,000 | 147,266 | |
Brazilian Government International Bond | ||||
06/12/2030 | 3.875% | 3,002,000 | 2,666,645 | |
01/07/2041 | 5.625% | 446,000 | 395,033 | |
01/27/2045 | 5.000% | 1,900,000 | 1,484,836 | |
Total | 4,693,780 | |||
Chile 0.6% | ||||
Chile Government International Bond | ||||
01/25/2050 | 3.500% | 1,750,000 | 1,316,819 | |
Empresa Nacional del Petroleo(a) | ||||
05/10/2033 | 6.150% | 881,000 | 880,399 | |
Total | 2,197,218 | |||
Colombia 4.4% | ||||
Colombia Government International Bond | ||||
01/30/2030 | 3.000% | 9,800,000 | 7,629,801 | |
04/15/2031 | 3.125% | 6,640,000 | 5,028,157 | |
04/22/2032 | 3.250% | 2,800,000 | 2,072,556 | |
Ecopetrol SA | ||||
04/29/2030 | 6.875% | 2,971,000 | 2,704,604 | |
Total | 17,435,118 | |||
Croatia 0.2% | ||||
Croatia Government International Bond(a) | ||||
01/26/2024 | 6.000% | 861,000 | 860,039 | |
Dominican Republic 3.6% | ||||
Dominican Republic International Bond(a) | ||||
01/25/2027 | 5.950% | 4,035,000 | 3,954,808 | |
01/30/2030 | 4.500% | 4,845,000 | 4,244,733 | |
09/23/2032 | 4.875% | 4,653,000 | 3,964,772 | |
01/27/2045 | 6.850% | 271,000 | 246,060 | |
06/05/2049 | 6.400% | 2,500,000 | 2,123,076 | |
Total | 14,533,449 |
Foreign Government Obligations(b),(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Ecuador 0.7% | ||||
Ecuador Government International Bond(a),(d) | ||||
07/31/2030 | 5.500% | 2,805,037 | 1,359,260 | |
07/31/2035 | 2.500% | 1,708,842 | 594,492 | |
07/31/2040 | 1.500% | 2,342,250 | 726,965 | |
Total | 2,680,717 | |||
Egypt 1.8% | ||||
Egypt Government International Bond(a) | ||||
04/16/2030 | 5.625% | EUR | 2,200,000 | 1,327,947 |
04/11/2031 | 6.375% | EUR | 3,300,000 | 1,995,067 |
09/30/2033 | 7.300% | 5,000,000 | 2,751,264 | |
02/21/2048 | 7.903% | 2,100,000 | 1,077,019 | |
Total | 7,151,297 | |||
Ghana 0.4% | ||||
Ghana Government International Bond(a),(e) | ||||
03/26/2051 | 0.000% | 4,300,000 | 1,782,431 | |
Guatemala 0.3% | ||||
Guatemala Government Bond(a) | ||||
10/07/2033 | 3.700% | 909,000 | 733,605 | |
06/01/2050 | 6.125% | 489,000 | 448,942 | |
Total | 1,182,547 | |||
Hungary 1.2% | ||||
Hungary Government International Bond(a) | ||||
09/22/2031 | 2.125% | 2,780,000 | 2,152,676 | |
09/21/2051 | 3.125% | 3,163,000 | 1,972,159 | |
09/25/2052 | 6.750% | 659,000 | 680,389 | |
Total | 4,805,224 | |||
India 1.2% | ||||
Export-Import Bank of India(a) | ||||
01/15/2030 | 3.250% | 5,600,000 | 4,961,296 | |
Indonesia 6.0% | ||||
Indonesia Asahan Aluminium Persero PT(a) | ||||
05/15/2050 | 5.800% | 6,200,000 | 5,531,855 | |
Indonesia Government International Bond | ||||
09/18/2029 | 3.400% | 1,900,000 | 1,754,796 | |
10/30/2049 | 3.700% | 6,200,000 | 4,945,081 | |
03/31/2052 | 4.300% | 751,000 | 648,575 | |
Indonesia Government International Bond(a) | ||||
01/15/2045 | 5.125% | 3,000,000 | 2,990,819 | |
Indonesia Treasury Bond | ||||
04/15/2032 | 6.375% | IDR | 67,700,000,000 | 4,541,967 |
Perusahaan Penerbit SBSN Indonesia III(a) | ||||
06/23/2025 | 2.300% | 1,455,000 | 1,378,758 |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2023 | 7 |
June 30, 2023 (Unaudited)
Foreign Government Obligations(b),(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara(a) | ||||
06/30/2050 | 4.000% | 700,000 | 506,788 | |
PT Perusahaan Listrik Negara(a) | ||||
07/17/2049 | 4.875% | 2,100,000 | 1,736,545 | |
Total | 24,035,184 | |||
Ivory Coast 1.5% | ||||
Ivory Coast Government International Bond(a) | ||||
07/23/2024 | 5.375% | 300,000 | 291,494 | |
10/17/2031 | 5.875% | EUR | 5,300,000 | 4,838,320 |
06/15/2033 | 6.125% | 800,000 | 699,668 | |
Total | 5,829,482 | |||
Kazakhstan 2.5% | ||||
KazMunayGas National Co. JSC(a) | ||||
04/19/2027 | 4.750% | 5,550,000 | 5,275,520 | |
04/24/2030 | 5.375% | 3,600,000 | 3,350,084 | |
04/19/2047 | 5.750% | 1,573,000 | 1,286,771 | |
Total | 9,912,375 | |||
Malaysia 0.5% | ||||
Petronas Capital Ltd.(a) | ||||
04/21/2030 | 3.500% | 2,055,000 | 1,906,209 | |
Mexico 9.3% | ||||
Comision Federal de Electricidad(a) | ||||
07/26/2033 | 3.875% | 6,000,000 | 4,646,019 | |
Mexican Bonos | ||||
05/31/2029 | 8.500% | MXN | 15,000,000 | 866,970 |
Mexico Government International Bond | ||||
04/16/2030 | 3.250% | 6,950,000 | 6,191,851 | |
01/15/2047 | 4.350% | 2,300,000 | 1,845,646 | |
02/10/2048 | 4.600% | 2,800,000 | 2,309,799 | |
Petroleos Mexicanos(a) | ||||
09/12/2024 | 7.190% | MXN | 600,000 | 32,643 |
02/07/2033 | 10.000% | 1,281,000 | 1,172,804 | |
Petroleos Mexicanos | ||||
11/12/2026 | 7.470% | MXN | 4,700,000 | 231,678 |
01/28/2031 | 5.950% | 6,908,000 | 5,045,476 | |
02/16/2032 | 6.700% | 9,500,000 | 7,237,208 | |
01/23/2045 | 6.375% | 6,900,000 | 4,238,326 | |
09/21/2047 | 6.750% | 2,893,000 | 1,811,528 | |
01/23/2050 | 7.690% | 2,029,000 | 1,373,911 | |
Total | 37,003,859 | |||
Mongolia 0.4% | ||||
Mongolia Government International Bond(a) | ||||
01/19/2028 | 8.650% | 488,000 | 493,667 | |
07/07/2031 | 4.450% | 1,500,000 | 1,173,605 | |
Total | 1,667,272 |
Foreign Government Obligations(b),(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Nigeria 1.1% | ||||
Nigeria Government International Bond(a) | ||||
09/28/2028 | 6.125% | 1,600,000 | 1,332,254 | |
09/28/2033 | 7.375% | 2,300,000 | 1,811,713 | |
11/28/2047 | 7.625% | 1,900,000 | 1,358,478 | |
Total | 4,502,445 | |||
Oman 1.2% | ||||
Oman Government International Bond(a) | ||||
01/25/2031 | 6.250% | 1,846,000 | 1,872,779 | |
01/17/2048 | 6.750% | 3,200,000 | 3,081,773 | |
Total | 4,954,552 | |||
Pakistan 0.4% | ||||
Pakistan Government International Bond(a) | ||||
09/30/2025 | 8.250% | 529,000 | 286,725 | |
12/05/2027 | 6.875% | 1,400,000 | 668,349 | |
04/08/2031 | 7.375% | 1,395,000 | 646,831 | |
Total | 1,601,905 | |||
Panama 2.2% | ||||
Panama Government International Bond | ||||
03/16/2025 | 3.750% | 950,000 | 919,509 | |
09/29/2032 | 2.252% | 2,800,000 | 2,139,145 | |
01/19/2033 | 3.298% | 2,978,000 | 2,486,566 | |
02/14/2035 | 6.400% | 1,428,000 | 1,490,554 | |
01/19/2063 | 4.500% | 2,435,000 | 1,781,547 | |
Total | 8,817,321 | |||
Paraguay 1.8% | ||||
Paraguay Government International Bond(a) | ||||
06/28/2033 | 3.849% | 2,000,000 | 1,739,303 | |
08/11/2044 | 6.100% | 5,068,000 | 4,824,015 | |
03/30/2050 | 5.400% | 675,000 | 578,643 | |
Total | 7,141,961 | |||
Peru 1.5% | ||||
Peruvian Government International Bond | ||||
01/15/2034 | 3.000% | 1,519,000 | 1,260,557 | |
11/18/2050 | 5.625% | 4,717,000 | 4,836,796 | |
Total | 6,097,353 | |||
Philippines 1.1% | ||||
Philippine Government International Bond | ||||
07/06/2046 | 3.200% | 5,900,000 | 4,373,784 | |
Qatar 5.5% | ||||
Ooredoo International Finance Ltd.(a) | ||||
04/08/2031 | 2.625% | 1,367,000 | 1,181,125 |
8 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Foreign Government Obligations(b),(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Qatar Government International Bond(a) | ||||
04/23/2028 | 4.500% | 200,000 | 200,019 | |
03/14/2029 | 4.000% | 7,350,000 | 7,180,450 | |
04/16/2030 | 3.750% | 4,600,000 | 4,425,000 | |
04/23/2048 | 5.103% | 2,000,000 | 1,994,770 | |
03/14/2049 | 4.817% | 3,490,000 | 3,355,999 | |
04/16/2050 | 4.400% | 600,000 | 545,924 | |
Qatar Petroleum(a) | ||||
07/12/2031 | 2.250% | 3,738,000 | 3,134,444 | |
Total | 22,017,731 | |||
Romania 1.3% | ||||
Romanian Government International Bond(a) | ||||
02/27/2027 | 3.000% | 3,116,000 | 2,823,838 | |
02/14/2051 | 4.000% | 3,500,000 | 2,508,847 | |
Total | 5,332,685 | |||
Russian Federation 0.4% | ||||
Gazprom PJSC via Gaz Finance PLC(a),(f) | ||||
02/25/2030 | 3.250% | 2,254,000 | 1,397,480 | |
Saudi Arabia 5.1% | ||||
Gaci First Investment Co.(a) | ||||
02/14/2053 | 5.125% | 6,600,000 | 5,931,106 | |
KSA Sukuk Ltd.(a) | ||||
10/29/2029 | 2.969% | 1,000,000 | 899,571 | |
Saudi Arabian Oil Co.(a) | ||||
11/24/2030 | 2.250% | 2,280,000 | 1,896,612 | |
Saudi Government International Bond(a) | ||||
07/18/2033 | 4.875% | 1,830,000 | 1,831,012 | |
01/21/2055 | 3.750% | 5,400,000 | 4,087,727 | |
01/21/2055 | 3.750% | 3,558,000 | 2,693,358 | |
02/02/2061 | 3.450% | 4,500,000 | 3,173,053 | |
Total | 20,512,439 | |||
Serbia 0.3% | ||||
Serbia International Bond(a) | ||||
12/01/2030 | 2.125% | 1,582,000 | 1,215,101 | |
South Africa 1.6% | ||||
Eskom Holdings SOC Ltd.(a) | ||||
02/11/2025 | 7.125% | 3,100,000 | 3,042,836 | |
Republic of South Africa Government International Bond | ||||
09/30/2049 | 5.750% | 2,900,000 | 2,056,477 | |
04/20/2052 | 7.300% | 1,400,000 | 1,179,996 | |
Total | 6,279,309 |
Foreign Government Obligations(b),(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Turkey 4.3% | ||||
Turkey Government International Bond | ||||
04/14/2026 | 4.250% | 3,300,000 | 2,946,606 | |
02/17/2028 | 5.125% | 8,000,000 | 6,959,309 | |
03/14/2029 | 9.375% | 3,200,000 | 3,208,890 | |
04/26/2029 | 7.625% | 3,800,000 | 3,582,667 | |
05/11/2047 | 5.750% | 500,000 | 343,059 | |
Total | 17,040,531 | |||
Ukraine 0.9% | ||||
Ukraine Government International Bond(a) | ||||
09/01/2028 | 7.750% | 9,400,000 | 2,232,297 | |
05/21/2031 | 6.876% | 5,109,000 | 1,160,357 | |
Total | 3,392,654 | |||
United Arab Emirates 3.7% | ||||
Abu Dhabi Government International Bond(a) | ||||
09/30/2029 | 2.500% | 1,600,000 | 1,434,977 | |
09/30/2049 | 3.125% | 3,000,000 | 2,199,122 | |
04/16/2050 | 3.875% | 490,000 | 412,827 | |
Abu Dhabi Ports Co. PJSC(a) | ||||
05/06/2031 | 2.500% | 2,500,000 | 2,117,885 | |
DP World PLC(a) | ||||
07/02/2037 | 6.850% | 5,900,000 | 6,400,268 | |
MDGH GMTN (RSC), Ltd.(a) | ||||
04/28/2033 | 5.500% | 1,808,000 | 1,901,340 | |
MDGH GMTN RSC Ltd.(a) | ||||
05/22/2053 | 5.084% | 279,000 | 278,587 | |
Total | 14,745,006 | |||
Venezuela 0.2% | ||||
Petroleos de Venezuela SA(a),(e) | ||||
05/16/2024 | 0.000% | 12,559,928 | 386,697 | |
Venezuela Government International Bond(a),(e) | ||||
10/13/2024 | 0.000% | 4,300,000 | 358,497 | |
Total | 745,194 | |||
Total Foreign Government Obligations (Cost $367,125,992) | 295,858,210 |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2023 | 9 |
June 30, 2023 (Unaudited)
Money Market Funds 10.9% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(g),(h) | 43,420,844 | 43,403,476 |
Total Money Market Funds (Cost $43,401,123) | 43,403,476 | |
Total Investments in Securities (Cost $461,094,854) | 385,371,227 | |
Other Assets & Liabilities, Net | 13,997,767 | |
Net Assets | $399,368,994 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
8,090,623 EUR | 8,653,528 USD | Citi | 07/13/2023 | — | (178,778) |
20,742,607 MXN | 1,178,792 USD | Citi | 07/13/2023 | — | (30,988) |
Total | — | (209,766) |
(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, 2023, the total value of these securities amounted to $227,273,451, which represents 56.91% of total net assets. |
(b) | Principal amounts are denominated in United States Dollars unless otherwise noted. |
(c) | Principal and interest may not be guaranteed by a governmental entity. |
(d) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of June 30, 2023. |
(e) | Represents a security in default. |
(f) | As a result of sanctions and restricted cross-border payments, certain income and/or principal has not been recognized by the Fund. The Fund will continue to monitor the net realizable value and record the income when it is considered collectible. |
(g) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
(h) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | ||||||||
57,375,369 | 70,252,865 | (84,215,547) | (9,211) | 43,403,476 | 7,493 | 994,923 | 43,420,844 |
EUR | Euro |
IDR | Indonesian Rupiah |
MXN | Mexican Peso |
USD | US Dollar |
10 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2023 |
June 30, 2023 (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 | ||||
Corporate Bonds & Notes | — | 46,109,541 | — | 46,109,541 |
Foreign Government Obligations | — | 295,858,210 | — | 295,858,210 |
Money Market Funds | 43,403,476 | — | — | 43,403,476 |
Total Investments in Securities | 43,403,476 | 341,967,751 | — | 385,371,227 |
Investments in Derivatives | ||||
Liability | ||||
Forward Foreign Currency Exchange Contracts | — | (209,766) | — | (209,766) |
Total | 43,403,476 | 341,757,985 | — | 385,161,461 |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2023 | 11 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $417,693,731) | $341,967,751 |
Affiliated issuers (cost $43,401,123) | 43,403,476 |
Cash | 38,276 |
Foreign currency (cost $775,028) | 786,392 |
Receivable for: | |
Investments sold | 5,497,483 |
Capital shares sold | 1,846,789 |
Dividends | 176,601 |
Interest | 6,262,291 |
Foreign tax reclaims | 6,056 |
Prepaid expenses | 4,997 |
Total assets | 399,990,112 |
Liabilities | |
Unrealized depreciation on forward foreign currency exchange contracts | 209,766 |
Payable for: | |
Capital shares redeemed | 261,576 |
Foreign capital gains taxes deferred | 6,340 |
Management services fees | 6,442 |
Distribution and/or service fees | 1,333 |
Service fees | 61,586 |
Compensation of board members | 56,680 |
Compensation of chief compliance officer | 38 |
Other expenses | 17,357 |
Total liabilities | 621,118 |
Net assets applicable to outstanding capital stock | $399,368,994 |
Represented by | |
Paid in capital | 523,147,297 |
Total distributable earnings (loss) | (123,778,303) |
Total - representing net assets applicable to outstanding capital stock | $399,368,994 |
Class 1 | |
Net assets | $201,991,898 |
Shares outstanding | 26,714,285 |
Net asset value per share | $7.56 |
Class 2 | |
Net assets | $197,377,096 |
Shares outstanding | 26,123,227 |
Net asset value per share | $7.56 |
12 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — affiliated issuers | $994,923 |
Interest | 11,277,561 |
Interfund lending | 4,424 |
Foreign taxes withheld | (19,960) |
Total income | 12,256,948 |
Expenses: | |
Management services fees | 1,229,640 |
Distribution and/or service fees | |
Class 2 | 245,728 |
Service fees | 254,539 |
Compensation of board members | 9,850 |
Custodian fees | 14,390 |
Printing and postage fees | 4,514 |
Accounting services fees | 15,958 |
Legal fees | 8,693 |
Compensation of chief compliance officer | 41 |
Other | 5,794 |
Total expenses | 1,789,147 |
Net investment income | 10,467,801 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (9,834,025) |
Investments — affiliated issuers | 7,493 |
Foreign currency translations | 58,431 |
Forward foreign currency exchange contracts | (83,144) |
Net realized loss | (9,851,245) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 12,728,107 |
Investments — affiliated issuers | (9,211) |
Foreign currency translations | (8,898) |
Forward foreign currency exchange contracts | (160,807) |
Foreign capital gains tax | (6,340) |
Net change in unrealized appreciation (depreciation) | 12,542,851 |
Net realized and unrealized gain | 2,691,606 |
Net increase in net assets resulting from operations | $13,159,407 |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2023 | 13 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment income | $10,467,801 | $18,268,279 |
Net realized loss | (9,851,245) | (22,351,247) |
Net change in unrealized appreciation (depreciation) | 12,542,851 | (77,138,659) |
Net increase (decrease) in net assets resulting from operations | 13,159,407 | (81,221,627) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (5,831,834) | (9,636,284) |
Class 2 | (5,235,587) | (8,650,294) |
Total distributions to shareholders | (11,067,421) | (18,286,578) |
Increase (decrease) in net assets from capital stock activity | (18,682,386) | 15,967,722 |
Total decrease in net assets | (16,590,400) | (83,540,483) |
Net assets at beginning of period | 415,959,394 | 499,499,877 |
Net assets at end of period | $399,368,994 | $415,959,394 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Shares sold | 1,011,353 | 7,672,222 | 2,957,970 | 23,863,112 |
Distributions reinvested | 775,137 | 5,831,834 | 1,270,433 | 9,636,284 |
Shares redeemed | (3,839,085) | (28,991,956) | (2,023,042) | (15,900,645) |
Net increase (decrease) | (2,052,595) | (15,487,900) | 2,205,361 | 17,598,751 |
Class 2 | ||||
Shares sold | 247,568 | 1,872,058 | 1,160,162 | 9,490,508 |
Distributions reinvested | 695,825 | 5,235,587 | 1,141,046 | 8,650,294 |
Shares redeemed | (1,350,150) | (10,302,131) | (2,533,299) | (19,771,831) |
Net decrease | (406,757) | (3,194,486) | (232,091) | (1,631,029) |
Total net increase (decrease) | (2,459,352) | (18,682,386) | 1,973,270 | 15,967,722 |
14 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2023 |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2023 | 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 6/30/2023 (Unaudited) | $7.52 | 0.20 | 0.05 | 0.25 | (0.21) | (0.21) |
Year Ended 12/31/2022 | $9.37 | 0.34 | (1.85) | (1.51) | (0.34) | (0.34) |
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) |
Class 2 | ||||||
Six Months Ended 6/30/2023 (Unaudited) | $7.52 | 0.19 | 0.05 | 0.24 | (0.20) | (0.20) |
Year Ended 12/31/2022 | $9.36 | 0.32 | (1.83) | (1.51) | (0.33) | (0.33) |
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) |
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) | Ratios include interest on collateral expense which is less than 0.01%. |
16 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2023 |
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 6/30/2023 (Unaudited) | $7.56 | 3.39% | 0.75% | 0.75% | 5.23% | 17% | $201,992 |
Year Ended 12/31/2022 | $7.52 | (16.03%) | 0.75% | 0.75% | 4.37% | 22% | $216,467 |
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%(c) | 0.75%(c) | 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%(c) | 0.76%(c) | 5.53% | 64% | $103,590 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $7.56 | 3.27% | 1.00% | 1.00% | 4.98% | 17% | $197,377 |
Year Ended 12/31/2022 | $7.52 | (16.16%) | 1.00% | 1.00% | 4.11% | 22% | $199,492 |
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%(c) | 1.00%(c) | 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%(c) | 1.02%(c) | 5.32% | 64% | $121,570 |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2023 | 17 |
June 30, 2023 (Unaudited)
18 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2023 | 19 |
June 30, 2023 (Unaudited)
20 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 209,766 |
Amount of realized gain (loss) on derivatives recognized in income | |
Risk exposure category | Forward foreign currency exchange contracts ($) |
Foreign exchange risk | (83,144) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |
Risk exposure category | Forward foreign currency exchange contracts ($) |
Foreign exchange risk | (160,807) |
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 14,528 | (122,119) |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2023. |
Citi ($) | |
Liabilities | |
Forward foreign currency exchange contracts | 209,766 |
Total financial and derivative net assets | (209,766) |
Total collateral received (pledged) (a) | — |
Net amount (b) | (209,766) |
(a) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Represents the net amount due from/(to) counterparties in the event of default. |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2023 | 21 |
June 30, 2023 (Unaudited)
22 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2023 | 23 |
June 30, 2023 (Unaudited)
May 1, 2023 through April 30, 2024 | Prior to May 1, 2023 | |
Class 1 | 0.77% | 0.80% |
Class 2 | 1.02 | 1.05 |
24 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
461,095,000 | 2,107,000 | (78,041,000) | (75,934,000) |
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
(13,682,894) | (23,351,137) | (37,034,031) |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2023 | 25 |
June 30, 2023 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 3,266,667 | 5.38 | 9 |
26 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2023 | 27 |
June 30, 2023 (Unaudited)
28 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2023 | 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 2023 |
(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 one or more 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 2023 | 31 |
(Unaudited)
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
32 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2023 |
(Unaudited)
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 2023 | 33 |
June 30, 2023 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1* | 06/25/14 | 13.06 | 11.75 | 8.35 | 8.50 | |
Class 2* | 06/25/14 | 12.93 | 11.47 | 8.09 | 8.24 | |
Class 3 | 04/30/86 | 12.98 | 11.61 | 8.21 | 8.36 | |
Blended Benchmark | 10.81 | 11.24 | 7.94 | 8.45 | ||
S&P 500 Index | 16.89 | 19.59 | 12.31 | 12.86 | ||
Bloomberg U.S. Aggregate Bond Index | 2.09 | -0.94 | 0.77 | 1.52 |
* | 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 2023 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2023) | |
Asset-Backed Securities — Non-Agency | 5.3 |
Commercial Mortgage-Backed Securities - Non-Agency | 4.6 |
Common Stocks | 53.4 |
Convertible Bonds | 0.0(a) |
Corporate Bonds & Notes | 6.5 |
Exchange-Traded Equity Funds | 1.7 |
Foreign Government Obligations | 0.0(a) |
Money Market Funds | 8.5 |
Residential Mortgage-Backed Securities - Agency | 10.8 |
Residential Mortgage-Backed Securities - Non-Agency | 8.9 |
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 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | |||||||
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 | 1,130.60 | 1,021.19 | 3.98 | 3.78 | 0.75 |
Class 2 | 1,000.00 | 1,000.00 | 1,129.30 | 1,019.95 | 5.31 | 5.04 | 1.00 |
Class 3 | 1,000.00 | 1,000.00 | 1,129.80 | 1,020.54 | 4.67 | 4.43 | 0.88 |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (Unaudited)
Asset-Backed Securities — Non-Agency 5.9% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
ACM Auto Trust(a) | ||||
Subordinated Series 2022-1A Class C | ||||
04/20/2029 | 5.480% | 1,483,914 | 1,475,772 | |
ALM Ltd.(a),(b) | ||||
Series 2022-20A Class A2 | ||||
3-month Term SOFR + 2.000% Floor 2.000% 07/15/2037 | 6.986% | 1,300,000 | 1,298,444 | |
American Credit Acceptance Receivables Trust(a) | ||||
Series 2020-1 Class D | ||||
03/13/2026 | 2.390% | 1,202,611 | 1,191,394 | |
Subordinated Series 2021-1 Class C | ||||
03/15/2027 | 0.830% | 432,974 | 428,099 | |
Subordinated Series 2021-2 Class E | ||||
07/13/2027 | 2.540% | 600,000 | 554,034 | |
Apidos CLO XI(a),(b) | ||||
Series 2012-11A Class BR3 | ||||
3-month USD LIBOR + 1.650% Floor 1.650% 04/17/2034 | 6.910% | 1,925,000 | 1,874,681 | |
Apidos CLO XXVIII(a),(b) | ||||
Series 2017-28A Class A1B | ||||
3-month USD LIBOR + 1.150% Floor 1.150% 01/20/2031 | 6.400% | 900,000 | 881,340 | |
Aqua Finance Trust(a) | ||||
Series 2021-A Class A | ||||
07/17/2046 | 1.540% | 498,279 | 440,154 | |
ARES XLVII CLO Ltd.(a),(b) | ||||
Series 2018-47A Class B | ||||
3-month USD LIBOR + 1.450% Floor 1.450% 04/15/2030 | 6.710% | 550,000 | 534,417 | |
Avant Loans Funding Trust(a) | ||||
Subordinated Series 2021-REV1 Class C | ||||
07/15/2030 | 2.300% | 325,000 | 302,392 | |
Avis Budget Rental Car Funding AESOP LLC(a) | ||||
Series 2021-1A Class A | ||||
08/20/2027 | 1.380% | 4,000,000 | 3,513,550 | |
Bain Capital Credit CLO Ltd.(a),(b) | ||||
Series 2021-7A Class B | ||||
3-month USD LIBOR + 1.650% Floor 1.650% 01/22/2035 | 6.923% | 2,425,000 | 2,327,071 | |
Ballyrock CLO Ltd.(a),(b) | ||||
Series 2018-1A Class A1 | ||||
3-month USD LIBOR + 1.000% 04/20/2031 | 6.250% | 550,000 | 545,232 |
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 | 6.960% | 3,450,000 | 3,385,578 | |
Basswood Park CLO Ltd.(a),(b) | ||||
Series 2021-1A Class A | ||||
3-month Term SOFR + 1.262% Floor 1.000% 04/20/2034 | 6.250% | 1,025,000 | 1,004,801 | |
Carbone CLO Ltd.(a),(b) | ||||
Series 2017-1A Class A1 | ||||
3-month USD LIBOR + 1.140% Floor 1.140% 01/20/2031 | 6.390% | 2,287,928 | 2,267,847 | |
Carlyle CLO Ltd.(a),(b) | ||||
Series C17A Class CR | ||||
3-month USD LIBOR + 2.800% Floor 2.800% 04/30/2031 | 8.099% | 500,000 | 463,316 | |
Carmax Auto Owner Trust | ||||
Subordinated Series 2021-1 Class C | ||||
12/15/2026 | 0.940% | 275,000 | 249,444 | |
Cascade Funding Mortgage Trust(a) | ||||
CMO Series 2021-GRN1 Class A | ||||
03/20/2041 | 1.100% | 445,975 | 410,502 | |
Crossroads Asset Trust(a) | ||||
Subordinated Series 2021-A Class B | ||||
06/20/2025 | 1.120% | 87,651 | 87,117 | |
Drive Auto Receivables Trust | ||||
Subordinated Series 2020-2 Class D | ||||
05/15/2028 | 3.050% | 575,000 | 562,111 | |
Subordinated Series 2021-2 Class D | ||||
03/15/2029 | 1.390% | 3,410,000 | 3,183,659 | |
Dryden CLO Ltd.(a),(b) | ||||
Series 2018-55A Class A1 | ||||
3-month USD LIBOR + 1.020% 04/15/2031 | 6.280% | 1,300,000 | 1,290,806 | |
Dryden Senior Loan Fund(a),(b) | ||||
Series 2016-42A Class BR | ||||
3-month USD LIBOR + 1.550% 07/15/2030 | 6.810% | 950,000 | 924,801 | |
DT Auto Owner Trust(a) | ||||
Series 2019-3A Class D | ||||
04/15/2025 | 2.960% | 647,114 | 640,903 | |
Series 2020-2A Class D | ||||
03/16/2026 | 4.730% | 500,000 | 491,381 |
6 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated Series 2020-1A Class D | ||||
11/17/2025 | 2.550% | 1,277,951 | 1,249,822 | |
Subordinated Series 2020-3A Class D | ||||
06/15/2026 | 1.840% | 975,000 | 910,459 | |
Exeter Automobile Receivables Trust(a) | ||||
Series 2019-4A Class D | ||||
09/15/2025 | 2.580% | 721,133 | 707,532 | |
Subordinated Series 2020-1A Class D | ||||
12/15/2025 | 2.730% | 722,504 | 707,083 | |
Subordinated Series 2020-2A Class D | ||||
04/15/2026 | 4.730% | 323,797 | 321,652 | |
Exeter Automobile Receivables Trust | ||||
Subordinated Series 2020-3A Class D | ||||
07/15/2026 | 1.730% | 600,000 | 585,479 | |
Subordinated Series 2021-1A Class D | ||||
11/16/2026 | 1.080% | 1,225,000 | 1,156,561 | |
Subordinated Series 2021-3A Class D | ||||
06/15/2027 | 1.550% | 3,960,000 | 3,630,475 | |
Foundation Finance Trust(a) | ||||
Series 2019-1A Class A | ||||
11/15/2034 | 3.860% | 115,946 | 113,961 | |
Foursight Capital Automobile Receivables Trust(a) | ||||
Subordinated Series 2021-1 Class D | ||||
03/15/2027 | 1.320% | 800,000 | 751,817 | |
Freed ABS Trust(a) | ||||
Subordinated Series 2021-1CP Class C | ||||
03/20/2028 | 2.830% | 73,154 | 72,653 | |
GLS Auto Receivables Issuer Trust(a) | ||||
Subordinated Series 2020-1A Class C | ||||
11/17/2025 | 2.720% | 868,474 | 858,233 | |
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 | 6.350% | 1,425,000 | 1,400,775 | |
Hilton Grand Vacations Trust(a) | ||||
Series 2018-AA Class A | ||||
02/25/2032 | 3.540% | 149,333 | 143,882 | |
Series 2019-AA Class A | ||||
07/25/2033 | 2.340% | 349,057 | 324,316 | |
Jay Park CLO Ltd.(a),(b) | ||||
Series 2016-1A Class A2R | ||||
3-month USD LIBOR + 1.450% 10/20/2027 | 6.700% | 2,775,000 | 2,749,520 | |
LendingPoint Asset Securitization Trust(a) | ||||
Subordinated Series 2020-REV1 Class B | ||||
10/15/2028 | 4.494% | 1,575,000 | 1,550,727 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
LL ABS Trust(a) | ||||
Series 2021-1A Class A | ||||
05/15/2029 | 1.070% | 177,239 | 172,967 | |
Madison Park Funding XLVIII Ltd.(a),(b) | ||||
Series 2021-48A Class A | ||||
3-month USD LIBOR + 1.150% Floor 1.150% 04/19/2033 | 6.415% | 475,000 | 470,986 | |
Madison Park Funding XXXIII Ltd.(a),(b) | ||||
Series 2019-33A Class BR | ||||
3-month Term SOFR + 1.800% Floor 1.800% 10/15/2032 | 6.786% | 3,600,000 | 3,489,811 | |
Magnetite XII Ltd.(a),(b) | ||||
Series 2015-12A Class ARR | ||||
3-month USD LIBOR + 1.100% Floor 1.100% 10/15/2031 | 6.360% | 2,150,000 | 2,133,944 | |
MVW Owner Trust(a) | ||||
Series 2017-1A Class A | ||||
12/20/2034 | 2.420% | 299,930 | 298,085 | |
Octagon Investment Partners 39 Ltd.(a),(b) | ||||
Series 2018-3A Class B | ||||
3-month USD LIBOR + 1.850% Floor 1.650% 10/20/2030 | 7.100% | 3,525,000 | 3,459,167 | |
OHA Credit Funding Ltd.(a),(b) | ||||
Series 2019-4A Class AR | ||||
3-month USD LIBOR + 1.150% Floor 1.150% 10/22/2036 | 6.423% | 1,375,000 | 1,353,158 | |
Series 2021-8A Class A | ||||
3-month USD LIBOR + 1.190% Floor 1.190% 01/18/2034 | 6.452% | 650,000 | 642,264 | |
Pagaya AI Debt Selection Trust(a) | ||||
Series 2021-5 Class A | ||||
08/15/2029 | 1.530% | 458,613 | 450,106 | |
Pagaya AI Debt Trust(a) | ||||
Subordinated Series 2022-1 Class B | ||||
10/15/2029 | 3.344% | 674,911 | 625,037 | |
Race Point IX CLO Ltd.(a),(b) | ||||
Series 2015-9A Class A2R | ||||
3-month USD LIBOR + 0.450% Floor 1.450% 10/15/2030 | 5.710% | 1,900,000 | 1,828,556 | |
Research-Driven Pagaya Motor Asset Trust IV(a) | ||||
Series 2021-2A Class A | ||||
03/25/2030 | 2.650% | 660,861 | 582,946 |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2023 | 7 |
June 30, 2023 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Santander Consumer Auto Receivables Trust(a) | ||||
Subordinated Series 2021-AA Class C | ||||
11/16/2026 | 1.030% | 200,000 | 184,397 | |
Subordinated Series 2021-AA Class D | ||||
01/15/2027 | 1.570% | 175,000 | 160,174 | |
Santander Drive Auto Receivables Trust | ||||
Series 2020-2 Class D | ||||
09/15/2026 | 2.220% | 713,118 | 700,426 | |
Subordinated Series 2020-3 Class D | ||||
11/16/2026 | 1.640% | 6,539,785 | 6,378,542 | |
SCF Equipment Leasing LLC(a) | ||||
Series 2019-2A Class B | ||||
08/20/2026 | 2.760% | 1,275,000 | 1,238,378 | |
Series 2020-1A Class C | ||||
08/21/2028 | 2.600% | 800,000 | 746,509 | |
Sierra Timeshare Receivables Funding LLC(a) | ||||
Series 2018-2A Class A | ||||
06/20/2035 | 3.500% | 97,192 | 97,065 | |
Series 2018-3A Class A | ||||
09/20/2035 | 3.690% | 64,387 | 64,023 | |
Theorem Funding Trust(a) | ||||
Subordinated Series 2021-1A Class B | ||||
12/15/2027 | 1.840% | 700,000 | 679,481 | |
Upstart Pass-Through Trust(a) | ||||
Series 2021-ST10 Class A | ||||
01/20/2030 | 2.250% | 1,368,549 | 1,305,753 | |
Series 2021-ST2 Class A | ||||
04/20/2027 | 2.500% | 97,130 | 93,340 | |
Series 2021-ST7 Class A | ||||
09/20/2029 | 1.850% | 230,411 | 221,128 | |
Series 2021-ST9 Class A | ||||
11/20/2029 | 1.700% | 165,382 | 157,546 | |
Upstart Securitization Trust(a) | ||||
Series 2020-2 Class A | ||||
11/20/2030 | 2.309% | 178,917 | 174,321 | |
Subordinated Series 2021-2 Class B | ||||
06/20/2031 | 1.750% | 425,000 | 414,741 | |
Subordinated Series 2021-3 Class B | ||||
07/20/2031 | 1.660% | 425,000 | 409,733 | |
VSE Voi Mortgage LLC(a) | ||||
Series 2018-A Class A | ||||
02/20/2036 | 3.560% | 166,625 | 160,522 | |
Total Asset-Backed Securities — Non-Agency (Cost $78,583,718) | 76,256,899 | |||
Commercial Mortgage-Backed Securities - Non-Agency 5.2% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
American Homes 4 Rent Trust(a) | ||||
Series 2014-SFR2 Class A | ||||
10/17/2036 | 3.786% | 1,098,218 | 1,063,910 | |
Series 2014-SFR3 Class A | ||||
12/17/2036 | 3.678% | 1,214,383 | 1,170,856 | |
Series 2015-SFR1 Class A | ||||
04/17/2052 | 3.467% | 1,119,958 | 1,069,567 | |
Series 2015-SFR2 Class A | ||||
10/17/2052 | 3.732% | 669,501 | 636,013 | |
AMSR Trust(a) | ||||
Subordinated Series 2020-SFR2 Class C | ||||
07/17/2037 | 2.533% | 500,000 | 461,304 | |
Ashford Hospitality Trust(a),(b) | ||||
Series 2018-KEYS Class B | ||||
1-month USD LIBOR + 1.450% Floor 1.450% 05/15/2035 | 6.643% | 2,625,000 | 2,570,402 | |
BBCMS Trust(a),(b) | ||||
Subordinated Series 2018-BXH Class B | ||||
1-month USD LIBOR + 1.250% Floor 1.250% 10/15/2037 | 6.443% | 1,150,000 | 1,106,979 | |
Subordinated Series 2018-BXH Class C | ||||
1-month USD LIBOR + 1.500% Floor 1.500% 10/15/2037 | 6.693% | 625,000 | 599,852 | |
BB-UBS Trust(a) | ||||
Series 2012-SHOW Class A | ||||
11/05/2036 | 3.430% | 1,325,000 | 1,243,250 | |
BHMS Mortgage Trust(a),(b) | ||||
Series 2018-ATLS Class A | ||||
1-month USD LIBOR + 1.250% Floor 1.250% 07/15/2035 | 6.444% | 2,375,000 | 2,310,000 | |
BX Commercial Mortgage Trust(a),(b) | ||||
Series 2019-XL Class C | ||||
1-month Term SOFR + 1.364% Floor 1.250% 10/15/2036 | 6.512% | 977,500 | 967,134 | |
BX Mortgage Trust(a),(b) | ||||
Series 2021-PAC Class D | ||||
1-month USD LIBOR + 1.298% Floor 1.298% 10/15/2036 | 6.492% | 2,175,000 | 2,061,563 | |
BX Trust(a) | ||||
Series 2023-LIFE Class A | ||||
02/15/2028 | 5.045% | 1,175,000 | 1,122,913 |
8 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
BX Trust(a),(b) | ||||
Subordinated Series 2019-ATL Class C | ||||
1-month USD LIBOR + 1.587% Floor 1.587% 10/14/2036 | 6.780% | 699,000 | 669,339 | |
Subordinated Series 2019-ATL Class D | ||||
1-month USD LIBOR + 1.887% Floor 1.887% 10/15/2036 | 7.080% | 622,000 | 583,185 | |
CLNY Trust(a),(b) | ||||
Subordinated Series 2019-IKPR Class D | ||||
1-month USD LIBOR + 2.025% Floor 2.025% 11/15/2038 | 7.290% | 1,900,000 | 1,757,610 | |
COMM Mortgage Trust(a),(c) | ||||
Subordinated Series 2020-CBM Class D | ||||
02/10/2037 | 3.754% | 475,000 | 432,067 | |
COMM Mortgage Trust(a) | ||||
Subordinated Series 2020-CX Class B | ||||
11/10/2046 | 2.446% | 525,000 | 410,391 | |
CSAIL Commercial Mortgage Trust | ||||
Series 2015-C4 Class A4 | ||||
11/15/2048 | 3.808% | 2,010,000 | 1,900,170 | |
Extended Stay America Trust(a),(b) | ||||
Series 2021-ESH Class E | ||||
1-month USD LIBOR + 2.850% Floor 2.850% 07/15/2038 | 8.043% | 289,121 | 280,274 | |
Series 2021-ESH Class F | ||||
1-month USD LIBOR + 3.700% Floor 3.700% 07/15/2038 | 8.893% | 289,121 | 272,206 | |
FirstKey Homes Trust(a) | ||||
Subordinated Series 2020-SFR1 Class D | ||||
08/17/2037 | 2.241% | 675,000 | 612,042 | |
Subordinated Series 2020-SFR2 Class D | ||||
10/19/2037 | 1.968% | 2,975,000 | 2,665,743 | |
GS Mortgage Securities Corp. Trust(a) | ||||
Series 2017-485L Class A | ||||
02/10/2037 | 3.721% | 625,000 | 538,266 | |
GS Mortgage Securities Corp. Trust(a),(b) | ||||
Subordinated CMO Series 2021-IP Class D | ||||
1-month USD LIBOR + 2.100% Floor 2.100% 10/15/2036 | 7.293% | 825,000 | 741,369 | |
Home Partners of America Trust(a) | ||||
Subordinated Series 2019-2 Class D | ||||
10/19/2039 | 3.121% | 1,037,655 | 890,378 | |
Subordinated Series 2021-2 Class B | ||||
12/17/2026 | 2.302% | 6,268,550 | 5,525,320 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
ILPT Commercial Mortgage Trust(a),(b) | ||||
Series 2022-LPF2 Class A | ||||
1-month Term SOFR + 2.245% Floor 2.245% 10/15/2039 | 7.392% | 2,200,000 | 2,193,512 | |
JPMorgan Chase Commercial Mortgage Securities Trust(a),(c) | ||||
Subordinated Series 2021-2NU Class B | ||||
01/05/2040 | 2.077% | 600,000 | 467,491 | |
Subordinated Series 2021-2NU Class C | ||||
01/05/2040 | 2.077% | 250,000 | 189,809 | |
KKR Industrial Portfolio Trust(a),(b) | ||||
Subordinated Series 2021-KDIP Class D | ||||
1-month Term SOFR + 1.364% Floor 1.250% 12/15/2037 | 6.512% | 375,000 | 360,867 | |
Life Mortgage Trust(a),(b) | ||||
Subordinated Series 2021-BMR Class D | ||||
1-month Term SOFR + 1.514% Floor 1.400% 03/15/2038 | 6.662% | 688,079 | 661,295 | |
Morgan Stanley Bank of America Merrill Lynch Trust | ||||
Series 2016-C29 Class A3 | ||||
05/15/2049 | 3.058% | 945,096 | 877,545 | |
Series 2017-C34 Class A3 | ||||
11/15/2052 | 3.276% | 2,250,000 | 2,052,211 | |
Morgan Stanley Capital I Trust(a),(c) | ||||
Series 2019-MEAD Class D | ||||
11/10/2036 | 3.283% | 1,175,000 | 1,038,345 | |
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 | 7.393% | 1,100,000 | 941,575 | |
Subordinated Series 2020-1NYP Class D | ||||
1-month USD LIBOR + 2.750% Floor 2.750% 01/15/2036 | 7.943% | 425,000 | 334,216 | |
Progress Residential Trust(a) | ||||
Series 2019-SFR3 Class C | ||||
09/17/2036 | 2.721% | 750,000 | 714,884 | |
Series 2019-SFR3 Class D | ||||
09/17/2036 | 2.871% | 1,125,000 | 1,072,944 | |
Series 2019-SFR4 Class C | ||||
10/17/2036 | 3.036% | 2,850,000 | 2,709,046 | |
Series 2020-SFR1 Class C | ||||
04/17/2037 | 2.183% | 325,000 | 301,845 | |
Series 2020-SFR1 Class D | ||||
04/17/2037 | 2.383% | 675,000 | 626,432 | |
Series 2020-SFR2 Class A | ||||
06/17/2037 | 2.078% | 424,476 | 393,465 |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2023 | 9 |
June 30, 2023 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2023-SFR1 Class A | ||||
03/17/2040 | 4.300% | 1,250,000 | 1,174,820 | |
Subordinated Series 2020-SFR2 Class C | ||||
06/17/2037 | 3.077% | 100,000 | 93,694 | |
Subordinated Series 2020-SFR2 Class D | ||||
06/17/2037 | 3.874% | 125,000 | 118,343 | |
Subordinated Series 2021-SFR8 Class D | ||||
10/17/2038 | 2.082% | 1,830,000 | 1,569,544 | |
RBS Commercial Funding, Inc., Trust(a),(c) | ||||
Series 2013-GSP Class A | ||||
01/15/2032 | 3.961% | 1,100,000 | 1,062,078 | |
SFO Commercial Mortgage Trust(a),(b) | ||||
Subordinated Series 2021-555 Class E | ||||
1-month USD LIBOR + 2.900% Floor 2.900% 05/15/2038 | 8.093% | 475,000 | 375,542 | |
SPGN TFLM Mortgage Trust(a),(b) | ||||
Series 2022 Class A | ||||
1-month Term SOFR + 1.550% Floor 1.550% 02/15/2039 | 6.697% | 4,725,000 | 4,522,370 | |
STAR Trust(a),(b) | ||||
Series 2022-SFR3 Class A | ||||
1-month Term SOFR + 1.650% Floor 1.650% 05/17/2024 | 6.726% | 2,638,862 | 2,630,754 | |
Subordinated Series 2022-SFR3 Class B | ||||
1-month Term SOFR + 1.950% Floor 1.950% 05/17/2024 | 7.026% | 1,900,000 | 1,886,899 | |
Tricon American Homes(a) | ||||
Series 2020-SFR1 Class C | ||||
07/17/2038 | 2.249% | 650,000 | 576,094 | |
Tricon American Homes Trust(a) | ||||
Subordinated Series 2020-SFR2 Class D | ||||
11/17/2039 | 2.281% | 1,075,000 | 908,759 | |
Wells Fargo Commercial Mortgage Trust | ||||
Series 2015-C28 Class A3 | ||||
05/15/2048 | 3.290% | 1,043,953 | 999,894 | |
Wells Fargo Commercial Mortgage Trust(a),(b) | ||||
Series 2020-SDAL Class D | ||||
1-month USD LIBOR + 2.090% Floor 2.090%, Cap 4.500% 02/15/2037 | 7.283% | 500,000 | 479,246 | |
Series 2021-FCMT Class A | ||||
1-month USD LIBOR + 1.200% Floor 1.200% 05/15/2031 | 6.393% | 750,000 | 717,795 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2021-FCMT Class D | ||||
1-month USD LIBOR + 3.500% Floor 3.500% 05/15/2031 | 8.693% | 625,000 | 558,475 | |
WFRBS Commercial Mortgage Trust | ||||
Series 2014-C22 Class A5 | ||||
09/15/2057 | 3.752% | 425,000 | 409,039 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $72,042,440) | 66,680,931 |
Common Stocks 59.6% | ||
Issuer | Shares | Value ($) |
Communication Services 7.8% | ||
Entertainment 1.7% | ||
Endeavor Group Holdings, Inc., Class A(d) | 249,416 | 5,966,031 |
Take-Two Interactive Software, Inc.(d) | 80,708 | 11,876,989 |
Walt Disney Co. (The)(d) | 43,133 | 3,850,914 |
Total | 21,693,934 | |
Interactive Media & Services 5.0% | ||
Alphabet, Inc., Class A(d) | 144,954 | 17,350,994 |
Alphabet, Inc., Class C(d) | 137,594 | 16,644,746 |
Match Group, Inc.(d) | 97,729 | 4,089,959 |
Meta Platforms, Inc., Class A(d) | 64,825 | 18,603,478 |
Pinterest, Inc., Class A(d) | 157,638 | 4,309,823 |
ZoomInfo Technologies, Inc.(d) | 164,472 | 4,175,944 |
Total | 65,174,944 | |
Media 0.5% | ||
Comcast Corp., Class A | 142,032 | 5,901,430 |
Wireless Telecommunication Services 0.6% | ||
T-Mobile US, Inc.(d) | 57,752 | 8,021,753 |
Total Communication Services | 100,792,061 | |
Consumer Discretionary 4.1% | ||
Automobiles 0.9% | ||
Tesla, Inc.(d) | 43,052 | 11,269,722 |
Broadline Retail 2.3% | ||
Amazon.com, Inc.(d) | 234,538 | 30,574,374 |
Hotels, Restaurants & Leisure 0.3% | ||
McDonald’s Corp. | 11,883 | 3,546,006 |
10 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Specialty Retail 0.3% | ||
Lowe’s Companies, Inc. | 15,801 | 3,566,286 |
Textiles, Apparel & Luxury Goods 0.3% | ||
Tapestry, Inc. | 101,883 | 4,360,592 |
Total Consumer Discretionary | 53,316,980 | |
Consumer Staples 3.7% | ||
Consumer Staples Distribution & Retail 1.3% | ||
Sysco Corp. | 53,310 | 3,955,602 |
Walmart, Inc. | 82,502 | 12,967,664 |
Total | 16,923,266 | |
Food Products 0.9% | ||
Mondelez International, Inc., Class A | 159,150 | 11,608,401 |
Household Products 0.9% | ||
Procter & Gamble Co. (The) | 78,867 | 11,967,279 |
Personal Care Products 0.6% | ||
Coty, Inc., Class A(d) | 336,668 | 4,137,649 |
Kenvue, Inc.(d) | 108,140 | 2,857,059 |
Total | 6,994,708 | |
Total Consumer Staples | 47,493,654 | |
Energy 2.1% | ||
Oil, Gas & Consumable Fuels 2.1% | ||
Canadian Natural Resources Ltd. | 140,670 | 7,914,094 |
Chevron Corp. | 88,502 | 13,925,790 |
EOG Resources, Inc. | 41,061 | 4,699,021 |
Total | 26,538,905 | |
Total Energy | 26,538,905 | |
Financials 7.5% | ||
Banks 1.5% | ||
Bank of America Corp. | 152,991 | 4,389,312 |
JPMorgan Chase & Co. | 67,424 | 9,806,146 |
Wells Fargo & Co. | 107,194 | 4,575,040 |
Total | 18,770,498 | |
Capital Markets 1.6% | ||
BlackRock, Inc. | 15,707 | 10,855,736 |
MSCI, Inc. | 7,043 | 3,305,209 |
S&P Global, Inc. | 16,965 | 6,801,099 |
Total | 20,962,044 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Consumer Finance 0.3% | ||
American Express Co. | 22,006 | 3,833,445 |
Financial Services 3.6% | ||
Berkshire Hathaway, Inc., Class B(d) | 60,634 | 20,676,194 |
MasterCard, Inc., Class A | 32,033 | 12,598,579 |
Visa, Inc., Class A | 54,576 | 12,960,709 |
Total | 46,235,482 | |
Insurance 0.5% | ||
Aon PLC, Class A | 19,203 | 6,628,876 |
Total Financials | 96,430,345 | |
Health Care 9.0% | ||
Biotechnology 1.7% | ||
AbbVie, Inc. | 66,194 | 8,918,318 |
BioMarin Pharmaceutical, Inc.(d) | 39,698 | 3,441,023 |
Vertex Pharmaceuticals, Inc.(d) | 26,195 | 9,218,282 |
Total | 21,577,623 | |
Health Care Equipment & Supplies 2.2% | ||
Abbott Laboratories | 56,293 | 6,137,063 |
Boston Scientific Corp.(d) | 125,791 | 6,804,035 |
GE HealthCare Technologies, Inc. | 44,196 | 3,590,483 |
Medtronic PLC | 135,155 | 11,907,155 |
Total | 28,438,736 | |
Health Care Providers & Services 1.0% | ||
Elevance Health, Inc. | 29,712 | 13,200,744 |
Life Sciences Tools & Services 1.3% | ||
Danaher Corp. | 16,108 | 3,865,920 |
IQVIA Holdings, Inc.(d) | 21,443 | 4,819,743 |
Thermo Fisher Scientific, Inc. | 15,045 | 7,849,729 |
Total | 16,535,392 | |
Pharmaceuticals 2.8% | ||
Eli Lilly & Co. | 42,338 | 19,855,675 |
Johnson & Johnson | 95,599 | 15,823,547 |
Total | 35,679,222 | |
Total Health Care | 115,431,717 | |
Industrials 5.3% | ||
Aerospace & Defense 1.1% | ||
Raytheon Technologies Corp. | 142,954 | 14,003,774 |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2023 | 11 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Electrical Equipment 0.5% | ||
Emerson Electric Co. | 68,614 | 6,202,019 |
Ground Transportation 1.7% | ||
Uber Technologies, Inc.(d) | 265,203 | 11,448,814 |
Union Pacific Corp. | 53,136 | 10,872,688 |
Total | 22,321,502 | |
Industrial Conglomerates 1.1% | ||
General Electric Co. | 81,153 | 8,914,657 |
Honeywell International, Inc. | 25,236 | 5,236,470 |
Total | 14,151,127 | |
Machinery 0.9% | ||
Parker-Hannifin Corp. | 29,278 | 11,419,591 |
Total Industrials | 68,098,013 | |
Information Technology 17.4% | ||
Electronic Equipment, Instruments & Components 1.1% | ||
TE Connectivity Ltd. | 75,462 | 10,576,754 |
Zebra Technologies Corp., Class A(d) | 13,283 | 3,929,510 |
Total | 14,506,264 | |
IT Services 1.2% | ||
Accenture PLC, Class A | 25,149 | 7,760,478 |
International Business Machines Corp. | 63,460 | 8,491,583 |
Total | 16,252,061 | |
Semiconductors & Semiconductor Equipment 4.2% | ||
Advanced Micro Devices, Inc.(d) | 38,155 | 4,346,236 |
Entegris, Inc. | 32,814 | 3,636,447 |
Lam Research Corp. | 15,645 | 10,057,545 |
Marvell Technology, Inc. | 63,056 | 3,769,488 |
NVIDIA Corp. | 63,462 | 26,845,695 |
QUALCOMM, Inc. | 48,866 | 5,817,009 |
Total | 54,472,420 | |
Software 6.8% | ||
Adobe, Inc.(d) | 21,472 | 10,499,593 |
Intuit, Inc. | 28,482 | 13,050,168 |
Microsoft Corp. | 172,647 | 58,793,209 |
Palo Alto Networks, Inc.(d) | 19,799 | 5,058,842 |
Total | 87,401,812 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Technology Hardware, Storage & Peripherals 4.1% | ||
Apple, Inc. | 270,038 | 52,379,270 |
Total Information Technology | 225,011,827 | |
Materials 1.0% | ||
Chemicals 0.8% | ||
Corteva, Inc. | 26,818 | 1,536,671 |
Sherwin-Williams Co. (The) | 32,672 | 8,675,070 |
Total | 10,211,741 | |
Containers & Packaging 0.0% | ||
Avery Dennison Corp. | 1,846 | 317,143 |
Metals & Mining 0.2% | ||
Newmont Corp. | 64,502 | 2,751,655 |
Total Materials | 13,280,539 | |
Real Estate 0.7% | ||
Specialized REITs 0.7% | ||
American Tower Corp. | 49,671 | 9,633,194 |
Total Real Estate | 9,633,194 | |
Utilities 1.0% | ||
Electric Utilities 0.4% | ||
American Electric Power Co., Inc. | 66,231 | 5,576,650 |
Multi-Utilities 0.6% | ||
DTE Energy Co. | 17,721 | 1,949,664 |
Public Service Enterprise Group, Inc. | 80,027 | 5,010,491 |
Total | 6,960,155 | |
Total Utilities | 12,536,805 | |
Total Common Stocks (Cost $573,035,175) | 768,564,040 |
Convertible Bonds 0.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Cable and Satellite 0.0% | ||||
DISH Network Corp. | ||||
Subordinated | ||||
08/15/2026 | 3.375% | 69,000 | 35,018 | |
Total Convertible Bonds (Cost $66,256) | 35,018 | |||
12 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes 7.3% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Aerospace & Defense 0.3% | ||||
BAE Systems PLC(a) | ||||
04/15/2030 | 3.400% | 1,200,000 | 1,086,137 | |
Boeing Co. (The) | ||||
05/01/2040 | 5.705% | 2,040,000 | 2,034,116 | |
Bombardier, Inc.(a) | ||||
04/15/2027 | 7.875% | 45,000 | 44,895 | |
Spirit AeroSystems, Inc. | ||||
06/15/2028 | 4.600% | 20,000 | 16,765 | |
Spirit AeroSystems, Inc.(a) | ||||
11/30/2029 | 9.375% | 19,000 | 20,367 | |
TransDigm, Inc.(a) | ||||
03/15/2026 | 6.250% | 161,000 | 160,214 | |
08/15/2028 | 6.750% | 40,000 | 40,213 | |
TransDigm, Inc. | ||||
11/15/2027 | 5.500% | 57,000 | 53,904 | |
Total | 3,456,611 | |||
Airlines 0.0% | ||||
Air Canada(a) | ||||
08/15/2026 | 3.875% | 29,000 | 26,885 | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd.(a) | ||||
04/20/2026 | 5.500% | 128,934 | 127,814 | |
04/20/2029 | 5.750% | 36,290 | 35,268 | |
Hawaiian Brand Intellectual Property Ltd./Miles Loyalty Ltd.(a) | ||||
01/20/2026 | 5.750% | 45,737 | 43,301 | |
United Airlines, Inc.(a) | ||||
04/15/2026 | 4.375% | 38,000 | 36,105 | |
04/15/2029 | 4.625% | 40,000 | 36,450 | |
Total | 305,823 | |||
Automotive 0.0% | ||||
Ford Motor Co. | ||||
02/12/2032 | 3.250% | 31,000 | 24,345 | |
Ford Motor Credit Co. LLC | ||||
02/10/2025 | 2.300% | 35,000 | 32,689 | |
06/16/2025 | 5.125% | 10,000 | 9,712 | |
11/13/2025 | 3.375% | 65,000 | 60,407 | |
01/09/2027 | 4.271% | 55,000 | 50,896 | |
05/28/2027 | 4.950% | 55,000 | 51,896 | |
08/17/2027 | 4.125% | 45,000 | 41,036 | |
11/04/2027 | 7.350% | 30,000 | 30,700 | |
02/16/2028 | 2.900% | 25,000 | 21,402 | |
06/10/2030 | 7.200% | 25,000 | 25,256 | |
11/13/2030 | 4.000% | 31,000 | 26,501 | |
IHO Verwaltungs GmbH(a),(e) | ||||
09/15/2026 | 4.750% | 42,827 | 39,457 | |
KAR Auction Services, Inc.(a) | ||||
06/01/2025 | 5.125% | 51,000 | 50,100 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Panther BF Aggregator 2 LP/Finance Co., Inc.(a) | ||||
05/15/2026 | 6.250% | 15,000 | 14,892 | |
05/15/2027 | 8.500% | 63,000 | 63,165 | |
Total | 542,454 | |||
Banking 1.9% | ||||
Bank of America Corp.(f) | ||||
04/23/2040 | 4.078% | 5,450,000 | 4,673,575 | |
Citigroup, Inc.(f) | ||||
01/25/2033 | 3.057% | 2,189,000 | 1,825,873 | |
Goldman Sachs Group, Inc. (The)(f) | ||||
02/24/2033 | 3.102% | 2,900,000 | 2,450,235 | |
HSBC Holdings PLC(f) | ||||
05/24/2032 | 2.804% | 3,400,000 | 2,752,111 | |
JPMorgan Chase & Co.(f) | ||||
Subordinated | ||||
05/13/2031 | 2.956% | 6,000,000 | 5,134,159 | |
Morgan Stanley(f) | ||||
01/22/2031 | 2.699% | 2,415,000 | 2,055,784 | |
PNC Financial Services Group, Inc. (The)(f) | ||||
06/12/2029 | 5.582% | 1,324,000 | 1,318,079 | |
US Bancorp(f) | ||||
06/12/2034 | 5.836% | 435,000 | 437,733 | |
Wells Fargo & Co.(f) | ||||
04/24/2034 | 5.389% | 4,000,000 | 3,975,509 | |
Total | 24,623,058 | |||
Brokerage/Asset Managers/Exchanges 0.0% | ||||
AG TTMT Escrow Issuer LLC(a) | ||||
09/30/2027 | 8.625% | 35,000 | 35,924 | |
Hightower Holding LLC(a) | ||||
04/15/2029 | 6.750% | 45,000 | 38,953 | |
NFP Corp.(a) | ||||
08/15/2028 | 4.875% | 36,000 | 32,270 | |
08/15/2028 | 6.875% | 135,000 | 117,281 | |
10/01/2030 | 7.500% | 31,000 | 30,064 | |
Total | 254,492 | |||
Building Materials 0.0% | ||||
American Builders & Contractors Supply Co., Inc.(a) | ||||
11/15/2029 | 3.875% | 19,000 | 16,330 | |
Beacon Roofing Supply, Inc.(a) | ||||
11/15/2026 | 4.500% | 51,000 | 48,407 | |
05/15/2029 | 4.125% | 29,000 | 25,675 | |
Interface, Inc.(a) | ||||
12/01/2028 | 5.500% | 23,000 | 18,747 | |
James Hardie International Finance DAC(a) | ||||
01/15/2028 | 5.000% | 37,000 | 34,904 |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2023 | 13 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
SRS Distribution, Inc.(a) | ||||
07/01/2028 | 4.625% | 23,000 | 20,613 | |
07/01/2029 | 6.125% | 43,000 | 37,342 | |
12/01/2029 | 6.000% | 77,000 | 66,415 | |
Standard Industries, Inc.(a) | ||||
02/15/2027 | 5.000% | 10,000 | 9,531 | |
White Cap Buyer LLC(a) | ||||
10/15/2028 | 6.875% | 61,000 | 55,296 | |
Total | 333,260 | |||
Cable and Satellite 0.2% | ||||
CCO Holdings LLC/Capital Corp.(a) | ||||
05/01/2027 | 5.125% | 68,000 | 63,238 | |
02/01/2028 | 5.000% | 24,000 | 21,876 | |
03/01/2030 | 4.750% | 143,000 | 122,359 | |
08/15/2030 | 4.500% | 105,000 | 87,467 | |
03/01/2031 | 7.375% | 13,000 | 12,669 | |
02/01/2032 | 4.750% | 43,000 | 34,995 | |
Comcast Corp. | ||||
05/15/2064 | 5.500% | 600,000 | 608,012 | |
CSC Holdings LLC(a) | ||||
02/01/2028 | 5.375% | 40,000 | 32,252 | |
02/01/2029 | 6.500% | 57,000 | 46,206 | |
01/15/2030 | 5.750% | 54,000 | 25,496 | |
12/01/2030 | 4.125% | 47,000 | 33,010 | |
02/15/2031 | 3.375% | 36,000 | 24,503 | |
DISH DBS Corp.(a) | ||||
12/01/2028 | 5.750% | 61,000 | 45,647 | |
DISH DBS Corp. | ||||
06/01/2029 | 5.125% | 50,000 | 23,327 | |
DISH Network Corp.(a) | ||||
11/15/2027 | 11.750% | 83,000 | 81,166 | |
Radiate Holdco LLC/Finance, Inc.(a) | ||||
09/15/2026 | 4.500% | 49,000 | 39,128 | |
09/15/2028 | 6.500% | 23,000 | 13,426 | |
Sirius XM Radio, Inc.(a) | ||||
09/01/2026 | 3.125% | 32,000 | 28,831 | |
07/01/2029 | 5.500% | 45,000 | 41,043 | |
Time Warner Cable LLC | ||||
05/01/2037 | 6.550% | 1,500,000 | 1,442,557 | |
Videotron Ltd.(a) | ||||
06/15/2029 | 3.625% | 31,000 | 26,810 | |
Virgin Media Finance PLC(a) | ||||
07/15/2030 | 5.000% | 47,000 | 37,413 | |
Virgin Media Secured Finance PLC(a) | ||||
05/15/2029 | 5.500% | 51,000 | 46,284 | |
08/15/2030 | 4.500% | 31,000 | 26,045 | |
VZ Secured Financing BV(a) | ||||
01/15/2032 | 5.000% | 76,000 | 61,294 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Ziggo Bond Co. BV(a) | ||||
02/28/2030 | 5.125% | 38,000 | 28,858 | |
Ziggo Bond Finance BV(a) | ||||
01/15/2027 | 6.000% | 53,000 | 48,707 | |
Ziggo BV(a) | ||||
01/15/2030 | 4.875% | 50,000 | 41,558 | |
Total | 3,144,177 | |||
Chemicals 0.1% | ||||
Avient Corp.(a) | ||||
08/01/2030 | 7.125% | 34,000 | 34,389 | |
Axalta Coating Systems LLC(a) | ||||
02/15/2029 | 3.375% | 19,000 | 16,181 | |
Axalta Coating Systems LLC/Dutch Holding B BV(a) | ||||
06/15/2027 | 4.750% | 89,000 | 84,212 | |
Cheever Escrow Issuer LLC(a) | ||||
10/01/2027 | 7.125% | 33,000 | 29,958 | |
Element Solutions, Inc.(a) | ||||
09/01/2028 | 3.875% | 60,000 | 52,359 | |
HB Fuller Co. | ||||
10/15/2028 | 4.250% | 79,000 | 70,529 | |
Herens Holdco Sarl(a) | ||||
05/15/2028 | 4.750% | 40,000 | 30,778 | |
INEOS Quattro Finance 2 Plc(a) | ||||
01/15/2026 | 3.375% | 25,000 | 22,838 | |
Ingevity Corp.(a) | ||||
11/01/2028 | 3.875% | 37,000 | 31,610 | |
Innophos Holdings, Inc.(a) | ||||
02/15/2028 | 9.375% | 44,000 | 43,970 | |
Iris Holdings, Inc.(a),(e) | ||||
02/15/2026 | 8.750% | 22,000 | 20,889 | |
Olympus Water US Holding Corp.(a) | ||||
10/01/2028 | 4.250% | 73,000 | 57,695 | |
11/15/2028 | 9.750% | 65,000 | 63,385 | |
10/01/2029 | 6.250% | 28,000 | 20,210 | |
SPCM SA(a) | ||||
03/15/2027 | 3.125% | 21,000 | 18,836 | |
WR Grace Holdings LLC(a) | ||||
06/15/2027 | 4.875% | 67,000 | 62,387 | |
08/15/2029 | 5.625% | 95,000 | 77,636 | |
03/01/2031 | 7.375% | 19,000 | 18,730 | |
Total | 756,592 | |||
Construction Machinery 0.0% | ||||
H&E Equipment Services, Inc.(a) | ||||
12/15/2028 | 3.875% | 17,000 | 14,768 | |
Herc Holdings, Inc.(a) | ||||
07/15/2027 | 5.500% | 18,000 | 17,281 |
14 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Ritchie Bros Holdings, Inc.(a) | ||||
03/15/2028 | 6.750% | 8,000 | 8,091 | |
03/15/2031 | 7.750% | 35,000 | 36,416 | |
United Rentals North America, Inc. | ||||
01/15/2030 | 5.250% | 32,000 | 30,550 | |
Total | 107,106 | |||
Consumer Cyclical Services 0.0% | ||||
Arches Buyer, Inc.(a) | ||||
06/01/2028 | 4.250% | 67,000 | 58,182 | |
12/01/2028 | 6.125% | 59,000 | 50,873 | |
Match Group, Inc.(a) | ||||
02/15/2029 | 5.625% | 31,000 | 29,332 | |
Staples, Inc.(a) | ||||
04/15/2026 | 7.500% | 19,000 | 15,657 | |
Uber Technologies, Inc.(a) | ||||
05/15/2025 | 7.500% | 56,000 | 56,734 | |
01/15/2028 | 6.250% | 39,000 | 38,855 | |
08/15/2029 | 4.500% | 73,000 | 67,193 | |
Total | 316,826 | |||
Consumer Products 0.0% | ||||
CD&R Smokey Buyer, Inc.(a) | ||||
07/15/2025 | 6.750% | 75,000 | 69,941 | |
Mattel, Inc.(a) | ||||
04/01/2026 | 3.375% | 18,000 | 16,564 | |
04/01/2029 | 3.750% | 35,000 | 30,732 | |
Newell Brands, Inc. | ||||
09/15/2027 | 6.375% | 12,000 | 11,523 | |
09/15/2029 | 6.625% | 17,000 | 16,315 | |
Prestige Brands, Inc.(a) | ||||
01/15/2028 | 5.125% | 64,000 | 61,112 | |
Scotts Miracle-Gro Co. (The) | ||||
02/01/2032 | 4.375% | 21,000 | 16,666 | |
Spectrum Brands, Inc.(a) | ||||
10/01/2029 | 5.000% | 20,000 | 17,942 | |
07/15/2030 | 5.500% | 23,000 | 20,992 | |
Total | 261,787 | |||
Diversified Manufacturing 0.0% | ||||
Chart Industries, Inc.(a) | ||||
01/01/2030 | 7.500% | 21,000 | 21,430 | |
01/01/2031 | 9.500% | 7,000 | 7,469 | |
Emerald Debt Merger Sub LLC(a) | ||||
12/15/2030 | 6.625% | 55,000 | 54,575 | |
Gates Global LLC/Co.(a) | ||||
01/15/2026 | 6.250% | 82,000 | 80,929 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Madison IAQ LLC(a) | ||||
06/30/2028 | 4.125% | 32,000 | 28,184 | |
06/30/2029 | 5.875% | 33,000 | 26,809 | |
Resideo Funding, Inc.(a) | ||||
09/01/2029 | 4.000% | 86,000 | 71,458 | |
Vertical Holdco GmbH(a) | ||||
07/15/2028 | 7.625% | 38,000 | 34,660 | |
Vertical US Newco, Inc.(a) | ||||
07/15/2027 | 5.250% | 59,000 | 54,551 | |
WESCO Distribution, Inc.(a) | ||||
06/15/2025 | 7.125% | 43,000 | 43,505 | |
06/15/2028 | 7.250% | 46,000 | 46,932 | |
Total | 470,502 | |||
Electric 0.7% | ||||
Clearway Energy Operating LLC(a) | ||||
03/15/2028 | 4.750% | 58,000 | 53,490 | |
02/15/2031 | 3.750% | 75,000 | 62,278 | |
01/15/2032 | 3.750% | 16,000 | 13,092 | |
Edison International | ||||
11/15/2028 | 5.250% | 1,172,000 | 1,141,932 | |
Emera US Finance LP | ||||
06/15/2046 | 4.750% | 1,415,000 | 1,147,737 | |
Exelon Corp. | ||||
03/15/2052 | 4.100% | 750,000 | 605,957 | |
Indiana Michigan Power Co. | ||||
03/15/2037 | 6.050% | 415,000 | 435,433 | |
Leeward Renewable Energy Operations LLC(a) | ||||
07/01/2029 | 4.250% | 13,000 | 11,579 | |
NextEra Energy Operating Partners LP(a) | ||||
07/15/2024 | 4.250% | 16,000 | 15,704 | |
09/15/2027 | 4.500% | 54,000 | 50,180 | |
NRG Energy, Inc.(a) | ||||
02/15/2029 | 3.375% | 28,000 | 23,001 | |
06/15/2029 | 5.250% | 24,000 | 21,433 | |
02/15/2031 | 3.625% | 42,000 | 32,857 | |
02/15/2032 | 3.875% | 75,000 | 57,979 | |
Ohio Edison Co.(a) | ||||
01/15/2033 | 5.500% | 1,150,000 | 1,151,987 | |
Pacific Gas and Electric Co. | ||||
01/15/2053 | 6.750% | 1,290,000 | 1,273,333 | |
PG&E Corp. | ||||
07/01/2030 | 5.250% | 33,000 | 29,592 | |
Progress Energy, Inc. | ||||
03/01/2031 | 7.750% | 800,000 | 907,103 | |
Southern Co. (The) | ||||
07/01/2046 | 4.400% | 1,350,000 | 1,157,303 |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2023 | 15 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Vistra Operations Co. LLC(a) | ||||
09/01/2026 | 5.500% | 10,000 | 9,633 | |
02/15/2027 | 5.625% | 55,000 | 52,724 | |
07/31/2027 | 5.000% | 61,000 | 57,204 | |
Total | 8,311,531 | |||
Environmental 0.0% | ||||
Clean Harbors, Inc.(a) | ||||
02/01/2031 | 6.375% | 5,000 | 5,034 | |
GFL Environmental, Inc.(a) | ||||
12/15/2026 | 5.125% | 51,000 | 49,191 | |
Waste Pro USA, Inc.(a) | ||||
02/15/2026 | 5.500% | 81,000 | 75,240 | |
Total | 129,465 | |||
Finance Companies 0.0% | ||||
Navient Corp. | ||||
06/25/2025 | 6.750% | 31,000 | 30,543 | |
OneMain Finance Corp. | ||||
01/15/2029 | 9.000% | 23,000 | 23,198 | |
09/15/2030 | 4.000% | 34,000 | 26,215 | |
Provident Funding Associates LP/Finance Corp.(a) | ||||
06/15/2025 | 6.375% | 38,000 | 33,525 | |
Quicken Loans LLC/Co-Issuer, Inc.(a) | ||||
03/01/2031 | 3.875% | 55,000 | 44,595 | |
Rocket Mortgage LLC/Co-Issuer, Inc.(a) | ||||
10/15/2033 | 4.000% | 92,000 | 71,954 | |
Springleaf Finance Corp. | ||||
03/15/2024 | 6.125% | 34,000 | 33,879 | |
11/15/2029 | 5.375% | 3,000 | 2,562 | |
Total | 266,471 | |||
Food and Beverage 0.3% | ||||
Bacardi Ltd.(a) | ||||
05/15/2038 | 5.150% | 1,300,000 | 1,222,454 | |
Bacardi Ltd./Bacardi-Martini BV(a) | ||||
06/15/2043 | 5.900% | 472,000 | 476,064 | |
Constellation Brands, Inc. | ||||
05/01/2033 | 4.900% | 1,025,000 | 1,006,433 | |
Darling Ingredients, Inc.(a) | ||||
06/15/2030 | 6.000% | 43,000 | 42,021 | |
FAGE International SA/USA Dairy Industry, Inc.(a) | ||||
08/15/2026 | 5.625% | 81,000 | 76,593 | |
Pilgrim’s Pride Corp. | ||||
04/15/2031 | 4.250% | 78,000 | 66,924 | |
03/01/2032 | 3.500% | 87,000 | 69,281 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Post Holdings, Inc.(a) | ||||
03/01/2027 | 5.750% | 28,000 | 27,357 | |
01/15/2028 | 5.625% | 24,000 | 23,087 | |
04/15/2030 | 4.625% | 52,000 | 45,600 | |
09/15/2031 | 4.500% | 18,000 | 15,361 | |
Primo Water Holdings, Inc.(a) | ||||
04/30/2029 | 4.375% | 97,000 | 83,060 | |
Simmons Foods, Inc./Prepared Foods, Inc./Pet Food, Inc./Feed(a) | ||||
03/01/2029 | 4.625% | 48,000 | 38,678 | |
US Foods, Inc.(a) | ||||
04/15/2025 | 6.250% | 8,000 | 8,005 | |
02/15/2029 | 4.750% | 45,000 | 41,303 | |
06/01/2030 | 4.625% | 27,000 | 24,184 | |
Total | 3,266,405 | |||
Gaming 0.0% | ||||
Boyd Gaming Corp. | ||||
12/01/2027 | 4.750% | 39,000 | 36,972 | |
Boyd Gaming Corp.(a) | ||||
06/15/2031 | 4.750% | 26,000 | 23,242 | |
Caesars Entertainment, Inc.(a) | ||||
10/15/2029 | 4.625% | 93,000 | 81,190 | |
02/15/2030 | 7.000% | 61,000 | 61,297 | |
Churchill Downs, Inc.(a) | ||||
05/01/2031 | 6.750% | 18,000 | 17,824 | |
Colt Merger Sub, Inc.(a) | ||||
07/01/2025 | 5.750% | 50,000 | 50,594 | |
07/01/2025 | 6.250% | 79,000 | 78,649 | |
07/01/2027 | 8.125% | 42,000 | 42,934 | |
International Game Technology PLC(a) | ||||
04/15/2026 | 4.125% | 19,000 | 18,034 | |
Midwest Gaming Borrower LLC(a) | ||||
05/01/2029 | 4.875% | 41,000 | 36,316 | |
Scientific Games Holdings LP/US FinCo, Inc.(a) | ||||
03/01/2030 | 6.625% | 68,000 | 59,849 | |
Total | 506,901 | |||
Health Care 0.3% | ||||
Acadia Healthcare Co., Inc.(a) | ||||
07/01/2028 | 5.500% | 60,000 | 57,369 | |
04/15/2029 | 5.000% | 25,000 | 23,214 | |
AdaptHealth LLC(a) | ||||
03/01/2030 | 5.125% | 86,000 | 69,913 | |
Avantor Funding, Inc.(a) | ||||
07/15/2028 | 4.625% | 45,000 | 41,711 | |
11/01/2029 | 3.875% | 53,000 | 46,470 | |
Catalent Pharma Solutions, Inc.(a) | ||||
04/01/2030 | 3.500% | 36,000 | 29,160 |
16 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Charles River Laboratories International, Inc.(a) | ||||
05/01/2028 | 4.250% | 25,000 | 22,962 | |
03/15/2029 | 3.750% | 19,000 | 16,790 | |
CHS/Community Health Systems, Inc.(a) | ||||
03/15/2027 | 5.625% | 12,000 | 10,614 | |
04/15/2029 | 6.875% | 38,000 | 23,728 | |
05/15/2030 | 5.250% | 94,000 | 74,346 | |
CVS Health Corp. | ||||
03/25/2048 | 5.050% | 1,000,000 | 922,221 | |
GE HealthCare Technologies, Inc. | ||||
11/22/2052 | 6.377% | 500,000 | 556,125 | |
HCA, Inc.(a) | ||||
03/15/2052 | 4.625% | 2,240,000 | 1,839,358 | |
IQVIA, Inc.(a) | ||||
05/15/2027 | 5.000% | 39,000 | 37,565 | |
05/15/2030 | 6.500% | 16,000 | 16,189 | |
Mozart Debt Merger Sub, Inc.(a) | ||||
04/01/2029 | 3.875% | 9,000 | 7,828 | |
10/01/2029 | 5.250% | 106,000 | 92,010 | |
Select Medical Corp.(a) | ||||
08/15/2026 | 6.250% | 104,000 | 102,103 | |
Tenet Healthcare Corp. | ||||
02/01/2027 | 6.250% | 56,000 | 55,532 | |
11/01/2027 | 5.125% | 37,000 | 35,325 | |
06/15/2028 | 4.625% | 11,000 | 10,279 | |
10/01/2028 | 6.125% | 41,000 | 39,462 | |
01/15/2030 | 4.375% | 22,000 | 19,852 | |
06/15/2030 | 6.125% | 27,000 | 26,607 | |
Tenet Healthcare Corp.(a) | ||||
05/15/2031 | 6.750% | 34,000 | 34,193 | |
Total | 4,210,926 | |||
Healthcare Insurance 0.3% | ||||
Centene Corp. | ||||
12/15/2029 | 4.625% | 75,000 | 69,104 | |
10/15/2030 | 3.000% | 1,950,000 | 1,626,061 | |
UnitedHealth Group, Inc. | ||||
04/15/2063 | 5.200% | 1,625,000 | 1,620,986 | |
Total | 3,316,151 | |||
Home Construction 0.0% | ||||
Meritage Homes Corp. | ||||
06/01/2025 | 6.000% | 46,000 | 46,228 | |
Meritage Homes Corp.(a) | ||||
04/15/2029 | 3.875% | 43,000 | 38,222 | |
Taylor Morrison Communities, Inc.(a) | ||||
06/15/2027 | 5.875% | 10,000 | 9,839 | |
08/01/2030 | 5.125% | 32,000 | 29,731 | |
Total | 124,020 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Independent Energy 0.1% | ||||
Baytex Energy Corp.(a) | ||||
04/30/2030 | 8.500% | 35,000 | 34,196 | |
Callon Petroleum Co. | ||||
07/01/2026 | 6.375% | 77,000 | 74,905 | |
Centennial Resource Production LLC(a) | ||||
04/01/2027 | 6.875% | 8,000 | 7,893 | |
CNX Resources Corp.(a) | ||||
03/14/2027 | 7.250% | 5,000 | 4,959 | |
01/15/2029 | 6.000% | 28,000 | 25,994 | |
01/15/2031 | 7.375% | 15,000 | 14,646 | |
Colgate Energy Partners III LLC(a) | ||||
07/01/2029 | 5.875% | 77,000 | 72,580 | |
CrownRock LP/Finance, Inc.(a) | ||||
10/15/2025 | 5.625% | 51,000 | 50,342 | |
05/01/2029 | 5.000% | 42,000 | 39,492 | |
Endeavor Energy Resources LP/Finance, Inc.(a) | ||||
01/30/2028 | 5.750% | 55,000 | 53,888 | |
Hilcorp Energy I LP/Finance Co.(a) | ||||
11/01/2028 | 6.250% | 65,000 | 61,277 | |
02/01/2029 | 5.750% | 11,000 | 10,024 | |
04/15/2030 | 6.000% | 21,000 | 19,152 | |
04/15/2032 | 6.250% | 19,000 | 17,027 | |
Matador Resources Co. | ||||
09/15/2026 | 5.875% | 67,000 | 65,107 | |
Matador Resources Co.(a) | ||||
04/15/2028 | 6.875% | 20,000 | 19,794 | |
SM Energy Co. | ||||
09/15/2026 | 6.750% | 40,000 | 39,186 | |
Southwestern Energy Co. | ||||
02/01/2032 | 4.750% | 113,000 | 99,831 | |
Total | 710,293 | |||
Integrated Energy 0.0% | ||||
Cenovus Energy, Inc. | ||||
02/15/2052 | 3.750% | 600,000 | 425,957 | |
Leisure 0.1% | ||||
Carnival Corp.(a) | ||||
03/01/2027 | 5.750% | 78,000 | 71,754 | |
08/01/2028 | 4.000% | 54,000 | 47,836 | |
05/01/2029 | 6.000% | 43,000 | 38,393 | |
Carnival Holdings Bermuda Ltd.(a) | ||||
05/01/2028 | 10.375% | 27,000 | 29,537 | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Operations LLC(a) | ||||
05/01/2025 | 5.500% | 23,000 | 22,829 |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2023 | 17 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Operations LLC | ||||
10/01/2028 | 6.500% | 45,000 | 43,908 | |
Cinemark USA, Inc.(a) | ||||
05/01/2025 | 8.750% | 7,000 | 7,117 | |
03/15/2026 | 5.875% | 64,000 | 60,732 | |
07/15/2028 | 5.250% | 2,000 | 1,777 | |
Live Nation Entertainment, Inc.(a) | ||||
03/15/2026 | 5.625% | 44,000 | 43,006 | |
05/15/2027 | 6.500% | 33,000 | 33,177 | |
10/15/2027 | 4.750% | 17,000 | 15,857 | |
NCL Corp., Ltd.(a) | ||||
03/15/2026 | 5.875% | 19,000 | 17,835 | |
NCL Finance Ltd.(a) | ||||
03/15/2028 | 6.125% | 12,000 | 10,822 | |
Royal Caribbean Cruises Ltd.(a) | ||||
07/01/2026 | 4.250% | 62,000 | 57,182 | |
08/31/2026 | 5.500% | 6,000 | 5,693 | |
07/15/2027 | 5.375% | 8,000 | 7,501 | |
04/01/2028 | 5.500% | 9,000 | 8,399 | |
01/15/2030 | 7.250% | 41,000 | 41,607 | |
Royal Caribbean Cruises Ltd. | ||||
03/15/2028 | 3.700% | 33,000 | 28,664 | |
Six Flags Entertainment Corp.(a) | ||||
05/15/2031 | 7.250% | 41,000 | 39,929 | |
Viking Cruises Ltd.(a) | ||||
09/15/2027 | 5.875% | 40,000 | 36,730 | |
07/15/2031 | 9.125% | 12,000 | 12,125 | |
Total | 682,410 | |||
Life Insurance 0.2% | ||||
Corebridge Financial, Inc. | ||||
04/05/2052 | 4.400% | 525,000 | 404,091 | |
Five Corners Funding Trust III(a) | ||||
02/15/2033 | 5.791% | 1,175,000 | 1,194,224 | |
MetLife, Inc. | ||||
07/15/2052 | 5.000% | 697,000 | 657,259 | |
Voya Financial, Inc. | ||||
06/15/2046 | 4.800% | 618,000 | 509,389 | |
Total | 2,764,963 | |||
Lodging 0.0% | ||||
Hilton Domestic Operating Co., Inc.(a) | ||||
05/01/2028 | 5.750% | 33,000 | 32,537 | |
Media and Entertainment 0.3% | ||||
Clear Channel Outdoor Holdings, Inc.(a) | ||||
04/15/2028 | 7.750% | 49,000 | 38,439 | |
06/01/2029 | 7.500% | 43,000 | 31,859 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Clear Channel Worldwide Holdings, Inc.(a) | ||||
08/15/2027 | 5.125% | 88,000 | 80,035 | |
iHeartCommunications, Inc. | ||||
05/01/2026 | 6.375% | 6,440 | 5,426 | |
05/01/2027 | 8.375% | 86,366 | 57,534 | |
iHeartCommunications, Inc.(a) | ||||
08/15/2027 | 5.250% | 27,000 | 20,649 | |
01/15/2028 | 4.750% | 49,000 | 36,988 | |
Meta Platforms, Inc. | ||||
05/15/2063 | 5.750% | 845,000 | 873,639 | |
Outfront Media Capital LLC/Corp.(a) | ||||
08/15/2027 | 5.000% | 45,000 | 40,834 | |
01/15/2029 | 4.250% | 20,000 | 16,811 | |
03/15/2030 | 4.625% | 31,000 | 25,963 | |
Roblox Corp.(a) | ||||
05/01/2030 | 3.875% | 59,000 | 49,722 | |
Scripps Escrow II, Inc.(a) | ||||
01/15/2029 | 3.875% | 7,000 | 5,656 | |
01/15/2031 | 5.375% | 15,000 | 10,603 | |
Scripps Escrow, Inc.(a) | ||||
07/15/2027 | 5.875% | 11,000 | 8,975 | |
Univision Communications, Inc.(a) | ||||
05/01/2029 | 4.500% | 25,000 | 21,490 | |
06/30/2030 | 7.375% | 45,000 | 42,894 | |
Warnermedia Holdings, Inc. | ||||
03/15/2062 | 5.391% | 2,956,000 | 2,402,515 | |
Total | 3,770,032 | |||
Metals and Mining 0.1% | ||||
Allegheny Technologies, Inc. | ||||
10/01/2029 | 4.875% | 32,000 | 28,988 | |
10/01/2031 | 5.125% | 46,000 | 41,069 | |
Constellium NV(a) | ||||
02/15/2026 | 5.875% | 35,000 | 34,443 | |
Constellium SE(a) | ||||
06/15/2028 | 5.625% | 86,000 | 81,216 | |
04/15/2029 | 3.750% | 145,000 | 124,580 | |
Hudbay Minerals, Inc.(a) | ||||
04/01/2026 | 4.500% | 125,000 | 116,332 | |
04/01/2029 | 6.125% | 51,000 | 46,969 | |
Kaiser Aluminum Corp.(a) | ||||
03/01/2028 | 4.625% | 27,000 | 23,656 | |
06/01/2031 | 4.500% | 55,000 | 43,937 | |
Novelis Corp.(a) | ||||
11/15/2026 | 3.250% | 28,000 | 25,372 | |
01/30/2030 | 4.750% | 67,000 | 59,550 | |
08/15/2031 | 3.875% | 26,000 | 21,458 | |
Total | 647,570 |
18 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Midstream 0.6% | ||||
Cheniere Energy Partners LP | ||||
10/01/2029 | 4.500% | 19,000 | 17,449 | |
Cheniere Energy, Inc. | ||||
10/15/2028 | 4.625% | 13,000 | 12,158 | |
CNX Midstream Partners LP(a) | ||||
04/15/2030 | 4.750% | 35,000 | 29,608 | |
Delek Logistics Partners LP/Finance Corp. | ||||
05/15/2025 | 6.750% | 31,000 | 30,522 | |
DT Midstream, Inc.(a) | ||||
06/15/2029 | 4.125% | 32,000 | 28,091 | |
06/15/2031 | 4.375% | 36,000 | 31,039 | |
EQM Midstream Partners LP | ||||
08/01/2024 | 4.000% | 23,000 | 22,540 | |
EQM Midstream Partners LP(a) | ||||
07/01/2025 | 6.000% | 56,000 | 55,556 | |
06/01/2027 | 7.500% | 14,000 | 14,137 | |
07/01/2027 | 6.500% | 33,000 | 32,545 | |
06/01/2030 | 7.500% | 17,000 | 17,170 | |
01/15/2031 | 4.750% | 94,000 | 82,295 | |
Holly Energy Partners LP/Finance Corp.(a) | ||||
04/15/2027 | 6.375% | 36,000 | 35,667 | |
02/01/2028 | 5.000% | 41,000 | 38,239 | |
Kinder Morgan Energy Partners LP | ||||
03/01/2044 | 5.500% | 1,300,000 | 1,185,938 | |
MPLX LP | ||||
02/15/2049 | 5.500% | 900,000 | 820,124 | |
NuStar Logistics LP | ||||
06/01/2026 | 6.000% | 35,000 | 34,141 | |
04/28/2027 | 5.625% | 40,000 | 38,450 | |
10/01/2030 | 6.375% | 30,000 | 28,792 | |
Plains All American Pipeline LP/Finance Corp. | ||||
01/15/2037 | 6.650% | 1,575,000 | 1,595,352 | |
TransMontaigne Partners LP/TLP Finance Corp. | ||||
02/15/2026 | 6.125% | 38,000 | 32,840 | |
Venture Global Calcasieu Pass LLC(a) | ||||
08/15/2029 | 3.875% | 49,000 | 42,804 | |
08/15/2031 | 4.125% | 80,000 | 68,877 | |
11/01/2033 | 3.875% | 41,000 | 33,703 | |
Western Midstream Operating LP | ||||
04/01/2033 | 6.150% | 764,000 | 769,112 | |
Western Midstream Operating LP(f) | ||||
02/01/2050 | 5.250% | 1,000,000 | 830,384 | |
Williams Companies, Inc. (The) | ||||
09/15/2045 | 5.100% | 1,250,000 | 1,125,967 | |
Total | 7,053,500 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Natural Gas 0.1% | ||||
NiSource, Inc. | ||||
02/15/2044 | 4.800% | 1,215,000 | 1,104,920 | |
Oil Field Services 0.0% | ||||
Archrock Partners LP/Finance Corp.(a) | ||||
04/01/2028 | 6.250% | 26,000 | 24,426 | |
Nabors Industries Ltd.(a) | ||||
01/15/2026 | 7.250% | 50,000 | 46,708 | |
Nabors Industries, Inc.(a) | ||||
05/15/2027 | 7.375% | 2,000 | 1,902 | |
Transocean Titan Financing Ltd.(a) | ||||
02/01/2028 | 8.375% | 29,000 | 29,602 | |
USA Compression Partners LP/Finance Corp. | ||||
09/01/2027 | 6.875% | 26,000 | 24,835 | |
Venture Global LNG, Inc.(a) | ||||
06/01/2028 | 8.125% | 43,000 | 43,734 | |
06/01/2031 | 8.375% | 32,000 | 32,311 | |
Total | 203,518 | |||
Other Industry 0.0% | ||||
Picasso Finance Sub, Inc.(a) | ||||
06/15/2025 | 6.125% | 34,000 | 33,962 | |
Other REIT 0.0% | ||||
Blackstone Mortgage Trust, Inc.(a) | ||||
01/15/2027 | 3.750% | 27,000 | 22,694 | |
Ladder Capital Finance Holdings LLLP/Corp.(a) | ||||
10/01/2025 | 5.250% | 81,000 | 76,241 | |
02/01/2027 | 4.250% | 26,000 | 22,588 | |
06/15/2029 | 4.750% | 80,000 | 65,130 | |
Park Intermediate Holdings LLC/Domestic Property/Finance Co-Issuer(a) | ||||
10/01/2028 | 5.875% | 45,000 | 41,555 | |
Park Intermediate Holdings LLC/PK Domestic Property LLC/Finance Co-Issuer(a) | ||||
05/15/2029 | 4.875% | 35,000 | 30,176 | |
RHP Hotel Properties LP/Finance Corp.(a) | ||||
07/15/2028 | 7.250% | 10,000 | 10,103 | |
RLJ Lodging Trust LP(a) | ||||
07/01/2026 | 3.750% | 22,000 | 20,190 | |
09/15/2029 | 4.000% | 20,000 | 16,819 | |
Total | 305,496 | |||
Packaging 0.0% | ||||
Ardagh Metal Packaging Finance USA LLC/PLC(a) | ||||
06/15/2027 | 6.000% | 55,000 | 54,068 | |
09/01/2029 | 4.000% | 110,000 | 87,311 | |
Ardagh Packaging Finance PLC/Holdings USA, Inc.(a) | ||||
08/15/2026 | 4.125% | 35,000 | 32,614 |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2023 | 19 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Ball Corp. | ||||
06/15/2029 | 6.000% | 43,000 | 42,685 | |
Canpack SA/US LLC(a) | ||||
11/15/2029 | 3.875% | 65,000 | 52,848 | |
Sealed Air Corp.(a) | ||||
02/01/2028 | 6.125% | 5,000 | 4,963 | |
Trivium Packaging Finance BV(a) | ||||
08/15/2026 | 5.500% | 62,000 | 59,514 | |
Total | 334,003 | |||
Pharmaceuticals 0.7% | ||||
1375209 BC Ltd.(a) | ||||
01/30/2028 | 9.000% | 6,000 | 6,015 | |
AbbVie, Inc. | ||||
11/06/2042 | 4.400% | 1,450,000 | 1,298,178 | |
Amgen, Inc. | ||||
03/02/2053 | 5.650% | 4,285,000 | 4,344,139 | |
Bausch Health Companies, Inc.(a) | ||||
02/01/2027 | 6.125% | 20,000 | 12,804 | |
08/15/2027 | 5.750% | 28,000 | 17,127 | |
06/01/2028 | 4.875% | 35,000 | 20,839 | |
09/30/2028 | 11.000% | 11,000 | 7,825 | |
10/15/2030 | 14.000% | 1,000 | 599 | |
Grifols Escrow Issuer SA(a) | ||||
10/15/2028 | 4.750% | 28,000 | 24,303 | |
Organon Finance 1 LLC(a) | ||||
04/30/2028 | 4.125% | 22,000 | 19,535 | |
04/30/2031 | 5.125% | 64,000 | 52,791 | |
Pfizer Investment Enterprises Pte., Ltd. | ||||
05/19/2063 | 5.340% | 3,450,000 | 3,491,450 | |
Total | 9,295,605 | |||
Property & Casualty 0.1% | ||||
Alliant Holdings Intermediate LLC/Co-Issuer(a) | ||||
10/15/2027 | 4.250% | 72,000 | 65,996 | |
10/15/2027 | 6.750% | 110,000 | 103,408 | |
04/15/2028 | 6.750% | 71,000 | 70,005 | |
11/01/2029 | 5.875% | 31,000 | 27,366 | |
AssuredPartners, Inc.(a) | ||||
08/15/2025 | 7.000% | 20,000 | 19,747 | |
01/15/2029 | 5.625% | 58,000 | 50,286 | |
Berkshire Hathaway Finance Corp. | ||||
03/15/2052 | 3.850% | 525,000 | 434,296 | |
BroadStreet Partners, Inc.(a) | ||||
04/15/2029 | 5.875% | 66,000 | 57,254 | |
HUB International Ltd.(a) | ||||
05/01/2026 | 7.000% | 45,000 | 44,920 | |
12/01/2029 | 5.625% | 84,000 | 75,432 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
HUB International, Ltd.(a) | ||||
06/15/2030 | 7.250% | 58,000 | 59,890 | |
Radian Group, Inc. | ||||
03/15/2027 | 4.875% | 25,000 | 23,590 | |
USI, Inc.(a) | ||||
05/01/2025 | 6.875% | 38,000 | 37,729 | |
Total | 1,069,919 | |||
Railroads 0.0% | ||||
CSX Corp. | ||||
03/15/2044 | 4.100% | 550,000 | 472,523 | |
Restaurants 0.0% | ||||
1011778 BC ULC/New Red Finance, Inc.(a) | ||||
01/15/2028 | 3.875% | 57,000 | 52,116 | |
10/15/2030 | 4.000% | 18,000 | 15,490 | |
IRB Holding Corp.(a) | ||||
06/15/2025 | 7.000% | 58,000 | 58,290 | |
Total | 125,896 | |||
Retailers 0.2% | ||||
Asbury Automotive Group, Inc.(a) | ||||
11/15/2029 | 4.625% | 39,000 | 34,713 | |
02/15/2032 | 5.000% | 41,000 | 35,822 | |
Group 1 Automotive, Inc.(a) | ||||
08/15/2028 | 4.000% | 46,000 | 40,445 | |
Hanesbrands, Inc.(a) | ||||
02/15/2031 | 9.000% | 48,000 | 48,363 | |
L Brands, Inc.(a) | ||||
07/01/2025 | 9.375% | 6,000 | 6,364 | |
10/01/2030 | 6.625% | 60,000 | 57,973 | |
L Brands, Inc. | ||||
06/15/2029 | 7.500% | 23,000 | 23,317 | |
Lithia Motors, Inc.(a) | ||||
01/15/2031 | 4.375% | 20,000 | 17,265 | |
Lowe’s Companies, Inc. | ||||
09/15/2062 | 5.800% | 2,375,000 | 2,356,120 | |
PetSmart, Inc./Finance Corp.(a) | ||||
02/15/2028 | 4.750% | 41,000 | 37,969 | |
02/15/2029 | 7.750% | 34,000 | 33,799 | |
Wolverine World Wide, Inc.(a) | ||||
08/15/2029 | 4.000% | 22,000 | 17,518 | |
Total | 2,709,668 | |||
Supermarkets 0.0% | ||||
Albertsons Companies LLC/Safeway, Inc./New Albertsons LP/Albertsons LLC(a) | ||||
03/15/2026 | 7.500% | 15,000 | 15,278 | |
02/15/2028 | 5.875% | 25,000 | 24,291 |
20 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Albertsons Companies, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(a) | ||||
03/15/2026 | 3.250% | 30,000 | 27,799 | |
Total | 67,368 | |||
Technology 0.3% | ||||
Black Knight InfoServ LLC(a) | ||||
09/01/2028 | 3.625% | 39,000 | 35,032 | |
Boxer Parent Co., Inc.(a) | ||||
10/02/2025 | 7.125% | 14,000 | 13,990 | |
Broadcom, Inc.(a) | ||||
02/15/2051 | 3.750% | 1,859,000 | 1,372,487 | |
Camelot Finance SA(a) | ||||
11/01/2026 | 4.500% | 19,000 | 17,921 | |
Clarivate Science Holdings Corp.(a) | ||||
07/01/2028 | 3.875% | 25,000 | 22,106 | |
07/01/2029 | 4.875% | 73,000 | 64,762 | |
Cloud Software Group, Inc.(a) | ||||
09/30/2029 | 9.000% | 94,000 | 82,158 | |
CommScope Technologies LLC(a) | ||||
06/15/2025 | 6.000% | 27,000 | 25,197 | |
Condor Merger Sub, Inc.(a) | ||||
02/15/2030 | 7.375% | 76,000 | 66,072 | |
Dun & Bradstreet Corp. (The)(a) | ||||
12/15/2029 | 5.000% | 36,000 | 31,727 | |
Entegris Escrow Corp.(a) | ||||
06/15/2030 | 5.950% | 76,000 | 72,940 | |
Gartner, Inc.(a) | ||||
10/01/2030 | 3.750% | 42,000 | 36,611 | |
HealthEquity, Inc.(a) | ||||
10/01/2029 | 4.500% | 26,000 | 22,996 | |
Helios Software Holdings, Inc.(a) | ||||
05/01/2028 | 4.625% | 29,000 | 24,860 | |
ION Trading Technologies Sarl(a) | ||||
05/15/2028 | 5.750% | 32,000 | 27,603 | |
Iron Mountain, Inc.(a) | ||||
09/15/2027 | 4.875% | 14,000 | 13,217 | |
03/15/2028 | 5.250% | 25,000 | 23,406 | |
07/15/2028 | 5.000% | 54,000 | 50,061 | |
07/15/2030 | 5.250% | 26,000 | 23,428 | |
Logan Merger Sub, Inc.(a) | ||||
09/01/2027 | 5.500% | 83,000 | 46,330 | |
Minerva Merger Sub, Inc.(a) | ||||
02/15/2030 | 6.500% | 64,000 | 53,829 | |
NCR Corp.(a) | ||||
09/01/2027 | 5.750% | 25,000 | 24,998 | |
10/01/2028 | 5.000% | 80,000 | 71,562 | |
04/15/2029 | 5.125% | 80,000 | 70,826 | |
10/01/2030 | 5.250% | 4,000 | 3,484 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Neptune Bidco US, Inc.(a) | ||||
04/15/2029 | 9.290% | 91,000 | 83,566 | |
NXP BV/Funding LLC/USA, Inc. | ||||
05/01/2030 | 3.400% | 1,550,000 | 1,372,841 | |
Picard Midco, Inc.(a) | ||||
03/31/2029 | 6.500% | 69,000 | 61,334 | |
Seagate HDD Cayman(a) | ||||
12/15/2029 | 8.250% | 19,000 | 19,853 | |
07/15/2031 | 8.500% | 21,000 | 22,037 | |
Sensata Technologies BV(a) | ||||
09/01/2030 | 5.875% | 32,000 | 31,121 | |
Shift4 Payments LLC/Finance Sub, Inc.(a) | ||||
11/01/2026 | 4.625% | 55,000 | 51,887 | |
Synaptics, Inc.(a) | ||||
06/15/2029 | 4.000% | 11,000 | 9,308 | |
Tempo Acquisition LLC/Finance Corp.(a) | ||||
06/01/2025 | 5.750% | 45,000 | 44,952 | |
Verscend Escrow Corp.(a) | ||||
08/15/2026 | 9.750% | 64,000 | 64,074 | |
ZoomInfo Technologies LLC/Finance Corp.(a) | ||||
02/01/2029 | 3.875% | 90,000 | 77,395 | |
Total | 4,135,971 | |||
Transportation Services 0.1% | ||||
ERAC USA Finance LLC(a) | ||||
10/15/2037 | 7.000% | 725,000 | 827,315 | |
Wireless 0.2% | ||||
Altice France Holding SA(a) | ||||
02/15/2028 | 6.000% | 85,000 | 41,416 | |
Altice France SA(a) | ||||
02/01/2027 | 8.125% | 33,000 | 28,569 | |
01/15/2028 | 5.500% | 93,000 | 70,454 | |
07/15/2029 | 5.125% | 32,000 | 22,717 | |
American Tower Corp. | ||||
08/15/2029 | 3.800% | 1,000,000 | 914,162 | |
Sprint Corp. | ||||
03/01/2026 | 7.625% | 44,000 | 45,693 | |
T-Mobile US, Inc. | ||||
01/15/2053 | 5.650% | 1,100,000 | 1,116,702 | |
Vmed O2 UK Financing I PLC(a) | ||||
01/31/2031 | 4.250% | 27,000 | 21,859 | |
07/15/2031 | 4.750% | 52,000 | 43,324 | |
Total | 2,304,896 | |||
Wirelines 0.1% | ||||
AT&T, Inc. | ||||
09/15/2053 | 3.500% | 650,000 | 460,175 |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2023 | 21 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Frontier Communications Holdings LLC(a) | ||||
05/15/2030 | 8.750% | 24,000 | 23,450 | |
03/15/2031 | 8.625% | 37,000 | 35,804 | |
Iliad Holding SAS(a) | ||||
10/15/2026 | 6.500% | 53,000 | 50,039 | |
10/15/2028 | 7.000% | 79,000 | 72,895 | |
Total | 642,363 | |||
Total Corporate Bonds & Notes (Cost $102,399,428) | 94,425,243 |
Exchange-Traded Equity Funds 1.9% | ||
Shares | Value ($) | |
International Mid Large Cap 1.9% | ||
iShares Core MSCI EAFE ETF | 355,182 | 23,974,785 |
Total Exchange-Traded Equity Funds (Cost $23,810,275) | 23,974,785 |
Foreign Government Obligations(g) 0.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Canada 0.0% | ||||
NOVA Chemicals Corp.(a) | ||||
06/01/2024 | 4.875% | 25,000 | 24,430 | |
06/01/2027 | 5.250% | 34,000 | 30,299 | |
05/15/2029 | 4.250% | 45,000 | 36,715 | |
Total | 91,444 | |||
Total Foreign Government Obligations (Cost $101,459) | 91,444 | |||
Residential Mortgage-Backed Securities - Agency 12.0% | ||||
Federal Home Loan Mortgage Corp. | ||||
04/01/2032 | 6.000% | 26,502 | 26,768 | |
04/01/2032 | 7.000% | 17,101 | 17,436 | |
07/01/2032 | 6.500% | 8,637 | 8,835 | |
01/01/2033 | 3.000% | 494,633 | 465,149 | |
01/01/2034- 05/01/2041 | 5.000% | 250,912 | 252,956 | |
04/01/2041 | 4.500% | 45,352 | 44,838 | |
12/01/2051 | 2.500% | 4,804,540 | 4,079,368 | |
Federal Home Loan Mortgage Corp.(h) | ||||
05/01/2032 | 6.500% | 92,281 | 94,319 | |
06/01/2037 | 6.000% | 24,055 | 24,668 | |
02/01/2038 | 5.500% | 152,245 | 156,297 | |
03/01/2038- 03/01/2040 | 5.000% | 61,355 | 61,865 | |
05/01/2039- 08/01/2041 | 4.500% | 461,258 | 456,027 | |
07/01/2043 | 3.000% | 126,297 | 114,143 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal National Mortgage Association | ||||
05/01/2024- 12/01/2028 | 6.000% | 5,141 | 5,194 | |
03/01/2026- 12/01/2032 | 7.000% | 210,365 | 209,440 | |
10/01/2026- 12/01/2045 | 3.500% | 174,817 | 167,359 | |
11/01/2026- 01/01/2029 | 4.000% | 131,009 | 127,827 | |
08/01/2028- 09/01/2032 | 6.500% | 44,150 | 45,205 | |
02/01/2038- 03/01/2038 | 5.500% | 79,498 | 80,269 | |
Federal National Mortgage Association(h) | ||||
02/01/2031 | 3.500% | 102,449 | 97,907 | |
10/01/2040 | 4.500% | 103,681 | 102,388 | |
Uniform Mortgage-Backed Security TBA(i) | ||||
07/18/2038- 07/13/2053 | 3.000% | 26,075,000 | 23,043,330 | |
07/18/2038- 07/13/2053 | 3.500% | 25,500,000 | 23,417,723 | |
07/13/2053 | 2.000% | 8,950,000 | 7,298,096 | |
07/13/2053 | 2.500% | 22,825,000 | 19,353,104 | |
07/13/2053 | 4.000% | 40,550,000 | 38,052,057 | |
07/13/2053 | 4.500% | 20,200,000 | 19,420,406 | |
07/13/2053 | 5.000% | 18,450,000 | 18,078,117 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $156,353,641) | 155,301,091 | |||
Residential Mortgage-Backed Securities - Non-Agency 9.9% | ||||
510 Asset Backed Trust(a),(c) | ||||
CMO Series 2021-NPL2 Class A1 | ||||
06/25/2061 | 2.116% | 1,165,613 | 1,078,853 | |
Ajax Mortgage Loan Trust(a),(c) | ||||
CMO Series 2021-A Class A1 | ||||
09/25/2065 | 1.065% | 2,196,487 | 1,867,941 | |
CMO Series 2021-B Class A | ||||
06/25/2066 | 2.239% | 1,021,910 | 959,294 | |
Angel Oak Mortgage Trust(a),(c) | ||||
CMO Series 2020-6 Class A3 | ||||
05/25/2065 | 1.775% | 123,252 | 107,715 | |
CMO Series 2020-6 Class M1 | ||||
05/25/2065 | 2.805% | 400,000 | 303,015 | |
CMO Series 2020-R1 Class A1 | ||||
04/25/2053 | 0.990% | 537,951 | 478,240 | |
CMO Series 2022-6 Class A1 | ||||
07/25/2067 | 4.300% | 4,224,606 | 3,985,936 | |
Bellemeade Re Ltd.(a),(b) | ||||
CMO Series 2021-1A Class M1C | ||||
30-day Average SOFR + 2.950% Floor 2.950% 03/25/2031 | 8.017% | 800,000 | 827,897 |
22 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2021-3A Class M1A | ||||
30-day Average SOFR + 1.000% Floor 1.000% 09/25/2031 | 6.067% | 1,178,064 | 1,168,097 | |
BRAVO Residential Funding Trust(a),(c) | ||||
CMO Series 2020-NQM1 Class A1 | ||||
05/25/2060 | 1.449% | 164,624 | 153,356 | |
CMO Series 2020-RPL1 Class A1 | ||||
05/26/2059 | 2.500% | 569,294 | 527,665 | |
CMO Series 2021-A Class A1 | ||||
10/25/2059 | 1.991% | 1,205,981 | 1,133,911 | |
CMO Series 2021-B Class A1 | ||||
04/01/2069 | 2.115% | 816,887 | 772,330 | |
CMO Series 2021-NQM1 Class A1 | ||||
02/25/2049 | 0.941% | 1,103,716 | 963,245 | |
CMO Series 2021-NQM1 Class A3 | ||||
02/25/2049 | 1.332% | 449,665 | 390,015 | |
CMO Series 2021-NQM2 Class A3 | ||||
03/25/2060 | 1.435% | 252,513 | 234,614 | |
CMO Series 2022-NQM3 Class A1 | ||||
07/25/2062 | 5.108% | 1,022,047 | 1,007,599 | |
Subordinated CMO Series 2021-NQM2 Class B1 | ||||
03/25/2060 | 3.044% | 425,000 | 325,953 | |
CHNGE Mortgage Trust(a),(c) | ||||
CMO Series 2022-1 Class A1 | ||||
01/25/2067 | 3.007% | 2,079,751 | 1,834,916 | |
CMO Series 2022-NQM1 Class A1 | ||||
06/25/2067 | 5.528% | 879,116 | 851,860 | |
CIM Trust(a),(c) | ||||
CMO Series 2021-NR1 Class A1 | ||||
07/25/2055 | 2.569% | 679,712 | 653,101 | |
CMO Series 2021-NR2 Class A1 | ||||
07/25/2059 | 2.568% | 544,101 | 518,612 | |
COLT Mortgage Loan Trust(a),(c) | ||||
CMO Series 2020-2 Class A1 | ||||
03/25/2065 | 1.853% | 11,260 | 11,133 | |
CMO Series 2022-1 Class A1 | ||||
12/27/2066 | 2.284% | 2,194,240 | 1,865,605 | |
CMO Series 2022-4 Class A1 | ||||
03/25/2067 | 4.301% | 1,876,143 | 1,779,050 | |
COLT Mortgage Loan Trust(a) | ||||
CMO Series 2021-2R Class A1 | ||||
07/27/2054 | 0.798% | 322,016 | 270,965 | |
Connecticut Avenue Securities Trust(a),(b) | ||||
CMO Series 2020-R01 Class 1M2 | ||||
1-month USD LIBOR + 2.050% 01/25/2040 | 7.200% | 452,476 | 454,173 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2022-R04 Class 1M2 | ||||
30-day Average SOFR + 3.100% 03/25/2042 | 8.167% | 975,000 | 990,022 | |
Credit Suisse Mortgage Trust(a),(c) | ||||
CMO Series 2021-AFC1 Class A1 | ||||
03/25/2056 | 0.830% | 648,844 | 490,155 | |
CMO Series 2021-NQM1 Class A3 | ||||
05/25/2065 | 1.199% | 229,900 | 192,534 | |
CMO Series 2021-NQM1 Class M1 | ||||
05/25/2065 | 2.130% | 175,000 | 113,075 | |
CMO Series 2021-RPL1 Class A1 | ||||
09/27/2060 | 1.668% | 1,583,638 | 1,454,639 | |
CMO Series 2021-RPL2 Class M1 | ||||
01/25/2060 | 2.750% | 751,019 | 559,857 | |
CMO Series 2021-RPL2 Class M2 | ||||
01/25/2060 | 3.250% | 375,000 | 268,939 | |
CMO Series 2022-ATH3 Class A1 | ||||
08/25/2067 | 4.991% | 1,034,627 | 994,688 | |
CSMC Trust(a),(c) | ||||
CMO Series 2018-RPL9 Class A | ||||
09/25/2057 | 3.850% | 1,458,698 | 1,361,834 | |
CMO Series 2021-RPL4 Class A1 | ||||
12/27/2060 | 1.796% | 1,054,655 | 967,558 | |
CMO Series 2022-NQM5 Class A1 | ||||
05/25/2067 | 5.169% | 1,522,364 | 1,464,075 | |
Subordinated CMO Series 2020-RPL3 Class A1 | ||||
03/25/2060 | 2.691% | 765,373 | 735,052 | |
Subordinated CMO Series 2020-RPL4 Class A1 | ||||
01/25/2060 | 2.000% | 633,941 | 544,392 | |
CSMC Trust(a) | ||||
CMO Series 2019-AFC1 Class A1 | ||||
07/25/2049 | 2.573% | 406,296 | 370,977 | |
Eagle Re Ltd.(a),(b) | ||||
CMO Series 2021-1 Class M1C | ||||
30-day Average SOFR + 2.700% Floor 2.700% 10/25/2033 | 7.767% | 375,725 | 374,993 | |
CMO Series 2021-2 Class M1B | ||||
30-day Average SOFR + 2.050% Floor 2.050% 04/25/2034 | 7.117% | 1,900,000 | 1,908,167 | |
Ellington Financial Mortgage Trust(a),(c) | ||||
CMO Series 2019-2 Class A3 | ||||
11/25/2059 | 3.046% | 105,215 | 96,866 | |
CMO Series 2020-1 Class A1 | ||||
05/25/2065 | 2.006% | 30,724 | 29,102 | |
CMO Series 2022-2 Class A1 | ||||
04/25/2067 | 4.299% | 5,188,524 | 4,906,995 |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2023 | 23 |
June 30, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Freddie Mac STACR REMIC Trust(a),(b) | ||||
CMO Series 2020-DNA1 Class M2 | ||||
1-month USD LIBOR + 1.700% 01/25/2050 | 6.850% | 433,279 | 433,298 | |
CMO Series 2021-DNA1 Class M2 | ||||
30-day Average SOFR + 1.800% 01/25/2051 | 6.867% | 508,550 | 507,304 | |
CMO Series 2021-DNA5 Class M2 | ||||
30-day Average SOFR + 1.650% 01/25/2034 | 6.717% | 419,224 | 418,640 | |
CMO Series 2022-DNA3 Class M1B | ||||
30-day Average SOFR + 2.900% 04/25/2042 | 7.967% | 1,100,000 | 1,099,990 | |
CMO Series 2022-DNA4 Class M1A | ||||
30-day Average SOFR + 2.200% 05/25/2042 | 7.267% | 4,640,705 | 4,661,968 | |
Subordinated CMO Series 2022-DNA6 Class M1A | ||||
30-day Average SOFR + 2.150% 09/25/2042 | 7.217% | 489,186 | 492,150 | |
Freddie Mac STACR Trust(a),(b) | ||||
CMO Series 2019-DNA4 Class M2 | ||||
1-month USD LIBOR + 1.950% 10/25/2049 | 7.100% | 69,616 | 69,703 | |
Freddie Mac Structured Agency Credit Risk Debt Notes(a),(b) | ||||
CMO Series 2022-DNA2 Class M1B | ||||
30-day Average SOFR + 2.400% 02/25/2042 | 7.467% | 2,500,000 | 2,469,831 | |
CMO Series 2022-DNA5 Class M1A | ||||
30-day Average SOFR + 2.950% 06/25/2042 | 8.017% | 1,734,449 | 1,765,849 | |
Subordinated CMO Series 2021-DNA7 Class M1 | ||||
30-day Average SOFR + 0.850% 11/25/2041 | 5.917% | 3,487,720 | 3,450,733 | |
GCAT LLC(a),(c) | ||||
CMO Series 2020-3 Class A1 | ||||
09/25/2025 | 2.981% | 854,754 | 834,035 | |
GCAT Trust(a),(c) | ||||
CMO Series 2019-RPL1 Class A1 | ||||
10/25/2068 | 2.650% | 782,276 | 730,008 | |
CMO Series 2021-CM2 Class A1 | ||||
08/25/2066 | 2.352% | 2,715,115 | 2,428,210 | |
CMO Series 2022-NQM3 Class A1 | ||||
04/25/2067 | 4.349% | 5,180,917 | 4,927,237 | |
CMO Series 2023-NQM2 Class A1 | ||||
11/25/2067 | 5.837% | 1,774,915 | 1,750,171 | |
GS Mortgage-Backed Securities Trust(a),(c) | ||||
CMO Series 2020-NQM1 Class A1 | ||||
09/27/2060 | 1.382% | 333,597 | 299,517 |
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 | 6.700% | 332,189 | 332,029 | |
Homeward Opportunities Fund I Trust(a),(c) | ||||
CMO Series 2020-2 Class A3 | ||||
05/25/2065 | 3.196% | 550,000 | 507,647 | |
Legacy Mortgage Asset Trust(a),(c) | ||||
CMO Series 2021-GS1 Class A1 | ||||
10/25/2066 | 1.892% | 1,140,281 | 1,041,883 | |
CMO Series 2021-GS2 Class A1 | ||||
04/25/2061 | 1.750% | 2,179,729 | 2,015,878 | |
MetLife Securitization Trust(a),(c) | ||||
CMO Series 2018-1A Class A | ||||
03/25/2057 | 3.750% | 361,071 | 336,649 | |
MFA Trust(a),(c) | ||||
CMO Series 2020-NQM3 Class M1 | ||||
01/26/2065 | 2.654% | 475,000 | 375,816 | |
CMO Series 2021-NQM1 Class A1 | ||||
04/25/2065 | 1.153% | 654,835 | 563,495 | |
CMO Series 2022-NQM2 Class A1 | ||||
05/25/2067 | 4.000% | 4,957,793 | 4,648,671 | |
MFRA Trust(a),(c) | ||||
CMO Series 2021-INV1 Class A1 | ||||
01/25/2056 | 0.852% | 217,766 | 194,500 | |
CMO Series 2021-INV1 Class A2 | ||||
01/25/2056 | 1.057% | 40,343 | 36,126 | |
CMO Series 2021-INV1 Class A3 | ||||
01/25/2056 | 1.262% | 67,455 | 60,338 | |
Mill City Mortgage Loan Trust(a),(c) | ||||
CMO Series 2018-3 Class A1 | ||||
08/25/2058 | 3.482% | 684,193 | 648,869 | |
CMO Series 2021-NMR1 Class M1 | ||||
11/25/2060 | 1.850% | 1,150,000 | 965,476 | |
New Residential Mortgage Loan Trust(a) | ||||
CMO Series 2016-3A Class A1 | ||||
09/25/2056 | 3.750% | 140,138 | 127,387 | |
NRZ Excess Spread-Collateralized Notes(a) | ||||
Series 2020-PLS1 Class A | ||||
12/25/2025 | 3.844% | 376,673 | 349,691 | |
Oaktown Re VI Ltd.(a),(b) | ||||
CMO Series 2021-1A Class M1B | ||||
30-day Average SOFR + 2.050% Floor 2.050% 10/25/2033 | 7.117% | 737,271 | 736,617 | |
OBX Trust(a),(b) | ||||
CMO Series 2020-EXP3 Class 2A1A | ||||
1-month USD LIBOR + 0.950% 01/25/2060 | 6.050% | 116,051 | 114,849 |
24 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
OBX Trust(a),(c) | ||||
CMO Series 2023-NQM1 Class A1 | ||||
11/25/2062 | 6.120% | 943,902 | 930,431 | |
Oceanview Mortgage Loan Trust(a) | ||||
CMO Series 2020-1 Class A1A | ||||
05/28/2050 | 1.733% | 286,205 | 252,664 | |
Preston Ridge Partners Mortgage(a),(c) | ||||
CMO Series 2021-4 Class A1 | ||||
04/25/2026 | 1.867% | 2,211,336 | 2,036,767 | |
Preston Ridge Partners Mortgage Trust(a),(c) | ||||
CMO Series 2020-6 Class A1 | ||||
11/25/2025 | 2.363% | 557,570 | 528,356 | |
CMO Series 2021-1 Class A1 | ||||
01/25/2026 | 2.115% | 912,142 | 871,676 | |
CMO Series 2021-10 Class A1 | ||||
10/25/2026 | 2.487% | 1,230,854 | 1,133,810 | |
CMO Series 2021-3 Class A1 | ||||
04/25/2026 | 1.867% | 1,202,139 | 1,111,657 | |
CMO Series 2021-9 Class A1 | ||||
10/25/2026 | 2.363% | 1,946,192 | 1,808,451 | |
Pretium Mortgage Credit Partners LLC(a),(c) | ||||
CMO Series 2021-NPL6 Class A1 | ||||
07/25/2051 | 2.487% | 2,669,244 | 2,464,428 | |
PRKCM Trust(a),(c) | ||||
CMO Series 2021-AFC2 Class A3 | ||||
11/25/2056 | 2.893% | 2,000,000 | 1,259,375 | |
CMO Series 2021-AFC2 Class M1 | ||||
11/25/2056 | 3.443% | 1,475,000 | 936,170 | |
Subordinated CMO Series 2021-AFC2 Class B1 | ||||
11/25/2056 | 3.701% | 1,300,000 | 804,506 | |
PRPM LLC(a),(c) | ||||
CMO Series 2021-RPL1 Class A1 | ||||
07/25/2051 | 1.319% | 569,297 | 489,307 | |
Radnor Re Ltd.(a),(b) | ||||
Subordinated CMO Series 2021-2 Class M1A | ||||
30-day Average SOFR + 1.850% Floor 1.850% 11/25/2031 | 6.917% | 303,076 | 302,995 | |
Subordinated CMO Series 2021-2 Class M1B | ||||
30-day Average SOFR + 3.700% Floor 3.700% 11/25/2031 | 8.767% | 725,000 | 721,417 | |
Residential Mortgage Loan Trust(a),(c) | ||||
CMO Series 2020-1 Class A3 | ||||
01/26/2060 | 2.684% | 123,144 | 116,256 | |
Starwood Mortgage Residential Trust(a),(c) | ||||
CMO Series 2019-INV1 Class A3 | ||||
09/27/2049 | 2.916% | 557,774 | 527,243 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2020-2 Class A3 | ||||
04/25/2060 | 3.000% | 788,756 | 760,084 | |
CMO Series 2020-INV1 Class A3 | ||||
11/25/2055 | 1.593% | 134,286 | 120,919 | |
CMO Series 2021-4 Class M1 | ||||
08/25/2056 | 2.400% | 525,000 | 337,894 | |
Toorak Mortgage Corp., Ltd.(a),(c) | ||||
CMO Series 2021-1 Class A1 | ||||
06/25/2024 | 2.240% | 900,000 | 891,560 | |
Towd Point HE Trust(a),(c) | ||||
CMO Series 2021-HE1 Class M2 | ||||
02/25/2063 | 2.500% | 450,000 | 384,942 | |
Towd Point Mortgage Trust(a),(c) | ||||
CMO Series 2018-1 Class A1 | ||||
01/25/2058 | 3.000% | 131,146 | 125,536 | |
CMO Series 2018-6 Class A1A | ||||
03/25/2058 | 3.750% | 510,063 | 489,166 | |
Towd Point Mortgage Trust(a),(b) | ||||
CMO Series 2019-HY1 Class A1 | ||||
1-month USD LIBOR + 1.000% 10/25/2048 | 6.150% | 419,091 | 415,684 | |
CMO Series 2019-HY2 Class A1 | ||||
1-month USD LIBOR + 1.000% 05/25/2058 | 6.150% | 506,510 | 503,786 | |
TVC Mortgage Trust(a) | ||||
CMO Series 2020-RTL1 Class A1 | ||||
09/25/2024 | 3.474% | 2,459 | 2,452 | |
VCAT Asset Securitization LLC(a),(c) | ||||
CMO Series 2021-NPL6 Class A1 | ||||
09/25/2051 | 1.917% | 3,643,009 | 3,300,865 | |
VCAT LLC(a),(c) | ||||
CMO Series 2021-NPL1 Class A1 | ||||
12/26/2050 | 2.289% | 120,914 | 115,606 | |
Vericrest Opportunity Loan Transferee(a),(c) | ||||
CMO Series 2021-NP11 Class A1 | ||||
08/25/2051 | 1.868% | 1,831,814 | 1,691,953 | |
Vericrest Opportunity Loan Transferee XCII LLC(a),(c) | ||||
CMO Series 2021-NPL1 Class A1 | ||||
02/27/2051 | 1.893% | 1,272,134 | 1,195,418 | |
Vericrest Opportunity Loan Transferee XCIII LLC(a),(c) | ||||
CMO Series 2021-NPL2 Class A1 | ||||
02/27/2051 | 1.893% | 1,105,165 | 1,017,731 | |
Vericrest Opportunity Loan Transferee XCIV LLC(a),(c) | ||||
CMO Series 2021-NPL3 Class A1 | ||||
02/27/2051 | 2.240% | 1,300,645 | 1,231,979 | |
Vericrest Opportunity Loan Transferee XCIX LLC(a),(c) | ||||
CMO Series 2021-NPL8 Class A1 | ||||
04/25/2051 | 2.116% | 847,361 | 775,265 |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2023 | 25 |
June 30, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Vericrest Opportunity Loan Transferee XCVI LLC(a),(c) | ||||
CMO Series 2021-NPL5 Class A1 | ||||
03/27/2051 | 2.116% | 757,875 | 709,410 | |
Vericrest Opportunity Loan Transferee XCVII LLC(a),(c) | ||||
CMO Series 2021-NPL6 Class A1 | ||||
04/25/2051 | 2.240% | 3,176,493 | 2,893,110 | |
Vericrest Opportunity Loan Trust CI LLC(a),(c) | ||||
CMO Series 2021-NP10 Class A1 | ||||
05/25/2051 | 1.992% | 2,474,236 | 2,231,578 | |
Verus Securitization Trust(a),(c) | ||||
CMO Series 2019-4 Class A3 | ||||
11/25/2059 | 3.000% | 525,566 | 497,837 | |
CMO Series 2020-1 Class M1 | ||||
01/25/2060 | 3.021% | 1,000,000 | 798,981 | |
CMO Series 2020-2 Class A1 | ||||
05/25/2060 | 2.226% | 88,881 | 86,462 | |
CMO Series 2020-INV1 Class A1 | ||||
03/25/2060 | 1.977% | 28,738 | 28,101 | |
CMO Series 2021-R1 Class A2 | ||||
10/25/2063 | 1.057% | 174,759 | 157,694 | |
CMO Series 2021-R1 Class A3 | ||||
10/25/2063 | 1.262% | 221,361 | 199,647 | |
CMO Series 2022-1 Class A1 | ||||
01/25/2067 | 2.724% | 3,457,579 | 3,060,496 | |
CMO Series 2022-4 Class A1 | ||||
04/25/2067 | 4.474% | 440,941 | 418,896 | |
CMO Series 2023-1 Class A1 | ||||
12/25/2067 | 5.850% | 1,401,039 | 1,382,171 | |
CMO Series 2023-INV1 Class A1 | ||||
02/25/2068 | 5.999% | 3,297,542 | 3,272,427 | |
Visio Trust(a),(c) | ||||
CMO Series 2019-2 Class A3 | ||||
11/25/2054 | 3.076% | 273,792 | 252,543 | |
Visio Trust(a) | ||||
CMO Series 2020-1R Class A2 | ||||
11/25/2055 | 1.567% | 156,627 | 141,929 | |
CMO Series 2020-1R Class A3 | ||||
11/25/2055 | 1.873% | 182,731 | 166,223 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $137,921,556) | 127,697,430 | |||
Senior Loans 0.0% | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Chemicals 0.0% | ||||
WR Grace Holdings LLC(b),(j) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.750% Floor 0.500% 09/22/2028 | 9.313% | 33,490 | 33,215 | |
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 | 12.967% | 4,859 | 3,192 | |
Media and Entertainment 0.0% | ||||
Cengage Learning, Inc.(b),(j) | ||||
Tranche B 1st Lien Term Loan | ||||
3-month USD LIBOR + 4.750% Floor 1.000% 07/14/2026 | 9.880% | 55,024 | 53,841 | |
Technology 0.0% | ||||
Ascend Learning LLC(b),(j),(k) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 3.500% Floor 0.500% 12/11/2028 | 8.702% | 53,415 | 50,102 | |
Ascend Learning LLC(b),(j) | ||||
2nd Lien Term Loan | ||||
1-month Term SOFR + 5.750% Floor 0.500% 12/10/2029 | 10.952% | 23,000 | 19,454 | |
DCert Buyer, Inc.(b),(j) | ||||
2nd Lien Term Loan | ||||
1-month USD LIBOR + 7.000% 02/19/2029 | 12.264% | 36,000 | 32,820 | |
UKG, Inc.(b),(j) | ||||
1st Lien Term Loan | ||||
3-month Term SOFR + 3.250% Floor 0.500% 05/04/2026 | 8.271% | 22,837 | 22,388 | |
2nd Lien Term Loan | ||||
3-month Term SOFR + 5.250% Floor 0.500% 05/03/2027 | 10.271% | 45,000 | 43,521 | |
Total | 168,285 | |||
Total Senior Loans (Cost $271,834) | 258,533 | |||
26 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
U.S. Treasury Obligations 0.3% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
U.S. Treasury(h) | ||||
02/15/2045 | 2.500% | 5,750,000 | 4,450,859 | |
Total U.S. Treasury Obligations (Cost $6,218,485) | 4,450,859 |
Money Market Funds 9.5% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(l),(m) | 121,978,166 | 121,929,374 |
Total Money Market Funds (Cost $121,935,108) | 121,929,374 | |
Total Investments in Securities (Cost: $1,272,739,375) | 1,439,665,647 | |
Other Assets & Liabilities, Net | (150,149,489) | |
Net Assets | 1,289,516,158 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 10-Year Note | 438 | 09/2023 | USD | 49,172,344 | — | (775,681) |
U.S. Treasury 2-Year Note | 105 | 09/2023 | USD | 21,351,094 | — | (254,932) |
U.S. Treasury 5-Year Note | 507 | 09/2023 | USD | 54,296,531 | — | (926,095) |
U.S. Treasury Ultra Bond | 77 | 09/2023 | USD | 10,488,844 | 127,377 | — |
U.S. Treasury Ultra Bond | 8 | 09/2023 | USD | 1,089,750 | — | (4,764) |
Total | 127,377 | (1,961,472) |
(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, 2023, the total value of these securities amounted to $270,295,187, which represents 20.96% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of June 30, 2023. |
(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, 2023. |
(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, 2023. |
(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, 2023 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. |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2023 | 27 |
June 30, 2023 (Unaudited)
(k) | Represents a security purchased on a forward commitment basis. |
(l) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
(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, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | ||||||||
101,761,518 | 184,219,517 | (164,040,002) | (11,659) | 121,929,374 | (204) | 2,341,200 | 121,978,166 |
CMO | Collateralized Mortgage Obligation |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing Rate |
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). |
28 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2023:
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Asset-Backed Securities — Non-Agency | — | 76,256,899 | — | 76,256,899 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 66,680,931 | — | 66,680,931 |
Common Stocks | ||||
Communication Services | 100,792,061 | — | — | 100,792,061 |
Consumer Discretionary | 53,316,980 | — | — | 53,316,980 |
Consumer Staples | 47,493,654 | — | — | 47,493,654 |
Energy | 26,538,905 | — | — | 26,538,905 |
Financials | 96,430,345 | — | — | 96,430,345 |
Health Care | 115,431,717 | — | — | 115,431,717 |
Industrials | 68,098,013 | — | — | 68,098,013 |
Information Technology | 225,011,827 | — | — | 225,011,827 |
Materials | 13,280,539 | — | — | 13,280,539 |
Real Estate | 9,633,194 | — | — | 9,633,194 |
Utilities | 12,536,805 | — | — | 12,536,805 |
Total Common Stocks | 768,564,040 | — | — | 768,564,040 |
Convertible Bonds | — | 35,018 | — | 35,018 |
Corporate Bonds & Notes | — | 94,425,243 | — | 94,425,243 |
Exchange-Traded Equity Funds | 23,974,785 | — | — | 23,974,785 |
Foreign Government Obligations | — | 91,444 | — | 91,444 |
Residential Mortgage-Backed Securities - Agency | — | 155,301,091 | — | 155,301,091 |
Residential Mortgage-Backed Securities - Non-Agency | — | 127,697,430 | — | 127,697,430 |
Senior Loans | — | 258,533 | — | 258,533 |
U.S. Treasury Obligations | — | 4,450,859 | — | 4,450,859 |
Money Market Funds | 121,929,374 | — | — | 121,929,374 |
Total Investments in Securities | 914,468,199 | 525,197,448 | — | 1,439,665,647 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 127,377 | — | — | 127,377 |
Liability | ||||
Futures Contracts | (1,961,472) | — | — | (1,961,472) |
Total | 912,634,104 | 525,197,448 | — | 1,437,831,552 |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2023 | 29 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,150,804,267) | $1,317,736,273 |
Affiliated issuers (cost $121,935,108) | 121,929,374 |
Cash | 1,498 |
Cash collateral held at broker for: | |
TBA | 1,033,000 |
Receivable for: | |
Investments sold | 1,872,627 |
Investments sold on a delayed delivery basis | 15,092,978 |
Capital shares sold | 182,835 |
Dividends | 779,767 |
Interest | 2,527,701 |
Foreign tax reclaims | 33,196 |
Variation margin for futures contracts | 167,844 |
Expense reimbursement due from Investment Manager | 613 |
Prepaid expenses | 7,968 |
Total assets | 1,461,365,674 |
Liabilities | |
Payable for: | |
Investments purchased | 4,901,540 |
Investments purchased on a delayed delivery basis | 164,791,489 |
Capital shares redeemed | 1,879,876 |
Variation margin for futures contracts | 3,281 |
Management services fees | 23,792 |
Distribution and/or service fees | 4,666 |
Service fees | 66,419 |
Compensation of board members | 128,765 |
Compensation of chief compliance officer | 116 |
Other expenses | 49,572 |
Total liabilities | 171,849,516 |
Net assets applicable to outstanding capital stock | $1,289,516,158 |
Represented by | |
Trust capital | $1,289,516,158 |
Total - representing net assets applicable to outstanding capital stock | $1,289,516,158 |
Class 1 | |
Net assets | $21,471,468 |
Shares outstanding | 540,291 |
Net asset value per share | $39.74 |
Class 2 | |
Net assets | $105,084,080 |
Shares outstanding | 2,703,942 |
Net asset value per share | $38.86 |
Class 3 | |
Net assets | $1,162,960,610 |
Shares outstanding | 29,567,650 |
Net asset value per share | $39.33 |
30 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $5,113,138 |
Dividends — affiliated issuers | 2,341,200 |
Interest | 8,839,500 |
Interfund lending | 1,145 |
Foreign taxes withheld | (31,607) |
Total income | 16,263,376 |
Expenses: | |
Management services fees | 4,175,787 |
Distribution and/or service fees | |
Class 2 | 116,833 |
Class 3 | 696,778 |
Service fees | 377,957 |
Compensation of board members | 17,175 |
Custodian fees | 21,476 |
Printing and postage fees | 22,333 |
Accounting services fees | 20,145 |
Legal fees | 13,973 |
Interest on collateral | 932 |
Compensation of chief compliance officer | 117 |
Other | 11,773 |
Total expenses | 5,475,279 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (43,412) |
Total net expenses | 5,431,867 |
Net investment income | 10,831,509 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (4,587,715) |
Investments — affiliated issuers | (204) |
Foreign currency translations | 1,937 |
Futures contracts | (1,668,210) |
Net realized loss | (6,254,192) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 146,677,657 |
Investments — affiliated issuers | (11,659) |
Foreign currency translations | (842) |
Futures contracts | (1,037,929) |
Net change in unrealized appreciation (depreciation) | 145,627,227 |
Net realized and unrealized gain | 139,373,035 |
Net increase in net assets resulting from operations | $150,204,544 |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2023 | 31 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment income | $10,831,509 | $14,347,875 |
Net realized gain (loss) | (6,254,192) | 16,014,397 |
Net change in unrealized appreciation (depreciation) | 145,627,227 | (272,734,028) |
Net increase (decrease) in net assets resulting from operations | 150,204,544 | (242,371,756) |
Decrease in net assets from capital stock activity | (30,439,661) | (39,542,359) |
Total increase (decrease) in net assets | 119,764,883 | (281,914,115) |
Net assets at beginning of period | 1,169,751,275 | 1,451,665,390 |
Net assets at end of period | $1,289,516,158 | $1,169,751,275 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Shares sold | 110,443 | 4,139,568 | 177,490 | 6,692,596 |
Shares redeemed | (5,060) | (189,882) | (20,895) | (796,656) |
Net increase | 105,383 | 3,949,686 | 156,595 | 5,895,940 |
Class 2 | ||||
Shares sold | 402,519 | 14,703,219 | 1,740,344 | 64,385,668 |
Shares redeemed | (65,695) | (2,420,095) | (175,076) | (6,308,994) |
Net increase | 336,824 | 12,283,124 | 1,565,268 | 58,076,674 |
Class 3 | ||||
Shares sold | 64,311 | 2,375,899 | 135,064 | 5,137,208 |
Shares redeemed | (1,323,796) | (49,048,370) | (2,950,006) | (108,652,181) |
Net decrease | (1,259,485) | (46,672,471) | (2,814,942) | (103,514,973) |
Total net decrease | (817,278) | (30,439,661) | (1,093,079) | (39,542,359) |
32 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2023 |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2023 | 33 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $35.15 | 0.36 | 4.23 | 4.59 |
Year Ended 12/31/2022 | $42.17 | 0.49 | (7.51) | (7.02) |
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) |
Class 2 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $34.41 | 0.30 | 4.15 | 4.45 |
Year Ended 12/31/2022 | $41.39 | 0.40 | (7.38) | (6.98) |
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) |
Class 3 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $34.81 | 0.33 | 4.19 | 4.52 |
Year Ended 12/31/2022 | $41.81 | 0.42 | (7.42) | (7.00) |
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) |
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) | Ratios include interest on collateral expense which is less than 0.01%. |
34 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2023 |
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 6/30/2023 (Unaudited) | $39.74 | 13.06% | 0.76%(c) | 0.75%(c) | 1.91% | 90% | $21,471 |
Year Ended 12/31/2022 | $35.15 | (16.65%) | 0.76%(c) | 0.76%(c) | 1.31% | 134% | $15,285 |
Year Ended 12/31/2021 | $42.17 | 14.88% | 0.75%(c) | 0.75%(c) | 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 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $38.86 | 12.93% | 1.01%(c) | 1.00%(c) | 1.66% | 90% | $105,084 |
Year Ended 12/31/2022 | $34.41 | (16.87%) | 1.01%(c) | 1.01%(c) | 1.12% | 134% | $81,461 |
Year Ended 12/31/2021 | $41.39 | 14.62% | 1.00%(c) | 1.00%(c) | 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 |
Class 3 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $39.33 | 12.98% | 0.89%(c) | 0.88%(c) | 1.77% | 90% | $1,162,961 |
Year Ended 12/31/2022 | $34.81 | (16.74%) | 0.88%(c) | 0.88%(c) | 1.13% | 134% | $1,073,005 |
Year Ended 12/31/2021 | $41.81 | 14.74% | 0.88%(c) | 0.88%(c) | 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% | $1,004,017 |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2023 | 35 |
June 30, 2023 (Unaudited)
36 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2023 | 37 |
June 30, 2023 (Unaudited)
38 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 127,377* |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 1,961,472* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin for futures and centrally cleared swaps, if any, is reported in receivables or payables in the Statement of Assets and Liabilities. |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2023 | 39 |
June 30, 2023 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Interest rate risk | (1,668,210) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Interest rate risk | (1,037,929) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 131,739,918 |
Futures contracts — short | 35,509,938 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2023. |
40 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2023 | 41 |
June 30, 2023 (Unaudited)
42 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2023 | 43 |
June 30, 2023 (Unaudited)
May 1, 2023 through April 30, 2024 | Prior to May 1, 2023 | |
Class 1 | 0.74% | 0.76% |
Class 2 | 0.99 | 1.01 |
Class 3 | 0.865 | 0.885 |
44 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 709,091 | 5.31 | 11 |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2023 | 45 |
June 30, 2023 (Unaudited)
46 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2023 | 47 |
• | 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. |
48 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2023 |
(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 one or more 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 2023 | 49 |
(Unaudited)
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
50 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2023 |
(Unaudited)
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 2023 | 51 |
June 30, 2023 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | 8.10 | 14.51 | 5.92 | 8.20 | |
Class 2 | 05/03/10 | 7.98 | 14.23 | 5.65 | 7.94 | |
Class 3 | 09/15/99 | 8.02 | 14.37 | 5.79 | 8.08 | |
Russell 2000 Value Index | 2.50 | 6.01 | 3.54 | 7.29 |
Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2023) | |
Common Stocks | 98.4 |
Money Market Funds | 1.6 |
Total | 100.0 |
Equity sector breakdown (%) (at June 30, 2023) | |
Communication Services | 0.4 |
Consumer Discretionary | 11.9 |
Consumer Staples | 2.1 |
Energy | 6.3 |
Financials | 22.6 |
Health Care | 8.7 |
Industrials | 16.6 |
Information Technology | 11.1 |
Materials | 10.4 |
Real Estate | 6.9 |
Utilities | 3.0 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | |||||||
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 | 1,081.00 | 1,020.69 | 4.41 | 4.28 | 0.85 |
Class 2 | 1,000.00 | 1,000.00 | 1,079.80 | 1,019.45 | 5.70 | 5.54 | 1.10 |
Class 3 | 1,000.00 | 1,000.00 | 1,080.20 | 1,020.09 | 5.03 | 4.89 | 0.97 |
Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (Unaudited)
Common Stocks 98.5% | ||
Issuer | Shares | Value ($) |
Communication Services 0.3% | ||
Media 0.3% | ||
iHeartMedia, Inc., Class A(a) | 96,778 | 352,272 |
Total Communication Services | 352,272 | |
Consumer Discretionary 11.8% | ||
Auto Components 4.0% | ||
Atmus Filtration Technologies, Inc.(a) | 52,560 | 1,154,218 |
Visteon Corp.(a) | 20,000 | 2,872,200 |
Total | 4,026,418 | |
Hotels, Restaurants & Leisure 4.5% | ||
Penn Entertainment, Inc.(a) | 17,536 | 421,390 |
Six Flags Entertainment Corp.(a) | 81,790 | 2,124,904 |
Texas Roadhouse, Inc. | 17,879 | 2,007,454 |
Total | 4,553,748 | |
Household Durables 1.8% | ||
KB Home | 35,494 | 1,835,395 |
Textiles, Apparel & Luxury Goods 1.5% | ||
Kontoor Brands, Inc. | 37,022 | 1,558,626 |
Total Consumer Discretionary | 11,974,187 | |
Consumer Staples 2.1% | ||
Food Products 2.1% | ||
Nomad Foods Ltd.(a) | 119,930 | 2,101,174 |
Total Consumer Staples | 2,101,174 | |
Energy 6.2% | ||
Energy Equipment & Services 2.3% | ||
Patterson-UTI Energy, Inc. | 199,387 | 2,386,663 |
Oil, Gas & Consumable Fuels 3.9% | ||
Devon Energy Corp. | 35,054 | 1,694,510 |
PBF Energy, Inc., Class A | 55,000 | 2,251,700 |
Total | 3,946,210 | |
Total Energy | 6,332,873 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Financials 22.2% | ||
Banks 10.9% | ||
Axos Financial, Inc.(a) | 68,369 | 2,696,473 |
First Hawaiian, Inc. | 71,929 | 1,295,441 |
OceanFirst Financial Corp. | 89,044 | 1,390,867 |
Pacific Premier Bancorp, Inc. | 84,030 | 1,737,741 |
Popular, Inc. | 31,922 | 1,931,920 |
Stock Yards Bancorp, Inc. | 44,747 | 2,030,171 |
Total | 11,082,613 | |
Consumer Finance 1.6% | ||
PROG Holdings, Inc.(a) | 49,550 | 1,591,546 |
Financial Services 2.7% | ||
Radian Group, Inc. | 109,721 | 2,773,747 |
Insurance 7.0% | ||
CNO Financial Group, Inc. | 72,987 | 1,727,602 |
Hanover Insurance Group, Inc. (The) | 16,876 | 1,907,494 |
Kemper Corp. | 50,000 | 2,413,000 |
Skyward Specialty Insurance Group, Inc.(a) | 45,166 | 1,147,217 |
Total | 7,195,313 | |
Total Financials | 22,643,219 | |
Health Care 8.6% | ||
Biotechnology —% | ||
OmniAb, Inc.(a),(b),(c),(d) | 1,403 | — |
OmniAb, Inc.(a),(b),(c),(d) | 1,403 | — |
Total | — | |
Health Care Equipment & Supplies 5.0% | ||
CONMED Corp. | 21,691 | 2,947,590 |
LivaNova PLC(a) | 41,393 | 2,128,842 |
Total | 5,076,432 | |
Health Care Providers & Services 3.3% | ||
Guardant Health, Inc.(a) | 30,000 | 1,074,000 |
Tenet Healthcare Corp.(a) | 28,670 | 2,333,165 |
Total | 3,407,165 | |
Pharmaceuticals 0.3% | ||
Ligand Pharmaceuticals, Inc.(a) | 3,702 | 266,914 |
Total Health Care | 8,750,511 |
6 | Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Industrials 16.4% | ||
Aerospace & Defense 2.3% | ||
Curtiss-Wright Corp. | 12,898 | 2,368,847 |
Building Products 2.7% | ||
Zurn Elkay Water Solutions Corp. | 102,947 | 2,768,245 |
Commercial Services & Supplies 1.7% | ||
Waste Connections, Inc. | 12,068 | 1,724,879 |
Construction & Engineering 2.7% | ||
Primoris Services Corp. | 90,046 | 2,743,702 |
Electrical Equipment 2.6% | ||
Bloom Energy Corp., Class A(a) | 42,700 | 698,145 |
Regal Rexnord Corp. | 12,657 | 1,947,912 |
Total | 2,646,057 | |
Ground Transportation 1.7% | ||
Knight-Swift Transportation Holdings, Inc. | 31,071 | 1,726,305 |
Passenger Airlines 0.8% | ||
Spirit Airlines, Inc. | 48,658 | 834,971 |
Professional Services 1.9% | ||
CACI International, Inc., Class A(a) | 5,487 | 1,870,189 |
Total Industrials | 16,683,195 | |
Information Technology 10.9% | ||
Communications Equipment 6.3% | ||
Extreme Networks, Inc.(a) | 123,385 | 3,214,179 |
Viavi Solutions, Inc.(a) | 284,707 | 3,225,730 |
Total | 6,439,909 | |
Semiconductors & Semiconductor Equipment 4.6% | ||
Kulicke & Soffa Industries, Inc. | 34,577 | 2,055,603 |
MACOM Technology Solutions Holdings, Inc.(a) | 40,000 | 2,621,200 |
Total | 4,676,803 | |
Total Information Technology | 11,116,712 | |
Materials 10.3% | ||
Chemicals 1.4% | ||
Minerals Technologies, Inc. | 23,531 | 1,357,503 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Construction Materials 2.6% | ||
Summit Materials, Inc., Class A(a) | 70,747 | 2,677,774 |
Containers & Packaging 2.8% | ||
O-I Glass, Inc.(a) | 134,494 | 2,868,757 |
Metals & Mining 3.5% | ||
ATI, Inc.(a) | 80,752 | 3,571,661 |
Total Materials | 10,475,695 | |
Real Estate 6.8% | ||
Health Care REITs 1.6% | ||
Physicians Realty Trust | 113,467 | 1,587,403 |
Hotel & Resort REITs 1.9% | ||
Apple Hospitality REIT, Inc. | 130,000 | 1,964,300 |
Industrial REITs 0.6% | ||
First Industrial Realty Trust, Inc. | 12,113 | 637,628 |
Specialized REITs 2.7% | ||
Gaming and Leisure Properties, Inc. | 28,106 | 1,362,017 |
Outfront Media, Inc. | 90,000 | 1,414,800 |
Total | 2,776,817 | |
Total Real Estate | 6,966,148 | |
Utilities 2.9% | ||
Electric Utilities 2.9% | ||
Portland General Electric Co. | 63,743 | 2,985,085 |
Total Utilities | 2,985,085 | |
Total Common Stocks (Cost $79,438,837) | 100,381,071 | |
Money Market Funds 1.5% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(e),(f) | 1,591,568 | 1,590,931 |
Total Money Market Funds (Cost $1,590,787) | 1,590,931 | |
Total Investments in Securities (Cost: $81,029,624) | 101,972,002 | |
Other Assets & Liabilities, Net | (44,129) | |
Net Assets | 101,927,873 |
Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2023 | 7 |
June 30, 2023 (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, 2023, 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 approved by the Fund’s Board of Trustees. At June 30, 2023, 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 ($) |
OmniAb, Inc. | 03/05/2015-06/10/2021 | 1,403 | — | — |
OmniAb, Inc. | 03/05/2015-06/10/2021 | 1,403 | — | — |
— | — |
(d) | Valuation based on significant unobservable inputs. |
(e) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
(f) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | ||||||||
3,775,690 | 6,207,297 | (8,391,640) | (416) | 1,590,931 | 232 | 81,157 | 1,591,568 |
■ | 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 – Select Small Cap Value Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
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. Representatives of Columbia Management Investment Advisers, LLC report to 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 | 352,272 | — | — | 352,272 |
Consumer Discretionary | 11,974,187 | — | — | 11,974,187 |
Consumer Staples | 2,101,174 | — | — | 2,101,174 |
Energy | 6,332,873 | — | — | 6,332,873 |
Financials | 22,643,219 | — | — | 22,643,219 |
Health Care | 8,750,511 | — | 0* | 8,750,511 |
Industrials | 16,683,195 | — | — | 16,683,195 |
Information Technology | 11,116,712 | — | — | 11,116,712 |
Materials | 10,475,695 | — | — | 10,475,695 |
Real Estate | 6,966,148 | — | — | 6,966,148 |
Utilities | 2,985,085 | — | — | 2,985,085 |
Total Common Stocks | 100,381,071 | — | 0* | 100,381,071 |
Money Market Funds | 1,590,931 | — | — | 1,590,931 |
Total Investments in Securities | 101,972,002 | — | 0* | 101,972,002 |
* | Rounds to zero. |
Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2023 | 9 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $79,438,837) | $100,381,071 |
Affiliated issuers (cost $1,590,787) | 1,590,931 |
Receivable for: | |
Capital shares sold | 3,331 |
Dividends | 107,989 |
Expense reimbursement due from Investment Manager | 499 |
Prepaid expenses | 3,745 |
Total assets | 102,087,566 |
Liabilities | |
Due to custodian | 780 |
Payable for: | |
Capital shares redeemed | 76,936 |
Management services fees | 2,425 |
Distribution and/or service fees | 456 |
Service fees | 9,972 |
Compensation of board members | 51,805 |
Compensation of chief compliance officer | 9 |
Accounting services fees | 15,045 |
Other expenses | 2,265 |
Total liabilities | 159,693 |
Net assets applicable to outstanding capital stock | $101,927,873 |
Represented by | |
Trust capital | $101,927,873 |
Total - representing net assets applicable to outstanding capital stock | $101,927,873 |
Class 1 | |
Net assets | $8,272,573 |
Shares outstanding | 250,818 |
Net asset value per share | $32.98 |
Class 2 | |
Net assets | $39,702,606 |
Shares outstanding | 1,243,094 |
Net asset value per share | $31.94 |
Class 3 | |
Net assets | $53,952,694 |
Shares outstanding | 1,661,502 |
Net asset value per share | $32.47 |
10 | Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $915,188 |
Dividends — affiliated issuers | 81,157 |
Foreign taxes withheld | (4,511) |
Total income | 991,834 |
Expenses: | |
Management services fees | 432,075 |
Distribution and/or service fees | |
Class 2 | 48,380 |
Class 3 | 33,123 |
Service fees | 37,456 |
Compensation of board members | 7,376 |
Custodian fees | 1,721 |
Printing and postage fees | 6,406 |
Accounting services fees | 15,045 |
Legal fees | 6,571 |
Compensation of chief compliance officer | 9 |
Other | 3,794 |
Total expenses | 591,956 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (88,254) |
Total net expenses | 503,702 |
Net investment income | 488,132 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 3,332,510 |
Investments — affiliated issuers | 232 |
Net realized gain | 3,332,742 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 3,644,434 |
Investments — affiliated issuers | (416) |
Net change in unrealized appreciation (depreciation) | 3,644,018 |
Net realized and unrealized gain | 6,976,760 |
Net increase in net assets resulting from operations | $7,464,892 |
Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2023 | 11 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment income | $488,132 | $922,662 |
Net realized gain | 3,332,742 | 716,005 |
Net change in unrealized appreciation (depreciation) | 3,644,018 | (18,255,981) |
Net increase (decrease) in net assets resulting from operations | 7,464,892 | (16,617,314) |
Increase (decrease) in net assets from capital stock activity | (2,733,085) | 3,994,370 |
Total increase (decrease) in net assets | 4,731,807 | (12,622,944) |
Net assets at beginning of period | 97,196,066 | 109,819,010 |
Net assets at end of period | $101,927,873 | $97,196,066 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Shares sold | 105,379 | 3,436,637 | 135,862 | 4,408,779 |
Shares redeemed | (108,090) | (3,349,656) | (60,230) | (1,992,164) |
Net increase (decrease) | (2,711) | 86,981 | 75,632 | 2,416,615 |
Class 2 | ||||
Shares sold | 52,797 | 1,626,773 | 194,379 | 6,051,296 |
Shares redeemed | (69,240) | (2,127,306) | (117,589) | (3,612,649) |
Net increase (decrease) | (16,443) | (500,533) | 76,790 | 2,438,647 |
Class 3 | ||||
Shares sold | 17,334 | 556,974 | 98,522 | 3,174,445 |
Shares redeemed | (92,437) | (2,876,507) | (128,382) | (4,035,337) |
Net decrease | (75,103) | (2,319,533) | (29,860) | (860,892) |
Total net increase (decrease) | (94,257) | (2,733,085) | 122,562 | 3,994,370 |
12 | Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2023 |
Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2023 | 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 6/30/2023 (Unaudited) | $30.51 | 0.19 | 2.28 | 2.47 |
Year Ended 12/31/2022 | $35.77 | 0.36 | (5.62) | (5.26) |
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) |
Class 2 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $29.58 | 0.14 | 2.22 | 2.36 |
Year Ended 12/31/2022 | $34.77 | 0.26 | (5.45) | (5.19) |
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) |
Class 3 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $30.06 | 0.16 | 2.25 | 2.41 |
Year Ended 12/31/2022 | $35.29 | 0.30 | (5.53) | (5.23) |
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) |
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. |
14 | Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2023 |
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 6/30/2023 (Unaudited) | $32.98 | 8.10% | 1.03% | 0.85% | 1.20% | 17% | $8,273 |
Year Ended 12/31/2022 | $30.51 | (14.71%) | 1.03% | 0.85% | 1.14% | 7% | $7,735 |
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 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $31.94 | 7.98% | 1.28% | 1.10% | 0.90% | 17% | $39,703 |
Year Ended 12/31/2022 | $29.58 | (14.93%) | 1.28% | 1.10% | 0.84% | 7% | $37,261 |
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 |
Class 3 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $32.47 | 8.02% | 1.15% | 0.97% | 1.02% | 17% | $53,953 |
Year Ended 12/31/2022 | $30.06 | (14.82%) | 1.15% | 0.97% | 0.95% | 7% | $52,200 |
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 |
Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2023 | 15 |
June 30, 2023 (Unaudited)
16 | Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2023 | 17 |
June 30, 2023 (Unaudited)
18 | Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Fee rate(s) contractual through April 30, 2024 | |
Class 1 | 0.85% |
Class 2 | 1.10 |
Class 3 | 0.975 |
Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2023 | 19 |
June 30, 2023 (Unaudited)
20 | Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2023 | 21 |
June 30, 2023 (Unaudited)
22 | Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2023 |
• | 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 2023 | 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 one or more 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 2023 |
(Unaudited)
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2023 | 25 |
(Unaudited)
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 2023 |
June 30, 2023 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | 6.12 | 1.60 | -0.20 | 3.00 | |
Class 2 | 05/03/10 | 6.13 | 1.41 | -0.44 | 2.75 | |
Class 3 | 05/01/00 | 6.05 | 1.50 | -0.32 | 2.86 | |
MSCI Emerging Markets Index (Net) | 4.89 | 1.75 | 0.93 | 2.95 |
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Equity sector breakdown (%) (at June 30, 2023) | |
Communication Services | 9.4 |
Consumer Discretionary | 14.9 |
Consumer Staples | 8.6 |
Energy | 4.2 |
Financials | 27.3 |
Health Care | 3.8 |
Industrials | 9.2 |
Information Technology | 21.3 |
Materials | 0.4 |
Real Estate | 0.9 |
Total | 100.0 |
Country breakdown (%) (at June 30, 2023) | |
Argentina | 1.7 |
Brazil | 8.2 |
Canada | 0.8 |
China | 26.9 |
Greece | 3.0 |
Hong Kong | 1.5 |
India | 17.4 |
Indonesia | 7.6 |
Kazakhstan | 0.6 |
Malaysia | 0.3 |
Mexico | 4.6 |
Philippines | 0.5 |
Poland | 1.2 |
Russian Federation | 0.3 |
Saudi Arabia | 0.3 |
South Africa | 2.5 |
South Korea | 11.6 |
Taiwan | 9.7 |
Thailand | 1.0 |
United States(a) | 0.3 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds. |
4 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | |||||||
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 | 1,061.20 | 1,019.40 | 5.70 | 5.59 | 1.11 |
Class 2 | 1,000.00 | 1,000.00 | 1,061.30 | 1,018.15 | 6.99 | 6.84 | 1.36 |
Class 3 | 1,000.00 | 1,000.00 | 1,060.50 | 1,018.80 | 6.32 | 6.19 | 1.23 |
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (Unaudited)
Common Stocks 98.2% | ||
Issuer | Shares | Value ($) |
Argentina 1.7% | ||
Globant SA(a) | 7,575 | 1,361,379 |
MercadoLibre, Inc.(a) | 2,458 | 2,911,747 |
Total | 4,273,126 | |
Brazil 8.2% | ||
B3 SA - Brasil Bolsa Balcao | 631,188 | 1,925,913 |
Banco BTG Pactual SA | 357,121 | 2,353,857 |
Banco do Brasil SA | 104,503 | 1,080,343 |
Itaú Unibanco Holding SA, ADR | 626,378 | 3,695,630 |
JBS S/A | 324,896 | 1,188,114 |
Localiza Rent a Car SA | 219,756 | 3,143,371 |
Petroreconcavo S/A | 215,190 | 863,780 |
PRIO SA(a) | 269,104 | 2,090,134 |
Sendas Distribuidora S/A | 446,906 | 1,286,154 |
TOTVS SA | 229,716 | 1,444,541 |
WEG SA | 167,631 | 1,324,048 |
Total | 20,395,885 | |
Canada 0.8% | ||
Parex Resources, Inc. | 102,878 | 2,062,608 |
China 26.9% | ||
Alibaba Group Holding Ltd.(a) | 253,600 | 2,639,933 |
ANTA Sports Products Ltd. | 85,200 | 875,509 |
Baidu, Inc. Class A(a) | 253,050 | 4,315,965 |
Beijing Oriental Yuhong Waterproof Technology Co., Ltd., Class A | 248,400 | 933,723 |
China Animal Healthcare Ltd.(a),(b),(c) | 4,603,000 | 1 |
China Construction Bank Corp., Class H(a) | 5,182,000 | 3,354,950 |
China Resources Land Ltd. | 414,000 | 1,761,845 |
China Tourism Group Duty Free Corp., Ltd., Class A | 62,500 | 953,938 |
Eastroc Beverage Group Co., Ltd., Class A | 54,200 | 1,292,144 |
Full Truck Alliance Co., Ltd., ADR(a) | 182,755 | 1,136,736 |
Inner Mongolia Yili Industrial Group Co., Ltd., Class A | 693,300 | 2,705,296 |
JD.com, Inc., ADR | 32,472 | 1,108,269 |
JD.com, Inc., Class A | 73,814 | 1,258,866 |
Kingdee International Software Group Co., Ltd.(a) | 355,150 | 476,910 |
Kweichow Moutai Co., Ltd., Class A | 6,900 | 1,608,419 |
Li Ning Co., Ltd. | 465,000 | 2,511,085 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Medlive Technology Co., Ltd.(d) | 216,754 | 194,137 |
Meituan, Class B(a) | 334,020 | 5,237,742 |
Midea Group Co., Ltd., Class A | 159,900 | 1,299,780 |
NetEase, Inc. | 285,540 | 5,530,600 |
PDD Holdings, Inc., ADR(a) | 32,589 | 2,253,203 |
Shenzhen Mindray Bio-Medical Electronics Co., Ltd., Class A | 61,800 | 2,557,401 |
Shenzhou International Group Holdings Ltd. | 118,400 | 1,137,170 |
Songcheng Performance Development Co., Ltd., Class A | 1,154,200 | 1,976,981 |
Sungrow Power Supply Co., Ltd., Class A | 68,400 | 1,101,802 |
Tencent Holdings Ltd. | 314,401 | 13,330,973 |
Wuliangye Yibin Co., Ltd., Class A | 58,900 | 1,329,692 |
WuXi Biologics Cayman, Inc.(a) | 226,500 | 1,088,571 |
Zhejiang Sanhua Intelligent Controls Co., Ltd., Class A | 654,200 | 2,732,224 |
Total | 66,703,865 | |
Greece 3.0% | ||
Eurobank Ergasias SA(a) | 714,561 | 1,177,302 |
JUMBO SA | 52,499 | 1,443,630 |
National Bank of Greece SA(a) | 382,116 | 2,483,910 |
OPAP SA | 82,331 | 1,435,713 |
Piraeus Financial Holdings SA(a) | 250,687 | 822,979 |
Total | 7,363,534 | |
Hong Kong 1.5% | ||
AIA Group Ltd. | 119,000 | 1,208,624 |
Hong Kong Exchanges and Clearing Ltd. | 13,700 | 519,079 |
Sands China Ltd.(a) | 392,000 | 1,342,488 |
Techtronic Industries Co., Ltd. | 53,503 | 585,088 |
Total | 3,655,279 | |
India 17.4% | ||
Apollo Hospitals Enterprise Ltd. | 40,373 | 2,513,106 |
Astral Ltd. | 59,009 | 1,429,663 |
AU Small Finance Bank Ltd. | 220,006 | 2,027,138 |
Balkrishna Industries Ltd. | 24,388 | 705,909 |
Cholamandalam Investment and Finance Co., Ltd. | 160,577 | 2,240,322 |
Dixon Technologies India Ltd. | 13,953 | 748,225 |
Eicher Motors Ltd. | 50,729 | 2,217,950 |
6 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
HDFC Bank Ltd., ADR | 93,871 | 6,542,809 |
ICICI Bank Ltd., ADR | 301,981 | 6,969,721 |
IndusInd Bank Ltd. | 157,709 | 2,652,748 |
Larsen & Toubro Ltd. | 142,106 | 4,296,930 |
Mahindra & Mahindra Ltd. | 158,032 | 2,807,815 |
Max Healthcare Institute Ltd.(a) | 256,177 | 1,874,495 |
Persistent Systems Ltd. | 8,370 | 513,245 |
Reliance Industries Ltd. | 132,461 | 4,128,953 |
WNS Holdings Ltd., ADR(a) | 21,867 | 1,612,035 |
Total | 43,281,064 | |
Indonesia 7.6% | ||
Bank Negara Indonesia Persero Tbk PT | 4,769,000 | 2,926,024 |
PT Astra International Tbk | 6,455,500 | 2,928,076 |
PT Bank Central Asia Tbk | 9,634,700 | 5,908,947 |
PT Bank Rakyat Indonesia Persero Tbk | 19,302,039 | 7,047,013 |
Total | 18,810,060 | |
Kazakhstan 0.6% | ||
Kaspi.KZ JSC, GDR, Registered Shares(d) | 19,550 | 1,559,533 |
Malaysia 0.3% | ||
CIMB Group Holdings Bhd | 596,900 | 647,916 |
Mexico 4.6% | ||
Arca Continental SAB de CV | 130,300 | 1,337,332 |
Banco del Bajio SA | 142,304 | 434,718 |
Corporación Inmobiliaria Vesta SAB de CV | 151,365 | 491,315 |
Grupo Aeroportuario del Centro Norte SAB de CV | 121,426 | 1,291,087 |
Grupo Aeroportuario del Pacifico SAB de CV | 65,202 | 1,173,423 |
Grupo Financiero Banorte SAB de CV, Class O | 451,559 | 3,714,935 |
Wal-Mart de Mexico SAB de CV, Class V | 764,245 | 3,031,173 |
Total | 11,473,983 | |
Philippines 0.5% | ||
BDO Unibank, Inc. | 474,770 | 1,188,863 |
Poland 1.2% | ||
Dino Polska SA(a) | 26,266 | 3,068,747 |
Russian Federation 0.3% | ||
Detsky Mir PJSC(a),(b),(c),(e) | 911,435 | 0 |
Fix Price Group PLC, GDR(a),(b),(c),(d),(e) | 502,952 | 860,048 |
Total | 860,048 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Saudi Arabia 0.3% | ||
Nahdi Medical Co. | 16,936 | 771,060 |
South Africa 2.5% | ||
Absa Group Ltd. | 208,311 | 1,859,243 |
Capitec Bank Holdings Ltd. | 16,405 | 1,366,554 |
Clicks Group Ltd. | 91,850 | 1,275,127 |
Shoprite Holdings Ltd. | 131,541 | 1,577,780 |
Total | 6,078,704 | |
South Korea 10.1% | ||
Coupang, Inc.(a) | 115,269 | 2,005,681 |
Samsung Biologics Co., Ltd.(a) | 2,096 | 1,186,708 |
Samsung Electro-Mechanics Co., Ltd. | 20,921 | 2,309,753 |
Samsung Electronics Co., Ltd. | 230,508 | 12,692,527 |
Samsung SDI Co., Ltd. | 6,506 | 3,322,188 |
SK Hynix, Inc. | 39,887 | 3,504,648 |
Total | 25,021,505 | |
Taiwan 9.7% | ||
ASPEED Technology, Inc. | 27,000 | 2,486,829 |
Chailease Holding Co., Ltd.(a) | 113,400 | 745,582 |
Delta Electronics | 212,000 | 2,349,454 |
Parade Technologies Ltd. | 14,000 | 485,312 |
Taiwan Semiconductor Manufacturing Co., Ltd. | 978,838 | 18,082,401 |
Total | 24,149,578 | |
Thailand 1.0% | ||
Kasikornbank PCL, Foreign Registered Shares | 349,100 | 1,277,749 |
PTT Exploration & Production PCL | 307,100 | 1,301,235 |
Total | 2,578,984 | |
Total Common Stocks (Cost $224,962,881) | 243,944,342 |
Preferred Stocks 1.5% | |||
Issuer | Shares | Value ($) | |
South Korea 1.5% | |||
Samsung Electronics Co., Ltd. | 80,792 | 3,666,285 | |
Total Preferred Stocks (Cost $2,092,325) | 3,666,285 |
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2023 | 7 |
June 30, 2023 (Unaudited)
Money Market Funds 0.3% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(f),(g) | 811,032 | 810,707 |
Total Money Market Funds (Cost $810,648) | 810,707 | |
Total Investments in Securities (Cost $227,865,854) | 248,421,334 | |
Other Assets & Liabilities, Net | (27,709) | |
Net Assets | $248,393,625 |
(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, 2023, the total value of these securities amounted to $860,049, 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, 2023, the total value of these securities amounted to $2,613,718, which represents 1.05% 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 approved by the Fund’s Board of Trustees. At June 30, 2023, the total market value of these securities amounted to $860,048, which represents 0.35% of total net assets. Additional information on these securities is as follows: |
Security | Acquisition Dates | Shares | Cost ($) | Value ($) |
Detsky Mir PJSC | 02/08/2017-09/21/2020 | 911,435 | 1,345,538 | — |
Fix Price Group PLC, GDR | 03/05/2021-03/08/2021 | 502,952 | 4,907,336 | 860,048 |
6,252,874 | 860,048 |
(f) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
(g) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | ||||||||
9,344,347 | 26,107,465 | (34,640,425) | (680) | 810,707 | (776) | 106,092 | 811,032 |
ADR | American Depositary Receipt |
GDR | Global Depositary Receipt |
8 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2023 |
June 30, 2023 (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 | ||||
Argentina | 4,273,126 | — | — | 4,273,126 |
Brazil | 20,395,885 | — | — | 20,395,885 |
Canada | 2,062,608 | — | — | 2,062,608 |
China | 4,498,208 | 62,205,656 | 1 | 66,703,865 |
Greece | — | 7,363,534 | — | 7,363,534 |
Hong Kong | — | 3,655,279 | — | 3,655,279 |
India | 15,124,565 | 28,156,499 | — | 43,281,064 |
Indonesia | — | 18,810,060 | — | 18,810,060 |
Kazakhstan | — | 1,559,533 | — | 1,559,533 |
Malaysia | — | 647,916 | — | 647,916 |
Mexico | 11,473,983 | — | — | 11,473,983 |
Philippines | — | 1,188,863 | — | 1,188,863 |
Poland | — | 3,068,747 | — | 3,068,747 |
Russian Federation | — | — | 860,048 | 860,048 |
Saudi Arabia | — | 771,060 | — | 771,060 |
South Africa | — | 6,078,704 | — | 6,078,704 |
South Korea | 2,005,681 | 23,015,824 | — | 25,021,505 |
Taiwan | — | 24,149,578 | — | 24,149,578 |
Thailand | — | 2,578,984 | — | 2,578,984 |
Total Common Stocks | 59,834,056 | 183,250,237 | 860,049 | 243,944,342 |
Preferred Stocks | ||||
South Korea | — | 3,666,285 | — | 3,666,285 |
Total Preferred Stocks | — | 3,666,285 | — | 3,666,285 |
Money Market Funds | 810,707 | — | — | 810,707 |
Total Investments in Securities | 60,644,763 | 186,916,522 | 860,049 | 248,421,334 |
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2023 | 9 |
June 30, 2023 (Unaudited)
See the Portfolio of Investments for all investment classifications not indicated in the table.
10 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $227,055,206) | $247,610,627 |
Affiliated issuers (cost $810,648) | 810,707 |
Foreign currency (cost $24,710) | 24,659 |
Receivable for: | |
Investments sold | 886,305 |
Capital shares sold | 12,455 |
Dividends | 439,916 |
Foreign tax reclaims | 50,932 |
Expense reimbursement due from Investment Manager | 957 |
Prepaid expenses | 5,207 |
Total assets | 249,841,765 |
Liabilities | |
Payable for: | |
Investments purchased | 102,284 |
Capital shares redeemed | 116,349 |
Foreign capital gains taxes deferred | 1,061,918 |
Management services fees | 7,445 |
Distribution and/or service fees | 827 |
Service fees | 9,994 |
Compensation of board members | 109,231 |
Compensation of chief compliance officer | 22 |
Other expenses | 40,070 |
Total liabilities | 1,448,140 |
Net assets applicable to outstanding capital stock | $248,393,625 |
Represented by | |
Paid in capital | 251,598,933 |
Total distributable earnings (loss) | (3,205,308) |
Total - representing net assets applicable to outstanding capital stock | $248,393,625 |
Class 1 | |
Net assets | $65,051,548 |
Shares outstanding | 6,815,709 |
Net asset value per share | $9.54 |
Class 2 | |
Net assets | $59,258,422 |
Shares outstanding | 6,339,903 |
Net asset value per share | $9.35 |
Class 3 | |
Net assets | $124,083,655 |
Shares outstanding | 13,111,978 |
Net asset value per share | $9.46 |
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2023 | 11 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $3,402,382 |
Dividends — affiliated issuers | 106,092 |
Foreign taxes withheld | (429,115) |
Total income | 3,079,359 |
Expenses: | |
Management services fees | 1,340,999 |
Distribution and/or service fees | |
Class 2 | 73,056 |
Class 3 | 76,856 |
Service fees | 57,471 |
Compensation of board members | 8,752 |
Custodian fees | 45,838 |
Printing and postage fees | 14,590 |
Accounting services fees | 15,720 |
Legal fees | 7,536 |
Interest on interfund lending | 327 |
Compensation of chief compliance officer | 24 |
Other | 17,459 |
Total expenses | 1,658,628 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (155,275) |
Total net expenses | 1,503,353 |
Net investment income | 1,576,006 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (9,938,349) |
Investments — affiliated issuers | (776) |
Foreign currency translations | (84,439) |
Net realized loss | (10,023,564) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 23,187,996 |
Investments — affiliated issuers | (680) |
Foreign currency translations | (1,098) |
Foreign capital gains tax | (198,000) |
Net change in unrealized appreciation (depreciation) | 22,988,218 |
Net realized and unrealized gain | 12,964,654 |
Net increase in net assets resulting from operations | $14,540,660 |
12 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment income | $1,576,006 | $190,742 |
Net realized loss | (10,023,564) | (12,743,277) |
Net change in unrealized appreciation (depreciation) | 22,988,218 | (106,893,649) |
Net increase (decrease) in net assets resulting from operations | 14,540,660 | (119,446,184) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (69,821) | (19,236,412) |
Class 2 | — | (18,957,219) |
Class 3 | — | (41,600,090) |
Total distributions to shareholders | (69,821) | (79,793,721) |
Increase (decrease) in net assets from capital stock activity | (4,675,755) | 76,822,229 |
Total increase (decrease) in net assets | 9,795,084 | (122,417,676) |
Net assets at beginning of period | 238,598,541 | 361,016,217 |
Net assets at end of period | $248,393,625 | $238,598,541 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Shares sold | 147,137 | 1,369,694 | 291,546 | 3,531,729 |
Distributions reinvested | 7,556 | 69,821 | 2,022,756 | 19,236,412 |
Shares redeemed | (7,410) | (69,415) | (56,091) | (716,777) |
Net increase | 147,283 | 1,370,100 | 2,258,211 | 22,051,364 |
Class 2 | ||||
Shares sold | 174,252 | 1,588,094 | 629,221 | 8,331,063 |
Distributions reinvested | — | — | 2,034,037 | 18,957,219 |
Shares redeemed | (258,034) | (2,364,515) | (444,092) | (4,855,266) |
Net increase (decrease) | (83,782) | (776,421) | 2,219,166 | 22,433,016 |
Class 3 | ||||
Shares sold | 90,927 | 826,806 | 360,342 | 4,375,474 |
Distributions reinvested | — | — | 4,411,462 | 41,600,090 |
Shares redeemed | (658,289) | (6,096,240) | (1,173,119) | (13,637,715) |
Net increase (decrease) | (567,362) | (5,269,434) | 3,598,685 | 32,337,849 |
Total net increase (decrease) | (503,861) | (4,675,755) | 8,076,062 | 76,822,229 |
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2023 | 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 6/30/2023 (Unaudited) | $9.00 | 0.07 | 0.48 | 0.55 | (0.01) | — | (0.01) |
Year Ended 12/31/2022 | $19.42 | 0.02 | (6.18) | (6.16) | — | (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) |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $8.81 | 0.05 | 0.49 | 0.54 | — | — | — |
Year Ended 12/31/2022 | $19.18 | (0.01) | (6.10) | (6.11) | — | (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) |
Class 3 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $8.92 | 0.06 | 0.48 | 0.54 | — | — | — |
Year Ended 12/31/2022 | $19.32 | 0.01 | (6.15) | (6.14) | — | (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) |
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) | Ratios include interfund lending expense which is less than 0.01%. |
(d) | Ratios include line of credit interest expense which is less than 0.01%. |
(e) | 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%. |
(f) | Rounds to zero. |
(g) | 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 2023 |
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 6/30/2023 (Unaudited) | — | $9.54 | 6.12% | 1.24%(c) | 1.11%(c) | 1.43% | 23% | $65,052 |
Year Ended 12/31/2022 | — | $9.00 | (32.90%) | 1.26% | 1.12% | 0.20% | 51% | $60,003 |
Year Ended 12/31/2021 | — | $19.42 | (7.20%) | 1.22%(c) | 1.14%(c) | (0.16%) | 28% | $85,630 |
Year Ended 12/31/2020 | — | $21.90 | 33.61% | 1.23%(c),(d) | 1.14%(c),(d) | (0.05%) | 26% | $171,261 |
Year Ended 12/31/2019 | 0.01 | $18.98 | 31.50%(e) | 1.22%(c) | 1.17%(c) | 0.53% | 26% | $133,990 |
Year Ended 12/31/2018 | — | $16.38 | (21.62%) | 1.20%(c) | 1.20%(c) | 0.70% | 41% | $196,720 |
Class 2 | ||||||||
Six Months Ended 6/30/2023 (Unaudited) | — | $9.35 | 6.13% | 1.49%(c) | 1.36%(c) | 1.17% | 23% | $59,258 |
Year Ended 12/31/2022 | — | $8.81 | (33.07%) | 1.51% | 1.37% | (0.05%) | 51% | $56,612 |
Year Ended 12/31/2021 | — | $19.18 | (7.47%) | 1.48%(c) | 1.39%(c) | (0.39%) | 28% | $80,663 |
Year Ended 12/31/2020 | — | $21.66 | 33.31% | 1.48%(c),(d) | 1.39%(c),(d) | (0.30%) | 26% | $75,522 |
Year Ended 12/31/2019 | 0.00(f) | $18.78 | 31.13%(g) | 1.47%(c) | 1.42%(c) | 0.33% | 26% | $55,859 |
Year Ended 12/31/2018 | — | $16.26 | (21.78%) | 1.47%(c) | 1.46%(c) | 0.33% | 41% | $42,531 |
Class 3 | ||||||||
Six Months Ended 6/30/2023 (Unaudited) | — | $9.46 | 6.05% | 1.36%(c) | 1.23%(c) | 1.28% | 23% | $124,084 |
Year Ended 12/31/2022 | — | $8.92 | (32.98%) | 1.38% | 1.25% | 0.06% | 51% | $121,983 |
Year Ended 12/31/2021 | — | $19.32 | (7.33%) | 1.35%(c) | 1.26%(c) | (0.27%) | 28% | $194,723 |
Year Ended 12/31/2020 | — | $21.80 | 33.51% | 1.35%(c),(d) | 1.27%(c),(d) | (0.18%) | 26% | $222,100 |
Year Ended 12/31/2019 | 0.00(f) | $18.89 | 31.29%(g) | 1.34%(c) | 1.29%(c) | 0.45% | 26% | $196,505 |
Year Ended 12/31/2018 | — | $16.33 | (21.73%) | 1.34%(c) | 1.33%(c) | 0.44% | 41% | $173,529 |
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2023 | 15 |
June 30, 2023 (Unaudited)
16 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2023 | 17 |
June 30, 2023 (Unaudited)
18 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2023 | 19 |
June 30, 2023 (Unaudited)
May 1, 2023 through April 30, 2024 | Prior to May 1, 2023 | |
Class 1 | 1.09% | 1.12% |
Class 2 | 1.34 | 1.37 |
Class 3 | 1.215 | 1.245 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
227,866,000 | 46,436,000 | (25,881,000) | 20,555,000 |
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
(13,707,916) | — | (13,707,916) |
20 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Borrower | 300,000 | 5.61 | 7 |
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2023 | 21 |
June 30, 2023 (Unaudited)
22 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2023 | 23 |
June 30, 2023 (Unaudited)
24 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2023 | 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 2023 |
(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 one or more 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 2023 | 27 |
(Unaudited)
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
28 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2023 |
(Unaudited)
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 2023 | 29 |
June 30, 2023 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | 15.74 | 16.96 | 10.65 | 12.22 | |
Class 2 | 05/03/10 | 15.62 | 16.67 | 10.37 | 11.94 | |
Class 3 | 10/13/81 | 15.67 | 16.83 | 10.52 | 12.08 | |
S&P 500 Index | 16.89 | 19.59 | 12.31 | 12.86 |
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2023) | |
Common Stocks | 99.0 |
Money Market Funds | 1.0 |
Total | 100.0 |
Equity sector breakdown (%) (at June 30, 2023) | |
Communication Services | 8.9 |
Consumer Discretionary | 10.9 |
Consumer Staples | 6.4 |
Energy | 4.5 |
Financials | 12.3 |
Health Care | 13.1 |
Industrials | 8.5 |
Information Technology | 28.5 |
Materials | 2.5 |
Real Estate | 2.2 |
Utilities | 2.2 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | |||||||
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 | 1,157.40 | 1,021.54 | 3.66 | 3.43 | 0.68 |
Class 2 | 1,000.00 | 1,000.00 | 1,156.20 | 1,020.29 | 5.00 | 4.68 | 0.93 |
Class 3 | 1,000.00 | 1,000.00 | 1,156.70 | 1,020.94 | 4.30 | 4.03 | 0.80 |
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (Unaudited)
Common Stocks 99.1% | ||
Issuer | Shares | Value ($) |
Communication Services 8.8% | ||
Entertainment 0.4% | ||
Electronic Arts, Inc. | 121,196 | 15,719,121 |
Interactive Media & Services 7.9% | ||
Alphabet, Inc., Class A(a) | 1,579,843 | 189,107,207 |
Meta Platforms, Inc., Class A(a) | 392,931 | 112,763,339 |
Total | 301,870,546 | |
Media 0.5% | ||
Fox Corp., Class A | 567,301 | 19,288,234 |
Total Communication Services | 336,877,901 | |
Consumer Discretionary 10.8% | ||
Automobiles 0.9% | ||
Tesla, Inc.(a) | 135,995 | 35,599,411 |
Broadline Retail 2.2% | ||
Amazon.com, Inc.(a) | 483,774 | 63,064,778 |
Etsy, Inc.(a) | 231,129 | 19,555,825 |
Total | 82,620,603 | |
Hotels, Restaurants & Leisure 2.5% | ||
Booking Holdings, Inc.(a) | 14,074 | 38,004,445 |
Expedia Group, Inc.(a) | 344,317 | 37,664,837 |
MGM Resorts International | 415,059 | 18,229,391 |
Total | 93,898,673 | |
Household Durables 2.1% | ||
Lennar Corp., Class A | 365,315 | 45,777,623 |
PulteGroup, Inc. | 463,967 | 36,040,956 |
Total | 81,818,579 | |
Specialty Retail 3.1% | ||
Bath & Body Works, Inc. | 145,498 | 5,456,175 |
Best Buy Co., Inc. | 185,100 | 15,168,945 |
O’Reilly Automotive, Inc.(a) | 62,871 | 60,060,666 |
TJX Companies, Inc. (The) | 467,300 | 39,622,367 |
Total | 120,308,153 | |
Total Consumer Discretionary | 414,245,419 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Consumer Staples 6.4% | ||
Consumer Staples Distribution & Retail 2.1% | ||
Kroger Co. (The) | 118,514 | 5,570,158 |
Walmart, Inc. | 467,181 | 73,431,510 |
Total | 79,001,668 | |
Food Products 2.3% | ||
Archer-Daniels-Midland Co. | 758,412 | 57,305,611 |
General Mills, Inc. | 398,835 | 30,590,644 |
Total | 87,896,255 | |
Household Products 0.4% | ||
Procter & Gamble Co. (The) | 104,258 | 15,820,109 |
Tobacco 1.6% | ||
Altria Group, Inc. | 1,353,985 | 61,335,520 |
Total Consumer Staples | 244,053,552 | |
Energy 4.5% | ||
Oil, Gas & Consumable Fuels 4.5% | ||
Exxon Mobil Corp. | 712,442 | 76,409,404 |
Marathon Petroleum Corp. | 388,204 | 45,264,586 |
Valero Energy Corp. | 414,225 | 48,588,593 |
Total | 170,262,583 | |
Total Energy | 170,262,583 | |
Financials 12.2% | ||
Banks 2.3% | ||
Citigroup, Inc. | 833,392 | 38,369,368 |
Wells Fargo & Co. | 1,173,390 | 50,080,285 |
Total | 88,449,653 | |
Capital Markets 3.6% | ||
CME Group, Inc. | 62,130 | 11,512,068 |
Morgan Stanley | 803,129 | 68,587,216 |
State Street Corp. | 792,279 | 57,978,977 |
Total | 138,078,261 | |
Consumer Finance 0.7% | ||
Synchrony Financial | 777,153 | 26,361,030 |
6 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Financial Services 2.4% | ||
MasterCard, Inc., Class A | 123,845 | 48,708,239 |
Visa, Inc., Class A | 167,534 | 39,785,974 |
Total | 88,494,213 | |
Insurance 3.2% | ||
Aon PLC, Class A | 16,905 | 5,835,606 |
Lincoln National Corp. | 182,861 | 4,710,500 |
Marsh & McLennan Companies, Inc. | 385,315 | 72,470,045 |
MetLife, Inc. | 701,293 | 39,644,093 |
Total | 122,660,244 | |
Total Financials | 464,043,401 | |
Health Care 13.0% | ||
Biotechnology 2.2% | ||
AbbVie, Inc. | 232,992 | 31,391,012 |
Amgen, Inc. | 13,500 | 2,997,270 |
BioMarin Pharmaceutical, Inc.(a) | 116,956 | 10,137,746 |
Regeneron Pharmaceuticals, Inc.(a) | 25,825 | 18,556,296 |
Vertex Pharmaceuticals, Inc.(a) | 64,067 | 22,545,818 |
Total | 85,628,142 | |
Health Care Equipment & Supplies 2.9% | ||
Abbott Laboratories | 511,952 | 55,813,007 |
Hologic, Inc.(a) | 686,013 | 55,546,472 |
Total | 111,359,479 | |
Health Care Providers & Services 3.2% | ||
Cardinal Health, Inc. | 367,045 | 34,711,446 |
Centene Corp.(a) | 144,236 | 9,728,718 |
CVS Health Corp. | 393,329 | 27,190,834 |
Humana, Inc. | 35,371 | 15,815,435 |
McKesson Corp. | 79,203 | 33,844,234 |
Total | 121,290,667 | |
Life Sciences Tools & Services 0.8% | ||
IQVIA Holdings, Inc.(a) | 131,463 | 29,548,938 |
Pharmaceuticals 3.9% | ||
Bristol-Myers Squibb Co. | 1,067,638 | 68,275,450 |
Pfizer, Inc. | 1,757,129 | 64,451,492 |
Viatris, Inc. | 1,528,850 | 15,257,923 |
Total | 147,984,865 | |
Total Health Care | 495,812,091 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Industrials 8.4% | ||
Aerospace & Defense 2.3% | ||
Lockheed Martin Corp. | 139,736 | 64,331,660 |
Textron, Inc. | 379,581 | 25,671,063 |
Total | 90,002,723 | |
Air Freight & Logistics 0.6% | ||
United Parcel Service, Inc., Class B | 132,707 | 23,787,730 |
Building Products 0.3% | ||
Masco Corp. | 194,940 | 11,185,657 |
Commercial Services & Supplies 0.9% | ||
Cintas Corp. | 69,414 | 34,504,311 |
Ground Transportation 0.3% | ||
CSX Corp. | 325,987 | 11,116,157 |
Machinery 2.9% | ||
Caterpillar, Inc. | 206,816 | 50,887,077 |
Parker-Hannifin Corp. | 150,050 | 58,525,502 |
Total | 109,412,579 | |
Passenger Airlines 0.2% | ||
Delta Air Lines, Inc.(a) | 93,797 | 4,459,109 |
Southwest Airlines Co. | 86,666 | 3,138,176 |
Total | 7,597,285 | |
Professional Services 0.9% | ||
Automatic Data Processing, Inc. | 150,918 | 33,170,267 |
Total Industrials | 320,776,709 | |
Information Technology 28.3% | ||
Communications Equipment 2.2% | ||
Cisco Systems, Inc. | 1,637,774 | 84,738,427 |
Semiconductors & Semiconductor Equipment 6.3% | ||
Advanced Micro Devices, Inc.(a) | 253,022 | 28,821,736 |
Applied Materials, Inc. | 39,800 | 5,752,692 |
Lam Research Corp. | 121,159 | 77,888,274 |
NVIDIA Corp. | 135,200 | 57,192,304 |
QUALCOMM, Inc. | 599,520 | 71,366,861 |
Total | 241,021,867 |
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2023 | 7 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Software 11.6% | ||
Adobe, Inc.(a) | 171,724 | 83,971,319 |
Autodesk, Inc.(a) | 242,322 | 49,581,504 |
Fortinet, Inc.(a) | 749,979 | 56,690,913 |
Microsoft Corp. | 741,822 | 252,620,064 |
Total | 442,863,800 | |
Technology Hardware, Storage & Peripherals 8.2% | ||
Apple, Inc.(b) | 1,606,261 | 311,566,446 |
Total Information Technology | 1,080,190,540 | |
Materials 2.5% | ||
Chemicals 1.2% | ||
CF Industries Holdings, Inc. | 219,261 | 15,221,099 |
Mosaic Co. (The) | 889,102 | 31,118,570 |
Total | 46,339,669 | |
Metals & Mining 1.3% | ||
Nucor Corp. | 297,557 | 48,793,397 |
Total Materials | 95,133,066 | |
Real Estate 2.1% | ||
Hotel & Resort REITs 0.8% | ||
Host Hotels & Resorts, Inc. | 1,804,388 | 30,367,850 |
Specialized REITs 1.3% | ||
SBA Communications Corp. | 85,314 | 19,772,372 |
Weyerhaeuser Co. | 935,276 | 31,341,099 |
Total | 51,113,471 | |
Total Real Estate | 81,481,321 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Utilities 2.1% | ||
Electric Utilities 2.1% | ||
American Electric Power Co., Inc. | 631,138 | 53,141,820 |
Evergy, Inc. | 484,512 | 28,305,191 |
Total | 81,447,011 | |
Total Utilities | 81,447,011 | |
Total Common Stocks (Cost $3,173,075,186) | 3,784,323,594 | |
Money Market Funds 1.0% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(c),(d) | 38,723,868 | 38,708,379 |
Total Money Market Funds (Cost $38,708,379) | 38,708,379 | |
Total Investments in Securities (Cost: $3,211,783,565) | 3,823,031,973 | |
Other Assets & Liabilities, Net | (3,767,825) | |
Net Assets | 3,819,264,148 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | 195 | 09/2023 | USD | 43,760,438 | 975,086 | — |
(a) | Non-income producing investment. |
(b) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(c) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
8 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
(d) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | ||||||||
55,464,807 | 269,070,589 | (285,822,171) | (4,846) | 38,708,379 | (9,466) | 1,147,851 | 38,723,868 |
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 | 336,877,901 | — | — | 336,877,901 |
Consumer Discretionary | 414,245,419 | — | — | 414,245,419 |
Consumer Staples | 244,053,552 | — | — | 244,053,552 |
Energy | 170,262,583 | — | — | 170,262,583 |
Financials | 464,043,401 | — | — | 464,043,401 |
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2023 | 9 |
June 30, 2023 (Unaudited)
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Health Care | 495,812,091 | — | — | 495,812,091 |
Industrials | 320,776,709 | — | — | 320,776,709 |
Information Technology | 1,080,190,540 | — | — | 1,080,190,540 |
Materials | 95,133,066 | — | — | 95,133,066 |
Real Estate | 81,481,321 | — | — | 81,481,321 |
Utilities | 81,447,011 | — | — | 81,447,011 |
Total Common Stocks | 3,784,323,594 | — | — | 3,784,323,594 |
Money Market Funds | 38,708,379 | — | — | 38,708,379 |
Total Investments in Securities | 3,823,031,973 | — | — | 3,823,031,973 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 975,086 | — | — | 975,086 |
Total | 3,824,007,059 | — | — | 3,824,007,059 |
10 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $3,173,075,186) | $3,784,323,594 |
Affiliated issuers (cost $38,708,379) | 38,708,379 |
Receivable for: | |
Capital shares sold | 4,484 |
Dividends | 2,910,759 |
Variation margin for futures contracts | 580,125 |
Prepaid expenses | 20,532 |
Total assets | 3,826,547,873 |
Liabilities | |
Payable for: | |
Capital shares redeemed | 6,800,521 |
Variation margin for futures contracts | 23,465 |
Management services fees | 67,046 |
Distribution and/or service fees | 4,656 |
Service fees | 62,348 |
Compensation of board members | 271,517 |
Compensation of chief compliance officer | 352 |
Other expenses | 53,820 |
Total liabilities | 7,283,725 |
Net assets applicable to outstanding capital stock | $3,819,264,148 |
Represented by | |
Trust capital | $3,819,264,148 |
Total - representing net assets applicable to outstanding capital stock | $3,819,264,148 |
Class 1 | |
Net assets | $2,501,615,120 |
Shares outstanding | 30,001,992 |
Net asset value per share | $83.38 |
Class 2 | |
Net assets | $54,659,650 |
Shares outstanding | 677,225 |
Net asset value per share | $80.71 |
Class 3 | |
Net assets | $1,262,989,378 |
Shares outstanding | 15,404,604 |
Net asset value per share | $81.99 |
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2023 | 11 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $32,246,228 |
Dividends — affiliated issuers | 1,147,851 |
Total income | 33,394,079 |
Expenses: | |
Management services fees | 11,890,896 |
Distribution and/or service fees | |
Class 2 | 62,402 |
Class 3 | 748,140 |
Service fees | 374,090 |
Compensation of board members | 33,885 |
Custodian fees | 11,847 |
Printing and postage fees | 27,385 |
Accounting services fees | 15,045 |
Legal fees | 30,434 |
Interest on collateral | 1,121 |
Compensation of chief compliance officer | 354 |
Other | 30,329 |
Total expenses | 13,225,928 |
Net investment income | 20,168,151 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 151,922,648 |
Investments — affiliated issuers | (9,466) |
Futures contracts | 4,239,630 |
Net realized gain | 156,152,812 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 362,854,903 |
Investments — affiliated issuers | (4,846) |
Futures contracts | 3,163,766 |
Net change in unrealized appreciation (depreciation) | 366,013,823 |
Net realized and unrealized gain | 522,166,635 |
Net increase in net assets resulting from operations | $542,334,786 |
12 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment income | $20,168,151 | $39,790,300 |
Net realized gain | 156,152,812 | 214,383,641 |
Net change in unrealized appreciation (depreciation) | 366,013,823 | (1,114,009,526) |
Net increase (decrease) in net assets resulting from operations | 542,334,786 | (859,835,585) |
Decrease in net assets from capital stock activity | (290,680,694) | (281,067,397) |
Total increase (decrease) in net assets | 251,654,092 | (1,140,902,982) |
Net assets at beginning of period | 3,567,610,056 | 4,708,513,038 |
Net assets at end of period | $3,819,264,148 | $3,567,610,056 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Shares sold | 38,494 | 2,923,809 | 288,893 | 21,301,846 |
Shares redeemed | (3,032,482) | (238,024,847) | (2,396,312) | (189,159,514) |
Net decrease | (2,993,988) | (235,101,038) | (2,107,419) | (167,857,668) |
Class 2 | ||||
Shares sold | 35,996 | 2,688,366 | 93,482 | 7,076,086 |
Shares redeemed | (26,584) | (1,975,887) | (63,257) | (4,677,754) |
Net increase | 9,412 | 712,479 | 30,225 | 2,398,332 |
Class 3 | ||||
Shares sold | 5,977 | 445,904 | 2,954 | 220,119 |
Shares redeemed | (744,161) | (56,738,039) | (1,524,044) | (115,828,180) |
Net decrease | (738,184) | (56,292,135) | (1,521,090) | (115,608,061) |
Total net decrease | (3,722,760) | (290,680,694) | (3,598,284) | (281,067,397) |
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2023 | 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 6/30/2023 (Unaudited) | $72.04 | 0.44 | 10.90 | 11.34 |
Year Ended 12/31/2022 | $88.63 | 0.81 | (17.40) | (16.59) |
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) |
Class 2 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $69.81 | 0.33 | 10.57 | 10.90 |
Year Ended 12/31/2022 | $86.12 | 0.60 | (16.91) | (16.31) |
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) |
Class 3 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $70.88 | 0.38 | 10.73 | 11.11 |
Year Ended 12/31/2022 | $87.31 | 0.70 | (17.13) | (16.43) |
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) |
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) | Ratios include interest on collateral expense which is less than 0.01%. |
14 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2023 |
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 6/30/2023 (Unaudited) | $83.38 | 15.74% | 0.68%(c) | 0.68%(c) | 1.14% | 25% | $2,501,615 |
Year Ended 12/31/2022 | $72.04 | (18.72%) | 0.67%(c) | 0.67%(c) | 1.05% | 50% | $2,376,866 |
Year Ended 12/31/2021 | $88.63 | 32.74% | 0.67%(c) | 0.67%(c) | 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 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $80.71 | 15.62% | 0.93%(c) | 0.93%(c) | 0.89% | 25% | $54,660 |
Year Ended 12/31/2022 | $69.81 | (18.94%) | 0.92%(c) | 0.92%(c) | 0.80% | 50% | $46,623 |
Year Ended 12/31/2021 | $86.12 | 32.41% | 0.92%(c) | 0.92%(c) | 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 |
Class 3 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $81.99 | 15.67% | 0.80%(c) | 0.80%(c) | 1.01% | 25% | $1,262,989 |
Year Ended 12/31/2022 | $70.88 | (18.82%) | 0.80%(c) | 0.80%(c) | 0.93% | 50% | $1,144,120 |
Year Ended 12/31/2021 | $87.31 | 32.57% | 0.79%(c) | 0.79%(c) | 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% | $1,139,339 |
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2023 | 15 |
June 30, 2023 (Unaudited)
16 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2023 | 17 |
June 30, 2023 (Unaudited)
18 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 975,086* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin for futures and centrally cleared swaps, if any, 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 ($) |
Equity risk | 4,239,630 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Equity risk | 3,163,766 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 54,051,226 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2023. |
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2023 | 19 |
June 30, 2023 (Unaudited)
20 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2023 | 21 |
June 30, 2023 (Unaudited)
Contractual expense cap July 1, 2023 through April 30, 2024 | Voluntary expense cap May 1, 2023 through June 30, 2023 | Contractual expense cap prior to May 1, 2023 | |
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 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2023 | 23 |
June 30, 2023 (Unaudited)
24 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2023 |
• | 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 – Disciplined Core Fund | Semiannual Report 2023 | 25 |
(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 one or more 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). |
26 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2023 |
(Unaudited)
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2023 | 27 |
(Unaudited)
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.
28 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | Life | ||
Class 1 | 01/04/18 | 19.24 | 20.30 | 12.02 | 10.93 | |
Class 2 | 01/04/18 | 19.15 | 20.06 | 11.74 | 10.65 | |
S&P 500 Index | 16.89 | 19.59 | 12.31 | 11.31 |
Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2023) | |
Common Stocks | 99.3 |
Money Market Funds | 0.7 |
Total | 100.0 |
Equity sector breakdown (%) (at June 30, 2023) | |
Communication Services | 9.5 |
Consumer Discretionary | 8.7 |
Consumer Staples | 7.0 |
Energy | 3.7 |
Financials | 10.6 |
Health Care | 14.0 |
Industrials | 9.7 |
Information Technology | 30.6 |
Real Estate | 3.2 |
Utilities | 3.0 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | |||||||
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 | 1,192.40 | 1,021.59 | 3.66 | 3.38 | 0.67 |
Class 2 | 1,000.00 | 1,000.00 | 1,191.50 | 1,020.29 | 5.08 | 4.68 | 0.93 |
Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (Unaudited)
Common Stocks 99.5% | ||
Issuer | Shares | Value ($) |
Communication Services 9.5% | ||
Diversified Telecommunication Services 1.2% | ||
AT&T, Inc. | 2,528,447 | 40,328,730 |
Entertainment 1.3% | ||
Activision Blizzard, Inc.(a) | 510,278 | 43,016,435 |
Interactive Media & Services 5.1% | ||
Alphabet, Inc., Class C(a) | 1,374,787 | 166,307,983 |
Media 1.9% | ||
Comcast Corp., Class A | 1,445,638 | 60,066,259 |
Total Communication Services | 309,719,407 | |
Consumer Discretionary 8.7% | ||
Automobiles 1.2% | ||
Tesla, Inc.(a) | 155,393 | 40,677,226 |
Broadline Retail 4.7% | ||
Amazon.com, Inc.(a) | 1,167,794 | 152,233,626 |
Hotels, Restaurants & Leisure 2.8% | ||
Hilton Worldwide Holdings, Inc. | 320,915 | 46,709,178 |
Las Vegas Sands Corp.(a) | 770,702 | 44,700,716 |
Total | 91,409,894 | |
Total Consumer Discretionary | 284,320,746 | |
Consumer Staples 7.0% | ||
Beverages 1.6% | ||
Coca-Cola Co. (The) | 885,083 | 53,299,698 |
Consumer Staples Distribution & Retail 2.0% | ||
Walmart, Inc. | 417,815 | 65,672,162 |
Food Products 1.3% | ||
Mondelez International, Inc., Class A | 577,009 | 42,087,037 |
Household Products 2.1% | ||
Procter & Gamble Co. (The) | 443,064 | 67,230,531 |
Total Consumer Staples | 228,289,428 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Energy 3.6% | ||
Oil, Gas & Consumable Fuels 3.6% | ||
EOG Resources, Inc. | 364,264 | 41,686,372 |
Exxon Mobil Corp. | 716,729 | 76,869,185 |
Total | 118,555,557 | |
Total Energy | 118,555,557 | |
Financials 10.6% | ||
Banks 1.9% | ||
Bank of America Corp. | 2,195,045 | 62,975,841 |
Capital Markets 3.0% | ||
Morgan Stanley | 566,479 | 48,377,307 |
S&P Global, Inc. | 120,163 | 48,172,145 |
Total | 96,549,452 | |
Consumer Finance 1.6% | ||
Discover Financial Services | 455,536 | 53,229,381 |
Financial Services 2.4% | ||
MasterCard, Inc., Class A | 201,944 | 79,424,575 |
Insurance 1.7% | ||
Chubb Ltd. | 281,141 | 54,136,511 |
Total Financials | 346,315,760 | |
Health Care 13.9% | ||
Biotechnology 1.6% | ||
BioMarin Pharmaceutical, Inc.(a) | 223,133 | 19,341,168 |
Vertex Pharmaceuticals, Inc.(a) | 89,405 | 31,462,514 |
Total | 50,803,682 | |
Health Care Equipment & Supplies 5.2% | ||
Baxter International, Inc. | 575,357 | 26,213,265 |
Boston Scientific Corp.(a) | 864,455 | 46,758,371 |
Intuitive Surgical, Inc.(a) | 157,402 | 53,822,040 |
Zimmer Biomet Holdings, Inc. | 302,245 | 44,006,872 |
Total | 170,800,548 | |
Health Care Providers & Services 1.5% | ||
Elevance Health, Inc. | 110,141 | 48,934,545 |
6 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Pharmaceuticals 5.6% | ||
Eli Lilly & Co. | 146,827 | 68,858,926 |
Merck & Co., Inc. | 534,088 | 61,628,414 |
Zoetis, Inc. | 314,536 | 54,166,245 |
Total | 184,653,585 | |
Total Health Care | 455,192,360 | |
Industrials 9.6% | ||
Commercial Services & Supplies 2.7% | ||
Cintas Corp. | 91,617 | 45,540,978 |
Republic Services, Inc. | 286,151 | 43,829,749 |
Total | 89,370,727 | |
Construction & Engineering 1.3% | ||
MasTec, Inc.(a) | 355,624 | 41,952,963 |
Electrical Equipment 1.5% | ||
Eaton Corp. PLC | 237,220 | 47,704,942 |
Industrial Conglomerates 1.5% | ||
Honeywell International, Inc. | 244,858 | 50,808,035 |
Machinery 1.7% | ||
Parker-Hannifin Corp. | 142,282 | 55,495,672 |
Passenger Airlines 0.9% | ||
Delta Air Lines, Inc.(a) | 623,191 | 29,626,500 |
Total Industrials | 314,958,839 | |
Information Technology 30.5% | ||
Communications Equipment 1.9% | ||
Cisco Systems, Inc. | 1,161,607 | 60,101,546 |
Electronic Equipment, Instruments & Components 1.4% | ||
TE Connectivity Ltd. | 321,664 | 45,084,426 |
Semiconductors & Semiconductor Equipment 8.9% | ||
Broadcom, Inc. | 85,980 | 74,581,632 |
Lam Research Corp. | 82,498 | 53,034,664 |
NVIDIA Corp. | 257,260 | 108,826,125 |
QUALCOMM, Inc. | 462,235 | 55,024,455 |
Total | 291,466,876 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Software 11.8% | ||
Adobe, Inc.(a) | 134,878 | 65,953,993 |
Microsoft Corp. | 785,977 | 267,656,608 |
Palo Alto Networks, Inc.(a) | 207,997 | 53,145,313 |
Total | 386,755,914 | |
Technology Hardware, Storage & Peripherals 6.5% | ||
Apple, Inc. | 1,097,102 | 212,804,875 |
Total Information Technology | 996,213,637 | |
Real Estate 3.2% | ||
Industrial REITs 1.3% | ||
Prologis, Inc. | 332,311 | 40,751,298 |
Retail REITs 1.0% | ||
Realty Income Corp. | 556,181 | 33,254,062 |
Specialized REITs 0.9% | ||
CubeSmart | 688,562 | 30,751,179 |
Total Real Estate | 104,756,539 | |
Utilities 2.9% | ||
Multi-Utilities 2.9% | ||
Ameren Corp. | 604,375 | 49,359,307 |
DTE Energy Co. | 426,212 | 46,891,844 |
Total | 96,251,151 | |
Total Utilities | 96,251,151 | |
Total Common Stocks (Cost $2,521,845,968) | 3,254,573,424 | |
Money Market Funds 0.6% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(b),(c) | 21,408,303 | 21,399,739 |
Total Money Market Funds (Cost $21,397,164) | 21,399,739 | |
Total Investments in Securities (Cost: $2,543,243,132) | 3,275,973,163 | |
Other Assets & Liabilities, Net | (4,714,116) | |
Net Assets | 3,271,259,047 |
Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2023 | 7 |
June 30, 2023 (Unaudited)
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | ||||||||
18,096,430 | 252,727,104 | (249,422,739) | (1,056) | 21,399,739 | 8,662 | 526,723 | 21,408,303 |
■ | 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 | 309,719,407 | — | — | 309,719,407 |
Consumer Discretionary | 284,320,746 | — | — | 284,320,746 |
Consumer Staples | 228,289,428 | — | — | 228,289,428 |
Energy | 118,555,557 | — | — | 118,555,557 |
Financials | 346,315,760 | — | — | 346,315,760 |
Health Care | 455,192,360 | — | — | 455,192,360 |
Industrials | 314,958,839 | — | — | 314,958,839 |
8 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Information Technology | 996,213,637 | — | — | 996,213,637 |
Real Estate | 104,756,539 | — | — | 104,756,539 |
Utilities | 96,251,151 | — | — | 96,251,151 |
Total Common Stocks | 3,254,573,424 | — | — | 3,254,573,424 |
Money Market Funds | 21,399,739 | — | — | 21,399,739 |
Total Investments in Securities | 3,275,973,163 | — | — | 3,275,973,163 |
Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2023 | 9 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $2,521,845,968) | $3,254,573,424 |
Affiliated issuers (cost $21,397,164) | 21,399,739 |
Cash | 3,293 |
Receivable for: | |
Dividends | 2,595,904 |
Prepaid expenses | 11,735 |
Total assets | 3,278,584,095 |
Liabilities | |
Payable for: | |
Capital shares redeemed | 7,163,750 |
Management services fees | 59,152 |
Distribution and/or service fees | 8 |
Compensation of board members | 74,523 |
Compensation of chief compliance officer | 292 |
Other expenses | 27,323 |
Total liabilities | 7,325,048 |
Net assets applicable to outstanding capital stock | $3,271,259,047 |
Represented by | |
Trust capital | $3,271,259,047 |
Total - representing net assets applicable to outstanding capital stock | $3,271,259,047 |
Class 1 | |
Net assets | $3,269,996,350 |
Shares outstanding | 185,198,142 |
Net asset value per share | $17.66 |
Class 2 | |
Net assets | $1,262,697 |
Shares outstanding | 72,499 |
Net asset value per share | $17.42 |
10 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $24,937,267 |
Dividends — affiliated issuers | 526,723 |
Total income | 25,463,990 |
Expenses: | |
Management services fees | 10,314,355 |
Distribution and/or service fees | |
Class 2 | 872 |
Service fees | 179 |
Compensation of board members | 29,593 |
Custodian fees | 7,621 |
Printing and postage fees | 3,928 |
Accounting services fees | 15,045 |
Legal fees | 26,299 |
Compensation of chief compliance officer | 296 |
Other | 24,923 |
Total expenses | 10,423,111 |
Net investment income | 15,040,879 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 63,267,610 |
Investments — affiliated issuers | 8,662 |
Net realized gain | 63,276,272 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 472,058,315 |
Investments — affiliated issuers | (1,056) |
Net change in unrealized appreciation (depreciation) | 472,057,259 |
Net realized and unrealized gain | 535,333,531 |
Net increase in net assets resulting from operations | $550,374,410 |
Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2023 | 11 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment income | $15,040,879 | $28,292,865 |
Net realized gain | 63,276,272 | 77,864,340 |
Net change in unrealized appreciation (depreciation) | 472,057,259 | (855,799,222) |
Net increase (decrease) in net assets resulting from operations | 550,374,410 | (749,642,017) |
Decrease in net assets from capital stock activity | (238,439,819) | (251,251,689) |
Total increase (decrease) in net assets | 311,934,591 | (1,000,893,706) |
Net assets at beginning of period | 2,959,324,456 | 3,960,218,162 |
Net assets at end of period | $3,271,259,047 | $2,959,324,456 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Shares sold | 139,971 | 2,176,707 | 1,554,957 | 23,506,671 |
Shares redeemed | (14,768,247) | (241,235,162) | (16,827,315) | (275,260,145) |
Net decrease | (14,628,276) | (239,058,455) | (15,272,358) | (251,753,474) |
Class 2 | ||||
Shares sold | 38,271 | 623,459 | 34,315 | 502,352 |
Shares redeemed | (300) | (4,823) | (37) | (567) |
Net increase | 37,971 | 618,636 | 34,278 | 501,785 |
Total net decrease | (14,590,305) | (238,439,819) | (15,238,080) | (251,251,689) |
12 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2023 |
Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2023 | 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 6/30/2023 (Unaudited) | $14.81 | 0.08 | 2.77 | 2.85 |
Year Ended 12/31/2022 | $18.41 | 0.14 | (3.74) | (3.60) |
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(d) | $10.00 | 0.13 | (0.84) | (0.71) |
Class 2 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $14.62 | 0.06 | 2.74 | 2.80 |
Year Ended 12/31/2022 | $18.23 | 0.14 | (3.75) | (3.61) |
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(d) | $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) | Ratios include interfund lending expense which is less than 0.01%. |
(d) | 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 2023 |
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 6/30/2023 (Unaudited) | $17.66 | 19.24% | 0.67% | 0.67% | 0.97% | 35% | $3,269,996 |
Year Ended 12/31/2022 | $14.81 | (19.56%) | 0.67%(c) | 0.67%(c) | 0.87% | 44% | $2,958,820 |
Year Ended 12/31/2021 | $18.41 | 29.37% | 0.66%(c) | 0.66%(c) | 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(d) | $9.29 | (7.10%) | 0.75% | 0.69% | 1.27% | 58% | $1,070,480 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $17.42 | 19.15% | 0.93% | 0.93% | 0.74% | 35% | $1,263 |
Year Ended 12/31/2022 | $14.62 | (19.80%) | 0.95%(c) | 0.94%(c) | 0.98% | 44% | $505 |
Year Ended 12/31/2021 | $18.23 | 29.11% | 0.91%(c) | 0.91%(c) | 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(d) | $9.27 | (7.30%) | 0.97% | 0.94% | 0.84% | 58% | $2 |
Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2023 | 15 |
June 30, 2023 (Unaudited)
16 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2023 | 17 |
June 30, 2023 (Unaudited)
18 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Contractual expense cap July 1, 2023 through April 30, 2024 | Voluntary expense cap May 1, 2023 through June 30, 2023 | Contractual expense cap prior to May 1, 2023 | |
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 2023 | 19 |
June 30, 2023 (Unaudited)
20 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2023 | 21 |
June 30, 2023 (Unaudited)
22 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2023 |
• | 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 2023 | 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 one or more 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 2023 |
(Unaudited)
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2023 | 25 |
(Unaudited)
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 2023 |
June 30, 2023 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | 4.08 | 3.52 | 0.83 | -0.10 | |
Class 2 | 05/03/10 | 3.75 | 3.17 | 0.56 | -0.36 | |
Class 3 | 05/01/96 | 3.99 | 3.28 | 0.71 | -0.23 | |
Bloomberg Global Aggregate Hedged USD Index | 2.96 | 0.52 | 0.93 | 2.11 | ||
Bloomberg Global Credit Hedged USD Index | 3.00 | 1.36 | 1.30 | 2.49 |
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Quality breakdown (%) (at June 30, 2023) | |
AAA rating | 5.2 |
AA rating | 5.8 |
A rating | 14.8 |
BBB rating | 35.5 |
BB rating | 19.2 |
B rating | 10.5 |
CCC rating | 2.4 |
CC rating | 0.0(a) |
C rating | 0.1 |
Not rated | 6.5 |
Total | 100.0 |
(a) | Rounds to zero. |
Country breakdown (%) (at June 30, 2023) | |
Angola | 0.2 |
Australia | 0.6 |
Azerbaijan | 0.2 |
Belgium | 0.3 |
Bermuda | 0.4 |
Canada | 0.5 |
Cayman Islands | 0.6 |
Colombia | 1.3 |
Denmark | 0.1 |
Dominican Republic | 1.2 |
Egypt | 0.4 |
Finland | 0.1 |
France | 2.3 |
Germany | 3.1 |
Country breakdown (%) (at June 30, 2023) | |
Hungary | 0.4 |
India | 1.2 |
Indonesia | 1.0 |
Ireland | 0.6 |
Isle of Man | 0.3 |
Italy | 1.0 |
Ivory Coast | 0.5 |
Jersey | 0.6 |
Liberia | 0.2 |
Luxembourg | 1.1 |
Malaysia | 0.2 |
Mauritius | 0.6 |
Mexico | 1.6 |
Netherlands | 4.1 |
Oman | 0.2 |
Panama | 0.8 |
Paraguay | 0.2 |
Poland | 0.3 |
Qatar | 1.3 |
Romania | 0.3 |
Saudi Arabia | 1.2 |
Serbia | 0.5 |
Singapore | 0.2 |
Spain | 0.7 |
Sweden | 1.2 |
Switzerland | 0.7 |
Turkey | 0.2 |
Ukraine | 0.1 |
United Arab Emirates | 1.0 |
United Kingdom | 7.9 |
United States(a) | 58.3 |
Virgin Islands | 0.2 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds. |
4 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | |||||||
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 | 1,040.80 | 1,021.74 | 3.26 | 3.23 | 0.64 |
Class 2 | 1,000.00 | 1,000.00 | 1,037.50 | 1,020.49 | 4.52 | 4.48 | 0.89 |
Class 3 | 1,000.00 | 1,000.00 | 1,039.90 | 1,021.14 | 3.87 | 3.83 | 0.76 |
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (Unaudited)
Asset-Backed Securities — Non-Agency 7.5% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Cayman Islands 0.6% | ||||
Octagon Investment Partners Ltd.(a),(b) | ||||
Series 2018-18A Class A2 | ||||
3-month USD LIBOR + 1.470% 04/16/2031 | 6.730% | 500,000 | 484,692 | |
United States 6.9% | ||||
Affirm Asset Securitization Trust(a) | ||||
Series 2023-A Class 1A | ||||
01/18/2028 | 6.610% | 250,000 | 250,117 | |
Exeter Automobile Receivables Trust(a) | ||||
Subordinated Series 2021-2A Class E | ||||
07/17/2028 | 2.900% | 600,000 | 546,646 | |
GLS Auto Receivables Issuer Trust(a) | ||||
Subordinated Series 2022-1A-B Class B | ||||
05/15/2026 | 2.840% | 300,000 | 292,567 | |
LL ABS Trust(a) | ||||
Series 2021-1A Class A | ||||
05/15/2029 | 1.070% | 49,233 | 48,046 | |
Marlette Funding Trust(a) | ||||
Series 2021-1A Class D | ||||
06/16/2031 | 2.470% | 400,000 | 372,251 | |
Series 2022-1A Class B | ||||
04/15/2032 | 2.340% | 550,000 | 530,281 | |
Netcredit Combined Receivables LLC(a),(c) | ||||
Series 2023-A Class A | ||||
12/20/2027 | 7.780% | 340,592 | 337,186 | |
Oportun Issuance Trust(a) | ||||
Series 2022-3 Class A | ||||
01/08/2030 | 7.451% | 515,151 | 516,183 | |
Pagaya AI Debt Trust(a) | ||||
Series 2022-5 Class A | ||||
06/17/2030 | 8.096% | 192,993 | 194,335 | |
Series 2023-3 Class A | ||||
12/16/2030 | 7.600% | 296,782 | 297,219 | |
RR 3 Ltd.(a),(b) | ||||
Series 2014-14A Class A1R2 | ||||
3-month USD LIBOR + 1.090% Floor 1.090% 01/15/2030 | 6.350% | 229,590 | 228,012 | |
Santander Drive Auto Receivables Trust | ||||
Series 2023-2 Class A2 | ||||
03/16/2026 | 5.870% | 300,000 | 299,671 | |
Theorem Funding Trust(a) | ||||
Series 2022-3A Class A | ||||
04/15/2029 | 7.600% | 347,301 | 348,220 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2023-1A Class A | ||||
04/15/2029 | 7.580% | 538,850 | 539,512 | |
Subordinated Series 2021-1A Class B | ||||
12/15/2027 | 1.840% | 550,000 | 533,878 | |
Upstart Pass-Through Trust(a) | ||||
Series 2021-ST6 Class A | ||||
08/20/2027 | 1.850% | 260,894 | 247,131 | |
Total | 5,581,255 | |||
Total Asset-Backed Securities — Non-Agency (Cost $6,167,649) | 6,065,947 | |||
Commercial Mortgage-Backed Securities - Non-Agency(d) 2.2% | ||||
United Kingdom 0.4% | ||||
Tesco Property Finance 3 PLC(a) | ||||
04/13/2040 | 5.744% | GBP | 268,677 | 316,256 |
United States 1.8% | ||||
BHMS Mortgage Trust(a),(b) | ||||
Series 2018-ATLS Class A | ||||
1-month USD LIBOR + 1.250% Floor 1.250% 07/15/2035 | 6.444% | 500,000 | 486,316 | |
Credit Suisse Mortgage Capital Certificates OA LLC(a) | ||||
Subordinated Series 2014-USA Class E | ||||
09/15/2037 | 4.373% | 750,000 | 405,194 | |
Subordinated Series 2014-USA Class F | ||||
09/15/2037 | 4.373% | 160,000 | 64,547 | |
Hilton USA Trust(a) | ||||
Subordinated Series 2016-SFP Class F | ||||
11/05/2035 | 6.155% | 550,000 | 377,660 | |
Progress Residential Trust(a) | ||||
Series 2020-SFR1 Class F | ||||
04/17/2037 | 3.431% | 100,000 | 92,696 | |
Total | 1,426,413 | |||
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $2,345,699) | 1,742,669 | |||
Convertible Bonds 0.0% | ||||
United States 0.0% | ||||
DISH Network Corp. | ||||
Subordinated | ||||
08/15/2026 | 3.375% | 28,000 | 14,210 | |
Total Convertible Bonds (Cost $26,895) | 14,210 | |||
6 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes(d) 54.2% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Australia 0.6% | ||||
APT Pipelines Ltd.(a) | ||||
07/15/2030 | 2.000% | EUR | 300,000 | 278,839 |
Ausgrid Finance Pty, Ltd.(a) | ||||
10/07/2031 | 0.875% | EUR | 200,000 | 167,864 |
Total | 446,703 | |||
Belgium 0.3% | ||||
Anheuser-Busch InBev SA/NV(a) | ||||
04/02/2040 | 3.700% | EUR | 150,000 | 155,978 |
Telenet Finance Luxembourg Notes Sarl(a) | ||||
03/01/2028 | 3.500% | EUR | 100,000 | 100,759 |
Total | 256,737 | |||
Bermuda 0.4% | ||||
Bacardi Ltd.(a) | ||||
05/15/2048 | 5.300% | 345,000 | 324,455 | |
Canada 0.4% | ||||
1011778 BC ULC/New Red Finance, Inc.(a) | ||||
04/15/2025 | 5.750% | 14,000 | 13,975 | |
1375209 BC Ltd.(a) | ||||
01/30/2028 | 9.000% | 5,000 | 5,013 | |
Air Canada(a) | ||||
08/15/2026 | 3.875% | 14,000 | 12,979 | |
Bausch Health Companies, Inc.(a) | ||||
10/15/2030 | 14.000% | 1,000 | 599 | |
Baytex Energy Corp.(a) | ||||
04/30/2030 | 8.500% | 20,000 | 19,541 | |
Clarios Global LP/US Finance Co.(a) | ||||
05/15/2028 | 6.750% | 30,000 | 29,946 | |
GFL Environmental, Inc.(a) | ||||
08/01/2025 | 3.750% | 18,000 | 17,135 | |
12/15/2026 | 5.125% | 10,000 | 9,645 | |
08/01/2028 | 4.000% | 41,000 | 36,761 | |
Hudbay Minerals, Inc.(a) | ||||
04/01/2026 | 4.500% | 5,000 | 4,653 | |
04/01/2029 | 6.125% | 22,000 | 20,261 | |
Panther BF Aggregator 2 LP/Finance Co., Inc.(a) | ||||
05/15/2026 | 6.250% | 39,000 | 38,718 | |
05/15/2027 | 8.500% | 26,000 | 26,068 | |
Videotron Ltd.(a) | ||||
06/15/2029 | 3.625% | 124,000 | 107,242 | |
Total | 342,536 | |||
Denmark 0.1% | ||||
Danske Bank A/S(a),(e) | ||||
Subordinated | ||||
05/15/2031 | 1.000% | EUR | 100,000 | 95,720 |
Corporate Bonds & Notes(d) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Finland 0.1% | ||||
Teollisuuden Voima OYJ(a) | ||||
02/04/2025 | 2.125% | EUR | 100,000 | 104,973 |
France 2.1% | ||||
Altice France SA(a) | ||||
02/01/2027 | 8.125% | 16,000 | 13,852 | |
01/15/2028 | 5.500% | 24,000 | 18,182 | |
07/15/2029 | 5.125% | 23,000 | 16,328 | |
Cab SELAS(a) | ||||
02/01/2028 | 3.375% | EUR | 100,000 | 88,999 |
Credit Agricole SA(a) | ||||
02/24/2029 | 1.125% | EUR | 200,000 | 188,471 |
Crown European Holdings SA(a) | ||||
09/30/2024 | 2.625% | EUR | 100,000 | 106,734 |
Elis SA(a) | ||||
04/11/2024 | 1.750% | EUR | 100,000 | 106,741 |
Faurecia SE(a) | ||||
06/15/2027 | 2.375% | EUR | 100,000 | 95,954 |
Foncia Management SASU(a) | ||||
03/31/2028 | 3.375% | EUR | 100,000 | 87,686 |
Getlink SE(a) | ||||
10/30/2025 | 3.500% | EUR | 100,000 | 106,528 |
Iliad Holding SA(a) | ||||
10/15/2026 | 5.125% | EUR | 100,000 | 104,209 |
Iliad Holding SAS(a) | ||||
10/15/2026 | 6.500% | 46,000 | 43,430 | |
10/15/2028 | 7.000% | 37,000 | 34,141 | |
iliad SA(a) | ||||
06/17/2026 | 2.375% | EUR | 100,000 | 100,815 |
Paprec Holding SA(a) | ||||
07/01/2028 | 3.500% | EUR | 100,000 | 96,817 |
Rexel SA(a) | ||||
06/15/2028 | 2.125% | EUR | 100,000 | 96,083 |
SANEF SA(a) | ||||
03/16/2026 | 1.875% | EUR | 200,000 | 205,439 |
Valeo(a) | ||||
06/18/2025 | 1.500% | EUR | 100,000 | 103,404 |
Verallia SA(a) | ||||
11/10/2031 | 1.875% | EUR | 100,000 | 87,881 |
Total | 1,701,694 | |||
Germany 2.5% | ||||
Amprion GmbH(a) | ||||
09/23/2033 | 0.625% | EUR | 300,000 | 237,873 |
Aroundtown SA(a) | ||||
01/31/2028 | 1.625% | EUR | 300,000 | 230,794 |
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2023 | 7 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes(d) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Cheplapharm Arzneimittel GmbH(a) | ||||
02/11/2027 | 3.500% | EUR | 100,000 | 98,997 |
Commerzbank AG(a) | ||||
12/04/2026 | 0.500% | EUR | 350,000 | 341,420 |
Deutsche Bank AG(a),(e) | ||||
11/19/2030 | 1.750% | EUR | 100,000 | 86,228 |
Deutsche Lufthansa AG(a) | ||||
02/11/2025 | 2.875% | EUR | 100,000 | 105,533 |
Grand City Properties SA(a) | ||||
01/11/2028 | 0.125% | EUR | 100,000 | 81,423 |
Gruenenthal GmbH(a) | ||||
11/15/2026 | 3.625% | EUR | 100,000 | 102,588 |
Mahle GmbH(a) | ||||
05/14/2028 | 2.375% | EUR | 100,000 | 82,311 |
Schaeffler AG(a) | ||||
10/12/2028 | 3.375% | EUR | 100,000 | 99,388 |
Techem Verwaltungsgesellschaft 674 mbH(a) | ||||
07/30/2026 | 6.000% | EUR | 87,920 | 94,032 |
thyssenkrupp AG(a) | ||||
02/22/2024 | 2.875% | EUR | 100,000 | 107,819 |
Vertical Holdco GmbH(a) | ||||
07/15/2028 | 7.625% | 10,000 | 9,121 | |
Vier Gas Transport GmbH(a) | ||||
09/10/2029 | 0.125% | EUR | 100,000 | 86,232 |
Vonovia SE(a) | ||||
06/28/2028 | 1.875% | EUR | 200,000 | 185,913 |
ZF Finance GmbH(a) | ||||
05/03/2028 | 2.250% | EUR | 100,000 | 91,661 |
Total | 2,041,333 | |||
India 0.7% | ||||
Adani Ports & Special Economic Zone Ltd.(a) | ||||
07/30/2027 | 4.000% | 400,000 | 340,229 | |
GMR Hyderabad International Airport Ltd.(a) | ||||
10/27/2027 | 4.250% | 300,000 | 266,945 | |
Total | 607,174 | |||
Ireland 0.5% | ||||
AIB Group PLC(a),(e) | ||||
Subordinated | ||||
05/30/2031 | 2.875% | EUR | 120,000 | 118,788 |
Ardagh Packaging Finance PLC/Holdings USA, Inc.(a) | ||||
08/15/2026 | 4.125% | 25,000 | 23,296 | |
eircom Finance DAC(a) | ||||
05/15/2026 | 3.500% | EUR | 100,000 | 101,784 |
Endo Dac/Finance LLC/Finco, Inc.(a),(f) | ||||
06/30/2028 | 0.000% | 11,000 | 604 |
Corporate Bonds & Notes(d) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Experian Europe DAC(a) | ||||
05/16/2031 | 1.560% | EUR | 200,000 | 185,840 |
Total | 430,312 | |||
Isle of Man 0.3% | ||||
AngloGold Ashanti Holdings PLC | ||||
10/01/2030 | 3.750% | 200,000 | 170,602 | |
Playtech PLC(a) | ||||
10/12/2023 | 3.750% | EUR | 37,736 | 41,142 |
Total | 211,744 | |||
Italy 1.0% | ||||
Autostrade per l’Italia SpA(a) | ||||
02/01/2027 | 1.750% | EUR | 100,000 | 99,506 |
12/04/2028 | 2.000% | EUR | 200,000 | 191,015 |
09/26/2029 | 1.875% | EUR | 200,000 | 183,362 |
Lottomatica SpA(a) | ||||
07/15/2025 | 6.250% | EUR | 100,000 | 110,806 |
Nexi SpA(a) | ||||
04/30/2029 | 2.125% | EUR | 100,000 | 90,934 |
Telecom Italia SpA(a) | ||||
01/19/2024 | 3.625% | EUR | 100,000 | 108,029 |
Total | 783,652 | |||
Jersey 0.6% | ||||
Adient Global Holdings Ltd.(a) | ||||
08/15/2024 | 3.500% | EUR | 14,945 | 16,009 |
Avis Budget Finance PLC(a) | ||||
05/15/2025 | 4.500% | EUR | 100,000 | 107,106 |
Galaxy Pipeline Assets Bidco Ltd.(a) | ||||
03/31/2036 | 2.625% | 400,000 | 323,189 | |
Total | 446,304 | |||
Liberia 0.2% | ||||
Royal Caribbean Cruises Ltd.(a) | ||||
07/01/2026 | 4.250% | 63,000 | 58,104 | |
08/31/2026 | 5.500% | 20,000 | 18,977 | |
07/15/2027 | 5.375% | 11,000 | 10,313 | |
01/15/2029 | 8.250% | 20,000 | 20,998 | |
01/15/2030 | 7.250% | 24,000 | 24,356 | |
Total | 132,748 | |||
Luxembourg 1.1% | ||||
Altice Financing SA(a) | ||||
01/15/2025 | 2.250% | EUR | 100,000 | 101,523 |
Altice France Holding SA(a) | ||||
05/15/2027 | 8.000% | EUR | 100,000 | 63,386 |
02/15/2028 | 6.000% | 50,000 | 24,363 |
8 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes(d) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
FAGE International SA/USA Dairy Industry, Inc.(a) | ||||
08/15/2026 | 5.625% | 75,000 | 70,920 | |
Garfunkelux Holdco 3 SA(a) | ||||
11/01/2025 | 6.750% | EUR | 100,000 | 79,929 |
Herens Holdco Sarl(a) | ||||
05/15/2028 | 4.750% | 24,000 | 18,467 | |
ION Trading Technologies Sarl(a) | ||||
05/15/2028 | 5.750% | 19,000 | 16,389 | |
Loarre Investments Sarl(a) | ||||
05/15/2029 | 6.500% | EUR | 100,000 | 103,513 |
P3 Group Sarl(a) | ||||
01/26/2029 | 1.625% | EUR | 350,000 | 301,596 |
Sani/Ikos Financial Holdings 1 Sarl(a) | ||||
12/15/2026 | 5.625% | EUR | 100,000 | 100,670 |
Total | 880,756 | |||
Mauritius 0.5% | ||||
Network i2i Ltd.(a),(e),(g) | ||||
5.650% | 450,000 | 437,257 | ||
Netherlands 3.3% | ||||
Braskem Netherlands Finance BV(a) | ||||
01/31/2050 | 5.875% | 200,000 | 161,666 | |
Clear Channel International BV(a) | ||||
08/01/2025 | 6.625% | 30,000 | 29,898 | |
Constellium SE(a) | ||||
02/15/2026 | 4.250% | EUR | 100,000 | 106,744 |
06/15/2028 | 5.625% | 51,000 | 48,163 | |
04/15/2029 | 3.750% | 43,000 | 36,944 | |
Darling Global Finance BV(a) | ||||
05/15/2026 | 3.625% | EUR | 100,000 | 106,461 |
Digital Dutch Finco BV(a) | ||||
03/15/2030 | 1.500% | EUR | 200,000 | 171,258 |
E.ON International Finance BV(a) | ||||
06/03/2030 | 6.250% | GBP | 315,000 | 402,856 |
ING Groep NV(a),(e) | ||||
02/01/2030 | 0.250% | EUR | 200,000 | 172,969 |
LKQ European Holdings BV(a) | ||||
04/01/2028 | 4.125% | EUR | 100,000 | 106,965 |
Nobel Bidco BV(a) | ||||
06/15/2028 | 3.125% | EUR | 100,000 | 85,712 |
NXP BV/Funding LLC/USA, Inc. | ||||
05/01/2030 | 3.400% | 30,000 | 26,571 | |
OCI NV(a) | ||||
10/15/2025 | 3.625% | EUR | 90,000 | 95,260 |
Phoenix PIB Dutch Finance BV(a) | ||||
08/05/2025 | 2.375% | EUR | 100,000 | 104,129 |
Corporate Bonds & Notes(d) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
PPF Telecom Group BV(a) | ||||
03/27/2026 | 3.125% | EUR | 100,000 | 103,391 |
Repsol International Finance BV(a),(e),(g) | ||||
3.750% | EUR | 100,000 | 102,078 | |
Stichting AK Rabobank Certificaten(a),(e),(g) | ||||
6.500% | EUR | 150,000 | 152,183 | |
Summer BidCo BV(a),(h) | ||||
11/15/2025 | 9.000% | EUR | 120,973 | 117,340 |
Telefonica Europe BV(a),(e),(g) | ||||
3.875% | EUR | 100,000 | 100,936 | |
Trivium Packaging Finance BV(a) | ||||
08/15/2026 | 5.500% | 15,000 | 14,399 | |
08/15/2027 | 8.500% | 14,000 | 13,481 | |
United Group BV(a) | ||||
07/01/2024 | 4.875% | EUR | 100,000 | 108,042 |
Volkswagen International Finance NV(a) | ||||
11/16/2038 | 4.125% | EUR | 100,000 | 104,213 |
Vonovia Finance BV(a) | ||||
10/07/2039 | 1.625% | EUR | 200,000 | 128,132 |
VZ Secured Financing BV(a) | ||||
01/15/2032 | 5.000% | 35,000 | 28,228 | |
Ziggo Bond Co. BV(a) | ||||
02/28/2030 | 5.125% | 28,000 | 21,264 | |
Ziggo Bond Finance BV(a) | ||||
01/15/2027 | 6.000% | 15,000 | 13,785 | |
Ziggo BV(a) | ||||
01/15/2030 | 4.875% | 35,000 | 29,090 | |
Total | 2,692,158 | |||
Panama 0.2% | ||||
Carnival Corp.(a) | ||||
02/01/2026 | 10.125% | EUR | 100,000 | 114,438 |
03/01/2026 | 7.625% | 25,000 | 24,482 | |
03/01/2027 | 5.750% | 25,000 | 22,998 | |
08/01/2028 | 4.000% | 19,000 | 16,831 | |
Total | 178,749 | |||
Poland 0.3% | ||||
CANPACK SA/Eastern PA Land Investment Holding LLC(a) | ||||
11/01/2025 | 3.125% | 9,000 | 8,239 | |
Canpack SA/US LLC(a) | ||||
11/01/2027 | 2.375% | EUR | 100,000 | 91,117 |
11/15/2029 | 3.875% | 33,000 | 26,830 | |
InPost SA(a) | ||||
07/15/2027 | 2.250% | EUR | 100,000 | 94,452 |
Total | 220,638 |
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2023 | 9 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes(d) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Saudi Arabia 0.3% | ||||
Greensaif Pipelines Bidco Sarl(a) | ||||
02/23/2038 | 6.129% | 200,000 | 204,238 | |
Singapore 0.2% | ||||
Pfizer Investment Enterprises Pte., Ltd. | ||||
05/19/2033 | 4.750% | 58,000 | 57,806 | |
05/19/2043 | 5.110% | 46,000 | 46,015 | |
05/19/2063 | 5.340% | 75,000 | 75,901 | |
Total | 179,722 | |||
Spain 0.7% | ||||
Cellnex Telecom SA(a) | ||||
04/20/2027 | 1.000% | EUR | 100,000 | 95,662 |
Cirsa Finance International Sarl(a) | ||||
12/20/2023 | 6.250% | EUR | 24,133 | 26,248 |
Grifols Escrow Issuer SA(a) | ||||
10/15/2028 | 4.750% | 8,000 | 6,944 | |
Grifols SA(a) | ||||
11/15/2027 | 2.250% | EUR | 100,000 | 98,989 |
Lorca Telecom Bondco SA(a) | ||||
09/18/2027 | 4.000% | EUR | 100,000 | 99,586 |
NorteGas Energia Distribucion SA(a) | ||||
09/28/2027 | 2.065% | EUR | 235,000 | 234,403 |
Total | 561,832 | |||
Sweden 1.1% | ||||
Heimstaden Bostad AB(a),(e),(g) | ||||
3.375% | EUR | 100,000 | 54,609 | |
Intrum AB(a) | ||||
08/15/2025 | 4.875% | EUR | 100,000 | 90,570 |
Sagax AB(a) | ||||
01/17/2024 | 2.000% | EUR | 365,000 | 389,661 |
01/30/2027 | 1.125% | EUR | 300,000 | 275,772 |
Verisure Holding AB(a) | ||||
02/15/2027 | 3.250% | EUR | 100,000 | 97,138 |
Total | 907,750 | |||
Switzerland 0.7% | ||||
Credit Suisse Group AG(a) | ||||
01/18/2033 | 0.625% | EUR | 450,000 | 340,613 |
Peach Property Finance GmbH(a) | ||||
11/15/2025 | 4.375% | EUR | 100,000 | 83,930 |
SIG Combibloc PurchaseCo Sarl(a) | ||||
06/18/2025 | 2.125% | EUR | 100,000 | 105,216 |
Total | 529,759 |
Corporate Bonds & Notes(d) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
United Kingdom 7.3% | ||||
B&M European Value Retail SA(a) | ||||
07/15/2025 | 3.625% | GBP | 100,000 | 122,296 |
BAE Systems PLC(a) | ||||
02/15/2031 | 1.900% | 350,000 | 281,089 | |
BAT International Finance PLC(a) | ||||
03/25/2025 | 2.750% | EUR | 200,000 | 212,177 |
Bellis Acquisition Co. PLC(a) | ||||
02/16/2026 | 3.250% | GBP | 100,000 | 106,270 |
Boparan Finance PLC(a) | ||||
11/30/2025 | 7.625% | GBP | 100,000 | 83,354 |
BP Capital Markets PLC(a),(e),(g) | ||||
3.250% | EUR | 200,000 | 201,077 | |
BUPA Finance PLC(a) | ||||
Subordinated | ||||
12/08/2026 | 5.000% | GBP | 200,000 | 235,521 |
Cadent Finance PLC(a) | ||||
09/22/2024 | 0.625% | EUR | 330,000 | 345,280 |
03/11/2032 | 0.750% | EUR | 100,000 | 82,320 |
Cadent Finance, PLC(a) | ||||
03/19/2030 | 0.625% | EUR | 200,000 | 173,577 |
Co-operative Group Holdings Ltd.(a),(e) | ||||
07/08/2026 | 7.500% | GBP | 100,000 | 120,450 |
DS Smith PLC(a) | ||||
07/26/2029 | 2.875% | GBP | 270,000 | 281,385 |
HBOS PLC(e) | ||||
Subordinated | ||||
03/18/2030 | 4.500% | EUR | 255,000 | 270,926 |
HSBC Holdings PLC(e) | ||||
05/24/2032 | 2.804% | 225,000 | 182,125 | |
11/22/2032 | 2.871% | 32,000 | 25,852 | |
Subordinated | ||||
06/20/2034 | 6.547% | 35,000 | 34,859 | |
INEOS Finance PLC(a) | ||||
05/01/2026 | 2.875% | EUR | 100,000 | 99,742 |
Jaguar Land Rover Automotive PLC(a) | ||||
01/15/2026 | 4.500% | EUR | 100,000 | 103,249 |
Marks & Spencer PLC(a) | ||||
05/19/2026 | 3.750% | GBP | 100,000 | 114,524 |
National Grid Electricity Transmission PLC(a) | ||||
07/07/2032 | 0.823% | EUR | 200,000 | 166,399 |
NGG Finance PLC(a),(e) | ||||
09/05/2082 | 2.125% | EUR | 150,000 | 140,763 |
Pinewood Finance Co., Ltd.(a) | ||||
09/30/2025 | 3.250% | GBP | 100,000 | 116,862 |
Pinnacle Bidco PLC(a) | ||||
02/15/2025 | 5.500% | EUR | 100,000 | 104,821 |
10 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes(d) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Premier Foods Finance PLC(a) | ||||
10/15/2026 | 3.500% | GBP | 100,000 | 111,168 |
Rolls-Royce PLC | ||||
06/18/2026 | 3.375% | GBP | 100,000 | 112,018 |
Royal Bank of Scotland Group PLC(a),(e) | ||||
03/02/2026 | 1.750% | EUR | 335,000 | 347,072 |
Sherwood Financing, PLC(a) | ||||
11/15/2026 | 4.500% | EUR | 100,000 | 93,490 |
Southern Water Services Finance Ltd.(a) | ||||
05/28/2028 | 2.375% | GBP | 200,000 | 208,020 |
Synthomer PLC(a) | ||||
07/01/2025 | 3.875% | EUR | 100,000 | 101,164 |
Thames Water Utilities Finance PLC(a) | ||||
01/31/2028 | 0.875% | EUR | 400,000 | 347,239 |
Victoria PLC(a) | ||||
08/24/2026 | 3.625% | EUR | 100,000 | 90,082 |
Virgin Media Finance PLC(a) | ||||
07/15/2030 | 5.000% | 21,000 | 16,716 | |
Virgin Media Secured Finance PLC(a) | ||||
04/15/2027 | 5.000% | GBP | 100,000 | 115,142 |
05/15/2029 | 5.500% | 19,000 | 17,243 | |
Virgin Money UK PLC(a),(e) | ||||
06/24/2025 | 2.875% | EUR | 200,000 | 211,437 |
Vmed O2 UK Financing I PLC(a) | ||||
01/31/2029 | 4.000% | GBP | 100,000 | 100,564 |
01/31/2031 | 4.250% | 33,000 | 26,716 | |
07/15/2031 | 4.750% | 38,000 | 31,660 | |
Vodafone Group PLC(a),(e) | ||||
10/03/2078 | 4.200% | EUR | 100,000 | 99,448 |
Western Power Distribution PLC(a) | ||||
10/16/2026 | 3.500% | GBP | 205,000 | 236,377 |
Total | 5,870,474 | |||
United States 28.7% | ||||
AbbVie, Inc. | ||||
06/15/2044 | 4.850% | 70,000 | 65,208 | |
Acadia Healthcare Co., Inc.(a) | ||||
07/01/2028 | 5.500% | 4,000 | 3,825 | |
04/15/2029 | 5.000% | 5,000 | 4,643 | |
AdaptHealth LLC(a) | ||||
08/01/2029 | 4.625% | 6,000 | 4,792 | |
03/01/2030 | 5.125% | 27,000 | 21,950 | |
Aetna, Inc. | ||||
08/15/2047 | 3.875% | 35,000 | 27,314 | |
AG Issuer LLC(a) | ||||
03/01/2028 | 6.250% | 15,000 | 14,293 | |
AG TTMT Escrow Issuer LLC(a) | ||||
09/30/2027 | 8.625% | 18,000 | 18,475 |
Corporate Bonds & Notes(d) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Allegheny Technologies, Inc. | ||||
10/01/2029 | 4.875% | 5,000 | 4,529 | |
10/01/2031 | 5.125% | 25,000 | 22,320 | |
Alliant Holdings Intermediate LLC/Co-Issuer(a) | ||||
10/15/2027 | 4.250% | 16,000 | 14,666 | |
10/15/2027 | 6.750% | 33,000 | 31,022 | |
04/15/2028 | 6.750% | 40,000 | 39,440 | |
11/01/2029 | 5.875% | 33,000 | 29,131 | |
Ally Financial, Inc. | ||||
05/21/2024 | 3.875% | 8,000 | 7,821 | |
Subordinated | ||||
11/20/2025 | 5.750% | 12,000 | 11,549 | |
American Airlines, Inc.(a) | ||||
07/15/2025 | 11.750% | 27,000 | 29,623 | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd.(a) | ||||
04/20/2026 | 5.500% | 44,120 | 43,737 | |
04/20/2029 | 5.750% | 32,343 | 31,432 | |
American Axle & Manufacturing, Inc. | ||||
04/01/2027 | 6.500% | 2,000 | 1,897 | |
American Builders & Contractors Supply Co., Inc.(a) | ||||
01/15/2028 | 4.000% | 81,000 | 73,846 | |
American Tower Corp. | ||||
08/15/2029 | 3.800% | 53,000 | 48,451 | |
06/15/2030 | 2.100% | 15,000 | 12,148 | |
Amgen, Inc. | ||||
03/02/2063 | 5.750% | 206,000 | 209,377 | |
APX Group, Inc.(a) | ||||
07/15/2029 | 5.750% | 21,000 | 18,258 | |
Arches Buyer, Inc.(a) | ||||
06/01/2028 | 4.250% | 35,000 | 30,394 | |
12/01/2028 | 6.125% | 25,000 | 21,556 | |
Archrock Partners LP/Finance Corp.(a) | ||||
04/01/2028 | 6.250% | 15,000 | 14,092 | |
Ardagh Metal Packaging Finance USA LLC/PLC(a) | ||||
06/15/2027 | 6.000% | 60,000 | 58,983 | |
09/01/2028 | 2.000% | EUR | 100,000 | 90,802 |
09/01/2029 | 4.000% | 43,000 | 34,131 | |
Asbury Automotive Group, Inc.(a) | ||||
11/15/2029 | 4.625% | 6,000 | 5,340 | |
Ashland Services BV(a) | ||||
01/30/2028 | 2.000% | EUR | 100,000 | 92,238 |
AssuredPartners, Inc.(a) | ||||
08/15/2025 | 7.000% | 55,000 | 54,304 | |
01/15/2029 | 5.625% | 32,000 | 27,744 | |
AT&T, Inc. | ||||
03/01/2029 | 4.350% | 174,000 | 167,077 | |
09/04/2036 | 3.150% | EUR | 100,000 | 96,075 |
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2023 | 11 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes(d) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Avantor Funding, Inc.(a) | ||||
11/01/2025 | 2.625% | EUR | 100,000 | 104,486 |
07/15/2028 | 4.625% | 21,000 | 19,465 | |
11/01/2029 | 3.875% | 39,000 | 34,195 | |
Avient Corp.(a) | ||||
08/01/2030 | 7.125% | 18,000 | 18,206 | |
Axalta Coating Systems LLC(a) | ||||
02/15/2029 | 3.375% | 14,000 | 11,923 | |
Axalta Coating Systems LLC/Dutch Holding B BV(a) | ||||
06/15/2027 | 4.750% | 8,000 | 7,570 | |
Ball Corp. | ||||
06/15/2029 | 6.000% | 19,000 | 18,861 | |
Bank of America Corp.(a),(e) | ||||
03/22/2031 | 0.694% | EUR | 700,000 | 603,892 |
Bank of America Corp.(e) | ||||
07/21/2032 | 2.299% | 600,000 | 479,649 | |
10/20/2032 | 2.572% | 5,000 | 4,070 | |
Subordinated | ||||
09/21/2036 | 2.482% | 5,000 | 3,818 | |
Beacon Roofing Supply, Inc.(a) | ||||
11/15/2026 | 4.500% | 12,000 | 11,390 | |
Becton Dickinson and Co. | ||||
12/15/2026 | 1.900% | EUR | 300,000 | 308,124 |
02/11/2031 | 1.957% | 225,000 | 182,284 | |
Berkshire Hathaway Finance Corp. | ||||
03/18/2030 | 1.500% | EUR | 150,000 | 141,038 |
03/15/2052 | 3.850% | 71,000 | 58,733 | |
Block, Inc. | ||||
06/01/2026 | 2.750% | 8,000 | 7,284 | |
Boeing Co. (The) | ||||
08/01/2059 | 3.950% | 237,000 | 175,052 | |
Broadcom, Inc.(a) | ||||
11/15/2036 | 3.187% | 126,000 | 95,217 | |
BroadStreet Partners, Inc.(a) | ||||
04/15/2029 | 5.875% | 32,000 | 27,760 | |
Caesars Entertainment, Inc.(a) | ||||
10/15/2029 | 4.625% | 51,000 | 44,523 | |
02/15/2030 | 7.000% | 33,000 | 33,161 | |
Callon Petroleum Co. | ||||
07/01/2026 | 6.375% | 44,000 | 42,803 | |
Camelot Finance SA(a) | ||||
11/01/2026 | 4.500% | 12,000 | 11,318 | |
Carnival Holdings Bermuda Ltd.(a) | ||||
05/01/2028 | 10.375% | 14,000 | 15,315 | |
Carrier Global Corp. | ||||
02/15/2030 | 2.722% | 230,000 | 198,218 |
Corporate Bonds & Notes(d) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Catalent Pharma Solutions, Inc.(a) | ||||
07/15/2027 | 5.000% | 8,000 | 7,364 | |
03/01/2028 | 2.375% | EUR | 100,000 | 88,220 |
02/15/2029 | 3.125% | 6,000 | 4,877 | |
04/01/2030 | 3.500% | 20,000 | 16,200 | |
CCO Holdings LLC/Capital Corp.(a) | ||||
03/01/2030 | 4.750% | 34,000 | 29,092 | |
08/15/2030 | 4.500% | 21,000 | 17,493 | |
02/01/2032 | 4.750% | 50,000 | 40,692 | |
CD&R Smokey Buyer, Inc.(a) | ||||
07/15/2025 | 6.750% | 36,000 | 33,572 | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op | ||||
04/15/2027 | 5.375% | 40,000 | 38,033 | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Operations LLC(a) | ||||
05/01/2025 | 5.500% | 25,000 | 24,815 | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Operations LLC | ||||
10/01/2028 | 6.500% | 8,000 | 7,806 | |
Cengage Learning, Inc.(a) | ||||
06/15/2024 | 9.500% | 2,000 | 2,005 | |
Centene Corp. | ||||
12/15/2029 | 4.625% | 16,000 | 14,742 | |
02/15/2030 | 3.375% | 16,000 | 13,758 | |
10/15/2030 | 3.000% | 312,000 | 260,170 | |
08/01/2031 | 2.625% | 51,000 | 40,632 | |
Centennial Resource Production LLC(a) | ||||
04/01/2027 | 6.875% | 5,000 | 4,933 | |
Charles River Laboratories International, Inc.(a) | ||||
05/01/2028 | 4.250% | 6,000 | 5,511 | |
03/15/2029 | 3.750% | 13,000 | 11,488 | |
03/15/2031 | 4.000% | 9,000 | 7,857 | |
Chart Industries, Inc.(a) | ||||
01/01/2030 | 7.500% | 11,000 | 11,225 | |
01/01/2031 | 9.500% | 3,000 | 3,201 | |
Charter Communications Operating LLC/Capital | ||||
05/01/2047 | 5.375% | 155,000 | 128,091 | |
12/01/2061 | 4.400% | 134,000 | 90,135 | |
06/30/2062 | 3.950% | 182,000 | 112,146 | |
04/01/2063 | 5.500% | 59,000 | 47,349 | |
Cheever Escrow Issuer LLC(a) | ||||
10/01/2027 | 7.125% | 20,000 | 18,156 | |
CHS/Community Health Systems, Inc.(a) | ||||
04/15/2029 | 6.875% | 24,000 | 14,986 | |
05/15/2030 | 5.250% | 48,000 | 37,964 | |
Churchill Downs, Inc.(a) | ||||
04/01/2027 | 5.500% | 10,000 | 9,664 | |
05/01/2031 | 6.750% | 9,000 | 8,912 |
12 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes(d) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Cinemark USA, Inc.(a) | ||||
03/15/2026 | 5.875% | 19,000 | 18,030 | |
07/15/2028 | 5.250% | 11,000 | 9,775 | |
Citigroup, Inc.(e) | ||||
06/03/2031 | 2.572% | 170,000 | 141,765 | |
01/25/2033 | 3.057% | 113,000 | 94,255 | |
Clarivate Science Holdings Corp.(a) | ||||
07/01/2028 | 3.875% | 12,000 | 10,611 | |
07/01/2029 | 4.875% | 39,000 | 34,599 | |
Clean Harbors, Inc.(a) | ||||
02/01/2031 | 6.375% | 3,000 | 3,020 | |
Clear Channel Outdoor Holdings, Inc.(a) | ||||
04/15/2028 | 7.750% | 19,000 | 14,905 | |
06/01/2029 | 7.500% | 33,000 | 24,450 | |
Clear Channel Worldwide Holdings, Inc.(a) | ||||
08/15/2027 | 5.125% | 19,000 | 17,280 | |
Clearway Energy Operating LLC(a) | ||||
02/15/2031 | 3.750% | 35,000 | 29,063 | |
01/15/2032 | 3.750% | 9,000 | 7,365 | |
Cloud Software Group, Inc.(a) | ||||
09/30/2029 | 9.000% | 29,000 | 25,347 | |
CMS Energy Corp. | ||||
11/15/2025 | 3.600% | 682,000 | 645,503 | |
CNX Midstream Partners LP(a) | ||||
04/15/2030 | 4.750% | 20,000 | 16,919 | |
CNX Resources Corp.(a) | ||||
03/14/2027 | 7.250% | 2,000 | 1,984 | |
01/15/2029 | 6.000% | 13,000 | 12,069 | |
01/15/2031 | 7.375% | 5,000 | 4,882 | |
Colgate Energy Partners III LLC(a) | ||||
07/01/2029 | 5.875% | 51,000 | 48,072 | |
Colt Merger Sub, Inc.(a) | ||||
07/01/2025 | 5.750% | 25,000 | 25,297 | |
07/01/2025 | 6.250% | 42,000 | 41,814 | |
07/01/2027 | 8.125% | 61,000 | 62,357 | |
Commercial Metals Co. | ||||
02/15/2031 | 3.875% | 5,000 | 4,299 | |
Comstock Resources, Inc.(a) | ||||
03/01/2029 | 6.750% | 12,000 | 10,987 | |
01/15/2030 | 5.875% | 12,000 | 10,423 | |
Condor Merger Sub, Inc.(a) | ||||
02/15/2030 | 7.375% | 25,000 | 21,734 | |
Constellation Brands, Inc. | ||||
05/01/2033 | 4.900% | 193,000 | 189,504 | |
CrownRock LP/Finance, Inc.(a) | ||||
10/15/2025 | 5.625% | 39,000 | 38,497 | |
05/01/2029 | 5.000% | 12,000 | 11,283 |
Corporate Bonds & Notes(d) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CSC Holdings LLC(a) | ||||
02/01/2028 | 5.375% | 39,000 | 31,446 | |
01/15/2030 | 5.750% | 14,000 | 6,610 | |
12/01/2030 | 4.125% | 26,000 | 18,261 | |
12/01/2030 | 4.625% | 24,000 | 10,684 | |
11/15/2031 | 5.000% | 5,000 | 2,341 | |
CVS Health Corp. | ||||
07/20/2045 | 5.125% | 247,000 | 228,249 | |
Darling Ingredients, Inc.(a) | ||||
06/15/2030 | 6.000% | 26,000 | 25,408 | |
Delek Logistics Partners LP/Finance Corp. | ||||
05/15/2025 | 6.750% | 5,000 | 4,923 | |
Delta Air Lines, Inc./SkyMiles IP Ltd.(a) | ||||
10/20/2028 | 4.750% | 20,000 | 19,412 | |
DIRECTV Holdings LLC/Financing Co., Inc.(a) | ||||
08/15/2027 | 5.875% | 12,000 | 10,866 | |
DISH DBS Corp. | ||||
07/01/2026 | 7.750% | 18,000 | 11,039 | |
06/01/2029 | 5.125% | 49,000 | 22,861 | |
DISH Network Corp.(a) | ||||
11/15/2027 | 11.750% | 40,000 | 39,116 | |
DT Midstream, Inc.(a) | ||||
06/15/2029 | 4.125% | 14,000 | 12,290 | |
06/15/2031 | 4.375% | 25,000 | 21,555 | |
DTE Energy Co. | ||||
10/01/2026 | 2.850% | 490,000 | 451,382 | |
Duke Energy Corp. | ||||
09/01/2046 | 3.750% | 345,000 | 262,062 | |
Duke Energy Ohio, Inc. | ||||
04/01/2053 | 5.650% | 13,000 | 13,383 | |
Edison International | ||||
11/15/2028 | 5.250% | 34,000 | 33,128 | |
Element Solutions, Inc.(a) | ||||
09/01/2028 | 3.875% | 29,000 | 25,307 | |
Emera US Finance LP | ||||
06/15/2046 | 4.750% | 620,000 | 502,895 | |
Emerald Debt Merger Sub LLC(a) | ||||
12/15/2030 | 6.625% | 47,000 | 46,637 | |
Encompass Health Corp. | ||||
02/01/2028 | 4.500% | 13,000 | 12,120 | |
Entegris Escrow Corp.(a) | ||||
04/15/2029 | 4.750% | 7,000 | 6,500 | |
06/15/2030 | 5.950% | 26,000 | 24,953 | |
EQM Midstream Partners LP(a) | ||||
07/01/2025 | 6.000% | 14,000 | 13,889 | |
07/01/2027 | 6.500% | 16,000 | 15,779 | |
01/15/2029 | 4.500% | 24,000 | 21,418 | |
01/15/2031 | 4.750% | 52,000 | 45,525 |
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2023 | 13 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes(d) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
EQM Midstream Partners LP | ||||
07/15/2048 | 6.500% | 23,000 | 20,818 | |
ERAC USA Finance LLC(a) | ||||
05/01/2028 | 4.600% | 154,000 | 149,844 | |
Exelon Corp. | ||||
03/15/2052 | 4.100% | 17,000 | 13,735 | |
03/15/2053 | 5.600% | 45,000 | 45,395 | |
Fertitta Entertainment LLC/Finance Co., Inc.(a) | ||||
01/15/2030 | 6.750% | 31,000 | 26,324 | |
Fidelity National Information Services, Inc. | ||||
05/21/2027 | 1.500% | EUR | 271,000 | 268,508 |
FirstEnergy Corp. | ||||
03/01/2050 | 3.400% | 38,000 | 26,182 | |
Five Corners Funding Trust(a) | ||||
11/15/2023 | 4.419% | 1,200,000 | 1,187,937 | |
Ford Motor Co. | ||||
02/12/2032 | 3.250% | 38,000 | 29,842 | |
01/15/2043 | 4.750% | 16,000 | 12,284 | |
Ford Motor Credit Co. LLC | ||||
09/08/2024 | 3.664% | 91,000 | 87,943 | |
11/25/2025 | 2.330% | EUR | 100,000 | 102,314 |
01/08/2026 | 4.389% | 22,000 | 20,848 | |
08/17/2027 | 4.125% | 63,000 | 57,450 | |
02/16/2028 | 2.900% | 12,000 | 10,273 | |
06/10/2030 | 7.200% | 9,000 | 9,092 | |
11/13/2030 | 4.000% | 6,000 | 5,129 | |
Freeport-McMoRan, Inc. | ||||
09/01/2029 | 5.250% | 36,000 | 35,365 | |
03/15/2043 | 5.450% | 214,000 | 199,534 | |
Frontier Communications Holdings LLC(a) | ||||
05/15/2030 | 8.750% | 12,000 | 11,725 | |
03/15/2031 | 8.625% | 18,000 | 17,418 | |
Gartner, Inc.(a) | ||||
07/01/2028 | 4.500% | 16,000 | 14,998 | |
Gates Global LLC/Co.(a) | ||||
01/15/2026 | 6.250% | 38,000 | 37,504 | |
GE HealthCare Technologies, Inc. | ||||
11/15/2027 | 5.650% | 103,000 | 104,195 | |
Georgia Power Co. | ||||
03/15/2042 | 4.300% | 195,000 | 168,142 | |
Goldman Sachs Group, Inc. (The)(e) | ||||
07/21/2032 | 2.383% | 148,000 | 118,378 | |
10/21/2032 | 2.650% | 125,000 | 101,820 | |
Goodyear Tire & Rubber Co. (The) | ||||
07/15/2029 | 5.000% | 17,000 | 15,331 | |
H&E Equipment Services, Inc.(a) | ||||
12/15/2028 | 3.875% | 25,000 | 21,717 |
Corporate Bonds & Notes(d) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Hanesbrands, Inc.(a) | ||||
05/15/2026 | 4.875% | 10,000 | 9,335 | |
02/15/2031 | 9.000% | 9,000 | 9,068 | |
Hawaiian Brand Intellectual Property Ltd./Miles Loyalty Ltd.(a) | ||||
01/20/2026 | 5.750% | 30,741 | 29,104 | |
HB Fuller Co. | ||||
10/15/2028 | 4.250% | 34,000 | 30,354 | |
HCA, Inc.(a) | ||||
03/15/2052 | 4.625% | 129,000 | 105,927 | |
HealthEquity, Inc.(a) | ||||
10/01/2029 | 4.500% | 24,000 | 21,227 | |
Helios Software Holdings, Inc.(a) | ||||
05/01/2028 | 4.625% | 22,000 | 18,860 | |
Herc Holdings, Inc.(a) | ||||
07/15/2027 | 5.500% | 19,000 | 18,241 | |
Hess Midstream Operations LP(a) | ||||
02/15/2030 | 4.250% | 10,000 | 8,728 | |
Hightower Holding LLC(a) | ||||
04/15/2029 | 6.750% | 14,000 | 12,119 | |
Hilcorp Energy I LP/Finance Co.(a) | ||||
11/01/2028 | 6.250% | 11,000 | 10,370 | |
02/01/2029 | 5.750% | 7,000 | 6,379 | |
04/15/2030 | 6.000% | 15,000 | 13,680 | |
02/01/2031 | 6.000% | 22,000 | 19,779 | |
04/15/2032 | 6.250% | 9,000 | 8,065 | |
Hilton Domestic Operating Co., Inc.(a) | ||||
05/01/2025 | 5.375% | 14,000 | 13,874 | |
Holly Energy Partners LP/Finance Corp.(a) | ||||
04/15/2027 | 6.375% | 11,000 | 10,898 | |
02/01/2028 | 5.000% | 21,000 | 19,586 | |
Honeywell International, Inc. | ||||
11/02/2034 | 4.125% | EUR | 234,000 | 258,524 |
HUB International Ltd.(a) | ||||
05/01/2026 | 7.000% | 99,000 | 98,823 | |
12/01/2029 | 5.625% | 29,000 | 26,042 | |
HUB International, Ltd.(a) | ||||
06/15/2030 | 7.250% | 50,000 | 51,629 | |
iHeartCommunications, Inc. | ||||
05/01/2026 | 6.375% | 20,082 | 16,919 | |
05/01/2027 | 8.375% | 25,385 | 16,911 | |
iHeartCommunications, Inc.(a) | ||||
01/15/2028 | 4.750% | 25,000 | 18,871 | |
Illuminate Buyer LLC/Holdings IV, Inc.(a) | ||||
07/01/2028 | 9.000% | 31,000 | 27,088 | |
Ingevity Corp.(a) | ||||
11/01/2028 | 3.875% | 19,000 | 16,232 | |
Innophos Holdings, Inc.(a) | ||||
02/15/2028 | 9.375% | 12,000 | 11,992 |
14 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes(d) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
International Business Machines Corp. | ||||
02/06/2031 | 3.625% | EUR | 245,000 | 264,785 |
IQVIA, Inc.(a) | ||||
05/15/2027 | 5.000% | 20,000 | 19,264 | |
01/15/2028 | 2.250% | EUR | 100,000 | 96,202 |
05/15/2030 | 6.500% | 9,000 | 9,106 | |
IRB Holding Corp.(a) | ||||
06/15/2025 | 7.000% | 16,000 | 16,080 | |
Iris Holdings, Inc.(a),(h) | ||||
02/15/2026 | 8.750% | 10,000 | 9,495 | |
JPMorgan Chase & Co.(a),(e) | ||||
07/25/2031 | 1.001% | EUR | 600,000 | 527,362 |
JPMorgan Chase & Co.(e) | ||||
04/22/2032 | 2.580% | 287,000 | 238,306 | |
11/08/2032 | 2.545% | 133,000 | 108,846 | |
Kaiser Aluminum Corp.(a) | ||||
03/01/2028 | 4.625% | 4,000 | 3,505 | |
06/01/2031 | 4.500% | 20,000 | 15,977 | |
KAR Auction Services, Inc.(a) | ||||
06/01/2025 | 5.125% | 8,000 | 7,859 | |
Kinder Morgan Energy Partners LP | ||||
03/01/2043 | 5.000% | 105,000 | 90,534 | |
Kinder Morgan, Inc. | ||||
02/15/2046 | 5.050% | 22,000 | 18,826 | |
08/01/2052 | 5.450% | 58,000 | 52,963 | |
Kraft Heinz Foods Co.(a) | ||||
05/25/2028 | 2.250% | EUR | 400,000 | 403,386 |
L Brands, Inc.(a) | ||||
07/01/2025 | 9.375% | 5,000 | 5,303 | |
10/01/2030 | 6.625% | 6,000 | 5,797 | |
L Brands, Inc. | ||||
06/15/2029 | 7.500% | 9,000 | 9,124 | |
11/01/2035 | 6.875% | 20,000 | 18,305 | |
Ladder Capital Finance Holdings LLLP/Corp.(a) | ||||
10/01/2025 | 5.250% | 50,000 | 47,062 | |
02/01/2027 | 4.250% | 13,000 | 11,294 | |
06/15/2029 | 4.750% | 33,000 | 26,866 | |
Lamb Weston Holdings, Inc.(a) | ||||
01/31/2030 | 4.125% | 20,000 | 17,877 | |
01/31/2032 | 4.375% | 14,000 | 12,484 | |
Leeward Renewable Energy Operations LLC(a) | ||||
07/01/2029 | 4.250% | 6,000 | 5,344 | |
Lithia Motors, Inc.(a) | ||||
01/15/2031 | 4.375% | 10,000 | 8,632 | |
Live Nation Entertainment, Inc.(a) | ||||
03/15/2026 | 5.625% | 41,000 | 40,074 | |
Logan Merger Sub, Inc.(a) | ||||
09/01/2027 | 5.500% | 35,000 | 19,537 |
Corporate Bonds & Notes(d) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Lowe’s Companies, Inc. | ||||
04/01/2062 | 4.450% | 120,000 | 96,657 | |
09/15/2062 | 5.800% | 17,000 | 16,865 | |
Madison IAQ LLC(a) | ||||
06/30/2028 | 4.125% | 41,000 | 36,111 | |
06/30/2029 | 5.875% | 16,000 | 12,999 | |
Matador Resources Co. | ||||
09/15/2026 | 5.875% | 22,000 | 21,378 | |
Matador Resources Co.(a) | ||||
04/15/2028 | 6.875% | 11,000 | 10,887 | |
Match Group Holdings II LLC(a) | ||||
10/01/2031 | 3.625% | 25,000 | 20,561 | |
Match Group, Inc.(a) | ||||
12/15/2027 | 5.000% | 41,000 | 38,442 | |
Mattel, Inc.(a) | ||||
04/01/2026 | 3.375% | 8,000 | 7,362 | |
04/01/2029 | 3.750% | 43,000 | 37,756 | |
Mattel, Inc. | ||||
10/01/2040 | 6.200% | 25,000 | 22,440 | |
11/01/2041 | 5.450% | 14,000 | 11,667 | |
Meritage Homes Corp.(a) | ||||
04/15/2029 | 3.875% | 48,000 | 42,666 | |
Meta Platforms, Inc. | ||||
05/15/2063 | 5.750% | 87,000 | 89,949 | |
Midwest Gaming Borrower LLC(a) | ||||
05/01/2029 | 4.875% | 27,000 | 23,915 | |
Minerva Merger Sub, Inc.(a) | ||||
02/15/2030 | 6.500% | 29,000 | 24,391 | |
Morgan Stanley(e) | ||||
10/20/2032 | 2.511% | 136,000 | 109,730 | |
Subordinated | ||||
09/16/2036 | 2.484% | 100,000 | 75,690 | |
Mozart Debt Merger Sub, Inc.(a) | ||||
04/01/2029 | 3.875% | 8,000 | 6,958 | |
10/01/2029 | 5.250% | 54,000 | 46,873 | |
MPLX LP | ||||
03/14/2052 | 4.950% | 16,000 | 13,595 | |
Nabors Industries Ltd.(a) | ||||
01/15/2026 | 7.250% | 14,000 | 13,078 | |
01/15/2028 | 7.500% | 6,000 | 5,262 | |
Nabors Industries, Inc.(a) | ||||
05/15/2027 | 7.375% | 10,000 | 9,512 | |
NCR Corp.(a) | ||||
09/01/2027 | 5.750% | 21,000 | 20,999 | |
10/01/2028 | 5.000% | 25,000 | 22,363 | |
04/15/2029 | 5.125% | 7,000 | 6,197 | |
10/01/2030 | 5.250% | 4,000 | 3,484 |
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2023 | 15 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes(d) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Neptune Bidco US, Inc.(a) | ||||
04/15/2029 | 9.290% | 25,000 | 22,958 | |
Netflix, Inc. | ||||
04/15/2028 | 4.875% | 56,000 | 55,405 | |
11/15/2028 | 5.875% | 17,000 | 17,625 | |
05/15/2029 | 4.625% | EUR | 550,000 | 607,329 |
05/15/2029 | 6.375% | 3,000 | 3,173 | |
Netflix, Inc.(a) | ||||
11/15/2029 | 5.375% | 24,000 | 24,082 | |
06/15/2030 | 4.875% | 40,000 | 39,419 | |
Newell Brands, Inc. | ||||
06/01/2025 | 4.875% | 11,000 | 10,610 | |
09/15/2027 | 6.375% | 6,000 | 5,761 | |
09/15/2029 | 6.625% | 9,000 | 8,637 | |
NextEra Energy Operating Partners LP(a) | ||||
09/15/2027 | 4.500% | 24,000 | 22,302 | |
NFP Corp.(a) | ||||
08/15/2028 | 4.875% | 22,000 | 19,721 | |
08/15/2028 | 6.875% | 70,000 | 60,812 | |
10/01/2030 | 7.500% | 25,000 | 24,245 | |
NiSource, Inc. | ||||
05/15/2047 | 4.375% | 63,000 | 53,917 | |
Northrop Grumman Corp. | ||||
03/15/2053 | 4.950% | 30,000 | 29,260 | |
Novelis Corp.(a) | ||||
11/15/2026 | 3.250% | 12,000 | 10,874 | |
01/30/2030 | 4.750% | 25,000 | 22,220 | |
08/15/2031 | 3.875% | 15,000 | 12,380 | |
NRG Energy, Inc.(a) | ||||
02/15/2029 | 3.375% | 12,000 | 9,858 | |
02/15/2031 | 3.625% | 82,000 | 64,149 | |
NuStar Logistics LP | ||||
10/01/2025 | 5.750% | 11,000 | 10,761 | |
06/01/2026 | 6.000% | 10,000 | 9,755 | |
04/28/2027 | 5.625% | 20,000 | 19,225 | |
Occidental Petroleum Corp. | ||||
09/01/2030 | 6.625% | 56,000 | 58,182 | |
05/01/2031 | 7.500% | 13,000 | 14,193 | |
Olympus Water US Holding Corp.(a) | ||||
10/01/2028 | 4.250% | 30,000 | 23,710 | |
11/15/2028 | 9.750% | 37,000 | 36,081 | |
10/01/2029 | 6.250% | 13,000 | 9,383 | |
OneMain Finance Corp. | ||||
01/15/2029 | 9.000% | 13,000 | 13,112 | |
09/15/2030 | 4.000% | 20,000 | 15,421 | |
Organon Finance 1 LLC(a) | ||||
04/30/2028 | 4.125% | 19,000 | 16,871 | |
04/30/2031 | 5.125% | 42,000 | 34,644 |
Corporate Bonds & Notes(d) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Outfront Media Capital LLC/Corp.(a) | ||||
01/15/2029 | 4.250% | 9,000 | 7,565 | |
03/15/2030 | 4.625% | 25,000 | 20,938 | |
Pacific Gas and Electric Co. | ||||
07/01/2050 | 4.950% | 115,000 | 90,488 | |
Park Intermediate Holdings LLC/PK Domestic Property LLC/Finance Co-Issuer(a) | ||||
05/15/2029 | 4.875% | 15,000 | 12,932 | |
Peachtree Corners Funding Trust(a) | ||||
02/15/2025 | 3.976% | 1,100,000 | 1,059,958 | |
Penn National Gaming, Inc.(a) | ||||
01/15/2027 | 5.625% | 42,000 | 39,470 | |
07/01/2029 | 4.125% | 19,000 | 15,575 | |
PetSmart, Inc./Finance Corp.(a) | ||||
02/15/2028 | 4.750% | 19,000 | 17,595 | |
02/15/2029 | 7.750% | 22,000 | 21,870 | |
Picard Midco, Inc.(a) | ||||
03/31/2029 | 6.500% | 41,000 | 36,445 | |
Pilgrim’s Pride Corp.(a) | ||||
09/30/2027 | 5.875% | 29,000 | 28,636 | |
Plains All American Pipeline LP/Finance Corp. | ||||
06/15/2044 | 4.700% | 475,000 | 371,027 | |
Playtika Holding Corp.(a) | ||||
03/15/2029 | 4.250% | 44,000 | 39,103 | |
PNC Financial Services Group, Inc. (The)(e) | ||||
06/12/2029 | 5.582% | 150,000 | 149,329 | |
Post Holdings, Inc.(a) | ||||
03/01/2027 | 5.750% | 50,000 | 48,852 | |
04/15/2030 | 4.625% | 18,000 | 15,785 | |
09/15/2031 | 4.500% | 28,000 | 23,895 | |
Prestige Brands, Inc.(a) | ||||
01/15/2028 | 5.125% | 14,000 | 13,368 | |
Primo Water Holdings, Inc.(a) | ||||
04/30/2029 | 4.375% | 24,000 | 20,551 | |
Provident Funding Associates LP/Finance Corp.(a) | ||||
06/15/2025 | 6.375% | 20,000 | 17,645 | |
Quicken Loans LLC/Co-Issuer, Inc.(a) | ||||
03/01/2029 | 3.625% | 15,000 | 12,611 | |
03/01/2031 | 3.875% | 52,000 | 42,162 | |
Radiate Holdco LLC/Finance, Inc.(a) | ||||
09/15/2026 | 4.500% | 23,000 | 18,366 | |
09/15/2028 | 6.500% | 12,000 | 7,005 | |
Resideo Funding, Inc.(a) | ||||
09/01/2029 | 4.000% | 16,000 | 13,295 | |
RHP Hotel Properties LP/Finance Corp.(a) | ||||
07/15/2028 | 7.250% | 5,000 | 5,051 | |
Ritchie Bros Holdings, Inc.(a) | ||||
03/15/2028 | 6.750% | 4,000 | 4,046 | |
03/15/2031 | 7.750% | 12,000 | 12,486 |
16 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes(d) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
RLJ Lodging Trust LP(a) | ||||
07/01/2026 | 3.750% | 10,000 | 9,177 | |
09/15/2029 | 4.000% | 11,000 | 9,251 | |
Roblox Corp.(a) | ||||
05/01/2030 | 3.875% | 23,000 | 19,383 | |
Rocket Mortgage LLC/Co-Issuer, Inc.(a) | ||||
10/15/2033 | 4.000% | 54,000 | 42,234 | |
Ryan Specialty Group LLC(a) | ||||
02/01/2030 | 4.375% | 3,000 | 2,654 | |
Scientific Games Holdings LP/US FinCo, Inc.(a) | ||||
03/01/2030 | 6.625% | 48,000 | 42,246 | |
Scientific Games International, Inc.(a) | ||||
05/15/2028 | 7.000% | 13,000 | 12,974 | |
Seagate HDD Cayman(a) | ||||
12/15/2029 | 8.250% | 11,000 | 11,494 | |
07/15/2031 | 8.500% | 11,000 | 11,543 | |
Select Medical Corp.(a) | ||||
08/15/2026 | 6.250% | 33,000 | 32,398 | |
Sempra Energy | ||||
06/15/2027 | 3.250% | 260,000 | 240,465 | |
Service Properties Trust | ||||
03/15/2024 | 4.650% | 9,000 | 8,859 | |
Shea Homes LP/Funding Corp. | ||||
02/15/2028 | 4.750% | 23,000 | 20,519 | |
Shift4 Payments LLC/Finance Sub, Inc.(a) | ||||
11/01/2026 | 4.625% | 57,000 | 53,774 | |
Silgan Holdings, Inc. | ||||
06/01/2028 | 2.250% | EUR | 100,000 | 93,940 |
Simmons Foods, Inc./Prepared Foods, Inc./Pet Food, Inc./Feed(a) | ||||
03/01/2029 | 4.625% | 40,000 | 32,231 | |
Sirius XM Radio, Inc.(a) | ||||
09/01/2026 | 3.125% | 18,000 | 16,217 | |
07/01/2030 | 4.125% | 25,000 | 20,424 | |
Six Flags Entertainment Corp.(a) | ||||
05/15/2031 | 7.250% | 27,000 | 26,295 | |
Six Flags Theme Parks, Inc.(a) | ||||
07/01/2025 | 7.000% | 7,000 | 7,051 | |
Southwestern Energy Co. | ||||
02/01/2029 | 5.375% | 9,000 | 8,496 | |
02/01/2032 | 4.750% | 46,000 | 40,639 | |
Spectrum Brands, Inc. | ||||
07/15/2025 | 5.750% | 28,000 | 27,989 | |
Spectrum Brands, Inc.(a) | ||||
10/01/2026 | 4.000% | EUR | 100,000 | 104,621 |
10/01/2029 | 5.000% | 12,000 | 10,765 | |
07/15/2030 | 5.500% | 7,000 | 6,389 |
Corporate Bonds & Notes(d) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Spirit AeroSystems, Inc.(a) | ||||
11/30/2029 | 9.375% | 11,000 | 11,791 | |
Springleaf Finance Corp. | ||||
03/15/2024 | 6.125% | 71,000 | 70,747 | |
03/15/2025 | 6.875% | 15,000 | 14,836 | |
11/15/2029 | 5.375% | 2,000 | 1,708 | |
Sprint Corp. | ||||
03/01/2026 | 7.625% | 29,000 | 30,116 | |
SRS Distribution, Inc.(a) | ||||
07/01/2028 | 4.625% | 22,000 | 19,717 | |
07/01/2029 | 6.125% | 15,000 | 13,026 | |
12/01/2029 | 6.000% | 22,000 | 18,976 | |
Standard Industries, Inc.(a) | ||||
02/15/2027 | 5.000% | 10,000 | 9,531 | |
Staples, Inc.(a) | ||||
04/15/2026 | 7.500% | 14,000 | 11,537 | |
Sunoco LP/Finance Corp. | ||||
05/15/2029 | 4.500% | 10,000 | 8,876 | |
Surgery Center Holdings, Inc.(a) | ||||
07/01/2025 | 6.750% | 8,000 | 7,989 | |
04/15/2027 | 10.000% | 5,000 | 5,125 | |
Teachers Insurance & Annuity Association of America(a) | ||||
Subordinated | ||||
09/15/2044 | 4.900% | 240,000 | 216,992 | |
Tempo Acquisition LLC/Finance Corp.(a) | ||||
06/01/2025 | 5.750% | 9,000 | 8,990 | |
Tenet Healthcare Corp. | ||||
02/01/2027 | 6.250% | 18,000 | 17,850 | |
11/01/2027 | 5.125% | 18,000 | 17,185 | |
06/15/2028 | 4.625% | 10,000 | 9,344 | |
10/01/2028 | 6.125% | 32,000 | 30,800 | |
01/15/2030 | 4.375% | 21,000 | 18,949 | |
Tenet Healthcare Corp.(a) | ||||
05/15/2031 | 6.750% | 17,000 | 17,096 | |
TerraForm Power Operating LLC(a) | ||||
01/15/2030 | 4.750% | 28,000 | 24,721 | |
T-Mobile US, Inc. | ||||
02/15/2029 | 2.625% | 26,000 | 22,577 | |
02/15/2031 | 2.875% | 422,000 | 357,822 | |
04/15/2031 | 3.500% | 179,000 | 157,874 | |
TransDigm, Inc.(a) | ||||
03/15/2026 | 6.250% | 63,000 | 62,693 | |
08/15/2028 | 6.750% | 20,000 | 20,106 | |
TransDigm, Inc. | ||||
11/15/2027 | 5.500% | 8,000 | 7,565 | |
01/15/2029 | 4.625% | 17,000 | 15,118 | |
TransMontaigne Partners LP/TLP Finance Corp. | ||||
02/15/2026 | 6.125% | 45,000 | 38,890 |
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2023 | 17 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes(d) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Transocean Titan Financing Ltd.(a) | ||||
02/01/2028 | 8.375% | 24,000 | 24,498 | |
Triton Water Holdings, Inc.(a) | ||||
04/01/2029 | 6.250% | 10,000 | 8,564 | |
Uber Technologies, Inc.(a) | ||||
05/15/2025 | 7.500% | 16,000 | 16,210 | |
09/15/2027 | 7.500% | 39,000 | 39,948 | |
01/15/2028 | 6.250% | 12,000 | 11,955 | |
08/15/2029 | 4.500% | 45,000 | 41,421 | |
Unifrax Escrow Issuer Corp.(a) | ||||
09/30/2028 | 5.250% | 15,000 | 10,829 | |
United Airlines, Inc.(a) | ||||
04/15/2026 | 4.375% | 10,000 | 9,501 | |
UnitedHealth Group, Inc. | ||||
02/15/2030 | 5.300% | 62,000 | 63,467 | |
04/15/2063 | 5.200% | 177,000 | 176,563 | |
Univision Communications, Inc.(a) | ||||
06/30/2030 | 7.375% | 16,000 | 15,251 | |
US Bancorp(e) | ||||
06/12/2034 | 5.836% | 57,000 | 57,358 | |
US Foods, Inc.(a) | ||||
06/01/2030 | 4.625% | 16,000 | 14,331 | |
USI, Inc.(a) | ||||
05/01/2025 | 6.875% | 64,000 | 63,543 | |
Venture Global Calcasieu Pass LLC(a) | ||||
08/15/2029 | 3.875% | 35,000 | 30,574 | |
08/15/2031 | 4.125% | 46,000 | 39,604 | |
11/01/2033 | 3.875% | 25,000 | 20,551 | |
Venture Global LNG, Inc.(a) | ||||
06/01/2028 | 8.125% | 7,000 | 7,119 | |
06/01/2031 | 8.375% | 27,000 | 27,262 | |
Verizon Communications, Inc. | ||||
03/21/2031 | 2.550% | 280,000 | 233,851 | |
Verscend Escrow Corp.(a) | ||||
08/15/2026 | 9.750% | 28,000 | 28,032 | |
Vertical US Newco, Inc.(a) | ||||
07/15/2027 | 5.250% | 23,000 | 21,266 | |
Viking Cruises Ltd.(a) | ||||
02/15/2029 | 7.000% | 9,000 | 8,370 | |
07/15/2031 | 9.125% | 10,000 | 10,104 | |
Vistra Operations Co. LLC(a) | ||||
09/01/2026 | 5.500% | 14,000 | 13,487 | |
05/01/2029 | 4.375% | 14,000 | 12,254 | |
Warnermedia Holdings, Inc. | ||||
03/15/2062 | 5.391% | 209,000 | 169,867 | |
Waste Pro USA, Inc.(a) | ||||
02/15/2026 | 5.500% | 33,000 | 30,653 |
Corporate Bonds & Notes(d) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Wells Fargo & Co.(e) | ||||
02/11/2031 | 2.572% | 405,000 | 343,216 | |
WESCO Distribution, Inc.(a) | ||||
06/15/2025 | 7.125% | 19,000 | 19,223 | |
06/15/2028 | 7.250% | 17,000 | 17,344 | |
Western Midstream Operating LP(e) | ||||
02/01/2050 | 5.250% | 70,000 | 58,127 | |
White Cap Buyer LLC(a) | ||||
10/15/2028 | 6.875% | 24,000 | 21,756 | |
Williams Companies, Inc. (The) | ||||
09/15/2045 | 5.100% | 79,000 | 71,161 | |
Wolverine World Wide, Inc.(a) | ||||
08/15/2029 | 4.000% | 12,000 | 9,555 | |
WR Grace Holdings LLC(a) | ||||
06/15/2027 | 4.875% | 37,000 | 34,453 | |
08/15/2029 | 5.625% | 50,000 | 40,861 | |
03/01/2031 | 7.375% | 5,000 | 4,929 | |
Wynn Las Vegas LLC/Capital Corp.(a) | ||||
03/01/2025 | 5.500% | 15,000 | 14,753 | |
Wynn Resorts Finance LLC/Capital Corp.(a) | ||||
10/01/2029 | 5.125% | 9,000 | 8,070 | |
ZoomInfo Technologies LLC/Finance Corp.(a) | ||||
02/01/2029 | 3.875% | 29,000 | 24,938 | |
Total | 23,202,225 | |||
Total Corporate Bonds & Notes (Cost $48,864,457) | 43,791,643 | |||
Foreign Government Obligations(d),(i) 13.9% | ||||
Angola 0.2% | ||||
Angolan Government International Bond(a) | ||||
11/26/2049 | 9.125% | 200,000 | 154,621 | |
Azerbaijan 0.2% | ||||
Republic of Azerbaijan International Bond(a) | ||||
09/01/2032 | 3.500% | 150,000 | 128,369 | |
Canada 0.1% | ||||
NOVA Chemicals Corp.(a) | ||||
05/01/2025 | 5.000% | 6,000 | 5,741 | |
06/01/2027 | 5.250% | 22,000 | 19,606 | |
05/15/2029 | 4.250% | 24,000 | 19,581 | |
Total | 44,928 | |||
Colombia 1.3% | ||||
Colombia Government International Bond | ||||
01/30/2030 | 3.000% | 600,000 | 467,131 | |
04/15/2031 | 3.125% | 200,000 | 151,450 |
18 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Foreign Government Obligations(d),(i) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Ecopetrol SA | ||||
04/29/2030 | 6.875% | 448,000 | 407,830 | |
Total | 1,026,411 | |||
Dominican Republic 1.1% | ||||
Dominican Republic International Bond(a) | ||||
04/20/2027 | 8.625% | 642,000 | 668,888 | |
09/23/2032 | 4.875% | 150,000 | 127,813 | |
01/30/2060 | 5.875% | 150,000 | 116,055 | |
Total | 912,756 | |||
Egypt 0.4% | ||||
Egypt Government International Bond(a) | ||||
05/29/2032 | 7.625% | 200,000 | 116,102 | |
03/01/2049 | 8.700% | 355,000 | 191,076 | |
Total | 307,178 | |||
France 0.1% | ||||
Electricite de France SA(a),(e),(g) | ||||
6.000% | GBP | 100,000 | 115,306 | |
Germany 0.5% | ||||
Bundesrepublik Deutschland Bundesanleihe(a) | ||||
02/15/2026 | 0.500% | EUR | 400,000 | 409,858 |
Hungary 0.4% | ||||
Hungary Government International Bond(a) | ||||
09/22/2031 | 2.125% | 375,000 | 290,379 | |
India 0.4% | ||||
Export-Import Bank of India(a) | ||||
01/15/2030 | 3.250% | 200,000 | 177,189 | |
Indian Railway Finance Corp., Ltd.(a) | ||||
02/13/2030 | 3.249% | 200,000 | 175,897 | |
Total | 353,086 | |||
Indonesia 1.0% | ||||
Indonesia Government International Bond(a) | ||||
01/08/2027 | 4.350% | 400,000 | 393,022 | |
01/15/2045 | 5.125% | 200,000 | 199,388 | |
Perusahaan Penerbit SBSN Indonesia III(a) | ||||
06/23/2025 | 2.300% | 200,000 | 189,520 | |
Total | 781,930 | |||
Ivory Coast 0.5% | ||||
Ivory Coast Government International Bond(a) | ||||
03/03/2028 | 6.375% | 250,000 | 241,337 | |
06/15/2033 | 6.125% | 200,000 | 174,917 | |
Total | 416,254 |
Foreign Government Obligations(d),(i) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Malaysia 0.2% | ||||
Petronas Capital Ltd.(a) | ||||
04/21/2030 | 3.500% | 200,000 | 185,519 | |
Mexico 1.5% | ||||
Mexico Government International Bond | ||||
05/29/2031 | 7.750% | MXN | 1,010,000 | 55,885 |
Petroleos Mexicanos | ||||
03/13/2027 | 6.500% | 284,000 | 252,299 | |
02/12/2028 | 5.350% | 357,000 | 292,827 | |
02/16/2032 | 6.700% | 587,000 | 447,183 | |
01/23/2050 | 7.690% | 273,000 | 184,859 | |
Total | 1,233,053 | |||
Netherlands 0.6% | ||||
Stedin Holding NV(a),(e),(g) | ||||
1.500% | EUR | 250,000 | 232,363 | |
TenneT Holding BV(a),(e),(g) | ||||
2.374% | EUR | 250,000 | 256,480 | |
Total | 488,843 | |||
Oman 0.2% | ||||
Oman Government International Bond(a) | ||||
01/17/2048 | 6.750% | 200,000 | 192,611 | |
Panama 0.6% | ||||
Panama Government International Bond | ||||
01/23/2030 | 3.160% | 200,000 | 175,044 | |
07/23/2060 | 3.870% | 400,000 | 264,646 | |
Total | 439,690 | |||
Paraguay 0.2% | ||||
Paraguay Government International Bond(a) | ||||
03/30/2050 | 5.400% | 200,000 | 171,450 | |
Qatar 1.2% | ||||
Qatar Government International Bond(a) | ||||
03/14/2029 | 4.000% | 400,000 | 390,773 | |
04/16/2030 | 3.750% | 200,000 | 192,391 | |
04/23/2048 | 5.103% | 250,000 | 249,346 | |
Qatar Petroleum(a) | ||||
07/12/2031 | 2.250% | 200,000 | 167,707 | |
Total | 1,000,217 | |||
Romania 0.3% | ||||
Romanian Government International Bond(a) | ||||
02/14/2051 | 4.000% | 342,000 | 245,150 | |
Saudi Arabia 0.9% | ||||
Saudi Arabian Oil Co.(a) | ||||
04/16/2029 | 3.500% | 300,000 | 276,729 |
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2023 | 19 |
June 30, 2023 (Unaudited)
Foreign Government Obligations(d),(i) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Saudi Government International Bond(a) | ||||
01/21/2055 | 3.750% | 625,000 | 473,117 | |
Total | 749,846 | |||
Serbia 0.5% | ||||
Serbia International Bond(a) | ||||
12/01/2030 | 2.125% | 500,000 | 384,039 | |
Turkey 0.2% | ||||
Turkey Government International Bond | ||||
01/14/2041 | 6.000% | 200,000 | 147,400 | |
Ukraine 0.1% | ||||
NAK Naftogaz Ukraine via Kondor Finance PLC(a) | ||||
11/08/2026 | 7.625% | 200,000 | 76,854 | |
Ukraine Government International Bond(a) | ||||
09/01/2028 | 7.750% | 100,000 | 23,748 | |
Total | 100,602 | |||
United Arab Emirates 1.0% | ||||
Abu Dhabi Government International Bond(a) | ||||
09/30/2049 | 3.125% | 250,000 | 183,260 | |
04/16/2050 | 3.875% | 200,000 | 168,501 | |
DP World PLC(a) | ||||
07/02/2037 | 6.850% | 400,000 | 433,916 | |
Total | 785,677 | |||
Virgin Islands 0.2% | ||||
State Grid Overseas Investment Ltd.(a) | ||||
05/04/2027 | 3.500% | 200,000 | 191,454 | |
Total Foreign Government Obligations (Cost $13,074,640) | 11,256,627 | |||
Residential Mortgage-Backed Securities - Agency 0.9% | ||||
United States 0.9% | ||||
Federal National Mortgage Association(b),(j) | ||||
CMO Series 2019-33 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 07/25/2049 | 0.900% | 127,844 | 13,154 | |
Federal National Mortgage Association(j) | ||||
CMO Series 2021-3 Class TI | ||||
02/25/2051 | 2.500% | 528,507 | 83,647 | |
Freddie Mac STACR REMIC Trust(a),(b) | ||||
Subordinated CMO Series 2021-HQA2 Class B2 | ||||
30-day Average SOFR + 5.450% 12/25/2033 | 10.517% | 500,000 | 456,998 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Government National Mortgage Association(b),(j) | ||||
CMO Series 2017-141 Class ES | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 09/20/2047 | 1.054% | 89,478 | 9,665 | |
CMO Series 2018-155 Class ES | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 11/20/2048 | 0.954% | 65,367 | 5,139 | |
CMO Series 2019-23 Class LS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 02/20/2049 | 0.904% | 272,600 | 26,379 | |
CMO Series 2019-23 Class SQ | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 02/20/2049 | 0.904% | 302,609 | 39,371 | |
CMO Series 2021-46 Class SE | ||||
-1.0 x 1-month USD LIBOR + 6.300% Cap 6.300% 03/20/2051 | 1.143% | 293,362 | 30,426 | |
Government National Mortgage Association(j) | ||||
CMO Series 2020-153 Class CI | ||||
10/20/2050 | 2.500% | 759,830 | 102,873 | |
Total | 767,652 | |||
Total Residential Mortgage-Backed Securities - Agency (Cost $876,095) | 767,652 | |||
Residential Mortgage-Backed Securities - Non-Agency 11.3% | ||||
United States 11.3% | ||||
Bellemeade Re Ltd.(a),(b) | ||||
CMO Series 2020-4A Class M2B | ||||
1-month USD LIBOR + 3.600% Floor 3.600% 06/25/2030 | 8.750% | 156,834 | 156,814 | |
BVRT Financing Trust(a),(b),(c) | ||||
CMO Series 2021-3F Class M2 | ||||
30-day Average SOFR + 2.900% Floor 2.900% 07/12/2033 | 4.187% | 500,000 | 500,000 | |
CHNGE Mortgage Trust(a),(k) | ||||
CMO Series 2023-3 Class M1 | ||||
07/25/2058 | 8.258% | 300,000 | 291,901 | |
CIM Trust(a),(k) | ||||
CMO Series 2021-NR2 Class A1 | ||||
07/25/2059 | 2.568% | 247,319 | 235,733 | |
Connecticut Avenue Securities Trust(a),(b) | ||||
Subordinated CMO Series 2019-R01 Class 2B1 | ||||
1-month USD LIBOR + 4.350% 07/25/2031 | 9.500% | 700,000 | 742,225 |
20 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated CMO Series 2022-R01 Class 1B2 | ||||
30-day Average SOFR + 6.000% 12/25/2041 | 11.067% | 500,000 | 490,206 | |
Eagle Re Ltd.(a),(b) | ||||
CMO Series 2019-1 Class M1B | ||||
1-month USD LIBOR + 1.800% 04/25/2029 | 6.950% | 421,095 | 420,589 | |
Subordinated CMO Series 2020-1 Class M1C | ||||
1-month USD LIBOR + 1.800% 01/25/2030 | 6.950% | 797,000 | 802,303 | |
Freddie Mac STACR REMIC Trust(a),(b) | ||||
Subordinated CMO Series 2020-HQA1 Class B1 | ||||
1-month USD LIBOR + 2.350% 01/25/2050 | 7.500% | 700,000 | 680,233 | |
Subordinated CMO Series 2021-HQA1 Class B2 | ||||
30-day Average SOFR + 5.000% 08/25/2033 | 10.067% | 250,000 | 223,691 | |
Freddie Mac STACR Trust(a),(b) | ||||
Subordinated CMO Series 2019-DNA4 Class B1 | ||||
1-month USD LIBOR + 2.700% 10/25/2049 | 7.850% | 600,000 | 601,878 | |
Homeward Opportunities Fund I Trust(a),(k) | ||||
Subordinated CMO Series 2020-2 Class B1 | ||||
05/25/2065 | 5.450% | 389,000 | 349,695 | |
Oaktown Re V Ltd.(a),(b) | ||||
CMO Series 2020-2A Class M2 | ||||
1-month USD LIBOR + 5.250% Floor 5.250% 10/25/2030 | 10.400% | 401,098 | 410,508 | |
PNMAC GMSR Issuer Trust(a),(b) | ||||
CMO Series 2018-GT2 Class A | ||||
1-month USD LIBOR + 2.650% 08/25/2025 | 7.800% | 700,000 | 691,318 | |
Preston Ridge Partners Mortgage Trust(a),(k) | ||||
CMO Series 2021-1 Class A1 | ||||
01/25/2026 | 2.115% | 96,015 | 91,755 | |
CMO Series 2022-NQM1 Class M1 | ||||
08/25/2067 | 5.488% | 248,000 | 218,566 | |
Pretium Mortgage Credit Partners(a),(k) | ||||
CMO Series 2022-NPL1 Class A1 | ||||
01/25/2052 | 2.981% | 357,546 | 329,122 | |
SG Residential Mortgage Trust(a),(k) | ||||
CMO Series 2019-3 Class M1 | ||||
09/25/2059 | 3.526% | 400,000 | 364,369 | |
Triangle Re Ltd.(a),(b) | ||||
Subordinated CMO Series 2021-1 Class B1 | ||||
1-month USD LIBOR + 4.500% Floor 4.500% 08/25/2033 | 9.650% | 500,000 | 505,510 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
VCAT Asset Securitization LLC(a),(k) | ||||
CMO Series 2021-NPL3 Class A2 | ||||
05/25/2051 | 3.967% | 300,000 | 250,713 | |
Verus Securitization Trust(a),(k) | ||||
CMO Series 2020-1 Class M1 | ||||
01/25/2060 | 3.021% | 400,000 | 319,592 | |
Verus Securitization Trust(a) | ||||
CMO Series 2020-INV1 Class M1 | ||||
03/25/2060 | 5.500% | 500,000 | 485,836 | |
Total | 9,162,557 | |||
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $9,372,718) | 9,162,557 | |||
Senior Loans 0.2% | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
United States 0.2% | ||||
Ascend Learning LLC(b),(l) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 3.500% Floor 0.500% 12/11/2028 | 8.702% | 32,505 | 30,489 | |
2nd Lien Term Loan | ||||
1-month Term SOFR + 5.750% Floor 0.500% 12/10/2029 | 10.952% | 20,000 | 16,917 | |
Cengage Learning, Inc.(b),(l) | ||||
Tranche B 1st Lien Term Loan | ||||
3-month USD LIBOR + 4.750% Floor 1.000% 07/14/2026 | 9.880% | 34,787 | 34,040 | |
UKG, Inc.(b),(l) | ||||
1st Lien Term Loan | ||||
3-month Term SOFR + 3.250% Floor 0.500% 05/04/2026 | 8.271% | 19,380 | 18,998 | |
2nd Lien Term Loan | ||||
3-month Term SOFR + 5.250% Floor 0.500% 05/03/2027 | 10.271% | 38,000 | 36,751 | |
Total | 137,195 | |||
Total Senior Loans (Cost $144,453) | 137,195 | |||
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2023 | 21 |
June 30, 2023 (Unaudited)
Treasury Bills 2.4% | ||||
Issuer | Yield | Principal Amount ($) | Value ($) | |
United States 2.4% | ||||
U.S. Treasury Bills | ||||
01/25/2024 | 5.170% | 2,000,000 | 1,942,524 | |
Total Treasury Bills (Cost $1,945,296) | 1,942,524 |
Money Market Funds 4.1% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(m),(n) | 3,311,971 | 3,310,646 |
Total Money Market Funds (Cost $3,310,493) | 3,310,646 | |
Total Investments in Securities (Cost $86,128,395) | 78,191,670 | |
Other Assets & Liabilities, Net | 2,646,325 | |
Net Assets | $80,837,995 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
18,787,000 EUR | 20,094,106 USD | Citi | 07/13/2023 | — | (415,135) |
2,710,000 GBP | 3,364,463 USD | Citi | 07/13/2023 | — | (77,454) |
10,000,000 HUF | 28,695 USD | HSBC | 07/13/2023 | — | (528) |
29,226 USD | 10,000,000 HUF | HSBC | 07/13/2023 | — | (4) |
Total | — | (493,121) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 10-Year Note | 83 | 09/2023 | USD | 9,318,047 | — | (177,178) |
U.S. Treasury Ultra Bond | 35 | 09/2023 | USD | 4,767,656 | 43,412 | — |
Total | 43,412 | (177,178) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Euro-Bund | (16) | 09/2023 | EUR | (2,139,840) | 20,689 | — |
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America High Yield Index, Series 40 | Morgan Stanley | 06/20/2028 | 5.000 | Quarterly | 4.262 | USD | 800,000 | 25,986 | — | — | 25,986 | — |
22 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2023 |
June 30, 2023 (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, 2023, the total value of these securities amounted to $55,650,681, which represents 68.84% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of June 30, 2023. |
(c) | Valuation based on significant unobservable inputs. |
(d) | Principal amounts are denominated in United States Dollars unless otherwise noted. |
(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, 2023. |
(f) | Represents a security in default. |
(g) | Perpetual security with no specified maturity date. |
(h) | Payment-in-kind security. Interest can be paid by issuing additional par of the security or in cash. |
(i) | Principal and interest may not be guaranteed by a governmental entity. |
(j) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
(k) | 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, 2023. |
(l) | The stated interest rate represents the weighted average interest rate at June 30, 2023 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. |
(m) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
(n) | 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, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | ||||||||
4,088,945 | 18,632,875 | (19,410,831) | (343) | 3,310,646 | (508) | 88,301 | 3,311,971 |
CMO | Collateralized Mortgage Obligation |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing Rate |
EUR | Euro |
GBP | British Pound |
HUF | Hungarian Forint |
MXN | Mexican Peso |
USD | US Dollar |
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2023 | 23 |
June 30, 2023 (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 | — | 5,728,761 | 337,186 | 6,065,947 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 1,742,669 | — | 1,742,669 |
Convertible Bonds | — | 14,210 | — | 14,210 |
Corporate Bonds & Notes | — | 43,791,643 | — | 43,791,643 |
Foreign Government Obligations | — | 11,256,627 | — | 11,256,627 |
Residential Mortgage-Backed Securities - Agency | — | 767,652 | — | 767,652 |
Residential Mortgage-Backed Securities - Non-Agency | — | 8,662,557 | 500,000 | 9,162,557 |
Senior Loans | — | 137,195 | — | 137,195 |
Treasury Bills | — | 1,942,524 | — | 1,942,524 |
Money Market Funds | 3,310,646 | — | — | 3,310,646 |
Total Investments in Securities | 3,310,646 | 74,043,838 | 837,186 | 78,191,670 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 64,101 | — | — | 64,101 |
Swap Contracts | — | 25,986 | — | 25,986 |
Liability | ||||
Forward Foreign Currency Exchange Contracts | — | (493,121) | — | (493,121) |
Futures Contracts | (177,178) | — | — | (177,178) |
Total | 3,197,569 | 73,576,703 | 837,186 | 77,611,458 |
24 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Derivative instruments are valued at unrealized appreciation (depreciation).
Balance as of 12/31/2022 ($) | Increase (decrease) in accrued discounts/ premiums ($) | Realized gain (loss) ($) | Change in unrealized appreciation (depreciation)(a) ($) | Purchases ($) | Sales ($) | Transfers into Level 3 ($) | Transfers out of Level 3 ($) | Balance as of 06/30/2023 ($) | |
Asset-Backed Securities — Non-Agency | — | 1,302 | — | (172) | 445,464 | (109,408) | — | — | 337,186 |
Residential Mortgage-Backed Securities — Non-Agency | 500,000 | — | — | — | — | — | — | — | 500,000 |
Total | 500,000 | 1,302 | — | (172) | 445,464 | (109,408) | — | — | 837,186 |
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2023 | 25 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $82,817,902) | $74,881,024 |
Affiliated issuers (cost $3,310,493) | 3,310,646 |
Cash | 554 |
Foreign currency (cost $1,540,586) | 1,574,636 |
Margin deposits on: | |
Futures contracts | 483,173 |
Swap contracts | 74,482 |
Receivable for: | |
Investments sold | 325,499 |
Capital shares sold | 44,750 |
Dividends | 17,850 |
Interest | 758,671 |
Foreign tax reclaims | 2,006 |
Variation margin for futures contracts | 55,422 |
Variation margin for swap contracts | 6,367 |
Expense reimbursement due from Investment Manager | 642 |
Prepaid expenses | 3,804 |
Total assets | 81,539,526 |
Liabilities | |
Unrealized depreciation on forward foreign currency exchange contracts | 493,121 |
Payable for: | |
Investments purchased | 1,862 |
Capital shares redeemed | 46,058 |
Variation margin for futures contracts | 1,746 |
Management services fees | 1,436 |
Distribution and/or service fees | 310 |
Service fees | 4,018 |
Compensation of board members | 120,792 |
Compensation of chief compliance officer | 7 |
Other expenses | 32,181 |
Total liabilities | 701,531 |
Net assets applicable to outstanding capital stock | $80,837,995 |
Represented by | |
Paid in capital | 97,368,396 |
Total distributable earnings (loss) | (16,530,401) |
Total - representing net assets applicable to outstanding capital stock | $80,837,995 |
Class 1 | |
Net assets | $9,719 |
Shares outstanding | 1,316 |
Net asset value per share | $7.39 |
Class 2 | |
Net assets | $9,889,058 |
Shares outstanding | 1,363,310 |
Net asset value per share | $7.25 |
Class 3 | |
Net assets | $70,939,218 |
Shares outstanding | 9,679,250 |
Net asset value per share | $7.33 |
26 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — affiliated issuers | $88,301 |
Interest | 1,930,797 |
Foreign taxes withheld | (1,430) |
Total income | 2,017,668 |
Expenses: | |
Management services fees | 264,878 |
Distribution and/or service fees | |
Class 2 | 12,549 |
Class 3 | 44,658 |
Service fees | 24,506 |
Compensation of board members | 7,830 |
Custodian fees | 17,584 |
Printing and postage fees | 10,352 |
Accounting services fees | 20,146 |
Legal fees | 6,445 |
Compensation of chief compliance officer | 7 |
Other | 3,684 |
Total expenses | 412,639 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (96,248) |
Total net expenses | 316,391 |
Net investment income | 1,701,277 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (1,628,373) |
Investments — affiliated issuers | (508) |
Foreign currency translations | 54,772 |
Forward foreign currency exchange contracts | 216,607 |
Futures contracts | (180,883) |
Swap contracts | (215,540) |
Net realized loss | (1,753,925) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 3,452,010 |
Investments — affiliated issuers | (343) |
Foreign currency translations | (22,183) |
Forward foreign currency exchange contracts | (504,437) |
Futures contracts | 63,277 |
Swap contracts | 200,047 |
Net change in unrealized appreciation (depreciation) | 3,188,371 |
Net realized and unrealized gain | 1,434,446 |
Net increase in net assets resulting from operations | $3,135,723 |
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2023 | 27 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment income | $1,701,277 | $2,874,285 |
Net realized loss | (1,753,925) | (2,677,091) |
Net change in unrealized appreciation (depreciation) | 3,188,371 | (13,720,830) |
Net increase (decrease) in net assets resulting from operations | 3,135,723 | (13,523,636) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (315) | (332) |
Class 2 | (308,707) | (326,275) |
Class 3 | (2,268,288) | (2,643,493) |
Total distributions to shareholders | (2,577,310) | (2,970,100) |
Decrease in net assets from capital stock activity | (284,575) | (5,573,683) |
Total increase (decrease) in net assets | 273,838 | (22,067,419) |
Net assets at beginning of period | 80,564,157 | 102,631,576 |
Net assets at end of period | $80,837,995 | $80,564,157 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Distributions reinvested | 43 | 315 | 42 | 332 |
Net increase | 43 | 315 | 42 | 332 |
Class 2 | ||||
Shares sold | 71,912 | 523,628 | 180,558 | 1,368,299 |
Distributions reinvested | 42,876 | 308,707 | 41,458 | 326,275 |
Shares redeemed | (132,784) | (969,317) | (153,890) | (1,164,857) |
Net increase (decrease) | (17,996) | (136,982) | 68,126 | 529,717 |
Class 3 | ||||
Shares sold | 92,223 | 681,740 | 102,644 | 770,494 |
Distributions reinvested | 312,007 | 2,268,288 | 332,515 | 2,643,493 |
Shares redeemed | (418,486) | (3,097,936) | (1,242,935) | (9,517,719) |
Net decrease | (14,256) | (147,908) | (807,776) | (6,103,732) |
Total net decrease | (32,209) | (284,575) | (739,608) | (5,573,683) |
28 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2023 |
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2023 | 29 |
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 6/30/2023 (Unaudited) | $7.34 | 0.16 | 0.14 | — | 0.30 | (0.25) | (0.25) |
Year Ended 12/31/2022 | $8.77 | 0.26 | (1.42) | — | (1.16) | (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(d) | 0.90 | — | — |
Year Ended 12/31/2018 | $9.03 | 0.29 | (0.74) | — | (0.45) | (0.37) | (0.37) |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $7.21 | 0.15 | 0.12 | — | 0.27 | (0.23) | (0.23) |
Year Ended 12/31/2022 | $8.61 | 0.24 | (1.39) | — | (1.15) | (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(d) | 0.87 | — | — |
Year Ended 12/31/2018 | $8.91 | 0.26 | (0.73) | — | (0.47) | (0.35) | (0.35) |
Class 3 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $7.28 | 0.15 | 0.14 | — | 0.29 | (0.24) | (0.24) |
Year Ended 12/31/2022 | $8.70 | 0.25 | (1.41) | — | (1.16) | (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(d) | 0.89 | — | — |
Year Ended 12/31/2018 | $8.98 | 0.28 | (0.74) | — | (0.46) | (0.36) | (0.36) |
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) | Ratios include interest on collateral expense which is less than 0.01%. |
(d) | Rounds to zero. |
(e) | 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%. |
30 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2023 |
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 6/30/2023 (Unaudited) | $7.39 | 4.08% | 0.87% | 0.64% | 4.33% | 19% | $10 |
Year Ended 12/31/2022 | $7.34 | (13.49%) | 0.87%(c) | 0.64%(c) | 3.42% | 31% | $9 |
Year Ended 12/31/2021 | $8.77 | 1.37% | 0.89%(c) | 0.61%(c) | 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%(e) | 0.87% | 0.59% | 3.27% | 57% | $10 |
Year Ended 12/31/2018 | $8.21 | (5.20%) | 0.86%(c) | 0.64%(c) | 3.34% | 86% | $9 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $7.25 | 3.75% | 1.12% | 0.89% | 4.06% | 19% | $9,889 |
Year Ended 12/31/2022 | $7.21 | (13.63%) | 1.12%(c) | 0.89%(c) | 3.17% | 31% | $9,953 |
Year Ended 12/31/2021 | $8.61 | 1.03% | 1.14%(c) | 0.86%(c) | 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%(e) | 1.12% | 0.84% | 3.01% | 57% | $10,750 |
Year Ended 12/31/2018 | $8.09 | (5.51%) | 1.10%(c) | 0.89%(c) | 3.08% | 86% | $9,512 |
Class 3 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $7.33 | 3.99% | 1.00% | 0.76% | 4.19% | 19% | $70,939 |
Year Ended 12/31/2022 | $7.28 | (13.60%) | 0.99%(c) | 0.76%(c) | 3.28% | 31% | $70,602 |
Year Ended 12/31/2021 | $8.70 | 1.14% | 1.01%(c) | 0.74%(c) | 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%(e) | 1.00% | 0.72% | 3.14% | 57% | $102,668 |
Year Ended 12/31/2018 | $8.16 | (5.34%) | 0.97%(c) | 0.76%(c) | 3.25% | 86% | $104,256 |
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2023 | 31 |
June 30, 2023 (Unaudited)
32 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2023 | 33 |
June 30, 2023 (Unaudited)
34 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2023 | 35 |
June 30, 2023 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 25,986* |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 64,101* |
Total | 90,087 |
36 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 493,121 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 177,178* |
Total | 670,299 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin for futures and centrally cleared swaps, if any, is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | (215,540) | (215,540) |
Foreign exchange risk | 216,607 | — | — | 216,607 |
Interest rate risk | — | (180,883) | — | (180,883) |
Total | 216,607 | (180,883) | (215,540) | (179,816) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 200,047 | 200,047 |
Foreign exchange risk | (504,437) | — | — | (504,437) |
Interest rate risk | — | 63,277 | — | 63,277 |
Total | (504,437) | 63,277 | 200,047 | (241,113) |
Derivative instrument | Average notional amounts ($) |
Futures contracts — long | 16,178,008* |
Futures contracts — short | 1,167,497* |
Credit default swap contracts — buy protection | 1,190,659** |
Credit default swap contracts — sell protection | 800,000* |
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 29,015 | (252,631) |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2023. |
** | Based on the ending daily outstanding amounts for the six months ended June 30, 2023. |
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2023 | 37 |
June 30, 2023 (Unaudited)
38 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Citi ($) | HSBC ($) | Morgan Stanley ($) | Total ($) | |
Assets | ||||
Centrally cleared credit default swap contracts (a) | — | — | 6,367 | 6,367 |
Liabilities | ||||
Forward foreign currency exchange contracts | 492,589 | 532 | — | 493,121 |
Total financial and derivative net assets | (492,589) | (532) | 6,367 | (486,754) |
Total collateral received (pledged) (b) | — | — | — | — |
Net amount (c) | (492,589) | (532) | 6,367 | (486,754) |
(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 2023 | 39 |
June 30, 2023 (Unaudited)
40 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2023 | 41 |
June 30, 2023 (Unaudited)
May 1, 2023 through April 30, 2024 | Prior to May 1, 2023 | |
Class 1 | 0.59% | 0.66% |
Class 2 | 0.84 | 0.91 |
Class 3 | 0.715 | 0.785 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
86,128,000 | 431,000 | (8,948,000) | (8,517,000) |
42 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
(2,202,288) | (5,839,623) | (8,041,911) |
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2023 | 43 |
June 30, 2023 (Unaudited)
44 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2023 | 45 |
June 30, 2023 (Unaudited)
46 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2023 | 47 |
• | 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. |
48 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2023 |
(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 one or more 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 2023 | 49 |
(Unaudited)
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
50 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2023 |
(Unaudited)
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 2023 | 51 |
June 30, 2023 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | 2.06 | -2.71 | 1.02 | 1.84 | |
Class 2 | 05/03/10 | 1.82 | -3.03 | 0.78 | 1.59 | |
Class 3 | 10/13/81 | 1.93 | -2.86 | 0.88 | 1.71 | |
Bloomberg U.S. Aggregate Bond Index | 2.09 | -0.94 | 0.77 | 1.52 |
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2023) | |
Asset-Backed Securities — Agency | 0.0(a) |
Asset-Backed Securities — Non-Agency | 13.5 |
Call Option Contracts Purchased | 0.1 |
Commercial Mortgage-Backed Securities - Agency | 1.2 |
Commercial Mortgage-Backed Securities - Non-Agency | 5.4 |
Convertible Bonds | 0.0(a) |
Corporate Bonds & Notes | 21.1 |
Foreign Government Obligations | 2.8 |
Money Market Funds | 4.9 |
Residential Mortgage-Backed Securities - Agency | 30.7 |
Residential Mortgage-Backed Securities - Non-Agency | 19.2 |
Senior Loans | 0.2 |
U.S. Treasury Obligations | 0.9 |
Total | 100.0 |
(a) | Rounds to zero. |
Quality breakdown (%) (at June 30, 2023) | |
AAA rating | 39.8 |
AA rating | 7.8 |
A rating | 15.8 |
BBB rating | 19.6 |
BB rating | 5.3 |
B rating | 3.4 |
CCC rating | 1.1 |
CC rating | 0.0 |
Not rated | 7.2 |
Total | 100.0 |
Market exposure through derivatives investments (% of notional exposure) (at June 30, 2023)(a) | |||
Long | Short | Net | |
Fixed Income Derivative Contracts | 279.6 | (178.7) | 100.9 |
Foreign Currency Derivative Contracts | — | (0.9) | (0.9) |
Total Notional Market Value of Derivative Contracts | 279.6 | (179.6) | 100.0 |
4 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | |||||||
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 | 1,020.60 | 1,022.39 | 2.57 | 2.57 | 0.51 |
Class 2 | 1,000.00 | 1,000.00 | 1,018.20 | 1,021.14 | 3.82 | 3.83 | 0.76 |
Class 3 | 1,000.00 | 1,000.00 | 1,019.30 | 1,021.79 | 3.17 | 3.18 | 0.63 |
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (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% | 116,047 | 106,842 | |
Total Asset-Backed Securities — Agency (Cost $117,690) | 106,842 | |||
Asset-Backed Securities — Non-Agency 15.2% | ||||
ACM Auto Trust(a),(b) | ||||
Series 2023-2A Class A | ||||
06/20/2030 | 7.970% | 12,250,000 | 12,248,775 | |
Affirm Asset Securitization Trust(a) | ||||
Series 2023-A Class A | ||||
01/18/2028 | 6.610% | 10,000,000 | 10,004,682 | |
Ares XLVI CLO Ltd.(a),(c) | ||||
Series 2017-46A Class B1 | ||||
3-month USD LIBOR + 1.350% Floor 1.350% 01/15/2030 | 6.610% | 18,020,000 | 17,530,162 | |
Bain Capital Credit CLO Ltd.(a),(c) | ||||
Series 2018-1A Class B | ||||
3-month USD LIBOR + 1.400% 04/23/2031 | 6.673% | 22,300,000 | 21,382,400 | |
Series 2020-3A Class DR | ||||
3-month USD LIBOR + 3.250% Floor 3.250% 10/23/2034 | 8.523% | 5,000,000 | 4,501,635 | |
Series 2020-4A Class D | ||||
3-month USD LIBOR + 4.250% Floor 4.250% 10/20/2033 | 9.500% | 7,000,000 | 6,811,000 | |
Carlyle Group LP(a),(c) | ||||
Series 2017-5A Class A2 | ||||
3-month USD LIBOR + 1.400% 01/20/2030 | 6.650% | 12,000,000 | 11,623,008 | |
Cent CLO Ltd.(a),(c) | ||||
Series 2018-C17A Class A2R | ||||
3-month USD LIBOR + 1.600% Floor 1.600% 04/30/2031 | 6.899% | 21,000,000 | 20,493,522 | |
Dryden CLO Ltd.(a),(c) | ||||
Series 2018-57A Class B | ||||
3-month USD LIBOR + 1.350% Floor 1.350% 05/15/2031 | 6.671% | 14,617,500 | 14,171,447 | |
DT Auto Owner Trust(a) | ||||
Series 2023-2A Class A | ||||
04/15/2027 | 5.880% | 10,604,408 | 10,575,235 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Exeter Automobile Receivables Trust | ||||
Subordinated Series 2023-3A Class B | ||||
09/15/2027 | 6.110% | 4,100,000 | 4,090,187 | |
GLS Auto Receivables Issuer Trust(a) | ||||
Subordinated Series 2022-1A-B Class B | ||||
05/15/2026 | 2.840% | 6,650,000 | 6,485,227 | |
Goldentree Loan Opportunities XI Ltd.(a),(c) | ||||
Series 2015-11A Class BR2 | ||||
3-month USD LIBOR + 1.350% 01/18/2031 | 6.612% | 10,000,000 | 9,801,270 | |
LendingPoint Asset Securitization Trust(a) | ||||
Subordinated Series 2022-A Class C | ||||
06/15/2029 | 2.820% | 5,390,000 | 5,180,236 | |
LL ABS Trust(a) | ||||
Series 2021-1A Class A | ||||
05/15/2029 | 1.070% | 1,723,156 | 1,681,626 | |
LP LMS Asset Securitization Trust(a) | ||||
Series 2021-2A Class A | ||||
01/15/2029 | 1.750% | 3,918,255 | 3,830,803 | |
Lucali CLO Ltd.(a),(c) | ||||
Series 2020-1A Class D | ||||
3-month USD LIBOR + 3.600% Floor 3.600% 01/15/2033 | 8.860% | 9,750,000 | 9,280,343 | |
Madison Park Funding XLVII Ltd.(a),(c) | ||||
Series 2020-47A Class D | ||||
3-month USD LIBOR + 4.100% Floor 4.000% 01/19/2034 | 9.265% | 13,175,000 | 13,062,301 | |
Madison Park Funding XXVII Ltd.(a),(c) | ||||
Series 2018-27A Class A2 | ||||
3-month USD LIBOR + 1.350% 04/20/2030 | 6.600% | 11,300,000 | 11,017,782 | |
Marlette Funding Trust(a) | ||||
Series 2020-2A Class D | ||||
09/16/2030 | 4.650% | 2,615,786 | 2,568,543 | |
Series 2023-2A Class A | ||||
06/15/2033 | 6.040% | 7,929,251 | 7,904,531 | |
Octagon Investment Partners 35 Ltd.(a),(c) | ||||
Series 2018-1A Class A2 | ||||
3-month USD LIBOR + 1.400% Floor 1.400% 01/20/2031 | 6.650% | 20,375,000 | 19,819,598 | |
Octagon Investment Partners XXII Ltd.(a),(c) | ||||
Series 2014-1A Class BRR | ||||
3-month USD LIBOR + 1.450% Floor 1.450% 01/22/2030 | 6.723% | 45,625,000 | 44,746,034 |
6 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Oportun Issuance Trust(a) | ||||
Series 2021-B Class A | ||||
05/08/2031 | 1.470% | 27,500,000 | 24,853,939 | |
Subordinated Series 2021-B Class B | ||||
05/08/2031 | 1.960% | 3,065,000 | 2,698,134 | |
OZLM Funding IV Ltd.(a),(c) | ||||
Series 2013-4A Class D2R | ||||
3-month USD LIBOR + 7.250% Floor 7.250% 10/22/2030 | 12.523% | 1,962,500 | 1,700,190 | |
OZLM XXI(a),(c) | ||||
Series 2017-21A Class A2 | ||||
3-month USD LIBOR + 1.450% 01/20/2031 | 6.700% | 20,000,000 | 19,268,000 | |
Pagaya AI Debt Selection Trust(a) | ||||
Series 2021-1 Class A | ||||
11/15/2027 | 1.180% | 420,083 | 419,301 | |
Series 2021-3 Class A | ||||
05/15/2029 | 1.150% | 4,992,890 | 4,944,804 | |
Series 2021-5 Class A | ||||
08/15/2029 | 1.530% | 4,680,365 | 4,593,543 | |
Subordinated Series 2021-3 Class B | ||||
05/15/2029 | 1.740% | 9,049,507 | 8,543,606 | |
Subordinated Series 2021-5 Class B | ||||
08/15/2029 | 2.630% | 10,998,704 | 10,173,479 | |
Pagaya AI Debt Trust(a) | ||||
Series 2022-1 Class A | ||||
10/15/2029 | 2.030% | 8,184,017 | 7,967,255 | |
Series 2022-2 Class A | ||||
01/15/2030 | 4.970% | 5,351,120 | 5,252,992 | |
Series 2023-1 Class A | ||||
07/15/2030 | 7.556% | 14,526,038 | 14,537,979 | |
Series 2023-3 Class A | ||||
12/16/2030 | 7.600% | 17,213,356 | 17,238,671 | |
Subordinated Series 2022-1 Class B | ||||
10/15/2029 | 3.344% | 16,697,792 | 15,463,880 | |
Subordinated Series 2022-3 Class B | ||||
03/15/2030 | 8.050% | 8,999,127 | 8,958,091 | |
PAGAYA AI Debt Trust(a),(d) | ||||
Subordinated Series 2022-3 Class AB | ||||
03/15/2030 | 6.476% | 3,571,539 | 3,552,836 | |
Research-Driven Pagaya Motor Asset Trust IV(a) | ||||
Series 2021-2A Class A | ||||
03/25/2030 | 2.650% | 6,209,022 | 5,476,977 | |
RR 3 Ltd.(a),(c) | ||||
Series 2014-14A Class A2R2 | ||||
3-month USD LIBOR + 1.400% Floor 1.400% 01/15/2030 | 6.660% | 28,000,000 | 27,370,140 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Stewart Park CLO Ltd.(a),(c) | ||||
Series 2017-1A Class BR | ||||
3-month USD LIBOR + 1.370% Floor 1.370% 01/15/2030 | 6.630% | 11,171,429 | 10,859,567 | |
Theorem Funding Trust(a) | ||||
Series 2021-1A Class A | ||||
12/15/2027 | 1.210% | 1,029,063 | 1,022,960 | |
Upstart Pass-Through Trust(a) | ||||
Series 2020-ST6 Class A | ||||
01/20/2027 | 3.000% | 2,520,916 | 2,453,371 | |
Series 2021-ST1 Class A | ||||
02/20/2027 | 2.750% | 3,687,243 | 3,533,951 | |
Series 2021-ST10 Class A | ||||
01/20/2030 | 2.250% | 7,353,399 | 7,015,987 | |
Upstart Securitization Trust(a) | ||||
Series 2021-3 Class A | ||||
07/20/2031 | 0.830% | 1,358,169 | 1,344,635 | |
Series 2021-4 Class A | ||||
09/20/2031 | 0.840% | 4,229,964 | 4,174,056 | |
Series 2023-1 Class A | ||||
02/20/2033 | 6.590% | 6,285,277 | 6,263,798 | |
Subordinated Series 2021-3 Class B | ||||
07/20/2031 | 1.660% | 9,050,000 | 8,724,902 | |
Subordinated Series 2021-4 Class B | ||||
09/20/2031 | 1.840% | 11,370,000 | 10,691,959 | |
Upstart Securitization Trust(a),(b) | ||||
Series 2023-2 Class A | ||||
06/20/2033 | 6.770% | 11,900,000 | 11,881,995 | |
Total Asset-Backed Securities — Non-Agency (Cost $535,524,621) | 519,791,345 | |||
Commercial Mortgage-Backed Securities - Agency 1.4% | ||||
Federal National Mortgage Association(d) | ||||
Series 2017-M15 Class ATS2 | ||||
11/25/2027 | 3.205% | 44,818,771 | 42,182,777 | |
FRESB Mortgage Trust(d) | ||||
Series 2018-SB45 Class A10F (FHLMC) | ||||
11/25/2027 | 3.160% | 6,321,835 | 5,957,628 | |
Total Commercial Mortgage-Backed Securities - Agency (Cost $51,410,812) | 48,140,405 | |||
Commercial Mortgage-Backed Securities - Non-Agency 6.2% | ||||
American Homes 4 Rent Trust(a) | ||||
Series 2014-SFR3 Class A | ||||
12/17/2036 | 3.678% | 2,111,933 | 2,036,236 | |
BAMLL Commercial Mortgage Securities Trust(a),(d) | ||||
Series 2013-WBRK Class A | ||||
03/10/2037 | 3.652% | 5,550,000 | 4,943,059 |
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 | 7 |
June 30, 2023 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
BBCMS Trust(a),(c) | ||||
Subordinated Series 2018-BXH Class E | ||||
1-month USD LIBOR + 2.250% Floor 2.250% 10/15/2037 | 7.443% | 10,581,000 | 10,086,036 | |
BHMS Mortgage Trust(a),(c) | ||||
Series 2018-ATLS Class A | ||||
1-month USD LIBOR + 1.250% Floor 1.250% 07/15/2035 | 6.444% | 5,000,000 | 4,863,158 | |
Braemar Hotels & Resorts Trust(a),(c) | ||||
Series 2018-PRME Class E | ||||
1-month USD LIBOR + 2.400% Floor 2.400% 06/15/2035 | 7.594% | 6,310,000 | 5,880,816 | |
Subordinated Series 2018-PRME Class D | ||||
1-month USD LIBOR + 1.800% Floor 1.925% 06/15/2035 | 6.994% | 6,950,000 | 6,510,159 | |
CLNY Trust(a),(c) | ||||
Subordinated Series 2019-IKPR Class E | ||||
1-month USD LIBOR + 2.721% Floor 2.721% 11/15/2038 | 7.986% | 14,900,000 | 13,670,300 | |
Cold Storage Trust(a),(c) | ||||
Subordinated Series 2020-ICE5 Class F | ||||
1-month USD LIBOR + 3.492% Floor 3.492% 11/15/2037 | 8.686% | 1,327,037 | 1,296,686 | |
COMM Mortgage Trust(a),(d) | ||||
Subordinated Series 2020-CBM Class E | ||||
02/10/2037 | 3.754% | 10,950,000 | 9,837,068 | |
Credit Suisse Mortgage Capital Certificates OA LLC(a) | ||||
Series 2014-USA Class A2 | ||||
09/15/2037 | 3.953% | 15,735,000 | 13,563,655 | |
Subordinated Series 2014-USA Class E | ||||
09/15/2037 | 4.373% | 19,065,000 | 10,300,038 | |
Subordinated Series 2014-USA Class F | ||||
09/15/2037 | 4.373% | 16,000,000 | 6,454,739 | |
Extended Stay America Trust(a),(c) | ||||
Series 2021-ESH Class D | ||||
1-month USD LIBOR + 2.250% Floor 2.250% 07/15/2038 | 7.443% | 9,637,379 | 9,366,531 | |
Hilton USA Trust(a),(d) | ||||
Subordinated Series 2016-HHV Class F | ||||
11/04/2038 | 4.333% | 4,500,000 | 3,961,193 | |
Hilton USA Trust(a) | ||||
Subordinated Series 2016-SFP Class E | ||||
11/05/2035 | 5.519% | 10,901,000 | 7,804,575 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Morgan Stanley Capital I Trust(a),(d) | ||||
Series 2019-MEAD Class E | ||||
11/10/2036 | 3.283% | 13,400,000 | 11,787,504 | |
One New York Plaza Trust(a),(c) | ||||
Subordinated Series 2020-1NYP Class C | ||||
1-month USD LIBOR + 2.200% Floor 2.200% 01/15/2036 | 7.393% | 6,600,000 | 5,649,450 | |
Subordinated Series 2020-1NYP Class D | ||||
1-month USD LIBOR + 2.750% Floor 2.750% 01/15/2036 | 7.943% | 4,150,000 | 3,263,516 | |
Progress Residential Trust(a) | ||||
Series 2020-SFR1 Class E | ||||
04/17/2037 | 3.032% | 19,775,000 | 18,357,835 | |
Series 2020-SFR3 Class A | ||||
10/17/2027 | 1.294% | 7,971,982 | 7,182,923 | |
Subordinated Series 2019-SFR3 Class F | ||||
09/17/2036 | 3.867% | 2,775,000 | 2,643,403 | |
Subordinated Series 2019-SFR4 Class F | ||||
10/17/2036 | 3.684% | 1,735,000 | 1,656,116 | |
Subordinated Series 2020-SFR2 Class E | ||||
06/17/2037 | 5.115% | 5,900,000 | 5,675,526 | |
SFO Commercial Mortgage Trust(a),(c) | ||||
Series 2021-555 Class A | ||||
1-month USD LIBOR + 1.150% Floor 1.150% 05/15/2038 | 6.343% | 22,000,000 | 19,140,981 | |
UBS Commercial Mortgage Trust(a),(c) | ||||
Series 2018-NYCH Class B | ||||
1-month USD LIBOR + 1.250% Floor 1.250% 02/15/2032 | 6.443% | 10,469,000 | 10,145,370 | |
Wells Fargo Commercial Mortgage Trust(a),(c) | ||||
Series 2021-FCMT Class A | ||||
1-month USD LIBOR + 1.200% Floor 1.200% 05/15/2031 | 6.393% | 6,250,000 | 5,981,622 | |
Subordinated Series 2017-SMP Class C | ||||
1-month USD LIBOR + 1.325% Floor 1.200% 12/15/2034 | 6.518% | 9,000,000 | 8,270,295 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $244,811,634) | 210,328,790 | |||
8 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Convertible Bonds 0.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Cable and Satellite 0.0% | ||||
DISH Network Corp. | ||||
Subordinated | ||||
08/15/2026 | 3.375% | 721,000 | 365,908 | |
Total Convertible Bonds (Cost $692,854) | 365,908 | |||
Corporate Bonds & Notes(e) 23.9% | ||||
Aerospace & Defense 0.6% | ||||
Boeing Co. (The) | ||||
08/01/2059 | 3.950% | 14,665,000 | 10,831,788 | |
05/01/2060 | 5.930% | 4,933,000 | 4,883,251 | |
Bombardier, Inc.(a) | ||||
04/15/2027 | 7.875% | 645,000 | 643,488 | |
Howmet Aerospace, Inc. | ||||
01/15/2029 | 3.000% | 1,057,000 | 925,916 | |
Spirit AeroSystems, Inc.(a) | ||||
11/30/2029 | 9.375% | 513,000 | 549,910 | |
TransDigm, Inc.(a) | ||||
03/15/2026 | 6.250% | 2,584,000 | 2,571,392 | |
08/15/2028 | 6.750% | 370,000 | 371,970 | |
TransDigm, Inc. | ||||
06/15/2026 | 6.375% | 1,198,000 | 1,183,229 | |
Total | 21,960,944 | |||
Airlines 0.1% | ||||
Air Canada(a) | ||||
08/15/2026 | 3.875% | 358,000 | 331,894 | |
American Airlines, Inc.(a) | ||||
07/15/2025 | 11.750% | 600,000 | 658,281 | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd.(a) | ||||
04/20/2026 | 5.500% | 1,446,165 | 1,433,601 | |
04/20/2029 | 5.750% | 950,779 | 924,012 | |
Hawaiian Brand Intellectual Property Ltd./Miles Loyalty Ltd.(a) | ||||
01/20/2026 | 5.750% | 960,736 | 909,574 | |
United Airlines, Inc.(a) | ||||
04/15/2026 | 4.375% | 683,000 | 648,932 | |
04/15/2029 | 4.625% | 389,000 | 354,476 | |
Total | 5,260,770 | |||
Automotive 0.3% | ||||
Clarios Global LP/US Finance Co.(a) | ||||
05/15/2028 | 6.750% | 605,000 | 603,908 | |
Ford Motor Co. | ||||
02/12/2032 | 3.250% | 864,000 | 678,512 | |
01/15/2043 | 4.750% | 3,391,000 | 2,603,382 |
Corporate Bonds & Notes(e) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Ford Motor Credit Co. LLC | ||||
11/13/2025 | 3.375% | 325,000 | 302,036 | |
06/10/2026 | 6.950% | 338,000 | 339,728 | |
01/09/2027 | 4.271% | 934,000 | 864,301 | |
08/17/2027 | 4.125% | 334,000 | 304,576 | |
11/04/2027 | 7.350% | 294,000 | 300,863 | |
02/16/2028 | 2.900% | 368,000 | 315,039 | |
02/10/2029 | 2.900% | 2,326,000 | 1,927,454 | |
06/10/2030 | 7.200% | 170,000 | 171,744 | |
Goodyear Tire & Rubber Co. (The) | ||||
07/15/2029 | 5.000% | 357,000 | 321,950 | |
KAR Auction Services, Inc.(a) | ||||
06/01/2025 | 5.125% | 220,000 | 216,119 | |
Panther BF Aggregator 2 LP/Finance Co., Inc.(a) | ||||
05/15/2026 | 6.250% | 424,000 | 420,936 | |
05/15/2027 | 8.500% | 907,000 | 909,378 | |
ZF North America Capital, Inc.(a) | ||||
04/14/2030 | 7.125% | 226,000 | 230,141 | |
Total | 10,510,067 | |||
Banking 6.0% | ||||
Ally Financial, Inc. | ||||
05/21/2024 | 3.875% | 125,000 | 122,198 | |
Subordinated | ||||
11/20/2025 | 5.750% | 219,000 | 210,764 | |
Bank of America Corp.(f) | ||||
07/23/2031 | 1.898% | 22,915,000 | 18,241,895 | |
10/20/2032 | 2.572% | 26,334,000 | 21,434,012 | |
02/04/2033 | 2.972% | 18,020,000 | 15,002,850 | |
Subordinated | ||||
09/21/2036 | 2.482% | 1,348,000 | 1,029,443 | |
Citigroup, Inc.(f) | ||||
06/03/2031 | 2.572% | 4,618,000 | 3,850,995 | |
01/25/2033 | 3.057% | 12,760,000 | 10,643,277 | |
Goldman Sachs Group, Inc. (The)(f) | ||||
07/21/2032 | 2.383% | 11,773,000 | 9,416,673 | |
10/21/2032 | 2.650% | 12,753,000 | 10,388,131 | |
HSBC Holdings PLC(f) | ||||
05/24/2032 | 2.804% | 4,366,000 | 3,534,034 | |
11/22/2032 | 2.871% | 18,238,000 | 14,733,976 | |
03/09/2034 | 6.254% | 6,498,000 | 6,657,744 | |
JPMorgan Chase & Co.(f) | ||||
10/15/2030 | 2.739% | 7,987,000 | 6,883,524 | |
04/22/2032 | 2.580% | 21,727,000 | 18,040,650 | |
11/08/2032 | 2.545% | 17,701,000 | 14,486,365 | |
Morgan Stanley(f) | ||||
07/21/2032 | 2.239% | 4,533,000 | 3,603,093 | |
Subordinated | ||||
09/16/2036 | 2.484% | 1,860,000 | 1,407,834 |
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 | 9 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes(e) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
PNC Financial Services Group, Inc. (The)(f) | ||||
06/12/2029 | 5.582% | 9,480,000 | 9,437,608 | |
US Bancorp(f) | ||||
06/12/2034 | 5.836% | 2,951,000 | 2,969,540 | |
Wells Fargo & Co.(f) | ||||
10/30/2030 | 2.879% | 609,000 | 526,382 | |
02/11/2031 | 2.572% | 32,216,000 | 27,301,361 | |
04/25/2053 | 4.611% | 3,946,000 | 3,461,525 | |
Total | 203,383,874 | |||
Brokerage/Asset Managers/Exchanges 0.1% | ||||
AG Issuer LLC(a) | ||||
03/01/2028 | 6.250% | 350,000 | 333,495 | |
AG TTMT Escrow Issuer LLC(a) | ||||
09/30/2027 | 8.625% | 357,000 | 366,427 | |
Hightower Holding LLC(a) | ||||
04/15/2029 | 6.750% | 364,000 | 315,084 | |
NFP Corp.(a) | ||||
08/15/2028 | 4.875% | 366,000 | 328,081 | |
08/15/2028 | 6.875% | 2,072,000 | 1,800,035 | |
10/01/2030 | 7.500% | 401,000 | 388,894 | |
Total | 3,532,016 | |||
Building Materials 0.1% | ||||
American Builders & Contractors Supply Co., Inc.(a) | ||||
01/15/2028 | 4.000% | 888,000 | 809,569 | |
11/15/2029 | 3.875% | 460,000 | 395,358 | |
Beacon Roofing Supply, Inc.(a) | ||||
11/15/2026 | 4.500% | 670,000 | 635,938 | |
SRS Distribution, Inc.(a) | ||||
07/01/2028 | 4.625% | 470,000 | 421,226 | |
07/01/2029 | 6.125% | 385,000 | 334,343 | |
12/01/2029 | 6.000% | 515,000 | 444,203 | |
White Cap Buyer LLC(a) | ||||
10/15/2028 | 6.875% | 984,000 | 891,984 | |
Total | 3,932,621 | |||
Cable and Satellite 1.1% | ||||
CCO Holdings LLC/Capital Corp.(a) | ||||
03/01/2030 | 4.750% | 626,000 | 535,642 | |
08/15/2030 | 4.500% | 1,435,000 | 1,195,375 | |
02/01/2031 | 4.250% | 459,000 | 370,801 | |
02/01/2032 | 4.750% | 552,000 | 449,238 | |
CCO Holdings LLC/Capital Corp. | ||||
05/01/2032 | 4.500% | 2,042,000 | 1,624,184 | |
Charter Communications Operating LLC/Capital | ||||
05/01/2047 | 5.375% | 4,412,000 | 3,646,044 | |
12/01/2061 | 4.400% | 8,887,000 | 5,977,819 | |
06/30/2062 | 3.950% | 10,478,000 | 6,456,392 | |
04/01/2063 | 5.500% | 4,975,000 | 3,992,521 |
Corporate Bonds & Notes(e) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CSC Holdings LLC(a) | ||||
02/01/2028 | 5.375% | 789,000 | 636,176 | |
01/15/2030 | 5.750% | 722,000 | 340,894 | |
12/01/2030 | 4.125% | 1,466,000 | 1,029,637 | |
12/01/2030 | 4.625% | 284,000 | 126,433 | |
11/15/2031 | 5.000% | 877,000 | 410,551 | |
DIRECTV Holdings LLC/Financing Co., Inc.(a) | ||||
08/15/2027 | 5.875% | 256,000 | 231,801 | |
DISH DBS Corp. | ||||
07/01/2026 | 7.750% | 466,000 | 285,789 | |
06/01/2029 | 5.125% | 1,327,000 | 619,100 | |
DISH Network Corp.(a) | ||||
11/15/2027 | 11.750% | 1,614,000 | 1,578,345 | |
Radiate Holdco LLC/Finance, Inc.(a) | ||||
09/15/2026 | 4.500% | 672,000 | 536,606 | |
09/15/2028 | 6.500% | 427,000 | 249,253 | |
Sirius XM Radio, Inc.(a) | ||||
09/01/2026 | 3.125% | 552,000 | 497,333 | |
07/01/2030 | 4.125% | 266,000 | 217,310 | |
Videotron Ltd.(a) | ||||
06/15/2029 | 3.625% | 3,204,000 | 2,770,985 | |
Virgin Media Finance PLC(a) | ||||
07/15/2030 | 5.000% | 671,000 | 534,126 | |
Virgin Media Secured Finance PLC(a) | ||||
05/15/2029 | 5.500% | 566,000 | 513,660 | |
VZ Secured Financing BV(a) | ||||
01/15/2032 | 5.000% | 901,000 | 726,660 | |
Ziggo Bond Co. BV(a) | ||||
02/28/2030 | 5.125% | 432,000 | 328,069 | |
Ziggo Bond Finance BV(a) | ||||
01/15/2027 | 6.000% | 419,000 | 385,059 | |
Ziggo BV(a) | ||||
01/15/2030 | 4.875% | 896,000 | 744,715 | |
Total | 37,010,518 | |||
Chemicals 0.3% | ||||
Avient Corp.(a) | ||||
08/01/2030 | 7.125% | 343,000 | 346,928 | |
Axalta Coating Systems LLC(a) | ||||
02/15/2029 | 3.375% | 390,000 | 332,129 | |
Axalta Coating Systems LLC/Dutch Holding B BV(a) | ||||
06/15/2027 | 4.750% | 555,000 | 525,143 | |
Cheever Escrow Issuer LLC(a) | ||||
10/01/2027 | 7.125% | 398,000 | 361,308 | |
Element Solutions, Inc.(a) | ||||
09/01/2028 | 3.875% | 732,000 | 638,780 | |
HB Fuller Co. | ||||
10/15/2028 | 4.250% | 600,000 | 535,664 |
10 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes(e) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Herens Holdco Sarl(a) | ||||
05/15/2028 | 4.750% | 791,000 | 608,631 | |
Illuminate Buyer LLC/Holdings IV, Inc.(a) | ||||
07/01/2028 | 9.000% | 845,000 | 738,365 | |
INEOS Quattro Finance 2 Plc(a) | ||||
01/15/2026 | 3.375% | 571,000 | 521,619 | |
Ingevity Corp.(a) | ||||
11/01/2028 | 3.875% | 492,000 | 420,330 | |
Innophos Holdings, Inc.(a) | ||||
02/15/2028 | 9.375% | 535,000 | 534,640 | |
Iris Holdings, Inc.(a),(g) | ||||
02/15/2026 | 8.750% | 323,000 | 306,691 | |
Olympus Water US Holding Corp.(a) | ||||
10/01/2028 | 4.250% | 442,000 | 349,330 | |
11/15/2028 | 9.750% | 690,000 | 672,852 | |
10/01/2029 | 6.250% | 618,000 | 446,057 | |
SPCM SA(a) | ||||
03/15/2027 | 3.125% | 228,000 | 204,509 | |
Unifrax Escrow Issuer Corp.(a) | ||||
09/30/2028 | 5.250% | 417,000 | 301,057 | |
WR Grace Holdings LLC(a) | ||||
06/15/2027 | 4.875% | 816,000 | 759,818 | |
08/15/2029 | 5.625% | 1,174,000 | 959,417 | |
03/01/2031 | 7.375% | 107,000 | 105,478 | |
Total | 9,668,746 | |||
Construction Machinery 0.0% | ||||
H&E Equipment Services, Inc.(a) | ||||
12/15/2028 | 3.875% | 1,341,000 | 1,164,918 | |
Herc Holdings, Inc.(a) | ||||
07/15/2027 | 5.500% | 162,000 | 155,528 | |
Ritchie Bros Holdings, Inc.(a) | ||||
03/15/2028 | 6.750% | 90,000 | 91,027 | |
03/15/2031 | 7.750% | 226,000 | 235,146 | |
Total | 1,646,619 | |||
Consumer Cyclical Services 0.2% | ||||
APX Group, Inc.(a) | ||||
07/15/2029 | 5.750% | 171,000 | 148,668 | |
Arches Buyer, Inc.(a) | ||||
06/01/2028 | 4.250% | 932,000 | 809,342 | |
12/01/2028 | 6.125% | 635,000 | 547,527 | |
Match Group, Inc.(a) | ||||
12/15/2027 | 5.000% | 451,000 | 422,866 | |
06/01/2028 | 4.625% | 568,000 | 521,525 | |
Staples, Inc.(a) | ||||
04/15/2026 | 7.500% | 353,000 | 290,885 |
Corporate Bonds & Notes(e) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uber Technologies, Inc.(a) | ||||
05/15/2025 | 7.500% | 315,000 | 319,130 | |
09/15/2027 | 7.500% | 424,000 | 434,301 | |
01/15/2028 | 6.250% | 940,000 | 936,510 | |
08/15/2029 | 4.500% | 1,999,000 | 1,839,994 | |
Total | 6,270,748 | |||
Consumer Products 0.1% | ||||
CD&R Smokey Buyer, Inc.(a) | ||||
07/15/2025 | 6.750% | 1,304,000 | 1,216,049 | |
Mattel, Inc.(a) | ||||
12/15/2027 | 5.875% | 380,000 | 373,067 | |
04/01/2029 | 3.750% | 788,000 | 691,909 | |
Mattel, Inc. | ||||
10/01/2040 | 6.200% | 1,049,000 | 941,574 | |
Newell Brands, Inc. | ||||
09/15/2027 | 6.375% | 137,000 | 131,551 | |
09/15/2029 | 6.625% | 194,000 | 186,181 | |
Prestige Brands, Inc.(a) | ||||
01/15/2028 | 5.125% | 470,000 | 448,793 | |
Spectrum Brands, Inc. | ||||
07/15/2025 | 5.750% | 254,000 | 253,898 | |
Spectrum Brands, Inc.(a) | ||||
10/01/2029 | 5.000% | 409,000 | 366,907 | |
07/15/2030 | 5.500% | 83,000 | 75,754 | |
Total | 4,685,683 | |||
Diversified Manufacturing 0.2% | ||||
Chart Industries, Inc.(a) | ||||
01/01/2030 | 7.500% | 234,000 | 238,792 | |
01/01/2031 | 9.500% | 80,000 | 85,359 | |
Emerald Debt Merger Sub LLC(a) | ||||
12/15/2030 | 6.625% | 887,000 | 880,142 | |
Gates Global LLC/Co.(a) | ||||
01/15/2026 | 6.250% | 1,204,000 | 1,188,278 | |
Madison IAQ LLC(a) | ||||
06/30/2028 | 4.125% | 654,000 | 576,010 | |
06/30/2029 | 5.875% | 407,000 | 330,649 | |
Resideo Funding, Inc.(a) | ||||
09/01/2029 | 4.000% | 631,000 | 524,301 | |
Vertical US Newco, Inc.(a) | ||||
07/15/2027 | 5.250% | 571,000 | 527,943 | |
WESCO Distribution, Inc.(a) | ||||
06/15/2025 | 7.125% | 770,000 | 779,042 | |
06/15/2028 | 7.250% | 335,000 | 341,787 | |
Total | 5,472,303 |
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 | 11 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes(e) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Electric 1.4% | ||||
AEP Texas, Inc. | ||||
01/15/2050 | 3.450% | 5,325,000 | 3,838,287 | |
Clearway Energy Operating LLC(a) | ||||
02/15/2031 | 3.750% | 760,000 | 631,082 | |
01/15/2032 | 3.750% | 797,000 | 652,168 | |
Duke Energy Corp. | ||||
08/15/2052 | 5.000% | 3,773,000 | 3,453,094 | |
Duke Energy Ohio, Inc. | ||||
04/01/2053 | 5.650% | 1,261,000 | 1,298,135 | |
Edison International | ||||
11/15/2028 | 5.250% | 8,396,000 | 8,180,595 | |
Emera US Finance LP | ||||
06/15/2046 | 4.750% | 13,116,000 | 10,638,672 | |
FirstEnergy Corp. | ||||
03/01/2050 | 3.400% | 1,926,000 | 1,327,027 | |
Georgia Power Co. | ||||
03/15/2042 | 4.300% | 2,282,000 | 1,967,688 | |
NextEra Energy Operating Partners LP(a) | ||||
07/15/2024 | 4.250% | 631,000 | 619,321 | |
09/15/2027 | 4.500% | 110,000 | 102,219 | |
NRG Energy, Inc.(a) | ||||
02/15/2029 | 3.375% | 322,000 | 264,513 | |
06/15/2029 | 5.250% | 537,000 | 479,567 | |
02/15/2031 | 3.625% | 1,125,000 | 880,093 | |
02/15/2032 | 3.875% | 438,000 | 338,595 | |
Pacific Gas and Electric Co. | ||||
07/01/2050 | 4.950% | 13,660,000 | 10,748,406 | |
TerraForm Power Operating LLC(a) | ||||
01/15/2030 | 4.750% | 731,000 | 645,398 | |
Vistra Operations Co. LLC(a) | ||||
02/15/2027 | 5.625% | 225,000 | 215,691 | |
05/01/2029 | 4.375% | 1,617,000 | 1,415,340 | |
Total | 47,695,891 | |||
Environmental 0.1% | ||||
Clean Harbors, Inc.(a) | ||||
02/01/2031 | 6.375% | 66,000 | 66,447 | |
GFL Environmental, Inc.(a) | ||||
08/01/2025 | 3.750% | 735,000 | 699,677 | |
12/15/2026 | 5.125% | 481,000 | 463,940 | |
08/01/2028 | 4.000% | 612,000 | 548,725 | |
06/15/2029 | 4.750% | 402,000 | 368,832 | |
Waste Pro USA, Inc.(a) | ||||
02/15/2026 | 5.500% | 907,000 | 842,500 | |
Total | 2,990,121 |
Corporate Bonds & Notes(e) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Finance Companies 0.2% | ||||
Navient Corp. | ||||
03/15/2027 | 5.000% | 423,000 | 379,548 | |
OneMain Finance Corp. | ||||
01/15/2027 | 3.500% | 1,056,000 | 908,079 | |
01/15/2029 | 9.000% | 244,000 | 246,098 | |
09/15/2030 | 4.000% | 282,000 | 217,434 | |
Provident Funding Associates LP/Finance Corp.(a) | ||||
06/15/2025 | 6.375% | 471,000 | 415,540 | |
Quicken Loans LLC/Co-Issuer, Inc.(a) | ||||
03/01/2029 | 3.625% | 968,000 | 813,827 | |
Rocket Mortgage LLC/Co-Issuer, Inc.(a) | ||||
10/15/2033 | 4.000% | 3,273,000 | 2,559,860 | |
Springleaf Finance Corp. | ||||
03/15/2024 | 6.125% | 443,000 | 441,419 | |
11/15/2029 | 5.375% | 26,000 | 22,201 | |
Total | 6,004,006 | |||
Food and Beverage 0.9% | ||||
Bacardi Ltd.(a) | ||||
05/15/2048 | 5.300% | 12,645,000 | 11,891,977 | |
Constellation Brands, Inc. | ||||
05/01/2033 | 4.900% | 7,268,000 | 7,136,346 | |
Darling Ingredients, Inc.(a) | ||||
06/15/2030 | 6.000% | 429,000 | 419,228 | |
FAGE International SA/USA Dairy Industry, Inc.(a) | ||||
08/15/2026 | 5.625% | 2,082,000 | 1,968,734 | |
Grupo Bimbo SAB de CV(a) | ||||
06/27/2024 | 3.875% | 2,256,000 | 2,210,126 | |
Lamb Weston Holdings, Inc.(a) | ||||
01/31/2030 | 4.125% | 375,000 | 335,194 | |
01/31/2032 | 4.375% | 373,000 | 332,602 | |
Pilgrim’s Pride Corp.(a) | ||||
09/30/2027 | 5.875% | 971,000 | 958,805 | |
Post Holdings, Inc.(a) | ||||
03/01/2027 | 5.750% | 940,000 | 918,411 | |
09/15/2031 | 4.500% | 897,000 | 765,504 | |
Primo Water Holdings, Inc.(a) | ||||
04/30/2029 | 4.375% | 1,040,000 | 890,541 | |
Simmons Foods, Inc./Prepared Foods, Inc./Pet Food, Inc./Feed(a) | ||||
03/01/2029 | 4.625% | 1,005,000 | 809,812 | |
Triton Water Holdings, Inc.(a) | ||||
04/01/2029 | 6.250% | 175,000 | 149,872 |
12 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes(e) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
US Foods, Inc.(a) | ||||
04/15/2025 | 6.250% | 342,000 | 342,217 | |
02/15/2029 | 4.750% | 535,000 | 491,050 | |
06/01/2030 | 4.625% | 377,000 | 337,683 | |
Total | 29,958,102 | |||
Gaming 0.4% | ||||
Boyd Gaming Corp.(a) | ||||
06/15/2031 | 4.750% | 589,000 | 526,521 | |
Caesars Entertainment, Inc.(a) | ||||
10/15/2029 | 4.625% | 1,518,000 | 1,325,227 | |
02/15/2030 | 7.000% | 666,000 | 669,242 | |
Churchill Downs, Inc.(a) | ||||
05/01/2031 | 6.750% | 203,000 | 201,013 | |
Colt Merger Sub, Inc.(a) | ||||
07/01/2025 | 5.750% | 924,000 | 934,988 | |
07/01/2025 | 6.250% | 1,994,000 | 1,985,155 | |
07/01/2027 | 8.125% | 1,167,000 | 1,192,955 | |
International Game Technology PLC(a) | ||||
02/15/2025 | 6.500% | 305,000 | 305,866 | |
04/15/2026 | 4.125% | 548,000 | 520,136 | |
MGM Resorts International | ||||
09/01/2026 | 4.625% | 957,000 | 903,351 | |
Midwest Gaming Borrower LLC(a) | ||||
05/01/2029 | 4.875% | 660,000 | 584,596 | |
Penn National Gaming, Inc.(a) | ||||
01/15/2027 | 5.625% | 461,000 | 433,230 | |
07/01/2029 | 4.125% | 730,000 | 598,421 | |
Scientific Games Holdings LP/US FinCo, Inc.(a) | ||||
03/01/2030 | 6.625% | 1,148,000 | 1,010,391 | |
Scientific Games International, Inc.(a) | ||||
11/15/2029 | 7.250% | 644,000 | 646,662 | |
Wynn Las Vegas LLC/Capital Corp.(a) | ||||
03/01/2025 | 5.500% | 311,000 | 305,888 | |
Wynn Resorts Finance LLC/Capital Corp.(a) | ||||
10/01/2029 | 5.125% | 241,000 | 216,084 | |
Total | 12,359,726 | |||
Health Care 0.7% | ||||
Acadia Healthcare Co., Inc.(a) | ||||
07/01/2028 | 5.500% | 233,000 | 222,782 | |
04/15/2029 | 5.000% | 692,000 | 642,567 | |
AdaptHealth LLC(a) | ||||
08/01/2029 | 4.625% | 121,000 | 96,631 | |
03/01/2030 | 5.125% | 873,000 | 709,701 | |
Avantor Funding, Inc.(a) | ||||
07/15/2028 | 4.625% | 574,000 | 532,043 | |
11/01/2029 | 3.875% | 1,000,000 | 876,796 |
Corporate Bonds & Notes(e) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Becton Dickinson Euro Finance SARL | ||||
08/13/2041 | 1.336% | EUR | 1,145,000 | 798,499 |
Catalent Pharma Solutions, Inc.(a) | ||||
04/01/2030 | 3.500% | 152,000 | 123,121 | |
Charles River Laboratories International, Inc.(a) | ||||
03/15/2029 | 3.750% | 423,000 | 373,804 | |
03/15/2031 | 4.000% | 128,000 | 111,739 | |
CHS/Community Health Systems, Inc.(a) | ||||
04/15/2029 | 6.875% | 489,000 | 305,346 | |
05/15/2030 | 5.250% | 1,600,000 | 1,265,465 | |
GE HealthCare Technologies, Inc. | ||||
11/15/2027 | 5.650% | 4,307,000 | 4,356,967 | |
HCA, Inc.(a) | ||||
03/15/2052 | 4.625% | 11,108,000 | 9,121,245 | |
IQVIA, Inc.(a) | ||||
05/15/2030 | 6.500% | 200,000 | 202,361 | |
Mozart Debt Merger Sub, Inc.(a) | ||||
04/01/2029 | 3.875% | 151,000 | 131,335 | |
10/01/2029 | 5.250% | 1,617,000 | 1,403,584 | |
Select Medical Corp.(a) | ||||
08/15/2026 | 6.250% | 800,000 | 785,410 | |
Tenet Healthcare Corp. | ||||
01/01/2026 | 4.875% | 495,000 | 482,240 | |
02/01/2027 | 6.250% | 627,000 | 621,757 | |
06/15/2028 | 4.625% | 704,000 | 657,826 | |
10/01/2028 | 6.125% | 1,247,000 | 1,200,238 | |
06/01/2029 | 4.250% | 91,000 | 82,211 | |
01/15/2030 | 4.375% | 674,000 | 608,184 | |
Total | 25,711,852 | |||
Healthcare Insurance 0.8% | ||||
Aetna, Inc. | ||||
11/15/2042 | 4.125% | 1,339,000 | 1,102,538 | |
Centene Corp. | ||||
02/15/2030 | 3.375% | 835,000 | 717,986 | |
10/15/2030 | 3.000% | 20,314,000 | 16,939,387 | |
08/01/2031 | 2.625% | 4,954,000 | 3,946,854 | |
UnitedHealth Group, Inc. | ||||
02/15/2030 | 5.300% | 3,937,000 | 4,030,141 | |
Total | 26,736,906 | |||
Home Construction 0.0% | ||||
Meritage Homes Corp.(a) | ||||
04/15/2029 | 3.875% | 937,000 | 832,881 | |
Shea Homes LP/Funding Corp. | ||||
02/15/2028 | 4.750% | 577,000 | 514,754 | |
Total | 1,347,635 |
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 | 13 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes(e) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Independent Energy 0.4% | ||||
Baytex Energy Corp.(a) | ||||
04/30/2030 | 8.500% | 339,000 | 331,218 | |
Callon Petroleum Co. | ||||
07/01/2026 | 6.375% | 1,124,000 | 1,093,416 | |
Callon Petroleum Co.(a) | ||||
08/01/2028 | 8.000% | 213,000 | 210,706 | |
Centennial Resource Production LLC(a) | ||||
04/01/2027 | 6.875% | 85,000 | 83,859 | |
CNX Resources Corp.(a) | ||||
03/14/2027 | 7.250% | 50,000 | 49,595 | |
01/15/2029 | 6.000% | 337,000 | 312,859 | |
01/15/2031 | 7.375% | 50,000 | 48,819 | |
Colgate Energy Partners III LLC(a) | ||||
07/01/2029 | 5.875% | 1,731,000 | 1,631,631 | |
Comstock Resources, Inc.(a) | ||||
03/01/2029 | 6.750% | 307,000 | 281,096 | |
01/15/2030 | 5.875% | 566,000 | 491,635 | |
CrownRock LP/Finance, Inc.(a) | ||||
10/15/2025 | 5.625% | 432,000 | 426,423 | |
05/01/2029 | 5.000% | 1,413,000 | 1,328,619 | |
Hilcorp Energy I LP/Finance Co.(a) | ||||
02/01/2029 | 5.750% | 571,000 | 520,334 | |
04/15/2030 | 6.000% | 334,000 | 304,616 | |
04/15/2032 | 6.250% | 231,000 | 207,009 | |
Matador Resources Co. | ||||
09/15/2026 | 5.875% | 914,000 | 888,177 | |
Matador Resources Co.(a) | ||||
04/15/2028 | 6.875% | 213,000 | 210,807 | |
Occidental Petroleum Corp. | ||||
09/01/2030 | 6.625% | 980,000 | 1,018,193 | |
01/01/2031 | 6.125% | 1,461,000 | 1,483,366 | |
Southwestern Energy Co. | ||||
02/01/2029 | 5.375% | 249,000 | 235,058 | |
02/01/2032 | 4.750% | 1,181,000 | 1,043,371 | |
Total | 12,200,807 | |||
Integrated Energy 0.1% | ||||
Cenovus Energy, Inc. | ||||
02/15/2052 | 3.750% | 3,240,000 | 2,300,167 | |
Leisure 0.3% | ||||
Carnival Corp.(a) | ||||
03/01/2026 | 7.625% | 704,000 | 689,400 | |
03/01/2027 | 5.750% | 1,554,000 | 1,429,561 | |
08/01/2028 | 4.000% | 510,000 | 451,786 | |
Carnival Holdings Bermuda Ltd.(a) | ||||
05/01/2028 | 10.375% | 297,000 | 324,904 |
Corporate Bonds & Notes(e) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op | ||||
04/15/2027 | 5.375% | 444,000 | 422,162 | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Operations LLC(a) | ||||
05/01/2025 | 5.500% | 564,000 | 559,815 | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Operations LLC | ||||
10/01/2028 | 6.500% | 284,000 | 277,109 | |
Cinemark USA, Inc.(a) | ||||
05/01/2025 | 8.750% | 102,000 | 103,705 | |
03/15/2026 | 5.875% | 375,000 | 355,849 | |
07/15/2028 | 5.250% | 174,000 | 154,621 | |
Live Nation Entertainment, Inc.(a) | ||||
03/15/2026 | 5.625% | 448,000 | 437,883 | |
NCL Corp., Ltd.(a) | ||||
02/15/2029 | 7.750% | 91,000 | 86,693 | |
NCL Finance Ltd.(a) | ||||
03/15/2028 | 6.125% | 181,000 | 163,229 | |
Royal Caribbean Cruises Ltd.(a) | ||||
07/01/2026 | 4.250% | 964,000 | 889,086 | |
08/31/2026 | 5.500% | 600,000 | 569,315 | |
07/15/2027 | 5.375% | 235,000 | 220,330 | |
01/15/2029 | 8.250% | 431,000 | 452,506 | |
01/15/2030 | 7.250% | 453,000 | 459,712 | |
Six Flags Entertainment Corp.(a) | ||||
05/15/2031 | 7.250% | 484,000 | 471,355 | |
Viking Cruises Ltd.(a) | ||||
02/15/2029 | 7.000% | 170,000 | 158,108 | |
07/15/2031 | 9.125% | 198,000 | 200,069 | |
Total | 8,877,198 | |||
Life Insurance 0.1% | ||||
Peachtree Corners Funding Trust(a) | ||||
02/15/2025 | 3.976% | 4,984,000 | 4,802,574 | |
Voya Financial, Inc. | ||||
06/15/2046 | 4.800% | 103,000 | 84,898 | |
Total | 4,887,472 | |||
Lodging 0.0% | ||||
Hilton Domestic Operating Co., Inc.(a) | ||||
02/15/2032 | 3.625% | 535,000 | 446,118 | |
Media and Entertainment 1.1% | ||||
Cengage Learning, Inc.(a) | ||||
06/15/2024 | 9.500% | 47,000 | 47,120 | |
Clear Channel Outdoor Holdings, Inc.(a) | ||||
04/15/2028 | 7.750% | 613,000 | 480,875 | |
06/01/2029 | 7.500% | 1,070,000 | 792,771 |
14 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes(e) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Clear Channel Worldwide Holdings, Inc.(a) | ||||
08/15/2027 | 5.125% | 706,000 | 642,099 | |
iHeartCommunications, Inc. | ||||
05/01/2026 | 6.375% | 566,350 | 477,145 | |
05/01/2027 | 8.375% | 1,008,774 | 672,016 | |
iHeartCommunications, Inc.(a) | ||||
08/15/2027 | 5.250% | 439,000 | 335,746 | |
01/15/2028 | 4.750% | 764,000 | 576,710 | |
Meta Platforms, Inc. | ||||
05/15/2063 | 5.750% | 6,879,000 | 7,112,149 | |
Netflix, Inc. | ||||
05/15/2029 | 4.625% | EUR | 2,175,000 | 2,401,711 |
Outfront Media Capital LLC/Corp.(a) | ||||
08/15/2027 | 5.000% | 318,000 | 288,557 | |
01/15/2029 | 4.250% | 245,000 | 205,936 | |
03/15/2030 | 4.625% | 347,000 | 290,617 | |
Playtika Holding Corp.(a) | ||||
03/15/2029 | 4.250% | 415,000 | 368,808 | |
Roblox Corp.(a) | ||||
05/01/2030 | 3.875% | 1,546,000 | 1,302,899 | |
Univision Communications, Inc.(a) | ||||
05/01/2029 | 4.500% | 252,000 | 216,616 | |
06/30/2030 | 7.375% | 345,000 | 328,851 | |
Warnermedia Holdings, Inc. | ||||
03/15/2062 | 5.391% | 24,260,000 | 19,717,529 | |
Total | 36,258,155 | |||
Metals and Mining 0.1% | ||||
Allegheny Technologies, Inc. | ||||
10/01/2029 | 4.875% | 129,000 | 116,860 | |
10/01/2031 | 5.125% | 625,000 | 558,001 | |
Constellium SE(a) | ||||
06/15/2028 | 5.625% | 1,310,000 | 1,237,134 | |
04/15/2029 | 3.750% | 1,110,000 | 953,679 | |
Hudbay Minerals, Inc.(a) | ||||
04/01/2029 | 6.125% | 776,000 | 714,663 | |
Kaiser Aluminum Corp.(a) | ||||
03/01/2028 | 4.625% | 74,000 | 64,836 | |
06/01/2031 | 4.500% | 351,000 | 280,395 | |
Novelis Corp.(a) | ||||
11/15/2026 | 3.250% | 321,000 | 290,869 | |
01/30/2030 | 4.750% | 713,000 | 633,720 | |
08/15/2031 | 3.875% | 387,000 | 319,398 | |
Total | 5,169,555 | |||
Midstream 1.4% | ||||
CNX Midstream Partners LP(a) | ||||
04/15/2030 | 4.750% | 602,000 | 509,256 |
Corporate Bonds & Notes(e) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Delek Logistics Partners LP/Finance Corp. | ||||
05/15/2025 | 6.750% | 164,000 | 161,473 | |
DT Midstream, Inc.(a) | ||||
06/15/2029 | 4.125% | 741,000 | 650,474 | |
06/15/2031 | 4.375% | 377,000 | 325,046 | |
EQM Midstream Partners LP(a) | ||||
07/01/2025 | 6.000% | 195,000 | 193,453 | |
07/01/2027 | 6.500% | 492,000 | 485,217 | |
01/15/2029 | 4.500% | 679,000 | 605,946 | |
01/15/2031 | 4.750% | 1,950,000 | 1,707,186 | |
EQM Midstream Partners LP | ||||
07/15/2048 | 6.500% | 192,000 | 173,787 | |
Galaxy Pipeline Assets Bidco Ltd.(a) | ||||
09/30/2040 | 3.250% | 2,775,000 | 2,154,919 | |
Holly Energy Partners LP/Finance Corp.(a) | ||||
04/15/2027 | 6.375% | 225,000 | 222,916 | |
02/01/2028 | 5.000% | 695,000 | 648,189 | |
Kinder Morgan, Inc. | ||||
02/15/2046 | 5.050% | 2,594,000 | 2,219,807 | |
08/01/2052 | 5.450% | 7,718,000 | 7,047,706 | |
MPLX LP | ||||
03/14/2052 | 4.950% | 2,674,000 | 2,272,073 | |
NuStar Logistics LP | ||||
10/01/2025 | 5.750% | 462,000 | 451,962 | |
06/01/2026 | 6.000% | 344,000 | 335,559 | |
04/28/2027 | 5.625% | 940,000 | 903,586 | |
Plains All American Pipeline LP/Finance Corp. | ||||
06/15/2044 | 4.700% | 18,015,000 | 14,071,684 | |
Sunoco LP/Finance Corp. | ||||
04/15/2027 | 6.000% | 649,000 | 640,785 | |
TransMontaigne Partners LP/TLP Finance Corp. | ||||
02/15/2026 | 6.125% | 707,000 | 611,000 | |
Venture Global Calcasieu Pass LLC(a) | ||||
08/15/2029 | 3.875% | 908,000 | 793,184 | |
08/15/2031 | 4.125% | 990,000 | 852,347 | |
11/01/2033 | 3.875% | 3,874,000 | 3,184,518 | |
Western Midstream Operating LP(f) | ||||
02/01/2050 | 5.250% | 6,800,000 | 5,646,610 | |
Total | 46,868,683 | |||
Natural Gas 0.2% | ||||
NiSource, Inc. | ||||
05/15/2047 | 4.375% | 7,390,000 | 6,324,540 | |
Oil Field Services 0.1% | ||||
Nabors Industries Ltd.(a) | ||||
01/15/2026 | 7.250% | 541,000 | 505,386 | |
Nabors Industries, Inc.(a) | ||||
05/15/2027 | 7.375% | 186,000 | 176,922 |
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 | 15 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes(e) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Transocean Titan Financing Ltd.(a) | ||||
02/01/2028 | 8.375% | 510,000 | 520,586 | |
Venture Global LNG, Inc.(a) | ||||
06/01/2028 | 8.125% | 225,000 | 228,838 | |
06/01/2031 | 8.375% | 599,000 | 604,815 | |
Total | 2,036,547 | |||
Other REIT 0.2% | ||||
Digital Dutch Finco BV(a) | ||||
03/15/2030 | 1.500% | EUR | 2,161,000 | 1,850,439 |
Ladder Capital Finance Holdings LLLP/Corp.(a) | ||||
10/01/2025 | 5.250% | 1,295,000 | 1,218,915 | |
02/01/2027 | 4.250% | 742,000 | 644,634 | |
06/15/2029 | 4.750% | 1,420,000 | 1,156,057 | |
Park Intermediate Holdings LLC/PK Domestic Property LLC/Finance Co-Issuer(a) | ||||
05/15/2029 | 4.875% | 1,047,000 | 902,687 | |
RHP Hotel Properties LP/Finance Corp.(a) | ||||
07/15/2028 | 7.250% | 106,000 | 107,085 | |
02/15/2029 | 4.500% | 269,000 | 238,225 | |
RLJ Lodging Trust LP(a) | ||||
07/01/2026 | 3.750% | 354,000 | 324,873 | |
Service Properties Trust | ||||
03/15/2024 | 4.650% | 262,000 | 257,901 | |
Total | 6,700,816 | |||
Packaging 0.1% | ||||
Ardagh Metal Packaging Finance USA LLC/PLC(a) | ||||
06/15/2027 | 6.000% | 855,000 | 840,506 | |
09/01/2029 | 4.000% | 1,197,000 | 950,106 | |
Ardagh Packaging Finance PLC/Holdings USA, Inc.(a) | ||||
08/15/2026 | 4.125% | 364,000 | 339,188 | |
Ball Corp. | ||||
06/15/2029 | 6.000% | 376,000 | 373,241 | |
CANPACK SA/Eastern PA Land Investment Holding LLC(a) | ||||
11/01/2025 | 3.125% | 261,000 | 238,941 | |
Canpack SA/US LLC(a) | ||||
11/15/2029 | 3.875% | 837,000 | 680,518 | |
Trivium Packaging Finance BV(a) | ||||
08/15/2026 | 5.500% | 830,000 | 796,724 | |
08/15/2027 | 8.500% | 373,000 | 359,179 | |
Total | 4,578,403 | |||
Pharmaceuticals 2.5% | ||||
1375209 BC Ltd.(a) | ||||
01/30/2028 | 9.000% | 207,000 | 207,515 | |
AbbVie, Inc. | ||||
06/15/2044 | 4.850% | 7,435,000 | 6,926,016 |
Corporate Bonds & Notes(e) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Amgen, Inc. | ||||
03/02/2063 | 5.750% | 36,238,000 | 36,831,992 | |
Bausch Health Companies, Inc.(a) | ||||
10/15/2030 | 14.000% | 72,000 | 43,110 | |
Endo Dac/Finance LLC/Finco, Inc.(a),(h) | ||||
06/30/2028 | 0.000% | 381,000 | 20,917 | |
Grifols Escrow Issuer SA(a) | ||||
10/15/2028 | 4.750% | 394,000 | 341,971 | |
Organon Finance 1 LLC(a) | ||||
04/30/2028 | 4.125% | 687,000 | 610,022 | |
04/30/2031 | 5.125% | 1,036,000 | 854,555 | |
Pfizer Investment Enterprises Pte., Ltd. | ||||
05/19/2033 | 4.750% | 12,432,000 | 12,390,337 | |
05/19/2043 | 5.110% | 10,014,000 | 10,017,274 | |
05/19/2063 | 5.340% | 16,234,000 | 16,429,044 | |
Total | 84,672,753 | |||
Property & Casualty 0.4% | ||||
Alliant Holdings Intermediate LLC/Co-Issuer(a) | ||||
10/15/2027 | 4.250% | 346,000 | 317,147 | |
10/15/2027 | 6.750% | 983,000 | 924,086 | |
04/15/2028 | 6.750% | 772,000 | 761,183 | |
11/01/2029 | 5.875% | 1,496,000 | 1,320,606 | |
AssuredPartners, Inc.(a) | ||||
08/15/2025 | 7.000% | 893,000 | 881,702 | |
01/15/2029 | 5.625% | 1,075,000 | 932,030 | |
Berkshire Hathaway Finance Corp. | ||||
03/15/2052 | 3.850% | 5,781,000 | 4,782,223 | |
BroadStreet Partners, Inc.(a) | ||||
04/15/2029 | 5.875% | 994,000 | 862,284 | |
GTCR AP Finance, Inc.(a) | ||||
05/15/2027 | 8.000% | 167,000 | 163,687 | |
HUB International Ltd.(a) | ||||
05/01/2026 | 7.000% | 430,000 | 429,233 | |
12/01/2029 | 5.625% | 1,363,000 | 1,223,973 | |
HUB International, Ltd.(a) | ||||
06/15/2030 | 7.250% | 941,000 | 971,665 | |
Ryan Specialty Group LLC(a) | ||||
02/01/2030 | 4.375% | 78,000 | 69,013 | |
USI, Inc.(a) | ||||
05/01/2025 | 6.875% | 1,087,000 | 1,079,245 | |
Total | 14,718,077 | |||
Restaurants 0.1% | ||||
1011778 BC ULC/New Red Finance, Inc.(a) | ||||
10/15/2030 | 4.000% | 456,000 | 392,426 | |
Fertitta Entertainment LLC/Finance Co., Inc.(a) | ||||
01/15/2030 | 6.750% | 566,000 | 480,624 |
16 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes(e) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
IRB Holding Corp.(a) | ||||
06/15/2025 | 7.000% | 554,000 | 556,770 | |
Yum! Brands, Inc. | ||||
04/01/2032 | 5.375% | 457,000 | 433,852 | |
Total | 1,863,672 | |||
Retailers 0.6% | ||||
Asbury Automotive Group, Inc.(a) | ||||
11/15/2029 | 4.625% | 151,000 | 134,401 | |
02/15/2032 | 5.000% | 754,000 | 658,777 | |
Hanesbrands, Inc.(a) | ||||
05/15/2026 | 4.875% | 180,000 | 168,037 | |
02/15/2031 | 9.000% | 183,000 | 184,384 | |
L Brands, Inc.(a) | ||||
10/01/2030 | 6.625% | 920,000 | 888,928 | |
L Brands, Inc. | ||||
11/01/2035 | 6.875% | 237,000 | 216,911 | |
Lithia Motors, Inc.(a) | ||||
01/15/2031 | 4.375% | 205,000 | 176,965 | |
Lowe’s Companies, Inc. | ||||
04/01/2062 | 4.450% | 4,489,000 | 3,615,783 | |
09/15/2062 | 5.800% | 14,403,000 | 14,288,505 | |
PetSmart, Inc./Finance Corp.(a) | ||||
02/15/2028 | 4.750% | 659,000 | 610,279 | |
02/15/2029 | 7.750% | 902,000 | 896,661 | |
Wolverine World Wide, Inc.(a) | ||||
08/15/2029 | 4.000% | 219,000 | 174,383 | |
Total | 22,014,014 | |||
Supermarkets 0.0% | ||||
Albertsons Companies, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(a) | ||||
03/15/2026 | 3.250% | 702,000 | 650,488 | |
Technology 1.0% | ||||
Broadcom, Inc.(a) | ||||
11/15/2036 | 3.187% | 12,977,000 | 9,806,564 | |
Camelot Finance SA(a) | ||||
11/01/2026 | 4.500% | 547,000 | 515,922 | |
Clarivate Science Holdings Corp.(a) | ||||
07/01/2028 | 3.875% | 364,000 | 321,869 | |
07/01/2029 | 4.875% | 1,041,000 | 923,521 | |
Cloud Software Group, Inc.(a) | ||||
09/30/2029 | 9.000% | 583,000 | 509,553 | |
Condor Merger Sub, Inc.(a) | ||||
02/15/2030 | 7.375% | 1,071,000 | 931,095 | |
Entegris Escrow Corp.(a) | ||||
04/15/2029 | 4.750% | 140,000 | 130,004 | |
06/15/2030 | 5.950% | 948,000 | 909,837 |
Corporate Bonds & Notes(e) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Gartner, Inc.(a) | ||||
07/01/2028 | 4.500% | 252,000 | 236,222 | |
HealthEquity, Inc.(a) | ||||
10/01/2029 | 4.500% | 774,000 | 684,586 | |
Helios Software Holdings, Inc.(a) | ||||
05/01/2028 | 4.625% | 754,000 | 646,372 | |
ION Trading Technologies Sarl(a) | ||||
05/15/2028 | 5.750% | 608,000 | 524,453 | |
Iron Mountain, Inc.(a) | ||||
07/15/2030 | 5.250% | 435,000 | 391,967 | |
Logan Merger Sub, Inc.(a) | ||||
09/01/2027 | 5.500% | 894,000 | 499,019 | |
Minerva Merger Sub, Inc.(a) | ||||
02/15/2030 | 6.500% | 889,000 | 747,715 | |
NCR Corp.(a) | ||||
10/01/2028 | 5.000% | 726,000 | 649,421 | |
04/15/2029 | 5.125% | 783,000 | 693,211 | |
10/01/2030 | 5.250% | 22,000 | 19,163 | |
Neptune Bidco US, Inc.(a) | ||||
04/15/2029 | 9.290% | 797,000 | 731,894 | |
NXP BV/Funding LLC/USA, Inc. | ||||
05/01/2030 | 3.400% | 2,090,000 | 1,851,121 | |
01/15/2033 | 5.000% | 4,258,000 | 4,093,212 | |
02/15/2042 | 3.125% | 3,869,000 | 2,709,019 | |
Picard Midco, Inc.(a) | ||||
03/31/2029 | 6.500% | 1,198,000 | 1,064,899 | |
Sabre GLBL, Inc.(a) | ||||
04/15/2025 | 9.250% | 17,000 | 15,843 | |
Seagate HDD Cayman(a) | ||||
12/15/2029 | 8.250% | 198,000 | 206,885 | |
07/15/2031 | 8.500% | 220,000 | 230,865 | |
Sensata Technologies BV(a) | ||||
09/01/2030 | 5.875% | 314,000 | 305,377 | |
Shift4 Payments LLC/Finance Sub, Inc.(a) | ||||
11/01/2026 | 4.625% | 454,000 | 428,301 | |
Tempo Acquisition LLC/Finance Corp.(a) | ||||
06/01/2025 | 5.750% | 344,000 | 343,634 | |
Verscend Escrow Corp.(a) | ||||
08/15/2026 | 9.750% | 874,000 | 875,008 | |
ZoomInfo Technologies LLC/Finance Corp.(a) | ||||
02/01/2029 | 3.875% | 1,064,000 | 914,983 | |
Total | 32,911,535 | |||
Transportation Services 0.4% | ||||
ERAC USA Finance LLC(a) | ||||
05/01/2028 | 4.600% | 13,609,000 | 13,241,700 |
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 | 17 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes(e) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Wireless 1.0% | ||||
Altice France Holding SA(a) | ||||
02/15/2028 | 6.000% | 715,000 | 348,384 | |
Altice France SA(a) | ||||
02/01/2027 | 8.125% | 160,000 | 138,517 | |
01/15/2028 | 5.500% | 771,000 | 584,088 | |
07/15/2029 | 5.125% | 484,000 | 343,594 | |
10/15/2029 | 5.500% | 812,000 | 583,657 | |
American Tower Corp. | ||||
08/15/2029 | 3.800% | 10,707,000 | 9,787,935 | |
06/15/2030 | 2.100% | 2,980,000 | 2,413,448 | |
T-Mobile US, Inc. | ||||
02/15/2031 | 2.875% | 15,454,000 | 13,103,744 | |
04/15/2031 | 3.500% | 4,721,000 | 4,163,812 | |
Vmed O2 UK Financing I PLC(a) | ||||
01/31/2031 | 4.250% | 866,000 | 701,092 | |
07/15/2031 | 4.750% | 1,539,000 | 1,282,220 | |
Total | 33,450,491 | |||
Wirelines 0.2% | ||||
AT&T, Inc. | ||||
03/01/2029 | 4.350% | 4,728,000 | 4,539,884 | |
Frontier Communications Holdings LLC(a) | ||||
05/15/2030 | 8.750% | 499,000 | 487,568 | |
03/15/2031 | 8.625% | 389,000 | 376,428 | |
Iliad Holding SAS(a) | ||||
10/15/2026 | 6.500% | 1,029,000 | 971,512 | |
10/15/2028 | 7.000% | 1,377,000 | 1,270,590 | |
Total | 7,645,982 | |||
Total Corporate Bonds & Notes (Cost $891,257,597) | 813,956,321 | |||
Foreign Government Obligations(i) 3.1% | ||||
Canada 0.0% | ||||
NOVA Chemicals Corp.(a) | ||||
06/01/2027 | 5.250% | 346,000 | 308,341 | |
05/15/2029 | 4.250% | 647,000 | 527,883 | |
Total | 836,224 | |||
Colombia 0.6% | ||||
Colombia Government International Bond | ||||
04/22/2032 | 3.250% | 4,160,000 | 3,079,226 | |
05/15/2049 | 5.200% | 9,733,000 | 6,773,674 | |
Ecopetrol SA | ||||
04/29/2030 | 6.875% | 10,540,000 | 9,594,926 | |
Total | 19,447,826 |
Foreign Government Obligations(i) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Dominican Republic 0.0% | ||||
Dominican Republic International Bond(a) | ||||
01/25/2027 | 5.950% | 1,630,000 | 1,597,605 | |
Egypt 0.0% | ||||
Egypt Government International Bond(a) | ||||
02/16/2031 | 5.875% | 909,000 | 500,490 | |
01/31/2047 | 8.500% | 2,105,000 | 1,117,255 | |
Total | 1,617,745 | |||
Hungary 0.3% | ||||
Hungary Government International Bond(a) | ||||
09/22/2031 | 2.125% | 11,145,000 | 8,630,064 | |
India 0.1% | ||||
Export-Import Bank of India(a) | ||||
01/15/2030 | 3.250% | 4,650,000 | 4,119,647 | |
Indonesia 0.1% | ||||
PT Indonesia Asahan Aluminium Persero(a) | ||||
05/15/2025 | 4.750% | 708,000 | 689,464 | |
05/15/2030 | 5.450% | 3,550,000 | 3,459,941 | |
Total | 4,149,405 | |||
Ivory Coast 0.0% | ||||
Ivory Coast Government International Bond(a) | ||||
06/15/2033 | 6.125% | 782,000 | 683,925 | |
Mexico 1.1% | ||||
Petroleos Mexicanos | ||||
03/13/2027 | 6.500% | 6,821,000 | 6,059,619 | |
02/12/2028 | 5.350% | 3,007,000 | 2,466,473 | |
09/21/2047 | 6.750% | 20,422,000 | 12,787,774 | |
01/23/2050 | 7.690% | 10,000,000 | 6,771,372 | |
01/28/2060 | 6.950% | 13,220,000 | 8,235,961 | |
Total | 36,321,199 | |||
Paraguay 0.1% | ||||
Paraguay Government International Bond(a) | ||||
08/11/2044 | 6.100% | 2,060,000 | 1,960,827 | |
Qatar 0.3% | ||||
Qatar Government International Bond(a) | ||||
03/14/2049 | 4.817% | 5,000,000 | 4,808,021 | |
Qatar Petroleum(a) | ||||
07/12/2031 | 2.250% | 5,445,000 | 4,565,823 | |
Total | 9,373,844 | |||
Russian Federation 0.1% | ||||
Gazprom OAO Via Gaz Capital SA(a),(j) | ||||
02/06/2028 | 4.950% | 2,740,000 | 1,986,952 |
18 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Foreign Government Obligations(i) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Saudi Arabia 0.1% | ||||
Saudi Government International Bond(a) | ||||
04/17/2049 | 5.000% | 5,250,000 | 4,899,760 | |
South Africa 0.1% | ||||
Republic of South Africa Government International Bond | ||||
09/30/2029 | 4.850% | 5,000,000 | 4,395,377 | |
Ukraine 0.0% | ||||
Ukraine Government International Bond(a) | ||||
09/25/2034 | 7.375% | 1,800,000 | 411,748 | |
United Arab Emirates 0.2% | ||||
DP World Ltd.(a) | ||||
09/25/2048 | 5.625% | 2,982,000 | 2,783,412 | |
DP World PLC(a) | ||||
07/02/2037 | 6.850% | 3,290,000 | 3,568,963 | |
Total | 6,352,375 | |||
Total Foreign Government Obligations (Cost $136,437,550) | 106,784,523 | |||
Residential Mortgage-Backed Securities - Agency 34.8% | ||||
Federal Home Loan Mortgage Corp.(k) | ||||
08/01/2045 | 3.500% | 12,945,841 | 12,077,875 | |
10/01/2045 | 4.000% | 2,827,245 | 2,679,655 | |
Federal Home Loan Mortgage Corp. | ||||
10/01/2045- 07/01/2052 | 4.000% | 29,880,316 | 28,231,183 | |
12/01/2051- 03/01/2052 | 2.500% | 42,402,772 | 36,182,665 | |
02/01/2052- 05/01/2052 | 3.000% | 50,231,892 | 44,457,739 | |
02/01/2053 | 4.500% | 24,635,724 | 23,824,889 | |
Federal Home Loan Mortgage Corp.(c),(l) | ||||
CMO Series 3922 Class SH | ||||
-1.0 x 1-month USD LIBOR + 5.900% Cap 5.900% 09/15/2041 | 0.707% | 301,011 | 22,838 | |
CMO Series 4097 Class ST | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 08/15/2042 | 0.857% | 942,018 | 89,410 | |
CMO Series 4620 Class AS | ||||
-1.0 x 1-month USD LIBOR + 0.440% 11/15/2042 | 0.000% | 1,003,296 | 49,477 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 4831 Class SD | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 10/15/2048 | 1.007% | 7,826,668 | 931,982 | |
CMO Series 4903 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 08/25/2049 | 0.900% | 23,151,799 | 2,394,903 | |
CMO Series 4979 Class KS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 06/25/2048 | 0.900% | 10,445,525 | 1,247,136 | |
CMO STRIPS Series 2012-278 Class S1 | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 09/15/2042 | 0.857% | 1,840,511 | 172,598 | |
CMO STRIPS Series 309 Class S4 | ||||
-1.0 x 1-month USD LIBOR + 5.970% Cap 5.970% 08/15/2043 | 0.777% | 971,339 | 87,952 | |
Federal Home Loan Mortgage Corp.(l) | ||||
CMO Series 4176 Class BI | ||||
03/15/2043 | 3.500% | 904,349 | 119,908 | |
Federal National Mortgage Association | ||||
02/01/2027- 05/01/2052 | 3.000% | 143,192,265 | 127,372,661 | |
08/01/2040 | 4.500% | 1,297,566 | 1,263,903 | |
08/01/2043- 05/01/2052 | 3.500% | 142,565,353 | 130,903,178 | |
05/01/2048- 08/01/2052 | 4.000% | 120,622,298 | 114,705,715 | |
CMO Series 2017-72 Class B | ||||
09/25/2047 | 3.000% | 11,357,618 | 10,296,146 | |
Federal National Mortgage Association(k) | ||||
05/01/2044- 02/01/2048 | 4.000% | 13,501,194 | 12,936,132 | |
06/01/2044 | 4.500% | 4,318,946 | 4,265,082 | |
10/01/2051 | 2.500% | 39,246,125 | 33,323,950 | |
Federal National Mortgage Association(l) | ||||
CMO Series 2012-131 Class MI | ||||
01/25/2040 | 3.500% | 664,055 | 24,502 | |
CMO Series 2021-3 Class TI | ||||
02/25/2051 | 2.500% | 56,374,024 | 8,922,401 | |
CMO Series 429 Class C3 | ||||
09/25/2052 | 2.500% | 44,555,234 | 6,993,514 |
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 | 19 |
June 30, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal National Mortgage Association(c),(l) | ||||
CMO Series 2013-101 Class CS | ||||
-1.0 x 1-month USD LIBOR + 5.900% Cap 5.900% 10/25/2043 | 0.750% | 1,748,119 | 166,069 | |
CMO Series 2014-93 Class ES | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 01/25/2045 | 1.000% | 2,341,786 | 258,140 | |
CMO Series 2016-31 Class VS | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 06/25/2046 | 0.850% | 1,314,360 | 122,254 | |
CMO Series 2016-53 Class KS | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 08/25/2046 | 0.850% | 8,309,616 | 865,859 | |
CMO Series 2016-57 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 08/25/2046 | 0.850% | 20,155,141 | 2,128,020 | |
CMO Series 2017-109 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 01/25/2048 | 1.000% | 9,556,608 | 1,177,699 | |
CMO Series 2017-20 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 04/25/2047 | 0.950% | 8,610,901 | 962,600 | |
CMO Series 2017-54 Class NS | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 07/25/2047 | 1.000% | 7,489,940 | 945,303 | |
CMO Series 2017-54 Class SN | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 07/25/2047 | 1.000% | 15,202,696 | 1,972,481 | |
CMO Series 2018-66 Class SM | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 09/25/2048 | 1.050% | 9,978,065 | 1,102,607 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2018-67 MS Class MS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 09/25/2048 | 1.050% | 7,753,400 | 924,956 | |
CMO Series 2018-74 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 10/25/2048 | 1.000% | 14,220,628 | 1,529,424 | |
CMO Series 2019-33 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 07/25/2049 | 0.900% | 30,985,101 | 3,188,178 | |
CMO Series 2019-60 Class SH | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 10/25/2049 | 0.900% | 23,021,588 | 2,512,083 | |
CMO Series 2019-67 Class SE | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 11/25/2049 | 0.900% | 17,463,239 | 2,364,458 | |
Freddie Mac REMICS(l) | ||||
CMO Series 5152 Class XI | ||||
11/25/2050 | 2.500% | 59,184,576 | 7,606,662 | |
CMO Series 5287 Class NI | ||||
05/25/2051 | 3.500% | 28,284,684 | 5,419,133 | |
Government National Mortgage Association(k) | ||||
04/20/2048 | 4.500% | 7,917,430 | 7,752,418 | |
Government National Mortgage Association(l) | ||||
CMO Series 2014-184 Class CI | ||||
11/16/2041 | 3.500% | 3,122,576 | 366,586 | |
CMO Series 2020-175 Class KI | ||||
11/20/2050 | 2.500% | 56,473,288 | 7,670,727 | |
CMO Series 2020-191 Class UG | ||||
12/20/2050 | 3.500% | 33,323,325 | 5,307,233 | |
CMO Series 2021-119 Class QI | ||||
07/20/2051 | 3.000% | 32,014,082 | 4,524,006 | |
CMO Series 2021-16 Class KI | ||||
01/20/2051 | 2.500% | 39,255,842 | 5,340,734 | |
CMO Series 2021-179 Class IB | ||||
09/20/2051 | 3.000% | 39,557,481 | 5,531,097 |
20 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Government National Mortgage Association(c),(l) | ||||
CMO Series 2017-130 Class HS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 08/20/2047 | 1.054% | 10,336,870 | 975,805 | |
CMO Series 2017-149 Class BS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 10/20/2047 | 1.043% | 12,860,838 | 1,395,010 | |
CMO Series 2017-163 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 11/20/2047 | 1.043% | 5,280,737 | 482,382 | |
CMO Series 2017-37 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 03/20/2047 | 0.993% | 7,639,013 | 725,504 | |
CMO Series 2018-103 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 08/20/2048 | 1.043% | 7,440,885 | 761,824 | |
CMO Series 2018-112 Class LS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 08/20/2048 | 1.043% | 9,195,614 | 928,093 | |
CMO Series 2018-125 Class SK | ||||
-1.0 x 1-month USD LIBOR + 6.250% Cap 6.250% 09/20/2048 | 1.093% | 12,193,826 | 964,438 | |
CMO Series 2018-134 Class KS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 10/20/2048 | 1.043% | 9,476,055 | 946,309 | |
CMO Series 2018-139 Class SC | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 10/20/2048 | 0.993% | 6,487,899 | 616,786 | |
CMO Series 2018-148 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 01/20/2048 | 1.043% | 18,465,768 | 1,953,427 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2018-151 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 11/20/2048 | 0.993% | 15,708,360 | 1,538,083 | |
CMO Series 2018-89 Class MS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 06/20/2048 | 1.043% | 9,591,623 | 810,954 | |
CMO Series 2018-91 Class DS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 07/20/2048 | 1.043% | 9,635,813 | 927,324 | |
CMO Series 2018-97 Class SM | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 07/20/2048 | 1.043% | 9,733,946 | 698,463 | |
CMO Series 2019-20 Class JS | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 02/20/2049 | 0.843% | 15,293,232 | 1,481,595 | |
CMO Series 2019-5 Class SH | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 01/20/2049 | 0.993% | 10,906,287 | 1,077,821 | |
CMO Series 2019-56 Class SG | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 05/20/2049 | 0.993% | 11,665,164 | 1,155,065 | |
CMO Series 2019-59 Class KS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 05/20/2049 | 0.904% | 11,509,342 | 1,148,141 | |
CMO Series 2019-85 Class SC | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 07/20/2049 | 1.004% | 10,415,629 | 954,270 | |
CMO Series 2019-90 Class SD | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 07/20/2049 | 0.993% | 15,148,194 | 1,568,289 |
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 | 21 |
June 30, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2020-188 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.300% Cap 6.300% 12/20/2050 | 1.143% | 18,610,049 | 2,463,786 | |
CMO Series 2020-21 Class VS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 02/20/2050 | 0.904% | 7,901,344 | 857,450 | |
CMO Series 2020-62 Class SG | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 05/20/2050 | 0.993% | 11,551,932 | 1,117,607 | |
CMO Series 2022-18 Class SL | ||||
-1.0 x 30-day Average SOFR + 6.300% Cap 6.300% 01/20/2052 | 1.233% | 30,944,971 | 3,918,667 | |
CMO Series 2022-63 Class GS | ||||
-1.0 x 30-day Average SOFR + 5.500% Cap 5.500% 04/20/2052 | 0.433% | 27,832,018 | 2,624,128 | |
CMO Series 2022-81 Class SK | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 08/20/2047 | 1.043% | 26,211,863 | 2,806,989 | |
CMO Series 2023-66 Class AS | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 09/20/2049 | 0.943% | 40,922,775 | 4,100,081 | |
Government National Mortgage Association TBA(b) | ||||
07/20/2053 | 4.000% | 57,000,000 | 53,934,024 | |
07/20/2053 | 4.500% | 24,000,000 | 23,163,750 | |
07/20/2053 | 5.000% | 102,000,000 | 100,230,937 | |
Uniform Mortgage-Backed Security TBA(b) | ||||
07/18/2038 | 3.000% | 66,000,000 | 61,565,625 | |
07/18/2038- 07/13/2053 | 3.500% | 37,000,000 | 34,031,055 | |
07/13/2053 | 4.500% | 63,000,000 | 60,568,594 | |
07/13/2053 | 5.000% | 142,500,000 | 139,627,734 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $1,265,899,498) | 1,185,436,131 | |||
Residential Mortgage-Backed Securities - Non-Agency 21.8% | ||||
510 Asset Backed Trust(a),(d) | ||||
CMO Series 2021-NPL2 Class A1 | ||||
06/25/2061 | 2.116% | 10,546,023 | 9,761,047 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
AlphaFlow Transitional Mortgage Trust(a) | ||||
CMO Series 2021-WL1 Class A1 | ||||
01/25/2026 | 3.280% | 3,629,690 | 3,511,810 | |
Angel Oak Mortgage Trust(a),(d) | ||||
CMO Series 2020-R1 Class M1 | ||||
04/25/2053 | 2.621% | 3,918,000 | 3,412,976 | |
Angel Oak Mortgage Trust I LLC(a),(d) | ||||
CMO Series 2018-3 Class M1 | ||||
09/25/2048 | 4.421% | 7,368,011 | 7,224,111 | |
Arroyo Mortgage Trust(a),(d) | ||||
CMO Series 2019-2 Class A3 | ||||
04/25/2049 | 3.800% | 2,063,919 | 1,878,254 | |
Bellemeade Re Ltd.(a),(c) | ||||
CMO Series 2019-2A Class M1C | ||||
1-month USD LIBOR + 2.000% Floor 2.000% 04/25/2029 | 7.138% | 6,306,073 | 6,312,427 | |
CMO Series 2020-3A Class M1C | ||||
1-month USD LIBOR + 3.700% Floor 3.700% 10/25/2030 | 8.850% | 8,749,597 | 8,910,379 | |
CMO Series 2021-1A Class M1B | ||||
30-day Average SOFR + 2.200% Floor 2.200% 03/25/2031 | 7.267% | 15,350,000 | 15,440,209 | |
CMO Series 2021-2A Class M1B | ||||
30-day Average SOFR + 1.500% Floor 1.500% 06/25/2031 | 6.473% | 7,000,000 | 6,960,001 | |
BRAVO Residential Funding Trust(a),(d) | ||||
CMO Series 2021-A Class A1 | ||||
10/25/2059 | 1.991% | 10,880,547 | 10,230,322 | |
Bunker Hill Loan Depositary Trust(a),(d) | ||||
CMO Series 2019-3 Class A3 | ||||
11/25/2059 | 3.135% | 2,501,785 | 2,366,526 | |
BVRT Financing Trust(a),(c),(m) | ||||
CMO Series 2021-3F Class M1 | ||||
30-day Average SOFR + 1.750% Floor 1.750% 07/12/2033 | 3.608% | 6,932,702 | 6,932,702 | |
CMO Series 2021-3F Class M2 | ||||
30-day Average SOFR + 2.900% Floor 2.900% 07/12/2033 | 4.187% | 23,700,000 | 23,700,000 | |
CHNGE Mortgage Trust(a),(d) | ||||
CMO Series 2022-2 Class A1 | ||||
03/25/2067 | 3.757% | 13,906,702 | 12,623,413 | |
CMO Series 2022-5 Class A1 | ||||
01/25/2058 | 6.000% | 11,710,931 | 11,440,403 |
22 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2023-3 Class A1 | ||||
07/25/2058 | 6.728% | 19,050,000 | 18,984,523 | |
Citigroup Mortgage Loan Trust, Inc.(a) | ||||
CMO Series 2015-RP2 Class B3 | ||||
01/25/2053 | 4.250% | 2,113,368 | 1,974,456 | |
Subordinated CMO Series 2014-C Class B1 | ||||
02/25/2054 | 4.250% | 2,487,547 | 2,383,951 | |
COLT Mortgage Loan Trust(a),(d) | ||||
CMO Series 2020-2 Class A2 | ||||
03/25/2065 | 3.094% | 3,906,000 | 3,710,548 | |
CMO Series 2021-3 Class A1 | ||||
09/27/2066 | 0.956% | 10,752,110 | 8,393,218 | |
CMO Series 2021-3 Class A2 | ||||
09/27/2066 | 1.162% | 4,449,149 | 3,461,346 | |
CMO Series 2021-5 Class A3 | ||||
11/26/2066 | 2.807% | 8,381,000 | 5,741,432 | |
CSMC Trust(a),(d) | ||||
CMO Series 2020-RPL2 Class A12 | ||||
02/25/2060 | 3.496% | 6,781,408 | 6,768,471 | |
Deephaven Residential Mortgage Trust(a),(d) | ||||
CMO Series 2021-4 Class A3 | ||||
11/25/2066 | 2.239% | 6,362,522 | 5,376,592 | |
Ellington Financial Mortgage Trust(a),(d) | ||||
CMO Series 2019-2 Class M1 | ||||
11/25/2059 | 3.469% | 5,761,000 | 5,017,159 | |
Figure Line of Credit Trust(a),(d) | ||||
CMO Series 2020-1 Class A | ||||
09/25/2049 | 4.040% | 1,962,196 | 1,819,964 | |
Freddie Mac STACR(c) | ||||
CMO Series 2020-CS01 Class M3 | ||||
1-month USD LIBOR + 0.000% 04/25/2033 | 4.000% | 11,075,384 | 10,747,677 | |
Freddie Mac STACR REMIC Trust(a),(c) | ||||
CMO Series 2021-DNA5 Class M2 | ||||
30-day Average SOFR + 1.650% 01/25/2034 | 6.717% | 5,249,417 | 5,242,106 | |
CMO Series 2022-DNA1 Class M1B | ||||
30-day Average SOFR + 1.850% 01/25/2042 | 6.917% | 8,250,000 | 7,985,420 | |
CMO Series 2023-HQA1 Class M1A | ||||
30-day Average SOFR + 2.000% 05/25/2043 | 7.067% | 10,141,100 | 10,155,346 | |
CMO Series 2023-HQA1 Class M1B | ||||
30-day Average SOFR + 3.500% 05/25/2043 | 8.567% | 13,700,000 | 13,936,430 | |
Subordinated CMO Series 2020-HQA3 Class B1 | ||||
1-month USD LIBOR + 5.750% 07/25/2050 | 10.900% | 3,304,568 | 3,575,092 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated CMO Series 2022-DNA6 Class M1A | ||||
30-day Average SOFR + 2.150% 09/25/2042 | 7.217% | 8,683,046 | 8,735,663 | |
Freddie Mac Structured Agency Credit Risk Debt Notes(a),(c) | ||||
CMO Series 2019-CS03 Class M2 | ||||
1-month USD LIBOR + 0.000% 10/25/2032 | 5.150% | 14,327,820 | 13,693,436 | |
GCAT LLC(a),(d) | ||||
CMO Series 2020-3 Class A1 | ||||
09/25/2025 | 2.981% | 7,281,237 | 7,104,738 | |
CMO Series 2021-CM1 Class A1 | ||||
04/25/2065 | 1.469% | 8,737,282 | 7,890,750 | |
GCAT Trust(a),(d) | ||||
CMO Series 2019-NQM3 Class A3 | ||||
11/25/2059 | 3.043% | 3,838,046 | 3,525,530 | |
CMO Series 2021-CM2 Class A1 | ||||
08/25/2066 | 2.352% | 5,381,962 | 4,813,251 | |
CMO Series 2021-NQM6 Class A2 | ||||
08/25/2066 | 2.710% | 5,000,000 | 3,729,236 | |
CMO Series 2021-NQM6 Class A3 | ||||
08/25/2066 | 2.810% | 8,003,000 | 5,679,563 | |
Home Re Ltd.(a),(c) | ||||
CMO Series 2021-2 Class M1B | ||||
30-day Average SOFR + 1.600% 01/25/2034 | 6.667% | 12,425,889 | 12,351,918 | |
Subordinated CMO Series 2022-1 Class M1A | ||||
30-day Average SOFR + 2.850% 10/25/2034 | 7.917% | 9,750,000 | 9,842,489 | |
Homeward Opportunities Fund Trust(a),(f) | ||||
CMO Series 2020-BPL1 Class A1 | ||||
08/25/2025 | 3.228% | 2,731,512 | 2,641,645 | |
Imperial Fund Mortgage Trust(a),(d) | ||||
CMO Series 2021-NQM4 Class A2 | ||||
01/25/2057 | 2.296% | 4,393,432 | 3,663,957 | |
Legacy Mortgage Asset Trust(a),(d) | ||||
CMO Series 2021-SL2 Class A | ||||
10/25/2068 | 1.875% | 14,834,825 | 13,620,072 | |
MFA Trust(a),(d) | ||||
CMO Series 2020-NQM2 Class M1 | ||||
04/25/2065 | 3.034% | 10,000,000 | 8,014,464 | |
Mill City Mortgage Loan Trust(a),(d) | ||||
CMO Series 2023-NQM1 Class A1 | ||||
10/25/2067 | 6.050% | 10,866,145 | 10,672,660 | |
NRZ Excess Spread-Collateralized Notes(a) | ||||
CMO Series 2021-GNT1 Class A | ||||
11/25/2026 | 3.474% | 10,936,468 | 9,840,689 | |
Series 2020-PLS1 Class A | ||||
12/25/2025 | 3.844% | 5,036,652 | 4,675,863 |
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 | 23 |
June 30, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Oaktown Re II Ltd.(a),(c) | ||||
CMO Series 2018-1A Class M1 | ||||
1-month USD LIBOR + 1.550% 07/25/2028 | 6.700% | 835,682 | 836,822 | |
Oaktown Re III Ltd.(a),(c) | ||||
CMO Series 2019-1A Class M1B | ||||
1-month USD LIBOR + 1.950% Floor 1.950% 07/25/2029 | 7.100% | 7,745,443 | 7,746,377 | |
Oaktown Re VI Ltd.(a),(c) | ||||
CMO Series 2021-1A Class M1B | ||||
30-day Average SOFR + 2.050% Floor 2.050% 10/25/2033 | 7.117% | 3,664,013 | 3,660,766 | |
PMT Credit Risk Transfer Trust(a),(c) | ||||
Series 2019-2R Class A | ||||
1-month USD LIBOR + 2.750% Floor 2.750% 05/25/2025 | 8.928% | 5,090,607 | 5,052,530 | |
PNMAC GMSR Issuer Trust(a),(c) | ||||
CMO Series 2018-GT1 Class A | ||||
1-month USD LIBOR + 2.850% Floor 2.850% 02/25/2025 | 8.000% | 46,800,000 | 46,743,840 | |
CMO Series 2018-GT2 Class A | ||||
1-month USD LIBOR + 2.650% 08/25/2025 | 7.800% | 66,400,000 | 65,576,434 | |
Point Securitization Trust(a),(d) | ||||
CMO Series 2021-1 Class A1 | ||||
02/25/2052 | 3.228% | 13,964,243 | 13,142,175 | |
Preston Ridge Partners Mortgage Trust(a),(d) | ||||
CMO Series 2021-1 Class A1 | ||||
01/25/2026 | 2.115% | 22,051,441 | 21,073,144 | |
CMO Series 2021-2 Class A1 | ||||
03/25/2026 | 2.115% | 6,389,325 | 5,975,704 | |
CMO Series 2021-3 Class A1 | ||||
04/25/2026 | 1.867% | 10,218,183 | 9,449,086 | |
CMO Series 2021-7 Class A1 | ||||
08/25/2026 | 1.867% | 8,791,363 | 8,190,921 | |
CMO Series 2021-8 Class A1 | ||||
09/25/2026 | 1.743% | 9,874,995 | 8,853,076 | |
Pretium Mortgage Credit Partners(a),(d) | ||||
CMO Series 2022-NPL1 Class A1 | ||||
01/25/2052 | 2.981% | 7,150,919 | 6,582,433 | |
Pretium Mortgage Credit Partners LLC(a),(d) | ||||
CMO Series 2021-RN2 Class A1 | ||||
07/25/2051 | 1.744% | 6,590,761 | 5,939,824 | |
PRKCM Trust(a),(d) | ||||
CMO Series 2021-AFC1 Class M1 | ||||
08/25/2056 | 3.114% | 6,966,000 | 4,199,018 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
PRPM LLC(a),(d) | ||||
CMO Series 2021-RPL1 Class A1 | ||||
07/25/2051 | 1.319% | 6,325,524 | 5,436,750 | |
Residential Mortgage Loan Trust(a),(d) | ||||
CMO Series 2019-3 Class A3 | ||||
09/25/2059 | 3.044% | 390,496 | 370,632 | |
Saluda Grade Alternative Mortgage Trust(a) | ||||
CMO Series 2020-FIG1 Class A1 | ||||
09/25/2050 | 3.568% | 773,635 | 736,667 | |
SG Residential Mortgage Trust(a),(d) | ||||
CMO Series 2019-3 Class M1 | ||||
09/25/2059 | 3.526% | 7,700,000 | 7,014,097 | |
Stanwich Mortgage Loan Co. LLC(a),(d) | ||||
CMO Series 2021-NPB1 Class A1 | ||||
10/16/2026 | 2.735% | 8,891,633 | 8,050,332 | |
Starwood Mortgage Residential Trust(a) | ||||
CMO Series 2020-INV1 Class M1 | ||||
11/25/2055 | 2.501% | 2,900,000 | 2,382,971 | |
Starwood Mortgage Residential Trust(a),(d) | ||||
CMO Series 2021-3 Class A1 | ||||
06/25/2056 | 1.127% | 3,230,330 | 2,580,316 | |
CMO Series 2022-2 Class A1 | ||||
02/25/2067 | 3.122% | 3,775,384 | 3,422,033 | |
Stonnington Mortgage Trust(a),(d),(m),(n) | ||||
CMO Series 2020-1 Class A | ||||
07/28/2024 | 3.500% | 2,774,380 | 2,732,765 | |
Toorak Mortgage Corp., Ltd.(a),(d) | ||||
CMO Series 2021-1 Class A1 | ||||
06/25/2024 | 2.240% | 11,000,000 | 10,896,846 | |
Towd Point Mortgage Trust(a),(d) | ||||
CMO Series 2019-4 Class M1B | ||||
10/25/2059 | 3.000% | 24,114,000 | 19,334,948 | |
Triangle Re Ltd.(a),(c) | ||||
CMO Series 2021-2 Class M1B | ||||
1-month USD LIBOR + 2.600% Floor 2.600% 10/25/2033 | 7.750% | 8,490,517 | 8,533,469 | |
VCAT Asset Securitization LLC(a),(d) | ||||
CMO Series 2021-NPL6 Class A1 | ||||
09/25/2051 | 1.917% | 12,581,710 | 11,400,062 | |
VCAT LLC(a),(d) | ||||
CMO Series 2021-NPL5 Class A1 | ||||
08/25/2051 | 1.868% | 16,476,357 | 14,920,312 | |
Vericrest Opportunity Loan Transferee XCIX LLC(a),(d) | ||||
CMO Series 2021-NPL8 Class A1 | ||||
04/25/2051 | 2.116% | 9,532,811 | 8,721,730 | |
Verus Securitization Trust(a),(d) | ||||
CMO Series 2019-4 Class A3 | ||||
11/25/2059 | 3.000% | 1,624,476 | 1,538,768 |
24 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2019-INV3 Class A3 | ||||
11/25/2059 | 3.100% | 3,147,982 | 2,989,973 | |
CMO Series 2020-1 Class A3 | ||||
01/25/2060 | 2.724% | 8,937,660 | 8,350,203 | |
CMO Series 2021-5 Class A2 | ||||
09/25/2066 | 1.218% | 2,994,316 | 2,398,947 | |
CMO Series 2021-5 Class A3 | ||||
09/25/2066 | 1.373% | 5,667,813 | 4,569,384 | |
CMO Series 2021-5 Class M1 | ||||
09/25/2066 | 2.331% | 3,800,000 | 2,465,991 | |
CMO Series 2021-7 Class A3 | ||||
10/25/2066 | 2.240% | 8,878,787 | 7,299,229 | |
CMO Series 2023-1 Class M1 | ||||
12/25/2067 | 7.001% | 15,257,000 | 14,829,725 | |
Visio Trust(a),(d) | ||||
CMO Series 2019-2 Class A3 | ||||
11/25/2054 | 3.076% | 2,163,628 | 1,995,706 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $784,468,031) | 742,468,241 | |||
Senior Loans 0.2% | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Chemicals 0.0% | ||||
WR Grace Holdings LLC(c),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.750% Floor 0.500% 09/22/2028 | 9.313% | 847,100 | 840,145 | |
Consumer Cyclical Services 0.0% | ||||
8th Avenue Food & Provisions, Inc.(c),(o) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 3.750% 10/01/2025 | 8.967% | 465,024 | 425,994 | |
Media and Entertainment 0.1% | ||||
Cengage Learning, Inc.(c),(o) | ||||
Tranche B 1st Lien Term Loan | ||||
3-month USD LIBOR + 4.750% Floor 1.000% 07/14/2026 | 9.880% | 1,382,276 | 1,352,557 | |
Technology 0.1% | ||||
Ascend Learning LLC(c),(o) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 3.500% Floor 0.500% 12/11/2028 | 8.702% | 786,030 | 737,273 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
2nd Lien Term Loan | ||||
1-month Term SOFR + 5.750% Floor 0.500% 12/10/2029 | 10.952% | 475,000 | 401,769 | |
DCert Buyer, Inc.(c),(o) | ||||
2nd Lien Term Loan | ||||
1-month USD LIBOR + 7.000% 02/19/2029 | 12.264% | 790,000 | 720,220 | |
UKG, Inc.(c),(o) | ||||
1st Lien Term Loan | ||||
3-month Term SOFR + 3.250% Floor 0.500% 05/04/2026 | 8.271% | 471,490 | 462,206 | |
2nd Lien Term Loan | ||||
3-month Term SOFR + 5.250% Floor 0.500% 05/03/2027 | 10.271% | 923,000 | 892,670 | |
Total | 3,214,138 | |||
Total Senior Loans (Cost $6,118,321) | 5,832,834 | |||
U.S. Treasury Obligations 1.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
U.S. Treasury | ||||
08/15/2025 | 2.000% | 30,000,000 | 28,296,094 | |
08/15/2045 | 2.875% | 7,608,500 | 6,279,390 | |
Total U.S. Treasury Obligations (Cost $35,872,013) | 34,575,484 |
Call Option Contracts Purchased 0.2% | ||||
Value ($) | ||||
(Cost $14,897,970) | 5,735,582 |
Money Market Funds 5.6% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(p),(q) | 190,326,784 | 190,250,654 |
Total Money Market Funds (Cost $190,241,840) | 190,250,654 | |
Total Investments in Securities (Cost: $4,157,750,431) | 3,863,773,060 | |
Other Assets & Liabilities, Net | (455,688,823) | |
Net Assets | 3,408,084,237 |
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 | 25 |
June 30, 2023 (Unaudited)
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
4,493,000 EUR | 4,805,600 USD | Citi | 07/13/2023 | — | (99,282) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 10-Year Note | 1,613 | 09/2023 | USD | 181,084,453 | — | (781,534) |
U.S. Treasury 5-Year Note | 5,552 | 09/2023 | USD | 594,584,500 | — | (9,070,343) |
U.S. Treasury Ultra 10-Year Note | 140 | 09/2023 | USD | 16,581,250 | — | (194,838) |
U.S. Treasury Ultra Bond | 1,561 | 09/2023 | USD | 212,637,469 | 1,936,174 | — |
Total | 1,936,174 | (10,046,715) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
3-Month SOFR | (2,303) | 03/2024 | USD | (544,889,800) | 452,089 | — |
Euro-Bobl | (391) | 09/2023 | EUR | (45,242,610) | 631,121 | — |
Euro-Bund | (623) | 09/2023 | EUR | (83,320,020) | 805,588 | — |
U.S. Treasury 2-Year Note | (589) | 09/2023 | USD | (119,769,469) | 534,594 | — |
Total | 2,423,392 | — |
Call option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 75,880,000 | 75,880,000 | 2.75 | 07/11/2023 | 2,655,800 | 31 |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 20,000,000 | 20,000,000 | 3.50 | 10/27/2023 | 760,000 | 392,978 |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 154,560,000 | 154,560,000 | 3.30 | 11/14/2023 | 4,945,920 | 2,188,523 |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 150,000,000 | 150,000,000 | 3.30 | 11/30/2023 | 3,975,000 | 2,349,570 |
10-Year OTC interest rate swap with Morgan Stanley to receive exercise rate and pay SOFR | Morgan Stanley | USD | 75,000,000 | 75,000,000 | 3.00 | 01/10/2024 | 2,561,250 | 804,480 |
Total | 14,897,970 | 5,735,582 |
Credit default swap contracts - buy protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Pay fixed rate (%) | Payment frequency | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CMBX North America Index, Series 11 BBB- | Citi | 11/18/2054 | 3.000 | Monthly | USD | 9,000,000 | 2,205,065 | (4,500) | 2,270,479 | — | — | (69,914) |
Markit CMBX North America Index, Series 12 BBB- | Citi | 08/17/2061 | 3.000 | Monthly | USD | 7,800,000 | 2,516,603 | (3,900) | 2,127,485 | — | 385,218 | — |
Markit CMBX North America Index, Series 11 BBB- | Goldman Sachs International | 11/18/2054 | 3.000 | Monthly | USD | 3,700,000 | 906,527 | (1,850) | 559,814 | — | 344,863 | — |
Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | USD | 17,000,000 | 5,281,200 | (8,500) | 682,766 | — | 4,589,934 | — |
26 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Credit default swap contracts - buy protection (continued) | ||||||||||||
Reference entity | Counterparty | Maturity date | Pay fixed rate (%) | Payment frequency | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CMBX North America Index, Series 11 BBB- | JPMorgan | 11/18/2054 | 3.000 | Monthly | USD | 3,700,000 | 906,527 | (1,850) | 123,767 | — | 780,910 | — |
Markit CMBX North America Index, Series 11 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | USD | 4,000,000 | 1,242,635 | (2,000) | 229,810 | — | 1,010,825 | — |
Markit CMBX North America Index, Series 16 BBB- | Morgan Stanley | 04/17/2065 | 3.000 | Monthly | USD | 7,750,000 | 2,273,492 | (3,875) | 1,806,698 | — | 462,919 | — |
Total | 15,332,049 | (26,475) | 7,800,819 | — | 7,574,669 | (69,914) |
Cleared credit default swap contracts - buy protection | |||||||||||
Reference entity | Counterparty | Maturity date | Pay fixed rate (%) | Payment frequency | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America High Yield Index, Series 40 | Morgan Stanley | 06/20/2028 | 5.000 | Quarterly | USD | 123,799,000 | (3,315,107) | — | — | — | (3,315,107) |
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 | 16.073 | USD | 9,000,000 | (2,795,929) | 4,500 | — | (1,937,100) | — | (854,329) |
Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 16.073 | USD | 10,000,000 | (3,106,588) | 5,000 | — | (2,131,468) | — | (970,120) |
Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 16.073 | USD | 9,500,000 | (2,951,259) | 4,750 | — | (1,510,420) | — | (1,436,089) |
Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 16.073 | USD | 10,000,000 | (3,106,588) | 5,000 | — | (1,651,107) | — | (1,450,481) |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 16.073 | USD | 7,000,000 | (2,174,612) | 3,500 | — | (1,310,405) | — | (860,707) |
Markit CMBX North America Index, Series 8 BBB- | Morgan Stanley | 10/17/2057 | 3.000 | Monthly | 22.334 | USD | 10,000,000 | (2,029,009) | 5,000 | — | (2,027,811) | 3,802 | — |
Total | (16,163,985) | 27,750 | — | (10,568,311) | 3,802 | (5,571,726) |
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 | 27 |
June 30, 2023 (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, 2023, the total value of these securities amounted to $1,746,585,478, which represents 51.25% of total net assets. |
(b) | Represents a security purchased on a when-issued basis. |
(c) | Variable rate security. The interest rate shown was the current rate as of June 30, 2023. |
(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, 2023. |
(e) | Principal amounts are denominated in United States Dollars unless otherwise noted. |
(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, 2023. |
(g) | Payment-in-kind security. Interest can be paid by issuing additional par of the security or in cash. |
(h) | Represents a security in default. |
(i) | Principal and interest may not be guaranteed by a governmental entity. |
(j) | As a result of sanctions and restricted cross-border payments, certain income and/or principal has not been recognized by the Fund. The Fund will continue to monitor the net realizable value and record the income when it is considered collectible. |
(k) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(l) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
(m) | Valuation based on significant unobservable inputs. |
(n) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At June 30, 2023, the total value of these securities amounted to $2,732,765, which represents 0.08% of total net assets. |
(o) | The stated interest rate represents the weighted average interest rate at June 30, 2023 of contracts within the senior loan facility. Interest rates on contracts are primarily determined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. These base lending rates are primarily the LIBOR and other short-term rates. Base lending rates may be subject to a floor or minimum rate. The interest rate for senior loans purchased on a when-issued or delayed delivery basis will be determined upon settlement, therefore no interest rate is disclosed. Senior loans often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay cannot be predicted with accuracy. As a result, remaining maturities of senior loans may be less than the stated maturities. Generally, the Fund is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. |
(p) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
(q) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | ||||||||
284,956,198 | 532,812,060 | (627,499,249) | (18,355) | 190,250,654 | (36,113) | 4,124,321 | 190,326,784 |
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 |
USD | US Dollar |
28 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 |
June 30, 2023 (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 | — | 106,842 | — | 106,842 |
Asset-Backed Securities — Non-Agency | — | 519,791,345 | — | 519,791,345 |
Commercial Mortgage-Backed Securities - Agency | — | 48,140,405 | — | 48,140,405 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 210,328,790 | — | 210,328,790 |
Convertible Bonds | — | 365,908 | — | 365,908 |
Corporate Bonds & Notes | — | 813,956,321 | — | 813,956,321 |
Foreign Government Obligations | — | 106,784,523 | — | 106,784,523 |
Residential Mortgage-Backed Securities - Agency | — | 1,185,436,131 | — | 1,185,436,131 |
Residential Mortgage-Backed Securities - Non-Agency | — | 709,102,774 | 33,365,467 | 742,468,241 |
Senior Loans | — | 5,832,834 | — | 5,832,834 |
U.S. Treasury Obligations | — | 34,575,484 | — | 34,575,484 |
Call Option Contracts Purchased | — | 5,735,582 | — | 5,735,582 |
Money Market Funds | 190,250,654 | — | — | 190,250,654 |
Total Investments in Securities | 190,250,654 | 3,640,156,939 | 33,365,467 | 3,863,773,060 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 4,359,566 | — | — | 4,359,566 |
Swap Contracts | — | 7,578,471 | — | 7,578,471 |
Liability | ||||
Forward Foreign Currency Exchange Contracts | — | (99,282) | — | (99,282) |
Futures Contracts | (10,046,715) | — | — | (10,046,715) |
Swap Contracts | — | (8,956,747) | — | (8,956,747) |
Total | 184,563,505 | 3,638,679,381 | 33,365,467 | 3,856,608,353 |
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 | 29 |
June 30, 2023 (Unaudited)
See the Portfolio of Investments for all investment classifications not indicated in the table.
Balance as of 12/31/2022 ($) | Increase (decrease) in accrued discounts/ premiums ($) | Realized gain (loss) ($) | Change in unrealized appreciation (depreciation)(a) ($) | Purchases ($) | Sales ($) | Transfers into Level 3 ($) | Transfers out of Level 3 ($) | Balance as of 06/30/2023 ($) | |
Asset-Backed Securities — Non-Agency | 709,969 | — | — | — | — | (709,969) | — | — | — |
Residential Mortgage-Backed Securities — Non-Agency | 44,592,981 | — | 26 | (41,616) | — | (11,185,924) | — | — | 33,365,467 |
Total | 45,302,950 | — | 26 | (41,616) | — | (11,895,893) | — | — | 33,365,467 |
30 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $3,952,610,621) | $3,667,786,824 |
Affiliated issuers (cost $190,241,840) | 190,250,654 |
Option contracts purchased (cost $14,897,970) | 5,735,582 |
Cash | 47,458 |
Foreign currency (cost $55,107) | 55,111 |
Cash collateral held at broker for: | |
Swap contracts | 3,377,000 |
TBA | 2,451,000 |
Margin deposits on: | |
Swap contracts | 7,640,746 |
Unrealized appreciation on swap contracts | 7,578,471 |
Upfront payments on swap contracts | 7,800,819 |
Receivable for: | |
Investments sold | 8,158,355 |
Investments sold on a delayed delivery basis | 114,397,576 |
Capital shares sold | 747 |
Dividends | 681,480 |
Interest | 23,422,423 |
Foreign tax reclaims | 2,235 |
Variation margin for futures contracts | 2,242,313 |
Prepaid expenses | 19,450 |
Total assets | 4,041,648,244 |
Liabilities | |
Unrealized depreciation on forward foreign currency exchange contracts | 99,282 |
Unrealized depreciation on swap contracts | 5,641,640 |
Upfront receipts on swap contracts | 10,568,311 |
Payable for: | |
Investments purchased | 16,932 |
Investments purchased on a delayed delivery basis | 615,117,577 |
Capital shares redeemed | 309,844 |
Variation margin for futures contracts | 269,494 |
Variation margin for swap contracts | 985,253 |
Management services fees | 44,293 |
Distribution and/or service fees | 1,908 |
Service fees | 25,168 |
Compensation of board members | 422,476 |
Compensation of chief compliance officer | 327 |
Other expenses | 61,502 |
Total liabilities | 633,564,007 |
Net assets applicable to outstanding capital stock | $3,408,084,237 |
Represented by | |
Paid in capital | 3,992,100,251 |
Total distributable earnings (loss) | (584,016,014) |
Total - representing net assets applicable to outstanding capital stock | $3,408,084,237 |
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 | 31 |
June 30, 2023 (Unaudited)
Class 1 | |
Net assets | $2,928,815,869 |
Shares outstanding | 347,001,736 |
Net asset value per share | $8.44 |
Class 2 | |
Net assets | $79,024,847 |
Shares outstanding | 9,417,301 |
Net asset value per share | $8.39 |
Class 3 | |
Net assets | $400,243,521 |
Shares outstanding | 47,396,082 |
Net asset value per share | $8.44 |
32 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — affiliated issuers | $4,124,321 |
Interest | 82,360,341 |
Interfund lending | 194 |
Foreign taxes withheld | (34,460) |
Total income | 86,450,396 |
Expenses: | |
Management services fees | 8,157,215 |
Distribution and/or service fees | |
Class 2 | 92,538 |
Class 3 | 253,024 |
Service fees | 147,955 |
Compensation of board members | 33,794 |
Custodian fees | 27,523 |
Printing and postage fees | 20,378 |
Accounting services fees | 25,245 |
Legal fees | 28,781 |
Interest on collateral | 241,904 |
Compensation of chief compliance officer | 331 |
Other | 28,867 |
Total expenses | 9,057,555 |
Net investment income | 77,392,841 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (44,574,764) |
Investments — affiliated issuers | (36,113) |
Foreign currency translations | (49,960) |
Forward foreign currency exchange contracts | (121,532) |
Futures contracts | (6,209,724) |
Option contracts purchased | (24,305,032) |
Option contracts written | 893,727 |
Swap contracts | (19,616,305) |
Net realized loss | (94,019,703) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 77,573,657 |
Investments — affiliated issuers | (18,355) |
Foreign currency translations | (7,416) |
Forward foreign currency exchange contracts | (18,876) |
Futures contracts | (8,480,954) |
Option contracts purchased | 10,871,640 |
Option contracts written | (2,246,415) |
Swap contracts | 7,083,053 |
Net change in unrealized appreciation (depreciation) | 84,756,334 |
Net realized and unrealized loss | (9,263,369) |
Net increase in net assets resulting from operations | $68,129,472 |
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 | 33 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment income | $77,392,841 | $123,910,650 |
Net realized loss | (94,019,703) | (368,448,951) |
Net change in unrealized appreciation (depreciation) | 84,756,334 | (462,544,275) |
Net increase (decrease) in net assets resulting from operations | 68,129,472 | (707,082,576) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | — | (103,080,929) |
Class 2 | — | (2,113,212) |
Class 3 | — | (13,958,149) |
Total distributions to shareholders | — | (119,152,290) |
Decrease in net assets from capital stock activity | (31,917,250) | (161,424,644) |
Total increase (decrease) in net assets | 36,212,222 | (987,659,510) |
Net assets at beginning of period | 3,371,872,015 | 4,359,531,525 |
Net assets at end of period | $3,408,084,237 | $3,371,872,015 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Shares sold | 965,540 | 8,190,206 | 4,941,741 | 44,305,182 |
Distributions reinvested | — | — | 11,608,213 | 103,080,929 |
Shares redeemed | (5,022,340) | (42,794,325) | (27,845,537) | (270,077,148) |
Net decrease | (4,056,800) | (34,604,119) | (11,295,583) | (122,691,037) |
Class 2 | ||||
Shares sold | 1,474,187 | 12,463,580 | 1,578,929 | 13,941,332 |
Distributions reinvested | — | — | 238,781 | 2,113,212 |
Shares redeemed | (264,231) | (2,235,316) | (1,494,457) | (13,462,621) |
Net increase | 1,209,956 | 10,228,264 | 323,253 | 2,591,923 |
Class 3 | ||||
Shares sold | 569,438 | 4,853,047 | 357,632 | 3,020,402 |
Distributions reinvested | — | — | 1,568,331 | 13,958,149 |
Shares redeemed | (1,459,294) | (12,394,442) | (6,363,744) | (58,304,081) |
Net decrease | (889,856) | (7,541,395) | (4,437,781) | (41,325,530) |
Total net decrease | (3,736,700) | (31,917,250) | (15,410,111) | (161,424,644) |
34 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 |
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 | 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 6/30/2023 (Unaudited) | $8.27 | 0.19 | (0.02) | 0.17 | — | — | — |
Year Ended 12/31/2022 | $10.31 | 0.31 | (2.05) | (1.74) | (0.29) | (0.01) | (0.30) |
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) |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $8.24 | 0.18 | (0.03) | 0.15 | — | — | — |
Year Ended 12/31/2022 | $10.26 | 0.28 | (2.03) | (1.75) | (0.26) | (0.01) | (0.27) |
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) |
Class 3 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $8.28 | 0.19 | (0.03) | 0.16 | — | — | — |
Year Ended 12/31/2022 | $10.32 | 0.30 | (2.05) | (1.75) | (0.28) | (0.01) | (0.29) |
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) |
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) | 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 | 6/30/2023 | 12/31/2022 | 12/31/2021 | 12/31/2020 | 12/31/2019 | 12/31/2018 |
Class 1 | 0.01% | 0.01% | less than 0.01% | less than 0.01% | less than 0.01% | less than 0.01% |
Class 2 | 0.01% | 0.01% | less than 0.01% | less than 0.01% | less than 0.01% | less than 0.01% |
Class 3 | 0.01% | 0.01% | less than 0.01% | less than 0.01% | less than 0.01% | less than 0.01% |
36 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 |
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 6/30/2023 (Unaudited) | $8.44 | 2.06% | 0.51%(c) | 0.51%(c) | 4.53% | 116% | $2,928,816 |
Year Ended 12/31/2022 | $8.27 | (17.06%) | 0.50%(c) | 0.50%(c) | 3.41% | 165% | $2,904,351 |
Year Ended 12/31/2021 | $10.31 | (0.24%) | 0.49%(c) | 0.49%(c) | 2.81% | 204% | $3,734,781 |
Year Ended 12/31/2020 | $11.53 | 12.58% | 0.49%(c) | 0.49%(c) | 3.16% | 312% | $4,108,990 |
Year Ended 12/31/2019 | $10.66 | 9.25% | 0.49%(c) | 0.49%(c) | 3.46% | 256% | $4,074,589 |
Year Ended 12/31/2018 | $10.08 | 0.40% | 0.49%(c) | 0.49%(c) | 3.21% | 222% | $3,919,654 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $8.39 | 1.82% | 0.76%(c) | 0.76%(c) | 4.30% | 116% | $79,025 |
Year Ended 12/31/2022 | $8.24 | (17.20%) | 0.75%(c) | 0.75%(c) | 3.17% | 165% | $67,593 |
Year Ended 12/31/2021 | $10.26 | (0.49%) | 0.74%(c) | 0.74%(c) | 2.56% | 204% | $80,859 |
Year Ended 12/31/2020 | $11.48 | 12.28% | 0.74%(c) | 0.74%(c) | 2.93% | 312% | $74,775 |
Year Ended 12/31/2019 | $10.62 | 9.03% | 0.74%(c) | 0.74%(c) | 3.19% | 256% | $53,012 |
Year Ended 12/31/2018 | $10.04 | 0.14% | 0.74%(c) | 0.74%(c) | 2.96% | 222% | $37,454 |
Class 3 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $8.44 | 1.93% | 0.63%(c) | 0.63%(c) | 4.41% | 116% | $400,244 |
Year Ended 12/31/2022 | $8.28 | (17.17%) | 0.62%(c) | 0.62%(c) | 3.28% | 165% | $399,928 |
Year Ended 12/31/2021 | $10.32 | (0.35%) | 0.61%(c) | 0.61%(c) | 2.69% | 204% | $543,892 |
Year Ended 12/31/2020 | $11.54 | 12.45% | 0.61%(c) | 0.61%(c) | 3.04% | 312% | $597,217 |
Year Ended 12/31/2019 | $10.67 | 9.12% | 0.61%(c) | 0.61%(c) | 3.33% | 256% | $532,441 |
Year Ended 12/31/2018 | $10.09 | 0.27% | 0.61%(c) | 0.61%(c) | 3.07% | 222% | $518,931 |
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 | 37 |
June 30, 2023 (Unaudited)
38 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 | 39 |
June 30, 2023 (Unaudited)
40 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 | 41 |
June 30, 2023 (Unaudited)
42 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 7,578,471* |
Credit risk | Upfront payments on swap contracts | 7,800,819 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 4,359,566* |
Interest rate risk | Investments, at value — Option contracts purchased | 5,735,582 |
Total | 25,474,438 |
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 | 43 |
June 30, 2023 (Unaudited)
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 8,956,747* |
Credit risk | Upfront receipts on swap contracts | 10,568,311 |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 99,282 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 10,046,715* |
Total | 29,671,055 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin for futures and centrally cleared swaps, if any, is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Option contracts purchased ($) | Option contracts written ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | — | — | (19,616,305) | (19,616,305) |
Foreign exchange risk | (121,532) | — | — | — | — | (121,532) |
Interest rate risk | — | (6,209,724) | (24,305,032) | 893,727 | — | (29,621,029) |
Total | (121,532) | (6,209,724) | (24,305,032) | 893,727 | (19,616,305) | (49,358,866) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Option contracts purchased ($) | Option contracts written ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | — | — | 7,083,053 | 7,083,053 |
Foreign exchange risk | (18,876) | — | — | — | — | (18,876) |
Interest rate risk | — | (8,480,954) | 10,871,640 | (2,246,415) | — | 144,271 |
Total | (18,876) | (8,480,954) | 10,871,640 | (2,246,415) | 7,083,053 | 7,208,448 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 1,025,281,849 |
Futures contracts — short | 889,149,432 |
Credit default swap contracts — buy protection | 169,749,000 |
Credit default swap contracts — sell protection | 63,975,000 |
Derivative instrument | Average value ($)* |
Option contracts purchased | 10,282,190 |
Option contracts written | (5,614,587) |
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 23,954 | (50,824) |
44 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2023. |
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 | 45 |
June 30, 2023 (Unaudited)
Citi ($)(a) | Citi ($)(a) | Goldman Sachs International ($) | JPMorgan ($) | Morgan Stanley ($)(a) | Morgan Stanley ($)(a) | Total ($) | |
Assets | |||||||
Call option contracts purchased | 4,931,102 | - | - | - | 804,480 | - | 5,735,582 |
OTC credit default swap contracts (b) | - | 4,783,182 | 904,677 | 6,177,377 | 3,514,054 | - | 15,379,290 |
Total assets | 4,931,102 | 4,783,182 | 904,677 | 6,177,377 | 4,318,534 | - | 21,114,872 |
Liabilities | |||||||
Centrally cleared credit default swap contracts (c) | - | - | - | - | - | 985,253 | 985,253 |
Forward foreign currency exchange contracts | 99,282 | - | - | - | - | - | 99,282 |
OTC credit default swap contracts (b) | - | 2,861,343 | - | 9,149,685 | 4,198,923 | - | 16,209,951 |
Total liabilities | 99,282 | 2,861,343 | - | 9,149,685 | 4,198,923 | 985,253 | 17,294,486 |
Total financial and derivative net assets | 4,831,820 | 1,921,839 | 904,677 | (2,972,308) | 119,611 | (985,253) | 3,820,386 |
Total collateral received (pledged) (d) | 4,831,820 | 1,921,839 | 904,677 | (2,972,308) | 119,611 | (985,253) | 3,820,386 |
Net amount (e) | - | - | - | - | - | - | - |
(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. |
46 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 | 47 |
June 30, 2023 (Unaudited)
48 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Fee rate(s) contractual through April 30, 2024 | |
Class 1 | 0.55% |
Class 2 | 0.80 |
Class 3 | 0.675 |
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 | 49 |
June 30, 2023 (Unaudited)
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
4,154,983,000 | 28,901,000 | (330,043,000) | (301,142,000) |
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
(145,534,241) | (202,765,705) | (348,299,946) |
50 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 1,300,000 | 5.36 | 1 |
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 | 51 |
June 30, 2023 (Unaudited)
52 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 | 53 |
• | 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. |
54 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 |
(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 one or more 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 – Intermediate Bond Fund | Semiannual Report 2023 | 55 |
(Unaudited)
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
56 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2023 |
(Unaudited)
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 – Intermediate Bond Fund | Semiannual Report 2023 | 57 |
June 30, 2023 (Unaudited)
3 | |
5 | |
6 | |
15 | |
16 | |
17 | |
18 | |
20 | |
36 | |
36 |
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | 1.90 | -4.07 | 0.55 | 2.02 | |
Class 2 | 05/03/10 | 1.73 | -4.28 | 0.32 | 1.77 | |
Class 3 | 09/13/04 | 1.70 | -4.26 | 0.41 | 1.88 | |
Bloomberg World Government Inflation-Linked Bond Index USD Hedged | 1.72 | -3.72 | 1.11 | 2.59 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Quality breakdown (%) (at June 30, 2023) | |
AAA rating | 58.7 |
AA rating | 29.3 |
A rating | 5.7 |
BBB rating | 6.3 |
Not rated | 0.0(a) |
Total | 100.0 |
(a) | Rounds to zero. |
Country breakdown (%) (at June 30, 2023) | |
Australia | 1.1 |
Canada | 1.7 |
Denmark | 0.1 |
France | 8.9 |
Germany | 2.6 |
Italy | 5.5 |
Japan | 2.8 |
New Zealand | 0.4 |
Spain | 2.9 |
Sweden | 0.7 |
United Kingdom | 19.8 |
United States(a) | 53.5 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds. |
Market exposure through derivatives investments (% of notional exposure) (at June 30, 2023)(a) | |||
Long | Short | Net | |
Fixed Income Derivative Contracts | 357.9 | (229.3) | 128.6 |
Foreign Currency Derivative Contracts | 236.3 | (464.9) | (228.6) |
Total Notional Market Value of Derivative Contracts | 594.2 | (694.2) | (100.0) |
4 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,019.00 | 1,021.94 | 3.02 | 3.02 | 0.60 |
Class 2 | 1,000.00 | 1,000.00 | 1,017.30 | 1,020.69 | 4.28 | 4.28 | 0.85 |
Class 3 | 1,000.00 | 1,000.00 | 1,017.00 | 1,021.29 | 3.67 | 3.68 | 0.73 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency 0.6% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
United States 0.6% | ||||
AMSR Trust(a) | ||||
Subordinated Series 2022-SFR3 Class D | ||||
10/17/2039 | 4.000% | 155,000 | 138,014 | |
New Residential Mortgage Loan Trust(a) | ||||
Subordinated CMO Series 2022-SFR2 Class D | ||||
09/04/2039 | 4.000% | 155,000 | 137,720 | |
Pagaya AI Technology in Housing Trust(a) | ||||
Series 2022-1 Class D | ||||
08/25/2025 | 4.250% | 100,000 | 90,784 | |
Progress Residential Trust(a) | ||||
Subordinated Series 2022-SFR7 Class D | ||||
10/27/2039 | 5.500% | 200,000 | 189,015 | |
Total | 555,533 | |||
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $568,832) | 555,533 | |||
Foreign Government Obligations(b),(c) 0.3% | ||||
Spain 0.3% | ||||
Spain Government Bond(a) | ||||
04/30/2033 | 3.150% | EUR | 250,000 | 267,534 |
Total Foreign Government Obligations (Cost $260,569) | 267,534 | |||
Inflation-Indexed Bonds(b) 96.0% | ||||
Australia 1.1% | ||||
Australia Government Bond(a) | ||||
11/21/2027 | 0.750% | AUD | 183,689 | 119,908 |
09/20/2030 | 2.500% | AUD | 404,635 | 289,457 |
11/21/2032 | 0.250% | AUD | 44,447 | 26,206 |
08/21/2035 | 2.000% | AUD | 185,345 | 128,130 |
08/21/2040 | 1.250% | AUD | 141,047 | 86,550 |
02/21/2050 | 1.000% | AUD | 133,701 | 73,092 |
Australia Government Index-Linked Bond(a) | ||||
09/20/2025 | 3.000% | AUD | 400,739 | 279,232 |
Total | 1,002,575 | |||
Canada 1.7% | ||||
Canadian Government Real Return Bond | ||||
12/01/2026 | 4.250% | CAD | 258,216 | 209,946 |
12/01/2031 | 4.000% | CAD | 299,511 | 269,174 |
12/01/2036 | 3.000% | CAD | 265,750 | 236,355 |
12/01/2041 | 2.000% | CAD | 302,342 | 245,918 |
12/01/2044 | 1.500% | CAD | 304,412 | 229,398 |
12/01/2047 | 1.250% | CAD | 323,480 | 235,917 |
12/01/2050 | 0.500% | CAD | 210,593 | 126,161 |
Inflation-Indexed Bonds(b) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
12/01/2054 | 0.250% | CAD | 39,192 | 21,218 |
Total | 1,574,087 | |||
Denmark 0.1% | ||||
Denmark I/L Government Bond(a) | ||||
11/15/2030 | 0.100% | DKK | 843,668 | 118,628 |
France 9.1% | ||||
France Government Bond OAT(a) | ||||
03/01/2025 | 0.100% | EUR | 478,614 | 512,687 |
07/25/2027 | 1.850% | EUR | 838,464 | 962,075 |
07/25/2029 | 3.400% | EUR | 416,100 | 536,777 |
07/25/2030 | 0.700% | EUR | 614,475 | 683,921 |
07/25/2032 | 3.150% | EUR | 553,052 | 746,185 |
07/25/2047 | 0.100% | EUR | 458,681 | 449,334 |
French Republic Government Bond OAT(a) | ||||
07/25/2024 | 0.250% | EUR | 535,324 | 578,608 |
03/01/2026 | 0.100% | EUR | 449,672 | 480,894 |
03/01/2028 | 0.100% | EUR | 477,814 | 512,000 |
03/01/2029 | 0.100% | EUR | 471,816 | 501,740 |
07/25/2031 | 0.100% | EUR | 374,336 | 397,187 |
03/01/2032 | 0.100% | EUR | 151,208 | 161,392 |
03/01/2036 | 0.100% | EUR | 284,794 | 294,759 |
07/25/2036 | 0.100% | EUR | 349,563 | 358,756 |
07/25/2038 | 0.100% | EUR | 172,286 | 175,424 |
03/01/2039 | 0.550% | EUR | 65,000 | 72,920 |
07/25/2040 | 1.800% | EUR | 541,776 | 704,116 |
07/25/2053 | 0.100% | EUR | 189,514 | 184,235 |
Total | 8,313,010 | |||
Germany 2.7% | ||||
Bundesrepublik Deutschland Bundesobligation Inflation-Linked Bond(a) | ||||
04/15/2030 | 0.500% | EUR | 842,078 | 937,195 |
Deutsche Bundesrepublik Inflation-Linked Bond(a) | ||||
04/15/2026 | 0.100% | EUR | 673,119 | 718,245 |
04/15/2033 | 0.100% | EUR | 170,420 | 186,488 |
04/15/2046 | 0.100% | EUR | 541,292 | 613,939 |
Total | 2,455,867 | |||
Italy 5.7% | ||||
Italy Buoni Poliennali Del Tesoro(a) | ||||
09/15/2024 | 2.350% | EUR | 548,066 | 601,894 |
05/15/2026 | 0.650% | EUR | 268,865 | 284,057 |
09/15/2026 | 3.100% | EUR | 500,377 | 572,239 |
05/15/2028 | 1.300% | EUR | 618,069 | 661,584 |
09/15/2032 | 1.250% | EUR | 647,602 | 680,076 |
05/15/2033 | 0.100% | EUR | 415,823 | 381,685 |
09/15/2035 | 2.350% | EUR | 571,370 | 657,348 |
09/15/2041 | 2.550% | EUR | 559,243 | 674,213 |
05/15/2051 | 0.150% | EUR | 229,146 | 164,703 |
6 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Inflation-Indexed Bonds(b) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Italy Buoni Poliennali Del Tesoro | ||||
05/15/2030 | 0.400% | EUR | 515,949 | 514,983 |
Total | 5,192,782 | |||
Japan 2.8% | ||||
Japanese Government CPI-Linked Bond | ||||
09/10/2024 | 0.100% | JPY | 45,454,200 | 323,808 |
03/10/2025 | 0.100% | JPY | 62,964,100 | 450,621 |
03/10/2026 | 0.100% | JPY | 41,431,416 | 300,815 |
03/10/2027 | 0.100% | JPY | 48,727,315 | 357,245 |
03/10/2028 | 0.100% | JPY | 31,946,936 | 233,435 |
03/10/2029 | 0.100% | JPY | 50,909,649 | 374,122 |
03/10/2030 | 0.200% | JPY | 13,595,140 | 99,455 |
03/10/2031 | 0.005% | JPY | 25,371,840 | 188,705 |
03/10/2032 | 0.005% | JPY | 27,710,255 | 205,588 |
03/10/2033 | 0.005% | JPY | 7,433,226 | 55,307 |
Total | 2,589,101 | |||
New Zealand 0.4% | ||||
New Zealand Government Inflation-Linked Bond(a) | ||||
09/20/2030 | 3.000% | NZD | 112,773 | 72,944 |
09/20/2035 | 2.500% | NZD | 250,462 | 153,502 |
New Zealand Government Inflation-Linked Bond | ||||
09/20/2040 | 2.500% | NZD | 253,967 | 152,455 |
Total | 378,901 | |||
Spain 2.7% | ||||
Spain Government Inflation-Linked Bond(a) | ||||
11/30/2024 | 1.800% | EUR | 497,012 | 545,093 |
11/30/2027 | 0.650% | EUR | 543,554 | 582,743 |
11/30/2030 | 1.000% | EUR | 605,791 | 659,507 |
11/30/2033 | 0.700% | EUR | 606,574 | 633,373 |
Total | 2,420,716 | |||
Sweden 0.8% | ||||
Sweden Inflation-Linked Bond | ||||
06/01/2025 | 1.000% | SEK | 3,817,965 | 351,262 |
12/01/2028 | 3.500% | SEK | 1,958,761 | 206,263 |
Sweden Inflation-Linked Bond(a) | ||||
06/01/2030 | 0.125% | SEK | 427,972 | 37,617 |
06/01/2032 | 0.125% | SEK | 765,637 | 66,440 |
06/01/2039 | 0.125% | SEK | 292,884 | 23,851 |
Total | 685,433 | |||
United Kingdom 20.4% | ||||
United Kingdom Gilt Inflation-Linked Bond(a) | ||||
07/17/2024 | 2.500% | GBP | 823,862 | 1,069,720 |
03/22/2026 | 0.125% | GBP | 541,354 | 663,367 |
11/22/2027 | 1.250% | GBP | 787,606 | 1,010,921 |
08/10/2028 | 0.125% | GBP | 667,540 | 815,631 |
03/22/2029 | 0.125% | GBP | 730,148 | 890,220 |
07/22/2030 | 4.125% | GBP | 383,960 | 614,786 |
Inflation-Indexed Bonds(b) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
08/10/2031 | 0.125% | GBP | 317,435 | 392,151 |
03/22/2034 | 0.750% | GBP | 569,885 | 731,846 |
01/26/2035 | 2.000% | GBP | 557,361 | 823,875 |
11/22/2036 | 0.125% | GBP | 566,327 | 664,316 |
11/22/2037 | 1.125% | GBP | 709,682 | 942,061 |
03/22/2039 | 0.125% | GBP | 263,840 | 298,889 |
03/22/2040 | 0.625% | GBP | 731,748 | 894,355 |
08/10/2041 | 0.125% | GBP | 485,877 | 539,269 |
11/22/2042 | 0.625% | GBP | 649,220 | 783,643 |
03/22/2044 | 0.125% | GBP | 722,771 | 770,836 |
03/22/2046 | 0.125% | GBP | 685,470 | 714,191 |
11/22/2047 | 0.750% | GBP | 581,521 | 697,870 |
08/10/2048 | 0.125% | GBP | 468,048 | 480,725 |
03/22/2050 | 0.500% | GBP | 624,264 | 704,151 |
03/22/2051 | 0.125% | GBP | 297,874 | 301,057 |
03/22/2052 | 0.250% | GBP | 531,362 | 557,879 |
11/22/2055 | 1.250% | GBP | 576,076 | 804,195 |
11/22/2056 | 0.125% | GBP | 276,978 | 276,934 |
03/22/2058 | 0.125% | GBP | 447,265 | 446,729 |
03/22/2062 | 0.375% | GBP | 576,996 | 635,544 |
11/22/2065 | 0.125% | GBP | 326,371 | 329,124 |
03/22/2068 | 0.125% | GBP | 531,019 | 535,736 |
03/22/2073 | 0.125% | GBP | 157,187 | 168,855 |
Total | 18,558,876 | |||
United States 48.5% | ||||
U.S. Treasury Inflation-Indexed Bond | ||||
07/15/2024 | 0.125% | 1,092,357 | 1,059,599 | |
10/15/2024 | 0.125% | 1,182,400 | 1,140,366 | |
01/15/2025 | 0.250% | 166,504 | 159,581 | |
01/15/2025 | 2.375% | 1,359,926 | 1,345,681 | |
04/15/2025 | 0.125% | 1,236,119 | 1,175,801 | |
10/15/2025 | 0.125% | 1,052,244 | 997,699 | |
01/15/2026 | 0.625% | 1,678,887 | 1,600,905 | |
01/15/2026 | 2.000% | 855,932 | 844,383 | |
04/15/2026 | 0.125% | 1,382,340 | 1,296,082 | |
07/15/2026 | 0.125% | 1,374,431 | 1,290,921 | |
10/15/2026 | 0.125% | 1,171,229 | 1,095,044 | |
01/15/2027 | 0.375% | 1,420,869 | 1,333,042 | |
01/15/2027 | 2.375% | 804,800 | 808,776 | |
04/15/2027 | 0.125% | 1,391,400 | 1,287,695 | |
07/15/2027 | 0.375% | 1,196,745 | 1,121,777 | |
10/15/2027 | 1.625% | 947,274 | 933,382 | |
01/15/2028 | 0.500% | 1,609,751 | 1,505,735 | |
01/15/2028 | 1.750% | 658,867 | 651,153 | |
04/15/2028 | 1.250% | 328,698 | 318,081 | |
04/15/2028 | 3.625% | 902,173 | 968,157 | |
07/15/2028 | 0.750% | 1,116,691 | 1,058,441 | |
01/15/2029 | 0.875% | 1,409,398 | 1,334,370 | |
01/15/2029 | 2.500% | 589,911 | 607,587 | |
04/15/2029 | 3.875% | 922,675 | 1,019,280 | |
07/15/2029 | 0.250% | 1,429,094 | 1,305,253 | |
01/15/2030 | 0.125% | 1,385,442 | 1,242,958 | |
07/15/2030 | 0.125% | 1,484,916 | 1,331,321 | |
01/15/2031 | 0.125% | 1,509,141 | 1,341,380 | |
04/15/2032 | 3.375% | 223,891 | 254,565 | |
07/15/2032 | 0.625% | 1,482,636 | 1,363,130 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2023 | 7 |
June 30, 2023 (Unaudited)
Inflation-Indexed Bonds(b) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
02/15/2040 | 2.125% | 621,773 | 667,275 | |
02/15/2041 | 2.125% | 969,696 | 1,040,016 | |
02/15/2042 | 0.750% | 918,304 | 779,777 | |
02/15/2043 | 0.625% | 824,675 | 676,185 | |
02/15/2044 | 1.375% | 885,129 | 833,404 | |
02/15/2045 | 0.750% | 869,582 | 718,493 | |
02/15/2046 | 1.000% | 761,784 | 660,860 | |
02/15/2047 | 0.875% | 634,644 | 532,431 | |
02/15/2048 | 1.000% | 676,610 | 581,803 | |
02/15/2049 | 1.000% | 536,479 | 461,516 | |
02/15/2050 | 0.250% | 466,084 | 325,886 | |
02/15/2051 | 0.125% | 576,779 | 384,668 | |
02/15/2052 | 0.125% | 625,195 | 414,654 | |
02/15/2053 | 1.500% | 301,062 | 293,103 | |
U.S. Treasury Inflation-Indexed Bond(d) | ||||
07/15/2031 | 0.125% | 1,465,759 | 1,300,259 | |
01/15/2032 | 0.125% | 1,575,893 | 1,387,721 | |
01/15/2033 | 1.125% | 1,385,051 | 1,327,963 | |
Total | 44,178,159 | |||
Total Inflation-Indexed Bonds (Cost $102,974,290) | 87,468,135 | |||
Residential Mortgage-Backed Securities - Agency 2.8% | ||||
United States 2.8% | ||||
Uniform Mortgage-Backed Security TBA(e) | ||||
07/13/2053 | 5.000% | 1,277,680 | 1,251,927 | |
07/13/2053 | 5.500% | 1,249,954 | 1,243,899 | |
Total | 2,495,826 | |||
Total Residential Mortgage-Backed Securities - Agency (Cost $2,504,737) | 2,495,826 | |||
Residential Mortgage-Backed Securities - Non-Agency 1.1% | ||||
United States 1.1% | ||||
CIM Trust(a),(f) | ||||
CMO Series 2023-I2 Class A1 | ||||
12/25/2067 | 6.639% | 180,000 | 179,412 | |
CSMC Trust(a),(f) | ||||
CMO Series 2022-NQM5 Class A1 | ||||
05/25/2067 | 5.169% | 257,631 | 247,767 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Ellington Financial Mortgage Trust(a),(f) | ||||
CMO Series 2021-3 Class A1 | ||||
09/25/2066 | 1.241% | 134,220 | 103,291 | |
Homeward Opportunities Fund Trust(a),(g) | ||||
CMO Series 2022-1 Class A1 | ||||
07/25/2067 | 5.057% | 100,151 | 96,149 | |
PRKCM Trust(a),(f) | ||||
CMO Series 2022-AFC2 Class A1 | ||||
08/25/2057 | 5.335% | 95,532 | 93,717 | |
SG Residential Mortgage Trust(a),(f) | ||||
CMO Series 2021-1 Class A1 | ||||
07/25/2061 | 1.160% | 156,479 | 119,953 | |
CMO Series 2022-2 Class A1 | ||||
08/25/2062 | 5.345% | 93,413 | 91,226 | |
Verus Securitization Trust(a),(f) | ||||
CMO Series 2022-7 Class A1 | ||||
07/25/2067 | 5.350% | 105,271 | 101,363 | |
Total | 1,032,878 | |||
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $1,051,934) | 1,032,878 |
Put Option Contracts Purchased 0.2% | |||||
Value ($) | |||||
(Cost $79,054) | 208,625 |
Money Market Funds 1.9% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(h),(i) | 1,748,291 | 1,747,592 |
Total Money Market Funds (Cost $1,747,592) | 1,747,592 | |
Total Investments in Securities (Cost $109,187,008) | 93,776,123 | |
Other Assets & Liabilities, Net | (2,667,219) | |
Net Assets | $91,108,904 |
8 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
2,200,000 CAD | 1,618,706 USD | Citi | 07/05/2023 | — | (41,984) |
829,000 DKK | 119,790 USD | Citi | 07/05/2023 | — | (1,702) |
158,472 GBP | 197,863 USD | Citi | 07/05/2023 | — | (3,396) |
632,000 NZD | 382,588 USD | Citi | 07/05/2023 | — | (5,270) |
7,170,000 SEK | 662,440 USD | Citi | 07/05/2023 | — | (2,351) |
1,552,617 USD | 2,056,000 CAD | Citi | 07/05/2023 | — | (626) |
80,046 USD | 73,000 EUR | Citi | 07/05/2023 | — | (388) |
383,140 USD | 628,000 NZD | Citi | 07/05/2023 | 2,264 | — |
2,056,000 CAD | 1,553,208 USD | Citi | 08/02/2023 | 506 | — |
425,969 GBP | 541,669 USD | Citi | 08/02/2023 | 569 | — |
4,409,929 JPY | 30,639 USD | Citi | 08/02/2023 | — | (65) |
628,000 NZD | 383,095 USD | Citi | 08/02/2023 | — | (2,262) |
357,440 SEK | 33,134 USD | Citi | 08/02/2023 | — | (53) |
20,790 USD | 31,208 AUD | Citi | 08/02/2023 | 18 | — |
1,548,000 AUD | 1,014,269 USD | Deutsche Bank | 07/05/2023 | — | (16,931) |
17,259,332 EUR | 18,550,773 USD | Deutsche Bank | 07/05/2023 | — | (282,610) |
15,626,000 GBP | 19,445,506 USD | Deutsche Bank | 07/05/2023 | — | (399,514) |
374,486,293 JPY | 2,692,287 USD | Deutsche Bank | 07/05/2023 | 97,004 | — |
1,023,271 USD | 1,542,000 AUD | Deutsche Bank | 07/05/2023 | 3,932 | — |
45,384 USD | 61,635 CAD | Deutsche Bank | 07/05/2023 | 1,142 | — |
121,788 USD | 829,000 DKK | Deutsche Bank | 07/05/2023 | — | (296) |
18,686,638 USD | 17,184,000 EUR | Deutsche Bank | 07/05/2023 | 64,543 | — |
19,766,226 USD | 15,682,977 GBP | Deutsche Bank | 07/05/2023 | 151,155 | — |
75,175 USD | 59,000 GBP | Deutsche Bank | 07/05/2023 | — | (245) |
2,583,334 USD | 373,549,000 JPY | Deutsche Bank | 07/05/2023 | 5,453 | — |
660,401 USD | 7,129,772 SEK | Deutsche Bank | 07/05/2023 | 660 | — |
1,542,000 AUD | 1,024,072 USD | Deutsche Bank | 08/02/2023 | — | (4,067) |
829,000 DKK | 121,992 USD | Deutsche Bank | 08/02/2023 | 281 | — |
50,213 EUR | 54,879 USD | Deutsche Bank | 08/02/2023 | 3 | — |
17,184,000 EUR | 18,712,668 USD | Deutsche Bank | 08/02/2023 | — | (66,901) |
14,381,000 GBP | 18,153,578 USD | Deutsche Bank | 08/02/2023 | — | (114,319) |
373,549,000 JPY | 2,594,270 USD | Deutsche Bank | 08/02/2023 | — | (6,572) |
7,067,000 SEK | 655,437 USD | Deutsche Bank | 08/02/2023 | — | (715) |
Total | 327,530 | (950,267) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
3-Month SOFR | 17 | 06/2024 | USD | 4,032,613 | — | (12,639) |
3-Month SOFR | 10 | 09/2024 | USD | 2,381,000 | — | (6,016) |
3-Month SONIA | 2 | 06/2024 | GBP | 468,850 | — | (2,186) |
3-Month SONIA | 4 | 09/2024 | GBP | 938,950 | — | (1,835) |
Long Gilt | 8 | 09/2023 | GBP | 762,400 | — | (27,988) |
U.S. Treasury 2-Year Note | 16 | 09/2023 | USD | 3,253,500 | — | (8,919) |
Total | — | (59,583) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Euro-BTP | (1) | 09/2023 | EUR | (116,110) | — | (1,855) |
Euro-OAT | (1) | 09/2023 | EUR | (128,400) | — | (726) |
Japanese 10-Year Government Bond | (2) | 09/2023 | JPY | (297,100,000) | — | (9,374) |
U.S. Long Bond | (2) | 09/2023 | USD | (253,813) | — | (589) |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2023 | 9 |
June 30, 2023 (Unaudited)
Short futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 10-Year Note | (8) | 09/2023 | USD | (898,125) | 14,177 | — |
U.S. Treasury 5-Year Note | (7) | 09/2023 | USD | (749,656) | 5,987 | — |
Total | 20,164 | (12,544) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
1-Year Mid-Curve SOFR | UBS | USD | 4,558,813 | 19 | 96.00 | 10/13/2023 | 9,400 | 18,644 |
3-Month SOFR | UBS | USD | 11,830,000 | 50 | 95.63 | 10/13/2023 | 52,606 | 130,000 |
3-Month SOFR | UBS | USD | 7,098,000 | 30 | 95.00 | 10/13/2023 | 8,336 | 36,562 |
3-Month SOFR | UBS | USD | 4,732,000 | 20 | 94.88 | 10/13/2023 | 4,543 | 19,500 |
3-Month SOFR | UBS | USD | 4,495,400 | 19 | 94.38 | 10/13/2023 | 4,169 | 3,919 |
Total | 79,054 | 208,625 |
Call option contracts written | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Premium received ($) | Value ($) |
5-Year OTC interest rate swap with Deutsche Bank to receive SOFR and pay exercise rate | Deutsche Bank | USD | (674,000) | (674,000) | 3.31 | 6/14/2024 | (13,901) | (11,671) |
Put option contracts written | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Premium received ($) | Value ($) |
1-Year Mid-Curve SOFR | UBS | USD | (4,558,813) | (19) | 95.75 | 10/13/2023 | (6,064) | (12,944) |
2-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | (257,000) | (257,000) | 4.15 | 08/22/2023 | (694) | (3,020) |
2-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | (247,000) | (247,000) | 4.10 | 08/23/2023 | (593) | (3,100) |
2-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | (257,000) | (257,000) | 4.13 | 08/23/2023 | (668) | (3,103) |
2-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | (494,000) | (494,000) | 4.43 | 08/31/2023 | (1,210) | (3,762) |
2-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | (494,000) | (494,000) | 4.30 | 08/31/2023 | (1,235) | (4,631) |
2-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | (494,000) | (494,000) | 4.61 | 09/05/2023 | (1,383) | (2,745) |
2-Year OTC interest rate swap with Citi to receive exercise rate and pay SONIA | Citi | GBP | (430,000) | (430,000) | 4.92 | 09/07/2023 | (2,187) | (10,796) |
2-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay SOFR | Deutsche Bank | USD | (514,000) | (514,000) | 4.05 | 08/14/2023 | (1,388) | (6,921) |
2-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay SOFR | Deutsche Bank | USD | (247,000) | (247,000) | 4.11 | 08/22/2023 | (593) | (3,059) |
2-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay SOFR | Deutsche Bank | USD | (495,000) | (495,000) | 4.18 | 08/24/2023 | (1,262) | (5,558) |
2-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay SOFR | Deutsche Bank | USD | (494,000) | (494,000) | 4.39 | 09/05/2023 | (1,383) | (4,031) |
3-Month SOFR | UBS | USD | (4,495,400) | (19) | 94.63 | 10/13/2023 | (6,736) | (9,975) |
3-Month SOFR | UBS | USD | (4,732,000) | (20) | 95.13 | 10/13/2023 | (8,957) | (29,625) |
3-Month SOFR | UBS | USD | (7,098,000) | (30) | 95.25 | 10/13/2023 | (15,199) | (52,500) |
3-Month SOFR | UBS | USD | (11,830,000) | (50) | 95.38 | 10/13/2023 | (33,644) | (101,563) |
5-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay SOFR | Deutsche Bank | USD | (674,000) | (674,000) | 3.31 | 06/14/2024 | (13,901) | (16,629) |
Total | (97,097) | (273,962) |
10 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
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 5.283% | 1-Day Overnight Fed Funds Effective Rate | Receives Annually, Pays Annually | Goldman Sachs | 09/20/2023 | USD | 8,500,000 | (199) | — | — | — | (199) |
Fixed rate of 5.280% | 1-Day Overnight Fed Funds Effective Rate | Receives Annually, Pays Annually | Goldman Sachs | 09/20/2023 | USD | 8,427,000 | (237) | — | — | — | (237) |
U.S. CPI Urban Consumers NSA | Fixed rate of 2.995% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 10/21/2024 | USD | 125,000 | (285) | — | — | — | (285) |
U.S. CPI Urban Consumers NSA | Fixed rate of 2.483% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 12/23/2024 | USD | 1,500,000 | 6,676 | — | — | 6,676 | — |
U.S. CPI Urban Consumers NSA | Fixed rate of 2.313% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 01/06/2025 | USD | 125,000 | 835 | — | — | 835 | — |
U.S. CPI Urban Consumers NSA | Fixed rate of 2.540% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 03/30/2025 | USD | 1,850,000 | 1,299 | — | — | 1,299 | — |
U.S. CPI Urban Consumers NSA | Fixed rate of 2.157% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 05/18/2025 | USD | 125,000 | 873 | — | — | 873 | — |
Eurostat Eurozone HICP ex-Tobacco NSA | Fixed rate of 2.409% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 05/15/2028 | EUR | 185,000 | 664 | — | — | 664 | — |
U.S. CPI Urban Consumers NSA | Fixed rate of 2.414% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 06/02/2028 | USD | 550,000 | 3,150 | — | — | 3,150 | — |
Fixed rate of 2.554% | U.S. CPI Urban Consumers NSA | Receives at Maturity, Pays at Maturity | Goldman Sachs | 02/10/2033 | USD | 55,000 | (278) | — | — | — | (278) |
TONA | Fixed rate of 0.885% | Receives Annually, Pays Annually | Goldman Sachs | 02/15/2033 | JPY | 4,698,870 | (1,102) | — | — | — | (1,102) |
TONA | Fixed rate of 0.898% | Receives Annually, Pays Annually | Goldman Sachs | 02/15/2033 | JPY | 4,698,870 | (1,142) | — | — | — | (1,142) |
TONA | Fixed rate of 0.900% | Receives Annually, Pays Annually | Goldman Sachs | 02/15/2033 | JPY | 9,397,740 | (2,300) | — | — | — | (2,300) |
TONA | Fixed rate of 0.918% | Receives Annually, Pays Annually | Goldman Sachs | 02/15/2033 | JPY | 13,610,520 | (3,494) | — | — | — | (3,494) |
UK Retail Price Index All Items Monthly | Fixed rate of 3.790% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 03/15/2033 | GBP | 790,000 | 35,268 | — | — | 35,268 | — |
Fixed rate of 2.438% | Eurostat Eurozone HICP ex-Tobacco NSA | Receives at Maturity, Pays at Maturity | Goldman Sachs | 05/15/2033 | EUR | 185,000 | (1,307) | — | — | — | (1,307) |
Fixed rate of 3.540% | CORRA | Receives SemiAnnually, Pays SemiAnnually | Goldman Sachs | 06/15/2033 | CAD | 390,388 | 2,126 | — | — | 2,126 | — |
Fixed rate of 3.540% | CORRA | Receives SemiAnnually, Pays SemiAnnually | Goldman Sachs | 06/22/2033 | CAD | 80,000 | 459 | — | — | 459 | — |
Fixed rate of 4.275% | SONIA | Receives Annually, Pays Annually | Goldman Sachs | 06/27/2033 | GBP | 106,000 | (909) | — | — | — | (909) |
Fixed rate of 2.433% | Eurostat Eurozone HICP ex-Tobacco NSA | Receives at Maturity, Pays at Maturity | Goldman Sachs | 07/15/2052 | EUR | 5,000 | (747) | — | — | — | (747) |
Eurostat Eurozone HICP ex-Tobacco NSA | Fixed rate of 2.604% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 08/15/2052 | EUR | 15,000 | 1,268 | — | — | 1,268 | — |
Fixed rate of 2.441% | Eurostat Eurozone HICP ex-Tobacco NSA | Receives at Maturity, Pays at Maturity | Goldman Sachs | 08/15/2052 | EUR | 30,000 | (4,179) | — | — | — | (4,179) |
U.S. CPI Urban Consumers NSA | Fixed rate of 2.493% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 12/12/2052 | USD | 20,000 | 1 | — | — | 1 | — |
Fixed rate of 2.641% | Eurostat Eurozone HICP ex-Tobacco NSA | Receives at Maturity, Pays at Maturity | Goldman Sachs | 03/15/2053 | EUR | 5,000 | (199) | — | — | — | (199) |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2023 | 11 |
June 30, 2023 (Unaudited)
Cleared interest rate swap contracts (continued) | |||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Fixed rate of 2.688% | Eurostat Eurozone HICP ex-Tobacco NSA | Receives at Maturity, Pays at Maturity | Goldman Sachs | 03/15/2053 | EUR | 10,000 | (237) | — | — | — | (237) |
Fixed rate of 2.700% | Eurostat Eurozone HICP ex-Tobacco NSA | Receives at Maturity, Pays at Maturity | Goldman Sachs | 04/15/2053 | EUR | 5,000 | (45) | — | — | — | (45) |
Fixed rate of 2.751% | Eurostat Eurozone HICP ex-Tobacco NSA | Receives at Maturity, Pays at Maturity | Goldman Sachs | 05/15/2053 | EUR | 10,000 | 98 | — | — | 98 | — |
U.S. CPI Urban Consumers NSA | Fixed rate of 2.450% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 06/09/2053 | USD | 23,750 | 149 | — | — | 149 | — |
U.S. CPI Urban Consumers NSA | Fixed rate of 2.458% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 06/09/2053 | USD | 23,750 | 103 | — | — | 103 | — |
Fixed rate of 2.772% | Eurostat Eurozone HICP ex-Tobacco NSA | Receives at Maturity, Pays at Maturity | Goldman Sachs | 06/15/2053 | EUR | 17,500 | 239 | — | — | 239 | — |
Fixed rate of 2.765% | Eurostat Eurozone HICP ex-Tobacco NSA | Receives at Maturity, Pays at Maturity | Goldman Sachs | 06/15/2053 | EUR | 17,500 | 216 | — | — | 216 | — |
Fixed rate of 2.725% | Eurostat Eurozone HICP ex-Tobacco NSA | Receives at Maturity, Pays at Maturity | Goldman Sachs | 06/15/2053 | EUR | 30,000 | (53) | — | — | — | (53) |
CORRA | Fixed rate of 3.404% | Receives SemiAnnually, Pays SemiAnnually | Goldman Sachs | 06/15/2053 | CAD | 174,000 | (4,669) | — | — | — | (4,669) |
CORRA | Fixed rate of 3.362% | Receives SemiAnnually, Pays SemiAnnually | Goldman Sachs | 06/22/2053 | CAD | 35,000 | (746) | — | — | — | (746) |
SONIA | Fixed rate of 3.745% | Receives Annually, Pays Annually | Goldman Sachs | 06/27/2053 | GBP | 47,000 | 847 | — | — | 847 | — |
U.S. CPI Urban Consumers NSA | Fixed rate of 2.425% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 06/30/2053 | USD | 45,000 | 510 | — | — | 510 | — |
Total | 32,653 | — | — | 54,781 | (22,128) |
Reference index and values for swap contracts as of period end | ||
Reference index | Reference rate | |
1-Day Overnight Fed Funds Effective Rate | Overnight Federal Funds Effective Rate | 5.070% |
CORRA | Canadian Overnight Repo Rate Average | 4.750% |
Eurostat Eurozone HICP ex-Tobacco NSA | Harmonised Index of Consumer Price Index Excluding Tobacco | 5.500% |
SONIA | Sterling Overnight Index Average | 4.929% |
TONA | Tokyo Overnight Average Rate | (0.077%) |
UK Retail Price Index All Items Monthly | United Kingdom Retail Price Index All Items | 7.900% |
U.S. CPI Urban Consumers NSA | United States Consumer Price All Urban Non-Seasonally Adjusted Index | 2.969% |
(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, 2023, the total value of these securities amounted to $39,757,770, which represents 43.64% of total net assets. |
(b) | Principal amounts are denominated in United States Dollars unless otherwise noted. |
(c) | Principal and interest may not be guaranteed by a governmental entity. |
(d) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(e) | Represents a security purchased on a when-issued basis. |
12 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
(f) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of June 30, 2023. |
(g) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of June 30, 2023. |
(h) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
(i) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | ||||||||
100,076 | 17,893,919 | (16,246,403) | — | 1,747,592 | (532) | 22,566 | 1,748,291 |
CMO | Collateralized Mortgage Obligation |
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 |
NZD | New Zealand Dollar |
SEK | Swedish Krona |
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). |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2023 | 13 |
June 30, 2023 (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 | ||||
Commercial Mortgage-Backed Securities - Non-Agency | — | 555,533 | — | 555,533 |
Foreign Government Obligations | — | 267,534 | — | 267,534 |
Inflation-Indexed Bonds | — | 87,468,135 | — | 87,468,135 |
Residential Mortgage-Backed Securities - Agency | — | 2,495,826 | — | 2,495,826 |
Residential Mortgage-Backed Securities - Non-Agency | — | 1,032,878 | — | 1,032,878 |
Put Option Contracts Purchased | 208,625 | — | — | 208,625 |
Money Market Funds | 1,747,592 | — | — | 1,747,592 |
Total Investments in Securities | 1,956,217 | 91,819,906 | — | 93,776,123 |
Investments in Derivatives | ||||
Asset | ||||
Forward Foreign Currency Exchange Contracts | — | 327,530 | — | 327,530 |
Futures Contracts | 20,164 | — | — | 20,164 |
Swap Contracts | — | 54,781 | — | 54,781 |
Liability | ||||
Forward Foreign Currency Exchange Contracts | — | (950,267) | — | (950,267) |
Futures Contracts | (72,127) | — | — | (72,127) |
Call Option Contracts Written | — | (11,671) | — | (11,671) |
Put Option Contracts Written | (206,607) | (67,355) | — | (273,962) |
Swap Contracts | — | (22,128) | — | (22,128) |
Total | 1,697,647 | 91,150,796 | — | 92,848,443 |
14 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $107,360,362) | $91,819,906 |
Affiliated issuers (cost $1,747,592) | 1,747,592 |
Option contracts purchased (cost $79,054) | 208,625 |
Cash | 1,473 |
Foreign currency (cost $135,462) | 135,354 |
Margin deposits on: | |
Futures contracts | 132,221 |
Swap contracts | 134,000 |
Unrealized appreciation on forward foreign currency exchange contracts | 327,530 |
Receivable for: | |
Investments sold | 694,658 |
Investments sold on a delayed delivery basis | 1,056,719 |
Capital shares sold | 8,796 |
Dividends | 5,147 |
Interest | 302,755 |
Foreign tax reclaims | 5,395 |
Variation margin for futures contracts | 2,587 |
Variation margin for swap contracts | 11,797 |
Expense reimbursement due from Investment Manager | 286 |
Prepaid expenses | 3,809 |
Total assets | 96,598,650 |
Liabilities | |
Option contracts written, at value (premiums received $110,998) | 285,633 |
Unrealized depreciation on forward foreign currency exchange contracts | 950,267 |
Payable for: | |
Investments purchased | 389,998 |
Investments purchased on a delayed delivery basis | 3,565,846 |
Capital shares redeemed | 74,166 |
Variation margin for futures contracts | 9,708 |
Variation margin for swap contracts | 4,533 |
Management services fees | 1,273 |
Distribution and/or service fees | 397 |
Service fees | 4,557 |
Compensation of board members | 164,919 |
Compensation of chief compliance officer | 9 |
Other expenses | 38,440 |
Total liabilities | 5,489,746 |
Net assets applicable to outstanding capital stock | $91,108,904 |
Represented by | |
Paid in capital | 106,501,028 |
Total distributable earnings (loss) | (15,392,124) |
Total - representing net assets applicable to outstanding capital stock | $91,108,904 |
Class 1 | |
Net assets | $1,228,377 |
Shares outstanding | 254,506 |
Net asset value per share | $4.83 |
Class 2 | |
Net assets | $25,906,173 |
Shares outstanding | 5,515,694 |
Net asset value per share | $4.70 |
Class 3 | |
Net assets | $63,974,354 |
Shares outstanding | 13,349,793 |
Net asset value per share | $4.79 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2023 | 15 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — affiliated issuers | $22,566 |
Interest | 2,210,834 |
Foreign taxes withheld | (41) |
Total income | 2,233,359 |
Expenses: | |
Management services fees | 241,459 |
Distribution and/or service fees | |
Class 2 | 33,479 |
Class 3 | 41,680 |
Service fees | 28,437 |
Compensation of board members | 8,099 |
Custodian fees | 19,028 |
Printing and postage fees | 7,173 |
Accounting services fees | 25,245 |
Legal fees | 6,546 |
Interest on collateral | 172 |
Compensation of chief compliance officer | 9 |
Other | 3,645 |
Total expenses | 414,972 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (55,542) |
Total net expenses | 359,430 |
Net investment income | 1,873,929 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (2,180,024) |
Investments — affiliated issuers | (532) |
Foreign currency translations | 17,105 |
Forward foreign currency exchange contracts | (1,052,911) |
Futures contracts | 217,900 |
Option contracts purchased | (78,739) |
Option contracts written | 79,746 |
Swap contracts | (122,705) |
Net realized loss | (3,120,160) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 2,354,384 |
Foreign currency translations | (1,606) |
Forward foreign currency exchange contracts | 411,262 |
Futures contracts | 8,841 |
Option contracts purchased | 160,324 |
Option contracts written | (215,701) |
Swap contracts | 132,191 |
Net change in unrealized appreciation (depreciation) | 2,849,695 |
Net realized and unrealized loss | (270,465) |
Net increase in net assets resulting from operations | $1,603,464 |
16 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment income | $1,873,929 | $6,836,254 |
Net realized gain (loss) | (3,120,160) | 543,664 |
Net change in unrealized appreciation (depreciation) | 2,849,695 | (28,804,165) |
Net increase (decrease) in net assets resulting from operations | 1,603,464 | (21,424,247) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | — | (69,557) |
Class 2 | — | (1,966,413) |
Class 3 | — | (4,926,070) |
Total distributions to shareholders | — | (6,962,040) |
Increase (decrease) in net assets from capital stock activity | (6,002,893) | 1,427,545 |
Total decrease in net assets | (4,399,429) | (26,958,742) |
Net assets at beginning of period | 95,508,333 | 122,467,075 |
Net assets at end of period | $91,108,904 | $95,508,333 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Shares sold | 36,079 | 174,512 | 169,425 | 929,298 |
Distributions reinvested | — | — | 13,351 | 69,557 |
Shares redeemed | (38,622) | (186,375) | (36,895) | (196,624) |
Net increase (decrease) | (2,543) | (11,863) | 145,881 | 802,231 |
Class 2 | ||||
Shares sold | 164,021 | 774,790 | 1,185,541 | 6,580,899 |
Distributions reinvested | — | — | 387,089 | 1,966,413 |
Shares redeemed | (457,225) | (2,149,365) | (942,057) | (4,816,870) |
Net increase (decrease) | (293,204) | (1,374,575) | 630,573 | 3,730,442 |
Class 3 | ||||
Shares sold | 176,359 | 848,339 | 520,950 | 2,750,832 |
Distributions reinvested | — | — | 950,979 | 4,926,070 |
Shares redeemed | (1,134,964) | (5,464,794) | (2,050,804) | (10,782,030) |
Net decrease | (958,605) | (4,616,455) | (578,875) | (3,105,128) |
Total net increase (decrease) | (1,254,352) | (6,002,893) | 197,579 | 1,427,545 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2023 | 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 6/30/2023 (Unaudited) | $4.74 | 0.10 | (0.01) | 0.09 | — | — | — |
Year Ended 12/31/2022 | $6.14 | 0.35 | (1.39) | (1.04) | (0.26) | (0.10) | (0.36) |
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) |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $4.62 | 0.09 | (0.01) | 0.08 | — | — | — |
Year Ended 12/31/2022 | $5.99 | 0.32 | (1.35) | (1.03) | (0.24) | (0.10) | (0.34) |
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) |
Class 3 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $4.71 | 0.10 | (0.02) | 0.08 | — | — | — |
Year Ended 12/31/2022 | $6.10 | 0.33 | (1.37) | (1.04) | (0.25) | (0.10) | (0.35) |
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) |
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) | Ratios include interest on collateral expense which is less than 0.01%. |
18 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2023 |
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 6/30/2023 (Unaudited) | $4.83 | 1.90% | 0.72%(c) | 0.60%(c) | 4.14% | 49% | $1,228 |
Year Ended 12/31/2022 | $4.74 | (17.51%) | 0.70%(c) | 0.60%(c) | 6.63% | 123% | $1,219 |
Year Ended 12/31/2021 | $6.14 | 4.56% | 0.72%(c) | 0.61%(c) | 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%(c) | 0.61%(c) | 0.57% | 62% | $28 |
Year Ended 12/31/2018 | $5.42 | (0.33%) | 0.71%(c) | 0.61%(c) | 1.41% | 118% | $11 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $4.70 | 1.73% | 0.97%(c) | 0.85%(c) | 3.88% | 49% | $25,906 |
Year Ended 12/31/2022 | $4.62 | (17.69%) | 0.94%(c) | 0.85%(c) | 6.21% | 123% | $26,850 |
Year Ended 12/31/2021 | $5.99 | 4.43% | 0.97%(c) | 0.87%(c) | 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%(c) | 0.86%(c) | 0.38% | 62% | $19,663 |
Year Ended 12/31/2018 | $5.30 | (0.71%) | 0.95%(c) | 0.86%(c) | 1.14% | 118% | $17,272 |
Class 3 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $4.79 | 1.70% | 0.84%(c) | 0.73%(c) | 3.98% | 49% | $63,974 |
Year Ended 12/31/2022 | $4.71 | (17.58%) | 0.82%(c) | 0.73%(c) | 6.26% | 123% | $67,438 |
Year Ended 12/31/2021 | $6.10 | 4.48% | 0.85%(c) | 0.74%(c) | 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%(c) | 0.73%(c) | 0.49% | 62% | $89,128 |
Year Ended 12/31/2018 | $5.39 | (0.51%) | 0.82%(c) | 0.74%(c) | 1.28% | 118% | $96,659 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2023 | 19 |
June 30, 2023 (Unaudited)
20 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2023 | 21 |
June 30, 2023 (Unaudited)
22 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2023 | 23 |
June 30, 2023 (Unaudited)
24 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 327,530 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 20,164* |
Interest rate risk | Investments, at value — Option contracts purchased | 208,625 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 54,781* |
Total | 611,100 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 950,267 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 72,127* |
Interest rate risk | Option contracts written, at value | 285,633 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 22,128* |
Total | 1,330,155 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin for futures and centrally cleared swaps, if any, is reported in receivables or payables in the Statement of Assets and Liabilities. |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2023 | 25 |
June 30, 2023 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Option contracts purchased ($) | Option contracts written ($) | Swap contracts ($) | Total ($) |
Foreign exchange risk | (1,052,911) | — | (5,877) | 1,675 | — | (1,057,113) |
Interest rate risk | — | 217,900 | (72,862) | 78,071 | (122,705) | 100,404 |
Total | (1,052,911) | 217,900 | (78,739) | 79,746 | (122,705) | (956,709) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Option contracts purchased ($) | Option contracts written ($) | Swap contracts ($) | Total ($) |
Foreign exchange risk | 411,262 | — | — | — | — | 411,262 |
Interest rate risk | — | 8,841 | 160,324 | (215,701) | 132,191 | 85,655 |
Total | 411,262 | 8,841 | 160,324 | (215,701) | 132,191 | 496,917 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 7,654,243 |
Futures contracts — short | 6,369,587 |
Derivative instrument | Average value ($)* |
Option contracts purchased | 120,033 |
Option contracts written | (171,195) |
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 265,768 | (1,070,313) |
Interest rate swap contracts | 50,172 | (23,118) |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2023. |
26 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2023 | 27 |
June 30, 2023 (Unaudited)
Citi ($) | Deutsche Bank ($) | Goldman Sachs ($) | UBS ($) | Total ($) | |
Assets | |||||
Centrally cleared interest rate swap contracts (a) | - | - | 11,797 | - | 11,797 |
Forward foreign currency exchange contracts | 3,357 | 324,173 | - | - | 327,530 |
Put option contracts purchased | - | - | - | 208,625 | 208,625 |
Total assets | 3,357 | 324,173 | 11,797 | 208,625 | 547,952 |
Liabilities | |||||
Centrally cleared interest rate swap contracts (a) | - | - | 4,533 | - | 4,533 |
Forward foreign currency exchange contracts | 58,097 | 892,170 | - | - | 950,267 |
Call option contracts written | - | 11,671 | - | - | 11,671 |
Put option contracts written | 31,157 | 36,198 | - | 206,607 | 273,962 |
Total liabilities | 89,254 | 940,039 | 4,533 | 206,607 | 1,240,433 |
Total financial and derivative net assets | (85,897) | (615,866) | 7,264 | 2,018 | (692,481) |
Total collateral received (pledged) (b) | (38,891) | (50,160) | - | - | (89,051) |
Net amount (c) | (47,006) | (565,706) | 7,264 | 2,018 | (603,430) |
(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. |
28 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2023 | 29 |
June 30, 2023 (Unaudited)
30 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Fee rate(s) contractual through April 30, 2024 | |
Class 1 | 0.60% |
Class 2 | 0.85 |
Class 3 | 0.725 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
109,076,000 | 852,000 | (17,080,000) | (16,228,000) |
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
(2,929,582) | (614,706) | (3,544,288) |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2023 | 31 |
June 30, 2023 (Unaudited)
32 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2023 | 33 |
June 30, 2023 (Unaudited)
34 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2023 | 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 2023 |
• | 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 one or more 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 2023 | 37 |
38 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2023 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2023 | 39 |
40 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
3 | |
5 | |
6 | |
10 | |
11 | |
12 | |
14 | |
16 | |
23 | |
23 |
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | 3.74 | 13.34 | 10.36 | 12.04 | |
Class 2 | 05/03/10 | 3.63 | 13.07 | 10.08 | 11.76 | |
Class 3 | 02/04/04 | 3.69 | 13.21 | 10.22 | 11.91 | |
Russell Midcap Value Index | 5.23 | 10.50 | 6.84 | 9.03 |
CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2023) | |
Common Stocks | 97.9 |
Money Market Funds | 2.1 |
Total | 100.0 |
Equity sector breakdown (%) (at June 30, 2023) | |
Communication Services | 1.0 |
Consumer Discretionary | 11.4 |
Consumer Staples | 3.5 |
Energy | 2.9 |
Financials | 14.2 |
Health Care | 7.3 |
Industrials | 26.2 |
Information Technology | 10.5 |
Materials | 10.9 |
Real Estate | 8.9 |
Utilities | 3.2 |
Total | 100.0 |
4 | CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | |||||||
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 | 1,037.40 | 1,020.89 | 4.11 | 4.08 | 0.81 |
Class 2 | 1,000.00 | 1,000.00 | 1,036.30 | 1,019.65 | 5.38 | 5.34 | 1.06 |
Class 3 | 1,000.00 | 1,000.00 | 1,036.90 | 1,020.24 | 4.77 | 4.73 | 0.94 |
CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (Unaudited)
Common Stocks 97.7% | ||
Issuer | Shares | Value ($) |
Communication Services 1.0% | ||
Entertainment 1.0% | ||
Live Nation Entertainment, Inc.(a) | 53,400 | 4,865,274 |
Total Communication Services | 4,865,274 | |
Consumer Discretionary 11.1% | ||
Auto Components 3.1% | ||
Aptiv PLC(a) | 65,600 | 6,697,104 |
BorgWarner, Inc. | 162,700 | 7,957,657 |
Total | 14,654,761 | |
Hotels, Restaurants & Leisure 4.0% | ||
Darden Restaurants, Inc. | 34,000 | 5,680,720 |
Hilton Worldwide Holdings, Inc. | 32,900 | 4,788,595 |
Yum! Brands, Inc. | 61,200 | 8,479,260 |
Total | 18,948,575 | |
Specialty Retail 1.8% | ||
Ross Stores, Inc. | 78,700 | 8,824,631 |
Textiles, Apparel & Luxury Goods 2.2% | ||
Ralph Lauren Corp. | 49,000 | 6,041,700 |
Tapestry, Inc. | 110,800 | 4,742,240 |
Total | 10,783,940 | |
Total Consumer Discretionary | 53,211,907 | |
Consumer Staples 3.4% | ||
Consumer Staples Distribution & Retail 2.4% | ||
BJ’s Wholesale Club Holdings, Inc.(a) | 62,600 | 3,944,426 |
Sysco Corp. | 101,400 | 7,523,880 |
Total | 11,468,306 | |
Food Products 1.0% | ||
Tyson Foods, Inc., Class A | 93,200 | 4,756,928 |
Total Consumer Staples | 16,225,234 | |
Energy 2.8% | ||
Oil, Gas & Consumable Fuels 2.8% | ||
Coterra Energy, Inc. | 283,000 | 7,159,900 |
Devon Energy Corp. | 129,400 | 6,255,196 |
Total | 13,415,096 | |
Total Energy | 13,415,096 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Financials 13.9% | ||
Banks 1.7% | ||
Huntington Bancshares, Inc. | 217,000 | 2,339,260 |
Prosperity Bancshares, Inc. | 102,800 | 5,806,144 |
Total | 8,145,404 | |
Capital Markets 2.8% | ||
Bank of New York Mellon Corp. (The) | 158,700 | 7,065,324 |
T. Rowe Price Group, Inc. | 55,600 | 6,228,312 |
Total | 13,293,636 | |
Financial Services 1.3% | ||
Global Payments, Inc. | 63,700 | 6,275,724 |
Insurance 8.1% | ||
American Financial Group, Inc. | 64,100 | 7,611,875 |
Everest Re Group Ltd. | 21,100 | 7,213,246 |
Hartford Financial Services Group, Inc. (The) | 66,200 | 4,767,724 |
Old Republic International Corp. | 286,700 | 7,216,239 |
Progressive Corp. (The) | 50,300 | 6,658,211 |
WR Berkley Corp. | 89,000 | 5,300,840 |
Total | 38,768,135 | |
Total Financials | 66,482,899 | |
Health Care 7.1% | ||
Health Care Equipment & Supplies 4.4% | ||
Cooper Companies, Inc. (The) | 17,500 | 6,710,025 |
Hologic, Inc.(a) | 80,300 | 6,501,891 |
Zimmer Biomet Holdings, Inc. | 52,900 | 7,702,240 |
Total | 20,914,156 | |
Health Care Providers & Services 2.7% | ||
Molina Healthcare, Inc.(a) | 16,400 | 4,940,336 |
Quest Diagnostics, Inc. | 57,300 | 8,054,088 |
Total | 12,994,424 | |
Total Health Care | 33,908,580 | |
Industrials 25.6% | ||
Aerospace & Defense 1.8% | ||
Textron, Inc. | 125,500 | 8,487,565 |
6 | CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Building Products 2.3% | ||
Carrier Global Corp. | 116,600 | 5,796,186 |
Owens Corning | 40,100 | 5,233,050 |
Total | 11,029,236 | |
Commercial Services & Supplies 1.4% | ||
Republic Services, Inc. | 43,700 | 6,693,529 |
Electrical Equipment 1.0% | ||
Hubbell, Inc. | 14,400 | 4,774,464 |
Ground Transportation 2.7% | ||
JB Hunt Transport Services, Inc. | 40,200 | 7,277,406 |
Landstar System, Inc. | 28,100 | 5,410,374 |
Total | 12,687,780 | |
Machinery 8.0% | ||
AGCO Corp. | 44,600 | 5,861,332 |
Lincoln Electric Holdings, Inc. | 24,000 | 4,767,120 |
Middleby Corp. (The)(a) | 52,600 | 7,775,858 |
Oshkosh Corp. | 48,200 | 4,173,638 |
Parker-Hannifin Corp. | 10,100 | 3,939,404 |
Toro Co. (The) | 58,200 | 5,916,030 |
Xylem, Inc. | 52,000 | 5,856,240 |
Total | 38,289,622 | |
Passenger Airlines 1.6% | ||
Alaska Air Group, Inc.(a) | 148,200 | 7,881,276 |
Professional Services 6.8% | ||
FTI Consulting, Inc.(a) | 21,600 | 4,108,320 |
Genpact Ltd. | 171,300 | 6,435,741 |
Leidos Holdings, Inc. | 82,000 | 7,255,360 |
ManpowerGroup, Inc. | 56,700 | 4,501,980 |
MAXIMUS, Inc. | 79,100 | 6,684,741 |
TransUnion | 47,400 | 3,712,842 |
Total | 32,698,984 | |
Total Industrials | 122,542,456 | |
Information Technology 10.2% | ||
Communications Equipment 1.0% | ||
Motorola Solutions, Inc. | 16,600 | 4,868,448 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Electronic Equipment, Instruments & Components 3.5% | ||
Amphenol Corp., Class A | 93,900 | 7,976,805 |
Flex Ltd.(a) | 307,700 | 8,504,828 |
Total | 16,481,633 | |
Semiconductors & Semiconductor Equipment 3.3% | ||
MKS Instruments, Inc. | 77,100 | 8,334,510 |
Skyworks Solutions, Inc. | 68,200 | 7,549,058 |
Total | 15,883,568 | |
Technology Hardware, Storage & Peripherals 2.4% | ||
Hewlett Packard Enterprise Co. | 286,500 | 4,813,200 |
Western Digital Corp.(a) | 180,500 | 6,846,365 |
Total | 11,659,565 | |
Total Information Technology | 48,893,214 | |
Materials 10.7% | ||
Chemicals 2.8% | ||
RPM International, Inc. | 66,900 | 6,002,937 |
Westlake Corp. | 59,900 | 7,156,253 |
Total | 13,159,190 | |
Containers & Packaging 5.7% | ||
AptarGroup, Inc. | 47,900 | 5,549,694 |
Avery Dennison Corp. | 42,500 | 7,301,500 |
Crown Holdings, Inc. | 82,400 | 7,158,088 |
Packaging Corp. of America | 54,400 | 7,189,504 |
Total | 27,198,786 | |
Metals & Mining 2.2% | ||
Franco-Nevada Corp. | 47,300 | 6,744,980 |
Reliance Steel & Aluminum Co. | 14,100 | 3,829,419 |
Total | 10,574,399 | |
Total Materials | 50,932,375 | |
Real Estate 8.7% | ||
Office REITs 1.6% | ||
Alexandria Real Estate Equities, Inc. | 66,700 | 7,569,783 |
Residential REITs 3.7% | ||
American Homes 4 Rent, Class A | 105,400 | 3,736,430 |
Camden Property Trust | 65,200 | 7,098,324 |
Equity LifeStyle Properties, Inc. | 101,000 | 6,755,890 |
Total | 17,590,644 |
CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2023 | 7 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Retail REITs 1.7% | ||
NNN REIT, Inc. | 189,100 | 8,091,589 |
Specialized REITs 1.7% | ||
Lamar Advertising Co., Class A | 81,700 | 8,108,725 |
Total Real Estate | 41,360,741 | |
Utilities 3.2% | ||
Electric Utilities 3.2% | ||
Alliant Energy Corp. | 149,700 | 7,856,256 |
Xcel Energy, Inc. | 116,500 | 7,242,805 |
Total | 15,099,061 | |
Total Utilities | 15,099,061 | |
Total Common Stocks (Cost $401,349,571) | 466,936,837 | |
Money Market Funds 2.1% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(b),(c) | 9,912,694 | 9,908,728 |
Total Money Market Funds (Cost $9,908,242) | 9,908,728 | |
Total Investments in Securities (Cost: $411,257,813) | 476,845,565 | |
Other Assets & Liabilities, Net | 733,869 | |
Net Assets | 477,579,434 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | ||||||||
6,338,352 | 32,062,918 | (28,492,531) | (11) | 9,908,728 | (1,913) | 268,229 | 9,912,694 |
■ | 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 2023 |
June 30, 2023 (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 | 4,865,274 | — | — | 4,865,274 |
Consumer Discretionary | 53,211,907 | — | — | 53,211,907 |
Consumer Staples | 16,225,234 | — | — | 16,225,234 |
Energy | 13,415,096 | — | — | 13,415,096 |
Financials | 66,482,899 | — | — | 66,482,899 |
Health Care | 33,908,580 | — | — | 33,908,580 |
Industrials | 122,542,456 | — | — | 122,542,456 |
Information Technology | 48,893,214 | — | — | 48,893,214 |
Materials | 50,932,375 | — | — | 50,932,375 |
Real Estate | 41,360,741 | — | — | 41,360,741 |
Utilities | 15,099,061 | — | — | 15,099,061 |
Total Common Stocks | 466,936,837 | — | — | 466,936,837 |
Money Market Funds | 9,908,728 | — | — | 9,908,728 |
Total Investments in Securities | 476,845,565 | — | — | 476,845,565 |
CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2023 | 9 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $401,349,571) | $466,936,837 |
Affiliated issuers (cost $9,908,242) | 9,908,728 |
Receivable for: | |
Investments sold | 2,043,357 |
Capital shares sold | 133,726 |
Dividends | 672,637 |
Foreign tax reclaims | 5,870 |
Prepaid expenses | 5,970 |
Total assets | 479,707,125 |
Liabilities | |
Payable for: | |
Investments purchased | 1,657,397 |
Capital shares redeemed | 348,009 |
Management services fees | 10,006 |
Distribution and/or service fees | 807 |
Service fees | 7,755 |
Compensation of board members | 82,992 |
Compensation of chief compliance officer | 45 |
Other expenses | 20,680 |
Total liabilities | 2,127,691 |
Net assets applicable to outstanding capital stock | $477,579,434 |
Represented by | |
Trust capital | $477,579,434 |
Total - representing net assets applicable to outstanding capital stock | $477,579,434 |
Class 1 | |
Net assets | $316,596,461 |
Shares outstanding | 7,262,792 |
Net asset value per share | $43.59 |
Class 2 | |
Net assets | $76,285,028 |
Shares outstanding | 1,807,457 |
Net asset value per share | $42.21 |
Class 3 | |
Net assets | $84,697,945 |
Shares outstanding | 1,973,523 |
Net asset value per share | $42.92 |
10 | CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $5,053,382 |
Dividends — affiliated issuers | 268,229 |
Interfund lending | 374 |
Foreign taxes withheld | (4,677) |
Total income | 5,317,308 |
Expenses: | |
Management services fees | 1,821,188 |
Distribution and/or service fees | |
Class 2 | 94,147 |
Class 3 | 52,486 |
Service fees | 50,200 |
Compensation of board members | 10,280 |
Custodian fees | 5,597 |
Printing and postage fees | 6,571 |
Accounting services fees | 15,045 |
Legal fees | 9,121 |
Compensation of chief compliance officer | 47 |
Other | 6,501 |
Total expenses | 2,071,183 |
Net investment income | 3,246,125 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 14,167,838 |
Investments — affiliated issuers | (1,913) |
Net realized gain | 14,165,925 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 330,683 |
Investments — affiliated issuers | (11) |
Net change in unrealized appreciation (depreciation) | 330,672 |
Net realized and unrealized gain | 14,496,597 |
Net increase in net assets resulting from operations | $17,742,722 |
CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2023 | 11 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment income | $3,246,125 | $6,616,041 |
Net realized gain | 14,165,925 | 56,858,673 |
Net change in unrealized appreciation (depreciation) | 330,672 | (79,761,282) |
Net increase (decrease) in net assets resulting from operations | 17,742,722 | (16,286,568) |
Decrease in net assets from capital stock activity | (17,577,498) | (72,071,476) |
Total increase (decrease) in net assets | 165,224 | (88,358,044) |
Net assets at beginning of period | 477,414,210 | 565,772,254 |
Net assets at end of period | $477,579,434 | $477,414,210 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Shares sold | 39,182 | 1,679,098 | 76,357 | 3,135,494 |
Shares redeemed | (360,419) | (15,792,512) | (1,839,139) | (76,652,678) |
Net decrease | (321,237) | (14,113,414) | (1,762,782) | (73,517,184) |
Class 2 | ||||
Shares sold | 81,291 | 3,372,313 | 204,963 | 8,232,124 |
Shares redeemed | (107,748) | (4,439,445) | (136,336) | (5,519,635) |
Net increase (decrease) | (26,457) | (1,067,132) | 68,627 | 2,712,489 |
Class 3 | ||||
Shares sold | 32,657 | 1,362,307 | 118,871 | 4,844,929 |
Shares redeemed | (89,515) | (3,759,259) | (149,166) | (6,111,710) |
Net decrease | (56,858) | (2,396,952) | (30,295) | (1,266,781) |
Total net decrease | (404,552) | (17,577,498) | (1,724,450) | (72,071,476) |
12 | CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2023 |
CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2023 | 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 6/30/2023 (Unaudited) | $42.02 | 0.31 | 1.26 | 1.57 |
Year Ended 12/31/2022 | $43.21 | 0.56 | (1.75) | (1.19) |
Year Ended 12/31/2021 | $32.76 | 0.58(c) | 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) |
Class 2 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $40.73 | 0.25 | 1.23 | 1.48 |
Year Ended 12/31/2022 | $41.99 | 0.45 | (1.71) | (1.26) |
Year Ended 12/31/2021 | $31.92 | 0.50(c) | 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) |
Class 3 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $41.39 | 0.27 | 1.26 | 1.53 |
Year Ended 12/31/2022 | $42.62 | 0.51 | (1.74) | (1.23) |
Year Ended 12/31/2021 | $32.35 | 0.55(c) | 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) |
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 special dividends. The effect of these dividends amounted to $0.15 per share. |
14 | CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2023 |
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 6/30/2023 (Unaudited) | $43.59 | 3.74% | 0.81% | 0.81% | 1.43% | 14% | $316,596 |
Year Ended 12/31/2022 | $42.02 | (2.75%) | 0.81% | 0.81% | 1.37% | 30% | $318,668 |
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 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $42.21 | 3.63% | 1.06% | 1.06% | 1.19% | 14% | $76,285 |
Year Ended 12/31/2022 | $40.73 | (3.00%) | 1.06% | 1.06% | 1.13% | 30% | $74,701 |
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 |
Class 3 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $42.92 | 3.69% | 0.94% | 0.94% | 1.31% | 14% | $84,698 |
Year Ended 12/31/2022 | $41.39 | (2.89%) | 0.93% | 0.93% | 1.26% | 30% | $84,045 |
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% | $53,581 |
CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2023 | 15 |
June 30, 2023 (Unaudited)
16 | CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2023 | 17 |
June 30, 2023 (Unaudited)
18 | CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Fee rate(s) contractual through April 30, 2024 | |
Class 1 | 0.83% |
Class 2 | 1.08 |
Class 3 | 0.955 |
CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2023 | 19 |
June 30, 2023 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 2,400,000 | 5.62 | 1 |
20 | CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2023 | 21 |
June 30, 2023 (Unaudited)
22 | CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2023 |
• | 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 2023 | 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 one or more 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 2023 |
CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2023 | 25 |
26 | CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2023 |
CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2023 | 27 |
June 30, 2023 (Unaudited)
3 | |
5 | |
6 | |
11 | |
12 | |
13 | |
14 | |
16 | |
25 | |
25 |
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | 14.19 | 16.85 | 10.59 | 10.88 | |
Class 2 | 05/03/10 | 14.08 | 16.57 | 10.32 | 10.61 | |
Class 3 | 05/01/06 | 14.11 | 16.69 | 10.46 | 10.75 | |
S&P 500 Index | 16.89 | 19.59 | 12.31 | 12.86 |
Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2023) | |
Common Stocks | 99.9 |
Money Market Funds | 0.1 |
Total | 100.0 |
Equity sector breakdown (%) (at June 30, 2023) | |
Communication Services | 5.6 |
Consumer Discretionary | 9.2 |
Consumer Staples | 6.1 |
Energy | 4.0 |
Financials | 13.6 |
Health Care | 15.0 |
Industrials | 11.5 |
Information Technology | 28.7 |
Materials | 1.9 |
Real Estate | 1.5 |
Utilities | 2.9 |
Total | 100.0 |
4 | Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,141.90 | 1,021.49 | 3.68 | 3.48 | 0.69 |
Class 2 | 1,000.00 | 1,000.00 | 1,140.80 | 1,020.24 | 5.02 | 4.73 | 0.94 |
Class 3 | 1,000.00 | 1,000.00 | 1,141.10 | 1,020.89 | 4.32 | 4.08 | 0.81 |
Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (Unaudited)
Common Stocks 99.7% | ||
Issuer | Shares | Value ($) |
Communication Services 5.6% | ||
Diversified Telecommunication Services 0.4% | ||
Verizon Communications, Inc. | 304,271 | 11,315,838 |
Interactive Media & Services 4.6% | ||
Alphabet, Inc., Class A(a) | 349,562 | 41,842,571 |
Alphabet, Inc., Class C(a) | 468,253 | 56,644,566 |
Meta Platforms, Inc., Class A(a) | 112,391 | 32,253,969 |
Total | 130,741,106 | |
Wireless Telecommunication Services 0.6% | ||
T-Mobile US, Inc.(a) | 117,154 | 16,272,691 |
Total Communication Services | 158,329,635 | |
Consumer Discretionary 9.2% | ||
Automobiles 0.6% | ||
Tesla, Inc.(a) | 61,002 | 15,968,493 |
Broadline Retail 3.8% | ||
Amazon.com, Inc.(a) | 834,778 | 108,821,660 |
Hotels, Restaurants & Leisure 2.2% | ||
Booking Holdings, Inc.(a) | 4,667 | 12,602,440 |
McDonald’s Corp. | 164,441 | 49,070,839 |
Total | 61,673,279 | |
Specialty Retail 2.6% | ||
Lowe’s Companies, Inc. | 154,350 | 34,836,795 |
O’Reilly Automotive, Inc.(a) | 14,057 | 13,428,652 |
TJX Companies, Inc. (The) | 133,811 | 11,345,835 |
Ulta Beauty, Inc.(a) | 28,289 | 13,312,662 |
Total | 72,923,944 | |
Total Consumer Discretionary | 259,387,376 | |
Consumer Staples 6.1% | ||
Beverages 1.6% | ||
Coca-Cola Co. (The) | 763,809 | 45,996,578 |
Consumer Staples Distribution & Retail 1.5% | ||
Dollar General Corp. | 73,692 | 12,511,428 |
Target Corp. | 89,100 | 11,752,290 |
Walmart, Inc. | 105,726 | 16,618,013 |
Total | 40,881,731 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Food Products 1.7% | ||
General Mills, Inc. | 206,904 | 15,869,537 |
Hershey Co. (The) | 60,193 | 15,030,192 |
Mondelez International, Inc., Class A | 243,777 | 17,781,094 |
Total | 48,680,823 | |
Household Products 1.1% | ||
Colgate-Palmolive Co. | 120,652 | 9,295,030 |
Procter & Gamble Co. (The) | 132,911 | 20,167,915 |
Total | 29,462,945 | |
Personal Care Products 0.2% | ||
Kenvue, Inc.(a) | 259,531 | 6,856,809 |
Total Consumer Staples | 171,878,886 | |
Energy 4.0% | ||
Energy Equipment & Services 1.5% | ||
Baker Hughes Co. | 975,057 | 30,821,552 |
Schlumberger NV | 218,200 | 10,717,984 |
Total | 41,539,536 | |
Oil, Gas & Consumable Fuels 2.5% | ||
ConocoPhillips Co. | 184,556 | 19,121,847 |
EQT Corp. | 351,200 | 14,444,856 |
Pioneer Natural Resources Co. | 111,990 | 23,202,088 |
Williams Companies, Inc. (The) | 390,550 | 12,743,647 |
Total | 69,512,438 | |
Total Energy | 111,051,974 | |
Financials 13.5% | ||
Banks 3.8% | ||
Bank of America Corp. | 606,788 | 17,408,748 |
JPMorgan Chase & Co. | 150,154 | 21,838,398 |
PNC Financial Services Group, Inc. (The) | 138,255 | 17,413,217 |
Truist Financial Corp. | 165,607 | 5,026,172 |
U.S. Bancorp | 458,068 | 15,134,567 |
Wells Fargo & Co. | 718,275 | 30,655,977 |
Total | 107,477,079 |
6 | Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Capital Markets 3.4% | ||
Cboe Global Markets, Inc. | 67,012 | 9,248,326 |
Goldman Sachs Group, Inc. (The) | 35,142 | 11,334,701 |
Morgan Stanley | 351,524 | 30,020,150 |
Raymond James Financial, Inc. | 98,923 | 10,265,240 |
S&P Global, Inc. | 84,441 | 33,851,552 |
Total | 94,719,969 | |
Consumer Finance 0.8% | ||
American Express Co. | 136,575 | 23,791,365 |
Financial Services 2.6% | ||
MasterCard, Inc., Class A | 93,933 | 36,943,849 |
Visa, Inc., Class A | 153,784 | 36,520,624 |
Total | 73,464,473 | |
Insurance 2.9% | ||
Allstate Corp. (The) | 93,089 | 10,150,425 |
Chubb Ltd. | 63,627 | 12,252,015 |
Hartford Financial Services Group, Inc. (The) | 136,687 | 9,844,198 |
MetLife, Inc. | 216,300 | 12,227,439 |
Progressive Corp. (The) | 280,977 | 37,192,925 |
Total | 81,667,002 | |
Total Financials | 381,119,888 | |
Health Care 15.0% | ||
Biotechnology 5.1% | ||
AbbVie, Inc. | 313,137 | 42,188,948 |
Amgen, Inc. | 52,300 | 11,611,646 |
Biogen, Inc.(a) | 48,011 | 13,675,933 |
Regeneron Pharmaceuticals, Inc.(a) | 59,648 | 42,859,474 |
Vertex Pharmaceuticals, Inc.(a) | 94,405 | 33,222,064 |
Total | 143,558,065 | |
Health Care Equipment & Supplies 0.4% | ||
STERIS PLC | 46,262 | 10,408,025 |
Health Care Providers & Services 5.1% | ||
AmerisourceBergen Corp. | 130,137 | 25,042,263 |
Elevance Health, Inc. | 55,254 | 24,548,799 |
Molina Healthcare, Inc.(a) | 44,075 | 13,277,153 |
Quest Diagnostics, Inc. | 74,300 | 10,443,608 |
UnitedHealth Group, Inc. | 143,378 | 68,913,202 |
Total | 142,225,025 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Life Sciences Tools & Services 2.0% | ||
Agilent Technologies, Inc. | 76,406 | 9,187,821 |
Danaher Corp. | 113,637 | 27,272,880 |
Thermo Fisher Scientific, Inc. | 40,069 | 20,906,001 |
Total | 57,366,702 | |
Pharmaceuticals 2.4% | ||
Bristol-Myers Squibb Co. | 498,338 | 31,868,715 |
Eli Lilly & Co. | 34,886 | 16,360,836 |
Merck & Co., Inc. | 174,015 | 20,079,591 |
Total | 68,309,142 | |
Total Health Care | 421,866,959 | |
Industrials 11.5% | ||
Aerospace & Defense 1.4% | ||
General Dynamics Corp. | 58,789 | 12,648,453 |
Northrop Grumman Corp. | 61,331 | 27,954,670 |
Total | 40,603,123 | |
Building Products 1.1% | ||
Carrier Global Corp. | 318,125 | 15,813,994 |
Trane Technologies PLC | 80,390 | 15,375,391 |
Total | 31,189,385 | |
Electrical Equipment 2.5% | ||
AMETEK, Inc. | 105,659 | 17,104,079 |
Eaton Corp. PLC | 173,109 | 34,812,220 |
Hubbell, Inc. | 51,906 | 17,209,953 |
Total | 69,126,252 | |
Ground Transportation 2.7% | ||
CSX Corp. | 519,636 | 17,719,588 |
Norfolk Southern Corp. | 94,931 | 21,526,554 |
Old Dominion Freight Line, Inc. | 44,563 | 16,477,169 |
Uber Technologies, Inc.(a) | 453,720 | 19,587,092 |
Total | 75,310,403 | |
Machinery 2.4% | ||
Cummins, Inc. | 75,357 | 18,474,522 |
Deere & Co. | 81,299 | 32,941,542 |
Westinghouse Air Brake Technologies Corp. | 141,437 | 15,511,396 |
Total | 66,927,460 |
Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2023 | 7 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Professional Services 1.4% | ||
Booz Allen Hamilton Holding Corp. | 136,797 | 15,266,545 |
Broadridge Financial Solutions, Inc. | 71,598 | 11,858,777 |
Verisk Analytics, Inc. | 52,639 | 11,897,993 |
Total | 39,023,315 | |
Total Industrials | 322,179,938 | |
Information Technology 28.6% | ||
Electronic Equipment, Instruments & Components 1.1% | ||
Amphenol Corp., Class A | 209,100 | 17,763,045 |
TE Connectivity Ltd. | 98,395 | 13,791,043 |
Total | 31,554,088 | |
IT Services 1.1% | ||
Accenture PLC, Class A | 101,143 | 31,210,707 |
Semiconductors & Semiconductor Equipment 9.7% | ||
Advanced Micro Devices, Inc.(a) | 88,507 | 10,081,833 |
Analog Devices, Inc. | 37,521 | 7,309,466 |
Applied Materials, Inc. | 149,620 | 21,626,075 |
ASML Holding NV | 6,600 | 4,783,350 |
Broadcom, Inc. | 20,309 | 17,616,636 |
KLA Corp. | 37,543 | 18,209,106 |
Micron Technology, Inc. | 302,762 | 19,107,310 |
NVIDIA Corp. | 240,715 | 101,827,259 |
NXP Semiconductors NV | 223,377 | 45,720,804 |
Skyworks Solutions, Inc. | 108,703 | 12,032,335 |
Texas Instruments, Inc. | 78,954 | 14,213,299 |
Total | 272,527,473 | |
Software 10.8% | ||
Autodesk, Inc.(a) | 46,503 | 9,514,979 |
Cadence Design Systems, Inc.(a) | 36,600 | 8,583,432 |
Intuit, Inc. | 29,938 | 13,717,292 |
Microsoft Corp. | 727,984 | 247,907,671 |
Oracle Corp. | 198,541 | 23,644,248 |
Total | 303,367,622 | |
Technology Hardware, Storage & Peripherals 5.9% | ||
Apple, Inc. | 837,449 | 162,439,982 |
Seagate Technology Holdings PLC | 53,611 | 3,316,913 |
Total | 165,756,895 | |
Total Information Technology | 804,416,785 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Materials 1.9% | ||
Chemicals 1.6% | ||
Eastman Chemical Co. | 125,850 | 10,536,162 |
Linde PLC | 31,210 | 11,893,507 |
PPG Industries, Inc. | 152,099 | 22,556,282 |
Total | 44,985,951 | |
Construction Materials 0.3% | ||
Vulcan Materials Co. | 41,614 | 9,381,460 |
Total Materials | 54,367,411 | |
Real Estate 1.4% | ||
Industrial REITs 0.9% | ||
Prologis, Inc. | 219,557 | 26,924,275 |
Specialized REITs 0.5% | ||
Public Storage | 46,900 | 13,689,172 |
Total Real Estate | 40,613,447 | |
Utilities 2.9% | ||
Electric Utilities 2.9% | ||
Constellation Energy Corp. | 135,271 | 12,384,060 |
NextEra Energy, Inc. | 534,789 | 39,681,344 |
PG&E Corp.(a) | 1,211,586 | 20,936,206 |
Southern Co. (The) | 126,679 | 8,899,200 |
Total | 81,900,810 | |
Total Utilities | 81,900,810 | |
Total Common Stocks (Cost $2,529,131,872) | 2,807,113,109 | |
Money Market Funds 0.1% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(b),(c) | 2,945,148 | 2,943,970 |
Total Money Market Funds (Cost $2,943,676) | 2,943,970 | |
Total Investments in Securities (Cost: $2,532,075,548) | 2,810,057,079 | |
Other Assets & Liabilities, Net | 4,928,160 | |
Net Assets | 2,814,985,239 |
8 | Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | ||||||||
3,500,730 | 224,507,060 | (225,064,114) | 294 | 2,943,970 | (498) | 265,715 | 2,945,148 |
■ | 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 | 158,329,635 | — | — | 158,329,635 |
Consumer Discretionary | 259,387,376 | — | — | 259,387,376 |
Consumer Staples | 171,878,886 | — | — | 171,878,886 |
Energy | 111,051,974 | — | — | 111,051,974 |
Financials | 381,119,888 | — | — | 381,119,888 |
Health Care | 421,866,959 | — | — | 421,866,959 |
Industrials | 322,179,938 | — | — | 322,179,938 |
Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2023 | 9 |
June 30, 2023 (Unaudited)
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Information Technology | 804,416,785 | — | — | 804,416,785 |
Materials | 54,367,411 | — | — | 54,367,411 |
Real Estate | 40,613,447 | — | — | 40,613,447 |
Utilities | 81,900,810 | — | — | 81,900,810 |
Total Common Stocks | 2,807,113,109 | — | — | 2,807,113,109 |
Money Market Funds | 2,943,970 | — | — | 2,943,970 |
Total Investments in Securities | 2,810,057,079 | — | — | 2,810,057,079 |
10 | Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $2,529,131,872) | $2,807,113,109 |
Affiliated issuers (cost $2,943,676) | 2,943,970 |
Receivable for: | |
Investments sold | 42,733,210 |
Capital shares sold | 950 |
Dividends | 1,862,862 |
Foreign tax reclaims | 24,791 |
Prepaid expenses | 14,608 |
Total assets | 2,854,693,500 |
Liabilities | |
Due to custodian | 10,225 |
Payable for: | |
Investments purchased | 36,368,269 |
Capital shares redeemed | 3,031,367 |
Management services fees | 51,455 |
Distribution and/or service fees | 174 |
Service fees | 1,989 |
Compensation of board members | 201,951 |
Compensation of chief compliance officer | 251 |
Other expenses | 42,580 |
Total liabilities | 39,708,261 |
Net assets applicable to outstanding capital stock | $2,814,985,239 |
Represented by | |
Trust capital | $2,814,985,239 |
Total - representing net assets applicable to outstanding capital stock | $2,814,985,239 |
Class 1 | |
Net assets | $2,775,635,053 |
Shares outstanding | 81,365,998 |
Net asset value per share | $34.11 |
Class 2 | |
Net assets | $11,903,733 |
Shares outstanding | 360,108 |
Net asset value per share | $33.06 |
Class 3 | |
Net assets | $27,446,453 |
Shares outstanding | 817,809 |
Net asset value per share | $33.56 |
Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2023 | 11 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $20,346,433 |
Dividends — affiliated issuers | 265,715 |
Foreign taxes withheld | (69,912) |
Total income | 20,542,236 |
Expenses: | |
Management services fees | 9,031,893 |
Distribution and/or service fees | |
Class 2 | 14,176 |
Class 3 | 16,462 |
Service fees | 11,567 |
Compensation of board members | 27,338 |
Custodian fees | 12,925 |
Printing and postage fees | 5,579 |
Accounting services fees | 27,545 |
Legal fees | 23,642 |
Interest on interfund lending | 2,131 |
Compensation of chief compliance officer | 258 |
Other | 22,392 |
Total expenses | 9,195,908 |
Net investment income | 11,346,328 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (5,945,912) |
Investments — affiliated issuers | (498) |
Futures contracts | (167,095) |
Net realized loss | (6,113,505) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 353,331,142 |
Investments — affiliated issuers | 294 |
Net change in unrealized appreciation (depreciation) | 353,331,436 |
Net realized and unrealized gain | 347,217,931 |
Net increase in net assets resulting from operations | $358,564,259 |
12 | Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment income | $11,346,328 | $20,003,224 |
Net realized gain (loss) | (6,113,505) | 78,726,159 |
Net change in unrealized appreciation (depreciation) | 353,331,436 | (661,632,107) |
Net increase (decrease) in net assets resulting from operations | 358,564,259 | (562,902,724) |
Decrease in net assets from capital stock activity | (130,889,472) | (152,668,685) |
Total increase (decrease) in net assets | 227,674,787 | (715,571,409) |
Net assets at beginning of period | 2,587,310,452 | 3,302,881,861 |
Net assets at end of period | $2,814,985,239 | $2,587,310,452 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Shares sold | 90,814 | 2,807,232 | 927,486 | 28,019,410 |
Shares redeemed | (4,112,990) | (131,492,636) | (5,614,948) | (177,484,540) |
Net decrease | (4,022,176) | (128,685,404) | (4,687,462) | (149,465,130) |
Class 2 | ||||
Shares sold | 4,279 | 130,328 | 35,520 | 1,094,619 |
Shares redeemed | (25,152) | (771,372) | (35,680) | (1,092,841) |
Net increase (decrease) | (20,873) | (641,044) | (160) | 1,778 |
Class 3 | ||||
Shares sold | 19,953 | 602,185 | 8,401 | 260,399 |
Shares redeemed | (69,809) | (2,165,209) | (112,158) | (3,465,732) |
Net decrease | (49,856) | (1,563,024) | (103,757) | (3,205,333) |
Total net decrease | (4,092,905) | (130,889,472) | (4,791,379) | (152,668,685) |
Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2023 | 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 6/30/2023 (Unaudited) | $29.87 | 0.13 | 4.11 | 4.24 |
Year Ended 12/31/2022 | $36.14 | 0.22 | (6.49) | (6.27) |
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) |
Class 2 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $28.98 | 0.09 | 3.99 | 4.08 |
Year Ended 12/31/2022 | $35.15 | 0.14 | (6.31) | (6.17) |
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) |
Class 3 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $29.41 | 0.11 | 4.04 | 4.15 |
Year Ended 12/31/2022 | $35.62 | 0.18 | (6.39) | (6.21) |
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) |
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) | Ratios include interfund lending expense which is less than 0.01%. |
(d) | Ratios include interest on collateral expense which is less than 0.01%. |
14 | Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2023 |
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 6/30/2023 (Unaudited) | $34.11 | 14.19% | 0.69%(c) | 0.69%(c) | 0.85% | 35% | $2,775,635 |
Year Ended 12/31/2022 | $29.87 | (17.35%) | 0.68%(c),(d) | 0.68%(c),(d) | 0.72% | 75% | $2,550,753 |
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 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $33.06 | 14.08% | 0.94%(c) | 0.94%(c) | 0.60% | 35% | $11,904 |
Year Ended 12/31/2022 | $28.98 | (17.55%) | 0.93%(c),(d) | 0.93%(c),(d) | 0.47% | 75% | $11,042 |
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 |
Class 3 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $33.56 | 14.11% | 0.81%(c) | 0.81%(c) | 0.73% | 35% | $27,446 |
Year Ended 12/31/2022 | $29.41 | (17.43%) | 0.81%(c),(d) | 0.81%(c),(d) | 0.59% | 75% | $25,516 |
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% | $31,196 |
Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2023 | 15 |
June 30, 2023 (Unaudited)
16 | Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2023 | 17 |
June 30, 2023 (Unaudited)
18 | Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Equity risk | (167,095) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 860,302 |
* | Based on the ending daily outstanding amounts for the six months ended June 30, 2023. |
Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2023 | 19 |
June 30, 2023 (Unaudited)
20 | Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2023 | 21 |
June 30, 2023 (Unaudited)
Contractual expense cap July 1, 2023 through April 30, 2024 | Voluntary expense cap May 1, 2023 through June 30, 2023 | Contractual expense cap prior to May 1, 2023 | |
Class 1 | 0.70% | 0.69% | 0.69% |
Class 2 | 0.95 | 0.94 | 0.94 |
Class 3 | 0.825 | 0.815 | 0.815 |
22 | Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Borrower | 2,960,000 | 5.20 | 5 |
Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2023 | 23 |
June 30, 2023 (Unaudited)
24 | Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2023 |
• | 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 Core Equity Fund | Semiannual Report 2023 | 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 one or more 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 Core Equity Fund | Semiannual Report 2023 |
Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2023 | 27 |
28 | Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2023 |
Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2023 | 29 |
June 30, 2023 (Unaudited)
3 | |
5 | |
6 | |
13 | |
14 | |
15 | |
16 | |
18 | |
25 | |
25 |
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | 3.88 | 8.26 | 3.16 | 5.86 | |
Class 2 | 05/03/10 | 3.73 | 7.99 | 2.90 | 5.59 | |
Class 3 | 08/14/01 | 3.83 | 8.13 | 3.03 | 5.73 | |
Russell 2000 Value Index | 2.50 | 6.01 | 3.54 | 7.29 |
Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2023) | |
Common Stocks | 96.2 |
Money Market Funds | 3.8 |
Rights | 0.0(a) |
Total | 100.0 |
(a) | Rounds to zero. |
Equity sector breakdown (%) (at June 30, 2023) | |
Communication Services | 0.6 |
Consumer Discretionary | 10.6 |
Consumer Staples | 4.0 |
Energy | 5.3 |
Financials | 14.3 |
Health Care | 8.7 |
Industrials | 27.9 |
Information Technology | 8.4 |
Materials | 7.7 |
Real Estate | 8.9 |
Utilities | 3.6 |
Total | 100.0 |
4 | Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,038.80 | 1,020.74 | 4.27 | 4.23 | 0.84 |
Class 2 | 1,000.00 | 1,000.00 | 1,037.30 | 1,019.50 | 5.54 | 5.49 | 1.09 |
Class 3 | 1,000.00 | 1,000.00 | 1,038.30 | 1,020.09 | 4.93 | 4.89 | 0.97 |
Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (Unaudited)
Common Stocks 96.1% | ||
Issuer | Shares | Value ($) |
Communication Services 0.6% | ||
Media 0.6% | ||
John Wiley & Sons, Inc., Class A | 74,668 | 2,540,952 |
Quotient Technology, Inc.(a) | 298,461 | 1,146,090 |
Total | 3,687,042 | |
Total Communication Services | 3,687,042 | |
Consumer Discretionary 10.2% | ||
Auto Components 1.9% | ||
Adient PLC(a) | 69,957 | 2,680,752 |
Modine Manufacturing Co.(a) | 147,802 | 4,880,422 |
Standard Motor Products, Inc. | 97,225 | 3,647,882 |
Total | 11,209,056 | |
Automobiles 0.6% | ||
Winnebago Industries, Inc. | 51,386 | 3,426,932 |
Broadline Retail 0.3% | ||
Ollie’s Bargain Outlet Holdings, Inc.(a) | 28,484 | 1,650,078 |
Hotels, Restaurants & Leisure 1.8% | ||
Bloomin’ Brands, Inc. | 163,437 | 4,394,821 |
Cracker Barrel Old Country Store, Inc. | 31,771 | 2,960,422 |
El Pollo Loco Holdings, Inc. | 146,438 | 1,284,261 |
Papa John’s International, Inc. | 32,001 | 2,362,634 |
Total | 11,002,138 | |
Household Durables 2.0% | ||
La-Z-Boy, Inc. | 125,567 | 3,596,239 |
Taylor Morrison Home Corp., Class A(a) | 80,924 | 3,946,664 |
Tri Pointe Homes, Inc.(a) | 118,628 | 3,898,116 |
Universal Electronics, Inc.(a) | 55,045 | 529,533 |
Total | 11,970,552 | |
Specialty Retail 0.9% | ||
Designer Brands, Inc. | 270,769 | 2,734,767 |
Urban Outfitters, Inc.(a) | 84,202 | 2,789,612 |
Total | 5,524,379 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Textiles, Apparel & Luxury Goods 2.7% | ||
Carter’s, Inc. | 55,365 | 4,019,499 |
Gildan Activewear, Inc. | 87,541 | 2,822,322 |
Oxford Industries, Inc. | 24,645 | 2,425,561 |
PVH Corp. | 24,770 | 2,104,707 |
Steven Madden Ltd. | 159,689 | 5,220,233 |
Total | 16,592,322 | |
Total Consumer Discretionary | 61,375,457 | |
Consumer Staples 3.8% | ||
Consumer Staples Distribution & Retail 0.4% | ||
Sprouts Farmers Market, Inc.(a) | 52,555 | 1,930,345 |
United Natural Foods, Inc.(a) | 21,178 | 414,030 |
Total | 2,344,375 | |
Food Products 1.2% | ||
Hain Celestial Group, Inc. (The)(a) | 259,499 | 3,246,333 |
TreeHouse Foods, Inc.(a) | 84,677 | 4,266,027 |
Total | 7,512,360 | |
Household Products 0.8% | ||
Central Garden & Pet Co., Class A(a) | 80,238 | 2,925,478 |
Spectrum Brands Holdings, Inc. | 28,069 | 2,190,785 |
Total | 5,116,263 | |
Personal Care Products 1.4% | ||
Coty, Inc., Class A(a) | 455,193 | 5,594,322 |
Edgewell Personal Care Co. | 63,003 | 2,602,654 |
Total | 8,196,976 | |
Total Consumer Staples | 23,169,974 | |
Energy 5.1% | ||
Energy Equipment & Services 1.8% | ||
Dril-Quip, Inc.(a) | 224,035 | 5,213,295 |
Expro Group Holdings NV(a) | 180,572 | 3,199,736 |
Helmerich & Payne, Inc. | 66,941 | 2,373,058 |
Total | 10,786,089 |
6 | Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Oil, Gas & Consumable Fuels 3.3% | ||
Earthstone Energy, Inc., Class A(a) | 238,357 | 3,406,121 |
Murphy Oil Corp. | 93,937 | 3,597,787 |
PBF Energy, Inc., Class A | 98,384 | 4,027,841 |
PDC Energy, Inc. | 35,876 | 2,552,219 |
Range Resources Corp. | 95,348 | 2,803,231 |
SM Energy Co. | 103,685 | 3,279,557 |
Total | 19,666,756 | |
Total Energy | 30,452,845 | |
Financials 13.7% | ||
Banks 11.3% | ||
Ameris Bancorp | 81,775 | 2,797,523 |
Atlantic Union Bankshares Corp. | 70,978 | 1,841,879 |
Banc of California, Inc. | 187,530 | 2,171,597 |
Cadence Bank | 112,577 | 2,211,012 |
Columbia Banking System, Inc. | 85,229 | 1,728,444 |
Community Bank System, Inc. | 37,485 | 1,757,297 |
Eastern Bankshares, Inc. | 193,015 | 2,368,294 |
Enterprise Financial Services Corp. | 101,363 | 3,963,293 |
First BanCorp | 70,089 | 2,085,148 |
First Merchants Corp. | 85,498 | 2,413,609 |
Glacier Bancorp, Inc. | 91,427 | 2,849,780 |
Hancock Whitney Corp. | 130,324 | 5,001,835 |
Lakeland Financial Corp. | 18,594 | 902,181 |
National Bank Holdings Corp., Class A | 119,179 | 3,460,958 |
Old National Bancorp | 215,535 | 3,004,558 |
Pacific Premier Bancorp, Inc. | 176,380 | 3,647,538 |
Pinnacle Financial Partners, Inc. | 60,167 | 3,408,461 |
Seacoast Banking Corp. of Florida | 241,839 | 5,344,642 |
Simmons First National Corp., Class A | 134,419 | 2,318,728 |
South State Corp. | 47,977 | 3,156,887 |
Texas Capital Bancshares, Inc.(a) | 65,425 | 3,369,387 |
United Community Banks, Inc. | 85,574 | 2,138,494 |
Veritex Holdings, Inc. | 82,002 | 1,470,296 |
Washington Federal, Inc. | 96,857 | 2,568,648 |
WesBanco, Inc. | 85,032 | 2,177,669 |
Total | 68,158,158 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Capital Markets 0.4% | ||
BrightSphere Investment Group, Inc. | 124,313 | 2,604,357 |
Consumer Finance 0.7% | ||
Green Dot Corp., Class A(a) | 76,867 | 1,440,487 |
PRA Group, Inc.(a) | 109,782 | 2,508,519 |
Total | 3,949,006 | |
Financial Services 1.3% | ||
Compass Diversified Holdings | 178,234 | 3,865,896 |
MGIC Investment Corp. | 243,018 | 3,837,254 |
Total | 7,703,150 | |
Total Financials | 82,414,671 | |
Health Care 8.3% | ||
Biotechnology 1.4% | ||
Alkermes PLC(a) | 73,633 | 2,304,713 |
BioCryst Pharmaceuticals, Inc.(a) | 254,126 | 1,789,047 |
Galapagos NV, ADR(a) | 48,863 | 1,986,770 |
Geron Corp.(a) | 433,620 | 1,391,920 |
Immunogen, Inc.(a) | 36,262 | 684,264 |
Total | 8,156,714 | |
Health Care Equipment & Supplies 4.0% | ||
Angiodynamics, Inc.(a) | 76,690 | 799,877 |
ICU Medical, Inc.(a) | 45,032 | 8,024,252 |
Integer Holdings Corp.(a) | 57,161 | 5,065,036 |
Lantheus Holdings, Inc.(a) | 31,000 | 2,601,520 |
NuVasive, Inc.(a) | 45,499 | 1,892,303 |
Orthofix Medical, Inc.(a) | 239,548 | 4,326,237 |
SurModics, Inc.(a) | 47,755 | 1,495,209 |
Total | 24,204,434 | |
Health Care Providers & Services 2.0% | ||
AdaptHealth Corp.(a) | 148,662 | 1,809,217 |
ModivCare, Inc.(a) | 26,667 | 1,205,615 |
NeoGenomics, Inc.(a) | 166,574 | 2,676,844 |
Owens & Minor, Inc.(a) | 91,545 | 1,743,017 |
Pediatrix Medical Group, Inc.(a) | 182,478 | 2,593,012 |
Premier, Inc. | 72,584 | 2,007,673 |
Total | 12,035,378 | |
Health Care Technology 0.5% | ||
NextGen Healthcare, Inc.(a) | 183,960 | 2,983,831 |
Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2023 | 7 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Pharmaceuticals 0.4% | ||
ANI Pharmaceuticals, Inc.(a) | 50,702 | 2,729,289 |
Total Health Care | 50,109,646 | |
Industrials 26.8% | ||
Aerospace & Defense 1.1% | ||
AAR Corp.(a) | 63,653 | 3,676,597 |
Mercury Systems, Inc.(a) | 78,415 | 2,712,375 |
Total | 6,388,972 | |
Air Freight & Logistics 0.6% | ||
HUB Group, Inc., Class A(a) | 43,250 | 3,473,840 |
Building Products 3.4% | ||
Apogee Enterprises, Inc. | 84,925 | 4,031,390 |
Armstrong World Industries, Inc. | 45,830 | 3,366,672 |
AZZ, Inc. | 103,212 | 4,485,593 |
PGT, Inc.(a) | 165,994 | 4,838,725 |
Quanex Building Products Corp. | 147,336 | 3,955,972 |
Total | 20,678,352 | |
Commercial Services & Supplies 3.8% | ||
ABM Industries, Inc. | 84,817 | 3,617,445 |
Brady Corp., Class A | 70,715 | 3,363,913 |
Deluxe Corp. | 133,342 | 2,330,818 |
MillerKnoll, Inc. | 116,008 | 1,714,598 |
OPENLANE, Inc.(a) | 146,328 | 2,227,112 |
SP Plus Corp.(a) | 237,418 | 9,285,418 |
Total | 22,539,304 | |
Construction & Engineering 1.9% | ||
Granite Construction, Inc. | 107,601 | 4,280,368 |
Great Lakes Dredge & Dock Corp.(a) | 252,708 | 2,062,097 |
Sterling Infrastructure, Inc.(a) | 87,639 | 4,890,256 |
Total | 11,232,721 | |
Electrical Equipment 3.0% | ||
EnerSys | 56,975 | 6,182,927 |
GrafTech International Ltd. | 467,192 | 2,354,648 |
Regal Rexnord Corp. | 49,857 | 7,672,992 |
Thermon(a) | 74,798 | 1,989,627 |
Total | 18,200,194 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Ground Transportation 1.4% | ||
ArcBest Corp. | 18,768 | 1,854,278 |
Marten Transport Ltd. | 155,952 | 3,352,968 |
Werner Enterprises, Inc. | 76,870 | 3,396,117 |
Total | 8,603,363 | |
Machinery 7.9% | ||
Albany International Corp., Class A | 39,541 | 3,688,385 |
Astec Industries, Inc. | 102,661 | 4,664,916 |
CIRCOR International, Inc.(a) | 132,645 | 7,487,810 |
Columbus McKinnon Corp. | 54,848 | 2,229,571 |
Desktop Metal, Inc., Class A(a) | 247,127 | 437,415 |
Enerpac Tool Group Corp. | 65,627 | 1,771,929 |
Federal Signal Corp. | 45,082 | 2,886,600 |
Hillenbrand, Inc. | 82,122 | 4,211,216 |
Mueller Water Products, Inc., Class A | 143,895 | 2,335,416 |
REV Group, Inc. | 309,389 | 4,102,498 |
SPX Technologies, Inc.(a) | 96,595 | 8,207,677 |
Tennant Co. | 15,878 | 1,287,865 |
Terex Corp. | 72,267 | 4,323,735 |
Total | 47,635,033 | |
Professional Services 3.5% | ||
CBIZ, Inc.(a) | 70,586 | 3,760,822 |
Conduent, Inc.(a) | 1,166,291 | 3,965,389 |
CSG Systems International, Inc. | 76,908 | 4,056,128 |
KBR, Inc. | 71,694 | 4,664,412 |
Korn/Ferry International | 16,036 | 794,423 |
MAXIMUS, Inc. | 45,297 | 3,828,050 |
Total | 21,069,224 | |
Trading Companies & Distributors 0.2% | ||
Titan Machinery, Inc.(a) | 43,869 | 1,294,135 |
Total Industrials | 161,115,138 | |
Information Technology 8.1% | ||
Communications Equipment 1.4% | ||
ADTRAN Holdings, Inc. | 148,677 | 1,565,569 |
AudioCodes Ltd. | 144,669 | 1,320,828 |
Lumentum Holdings, Inc.(a) | 29,591 | 1,678,697 |
Netscout Systems, Inc.(a) | 116,170 | 3,595,462 |
Total | 8,160,556 |
8 | Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Electronic Equipment, Instruments & Components 3.7% | ||
Belden, Inc. | 113,393 | 10,846,040 |
FARO Technologies, Inc.(a) | 93,347 | 1,512,221 |
Knowles Corp.(a) | 231,893 | 4,187,988 |
Methode Electronics, Inc. | 97,681 | 3,274,267 |
Plexus Corp.(a) | 23,024 | 2,261,878 |
Total | 22,082,394 | |
Semiconductors & Semiconductor Equipment 0.7% | ||
Kulicke & Soffa Industries, Inc. | 73,577 | 4,374,153 |
Software 2.3% | ||
Cognyte Software Ltd.(a) | 285,561 | 1,739,066 |
OneSpan, Inc.(a) | 34,048 | 505,272 |
Progress Software Corp. | 146,305 | 8,500,321 |
Verint Systems, Inc.(a) | 89,044 | 3,121,883 |
Total | 13,866,542 | |
Total Information Technology | 48,483,645 | |
Materials 7.4% | ||
Chemicals 2.5% | ||
Ecovyst, Inc.(a) | 305,636 | 3,502,589 |
Element Solutions, Inc. | 151,710 | 2,912,832 |
Minerals Technologies, Inc. | 57,018 | 3,289,368 |
Orion SA | 151,727 | 3,219,647 |
Sensient Technologies Corp. | 29,861 | 2,124,013 |
Total | 15,048,449 | |
Construction Materials 0.7% | ||
Summit Materials, Inc., Class A(a) | 112,441 | 4,255,892 |
Containers & Packaging 1.7% | ||
Greif, Inc., Class A | 47,183 | 3,250,437 |
Myers Industries, Inc. | 167,442 | 3,253,398 |
Silgan Holdings, Inc. | 76,657 | 3,594,446 |
Total | 10,098,281 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Metals & Mining 2.5% | ||
Alamos Gold, Inc., Class A | 344,798 | 4,109,992 |
Compass Minerals International, Inc. | 159,267 | 5,415,078 |
Kaiser Aluminum Corp. | 43,933 | 3,147,360 |
MP Materials Corp.(a) | 73,128 | 1,673,169 |
Schnitzer Steel Industries, Inc., Class A | 22,369 | 670,846 |
Total | 15,016,445 | |
Total Materials | 44,419,067 | |
Real Estate 8.6% | ||
Diversified REITs 0.7% | ||
Empire State Realty Trust, Inc., Class A | 566,049 | 4,239,707 |
Health Care REITs 0.9% | ||
CareTrust REIT, Inc. | 163,240 | 3,241,946 |
Physicians Realty Trust | 143,321 | 2,005,061 |
Total | 5,247,007 | |
Hotel & Resort REITs 0.8% | ||
Pebblebrook Hotel Trust | 149,791 | 2,088,087 |
Sunstone Hotel Investors, Inc. | 248,619 | 2,516,024 |
Total | 4,604,111 | |
Industrial REITs 1.5% | ||
STAG Industrial, Inc. | 180,647 | 6,481,614 |
Terreno Realty Corp. | 42,789 | 2,571,619 |
Total | 9,053,233 | |
Office REITs 2.2% | ||
Brandywine Realty Trust | 165,945 | 771,645 |
Cousins Properties, Inc. | 77,079 | 1,757,401 |
Equity Commonwealth | 524,016 | 10,616,564 |
Total | 13,145,610 | |
Real Estate Management & Development 0.3% | ||
DigitalBridge Group, Inc. | 129,972 | 1,911,888 |
Residential REITs 1.0% | ||
Elme Communities | 171,705 | 2,822,830 |
UMH Properties, Inc. | 207,924 | 3,322,626 |
Total | 6,145,456 | |
Retail REITs 0.7% | ||
Kite Realty Group Trust | 201,916 | 4,510,803 |
Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2023 | 9 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Specialized REITs 0.5% | ||
Four Corners Property Trust, Inc. | 114,257 | 2,902,128 |
Total Real Estate | 51,759,943 | |
Utilities 3.5% | ||
Electric Utilities 1.7% | ||
Allete, Inc. | 58,252 | 3,376,868 |
OGE Energy Corp. | 88,608 | 3,181,913 |
PNM Resources, Inc. | 76,526 | 3,451,323 |
Total | 10,010,104 | |
Gas Utilities 1.0% | ||
New Jersey Resources Corp. | 59,708 | 2,818,217 |
Spire, Inc. | 47,593 | 3,019,300 |
Total | 5,837,517 | |
Multi-Utilities 0.8% | ||
Avista Corp. | 45,899 | 1,802,454 |
NorthWestern Corp. | 57,096 | 3,240,769 |
Total | 5,043,223 | |
Total Utilities | 20,890,844 | |
Total Common Stocks (Cost $614,324,512) | 577,878,272 | |
Rights 0.0% | ||
Issuer | Shares | Value ($) |
Health Care 0.0% | ||
Biotechnology 0.0% | ||
Aduro Biotech CVR(a),(b),(c),(d) | 4,550 | 4,869 |
Total Health Care | 4,869 | |
Industrials —% | ||
Passenger Airlines —% | ||
American Airlines Escrow(a),(b),(d) | 185,100 | 0 |
Total Industrials | 0 | |
Total Rights (Cost $—) | 4,869 | |
Money Market Funds 3.8% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(e),(f) | 23,102,366 | 23,093,125 |
Total Money Market Funds (Cost $23,092,645) | 23,093,125 | |
Total Investments in Securities (Cost: $637,417,157) | 600,976,266 | |
Other Assets & Liabilities, Net | 309,484 | |
Net Assets | 601,285,750 |
(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, 2023, the total value of these securities amounted to $4,869, 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 approved by the Fund’s Board of Trustees. At June 30, 2023, the total market value of these securities amounted to $4,869, which represents less than 0.01% of total net assets. Additional information on these securities is as follows: |
Security | Acquisition Dates | Shares | Cost ($) | Value ($) |
Aduro Biotech CVR | 10/21/2021 | 4,550 | — | 4,869 |
(d) | Valuation based on significant unobservable inputs. |
(e) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
10 | Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
(f) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | ||||||||
12,303,713 | 54,924,604 | (44,134,415) | (777) | 23,093,125 | 90 | 410,059 | 23,102,366 |
ADR | American Depositary Receipt |
CVR | Contingent Value Rights |
■ | 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 | 3,687,042 | — | — | 3,687,042 |
Consumer Discretionary | 61,375,457 | — | — | 61,375,457 |
Consumer Staples | 23,169,974 | — | — | 23,169,974 |
Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2023 | 11 |
June 30, 2023 (Unaudited)
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Energy | 30,452,845 | — | — | 30,452,845 |
Financials | 82,414,671 | — | — | 82,414,671 |
Health Care | 50,109,646 | — | — | 50,109,646 |
Industrials | 161,115,138 | — | — | 161,115,138 |
Information Technology | 48,483,645 | — | — | 48,483,645 |
Materials | 44,419,067 | — | — | 44,419,067 |
Real Estate | 51,759,943 | — | — | 51,759,943 |
Utilities | 20,890,844 | — | — | 20,890,844 |
Total Common Stocks | 577,878,272 | — | — | 577,878,272 |
Rights | ||||
Health Care | — | — | 4,869 | 4,869 |
Industrials | — | — | 0* | 0* |
Total Rights | — | — | 4,869 | 4,869 |
Money Market Funds | 23,093,125 | — | — | 23,093,125 |
Total Investments in Securities | 600,971,397 | — | 4,869 | 600,976,266 |
* | Rounds to zero. |
12 | Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $614,324,512) | $577,883,141 |
Affiliated issuers (cost $23,092,645) | 23,093,125 |
Receivable for: | |
Investments sold | 1,696,438 |
Capital shares sold | 330 |
Dividends | 679,994 |
Foreign tax reclaims | 9,593 |
Expense reimbursement due from Investment Manager | 1,326 |
Prepaid expenses | 6,254 |
Total assets | 603,370,201 |
Liabilities | |
Payable for: | |
Investments purchased | 1,849,318 |
Capital shares redeemed | 56,743 |
Management services fees | 14,171 |
Distribution and/or service fees | 334 |
Service fees | 4,201 |
Compensation of board members | 138,469 |
Compensation of chief compliance officer | 57 |
Other expenses | 21,158 |
Total liabilities | 2,084,451 |
Net assets applicable to outstanding capital stock | $601,285,750 |
Represented by | |
Trust capital | $601,285,750 |
Total - representing net assets applicable to outstanding capital stock | $601,285,750 |
Class 1 | |
Net assets | $516,255,861 |
Shares outstanding | 15,203,875 |
Net asset value per share | $33.96 |
Class 2 | |
Net assets | $12,590,512 |
Shares outstanding | 383,250 |
Net asset value per share | $32.85 |
Class 3 | |
Net assets | $72,439,377 |
Shares outstanding | 2,170,417 |
Net asset value per share | $33.38 |
Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2023 | 13 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $6,943,024 |
Dividends — affiliated issuers | 410,059 |
Foreign taxes withheld | (18,865) |
Total income | 7,334,218 |
Expenses: | |
Management services fees | 2,559,913 |
Distribution and/or service fees | |
Class 2 | 15,690 |
Class 3 | 45,135 |
Service fees | 25,696 |
Compensation of board members | 13,133 |
Custodian fees | 8,611 |
Printing and postage fees | 8,189 |
Accounting services fees | 15,045 |
Legal fees | 9,943 |
Compensation of chief compliance officer | 59 |
Other | 7,514 |
Total expenses | 2,708,928 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (143,739) |
Total net expenses | 2,565,189 |
Net investment income | 4,769,029 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 3,050,804 |
Investments — affiliated issuers | 90 |
Net realized gain | 3,050,894 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 15,959,369 |
Investments — affiliated issuers | (777) |
Net change in unrealized appreciation (depreciation) | 15,958,592 |
Net realized and unrealized gain | 19,009,486 |
Net increase in net assets resulting from operations | $23,778,515 |
14 | Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment income | $4,769,029 | $3,566,835 |
Net realized gain | 3,050,894 | 15,751,833 |
Net change in unrealized appreciation (depreciation) | 15,958,592 | (114,532,523) |
Net increase (decrease) in net assets resulting from operations | 23,778,515 | (95,213,855) |
Decrease in net assets from capital stock activity | (16,229,944) | (68,297,056) |
Total increase (decrease) in net assets | 7,548,571 | (163,510,911) |
Net assets at beginning of period | 593,737,179 | 757,248,090 |
Net assets at end of period | $601,285,750 | $593,737,179 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Shares sold | 153,732 | 5,025,353 | 179,875 | 5,947,452 |
Shares redeemed | (521,217) | (18,391,576) | (1,947,589) | (66,363,768) |
Net decrease | (367,485) | (13,366,223) | (1,767,714) | (60,416,316) |
Class 2 | ||||
Shares sold | 20,508 | 659,393 | 80,815 | 2,661,690 |
Shares redeemed | (27,637) | (884,775) | (51,278) | (1,688,812) |
Net increase (decrease) | (7,129) | (225,382) | 29,537 | 972,878 |
Class 3 | ||||
Shares sold | 35,712 | 1,140,141 | 12,670 | 413,447 |
Shares redeemed | (114,463) | (3,778,480) | (277,160) | (9,267,065) |
Net decrease | (78,751) | (2,638,339) | (264,490) | (8,853,618) |
Total net decrease | (453,365) | (16,229,944) | (2,002,667) | (68,297,056) |
Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2023 | 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 6/30/2023 (Unaudited) | $32.69 | 0.27 | 1.00 | 1.27 |
Year Ended 12/31/2022 | $37.55 | 0.19 | (5.05) | (4.86) |
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) |
Class 2 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $31.67 | 0.22 | 0.96 | 1.18 |
Year Ended 12/31/2022 | $36.47 | 0.11 | (4.91) | (4.80) |
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) |
Class 3 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $32.15 | 0.25 | 0.98 | 1.23 |
Year Ended 12/31/2022 | $36.98 | 0.15 | (4.98) | (4.83) |
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) |
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) | Ratios include interfund lending expense which is less than 0.01%. |
16 | Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2023 |
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 6/30/2023 (Unaudited) | $33.96 | 3.88% | 0.89% | 0.84% | 1.63% | 11% | $516,256 |
Year Ended 12/31/2022 | $32.69 | (12.94%) | 0.89% | 0.87% | 0.57% | 23% | $509,055 |
Year Ended 12/31/2021 | $37.55 | 24.01% | 0.88%(c) | 0.88%(c) | 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 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $32.85 | 3.73% | 1.14% | 1.09% | 1.38% | 11% | $12,591 |
Year Ended 12/31/2022 | $31.67 | (13.16%) | 1.14% | 1.12% | 0.34% | 23% | $12,363 |
Year Ended 12/31/2021 | $36.47 | 23.75% | 1.14%(c) | 1.13%(c) | 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 |
Class 3 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $33.38 | 3.83% | 1.02% | 0.97% | 1.50% | 11% | $72,439 |
Year Ended 12/31/2022 | $32.15 | (13.06%) | 1.01% | 0.99% | 0.44% | 23% | $72,319 |
Year Ended 12/31/2021 | $36.98 | 23.89% | 1.01%(c) | 1.01%(c) | 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 |
Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2023 | 17 |
June 30, 2023 (Unaudited)
18 | Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2023 | 19 |
June 30, 2023 (Unaudited)
20 | Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
May 1, 2023 through April 30, 2024 | Prior to May 1, 2023 | |
Class 1 | 0.81% | 0.86% |
Class 2 | 1.06 | 1.11 |
Class 3 | 0.935 | 0.985 |
Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2023 | 21 |
June 30, 2023 (Unaudited)
22 | Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2023 | 23 |
June 30, 2023 (Unaudited)
24 | Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2023 |
• | 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 2023 | 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 one or more 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 2023 |
Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2023 | 27 |
28 | Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2023 |
Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2023 | 29 |
June 30, 2023 (Unaudited)
3 | |
5 | |
6 | |
62 | |
63 | |
64 | |
66 | |
68 | |
83 | |
83 |
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/07/10 | 2.55 | -0.52 | 0.95 | 1.52 | |
Class 2 | 05/07/10 | 2.46 | -0.71 | 0.69 | 1.27 | |
Bloomberg U.S. Aggregate Bond Index | 2.09 | -0.94 | 0.77 | 1.52 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2023) | |
Asset-Backed Securities — Non-Agency | 9.9 |
Commercial Mortgage-Backed Securities - Agency | 4.9 |
Commercial Mortgage-Backed Securities - Non-Agency | 5.3 |
Convertible Bonds | 0.0(a) |
Corporate Bonds & Notes | 27.5 |
Foreign Government Obligations | 1.0 |
Money Market Funds | 2.3 |
Municipal Bonds | 0.2 |
Residential Mortgage-Backed Securities - Agency | 25.8 |
Residential Mortgage-Backed Securities - Non-Agency | 3.5 |
U.S. Government & Agency Obligations | 0.9 |
U.S. Treasury Obligations | 18.7 |
Total | 100.0 |
(a) | Rounds to zero. |
Quality breakdown (%) (at June 30, 2023) | |
AAA rating | 59.3 |
AA rating | 2.5 |
A rating | 12.0 |
BBB rating | 14.6 |
BB rating | 5.5 |
B rating | 2.5 |
CCC rating | 0.2 |
CC rating | 0.1 |
C rating | 0.0(a) |
Not rated | 3.3 |
Total | 100.0 |
(a) | Rounds to zero. |
4 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | |||||||
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 | 1,025.50 | 1,022.59 | 2.37 | 2.37 | 0.47 |
Class 2 | 1,000.00 | 1,000.00 | 1,024.60 | 1,021.29 | 3.68 | 3.68 | 0.73 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (Unaudited)
Asset-Backed Securities — Non-Agency 10.3% | ||||
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 | 5.950% | 498,946 | 466,449 | |
ACC Trust(a) | ||||
Series 2021-1 Class D | ||||
03/22/2027 | 5.250% | 5,200,000 | 5,059,965 | |
Subordinated Series 2021-1 Class C | ||||
12/20/2024 | 2.080% | 1,648,717 | 1,630,616 | |
Ally Auto Receivables Trust | ||||
Subordinated Series 2022-3 Class A4 | ||||
06/15/2031 | 5.070% | 1,013,000 | 1,004,213 | |
American Express Credit Account Master Trust | ||||
Series 2023-1 Class A | ||||
05/15/2028 | 4.870% | 3,983,000 | 3,968,176 | |
Americredit Automobile Receivables Trust | ||||
Series 2023-1 Class A3 | ||||
11/18/2027 | 5.620% | 2,807,000 | 2,797,556 | |
AmeriCredit Automobile Receivables Trust | ||||
Series 2022-1 Class A3 | ||||
11/18/2026 | 2.450% | 792,000 | 766,655 | |
Series 2022-2 Class A3 | ||||
04/18/2028 | 4.380% | 1,937,000 | 1,899,349 | |
Avis Budget Rental Car Funding AESOP LLC(a) | ||||
Series 2019-3A Class A | ||||
03/20/2026 | 2.360% | 1,653,000 | 1,559,822 | |
Series 2021-2A Class A | ||||
02/20/2028 | 1.660% | 1,878,000 | 1,632,885 | |
Series 2022-4A Class A | ||||
02/20/2029 | 4.770% | 1,019,000 | 974,774 | |
Series 2023-1A Class A | ||||
04/20/2029 | 5.250% | 3,663,000 | 3,564,606 | |
Series 2023-2A Class A | ||||
10/20/2027 | 5.200% | 2,336,000 | 2,272,531 | |
Series 2023-4A Class A | ||||
06/20/2029 | 5.490% | 4,876,000 | 4,787,711 | |
Series 2023-6A Class A | ||||
12/20/2029 | 5.810% | 2,761,000 | 2,756,054 | |
BA Credit Card Trust | ||||
Series 2023-A1 Class A1 | ||||
05/15/2028 | 4.790% | 4,519,000 | 4,486,142 | |
BMW Vehicle Lease Trust | ||||
Series 2023-1 Class A4 | ||||
06/25/2026 | 5.070% | 1,403,000 | 1,389,879 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Business Jet Securities LLC(a) | ||||
Series 2021-1A Class A | ||||
04/15/2036 | 2.162% | 1,389,619 | 1,274,287 | |
Subordinated Series 2021-1 Class B | ||||
04/15/2036 | 2.918% | 1,861,447 | 1,648,107 | |
Subordinated Series 2022-1A Class C | ||||
06/15/2037 | 6.413% | 4,368,023 | 4,018,647 | |
Capital One Multi-Asset Execution Trust | ||||
Series 2022-A2 Class A | ||||
05/15/2027 | 3.490% | 2,773,000 | 2,681,906 | |
Series 2023-A1 Class A | ||||
05/15/2028 | 4.420% | 2,316,000 | 2,274,998 | |
Capital One Prime Auto Receivables Trust | ||||
Series 2023-1 Class A3 | ||||
02/15/2028 | 4.870% | 5,809,000 | 5,734,999 | |
Series 2023-1 Class A4 | ||||
08/15/2028 | 4.760% | 1,936,000 | 1,910,816 | |
Cars Net Lease Mortgage Notes(a) | ||||
Series 2020-1A Class A3 | ||||
12/15/2050 | 3.100% | 849,250 | 713,474 | |
Carvana Auto Receivables Trust(a) | ||||
Subordinated Series 2019-3A Class D | ||||
04/15/2025 | 3.040% | 1,455,175 | 1,446,939 | |
Chase Auto Owner Trust(a) | ||||
Series 2022-AA Class A4 | ||||
03/27/2028 | 3.990% | 1,305,000 | 1,248,808 | |
Chase Funding Trust(b) | ||||
Series 2003-2 Class 2A2 | ||||
1-month USD LIBOR + 0.560% Floor 0.560% 02/25/2033 | 5.710% | 454,967 | 434,713 | |
Chase Funding Trust(c) | ||||
Series 2003-4 Class 1A5 | ||||
05/25/2033 | 5.916% | 184,396 | 173,514 | |
Series 2003-6 Class 1A5 | ||||
11/25/2034 | 4.888% | 139,378 | 135,099 | |
College Ave Student Loans LLC(a),(b) | ||||
Series 2017-A Class A1 | ||||
1-month USD LIBOR + 1.650% Floor 1.650% 11/26/2046 | 6.800% | 585,652 | 584,218 | |
College Ave Student Loans LLC(a) | ||||
Series 2018-A Class A2 | ||||
12/26/2047 | 4.130% | 364,556 | 341,711 | |
Series 2019-A Class A2 | ||||
12/28/2048 | 3.280% | 906,688 | 821,901 |
6 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Consumer Receivables Asset Investment Trust(a),(b) | ||||
Series 2021-1 Class A1X | ||||
3-month Term SOFR + 3.750% Floor 3.000% 12/15/2024 | 8.736% | 1,069,999 | 1,072,999 | |
COOF Securitization Trust Ltd.(a),(c),(d) | ||||
CMO Series 2014-1 Class A | ||||
06/25/2040 | 2.902% | 266,504 | 19,466 | |
Credit Acceptance Auto Loan Trust(a) | ||||
Series 2021-2A Class A | ||||
02/15/2030 | 0.960% | 757,805 | 742,813 | |
Series 2021-3A Class B | ||||
07/15/2030 | 1.380% | 4,162,000 | 3,853,038 | |
Subordinated Series 2021-3A Class C | ||||
09/16/2030 | 1.630% | 1,504,000 | 1,377,092 | |
Subordinated Series 2023-1A Class C | ||||
07/15/2033 | 7.710% | 5,195,000 | 5,221,405 | |
Subordinated Series 2023-2A Class C | ||||
09/15/2033 | 7.150% | 3,750,000 | 3,687,076 | |
DataBank Issuer(a) | ||||
Series 2021-1A Class A2 | ||||
02/27/2051 | 2.060% | 2,850,000 | 2,497,230 | |
Diamond Resorts Owner Trust(a) | ||||
Subordinated Series 2021-1A Class D | ||||
11/21/2033 | 3.830% | 1,546,281 | 1,390,184 | |
Discover Card Execution Note Trust | ||||
Series 2022-A3 Class A3 | ||||
07/15/2027 | 3.560% | 5,968,000 | 5,767,933 | |
Series 2022-A4 Class A | ||||
10/15/2027 | 5.030% | 769,000 | 765,071 | |
Series 2023-A1 Class A | ||||
03/15/2028 | 4.310% | 4,612,000 | 4,511,622 | |
Series 2023-A2 Class A | ||||
06/15/2028 | 4.930% | 8,120,000 | 8,084,157 | |
Drive Auto Receivables Trust | ||||
Subordinated Series 2020-2 Class C | ||||
08/17/2026 | 2.280% | 311,275 | 310,172 | |
DT Auto Owner Trust(a) | ||||
Subordinated Series 2021-2A Class C | ||||
02/16/2027 | 1.100% | 2,104,000 | 2,033,515 | |
Enterprise Fleet Financing LLC(a) | ||||
Series 2023-1 Class A2 | ||||
01/22/2029 | 5.510% | 2,788,000 | 2,751,772 | |
Series 2023-1 Class A3 | ||||
10/22/2029 | 5.420% | 1,719,000 | 1,701,762 | |
Exeter Automobile Receivables Trust(a) | ||||
Series 2022-3A Class E | ||||
01/15/2030 | 9.090% | 7,000,000 | 6,601,185 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated Series 2023-2A Class E | ||||
11/15/2030 | 9.750% | 863,000 | 852,887 | |
Exeter Automobile Receivables Trust | ||||
Subordinated Series 2022-2A Class D | ||||
07/17/2028 | 4.560% | 6,035,000 | 5,747,137 | |
Subordinated Series 2022-5A Class D | ||||
02/15/2029 | 7.400% | 5,000,000 | 5,068,714 | |
Flagship Credit Auto Trust(a) | ||||
Series 2019-4 Class D | ||||
01/15/2026 | 3.120% | 3,600,000 | 3,488,359 | |
Ford Credit Auto Lease Trust | ||||
Series 2023-A Class A4 | ||||
05/15/2026 | 4.830% | 1,492,000 | 1,470,441 | |
Ford Credit Auto Owner Trust(a) | ||||
Series 2022-1 Class A | ||||
11/15/2034 | 3.880% | 6,426,000 | 6,085,315 | |
Series 2023-1 Class A | ||||
08/15/2035 | 4.850% | 7,244,000 | 7,092,617 | |
Ford Credit Auto Owner Trust | ||||
Series 2022-D Class A4 | ||||
03/15/2028 | 5.300% | 917,000 | 913,132 | |
Series 2023-A Class A3 | ||||
02/15/2028 | 4.650% | 3,954,000 | 3,899,884 | |
Series 2023-B Class A3 | ||||
05/15/2028 | 5.230% | 3,379,000 | 3,371,627 | |
Series 2023-B Class A4 | ||||
02/15/2029 | 5.060% | 1,338,000 | 1,332,306 | |
Ford Credit Floorplan Master Owner Trust(a) | ||||
Series 2023-1 Class A1 | ||||
05/15/2028 | 4.920% | 3,609,000 | 3,568,518 | |
Foundation Finance Trust(a) | ||||
Series 2019-1A Class A | ||||
11/15/2034 | 3.860% | 189,730 | 186,482 | |
Series 2020-1A Class A | ||||
07/16/2040 | 3.540% | 1,156,728 | 1,110,677 | |
Foursight Capital Automobile Receivables Trust(a) | ||||
Subordinated Series 2021-2 Class D | ||||
09/15/2027 | 1.920% | 850,000 | 782,798 | |
FREED ABS Trust(a) | ||||
Subordinated Series 2021-2 Class C | ||||
06/19/2028 | 1.940% | 1,503,533 | 1,478,062 | |
Subordinated Series 2021-3FP Class D | ||||
11/20/2028 | 2.370% | 2,230,000 | 2,071,064 | |
Subordinated Series 2022-1FP Class D | ||||
03/19/2029 | 3.350% | 4,150,000 | 3,852,823 | |
GLS Auto Receivables Issuer Trust(a) | ||||
Subordinated Series 2021-1A Class D | ||||
01/15/2027 | 1.680% | 1,200,000 | 1,130,014 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 | 7 |
June 30, 2023 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated Series 2021-1A Class E | ||||
01/18/2028 | 3.140% | 7,240,000 | 6,618,754 | |
Subordinated Series 2021-3A Class D | ||||
07/15/2027 | 1.480% | 8,330,000 | 7,459,994 | |
GLS Auto Receivables Trust(a) | ||||
Subordinated Series 2021-2A Class D | ||||
04/15/2027 | 1.420% | 2,250,000 | 2,073,237 | |
GM Financial Automobile Leasing Trust | ||||
Series 2023-1 Class A4 | ||||
01/20/2027 | 5.160% | 2,090,000 | 2,070,882 | |
Series 2023-2 Class A3 | ||||
07/20/2026 | 5.050% | 2,801,000 | 2,775,330 | |
Series 2023-2 Class A4 | ||||
05/20/2027 | 5.090% | 1,277,000 | 1,265,623 | |
GM Financial Consumer Automobile Receivables Trust | ||||
Series 2022-2 Class A3 | ||||
02/16/2027 | 3.100% | 4,524,000 | 4,373,656 | |
Series 2022-4 Class A3 | ||||
08/16/2027 | 4.820% | 1,574,000 | 1,555,703 | |
GM Financial Revolving Receivables Trust(a) | ||||
Series 2022-1 Class A | ||||
10/11/2035 | 5.910% | 2,406,000 | 2,452,284 | |
Series 2023-1 Class A | ||||
04/11/2035 | 5.120% | 3,621,000 | 3,584,553 | |
GMF Floorplan Owner Revolving Trust(a) | ||||
Series 2023-1 Class A1 | ||||
06/15/2028 | 5.340% | 6,270,000 | 6,271,514 | |
Gold Key Resorts(a) | ||||
Series 2014-A Class A | ||||
03/17/2031 | 3.220% | 8,296 | 8,217 | |
Goodgreen Trust(a) | ||||
Series 2017-1A Class A | ||||
10/15/2052 | 3.740% | 163,215 | 143,495 | |
Series 2017-2A Class A | ||||
10/15/2053 | 3.260% | 838,859 | 736,971 | |
Series 2019-2A Class A | ||||
04/15/2055 | 2.760% | 1,162,688 | 962,228 | |
Goodgreen Trust(a),(e),(f) | ||||
Series 2017-R1A Class R | ||||
10/20/2052 | 5.000% | 775,240 | 643,449 | |
HERO Funding Trust(a) | ||||
Series 2016-3A Class A1 | ||||
09/20/2042 | 3.080% | 281,737 | 245,994 | |
Series 2017-1A Class A2 | ||||
09/20/2047 | 4.460% | 436,329 | 392,788 | |
Series 2017-3A Class A2 | ||||
09/20/2048 | 3.950% | 571,511 | 500,562 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Hertz Vehicle Financing III LLC(a) | ||||
Series 2022-1A Class A | ||||
06/25/2026 | 1.990% | 3,708,000 | 3,436,711 | |
Series 2023-2A Class A | ||||
09/25/2029 | 5.570% | 4,646,000 | 4,584,864 | |
Hertz Vehicle Financing III LP(a) | ||||
Series 2021-2A Class A | ||||
12/27/2027 | 1.680% | 2,318,000 | 2,019,736 | |
Hertz Vehicle Financing LLC(a) | ||||
Series 2022-4A Class A | ||||
09/25/2026 | 3.730% | 2,253,000 | 2,145,481 | |
HGI CRE CLO Ltd.(a),(b) | ||||
Series 2022-FL3 Class D | ||||
30-day Average SOFR + 3.750% Floor 3.750% 04/19/2037 | 8.817% | 3,998,500 | 3,755,637 | |
Hilton Grand Vacations Trust(a) | ||||
Series 2017-AA Class A | ||||
12/26/2028 | 2.660% | 117,442 | 114,948 | |
Honda Auto Receivables Owner Trust | ||||
Series 2023-1 Class A3 | ||||
04/21/2027 | 5.040% | 5,040,000 | 5,009,985 | |
Series 2023-1 Class A4 | ||||
06/21/2029 | 4.970% | 2,423,000 | 2,407,198 | |
Hyundai Auto Lease Securitization Trust(a) | ||||
Series 2023-B Class A4 | ||||
04/15/2027 | 5.170% | 2,033,000 | 2,002,588 | |
Hyundai Auto Receivables Trust | ||||
Series 2021-C Class A4 | ||||
12/15/2027 | 1.030% | 1,650,000 | 1,502,777 | |
Series 2022-A Class A3 | ||||
10/15/2026 | 2.220% | 3,070,000 | 2,945,072 | |
Series 2023-A Class A4 | ||||
07/17/2028 | 4.480% | 1,844,000 | 1,807,186 | |
LendingPoint Asset Securitization Trust(a) | ||||
Series 2020-REV1 Class C | ||||
10/15/2028 | 7.699% | 3,708,000 | 3,611,706 | |
Subordinated Series 2021-A Class C | ||||
12/15/2028 | 2.750% | 3,541,806 | 3,459,948 | |
Subordinated Series 2021-B Class B | ||||
02/15/2029 | 1.680% | 3,645,598 | 3,612,784 | |
Lendmark Funding Trust(a) | ||||
Subordinated Series 2021-1A Class B | ||||
11/20/2031 | 2.470% | 1,625,000 | 1,369,869 | |
Subordinated Series 2021-1A Class C | ||||
11/20/2031 | 3.410% | 5,000,000 | 4,040,400 | |
LP LMS Asset Securitization Trust(a),(e),(f) | ||||
Subordinated Series 2021-2A Class B | ||||
01/15/2029 | 2.330% | 7,381,000 | 6,981,100 |
8 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
LPMS(a),(e),(f) | ||||
Series 2021-1A Class B | ||||
04/15/2041 | 3.966% | 7,000,000 | 6,929,727 | |
Mariner Finance Issuance Trust(a) | ||||
Series 2019-AA Class B | ||||
07/20/2032 | 3.510% | 2,115,000 | 2,066,134 | |
Series 2019-AA Class C | ||||
07/20/2032 | 4.010% | 5,560,000 | 5,254,171 | |
Series 2019-AA Class D | ||||
07/20/2032 | 5.440% | 6,000,000 | 5,591,497 | |
Subordinated Series 2022-AA Class D | ||||
10/20/2037 | 9.100% | 3,650,000 | 3,685,493 | |
Marlette Funding Trust(a) | ||||
Subordinated Series 2023-1A Class C | ||||
04/15/2033 | 7.200% | 3,420,000 | 3,405,606 | |
Mercedes-Benz Auto Lease Trust | ||||
Series 2023-A Class A3 | ||||
01/15/2027 | 4.740% | 2,736,000 | 2,700,757 | |
Mercedes-Benz Auto Receivables Trust | ||||
Series 2022-1 Class A4 | ||||
02/15/2029 | 5.250% | 2,122,000 | 2,131,568 | |
Series 2023-1 Class A4 | ||||
04/16/2029 | 4.310% | 1,652,000 | 1,615,382 | |
Mercury Financial Credit Card Master Trust(a) | ||||
Series 2023-1A Class A | ||||
09/20/2027 | 8.040% | 5,937,000 | 5,941,900 | |
Mid-State Capital Corp. Trust(a) | ||||
Series 2006-1 Class M1 | ||||
10/15/2040 | 6.083% | 552,503 | 534,130 | |
Navient Private Education Loan Trust(a),(b) | ||||
Series 2016-AA Class A2B | ||||
1-month USD LIBOR + 2.150% 12/15/2045 | 7.343% | 1,283,444 | 1,288,804 | |
Navient Private Education Loan Trust(a) | ||||
Series 2020-IA Class A1A | ||||
04/15/2069 | 1.330% | 1,968,198 | 1,720,083 | |
Navient Private Education Refi Loan Trust(a) | ||||
Series 2018-A Class A2 | ||||
02/18/2042 | 3.190% | 8,082 | 8,060 | |
Series 2018-CA Class A2 | ||||
06/16/2042 | 3.520% | 54,035 | 52,988 | |
Series 2018-DA Class A2A | ||||
12/15/2059 | 4.000% | 1,593,455 | 1,517,075 | |
Series 2019-A Class A2A | ||||
01/15/2043 | 3.420% | 881,546 | 850,622 | |
Series 2019-CA Class A2 | ||||
02/15/2068 | 3.130% | 599,066 | 566,214 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2019-D Class A2A | ||||
12/15/2059 | 3.010% | 1,856,930 | 1,698,149 | |
Series 2019-FA Class A2 | ||||
08/15/2068 | 2.600% | 1,386,801 | 1,276,310 | |
Series 2020-BA Class A2 | ||||
01/15/2069 | 2.120% | 771,579 | 699,901 | |
Series 2020-EA Class A | ||||
05/15/2069 | 1.690% | 3,688,288 | 3,275,436 | |
Series 2020-GA Class A | ||||
09/16/2069 | 1.170% | 1,276,524 | 1,133,371 | |
Series 2021-A Class A | ||||
05/15/2069 | 0.840% | 422,277 | 366,564 | |
Series 2021-BA Class A | ||||
07/15/2069 | 0.940% | 764,213 | 661,774 | |
Series 2021-CA Class A | ||||
10/15/2069 | 1.060% | 2,947,208 | 2,550,939 | |
Series 2021-EA Class A | ||||
12/16/2069 | 0.970% | 4,093,794 | 3,464,051 | |
Series 2021-FA Class A | ||||
02/18/2070 | 1.110% | 2,553,486 | 2,132,015 | |
Series 2021-GA Class A | ||||
04/15/2070 | 1.580% | 640,536 | 550,397 | |
Series 2022-A Class A | ||||
07/15/2070 | 2.230% | 6,228,756 | 5,398,868 | |
Navient Student Loan Trust(a) | ||||
Series 2019-BA Class A2A | ||||
12/15/2059 | 3.390% | 1,377,904 | 1,296,640 | |
Series 2021-3A Class A1A | ||||
08/25/2070 | 1.770% | 2,782,363 | 2,395,813 | |
Nelnet Student Loan Trust(b) | ||||
Series 2004-3 Class A5 | ||||
3-month USD LIBOR + 0.180% Floor 0.180% 10/27/2036 | 5.435% | 676,566 | 660,278 | |
Series 2004-4 Class A5 | ||||
3-month USD LIBOR + 0.160% Floor 0.160% 01/25/2037 | 5.415% | 1,956,530 | 1,924,970 | |
Series 2005-1 Class A5 | ||||
3-month USD LIBOR + 0.110% Floor 0.110% 10/25/2033 | 5.365% | 2,221,904 | 2,157,637 | |
Series 2005-2 Class A5 | ||||
3-month USD LIBOR + 0.100% Floor 0.100% 03/23/2037 | 5.328% | 4,146,831 | 4,047,943 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 | 9 |
June 30, 2023 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2005-3 Class A5 | ||||
3-month USD LIBOR + 0.120% Floor 0.120% 12/24/2035 | 5.348% | 3,634,548 | 3,553,486 | |
Series 2005-4 Class A4 | ||||
3-month USD LIBOR + 0.180% Floor 0.180% 03/22/2032 | 5.408% | 293,027 | 282,496 | |
Nissan Auto Lease Trust | ||||
Series 2023-B Class A3 | ||||
07/15/2026 | 5.690% | 4,714,000 | 4,720,364 | |
Series 2023-B Class A4 | ||||
11/15/2027 | 5.610% | 1,804,000 | 1,805,708 | |
Nissan Auto Receivables Owner Trust | ||||
Series 2022-B Class A4 | ||||
11/15/2029 | 4.450% | 1,270,000 | 1,242,788 | |
Series 2023-A Class A4 | ||||
06/17/2030 | 4.850% | 956,000 | 945,251 | |
Octane Receivables Trust(a) | ||||
Subordinated Series 2021-1A Class B | ||||
04/20/2027 | 1.530% | 700,000 | 645,959 | |
Subordinated Series 2021-1A Class C | ||||
11/20/2028 | 2.230% | 600,000 | 539,428 | |
Oportun Funding XIV LLC(a) | ||||
Series 2021-1 Class A | ||||
03/08/2028 | 1.210% | 1,129,071 | 1,076,777 | |
Oportun Issuance Trust(a) | ||||
Subordinated Series 2022-A Class C | ||||
06/09/2031 | 7.400% | 5,250,000 | 4,965,364 | |
Pagaya AI Debt Selection Trust(a) | ||||
Series 2021-1 Class B | ||||
11/15/2027 | 2.130% | 4,498,146 | 4,410,317 | |
PenFed Auto Receivables Owner Trust(a) | ||||
Series 2022-A Class A3 | ||||
04/15/2026 | 3.960% | 1,929,000 | 1,893,662 | |
Series 2022-A Class A4 | ||||
12/15/2028 | 4.180% | 948,000 | 922,856 | |
Regional Management Issuance Trust(a) | ||||
Subordinated Series 2021-2 Class D | ||||
08/15/2033 | 4.940% | 4,300,000 | 3,301,224 | |
Renew(a) | ||||
Series 2017-1A Class A | ||||
09/20/2052 | 3.670% | 209,186 | 181,496 | |
Santander Drive Auto Receivables Trust | ||||
Series 2022-2 Class A3 | ||||
10/15/2026 | 2.980% | 4,180,722 | 4,134,751 | |
Series 2022-3 Class A3 | ||||
12/15/2026 | 3.400% | 1,816,754 | 1,793,385 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2022-4 Class A3 | ||||
02/16/2027 | 4.140% | 2,778,000 | 2,738,592 | |
Series 2022-5 Class A3 | ||||
08/17/2026 | 4.110% | 2,298,000 | 2,275,073 | |
Series 2022-6 Class A3 | ||||
11/16/2026 | 4.490% | 4,756,000 | 4,710,740 | |
Series 2022-7 Class A3 | ||||
04/15/2027 | 5.750% | 1,076,000 | 1,074,636 | |
Subordinated Series 2023-2 Class C | ||||
12/16/2030 | 5.470% | 3,700,000 | 3,630,112 | |
SART(f) | ||||
Series 2017-1 Class X | ||||
11/17/2025 | 4.750% | 318,577 | 307,267 | |
SART(a),(f) | ||||
Series 2018-1 Class A | ||||
06/15/2025 | 4.750% | 487,314 | 464,166 | |
SCF Equipment Leasing LLC(a) | ||||
Subordinated Series 2021-1A Class F | ||||
08/20/2032 | 5.520% | 5,000,000 | 4,598,088 | |
Subordinated Series 2022-2A Class E | ||||
06/20/2035 | 6.500% | 4,484,000 | 3,824,964 | |
Sierra Timeshare Receivables Funding LLC(a) | ||||
Subordinated Series 2020-2A Class D | ||||
07/20/2037 | 6.590% | 3,580,031 | 3,418,101 | |
SLC Student Loan Trust(b) | ||||
Series 2010-1 Class A | ||||
3-month USD LIBOR + 0.875% Floor 0.875% 11/25/2042 | 6.271% | 247,838 | 245,852 | |
SMB Private Education Loan Trust(a),(b) | ||||
Series 2016-B Class A2B | ||||
1-month USD LIBOR + 1.450% 02/17/2032 | 6.643% | 282,305 | 282,145 | |
Series 2016-C Class A2B | ||||
1-month USD LIBOR + 1.100% Floor 1.100% 09/15/2034 | 6.293% | 383,450 | 382,201 | |
Series 2023-B Class A1B | ||||
30-day Average SOFR + 1.800% Floor 1.800% 10/16/2056 | 5.000% | 2,353,000 | 2,358,057 | |
SMB Private Education Loan Trust(a) | ||||
Series 2018-A Class A2A | ||||
02/15/2036 | 3.500% | 3,591,787 | 3,446,948 | |
Series 2018-C Class A2A | ||||
11/15/2035 | 3.630% | 1,326,421 | 1,240,274 | |
Series 2020-BA Class A1A | ||||
07/15/2053 | 1.290% | 856,321 | 762,165 |
10 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2020-PTA Class A2A | ||||
09/15/2054 | 1.600% | 2,131,251 | 1,889,515 | |
Series 2020-PTB Class A2A | ||||
09/15/2054 | 1.600% | 6,027,957 | 5,298,013 | |
Series 2021-A Class APT1 | ||||
01/15/2053 | 1.070% | 3,765,497 | 3,216,463 | |
Series 2021-B Class A | ||||
07/17/2051 | 1.310% | 1,314,544 | 1,140,820 | |
Series 2021-D Class A1A | ||||
03/17/2053 | 1.340% | 3,593,714 | 3,163,359 | |
Series 2021-E Class A1A | ||||
02/15/2051 | 1.680% | 2,586,644 | 2,289,863 | |
SoFi Professional Loan Program LLC(a) | ||||
Series 2017-D Class A2FX | ||||
09/25/2040 | 2.650% | 102,797 | 97,854 | |
SoFi Professional Loan Program Trust(a) | ||||
Series 2020-C Class AFX | ||||
02/15/2046 | 1.950% | 254,910 | 228,024 | |
Series 2021-A Class AFX | ||||
08/17/2043 | 1.030% | 882,365 | 743,696 | |
Series 2021-B Class AFX | ||||
02/15/2047 | 1.140% | 2,041,655 | 1,703,005 | |
Synchrony Card Funding LLC | ||||
Series 2022-A2 Class A | ||||
07/15/2028 | 3.860% | 1,432,000 | 1,387,619 | |
Theorem Funding Trust(a) | ||||
Series 2021-1A Class A | ||||
12/15/2027 | 1.210% | 354,738 | 352,634 | |
Series 2022-2A Class A | ||||
12/15/2028 | 6.060% | 2,120,848 | 2,094,731 | |
T-Mobile US Trust(a) | ||||
Series 2022-1A Class A | ||||
05/22/2028 | 4.910% | 1,991,000 | 1,968,341 | |
Toyota Auto Receivables Owner Trust | ||||
Series 2022-D Class A4 | ||||
04/17/2028 | 5.430% | 1,158,000 | 1,171,864 | |
Series 2023-A Class A4 | ||||
08/15/2028 | 4.420% | 1,554,000 | 1,521,287 | |
Series 2023-B Class A3 | ||||
02/15/2028 | 4.710% | 2,373,000 | 2,346,728 | |
United Auto Credit Securitization Trust(a) | ||||
Series 2022-2 Class E | ||||
04/10/2029 | 10.000% | 1,000,000 | 950,681 | |
Upstart Pass-Through Trust(a) | ||||
Series 2021-ST4 Class A | ||||
07/20/2027 | 2.000% | 1,868,980 | 1,773,412 | |
Series 2021-ST8 Class A | ||||
10/20/2029 | 1.750% | 1,708,885 | 1,615,428 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Upstart Securitization Trust(a) | ||||
Series 2021-1 Class B | ||||
03/20/2031 | 1.890% | 510,408 | 506,432 | |
US Auto Funding(a) | ||||
Subordinated Series 2021-1A Class B | ||||
03/17/2025 | 1.490% | 1,040,312 | 1,027,057 | |
Subordinated Series 2021-1A Class C | ||||
05/15/2026 | 2.200% | 6,000,000 | 5,851,106 | |
US Auto Funding Trust(a) | ||||
Subordinated Series 2022-1A Class D | ||||
07/15/2027 | 9.140% | 5,000,000 | 921,724 | |
Verizon Master Trust | ||||
Series 2022-2 Class A | ||||
07/20/2028 | 1.530% | 1,761,000 | 1,646,911 | |
Series 2023-2 Class A | ||||
04/13/2028 | 4.890% | 1,325,000 | 1,310,281 | |
Series 2023-4 Class A1A | ||||
06/20/2029 | 5.160% | 6,117,000 | 6,096,455 | |
Verizon Master Trust(c) | ||||
Series 2022-4 Class A | ||||
11/20/2028 | 3.400% | 3,777,000 | 3,634,078 | |
Series 2022-6 Class A | ||||
01/22/2029 | 3.670% | 2,361,000 | 2,281,840 | |
Series 2023-1 Class A | ||||
01/22/2029 | 4.490% | 3,606,000 | 3,545,206 | |
Veros Auto Receivables Trust(a) | ||||
Subordinated Series 2021-1 Class B | ||||
10/15/2026 | 1.490% | 2,800,000 | 2,699,118 | |
VM Debt LLC(a),(e),(f) | ||||
Series 2019-1 Class A1A | ||||
07/18/2027 | 7.460% | 8,998,528 | 7,526,639 | |
Volkswagen Auto Loan Enhanced Trust | ||||
Series 2023-1 Class A3 | ||||
06/20/2028 | 5.020% | 2,634,000 | 2,623,121 | |
VSE Voi Mortgage LLC(a) | ||||
Series 2018-A Class A | ||||
02/20/2036 | 3.560% | 210,324 | 202,621 | |
World Omni Select Auto Trust | ||||
Series 2023-A Class A2A | ||||
03/15/2027 | 5.920% | 2,339,000 | 2,335,721 | |
Total Asset-Backed Securities — Non-Agency (Cost $529,207,278) | 502,183,700 | |||
Commercial Mortgage-Backed Securities - Agency 5.0% | ||||
Fannie Mae Multifamily REMIC Trust(c) | ||||
Series 2022-M10 Class A2 | ||||
01/25/2032 | 2.003% | 7,800,000 | 6,376,454 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 | 11 |
June 30, 2023 (Unaudited)
Commercial Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Fannie Mae Multifamily REMIC Trust | ||||
Series 2022-M1S Class A2 | ||||
04/25/2032 | 2.081% | 8,700,000 | 7,182,433 | |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates | ||||
Series 2017 K065 Class A2 | ||||
04/25/2027 | 3.243% | 1,408,000 | 1,337,259 | |
Series 2017 K065 Class AM | ||||
05/25/2027 | 3.326% | 755,000 | 707,743 | |
Series 2017 K066 Class A2 | ||||
06/25/2027 | 3.117% | 1,858,000 | 1,751,493 | |
Series K145 Class AM (FHLMC) | ||||
06/25/2055 | 2.580% | 8,250,000 | 7,067,877 | |
Series K146 Class A2 (FHLMC) | ||||
06/25/2032 | 2.920% | 5,900,000 | 5,219,742 | |
Series KS07 Class A2 | ||||
09/25/2025 | 2.735% | 3,600,000 | 3,400,905 | |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates(c) | ||||
Series 2017-K070 Class A2 | ||||
11/25/2027 | 3.303% | 1,311,000 | 1,241,125 | |
Series K081 Class A2 | ||||
08/25/2028 | 3.900% | 2,245,000 | 2,177,614 | |
Series W5FX Class AFX | ||||
04/25/2028 | 3.336% | 1,256,000 | 1,150,482 | |
Federal National Mortgage Association | ||||
12/01/2025 | 3.765% | 3,321,644 | 3,215,215 | |
07/01/2026 | 4.450% | 2,399,506 | 2,369,028 | |
12/01/2026 | 3.240% | 1,500,000 | 1,423,943 | |
01/01/2027 | 3.710% | 2,867,603 | 2,763,855 | |
02/01/2027 | 3.340% | 1,000,000 | 954,233 | |
05/01/2027 | 2.430% | 2,287,762 | 2,094,950 | |
06/01/2027 | 2.370% | 4,550,000 | 4,155,412 | |
06/01/2027 | 3.000% | 1,932,293 | 1,810,821 | |
06/01/2028 | 3.570% | 2,787,000 | 2,667,838 | |
11/01/2028 | 1.859% | 7,300,000 | 6,284,383 | |
11/01/2028 | 4.250% | 545,662 | 536,624 | |
02/01/2029 | 3.740% | 1,515,000 | 1,452,478 | |
10/01/2029 | 3.121% | 2,206,224 | 2,052,935 | |
02/01/2030 | 2.570% | 2,505,113 | 2,234,651 | |
02/01/2030 | 2.920% | 2,653,218 | 2,427,614 | |
02/01/2030 | 3.550% | 1,000,000 | 939,858 | |
05/01/2030 | 3.420% | 8,892,812 | 8,246,385 | |
06/01/2030 | 3.130% | 4,812,000 | 4,399,706 | |
07/01/2030 | 3.850% | 4,380,826 | 4,196,481 | |
02/01/2031 | 3.260% | 6,236,000 | 5,662,818 | |
01/01/2032 | 2.730% | 2,510,461 | 2,208,651 | |
01/01/2032 | 2.730% | 1,825,000 | 1,592,692 | |
01/01/2032 | 2.780% | 2,138,651 | 1,882,139 | |
01/01/2032 | 2.970% | 1,555,059 | 1,387,246 | |
02/01/2032 | 2.990% | 2,882,606 | 2,572,588 | |
05/01/2032 | 3.090% | 5,565,000 | 4,976,060 | |
06/01/2032 | 3.540% | 7,921,000 | 7,347,284 | |
11/01/2032 | 4.180% | 6,605,000 | 6,440,906 |
Commercial Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
11/01/2032 | 4.230% | 3,967,627 | 3,879,261 | |
11/01/2032 | 4.705% | 3,400,000 | 3,443,014 | |
12/01/2032 | 4.830% | 4,717,000 | 4,807,022 | |
11/01/2033 | 2.430% | 1,323,384 | 1,115,680 | |
12/01/2033 | 2.500% | 1,628,856 | 1,372,926 | |
04/01/2035 | 3.330% | 2,363,155 | 2,151,223 | |
10/01/2035 | 2.880% | 5,000,000 | 4,069,425 | |
Series 2015-M10 Class A2 | ||||
04/25/2027 | 3.092% | 7,788,867 | 7,356,520 | |
Series 2017-M5 Class A2 | ||||
04/25/2029 | 3.176% | 1,363,036 | 1,258,622 | |
Series 2017-T1 Class A | ||||
06/25/2027 | 2.898% | 2,760,530 | 2,560,087 | |
Series 2021-M3 Class 1A1 | ||||
11/25/2033 | 1.000% | 3,106,566 | 2,912,405 | |
Series 2022-M13 Class A2 | ||||
06/25/2032 | 2.593% | 11,430,000 | 9,777,006 | |
Federal National Mortgage Association(c) | ||||
06/01/2037 | 5.888% | 356,633 | 353,069 | |
CMO Series 2014-M3 Class A2 | ||||
01/25/2024 | 3.501% | 186,754 | 184,216 | |
CMO Series 2015-M11 Class A2 | ||||
04/25/2025 | 2.945% | 1,761,103 | 1,687,934 | |
Series 2017-M12 Class A2 | ||||
06/25/2027 | 3.165% | 1,581,335 | 1,491,986 | |
Series 2018-M10 Class A2 | ||||
07/25/2028 | 3.469% | 2,683,000 | 2,533,861 | |
Series 2018-M3 Class A2 | ||||
02/25/2030 | 3.171% | 924,338 | 850,613 | |
Series 2018-M4 Class A2 | ||||
03/25/2028 | 3.166% | 1,125,965 | 1,057,914 | |
Series 2022-M3 Class A2 | ||||
11/25/2031 | 1.764% | 16,900,000 | 13,655,812 | |
Federal National Mortgage Association(c),(d) | ||||
Series 2021-M3 Class X1 | ||||
11/25/2033 | 2.052% | 35,721,132 | 3,086,027 | |
Freddie Mac Multiclass Certificates(c),(d) | ||||
Series 2021-P011 Class X1 | ||||
09/25/2045 | 1.786% | 20,657,836 | 2,516,748 | |
Freddie Mac Multifamily Structured Credit Risk(a),(b) | ||||
Series 2021-MN1 Class M2 | ||||
3-month Term SOFR + 3.750% 01/25/2051 | 8.817% | 1,000,000 | 900,679 | |
Freddie Mac Multifamily Structured Pass Through Certificates(c) | ||||
Series K-150 Class A2 | ||||
09/25/2032 | 3.710% | 13,100,000 | 12,335,108 |
12 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Commercial Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Freddie Mac Multifamily Structured Pass-Through Certificates(c) | ||||
Series K153 Class A2 (FHLMC) | ||||
12/25/2032 | 3.820% | 5,800,000 | 5,504,404 | |
Freddie Mac Multifamily Structured Pass-Through Certificates(c),(d) | ||||
Series KL05 Class X1P (FHLMC) | ||||
06/25/2029 | 1.024% | 75,000,000 | 3,414,382 | |
FREMF Mortgage Trust(a),(c) | ||||
Subordinated Series 2015-K44 Class B | ||||
01/25/2048 | 3.847% | 3,410,000 | 3,272,284 | |
Subordinated Series 2016-K59 Class B | ||||
11/25/2049 | 3.700% | 2,383,000 | 2,222,857 | |
Subordinated Series 2019-K92 Class B | ||||
05/25/2052 | 4.341% | 6,000,000 | 5,553,400 | |
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 | 5.444% | 407,669 | 404,666 | |
CMO Series 2015-H15 Class FJ | ||||
1-month USD LIBOR + 0.440% Floor 0.440%, Cap 11.000% 06/20/2065 | 5.534% | 1,988,836 | 1,973,858 | |
CMO Series 2015-H16 Class FG | ||||
1-month USD LIBOR + 0.440% Floor 0.440%, Cap 11.000% 07/20/2065 | 5.534% | 1,953,170 | 1,937,013 | |
CMO Series 2015-H16 Class FL | ||||
1-month USD LIBOR + 0.440% Floor 0.440%, Cap 11.000% 07/20/2065 | 5.534% | 1,075,388 | 1,066,951 | |
CMO Series 2015-H18 Class FA | ||||
1-month USD LIBOR + 0.450% Floor 0.450%, Cap 11.000% 06/20/2065 | 5.544% | 408,807 | 406,064 | |
Government National Mortgage Association(c) | ||||
CMO Series 2014-168 Class VB | ||||
06/16/2047 | 3.435% | 490,364 | 488,487 | |
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 | 8.900% | 8,008,000 | 7,670,064 | |
Total Commercial Mortgage-Backed Securities - Agency (Cost $261,657,678) | 245,181,509 | |||
Commercial Mortgage-Backed Securities - Non-Agency 5.5% | ||||
American Homes 4 Rent Trust(a) | ||||
Series 2014-SFR2 Class A | ||||
10/17/2036 | 3.786% | 2,200,660 | 2,131,910 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2014-SFR2 Class E | ||||
10/17/2036 | 6.231% | 500,000 | 492,017 | |
Series 2014-SFR3 Class A | ||||
12/17/2036 | 3.678% | 970,666 | 935,875 | |
Series 2014-SFR3 Class E | ||||
12/17/2036 | 6.418% | 1,000,000 | 984,813 | |
Series 2015-SFR1 Class A | ||||
04/17/2052 | 3.467% | 1,056,564 | 1,009,026 | |
Series 2015-SFR1 Class E | ||||
04/17/2052 | 5.639% | 1,150,000 | 1,117,089 | |
Subordinated Series 2014-SFR3 Class C | ||||
12/17/2036 | 4.596% | 200,000 | 194,539 | |
Subordinated Series 2015-SFR2 Class D | ||||
10/17/2045 | 5.036% | 2,000,000 | 1,946,777 | |
Subordinated Series 2015-SFR2 Class E | ||||
10/17/2045 | 6.070% | 1,820,000 | 1,777,272 | |
AMSR Trust(a) | ||||
Series 2020-SFR5 Class D | ||||
11/17/2037 | 2.180% | 3,750,000 | 3,383,363 | |
Subordinated Series 2020-SFR2 Class C | ||||
07/17/2037 | 2.533% | 4,000,000 | 3,690,431 | |
Subordinated Series 2020-SFR3 Class E1 | ||||
09/17/2037 | 2.556% | 3,600,000 | 3,256,127 | |
Subordinated Series 2020-SFR4 Class E2 | ||||
11/17/2037 | 2.456% | 4,275,000 | 3,817,926 | |
Subordinated Series 2020-SFR5 Class F | ||||
11/17/2037 | 2.686% | 5,000,000 | 4,479,982 | |
Subordinated Series 2021-SFR2 Class D | ||||
08/17/2026 | 2.278% | 4,800,000 | 4,173,333 | |
Subordinated Series 2021-SFR2 Class E1 | ||||
08/17/2026 | 2.477% | 5,200,000 | 4,444,859 | |
Subordinated Series 2021-SFR3 Class E2 | ||||
10/17/2038 | 2.427% | 3,845,000 | 3,190,836 | |
Subordinated Series 2022-SFR1 Class F | ||||
03/17/2039 | 6.021% | 8,500,000 | 7,707,630 | |
AMSR Trust(a),(c) | ||||
Series 2021-SFR1 Class E1 | ||||
06/17/2038 | 2.751% | 2,250,000 | 1,845,191 | |
Series 2021-SFR1 Class E2 | ||||
06/17/2038 | 2.900% | 2,250,000 | 1,838,580 | |
AREIT Trust(a),(b) | ||||
Series 2021-CRE5 Class C | ||||
1-month USD LIBOR + 2.250% Floor 2.250% 08/17/2026 | 7.407% | 8,000,000 | 7,512,542 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 | 13 |
June 30, 2023 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
BANK5(c) | ||||
Series 2023-5YR1 Class A3 | ||||
04/15/2056 | 6.260% | 1,299,000 | 1,319,557 | |
BBCMS Mortgage Trust | ||||
Series 2018-C2 Class ASB | ||||
12/15/2051 | 4.236% | 636,177 | 611,661 | |
BBCMS Mortgage Trust(c),(g) | ||||
Series 2023-C20 Class A5 | ||||
07/15/2056 | 5.576% | 843,000 | 867,081 | |
BB-UBS Trust(a) | ||||
Series 2012-SHOW Class A | ||||
11/05/2036 | 3.430% | 3,700,000 | 3,471,716 | |
Bear Stearns Commercial Mortgage Securities Trust(a),(c),(d) | ||||
CMO Series 2007-T26 Class X1 | ||||
01/12/2045 | 1.169% | 61,963 | 1 | |
Benchmark Mortgage Trust(g) | ||||
Series 2023-B39 Class A5 | ||||
07/15/2055 | 5.754% | 1,680,000 | 1,723,070 | |
BX Commercial Mortgage Trust(a),(b) | ||||
Series 2021-VOLT Class A | ||||
1-month USD LIBOR + 0.700% Floor 0.700% 09/15/2036 | 5.893% | 6,056,000 | 5,859,902 | |
Series 2021-XL2 Class A | ||||
1-month USD LIBOR + 0.689% Floor 0.689% 10/15/2038 | 5.882% | 2,600,362 | 2,523,694 | |
CFCRE Commercial Mortgage Trust | ||||
Series 2017-C8 Class ASB | ||||
06/15/2050 | 3.367% | 680,568 | 648,530 | |
Citigroup Commercial Mortgage Trust | ||||
Series 2020-GC46 Class A5 | ||||
02/15/2053 | 2.717% | 6,215,000 | 5,227,743 | |
Citigroup/Deutsche Bank Commercial Mortgage Trust(a),(c),(d) | ||||
CMO Series 2006-CD2 Class X | ||||
01/15/2046 | 0.023% | 181,909 | 0 | |
Comm Mortgage Trust(c) | ||||
Series 2013-CR13 Class A4 | ||||
11/10/2046 | 4.194% | 943,000 | 932,722 | |
COMM Mortgage Trust | ||||
Series 2013-CR11 Class A4 | ||||
08/10/2050 | 4.258% | 612,825 | 610,974 | |
Series 2014-UBS4 Class A4 | ||||
08/10/2047 | 3.420% | 1,700,000 | 1,650,181 | |
Series 2015-LC23 Class A3 | ||||
10/10/2048 | 3.521% | 1,565,000 | 1,504,538 | |
COMM Mortgage Trust(a),(c) | ||||
Series 2018-HOME Class A | ||||
04/10/2033 | 3.942% | 3,125,000 | 2,804,752 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
COMM Mortgage Trust(a) | ||||
Series 2020-CBM Class A2 | ||||
02/10/2037 | 2.896% | 4,000,000 | 3,743,514 | |
Subordinated Series 2020-CBM Class C | ||||
02/10/2037 | 3.402% | 3,480,000 | 3,190,489 | |
Commercial Mortgage Trust(a) | ||||
Series 2013-300P Class A1 | ||||
08/10/2030 | 4.353% | 2,000,000 | 1,825,000 | |
Commercial Mortgage Trust | ||||
Series 2014-CR19 Class ASB | ||||
08/10/2047 | 3.499% | 275,813 | 270,423 | |
Series 2014-UBS2 Class A5 | ||||
03/10/2047 | 3.961% | 1,396,375 | 1,376,618 | |
Series 2015-CR25 Class A4 | ||||
08/10/2048 | 3.759% | 2,187,000 | 2,081,046 | |
CoreVest American Finance Trust(a) | ||||
Series 2019-3 Class A | ||||
10/15/2052 | 2.705% | 1,179,752 | 1,117,575 | |
Subordinated Series 2019-1 Class B | ||||
03/15/2052 | 3.880% | 1,960,000 | 1,926,252 | |
CSAIL Commercial Mortgage Trust | ||||
Series 2019-C16 Class A2 | ||||
06/15/2052 | 3.067% | 1,046,000 | 914,453 | |
EQUS Mortgage Trust(a),(b) | ||||
Series 2021-EQAZ Class A | ||||
1-month USD LIBOR + 0.755% Floor 0.755% 10/15/2038 | 5.948% | 2,370,952 | 2,302,838 | |
FirstKey Homes Trust(a) | ||||
Subordinated Series 2020-SFR1 Class D | ||||
08/17/2037 | 2.241% | 3,600,000 | 3,264,221 | |
Subordinated Series 2021-SFR1 Class E2 | ||||
08/17/2038 | 2.489% | 6,000,000 | 5,043,000 | |
Subordinated Series 2021-SFR1 Class F1 | ||||
08/17/2038 | 3.238% | 4,800,000 | 4,089,600 | |
Subordinated Series 2021-SFR2 Class E2 | ||||
09/17/2038 | 2.358% | 5,600,000 | 4,783,281 | |
Subordinated Series 2022-SFR2 Class E1 | ||||
07/17/2039 | 4.500% | 6,800,000 | 5,963,084 | |
Freddie Mac Multifamily Structured Credit Risk(a),(b) | ||||
Series 2021-MN1 Class M1 | ||||
30-day Average SOFR + 3.000% 01/25/2051 | 7.067% | 3,064,650 | 2,937,301 | |
Series 2021-MN2 Class M2 | ||||
30-day Average SOFR + 3.350% 07/25/2041 | 8.417% | 7,250,000 | 6,200,499 | |
Series 2022-MN4 Class M1 | ||||
30-day Average SOFR + 4.250% 05/25/2052 | 9.317% | 3,947,131 | 3,953,329 |
14 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2022-MN4 Class M2 | ||||
30-day Average SOFR + 6.500% 05/25/2052 | 11.567% | 2,500,000 | 2,500,043 | |
FREMF Mortgage Trust(a),(c) | ||||
Series 2020-K737 Class B | ||||
01/25/2053 | 3.418% | 4,000,000 | 3,666,494 | |
FRTKL(a) | ||||
Subordinated CMO Series 2021-SFR1 Class E1 | ||||
09/17/2038 | 2.372% | 3,709,000 | 3,155,413 | |
Subordinated CMO Series 2021-SFR1 Class E2 | ||||
09/17/2038 | 2.522% | 2,781,000 | 2,360,043 | |
Subordinated Series 2021-SFR1 Class F | ||||
09/17/2038 | 3.171% | 4,400,000 | 3,723,723 | |
GS Mortgage Securities Trust | ||||
Series 2013-GC14 Class A5 | ||||
08/10/2046 | 4.243% | 812,090 | 810,686 | |
Series 2014-GC18 Class A4 | ||||
01/10/2047 | 4.074% | 3,217,000 | 3,171,873 | |
Series 2015-GC32 Class A3 | ||||
07/10/2048 | 3.498% | 966,454 | 918,757 | |
Series 2015-GC32 Class AAB | ||||
07/10/2048 | 3.513% | 2,886,941 | 2,799,942 | |
Series 2020-GSA2 Class A4 | ||||
12/12/2053 | 1.721% | 3,042,000 | 2,386,874 | |
Impact Funding Affordable Multifamily Housing Mortgage Loan Trust(a) | ||||
Series 2010-1 Class A1 | ||||
01/25/2051 | 5.314% | 1,103,148 | 1,067,385 | |
Independence Plaza Trust(a) | ||||
Series 2018-INDP Class A | ||||
07/10/2035 | 3.763% | 2,060,000 | 1,924,130 | |
JPMBB Commercial Mortgage Securities Trust | ||||
Series 2013-C17 Class A4 | ||||
01/15/2047 | 4.199% | 605,000 | 598,261 | |
Series 2014-C23 Class A4 | ||||
09/15/2047 | 3.670% | 475,065 | 460,879 | |
Series 2015-C28 Class A3 | ||||
10/15/2048 | 2.912% | 2,025,561 | 1,914,175 | |
JPMorgan Chase Commercial Mortgage Securities Trust(c),(d) | ||||
CMO Series 2006-CB15 Class X1 | ||||
06/12/2043 | 0.766% | 247,442 | 2,543 | |
JPMorgan Chase Commercial Mortgage Securities Trust | ||||
Series 2013-C16 Class A4 | ||||
12/15/2046 | 4.166% | 2,645,000 | 2,630,700 | |
KGS-Alpha SBA COOF Trust(a),(c),(d) | ||||
CMO Series 2012-2 Class A | ||||
08/25/2038 | 0.802% | 725,161 | 13,378 | |
CMO Series 2013-2 Class A | ||||
03/25/2039 | 1.706% | 1,054,430 | 33,515 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2014-2 Class A | ||||
04/25/2040 | 2.893% | 247,896 | 16,291 | |
Ladder Capital Commercial Mortgage Trust(a) | ||||
Series 2013-GCP Class A2 | ||||
02/15/2036 | 3.985% | 1,535,000 | 1,352,480 | |
Med Trust(a),(b) | ||||
Series 2021-MDLN Class A | ||||
1-month USD LIBOR + 0.950% Floor 0.950% 11/15/2038 | 6.143% | 3,665,409 | 3,553,169 | |
Morgan Stanley Capital I Trust(a),(c),(d) | ||||
CMO Series 2006-T21 Class X | ||||
10/12/2052 | 0.061% | 1,754,496 | 3 | |
Morgan Stanley Capital I Trust(c) | ||||
Series 2018-L1 Class A4 | ||||
10/15/2051 | 4.407% | 888,000 | 826,558 | |
Morgan Stanley Capital I Trust | ||||
Series 2020-HR8 Class A3 | ||||
07/15/2053 | 1.790% | 1,424,000 | 1,129,693 | |
MRCD MARK Mortgage Trust(a) | ||||
Series 2019-PARK Class A | ||||
12/15/2036 | 2.718% | 4,000,000 | 3,660,675 | |
Series 2019-PARK Class D | ||||
12/15/2036 | 2.718% | 2,375,000 | 2,124,567 | |
New Residential Mortgage Loan Trust(a) | ||||
Subordinated Series 2022-SFR1 Class E1 | ||||
02/17/2039 | 3.550% | 7,036,000 | 5,961,133 | |
Progress Residential Trust(a) | ||||
Series 2021-SFR5 Class E1 | ||||
07/17/2038 | 2.209% | 8,435,000 | 7,200,876 | |
Series 2021-SFR6 Class E1 | ||||
07/17/2038 | 2.425% | 5,000,000 | 4,239,572 | |
Subordinated Series 2021-SFR2 Class E2 | ||||
04/19/2038 | 2.647% | 4,750,000 | 4,142,741 | |
Subordinated Series 2021-SFR5 Class E2 | ||||
07/17/2038 | 2.359% | 4,730,000 | 4,030,967 | |
Subordinated Series 2021-SFR7 Class E1 | ||||
08/17/2040 | 2.591% | 2,500,000 | 2,003,755 | |
Subordinated Series 2021-SFR8 Class D | ||||
10/17/2038 | 2.082% | 6,000,000 | 5,146,045 | |
Subordinated Series 2021-SFR9 Class E2 | ||||
11/17/2040 | 3.010% | 2,899,000 | 2,361,956 | |
Subordinated Series 2022-SFR1 Class F | ||||
02/17/2041 | 4.880% | 7,000,000 | 5,772,200 | |
Subordinated Series 2022-SFR3 Class F | ||||
04/17/2039 | 6.600% | 5,560,000 | 5,162,762 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 | 15 |
June 30, 2023 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Progress Residential Trust(a),(h) | ||||
Subordinated Series 2020-SFR2 Class GREG | ||||
06/17/2037 | 0.000% | 5,154,026 | 4,370,777 | |
Progress Residential Trust | ||||
Subordinated Series 2022-SFR2 Class E1 | ||||
04/17/2027 | 4.550% | 3,100,000 | 2,800,161 | |
RBS Commercial Funding, Inc., Trust(a) | ||||
Series 2013-SMV Class A | ||||
03/11/2031 | 3.260% | 797,000 | 739,929 | |
SLG Office Trust(a) | ||||
Series 2021-OVA Class A | ||||
07/15/2041 | 2.585% | 5,710,000 | 4,568,295 | |
Starwood Waypoint Homes Trust(f) | ||||
Series 2019-STL Class A | ||||
10/11/2026 | 7.250% | 2,300,000 | 2,179,250 | |
TPI Re-REMIC Trust(a),(h) | ||||
Series 2022-FRR1 Class DK33 | ||||
07/25/2046 | 0.000% | 3,500,000 | 3,437,741 | |
Series 2022-FRR1 Class DK34 | ||||
07/25/2046 | 0.000% | 7,175,000 | 7,047,368 | |
Series 2022-FRR1 Class DK35 | ||||
08/25/2046 | 0.000% | 2,639,000 | 2,592,056 | |
Wachovia Bank Commercial Mortgage Trust(a),(c),(d) | ||||
CMO Series 2004-C12 Class | ||||
07/15/2041 | 0.876% | 606,983 | 1,360 | |
CMO Series 2006-C24 Class XC | ||||
03/15/2045 | 0.000% | 409,149 | 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 | 6.343% | 2,368,002 | 2,226,993 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $293,934,654) | 267,456,954 | |||
Convertible Bonds 0.0% | ||||
Banking 0.0% | ||||
ING Groep NV(i),(j) | ||||
3.875% | 1,500,000 | 1,072,500 | ||
Westpac Banking Corp. | ||||
Subordinated | ||||
07/24/2039 | 4.421% | 346,000 | 285,269 | |
Total | 1,357,769 | |||
Total Convertible Bonds (Cost $1,846,000) | 1,357,769 | |||
Corporate Bonds & Notes 28.6% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Aerospace & Defense 0.4% | ||||
Airbus Group SE(a) | ||||
04/10/2027 | 3.150% | 409,000 | 382,417 | |
04/10/2047 | 3.950% | 150,000 | 126,729 | |
BAE Systems PLC(a) | ||||
02/15/2031 | 1.900% | 417,000 | 334,897 | |
09/15/2050 | 3.000% | 209,000 | 143,298 | |
Boeing Co. (The) | ||||
02/04/2026 | 2.196% | 3,122,000 | 2,866,912 | |
05/01/2026 | 3.100% | 580,000 | 545,435 | |
05/01/2027 | 5.040% | 495,000 | 489,361 | |
03/01/2028 | 3.250% | 340,000 | 309,771 | |
02/01/2035 | 3.250% | 1,011,000 | 819,550 | |
02/01/2050 | 3.750% | 1,803,000 | 1,353,878 | |
Lockheed Martin Corp. | ||||
02/15/2034 | 4.750% | 3,286,000 | 3,277,025 | |
05/15/2036 | 4.500% | 400,000 | 386,095 | |
Northrop Grumman Corp. | ||||
05/01/2030 | 4.400% | 1,057,000 | 1,030,605 | |
Raytheon Technologies Corp. | ||||
02/27/2033 | 5.150% | 2,386,000 | 2,417,904 | |
04/15/2047 | 4.350% | 180,000 | 159,904 | |
02/27/2053 | 5.375% | 1,479,000 | 1,535,921 | |
Spirit AeroSystems, Inc.(a) | ||||
04/15/2025 | 7.500% | 420,000 | 416,923 | |
11/30/2029 | 9.375% | 168,000 | 180,088 | |
TransDigm, Inc.(a) | ||||
03/15/2026 | 6.250% | 685,000 | 681,658 | |
TransDigm, Inc. | ||||
11/15/2027 | 5.500% | 685,000 | 647,793 | |
United Technologies Corp. | ||||
06/01/2042 | 4.500% | 153,000 | 140,940 | |
05/15/2045 | 4.150% | 199,000 | 169,665 | |
11/01/2046 | 3.750% | 450,000 | 362,761 | |
Total | 18,779,530 | |||
Agencies 0.0% | ||||
Crowley Conro LLC | ||||
08/15/2043 | 4.181% | 619,113 | 596,550 | |
Airlines 0.4% | ||||
Air Canada Pass-Through Trust(a) | ||||
05/15/2025 | 4.125% | 1,310,928 | 1,234,910 | |
Series 2017-1 Class A | ||||
01/15/2030 | 3.550% | 418,662 | 359,550 | |
Series 2017-1 Class AA | ||||
01/15/2030 | 3.300% | 295,526 | 261,334 | |
American Airlines Pass-Through Trust | ||||
Series 2016-3 Class AA | ||||
10/15/2028 | 3.000% | 1,223,050 | 1,090,349 |
16 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd.(a) | ||||
04/20/2026 | 5.500% | 900,000 | 892,181 | |
04/20/2029 | 5.750% | 2,545,000 | 2,473,351 | |
British Airways Pass-Through Trust(a) | ||||
Series 2018-1 Class A | ||||
09/20/2031 | 4.125% | 452,661 | 400,841 | |
Series 2018-1 Class AA | ||||
09/20/2031 | 3.800% | 325,917 | 299,612 | |
Series 2019-1 Class AA | ||||
12/15/2032 | 3.300% | 565,956 | 492,130 | |
Continental Airlines Pass-Through Trust | ||||
10/29/2024 | 4.000% | 95,403 | 92,318 | |
Delta Air Lines, Inc./SkyMiles IP Ltd.(a) | ||||
10/20/2028 | 4.750% | 3,017,000 | 2,928,263 | |
Spirit Airlines Pass-Through Trust | ||||
02/15/2030 | 3.375% | 221,970 | 194,380 | |
United Airlines Pass-Through Trust | ||||
Series 2016-2 Class A | ||||
04/07/2030 | 3.100% | 1,000,056 | 854,423 | |
United Airlines, Inc.(a) | ||||
04/15/2026 | 4.375% | 1,040,000 | 988,126 | |
United Airlines, Inc. Pass-Through Trust | ||||
08/15/2025 | 4.300% | 175,189 | 168,682 | |
03/01/2026 | 4.600% | 207,706 | 195,503 | |
Series 2016-1 Class AA | ||||
07/07/2028 | 3.100% | 567,830 | 511,951 | |
Series 2016-1 Class B | ||||
01/07/2026 | 3.650% | 74,901 | 68,646 | |
Series 2018-1 Class A | ||||
03/01/2030 | 3.700% | 1,407,874 | 1,218,542 | |
Series 2018-1 Class AA | ||||
03/01/2030 | 3.500% | 643,151 | 575,664 | |
Series 2019-1 Class A | ||||
08/25/2031 | 4.550% | 751,040 | 665,197 | |
Series 2019-1 Class AA | ||||
08/25/2031 | 4.150% | 840,093 | 769,341 | |
Total | 16,735,294 | |||
Apartment REIT 0.1% | ||||
American Homes 4 Rent LP | ||||
04/15/2032 | 3.625% | 1,584,000 | 1,372,248 | |
04/15/2052 | 4.300% | 710,000 | 555,777 | |
ERP Operating LP | ||||
12/01/2028 | 4.150% | 164,000 | 155,851 | |
Essex Portfolio LP | ||||
01/15/2031 | 1.650% | 307,000 | 233,001 | |
06/15/2031 | 2.550% | 817,000 | 659,776 | |
03/15/2032 | 2.650% | 295,000 | 237,523 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Invitation Homes Operating Partnership LP | ||||
08/15/2031 | 2.000% | 273,000 | 211,676 | |
04/15/2032 | 4.150% | 1,577,000 | 1,419,696 | |
Mid-America Apartments LP | ||||
10/15/2023 | 4.300% | 812,000 | 807,843 | |
UDR, Inc. | ||||
09/01/2026 | 2.950% | 363,000 | 331,990 | |
01/15/2030 | 3.200% | 188,000 | 166,423 | |
08/15/2031 | 3.000% | 115,000 | 97,715 | |
08/01/2032 | 2.100% | 266,000 | 202,269 | |
Total | 6,451,788 | |||
Automotive 0.8% | ||||
Adient Global Holdings Ltd.(a) | ||||
08/15/2026 | 4.875% | 1,055,000 | 1,003,346 | |
04/15/2028 | 7.000% | 500,000 | 507,052 | |
Allison Transmission, Inc.(a) | ||||
06/01/2029 | 5.875% | 1,030,000 | 1,005,188 | |
American Axle & Manufacturing, Inc. | ||||
04/01/2027 | 6.500% | 1,805,000 | 1,712,154 | |
Clarios Global LP(a) | ||||
05/15/2025 | 6.750% | 741,000 | 742,355 | |
Daimler Trucks Finance North America LLC(a) | ||||
04/07/2025 | 3.500% | 400,000 | 384,871 | |
Dana, Inc. | ||||
06/15/2028 | 5.625% | 1,060,000 | 1,002,738 | |
Ford Motor Credit Co. LLC | ||||
11/13/2025 | 3.375% | 2,205,000 | 2,049,201 | |
01/08/2026 | 4.389% | 1,685,000 | 1,596,785 | |
06/10/2026 | 6.950% | 281,000 | 282,436 | |
08/10/2026 | 2.700% | 1,117,000 | 997,281 | |
01/09/2027 | 4.271% | 201,000 | 186,000 | |
08/17/2027 | 4.125% | 2,845,000 | 2,594,368 | |
02/10/2029 | 2.900% | 1,547,000 | 1,281,931 | |
05/03/2029 | 5.113% | 948,000 | 878,361 | |
06/10/2030 | 7.200% | 2,737,000 | 2,765,080 | |
06/17/2031 | 3.625% | 700,000 | 573,338 | |
General Motors Co. | ||||
04/01/2045 | 5.200% | 737,000 | 628,417 | |
General Motors Financial Co., Inc. | ||||
10/15/2024 | 1.200% | 830,000 | 780,685 | |
04/07/2025 | 3.800% | 195,000 | 188,094 | |
01/08/2026 | 1.250% | 714,000 | 637,841 | |
01/08/2031 | 2.350% | 477,000 | 374,419 | |
06/10/2031 | 2.700% | 400,000 | 318,903 | |
Goodyear Tire & Rubber Co. (The) | ||||
05/31/2025 | 9.500% | 385,000 | 394,564 | |
07/15/2029 | 5.000% | 455,000 | 410,328 | |
04/30/2031 | 5.250% | 495,000 | 435,998 | |
07/15/2031 | 5.250% | 940,000 | 816,588 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 | 17 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Harley-Davidson Financial Services, Inc.(a) | ||||
03/10/2028 | 6.500% | 1,378,000 | 1,378,643 | |
Hyundai Capital America(a) | ||||
01/08/2024 | 0.800% | 726,000 | 706,687 | |
10/15/2025 | 1.800% | 208,000 | 189,763 | |
01/08/2026 | 1.300% | 2,211,000 | 1,977,861 | |
03/30/2026 | 5.500% | 1,840,000 | 1,825,826 | |
06/15/2026 | 1.500% | 1,710,000 | 1,512,553 | |
02/10/2027 | 3.000% | 315,000 | 287,126 | |
10/15/2027 | 2.375% | 218,000 | 190,805 | |
01/10/2028 | 1.800% | 331,000 | 279,111 | |
03/30/2028 | 5.600% | 2,872,000 | 2,851,996 | |
06/26/2030 | 5.700% | 1,814,000 | 1,803,763 | |
Panther BF Aggregator 2 LP/Finance Co., Inc.(a) | ||||
05/15/2026 | 6.250% | 556,000 | 551,982 | |
Total | 38,104,438 | |||
Banking 7.0% | ||||
ABN AMRO Bank NV(a),(j) | ||||
12/13/2029 | 2.470% | 1,300,000 | 1,089,347 | |
Subordinated | ||||
03/13/2037 | 3.324% | 1,000,000 | 759,048 | |
AIB Group PLC(a) | ||||
10/12/2023 | 4.750% | 577,000 | 573,695 | |
AIB Group PLC(a),(j) | ||||
04/10/2025 | 4.263% | 655,000 | 639,532 | |
American Express Co. | ||||
11/04/2026 | 1.650% | 455,000 | 404,872 | |
11/05/2027 | 5.850% | 1,200,000 | 1,229,377 | |
Subordinated | ||||
12/05/2024 | 3.625% | 170,000 | 165,167 | |
American Express Co.(j) | ||||
05/01/2034 | 5.043% | 3,208,000 | 3,137,837 | |
ANZ New Zealand International Ltd.(a) | ||||
02/13/2030 | 2.550% | 298,000 | 253,319 | |
ASB Bank Ltd.(a) | ||||
05/23/2024 | 3.125% | 293,000 | 285,709 | |
Australia & New Zealand Banking Group Ltd.(a) | ||||
Subordinated | ||||
05/19/2026 | 4.400% | 226,000 | 214,888 | |
Banco Santander SA | ||||
05/28/2025 | 2.746% | 400,000 | 375,724 | |
03/25/2026 | 1.849% | 400,000 | 357,926 | |
Banco Santander SA(j) | ||||
09/14/2027 | 1.722% | 200,000 | 173,875 | |
Subordinated | ||||
11/22/2032 | 3.225% | 200,000 | 158,261 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Bank of America Corp.(j) | ||||
07/23/2024 | 3.864% | 250,000 | 249,675 | |
10/01/2025 | 3.093% | 737,000 | 709,322 | |
01/20/2027 | 5.080% | 2,361,000 | 2,333,475 | |
07/22/2027 | 1.734% | 4,573,000 | 4,080,522 | |
02/04/2028 | 2.551% | 1,545,000 | 1,394,594 | |
04/24/2028 | 3.705% | 1,800,000 | 1,688,803 | |
12/20/2028 | 3.419% | 6,879,000 | 6,324,249 | |
04/25/2029 | 5.202% | 4,044,000 | 4,000,632 | |
02/13/2031 | 2.496% | 1,689,000 | 1,413,610 | |
07/23/2031 | 1.898% | 715,000 | 569,188 | |
04/22/2032 | 2.687% | 1,930,000 | 1,598,993 | |
02/04/2033 | 2.972% | 2,190,000 | 1,823,321 | |
04/25/2034 | 5.288% | 8,381,000 | 8,304,146 | |
06/19/2041 | 2.676% | 4,775,000 | 3,354,173 | |
Bank of America NA | ||||
Subordinated | ||||
10/15/2036 | 6.000% | 350,000 | 373,976 | |
Bank of Montreal(j) | ||||
Subordinated | ||||
12/15/2032 | 3.803% | 199,000 | 175,525 | |
Bank of New York Mellon Corp. (The)(j) | ||||
04/26/2027 | 4.947% | 6,171,000 | 6,092,275 | |
04/26/2034 | 4.967% | 4,146,000 | 4,047,737 | |
Bank of Nova Scotia (The) | ||||
04/11/2025 | 3.450% | 1,150,000 | 1,108,132 | |
06/12/2028 | 5.250% | 3,638,000 | 3,614,152 | |
Subordinated | ||||
12/16/2025 | 4.500% | 260,000 | 250,812 | |
Banque Federative du Credit Mutuel SA(a) | ||||
07/13/2025 | 4.524% | 2,260,000 | 2,198,594 | |
01/26/2026 | 4.935% | 320,000 | 314,512 | |
10/04/2026 | 1.604% | 745,000 | 656,299 | |
Barclays PLC(j) | ||||
12/10/2024 | 1.007% | 577,000 | 563,002 | |
05/09/2027 | 5.829% | 5,456,000 | 5,383,959 | |
11/02/2033 | 7.437% | 3,623,000 | 3,919,830 | |
05/09/2034 | 6.224% | 2,817,000 | 2,807,287 | |
BNP Paribas SA(a),(j) | ||||
06/09/2026 | 2.219% | 289,000 | 267,694 | |
01/13/2027 | 1.323% | 230,000 | 204,120 | |
06/12/2029 | 5.335% | 3,634,000 | 3,586,637 | |
01/20/2033 | 3.132% | 341,000 | 279,650 | |
BPCE SA(a) | ||||
01/20/2026 | 1.000% | 401,000 | 357,014 | |
01/18/2028 | 5.125% | 2,950,000 | 2,893,851 | |
Subordinated | ||||
07/11/2024 | 4.625% | 300,000 | 292,415 | |
BPCE SA(a),(j) | ||||
10/06/2026 | 1.652% | 284,000 | 254,695 | |
01/20/2032 | 2.277% | 855,000 | 660,091 |
18 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated | ||||
10/19/2032 | 3.116% | 2,390,000 | 1,849,550 | |
BPCE SA | ||||
12/02/2026 | 3.375% | 700,000 | 653,591 | |
Capital One Financial Corp.(j) | ||||
11/02/2027 | 1.878% | 450,000 | 386,980 | |
06/08/2029 | 6.312% | 3,638,000 | 3,615,208 | |
06/08/2034 | 6.377% | 2,728,000 | 2,708,561 | |
Capital One Financial Corp. | ||||
Subordinated | ||||
10/29/2025 | 4.200% | 239,000 | 229,044 | |
Citigroup, Inc.(j) | ||||
04/24/2025 | 3.352% | 220,000 | 215,067 | |
01/25/2026 | 2.014% | 3,720,000 | 3,498,365 | |
04/08/2026 | 3.106% | 682,000 | 651,180 | |
09/29/2026 | 5.610% | 2,511,000 | 2,510,079 | |
02/24/2028 | 3.070% | 690,000 | 635,155 | |
07/24/2028 | 3.668% | 1,140,000 | 1,067,243 | |
04/23/2029 | 4.075% | 170,000 | 160,134 | |
03/20/2030 | 3.980% | 1,300,000 | 1,204,053 | |
01/29/2031 | 2.666% | 2,000,000 | 1,691,827 | |
11/03/2032 | 2.520% | 2,275,000 | 1,833,565 | |
01/24/2039 | 3.878% | 1,735,000 | 1,452,590 | |
Subordinated | ||||
05/25/2034 | 6.174% | 5,460,000 | 5,498,006 | |
Citigroup, Inc. | ||||
12/01/2025 | 7.000% | 765,000 | 779,329 | |
10/21/2026 | 3.200% | 551,000 | 515,828 | |
01/15/2028 | 6.625% | 215,000 | 227,137 | |
Citigroup, Inc.(i),(j) | ||||
Junior Subordinated | ||||
5.950% | 484,000 | 465,648 | ||
Commonwealth Bank of Australia(a) | ||||
Subordinated | ||||
03/11/2041 | 3.305% | 530,000 | 368,192 | |
Cooperatieve Rabobank UA(a),(j) | ||||
02/28/2029 | 5.564% | 6,536,000 | 6,462,464 | |
Cooperatieve Rabobank UA | ||||
Subordinated | ||||
08/04/2025 | 4.375% | 289,000 | 279,013 | |
07/21/2026 | 3.750% | 356,000 | 332,670 | |
Credit Agricole SA(a),(j) | ||||
06/16/2026 | 1.907% | 1,130,000 | 1,041,005 | |
01/26/2027 | 1.247% | 1,790,000 | 1,583,932 | |
Subordinated | ||||
01/10/2033 | 4.000% | 1,634,000 | 1,454,768 | |
Credit Agricole SA(a),(g) | ||||
07/05/2026 | 5.589% | 250,000 | 249,786 | |
Credit Agricole SA(a) | ||||
07/12/2028 | 5.301% | 3,920,000 | 3,905,787 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated | ||||
03/17/2025 | 4.375% | 340,000 | 327,885 | |
01/14/2030 | 3.250% | 685,000 | 585,862 | |
01/11/2041 | 2.811% | 250,000 | 164,930 | |
Credit Suisse AG | ||||
02/21/2025 | 3.700% | 654,000 | 625,841 | |
04/09/2025 | 2.950% | 925,000 | 870,078 | |
08/07/2026 | 1.250% | 250,000 | 215,205 | |
Credit Suisse Group AG(a),(j) | ||||
09/11/2025 | 2.593% | 770,000 | 733,423 | |
06/05/2026 | 2.193% | 580,000 | 531,228 | |
02/02/2027 | 1.305% | 2,220,000 | 1,941,696 | |
08/11/2028 | 6.442% | 3,607,000 | 3,620,285 | |
01/12/2029 | 3.869% | 250,000 | 225,360 | |
04/01/2031 | 4.194% | 1,440,000 | 1,279,144 | |
Credit Suisse Group AG(a) | ||||
01/09/2028 | 4.282% | 4,266,000 | 3,937,137 | |
Danske Bank A/S(a),(j) | ||||
12/20/2025 | 3.244% | 500,000 | 474,084 | |
01/09/2026 | 6.466% | 1,069,000 | 1,068,696 | |
Deutsche Bank AG(j) | ||||
11/24/2026 | 2.129% | 945,000 | 839,012 | |
01/07/2028 | 2.552% | 250,000 | 216,991 | |
01/18/2029 | 6.720% | 210,000 | 210,749 | |
Subordinated | ||||
01/07/2033 | 3.742% | 3,562,000 | 2,608,906 | |
02/10/2034 | 7.079% | 340,000 | 312,967 | |
Deutsche Bank AG/New York(j) | ||||
09/18/2024 | 2.222% | 680,000 | 671,832 | |
DNB Bank ASA(a),(j) | ||||
03/30/2028 | 1.605% | 685,000 | 591,455 | |
Federation des Caisses Desjardins du Quebec(a) | ||||
02/10/2025 | 2.050% | 366,000 | 343,303 | |
08/23/2025 | 4.400% | 315,000 | 304,219 | |
Goldman Sachs Group, Inc. (The) | ||||
01/23/2025 | 3.500% | 197,000 | 190,220 | |
11/16/2026 | 3.500% | 900,000 | 844,590 | |
01/26/2027 | 3.850% | 723,000 | 688,384 | |
02/07/2030 | 2.600% | 546,000 | 466,633 | |
Subordinated | ||||
10/21/2025 | 4.250% | 181,000 | 174,492 | |
Goldman Sachs Group, Inc. (The)(j) | ||||
09/29/2025 | 3.272% | 302,000 | 291,874 | |
03/09/2027 | 1.431% | 2,635,000 | 2,356,061 | |
10/21/2027 | 1.948% | 2,045,000 | 1,817,590 | |
02/24/2028 | 2.640% | 1,700,000 | 1,544,526 | |
03/15/2028 | 3.615% | 770,000 | 722,539 | |
06/05/2028 | 3.691% | 1,301,000 | 1,222,826 | |
04/22/2032 | 2.615% | 2,705,000 | 2,217,457 | |
02/24/2033 | 3.102% | 2,270,000 | 1,917,942 | |
02/24/2043 | 3.436% | 200,000 | 151,907 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 | 19 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
HSBC Holdings PLC(j) | ||||
11/22/2027 | 2.251% | 2,215,000 | 1,965,282 | |
03/13/2028 | 4.041% | 343,000 | 322,174 | |
08/11/2028 | 5.210% | 2,050,000 | 2,004,623 | |
09/22/2028 | 2.013% | 2,500,000 | 2,141,564 | |
11/03/2028 | 7.390% | 555,000 | 585,977 | |
03/09/2029 | 6.161% | 3,724,000 | 3,758,791 | |
08/17/2029 | 2.206% | 1,330,000 | 1,112,837 | |
08/18/2031 | 2.357% | 1,420,000 | 1,135,517 | |
05/24/2032 | 2.804% | 3,240,000 | 2,622,599 | |
11/22/2032 | 2.871% | 1,830,000 | 1,478,406 | |
03/09/2034 | 6.254% | 2,883,000 | 2,953,874 | |
03/09/2044 | 6.332% | 2,402,000 | 2,487,772 | |
ING Groep NV(j) | ||||
04/01/2027 | 1.726% | 275,000 | 244,906 | |
Intesa Sanpaolo SpA(a),(j) | ||||
Subordinated | ||||
06/01/2042 | 4.950% | 2,956,000 | 1,946,190 | |
KeyBank NA | ||||
01/26/2033 | 5.000% | 2,893,000 | 2,496,635 | |
Lloyds Banking Group PLC(j) | ||||
03/18/2026 | 3.511% | 290,000 | 275,963 | |
05/11/2027 | 1.627% | 356,000 | 315,150 | |
Lloyds Banking Group PLC | ||||
03/22/2028 | 4.375% | 392,000 | 372,091 | |
Subordinated | ||||
12/10/2025 | 4.582% | 300,000 | 286,651 | |
M&T Bank Corp.(j) | ||||
01/27/2034 | 5.053% | 1,694,000 | 1,545,584 | |
Macquarie Bank Ltd.(a) | ||||
07/29/2025 | 4.000% | 327,000 | 315,717 | |
01/15/2026 | 3.900% | 370,000 | 357,301 | |
Macquarie Bank Ltd.(a),(j) | ||||
Subordinated | ||||
03/03/2036 | 3.052% | 280,000 | 211,915 | |
Macquarie Group Ltd.(a),(j) | ||||
01/12/2027 | 1.340% | 196,000 | 174,393 | |
01/15/2030 | 5.033% | 390,000 | 382,157 | |
06/15/2034 | 5.887% | 3,638,000 | 3,576,275 | |
Manufacturers & Traders Trust Co. | ||||
01/27/2028 | 4.700% | 1,295,000 | 1,221,059 | |
Mitsubishi UFJ Financial Group, Inc. | ||||
02/25/2025 | 2.193% | 709,000 | 668,561 | |
07/17/2030 | 2.048% | 549,000 | 444,754 | |
07/18/2039 | 3.751% | 242,000 | 205,012 | |
Mitsubishi UFJ Financial Group, Inc.(j) | ||||
09/12/2025 | 5.063% | 3,535,000 | 3,491,113 | |
07/20/2027 | 1.538% | 420,000 | 370,546 | |
04/19/2029 | 5.242% | 200,000 | 196,826 | |
01/19/2033 | 2.852% | 870,000 | 717,250 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Mizuho Financial Group, Inc.(j) | ||||
05/25/2026 | 2.226% | 392,000 | 363,672 | |
05/22/2027 | 1.234% | 385,000 | 337,997 | |
09/13/2030 | 2.869% | 219,000 | 185,542 | |
Mizuho Financial Group, Inc.(g),(j) | ||||
07/06/2029 | 5.778% | 1,165,000 | 1,168,633 | |
07/06/2034 | 5.748% | 1,851,000 | 1,856,626 | |
Morgan Stanley(b) | ||||
SOFR + 0.455% 01/25/2024 | 5.515% | 523,000 | 522,510 | |
Morgan Stanley(j) | ||||
04/17/2025 | 3.620% | 855,000 | 837,952 | |
04/28/2026 | 2.188% | 1,680,000 | 1,576,825 | |
07/22/2028 | 3.591% | 889,000 | 821,438 | |
01/24/2029 | 3.772% | 333,000 | 311,055 | |
02/01/2029 | 5.123% | 1,900,000 | 1,875,001 | |
04/20/2029 | 5.164% | 2,100,000 | 2,076,884 | |
01/23/2030 | 4.431% | 527,000 | 501,890 | |
02/13/2032 | 1.794% | 4,653,000 | 3,609,971 | |
04/28/2032 | 1.928% | 5,000,000 | 3,901,388 | |
01/21/2033 | 2.943% | 291,000 | 241,863 | |
10/18/2033 | 6.342% | 3,137,000 | 3,338,239 | |
04/21/2034 | 5.250% | 2,752,000 | 2,716,125 | |
04/22/2039 | 4.457% | 215,000 | 191,576 | |
Subordinated | ||||
01/19/2038 | 5.948% | 515,000 | 508,012 | |
Morgan Stanley | ||||
07/23/2025 | 4.000% | 700,000 | 679,727 | |
04/21/2026 | 4.754% | 685,000 | 674,550 | |
01/27/2045 | 4.300% | 170,000 | 148,717 | |
National Australia Bank Ltd. | ||||
06/13/2028 | 4.900% | 3,522,000 | 3,488,110 | |
National Australia Bank Ltd.(a) | ||||
Subordinated | ||||
08/21/2030 | 2.332% | 750,000 | 583,695 | |
National Australia Bank Ltd.(a),(j) | ||||
Subordinated | ||||
08/02/2034 | 3.933% | 935,000 | 801,119 | |
Nationwide Building Society(a) | ||||
08/28/2025 | 1.000% | 203,000 | 182,963 | |
NatWest Group PLC(j) | ||||
11/10/2026 | 7.472% | 855,000 | 875,035 | |
09/13/2029 | 5.808% | 580,000 | 571,875 | |
NatWest Markets PLC(a) | ||||
09/29/2026 | 1.600% | 1,530,000 | 1,341,744 | |
Nordea Bank Abp(a) | ||||
09/22/2027 | 5.375% | 200,000 | 197,155 | |
Northern Trust Corp.(j) | ||||
Subordinated | ||||
05/08/2032 | 3.375% | 231,000 | 205,542 |
20 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Royal Bank of Canada | ||||
08/03/2027 | 4.240% | 2,865,000 | 2,767,147 | |
Royal Bank of Scotland Group PLC(j) | ||||
03/22/2025 | 4.269% | 340,000 | 333,909 | |
05/08/2030 | 4.445% | 208,000 | 190,874 | |
Subordinated | ||||
11/01/2029 | 3.754% | 273,000 | 256,134 | |
Royal Bank of Scotland Group PLC | ||||
04/05/2026 | 4.800% | 375,000 | 364,156 | |
Santander Holdings USA, Inc.(j) | ||||
03/09/2029 | 6.499% | 3,751,000 | 3,713,877 | |
06/12/2029 | 6.565% | 2,271,000 | 2,229,110 | |
Santander UK Group Holdings PLC(j) | ||||
06/14/2027 | 1.673% | 2,071,000 | 1,792,997 | |
01/11/2028 | 2.469% | 420,000 | 367,061 | |
01/10/2029 | 6.534% | 2,620,000 | 2,639,438 | |
Societe Generale SA(a),(j) | ||||
12/14/2026 | 1.488% | 2,401,000 | 2,105,488 | |
01/12/2027 | 6.447% | 600,000 | 599,056 | |
01/19/2028 | 2.797% | 1,910,000 | 1,689,560 | |
01/10/2029 | 6.446% | 600,000 | 601,634 | |
06/09/2032 | 2.889% | 1,240,000 | 969,530 | |
Societe Generale SA(a) | ||||
01/22/2030 | 3.000% | 354,000 | 296,058 | |
Subordinated | ||||
04/14/2025 | 4.250% | 900,000 | 861,692 | |
SouthTrust Bank | ||||
Subordinated | ||||
05/15/2025 | 7.690% | 250,000 | 254,936 | |
Standard Chartered PLC(a),(j) | ||||
01/30/2026 | 2.819% | 494,000 | 465,929 | |
01/14/2027 | 1.456% | 460,000 | 408,175 | |
11/16/2028 | 7.767% | 1,600,000 | 1,695,872 | |
01/09/2029 | 6.301% | 3,528,000 | 3,545,600 | |
Subordinated | ||||
03/15/2033 | 4.866% | 239,000 | 216,306 | |
Sumitomo Mitsui Financial Group, Inc. | ||||
07/08/2025 | 1.474% | 563,000 | 517,426 | |
07/14/2026 | 2.632% | 201,000 | 184,921 | |
10/19/2026 | 3.010% | 297,000 | 274,839 | |
01/13/2028 | 5.520% | 310,000 | 311,253 | |
07/16/2029 | 3.040% | 769,000 | 672,332 | |
01/13/2030 | 5.710% | 310,000 | 313,902 | |
SunTrust Bank | ||||
Subordinated | ||||
05/15/2026 | 3.300% | 200,000 | 183,337 | |
SunTrust Banks, Inc. | ||||
05/01/2025 | 4.000% | 191,000 | 184,806 | |
Svenska Handelsbanken AB(a) | ||||
06/15/2028 | 5.500% | 7,530,000 | 7,385,444 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Swedbank AB(a) | ||||
06/15/2026 | 5.472% | 5,454,000 | 5,405,746 | |
Truist Financial Corp.(j) | ||||
06/08/2027 | 6.047% | 3,183,000 | 3,184,697 | |
01/26/2034 | 5.122% | 275,000 | 260,479 | |
06/08/2034 | 5.867% | 2,274,000 | 2,275,999 | |
UBS Group AG | ||||
03/26/2025 | 3.750% | 250,000 | 239,353 | |
05/15/2045 | 4.875% | 905,000 | 782,035 | |
UBS Group AG(a),(j) | ||||
08/05/2027 | 4.703% | 741,000 | 708,478 | |
08/10/2027 | 1.494% | 1,884,000 | 1,619,023 | |
05/12/2028 | 4.751% | 1,880,000 | 1,783,092 | |
08/13/2030 | 3.126% | 4,530,000 | 3,820,987 | |
02/11/2033 | 2.746% | 510,000 | 396,414 | |
08/05/2033 | 4.988% | 914,000 | 847,096 | |
01/12/2034 | 5.959% | 997,000 | 988,537 | |
UniCredit SpA(a),(j) | ||||
09/22/2026 | 2.569% | 1,095,000 | 991,428 | |
US Bancorp(j) | ||||
06/12/2029 | 5.775% | 4,545,000 | 4,543,204 | |
06/12/2034 | 5.836% | 1,818,000 | 1,829,422 | |
Wells Fargo & Co. | ||||
09/29/2025 | 3.550% | 682,000 | 654,285 | |
Subordinated | ||||
06/03/2026 | 4.100% | 265,000 | 254,342 | |
06/14/2046 | 4.400% | 238,000 | 193,919 | |
Wells Fargo & Co.(j) | ||||
02/11/2026 | 2.164% | 273,000 | 257,181 | |
04/25/2026 | 3.908% | 855,000 | 826,507 | |
06/17/2027 | 3.196% | 1,727,000 | 1,622,413 | |
02/11/2031 | 2.572% | 2,845,000 | 2,410,987 | |
07/25/2033 | 4.897% | 7,642,000 | 7,325,504 | |
04/24/2034 | 5.389% | 1,310,000 | 1,301,979 | |
04/30/2041 | 3.068% | 4,687,000 | 3,438,990 | |
Westpac Banking Corp. | ||||
05/13/2026 | 2.850% | 170,000 | 160,065 | |
11/20/2028 | 1.953% | 200,000 | 171,554 | |
Westpac Banking Corp.(j) | ||||
Subordinated | ||||
02/04/2030 | 2.894% | 1,630,000 | 1,523,683 | |
11/23/2031 | 4.322% | 600,000 | 556,083 | |
Total | 340,643,802 | |||
Brokerage/Asset Managers/Exchanges 0.2% | ||||
Brookfield Capital Finance LLC | ||||
06/14/2033 | 6.087% | 2,272,000 | 2,306,983 | |
Brookfield Finance LLC | ||||
04/15/2050 | 3.450% | 211,000 | 139,977 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 | 21 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Brookfield Finance, Inc. | ||||
03/29/2029 | 4.850% | 385,000 | 370,023 | |
09/20/2047 | 4.700% | 76,000 | 63,923 | |
Charles Schwab Corp. (The)(j) | ||||
05/19/2029 | 5.643% | 3,713,000 | 3,728,800 | |
05/19/2034 | 5.853% | 908,000 | 921,570 | |
Invesco Finance PLC | ||||
01/15/2026 | 3.750% | 193,000 | 186,184 | |
LPL Holdings, Inc.(a) | ||||
03/15/2029 | 4.000% | 495,000 | 435,165 | |
LSEGA Financing PLC(a) | ||||
04/06/2028 | 2.000% | 721,000 | 617,934 | |
Nomura Holdings, Inc. | ||||
01/16/2025 | 2.648% | 354,000 | 334,585 | |
07/16/2030 | 2.679% | 290,000 | 237,247 | |
Total | 9,342,391 | |||
Building Materials 0.1% | ||||
American Builders & Contractors Supply Co., Inc.(a) | ||||
01/15/2028 | 4.000% | 885,000 | 806,834 | |
Builders FirstSource, Inc.(a) | ||||
02/01/2032 | 4.250% | 1,280,000 | 1,114,102 | |
CRH America Finance, Inc.(a) | ||||
05/09/2027 | 3.400% | 311,000 | 290,639 | |
Masco Corp. | ||||
10/01/2030 | 2.000% | 400,000 | 315,604 | |
08/15/2032 | 6.500% | 184,000 | 187,923 | |
PGT Innovations, Inc.(a) | ||||
10/01/2029 | 4.375% | 785,000 | 736,139 | |
SRS Distribution, Inc.(a) | ||||
07/01/2028 | 4.625% | 630,000 | 564,621 | |
Standard Industries, Inc.(a) | ||||
01/15/2028 | 4.750% | 1,005,000 | 936,269 | |
07/15/2030 | 4.375% | 555,000 | 480,969 | |
Summit Materials LLC/Finance Corp.(a) | ||||
01/15/2029 | 5.250% | 1,020,000 | 964,564 | |
Total | 6,397,664 | |||
Cable and Satellite 1.0% | ||||
Altice Financing SA(a) | ||||
01/15/2028 | 5.000% | 600,000 | 479,927 | |
CCO Holdings LLC/Capital Corp.(a) | ||||
05/01/2027 | 5.125% | 615,000 | 571,932 | |
06/01/2029 | 5.375% | 4,990,000 | 4,511,826 | |
03/01/2030 | 4.750% | 5,270,000 | 4,509,321 | |
02/01/2031 | 4.250% | 1,160,000 | 937,101 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Charter Communications Operating LLC/Capital | ||||
04/01/2038 | 5.375% | 286,000 | 243,295 | |
06/01/2041 | 3.500% | 474,000 | 320,208 | |
03/01/2042 | 3.500% | 4,743,000 | 3,159,374 | |
03/01/2050 | 4.800% | 392,000 | 294,982 | |
04/01/2051 | 3.700% | 430,000 | 272,884 | |
06/01/2052 | 3.900% | 970,000 | 631,985 | |
Comcast Corp. | ||||
03/01/2026 | 3.150% | 212,000 | 203,191 | |
11/15/2027 | 5.350% | 1,814,000 | 1,848,360 | |
02/01/2030 | 2.650% | 1,020,000 | 892,788 | |
11/15/2032 | 5.500% | 1,010,000 | 1,049,560 | |
08/15/2034 | 4.200% | 400,000 | 372,889 | |
03/01/2038 | 3.900% | 2,000,000 | 1,737,516 | |
11/01/2039 | 3.250% | 218,000 | 172,956 | |
04/01/2040 | 3.750% | 259,000 | 218,193 | |
11/01/2049 | 3.999% | 170,000 | 141,119 | |
02/01/2050 | 3.450% | 181,000 | 138,158 | |
11/01/2051 | 2.887% | 1,087,000 | 729,074 | |
11/01/2052 | 4.049% | 1,032,000 | 858,414 | |
05/15/2053 | 5.350% | 3,495,000 | 3,553,578 | |
11/01/2056 | 2.937% | 2,445,000 | 1,592,709 | |
11/01/2063 | 2.987% | 1,312,000 | 831,266 | |
Cox Communications, Inc.(a) | ||||
10/01/2030 | 1.800% | 402,000 | 315,854 | |
10/01/2050 | 2.950% | 290,000 | 181,376 | |
CSC Holdings LLC | ||||
06/01/2024 | 5.250% | 970,000 | 902,294 | |
CSC Holdings LLC(a) | ||||
02/01/2029 | 6.500% | 2,847,000 | 2,307,882 | |
DIRECTV Holdings LLC/Financing Co., Inc.(a) | ||||
08/15/2027 | 5.875% | 1,025,000 | 928,107 | |
DISH DBS Corp. | ||||
11/15/2024 | 5.875% | 2,105,000 | 1,850,986 | |
DISH Network Corp.(a) | ||||
11/15/2027 | 11.750% | 1,000,000 | 977,909 | |
Hughes Satellite Systems Corp. | ||||
08/01/2026 | 6.625% | 1,185,000 | 1,111,767 | |
Intelsat Jackson Holdings SA(a) | ||||
03/15/2030 | 6.500% | 875,000 | 794,990 | |
Sirius XM Radio, Inc.(a) | ||||
08/01/2027 | 5.000% | 1,855,000 | 1,714,756 | |
07/15/2028 | 4.000% | 795,000 | 691,639 | |
07/01/2029 | 5.500% | 1,235,000 | 1,126,405 | |
TCI Communications, Inc. | ||||
02/15/2028 | 7.125% | 274,000 | 297,192 | |
Time Warner Cable LLC | ||||
05/01/2037 | 6.550% | 205,000 | 197,149 | |
06/15/2039 | 6.750% | 477,000 | 458,250 |
22 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Videotron Ltd.(a) | ||||
06/15/2024 | 5.375% | 960,000 | 950,395 | |
04/15/2027 | 5.125% | 690,000 | 662,932 | |
Virgin Media Secured Finance PLC(a) | ||||
05/15/2029 | 5.500% | 910,000 | 825,849 | |
Total | 46,568,338 | |||
Chemicals 0.3% | ||||
Air Liquide Finance SA(a) | ||||
09/27/2023 | 2.250% | 315,000 | 312,398 | |
Air Products & Chemicals, Inc. | ||||
05/15/2027 | 1.850% | 566,000 | 509,220 | |
Avient Corp.(a) | ||||
08/01/2030 | 7.125% | 810,000 | 819,276 | |
Axalta Coating Systems LLC/Dutch Holding B BV(a) | ||||
06/15/2027 | 4.750% | 1,435,000 | 1,357,801 | |
Braskem Idesa SAPI(a) | ||||
02/20/2032 | 6.990% | 247,000 | 158,251 | |
Chemours Co. (The)(a) | ||||
11/15/2028 | 5.750% | 1,595,000 | 1,465,622 | |
Chevron Phillips Chemical Co. LLC /LP(a) | ||||
04/01/2025 | 5.125% | 346,000 | 343,603 | |
CVR Partners LP/Nitrogen Finance Corp.(a) | ||||
06/15/2028 | 6.125% | 820,000 | 714,344 | |
Dow Chemical Co. (The) | ||||
05/15/2053 | 6.900% | 862,000 | 976,739 | |
Element Solutions, Inc.(a) | ||||
09/01/2028 | 3.875% | 1,460,000 | 1,274,070 | |
INEOS Quattro Finance 2 Plc(a) | ||||
01/15/2026 | 3.375% | 990,000 | 904,383 | |
International Flavors & Fragrances, Inc.(a) | ||||
10/15/2027 | 1.832% | 302,000 | 254,739 | |
11/01/2030 | 2.300% | 390,000 | 309,075 | |
11/15/2040 | 3.268% | 172,000 | 120,444 | |
LYB International Finance III LLC | ||||
10/01/2025 | 1.250% | 368,000 | 332,938 | |
Nutrien Ltd. | ||||
04/01/2029 | 4.200% | 155,000 | 146,706 | |
03/15/2035 | 4.125% | 239,000 | 209,759 | |
04/01/2049 | 5.000% | 220,000 | 198,323 | |
Olin Corp. | ||||
08/01/2029 | 5.625% | 455,000 | 438,494 | |
PPG Industries, Inc. | ||||
03/15/2026 | 1.200% | 213,000 | 190,908 | |
Rohm and Haas Co. | ||||
07/15/2029 | 7.850% | 1,454,000 | 1,616,372 | |
Trinseo Materials Operating SCA/Finance, Inc.(a) | ||||
09/01/2025 | 5.375% | 1,210,000 | 1,004,926 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Union Carbide Corp. | ||||
10/01/2096 | 7.750% | 920,000 | 1,096,103 | |
Total | 14,754,494 | |||
Construction Machinery 0.4% | ||||
Herc Holdings, Inc.(a) | ||||
07/15/2027 | 5.500% | 1,020,000 | 979,247 | |
John Deere Capital Corp. | ||||
09/15/2027 | 4.150% | 4,333,000 | 4,231,369 | |
03/03/2028 | 4.900% | 2,291,000 | 2,305,626 | |
10/11/2029 | 4.850% | 1,034,000 | 1,035,761 | |
06/10/2030 | 4.700% | 5,624,000 | 5,587,860 | |
Terex Corp.(a) | ||||
05/15/2029 | 5.000% | 520,000 | 486,714 | |
United Rentals North America, Inc. | ||||
01/15/2028 | 4.875% | 2,150,000 | 2,045,545 | |
01/15/2030 | 5.250% | 765,000 | 730,330 | |
02/15/2031 | 3.875% | 1,055,000 | 914,373 | |
Total | 18,316,825 | |||
Consumer Cyclical Services 0.2% | ||||
ADT Security Corp. (The)(a) | ||||
07/15/2032 | 4.875% | 580,000 | 498,314 | |
Allied Universal Holdco LLC/Finance Corp./Atlas Luxco 4 Sarl(a) | ||||
06/01/2028 | 4.625% | 920,000 | 774,301 | |
06/01/2028 | 4.625% | 910,000 | 770,263 | |
Arches Buyer, Inc.(a) | ||||
06/01/2028 | 4.250% | 1,295,000 | 1,124,568 | |
Ford Foundation (The) | ||||
06/01/2070 | 2.815% | 440,000 | 275,007 | |
Garda World Security Corp(a) | ||||
02/15/2027 | 4.625% | 1,050,000 | 961,728 | |
Prime Security Services Borrower LLC/Finance, Inc.(a) | ||||
04/15/2026 | 5.750% | 1,980,000 | 1,942,268 | |
Service Corp. International | ||||
06/01/2029 | 5.125% | 980,000 | 925,249 | |
Staples, Inc.(a) | ||||
04/15/2026 | 7.500% | 1,140,000 | 939,403 | |
Uber Technologies, Inc.(a) | ||||
05/15/2025 | 7.500% | 985,000 | 997,915 | |
Total | 9,209,016 | |||
Consumer Products 0.4% | ||||
ACCO Brands Corp.(a) | ||||
03/15/2029 | 4.250% | 1,285,000 | 1,084,530 | |
CD&R Smokey Buyer, Inc.(a) | ||||
07/15/2025 | 6.750% | 800,000 | 746,042 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 | 23 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Central Garden & Pet Co. | ||||
10/15/2030 | 4.125% | 1,255,000 | 1,052,692 | |
Edgewell Personal Care Co.(a) | ||||
06/01/2028 | 5.500% | 1,055,000 | 997,217 | |
Energizer Holdings, Inc.(a) | ||||
06/15/2028 | 4.750% | 1,745,000 | 1,557,178 | |
Kenvue, Inc.(a) | ||||
03/22/2028 | 5.050% | 1,836,000 | 1,851,042 | |
03/22/2033 | 4.900% | 5,093,000 | 5,149,861 | |
03/22/2053 | 5.050% | 1,148,000 | 1,170,288 | |
03/22/2063 | 5.200% | 459,000 | 469,811 | |
Mattel, Inc.(a) | ||||
04/01/2029 | 3.750% | 645,000 | 566,347 | |
Mead Johnson Nutrition Co. | ||||
06/01/2044 | 4.600% | 350,000 | 314,210 | |
Newell Brands, Inc. | ||||
09/15/2029 | 6.625% | 1,080,000 | 1,036,470 | |
Prestige Brands, Inc.(a) | ||||
01/15/2028 | 5.125% | 860,000 | 821,196 | |
Scotts Miracle-Gro Co. (The) | ||||
10/15/2029 | 4.500% | 1,635,000 | 1,418,485 | |
Spectrum Brands, Inc.(a) | ||||
10/01/2029 | 5.000% | 1,465,000 | 1,314,227 | |
Tempur Sealy International, Inc.(a) | ||||
04/15/2029 | 4.000% | 1,370,000 | 1,186,384 | |
Valvoline, Inc.(a) | ||||
02/15/2030 | 4.250% | 825,000 | 810,959 | |
Total | 21,546,939 | |||
Diversified Manufacturing 0.2% | ||||
BWX Technologies, Inc.(a) | ||||
06/30/2028 | 4.125% | 705,000 | 646,931 | |
04/15/2029 | 4.125% | 545,000 | 493,229 | |
Chart Industries, Inc.(a) | ||||
01/01/2030 | 7.500% | 940,000 | 959,250 | |
Eaton Corp. | ||||
04/01/2024 | 7.625% | 170,000 | 171,396 | |
Emerald Debt Merger Sub LLC(a) | ||||
12/15/2030 | 6.625% | 1,315,000 | 1,304,833 | |
Griffon Corp. | ||||
03/01/2028 | 5.750% | 1,440,000 | 1,346,694 | |
Madison IAQ LLC(a) | ||||
06/30/2028 | 4.125% | 1,365,000 | 1,202,223 | |
TriMas Corp.(a) | ||||
04/15/2029 | 4.125% | 725,000 | 646,694 | |
Vertical US Newco, Inc.(a) | ||||
07/15/2027 | 5.250% | 520,000 | 480,789 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
WESCO Distribution, Inc.(a) | ||||
06/15/2028 | 7.250% | 1,805,000 | 1,841,565 | |
WW Grainger, Inc. | ||||
06/15/2045 | 4.600% | 200,000 | 189,035 | |
Xylem, Inc. | ||||
01/30/2031 | 2.250% | 176,000 | 146,172 | |
Total | 9,428,811 | |||
Electric 2.3% | ||||
AEP Transmission Co. LLC | ||||
09/15/2049 | 3.150% | 440,000 | 312,177 | |
08/15/2051 | 2.750% | 600,000 | 387,431 | |
Alabama Power Co. | ||||
02/15/2033 | 5.700% | 159,000 | 162,712 | |
05/15/2038 | 6.125% | 70,000 | 75,058 | |
07/15/2051 | 3.125% | 360,000 | 249,348 | |
Alexander Funding Trust(a) | ||||
11/15/2023 | 1.841% | 1,567,000 | 1,533,754 | |
Ameren Corp. | ||||
03/15/2027 | 1.950% | 240,000 | 213,477 | |
Ameren Illinois Co. | ||||
06/01/2033 | 4.950% | 1,640,000 | 1,627,192 | |
American Transmission Systems, Inc.(a) | ||||
01/15/2032 | 2.650% | 572,000 | 473,437 | |
Baltimore Gas and Electric Co. | ||||
06/15/2031 | 2.250% | 1,228,000 | 1,022,348 | |
08/15/2046 | 3.500% | 376,000 | 283,434 | |
06/01/2053 | 5.400% | 1,376,000 | 1,401,160 | |
Berkshire Hathaway Energy Co. | ||||
11/15/2023 | 3.750% | 333,000 | 330,538 | |
02/01/2025 | 3.500% | 180,000 | 174,001 | |
05/01/2053 | 4.600% | 197,000 | 168,846 | |
Calpine Corp.(a) | ||||
06/01/2026 | 5.250% | 360,000 | 347,139 | |
02/15/2028 | 4.500% | 1,115,000 | 1,009,416 | |
CenterPoint Energy Houston Electric LLC | ||||
03/01/2052 | 3.600% | 907,000 | 703,879 | |
Commonwealth Edison Co. | ||||
06/15/2046 | 3.650% | 243,000 | 189,987 | |
02/01/2053 | 5.300% | 368,000 | 375,501 | |
Connecticut Light & Power Co. (The) | ||||
04/01/2048 | 4.000% | 236,000 | 199,143 | |
Consolidated Edison Co. of New York, Inc. | ||||
03/01/2033 | 5.200% | 2,569,000 | 2,598,828 | |
Constellation Energy Generation LLC | ||||
03/01/2033 | 5.800% | 840,000 | 863,585 |
24 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Consumers Energy Co. | ||||
05/15/2033 | 4.625% | 720,000 | 702,207 | |
05/01/2060 | 2.500% | 759,000 | 434,561 | |
08/31/2064 | 4.350% | 547,000 | 440,747 | |
DTE Electric Co. | ||||
06/15/2042 | 3.950% | 364,000 | 288,754 | |
04/01/2043 | 4.000% | 775,000 | 648,226 | |
03/01/2050 | 2.950% | 1,433,000 | 982,107 | |
03/01/2052 | 3.650% | 656,000 | 512,191 | |
Duke Energy Carolinas LLC | ||||
12/01/2028 | 6.000% | 205,000 | 214,814 | |
04/15/2031 | 2.550% | 835,000 | 709,301 | |
03/15/2032 | 2.850% | 1,525,000 | 1,297,435 | |
01/15/2033 | 4.950% | 1,363,000 | 1,354,273 | |
12/15/2041 | 4.250% | 313,000 | 271,233 | |
03/15/2052 | 3.550% | 1,110,000 | 846,596 | |
01/15/2053 | 5.350% | 1,840,000 | 1,866,287 | |
Duke Energy Corp. | ||||
06/15/2031 | 2.550% | 899,000 | 744,267 | |
06/15/2051 | 3.500% | 254,000 | 184,190 | |
Duke Energy Florida LLC | ||||
12/15/2031 | 2.400% | 1,224,000 | 1,005,771 | |
Duke Energy Indiana LLC | ||||
05/15/2046 | 3.750% | 188,000 | 145,513 | |
04/01/2050 | 2.750% | 1,905,000 | 1,216,330 | |
04/01/2053 | 5.400% | 175,000 | 176,776 | |
Duke Energy Ohio, Inc. | ||||
04/01/2033 | 5.250% | 1,681,000 | 1,698,502 | |
02/01/2049 | 4.300% | 295,000 | 247,197 | |
Duke Energy Progress LLC | ||||
03/15/2033 | 5.250% | 1,980,000 | 2,013,553 | |
04/01/2035 | 5.700% | 300,000 | 296,413 | |
10/15/2046 | 3.700% | 323,000 | 250,965 | |
09/15/2047 | 3.600% | 300,000 | 230,542 | |
08/15/2050 | 2.500% | 1,238,000 | 770,985 | |
Duquesne Light Holdings, Inc.(a) | ||||
08/01/2027 | 3.616% | 700,000 | 627,948 | |
10/01/2030 | 2.532% | 373,000 | 297,994 | |
Edison International | ||||
11/15/2028 | 5.250% | 250,000 | 243,586 | |
Emera US Finance LP | ||||
06/15/2046 | 4.750% | 600,000 | 486,673 | |
Enel Chile SA | ||||
06/12/2028 | 4.875% | 149,000 | 143,286 | |
Enel Finance International NV(a) | ||||
04/06/2028 | 3.500% | 335,000 | 306,486 | |
07/12/2028 | 1.875% | 1,636,000 | 1,374,377 | |
07/12/2031 | 2.250% | 1,764,000 | 1,386,208 | |
Entergy Arkansas LLC | ||||
01/15/2033 | 5.150% | 1,841,000 | 1,848,707 | |
06/15/2051 | 2.650% | 1,420,000 | 887,532 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Entergy Louisiana LLC | ||||
06/01/2031 | 3.050% | 472,000 | 410,153 | |
03/15/2051 | 2.900% | 880,000 | 579,990 | |
Entergy Texas, Inc. | ||||
03/15/2031 | 1.750% | 1,609,000 | 1,274,096 | |
Eversource Energy | ||||
07/01/2027 | 4.600% | 232,000 | 226,442 | |
08/15/2030 | 1.650% | 1,395,000 | 1,108,754 | |
Exelon Corp. | ||||
03/15/2033 | 5.300% | 1,386,000 | 1,386,766 | |
03/15/2053 | 5.600% | 787,000 | 793,905 | |
Exelon Generation Co. LLC | ||||
06/15/2042 | 5.600% | 1,590,000 | 1,540,978 | |
FirstEnergy Transmission LLC(a) | ||||
04/01/2049 | 4.550% | 905,000 | 751,881 | |
Florida Power & Light Co. | ||||
04/01/2033 | 5.100% | 925,000 | 940,194 | |
05/15/2033 | 4.800% | 640,000 | 635,916 | |
09/01/2035 | 5.400% | 600,000 | 601,766 | |
Fortis, Inc. | ||||
10/04/2026 | 3.055% | 620,000 | 572,281 | |
ITC Holdings Corp.(a) | ||||
09/22/2027 | 4.950% | 428,000 | 422,100 | |
05/14/2030 | 2.950% | 530,000 | 455,799 | |
06/01/2033 | 5.400% | 700,000 | 695,808 | |
Jersey Central Power & Light Co.(a) | ||||
01/15/2026 | 4.300% | 260,000 | 251,591 | |
03/01/2032 | 2.750% | 1,348,000 | 1,110,634 | |
Jersey Central Power & Light Co. | ||||
06/01/2037 | 6.150% | 150,000 | 154,734 | |
Kansas City Power & Light Co. | ||||
10/01/2041 | 5.300% | 750,000 | 730,338 | |
06/15/2047 | 4.200% | 400,000 | 331,237 | |
Metropolitan Edison Co.(a) | ||||
04/01/2028 | 5.200% | 1,381,000 | 1,368,525 | |
01/15/2029 | 4.300% | 1,443,000 | 1,365,131 | |
MidAmerican Energy Co. | ||||
11/01/2035 | 5.750% | 600,000 | 619,383 | |
08/01/2052 | 2.700% | 1,064,000 | 672,627 | |
Mid-Atlantic Interstate Transmission LLC(a) | ||||
05/15/2028 | 4.100% | 1,545,000 | 1,462,624 | |
Mississippi Power Co. | ||||
03/15/2042 | 4.250% | 564,000 | 468,786 | |
07/30/2051 | 3.100% | 1,472,000 | 988,649 | |
Nevada Power Co. | ||||
04/01/2036 | 6.650% | 225,000 | 243,477 | |
09/15/2040 | 5.375% | 546,000 | 523,691 | |
New England Power Co.(a) | ||||
12/05/2047 | 3.800% | 168,000 | 132,973 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 | 25 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
NextEra Energy Capital Holdings, Inc. | ||||
02/28/2033 | 5.050% | 1,160,000 | 1,144,591 | |
Niagara Mohawk Power Corp.(a) | ||||
10/01/2034 | 4.278% | 753,000 | 667,837 | |
Northern States Power Co. | ||||
06/01/2052 | 4.500% | 440,000 | 396,782 | |
NRG Energy, Inc.(a) | ||||
12/02/2025 | 2.000% | 293,000 | 262,542 | |
12/02/2027 | 2.450% | 960,000 | 808,130 | |
06/15/2029 | 4.450% | 585,000 | 517,671 | |
06/15/2029 | 5.250% | 900,000 | 803,744 | |
NRG Energy, Inc. | ||||
01/15/2027 | 6.625% | 107,000 | 106,275 | |
01/15/2028 | 5.750% | 1,415,000 | 1,341,718 | |
NSTAR Electric Co. | ||||
06/01/2051 | 3.100% | 757,000 | 530,230 | |
Ohio Power Co. | ||||
10/01/2051 | 2.900% | 1,195,000 | 793,943 | |
Pacific Gas and Electric Co. | ||||
11/15/2023 | 1.700% | 400,000 | 392,964 | |
07/01/2025 | 3.450% | 690,000 | 652,856 | |
03/01/2026 | 2.950% | 1,295,000 | 1,188,852 | |
08/01/2027 | 2.100% | 657,000 | 563,484 | |
01/15/2029 | 6.100% | 1,085,000 | 1,068,095 | |
06/15/2033 | 6.400% | 555,000 | 551,812 | |
07/01/2040 | 4.500% | 422,000 | 328,148 | |
06/01/2041 | 4.200% | 713,000 | 530,737 | |
04/15/2042 | 4.450% | 2,609,000 | 1,958,383 | |
08/15/2042 | 3.750% | 183,000 | 126,349 | |
02/15/2044 | 4.750% | 413,000 | 320,442 | |
12/01/2047 | 3.950% | 2,860,000 | 1,952,563 | |
07/01/2050 | 4.950% | 3,924,000 | 3,087,609 | |
PacifiCorp | ||||
10/15/2037 | 6.250% | 200,000 | 199,946 | |
02/15/2050 | 4.150% | 1,777,000 | 1,375,287 | |
05/15/2054 | 5.500% | 1,490,000 | 1,397,997 | |
PECO Energy Co. | ||||
06/15/2050 | 2.800% | 490,000 | 323,900 | |
09/15/2051 | 2.850% | 1,480,000 | 981,394 | |
Pennsylvania Electric Co.(a) | ||||
03/30/2026 | 5.150% | 921,000 | 907,169 | |
03/15/2028 | 3.250% | 1,339,000 | 1,213,867 | |
PG&E Corp. | ||||
07/01/2028 | 5.000% | 816,000 | 749,059 | |
07/01/2030 | 5.250% | 610,000 | 547,003 | |
Potomac Electric Power Co. | ||||
12/15/2038 | 7.900% | 160,000 | 194,156 | |
03/15/2043 | 4.150% | 250,000 | 216,046 | |
PPL Electric Utilities Corp. | ||||
05/15/2053 | 5.250% | 220,000 | 224,206 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Public Service Co. of Colorado | ||||
01/15/2051 | 2.700% | 505,000 | 321,233 | |
04/01/2053 | 5.250% | 386,000 | 370,570 | |
Public Service Co. of New Hampshire | ||||
11/01/2023 | 3.500% | 303,000 | 300,607 | |
Public Service Co. of Oklahoma | ||||
08/15/2051 | 3.150% | 830,000 | 555,739 | |
Public Service Electric and Gas Co. | ||||
08/15/2031 | 1.900% | 1,646,000 | 1,322,840 | |
05/01/2050 | 2.700% | 570,000 | 381,351 | |
08/01/2050 | 2.050% | 340,000 | 200,796 | |
Puget Sound Energy, Inc. | ||||
09/15/2051 | 2.893% | 800,000 | 527,686 | |
San Diego Gas & Electric Co. | ||||
06/01/2026 | 6.000% | 690,000 | 703,765 | |
08/15/2051 | 2.950% | 535,000 | 363,361 | |
Southern California Edison Co. | ||||
08/01/2025 | 3.700% | 1,000,000 | 962,897 | |
03/01/2028 | 3.650% | 200,000 | 186,857 | |
03/01/2028 | 5.300% | 2,305,000 | 2,308,183 | |
01/15/2036 | 5.550% | 130,000 | 128,071 | |
02/01/2038 | 5.950% | 210,000 | 216,198 | |
03/01/2048 | 4.125% | 925,000 | 752,126 | |
12/01/2053 | 5.875% | 1,066,000 | 1,088,703 | |
Southern Power Co. | ||||
09/15/2041 | 5.150% | 398,000 | 372,191 | |
Southwestern Electric Power Co. | ||||
04/01/2033 | 5.300% | 370,000 | 365,871 | |
04/01/2045 | 3.900% | 428,000 | 326,750 | |
Southwestern Public Service Co. | ||||
08/15/2041 | 4.500% | 338,000 | 293,620 | |
Toledo Edison Co. (The) | ||||
05/15/2037 | 6.150% | 205,000 | 213,077 | |
Tucson Electric Power Co. | ||||
04/15/2053 | 5.500% | 410,000 | 408,309 | |
Union Electric Co. | ||||
06/15/2027 | 2.950% | 286,000 | 266,542 | |
04/01/2052 | 3.900% | 230,000 | 187,349 | |
Virginia Electric and Power Co. | ||||
11/15/2051 | 2.950% | 1,228,000 | 820,778 | |
04/01/2053 | 5.450% | 415,000 | 416,544 | |
Vistra Operations Co. LLC(a) | ||||
02/15/2027 | 5.625% | 1,860,000 | 1,783,046 | |
07/31/2027 | 5.000% | 1,185,000 | 1,111,266 | |
Wisconsin Electric Power Co. | ||||
06/01/2025 | 3.100% | 192,000 | 183,116 | |
Xcel Energy, Inc. | ||||
09/15/2041 | 4.800% | 90,000 | 79,176 | |
Total | 110,620,558 |
26 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Environmental 0.1% | ||||
GFL Environmental, Inc.(a) | ||||
08/01/2025 | 3.750% | 635,000 | 604,483 | |
08/01/2028 | 4.000% | 980,000 | 878,677 | |
06/15/2029 | 4.750% | 365,000 | 334,885 | |
Republic Services, Inc. | ||||
04/01/2029 | 4.875% | 1,380,000 | 1,378,188 | |
02/15/2031 | 1.450% | 378,000 | 296,893 | |
04/01/2034 | 5.000% | 1,380,000 | 1,375,606 | |
Stericycle, Inc.(a) | ||||
01/15/2029 | 3.875% | 795,000 | 707,020 | |
Total | 5,575,752 | |||
Finance Companies 0.6% | ||||
AerCap Ireland Capital DAC/Global Aviation Trust | ||||
09/15/2023 | 4.500% | 150,000 | 149,501 | |
10/29/2023 | 1.150% | 9,316,000 | 9,172,491 | |
02/15/2024 | 3.150% | 980,000 | 962,206 | |
08/14/2024 | 2.875% | 215,000 | 206,586 | |
10/29/2024 | 1.650% | 220,000 | 206,666 | |
07/15/2025 | 6.500% | 1,285,000 | 1,292,464 | |
04/03/2026 | 4.450% | 400,000 | 382,418 | |
10/29/2026 | 2.450% | 190,000 | 169,851 | |
10/29/2028 | 3.000% | 235,000 | 203,821 | |
01/30/2032 | 3.300% | 225,000 | 183,932 | |
Air Lease Corp. | ||||
07/03/2023 | 3.875% | 341,000 | 340,946 | |
09/15/2023 | 3.000% | 177,000 | 175,716 | |
03/01/2025 | 3.250% | 220,000 | 209,985 | |
07/01/2025 | 3.375% | 515,000 | 487,020 | |
01/15/2026 | 2.875% | 749,000 | 693,524 | |
10/01/2029 | 3.250% | 225,000 | 195,085 | |
Aviation Capital Group LLC(a) | ||||
12/15/2024 | 5.500% | 417,000 | 407,969 | |
08/01/2025 | 4.125% | 505,000 | 472,806 | |
Avolon Holdings Funding Ltd.(a) | ||||
02/15/2025 | 2.875% | 1,904,000 | 1,776,529 | |
01/15/2026 | 5.500% | 2,935,000 | 2,840,133 | |
02/21/2026 | 2.125% | 730,000 | 648,722 | |
04/15/2026 | 4.250% | 830,000 | 772,995 | |
05/01/2026 | 4.375% | 790,000 | 738,026 | |
11/18/2027 | 2.528% | 2,445,000 | 2,060,739 | |
Blackstone Secured Lending Fund | ||||
07/14/2023 | 3.650% | 327,000 | 326,357 | |
Navient Corp. | ||||
03/25/2024 | 6.125% | 780,000 | 773,082 | |
Park Aerospace Holdings Ltd.(a) | ||||
02/15/2024 | 5.500% | 188,000 | 186,236 | |
Quicken Loans LLC/Co-Issuer, Inc.(a) | ||||
03/01/2029 | 3.625% | 1,705,000 | 1,433,445 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Springleaf Finance Corp. | ||||
03/15/2025 | 6.875% | 240,000 | 237,375 | |
03/15/2026 | 7.125% | 1,900,000 | 1,870,341 | |
Total | 29,576,967 | |||
Food and Beverage 0.5% | ||||
Anheuser-Busch Companies LLC/InBev Worldwide, Inc. | ||||
02/01/2036 | 4.700% | 6,959,000 | 6,775,935 | |
02/01/2046 | 4.900% | 203,000 | 193,885 | |
Anheuser-Busch InBev Finance, Inc. | ||||
02/01/2044 | 4.625% | 30,000 | 27,546 | |
Anheuser-Busch InBev Worldwide, Inc. | ||||
04/15/2038 | 4.375% | 2,448,000 | 2,272,176 | |
06/01/2040 | 4.350% | 505,000 | 464,309 | |
Aramark Services, Inc.(a) | ||||
05/01/2025 | 6.375% | 645,000 | 645,780 | |
Bunge Ltd. Finance Corp. | ||||
08/17/2025 | 1.630% | 947,000 | 871,806 | |
05/14/2031 | 2.750% | 196,000 | 164,584 | |
Campbell Soup Co. | ||||
04/24/2030 | 2.375% | 205,000 | 172,599 | |
04/24/2050 | 3.125% | 249,000 | 172,075 | |
Cargill, Inc.(a) | ||||
11/01/2036 | 7.250% | 300,000 | 339,599 | |
04/22/2052 | 4.375% | 160,000 | 143,899 | |
Central American Bottling Corp/CBC Bottling Holdco SL/Beliv Holdco SL(a) | ||||
04/27/2029 | 5.250% | 419,000 | 387,879 | |
Coca-Cola Femsa SAB de CV | ||||
01/22/2030 | 2.750% | 339,000 | 299,320 | |
09/01/2032 | 1.850% | 1,000,000 | 782,657 | |
Constellation Brands, Inc. | ||||
05/01/2033 | 4.900% | 1,329,000 | 1,304,926 | |
11/15/2048 | 5.250% | 999,000 | 959,219 | |
Darling Ingredients, Inc.(a) | ||||
04/15/2027 | 5.250% | 1,010,000 | 979,584 | |
Diageo Capital PLC | ||||
09/29/2025 | 1.375% | 348,000 | 320,285 | |
Keurig Dr Pepper, Inc. | ||||
05/25/2025 | 4.417% | 60,000 | 58,891 | |
06/15/2027 | 3.430% | 135,000 | 127,432 | |
Lamb Weston Holdings, Inc.(a) | ||||
05/15/2028 | 4.875% | 1,095,000 | 1,048,971 | |
Mondelez International, Inc. | ||||
05/04/2025 | 1.500% | 410,000 | 382,513 | |
Nestle Holdings, Inc.(a) | ||||
03/14/2033 | 4.850% | 827,000 | 844,473 | |
Performance Food Group, Inc.(a) | ||||
10/15/2027 | 5.500% | 1,220,000 | 1,180,779 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 | 27 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Post Holdings, Inc.(a) | ||||
03/01/2027 | 5.750% | 544,000 | 531,506 | |
04/15/2030 | 4.625% | 915,000 | 802,390 | |
Total | 22,255,018 | |||
Gaming 0.2% | ||||
Boyd Gaming Corp. | ||||
12/01/2027 | 4.750% | 255,000 | 241,738 | |
Colt Merger Sub, Inc.(a) | ||||
07/01/2025 | 6.250% | 1,480,000 | 1,473,435 | |
International Game Technology PLC(a) | ||||
02/15/2025 | 6.500% | 310,000 | 310,881 | |
MGM Resorts International | ||||
04/15/2027 | 5.500% | 1,620,000 | 1,557,410 | |
Sands China Ltd. | ||||
08/08/2025 | 5.125% | 330,000 | 321,598 | |
01/08/2026 | 4.300% | 710,000 | 667,433 | |
Sands China Ltd.(j) | ||||
03/08/2027 | 2.800% | 275,000 | 238,596 | |
Station Casinos LLC(a) | ||||
02/15/2028 | 4.500% | 635,000 | 570,698 | |
VICI Properties LP/Note Co., Inc.(a) | ||||
12/01/2026 | 4.250% | 1,170,000 | 1,096,588 | |
02/01/2027 | 5.750% | 645,000 | 632,608 | |
12/01/2029 | 4.625% | 1,125,000 | 1,021,701 | |
Wynn Las Vegas LLC/Capital Corp.(a) | ||||
03/01/2025 | 5.500% | 490,000 | 481,945 | |
05/15/2027 | 5.250% | 515,000 | 488,125 | |
Wynn Macau Ltd.(a) | ||||
08/26/2028 | 5.625% | 295,000 | 254,836 | |
Wynn Resorts Finance LLC/Capital Corp.(a) | ||||
10/01/2029 | 5.125% | 805,000 | 721,773 | |
Total | 10,079,365 | |||
Health Care 1.2% | ||||
Abbott Laboratories | ||||
06/30/2030 | 1.400% | 2,066,000 | 1,699,602 | |
11/30/2036 | 4.750% | 1,676,000 | 1,681,523 | |
Acadia Healthcare Co., Inc.(a) | ||||
07/01/2028 | 5.500% | 1,415,000 | 1,352,946 | |
AdaptHealth LLC(a) | ||||
08/01/2029 | 4.625% | 915,000 | 730,725 | |
Advocate Health & Hospitals Corp. | ||||
06/15/2030 | 2.211% | 235,000 | 196,846 | |
Ascension Health | ||||
11/15/2029 | 2.532% | 341,000 | 293,150 | |
Avantor Funding, Inc.(a) | ||||
07/15/2028 | 4.625% | 1,400,000 | 1,297,666 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Becton Dickinson and Co. | ||||
12/15/2024 | 3.734% | 44,000 | 42,739 | |
Boston Scientific Corp. | ||||
03/01/2039 | 4.550% | 84,000 | 77,923 | |
Charles River Laboratories International, Inc.(a) | ||||
03/15/2029 | 3.750% | 975,000 | 861,605 | |
Children’s Hospital Corp. (The) | ||||
02/01/2050 | 2.585% | 680,000 | 434,828 | |
Children’s Hospital/DC | ||||
07/15/2050 | 2.928% | 760,000 | 496,464 | |
CHS/Community Health Systems, Inc.(a) | ||||
03/15/2027 | 5.625% | 1,095,000 | 968,501 | |
01/15/2029 | 6.000% | 1,250,000 | 1,062,972 | |
Cigna Corp. | ||||
02/25/2026 | 4.500% | 197,000 | 192,981 | |
07/15/2046 | 4.800% | 218,000 | 200,044 | |
Cigna Group (The) | ||||
03/15/2033 | 5.400% | 1,145,000 | 1,163,980 | |
CommonSpirit Health | ||||
10/01/2025 | 1.547% | 675,000 | 613,363 | |
10/01/2030 | 2.782% | 670,000 | 563,938 | |
10/01/2050 | 3.910% | 660,000 | 510,374 | |
Cottage Health Obligated Group | ||||
11/01/2049 | 3.304% | 610,000 | 451,760 | |
CVS Health Corp. | ||||
07/20/2035 | 4.875% | 270,000 | 256,517 | |
03/25/2038 | 4.780% | 990,000 | 912,608 | |
CVS Pass-Through Trust(a) | ||||
10/10/2025 | 6.204% | 62,380 | 62,387 | |
01/10/2032 | 7.507% | 85,547 | 89,524 | |
01/10/2034 | 5.926% | 610,742 | 600,689 | |
01/10/2036 | 4.704% | 1,523,901 | 1,387,515 | |
08/11/2036 | 4.163% | 133,629 | 120,352 | |
DaVita, Inc.(a) | ||||
06/01/2030 | 4.625% | 2,070,000 | 1,777,484 | |
DH Europe Finance II Sarl | ||||
11/15/2024 | 2.200% | 2,259,000 | 2,162,460 | |
Encompass Health Corp. | ||||
02/01/2028 | 4.500% | 880,000 | 820,424 | |
02/01/2030 | 4.750% | 865,000 | 787,622 | |
04/01/2031 | 4.625% | 210,000 | 186,046 | |
Hackensack Meridian Health, Inc. | ||||
09/01/2050 | 2.875% | 1,000,000 | 676,995 | |
Hartford HealthCare Corp. | ||||
07/01/2054 | 3.447% | 1,350,000 | 963,561 |
28 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
HCA, Inc. | ||||
02/15/2026 | 5.875% | 1,125,000 | 1,125,956 | |
06/15/2026 | 5.250% | 1,700,000 | 1,681,955 | |
06/01/2028 | 5.200% | 4,253,000 | 4,229,039 | |
09/01/2028 | 5.625% | 805,000 | 806,732 | |
02/01/2029 | 5.875% | 936,000 | 940,865 | |
06/15/2029 | 4.125% | 1,000,000 | 926,182 | |
09/01/2030 | 3.500% | 114,000 | 99,858 | |
06/15/2039 | 5.125% | 660,000 | 612,401 | |
06/15/2047 | 5.500% | 1,470,000 | 1,380,389 | |
07/15/2051 | 3.500% | 102,000 | 70,246 | |
06/01/2053 | 5.900% | 3,198,000 | 3,170,639 | |
HCA, Inc.(a) | ||||
03/15/2052 | 4.625% | 881,000 | 723,426 | |
Hologic, Inc.(a) | ||||
02/15/2029 | 3.250% | 1,480,000 | 1,294,527 | |
IQVIA, Inc.(a) | ||||
05/15/2027 | 5.000% | 1,628,000 | 1,568,107 | |
Memorial Health Services | ||||
11/01/2049 | 3.447% | 1,230,000 | 911,841 | |
Mozart Debt Merger Sub, Inc.(a) | ||||
04/01/2029 | 3.875% | 1,865,000 | 1,622,121 | |
MultiCare Health System | ||||
08/15/2050 | 2.803% | 570,000 | 344,860 | |
NYU Langone Hospitals | ||||
07/01/2055 | 3.380% | 550,000 | 387,808 | |
Owens & Minor, Inc. | ||||
12/15/2024 | 4.375% | 865,000 | 844,021 | |
Providence St Joseph Health Obligated Group | ||||
10/01/2026 | 2.746% | 307,000 | 279,662 | |
Quest Diagnostics, Inc. | ||||
06/30/2031 | 2.800% | 179,000 | 154,268 | |
Tenet Healthcare Corp. | ||||
02/01/2027 | 6.250% | 1,400,000 | 1,388,294 | |
11/01/2027 | 5.125% | 2,860,000 | 2,730,503 | |
06/01/2029 | 4.250% | 615,000 | 555,599 | |
06/15/2030 | 6.125% | 2,170,000 | 2,138,437 | |
Yale-New Haven Health Services Corp. | ||||
07/01/2050 | 2.496% | 950,000 | 574,390 | |
Total | 56,260,240 | |||
Healthcare Insurance 0.4% | ||||
Aetna, Inc. | ||||
12/15/2037 | 6.750% | 201,000 | 221,989 | |
08/15/2047 | 3.875% | 1,195,000 | 932,589 | |
Anthem, Inc. | ||||
12/01/2024 | 3.350% | 350,000 | 338,647 | |
12/01/2047 | 4.375% | 94,000 | 81,978 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Centene Corp. | ||||
12/15/2027 | 4.250% | 1,045,000 | 977,832 | |
12/15/2029 | 4.625% | 2,305,000 | 2,123,801 | |
02/15/2030 | 3.375% | 2,085,000 | 1,792,815 | |
UnitedHealth Group, Inc. | ||||
03/15/2026 | 3.100% | 219,000 | 209,467 | |
05/15/2029 | 4.000% | 1,747,000 | 1,669,734 | |
07/15/2035 | 4.625% | 224,000 | 219,146 | |
08/15/2039 | 3.500% | 247,000 | 207,073 | |
05/15/2041 | 3.050% | 432,000 | 333,078 | |
05/15/2051 | 3.250% | 1,364,000 | 1,014,990 | |
02/15/2053 | 5.875% | 2,761,000 | 3,062,833 | |
04/15/2053 | 5.050% | 3,515,000 | 3,489,455 | |
04/15/2063 | 5.200% | 949,000 | 946,656 | |
Total | 17,622,083 | |||
Healthcare REIT 0.0% | ||||
HCP, Inc. | ||||
07/15/2029 | 3.500% | 240,000 | 215,198 | |
MPT Operating Partnership LP/Finance Corp. | ||||
08/01/2029 | 4.625% | 850,000 | 643,699 | |
Sabra Health Care LP | ||||
12/01/2031 | 3.200% | 440,000 | 327,678 | |
Total | 1,186,575 | |||
Home Construction 0.0% | ||||
Weekley Homes LLC/Finance Corp.(a) | ||||
09/15/2028 | 4.875% | 1,025,000 | 926,965 | |
Independent Energy 0.5% | ||||
Aker BP ASA(a) | ||||
06/13/2028 | 5.600% | 2,724,000 | 2,700,464 | |
06/13/2033 | 6.000% | 2,277,000 | 2,278,157 | |
Antero Resources Corp.(a) | ||||
07/15/2026 | 8.375% | 1,275,000 | 1,327,503 | |
Baytex Energy Corp.(a) | ||||
04/01/2027 | 8.750% | 800,000 | 812,482 | |
04/30/2030 | 8.500% | 335,000 | 327,310 | |
California Resources Corp.(a) | ||||
02/01/2026 | 7.125% | 635,000 | 639,955 | |
Chesapeake Energy Corp.(a) | ||||
02/01/2026 | 5.500% | 1,195,000 | 1,164,560 | |
Civitas Resources, Inc.(a) | ||||
07/01/2028 | 8.375% | 425,000 | 429,939 | |
07/01/2031 | 8.750% | 420,000 | 426,426 | |
CNX Resources Corp.(a) | ||||
01/15/2029 | 6.000% | 830,000 | 770,543 | |
Comstock Resources, Inc.(a) | ||||
03/01/2029 | 6.750% | 1,085,000 | 993,450 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 | 29 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
ConocoPhillips Co. | ||||
03/15/2062 | 4.025% | 488,000 | 397,947 | |
Encino Acquisition Partners Holdings LLC(a) | ||||
05/01/2028 | 8.500% | 360,000 | 328,698 | |
Gulfport Energy Corp. | ||||
05/17/2026 | 8.000% | 785,000 | 788,895 | |
Gulfport Energy Corp.(a) | ||||
05/17/2026 | 8.000% | 155,000 | 155,769 | |
Hilcorp Energy I LP/Finance Co.(a) | ||||
02/01/2029 | 5.750% | 1,405,000 | 1,280,332 | |
Lundin Energy Finance BV(a) | ||||
07/15/2026 | 2.000% | 218,000 | 195,435 | |
Marathon Oil Corp. | ||||
10/01/2037 | 6.600% | 150,000 | 149,492 | |
Occidental Petroleum Corp. | ||||
09/01/2030 | 6.625% | 1,065,000 | 1,106,505 | |
09/15/2031 | 7.875% | 710,000 | 791,901 | |
Pioneer Natural Resources Co. | ||||
08/15/2030 | 1.900% | 436,000 | 353,686 | |
Range Resources Corp. | ||||
05/15/2025 | 4.875% | 1,440,000 | 1,416,060 | |
SM Energy Co. | ||||
09/15/2026 | 6.750% | 460,000 | 450,634 | |
01/15/2027 | 6.625% | 910,000 | 889,962 | |
Southwestern Energy Co. | ||||
09/15/2028 | 8.375% | 615,000 | 641,403 | |
02/01/2029 | 5.375% | 1,000,000 | 944,006 | |
Total | 21,761,514 | |||
Integrated Energy 0.6% | ||||
BP Capital Markets America, Inc. | ||||
02/11/2026 | 3.410% | 177,000 | 170,162 | |
08/10/2030 | 1.749% | 689,000 | 564,230 | |
01/12/2032 | 2.721% | 4,174,000 | 3,547,883 | |
02/13/2033 | 4.812% | 6,642,000 | 6,551,142 | |
09/11/2033 | 4.893% | 885,000 | 876,164 | |
11/10/2050 | 2.772% | 705,000 | 468,069 | |
06/04/2051 | 2.939% | 1,000,000 | 684,914 | |
03/17/2052 | 3.001% | 2,590,000 | 1,791,048 | |
BP Capital Markets PLC(i),(j) | ||||
4.375% | 3,790,000 | 3,642,138 | ||
4.875% | 3,065,000 | 2,788,041 | ||
BP Capital Markets PLC | ||||
09/19/2027 | 3.279% | 147,000 | 138,595 | |
ENI SpA(a) | ||||
09/12/2023 | 4.000% | 310,000 | 308,462 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Exxon Mobil Corp. | ||||
08/16/2039 | 2.995% | 278,000 | 220,283 | |
08/16/2049 | 3.095% | 346,000 | 254,151 | |
03/19/2050 | 4.327% | 3,040,000 | 2,761,004 | |
04/15/2051 | 3.452% | 2,310,000 | 1,802,738 | |
Shell International Finance BV | ||||
11/26/2051 | 3.000% | 2,000,000 | 1,416,015 | |
Total Capital International SA | ||||
06/29/2041 | 2.986% | 1,400,000 | 1,064,327 | |
05/29/2050 | 3.127% | 1,400,000 | 1,016,784 | |
Total | 30,066,150 | |||
Leisure 0.2% | ||||
Boyne USA, Inc.(a) | ||||
05/15/2029 | 4.750% | 1,145,000 | 1,038,122 | |
Carnival Corp.(a) | ||||
08/01/2027 | 9.875% | 1,325,000 | 1,379,294 | |
08/01/2028 | 4.000% | 820,000 | 726,402 | |
Cedar Fair LP | ||||
07/15/2029 | 5.250% | 1,300,000 | 1,181,276 | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Operations LLC | ||||
10/01/2028 | 6.500% | 480,000 | 468,354 | |
Cinemark USA, Inc.(a) | ||||
05/01/2025 | 8.750% | 402,000 | 408,720 | |
07/15/2028 | 5.250% | 415,000 | 368,780 | |
Live Nation Entertainment, Inc.(a) | ||||
05/15/2027 | 6.500% | 1,205,000 | 1,211,462 | |
10/15/2027 | 4.750% | 915,000 | 853,460 | |
Royal Caribbean Cruises Ltd.(a) | ||||
01/15/2029 | 8.250% | 1,195,000 | 1,254,627 | |
01/15/2029 | 9.250% | 610,000 | 650,501 | |
Six Flags Theme Parks, Inc.(a) | ||||
07/01/2025 | 7.000% | 302,000 | 304,185 | |
Total | 9,845,183 | |||
Life Insurance 0.2% | ||||
AIA Group Ltd.(a) | ||||
04/06/2028 | 3.900% | 500,000 | 478,329 | |
Subordinated | ||||
09/16/2040 | 3.200% | 540,000 | 414,404 | |
AIG SunAmerica Global Financing X(a) | ||||
03/15/2032 | 6.900% | 199,000 | 213,109 | |
Athene Global Funding(a) | ||||
01/08/2026 | 1.450% | 358,000 | 314,540 | |
11/12/2026 | 2.950% | 1,408,000 | 1,250,328 | |
Brighthouse Financial, Inc. | ||||
12/22/2051 | 3.850% | 815,000 | 519,661 |
30 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
F&G Global Funding(a) | ||||
06/30/2026 | 1.750% | 130,000 | 114,954 | |
Guardian Life Insurance Co. of America (The)(a) | ||||
Subordinated | ||||
01/24/2077 | 4.850% | 208,000 | 175,661 | |
Jackson National Life Global Funding(a) | ||||
06/11/2025 | 3.875% | 279,000 | 264,764 | |
John Hancock Life Insurance Co.(a) | ||||
Subordinated | ||||
02/15/2024 | 7.375% | 250,000 | 251,906 | |
Metropolitan Life Global Funding I(a) | ||||
01/11/2024 | 3.600% | 273,000 | 269,711 | |
09/19/2027 | 3.000% | 170,000 | 155,968 | |
03/28/2033 | 5.150% | 1,383,000 | 1,364,329 | |
New York Life Global Funding(a) | ||||
01/10/2028 | 3.000% | 404,000 | 370,678 | |
New York Life Insurance Co.(a) | ||||
Subordinated | ||||
05/15/2069 | 4.450% | 256,000 | 213,623 | |
Prudential Insurance Co. of America (The)(a) | ||||
Subordinated | ||||
07/01/2025 | 8.300% | 702,000 | 727,207 | |
SBL Holdings, Inc.(a) | ||||
02/18/2031 | 5.000% | 2,856,000 | 2,247,448 | |
Teachers Insurance & Annuity Association of America(a) | ||||
Subordinated | ||||
09/15/2044 | 4.900% | 153,000 | 138,332 | |
05/15/2047 | 4.270% | 850,000 | 703,944 | |
Total | 10,188,896 | |||
Lodging 0.1% | ||||
Hilton Domestic Operating Co., Inc.(a) | ||||
05/01/2029 | 3.750% | 490,000 | 434,569 | |
Hilton Domestic Operating Co., Inc. | ||||
01/15/2030 | 4.875% | 395,000 | 368,270 | |
Hilton Worldwide Finance LLC/Corp. | ||||
04/01/2027 | 4.875% | 1,175,000 | 1,139,686 | |
Marriott Ownership Resorts, Inc.(a) | ||||
06/15/2029 | 4.500% | 770,000 | 664,180 | |
Total | 2,606,705 | |||
Media and Entertainment 0.6% | ||||
Activision Blizzard, Inc. | ||||
09/15/2050 | 2.500% | 3,736,000 | 2,399,437 | |
Clear Channel Worldwide Holdings, Inc.(a) | ||||
08/15/2027 | 5.125% | 1,505,000 | 1,368,780 | |
Discovery Communications LLC | ||||
09/20/2047 | 5.200% | 365,000 | 300,814 | |
09/15/2055 | 4.000% | 1,195,000 | 791,981 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Gray Television, Inc.(a) | ||||
10/15/2030 | 4.750% | 1,075,000 | 707,828 | |
Grupo Televisa SAB | ||||
01/31/2046 | 6.125% | 356,000 | 352,680 | |
iHeartCommunications, Inc. | ||||
05/01/2026 | 6.375% | 415,000 | 349,634 | |
iHeartCommunications, Inc.(a) | ||||
08/15/2027 | 5.250% | 1,430,000 | 1,093,660 | |
Lamar Media Corp. | ||||
02/15/2030 | 4.000% | 970,000 | 854,167 | |
Meta Platforms, Inc. | ||||
05/15/2053 | 5.600% | 2,281,000 | 2,342,243 | |
05/15/2063 | 5.750% | 1,741,000 | 1,800,007 | |
Midas OpCo Holdings LLC(a) | ||||
08/15/2029 | 5.625% | 1,050,000 | 903,753 | |
News Corp.(a) | ||||
05/15/2029 | 3.875% | 1,095,000 | 964,774 | |
Nexstar Escrow, Inc.(a) | ||||
07/15/2027 | 5.625% | 1,910,000 | 1,780,777 | |
Outfront Media Capital LLC/Corp.(a) | ||||
06/15/2025 | 6.250% | 920,000 | 920,161 | |
Scripps Escrow II, Inc.(a) | ||||
01/15/2029 | 3.875% | 890,000 | 719,074 | |
Scripps Escrow, Inc.(a) | ||||
07/15/2027 | 5.875% | 230,000 | 187,656 | |
Sinclair Television Group, Inc.(a) | ||||
12/01/2030 | 4.125% | 1,325,000 | 872,277 | |
Take-Two Interactive Software, Inc. | ||||
04/14/2027 | 3.700% | 142,000 | 134,525 | |
TEGNA, Inc. | ||||
03/15/2028 | 4.625% | 588,000 | 519,369 | |
09/15/2029 | 5.000% | 895,000 | 774,418 | |
Univision Communications, Inc.(a) | ||||
06/01/2027 | 6.625% | 820,000 | 791,235 | |
ViacomCBS, Inc. | ||||
05/19/2050 | 4.950% | 1,115,000 | 835,854 | |
Walt Disney Co. (The) | ||||
01/13/2051 | 3.600% | 150,000 | 119,366 | |
Warnermedia Holdings, Inc. | ||||
03/15/2032 | 4.279% | 2,558,000 | 2,266,557 | |
03/15/2042 | 5.050% | 1,812,000 | 1,520,135 | |
03/15/2052 | 5.141% | 3,223,000 | 2,628,198 | |
03/15/2062 | 5.391% | 1,143,000 | 928,983 | |
WMG Acquisition Corp.(a) | ||||
07/15/2030 | 3.875% | 570,000 | 493,021 | |
Total | 29,721,364 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 | 31 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Metals and Mining 0.6% | ||||
Alcoa Nederland Holding BV(a) | ||||
05/15/2028 | 6.125% | 1,950,000 | 1,936,653 | |
Allegheny Technologies, Inc. | ||||
12/01/2027 | 5.875% | 840,000 | 815,559 | |
Anglo American Capital PLC(a) | ||||
05/02/2033 | 5.500% | 1,356,000 | 1,323,878 | |
03/16/2052 | 4.750% | 1,773,000 | 1,465,452 | |
Arconic Corp.(a) | ||||
02/15/2028 | 6.125% | 1,665,000 | 1,686,998 | |
BHP Billiton Finance U.S.A. Ltd. | ||||
03/01/2026 | 6.420% | 468,000 | 480,483 | |
BHP Billiton Finance USA Ltd. | ||||
02/27/2026 | 4.875% | 4,588,000 | 4,564,346 | |
Big River Steel LLC/Finance Corp.(a) | ||||
01/31/2029 | 6.625% | 320,000 | 317,298 | |
Carpenter Technology Corp. | ||||
07/15/2028 | 6.375% | 485,000 | 475,532 | |
Cleveland-Cliffs, Inc.(a) | ||||
03/15/2026 | 6.750% | 102,000 | 103,107 | |
03/01/2029 | 4.625% | 824,000 | 744,772 | |
Cleveland-Cliffs, Inc. | ||||
06/01/2027 | 5.875% | 748,000 | 730,279 | |
Constellium SE(a) | ||||
06/15/2028 | 5.625% | 675,000 | 637,454 | |
FMG Resources Pty Ltd.(a) | ||||
09/15/2027 | 4.500% | 1,365,000 | 1,277,535 | |
Freeport-McMoRan, Inc. | ||||
03/01/2030 | 4.250% | 464,000 | 427,646 | |
08/01/2030 | 4.625% | 1,040,000 | 982,264 | |
11/14/2034 | 5.400% | 1,388,000 | 1,340,029 | |
Glencore Finance Canada Ltd.(a) | ||||
11/15/2037 | 6.900% | 949,000 | 1,012,805 | |
11/15/2041 | 6.000% | 336,000 | 332,638 | |
Glencore Finance Canada Ltd.(a),(j) | ||||
10/25/2042 | 5.550% | 413,000 | 383,745 | |
Glencore Funding LLC(a) | ||||
09/01/2030 | 2.500% | 2,040,000 | 1,670,371 | |
09/23/2031 | 2.625% | 1,818,000 | 1,462,739 | |
05/08/2033 | 5.700% | 2,089,000 | 2,072,335 | |
Kaiser Aluminum Corp.(a) | ||||
03/01/2028 | 4.625% | 545,000 | 477,509 | |
Nucor Corp. | ||||
12/15/2055 | 2.979% | 341,000 | 218,349 | |
Steel Dynamics, Inc. | ||||
10/15/2027 | 1.650% | 212,000 | 181,087 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
United States Steel Corp. | ||||
03/01/2029 | 6.875% | 490,000 | 484,698 | |
Vale Overseas Ltd. | ||||
07/08/2030 | 3.750% | 640,000 | 564,157 | |
Total | 28,169,718 | |||
Midstream 1.1% | ||||
AmeriGas Partners LP/Finance Corp. | ||||
08/20/2026 | 5.875% | 1,115,000 | 1,052,233 | |
Antero Midstream Partners LP/Finance Corp.(a) | ||||
05/15/2026 | 7.875% | 1,145,000 | 1,163,951 | |
06/15/2029 | 5.375% | 450,000 | 417,878 | |
Blue Racer Midstream LLC/Finance Corp.(a) | ||||
07/15/2026 | 6.625% | 475,000 | 469,838 | |
Buckeye Partners LP | ||||
12/01/2027 | 4.125% | 560,000 | 509,386 | |
11/15/2043 | 5.850% | 770,000 | 579,482 | |
Cameron LNG LLC(a) | ||||
01/15/2039 | 3.701% | 302,000 | 249,046 | |
Cheniere Energy Partners LP | ||||
10/01/2029 | 4.500% | 1,060,000 | 973,462 | |
01/31/2032 | 3.250% | 1,855,000 | 1,530,464 | |
Crestwood Midstream Partners LP/Finance Corp. | ||||
04/01/2025 | 5.750% | 630,000 | 620,825 | |
Crestwood Midstream Partners LP/Finance Corp.(a) | ||||
02/01/2029 | 6.000% | 200,000 | 186,703 | |
04/01/2029 | 8.000% | 774,000 | 784,945 | |
DT Midstream, Inc.(a) | ||||
06/15/2029 | 4.125% | 1,685,000 | 1,479,149 | |
Enable Midstream Partners LP | ||||
03/15/2027 | 4.400% | 407,000 | 389,641 | |
05/15/2028 | 4.950% | 3,040,000 | 2,946,057 | |
Energy Transfer LP | ||||
02/15/2033 | 5.750% | 3,343,000 | 3,364,229 | |
Energy Transfer Operating LP | ||||
04/15/2047 | 5.300% | 2,377,000 | 2,071,184 | |
05/15/2050 | 5.000% | 506,000 | 427,559 | |
Energy Transfer Partners LP | ||||
06/01/2041 | 6.050% | 877,000 | 846,202 | |
12/15/2045 | 6.125% | 735,000 | 700,113 | |
EnLink Midstream LLC(a) | ||||
01/15/2028 | 5.625% | 555,000 | 538,055 | |
EnLink Midstream Partners LP | ||||
06/01/2025 | 4.150% | 386,000 | 374,434 | |
Enterprise Products Operating LLC | ||||
02/15/2043 | 4.450% | 305,000 | 268,845 | |
02/15/2053 | 3.300% | 390,000 | 279,189 |
32 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
EQM Midstream Partners LP | ||||
08/01/2024 | 4.000% | 260,000 | 254,801 | |
07/15/2028 | 5.500% | 1,200,000 | 1,134,109 | |
EQM Midstream Partners LP(a) | ||||
01/15/2029 | 4.500% | 1,335,000 | 1,191,366 | |
01/15/2031 | 4.750% | 895,000 | 783,555 | |
Flex Intermediate Holdco LLC(a) | ||||
06/30/2031 | 3.363% | 969,000 | 767,856 | |
12/30/2039 | 4.317% | 260,000 | 186,687 | |
Galaxy Pipeline Assets Bidco Ltd.(a) | ||||
09/30/2027 | 1.750% | 1,485,727 | 1,371,240 | |
03/31/2034 | 2.160% | 1,745,813 | 1,484,462 | |
03/31/2036 | 2.625% | 1,270,000 | 1,026,124 | |
09/30/2040 | 2.940% | 1,898,750 | 1,527,033 | |
Genesis Energy LP/Finance Corp. | ||||
01/15/2027 | 8.000% | 895,000 | 872,599 | |
Gray Oak Pipeline LLC(a) | ||||
09/15/2023 | 2.000% | 222,000 | 220,214 | |
10/15/2025 | 2.600% | 790,000 | 725,302 | |
Hess Midstream Operations LP(a) | ||||
02/15/2026 | 5.625% | 1,230,000 | 1,209,665 | |
Holly Energy Partners LP/Finance Corp.(a) | ||||
04/15/2027 | 6.375% | 875,000 | 866,896 | |
Kinder Morgan Energy Partners LP | ||||
03/01/2043 | 5.000% | 710,000 | 612,185 | |
Kinder Morgan, Inc. | ||||
08/01/2050 | 3.250% | 1,164,000 | 749,935 | |
Kinetik Holdings LP(a) | ||||
06/15/2030 | 5.875% | 630,000 | 599,119 | |
MPLX LP | ||||
03/01/2033 | 5.000% | 2,763,000 | 2,650,227 | |
03/14/2052 | 4.950% | 1,914,000 | 1,626,308 | |
NGL Energy Operating LLC/Finance Corp.(a) | ||||
02/01/2026 | 7.500% | 625,000 | 615,568 | |
NuStar Logistics LP | ||||
06/01/2026 | 6.000% | 900,000 | 877,917 | |
04/28/2027 | 5.625% | 600,000 | 576,757 | |
Plains All American Pipeline LP/Finance Corp. | ||||
10/15/2023 | 3.850% | 385,000 | 382,545 | |
Sabine Pass Liquefaction LLC | ||||
03/15/2027 | 5.000% | 2,210,000 | 2,175,952 | |
05/15/2030 | 4.500% | 200,000 | 190,243 | |
Southern Natural Gas Co. LLC | ||||
03/01/2032 | 8.000% | 360,000 | 412,699 | |
Sunoco Logistics Partners Operations LP | ||||
02/15/2040 | 6.850% | 652,000 | 662,721 | |
10/01/2047 | 5.400% | 698,000 | 617,307 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Sunoco LP/Finance Corp. | ||||
04/15/2027 | 6.000% | 615,000 | 607,216 | |
05/15/2029 | 4.500% | 405,000 | 359,478 | |
Superior Plus LP/General Partner, Inc.(a) | ||||
03/15/2029 | 4.500% | 550,000 | 482,828 | |
Tallgrass Energy Partners LP/Finance Corp.(a) | ||||
10/01/2025 | 7.500% | 580,000 | 581,927 | |
03/01/2027 | 6.000% | 371,000 | 350,624 | |
12/31/2030 | 6.000% | 535,000 | 471,488 | |
09/01/2031 | 6.000% | 615,000 | 529,539 | |
Targa Resources Corp. | ||||
07/01/2027 | 5.200% | 232,000 | 228,088 | |
TransCanada PipeLines Ltd. | ||||
10/15/2037 | 6.200% | 170,000 | 176,766 | |
Western Midstream Operating LP(j) | ||||
02/01/2030 | 4.050% | 1,055,000 | 949,618 | |
Total | 53,331,834 | |||
Natural Gas 0.1% | ||||
APT Pipelines Ltd.(a) | ||||
07/15/2027 | 4.250% | 194,000 | 184,909 | |
Atmos Energy Corp. | ||||
02/15/2052 | 2.850% | 510,000 | 343,876 | |
10/15/2052 | 5.750% | 185,000 | 196,740 | |
Brooklyn Union Gas Co. (The)(a) | ||||
03/15/2048 | 4.273% | 360,000 | 275,910 | |
CenterPoint Energy Resources Corp. | ||||
03/01/2033 | 5.400% | 1,470,000 | 1,496,434 | |
NiSource Finance Corp. | ||||
02/01/2042 | 5.800% | 381,000 | 366,911 | |
NiSource, Inc. | ||||
09/01/2029 | 2.950% | 257,000 | 225,139 | |
02/15/2031 | 1.700% | 307,000 | 240,525 | |
ONE Gas, Inc. | ||||
05/15/2030 | 2.000% | 372,000 | 308,381 | |
Southern California Gas Co. | ||||
02/01/2030 | 2.550% | 374,000 | 321,964 | |
Southern Co. Gas Capital Corp. | ||||
10/01/2023 | 2.450% | 201,000 | 199,323 | |
06/15/2026 | 3.250% | 169,000 | 159,360 | |
10/01/2046 | 3.950% | 247,000 | 190,608 | |
09/30/2051 | 3.150% | 750,000 | 505,931 | |
Total | 5,016,011 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 | 33 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Office REIT 0.0% | ||||
Alexandria Real Estate Equities, Inc. | ||||
04/15/2026 | 3.800% | 122,000 | 116,799 | |
12/15/2030 | 4.900% | 341,000 | 330,085 | |
02/01/2033 | 1.875% | 225,000 | 164,656 | |
02/01/2050 | 4.000% | 225,000 | 168,054 | |
04/15/2053 | 5.150% | 85,000 | 76,438 | |
Boston Properties LP | ||||
01/15/2034 | 6.500% | 183,000 | 184,183 | |
Corporate Office Properties LP | ||||
04/15/2031 | 2.750% | 550,000 | 418,269 | |
Total | 1,458,484 | |||
Oil Field Services 0.1% | ||||
Baker Hughes, Inc. | ||||
09/15/2040 | 5.125% | 300,000 | 291,062 | |
Guara Norte Sarl(a) | ||||
06/15/2034 | 5.198% | 884,260 | 770,821 | |
Halliburton Co. | ||||
11/15/2035 | 4.850% | 169,000 | 159,158 | |
08/01/2043 | 4.750% | 260,000 | 227,884 | |
MV24 Capital BV(a) | ||||
06/01/2034 | 6.748% | 504,354 | 453,715 | |
Nabors Industries, Inc.(a) | ||||
05/15/2027 | 7.375% | 495,000 | 470,841 | |
National Oilwell Varco, Inc. | ||||
12/01/2029 | 3.600% | 1,000,000 | 891,740 | |
Oceaneering International, Inc. | ||||
11/15/2024 | 4.650% | 850,000 | 829,848 | |
Precision Drilling Corp.(a) | ||||
01/15/2026 | 7.125% | 729,000 | 724,046 | |
Schlumberger Holdings Corp.(a) | ||||
05/17/2028 | 3.900% | 351,000 | 330,665 | |
Venture Global LNG, Inc.(a) | ||||
06/01/2028 | 8.125% | 1,635,000 | 1,662,890 | |
Total | 6,812,670 | |||
Other Financial Institutions 0.1% | ||||
Icahn Enterprises LP/Finance Corp. | ||||
05/15/2027 | 5.250% | 1,115,000 | 961,422 | |
Kennedy-Wilson, Inc. | ||||
03/01/2029 | 4.750% | 1,430,000 | 1,130,131 | |
Nationstar Mortgage Holdings, Inc.(a) | ||||
01/15/2027 | 6.000% | 1,210,000 | 1,125,810 | |
Total | 3,217,363 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Other Industry 0.1% | ||||
Dycom Industries, Inc.(a) | ||||
04/15/2029 | 4.500% | 815,000 | 740,222 | |
Global Infrastructure Solutions, Inc.(a) | ||||
06/01/2029 | 5.625% | 1,060,000 | 865,160 | |
Hillenbrand, Inc. | ||||
03/01/2031 | 3.750% | 390,000 | 330,621 | |
MasTec, Inc.(a) | ||||
08/15/2028 | 4.500% | 710,000 | 655,866 | |
Pepperdine University | ||||
12/01/2059 | 3.301% | 560,000 | 392,325 | |
President and Fellows of Harvard College | ||||
10/15/2050 | 2.517% | 673,000 | 453,869 | |
Quanta Services, Inc. | ||||
10/01/2024 | 0.950% | 1,640,000 | 1,541,357 | |
Trustees of the University of Pennsylvania (The) | ||||
02/15/2119 | 3.610% | 815,000 | 569,749 | |
University of Miami | ||||
04/01/2052 | 4.063% | 320,000 | 272,591 | |
University of Southern California | ||||
10/01/2120 | 3.226% | 690,000 | 429,134 | |
Total | 6,250,894 | |||
Other REIT 0.2% | ||||
Arbor Realty Trust, Inc.(a) | ||||
09/01/2026 | 4.500% | 6,000,000 | 5,296,307 | |
Goodman Australia Industrial Fund Bond Issuer Pty Ltd.(a) | ||||
09/30/2026 | 3.400% | 314,000 | 291,957 | |
Life Storage LP | ||||
06/15/2029 | 4.000% | 280,000 | 253,423 | |
Prologis LP | ||||
06/30/2026 | 3.250% | 203,000 | 192,408 | |
04/15/2030 | 2.250% | 280,000 | 237,929 | |
04/15/2050 | 3.000% | 546,000 | 371,438 | |
Public Storage | ||||
11/09/2026 | 1.500% | 507,000 | 454,217 | |
RHP Hotel Properties LP/Finance Corp. | ||||
10/15/2027 | 4.750% | 1,425,000 | 1,325,660 | |
Sun Communities Operating LP | ||||
04/15/2032 | 4.200% | 1,584,000 | 1,384,842 | |
Trust F/1401(a) | ||||
01/15/2050 | 6.390% | 1,041,000 | 823,316 | |
WP Carey, Inc. | ||||
10/01/2026 | 4.250% | 345,000 | 330,778 | |
04/01/2033 | 2.250% | 436,000 | 328,367 | |
Total | 11,290,642 |
34 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Other Utility 0.0% | ||||
American Water Capital Corp. | ||||
10/15/2037 | 6.593% | 300,000 | 338,407 | |
12/01/2046 | 4.000% | 431,000 | 347,591 | |
05/01/2050 | 3.450% | 408,000 | 305,132 | |
Entergy Texas Restoration Funding II LLC | ||||
12/15/2035 | 3.697% | 585,000 | 535,937 | |
Total | 1,527,067 | |||
Packaging 0.2% | ||||
Ardagh Packaging Finance PLC/Holdings USA, Inc.(a) | ||||
08/15/2026 | 4.125% | 1,465,000 | 1,365,137 | |
Crown Cork & Seal Co., Inc. | ||||
12/15/2026 | 7.375% | 730,000 | 757,520 | |
LABL Escrow Issuer LLC(a) | ||||
07/15/2026 | 6.750% | 910,000 | 894,962 | |
Mauser Packaging Solutions Holding Co.(a) | ||||
08/15/2026 | 7.875% | 645,000 | 639,775 | |
Owens-Brockway Glass Container, Inc.(a) | ||||
05/13/2027 | 6.625% | 1,175,000 | 1,168,184 | |
Reynolds Group Issuer, Inc./LLC(a) | ||||
10/15/2027 | 4.000% | 1,175,000 | 1,048,011 | |
Sealed Air Corp.(a) | ||||
12/01/2027 | 4.000% | 780,000 | 711,968 | |
Trivium Packaging Finance BV(a) | ||||
08/15/2026 | 5.500% | 780,000 | 748,729 | |
Total | 7,334,286 | |||
Paper 0.0% | ||||
Graphic Packaging International LLC(a) | ||||
04/15/2026 | 1.512% | 462,000 | 412,369 | |
Packaging Corp. of America | ||||
12/15/2049 | 4.050% | 268,000 | 213,133 | |
Total | 625,502 | |||
Pharmaceuticals 1.5% | ||||
AbbVie, Inc. | ||||
03/15/2035 | 4.550% | 1,717,000 | 1,634,519 | |
05/14/2036 | 4.300% | 597,000 | 548,940 | |
11/21/2039 | 4.050% | 5,534,000 | 4,816,614 | |
11/06/2042 | 4.400% | 280,000 | 250,683 | |
05/14/2046 | 4.450% | 813,000 | 716,178 | |
11/21/2049 | 4.250% | 4,683,000 | 4,035,188 | |
Amgen, Inc. | ||||
03/02/2025 | 5.250% | 4,584,000 | 4,561,393 | |
03/02/2028 | 5.150% | 2,753,000 | 2,749,269 | |
03/02/2033 | 5.250% | 1,430,000 | 1,431,442 | |
03/02/2053 | 5.650% | 5,204,000 | 5,275,822 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Astrazeneca Finance LLC | ||||
03/03/2028 | 4.875% | 2,013,000 | 2,012,149 | |
03/03/2030 | 4.900% | 3,490,000 | 3,494,984 | |
AstraZeneca PLC | ||||
09/15/2037 | 6.450% | 290,000 | 333,024 | |
09/18/2042 | 4.000% | 341,000 | 303,805 | |
Bausch Health Companies, Inc.(a) | ||||
04/01/2026 | 9.250% | 2,070,000 | 1,743,876 | |
08/15/2027 | 5.750% | 990,000 | 605,564 | |
06/01/2028 | 4.875% | 2,530,000 | 1,506,361 | |
02/15/2029 | 5.000% | 3,020,000 | 1,242,826 | |
Bristol Myers Squibb Co. | ||||
06/15/2039 | 4.125% | 162,000 | 147,773 | |
02/20/2048 | 4.550% | 106,000 | 98,822 | |
03/15/2052 | 3.700% | 730,000 | 592,299 | |
Eli Lilly & Co. | ||||
02/27/2033 | 4.700% | 1,372,000 | 1,388,971 | |
02/27/2053 | 4.875% | 1,376,000 | 1,413,612 | |
02/27/2063 | 4.950% | 782,000 | 797,632 | |
Emergent BioSolutions, Inc.(a) | ||||
08/15/2028 | 3.875% | 270,000 | 155,716 | |
Gilead Sciences, Inc. | ||||
10/01/2030 | 1.650% | 826,000 | 674,487 | |
09/01/2035 | 4.600% | 1,042,000 | 1,005,785 | |
09/01/2036 | 4.000% | 735,000 | 663,225 | |
10/01/2040 | 2.600% | 1,933,000 | 1,400,159 | |
03/01/2047 | 4.150% | 341,000 | 296,094 | |
Grifols Escrow Issuer SA(a) | ||||
10/15/2028 | 4.750% | 825,000 | 716,056 | |
Jazz Securities DAC(a) | ||||
01/15/2029 | 4.375% | 1,250,000 | 1,115,771 | |
Merck & Co., Inc. | ||||
05/17/2033 | 4.500% | 464,000 | 460,503 | |
12/10/2051 | 2.750% | 930,000 | 641,801 | |
05/17/2053 | 5.000% | 1,280,000 | 1,296,007 | |
05/17/2063 | 5.150% | 967,000 | 987,029 | |
Organon Finance 1 LLC(a) | ||||
04/30/2028 | 4.125% | 650,000 | 577,168 | |
04/30/2031 | 5.125% | 1,030,000 | 849,606 | |
Par Pharmaceutical, Inc.(a),(k) | ||||
04/01/2027 | 0.000% | 785,000 | 584,595 | |
Pfizer Investment Enterprises Pte., Ltd. | ||||
05/19/2033 | 4.750% | 7,225,000 | 7,200,787 | |
05/19/2053 | 5.300% | 3,779,000 | 3,934,847 | |
05/19/2063 | 5.340% | 2,166,000 | 2,192,023 | |
Regeneron Pharmaceuticals, Inc. | ||||
09/15/2030 | 1.750% | 528,000 | 420,836 | |
Roche Holdings, Inc.(a) | ||||
12/13/2031 | 2.076% | 903,000 | 745,102 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 | 35 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Shire Acquisitions Investments Ireland DAC | ||||
09/23/2023 | 2.875% | 760,000 | 754,625 | |
09/23/2026 | 3.200% | 505,000 | 473,981 | |
Takeda Pharmaceutical Co., Ltd. | ||||
11/26/2023 | 4.400% | 586,000 | 582,573 | |
11/26/2028 | 5.000% | 341,000 | 339,106 | |
07/09/2040 | 3.025% | 855,000 | 645,405 | |
07/09/2050 | 3.175% | 276,000 | 194,172 | |
Zoetis, Inc. | ||||
05/15/2030 | 2.000% | 303,000 | 252,888 | |
11/16/2032 | 5.600% | 1,385,000 | 1,447,769 | |
Total | 72,309,862 | |||
Property & Casualty 0.0% | ||||
Berkshire Hathaway Finance Corp. | ||||
01/15/2051 | 2.500% | 1,500,000 | 984,254 | |
Cincinnati Financial Corp. | ||||
11/01/2034 | 6.125% | 341,000 | 358,802 | |
CNA Financial Corp. | ||||
08/15/2027 | 3.450% | 170,000 | 158,053 | |
Travelers Property Casualty Corp. | ||||
04/15/2026 | 7.750% | 206,000 | 219,356 | |
Total | 1,720,465 | |||
Railroads 0.2% | ||||
Burlington Northern Santa Fe LLC | ||||
08/15/2030 | 7.950% | 170,000 | 198,468 | |
05/01/2040 | 5.750% | 269,000 | 284,646 | |
02/15/2050 | 3.550% | 147,000 | 116,639 | |
02/15/2051 | 3.050% | 785,000 | 557,374 | |
01/15/2053 | 4.450% | 367,000 | 336,382 | |
04/15/2054 | 5.200% | 1,900,000 | 1,938,653 | |
Canadian Pacific Railway Co. | ||||
12/02/2024 | 1.350% | 2,045,000 | 1,922,493 | |
12/02/2026 | 1.750% | 395,000 | 355,153 | |
05/01/2048 | 4.700% | 494,000 | 448,569 | |
Union Pacific Corp. | ||||
05/20/2031 | 2.375% | 875,000 | 740,241 | |
02/14/2032 | 2.800% | 1,187,000 | 1,024,167 | |
02/14/2042 | 3.375% | 988,000 | 790,614 | |
05/15/2053 | 4.950% | 415,000 | 413,324 | |
09/15/2067 | 4.100% | 200,000 | 165,703 | |
Total | 9,292,426 | |||
Refining 0.0% | ||||
HF Sinclair Corp. | ||||
10/01/2023 | 2.625% | 498,000 | 493,204 | |
04/01/2026 | 5.875% | 618,000 | 620,388 | |
Phillips 66 | ||||
11/15/2044 | 4.875% | 40,000 | 36,864 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Phillips 66 Co. | ||||
10/01/2026 | 3.550% | 171,000 | 160,520 | |
12/15/2029 | 3.150% | 263,000 | 229,566 | |
Valero Energy Corp. | ||||
09/15/2027 | 2.150% | 341,000 | 302,368 | |
04/15/2032 | 7.500% | 181,000 | 204,503 | |
Total | 2,047,413 | |||
Restaurants 0.1% | ||||
1011778 BC ULC/New Red Finance, Inc.(a) | ||||
01/15/2028 | 3.875% | 1,385,000 | 1,266,317 | |
10/15/2030 | 4.000% | 190,000 | 163,511 | |
Yum! Brands, Inc. | ||||
01/31/2032 | 4.625% | 1,215,000 | 1,102,602 | |
Total | 2,532,430 | |||
Retail REIT 0.4% | ||||
Agree LP | ||||
06/15/2028 | 2.000% | 1,721,000 | 1,433,512 | |
10/01/2032 | 4.800% | 863,000 | 802,301 | |
06/15/2033 | 2.600% | 392,000 | 301,857 | |
Brixmor Operating Partnership LP | ||||
02/01/2025 | 3.850% | 341,000 | 326,910 | |
04/01/2028 | 2.250% | 303,000 | 255,408 | |
08/16/2031 | 2.500% | 1,515,000 | 1,179,716 | |
DDR Corp. | ||||
02/01/2025 | 3.625% | 164,000 | 154,360 | |
06/01/2027 | 4.700% | 200,000 | 184,104 | |
Federal Realty Investment Trust | ||||
01/15/2024 | 3.950% | 1,096,000 | 1,081,455 | |
National Retail Properties, Inc. | ||||
11/15/2025 | 4.000% | 248,000 | 236,068 | |
12/15/2026 | 3.600% | 211,000 | 196,273 | |
Realty Income Corp. | ||||
07/15/2024 | 3.875% | 219,000 | 214,188 | |
04/15/2025 | 3.875% | 255,000 | 246,963 | |
06/15/2028 | 2.200% | 849,000 | 734,300 | |
03/15/2030 | 4.850% | 1,100,000 | 1,065,886 | |
01/15/2031 | 3.250% | 300,000 | 262,325 | |
10/13/2032 | 5.625% | 1,603,000 | 1,625,218 | |
12/15/2032 | 2.850% | 1,147,000 | 934,964 | |
07/15/2033 | 4.900% | 1,530,000 | 1,465,186 | |
Regency Centers LP | ||||
09/15/2029 | 2.950% | 2,393,000 | 2,052,121 | |
Scentre Group Trust 1/Trust 2(a) | ||||
02/12/2025 | 3.500% | 355,000 | 340,286 | |
Scentre Group Trust 2(a),(j) | ||||
09/24/2080 | 4.750% | 339,000 | 304,617 |
36 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
STORE Capital Corp. | ||||
03/15/2028 | 4.500% | 907,000 | 794,264 | |
03/15/2029 | 4.625% | 1,011,000 | 851,226 | |
11/18/2030 | 2.750% | 1,401,000 | 1,010,303 | |
12/01/2031 | 2.700% | 551,000 | 380,422 | |
Total | 18,434,233 | |||
Retailers 0.6% | ||||
7-Eleven, Inc.(a) | ||||
02/10/2031 | 1.800% | 210,000 | 165,622 | |
02/10/2041 | 2.500% | 619,000 | 413,761 | |
Alimentation Couche-Tard, Inc.(a) | ||||
01/25/2050 | 3.800% | 433,000 | 314,041 | |
Amazon.com, Inc. | ||||
08/22/2037 | 3.875% | 550,000 | 502,249 | |
05/12/2051 | 3.100% | 725,000 | 540,253 | |
04/13/2052 | 3.950% | 2,305,000 | 2,004,352 | |
Asbury Automotive Group, Inc. | ||||
03/01/2028 | 4.500% | 875,000 | 806,051 | |
Gap Inc. (The)(a) | ||||
10/01/2029 | 3.625% | 1,215,000 | 860,054 | |
Group 1 Automotive, Inc.(a) | ||||
08/15/2028 | 4.000% | 1,250,000 | 1,099,045 | |
Home Depot, Inc. (The) | ||||
09/15/2031 | 1.875% | 620,000 | 504,345 | |
09/15/2052 | 4.950% | 661,000 | 656,096 | |
L Brands, Inc. | ||||
06/15/2029 | 7.500% | 2,010,000 | 2,037,685 | |
Lithia Motors, Inc.(a) | ||||
12/15/2027 | 4.625% | 855,000 | 798,202 | |
Lowe’s Companies, Inc. | ||||
10/15/2030 | 1.700% | 450,000 | 360,726 | |
07/01/2033 | 5.150% | 2,532,000 | 2,526,901 | |
04/01/2052 | 4.250% | 1,731,000 | 1,412,421 | |
04/15/2053 | 5.625% | 3,677,000 | 3,671,420 | |
07/01/2053 | 5.750% | 921,000 | 935,962 | |
04/01/2063 | 5.850% | 460,000 | 458,640 | |
Nordstrom, Inc. | ||||
04/08/2024 | 2.300% | 170,000 | 164,299 | |
04/01/2030 | 4.375% | 600,000 | 495,946 | |
08/01/2031 | 4.250% | 877,000 | 683,285 | |
O’Reilly Automotive, Inc. | ||||
03/15/2026 | 3.550% | 164,000 | 157,214 | |
09/01/2027 | 3.600% | 432,000 | 408,909 | |
Penske Automotive Group, Inc. | ||||
06/15/2029 | 3.750% | 903,000 | 779,805 | |
PetSmart, Inc./Finance Corp.(a) | ||||
02/15/2028 | 4.750% | 2,030,000 | 1,879,918 | |
Rite Aid Corp.(a) | ||||
11/15/2026 | 8.000% | 1,250,000 | 611,231 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Sonic Automotive, Inc.(a) | ||||
11/15/2029 | 4.625% | 380,000 | 320,122 | |
Target Corp. | ||||
01/15/2053 | 4.800% | 979,000 | 936,444 | |
Walmart, Inc. | ||||
04/15/2033 | 4.100% | 2,303,000 | 2,236,092 | |
04/15/2053 | 4.500% | 1,872,000 | 1,825,481 | |
William Carter Co. (The)(a) | ||||
03/15/2027 | 5.625% | 405,000 | 395,346 | |
Total | 30,961,918 | |||
Stranded Utility 0.0% | ||||
PG&E Recovery Funding LLC | ||||
07/15/2047 | 5.536% | 825,000 | 855,413 | |
PG&E Wildfire Recovery Funding LLC | ||||
06/01/2036 | 4.263% | 165,000 | 157,525 | |
12/01/2047 | 5.212% | 270,000 | 269,334 | |
06/01/2052 | 5.099% | 510,000 | 516,688 | |
SCE Recovery Funding LLC | ||||
06/15/2040 | 4.697% | 125,000 | 121,951 | |
Sigeco Securitization I LLC | ||||
11/15/2036 | 5.026% | 121,000 | 119,884 | |
05/15/2041 | 5.172% | 112,000 | 108,919 | |
Total | 2,149,714 | |||
Supermarkets 0.1% | ||||
Albertsons Companies, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(a) | ||||
01/15/2027 | 4.625% | 3,715,000 | 3,522,760 | |
Kroger Co. (The) | ||||
05/01/2030 | 2.200% | 682,000 | 564,434 | |
02/01/2047 | 4.450% | 240,000 | 209,472 | |
Total | 4,296,666 | |||
Technology 2.1% | ||||
Amkor Technology, Inc.(a) | ||||
09/15/2027 | 6.625% | 630,000 | 630,680 | |
ams AG(a) | ||||
07/31/2025 | 7.000% | 1,010,000 | 890,144 | |
Apple, Inc. | ||||
05/10/2028 | 4.000% | 2,750,000 | 2,703,352 | |
05/10/2030 | 4.150% | 1,376,000 | 1,354,471 | |
02/08/2041 | 2.375% | 669,000 | 493,527 | |
08/04/2046 | 3.850% | 229,000 | 201,237 | |
11/13/2047 | 3.750% | 169,000 | 146,264 | |
02/08/2051 | 2.650% | 563,000 | 388,763 | |
08/08/2052 | 3.950% | 1,291,000 | 1,137,248 | |
05/10/2053 | 4.850% | 2,493,000 | 2,554,051 | |
08/05/2061 | 2.850% | 3,630,000 | 2,469,932 | |
Arrow Electronics, Inc. | ||||
01/12/2028 | 3.875% | 376,000 | 348,123 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 | 37 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Black Knight InfoServ LLC(a) | ||||
09/01/2028 | 3.625% | 925,000 | 830,893 | |
Block, Inc. | ||||
06/01/2026 | 2.750% | 545,000 | 496,250 | |
06/01/2031 | 3.500% | 910,000 | 754,736 | |
Broadcom, Inc. | ||||
11/15/2025 | 3.150% | 1,078,000 | 1,024,422 | |
Broadcom, Inc.(a) | ||||
02/15/2031 | 2.450% | 1,439,000 | 1,168,883 | |
04/15/2033 | 3.419% | 1,182,000 | 989,552 | |
04/15/2034 | 3.469% | 923,000 | 756,514 | |
05/15/2037 | 4.926% | 1,314,000 | 1,186,427 | |
Clarivate Science Holdings Corp.(a) | ||||
07/01/2028 | 3.875% | 960,000 | 848,884 | |
CommScope Finance LLC(a) | ||||
03/01/2026 | 6.000% | 1,875,000 | 1,754,583 | |
CommScope Technologies LLC(a) | ||||
03/15/2027 | 5.000% | 1,155,000 | 806,054 | |
Dell International LLC/EMC Corp. | ||||
06/15/2026 | 6.020% | 461,000 | 467,617 | |
02/01/2028 | 5.250% | 691,000 | 689,615 | |
10/01/2029 | 5.300% | 600,000 | 595,268 | |
Entegris, Inc.(a) | ||||
04/15/2028 | 4.375% | 1,040,000 | 951,337 | |
05/01/2029 | 3.625% | 320,000 | 275,769 | |
Equinix, Inc. | ||||
11/18/2026 | 2.900% | 469,000 | 430,281 | |
Fiserv, Inc. | ||||
07/01/2026 | 3.200% | 360,000 | 337,796 | |
03/02/2033 | 5.600% | 470,000 | 478,822 | |
07/01/2049 | 4.400% | 345,000 | 290,221 | |
Gartner, Inc.(a) | ||||
07/01/2028 | 4.500% | 710,000 | 665,545 | |
06/15/2029 | 3.625% | 845,000 | 745,166 | |
Global Payments, Inc. | ||||
05/15/2030 | 2.900% | 1,850,000 | 1,567,885 | |
11/15/2031 | 2.900% | 1,415,000 | 1,153,061 | |
Imola Merger Corp.(a) | ||||
05/15/2029 | 4.750% | 1,740,000 | 1,517,338 | |
Intel Corp. | ||||
02/10/2033 | 5.200% | 500,000 | 504,659 | |
08/12/2041 | 2.800% | 788,000 | 561,903 | |
02/10/2043 | 5.625% | 1,318,000 | 1,339,424 | |
02/10/2053 | 5.700% | 1,169,000 | 1,190,794 | |
02/15/2060 | 3.100% | 239,000 | 152,973 | |
02/10/2063 | 5.900% | 1,963,000 | 2,024,450 | |
Iron Mountain, Inc.(a) | ||||
09/15/2027 | 4.875% | 1,050,000 | 991,299 | |
07/15/2030 | 5.250% | 340,000 | 306,365 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
KLA Corp. | ||||
03/01/2050 | 3.300% | 903,000 | 679,887 | |
Leidos, Inc. | ||||
02/15/2031 | 2.300% | 194,000 | 152,933 | |
Microchip Technology, Inc. | ||||
02/15/2024 | 0.972% | 506,000 | 489,808 | |
Micron Technology, Inc. | ||||
04/15/2028 | 5.375% | 4,607,000 | 4,564,078 | |
02/09/2033 | 5.875% | 541,000 | 539,152 | |
11/01/2051 | 3.477% | 450,000 | 299,852 | |
Microsoft Corp. | ||||
03/17/2052 | 2.921% | 462,000 | 343,348 | |
03/17/2062 | 3.041% | 314,000 | 229,223 | |
MSCI, Inc.(a) | ||||
09/01/2030 | 3.625% | 380,000 | 328,820 | |
NCR Corp.(a) | ||||
10/01/2028 | 5.000% | 1,497,000 | 1,339,096 | |
09/01/2029 | 6.125% | 700,000 | 700,790 | |
NXP BV/Funding LLC/USA, Inc. | ||||
06/01/2027 | 4.400% | 996,000 | 962,535 | |
05/11/2031 | 2.500% | 1,916,000 | 1,561,701 | |
05/11/2041 | 3.250% | 902,000 | 655,401 | |
11/30/2051 | 3.250% | 400,000 | 267,752 | |
ON Semiconductor Corp.(a) | ||||
09/01/2028 | 3.875% | 1,275,000 | 1,160,166 | |
Oracle Corp. | ||||
03/25/2028 | 2.300% | 312,000 | 275,247 | |
02/06/2033 | 4.900% | 945,000 | 917,389 | |
07/08/2034 | 4.300% | 164,000 | 148,953 | |
05/15/2035 | 3.900% | 251,000 | 216,374 | |
07/15/2036 | 3.850% | 285,000 | 238,297 | |
11/15/2037 | 3.800% | 2,010,000 | 1,643,586 | |
04/01/2040 | 3.600% | 2,700,000 | 2,089,238 | |
07/15/2046 | 4.000% | 1,597,000 | 1,227,622 | |
11/09/2052 | 6.900% | 2,048,000 | 2,294,925 | |
02/06/2053 | 5.550% | 1,789,000 | 1,733,334 | |
05/15/2055 | 4.375% | 555,000 | 446,125 | |
Presidio Holdings, Inc.(a) | ||||
02/01/2027 | 4.875% | 1,225,000 | 1,149,770 | |
PTC, Inc.(a) | ||||
02/15/2028 | 4.000% | 880,000 | 815,336 | |
QUALCOMM, Inc. | ||||
05/20/2052 | 4.500% | 290,000 | 263,909 | |
05/20/2053 | 6.000% | 2,072,000 | 2,316,819 | |
Roper Technologies, Inc. | ||||
09/15/2027 | 1.400% | 569,000 | 490,557 | |
06/30/2030 | 2.000% | 242,000 | 198,104 | |
S&P Global, Inc. | ||||
03/01/2032 | 2.900% | 1,545,000 | 1,340,340 |
38 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Seagate HDD Cayman | ||||
07/15/2029 | 3.125% | 480,000 | 370,343 | |
01/15/2031 | 4.125% | 1,239,000 | 1,016,705 | |
Sensata Technologies BV(a) | ||||
04/15/2029 | 4.000% | 1,160,000 | 1,032,531 | |
SS&C Technologies, Inc.(a) | ||||
09/30/2027 | 5.500% | 1,020,000 | 976,398 | |
Synaptics, Inc.(a) | ||||
06/15/2029 | 4.000% | 905,000 | 765,786 | |
Texas Instruments, Inc. | ||||
03/14/2033 | 4.900% | 3,673,000 | 3,760,386 | |
03/14/2053 | 5.000% | 2,296,000 | 2,330,414 | |
05/18/2063 | 5.050% | 1,930,000 | 1,932,335 | |
TSMC Arizona Corp. | ||||
10/25/2031 | 2.500% | 2,260,000 | 1,892,670 | |
VMware, Inc. | ||||
08/15/2023 | 0.600% | 4,027,000 | 4,001,676 | |
08/15/2024 | 1.000% | 2,859,000 | 2,707,153 | |
08/15/2026 | 1.400% | 2,675,000 | 2,360,245 | |
05/15/2027 | 4.650% | 774,000 | 752,064 | |
05/15/2030 | 4.700% | 1,653,000 | 1,579,844 | |
Workday, Inc. | ||||
04/01/2029 | 3.700% | 986,000 | 914,806 | |
Total | 99,646,401 | |||
Tobacco 0.5% | ||||
BAT Capital Corp. | ||||
08/15/2037 | 4.390% | 5,553,000 | 4,437,376 | |
08/15/2047 | 4.540% | 425,000 | 313,601 | |
Philip Morris International, Inc. | ||||
11/17/2025 | 5.000% | 1,949,000 | 1,939,814 | |
02/13/2026 | 4.875% | 1,488,000 | 1,477,349 | |
11/17/2027 | 5.125% | 2,923,000 | 2,932,479 | |
02/15/2028 | 4.875% | 3,980,000 | 3,925,064 | |
02/15/2030 | 5.125% | 2,992,000 | 2,959,240 | |
11/17/2032 | 5.750% | 468,000 | 479,613 | |
02/15/2033 | 5.375% | 3,953,000 | 3,945,932 | |
11/15/2041 | 4.375% | 1,300,000 | 1,111,101 | |
Total | 23,521,569 | |||
Transportation Services 0.1% | ||||
Adani International Container Terminal Private Ltd.(a) | ||||
02/16/2031 | 3.000% | 777,750 | 609,535 | |
Avis Budget Car Rental LLC/Finance, Inc.(a) | ||||
07/15/2027 | 5.750% | 1,405,000 | 1,348,016 | |
ERAC U.S.A. Finance LLC(a) | ||||
02/15/2045 | 4.500% | 399,000 | 348,356 | |
Hertz Corp. (The)(a) | ||||
12/01/2026 | 4.625% | 860,000 | 776,351 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
JB Hunt Transport Services, Inc. | ||||
03/01/2026 | 3.875% | 169,000 | 163,264 | |
XPO, Inc.(a) | ||||
06/01/2028 | 6.250% | 325,000 | 320,738 | |
06/01/2031 | 7.125% | 325,000 | 327,676 | |
Total | 3,893,936 | |||
Wireless 0.9% | ||||
Altice France Holding SA(a) | ||||
02/15/2028 | 6.000% | 905,000 | 440,962 | |
Altice France SA(a) | ||||
07/15/2029 | 5.125% | 1,375,000 | 976,118 | |
America Movil SAB de CV | ||||
04/22/2029 | 3.625% | 795,000 | 728,302 | |
04/22/2049 | 4.375% | 662,000 | 576,614 | |
America Movil SAB de CV(a) | ||||
04/04/2032 | 5.375% | 404,000 | 365,323 | |
American Tower Corp. | ||||
01/15/2027 | 3.125% | 777,000 | 716,369 | |
03/15/2028 | 5.500% | 1,833,000 | 1,824,388 | |
07/15/2033 | 5.550% | 2,276,000 | 2,292,397 | |
01/15/2051 | 2.950% | 459,000 | 290,443 | |
Crown Castle International Corp. | ||||
07/15/2026 | 1.050% | 2,469,000 | 2,166,113 | |
03/15/2027 | 2.900% | 1,326,000 | 1,213,841 | |
02/15/2028 | 3.800% | 904,000 | 844,164 | |
04/01/2041 | 2.900% | 917,000 | 642,367 | |
Crown Castle, Inc. | ||||
01/11/2028 | 5.000% | 4,768,000 | 4,695,354 | |
09/01/2028 | 4.800% | 903,000 | 877,479 | |
Empresa Nacional de Telecomunicaciones SA(a) | ||||
09/14/2032 | 3.050% | 325,000 | 255,872 | |
SBA Communications Corp. | ||||
02/01/2029 | 3.125% | 1,260,000 | 1,068,324 | |
Sprint Capital Corp. | ||||
11/15/2028 | 6.875% | 387,000 | 410,357 | |
03/15/2032 | 8.750% | 1,030,000 | 1,244,918 | |
Sprint Corp. | ||||
03/01/2026 | 7.625% | 3,355,000 | 3,484,065 | |
T-Mobile US, Inc. | ||||
02/15/2026 | 2.250% | 1,928,000 | 1,775,921 | |
04/15/2027 | 3.750% | 2,937,000 | 2,782,334 | |
02/01/2028 | 4.750% | 2,415,000 | 2,347,433 | |
03/15/2028 | 4.950% | 1,831,000 | 1,803,485 | |
07/15/2028 | 4.800% | 1,833,000 | 1,799,181 | |
04/15/2029 | 3.375% | 3,545,000 | 3,187,481 | |
02/15/2031 | 2.550% | 1,380,000 | 1,147,003 | |
07/15/2033 | 5.050% | 2,291,000 | 2,249,535 | |
01/15/2053 | 5.650% | 2,805,000 | 2,847,590 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 | 39 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
T-Mobile USA, Inc. | ||||
02/15/2026 | 1.500% | 618,000 | 558,777 | |
Total | 45,612,510 | |||
Wirelines 0.6% | ||||
AT&T, Inc. | ||||
06/01/2027 | 2.300% | 951,000 | 855,755 | |
02/01/2028 | 1.650% | 107,000 | 92,053 | |
12/01/2033 | 2.550% | 2,980,000 | 2,332,130 | |
02/15/2034 | 5.400% | 5,186,000 | 5,198,939 | |
06/01/2041 | 3.500% | 882,000 | 677,639 | |
12/01/2057 | 3.800% | 2,485,000 | 1,797,466 | |
09/15/2059 | 3.650% | 864,000 | 601,021 | |
CenturyLink, Inc.(a) | ||||
12/15/2026 | 5.125% | 1,880,000 | 1,304,798 | |
02/15/2027 | 4.000% | 1,925,000 | 1,438,115 | |
Deutsche Telekom AG(a) | ||||
01/21/2050 | 3.625% | 392,000 | 296,611 | |
Frontier Communications Holdings LLC(a) | ||||
10/15/2027 | 5.875% | 1,380,000 | 1,261,194 | |
Level 3 Financing, Inc.(a) | ||||
09/15/2027 | 4.625% | 1,920,000 | 1,334,127 | |
Telecom Italia Capital SA | ||||
09/30/2034 | 6.000% | 1,225,000 | 987,205 | |
Verizon Communications, Inc. | ||||
03/22/2028 | 2.100% | 140,000 | 123,006 | |
02/08/2029 | 3.875% | 235,000 | 220,750 | |
01/20/2031 | 1.750% | 1,050,000 | 827,865 | |
03/21/2031 | 2.550% | 4,265,000 | 3,562,054 | |
03/15/2032 | 2.355% | 2,463,000 | 1,981,162 | |
05/09/2033 | 5.050% | 5,012,000 | 4,954,041 | |
11/20/2040 | 2.650% | 1,565,000 | 1,087,967 | |
Total | 30,933,898 | |||
Total Corporate Bonds & Notes (Cost $1,517,379,514) | 1,387,557,127 | |||
Foreign Government Obligations(l) 1.1% | ||||
Angola 0.0% | ||||
Angolan Government International Bond(a) | ||||
05/09/2028 | 8.250% | 500,000 | 443,789 | |
04/14/2032 | 8.750% | 678,000 | 571,913 | |
Total | 1,015,702 | |||
Australia 0.1% | ||||
Export Finance & Insurance Corp.(a) | ||||
10/26/2027 | 4.625% | 3,202,000 | 3,218,961 | |
Bahrain 0.0% | ||||
Bahrain Government International Bond(a) | ||||
09/16/2032 | 5.450% | 900,000 | 802,739 |
Foreign Government Obligations(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Bermuda 0.0% | ||||
Bermuda Government International Bond(a) | ||||
07/15/2032 | 5.000% | 1,111,000 | 1,090,793 | |
Canada 0.1% | ||||
NOVA Chemicals Corp.(a) | ||||
06/01/2027 | 5.250% | 530,000 | 472,314 | |
05/15/2029 | 4.250% | 360,000 | 293,721 | |
Ontario Teachers’ Cadillac Fairview Properties Trust(a) | ||||
03/20/2027 | 3.875% | 274,000 | 252,829 | |
Province of Saskatchewan | ||||
06/08/2027 | 3.250% | 1,251,000 | 1,188,954 | |
Total | 2,207,818 | |||
Chile 0.0% | ||||
Chile Government International Bond | ||||
01/27/2032 | 2.550% | 592,000 | 506,471 | |
Interchile SA(a) | ||||
06/30/2056 | 4.500% | 769,000 | 638,978 | |
Total | 1,145,449 | |||
Colombia 0.0% | ||||
Colombia Government International Bond | ||||
01/28/2026 | 4.500% | 300,000 | 285,526 | |
02/02/2034 | 7.500% | 235,000 | 230,544 | |
Ecopetrol SA | ||||
01/16/2025 | 4.125% | 300,000 | 288,147 | |
06/26/2026 | 5.375% | 580,000 | 554,102 | |
Total | 1,358,319 | |||
Costa Rica 0.0% | ||||
Costa Rica Government International Bond(a) | ||||
04/03/2034 | 6.550% | 630,000 | 632,430 | |
Dominican Republic 0.1% | ||||
Dominican Republic International Bond(a) | ||||
09/23/2032 | 4.875% | 1,000,000 | 852,090 | |
02/22/2033 | 6.000% | 725,000 | 668,646 | |
01/30/2060 | 5.875% | 1,500,000 | 1,160,552 | |
Total | 2,681,288 | |||
Hungary 0.0% | ||||
Hungary Government International Bond(a) | ||||
06/16/2034 | 5.500% | 260,000 | 252,884 | |
09/25/2052 | 6.750% | 200,000 | 206,491 | |
Total | 459,375 | |||
Indonesia 0.0% | ||||
Indonesia Government International Bond | ||||
01/11/2053 | 5.650% | 200,000 | 209,530 |
40 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Foreign Government Obligations(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Israel 0.1% | ||||
Israel Electric Corp., Ltd.(a) | ||||
02/22/2032 | 3.750% | 841,000 | 717,844 | |
Israel Government International Bond | ||||
01/17/2033 | 4.500% | 3,317,000 | 3,258,791 | |
Total | 3,976,635 | |||
Italy 0.0% | ||||
Republic of Italy Government International Bond | ||||
05/06/2051 | 3.875% | 323,000 | 234,082 | |
Ivory Coast 0.0% | ||||
Ivory Coast Government International Bond(a) | ||||
06/15/2033 | 6.125% | 1,200,000 | 1,049,502 | |
Kenya 0.0% | ||||
Republic of Kenya Government International Bond(a) | ||||
05/22/2032 | 8.000% | 500,000 | 422,593 | |
Mexico 0.2% | ||||
Banco Nacional de Comercio Exterior SNC(a),(j) | ||||
08/11/2031 | 2.720% | 520,000 | 436,102 | |
Comision Federal de Electricidad(a) | ||||
02/09/2031 | 3.348% | 600,000 | 472,477 | |
Mexico City Airport Trust(a) | ||||
07/31/2047 | 5.500% | 200,000 | 175,580 | |
Mexico Government International Bond | ||||
02/12/2034 | 3.500% | 3,877,000 | 3,249,544 | |
05/04/2053 | 6.338% | 2,427,000 | 2,477,845 | |
05/24/2061 | 3.771% | 671,000 | 456,763 | |
04/19/2071 | 3.750% | 1,955,000 | 1,307,852 | |
Petroleos Mexicanos | ||||
01/15/2025 | 4.250% | 1,000,000 | 944,605 | |
02/12/2028 | 5.350% | 1,100,000 | 902,268 | |
01/28/2031 | 5.950% | 720,000 | 525,875 | |
Total | 10,948,911 | |||
Morocco 0.0% | ||||
Morocco Government International Bond(a) | ||||
03/08/2028 | 5.950% | 209,000 | 211,125 | |
Netherlands 0.0% | ||||
Greenko Dutch BV(a) | ||||
03/29/2026 | 3.850% | 188,000 | 168,624 |
Foreign Government Obligations(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Nigeria 0.1% | ||||
Nigeria Government International Bond(a) | ||||
11/28/2027 | 6.500% | 1,200,000 | 1,044,678 | |
09/28/2028 | 6.125% | 540,000 | 449,636 | |
01/21/2031 | 8.747% | 500,000 | 448,336 | |
09/28/2033 | 7.375% | 442,000 | 348,164 | |
Total | 2,290,814 | |||
Norway 0.0% | ||||
Equinor ASA | ||||
09/23/2027 | 7.250% | 400,000 | 437,552 | |
Oman 0.0% | ||||
Oman Government International Bond(a) | ||||
01/17/2028 | 5.625% | 400,000 | 395,201 | |
10/28/2032 | 7.375% | 300,000 | 329,333 | |
Total | 724,534 | |||
Pakistan 0.0% | ||||
Pakistan Government International Bond(a) | ||||
04/08/2026 | 6.000% | 500,000 | 243,600 | |
Panama 0.0% | ||||
Panama Government International Bond | ||||
03/28/2054 | 6.853% | 1,141,000 | 1,191,665 | |
Paraguay 0.1% | ||||
Bioceanico Sovereign Certificate Ltd.(a),(m) | ||||
06/05/2034 | 0.000% | 356,230 | 249,370 | |
Paraguay Government International Bond(a),(g) | ||||
08/21/2033 | 5.850% | 2,086,000 | 2,086,472 | |
Paraguay Government International Bond(a) | ||||
03/13/2048 | 5.600% | 1,800,000 | 1,581,194 | |
03/30/2050 | 5.400% | 757,000 | 648,937 | |
Total | 4,565,973 | |||
Peru 0.0% | ||||
Fondo MIVIVIENDA SA(a) | ||||
04/12/2027 | 4.625% | 300,000 | 291,025 | |
Peruvian Government International Bond | ||||
11/18/2050 | 5.625% | 98,000 | 100,489 | |
Total | 391,514 | |||
Philippines 0.0% | ||||
Philippine Government International Bond | ||||
01/17/2048 | 5.500% | 200,000 | 207,733 | |
Poland 0.1% | ||||
Bank Gospodarstwa Krajowego(a) | ||||
05/22/2033 | 5.375% | 283,000 | 281,560 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 | 41 |
June 30, 2023 (Unaudited)
Foreign Government Obligations(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Republic of Poland Government International Bond | ||||
11/16/2032 | 5.750% | 203,000 | 213,005 | |
10/04/2033 | 4.875% | 348,000 | 341,781 | |
04/04/2053 | 5.500% | 1,338,000 | 1,350,348 | |
Total | 2,186,694 | |||
Romania 0.0% | ||||
Romanian Government International Bond(a) | ||||
02/14/2031 | 3.000% | 400,000 | 331,626 | |
Saudi Arabia 0.1% | ||||
Saudi Arabian Oil Co.(a) | ||||
11/24/2023 | 1.250% | 200,000 | 196,071 | |
11/24/2025 | 1.625% | 338,000 | 309,397 | |
Saudi Government International Bond(a) | ||||
02/02/2033 | 2.250% | 743,000 | 599,212 | |
01/18/2053 | 5.000% | 644,000 | 596,929 | |
Total | 1,701,609 | |||
Senegal 0.0% | ||||
Senegal Government International Bond(a) | ||||
05/23/2033 | 6.250% | 400,000 | 335,036 | |
03/13/2048 | 6.750% | 400,000 | 288,294 | |
Total | 623,330 | |||
Singapore 0.0% | ||||
BOC Aviation Ltd.(a) | ||||
10/10/2024 | 3.500% | 310,000 | 300,151 | |
South Africa 0.0% | ||||
Eskom Holdings SOC Ltd.(a) | ||||
08/06/2023 | 6.750% | 300,000 | 298,643 | |
Republic of South Africa Government International Bond | ||||
10/12/2028 | 4.300% | 1,100,000 | 971,476 | |
Total | 1,270,119 | |||
Turkey 0.0% | ||||
Turkiye Ihracat Kredi Bankasi AS(a) | ||||
01/31/2026 | 9.375% | 206,000 | 205,122 | |
United Arab Emirates 0.0% | ||||
MDGH GMTN RSC Ltd.(a) | ||||
11/22/2033 | 4.375% | 380,000 | 366,850 | |
United States 0.1% | ||||
Antares Holdings LP(a) | ||||
07/15/2027 | 3.750% | 2,095,000 | 1,749,654 |
Foreign Government Obligations(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Virgin Islands 0.0% | ||||
China Southern Power Grid International Finance BVI Co., Ltd.(a) | ||||
05/08/2027 | 3.500% | 720,000 | 687,468 | |
Total Foreign Government Obligations (Cost $56,164,664) | 51,309,884 | |||
Municipal Bonds 0.2% | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Airport 0.0% | ||||
City of Los Angeles Department of Airports | ||||
Revenue Bonds | ||||
Build America Bonds | ||||
Series 2009 | ||||
05/15/2039 | 6.582% | 390,000 | 432,066 | |
Higher Education 0.1% | ||||
Ohio State University (The) | ||||
Revenue Bonds | ||||
Taxable | ||||
Series 2011A | ||||
06/01/2111 | 4.800% | 2,014,000 | 1,848,611 | |
University of Texas System (The) | ||||
Refunding Revenue Bonds | ||||
Taxable | ||||
Series 2020B | ||||
08/15/2049 | 2.439% | 685,000 | 453,166 | |
Total | 2,301,777 | |||
Hospital 0.0% | ||||
Regents of the University of California Medical Center | ||||
Taxable Revenue Bonds | ||||
Series 2020N | ||||
05/15/2120 | 3.706% | 1,360,000 | 909,624 | |
Joint Power Authority 0.0% | ||||
American Municipal Power, Inc. | ||||
Revenue Bonds | ||||
Build America Bonds | ||||
Series 2010 | ||||
02/15/2050 | 7.499% | 1,265,000 | 1,572,693 | |
Municipal Power 0.0% | ||||
Texas Natural Gas Securitization Finance | ||||
Series 2023 | ||||
04/01/2041 | 5.169% | 140,000 | 144,082 |
42 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Ports 0.1% | ||||
Port Authority of New York & New Jersey | ||||
Revenue Bonds | ||||
Consolidated 174th | ||||
Series 2012 | ||||
10/01/2062 | 4.458% | 1,850,000 | 1,689,876 | |
Taxable Consolidated 160th | ||||
Series 2010 | ||||
11/01/2040 | 5.647% | 835,000 | 896,678 | |
Total | 2,586,554 | |||
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 | 439,828 | |
State General Obligation 0.0% | ||||
State of California | ||||
Unlimited General Obligation Bonds | ||||
Build America Bonds | ||||
Series 2009 | ||||
10/01/2039 | 7.300% | 295,000 | 356,205 | |
Turnpike / Bridge / Toll Road 0.0% | ||||
North Texas Tollway Authority | ||||
Revenue Bonds | ||||
Series 2009 (BAM) | ||||
01/01/2049 | 6.718% | 1,164,000 | 1,445,063 | |
Water & Sewer 0.0% | ||||
District of Columbia Water & Sewer Authority | ||||
Taxable Revenue Bonds | ||||
Senior Lien | ||||
Series 2014A | ||||
10/01/2114 | 4.814% | 411,000 | 381,236 | |
Total Municipal Bonds (Cost $11,565,602) | 10,569,128 | |||
Residential Mortgage-Backed Securities - Agency(n) 26.9% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Fannie Mae REMICS | ||||
10/01/2042- 12/01/2043 | 3.500% | 13,238,679 | 12,335,319 | |
CMO Series 2013-11 Class AP | ||||
01/25/2043 | 1.500% | 66,117 | 57,911 | |
CMO Series 2014-25 Class EL | ||||
05/25/2044 | 3.000% | 1,336,866 | 1,199,779 |
Residential Mortgage-Backed Securities - Agency(n) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2014-74 Class PC | ||||
06/25/2044 | 2.500% | 1,116,168 | 1,018,822 | |
CMO Series 2015-8 Class AP | ||||
03/25/2045 | 2.000% | 2,459,973 | 2,124,510 | |
CMO Series 2018-85 Class EA | ||||
12/25/2048 | 3.500% | 1,137,269 | 1,068,088 | |
CMO Series 2020-50 Class A | ||||
07/25/2050 | 2.000% | 3,541,670 | 2,927,139 | |
CMO Series 2021-27 Class EC | ||||
05/25/2051 | 1.500% | 4,103,691 | 3,248,050 | |
CMO Series 2022-11 Class A | ||||
07/25/2047 | 2.500% | 4,795,826 | 4,235,914 | |
CMO Series 2022-3 Class N | ||||
10/25/2047 | 2.000% | 5,589,573 | 4,800,705 | |
Fannie Mae REMICS(b) | ||||
CMO Series 2017-78 Class FC | ||||
1-month USD LIBOR + 0.350% Floor 0.350%, Cap 6.500% 10/25/2047 | 5.500% | 1,525,989 | 1,474,263 | |
CMO Series 2018-85 Class FE | ||||
1-month USD LIBOR + 0.300% Floor 0.300%, Cap 6.500% 12/25/2048 | 5.450% | 3,415,636 | 3,307,944 | |
CMO Series 2019-15 Class FA | ||||
1-month USD LIBOR + 0.500% Floor 0.500%, Cap 6.500% 04/25/2049 | 5.650% | 811,330 | 787,428 | |
CMO Series 2019-43 Class FC | ||||
1-month USD LIBOR + 0.400% Floor 0.400%, Cap 6.500% 08/25/2049 | 5.550% | 1,625,017 | 1,569,142 | |
CMO Series 2020-34 Class F | ||||
1-month USD LIBOR + 0.450% Floor 0.450%, Cap 6.500% 06/25/2050 | 5.600% | 1,105,348 | 1,066,459 | |
Federal Home Loan Mortgage Corp. | ||||
10/01/2026- 10/17/2038 | 6.500% | 613,931 | 629,600 | |
12/01/2032- 08/01/2052 | 4.000% | 16,753,814 | 15,855,532 | |
03/01/2033- 05/01/2049 | 3.000% | 29,698,936 | 26,681,881 | |
06/01/2035- 04/01/2036 | 5.500% | 72,347 | 72,598 | |
09/01/2037 | 6.000% | 363,657 | 378,037 | |
06/01/2040- 12/01/2051 | 2.000% | 57,635,187 | 49,156,859 | |
04/01/2042- 03/01/2052 | 2.500% | 15,339,003 | 13,170,257 | |
06/01/2046- 03/01/2052 | 3.500% | 7,475,229 | 6,858,381 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 | 43 |
June 30, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency(n) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
06/01/2048- 07/01/2052 | 4.500% | 7,708,079 | 7,449,761 | |
12/01/2048- 03/01/2053 | 5.000% | 6,941,592 | 6,821,825 | |
CMO Series 2017-4742 Class PA | ||||
10/15/2047 | 3.000% | 1,192,852 | 1,075,693 | |
CMO Series 2127 Class PG | ||||
02/15/2029 | 6.250% | 51,001 | 50,693 | |
CMO Series 2165 Class PE | ||||
06/15/2029 | 6.000% | 32,679 | 32,763 | |
CMO Series 2326 Class ZQ | ||||
06/15/2031 | 6.500% | 154,283 | 155,455 | |
CMO Series 2399 Class TH | ||||
01/15/2032 | 6.500% | 86,837 | 88,847 | |
CMO Series 2517 Class Z | ||||
10/15/2032 | 5.500% | 46,260 | 44,374 | |
CMO Series 2557 Class HL | ||||
01/15/2033 | 5.300% | 156,078 | 155,215 | |
CMO Series 262 Class 35 | ||||
07/15/2042 | 3.500% | 1,958,674 | 1,828,995 | |
CMO Series 2752 Class EZ | ||||
02/15/2034 | 5.500% | 415,896 | 412,515 | |
CMO Series 2764 Class ZG | ||||
03/15/2034 | 5.500% | 361,935 | 360,227 | |
CMO Series 2953 Class PG | ||||
03/15/2035 | 5.500% | 1,441,369 | 1,457,262 | |
CMO Series 2986 Class CH | ||||
06/15/2025 | 5.000% | 57,689 | 56,774 | |
CMO Series 2989 Class TG | ||||
06/15/2025 | 5.000% | 39,950 | 39,586 | |
CMO Series 299 Class 300 | ||||
01/15/2043 | 3.000% | 235,004 | 212,582 | |
CMO Series 2990 Class UZ | ||||
06/15/2035 | 5.750% | 542,701 | 542,237 | |
CMO Series 3101 Class UZ | ||||
01/15/2036 | 6.000% | 148,517 | 152,921 | |
CMO Series 3123 Class AZ | ||||
03/15/2036 | 6.000% | 171,148 | 172,846 | |
CMO Series 3143 Class BC | ||||
02/15/2036 | 5.500% | 201,628 | 205,351 | |
CMO Series 3164 Class MG | ||||
06/15/2036 | 6.000% | 60,065 | 61,116 | |
CMO Series 3195 Class PD | ||||
07/15/2036 | 6.500% | 114,594 | 115,937 | |
CMO Series 3200 Class AY | ||||
08/15/2036 | 5.500% | 133,609 | 135,012 |
Residential Mortgage-Backed Securities - Agency(n) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 3213 Class JE | ||||
09/15/2036 | 6.000% | 183,875 | 190,506 | |
CMO Series 3229 Class HE | ||||
10/15/2026 | 5.000% | 139,199 | 137,007 | |
CMO Series 3423 Class PB | ||||
03/15/2038 | 5.500% | 426,848 | 432,563 | |
CMO Series 3453 Class B | ||||
05/15/2038 | 5.500% | 10,276 | 10,175 | |
CMO Series 3461 Class Z | ||||
06/15/2038 | 6.000% | 817,305 | 821,506 | |
CMO Series 3501 Class CB | ||||
01/15/2039 | 5.500% | 186,368 | 187,661 | |
CMO Series 3684 Class CY | ||||
06/15/2025 | 4.500% | 182,602 | 180,395 | |
CMO Series 3704 Class CT | ||||
12/15/2036 | 7.000% | 280,119 | 294,355 | |
CMO Series 3704 Class DT | ||||
11/15/2036 | 7.500% | 271,689 | 288,437 | |
CMO Series 3704 Class ET | ||||
12/15/2036 | 7.500% | 188,141 | 200,949 | |
CMO Series 3707 Class B | ||||
08/15/2025 | 4.500% | 181,853 | 180,068 | |
CMO Series 3819 Class ZQ | ||||
04/15/2036 | 6.000% | 286,173 | 293,063 | |
CMO Series 3890 Class ME | ||||
07/15/2041 | 5.000% | 1,000,000 | 997,690 | |
CMO Series 4015 Class MY | ||||
03/15/2042 | 3.500% | 1,812,777 | 1,676,911 | |
CMO Series 4177 Class MQ | ||||
03/15/2043 | 2.500% | 1,000,000 | 848,422 | |
CMO Series 4205 Class PA | ||||
05/15/2043 | 1.750% | 1,827,302 | 1,544,505 | |
CMO Series 4217 Class KY | ||||
06/15/2043 | 3.000% | 1,200,000 | 1,044,102 | |
CMO Series 4240 Class B | ||||
08/15/2033 | 3.000% | 2,000,000 | 1,843,635 | |
CMO Series 4880 Class DA | ||||
05/15/2050 | 3.000% | 1,133,938 | 1,025,098 | |
CMO Series 5091 Class AB | ||||
03/25/2051 | 1.500% | 2,435,619 | 1,967,271 | |
CMO Series R006 Class ZA | ||||
04/15/2036 | 6.000% | 217,648 | 225,828 | |
CMO Series R007 Class ZA | ||||
05/15/2036 | 6.000% | 424,865 | 435,119 | |
CMO STRIPS Series 264 Class 30 | ||||
07/15/2042 | 3.000% | 253,045 | 229,641 |
44 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency(n) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal Home Loan Mortgage Corp.(b) | ||||
1-year CMT + 2.250% Cap 10.333% 07/01/2036 | 4.416% | 34,888 | 34,804 | |
12-month USD LIBOR + 1.841% Cap 9.144% 07/01/2040 | 4.402% | 77,298 | 78,141 | |
12-month USD LIBOR + 1.641% Cap 7.801% 05/01/2049 | 2.817% | 670,065 | 654,267 | |
1-month SOFR + 2.130% Floor 2.130%, Cap 8.913% 07/01/2052 | 3.913% | 1,198,228 | 1,135,104 | |
1-month SOFR + 2.130% Floor 2.130%, Cap 9.299% 07/01/2052 | 4.299% | 1,415,181 | 1,357,011 | |
1-month SOFR + 2.140% Floor 2.140%, Cap 8.986% 08/01/2052 | 3.986% | 1,652,803 | 1,553,342 | |
1-month SOFR + 2.380% Floor 2.380%, Cap 9.124% 09/01/2052 | 4.123% | 842,932 | 802,765 | |
1-month SOFR + 2.304% Floor 2.304%, Cap 9.199% 05/01/2053 | 4.199% | 4,706,282 | 4,523,936 | |
CMO Series 2551 Class NS | ||||
-1.8 x 1-month USD LIBOR + 14.483% Cap 14.483% 01/15/2033 | 4.962% | 58,083 | 57,786 | |
CMO Series 3852 Class QN | ||||
-3.6 x 1-month USD LIBOR + 27.211% Cap 5.500% 05/15/2041 | 5.500% | 155,671 | 148,399 | |
CMO Series 4048 Class FJ | ||||
1-month USD LIBOR + 0.400% Floor 0.400%, Cap 9,999.000% 07/15/2037 | 5.605% | 281,566 | 277,849 | |
Structured Pass-Through Securities | ||||
1-year MTA + 1.200% Floor 1.200% 10/25/2044 | 5.414% | 327,958 | 301,056 | |
Federal Home Loan Mortgage Corp.(o) | ||||
04/01/2045 | 3.000% | 5,631,069 | 5,083,784 | |
07/01/2050 | 2.500% | 5,711,456 | 4,878,060 | |
Federal Home Loan Mortgage Corp.(h) | ||||
CMO Series 3077 Class TO | ||||
04/15/2035 | 0.000% | 23,548 | 22,683 | |
CMO Series 3100 Class | ||||
01/15/2036 | 0.000% | 70,735 | 58,244 | |
CMO Series 3117 Class OG | ||||
02/15/2036 | 0.000% | 31,398 | 26,662 |
Residential Mortgage-Backed Securities - Agency(n) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 3181 Class OH | ||||
07/15/2036 | 0.000% | 162,115 | 128,781 | |
CMO Series 3316 Class JO | ||||
05/15/2037 | 0.000% | 6,444 | 4,982 | |
CMO Series 3607 Class TO | ||||
10/15/2039 | 0.000% | 143,595 | 114,640 | |
CMO STRIPS Series 197 Class | ||||
04/01/2028 | 0.000% | 52,594 | 48,131 | |
CMO STRIPS Series 310 Class | ||||
09/15/2043 | 0.000% | 836,319 | 614,096 | |
Federal Home Loan Mortgage Corp.(b),(d) | ||||
CMO Series 3380 Class SI | ||||
-1.0 x 1-month USD LIBOR + 6.370% Cap 6.370% 10/15/2037 | 1.177% | 1,220,533 | 110,895 | |
CMO Series 3385 Class SN | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 11/15/2037 | 0.807% | 27,578 | 1,516 | |
CMO Series 3451 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 05/15/2038 | 0.857% | 18,864 | 1,316 | |
CMO Series 3531 Class SM | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 05/15/2039 | 0.907% | 26,611 | 1,022 | |
CMO Series 3608 Class SC | ||||
-1.0 x 1-month USD LIBOR + 6.250% Cap 6.250% 12/15/2039 | 1.057% | 126,557 | 8,574 | |
CMO Series 3740 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 10/15/2040 | 0.807% | 146,682 | 7,983 | |
CMO Series 3740 Class SC | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 10/15/2040 | 0.807% | 213,123 | 18,340 | |
CMO STRIPS Series 239 Class S30 | ||||
-1.0 x 1-month USD LIBOR + 7.700% Cap 7.700% 08/15/2036 | 2.507% | 173,914 | 21,302 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 | 45 |
June 30, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency(n) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal Home Loan Mortgage Corp.(c) | ||||
CMO Series 3688 Class GT | ||||
11/15/2046 | 7.540% | 194,133 | 206,049 | |
CMO Series 4272 Class W | ||||
04/15/2040 | 5.643% | 1,097,395 | 1,123,980 | |
Federal Home Loan Mortgage Corp.(d) | ||||
CMO Series 3714 Class IP | ||||
08/15/2040 | 5.000% | 115,360 | 7,866 | |
Federal Home Loan Mortgage Corp.(c),(d) | ||||
CMO Series 3802 Class LS | ||||
01/15/2040 | 5.605% | 302,419 | 12,337 | |
Federal Home Loan Mortgage Corp. REMICS | ||||
CMO Series 5178 Class TP | ||||
04/25/2049 | 2.500% | 2,462,299 | 2,132,350 | |
CMO Series 5202 Class LA | ||||
05/25/2049 | 2.500% | 2,234,924 | 1,952,784 | |
CMO Series 5203 Class G | ||||
11/25/2048 | 2.500% | 995,515 | 864,661 | |
Federal Home Loan National Mortgage Corp.(b) | ||||
12-month USD LIBOR + 1.638% Cap 7.475% 09/01/2045 | 5.403% | 2,171,626 | 2,192,774 | |
12-month USD LIBOR + 1.688% Cap 7.716% 09/01/2047 | 5.147% | 1,369,261 | 1,382,988 | |
12-month USD LIBOR + 1.637% Floor 1.637%, Cap 7.994% 04/01/2048 | 4.670% | 2,780,879 | 2,771,815 | |
12-month USD LIBOR + 1.637% Floor 1.637%, Cap 8.629% 03/01/2049 | 4.140% | 1,153,402 | 1,144,656 | |
Federal National Mortgage Association | ||||
11/01/2023- 05/01/2053 | 6.000% | 14,596,756 | 14,728,640 | |
02/01/2024- 02/01/2053 | 6.500% | 3,377,961 | 3,548,610 | |
01/01/2027- 09/01/2062 | 4.000% | 40,101,560 | 38,650,795 | |
05/01/2033- 06/01/2062 | 3.500% | 73,861,397 | 68,398,851 | |
11/01/2033- 09/01/2052 | 5.500% | 2,494,931 | 2,554,638 | |
01/01/2036- 06/01/2053 | 5.000% | 13,047,287 | 12,821,204 | |
11/01/2037- 02/01/2053 | 7.000% | 2,351,352 | 2,441,854 | |
06/01/2040- 03/01/2047 | 2.000% | 172,926,540 | 147,122,147 | |
12/01/2040- 03/01/2062 | 2.500% | 57,140,733 | 49,079,203 | |
06/01/2041- 12/01/2061 | 4.500% | 17,506,506 | 16,981,911 |
Residential Mortgage-Backed Securities - Agency(n) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
10/01/2041- 07/01/2051 | 1.500% | 28,902,297 | 23,159,813 | |
11/01/2042- 06/01/2062 | 3.000% | 186,418,552 | 166,734,104 | |
CMO Series 1999-7 Class AB | ||||
03/25/2029 | 6.000% | 71,861 | 71,126 | |
CMO Series 2001-60 Class PX | ||||
11/25/2031 | 6.000% | 103,666 | 104,745 | |
CMO Series 2002-50 Class ZA | ||||
05/25/2031 | 6.000% | 324,791 | 325,040 | |
CMO Series 2002-78 Class Z | ||||
12/25/2032 | 5.500% | 129,731 | 128,471 | |
CMO Series 2003-W19 Class 1A7 | ||||
11/25/2033 | 5.620% | 1,692,062 | 1,666,674 | |
CMO Series 2004-50 Class VZ | ||||
07/25/2034 | 5.500% | 589,335 | 586,996 | |
CMO Series 2004-65 Class LT | ||||
08/25/2024 | 4.500% | 12,935 | 12,779 | |
CMO Series 2004-W10 Class A6 | ||||
08/25/2034 | 5.750% | 988,794 | 978,805 | |
CMO Series 2005-121 Class DX | ||||
01/25/2026 | 5.500% | 49,603 | 49,014 | |
CMO Series 2006-105 Class ME | ||||
11/25/2036 | 5.500% | 376,936 | 379,355 | |
CMO Series 2006-16 Class HZ | ||||
03/25/2036 | 5.500% | 279,057 | 275,828 | |
CMO Series 2006-W3 Class 2A | ||||
09/25/2046 | 6.000% | 106,379 | 103,849 | |
CMO Series 2007-104 Class ZE | ||||
08/25/2037 | 6.000% | 98,799 | 99,631 | |
CMO Series 2007-116 Class PB | ||||
08/25/2035 | 5.500% | 109,271 | 110,301 | |
CMO Series 2007-18 Class MZ | ||||
03/25/2037 | 6.000% | 140,967 | 139,894 | |
CMO Series 2007-42 Class B | ||||
05/25/2037 | 6.000% | 98,768 | 100,202 | |
CMO Series 2007-76 Class ZG | ||||
08/25/2037 | 6.000% | 178,887 | 178,512 | |
CMO Series 2008-80 Class GP | ||||
09/25/2038 | 6.250% | 15,804 | 16,322 | |
CMO Series 2009-59 Class HB | ||||
08/25/2039 | 5.000% | 236,488 | 233,261 | |
CMO Series 2009-60 Class HT | ||||
08/25/2039 | 6.000% | 223,111 | 230,579 | |
CMO Series 2009-79 Class UA | ||||
03/25/2038 | 7.000% | 15,044 | 15,365 |
46 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency(n) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2009-W1 Class A | ||||
12/25/2049 | 6.000% | 394,950 | 395,449 | |
CMO Series 2010-111 Class AM | ||||
10/25/2040 | 5.500% | 608,964 | 623,110 | |
CMO Series 2010-2 Class LC | ||||
02/25/2040 | 5.000% | 1,027,001 | 1,019,719 | |
CMO Series 2011-118 Class MT | ||||
11/25/2041 | 7.000% | 298,019 | 312,762 | |
CMO Series 2011-118 Class NT | ||||
11/25/2041 | 7.000% | 332,899 | 352,227 | |
CMO Series 2011-31 Class DB | ||||
04/25/2031 | 3.500% | 1,282,150 | 1,222,260 | |
CMO Series 2011-39 Class ZA | ||||
11/25/2032 | 6.000% | 164,056 | 165,800 | |
CMO Series 2011-44 Class EB | ||||
05/25/2026 | 3.000% | 383,448 | 370,961 | |
CMO Series 2011-46 Class B | ||||
05/25/2026 | 3.000% | 945,019 | 912,633 | |
CMO Series 2011-59 Class NZ | ||||
07/25/2041 | 5.500% | 811,314 | 817,010 | |
CMO Series 2012-151 Class NX | ||||
01/25/2043 | 1.500% | 577,984 | 483,275 | |
CMO Series 2012-66 Class CB | ||||
06/25/2032 | 3.000% | 2,533,888 | 2,368,385 | |
CMO Series 2013-100 Class WB | ||||
10/25/2033 | 3.000% | 2,445,620 | 2,282,884 | |
CMO Series 2013-101 Class E | ||||
10/25/2033 | 3.000% | 2,447,916 | 2,288,786 | |
CMO Series 2013-108 Class GU | ||||
10/25/2033 | 3.000% | 1,984,420 | 1,848,712 | |
CMO Series 2013-43 Class BP | ||||
05/25/2043 | 1.750% | 2,152,413 | 1,821,678 | |
CMO Series 2013-59 Class PY | ||||
06/25/2043 | 2.500% | 1,000,000 | 820,967 | |
CMO Series 2013-81 Class TA | ||||
02/25/2043 | 3.000% | 1,002,908 | 958,551 | |
CMO Series 2013-90 Class DL | ||||
09/25/2033 | 3.500% | 1,500,000 | 1,409,820 | |
CMO Series 2015-84 Class PA | ||||
08/25/2033 | 1.700% | 2,202,920 | 1,965,676 | |
CMO Series 2016-48 Class MA | ||||
06/25/2038 | 2.000% | 2,124,247 | 1,891,525 | |
CMO Series 2016-57 Class PC | ||||
06/25/2046 | 1.750% | 4,545,047 | 3,771,628 | |
CMO Series 2017-13 Class PA | ||||
08/25/2046 | 3.000% | 48,390 | 44,038 |
Residential Mortgage-Backed Securities - Agency(n) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2018-14 Class KC | ||||
03/25/2048 | 3.000% | 106,550 | 98,105 | |
CMO Series 2018-8 Class KL | ||||
03/25/2047 | 2.500% | 795,635 | 690,435 | |
CMO Series 2019-25 Class PA | ||||
05/25/2048 | 3.000% | 1,757,881 | 1,584,562 | |
CMO Series 2019-8 Class GA | ||||
03/25/2049 | 3.000% | 3,763,086 | 3,364,738 | |
CMO Series 2020-48 Class AB | ||||
07/25/2050 | 2.000% | 2,075,279 | 1,703,389 | |
CMO Series 2020-48 Class DA | ||||
07/25/2050 | 2.000% | 2,908,298 | 2,410,590 | |
CMO Series 2020-M5 Class A2 | ||||
01/25/2030 | 2.210% | 4,962,874 | 4,251,527 | |
CMO Series 2021-78 Class ND | ||||
11/25/2051 | 1.500% | 9,654,083 | 7,912,529 | |
CMO Series G94-8 Class K | ||||
07/17/2024 | 8.000% | 9,387 | 9,431 | |
CMO STRIPS Series 414 Class A35 | ||||
10/25/2042 | 3.500% | 246,220 | 229,568 | |
Federal National Mortgage Association(b) | ||||
6-month USD LIBOR + 2.500% Floor 2.500%, Cap 11.208% 03/01/2036 | 5.197% | 101,390 | 103,246 | |
12-month USD LIBOR + 1.579% Floor 1.579%, Cap 7.692% 06/01/2045 | 4.300% | 450,805 | 451,152 | |
12-month USD LIBOR + 1.583% Floor 1.583%, Cap 7.681% 01/01/2046 | 4.674% | 1,163,231 | 1,164,533 | |
1-month SOFR + 2.120% Floor 2.120%, Cap 9.169% 07/01/2052 | 4.169% | 2,585,194 | 2,460,809 | |
1-month SOFR + 2.124% Floor 2.124%, Cap 9.355% 07/01/2052 | 4.355% | 3,068,455 | 2,960,225 | |
1-month SOFR + 2.370% Floor 2.370%, Cap 8.681% 08/01/2052 | 3.681% | 1,752,633 | 1,656,244 | |
1-month SOFR + 2.120% Floor 2.120%, Cap 8.965% 08/01/2052 | 3.965% | 731,148 | 688,904 | |
1-month SOFR + 2.125% Floor 2.125%, Cap 9.306% 08/01/2052 | 4.306% | 3,197,542 | 3,079,812 | |
1-month SOFR + 2.125% Floor 2.125%, Cap 9.629% 08/01/2052 | 4.629% | 3,519,076 | 3,423,576 | |
1-month SOFR + 2.130% Floor 2.130%, Cap 9.653% 08/01/2052 | 4.653% | 2,719,702 | 2,648,184 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 | 47 |
June 30, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency(n) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
1-month SOFR + 2.120% Floor 2.120%, Cap 9.143% 09/01/2052 | 4.143% | 2,509,114 | 2,424,066 | |
1-month SOFR + 2.370% Floor 2.370%, Cap 9.218% 09/01/2052 | 4.218% | 820,177 | 786,154 | |
1-month SOFR + 2.131% Floor 2.131%, Cap 9.149% 10/01/2052 | 4.149% | 5,864,669 | 5,654,924 | |
1-month SOFR + 2.127% Floor 2.127%, Cap 9.249% 11/01/2052 | 4.249% | 2,088,209 | 2,020,405 | |
1-month SOFR + 2.120% Floor 2.120%, Cap 9.517% 11/01/2052 | 4.517% | 1,181,008 | 1,151,428 | |
CMO Series 2003-W8 Class 3F1 | ||||
1-month USD LIBOR + 0.400% Floor 0.400%, Cap 8.000% 05/25/2042 | 5.550% | 112,189 | 111,244 | |
CMO Series 2005-SV Class 75 | ||||
-4.0 x 1-month USD LIBOR + 24.200% Cap 24.200% 09/25/2035 | 3.598% | 22,523 | 23,575 | |
CMO Series 2005-W3 Class 2AF | ||||
1-month USD LIBOR + 0.220% Floor 0.220%, Cap 9.500% 03/25/2045 | 5.370% | 191,282 | 189,291 | |
CMO Series 2007-101 Class A2 | ||||
1-month USD LIBOR + 0.250% Floor 0.250% 06/27/2036 | 5.400% | 131,985 | 123,914 | |
CMO Series 2010-28 Class BS | ||||
-2.2 x 1-month USD LIBOR + 11.588% Cap 11.588% 04/25/2040 | 0.027% | 28,841 | 23,610 | |
CMO Series 2010-35 Class SJ | ||||
-3.3 x 1-month USD LIBOR + 17.667% Cap 17.667% 04/25/2040 | 0.499% | 192,430 | 179,080 | |
CMO Series 2010-49 Class SC | ||||
-2.0 x 1-month USD LIBOR + 12.660% Cap 12.660% 03/25/2040 | 2.359% | 118,344 | 111,090 | |
CMO Series 2011-75 Class FA | ||||
1-month USD LIBOR + 0.550% Floor 0.550%, Cap 6.500% 08/25/2041 | 5.700% | 121,805 | 120,950 |
Residential Mortgage-Backed Securities - Agency(n) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2019-67 Class FB | ||||
1-month USD LIBOR + 0.450% Floor 0.450%, Cap 6.500% 11/25/2049 | 5.600% | 802,674 | 776,857 | |
Federal National Mortgage Association(o) | ||||
10/01/2050 | 2.500% | 17,797,034 | 15,132,392 | |
07/01/2052 | 3.000% | 1,503,301 | 1,344,067 | |
Federal National Mortgage Association(b),(d) | ||||
CMO Series 1996-4 Class SA | ||||
-1.0 x 1-month USD LIBOR + 8.500% Cap 8.500% 02/25/2024 | 3.350% | 2,745 | 26 | |
CMO Series 2006-117 Class GS | ||||
-1.0 x 1-month USD LIBOR + 6.650% Cap 6.650% 12/25/2036 | 1.500% | 104,452 | 5,049 | |
CMO Series 2006-43 Class SI | ||||
-1.0 x 1-month USD LIBOR + 6.600% Cap 6.600% 06/25/2036 | 1.450% | 438,449 | 33,026 | |
CMO Series 2006-58 Class IG | ||||
-1.0 x 1-month USD LIBOR + 6.520% Cap 6.520% 07/25/2036 | 1.370% | 103,572 | 6,620 | |
CMO Series 2006-8 Class WN | ||||
-1.0 x 1-month USD LIBOR + 6.700% Cap 6.700% 03/25/2036 | 1.550% | 498,628 | 44,157 | |
CMO Series 2006-94 Class GI | ||||
-1.0 x 1-month USD LIBOR + 6.650% Cap 6.650% 10/25/2026 | 1.500% | 117,297 | 2,247 | |
CMO Series 2007-109 Class PI | ||||
-1.0 x 1-month USD LIBOR + 6.350% Cap 6.350% 12/25/2037 | 1.200% | 95,007 | 4,283 | |
CMO Series 2007-65 Class KI | ||||
-1.0 x 1-month USD LIBOR + 6.620% Cap 6.620% 07/25/2037 | 1.470% | 74,220 | 6,368 |
48 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency(n) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2007-72 Class EK | ||||
-1.0 x 1-month USD LIBOR + 6.400% Cap 6.400% 07/25/2037 | 1.250% | 446,947 | 38,563 | |
CMO Series 2007-W7 Class 2A2 | ||||
-1.0 x 1-month USD LIBOR + 6.530% Cap 6.530% 07/25/2037 | 1.380% | 140,610 | 8,201 | |
CMO Series 2009-112 Class ST | ||||
-1.0 x 1-month USD LIBOR + 6.250% Cap 6.250% 01/25/2040 | 1.100% | 137,092 | 10,439 | |
CMO Series 2009-17 Class QS | ||||
-1.0 x 1-month USD LIBOR + 6.650% Cap 6.650% 03/25/2039 | 1.500% | 29,831 | 2,552 | |
CMO Series 2009-37 Class KI | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 06/25/2039 | 0.850% | 125,411 | 5,750 | |
CMO Series 2009-68 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.750% Cap 6.750% 09/25/2039 | 1.600% | 192,585 | 19,965 | |
CMO Series 2010-125 Class SA | ||||
-1.0 x 1-month USD LIBOR + 4.440% Cap 4.440% 11/25/2040 | 0.000% | 362,647 | 8,954 | |
CMO Series 2010-147 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.530% Cap 6.530% 01/25/2041 | 1.380% | 878,112 | 97,380 | |
CMO Series 2010-35 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.420% Cap 6.420% 04/25/2040 | 1.270% | 80,063 | 6,724 | |
CMO Series 2010-42 Class S | ||||
-1.0 x 1-month USD LIBOR + 6.400% Cap 6.400% 05/25/2040 | 1.250% | 73,058 | 4,053 |
Residential Mortgage-Backed Securities - Agency(n) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2010-68 Class SA | ||||
-1.0 x 1-month USD LIBOR + 5.000% Cap 5.000% 07/25/2040 | 0.000% | 301,033 | 14,984 | |
Federal National Mortgage Association(c) | ||||
CMO Series 2003-W16 Class AF5 | ||||
11/25/2033 | 4.597% | 236,217 | 217,912 | |
CMO Series 2010-61 Class WA | ||||
06/25/2040 | 5.987% | 61,540 | 62,289 | |
CMO Series 2011-2 Class WA | ||||
02/25/2051 | 5.861% | 53,957 | 53,801 | |
CMO Series 2011-43 Class WA | ||||
05/25/2051 | 5.751% | 67,976 | 67,967 | |
Federal National Mortgage Association(h) | ||||
CMO Series 2006-15 Class OP | ||||
03/25/2036 | 0.000% | 82,035 | 67,012 | |
CMO Series 2006-8 Class WQ | ||||
03/25/2036 | 0.000% | 135,990 | 107,840 | |
CMO Series 2009-86 Class BO | ||||
03/25/2037 | 0.000% | 27,670 | 23,530 | |
CMO Series 2013-101 Class DO | ||||
10/25/2043 | 0.000% | 947,001 | 693,639 | |
CMO Series 2013-128 Class | ||||
12/25/2043 | 0.000% | 549,851 | 419,529 | |
CMO Series 2013-92 Class | ||||
09/25/2043 | 0.000% | 609,687 | 448,478 | |
CMO STRIPS Series 293 Class 1 | ||||
12/25/2024 | 0.000% | 5,313 | 5,250 | |
Federal National Mortgage Association(d) | ||||
CMO Series 2009-86 Class IP | ||||
10/25/2039 | 5.500% | 59,948 | 10,944 | |
Federal National Mortgage Association(c),(d) | ||||
CMO Series 2011-30 Class LS | ||||
04/25/2041 | 0.000% | 204,580 | 10,343 | |
Federal National Mortgage Association REMICS | ||||
CMO Series 2021-78 Class PA | ||||
11/25/2051 | 2.500% | 1,689,573 | 1,445,426 | |
CMO Series 2022-28C Class CA | ||||
01/25/2048 | 2.000% | 1,823,842 | 1,610,632 | |
Freddie Mac REMICS | ||||
CMO Series 205119 Class AB | ||||
08/25/2049 | 1.500% | 1,472,399 | 1,173,272 | |
CMO Series 205217 Class CD | ||||
07/25/2049 | 2.500% | 1,891,752 | 1,692,643 | |
CMO Series 4047 Class CX | ||||
05/15/2042 | 3.500% | 2,501,000 | 2,282,172 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 | 49 |
June 30, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency(n) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 4446 Class CP | ||||
03/15/2045 | 2.250% | 1,239,893 | 1,078,498 | |
CMO Series 4719 Class LM | ||||
09/15/2047 | 3.000% | 1,019,039 | 915,361 | |
CMO Series 4937 Class MD | ||||
10/25/2049 | 2.500% | 1,780,140 | 1,561,117 | |
CMO Series 5143 Class GA | ||||
06/25/2049 | 2.000% | 1,094,074 | 882,256 | |
CMO Series 5182 Class M | ||||
05/25/2049 | 2.500% | 1,517,889 | 1,303,313 | |
CMO Series 5201 Class CA | ||||
07/25/2048 | 2.500% | 2,201,438 | 1,935,160 | |
CMO Series 5202 Class BH | ||||
12/25/2047 | 2.000% | 1,255,011 | 1,113,707 | |
CMO Series 5300 Class C | ||||
09/25/2047 | 2.000% | 3,084,337 | 2,693,235 | |
Freddie Mac REMICS(b) | ||||
CMO Series 4248 Class FT | ||||
1-month USD LIBOR + 0.500% Floor 0.500%, Cap 6.500% 09/15/2043 | 5.693% | 910,036 | 886,888 | |
CMO Series 4631 Class FA | ||||
1-month USD LIBOR + 0.500% Floor 0.500%, Cap 6.500% 11/15/2046 | 5.693% | 1,727,393 | 1,672,644 | |
CMO Series 4793 Class FD | ||||
1-month USD LIBOR + 0.300% Floor 0.300%, Cap 6.500% 06/15/2048 | 5.493% | 396,056 | 379,766 | |
CMO Series 4826 Class KF | ||||
1-month USD LIBOR + 0.300% Floor 0.300%, Cap 6.500% 09/15/2048 | 5.493% | 819,328 | 785,829 | |
CMO Series 5119 Class QF | ||||
30-day Average SOFR + 0.200% Floor 0.200%, Cap 6.500% 06/25/2051 | 5.173% | 2,185,734 | 2,078,057 | |
Government National Mortgage Association | ||||
09/20/2038 | 7.000% | 41,210 | 42,731 | |
08/20/2039- 01/20/2053 | 6.000% | 7,907,032 | 8,087,945 | |
07/20/2040- 12/15/2040 | 3.750% | 1,635,075 | 1,554,192 | |
11/15/2040- 11/20/2040 | 3.625% | 625,153 | 589,781 | |
12/15/2040 | 3.490% | 1,143,499 | 1,109,046 | |
06/20/2043- 03/20/2052 | 3.000% | 31,095,470 | 28,000,053 | |
05/20/2045- 08/20/2052 | 4.000% | 24,151,031 | 22,900,641 |
Residential Mortgage-Backed Securities - Agency(n) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
08/15/2047- 04/20/2050 | 4.500% | 9,951,007 | 9,679,610 | |
01/20/2048- 02/20/2052 | 3.500% | 28,012,978 | 25,903,382 | |
12/20/2048 | 5.000% | 791,471 | 790,785 | |
09/20/2050 | 2.500% | 3,488,140 | 3,054,649 | |
CMO Series 2003-75 Class ZX | ||||
09/16/2033 | 6.000% | 294,615 | 293,847 | |
CMO Series 2005-26 Class XY | ||||
03/20/2035 | 5.500% | 265,832 | 266,267 | |
CMO Series 2005-72 Class AZ | ||||
09/20/2035 | 5.500% | 284,973 | 284,042 | |
CMO Series 2006-17 Class JN | ||||
04/20/2036 | 6.000% | 118,713 | 119,579 | |
CMO Series 2006-38 Class ZK | ||||
08/20/2036 | 6.500% | 424,276 | 423,983 | |
CMO Series 2006-69 Class MB | ||||
12/20/2036 | 5.500% | 489,421 | 490,746 | |
CMO Series 2008-23 Class PH | ||||
03/20/2038 | 5.000% | 399,098 | 394,146 | |
CMO Series 2009-104 Class AB | ||||
08/16/2039 | 7.000% | 107,973 | 107,683 | |
CMO Series 2010-130 Class CP | ||||
10/16/2040 | 7.000% | 213,153 | 223,201 | |
CMO Series 2013-H01 Class FA | ||||
01/20/2063 | 1.650% | 889 | 791 | |
CMO Series 2013-H04 Class BA | ||||
02/20/2063 | 1.650% | 3,768 | 3,497 | |
CMO Series 2013-H09 Class HA | ||||
04/20/2063 | 1.650% | 31,374 | 29,035 | |
CMO Series 2017-167 Class BQ | ||||
08/20/2044 | 2.500% | 832,154 | 751,481 | |
CMO Series 2021-227 Class E | ||||
07/20/2050 | 2.500% | 7,843,992 | 6,782,485 | |
CMO Series 2021-23 Class MG | ||||
02/20/2051 | 1.500% | 2,819,373 | 2,345,481 | |
CMO Series 2021-27 Class BD | ||||
02/20/2051 | 5.000% | 1,375,128 | 1,374,475 | |
CMO Series 2021-27 Class NT | ||||
02/20/2051 | 5.000% | 1,557,601 | 1,507,520 | |
CMO Series 2021-27 Class Q | ||||
02/20/2051 | 5.000% | 1,362,961 | 1,322,737 | |
CMO Series 2021-8 Class CY | ||||
01/20/2051 | 5.000% | 1,222,390 | 1,204,564 | |
CMO Series 2022-107 Class C | ||||
06/20/2051 | 2.500% | 6,420,396 | 5,233,532 |
50 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency(n) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2022-191 Class B | ||||
06/20/2041 | 4.000% | 7,263,000 | 6,825,334 | |
CMO Series 2022-205 Class A | ||||
09/20/2051 | 2.000% | 2,352,699 | 1,847,408 | |
CMO Series 2022-31 Class GH | ||||
12/20/2049 | 2.500% | 4,251,839 | 3,715,364 | |
CMO Series 2022-50 Class DC | ||||
08/20/2051 | 2.500% | 1,949,444 | 1,657,198 | |
CMO Series 2022-84 Class A | ||||
01/20/2052 | 2.500% | 1,992,201 | 1,661,736 | |
Government National Mortgage Association(c) | ||||
03/20/2048 | 4.770% | 3,160,563 | 3,099,311 | |
05/20/2063 | 4.390% | 13,004 | 12,649 | |
CMO Series 2010-H17 Class XQ | ||||
07/20/2060 | 5.140% | 3,475 | 2,811 | |
CMO Series 2011-137 Class WA | ||||
07/20/2040 | 5.594% | 422,968 | 432,738 | |
CMO Series 2012-141 Class WC | ||||
01/20/2042 | 3.714% | 290,918 | 274,288 | |
CMO Series 2013-54 Class WA | ||||
11/20/2042 | 4.891% | 784,707 | 769,197 | |
CMO Series 2013-75 Class WA | ||||
06/20/2040 | 5.105% | 244,665 | 242,056 | |
CMO Series 2020-1 Class A | ||||
08/20/2070 | 2.932% | 3,302,573 | 2,873,044 | |
CMO Series 2021-27 Class CW | ||||
02/20/2051 | 5.001% | 1,730,628 | 1,704,832 | |
Government National Mortgage Association(b) | ||||
1-year CMT + 1.703% 02/20/2072 | 6.168% | 6,040,079 | 6,228,171 | |
1-year CMT + 1.697% 04/20/2072 | 6.175% | 6,518,209 | 6,725,877 | |
1-year CMT + 1.737% 04/20/2072 | 6.231% | 5,824,758 | 6,012,984 | |
CMO Series 2007-16 Class NS | ||||
-3.5 x 1-month USD LIBOR + 23.275% Cap 23.275% 04/20/2037 | 5.263% | 42,382 | 43,818 | |
CMO Series 2012-H10 Class FA | ||||
1-month USD LIBOR + 0.550% Floor 0.550%, Cap 10.500% 12/20/2061 | 5.644% | 406,071 | 404,129 | |
CMO Series 2012-H21 Class CF | ||||
1-month USD LIBOR + 0.700% Floor 0.700% 05/20/2061 | 4.872% | 5,529 | 5,447 |
Residential Mortgage-Backed Securities - Agency(n) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2012-H21 Class DF | ||||
1-month USD LIBOR + 0.650% Floor 0.650% 05/20/2061 | 4.872% | 4,931 | 4,856 | |
CMO Series 2012-H26 Class MA | ||||
1-month USD LIBOR + 0.550% Floor 0.550% 07/20/2062 | 4.879% | 2,942 | 2,892 | |
CMO Series 2012-H28 Class FA | ||||
1-month USD LIBOR + 0.580% Floor 0.580% 09/20/2062 | 4.973% | 5,294 | 5,221 | |
CMO Series 2012-H29 Class FA | ||||
1-month USD LIBOR + 0.515% Floor 0.515%, Cap 11.500% 10/20/2062 | 5.609% | 337,780 | 336,016 | |
CMO Series 2013-H01 Class TA | ||||
1-month USD LIBOR + 0.500% Floor 0.500%, Cap 10.500% 01/20/2063 | 4.694% | 4,385 | 4,287 | |
CMO Series 2013-H05 Class FB | ||||
1-month USD LIBOR + 0.400% Floor 0.400% 02/20/2062 | 4.962% | 5,732 | 5,591 | |
CMO Series 2013-H07 Class GA | ||||
1-month USD LIBOR + 0.470% Floor 0.470%, Cap 10.500% 03/20/2063 | 5.564% | 410,063 | 407,334 | |
CMO Series 2013-H07 Class HA | ||||
1-month USD LIBOR + 0.410% Floor 0.410%, Cap 11.000% 03/20/2063 | 5.504% | 352,668 | 349,917 | |
CMO Series 2013-H09 Class GA | ||||
1-month USD LIBOR + 0.480% Floor 0.480%, Cap 11.000% 04/20/2063 | 5.574% | 391,345 | 389,448 | |
CMO Series 2013-H09 Class SA | ||||
1-month USD LIBOR + 0.500% Floor 0.500%, Cap 10.500% 04/20/2063 | 5.594% | 1,317,800 | 1,309,415 | |
CMO Series 2013-H21 Class FA | ||||
1-month USD LIBOR + 0.750% Floor 0.750%, Cap 11.000% 09/20/2063 | 5.844% | 660,909 | 660,259 | |
CMO Series 2013-H21 Class FB | ||||
1-month USD LIBOR + 0.700% Floor 0.700%, Cap 11.000% 09/20/2063 | 5.794% | 930,317 | 928,259 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 | 51 |
June 30, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency(n) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2015-H23 Class FB | ||||
1-month USD LIBOR + 0.520% Floor 0.520%, Cap 11.000% 09/20/2065 | 5.614% | 904,233 | 898,094 | |
CMO Series 2015-H26 Class FG | ||||
1-month USD LIBOR + 0.520% Floor 0.520%, Cap 11.000% 10/20/2065 | 5.614% | 496,367 | 490,986 | |
CMO Series 2015-H30 Class FE | ||||
1-month USD LIBOR + 0.600% Floor 0.600%, Cap 11.000% 11/20/2065 | 5.694% | 4,039,494 | 4,016,849 | |
CMO Series 2020-H05 Class FK | ||||
1-month USD LIBOR + 0.610% Floor 0.610%, Cap 99.000% 03/20/2070 | 4.158% | 2,671,760 | 2,607,304 | |
CMO Series 2022-197 Class LF | ||||
30-day Average SOFR + 0.700% Floor 0.700%, Cap 7.000% 11/20/2052 | 5.767% | 5,760,189 | 5,717,636 | |
Government National Mortgage Association(b),(d) | ||||
CMO Series 2005-3 Class SE | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 01/20/2035 | 0.954% | 390,083 | 14,232 | |
CMO Series 2007-40 Class SN | ||||
-1.0 x 1-month USD LIBOR + 6.680% Cap 6.680% 07/20/2037 | 1.534% | 266,267 | 6,791 | |
CMO Series 2008-62 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 07/20/2038 | 0.993% | 247,810 | 2,392 | |
CMO Series 2008-76 Class US | ||||
-1.0 x 1-month USD LIBOR + 5.900% Cap 5.900% 09/20/2038 | 0.754% | 304,281 | 6,909 | |
CMO Series 2008-95 Class DS | ||||
-1.0 x 1-month USD LIBOR + 7.300% Cap 7.300% 12/20/2038 | 2.154% | 254,415 | 8,347 | |
CMO Series 2009-106 Class ST | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 02/20/2038 | 0.854% | 420,137 | 15,226 |
Residential Mortgage-Backed Securities - Agency(n) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2009-64 Class SN | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 07/16/2039 | 0.942% | 144,655 | 6,368 | |
CMO Series 2009-67 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 08/16/2039 | 0.892% | 116,157 | 6,610 | |
CMO Series 2009-72 Class SM | ||||
-1.0 x 1-month USD LIBOR + 6.250% Cap 6.250% 08/16/2039 | 1.092% | 306,401 | 16,122 | |
CMO Series 2009-81 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.090% Cap 6.090% 09/20/2039 | 0.933% | 423,436 | 25,087 | |
CMO Series 2010-47 Class PX | ||||
-1.0 x 1-month USD LIBOR + 6.700% Cap 6.700% 06/20/2037 | 1.554% | 488,084 | 30,573 | |
CMO Series 2011-75 Class SM | ||||
-1.0 x 1-month USD LIBOR + 6.600% Cap 6.600% 05/20/2041 | 1.443% | 235,724 | 11,318 | |
Government National Mortgage Association(h) | ||||
CMO Series 2008-1 Class PO | ||||
01/20/2038 | 0.000% | 44,535 | 37,614 | |
CMO Series 2010-157 Class OP | ||||
12/20/2040 | 0.000% | 233,306 | 193,988 | |
Government National Mortgage Association(d) | ||||
CMO Series 2010-107 Class IL | ||||
07/20/2039 | 6.000% | 321,168 | 67,549 | |
Government National Mortgage Association TBA(g) | ||||
07/20/2053- 09/21/2053 | 6.000% | 48,800,000 | 49,100,063 | |
08/21/2053 | 5.500% | 24,000,000 | 23,876,250 | |
Seasoned Credit Risk Transfer Trust | ||||
CMO Series 2018-4 Class MZ (FHLMC) | ||||
03/25/2058 | 3.500% | 3,884,592 | 3,060,840 | |
Uniform Mortgage-Backed Security TBA(g) | ||||
07/13/2053 | 2.000% | 3,800,000 | 3,098,633 | |
07/13/2053 | 4.000% | 8,050,000 | 7,554,107 | |
07/13/2053 | 4.500% | 6,480,000 | 6,229,912 | |
07/13/2053 | 5.500% | 20,000,000 | 19,903,125 |
52 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency(n) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
07/13/2053- 08/14/2053 | 6.000% | 97,300,000 | 98,144,023 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $1,355,432,348) | 1,304,774,817 | |||
Residential Mortgage-Backed Securities - Non-Agency 3.7% | ||||
Ajax Mortgage Loan Trust(a),(c) | ||||
CMO Series 2021-B Class A | ||||
06/25/2066 | 2.239% | 2,756,061 | 2,587,187 | |
Anchor Mortgage Trust(a),(c) | ||||
CMO Series 2021-1 Class A2 | ||||
10/25/2026 | 3.650% | 6,666,667 | 6,255,464 | |
Angel Oak Mortgage Trust(a),(c) | ||||
CMO Series 2020-2 Class A1A | ||||
01/26/2065 | 2.531% | 795,690 | 716,855 | |
CMO Series 2021-6 Class A1 | ||||
09/25/2066 | 1.483% | 1,444,642 | 1,145,114 | |
Angel Oak Mortgage Trust LLC(a),(c) | ||||
CMO Series 2020-5 Class A1 | ||||
05/25/2065 | 1.373% | 190,002 | 169,777 | |
ANTLR Mortgage Trust(a),(c) | ||||
CMO Series 2021-RTL1 Class A1 | ||||
11/25/2024 | 2.115% | 2,583,299 | 2,561,547 | |
CMO Series 2021-RTL1 Class A2 | ||||
01/25/2025 | 2.981% | 4,600,000 | 4,191,405 | |
Banc of America Funding Trust | ||||
CMO Series 2004-3 Class 1A1 | ||||
10/25/2034 | 5.500% | 23,138 | 22,067 | |
Bear Stearns Adjustable Rate Mortgage Trust(c) | ||||
CMO Series 2003-4 Class 3A1 | ||||
07/25/2033 | 5.320% | 15,324 | 14,498 | |
CMO Series 2003-7 Class 6A | ||||
10/25/2033 | 4.403% | 79,390 | 74,543 | |
Bear Stearns Asset-Backed Securities Trust(b) | ||||
CMO Series 2003-SD1 Class A | ||||
1-month USD LIBOR + 0.900% Floor 0.900%, Cap 11.000% 12/25/2033 | 6.050% | 183,230 | 174,013 | |
Bunker Hill Loan Depositary Trust(a),(c) | ||||
CMO Series 2019-2 Class A1 | ||||
07/25/2049 | 2.879% | 993,366 | 920,149 | |
CMO Series 2019-3 Class A1 | ||||
11/25/2059 | 2.724% | 313,009 | 296,130 | |
BVRT Financing Trust(a),(b),(f) | ||||
CMO Series 2021-3F Class M1 | ||||
30-day Average SOFR + 1.750% Floor 1.750% 07/12/2033 | 3.608% | 2,890,209 | 2,890,209 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Chase Mortgage Finance Corp.(c) | ||||
CMO Series 2007-A1 Class 1A3 | ||||
02/25/2037 | 4.483% | 124,215 | 120,986 | |
CMO Series 2007-A1 Class 2A1 | ||||
02/25/2037 | 5.165% | 46,877 | 44,013 | |
CMO Series 2007-A1 Class 7A1 | ||||
02/25/2037 | 5.140% | 20,787 | 20,489 | |
Citigroup Mortgage Loan Trust, Inc. | ||||
CMO Series 2003-1 Class 3A4 | ||||
09/25/2033 | 5.250% | 26,202 | 24,375 | |
CMO Series 2005-2 Class 2A11 | ||||
05/25/2035 | 5.500% | 79,960 | 77,453 | |
Citigroup Mortgage Loan Trust, Inc.(a),(c) | ||||
CMO Series 2009-10 Class 1A1 | ||||
09/25/2033 | 4.154% | 57,890 | 55,314 | |
COLT Mortgage Loan Trust(a),(c) | ||||
CMO Series 2021-2 Class A1 | ||||
08/25/2066 | 0.924% | 1,900,783 | 1,488,890 | |
CMO Series 2021-4 Class A1 | ||||
10/25/2066 | 1.397% | 2,061,198 | 1,618,395 | |
Countrywide Home Loan Mortgage Pass-Through Trust | ||||
CMO Series 2004-13 Class 1A4 | ||||
08/25/2034 | 5.500% | 104,566 | 98,465 | |
CMO Series 2004-3 Class A26 | ||||
04/25/2034 | 5.500% | 46,671 | 44,431 | |
CMO Series 2004-5 Class 1A4 | ||||
06/25/2034 | 5.500% | 108,243 | 106,291 | |
Credit Suisse First Boston Mortgage Securities Corp. | ||||
CMO Series 2003-21 Class 1A4 | ||||
09/25/2033 | 5.250% | 38,871 | 36,855 | |
Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates | ||||
CMO Series 2003-27 Class 5A4 | ||||
11/25/2033 | 5.250% | 4,904 | 4,802 | |
CMO Series 2004-4 Class 2A4 | ||||
09/25/2034 | 5.500% | 67,953 | 65,666 | |
CMO Series 2004-8 Class 1A4 | ||||
12/25/2034 | 5.500% | 115,057 | 111,532 | |
Credit Suisse Mortgage Trust(a),(c) | ||||
CMO Series 2022-JR1 Class A1 | ||||
10/25/2066 | 4.267% | 4,440,970 | 4,241,710 | |
DBRR Trust(a),(c) | ||||
CMO Series 2015-LCM Class A2 | ||||
06/10/2034 | 3.535% | 3,152,000 | 2,822,601 | |
DBRR Trust(a) | ||||
Series 2015-LCM Class A1 | ||||
06/10/2034 | 2.998% | 1,275,690 | 1,196,517 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 | 53 |
June 30, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
FMC GMSR Issuer Trust(a),(c) | ||||
CMO Series 2020-GT1 Class A | ||||
01/25/2026 | 4.450% | 5,000,000 | 4,288,284 | |
CMO Series 2021-GT1 Class B | ||||
07/25/2026 | 4.360% | 6,000,000 | 4,631,230 | |
CMO Series 2021-GT2 Class B | ||||
10/25/2026 | 4.440% | 3,828,000 | 2,937,020 | |
FMC GMSR Issuer Trust(a),(c),(f) | ||||
CMO Series 2021-GT1 Class A | ||||
02/25/2024 | 3.650% | 8,000,000 | 7,584,000 | |
FMC GMSR Issuer Trust(a) | ||||
CMO Series 2022-GT1 Class B | ||||
04/25/2027 | 7.170% | 6,000,000 | 5,347,509 | |
CMO Series 2022-GT2 Class B | ||||
07/25/2027 | 10.070% | 6,000,000 | 5,527,388 | |
GSMPS Mortgage Loan Trust(a),(b) | ||||
CMO Series 2005-RP3 Class 1AF | ||||
1-month USD LIBOR + 0.350% Floor 0.350%, Cap 10.000% 09/25/2035 | 5.500% | 451,592 | 380,014 | |
GSMPS Mortgage Loan Trust(a),(c),(d) | ||||
CMO Series 2005-RP3 Class 1AS | ||||
09/25/2035 | 0.000% | 349,984 | 2,966 | |
GSR Mortgage Loan Trust | ||||
CMO Series 2003-7F Class 1A4 | ||||
06/25/2033 | 5.250% | 95,982 | 94,477 | |
GSR Mortgage Loan Trust(b) | ||||
CMO Series 2005-5F Class 8A3 | ||||
1-month USD LIBOR + 0.500% Floor 0.500%, Cap 5.500% 06/25/2035 | 5.500% | 6,130 | 5,573 | |
HarborView Mortgage Loan Trust(c) | ||||
CMO Series 2004-3 Class 1A | ||||
05/19/2034 | 4.186% | 365,185 | 350,102 | |
Headlands Residential LLC(a),(c) | ||||
CMO Series 2021-RPL1 Class NOTE | ||||
09/25/2026 | 2.487% | 7,225,000 | 6,701,820 | |
Hundred Acre Wood Trust(a),(f) | ||||
CMO Series 2018-1 Class A | ||||
02/13/2025 | 7.250% | 2,000,000 | 1,940,000 | |
Impac CMB Trust(b) | ||||
CMO Series 2005-4 Class 2A1 | ||||
1-month USD LIBOR + 0.600% Floor 0.600%, Cap 10.250% 05/25/2035 | 5.750% | 142,580 | 127,004 | |
Impac Secured Assets CMN Owner Trust(c) | ||||
CMO Series 2003-3 Class A1 | ||||
08/25/2033 | 5.200% | 50,886 | 48,287 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Impac Secured Assets Trust(b) | ||||
CMO Series 2006-1 Class 2A1 | ||||
1-month USD LIBOR + 0.700% Floor 0.350%, Cap 11.500% 05/25/2036 | 5.850% | 25,132 | 21,413 | |
JPMorgan Mortgage Trust(c) | ||||
CMO Series 2006-A2 Class 5A3 | ||||
11/25/2033 | 4.194% | 69,471 | 66,957 | |
CMO Series 2007-A1 Class 5A5 | ||||
07/25/2035 | 4.047% | 74,939 | 73,141 | |
LHOME Mortgage Trust(a),(c) | ||||
CMO Series 2021-RTL1 Class A1 | ||||
09/25/2026 | 2.090% | 1,188,694 | 1,147,019 | |
MASTR Adjustable Rate Mortgages Trust(c) | ||||
CMO Series 2004-13 Class 2A1 | ||||
04/21/2034 | 4.578% | 63,637 | 60,433 | |
CMO Series 2004-13 Class 3A7 | ||||
11/21/2034 | 4.560% | 115,588 | 108,795 | |
MASTR Asset Securitization Trust(a) | ||||
CMO Series 2004-P7 Class A6 | ||||
12/27/2033 | 5.500% | 21,433 | 17,649 | |
MASTR Seasoned Securities Trust | ||||
CMO Series 2004-2 Class A1 | ||||
08/25/2032 | 6.500% | 71,184 | 67,530 | |
CMO Series 2004-2 Class A2 | ||||
08/25/2032 | 6.500% | 112,114 | 106,806 | |
Merrill Lynch Mortgage Investors Trust(b) | ||||
CMO Series 2003-A Class 2A1 | ||||
1-month USD LIBOR + 0.780% Floor 0.390%, Cap 11.750% 03/25/2028 | 5.930% | 29,273 | 27,449 | |
CMO Series 2003-E Class A1 | ||||
1-month USD LIBOR + 0.620% Floor 0.620%, Cap 11.750% 10/25/2028 | 5.770% | 124,455 | 115,213 | |
CMO Series 2004-A Class A1 | ||||
1-month USD LIBOR + 0.460% Floor 0.230%, Cap 11.750% 04/25/2029 | 5.610% | 104,498 | 96,240 | |
CMO Series 2004-G Class A2 | ||||
6-month USD LIBOR + 0.600% Floor 0.300%, Cap 11.750% 01/25/2030 | 6.283% | 17,894 | 16,624 | |
Merrill Lynch Mortgage Investors Trust(c) | ||||
CMO Series 2004-1 Class 2A1 | ||||
12/25/2034 | 4.015% | 93,235 | 87,113 | |
CMO Series 2004-A4 Class A2 | ||||
08/25/2034 | 4.176% | 119,815 | 110,796 |
54 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
MFA Trust(a),(c) | ||||
CMO Series 2021-NQM2 Class A1 | ||||
11/25/2064 | 1.029% | 810,825 | 668,386 | |
Mill City Securities Ltd.(a),(c) | ||||
CMO Series 2021-RS1 Class A2 | ||||
04/28/2066 | 3.951% | 4,449,000 | 3,827,469 | |
Morgan Stanley Mortgage Loan Trust(c) | ||||
CMO Series 2004-3 Class 4A | ||||
04/25/2034 | 5.651% | 106,668 | 103,340 | |
NACC Reperforming Loan Remic Trust(a) | ||||
CMO Series 2004-R2 Class A1 | ||||
10/25/2034 | 6.500% | 81,955 | 71,403 | |
New Residential Mortgage Loan Trust(a),(c) | ||||
CMO Series 2019-NQM4 Class A1 | ||||
09/25/2059 | 2.492% | 234,140 | 210,594 | |
NewRez Warehouse Securitization Trust(a),(b) | ||||
CMO Series 2021-1 Class A | ||||
1-month USD LIBOR + 0.750% Floor 0.750% 05/25/2055 | 5.900% | 4,656,600 | 4,619,694 | |
NRZ Excess Spread-Collateralized Notes(a) | ||||
CMO Series 2021-FNT2 Class A | ||||
05/25/2026 | 3.228% | 3,200,007 | 2,880,996 | |
Series 2020-PLS1 Class A | ||||
12/25/2025 | 3.844% | 2,066,319 | 1,918,303 | |
Preston Ridge Partners Mortgage Trust(a),(c) | ||||
CMO Series 2021-1 Class A1 | ||||
01/25/2026 | 2.115% | 2,848,445 | 2,722,075 | |
CMO Series 2021-2 Class A1 | ||||
03/25/2026 | 2.115% | 1,924,726 | 1,800,126 | |
Pretium Mortgage Credit Partners(a),(c) | ||||
CMO Series 2022-NPL1 Class A1 | ||||
01/25/2052 | 2.981% | 3,575,460 | 3,291,217 | |
Pretium Mortgage Credit Partners I LLC(a),(c) | ||||
CMO Series 2021-NPL1 Class A1 | ||||
09/27/2060 | 2.240% | 3,027,983 | 2,848,517 | |
CMO Series 2021-NPL4 Class A1 | ||||
10/27/2060 | 2.363% | 2,851,600 | 2,628,814 | |
Pretium Mortgage Credit Partners LLC(a),(c) | ||||
CMO Series 2021-NPL6 Class A1 | ||||
07/25/2051 | 2.487% | 2,924,097 | 2,699,725 | |
CMO Series 2021-RN3 Class A1 | ||||
09/25/2051 | 1.843% | 4,521,331 | 4,104,555 | |
Radnor Re Ltd.(a),(b) | ||||
CMO Series 2021-1 Class M1B | ||||
30-day Average SOFR + 1.700% Floor 1.700% 12/27/2033 | 6.767% | 2,330,871 | 2,334,478 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
RCO VI Mortgage LLC(a),(c) | ||||
CMO Series 2022-1 Class A1 | ||||
01/25/2027 | 3.000% | 4,408,118 | 4,140,332 | |
CMO Series 2022-1 Class A2 | ||||
01/25/2027 | 5.250% | 2,500,000 | 2,304,039 | |
Residential Asset Mortgage Products Trust | ||||
CMO Series 2004-SL2 Class A3 | ||||
10/25/2031 | 7.000% | 121,200 | 120,149 | |
Residential Asset Securitization Trust(c) | ||||
CMO Series 2004-IP2 Class 1A1 | ||||
12/25/2034 | 4.659% | 187,356 | 187,870 | |
Seasoned Credit Risk Transfer Trust | ||||
CMO Series 2019-3 Class MB (FHLMC) | ||||
10/25/2058 | 3.500% | 1,570,000 | 1,278,840 | |
CMO Series 2019-4 Class M55D (FHLMC) | ||||
02/25/2059 | 4.000% | 1,712,045 | 1,547,744 | |
Seasoned Loans Structured Transaction | ||||
CMO Series 2018-2 Class A1 | ||||
11/25/2028 | 3.500% | 2,965,971 | 2,750,291 | |
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 | 5.917% | 256,521 | 232,623 | |
CMO Series 2003-8 Class A1 | ||||
1-month USD LIBOR + 0.640% Floor 0.640%, Cap 11.500% 01/20/2034 | 5.786% | 211,550 | 198,410 | |
CMO Series 2004-11 Class A1 | ||||
1-month USD LIBOR + 0.600% Floor 0.600%, Cap 11.500% 12/20/2034 | 5.746% | 217,541 | 194,796 | |
CMO Series 2004-12 Class A3 | ||||
6-month USD LIBOR + 0.320% Floor 0.320%, Cap 11.500% 01/20/2035 | 5.986% | 111,990 | 103,331 | |
Starwood Mortgage Residential Trust(a),(c) | ||||
CMO Series 2020-1 Class A1 | ||||
02/25/2050 | 2.275% | 99,945 | 91,949 | |
CMO Series 2020-3 Class A1 | ||||
04/25/2065 | 1.486% | 490,979 | 449,406 | |
CMO Series 2020-INV1 Class A1 | ||||
11/25/2055 | 1.027% | 426,526 | 383,747 | |
CMO Series 2021-1 Class A1 | ||||
05/25/2065 | 1.219% | 559,528 | 476,518 | |
CMO Series 2021-4 Class A1 | ||||
08/25/2056 | 1.059% | 1,865,055 | 1,525,523 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 | 55 |
June 30, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Structured Adjustable Rate Mortgage Loan Trust(c) | ||||
CMO Series 2004-4 Class 5A | ||||
04/25/2034 | 5.065% | 61,558 | 55,954 | |
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 | 5.806% | 154,612 | 144,016 | |
CMO Series 2005-AR5 Class A3 | ||||
1-month USD LIBOR + 0.500% Floor 0.250%, Cap 11.000% 07/19/2035 | 5.646% | 97,109 | 88,026 | |
Structured Asset Securities Corp.(c) | ||||
CMO Series 2004-4XS Class 1A5 | ||||
02/25/2034 | 5.490% | 201,252 | 187,625 | |
Structured Asset Securities Corp. Mortgage Pass-Through Certificates(c) | ||||
CMO Series 2003-34A Class 3A3 | ||||
11/25/2033 | 4.833% | 98,417 | 96,824 | |
CMO Series 2003-40A Class 3A2 | ||||
01/25/2034 | 5.263% | 71,874 | 68,963 | |
CMO Series 2004-6XS Class A5A | ||||
03/25/2034 | 5.518% | 15,221 | 15,036 | |
CMO Series 2004-6XS Class A5B (AMBAC) | ||||
03/25/2034 | 5.518% | 18,265 | 18,043 | |
Thornburg Mortgage Securities Trust(c) | ||||
CMO Series 2004-4 Class 3A | ||||
12/25/2044 | 3.749% | 77,820 | 72,444 | |
TVC Mortgage Trust(a) | ||||
CMO Series 2020-RTL1 Class A1 | ||||
09/25/2024 | 3.474% | 37,701 | 37,591 | |
VCAT LLC(a),(c) | ||||
CMO Series 2021-NPL1 Class A1 | ||||
12/26/2050 | 2.289% | 2,684,280 | 2,566,447 | |
CMO Series 2021-NPL3 Class A1 | ||||
05/25/2051 | 1.743% | 3,172,372 | 2,936,742 | |
CMO Series 2021-NPL5 Class A1 | ||||
08/25/2051 | 1.868% | 5,286,165 | 4,786,933 | |
Vendee Mortgage Trust | ||||
CMO Series 1998-2 Class 1G | ||||
06/15/2028 | 6.750% | 80,819 | 82,259 | |
Vericrest Opportunity Loan Transferee XCIII LLC(a),(c) | ||||
CMO Series 2021-NPL2 Class A1 | ||||
02/27/2051 | 1.893% | 4,609,273 | 4,244,617 | |
Vericrest Opportunity Loan Transferee XCIV LLC(a),(c) | ||||
CMO Series 2021-NPL3 Class A1 | ||||
02/27/2051 | 2.240% | 3,180,003 | 3,012,119 | |
Vericrest Opportunity Loan Transferee XCVI LLC(a),(c) | ||||
CMO Series 2021-NPL5 Class A1 | ||||
03/27/2051 | 2.116% | 2,464,497 | 2,306,898 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Vericrest Opportunity Loan Transferee XCVII LLC(a),(c) | ||||
CMO Series 2021-NPL6 Class A1 | ||||
04/25/2051 | 2.240% | 2,705,901 | 2,464,501 | |
Vericrest Opportunity Loan Trust CI LLC(a),(c) | ||||
CMO Series 2021-NP10 Class A1 | ||||
05/25/2051 | 1.992% | 2,641,414 | 2,382,360 | |
Verus Securitization Trust(a),(c) | ||||
CMO Series 2019-4 Class A1 | ||||
11/25/2059 | 2.642% | 385,053 | 365,078 | |
CMO Series 2019-INV2 Class A1 | ||||
07/25/2059 | 2.913% | 189,624 | 182,502 | |
CMO Series 2019-INV3 Class A1 | ||||
11/25/2059 | 2.692% | 159,418 | 151,307 | |
CMO Series 2020-1 Class A1 | ||||
01/25/2060 | 2.417% | 391,641 | 366,896 | |
CMO Series 2020-2 Class A1 | ||||
05/25/2060 | 2.226% | 322,316 | 313,546 | |
CMO Series 2020-5 Class A1 | ||||
05/25/2065 | 1.218% | 203,624 | 183,138 | |
CMO Series 2020-INV1 Class A1 | ||||
03/25/2060 | 1.977% | 313,510 | 306,557 | |
CMO Series 2021-1 Class A1 | ||||
01/25/2066 | 0.815% | 715,606 | 593,305 | |
CMO Series 2021-2 Class A1 | ||||
02/25/2066 | 1.031% | 1,383,908 | 1,148,621 | |
CMO Series 2021-3 Class A1 | ||||
06/25/2066 | 1.046% | 1,312,650 | 1,079,779 | |
CMO Series 2021-4 Class A1 | ||||
07/25/2066 | 0.938% | 1,675,862 | 1,289,235 | |
CMO Series 2021-5 Class A1 | ||||
09/25/2066 | 1.013% | 5,614,513 | 4,457,301 | |
CMO Series 2021-7 Class A1 | ||||
10/25/2066 | 1.829% | 2,559,698 | 2,158,709 | |
CMO Series 2021-8 Class A1 | ||||
11/25/2066 | 1.824% | 1,839,705 | 1,573,149 | |
CMO Series 2021-R1 Class A1 | ||||
10/25/2063 | 0.820% | 606,700 | 546,670 | |
CMO Series 2021-R3 Class A1 | ||||
04/25/2064 | 1.020% | 729,186 | 639,567 | |
Visio Trust(a) | ||||
Series 2020-1R Class A1 | ||||
11/25/2055 | 1.312% | 466,391 | 422,615 | |
VM Master Issuer LLC(a),(c),(e),(f) | ||||
CMO Series 2022-1 Class A1B | ||||
05/24/2025 | 6.174% | 7,692,000 | 7,420,472 |
56 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
WaMu Mortgage Pass-Through Certificates Trust(c) | ||||
CMO Series 2003-AR11 Class A6 | ||||
10/25/2033 | 4.223% | 158,708 | 147,521 | |
CMO Series 2003-AR5 Class A7 | ||||
06/25/2033 | 4.830% | 59,533 | 59,152 | |
CMO Series 2003-AR6 Class A1 | ||||
06/25/2033 | 5.345% | 65,726 | 61,461 | |
CMO Series 2003-AR7 Class A7 | ||||
08/25/2033 | 3.952% | 105,331 | 97,345 | |
CMO Series 2004-AR3 Class A2 | ||||
06/25/2034 | 4.521% | 46,827 | 42,632 | |
WaMu Mortgage Pass-Through Certificates Trust | ||||
CMO Series 2004-S3 Class 1A5 | ||||
07/25/2034 | 5.000% | 8,379 | 8,105 | |
Wells Fargo Mortgage-Backed Securities Trust(c) | ||||
CMO Series 2004-U Class A1 | ||||
10/25/2034 | 4.517% | 103,882 | 98,666 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $196,025,093) | 178,282,582 | |||
U.S. Government & Agency Obligations 0.9% | ||||
Federal Home Loan Banks(j) | ||||
09/30/2031 | 1.000% | 4,440,000 | 3,632,635 | |
Federal Home Loan Mortgage Corp.(m) | ||||
12/14/2029 | 0.000% | 3,534,000 | 2,702,361 | |
Federal National Mortgage Association(m) | ||||
11/15/2030 | 0.000% | 10,386,000 | 7,369,145 | |
Federal National Mortgage Association | ||||
08/21/2035 | 1.520% | 4,535,000 | 3,125,061 | |
01/25/2036 | 1.900% | 4,045,000 | 2,890,498 | |
Israel Government AID Bond(m) | ||||
11/01/2024 | 0.000% | 5,000,000 | 4,658,673 | |
Israel Government AID Bond | ||||
09/18/2033 | 5.500% | 1,000,000 | 1,098,961 | |
Residual Funding Corp.(m) | ||||
STRIPS | ||||
04/15/2030 | 0.000% | 3,750,000 | 2,777,775 | |
Tennessee Valley Authority | ||||
04/01/2036 | 5.880% | 4,870,000 | 5,518,341 | |
09/15/2060 | 4.625% | 835,000 | 813,036 | |
09/15/2065 | 4.250% | 1,423,000 | 1,274,979 | |
Tennessee Valley Authority(m) | ||||
STRIPS | ||||
11/01/2025 | 0.000% | 8,500,000 | 7,595,578 | |
06/15/2035 | 0.000% | 750,000 | 412,978 | |
Total U.S. Government & Agency Obligations (Cost $48,441,322) | 43,870,021 | |||
U.S. Treasury Obligations 19.5% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
U.S. Treasury | ||||
11/30/2024 | 4.500% | 652,000 | 645,098 | |
01/31/2025 | 4.125% | 4,622,000 | 4,549,601 | |
04/30/2025 | 2.875% | 19,262,000 | 18,544,190 | |
05/31/2025 | 4.250% | 66,310,000 | 65,475,945 | |
07/15/2025 | 3.000% | 5,344,000 | 5,150,280 | |
10/15/2025 | 4.250% | 4,224,000 | 4,176,810 | |
02/15/2026 | 4.000% | 264,000 | 259,978 | |
05/15/2026 | 1.625% | 22,366,000 | 20,643,119 | |
05/15/2026 | 3.625% | 5,627,000 | 5,490,282 | |
05/31/2026 | 0.750% | 1,498,000 | 1,345,625 | |
06/15/2026 | 4.125% | 5,499,000 | 5,442,721 | |
08/15/2026 | 1.500% | 56,625,000 | 51,758,789 | |
07/31/2027 | 0.375% | 22,166,000 | 18,960,589 | |
07/31/2027 | 2.750% | 12,533,000 | 11,816,269 | |
09/30/2027 | 4.125% | 10,922,500 | 10,861,914 | |
01/31/2028 | 0.750% | 13,255,000 | 11,370,305 | |
01/31/2028 | 3.500% | 4,576,000 | 4,444,083 | |
02/29/2028 | 1.125% | 6,895,000 | 6,008,885 | |
03/31/2028 | 3.625% | 4,988,000 | 4,872,652 | |
05/31/2028 | 3.625% | 5,223,000 | 5,109,155 | |
06/30/2028 | 4.000% | 58,511,000 | 58,191,018 | |
08/15/2028 | 2.875% | 6,785,000 | 6,392,212 | |
08/31/2028 | 1.125% | 4,657,000 | 4,013,024 | |
09/30/2028 | 1.250% | 4,746,000 | 4,108,627 | |
10/31/2028 | 1.375% | 27,553,000 | 23,973,263 | |
11/15/2028 | 5.250% | 1,167,000 | 1,225,715 | |
02/15/2029 | 2.625% | 16,581,000 | 15,360,742 | |
02/28/2029 | 1.875% | 7,491,000 | 6,662,308 | |
04/30/2029 | 2.875% | 2,037,000 | 1,910,483 | |
06/30/2029 | 3.250% | 15,594,000 | 14,920,291 | |
07/31/2029 | 2.625% | 2,070,000 | 1,912,486 | |
09/30/2029 | 3.875% | 6,129,500 | 6,070,120 | |
05/31/2030 | 3.750% | 2,645,000 | 2,608,631 | |
02/15/2032 | 1.875% | 24,015,000 | 20,574,101 | |
08/15/2032 | 2.750% | 19,525,000 | 17,901,984 | |
05/15/2033 | 3.375% | 7,861,000 | 7,582,180 | |
08/15/2039 | 4.500% | 7,032,000 | 7,564,894 | |
05/15/2040 | 1.125% | 15,846,000 | 10,275,141 | |
08/15/2040 | 1.125% | 33,987,000 | 21,863,200 | |
11/15/2040 | 1.375% | 121,436,000 | 81,286,223 | |
02/15/2041 | 1.875% | 18,373,000 | 13,346,262 | |
02/15/2041 | 4.750% | 2,429,000 | 2,681,388 | |
05/15/2041 | 2.250% | 21,530,000 | 16,584,828 | |
08/15/2041 | 1.750% | 89,004,000 | 62,567,031 | |
11/15/2041 | 2.000% | 14,481,000 | 10,602,807 | |
11/15/2041 | 3.125% | 1,595,000 | 1,405,095 | |
08/15/2042 | 2.750% | 14,400,000 | 11,866,500 | |
08/15/2042 | 3.375% | 828,000 | 751,669 | |
11/15/2042 | 2.750% | 6,935,000 | 5,705,121 | |
11/15/2042 | 4.000% | 10,520,000 | 10,459,181 | |
02/15/2043 | 3.125% | 2,000,000 | 1,743,438 | |
02/15/2043 | 3.875% | 1,968,000 | 1,919,415 | |
05/15/2043 | 3.875% | 14,768,000 | 14,412,645 | |
11/15/2043 | 3.750% | 3,952,000 | 3,776,013 | |
02/15/2044 | 3.625% | 9,618,000 | 9,010,864 | |
05/15/2044 | 3.375% | 5,000,000 | 4,507,813 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 | 57 |
June 30, 2023 (Unaudited)
U.S. Treasury Obligations (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
02/15/2045 | 2.500% | 11,825,000 | 9,153,289 | |
08/15/2045 | 2.875% | 13,210,000 | 10,902,378 | |
11/15/2048 | 3.375% | 4,911,000 | 4,440,618 | |
11/15/2049 | 2.375% | 19,900,000 | 14,869,031 | |
02/15/2050 | 2.000% | 2,295,000 | 1,573,509 | |
02/15/2051 | 1.875% | 22,916,000 | 15,181,850 | |
05/15/2051 | 2.375% | 17,165,000 | 12,766,469 | |
08/15/2051 | 2.000% | 40,056,000 | 27,313,185 | |
02/15/2052 | 2.250% | 11,125,000 | 8,043,027 | |
08/15/2052 | 3.000% | 22,256,000 | 18,934,987 | |
02/15/2053 | 3.625% | 44,074,000 | 42,331,700 | |
05/15/2053 | 3.625% | 591,000 | 568,283 | |
U.S. Treasury(m) | ||||
STRIPS | ||||
08/15/2024 | 0.000% | 1,000,000 | 944,531 | |
11/15/2024 | 0.000% | 4,500,000 | 4,198,184 | |
02/15/2025 | 0.000% | 1,000,000 | 922,734 | |
05/15/2025 | 0.000% | 2,500,000 | 2,284,863 | |
02/15/2032 | 0.000% | 13,100,000 | 9,351,660 | |
08/15/2032 | 0.000% | 1,500,000 | 1,049,766 | |
08/15/2033 | 0.000% | 4,000,000 | 2,682,656 |
U.S. Treasury Obligations (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
11/15/2033 | 0.000% | 7,400,000 | 4,918,398 | |
02/15/2034 | 0.000% | 4,400,000 | 2,893,172 | |
05/15/2034 | 0.000% | 2,400,000 | 1,561,219 | |
11/15/2034 | 0.000% | 1,850,000 | 1,180,098 | |
11/15/2040 | 0.000% | 13,935,000 | 6,827,061 | |
Total U.S. Treasury Obligations (Cost $1,069,138,668) | 947,555,671 |
Money Market Funds 2.4% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(p),(q) | 116,572,505 | 116,525,876 |
Total Money Market Funds (Cost $116,522,060) | 116,525,876 | |
Total Investments in Securities (Cost: $5,457,314,881) | 5,056,625,038 | |
Other Assets & Liabilities, Net | (199,167,827) | |
Net Assets | 4,857,457,211 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
6,140,494 USD | 851,404,672 JPY | HSBC | 07/18/2023 | — | (227,292) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Long Bond | 265 | 09/2023 | USD | 33,630,156 | 57,415 | — |
U.S. Treasury 10-Year Note | 1,257 | 09/2023 | USD | 141,117,891 | — | (2,360,062) |
U.S. Treasury 2-Year Note | 365 | 09/2023 | USD | 74,220,469 | — | (950,696) |
U.S. Treasury 5-Year Note | 57 | 09/2023 | USD | 6,104,344 | — | (3,662) |
U.S. Treasury 5-Year Note | 1,260 | 09/2023 | USD | 134,938,125 | — | (1,734,449) |
U.S. Treasury Ultra Bond | 84 | 09/2023 | USD | 11,442,375 | 141,565 | — |
U.S. Treasury Ultra Bond | 221 | 09/2023 | USD | 30,104,344 | — | (262,924) |
Total | 198,980 | (5,311,793) |
Cleared credit default swap contracts - buy protection | |||||||||||
Reference entity | Counterparty | Maturity date | Pay fixed rate (%) | Payment frequency | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America High Yield Index, Series 40 | Citi | 06/20/2028 | 5.000 | Quarterly | USD | 43,550,000 | (969,637) | — | — | — | (969,637) |
58 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 |
June 30, 2023 (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, 2023, the total value of these securities amounted to $1,196,246,882, which represents 24.63% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of June 30, 2023. |
(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, 2023. |
(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, 2023, the total value of these securities amounted to $29,501,387, which represents 0.61% of total net assets. |
(f) | Valuation based on significant unobservable inputs. |
(g) | Represents a security purchased on a when-issued basis. |
(h) | Represents principal only securities which have the right to receive the principal portion only on an underlying pool of mortgage loans. |
(i) | Perpetual security with no specified maturity date. |
(j) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of June 30, 2023. |
(k) | Represents a security in default. |
(l) | Principal and interest may not be guaranteed by a governmental entity. |
(m) | Zero coupon bond. |
(n) | Includes comparable securities held to satisfy future delivery requirements of the following open forward sale commitments at June 30, 2023: |
Security description | Principal amount ($) | Settlement date | Proceeds receivable ($) | Value ($) |
Uniform Mortgage-Backed Security TBA | ||||
07/13/2053 3.500% | (8,100,000) | 07/13/2023 | (7,417,512) | (7,380,809) |
(o) | Represents a security purchased on a forward commitment basis. |
(p) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
(q) | 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, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | ||||||||
70,745,633 | 999,852,399 | (954,071,552) | (604) | 116,525,876 | (8,336) | 2,545,164 | 116,572,505 |
AID | Agency for International Development |
AMBAC | Ambac Assurance Corporation |
BAM | Build America Mutual Assurance Co. |
CMO | Collateralized Mortgage Obligation |
CMT | Constant Maturity Treasury |
FHLMC | Federal Home Loan Mortgage Corporation |
LIBOR | London Interbank Offered Rate |
MTA | Monthly Treasury Average |
SOFR | Secured Overnight Financing Rate |
STRIPS | Separate Trading of Registered Interest and Principal Securities |
TBA | To Be Announced |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 | 59 |
June 30, 2023 (Unaudited)
JPY | Japanese Yen |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Asset-Backed Securities — Non-Agency | — | 479,331,352 | 22,852,348 | 502,183,700 |
Commercial Mortgage-Backed Securities - Agency | — | 245,181,509 | — | 245,181,509 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 265,277,704 | 2,179,250 | 267,456,954 |
Convertible Bonds | — | 1,357,769 | — | 1,357,769 |
Corporate Bonds & Notes | — | 1,387,557,127 | — | 1,387,557,127 |
Foreign Government Obligations | — | 51,309,884 | — | 51,309,884 |
Municipal Bonds | — | 10,569,128 | — | 10,569,128 |
Residential Mortgage-Backed Securities - Agency | — | 1,304,774,817 | — | 1,304,774,817 |
Residential Mortgage-Backed Securities - Non-Agency | — | 158,447,901 | 19,834,681 | 178,282,582 |
U.S. Government & Agency Obligations | — | 43,870,021 | — | 43,870,021 |
U.S. Treasury Obligations | — | 947,555,671 | — | 947,555,671 |
Money Market Funds | 116,525,876 | — | — | 116,525,876 |
Total Investments in Securities | 116,525,876 | 4,895,232,883 | 44,866,279 | 5,056,625,038 |
Forward Sale Commitments | — | (7,380,809) | — | (7,380,809) |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 198,980 | — | — | 198,980 |
60 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Liability | ||||
Forward Foreign Currency Exchange Contracts | — | (227,292) | — | (227,292) |
Futures Contracts | (5,311,793) | — | — | (5,311,793) |
Swap Contracts | — | (969,637) | — | (969,637) |
Total | 111,413,063 | 4,886,655,145 | 44,866,279 | 5,042,934,487 |
Balance as of 12/31/2022 ($) | 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 ($) | Balance as of 06/30/2023 ($) | |
Asset-Backed Securities — Non-Agency | 23,546,861 | (1,025) | — | (246,549) | — | (446,939) | — | — | 22,852,348 |
Commercial Mortgage-Backed Securities — Non-Agency | 6,768,362 | — | — | 6,864 | — | (4,595,976) | — | — | 2,179,250 |
Residential Mortgage-Backed Securities — Non-Agency | 27,244,622 | 5 | — | 507,528 | — | (15,128,583) | 7,211,109 | — | 19,834,681 |
Total | 57,559,845 | (1,020) | — | 267,843 | — | (20,171,498) | 7,211,109 | — | 44,866,279 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 | 61 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $5,340,792,821) | $4,940,099,162 |
Affiliated issuers (cost $116,522,060) | 116,525,876 |
Foreign currency (cost $42) | 43 |
Margin deposits on: | |
Futures contracts | 8,326,100 |
Swap contracts | 2,642,000 |
Receivable for: | |
Investments sold | 37,065,630 |
Investments sold on a delayed delivery basis | 117,402,024 |
Capital shares sold | 19 |
Dividends | 402,654 |
Interest | 30,454,820 |
Foreign tax reclaims | 144,564 |
Variation margin for futures contracts | 756,766 |
Prepaid expenses | 20,025 |
Total assets | 5,253,839,683 |
Liabilities | |
Forward sale commitments, at value (proceeds receivable $7,417,512) | 7,380,809 |
Due to custodian | 111,590 |
Unrealized depreciation on forward foreign currency exchange contracts | 227,292 |
Cash collateral due to broker for: | |
TBA | 30,000 |
Payable for: | |
Investments purchased | 41,467,316 |
Investments purchased on a delayed delivery basis | 346,383,195 |
Capital shares redeemed | 31,038 |
Variation margin for futures contracts | 15,069 |
Variation margin for swap contracts | 346,711 |
Interest on forward sale commitments | 9,450 |
Management services fees | 61,842 |
Distribution and/or service fees | 112 |
Service fees | 702 |
Compensation of board members | 248,268 |
Compensation of chief compliance officer | 476 |
Other expenses | 68,602 |
Total liabilities | 396,382,472 |
Net assets applicable to outstanding capital stock | $4,857,457,211 |
Represented by | |
Paid in capital | 5,487,724,183 |
Total distributable earnings (loss) | (630,266,972) |
Total - representing net assets applicable to outstanding capital stock | $4,857,457,211 |
Class 1 | |
Net assets | $4,841,029,835 |
Shares outstanding | 501,562,866 |
Net asset value per share | $9.65 |
Class 2 | |
Net assets | $16,427,376 |
Shares outstanding | 1,712,856 |
Net asset value per share | $9.59 |
62 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — affiliated issuers | $2,545,164 |
Interest | 93,668,813 |
Foreign taxes withheld | (14,015) |
Total income | 96,199,962 |
Expenses: | |
Management services fees | 11,426,745 |
Distribution and/or service fees | |
Class 2 | 19,646 |
Service fees | 4,791 |
Compensation of board members | 45,707 |
Custodian fees | 46,627 |
Printing and postage fees | 4,374 |
Accounting services fees | 32,645 |
Legal fees | 38,687 |
Interest on collateral | 3,292 |
Compensation of chief compliance officer | 469 |
Other | 39,525 |
Total expenses | 11,662,508 |
Net investment income | 84,537,454 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (83,655,508) |
Investments — affiliated issuers | (8,336) |
Foreign currency translations | 3 |
Forward foreign currency exchange contracts | (947,960) |
Futures contracts | (2,054,095) |
Swap contracts | (4,145,887) |
Net realized loss | (90,811,783) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 131,073,810 |
Investments — affiliated issuers | (604) |
Foreign currency translations | (2) |
Forward sale commitments | 36,703 |
Forward foreign currency exchange contracts | (227,292) |
Futures contracts | (2,610,384) |
Swap contracts | 2,588,644 |
Net change in unrealized appreciation (depreciation) | 130,860,875 |
Net realized and unrealized gain | 40,049,092 |
Net increase in net assets resulting from operations | $124,586,546 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 | 63 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment income | $84,537,454 | $129,418,946 |
Net realized loss | (90,811,783) | (321,721,594) |
Net change in unrealized appreciation (depreciation) | 130,860,875 | (597,816,076) |
Net increase (decrease) in net assets resulting from operations | 124,586,546 | (790,118,724) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | — | (127,408,634) |
Class 2 | — | (335,885) |
Total distributions to shareholders | — | (127,744,519) |
Decrease in net assets from capital stock activity | (124,700,719) | (259,491,981) |
Total decrease in net assets | (114,173) | (1,177,355,224) |
Net assets at beginning of period | 4,857,571,384 | 6,034,926,608 |
Net assets at end of period | $4,857,457,211 | $4,857,571,384 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Shares sold | 651,812 | 6,306,716 | 3,981,389 | 39,796,591 |
Distributions reinvested | — | — | 12,856,572 | 127,408,634 |
Shares redeemed | (13,668,602) | (132,159,401) | (43,208,596) | (427,273,065) |
Net decrease | (13,016,790) | (125,852,685) | (26,370,635) | (260,067,840) |
Class 2 | ||||
Shares sold | 192,946 | 1,849,144 | 296,830 | 2,949,137 |
Distributions reinvested | — | — | 34,031 | 335,885 |
Shares redeemed | (72,394) | (697,178) | (271,421) | (2,709,163) |
Net increase | 120,552 | 1,151,966 | 59,440 | 575,859 |
Total net decrease | (12,896,238) | (124,700,719) | (26,311,195) | (259,491,981) |
64 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 | 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 6/30/2023 (Unaudited) | $9.41 | 0.17 | 0.07 | 0.24 | — | — | — |
Year Ended 12/31/2022 | $11.12 | 0.24 | (1.71) | (1.47) | (0.17) | (0.07) | (0.24) |
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) |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $9.36 | 0.15 | 0.08 | 0.23 | — | — | — |
Year Ended 12/31/2022 | $11.07 | 0.22 | (1.71) | (1.49) | (0.15) | (0.07) | (0.22) |
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) |
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) | Ratios include interest on collateral expense which is less than 0.01%. |
66 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 |
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 6/30/2023 (Unaudited) | $9.65 | 2.55% | 0.47%(c) | 0.47%(c) | 3.45% | 106% | $4,841,030 |
Year Ended 12/31/2022 | $9.41 | (13.29%) | 0.47%(c) | 0.47%(c) | 2.45% | 248% | $4,842,663 |
Year Ended 12/31/2021 | $11.12 | (1.24%) | 0.47%(c) | 0.47%(c) | 1.55% | 276% | $6,017,964 |
Year Ended 12/31/2020 | $11.72 | 8.27% | 0.48%(c) | 0.48%(c) | 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 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $9.59 | 2.46% | 0.73%(c) | 0.73%(c) | 3.20% | 106% | $16,427 |
Year Ended 12/31/2022 | $9.36 | (13.60%) | 0.72%(c) | 0.72%(c) | 2.21% | 248% | $14,909 |
Year Ended 12/31/2021 | $11.07 | (1.41%) | 0.72%(c) | 0.72%(c) | 1.30% | 276% | $16,962 |
Year Ended 12/31/2020 | $11.66 | 7.97% | 0.73%(c) | 0.73%(c) | 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% | $9,303 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 | 67 |
June 30, 2023 (Unaudited)
68 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 | 69 |
June 30, 2023 (Unaudited)
70 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 | 71 |
June 30, 2023 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 198,980* |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 969,637* |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 227,292 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 5,311,793* |
Total | 6,508,722 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin for futures and centrally cleared swaps, if any, is reported in receivables or payables in the Statement of Assets and Liabilities. |
72 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | (4,145,887) | (4,145,887) |
Foreign exchange risk | (947,960) | — | — | (947,960) |
Interest rate risk | — | (2,054,095) | — | (2,054,095) |
Total | (947,960) | (2,054,095) | (4,145,887) | (7,147,942) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 2,588,644 | 2,588,644 |
Foreign exchange risk | (227,292) | — | — | (227,292) |
Interest rate risk | — | (2,610,384) | — | (2,610,384) |
Total | (227,292) | (2,610,384) | 2,588,644 | (249,032) |
Derivative instrument | Average notional amounts ($) |
Futures contracts — long | 411,346,926* |
Futures contracts — short | 6,433,525** |
Credit default swap contracts — buy protection | 43,550,000* |
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 112,624 | (177,425) |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2023. |
** | Based on the ending daily outstanding amounts for the six months ended June 30, 2023. |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 | 73 |
June 30, 2023 (Unaudited)
74 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Citi ($) | HSBC ($) | Total ($) | |
Liabilities | |||
Centrally cleared credit default swap contracts (a) | 346,711 | - | 346,711 |
Forward foreign currency exchange contracts | - | 227,292 | 227,292 |
Total liabilities | 346,711 | 227,292 | 574,003 |
Total financial and derivative net assets | (346,711) | (227,292) | (574,003) |
Total collateral received (pledged) (b) | (346,711) | - | (346,711) |
Net amount (c) | - | (227,292) | (227,292) |
(a) | Centrally cleared swaps are included within payable/receivable for variation margin in the Statement of Assets and Liabilities. |
(b) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(c) | Represents the net amount due from/(to) counterparties in the event of default. |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 | 75 |
June 30, 2023 (Unaudited)
76 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 | 77 |
June 30, 2023 (Unaudited)
Contractual expense cap July 1, 2023 through April 30, 2024 | Voluntary expense cap May 1, 2023 through June 30, 2023 | Contractual expense cap prior to May 1, 2023 | |
Class 1 | 0.53% | 0.54% | 0.54% |
Class 2 | 0.78 | 0.79 | 0.79 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
5,457,315,000 | 16,230,000 | (423,193,000) | (406,963,000) |
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
(208,424,564) | (108,043,880) | (316,468,444) |
78 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 | 79 |
June 30, 2023 (Unaudited)
80 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 | 81 |
June 30, 2023 (Unaudited)
82 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 |
• | 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 Core Bond Fund | Semiannual Report 2023 | 83 |
• | 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 one or more 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). |
84 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 | 85 |
86 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 |
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2023 | 87 |
June 30, 2023 (Unaudited)
3 | |
5 | |
6 | |
11 | |
12 | |
13 | |
14 | |
16 | |
25 | |
25 |
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/07/10 | 12.12 | 19.20 | 1.24 | 3.42 | |
Class 2 | 05/07/10 | 12.05 | 19.02 | 0.98 | 3.16 | |
MSCI EAFE Value Index (Net) | 9.28 | 17.40 | 2.93 | 4.15 |
Variable Portfolio – Partners International Value Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Equity sector breakdown (%) (at June 30, 2023) | |
Communication Services | 2.3 |
Consumer Discretionary | 12.9 |
Consumer Staples | 10.7 |
Energy | 4.2 |
Financials | 21.6 |
Health Care | 11.3 |
Industrials | 16.9 |
Information Technology | 9.3 |
Materials | 8.1 |
Real Estate | 0.3 |
Utilities | 2.4 |
Total | 100.0 |
Country breakdown (%) (at June 30, 2023) | |
Australia | 1.9 |
Belgium | 1.6 |
Brazil | 1.8 |
Canada | 0.6 |
China | 1.5 |
Denmark | 0.6 |
Finland | 1.8 |
France | 12.6 |
Germany | 12.7 |
Hong Kong | 1.9 |
Hungary | 0.1 |
Ireland | 1.5 |
Isle of Man | 0.4 |
Israel | 0.5 |
Italy | 1.4 |
Japan | 16.5 |
Netherlands | 8.8 |
Norway | 0.8 |
Singapore | 0.6 |
South Korea | 2.0 |
Spain | 0.8 |
Sweden | 1.2 |
Switzerland | 5.2 |
Taiwan | 1.2 |
United Kingdom | 17.9 |
United States(a) | 4.1 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds. |
4 | Variable Portfolio – Partners International Value Fund | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,121.20 | 1,020.74 | 4.44 | 4.23 | 0.84 |
Class 2 | 1,000.00 | 1,000.00 | 1,120.50 | 1,019.50 | 5.76 | 5.49 | 1.09 |
Variable Portfolio – Partners International Value Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (Unaudited)
Common Stocks 96.8% | ||
Issuer | Shares | Value ($) |
Australia 1.9% | ||
BHP Group Ltd. | 73,300 | 2,203,542 |
BHP Group Ltd., ADR | 37,500 | 2,237,625 |
Macquarie Group Ltd. | 64,100 | 7,627,122 |
Santos Ltd. | 1,654,500 | 8,278,271 |
Sonic Healthcare Ltd. | 29,200 | 694,424 |
Westpac Banking Corp. | 233,200 | 3,320,445 |
Woodside Energy Group Ltd. | 98,044 | 2,267,912 |
Total | 26,629,341 | |
Belgium 1.6% | ||
Anheuser-Busch InBev SA/NV | 210,300 | 11,919,267 |
Groupe Bruxelles Lambert NV | 50,700 | 3,996,867 |
KBC Group NV | 100,000 | 6,980,082 |
Total | 22,896,216 | |
Brazil 1.8% | ||
Ambev SA | 6,593,800 | 21,234,785 |
Banco do Brasil SA | 416,800 | 4,308,842 |
Total | 25,543,627 | |
Canada 0.6% | ||
CCL Industries, Inc., Class B | 8,000 | 393,252 |
Magna International, Inc. | 97,200 | 5,487,517 |
TFI International, Inc. | 27,457 | 3,128,201 |
Total | 9,008,970 | |
China 1.5% | ||
Alibaba Group Holding Ltd.(a) | 1,396,500 | 14,537,329 |
Trip.com Group Ltd., ADR(a) | 197,257 | 6,903,995 |
Total | 21,441,324 | |
Denmark 0.6% | ||
Danske Bank A/S(a) | 362,184 | 8,821,504 |
Finland 1.8% | ||
Nokia OYJ | 6,171,566 | 25,857,984 |
France 12.5% | ||
Accor SA | 502,783 | 18,709,272 |
Amundi SA | 313,633 | 18,529,028 |
Bouygues SA | 191,190 | 6,422,724 |
Capgemini SE | 51,200 | 9,694,339 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Cie de Saint-Gobain | 69,700 | 4,243,782 |
Cie Generale des Etablissements Michelin SCA | 695,816 | 20,583,164 |
Engie SA | 313,600 | 5,222,355 |
Publicis Groupe SA | 92,210 | 7,400,430 |
Rexel SA | 1,045,924 | 25,848,890 |
Sanofi | 296,384 | 31,907,452 |
Societe Generale SA | 184,000 | 4,785,149 |
Sodexo SA | 52,404 | 5,770,590 |
TotalEnergies SE | 162,700 | 9,339,734 |
Veolia Environnement SA | 379,740 | 12,020,845 |
Total | 180,477,754 | |
Germany 11.7% | ||
Allianz SE, Registered Shares | 38,000 | 8,851,101 |
BASF SE | 400,731 | 19,468,800 |
Bayer AG, Registered Shares | 144,925 | 8,022,334 |
Covestro AG(a) | 493,508 | 25,678,548 |
Daimler Truck Holding AG | 580,774 | 20,932,341 |
Deutsche Boerse AG | 27,400 | 5,058,438 |
DHL Group | 211,711 | 10,344,677 |
Fresenius Medical Care AG & Co. KGaA | 324,649 | 15,515,341 |
Heidelberg Materials AG | 126,500 | 10,403,184 |
Infineon Technologies AG | 218,600 | 9,002,440 |
K+S AG | 88,100 | 1,536,229 |
SAP SE | 97,600 | 13,332,883 |
Siemens AG, Registered Shares | 91,178 | 15,199,451 |
Siemens Energy AG(a) | 162,550 | 2,874,177 |
Talanx AG | 47,200 | 2,709,777 |
Total | 168,929,721 | |
Hong Kong 1.9% | ||
CK Asset Holdings Ltd. | 733,000 | 4,073,106 |
CK Hutchison Holdings Ltd. | 1,556,500 | 9,499,855 |
Galaxy Entertainment Group Ltd.(a) | 2,031,000 | 12,938,928 |
Total | 26,511,889 | |
Hungary 0.1% | ||
OTP Bank Nyrt | 57,008 | 2,026,660 |
6 | Variable Portfolio – Partners International Value Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Ireland 1.5% | ||
AIB Group PLC | 1,667,500 | 7,017,842 |
Bank of Ireland Group PLC | 725,073 | 6,922,593 |
Ryanair Holdings PLC, ADR(a) | 6,700 | 741,020 |
Smurfit Kappa Group PLC | 217,100 | 7,245,731 |
Total | 21,927,186 | |
Isle of Man 0.4% | ||
Entain PLC | 329,200 | 5,323,093 |
Israel 0.5% | ||
Check Point Software Technologies Ltd.(a) | 53,400 | 6,708,108 |
Italy 1.4% | ||
Enel SpA | 2,505,038 | 16,890,032 |
Prysmian SpA | 68,500 | 2,864,923 |
Total | 19,754,955 | |
Japan 16.5% | ||
Astellas Pharma, Inc. | 481,200 | 7,166,261 |
Bridgestone Corp. | 76,100 | 3,126,317 |
Denka Co., Ltd. | 118,300 | 2,235,315 |
FANUC Corp. | 190,400 | 6,684,115 |
Fujitsu Ltd. | 61,200 | 7,924,353 |
Fukuoka Financial Group, Inc. | 255,700 | 5,284,925 |
Hitachi Ltd. | 172,400 | 10,719,230 |
Iida Group Holdings Co., Ltd. | 219,400 | 3,707,605 |
Isuzu Motors Ltd. | 773,700 | 9,385,938 |
Kirin Holdings Co., Ltd. | 112,300 | 1,639,882 |
Komatsu Ltd. | 733,500 | 19,839,720 |
Kyocera Corp. | 131,600 | 7,154,051 |
MinebeaMitsumi, Inc. | 576,700 | 10,938,065 |
MS&AD Insurance Group Holdings, Inc. | 127,100 | 4,500,903 |
Nintendo Co., Ltd. | 188,000 | 8,570,606 |
Olympus Corp. | 296,600 | 4,693,800 |
ORIX Corp. | 529,300 | 9,652,420 |
Rakuten Group, Inc. | 1,090,800 | 3,800,924 |
Resona Holdings, Inc. | 2,332,850 | 11,169,630 |
SBI Holdings, Inc. | 353,900 | 6,825,297 |
Seven & I Holdings Co., Ltd. | 252,700 | 10,917,186 |
Sony Group Corp. | 155,200 | 14,009,937 |
Square Enix Holdings Co., Ltd. | 62,500 | 2,907,993 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Subaru Corp. | 939,800 | 17,699,984 |
Sumitomo Mitsui Financial Group, Inc. | 276,600 | 11,854,923 |
T&D Holdings, Inc. | 250,000 | 3,666,462 |
Takeda Pharmaceutical Co., Ltd. | 322,600 | 10,136,918 |
Toray Industries, Inc. | 1,783,900 | 9,945,981 |
Toyota Industries Corp. | 152,600 | 10,932,896 |
Total | 237,091,637 | |
Netherlands 8.8% | ||
AerCap Holdings NV(a) | 153,600 | 9,756,672 |
ArcelorMittal SA | 730,681 | 19,936,006 |
ASML Holding NV | 13,100 | 9,501,804 |
CNH Industrial NV | 418,300 | 6,032,978 |
EXOR NV | 32,900 | 2,937,132 |
Heineken Holding NV | 83,820 | 7,294,193 |
ING Groep NV | 1,598,679 | 21,552,746 |
Koninklijke Philips NV | 917,828 | 19,887,184 |
NXP Semiconductors NV | 29,800 | 6,099,464 |
Randstad NV | 343,074 | 18,093,629 |
Shell PLC | 58,600 | 1,748,137 |
Stellantis NV | 200,200 | 3,519,675 |
Total | 126,359,620 | |
Norway 0.8% | ||
Aker BP ASA | 237,504 | 5,572,177 |
DNB Bank ASA | 344,100 | 6,434,914 |
Total | 12,007,091 | |
Singapore 0.6% | ||
DBS Group Holdings Ltd. | 378,000 | 8,827,352 |
South Korea 2.0% | ||
Samsung Electronics Co., Ltd. | 314,143 | 17,297,745 |
Shinhan Financial Group Co., Ltd. | 399,670 | 10,332,360 |
Shinhan Financial Group Co., Ltd., ADR | 15,057 | 392,385 |
Total | 28,022,490 | |
Spain 0.8% | ||
CaixaBank SA | 2,801,976 | 11,606,668 |
Sweden 1.2% | ||
Essity AB, Class B | 267,000 | 7,110,657 |
Husqvarna AB, Class B | 153,200 | 1,390,071 |
Skandinaviska Enskilda Banken AB, Class A | 407,900 | 4,511,480 |
Variable Portfolio – Partners International Value Fund | Semiannual Report 2023 | 7 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Volvo AB, B Shares | 176,600 | 3,654,741 |
Total | 16,666,949 | |
Switzerland 5.2% | ||
ABB Ltd. | 192,200 | 7,561,312 |
Alcon, Inc. | 18,900 | 1,567,989 |
Cie Financiere Richemont SA, Class A, Registered Shares | 49,600 | 8,425,453 |
Julius Baer Group Ltd. | 254,046 | 16,032,217 |
Nestlé SA, Registered Shares | 113,300 | 13,629,039 |
Novartis AG, Registered Shares | 132,700 | 13,378,739 |
UBS AG | 722,015 | 14,634,284 |
Total | 75,229,033 | |
Taiwan 1.2% | ||
Hon Hai Precision Industry Co., Ltd. | 4,752,000 | 17,277,037 |
United Kingdom 17.8% | ||
Ashtead Group PLC | 126,800 | 8,791,158 |
Aviva PLC | 1,411,700 | 7,102,623 |
Barclays Bank PLC | 3,610,421 | 7,053,288 |
Barratt Developments PLC | 441,600 | 2,320,926 |
BP PLC | 1,651,600 | 9,616,240 |
Bunzl PLC | 123,200 | 4,694,915 |
Burberry Group PLC | 84,100 | 2,269,312 |
DCC PLC | 129,794 | 7,260,880 |
Dowlais Group PLC(a) | 664,944 | 1,072,487 |
Glencore PLC | 985,600 | 5,588,239 |
GSK PLC | 386,100 | 6,842,682 |
HSBC Holdings PLC | 1,893,281 | 14,990,702 |
HSBC Holdings PLC, ADR | 37,022 | 1,466,812 |
Inchcape PLC | 379,300 | 3,753,744 |
Informa PLC | 699,100 | 6,454,913 |
J. Sainsbury PLC | 5,488,492 | 18,762,296 |
John Wood Group PLC(a) | 436,600 | 752,199 |
Kingfisher PLC | 1,829,700 | 5,392,564 |
Legal & General Group PLC | 1,927,200 | 5,579,828 |
Liberty Global PLC, Class C(a) | 256,100 | 4,550,897 |
Linde PLC | 19,500 | 7,431,060 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Lloyds Banking Group PLC | 14,735,100 | 8,168,383 |
Melrose Industries PLC | 23,199 | 149,475 |
NatWest Group PLC | 2,263,723 | 6,919,049 |
NatWest Group PLC, ADR | 122,191 | 747,809 |
Persimmon PLC | 212,500 | 2,768,813 |
Reckitt Benckiser Group PLC | 280,958 | 21,114,238 |
Shell PLC, ADR | 359,653 | 21,715,848 |
Smith & Nephew PLC | 539,000 | 8,695,865 |
Standard Chartered PLC | 1,195,197 | 10,398,325 |
Tesco PLC | 7,461,486 | 23,537,606 |
Travis Perkins PLC | 835,926 | 8,657,573 |
Unilever PLC | 189,000 | 9,842,031 |
Vodafone Group PLC | 2,205,129 | 2,079,059 |
Total | 256,541,839 | |
United States 2.1% | ||
Roche Holding AG, Genusschein Shares | 100,650 | 30,745,561 |
Total Common Stocks (Cost $1,379,182,849) | 1,392,233,609 |
Preferred Stocks 0.9% | |||
Issuer | Shares | Value ($) | |
Germany 0.9% | |||
Henkel AG & Co. KGaA | 44,600 | 3,566,941 | |
Volkswagen AG | 72,219 | 9,711,484 | |
Total | 13,278,425 | ||
Total Preferred Stocks (Cost $21,925,179) | 13,278,425 |
Money Market Funds 1.9% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(b),(c) | 27,433,016 | 27,422,043 |
Total Money Market Funds (Cost $27,420,322) | 27,422,043 | |
Total Investments in Securities (Cost $1,428,528,350) | 1,432,934,077 | |
Other Assets & Liabilities, Net | 6,311,479 | |
Net Assets | $1,439,245,556 |
8 | Variable Portfolio – Partners International Value Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | ||||||||
5,064,419 | 92,305,498 | (69,949,573) | 1,699 | 27,422,043 | (2,170) | 394,633 | 27,433,016 |
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 2023 | 9 |
June 30, 2023 (Unaudited)
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2023:
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Australia | 2,237,625 | 24,391,716 | — | 26,629,341 |
Belgium | — | 22,896,216 | — | 22,896,216 |
Brazil | 25,543,627 | — | — | 25,543,627 |
Canada | 9,008,970 | — | — | 9,008,970 |
China | 6,903,995 | 14,537,329 | — | 21,441,324 |
Denmark | — | 8,821,504 | — | 8,821,504 |
Finland | — | 25,857,984 | — | 25,857,984 |
France | — | 180,477,754 | — | 180,477,754 |
Germany | — | 168,929,721 | — | 168,929,721 |
Hong Kong | — | 26,511,889 | — | 26,511,889 |
Hungary | — | 2,026,660 | — | 2,026,660 |
Ireland | 741,020 | 21,186,166 | — | 21,927,186 |
Isle of Man | — | 5,323,093 | — | 5,323,093 |
Israel | 6,708,108 | — | — | 6,708,108 |
Italy | — | 19,754,955 | — | 19,754,955 |
Japan | — | 237,091,637 | — | 237,091,637 |
Netherlands | 15,856,136 | 110,503,484 | — | 126,359,620 |
Norway | — | 12,007,091 | — | 12,007,091 |
Singapore | — | 8,827,352 | — | 8,827,352 |
South Korea | 392,385 | 27,630,105 | — | 28,022,490 |
Spain | — | 11,606,668 | — | 11,606,668 |
Sweden | — | 16,666,949 | — | 16,666,949 |
Switzerland | — | 75,229,033 | — | 75,229,033 |
Taiwan | — | 17,277,037 | — | 17,277,037 |
United Kingdom | 35,912,426 | 220,629,413 | — | 256,541,839 |
United States | — | 30,745,561 | — | 30,745,561 |
Total Common Stocks | 103,304,292 | 1,288,929,317 | — | 1,392,233,609 |
Preferred Stocks | ||||
Germany | — | 13,278,425 | — | 13,278,425 |
Total Preferred Stocks | — | 13,278,425 | — | 13,278,425 |
Money Market Funds | 27,422,043 | — | — | 27,422,043 |
Total Investments in Securities | 130,726,335 | 1,302,207,742 | — | 1,432,934,077 |
10 | Variable Portfolio – Partners International Value Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,401,108,028) | $1,405,512,034 |
Affiliated issuers (cost $27,420,322) | 27,422,043 |
Foreign currency (cost $3,216,782) | 3,209,618 |
Receivable for: | |
Investments sold | 3,543,528 |
Capital shares sold | 900 |
Dividends | 1,989,041 |
Foreign tax reclaims | 6,260,762 |
Expense reimbursement due from Investment Manager | 446 |
Prepaid expenses | 7,548 |
Total assets | 1,447,945,920 |
Liabilities | |
Due to custodian | 24,964 |
Payable for: | |
Investments purchased | 7,656,115 |
Capital shares redeemed | 840,459 |
Management services fees | 32,097 |
Distribution and/or service fees | 203 |
Service fees | 1,446 |
Compensation of board members | 122,567 |
Compensation of chief compliance officer | 121 |
Other expenses | 22,392 |
Total liabilities | 8,700,364 |
Net assets applicable to outstanding capital stock | $1,439,245,556 |
Represented by | |
Paid in capital | 1,468,135,467 |
Total distributable earnings (loss) | (28,889,911) |
Total - representing net assets applicable to outstanding capital stock | $1,439,245,556 |
Class 1 | |
Net assets | $1,409,333,649 |
Shares outstanding | 146,605,340 |
Net asset value per share | $9.61 |
Class 2 | |
Net assets | $29,911,907 |
Shares outstanding | 3,124,784 |
Net asset value per share | $9.57 |
Variable Portfolio – Partners International Value Fund | Semiannual Report 2023 | 11 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $36,657,398 |
Dividends — affiliated issuers | 394,633 |
Foreign taxes withheld | (3,057,099) |
Total income | 33,994,932 |
Expenses: | |
Management services fees | 5,797,519 |
Distribution and/or service fees | |
Class 2 | 35,636 |
Service fees | 9,004 |
Compensation of board members | 17,802 |
Custodian fees | 78,853 |
Printing and postage fees | 6,738 |
Accounting services fees | 45,525 |
Legal fees | 15,306 |
Interest on interfund lending | 3,030 |
Compensation of chief compliance officer | 147 |
Other | 14,708 |
Total expenses | 6,024,268 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (58,858) |
Total net expenses | 5,965,410 |
Net investment income | 28,029,522 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (1,446,451) |
Investments — affiliated issuers | (2,170) |
Foreign currency translations | (231,382) |
Net realized loss | (1,680,003) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 134,184,406 |
Investments — affiliated issuers | 1,699 |
Foreign currency translations | 163,746 |
Net change in unrealized appreciation (depreciation) | 134,349,851 |
Net realized and unrealized gain | 132,669,848 |
Net increase in net assets resulting from operations | $160,699,370 |
12 | Variable Portfolio – Partners International Value Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment income | $28,029,522 | $39,336,180 |
Net realized loss | (1,680,003) | (28,953,773) |
Net change in unrealized appreciation (depreciation) | 134,349,851 | (187,364,675) |
Net increase (decrease) in net assets resulting from operations | 160,699,370 | (176,982,268) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (29,845,545) | (32,784,196) |
Class 2 | (549,295) | (567,247) |
Total distributions to shareholders | (30,394,840) | (33,351,443) |
Decrease in net assets from capital stock activity | (25,611,634) | (15,248,669) |
Total increase (decrease) in net assets | 104,692,896 | (225,582,380) |
Net assets at beginning of period | 1,334,552,660 | 1,560,135,040 |
Net assets at end of period | $1,439,245,556 | $1,334,552,660 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Shares sold | 242,319 | 2,273,782 | 994,398 | 8,557,367 |
Distributions reinvested | 3,216,115 | 29,845,545 | 3,422,150 | 32,784,196 |
Shares redeemed | (6,175,494) | (58,370,142) | (6,497,245) | (59,175,715) |
Net decrease | (2,717,060) | (26,250,815) | (2,080,697) | (17,834,152) |
Class 2 | ||||
Shares sold | 120,691 | 1,134,308 | 487,207 | 4,330,877 |
Distributions reinvested | 59,447 | 549,295 | 59,397 | 567,247 |
Shares redeemed | (111,598) | (1,044,422) | (271,046) | (2,312,641) |
Net increase | 68,540 | 639,181 | 275,558 | 2,585,483 |
Total net decrease | (2,648,520) | (25,611,634) | (1,805,139) | (15,248,669) |
Variable Portfolio – Partners International Value Fund | Semiannual Report 2023 | 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 | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $8.76 | 0.19 | 0.86 | 1.05 | (0.20) | — | (0.20) |
Year Ended 12/31/2022 | $10.12 | 0.25(d) | (1.39) | (1.14) | (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) |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $8.71 | 0.17 | 0.87 | 1.04 | (0.18) | — | (0.18) |
Year Ended 12/31/2022 | $10.07 | 0.23(d) | (1.40) | (1.17) | (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) |
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) | Ratios include interfund lending expense which is less than 0.01%. |
(d) | Net investment income per share includes European Union tax reclaims. The effect of these reclaims amounted to $0.01 per share. |
14 | Variable Portfolio – Partners International Value Fund | Semiannual Report 2023 |
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 6/30/2023 (Unaudited) | $9.61 | 12.12% | 0.85%(c) | 0.84%(c) | 3.98% | 7% | $1,409,334 |
Year Ended 12/31/2022 | $8.76 | (11.46%) | 0.85% | 0.84% | 2.90% | 21% | $1,307,922 |
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%(c) | 0.85%(c) | 1.72% | 77% | $1,121,635 |
Year Ended 12/31/2019 | $9.71 | 13.53% | 0.88%(c) | 0.88%(c) | 3.17% | 22% | $1,028,139 |
Year Ended 12/31/2018 | $9.17 | (17.30%) | 0.83% | 0.83% | 2.70% | 16% | $821,718 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $9.57 | 12.05% | 1.10%(c) | 1.09%(c) | 3.74% | 7% | $29,912 |
Year Ended 12/31/2022 | $8.71 | (11.75%) | 1.10% | 1.09% | 2.65% | 21% | $26,630 |
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%(c) | 1.10%(c) | 1.54% | 77% | $20,892 |
Year Ended 12/31/2019 | $9.69 | 13.20% | 1.13%(c) | 1.13%(c) | 2.93% | 22% | $23,667 |
Year Ended 12/31/2018 | $9.15 | (17.48%) | 1.09% | 1.09% | 2.41% | 16% | $19,537 |
Variable Portfolio – Partners International Value Fund | Semiannual Report 2023 | 15 |
June 30, 2023 (Unaudited)
16 | Variable Portfolio – Partners International Value Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – Partners International Value Fund | Semiannual Report 2023 | 17 |
June 30, 2023 (Unaudited)
18 | Variable Portfolio – Partners International Value Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – Partners International Value Fund | Semiannual Report 2023 | 19 |
June 30, 2023 (Unaudited)
Fee rate(s) contractual through April 30, 2024 | |
Class 1 | 0.84% |
Class 2 | 1.09 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
1,428,528,000 | 133,655,000 | (129,249,000) | 4,406,000 |
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
— | (47,487,236) | (47,487,236) |
20 | Variable Portfolio – Partners International Value Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Borrower | 826,923 | 5.10 | 26 |
Variable Portfolio – Partners International Value Fund | Semiannual Report 2023 | 21 |
June 30, 2023 (Unaudited)
22 | Variable Portfolio – Partners International Value Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – Partners International Value Fund | Semiannual Report 2023 | 23 |
June 30, 2023 (Unaudited)
24 | Variable Portfolio – Partners International Value Fund | Semiannual Report 2023 |
• | 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 2023 | 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 one or more 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 Value Fund | Semiannual Report 2023 |
Variable Portfolio – Partners International Value Fund | Semiannual Report 2023 | 27 |
28 | Variable Portfolio – Partners International Value Fund | Semiannual Report 2023 |
Variable Portfolio – Partners International Value Fund | Semiannual Report 2023 | 29 |
June 30, 2023 (Unaudited)
3 | |
5 | |
6 | |
10 | |
11 | |
12 | |
14 | |
16 | |
24 | |
24 |
(Unaudited)
Schroder Investment Management North America Limited (sub-subadviser)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/07/10 | 13.44 | 18.42 | 3.62 | 4.02 | |
Class 2 | 05/07/10 | 13.16 | 18.04 | 3.34 | 3.75 | |
MSCI EAFE Index (Net) | 11.67 | 18.77 | 4.39 | 5.41 |
Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Equity sector breakdown (%) (at June 30, 2023) | |
Communication Services | 2.1 |
Consumer Discretionary | 13.7 |
Consumer Staples | 12.2 |
Energy | 2.9 |
Financials | 12.2 |
Health Care | 19.0 |
Industrials | 17.6 |
Information Technology | 16.4 |
Utilities | 3.9 |
Total | 100.0 |
Country breakdown (%) (at June 30, 2023) | |
Argentina | 1.8 |
Austria | 1.8 |
China | 0.7 |
Denmark | 4.5 |
France | 10.4 |
Germany | 10.6 |
Hong Kong | 2.7 |
India | 1.8 |
Italy | 1.5 |
Japan | 18.0 |
Netherlands | 6.1 |
South Korea | 2.2 |
Spain | 2.3 |
Sweden | 1.9 |
Switzerland | 8.0 |
Taiwan | 1.7 |
United Kingdom | 16.8 |
United States(a) | 7.2 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds. |
4 | Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | |||||||
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 | 1,134.40 | 1,020.84 | 4.36 | 4.13 | 0.82 |
Class 2 | 1,000.00 | 1,000.00 | 1,131.60 | 1,019.60 | 5.69 | 5.39 | 1.07 |
Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (Unaudited)
Common Stocks 96.5% | ||
Issuer | Shares | Value ($) |
Argentina 1.8% | ||
MercadoLibre, Inc.(a) | 27,729 | 32,847,773 |
Austria 1.8% | ||
Erste Group Bank AG | 924,205 | 32,419,146 |
China 0.7% | ||
Contemporary Amperex Technology Co., Ltd., Class A | 411,481 | 13,001,253 |
Denmark 4.5% | ||
Novo Nordisk A/S, Class B | 311,186 | 50,268,938 |
Vestas Wind Systems A/S(a) | 1,242,547 | 33,036,004 |
Total | 83,304,942 | |
France 10.3% | ||
Carrefour SA | 1,525,669 | 28,912,537 |
EssilorLuxottica SA | 200,456 | 37,800,050 |
Legrand SA | 238,939 | 23,703,669 |
Sanofi | 430,495 | 46,345,278 |
Schneider Electric SE | 293,728 | 53,592,716 |
Total | 190,354,250 | |
Germany 8.5% | ||
Infineon Technologies AG | 1,033,768 | 42,572,895 |
SAP SE | 422,809 | 57,758,839 |
Siemens AG, Registered Shares | 343,468 | 57,256,411 |
Total | 157,588,145 | |
Hong Kong 2.7% | ||
AIA Group Ltd. | 4,919,400 | 49,963,884 |
India 1.8% | ||
HDFC Bank Ltd., ADR | 480,644 | 33,500,887 |
Italy 1.5% | ||
FinecoBank Banca Fineco SpA | 2,031,142 | 27,340,419 |
Japan 17.9% | ||
Bridgestone Corp. | 946,000 | 38,863,278 |
FUJIFILM Holdings Corp. | 389,900 | 23,231,476 |
KDDI Corp. | 1,256,300 | 38,798,464 |
Keyence Corp. | 93,500 | 44,427,152 |
Mitsubishi UFJ Financial Group, Inc. | 7,099,500 | 52,330,939 |
Recruit Holdings Co., Ltd. | 883,900 | 28,209,973 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
SMC Corp. | 51,600 | 28,677,315 |
Sony Group Corp. | 522,300 | 47,148,131 |
Terumo Corp. | 928,300 | 29,566,041 |
Total | 331,252,769 | |
Netherlands 6.1% | ||
ASML Holding NV | 82,838 | 60,084,764 |
Shell PLC | 1,718,351 | 51,762,252 |
Total | 111,847,016 | |
South Korea 2.2% | ||
Samsung Electronics Co., Ltd. | 745,374 | 41,042,739 |
Spain 2.3% | ||
Iberdrola SA | 3,182,172 | 41,555,350 |
Sweden 1.8% | ||
Nibe Industrier AB, Class B | 735,684 | 6,995,145 |
Svenska Handelsbanken AB, Class A | 3,228,570 | 27,030,399 |
Total | 34,025,544 | |
Switzerland 7.9% | ||
Chocoladefabriken Lindt & Spruengli AG | 3,410 | 42,873,881 |
Lonza Group AG, Registered Shares | 61,105 | 36,523,239 |
Nestlé SA, Registered Shares | 558,879 | 67,228,453 |
Total | 146,625,573 | |
Taiwan 1.6% | ||
Taiwan Semiconductor Manufacturing Co., Ltd., ADR | 299,176 | 30,192,842 |
United Kingdom 16.7% | ||
AstraZeneca PLC | 363,805 | 52,153,003 |
Bunzl PLC | 781,281 | 29,773,117 |
Burberry Group PLC | 1,114,519 | 30,073,620 |
Diageo PLC | 977,678 | 42,031,358 |
GSK PLC | 2,136,061 | 37,856,476 |
National Grid PLC | 2,206,544 | 29,255,181 |
NMC Health PLC(a),(b),(c) | 293,698 | 0 |
Reckitt Benckiser Group PLC | 555,517 | 41,747,585 |
RELX PLC | 1,388,063 | 46,306,789 |
Total | 309,197,129 |
6 | Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
United States 6.4% | ||
Booking Holdings, Inc.(a) | 11,641 | 31,434,542 |
lululemon athletica, Inc.(a) | 85,532 | 32,373,862 |
Roche Holding AG, Genusschein Shares | 180,769 | 55,219,517 |
Total | 119,027,921 | |
Total Common Stocks (Cost $1,662,500,872) | 1,785,087,582 |
Preferred Stocks 2.0% | |||
Issuer | Shares | Value ($) | |
Germany 2.0% | |||
Porsche AG | 299,646 | 37,224,625 | |
Total Preferred Stocks (Cost $24,736,865) | 37,224,625 |
Money Market Funds 0.7% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(d),(e) | 13,509,381 | 13,503,977 |
Total Money Market Funds (Cost $13,503,391) | 13,503,977 | |
Total Investments in Securities (Cost $1,700,741,128) | 1,835,816,184 | |
Other Assets & Liabilities, Net | 13,995,815 | |
Net Assets | $1,849,811,999 |
(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, 2023, the total value of these securities amounted to $0, which represents less than 0.01% of total net assets. |
(c) | Valuation based on significant unobservable inputs. |
(d) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
(e) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | ||||||||
10,942,105 | 216,385,908 | (213,824,622) | 586 | 13,503,977 | 3,452 | 405,129 | 13,509,381 |
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 2023 | 7 |
June 30, 2023 (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 | 32,847,773 | — | — | 32,847,773 |
Austria | — | 32,419,146 | — | 32,419,146 |
China | — | 13,001,253 | — | 13,001,253 |
Denmark | — | 83,304,942 | — | 83,304,942 |
France | — | 190,354,250 | — | 190,354,250 |
Germany | — | 157,588,145 | — | 157,588,145 |
Hong Kong | — | 49,963,884 | — | 49,963,884 |
India | 33,500,887 | — | — | 33,500,887 |
Italy | — | 27,340,419 | — | 27,340,419 |
Japan | — | 331,252,769 | — | 331,252,769 |
Netherlands | — | 111,847,016 | — | 111,847,016 |
South Korea | — | 41,042,739 | — | 41,042,739 |
Spain | — | 41,555,350 | — | 41,555,350 |
Sweden | — | 34,025,544 | — | 34,025,544 |
Switzerland | — | 146,625,573 | — | 146,625,573 |
Taiwan | 30,192,842 | — | — | 30,192,842 |
United Kingdom | — | 309,197,129 | 0* | 309,197,129 |
United States | 63,808,404 | 55,219,517 | — | 119,027,921 |
Total Common Stocks | 160,349,906 | 1,624,737,676 | 0* | 1,785,087,582 |
Preferred Stocks | ||||
Germany | — | 37,224,625 | — | 37,224,625 |
Total Preferred Stocks | — | 37,224,625 | — | 37,224,625 |
Money Market Funds | 13,503,977 | — | — | 13,503,977 |
Total Investments in Securities | 173,853,883 | 1,661,962,301 | 0* | 1,835,816,184 |
* | Rounds to zero. |
8 | Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2023 |
June 30, 2023 (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.
Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2023 | 9 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,687,237,737) | $1,822,312,207 |
Affiliated issuers (cost $13,503,391) | 13,503,977 |
Foreign currency (cost $377,808) | 371,484 |
Receivable for: | |
Capital shares sold | 18,139 |
Dividends | 3,891,984 |
Foreign tax reclaims | 10,081,353 |
Prepaid expenses | 15,715 |
Other assets | 16,515 |
Total assets | 1,850,211,374 |
Liabilities | |
Due to custodian | 59 |
Payable for: | |
Capital shares redeemed | 167,525 |
Management services fees | 40,129 |
Distribution and/or service fees | 149 |
Service fees | 739 |
Compensation of board members | 153,934 |
Compensation of chief compliance officer | 167 |
Custodian fees | 36,673 |
Total liabilities | 399,375 |
Net assets applicable to outstanding capital stock | $1,849,811,999 |
Represented by | |
Paid in capital | 1,709,044,435 |
Total distributable earnings (loss) | 140,767,564 |
Total - representing net assets applicable to outstanding capital stock | $1,849,811,999 |
Class 1 | |
Net assets | $1,827,750,671 |
Shares outstanding | 185,794,176 |
Net asset value per share | $9.84 |
Class 2 | |
Net assets | $22,061,328 |
Shares outstanding | 2,263,960 |
Net asset value per share | $9.74 |
10 | Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $31,669,320 |
Dividends — affiliated issuers | 405,129 |
Foreign taxes withheld | (2,769,935) |
Total income | 29,304,514 |
Expenses: | |
Management services fees | 7,430,619 |
Distribution and/or service fees | |
Class 2 | 24,948 |
Service fees | 6,406 |
Compensation of board members | 21,070 |
Custodian fees | 89,995 |
Printing and postage fees | 4,579 |
Accounting services fees | 53,118 |
Legal fees | 18,439 |
Compensation of chief compliance officer | 191 |
Other | 17,148 |
Total expenses | 7,666,513 |
Net investment income | 21,638,001 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 38,126,713 |
Investments — affiliated issuers | 3,452 |
Foreign currency translations | (422,216) |
Net realized gain | 37,707,949 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 173,553,091 |
Investments — affiliated issuers | 586 |
Foreign currency translations | 334,018 |
Net change in unrealized appreciation (depreciation) | 173,887,695 |
Net realized and unrealized gain | 211,595,644 |
Net increase in net assets resulting from operations | $233,233,645 |
Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2023 | 11 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment income | $21,638,001 | $27,725,838 |
Net realized gain (loss) | 37,707,949 | (49,796,145) |
Net change in unrealized appreciation (depreciation) | 173,887,695 | (430,452,816) |
Net increase (decrease) in net assets resulting from operations | 233,233,645 | (452,523,123) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (26,527,395) | (375,784,857) |
Class 2 | (235,264) | (3,057,530) |
Total distributions to shareholders | (26,762,659) | (378,842,387) |
Increase (decrease) in net assets from capital stock activity | (152,013,914) | 458,146,208 |
Total increase (decrease) in net assets | 54,457,072 | (373,219,302) |
Net assets at beginning of period | 1,795,354,927 | 2,168,574,229 |
Net assets at end of period | $1,849,811,999 | $1,795,354,927 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Shares sold | 334,544 | 3,232,468 | 29,584,504 | 347,254,537 |
Distributions reinvested | 2,766,152 | 26,527,395 | 42,765,251 | 375,784,857 |
Shares redeemed | (19,240,830) | (183,946,670) | (28,928,037) | (271,468,552) |
Net increase (decrease) | (16,140,134) | (154,186,807) | 43,421,718 | 451,570,842 |
Class 2 | ||||
Shares sold | 256,923 | 2,469,254 | 547,079 | 5,445,468 |
Distributions reinvested | 24,764 | 235,264 | 351,901 | 3,057,530 |
Shares redeemed | (56,518) | (531,625) | (192,674) | (1,927,632) |
Net increase | 225,169 | 2,172,893 | 706,306 | 6,575,366 |
Total net increase (decrease) | (15,914,965) | (152,013,914) | 44,128,024 | 458,146,208 |
12 | Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2023 |
Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2023 | 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 | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $8.80 | 0.11 | 1.07 | 1.18 | (0.14) | — | (0.14) |
Year Ended 12/31/2022 | $13.57 | 0.14 | (2.82) | (2.68) | (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) |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $8.71 | 0.10 | 1.04 | 1.14 | (0.11) | — | (0.11) |
Year Ended 12/31/2022 | $13.44 | 0.11 | (2.78) | (2.67) | (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) |
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) | Ratios include interfund lending expense which is less than 0.01%. |
14 | Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2023 |
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 6/30/2023 (Unaudited) | $9.84 | 13.44% | 0.82% | 0.82% | 2.33% | 12% | $1,827,751 |
Year Ended 12/31/2022 | $8.80 | (19.51%) | 0.82%(c) | 0.82%(c) | 1.45% | 46% | $1,777,600 |
Year Ended 12/31/2021 | $13.57 | 13.55% | 0.80%(c) | 0.80%(c) | 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 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $9.74 | 13.16% | 1.07% | 1.07% | 2.14% | 12% | $22,061 |
Year Ended 12/31/2022 | $8.71 | (19.64%) | 1.07%(c) | 1.07%(c) | 1.16% | 46% | $17,755 |
Year Ended 12/31/2021 | $13.44 | 13.18% | 1.06%(c) | 1.06%(c) | 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% | $6,925 |
Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2023 | 15 |
June 30, 2023 (Unaudited)
16 | Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2023 | 17 |
June 30, 2023 (Unaudited)
18 | Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2023 | 19 |
June 30, 2023 (Unaudited)
May 1, 2023 through April 30, 2024 | Prior to May 1, 2023 | |
Class 1 | 0.84% | 0.88% |
Class 2 | 1.09 | 1.13 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
1,700,741,000 | 184,133,000 | (49,058,000) | 135,075,000 |
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
(50,135,356) | — | (50,135,356) |
20 | Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2023 | 21 |
June 30, 2023 (Unaudited)
22 | Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2023 | 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 | Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2023 |
• | 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 one or more 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 International Core Equity Fund | Semiannual Report 2023 | 25 |
26 | Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2023 |
Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2023 | 27 |
28 | Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
3 | |
5 | |
6 | |
10 | |
11 | |
12 | |
14 | |
16 | |
25 | |
25 |
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/07/10 | 13.07 | 16.78 | 3.57 | 4.96 | |
Class 2 | 05/07/10 | 12.84 | 16.47 | 3.30 | 4.70 | |
MSCI EAFE Growth Index (Net) | 14.18 | 20.20 | 5.44 | 6.43 |
Variable Portfolio – Partners International Growth Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Equity sector breakdown (%) (at June 30, 2023) | |
Consumer Discretionary | 18.1 |
Consumer Staples | 6.3 |
Energy | 3.3 |
Financials | 10.8 |
Health Care | 16.3 |
Industrials | 23.6 |
Information Technology | 16.0 |
Materials | 4.5 |
Real Estate | 0.7 |
Utilities | 0.4 |
Total | 100.0 |
Country breakdown (%) (at June 30, 2023) | |
Argentina | 1.1 |
Australia | 1.7 |
Brazil | 0.6 |
Canada | 7.1 |
China | 3.1 |
Denmark | 5.0 |
Finland | 0.4 |
France | 13.2 |
Germany | 2.5 |
Hong Kong | 3.4 |
India | 4.1 |
Ireland | 1.2 |
Italy | 1.4 |
Japan | 10.3 |
Netherlands | 4.7 |
Norway | 0.8 |
Singapore | 0.5 |
South Korea | 0.9 |
Spain | 3.0 |
Sweden | 4.1 |
Switzerland | 7.3 |
Taiwan | 2.9 |
United Kingdom | 16.7 |
United States(a) | 4.0 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds. |
4 | Variable Portfolio – Partners International Growth Fund | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,130.70 | 1,020.64 | 4.57 | 4.33 | 0.86 |
Class 2 | 1,000.00 | 1,000.00 | 1,128.40 | 1,019.40 | 5.89 | 5.59 | 1.11 |
Variable Portfolio – Partners International Growth Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (Unaudited)
Common Stocks 97.2% | ||
Issuer | Shares | Value ($) |
Argentina 1.1% | ||
Globant SA(a) | 23,555 | 4,233,305 |
MercadoLibre, Inc.(a) | 8,414 | 9,967,224 |
Total | 14,200,529 | |
Australia 1.7% | ||
Cochlear Ltd. | 25,500 | 3,906,807 |
CSL Ltd. | 99,640 | 18,451,215 |
Total | 22,358,022 | |
Brazil 0.6% | ||
B3 SA - Brasil Bolsa Balcao | 2,448,900 | 7,472,208 |
Canada 7.1% | ||
Alimentation Couche-Tard, Inc. | 216,700 | 11,111,856 |
Canadian National Railway Co. | 66,900 | 8,101,225 |
Canadian Pacific Kansas City Ltd. | 29,305 | 2,366,965 |
Canadian Pacific Kansas City Ltd. | 286,948 | 23,176,790 |
Dollarama, Inc. | 303,414 | 20,549,012 |
Intact Financial Corp. | 108,280 | 16,718,318 |
Toronto-Dominion Bank (The) | 178,819 | 11,083,471 |
Total | 93,107,637 | |
China 3.0% | ||
Alibaba Group Holding Ltd.(a) | 1,638,900 | 17,060,671 |
Contemporary Amperex Technology Co., Ltd., Class A | 328,380 | 10,375,574 |
Kweichow Moutai Co., Ltd., Class A | 54,400 | 12,680,868 |
Total | 40,117,113 | |
Denmark 5.0% | ||
Chr. Hansen Holding A/S | 49,000 | 3,406,410 |
Coloplast A/S, Class B | 40,600 | 5,080,530 |
DSV A/S | 73,814 | 15,504,010 |
Novo Nordisk A/S, Class B | 239,411 | 38,674,416 |
Novozymes AS, Class B | 69,900 | 3,261,471 |
Total | 65,926,837 | |
Finland 0.4% | ||
KONE OYJ, Class B | 113,500 | 5,929,762 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
France 13.1% | ||
Air Liquide SA | 43,780 | 7,851,290 |
Airbus Group SE | 118,140 | 17,080,887 |
Dassault Systemes SE | 527,132 | 23,357,732 |
Hermes International | 2,440 | 5,303,875 |
L’Oreal SA | 57,921 | 27,018,762 |
LVMH Moet Hennessy Louis Vuitton SE | 39,287 | 37,044,196 |
Safran SA | 98,445 | 15,427,289 |
Sartorius Stedim Biotech | 30,758 | 7,681,929 |
TotalEnergies SE | 137,200 | 7,875,916 |
VINCI SA | 206,560 | 24,001,321 |
Total | 172,643,197 | |
Germany 2.5% | ||
Adidas AG | 35,900 | 6,969,197 |
Infineon Technologies AG | 274,647 | 11,310,582 |
Merck KGaA | 40,600 | 6,720,514 |
SAP SE | 53,900 | 7,363,139 |
Total | 32,363,432 | |
Hong Kong 3.3% | ||
AIA Group Ltd. | 2,133,600 | 21,669,908 |
CLP Holdings Ltd. | 603,000 | 4,696,526 |
Hang Lung Properties Ltd. | 1,787,000 | 2,765,322 |
Jardine Matheson Holdings Ltd. | 139,700 | 7,084,215 |
Techtronic Industries Co., Ltd. | 704,500 | 7,704,138 |
Total | 43,920,109 | |
India 4.1% | ||
HDFC Bank Ltd. | 183,045 | 3,798,699 |
Housing Development Finance Corp., Ltd. | 445,069 | 15,355,007 |
Infosys Ltd. | 653,925 | 10,651,060 |
Reliance Industries Ltd. | 785,355 | 24,480,370 |
Total | 54,285,136 | |
Ireland 1.2% | ||
ICON PLC(a) | 61,125 | 15,293,475 |
6 | Variable Portfolio – Partners International Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Italy 1.4% | ||
Ferrari NV | 14,400 | 4,708,049 |
Moncler SpA | 156,537 | 10,830,445 |
Recordati Industria Chimica e Farmaceutica SpA | 59,100 | 2,823,371 |
Total | 18,361,865 | |
Japan 10.3% | ||
Daikin Industries Ltd. | 115,800 | 23,728,033 |
FANUC Corp. | 151,500 | 5,318,506 |
Hoya Corp. | 179,400 | 21,468,126 |
Keyence Corp. | 62,840 | 29,858,848 |
MISUMI Group, Inc. | 125,600 | 2,528,715 |
Murata Manufacturing Co., Ltd. | 96,400 | 5,537,305 |
Obic Co., Ltd. | 22,000 | 3,531,185 |
Shimadzu Corp. | 89,500 | 2,766,321 |
Shin-Etsu Chemical Co., Ltd. | 789,700 | 26,390,159 |
SMC Corp. | 13,000 | 7,224,905 |
Sysmex Corp. | 94,500 | 6,472,966 |
Total | 134,825,069 | |
Netherlands 4.7% | ||
Adyen NV(a) | 8,708 | 15,079,363 |
ASML Holding NV | 45,792 | 33,214,244 |
Ferrari NV | 41,432 | 13,474,100 |
Total | 61,767,707 | |
Norway 0.8% | ||
Equinor ASA | 356,318 | 10,375,578 |
Singapore 0.5% | ||
CapitaLand Ascendas REIT | 3,165,024 | 6,388,202 |
South Korea 0.9% | ||
Samsung SDI Co., Ltd. | 22,201 | 11,336,597 |
Spain 3.0% | ||
Amadeus IT Group SA, Class A(a) | 384,100 | 29,249,364 |
Industria de Diseno Textil SA | 250,500 | 9,716,345 |
Total | 38,965,709 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Sweden 4.1% | ||
Atlas Copco AB, Class A | 982,424 | 14,183,140 |
Atlas Copco AB, Class B | 321,800 | 4,012,358 |
Evolution AB | 129,772 | 16,445,203 |
Hexagon AB, Class B | 1,165,554 | 14,336,692 |
Indutrade AB | 206,278 | 4,655,800 |
Total | 53,633,193 | |
Switzerland 7.3% | ||
Kuehne & Nagel International AG | 25,600 | 7,583,408 |
Lonza Group AG, Registered Shares | 43,568 | 26,041,150 |
Nestlé SA, Registered Shares | 57,500 | 6,916,767 |
Novartis AG, Registered Shares | 73,000 | 7,359,819 |
Partners Group Holding AG | 7,665 | 7,226,873 |
SGS SA, Registered Shares | 54,250 | 5,132,104 |
Straumann Holding AG, Registered Shares | 86,013 | 13,986,234 |
VAT Group AG | 19,200 | 7,952,910 |
Zurich Insurance Group AG | 27,801 | 13,224,619 |
Total | 95,423,884 | |
Taiwan 2.8% | ||
Taiwan Semiconductor Manufacturing Co., Ltd. | 1,377,000 | 25,437,780 |
Taiwan Semiconductor Manufacturing Co., Ltd., ADR | 118,000 | 11,908,560 |
Total | 37,346,340 | |
United Kingdom 16.6% | ||
Ashtead Group PLC | 211,440 | 14,659,326 |
AstraZeneca PLC | 193,109 | 27,683,001 |
Bunzl PLC | 473,182 | 18,032,056 |
Compass Group PLC | 1,189,507 | 33,309,944 |
Diageo PLC | 544,991 | 23,429,710 |
Experian PLC | 607,351 | 23,310,740 |
Halma PLC | 329,473 | 9,536,716 |
Linde PLC | 41,981 | 15,998,120 |
London Stock Exchange Group PLC | 181,702 | 19,339,162 |
Prudential PLC | 499,000 | 7,047,574 |
Rentokil Initial PLC | 2,242,167 | 17,530,852 |
Spirax-Sarco Engineering PLC | 66,057 | 8,706,590 |
Total | 218,583,791 |
Variable Portfolio – Partners International Growth Fund | Semiannual Report 2023 | 7 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
United States 1.7% | ||
lululemon athletica, Inc.(a) | 42,003 | 15,898,136 |
Roche Holding AG, Genusschein Shares | 19,400 | 5,926,119 |
Total | 21,824,255 | |
Total Common Stocks (Cost $1,142,425,769) | 1,276,449,647 | |
Money Market Funds 2.3% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(b),(c) | 30,067,427 | 30,055,400 |
Total Money Market Funds (Cost $30,053,516) | 30,055,400 | |
Total Investments in Securities (Cost $1,172,479,285) | 1,306,505,047 | |
Other Assets & Liabilities, Net | 7,132,830 | |
Net Assets | $1,313,637,877 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | ||||||||
12,696,524 | 108,418,720 | (91,061,184) | 1,340 | 30,055,400 | (2,766) | 463,696 | 30,067,427 |
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 2023 |
June 30, 2023 (Unaudited)
The Fund’s Board of Trustees (the Board) has designated the Investment Manager, through its Valuation Committee (the Committee), as valuation designee, responsible for determining the fair value of the assets of the Fund for which market quotations are not readily available using valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Argentina | 14,200,529 | — | — | 14,200,529 |
Australia | — | 22,358,022 | — | 22,358,022 |
Brazil | 7,472,208 | — | — | 7,472,208 |
Canada | 93,107,637 | — | — | 93,107,637 |
China | — | 40,117,113 | — | 40,117,113 |
Denmark | — | 65,926,837 | — | 65,926,837 |
Finland | — | 5,929,762 | — | 5,929,762 |
France | — | 172,643,197 | — | 172,643,197 |
Germany | — | 32,363,432 | — | 32,363,432 |
Hong Kong | — | 43,920,109 | — | 43,920,109 |
India | — | 54,285,136 | — | 54,285,136 |
Ireland | 15,293,475 | — | — | 15,293,475 |
Italy | — | 18,361,865 | — | 18,361,865 |
Japan | — | 134,825,069 | — | 134,825,069 |
Netherlands | 13,474,100 | 48,293,607 | — | 61,767,707 |
Norway | — | 10,375,578 | — | 10,375,578 |
Singapore | — | 6,388,202 | — | 6,388,202 |
South Korea | — | 11,336,597 | — | 11,336,597 |
Spain | — | 38,965,709 | — | 38,965,709 |
Sweden | — | 53,633,193 | — | 53,633,193 |
Switzerland | — | 95,423,884 | — | 95,423,884 |
Taiwan | 11,908,560 | 25,437,780 | — | 37,346,340 |
United Kingdom | 15,998,120 | 202,585,671 | — | 218,583,791 |
United States | 15,898,136 | 5,926,119 | — | 21,824,255 |
Total Common Stocks | 187,352,765 | 1,089,096,882 | — | 1,276,449,647 |
Money Market Funds | 30,055,400 | — | — | 30,055,400 |
Total Investments in Securities | 217,408,165 | 1,089,096,882 | — | 1,306,505,047 |
Variable Portfolio – Partners International Growth Fund | Semiannual Report 2023 | 9 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,142,425,769) | $1,276,449,647 |
Affiliated issuers (cost $30,053,516) | 30,055,400 |
Foreign currency (cost $824,706) | 824,559 |
Receivable for: | |
Investments sold | 20,748,740 |
Capital shares sold | 4,554 |
Dividends | 1,367,865 |
Foreign tax reclaims | 3,325,137 |
Expense reimbursement due from Investment Manager | 2,068 |
Prepaid expenses | 7,622 |
Total assets | 1,332,785,592 |
Liabilities | |
Due to custodian | 33,673 |
Payable for: | |
Investments purchased | 17,892,180 |
Capital shares redeemed | 481,212 |
Foreign capital gains taxes deferred | 543,345 |
Management services fees | 31,163 |
Distribution and/or service fees | 294 |
Service fees | 2,328 |
Compensation of board members | 137,140 |
Compensation of chief compliance officer | 111 |
Other expenses | 26,269 |
Total liabilities | 19,147,715 |
Net assets applicable to outstanding capital stock | $1,313,637,877 |
Represented by | |
Paid in capital | 1,211,851,082 |
Total distributable earnings (loss) | 101,786,795 |
Total - representing net assets applicable to outstanding capital stock | $1,313,637,877 |
Class 1 | |
Net assets | $1,270,189,926 |
Shares outstanding | 112,236,177 |
Net asset value per share | $11.32 |
Class 2 | |
Net assets | $43,447,951 |
Shares outstanding | 3,881,141 |
Net asset value per share | $11.19 |
10 | Variable Portfolio – Partners International Growth Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $14,608,977 |
Dividends — affiliated issuers | 463,696 |
Foreign taxes withheld | (1,740,613) |
Total income | 13,332,060 |
Expenses: | |
Management services fees | 5,574,759 |
Distribution and/or service fees | |
Class 2 | 52,418 |
Service fees | 13,837 |
Compensation of board members | 16,810 |
Custodian fees | 74,385 |
Printing and postage fees | 4,783 |
Accounting services fees | 30,911 |
Legal fees | 14,305 |
Interest on interfund lending | 54 |
Compensation of chief compliance officer | 129 |
Other | 11,962 |
Total expenses | 5,794,353 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (306,001) |
Total net expenses | 5,488,352 |
Net investment income | 7,843,708 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (642,217) |
Investments — affiliated issuers | (2,766) |
Foreign currency translations | (281,341) |
Net realized loss | (926,324) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 146,505,452 |
Investments — affiliated issuers | 1,340 |
Foreign currency translations | 109,049 |
Foreign capital gains tax | 161,036 |
Net change in unrealized appreciation (depreciation) | 146,776,877 |
Net realized and unrealized gain | 145,850,553 |
Net increase in net assets resulting from operations | $153,694,261 |
Variable Portfolio – Partners International Growth Fund | Semiannual Report 2023 | 11 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment income | $7,843,708 | $7,769,908 |
Net realized loss | (926,324) | (34,334,464) |
Net change in unrealized appreciation (depreciation) | 146,776,877 | (391,104,421) |
Net increase (decrease) in net assets resulting from operations | 153,694,261 | (417,668,977) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (5,946,992) | (69,892,196) |
Class 2 | (98,445) | (2,488,406) |
Total distributions to shareholders | (6,045,437) | (72,380,602) |
Increase (decrease) in net assets from capital stock activity | (18,912,084) | 110,892,225 |
Total increase (decrease) in net assets | 128,736,740 | (379,157,354) |
Net assets at beginning of period | 1,184,901,137 | 1,564,058,491 |
Net assets at end of period | $1,313,637,877 | $1,184,901,137 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Shares sold | 443,651 | 4,851,721 | 4,736,256 | 50,439,097 |
Distributions reinvested | 545,096 | 5,946,992 | 7,161,085 | 69,892,196 |
Shares redeemed | (2,646,424) | (28,946,054) | (1,132,300) | (11,913,933) |
Net increase (decrease) | (1,657,677) | (18,147,341) | 10,765,041 | 108,417,360 |
Class 2 | ||||
Shares sold | 82,870 | 901,220 | 332,832 | 3,762,421 |
Distributions reinvested | 9,115 | 98,445 | 257,599 | 2,488,406 |
Shares redeemed | (164,755) | (1,764,408) | (359,260) | (3,775,962) |
Net increase (decrease) | (72,770) | (764,743) | 231,171 | 2,474,865 |
Total net increase (decrease) | (1,730,447) | (18,912,084) | 10,996,212 | 110,892,225 |
12 | Variable Portfolio – Partners International Growth Fund | Semiannual Report 2023 |
Variable Portfolio – Partners International Growth Fund | Semiannual Report 2023 | 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 6/30/2023 (Unaudited) | $10.06 | 0.07 | 1.24 | 1.31 | (0.05) | — | (0.05) |
Year Ended 12/31/2022 | $14.64 | 0.07(d) | (4.00) | (3.93) | — | (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) |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $9.94 | 0.05 | 1.23 | 1.28 | (0.03) | — | (0.03) |
Year Ended 12/31/2022 | $14.51 | 0.04(d) | (3.96) | (3.92) | — | (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) |
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) | Ratios include interfund lending expense which is less than 0.01%. |
(d) | Net investment income per share includes European Union tax reclaims. The effect of these reclaims amounted to $0.01 per share. |
14 | Variable Portfolio – Partners International Growth Fund | Semiannual Report 2023 |
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 6/30/2023 (Unaudited) | $11.32 | 13.07% | 0.90%(c) | 0.86%(c) | 1.24% | 13% | $1,270,190 |
Year Ended 12/31/2022 | $10.06 | (26.69%) | 0.91% | 0.87% | 0.64% | 35% | $1,145,609 |
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%(c) | 0.92%(c) | 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 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $11.19 | 12.84% | 1.15%(c) | 1.11%(c) | 0.99% | 13% | $43,448 |
Year Ended 12/31/2022 | $9.94 | (26.87%) | 1.16% | 1.12% | 0.41% | 35% | $39,292 |
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%(c) | 1.17%(c) | (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% | $29,694 |
Variable Portfolio – Partners International Growth Fund | Semiannual Report 2023 | 15 |
June 30, 2023 (Unaudited)
16 | Variable Portfolio – Partners International Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – Partners International Growth Fund | Semiannual Report 2023 | 17 |
June 30, 2023 (Unaudited)
18 | Variable Portfolio – Partners International Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – Partners International Growth Fund | Semiannual Report 2023 | 19 |
June 30, 2023 (Unaudited)
May 1, 2023 through April 30, 2024 | Prior to May 1, 2023 | |
Class 1 | 0.85% | 0.86% |
Class 2 | 1.10 | 1.11 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
1,172,479,000 | 191,955,000 | (57,929,000) | 134,026,000 |
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
(33,133,326) | — | (33,133,326) |
20 | Variable Portfolio – Partners International Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Borrower | 400,000 | 4.86 | 1 |
Variable Portfolio – Partners International Growth Fund | Semiannual Report 2023 | 21 |
June 30, 2023 (Unaudited)
22 | Variable Portfolio – Partners International Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – Partners International Growth Fund | Semiannual Report 2023 | 23 |
June 30, 2023 (Unaudited)
24 | Variable Portfolio – Partners International Growth Fund | Semiannual Report 2023 |
• | 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 2023 | 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 one or more 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 2023 |
Variable Portfolio – Partners International Growth Fund | Semiannual Report 2023 | 27 |
28 | Variable Portfolio – Partners International Growth Fund | Semiannual Report 2023 |
Variable Portfolio – Partners International Growth Fund | Semiannual Report 2023 | 29 |
June 30, 2023 (Unaudited)
3 | |
5 | |
6 | |
11 | |
12 | |
13 | |
14 | |
16 | |
23 | |
23 |
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/07/10 | 8.60 | 11.15 | 3.53 | 6.68 | |
Class 2 | 05/07/10 | 8.46 | 10.87 | 3.27 | 6.42 | |
Russell 2000 Growth Index | 13.55 | 18.53 | 4.22 | 8.83 |
Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2023) | |
Common Stocks | 99.1 |
Money Market Funds | 0.9 |
Total | 100.0 |
Equity sector breakdown (%) (at June 30, 2023) | |
Communication Services | 1.4 |
Consumer Discretionary | 11.5 |
Consumer Staples | 5.1 |
Energy | 2.6 |
Financials | 7.3 |
Health Care | 24.3 |
Industrials | 19.4 |
Information Technology | 25.6 |
Materials | 1.7 |
Real Estate | 1.1 |
Total | 100.0 |
4 | Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | |||||||
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 | 1,086.00 | 1,020.69 | 4.42 | 4.28 | 0.85 |
Class 2 | 1,000.00 | 1,000.00 | 1,084.60 | 1,019.45 | 5.72 | 5.54 | 1.10 |
Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (Unaudited)
Common Stocks 99.4% | ||
Issuer | Shares | Value ($) |
Communication Services 1.4% | ||
Interactive Media & Services 0.7% | ||
Ziff Davis, Inc.(a) | 55,216 | 3,868,433 |
Media 0.7% | ||
Magnite, Inc.(a) | 261,185 | 3,565,175 |
Thryv Holdings, Inc.(a) | 35,300 | 868,380 |
Total | 4,433,555 | |
Total Communication Services | 8,301,988 | |
Consumer Discretionary 11.5% | ||
Auto Components 1.7% | ||
Fox Factory Holding Corp.(a) | 24,265 | 2,632,995 |
Patrick Industries, Inc. | 59,386 | 4,750,880 |
Stoneridge, Inc.(a) | 138,301 | 2,606,974 |
Total | 9,990,849 | |
Automobiles 0.7% | ||
Thor Industries, Inc. | 42,088 | 4,356,108 |
Diversified Consumer Services 1.3% | ||
Bright Horizons Family Solutions, Inc.(a) | 31,495 | 2,911,713 |
OneSpaWorld Holdings Ltd.(a) | 381,827 | 4,620,107 |
Total | 7,531,820 | |
Hotels, Restaurants & Leisure 3.2% | ||
Cheesecake Factory, Inc. (The) | 89,561 | 3,097,019 |
Cracker Barrel Old Country Store, Inc. | 25,640 | 2,389,135 |
First Watch Restaurant Group, Inc.(a) | 145,064 | 2,451,582 |
Hilton Grand Vacations, Inc.(a) | 120,601 | 5,480,110 |
Lindblad Expeditions Holdings, Inc.(a) | 171,172 | 1,862,351 |
Wingstop, Inc. | 18,431 | 3,689,149 |
Total | 18,969,346 | |
Household Durables 2.2% | ||
Installed Building Products, Inc. | 56,179 | 7,874,048 |
LGI Homes, Inc.(a) | 39,130 | 5,278,246 |
Total | 13,152,294 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Specialty Retail 1.6% | ||
Boot Barn Holdings, Inc.(a) | 68,368 | 5,790,086 |
Leslie’s, Inc.(a) | 92,173 | 865,504 |
Monro, Inc. | 64,781 | 2,632,052 |
Total | 9,287,642 | |
Textiles, Apparel & Luxury Goods 0.8% | ||
Crocs, Inc.(a) | 21,434 | 2,410,039 |
G-III Apparel Group Ltd.(a) | 136,371 | 2,627,869 |
Total | 5,037,908 | |
Total Consumer Discretionary | 68,325,967 | |
Consumer Staples 5.0% | ||
Beverages 1.0% | ||
Celsius Holdings, Inc.(a) | 23,630 | 3,525,360 |
Duckhorn Portfolio, Inc. (The)(a) | 84,755 | 1,099,272 |
MGP Ingredients, Inc. | 14,422 | 1,532,770 |
Total | 6,157,402 | |
Consumer Staples Distribution & Retail 1.8% | ||
Performance Food Group, Inc.(a) | 107,233 | 6,459,716 |
The Chefs’ Warehouse(a) | 131,305 | 4,695,467 |
Total | 11,155,183 | |
Food Products 0.6% | ||
Simply Good Foods Co. (The)(a) | 93,714 | 3,428,995 |
Personal Care Products 1.6% | ||
elf Beauty, Inc.(a) | 82,477 | 9,421,348 |
Total Consumer Staples | 30,162,928 | |
Energy 2.6% | ||
Energy Equipment & Services 1.1% | ||
Core Laboratories, Inc. | 155,628 | 3,618,351 |
Helmerich & Payne, Inc. | 77,300 | 2,740,285 |
Total | 6,358,636 |
6 | Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Oil, Gas & Consumable Fuels 1.5% | ||
Excelerate Energy, Inc., Class A | 127,356 | 2,589,147 |
Kimbell Royalty Partners LP | 173,435 | 2,551,229 |
Matador Resources Co. | 27,800 | 1,454,496 |
Viper Energy Partners LP | 89,400 | 2,398,602 |
Total | 8,993,474 | |
Total Energy | 15,352,110 | |
Financials 7.2% | ||
Banks 1.1% | ||
Axos Financial, Inc.(a) | 77,886 | 3,071,824 |
Hilltop Holdings, Inc. | 102,243 | 3,216,565 |
Total | 6,288,389 | |
Capital Markets 1.4% | ||
Cohen & Steers, Inc. | 78,249 | 4,537,660 |
PJT Partners, Inc. | 55,961 | 3,897,124 |
Total | 8,434,784 | |
Financial Services 2.5% | ||
Flywire Corp.(a) | 138,919 | 4,312,046 |
I3 Verticals, Inc.(a) | 232,902 | 5,324,140 |
Shift4 Payments, Inc., Class A(a) | 81,483 | 5,533,510 |
Total | 15,169,696 | |
Insurance 2.2% | ||
Goosehead Insurance, Inc., Class A(a) | 57,775 | 3,633,469 |
Kinsale Capital Group, Inc. | 25,569 | 9,567,920 |
Total | 13,201,389 | |
Total Financials | 43,094,258 | |
Health Care 24.2% | ||
Biotechnology 4.3% | ||
Apellis Pharmaceuticals, Inc.(a) | 23,826 | 2,170,549 |
Coherus Biosciences, Inc.(a) | 334,101 | 1,426,611 |
Cytokinetics, Inc.(a) | 4,239 | 138,276 |
Eagle Pharmaceuticals, Inc.(a) | 71,415 | 1,388,308 |
Halozyme Therapeutics, Inc.(a) | 144,704 | 5,219,473 |
Immunocore Holdings PLC, ADR(a) | 24,098 | 1,444,916 |
Insmed, Inc.(a) | 162,053 | 3,419,318 |
Madrigal Pharmaceuticals, Inc.(a) | 1,407 | 325,017 |
Vericel Corp.(a) | 261,628 | 9,829,364 |
Total | 25,361,832 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Health Care Equipment & Supplies 11.0% | ||
Axonics, Inc.(a) | 23,600 | 1,191,092 |
Establishment Labs Holdings, Inc.(a) | 31,205 | 2,140,975 |
ICU Medical, Inc.(a) | 23,098 | 4,115,833 |
Inari Medical, Inc.(a) | 28,527 | 1,658,560 |
Inspire Medical Systems, Inc.(a) | 19,649 | 6,378,851 |
Integer Holdings Corp.(a) | 55,692 | 4,934,868 |
iRhythm Technologies, Inc.(a) | 26,816 | 2,797,445 |
Lantheus Holdings, Inc.(a) | 57,728 | 4,844,534 |
LeMaitre Vascular, Inc. | 102,583 | 6,901,784 |
Omnicell, Inc.(a) | 57,954 | 4,269,471 |
Outset Medical, Inc.(a) | 86,686 | 1,895,823 |
PROCEPT BioRobotics Corp.(a) | 34,139 | 1,206,814 |
RxSight, Inc.(a) | 14,900 | 429,120 |
Shockwave Medical, Inc.(a) | 9,460 | 2,699,979 |
SI-BONE, Inc.(a) | 147,091 | 3,968,515 |
TransMedics Group, Inc.(a) | 143,983 | 12,091,692 |
Treace Medical Concepts, Inc.(a) | 153,899 | 3,936,736 |
Total | 65,462,092 | |
Health Care Providers & Services 4.4% | ||
AMN Healthcare Services, Inc.(a) | 62,000 | 6,765,440 |
Castle Biosciences, Inc.(a) | 84,585 | 1,160,506 |
HealthEquity, Inc.(a) | 113,159 | 7,144,859 |
Hims & Hers Health, Inc., Class A(a) | 299,389 | 2,814,257 |
ModivCare, Inc.(a) | 31,601 | 1,428,681 |
RadNet, Inc.(a) | 80,977 | 2,641,470 |
U.S. Physical Therapy, Inc. | 35,035 | 4,252,899 |
Total | 26,208,112 | |
Health Care Technology 1.2% | ||
Certara, Inc.(a) | 168,688 | 3,071,809 |
Evolent Health, Inc., Class A(a) | 93,051 | 2,819,445 |
Phreesia, Inc.(a) | 40,476 | 1,255,161 |
Total | 7,146,415 | |
Life Sciences Tools & Services 1.3% | ||
Medpace Holdings, Inc.(a) | 32,090 | 7,707,055 |
Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2023 | 7 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Pharmaceuticals 2.0% | ||
Axsome Therapeutics, Inc.(a) | 22,800 | 1,638,408 |
Pacira Pharmaceuticals, Inc.(a) | 80,908 | 3,241,984 |
Revance Therapeutics, Inc.(a) | 104,969 | 2,656,765 |
Supernus Pharmaceuticals, Inc.(a) | 156,033 | 4,690,352 |
Total | 12,227,509 | |
Total Health Care | 144,113,015 | |
Industrials 19.3% | ||
Aerospace & Defense 1.6% | ||
Hexcel Corp. | 59,013 | 4,486,168 |
Kratos Defense & Security Solutions, Inc.(a) | 337,409 | 4,838,445 |
Total | 9,324,613 | |
Air Freight & Logistics 0.9% | ||
Forward Air Corp. | 50,159 | 5,322,372 |
Building Products 1.2% | ||
AZEK Co., Inc. (The)(a) | 158,023 | 4,786,517 |
Zurn Elkay Water Solutions Corp. | 97,445 | 2,620,296 |
Total | 7,406,813 | |
Commercial Services & Supplies 1.9% | ||
Aris Water Solutions, Inc. | 270,129 | 2,787,732 |
Casella Waste Systems, Inc., Class A(a) | 79,902 | 7,227,136 |
Cimpress PLC(a) | 18,538 | 1,102,640 |
Total | 11,117,508 | |
Construction & Engineering 1.3% | ||
Construction Partners, Inc., Class A(a) | 50,093 | 1,572,419 |
Dycom Industries, Inc.(a) | 54,177 | 6,157,216 |
Total | 7,729,635 | |
Electrical Equipment 2.2% | ||
Array Technologies, Inc.(a) | 12,800 | 289,280 |
Shoals Technologies Group, Inc., Class A(a) | 248,840 | 6,360,350 |
TPI Composites, Inc.(a) | 207,121 | 2,147,845 |
Vicor Corp.(a) | 79,718 | 4,304,772 |
Total | 13,102,247 | |
Ground Transportation 0.8% | ||
Marten Transport Ltd. | 107,108 | 2,302,822 |
Saia, Inc.(a) | 7,459 | 2,554,036 |
Total | 4,856,858 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Machinery 3.0% | ||
Albany International Corp., Class A | 52,176 | 4,866,977 |
Chart Industries, Inc.(a) | 38,177 | 6,100,303 |
SPX Technologies, Inc.(a) | 79,538 | 6,758,344 |
Total | 17,725,624 | |
Professional Services 2.7% | ||
ASGN, Inc.(a) | 33,185 | 2,509,782 |
Insperity, Inc. | 61,418 | 7,306,285 |
Paycor HCM, Inc.(a) | 200,183 | 4,738,332 |
TTEC Holdings, Inc. | 54,703 | 1,851,149 |
Total | 16,405,548 | |
Trading Companies & Distributors 3.7% | ||
Applied Industrial Technologies, Inc. | 96,290 | 13,945,681 |
Global Industrial Co. | 117,868 | 3,273,194 |
SiteOne Landscape Supply, Inc.(a) | 27,353 | 4,577,798 |
Total | 21,796,673 | |
Total Industrials | 114,787,891 | |
Information Technology 25.4% | ||
Communications Equipment 1.5% | ||
Calix, Inc.(a) | 118,670 | 5,922,820 |
Extreme Networks, Inc.(a) | 28,000 | 729,400 |
Harmonic, Inc.(a) | 132,191 | 2,137,528 |
Total | 8,789,748 | |
Electronic Equipment, Instruments & Components 5.8% | ||
Advanced Energy Industries, Inc. | 46,753 | 5,210,622 |
Coherent Corp.(a) | 95,193 | 4,852,939 |
ePlus, Inc.(a) | 83,820 | 4,719,066 |
Fabrinet(a) | 44,006 | 5,715,499 |
Novanta, Inc.(a) | 53,878 | 9,918,940 |
Plexus Corp.(a) | 43,082 | 4,232,376 |
Total | 34,649,442 | |
IT Services 1.1% | ||
DigitalOcean Holdings, Inc.(a) | 155,274 | 6,232,698 |
Endava PLC, ADR(a) | 11,398 | 590,303 |
Total | 6,823,001 |
8 | Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Semiconductors & Semiconductor Equipment 7.4% | ||
Allegro MicroSystems, Inc.(a) | 85,459 | 3,857,619 |
Ambarella, Inc.(a) | 60,693 | 5,078,183 |
Credo Technology Group Holding Ltd.(a) | 298,548 | 5,176,822 |
Diodes, Inc.(a) | 51,806 | 4,791,537 |
Impinj, Inc.(a) | 98,903 | 8,866,654 |
Power Integrations, Inc. | 52,108 | 4,933,064 |
Semtech Corp.(a) | 23,040 | 586,599 |
Silicon Laboratories, Inc.(a) | 22,582 | 3,562,085 |
SiTime Corp.(a) | 35,534 | 4,191,946 |
Ultra Clean Holdings, Inc.(a) | 71,724 | 2,758,505 |
Total | 43,803,014 | |
Software 9.6% | ||
Box, Inc., Class A(a) | 192,789 | 5,664,141 |
Clearwater Analytics Holdings, Inc., Class A(a) | 138,957 | 2,205,248 |
CyberArk Software Ltd.(a) | 22,852 | 3,572,453 |
Descartes Systems Group, Inc. (The)(a) | 65,449 | 5,243,119 |
EngageSmart, Inc.(a) | 219,985 | 4,199,514 |
Envestnet, Inc.(a) | 55,778 | 3,310,424 |
Five9, Inc.(a) | 72,915 | 6,011,842 |
PowerSchool Holdings, Inc., Class A(a) | 72,739 | 1,392,224 |
Qualys, Inc.(a) | 35,877 | 4,634,232 |
Sprout Social, Inc., Class A(a) | 109,711 | 5,064,260 |
SPS Commerce, Inc.(a) | 67,600 | 12,983,256 |
Verint Systems, Inc.(a) | 89,331 | 3,131,945 |
Total | 57,412,658 | |
Total Information Technology | 151,477,863 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Materials 1.7% | ||
Chemicals 0.9% | ||
Balchem Corp. | 40,235 | 5,424,080 |
Metals & Mining 0.8% | ||
Materion Corp. | 41,027 | 4,685,284 |
Total Materials | 10,109,364 | |
Real Estate 1.1% | ||
Health Care REITs 0.7% | ||
CareTrust REIT, Inc. | 207,409 | 4,119,143 |
Residential REITs 0.4% | ||
UMH Properties, Inc. | 147,147 | 2,351,409 |
Total Real Estate | 6,470,552 | |
Total Common Stocks (Cost $529,947,464) | 592,195,936 | |
Money Market Funds 1.0% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(b),(c) | 5,647,380 | 5,645,121 |
Total Money Market Funds (Cost $5,644,561) | 5,645,121 | |
Total Investments in Securities (Cost: $535,592,025) | 597,841,057 | |
Other Assets & Liabilities, Net | (2,172,608) | |
Net Assets | 595,668,449 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | ||||||||
7,127,593 | 50,327,384 | (51,809,843) | (13) | 5,645,121 | (2,050) | 178,019 | 5,647,380 |
Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2023 | 9 |
June 30, 2023 (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 | 8,301,988 | — | — | 8,301,988 |
Consumer Discretionary | 68,325,967 | — | — | 68,325,967 |
Consumer Staples | 30,162,928 | — | — | 30,162,928 |
Energy | 15,352,110 | — | — | 15,352,110 |
Financials | 43,094,258 | — | — | 43,094,258 |
Health Care | 144,113,015 | — | — | 144,113,015 |
Industrials | 114,787,891 | — | — | 114,787,891 |
Information Technology | 151,477,863 | — | — | 151,477,863 |
Materials | 10,109,364 | — | — | 10,109,364 |
Real Estate | 6,470,552 | — | — | 6,470,552 |
Total Common Stocks | 592,195,936 | — | — | 592,195,936 |
Money Market Funds | 5,645,121 | — | — | 5,645,121 |
Total Investments in Securities | 597,841,057 | — | — | 597,841,057 |
10 | Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $529,947,464) | $592,195,936 |
Affiliated issuers (cost $5,644,561) | 5,645,121 |
Receivable for: | |
Investments sold | 2,520,447 |
Capital shares sold | 453 |
Dividends | 103,519 |
Expense reimbursement due from Investment Manager | 548 |
Prepaid expenses | 6,560 |
Total assets | 600,472,584 |
Liabilities | |
Payable for: | |
Investments purchased | 3,466,572 |
Capital shares redeemed | 1,226,186 |
Management services fees | 14,018 |
Distribution and/or service fees | 120 |
Service fees | 872 |
Compensation of board members | 78,007 |
Compensation of chief compliance officer | 55 |
Other expenses | 18,305 |
Total liabilities | 4,804,135 |
Net assets applicable to outstanding capital stock | $595,668,449 |
Represented by | |
Trust capital | $595,668,449 |
Total - representing net assets applicable to outstanding capital stock | $595,668,449 |
Class 1 | |
Net assets | $577,914,476 |
Shares outstanding | 19,640,926 |
Net asset value per share | $29.42 |
Class 2 | |
Net assets | $17,753,973 |
Shares outstanding | 623,615 |
Net asset value per share | $28.47 |
Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2023 | 11 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $1,510,143 |
Dividends — affiliated issuers | 178,019 |
Foreign taxes withheld | (237) |
Total income | 1,687,925 |
Expenses: | |
Management services fees | 2,487,298 |
Distribution and/or service fees | |
Class 2 | 21,153 |
Service fees | 5,302 |
Compensation of board members | 12,541 |
Custodian fees | 10,364 |
Printing and postage fees | 4,611 |
Accounting services fees | 15,045 |
Legal fees | 9,767 |
Compensation of chief compliance officer | 55 |
Other | 8,630 |
Total expenses | 2,574,766 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (104,395) |
Total net expenses | 2,470,371 |
Net investment loss | (782,446) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (14,087,802) |
Investments — affiliated issuers | (2,050) |
Net realized loss | (14,089,852) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 63,044,595 |
Investments — affiliated issuers | (13) |
Net change in unrealized appreciation (depreciation) | 63,044,582 |
Net realized and unrealized gain | 48,954,730 |
Net increase in net assets resulting from operations | $48,172,284 |
12 | Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment loss | $(782,446) | $(2,604,872) |
Net realized loss | (14,089,852) | (44,176,879) |
Net change in unrealized appreciation (depreciation) | 63,044,582 | (164,731,155) |
Net increase (decrease) in net assets resulting from operations | 48,172,284 | (211,512,906) |
Increase (decrease) in net assets from capital stock activity | (12,713,226) | 39,980,602 |
Total increase (decrease) in net assets | 35,459,058 | (171,532,304) |
Net assets at beginning of period | 560,209,391 | 731,741,695 |
Net assets at end of period | $595,668,449 | $560,209,391 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Shares sold | 128,458 | 3,544,356 | 1,762,453 | 47,637,402 |
Shares redeemed | (557,759) | (16,200,631) | (372,704) | (10,819,341) |
Net increase (decrease) | (429,301) | (12,656,275) | 1,389,749 | 36,818,061 |
Class 2 | ||||
Shares sold | 36,454 | 1,000,644 | 148,910 | 4,378,680 |
Shares redeemed | (38,918) | (1,057,595) | (42,994) | (1,216,139) |
Net increase (decrease) | (2,464) | (56,951) | 105,916 | 3,162,541 |
Total net increase (decrease) | (431,765) | (12,713,226) | 1,495,665 | 39,980,602 |
Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2023 | 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 6/30/2023 (Unaudited) | $27.09 | (0.04) | 2.37 | 2.33 |
Year Ended 12/31/2022 | $38.14 | (0.13) | (10.92) | (11.05) |
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) |
Class 2 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $26.25 | (0.07) | 2.29 | 2.22 |
Year Ended 12/31/2022 | $37.04 | (0.19) | (10.60) | (10.79) |
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) |
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) | Ratios include interfund lending expense which is less than 0.01%. |
14 | Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2023 |
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 6/30/2023 (Unaudited) | $29.42 | 8.60% | 0.89% | 0.85% | (0.26%) | 23% | $577,914 |
Year Ended 12/31/2022 | $27.09 | (28.97%) | 0.88% | 0.86% | (0.44%) | 39% | $543,776 |
Year Ended 12/31/2021 | $38.14 | 8.29% | 0.87%(c) | 0.87%(c) | (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 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $28.47 | 8.46% | 1.14% | 1.10% | (0.51%) | 23% | $17,754 |
Year Ended 12/31/2022 | $26.25 | (29.13%) | 1.13% | 1.11% | (0.68%) | 39% | $16,433 |
Year Ended 12/31/2021 | $37.04 | 8.02% | 1.12%(c) | 1.12%(c) | (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 |
Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2023 | 15 |
June 30, 2023 (Unaudited)
16 | Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2023 | 17 |
June 30, 2023 (Unaudited)
18 | Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Fee rate(s) contractual through April 30, 2024 | |
Class 1 | 0.85% |
Class 2 | 1.10 |
Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2023 | 19 |
June 30, 2023 (Unaudited)
20 | Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2023 | 21 |
June 30, 2023 (Unaudited)
22 | Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2023 |
• | 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 Growth Fund | Semiannual Report 2023 | 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 one or more 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 Small Cap Growth Fund | Semiannual Report 2023 |
Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2023 | 25 |
26 | Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2023 |
Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2023 | 27 |
June 30, 2023 (Unaudited)
Variable Portfolio – Conservative Portfolio (Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1* | 02/20/19 | 4.54 | 2.25 | 1.76 | 2.52 | |
Class 2 | 05/07/10 | 4.44 | 2.00 | 1.53 | 2.40 | |
Class 4 | 05/07/10 | 4.44 | 2.00 | 1.53 | 2.40 | |
Blended Benchmark | 4.57 | 2.95 | 2.66 | 3.38 | ||
Bloomberg U.S. Aggregate Bond Index | 2.09 | -0.94 | 0.77 | 1.52 | ||
Russell 3000 Index | 16.17 | 18.95 | 11.39 | 12.34 | ||
MSCI EAFE Index (Net) | 11.67 | 18.77 | 4.39 | 5.41 |
* | 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 2023 | 3 |
Variable Portfolio – Conservative Portfolio (Unaudited)
Portfolio breakdown (%) (at June 30, 2023) | |
Alternative Strategies Funds | 0.1 |
Equity Funds | 19.3 |
Fixed Income Funds | 71.1 |
Money Market Funds | 7.5 |
Residential Mortgage-Backed Securities - Agency | 2.0 |
Total | 100.0 |
4 | Portfolio Navigator Funds | Semiannual Report 2023 |
Variable Portfolio – Moderately Conservative Portfolio (Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1* | 02/20/19 | 6.17 | 4.97 | 2.97 | 3.76 | |
Class 2 | 05/07/10 | 5.98 | 4.71 | 2.75 | 3.64 | |
Class 4 | 05/07/10 | 5.97 | 4.70 | 2.74 | 3.63 | |
Blended Benchmark | 6.43 | 5.90 | 4.00 | 4.71 | ||
Bloomberg U.S. Aggregate Bond Index | 2.09 | -0.94 | 0.77 | 1.52 | ||
Russell 3000 Index | 16.17 | 18.95 | 11.39 | 12.34 | ||
MSCI EAFE Index (Net) | 11.67 | 18.77 | 4.39 | 5.41 |
* | 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 2023 | 5 |
Variable Portfolio – Moderately Conservative Portfolio (Unaudited)
Portfolio breakdown (%) (at June 30, 2023) | |
Alternative Strategies Funds | 0.2 |
Equity Funds | 35.8 |
Fixed Income Funds | 57.6 |
Money Market Funds | 4.4 |
Residential Mortgage-Backed Securities - Agency | 2.0 |
Total | 100.0 |
6 | Portfolio Navigator Funds | Semiannual Report 2023 |
Variable Portfolio – Moderate Portfolio (Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1* | 02/20/19 | 7.89 | 7.95 | 4.26 | 5.03 | |
Class 2 | 05/07/10 | 7.74 | 7.63 | 4.04 | 4.91 | |
Class 4 | 05/07/10 | 7.73 | 7.68 | 4.04 | 4.91 | |
Blended Benchmark | 8.35 | 8.88 | 5.35 | 6.08 | ||
Bloomberg U.S. Aggregate Bond Index | 2.09 | -0.94 | 0.77 | 1.52 | ||
Russell 3000 Index | 16.17 | 18.95 | 11.39 | 12.34 | ||
MSCI EAFE Index (Net) | 11.67 | 18.77 | 4.39 | 5.41 |
* | 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 2023 | 7 |
Variable Portfolio – Moderate Portfolio (Unaudited)
Portfolio breakdown (%) (at June 30, 2023) | |
Alternative Strategies Funds | 0.3 |
Equity Funds | 49.8 |
Fixed Income Funds | 41.3 |
Money Market Funds | 5.7 |
Residential Mortgage-Backed Securities - Agency | 2.9 |
Total | 100.0 |
8 | Portfolio Navigator Funds | Semiannual Report 2023 |
Variable Portfolio – Moderately Aggressive Portfolio (Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1* | 02/20/19 | 9.33 | 10.25 | 5.19 | 6.11 | |
Class 2 | 05/07/10 | 9.22 | 10.00 | 4.97 | 6.00 | |
Class 4 | 05/07/10 | 9.16 | 9.98 | 4.96 | 6.00 | |
Blended Benchmark | 10.30 | 11.90 | 6.64 | 7.42 | ||
Russell 3000 Index | 16.17 | 18.95 | 11.39 | 12.34 | ||
Bloomberg U.S. Aggregate Bond Index | 2.09 | -0.94 | 0.77 | 1.52 | ||
MSCI EAFE Index (Net) | 11.67 | 18.77 | 4.39 | 5.41 |
* | 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 2023 | 9 |
Variable Portfolio – Moderately Aggressive Portfolio (Unaudited)
Portfolio breakdown (%) (at June 30, 2023) | |
Alternative Strategies Funds | 0.3 |
Equity Funds | 65.4 |
Fixed Income Funds | 26.7 |
Money Market Funds | 5.4 |
Residential Mortgage-Backed Securities - Agency | 2.2 |
Total | 100.0 |
10 | Portfolio Navigator Funds | Semiannual Report 2023 |
Variable Portfolio – Aggressive Portfolio (Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1* | 02/20/19 | 11.13 | 13.34 | 6.28 | 7.30 | |
Class 2 | 05/07/10 | 10.97 | 13.04 | 6.05 | 7.18 | |
Class 4 | 05/07/10 | 10.95 | 13.07 | 6.05 | 7.18 | |
Blended Benchmark | 12.22 | 14.95 | 7.81 | 8.65 | ||
Russell 3000 Index | 16.17 | 18.95 | 11.39 | 12.34 | ||
MSCI EAFE Index (Net) | 11.67 | 18.77 | 4.39 | 5.41 | ||
Bloomberg U.S. Aggregate Bond Index | 2.09 | -0.94 | 0.77 | 1.52 |
* | 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 2023 | 11 |
Variable Portfolio – Aggressive Portfolio (Unaudited)
Portfolio breakdown (%) (at June 30, 2023) | |
Alternative Strategies Funds | 0.4 |
Equity Funds | 80.6 |
Fixed Income Funds | 13.7 |
Money Market Funds | 2.5 |
Residential Mortgage-Backed Securities - Agency | 2.8 |
Total | 100.0 |
12 | Portfolio Navigator Funds | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | ||||||||||
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 ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Variable Portfolio – Conservative Portfolio | ||||||||||
Class 1 | 1,000.00 | 1,000.00 | 1,045.40 | 1,024.23 | 0.71 | 0.71 | 0.14 | 3.26 | 3.23 | 0.64 |
Class 2 | 1,000.00 | 1,000.00 | 1,044.40 | 1,022.99 | 1.99 | 1.97 | 0.39 | 4.54 | 4.49 | 0.89 |
Class 4 | 1,000.00 | 1,000.00 | 1,044.40 | 1,022.99 | 1.99 | 1.97 | 0.39 | 4.54 | 4.49 | 0.89 |
Variable Portfolio – Moderately Conservative Portfolio | ||||||||||
Class 1 | 1,000.00 | 1,000.00 | 1,061.70 | 1,024.33 | 0.62 | 0.61 | 0.12 | 3.50 | 3.43 | 0.68 |
Class 2 | 1,000.00 | 1,000.00 | 1,059.80 | 1,023.09 | 1.90 | 1.87 | 0.37 | 4.78 | 4.69 | 0.93 |
Class 4 | 1,000.00 | 1,000.00 | 1,059.70 | 1,023.09 | 1.90 | 1.87 | 0.37 | 4.78 | 4.69 | 0.93 |
Portfolio Navigator Funds | Semiannual Report 2023 | 13 |
(Unaudited)
January 1, 2023 — June 30, 2023 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Variable Portfolio – Moderate Portfolio | ||||||||||
Class 1 | 1,000.00 | 1,000.00 | 1,078.90 | 1,024.28 | 0.67 | 0.66 | 0.13 | 3.73 | 3.63 | 0.72 |
Class 2 | 1,000.00 | 1,000.00 | 1,077.40 | 1,023.04 | 1.97 | 1.92 | 0.38 | 5.02 | 4.89 | 0.97 |
Class 4 | 1,000.00 | 1,000.00 | 1,077.30 | 1,023.04 | 1.97 | 1.92 | 0.38 | 5.02 | 4.89 | 0.97 |
Variable Portfolio – Moderately Aggressive Portfolio | ||||||||||
Class 1 | 1,000.00 | 1,000.00 | 1,093.30 | 1,024.28 | 0.68 | 0.66 | 0.13 | 3.97 | 3.84 | 0.76 |
Class 2 | 1,000.00 | 1,000.00 | 1,092.20 | 1,023.04 | 1.98 | 1.92 | 0.38 | 5.27 | 5.09 | 1.01 |
Class 4 | 1,000.00 | 1,000.00 | 1,091.60 | 1,023.04 | 1.98 | 1.92 | 0.38 | 5.27 | 5.09 | 1.01 |
Variable Portfolio – Aggressive Portfolio | ||||||||||
Class 1 | 1,000.00 | 1,000.00 | 1,111.30 | 1,024.38 | 0.58 | 0.56 | 0.11 | 4.16 | 3.99 | 0.79 |
Class 2 | 1,000.00 | 1,000.00 | 1,109.70 | 1,023.14 | 1.89 | 1.82 | 0.36 | 5.47 | 5.25 | 1.04 |
Class 4 | 1,000.00 | 1,000.00 | 1,109.50 | 1,023.14 | 1.89 | 1.82 | 0.36 | 5.47 | 5.25 | 1.04 |
14 | Portfolio Navigator Funds | Semiannual Report 2023 |
Variable Portfolio – Conservative Portfolio, June 30, 2023 (Unaudited)
Alternative Strategies Funds 0.1% | ||
Shares | Value ($) | |
Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares(a) | 257,892 | 1,214,670 |
Total Alternative Strategies Funds (Cost $1,264,191) | 1,214,670 | |
Equity Funds 19.6% | ||
Global Real Estate 0.2% | ||
CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares(a) | 281,153 | 1,810,626 |
International 5.9% | ||
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(a) | 2,504,928 | 31,161,314 |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares(a) | 455,985 | 4,486,891 |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares(a) | 780,509 | 8,835,363 |
Variable Portfolio – Partners International Value Fund, Class 1 Shares(a) | 933,468 | 8,970,626 |
Total | 53,454,194 | |
U.S. Large Cap 12.3% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 372,524 | 14,886,042 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 182,276 | 15,198,203 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 262,825 | 8,917,653 |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 1,791,654 | 31,640,602 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 238,197 | 8,896,656 |
CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 123,665 | 4,489,036 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 93,874 | 4,152,999 |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares(a),(b) | 87,709 | 4,519,617 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 122,916 | 3,999,696 |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(a),(b) | 425,113 | 14,500,614 |
Total | 111,201,118 |
Equity Funds (continued) | ||
U.S. Small Cap 1.2% | ||
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares(a) | 218,204 | 2,707,919 |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares(a),(b) | 241,797 | 2,696,032 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 106,432 | 3,131,231 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 82,971 | 2,817,693 |
Total | 11,352,875 | |
Total Equity Funds (Cost $157,328,727) | 177,818,813 | |
Fixed Income Funds 72.4% | ||
Emerging Markets 0.6% | ||
Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares(a) | 720,209 | 5,444,783 |
Investment Grade 71.8% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 14,468,384 | 122,113,160 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 2,862,791 | 26,852,975 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 3,396,969 | 27,209,720 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 4,088,686 | 36,103,102 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 6,916,120 | 63,351,659 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 11,636,755 | 108,570,921 |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(a) | 27,694,054 | 267,247,622 |
Total | 651,449,159 | |
Total Fixed Income Funds (Cost $777,036,649) | 656,893,942 |
Residential Mortgage-Backed Securities - Agency 2.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(c) | ||||
07/18/2038 | 5.000% | 2,734,000 | 2,715,952 | |
07/13/2053 | 5.500% | 15,483,000 | 15,408,004 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $18,189,245) | 18,123,956 |
Portfolio Navigator Funds | Semiannual Report 2023 | 15 |
Variable Portfolio – Conservative Portfolio, June 30, 2023 (Unaudited)
Money Market Funds 7.7% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(a),(d) | 69,515,572 | 69,487,766 |
Total Money Market Funds (Cost $69,493,453) | 69,487,766 | |
Total Investments in Securities (Cost: $1,023,312,265) | 923,539,147 | |
Other Assets & Liabilities, Net | (16,170,801) | |
Net Assets | 907,368,346 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
MSCI EAFE Index | 64 | 09/2023 | USD | 6,897,600 | 63,811 | — |
Russell 2000 Index E-mini | 9 | 09/2023 | USD | 856,665 | 1,868 | — |
S&P 500 Index E-mini | 35 | 09/2023 | USD | 7,854,438 | 260,913 | — |
U.S. Treasury 10-Year Note | 183 | 09/2023 | USD | 20,544,609 | — | (390,630) |
U.S. Treasury Ultra Bond | 52 | 09/2023 | USD | 7,083,375 | 63,708 | — |
Total | 390,300 | (390,630) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
FTSE 100 Index | (56) | 09/2023 | GBP | (4,223,240) | 34,441 | — |
(a) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | |||||||||
66,826,318 | 18,463,066 | (15,796,540) | (5,078) | 69,487,766 | — | (2,065) | 1,663,199 | 69,515,572 | |
Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares | |||||||||
1,317,827 | — | — | (103,157) | 1,214,670 | — | — | — | 257,892 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
15,118,307 | 336,418 | (2,165,022) | 1,596,339 | 14,886,042 | — | 1,351,991 | — | 372,524 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
14,721,497 | 737,025 | (1,700,213) | 1,439,894 | 15,198,203 | — | 810,072 | — | 182,276 | |
Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares | |||||||||
5,563,850 | 236,437 | (483,879) | 128,375 | 5,444,783 | — | (94,446) | 153,017 | 720,209 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
123,980,285 | 321,931 | (5,785,024) | 3,595,968 | 122,113,160 | — | (1,004,440) | — | 14,468,384 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
8,378,625 | 345,066 | (1,331,332) | 1,525,294 | 8,917,653 | — | 824,344 | — | 262,825 |
16 | Portfolio Navigator Funds | Semiannual Report 2023 |
Variable Portfolio – Conservative Portfolio, June 30, 2023 (Unaudited)
Affiliated issuers | Beginning of period($) | 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 | |||||||||
27,754,158 | 239,274 | (1,761,603) | 621,146 | 26,852,975 | — | 5,787 | — | 2,862,791 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
26,092,209 | 1,094,663 | (1,546,346) | 1,569,194 | 27,209,720 | — | (272,795) | — | 3,396,969 | |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares | |||||||||
31,979,674 | 1,720,101 | (4,243,449) | 1,704,988 | 31,161,314 | — | 166,135 | 616,095 | 2,504,928 | |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares | |||||||||
30,235,241 | 1,056,468 | (4,352,449) | 4,701,342 | 31,640,602 | — | 826,067 | — | 1,791,654 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
9,212,770 | 748,280 | (760,954) | (303,440) | 8,896,656 | — | 484,921 | — | 238,197 | |
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares | |||||||||
2,590,882 | 354,841 | (775,284) | 537,480 | 2,707,919 | — | (309,727) | — | 218,204 | |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares | |||||||||
2,224,528 | — | — | 471,504 | 2,696,032 | — | — | — | 241,797 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
36,709,649 | 208,886 | (1,670,033) | 854,600 | 36,103,102 | — | (245,498) | — | 4,088,686 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
64,181,792 | 283,838 | (2,838,888) | 1,724,917 | 63,351,659 | — | (490,731) | — | 6,916,120 | |
CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares | |||||||||
1,705,058 | 220,201 | (292,994) | 178,361 | 1,810,626 | — | (67,180) | — | 281,153 | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
4,512,090 | 1,570,173 | (1,333,484) | (259,743) | 4,489,036 | — | 434,229 | — | 123,665 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
3,444,817 | 1,915,952 | (2,280,488) | 1,072,718 | 4,152,999 | — | (265,270) | — | 93,874 | |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares | |||||||||
4,329,788 | 1,557,012 | (1,892,915) | 525,732 | 4,519,617 | — | 323,576 | — | 87,709 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
4,602,426 | 1,613,945 | (1,566,211) | (650,464) | 3,999,696 | — | 837,546 | — | 122,916 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
110,197,514 | 385,798 | (5,291,672) | 3,279,281 | 108,570,921 | — | (588,506) | — | 11,636,755 | |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares | |||||||||
271,112,338 | 912,774 | (12,499,262) | 7,721,772 | 267,247,622 | — | (790,434) | — | 27,694,054 | |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares | |||||||||
14,209,954 | 435,567 | (1,080,139) | 935,232 | 14,500,614 | — | 1,011,570 | — | 425,113 | |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares | |||||||||
4,510,225 | 144,418 | (755,972) | 588,220 | 4,486,891 | — | (67,113) | 66,111 | 455,985 | |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares | |||||||||
8,393,833 | 455,724 | (890,001) | 875,807 | 8,835,363 | — | 153,404 | 41,664 | 780,509 | |
Variable Portfolio – Partners International Value Fund, Class 1 Shares | |||||||||
9,219,826 | 520,757 | (1,199,815) | 429,858 | 8,970,626 | — | 462,315 | 201,405 | 933,468 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
3,067,135 | 309,429 | (312,310) | 66,977 | 3,131,231 | — | 211,655 | — | 106,432 |
Portfolio Navigator Funds | Semiannual Report 2023 | 17 |
Variable Portfolio – Conservative Portfolio, June 30, 2023 (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 ($) | End of period shares |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
3,488,352 | 411,804 | (1,323,639) | 241,176 | 2,817,693 | — | (78,371) | — | 82,971 | |
Total | 909,680,968 | 35,064,293 | 905,415,191 | — | 3,627,036 | 2,741,491 |
(b) | Non-income producing investment. |
(c) | Represents a security purchased on a when-issued basis. |
(d) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
TBA | To Be Announced |
GBP | British Pound |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
18 | Portfolio Navigator Funds | Semiannual Report 2023 |
Variable Portfolio – Conservative Portfolio, June 30, 2023 (Unaudited)
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2023:
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Alternative Strategies Funds | — | — | — | 1,214,670 | 1,214,670 |
Equity Funds | — | — | — | 177,818,813 | 177,818,813 |
Fixed Income Funds | — | — | — | 656,893,942 | 656,893,942 |
Residential Mortgage-Backed Securities - Agency | — | 18,123,956 | — | — | 18,123,956 |
Money Market Funds | 69,487,766 | — | — | — | 69,487,766 |
Total Investments in Securities | 69,487,766 | 18,123,956 | — | 835,927,425 | 923,539,147 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 424,741 | — | — | — | 424,741 |
Liability | |||||
Futures Contracts | (390,630) | — | — | — | (390,630) |
Total | 69,521,877 | 18,123,956 | — | 835,927,425 | 923,573,258 |
Portfolio Navigator Funds | Semiannual Report 2023 | 19 |
Variable Portfolio – Moderately Conservative Portfolio, June 30, 2023 (Unaudited)
Alternative Strategies Funds 0.2% | ||
Shares | Value ($) | |
Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares(a) | 1,058,356 | 4,984,855 |
Total Alternative Strategies Funds (Cost $5,100,759) | 4,984,855 | |
Equity Funds 36.5% | ||
Global Real Estate 0.4% | ||
CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares(a) | 1,379,282 | 8,882,576 |
International 11.7% | ||
Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares(a) | 1,003,276 | 9,571,249 |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(a) | 8,150,095 | 101,387,178 |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares(a) | 5,882,434 | 57,883,153 |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares(a) | 3,720,259 | 42,113,336 |
Variable Portfolio – Partners International Value Fund, Class 1 Shares(a) | 4,741,037 | 45,561,363 |
Total | 256,516,279 | |
U.S. Large Cap 22.2% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 1,188,744 | 47,502,222 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 560,253 | 46,713,934 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 1,515,574 | 51,423,426 |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 5,371,656 | 94,863,439 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 1,119,042 | 41,796,209 |
CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 899,478 | 32,651,048 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 873,821 | 38,657,857 |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares(a),(b) | 800,372 | 41,243,143 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 987,666 | 32,138,655 |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(a),(b) | 1,824,722 | 62,241,276 |
Total | 489,231,209 |
Equity Funds (continued) | ||
U.S. Mid Cap 0.7% | ||
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(a),(b) | 182,049 | 7,935,493 |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(a),(b) | 198,275 | 8,220,498 |
Total | 16,155,991 | |
U.S. Small Cap 1.5% | ||
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares(a) | 644,921 | 8,003,477 |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares(a),(b) | 707,844 | 7,892,458 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 338,575 | 9,960,869 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 205,429 | 6,976,371 |
Total | 32,833,175 | |
Total Equity Funds (Cost $636,270,761) | 803,619,230 | |
Fixed Income Funds 58.6% | ||
Emerging Markets 0.6% | ||
Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares(a) | 1,785,690 | 13,499,816 |
Investment Grade 58.0% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 22,252,321 | 187,809,587 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 4,821,152 | 45,222,406 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 5,527,244 | 44,273,222 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 4,993,466 | 44,092,303 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 15,660,345 | 143,448,763 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 26,082,353 | 243,348,358 |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(a) | 58,928,687 | 568,661,828 |
Total | 1,276,856,467 | |
Total Fixed Income Funds (Cost $1,516,134,760) | 1,290,356,283 |
20 | Portfolio Navigator Funds | Semiannual Report 2023 |
Variable Portfolio – Moderately Conservative Portfolio, June 30, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency 2.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(c) | ||||
07/18/2038 | 5.000% | 6,637,000 | 6,593,186 | |
07/13/2053 | 5.500% | 37,589,000 | 37,406,928 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $44,158,617) | 44,000,114 |
Money Market Funds 4.5% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(a),(d) | 97,906,028 | 97,866,866 |
Total Money Market Funds (Cost $97,870,505) | 97,866,866 | |
Total Investments in Securities (Cost: $2,299,535,402) | 2,240,827,348 | |
Other Assets & Liabilities, Net | (40,542,291) | |
Net Assets | 2,200,285,057 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
MSCI EAFE Index | 108 | 09/2023 | USD | 11,639,700 | 99,835 | — |
Russell 2000 Index E-mini | 188 | 09/2023 | USD | 17,894,780 | 39,014 | — |
U.S. Treasury Ultra Bond | 191 | 09/2023 | USD | 26,017,781 | 234,004 | — |
Total | 372,853 | — |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
FTSE 100 Index | (240) | 09/2023 | GBP | (18,099,600) | 147,604 | — |
MSCI Emerging Markets Index | (115) | 09/2023 | USD | (5,737,925) | 77,330 | — |
S&P 500 Index E-mini | (67) | 09/2023 | USD | (15,035,638) | — | (488,596) |
Total | 224,934 | (488,596) |
(a) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | |||||||||
95,077,223 | 32,331,591 | (29,534,131) | (7,817) | 97,866,866 | — | (1,861) | 2,356,210 | 97,906,028 | |
Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares | |||||||||
5,394,952 | 12,513 | (534) | (422,076) | 4,984,855 | — | (42) | — | 1,058,356 |
Portfolio Navigator Funds | Semiannual Report 2023 | 21 |
Variable Portfolio – Moderately Conservative Portfolio, June 30, 2023 (Unaudited)
Affiliated issuers | Beginning of period($) | 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 | |||||||||
44,049,756 | — | (1,923,547) | 5,376,013 | 47,502,222 | — | 3,399,204 | — | 1,188,744 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
44,239,078 | — | (2,023,733) | 4,498,589 | 46,713,934 | — | 2,241,298 | — | 560,253 | |
Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares | |||||||||
13,923,806 | 378,052 | (1,099,539) | 297,497 | 13,499,816 | — | (214,894) | 378,052 | 1,785,690 | |
Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares | |||||||||
9,019,348 | 10,402 | — | 541,499 | 9,571,249 | — | — | 10,402 | 1,003,276 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
191,465,292 | — | (9,255,525) | 5,599,820 | 187,809,587 | — | (1,620,827) | — | 22,252,321 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
44,059,699 | — | (2,260,027) | 9,623,754 | 51,423,426 | — | 3,051,858 | — | 1,515,574 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
53,416,954 | — | (9,337,514) | 1,142,966 | 45,222,406 | — | 22,699 | — | 4,821,152 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
42,700,027 | 14,631 | (611,497) | 2,170,061 | 44,273,222 | — | (96,647) | — | 5,527,244 | |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares | |||||||||
105,027,505 | 2,011,968 | (12,228,126) | 6,575,831 | 101,387,178 | — | (577,682) | 2,011,969 | 8,150,095 | |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares | |||||||||
88,536,016 | — | (6,313,336) | 12,640,759 | 94,863,439 | — | 3,739,838 | — | 5,371,656 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
42,328,225 | 71,916 | (951,110) | 347,178 | 41,796,209 | — | 349,059 | — | 1,119,042 | |
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares | |||||||||
8,030,769 | 250 | (1,080,323) | 1,052,781 | 8,003,477 | — | (413,659) | — | 644,921 | |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares | |||||||||
6,512,163 | — | — | 1,380,295 | 7,892,458 | — | — | — | 707,844 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
45,089,654 | — | (2,022,448) | 1,025,097 | 44,092,303 | — | (283,605) | — | 4,993,466 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
146,490,749 | — | (6,922,504) | 3,880,518 | 143,448,763 | — | (1,069,541) | — | 15,660,345 | |
CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares | |||||||||
8,428,721 | 6,500 | (32,182) | 479,537 | 8,882,576 | — | (9,216) | — | 1,379,282 | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
38,463,176 | 161,311 | (5,130,319) | (843,120) | 32,651,048 | — | 1,679,681 | — | 899,478 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
25,446,429 | 6,096,594 | (74,553) | 7,189,387 | 38,657,857 | — | 23,686 | — | 873,821 | |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares | |||||||||
34,640,016 | 6,094,000 | (2,978,353) | 3,487,480 | 41,243,143 | — | 4,061,261 | — | 800,372 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
37,974,107 | 177,412 | (2,097,655) | (3,915,209) | 32,138,655 | — | 4,753,665 | — | 987,666 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
248,935,545 | — | (12,937,737) | 7,350,550 | 243,348,358 | — | (1,298,350) | — | 26,082,353 | |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares | |||||||||
8,122,141 | 151 | (182,097) | (4,702) | 7,935,493 | — | 311,786 | — | 182,049 |
22 | Portfolio Navigator Funds | Semiannual Report 2023 |
Variable Portfolio – Moderately Conservative Portfolio, June 30, 2023 (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® – Westfield Mid Cap Growth Fund, Class 1 Shares | |||||||||
7,566,648 | 91 | (237,914) | 891,673 | 8,220,498 | — | 320,082 | — | 198,275 | |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares | |||||||||
578,525,501 | — | (27,799,033) | 17,935,360 | 568,661,828 | — | (3,169,527) | — | 58,928,687 | |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares | |||||||||
58,116,466 | — | (1,220,389) | 5,345,199 | 62,241,276 | — | 2,646,499 | — | 1,824,722 | |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares | |||||||||
57,054,632 | 849,921 | (7,988,803) | 7,967,403 | 57,883,153 | — | (1,368,343) | 849,921 | 5,882,434 | |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares | |||||||||
37,160,787 | 288,946 | — | 4,663,603 | 42,113,336 | — | — | 194,687 | 3,720,259 | |
Variable Portfolio – Partners International Value Fund, Class 1 Shares | |||||||||
45,195,328 | 1,003,854 | (5,090,720) | 4,452,901 | 45,561,363 | — | (108,223) | 1,003,854 | 4,741,037 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
9,912,719 | 15,654 | (561,966) | 594,462 | 9,960,869 | — | 243,146 | — | 338,575 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
6,576,080 | 145,940 | — | 254,351 | 6,976,371 | — | — | — | 205,429 | |
Total | 2,187,479,512 | 111,571,640 | 2,196,827,234 | — | 16,611,345 | 6,805,095 |
(b) | Non-income producing investment. |
(c) | Represents a security purchased on a when-issued basis. |
(d) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
TBA | To Be Announced |
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). |
Portfolio Navigator Funds | Semiannual Report 2023 | 23 |
Variable Portfolio – Moderately Conservative Portfolio, June 30, 2023 (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. Principal 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 | — | — | — | 4,984,855 | 4,984,855 |
Equity Funds | — | — | — | 803,619,230 | 803,619,230 |
Fixed Income Funds | — | — | — | 1,290,356,283 | 1,290,356,283 |
Residential Mortgage-Backed Securities - Agency | — | 44,000,114 | — | — | 44,000,114 |
Money Market Funds | 97,866,866 | — | — | — | 97,866,866 |
Total Investments in Securities | 97,866,866 | 44,000,114 | — | 2,098,960,368 | 2,240,827,348 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 597,787 | — | — | — | 597,787 |
Liability | |||||
Futures Contracts | (488,596) | — | — | — | (488,596) |
Total | 97,976,057 | 44,000,114 | — | 2,098,960,368 | 2,240,936,539 |
24 | Portfolio Navigator Funds | Semiannual Report 2023 |
Variable Portfolio – Moderate Portfolio, June 30, 2023 (Unaudited)
Alternative Strategies Funds 0.3% | ||
Shares | Value ($) | |
Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares(a) | 8,658,011 | 40,779,235 |
Total Alternative Strategies Funds (Cost $42,307,267) | 40,779,235 | |
Equity Funds 51.2% | ||
Global Real Estate 0.6% | ||
CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares(a) | 13,020,125 | 83,849,603 |
International 14.9% | ||
Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares(a) | 3,173,029 | 30,270,698 |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(a) | 72,745,748 | 904,957,102 |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares(a) | 40,011,660 | 393,714,736 |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares(a) | 30,250,806 | 342,439,128 |
Variable Portfolio – Partners International Value Fund, Class 1 Shares(a) | 44,568,025 | 428,298,715 |
Total | 2,099,680,379 | |
U.S. Large Cap 32.5% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 9,918,461 | 396,341,714 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 4,497,758 | 375,023,069 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 14,521,767 | 492,723,550 |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 44,157,746 | 779,825,800 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 10,437,608 | 389,844,649 |
CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 9,066,084 | 329,098,845 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 8,321,848 | 368,158,579 |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares(a),(b) | 8,427,980 | 434,293,803 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 9,894,815 | 321,977,266 |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(a),(b) | 20,237,229 | 690,291,895 |
Total | 4,577,579,170 |
Equity Funds (continued) | ||
U.S. Mid Cap 1.2% | ||
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(a),(b) | 1,834,003 | 79,944,177 |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(a),(b) | 1,984,495 | 82,277,159 |
Total | 162,221,336 | |
U.S. Small Cap 2.0% | ||
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares(a) | 6,526,628 | 80,995,453 |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares(a),(b) | 6,197,818 | 69,105,670 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 2,718,324 | 79,973,086 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 1,595,954 | 54,198,611 |
Total | 284,272,820 | |
Total Equity Funds (Cost $5,493,865,862) | 7,207,603,308 | |
Fixed Income Funds 42.5% | ||
Emerging Markets 0.6% | ||
Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares(a) | 11,346,482 | 85,779,408 |
Investment Grade 41.9% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 123,845,347 | 1,045,254,730 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 19,463,285 | 182,565,613 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 75,430,639 | 604,199,418 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 27,669,760 | 244,323,979 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 75,205,600 | 688,883,298 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 131,385,145 | 1,225,823,399 |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(a) | 197,514,542 | 1,906,015,331 |
Total | 5,897,065,768 | |
Total Fixed Income Funds (Cost $7,046,255,480) | 5,982,845,176 |
Portfolio Navigator Funds | Semiannual Report 2023 | 25 |
Variable Portfolio – Moderate Portfolio, June 30, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency 2.9% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(c) | ||||
07/18/2038 | 5.000% | 62,601,000 | 62,187,736 | |
07/13/2053 | 5.500% | 354,550,000 | 352,832,648 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $416,515,430) | 415,020,384 |
Money Market Funds 5.8% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(a),(d) | 789,435,712 | 789,119,938 |
Columbia Variable Portfolio – Government Money Market Fund, Class 1 Shares, 4.731%(a),(d) | 29,953,347 | 29,953,347 |
Total Money Market Funds (Cost $819,039,947) | 819,073,285 | |
Total Investments in Securities (Cost: $13,817,983,986) | 14,465,321,388 | |
Other Assets & Liabilities, Net | (386,637,796) | |
Net Assets | 14,078,683,592 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
MSCI EAFE Index | 854 | 09/2023 | USD | 92,039,850 | 789,438 | — |
Russell 2000 Index E-mini | 1,974 | 09/2023 | USD | 187,895,190 | 409,644 | — |
TOPIX Index | 353 | 09/2023 | JPY | 8,076,640,000 | 2,313,268 | — |
U.S. Treasury Ultra Bond | 695 | 09/2023 | USD | 94,672,031 | 852,066 | — |
Total | 4,364,416 | — |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
FTSE 100 Index | (1,861) | 09/2023 | GBP | (140,347,315) | 1,144,543 | — |
S&P 500 Index E-mini | (709) | 09/2023 | USD | (159,108,463) | — | (5,326,011) |
Total | 1,144,543 | (5,326,011) |
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America Investment Grade Index, Series 40 | Morgan Stanley | 06/20/2028 | 1.000 | Quarterly | 0.658 | USD | 52,323,000 | 540,804 | — | — | 540,804 | — |
26 | Portfolio Navigator Funds | Semiannual Report 2023 |
Variable Portfolio – Moderate Portfolio, June 30, 2023 (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, 2023 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, 5.323% | |||||||||
745,326,127 | 241,975,942 | (198,116,267) | (65,864) | 789,119,938 | — | (8,110) | 18,823,093 | 789,435,712 | |
Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares | |||||||||
44,271,607 | — | (31,052) | (3,461,320) | 40,779,235 | — | (2,310) | — | 8,658,011 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
343,745,896 | — | (6,317,914) | 58,913,732 | 396,341,714 | — | 10,810,493 | — | 9,918,461 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
345,716,005 | — | (11,321,620) | 40,628,684 | 375,023,069 | — | 12,610,572 | — | 4,497,758 | |
Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares | |||||||||
85,694,124 | 2,385,275 | (3,849,710) | 1,549,719 | 85,779,408 | — | (1,063,288) | 2,385,275 | 11,346,482 | |
Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares | |||||||||
28,525,217 | 32,899 | — | 1,712,582 | 30,270,698 | — | — | 32,899 | 3,173,029 | |
Columbia Variable Portfolio – Government Money Market Fund, Class 1 Shares, 4.731% | |||||||||
30,273,440 | 653,999 | (974,092) | — | 29,953,347 | — | — | 654,855 | 29,953,347 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
1,024,292,470 | — | (114,007) | 21,076,267 | 1,045,254,730 | — | (20,351) | — | 123,845,347 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
417,796,622 | — | (13,153,862) | 88,080,790 | 492,723,550 | — | 33,690,752 | — | 14,521,767 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
244,354,498 | — | (66,810,080) | 5,021,195 | 182,565,613 | — | 210,389 | — | 19,463,285 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
579,316,486 | — | (3,846,385) | 28,729,317 | 604,199,418 | — | (682,465) | — | 75,430,639 | |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares | |||||||||
906,703,495 | 17,801,965 | (72,249,287) | 52,700,929 | 904,957,102 | — | (934,019) | 17,801,965 | 72,745,748 | |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares | |||||||||
690,837,982 | — | (25,910,258) | 114,898,076 | 779,825,800 | — | 15,095,976 | — | 44,157,746 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
383,676,504 | — | (228,968) | 6,397,113 | 389,844,649 | — | 78,299 | — | 10,437,608 | |
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares | |||||||||
79,556,468 | — | (5,779,882) | 7,218,867 | 80,995,453 | — | (927,567) | — | 6,526,628 | |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares | |||||||||
57,019,926 | — | — | 12,085,744 | 69,105,670 | — | — | — | 6,197,818 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
244,681,647 | — | (4,937,485) | 4,579,817 | 244,323,979 | — | (591,342) | — | 27,669,760 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
676,098,346 | — | — | 12,784,952 | 688,883,298 | — | — | — | 75,205,600 |
Portfolio Navigator Funds | Semiannual Report 2023 | 27 |
Variable Portfolio – Moderate Portfolio, June 30, 2023 (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® – CenterSquare Real Estate Fund, Class 1 Shares | |||||||||
79,532,870 | — | (165,706) | 4,482,439 | 83,849,603 | — | (44,096) | — | 13,020,125 | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
384,035,812 | — | (43,799,641) | (11,137,326) | 329,098,845 | — | 19,409,696 | — | 9,066,084 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
242,615,387 | 57,034,000 | (33,211) | 68,542,403 | 368,158,579 | — | 115,368 | — | 8,321,848 | |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares | |||||||||
335,039,301 | 57,034,000 | (14,358,697) | 56,579,199 | 434,293,803 | — | 19,246,020 | — | 8,427,980 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
377,465,325 | — | (21,938,094) | (33,549,965) | 321,977,266 | — | 41,651,301 | — | 9,894,815 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
1,372,810,669 | — | (203,109,910) | 56,122,640 | 1,225,823,399 | — | (22,378,652) | — | 131,385,145 | |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares | |||||||||
81,004,603 | — | (843,574) | (216,852) | 79,944,177 | — | 3,239,486 | — | 1,834,003 | |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares | |||||||||
73,328,923 | — | (837,249) | 9,785,485 | 82,277,159 | — | 2,091,430 | — | 1,984,495 | |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares | |||||||||
1,900,522,345 | — | (47,117,490) | 52,610,476 | 1,906,015,331 | — | (4,050,870) | — | 197,514,542 | |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares | |||||||||
626,802,486 | — | (18,267,059) | 81,756,468 | 690,291,895 | — | 5,610,861 | — | 20,237,229 | |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares | |||||||||
394,919,281 | 5,804,387 | (53,176,030) | 46,167,098 | 393,714,736 | — | (885,395) | 5,804,387 | 40,011,660 | |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares | |||||||||
304,630,004 | 1,595,825 | (1,948,093) | 38,161,392 | 342,439,128 | — | 50,138 | 1,595,825 | 30,250,806 | |
Variable Portfolio – Partners International Value Fund, Class 1 Shares | |||||||||
386,447,388 | 9,023,816 | (5,022,290) | 37,849,801 | 428,298,715 | — | (74,298) | 9,023,816 | 44,568,025 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
78,335,746 | — | (2,144,221) | 3,781,561 | 79,973,086 | — | 2,853,954 | — | 2,718,324 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
52,171,749 | — | — | 2,026,862 | 54,198,611 | — | — | — | 1,595,954 | |
Total | 13,617,548,749 | 865,812,281 | 14,050,301,004 | — | 135,101,972 | 56,122,115 |
(b) | Non-income producing investment. |
(c) | Represents a security purchased on a when-issued basis. |
(d) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
TBA | To Be Announced |
GBP | British Pound |
JPY | Japanese Yen |
USD | US Dollar |
28 | Portfolio Navigator Funds | Semiannual Report 2023 |
Variable Portfolio – Moderate Portfolio, June 30, 2023 (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 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Alternative Strategies Funds | — | — | — | 40,779,235 | 40,779,235 |
Equity Funds | — | — | — | 7,207,603,308 | 7,207,603,308 |
Fixed Income Funds | — | — | — | 5,982,845,176 | 5,982,845,176 |
Residential Mortgage-Backed Securities - Agency | — | 415,020,384 | — | — | 415,020,384 |
Money Market Funds | 819,073,285 | — | — | — | 819,073,285 |
Total Investments in Securities | 819,073,285 | 415,020,384 | — | 13,231,227,719 | 14,465,321,388 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 5,508,959 | — | — | — | 5,508,959 |
Swap Contracts | — | 540,804 | — | — | 540,804 |
Liability | |||||
Futures Contracts | (5,326,011) | — | — | — | (5,326,011) |
Total | 819,256,233 | 415,561,188 | — | 13,231,227,719 | 14,466,045,140 |
Portfolio Navigator Funds | Semiannual Report 2023 | 29 |
Variable Portfolio – Moderately Aggressive Portfolio, June 30, 2023 (Unaudited)
Alternative Strategies Funds 0.3% | ||
Shares | Value ($) | |
Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares(a) | 3,860,656 | 18,183,692 |
Total Alternative Strategies Funds (Cost $18,755,941) | 18,183,692 | |
Equity Funds 66.6% | ||
Global Real Estate 0.8% | ||
CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares(a) | 7,323,980 | 47,166,431 |
International 19.0% | ||
Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares(a) | 1,309,868 | 12,496,139 |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(a) | 35,057,195 | 436,111,512 |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares(a) | 22,919,907 | 225,531,885 |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares(a) | 17,879,001 | 202,390,292 |
Variable Portfolio – Partners International Value Fund, Class 1 Shares(a) | 24,713,173 | 237,493,589 |
Total | 1,114,023,417 | |
U.S. Large Cap 42.6% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 4,742,825 | 189,523,272 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 2,221,863 | 185,258,908 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 8,020,299 | 272,128,760 |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 21,626,162 | 381,918,019 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 5,781,020 | 215,921,087 |
CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 5,691,406 | 206,598,041 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 5,088,425 | 225,111,918 |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares(a),(b) | 5,024,481 | 258,911,522 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 6,222,262 | 202,472,406 |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(a),(b) | 10,454,812 | 356,613,639 |
Total | 2,494,457,572 |
Equity Funds (continued) | ||
U.S. Mid Cap 1.6% | ||
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(a),(b) | 1,041,329 | 45,391,516 |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(a),(b) | 1,133,371 | 46,989,582 |
Total | 92,381,098 | |
U.S. Small Cap 2.6% | ||
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares(a) | 3,715,196 | 46,105,583 |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares(a),(b) | 3,620,358 | 40,366,991 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 1,465,447 | 43,113,470 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 769,666 | 26,137,851 |
Total | 155,723,895 | |
Total Equity Funds (Cost $3,045,509,629) | 3,903,752,413 | |
Fixed Income Funds 27.2% | ||
Emerging Markets 0.5% | ||
Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares(a) | 3,933,760 | 29,739,226 |
Investment Grade 26.7% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 44,637,805 | 376,743,074 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 5,947,076 | 55,783,574 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 10,716,407 | 85,838,419 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 9,834,190 | 86,835,894 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 31,642,027 | 289,840,965 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 24,976,257 | 233,028,481 |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(a) | 45,417,878 | 438,282,520 |
Total | 1,566,352,927 | |
Total Fixed Income Funds (Cost $1,897,853,835) | 1,596,092,153 |
30 | Portfolio Navigator Funds | Semiannual Report 2023 |
Variable Portfolio – Moderately Aggressive Portfolio, June 30, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency 2.2% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(c) | ||||
07/18/2038 | 5.000% | 19,500,000 | 19,371,270 | |
07/13/2053 | 5.500% | 110,443,000 | 109,908,042 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $129,745,021) | 129,279,312 |
Money Market Funds 5.6% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(a),(d) | 325,312,118 | 325,181,993 |
Total Money Market Funds (Cost $325,179,146) | 325,181,993 | |
Total Investments in Securities (Cost: $5,417,043,572) | 5,972,489,563 | |
Other Assets & Liabilities, Net | (114,137,719) | |
Net Assets | 5,858,351,844 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
MSCI EAFE Index | 177 | 09/2023 | USD | 19,076,175 | 163,619 | — |
Russell 2000 Index E-mini | 1,181 | 09/2023 | USD | 112,413,485 | 245,081 | — |
TOPIX Index | 201 | 09/2023 | JPY | 4,598,880,000 | 1,317,187 | — |
U.S. Treasury 10-Year Note | 1,532 | 09/2023 | USD | 171,990,938 | — | (3,270,189) |
U.S. Treasury Ultra Bond | 200 | 09/2023 | USD | 27,243,750 | 245,031 | — |
Total | 1,970,918 | (3,270,189) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
FTSE 100 Index | (925) | 09/2023 | GBP | (69,758,875) | 568,889 | — |
S&P 500 Index E-mini | (463) | 09/2023 | USD | (103,902,988) | — | (3,465,444) |
Total | 568,889 | (3,465,444) |
Portfolio Navigator Funds | Semiannual Report 2023 | 31 |
Variable Portfolio – Moderately Aggressive Portfolio, June 30, 2023 (Unaudited)
(a) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | 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, 5.323% | |||||||||
318,715,176 | 129,694,027 | (123,179,744) | (47,466) | 325,181,993 | — | 14,145 | 7,905,256 | 325,312,118 | |
Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares | |||||||||
20,189,894 | — | (491,772) | (1,514,430) | 18,183,692 | — | (54,417) | — | 3,860,656 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
169,937,192 | — | (5,856,706) | 25,442,786 | 189,523,272 | — | 8,620,102 | — | 4,742,825 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
170,874,472 | — | (5,641,363) | 20,025,799 | 185,258,908 | — | 6,108,611 | — | 2,221,863 | |
Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares | |||||||||
30,161,052 | 828,135 | (1,912,770) | 662,809 | 29,739,226 | — | (488,068) | 828,135 | 3,933,760 | |
Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares | |||||||||
11,775,267 | 13,924 | — | 706,948 | 12,496,139 | — | — | 13,581 | 1,309,868 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
379,561,492 | 908 | (12,975,056) | 10,155,730 | 376,743,074 | — | (2,264,580) | — | 44,637,805 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
235,966,126 | — | (13,295,459) | 49,458,093 | 272,128,760 | — | 18,121,680 | — | 8,020,299 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
82,071,941 | 574 | (27,928,208) | 1,639,267 | 55,783,574 | — | 95,255 | — | 5,947,076 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
82,256,131 | 526 | (503,690) | 4,085,452 | 85,838,419 | — | (96,407) | — | 10,716,407 | |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares | |||||||||
443,746,187 | 8,588,268 | (43,796,220) | 27,573,277 | 436,111,512 | — | (2,298,103) | 8,588,268 | 35,057,195 | |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares | |||||||||
341,335,829 | — | (14,797,785) | 55,379,975 | 381,918,019 | — | 8,266,734 | — | 21,626,162 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
215,562,674 | — | (1,628,280) | 1,986,693 | 215,921,087 | — | 1,600,781 | — | 5,781,020 | |
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares | |||||||||
45,634,649 | — | (5,116,353) | 5,587,287 | 46,105,583 | — | (1,982,239) | — | 3,715,196 | |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares | |||||||||
33,307,293 | — | — | 7,059,698 | 40,366,991 | — | — | — | 3,620,358 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
88,054,356 | 177 | (3,073,338) | 1,854,699 | 86,835,894 | — | (406,473) | — | 9,834,190 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
293,668,586 | 648 | (11,152,213) | 7,323,944 | 289,840,965 | — | (1,680,899) | — | 31,642,027 | |
CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares | |||||||||
45,957,672 | — | (1,928,394) | 3,137,153 | 47,166,431 | — | (579,348) | — | 7,323,980 | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
236,752,233 | 181 | (27,309,996) | (2,844,377) | 206,598,041 | — | 7,920,819 | — | 5,691,406 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
153,254,557 | 30,456,000 | (607,397) | 42,008,758 | 225,111,918 | — | 590,239 | — | 5,088,425 | |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares | |||||||||
207,951,964 | 30,456,000 | (10,898,466) | 31,402,024 | 258,911,522 | — | 14,572,952 | — | 5,024,481 |
32 | Portfolio Navigator Funds | Semiannual Report 2023 |
Variable Portfolio – Moderately Aggressive Portfolio, June 30, 2023 (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 | |||||||||
232,621,303 | 762 | (19,507,731) | (10,641,928) | 202,472,406 | — | 15,523,978 | — | 6,222,262 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
236,249,331 | 294 | (10,045,783) | 6,824,639 | 233,028,481 | — | (1,067,775) | — | 24,976,257 | |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares | |||||||||
46,685,717 | — | (810,693) | (483,508) | 45,391,516 | — | 2,218,448 | — | 1,041,329 | |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares | |||||||||
42,303,631 | — | (638,072) | 5,324,023 | 46,989,582 | — | 1,477,663 | — | 1,133,371 | |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares | |||||||||
445,027,292 | 367 | (20,739,462) | 13,994,323 | 438,282,520 | — | (2,601,455) | — | 45,417,878 | |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares | |||||||||
328,439,887 | — | (6,769,411) | 34,943,163 | 356,613,639 | — | 10,318,008 | — | 10,454,812 | |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares | |||||||||
234,180,190 | 3,361,312 | (39,287,997) | 27,278,380 | 225,531,885 | — | (668,863) | 3,360,202 | 22,919,907 | |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares | |||||||||
178,998,034 | 937,785 | — | 22,454,473 | 202,390,292 | — | — | 937,693 | 17,879,001 | |
Variable Portfolio – Partners International Value Fund, Class 1 Shares | |||||||||
214,833,718 | 5,012,365 | (3,761,650) | 21,409,156 | 237,493,589 | — | (429,775) | 5,012,365 | 24,713,173 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
41,766,885 | — | (1,538,144) | 2,884,729 | 43,113,470 | — | 666,215 | — | 1,465,447 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
25,158,518 | 1,934 | — | 977,399 | 26,137,851 | — | — | — | 769,666 | |
Total | 5,632,999,249 | 416,048,968 | 5,843,210,251 | — | 81,497,228 | 26,645,500 |
(b) | Non-income producing investment. |
(c) | Represents a security purchased on a when-issued basis. |
(d) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
TBA | To Be Announced |
GBP | British Pound |
JPY | Japanese Yen |
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. |
Portfolio Navigator Funds | Semiannual Report 2023 | 33 |
Variable Portfolio – Moderately Aggressive Portfolio, June 30, 2023 (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 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Alternative Strategies Funds | — | — | — | 18,183,692 | 18,183,692 |
Equity Funds | — | — | — | 3,903,752,413 | 3,903,752,413 |
Fixed Income Funds | — | — | — | 1,596,092,153 | 1,596,092,153 |
Residential Mortgage-Backed Securities - Agency | — | 129,279,312 | — | — | 129,279,312 |
Money Market Funds | 325,181,993 | — | — | — | 325,181,993 |
Total Investments in Securities | 325,181,993 | 129,279,312 | — | 5,518,028,258 | 5,972,489,563 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 2,539,807 | — | — | — | 2,539,807 |
Liability | |||||
Futures Contracts | (6,735,633) | — | — | — | (6,735,633) |
Total | 320,986,167 | 129,279,312 | — | 5,518,028,258 | 5,968,293,737 |
34 | Portfolio Navigator Funds | Semiannual Report 2023 |
Variable Portfolio – Aggressive Portfolio, June 30, 2023 (Unaudited)
Alternative Strategies Funds 0.4% | ||
Shares | Value ($) | |
Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares(a) | 1,952,438 | 9,195,983 |
Total Alternative Strategies Funds (Cost $9,668,112) | 9,195,983 | |
Equity Funds 82.8% | ||
Global Real Estate 1.0% | ||
CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares(a) | 3,395,829 | 21,869,137 |
International 24.4% | ||
Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares(a) | 536,004 | 5,113,483 |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(a) | 14,907,805 | 185,453,091 |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares(a) | 14,289,265 | 140,606,366 |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares(a) | 8,649,007 | 97,906,760 |
Variable Portfolio – Partners International Value Fund, Class 1 Shares(a) | 11,382,117 | 109,382,141 |
Total | 538,461,841 | |
U.S. Large Cap 52.1% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 2,154,362 | 86,088,317 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 1,006,149 | 83,892,691 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 3,962,179 | 134,436,718 |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 9,807,950 | 173,208,390 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 2,679,480 | 100,078,594 |
CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 2,655,909 | 96,409,513 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 2,363,514 | 104,561,854 |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares(a),(b) | 2,323,848 | 119,747,901 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 2,925,584 | 95,198,492 |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(a),(b) | 4,507,676 | 153,756,841 |
Total | 1,147,379,311 |
Equity Funds (continued) | ||
U.S. Mid Cap 1.9% | ||
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(a),(b) | 474,504 | 20,683,619 |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(a),(b) | 500,489 | 20,750,282 |
Total | 41,433,901 | |
U.S. Small Cap 3.4% | ||
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares(a) | 1,699,708 | 21,093,381 |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares(a),(b) | 1,530,790 | 17,068,309 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 698,148 | 20,539,511 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 493,984 | 16,775,698 |
Total | 75,476,899 | |
Total Equity Funds (Cost $1,406,773,675) | 1,824,621,089 | |
Fixed Income Funds 14.0% | ||
Emerging Markets 0.5% | ||
Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares(a) | 1,438,959 | 10,878,535 |
Investment Grade 13.5% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 7,601,574 | 64,157,282 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 691,114 | 6,482,653 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 5,184,169 | 41,525,190 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 7,041,616 | 64,501,204 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 4,638,398 | 43,276,251 |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(a) | 8,135,730 | 78,509,799 |
Total | 298,452,379 | |
Total Fixed Income Funds (Cost $371,775,027) | 309,330,914 |
Portfolio Navigator Funds | Semiannual Report 2023 | 35 |
Variable Portfolio – Aggressive Portfolio, June 30, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency 2.9% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(c) | ||||
07/18/2038 | 5.000% | 9,551,000 | 9,487,948 | |
07/13/2053 | 5.500% | 54,123,000 | 53,860,842 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $63,576,997) | 63,348,790 |
Money Market Funds 2.6% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(a),(d) | 56,734,683 | 56,711,989 |
Total Money Market Funds (Cost $56,712,870) | 56,711,989 | |
Total Investments in Securities (Cost: $1,908,506,681) | 2,263,208,765 | |
Other Assets & Liabilities, Net | (58,444,391) | |
Net Assets | 2,204,764,374 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
MSCI EAFE Index | 50 | 09/2023 | USD | 5,388,750 | 46,220 | — |
Russell 2000 Index E-mini | 515 | 09/2023 | USD | 49,020,275 | 106,873 | — |
TOPIX Index | 75 | 09/2023 | JPY | 1,716,000,000 | 491,488 | — |
U.S. Treasury Ultra Bond | 82 | 09/2023 | USD | 11,169,938 | 100,463 | — |
Total | 745,044 | — |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
FTSE 100 Index | (487) | 09/2023 | GBP | (36,727,105) | 299,512 | — |
S&P 500 Index E-mini | (277) | 09/2023 | USD | (62,162,263) | — | (2,053,326) |
Total | 299,512 | (2,053,326) |
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America Investment Grade Index, Series 40 | Morgan Stanley | 06/20/2028 | 1.000 | Quarterly | 0.658 | USD | 10,308,000 | 106,542 | — | — | 106,542 | — |
36 | Portfolio Navigator Funds | Semiannual Report 2023 |
Variable Portfolio – Aggressive Portfolio, June 30, 2023 (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, 2023 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, 5.323% | |||||||||
58,959,080 | 28,178,529 | (30,419,664) | (5,956) | 56,711,989 | — | 724 | 1,424,516 | 56,734,683 | |
Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares | |||||||||
10,678,091 | — | (746,412) | (735,696) | 9,195,983 | — | (72,934) | — | 1,952,438 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
75,176,851 | — | (1,582,037) | 12,493,503 | 86,088,317 | — | 2,738,051 | — | 2,154,362 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
76,140,903 | — | (1,908,689) | 9,660,477 | 83,892,691 | — | 2,060,484 | — | 1,006,149 | |
Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares | |||||||||
10,576,187 | 312,698 | (97,576) | 87,226 | 10,878,535 | — | (29,000) | 299,653 | 1,438,959 | |
Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares | |||||||||
4,682,441 | 146,043 | — | 284,999 | 5,113,483 | — | — | 5,433 | 536,004 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
63,329,334 | 208,047 | (832,848) | 1,452,749 | 64,157,282 | — | (144,792) | — | 7,601,574 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
112,966,837 | — | (3,669,011) | 25,138,892 | 134,436,718 | — | 7,406,548 | — | 3,962,179 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
12,996,330 | 9,383 | (6,762,524) | 239,464 | 6,482,653 | — | 23,660 | — | 691,114 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
38,953,929 | 680,071 | (1,627) | 1,892,817 | 41,525,190 | — | (316) | — | 5,184,169 | |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares | |||||||||
180,440,894 | 3,570,066 | (9,260,423) | 10,702,554 | 185,453,091 | — | (400,802) | 3,570,065 | 14,907,805 | |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares | |||||||||
151,481,465 | — | (4,376,087) | 26,103,012 | 173,208,390 | — | 2,409,779 | — | 9,807,950 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
97,970,431 | 1,359,621 | (470,717) | 1,219,259 | 100,078,594 | — | 469,728 | — | 2,679,480 | |
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares | |||||||||
20,830,102 | — | (1,507,722) | 1,771,001 | 21,093,381 | — | (139,346) | — | 1,699,708 | |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares | |||||||||
14,083,268 | — | — | 2,985,041 | 17,068,309 | — | — | — | 1,530,790 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
64,341,197 | 115,708 | (1,396,138) | 1,440,437 | 64,501,204 | — | (212,325) | — | 7,041,616 | |
CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares | |||||||||
20,735,462 | 184,273 | (306,470) | 1,255,872 | 21,869,137 | — | (86,156) | — | 3,395,829 | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
109,578,874 | 748,734 | (13,009,652) | (908,443) | 96,409,513 | — | 3,274,187 | — | 2,655,909 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
71,616,704 | 14,751,739 | (908,224) | 19,101,635 | 104,561,854 | — | 871,398 | — | 2,363,514 | |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares | |||||||||
91,657,482 | 13,792,995 | (2,793,225) | 17,090,649 | 119,747,901 | — | 3,737,216 | — | 2,323,848 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
108,270,745 | 836,965 | (9,023,727) | (4,885,491) | 95,198,492 | — | 7,160,778 | — | 2,925,584 |
Portfolio Navigator Funds | Semiannual Report 2023 | 37 |
Variable Portfolio – Aggressive Portfolio, June 30, 2023 (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 | |||||||||
43,167,075 | 24,486 | (1,059,367) | 1,144,057 | 43,276,251 | — | (95,972) | — | 4,638,398 | |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares | |||||||||
21,585,681 | — | (459,651) | (442,411) | 20,683,619 | — | 1,233,833 | — | 474,504 | |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares | |||||||||
18,230,784 | 3,334 | (133,058) | 2,649,222 | 20,750,282 | — | 314,890 | — | 500,489 | |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares | |||||||||
81,576,193 | — | (6,123,036) | 3,056,642 | 78,509,799 | — | (969,205) | — | 8,135,730 | |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares | |||||||||
137,084,228 | 6,765 | (1,101,610) | 17,767,458 | 153,756,841 | — | 1,531,971 | — | 4,507,676 | |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares | |||||||||
141,504,410 | 2,419,479 | (20,968,211) | 17,650,688 | 140,606,366 | — | (1,477,185) | 2,064,625 | 14,289,265 | |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares | |||||||||
84,556,118 | 2,654,310 | — | 10,696,332 | 97,906,760 | — | — | 447,670 | 8,649,007 | |
Variable Portfolio – Partners International Value Fund, Class 1 Shares | |||||||||
97,462,527 | 2,527,326 | (148,697) | 9,540,985 | 109,382,141 | — | (598) | 2,278,279 | 11,382,117 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
18,824,382 | 254,445 | (119,163) | 1,579,847 | 20,539,511 | — | 51,613 | — | 698,148 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
14,815,005 | 1,349,082 | — | 611,611 | 16,775,698 | — | — | — | 493,984 | |
Total | 2,054,273,010 | 190,638,432 | 2,199,859,975 | — | 29,656,229 | 10,090,241 |
(b) | Non-income producing investment. |
(c) | Represents a security purchased on a when-issued basis. |
(d) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
TBA | To Be Announced |
GBP | British Pound |
JPY | Japanese Yen |
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). |
38 | Portfolio Navigator Funds | Semiannual Report 2023 |
Variable Portfolio – Aggressive Portfolio, June 30, 2023 (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 | — | — | — | 9,195,983 | 9,195,983 |
Equity Funds | — | — | — | 1,824,621,089 | 1,824,621,089 |
Fixed Income Funds | — | — | — | 309,330,914 | 309,330,914 |
Residential Mortgage-Backed Securities - Agency | — | 63,348,790 | — | — | 63,348,790 |
Money Market Funds | 56,711,989 | — | — | — | 56,711,989 |
Total Investments in Securities | 56,711,989 | 63,348,790 | — | 2,143,147,986 | 2,263,208,765 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 1,044,556 | — | — | — | 1,044,556 |
Swap Contracts | — | 106,542 | — | — | 106,542 |
Liability | |||||
Futures Contracts | (2,053,326) | — | — | — | (2,053,326) |
Total | 55,703,219 | 63,455,332 | — | 2,143,147,986 | 2,262,306,537 |
Portfolio Navigator Funds | Semiannual Report 2023 | 39 |
June 30, 2023 (Unaudited)
Variable Portfolio – Conservative Portfolio | Variable Portfolio – Moderately Conservative Portfolio | Variable Portfolio – Moderate Portfolio | |
Assets | |||
Investments in securities, at value | |||
Unaffiliated issuers (cost $18,189,245, $44,158,617, $416,515,430, respectively) | $18,123,956 | $44,000,114 | $415,020,384 |
Affiliated issuers (cost $1,005,123,020, $2,255,376,785, $13,401,468,556, respectively) | 905,415,191 | 2,196,827,234 | 14,050,301,004 |
Cash | 258,977 | 545,715 | 3,549,816 |
Margin deposits on: | |||
Futures contracts | 1,671,443 | 3,518,933 | 27,583,588 |
Swap contracts | — | — | 1,436,397 |
Receivable for: | |||
Investments sold | 1,274,761 | 3,226,904 | 13,563,349 |
Capital shares sold | — | 1,647 | 20,905 |
Dividends | 296,431 | 416,218 | 3,354,307 |
Interest | 34,841 | 84,584 | 797,816 |
Variation margin for futures contracts | 266,089 | 428,010 | 2,501,780 |
Variation margin for swap contracts | — | — | 67,593 |
Expense reimbursement due from Investment Manager | 508 | — | — |
Prepaid expenses | 8,263 | 14,395 | 65,313 |
Total assets | 927,350,460 | 2,249,063,754 | 14,518,262,252 |
Liabilities | |||
Payable for: | |||
Investments purchased on a delayed delivery basis | 18,224,085 | 44,243,201 | 417,313,246 |
Capital shares redeemed | 1,533,738 | 3,774,266 | 17,134,070 |
Variation margin for futures contracts | 42,316 | 400,931 | 3,340,781 |
Management services fees | 1,859 | 3,136 | 22,880 |
Distribution and/or service fees | 6,190 | 14,994 | 95,493 |
Service fees | 45,259 | 109,132 | 694,563 |
Compensation of board members | 103,282 | 194,905 | 834,376 |
Compensation of chief compliance officer | 90 | 214 | 1,324 |
Other expenses | 25,295 | 37,918 | 141,927 |
Total liabilities | 19,982,114 | 48,778,697 | 439,578,660 |
Net assets applicable to outstanding capital stock | $907,368,346 | $2,200,285,057 | $14,078,683,592 |
Represented by | |||
Trust capital | $907,368,346 | $2,200,285,057 | $14,078,683,592 |
Total - representing net assets applicable to outstanding capital stock | $907,368,346 | $2,200,285,057 | $14,078,683,592 |
Class 1 | |||
Net assets | $1,825,271 | $2,964,180 | $53,812,555 |
Shares outstanding | 121,853 | 169,007 | 2,606,320 |
Net asset value per share | $14.98 | $17.54 | $20.65 |
Class 2 | |||
Net assets | $520,934,057 | $1,177,679,475 | $7,506,186,693 |
Shares outstanding | 35,168,929 | 67,837,773 | 367,034,047 |
Net asset value per share | $14.81 | $17.36 | $20.45 |
Class 4 | |||
Net assets | $384,609,018 | $1,019,641,402 | $6,518,684,344 |
Shares outstanding | 25,974,532 | 58,623,969 | 318,334,073 |
Net asset value per share | $14.81 | $17.39 | $20.48 |
40 | Portfolio Navigator Funds | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – Moderately Aggressive Portfolio | Variable Portfolio – Aggressive Portfolio | |
Assets | ||
Investments in securities, at value | ||
Unaffiliated issuers (cost $129,745,021, $63,576,997, respectively) | $129,279,312 | $63,348,790 |
Affiliated issuers (cost $5,287,298,551, $1,844,929,684, respectively) | 5,843,210,251 | 2,199,859,975 |
Cash | 1,450,642 | 501,196 |
Margin deposits on: | ||
Futures contracts | 15,963,724 | 5,706,424 |
Swap contracts | — | 282,980 |
Receivable for: | ||
Investments sold | 5,498,565 | 1,174,720 |
Capital shares sold | 260,940 | 113,400 |
Dividends | 1,385,478 | 240,262 |
Interest | 248,521 | 121,777 |
Variation margin for futures contracts | 1,020,023 | 309,950 |
Variation margin for swap contracts | — | 13,316 |
Prepaid expenses | 30,470 | 12,436 |
Total assets | 5,998,347,926 | 2,271,685,226 |
Liabilities | ||
Payable for: | ||
Investments purchased on a delayed delivery basis | 129,993,540 | 63,698,773 |
Capital shares redeemed | 7,210,148 | 1,789,316 |
Variation margin for futures contracts | 1,956,141 | 1,110,720 |
Management services fees | 9,710 | 2,387 |
Distribution and/or service fees | 38,713 | 14,412 |
Service fees | 288,285 | 107,929 |
Compensation of board members | 424,325 | 159,593 |
Compensation of chief compliance officer | 547 | 197 |
Other expenses | 74,673 | 37,525 |
Total liabilities | 139,996,082 | 66,920,852 |
Net assets applicable to outstanding capital stock | $5,858,351,844 | $2,204,764,374 |
Represented by | ||
Trust capital | $5,858,351,844 | $2,204,764,374 |
Total - representing net assets applicable to outstanding capital stock | $5,858,351,844 | $2,204,764,374 |
Class 1 | ||
Net assets | $168,844,807 | $82,823,684 |
Shares outstanding | 7,168,339 | 3,085,168 |
Net asset value per share | $23.55 | $26.85 |
Class 2 | ||
Net assets | $3,076,178,580 | $1,215,252,754 |
Shares outstanding | 131,868,242 | 45,668,807 |
Net asset value per share | $23.33 | $26.61 |
Class 4 | ||
Net assets | $2,613,328,457 | $906,687,936 |
Shares outstanding | 111,852,642 | 34,019,174 |
Net asset value per share | $23.36 | $26.65 |
Portfolio Navigator Funds | Semiannual Report 2023 | 41 |
Six Months Ended June 30, 2023 (Unaudited)
Variable Portfolio – Conservative Portfolio | Variable Portfolio – Moderately Conservative Portfolio | Variable Portfolio – Moderate Portfolio | |
Net investment income | |||
Income: | |||
Dividends — affiliated issuers | $2,741,491 | $6,805,095 | $56,122,115 |
Interest | 46,811 | 45,550 | 838,906 |
Total income | 2,788,302 | 6,850,645 | 56,961,021 |
Expenses: | |||
Management services fees | 339,793 | 577,668 | 4,163,978 |
Distribution and/or service fees | |||
Class 2 | 653,869 | 1,474,264 | 9,244,450 |
Class 4 | 492,905 | 1,290,704 | 8,122,502 |
Service fees | 276,198 | 665,637 | 4,191,162 |
Compensation of board members | 14,823 | 23,465 | 117,012 |
Custodian fees | 7,409 | 8,384 | 10,587 |
Printing and postage fees | 7,376 | 13,261 | 65,464 |
Accounting services fees | 15,045 | 15,045 | 15,045 |
Legal fees | 12,058 | 20,757 | 99,125 |
Interest on collateral | 496 | 8,520 | 26,884 |
Compensation of chief compliance officer | 89 | 213 | 1,356 |
Other | 9,446 | 18,325 | 93,844 |
Total expenses | 1,829,507 | 4,116,243 | 26,151,409 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (31,153) | — | — |
Total net expenses | 1,798,354 | 4,116,243 | 26,151,409 |
Net investment income | 989,948 | 2,734,402 | 30,809,612 |
Realized and unrealized gain (loss) — net | |||
Net realized gain (loss) on: | |||
Investments — unaffiliated issuers | (24,554) | (59,610) | (562,254) |
Investments — affiliated issuers | 3,627,036 | 16,611,345 | 135,101,972 |
Foreign currency translations | 4,733 | 38,151 | 196,219 |
Futures contracts | (54,060) | (2,303,224) | (1,680,549) |
Swap contracts | — | — | 506,716 |
Net realized gain | 3,553,155 | 14,286,662 | 133,562,104 |
Net change in unrealized appreciation (depreciation) on: | |||
Investments — unaffiliated issuers | (65,289) | (158,503) | (1,495,046) |
Investments — affiliated issuers | 35,064,293 | 111,571,640 | 865,812,281 |
Futures contracts | 556,478 | 1,051,332 | 10,511,250 |
Swap contracts | — | — | 182,346 |
Net change in unrealized appreciation (depreciation) | 35,555,482 | 112,464,469 | 875,010,831 |
Net realized and unrealized gain | 39,108,637 | 126,751,131 | 1,008,572,935 |
Net increase in net assets resulting from operations | $40,098,585 | $129,485,533 | $1,039,382,547 |
42 | Portfolio Navigator Funds | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited)
Variable Portfolio – Moderately Aggressive Portfolio | Variable Portfolio – Aggressive Portfolio | |
Net investment income | ||
Income: | ||
Dividends — affiliated issuers | $26,645,500 | $10,090,241 |
Interest | 565,743 | 198,348 |
Total income | 27,211,243 | 10,288,589 |
Expenses: | ||
Management services fees | 1,781,012 | 437,448 |
Distribution and/or service fees | ||
Class 2 | 3,798,990 | 1,464,073 |
Class 4 | 3,229,002 | 1,106,739 |
Service fees | 1,735,183 | 640,179 |
Compensation of board members | 52,095 | 22,765 |
Custodian fees | 9,349 | 8,778 |
Printing and postage fees | 37,238 | 30,088 |
Accounting services fees | 15,045 | 15,045 |
Legal fees | 44,524 | 20,083 |
Interest on collateral | 9,616 | 4,651 |
Compensation of chief compliance officer | 563 | 209 |
Other | 40,736 | 16,897 |
Total expenses | 10,753,353 | 3,766,955 |
Net investment income | 16,457,890 | 6,521,634 |
Realized and unrealized gain (loss) — net | ||
Net realized gain (loss) on: | ||
Investments — unaffiliated issuers | (175,142) | (85,810) |
Investments — affiliated issuers | 81,497,228 | 29,656,229 |
Foreign currency translations | 49,996 | 26,705 |
Futures contracts | (4,605,933) | (4,220,441) |
Swap contracts | — | 99,827 |
Net realized gain | 76,766,149 | 25,476,510 |
Net change in unrealized appreciation (depreciation) on: | ||
Investments — unaffiliated issuers | (465,709) | (228,207) |
Investments — affiliated issuers | 416,048,968 | 190,638,432 |
Futures contracts | (640,009) | (380,546) |
Swap contracts | — | 35,923 |
Net change in unrealized appreciation (depreciation) | 414,943,250 | 190,065,602 |
Net realized and unrealized gain | 491,709,399 | 215,542,112 |
Net increase in net assets resulting from operations | $508,167,289 | $222,063,746 |
Portfolio Navigator Funds | Semiannual Report 2023 | 43 |
Variable Portfolio – Conservative Portfolio | Variable Portfolio – Moderately Conservative Portfolio | |||
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||||
Net investment income | $989,948 | $13,414,607 | $2,734,402 | $27,488,703 |
Net realized gain (loss) | 3,553,155 | (4,391,025) | 14,286,662 | 25,748,291 |
Net change in unrealized appreciation (depreciation) | 35,555,482 | (187,321,212) | 112,464,469 | (515,316,696) |
Net increase (decrease) in net assets resulting from operations | 40,098,585 | (178,297,630) | 129,485,533 | (462,079,702) |
Decrease in net assets from capital stock activity | (44,916,199) | (99,266,588) | (122,007,320) | (309,738,054) |
Total increase (decrease) in net assets | (4,817,614) | (277,564,218) | 7,478,213 | (771,817,756) |
Net assets at beginning of period | 912,185,960 | 1,189,750,178 | 2,192,806,844 | 2,964,624,600 |
Net assets at end of period | $907,368,346 | $912,185,960 | $2,200,285,057 | $2,192,806,844 |
Variable Portfolio – Conservative Portfolio | Variable Portfolio – Moderately Conservative Portfolio | |||||||
Six Months Ended | Year Ended | Six Months Ended | Year Ended | |||||
June 30, 2023 (Unaudited) | December 31, 2022 | June 30, 2023 (Unaudited) | December 31, 2022 | |||||
Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||||||
Class 1 | ||||||||
Shares sold | 59,281 | 877,788 | 21,587 | 322,755 | 58,891 | 1,013,516 | 55,666 | 952,632 |
Shares redeemed | (8,234) | (122,364) | (19,916) | (305,697) | (18,062) | (311,300) | (27,449) | (499,806) |
Net increase | 51,047 | 755,424 | 1,671 | 17,058 | 40,829 | 702,216 | 28,217 | 452,826 |
Class 2 | ||||||||
Shares sold | 1,400,651 | 20,522,138 | 2,588,535 | 38,492,489 | 470,567 | 8,035,699 | 639,858 | 11,030,218 |
Shares redeemed | (2,603,105) | (38,250,788) | (5,180,239) | (78,000,364) | (3,675,960) | (62,587,539) | (9,038,411) | (155,556,639) |
Net decrease | (1,202,454) | (17,728,650) | (2,591,704) | (39,507,875) | (3,205,393) | (54,551,840) | (8,398,553) | (144,526,421) |
Class 4 | ||||||||
Shares sold | 229,626 | 3,357,776 | 1,225,672 | 18,241,779 | 58,862 | 1,011,696 | 281,196 | 4,887,995 |
Shares redeemed | (2,134,013) | (31,300,749) | (5,199,441) | (78,017,550) | (4,055,850) | (69,169,392) | (9,846,393) | (170,552,454) |
Net decrease | (1,904,387) | (27,942,973) | (3,973,769) | (59,775,771) | (3,996,988) | (68,157,696) | (9,565,197) | (165,664,459) |
Total net decrease | (3,055,794) | (44,916,199) | (6,563,802) | (99,266,588) | (7,161,552) | (122,007,320) | (17,935,533) | (309,738,054) |
44 | Portfolio Navigator Funds | Semiannual Report 2023 |
Variable Portfolio – Moderate Portfolio | Variable Portfolio – Moderately Aggressive Portfolio | |||
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||||
Net investment income | $30,809,612 | $137,307,659 | $16,457,890 | $44,886,276 |
Net realized gain | 133,562,104 | 353,936,786 | 76,766,149 | 204,822,051 |
Net change in unrealized appreciation (depreciation) | 875,010,831 | (3,395,567,782) | 414,943,250 | (1,550,897,550) |
Net increase (decrease) in net assets resulting from operations | 1,039,382,547 | (2,904,323,337) | 508,167,289 | (1,301,189,223) |
Decrease in net assets from capital stock activity | (623,445,114) | (1,241,616,318) | (302,111,166) | (654,720,827) |
Total increase (decrease) in net assets | 415,937,433 | (4,145,939,655) | 206,056,123 | (1,955,910,050) |
Net assets at beginning of period | 13,662,746,159 | 17,808,685,814 | 5,652,295,721 | 7,608,205,771 |
Net assets at end of period | $14,078,683,592 | $13,662,746,159 | $5,858,351,844 | $5,652,295,721 |
Variable Portfolio – Moderate Portfolio | Variable Portfolio – Moderately Aggressive Portfolio | |||||||
Six Months Ended | Year Ended | Six Months Ended | Year Ended | |||||
June 30, 2023 (Unaudited) | December 31, 2022 | June 30, 2023 (Unaudited) | December 31, 2022 | |||||
Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||||||
Class 1 | ||||||||
Shares sold | 581,291 | 11,673,099 | 913,803 | 18,325,425 | 1,174,639 | 26,586,402 | 2,407,813 | 54,312,617 |
Shares redeemed | (10,650) | (213,152) | (68,869) | (1,395,947) | (44,727) | (1,027,249) | (42,186) | (950,388) |
Net increase | 570,641 | 11,459,947 | 844,934 | 16,929,478 | 1,129,912 | 25,559,153 | 2,365,627 | 53,362,229 |
Class 2 | ||||||||
Shares sold | 517,729 | 10,326,641 | 2,204,404 | 44,612,678 | 250,644 | 5,598,138 | 600,034 | 13,351,960 |
Shares redeemed | (13,540,151) | (268,814,406) | (24,335,121) | (480,729,416) | (8,183,779) | (183,556,255) | (18,983,519) | (430,008,569) |
Net decrease | (13,022,422) | (258,487,765) | (22,130,717) | (436,116,738) | (7,933,135) | (177,958,117) | (18,383,485) | (416,656,609) |
Class 4 | ||||||||
Shares sold | 147,323 | 2,944,949 | 310,481 | 6,305,002 | 49,834 | 1,133,522 | 236,171 | 5,375,082 |
Shares redeemed | (19,086,775) | (379,362,245) | (41,516,352) | (828,734,060) | (6,716,427) | (150,845,724) | (13,177,066) | (296,801,529) |
Net decrease | (18,939,452) | (376,417,296) | (41,205,871) | (822,429,058) | (6,666,593) | (149,712,202) | (12,940,895) | (291,426,447) |
Total net decrease | (31,391,233) | (623,445,114) | (62,491,654) | (1,241,616,318) | (13,469,816) | (302,111,166) | (28,958,753) | (654,720,827) |
Portfolio Navigator Funds | Semiannual Report 2023 | 45 |
Variable Portfolio – Aggressive Portfolio | ||
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment income | $6,521,634 | $11,451,933 |
Net realized gain | 25,476,510 | 95,696,750 |
Net change in unrealized appreciation (depreciation) | 190,065,602 | (581,197,289) |
Net increase (decrease) in net assets resulting from operations | 222,063,746 | (474,048,606) |
Decrease in net assets from capital stock activity | (77,488,765) | (105,236,347) |
Total increase (decrease) in net assets | 144,574,981 | (579,284,953) |
Net assets at beginning of period | 2,060,189,393 | 2,639,474,346 |
Net assets at end of period | $2,204,764,374 | $2,060,189,393 |
Variable Portfolio – Aggressive Portfolio | ||||
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Shares sold | 515,195 | 13,177,330 | 1,187,614 | 30,099,960 |
Shares redeemed | (20,875) | (528,450) | (74,694) | (1,854,320) |
Net increase | 494,320 | 12,648,880 | 1,112,920 | 28,245,640 |
Class 2 | ||||
Shares sold | 480,859 | 12,217,090 | 1,560,147 | 39,118,606 |
Shares redeemed | (2,154,174) | (54,386,255) | (4,012,579) | (101,602,817) |
Net decrease | (1,673,315) | (42,169,165) | (2,452,432) | (62,484,211) |
Class 4 | ||||
Shares sold | 171,539 | 4,331,046 | 259,046 | 6,519,754 |
Shares redeemed | (2,057,223) | (52,299,526) | (3,068,586) | (77,517,530) |
Net decrease | (1,885,684) | (47,968,480) | (2,809,540) | (70,997,776) |
Total net decrease | (3,064,679) | (77,488,765) | (4,149,052) | (105,236,347) |
46 | Portfolio Navigator Funds | Semiannual Report 2023 |
Variable Portfolio – Conservative 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 6/30/2023 (Unaudited) | $14.33 | 0.04 | 0.61 | 0.65 |
Year Ended 12/31/2022 | $16.91 | 0.23 | (2.81) | (2.58) |
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(d) | $13.95 | 0.13 | 0.90 | 1.03 |
Class 2 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $14.18 | 0.02 | 0.61 | 0.63 |
Year Ended 12/31/2022 | $16.79 | 0.20 | (2.81) | (2.61) |
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) |
Class 4 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $14.18 | 0.02 | 0.61 | 0.63 |
Year Ended 12/31/2022 | $16.78 | 0.20 | (2.80) | (2.60) |
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) |
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) | Ratios include interest on collateral expense which is less than 0.01%. |
(d) | 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 2023 |
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 ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $14.98 | 4.54% | 0.15%(c) | 0.14%(c) | 0.49% | 13% | $1,825 |
Year Ended 12/31/2022 | $14.33 | (15.26%) | 0.14%(c) | 0.14%(c) | 1.51% | 10% | $1,014 |
Year Ended 12/31/2021 | $16.91 | 3.05% | 0.12%(c) | 0.12%(c) | 1.70% | 22% | $1,169 |
Year Ended 12/31/2020 | $16.41 | 9.55% | 0.12%(c) | 0.12%(c) | 1.00% | 25% | $311 |
Year Ended 12/31/2019(d) | $14.98 | 7.38% | 0.13% | 0.13% | 1.10% | 18% | $173 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $14.81 | 4.44% | 0.40%(c) | 0.39%(c) | 0.22% | 13% | $520,934 |
Year Ended 12/31/2022 | $14.18 | (15.55%) | 0.39%(c) | 0.39%(c) | 1.34% | 10% | $515,883 |
Year Ended 12/31/2021 | $16.79 | 2.82% | 0.37%(c) | 0.37%(c) | 1.22% | 22% | $654,063 |
Year Ended 12/31/2020 | $16.33 | 9.30% | 0.37%(c) | 0.37%(c) | 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 |
Class 4 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $14.81 | 4.44% | 0.40%(c) | 0.39%(c) | 0.21% | 13% | $384,609 |
Year Ended 12/31/2022 | $14.18 | (15.49%) | 0.39%(c) | 0.39%(c) | 1.33% | 10% | $395,289 |
Year Ended 12/31/2021 | $16.78 | 2.82% | 0.37%(c) | 0.37%(c) | 1.21% | 22% | $534,518 |
Year Ended 12/31/2020 | $16.32 | 9.24% | 0.37%(c) | 0.37%(c) | 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 |
Portfolio Navigator Funds | Semiannual Report 2023 | 49 |
Variable Portfolio – Moderately Conservative 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 6/30/2023 (Unaudited) | $16.52 | 0.04 | 0.98 | 1.02 |
Year Ended 12/31/2022 | $19.65 | 0.23 | (3.36) | (3.13) |
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(d) | $15.35 | 0.26 | 1.05 | 1.31 |
Class 2 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $16.38 | 0.02 | 0.96 | 0.98 |
Year Ended 12/31/2022 | $19.52 | 0.19 | (3.33) | (3.14) |
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) |
Class 4 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $16.41 | 0.02 | 0.96 | 0.98 |
Year Ended 12/31/2022 | $19.56 | 0.19 | (3.34) | (3.15) |
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) |
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) | Ratios include interest on collateral expense which is less than 0.01%. |
(d) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
50 | Portfolio Navigator Funds | Semiannual Report 2023 |
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 ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $17.54 | 6.17% | 0.12%(c) | 0.12%(c) | 0.52% | 11% | $2,964 |
Year Ended 12/31/2022 | $16.52 | (15.93%) | 0.12%(c) | 0.12%(c) | 1.36% | 7% | $2,118 |
Year Ended 12/31/2021 | $19.65 | 5.99% | 0.12%(c) | 0.12%(c) | 1.33% | 18% | $1,964 |
Year Ended 12/31/2020 | $18.54 | 11.28% | 0.13%(c) | 0.12%(c) | 1.70% | 23% | $1,353 |
Year Ended 12/31/2019(d) | $16.66 | 8.53% | 0.12% | 0.11% | 1.91% | 12% | $156 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $17.36 | 5.98% | 0.37%(c) | 0.37%(c) | 0.25% | 11% | $1,177,679 |
Year Ended 12/31/2022 | $16.38 | (16.09%) | 0.37%(c) | 0.37%(c) | 1.12% | 7% | $1,163,336 |
Year Ended 12/31/2021 | $19.52 | 5.74% | 0.37%(c) | 0.37%(c) | 0.99% | 18% | $1,550,825 |
Year Ended 12/31/2020 | $18.46 | 11.00% | 0.37%(c) | 0.37%(c) | 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 |
Class 4 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $17.39 | 5.97% | 0.37%(c) | 0.37%(c) | 0.25% | 11% | $1,019,641 |
Year Ended 12/31/2022 | $16.41 | (16.10%) | 0.37%(c) | 0.37%(c) | 1.11% | 7% | $1,027,353 |
Year Ended 12/31/2021 | $19.56 | 5.79% | 0.37%(c) | 0.37%(c) | 0.99% | 18% | $1,411,835 |
Year Ended 12/31/2020 | $18.49 | 10.98% | 0.37%(c) | 0.37%(c) | 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 |
Portfolio Navigator Funds | Semiannual Report 2023 | 51 |
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 6/30/2023 (Unaudited) | $19.14 | 0.07 | 1.44 | 1.51 |
Year Ended 12/31/2022 | $22.90 | 0.24 | (4.00) | (3.76) |
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(d) | $16.92 | 0.21 | 1.39 | 1.60 |
Class 2 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $18.98 | 0.04 | 1.43 | 1.47 |
Year Ended 12/31/2022 | $22.76 | 0.18 | (3.96) | (3.78) |
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) |
Class 4 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $19.01 | 0.04 | 1.43 | 1.47 |
Year Ended 12/31/2022 | $22.79 | 0.18 | (3.96) | (3.78) |
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) |
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) | Ratios include interest on collateral expense which is less than 0.01%. |
(d) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
52 | Portfolio Navigator Funds | Semiannual Report 2023 |
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 6/30/2023 (Unaudited) | $20.65 | 7.89% | 0.13%(c) | 0.13%(c) | 0.69% | 17% | $53,813 |
Year Ended 12/31/2022 | $19.14 | (16.42%) | 0.14%(c) | 0.14%(c) | 1.20% | 12% | $38,961 |
Year Ended 12/31/2021 | $22.90 | 9.31% | 0.12%(c) | 0.12%(c) | 1.10% | 21% | $27,263 |
Year Ended 12/31/2020 | $20.95 | 13.12% | 0.12%(c) | 0.12%(c) | 1.34% | 20% | $9,478 |
Year Ended 12/31/2019(d) | $18.52 | 9.46% | 0.10% | 0.10% | 1.38% | 9% | $3,412 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $20.45 | 7.74% | 0.38%(c) | 0.38%(c) | 0.44% | 17% | $7,506,187 |
Year Ended 12/31/2022 | $18.98 | (16.61%) | 0.39%(c) | 0.39%(c) | 0.92% | 12% | $7,213,761 |
Year Ended 12/31/2021 | $22.76 | 9.00% | 0.37%(c) | 0.37%(c) | 0.85% | 21% | $9,154,944 |
Year Ended 12/31/2020 | $20.88 | 12.86% | 0.36%(c) | 0.36%(c) | 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 |
Class 4 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $20.48 | 7.73% | 0.38%(c) | 0.38%(c) | 0.44% | 17% | $6,518,684 |
Year Ended 12/31/2022 | $19.01 | (16.59%) | 0.39%(c) | 0.39%(c) | 0.91% | 12% | $6,410,024 |
Year Ended 12/31/2021 | $22.79 | 9.04% | 0.37%(c) | 0.37%(c) | 0.85% | 21% | $8,626,480 |
Year Ended 12/31/2020 | $20.90 | 12.79% | 0.36%(c) | 0.36%(c) | 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 |
Portfolio Navigator Funds | Semiannual Report 2023 | 53 |
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 6/30/2023 (Unaudited) | $21.54 | 0.09 | 1.92 | 2.01 |
Year Ended 12/31/2022 | $26.07 | 0.22 | (4.75) | (4.53) |
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(d) | $18.37 | 0.18 | 1.71 | 1.89 |
Class 2 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $21.36 | 0.06 | 1.91 | 1.97 |
Year Ended 12/31/2022 | $25.92 | 0.16 | (4.72) | (4.56) |
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) |
Class 4 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $21.40 | 0.06 | 1.90 | 1.96 |
Year Ended 12/31/2022 | $25.96 | 0.16 | (4.72) | (4.56) |
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) |
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) | Ratios include interest on collateral expense which is less than 0.01%. |
(d) | Class 1 shares are based on operations from February 20, 2019 (commencement of operations) through the stated period end. |
54 | Portfolio Navigator Funds | Semiannual Report 2023 |
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 6/30/2023 (Unaudited) | $23.55 | 9.33% | 0.13%(c) | 0.13%(c) | 0.81% | 13% | $168,845 |
Year Ended 12/31/2022 | $21.54 | (17.38%) | 0.13%(c) | 0.13%(c) | 0.98% | 9% | $130,084 |
Year Ended 12/31/2021 | $26.07 | 12.61% | 0.13%(c) | 0.13%(c) | 0.81% | 20% | $95,758 |
Year Ended 12/31/2020 | $23.15 | 14.26% | 0.14%(c) | 0.14%(c) | 0.89% | 21% | $37,600 |
Year Ended 12/31/2019(d) | $20.26 | 10.29% | 0.12% | 0.12% | 1.11% | 10% | $9,932 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $23.33 | 9.22% | 0.38%(c) | 0.38%(c) | 0.56% | 13% | $3,076,179 |
Year Ended 12/31/2022 | $21.36 | (17.59%) | 0.38%(c) | 0.38%(c) | 0.71% | 9% | $2,986,446 |
Year Ended 12/31/2021 | $25.92 | 12.31% | 0.38%(c) | 0.38%(c) | 0.59% | 20% | $4,099,901 |
Year Ended 12/31/2020 | $23.08 | 14.03% | 0.39%(c) | 0.39%(c) | 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 |
Class 4 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $23.36 | 9.16% | 0.38%(c) | 0.38%(c) | 0.56% | 13% | $2,613,328 |
Year Ended 12/31/2022 | $21.40 | (17.57%) | 0.38%(c) | 0.38%(c) | 0.71% | 9% | $2,535,765 |
Year Ended 12/31/2021 | $25.96 | 12.33% | 0.38%(c) | 0.38%(c) | 0.59% | 20% | $3,412,547 |
Year Ended 12/31/2020 | $23.11 | 14.01% | 0.39%(c) | 0.39%(c) | 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 |
Portfolio Navigator Funds | Semiannual Report 2023 | 55 |
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 6/30/2023 (Unaudited) | $24.16 | 0.11 | 2.58 | 2.69 |
Year Ended 12/31/2022 | $29.46 | 0.19 | (5.49) | (5.30) |
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(d) | $19.79 | 0.14 | 2.09 | 2.23 |
Class 2 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $23.98 | 0.08 | 2.55 | 2.63 |
Year Ended 12/31/2022 | $29.31 | 0.13 | (5.46) | (5.33) |
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) |
Class 4 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $24.02 | 0.08 | 2.55 | 2.63 |
Year Ended 12/31/2022 | $29.36 | 0.13 | (5.47) | (5.34) |
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) |
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) | Ratios include interest on collateral expense which is less than 0.01%. |
(d) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
56 | Portfolio Navigator Funds | Semiannual Report 2023 |
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 6/30/2023 (Unaudited) | $26.85 | 11.13% | 0.11%(c) | 0.11%(c) | 0.85% | 17% | $82,824 |
Year Ended 12/31/2022 | $24.16 | (17.99%) | 0.12%(c) | 0.12%(c) | 0.76% | 9% | $62,600 |
Year Ended 12/31/2021 | $29.46 | 16.03% | 0.13%(c) | 0.13%(c) | 0.58% | 22% | $43,538 |
Year Ended 12/31/2020 | $25.39 | 15.30% | 0.13%(c) | 0.13%(c) | 0.58% | 21% | $14,487 |
Year Ended 12/31/2019(d) | $22.02 | 11.27% | 0.11% | 0.11% | 0.78% | 14% | $4,083 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $26.61 | 10.97% | 0.36%(c) | 0.36%(c) | 0.60% | 17% | $1,215,253 |
Year Ended 12/31/2022 | $23.98 | (18.19%) | 0.37%(c) | 0.37%(c) | 0.51% | 9% | $1,135,243 |
Year Ended 12/31/2021 | $29.31 | 15.76% | 0.38%(c) | 0.38%(c) | 0.40% | 22% | $1,459,446 |
Year Ended 12/31/2020 | $25.32 | 14.99% | 0.37%(c) | 0.37%(c) | 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 |
Class 4 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $26.65 | 10.95% | 0.36%(c) | 0.36%(c) | 0.61% | 17% | $906,688 |
Year Ended 12/31/2022 | $24.02 | (18.19%) | 0.37%(c) | 0.37%(c) | 0.51% | 9% | $862,346 |
Year Ended 12/31/2021 | $29.36 | 15.77% | 0.38%(c) | 0.38%(c) | 0.40% | 22% | $1,136,491 |
Year Ended 12/31/2020 | $25.36 | 14.96% | 0.37%(c) | 0.37%(c) | 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% | $1,079,305 |
Portfolio Navigator Funds | Semiannual Report 2023 | 57 |
June 30, 2023 (Unaudited)
58 | Portfolio Navigator Funds | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Portfolio Navigator Funds | Semiannual Report 2023 | 59 |
June 30, 2023 (Unaudited)
60 | Portfolio Navigator Funds | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Credit default swap contracts | Funds |
To increase or decrease its credit exposure to an index | Variable Portfolio — Moderate Portfolio Variable Portfolio — Aggressive Portfolio |
To manage credit risk exposure | Variable Portfolio — Moderate Portfolio Variable Portfolio — Aggressive Portfolio |
Portfolio Navigator Funds | Semiannual Report 2023 | 61 |
June 30, 2023 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 361,033* |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 63,708* |
Total | 424,741 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 390,630* |
62 | Portfolio Navigator Funds | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin for futures and centrally cleared swaps, if any, is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | |||||
Equity risk | (88,811) | |||||
Interest rate risk | 34,751 | |||||
Total | (54,060) | |||||
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | |||||
Equity risk | 755,225 | |||||
Interest rate risk | (198,747) | |||||
Total | 556,478 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 40,935,545 |
Futures contracts — short | 3,906,809 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2023. |
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 363,783* |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 234,004* |
Total | 597,787 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 488,596* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin for futures and centrally cleared swaps, if any, is reported in receivables or payables in the Statement of Assets and Liabilities. |
Portfolio Navigator Funds | Semiannual Report 2023 | 63 |
June 30, 2023 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | |||||
Equity risk | (2,164,483) | |||||
Interest rate risk | (138,741) | |||||
Total | (2,303,224) | |||||
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | |||||
Equity risk | 662,192 | |||||
Interest rate risk | 389,140 | |||||
Total | 1,051,332 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 58,417,568 |
Futures contracts — short | 45,599,627 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2023. |
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of trust capital — unrealized appreciation on swap contracts | 540,804* |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 4,656,893* |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 852,066* |
Total | 6,049,763 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 5,326,011* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin for futures and centrally cleared swaps, if any, is reported in receivables or payables in the Statement of Assets and Liabilities. |
64 | Portfolio Navigator Funds | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | Swap contracts ($) | Total ($) | |||
Credit risk | (5) | 506,716 | 506,711 | |||
Equity risk | (225,325) | — | (225,325) | |||
Interest rate risk | (1,455,219) | — | (1,455,219) | |||
Total | (1,680,549) | 506,716 | (1,173,833) | |||
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | Swap contracts ($) | Total ($) | |||
Credit risk | — | 182,346 | 182,346 | |||
Equity risk | 7,575,533 | — | 7,575,533 | |||
Interest rate risk | 2,935,717 | — | 2,935,717 | |||
Total | 10,511,250 | 182,346 | 10,693,596 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 427,351,616 |
Futures contracts — short | 315,728,688 |
Credit default swap contracts — sell protection | 52,323,000 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2023. |
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 2,294,776* |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 245,031* |
Total | 2,539,807 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 3,465,444* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 3,270,189* |
Total | 6,735,633 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin for futures and centrally cleared swaps, if any, is reported in receivables or payables in the Statement of Assets and Liabilities. |
Portfolio Navigator Funds | Semiannual Report 2023 | 65 |
June 30, 2023 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | |||||
Equity risk | (4,881,726) | |||||
Interest rate risk | 275,793 | |||||
Total | (4,605,933) | |||||
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | |||||
Equity risk | 1,243,527 | |||||
Interest rate risk | (1,883,536) | |||||
Total | (640,009) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 355,877,830 |
Futures contracts — short | 177,970,071 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2023. |
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of trust capital — unrealized appreciation on swap contracts | 106,542* |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 944,093* |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 100,463* |
Total | 1,151,098 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 2,053,326* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin for futures and centrally cleared swaps, if any, is reported in receivables or payables in the Statement of Assets and Liabilities. |
66 | Portfolio Navigator Funds | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | Swap contracts ($) | Total ($) | |||
Credit risk | — | 99,827 | 99,827 | |||
Equity risk | (4,072,738) | — | (4,072,738) | |||
Interest rate risk | (147,703) | — | (147,703) | |||
Total | (4,220,441) | 99,827 | (4,120,614) | |||
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | Swap contracts ($) | Total ($) | |||
Credit risk | — | 35,923 | 35,923 | |||
Equity risk | (733,798) | — | (733,798) | |||
Interest rate risk | 353,252 | — | 353,252 | |||
Total | (380,546) | 35,923 | (344,623) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 67,870,571 |
Futures contracts — short | 95,925,792 |
Credit default swap contracts — sell protection | 10,308,000 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2023. |
Portfolio Navigator Funds | Semiannual Report 2023 | 67 |
June 30, 2023 (Unaudited)
Morgan Stanley ($) | |||||||||||
Assets | |||||||||||
Centrally cleared credit default swap contracts (a) | 67,953 | ||||||||||
Total financial and derivative net assets | 67,953 | ||||||||||
Total collateral received (pledged) (b) | - | ||||||||||
Net amount (c) | 67,953 |
(a) | Centrally cleared swaps are included within payable/receivable for variation margin in the Statement of Assets and Liabilities. |
(b) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(c) | Represents the net amount due from/(to) counterparties in the event of default. |
Morgan Stanley ($) | |||||||||
Assets | |||||||||
Centrally cleared credit default swap contracts (a) | 13,316 | ||||||||
Total financial and derivative net assets | 13,316 | ||||||||
Total collateral received (pledged) (b) | - | ||||||||
Net amount (c) | 13,316 |
(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. |
68 | Portfolio Navigator Funds | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Portfolio Navigator Funds | Semiannual Report 2023 | 69 |
June 30, 2023 (Unaudited)
Effective management services fee rate (%) | |
Variable Portfolio – Conservative Portfolio | 0.07 |
Variable Portfolio – Moderately Conservative Portfolio | 0.05 |
Variable Portfolio – Moderate Portfolio | 0.06 |
Variable Portfolio – Moderately Aggressive Portfolio | 0.06 |
Variable Portfolio – Aggressive Portfolio | 0.04 |
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 |
70 | Portfolio Navigator Funds | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
May 1, 2023 through April 30, 2024 | Prior to May 1, 2023 | |||||
Class 1 (%) | Class 2 (%) | Class 4 (%) | Class 1 (%) | Class 2 (%) | Class 4 (%) | |
Variable Portfolio - Conservative Portfolio | 0.13 | 0.38 | 0.38 | 0.18 | 0.43 | 0.43 |
Variable Portfolio - Moderately Conservative Portfolio | 0.13 | 0.38 | 0.38 | 0.20 | 0.45 | 0.45 |
Variable Portfolio - Moderately Aggressive Portfolio | 0.14 | 0.39 | 0.39 | 0.18 | 0.43 | 0.43 |
Variable Portfolio - Aggressive Portfolio | 0.14 | 0.39 | 0.39 | 0.18 | 0.43 | 0.43 |
Contractual expense cap July 1, 2023 through April 30, 2024 | Voluntary expense cap May 1, 2023 through June 30, 2023 | Contractual expense cap prior to May 1, 2023 | |||||||
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 |
Portfolio Navigator Funds | Semiannual Report 2023 | 71 |
June 30, 2023 (Unaudited)
Purchases ($) | Proceeds from sales ($) | Purchases of U.S. Government securities ($) | Proceeds from sales of U.S. Government securities ($) | |
Variable Portfolio – Conservative Portfolio | 109,532,810 | 136,944,708 | 91,396,027 | 73,182,229 |
Variable Portfolio – Moderately Conservative Portfolio | 239,225,202 | 316,641,559 | 221,885,095 | 177,666,868 |
Variable Portfolio – Moderate Portfolio | 2,243,589,422 | 2,438,221,428 | 2,092,877,255 | 1,675,799,571 |
Variable Portfolio – Moderately Aggressive Portfolio | 731,593,752 | 895,508,921 | 651,933,593 | 522,013,431 |
Variable Portfolio – Aggressive Portfolio | 365,412,755 | 374,215,785 | 319,457,185 | 255,794,377 |
72 | Portfolio Navigator Funds | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Portfolio Navigator Funds | Semiannual Report 2023 | 73 |
June 30, 2023 (Unaudited)
74 | Portfolio Navigator Funds | Semiannual Report 2023 |
(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. |
Portfolio Navigator Funds | Semiannual Report 2023 | 75 |
(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 one or more 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; |
76 | Portfolio Navigator Funds | Semiannual Report 2023 |
(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). |
Portfolio Navigator Funds | Semiannual Report 2023 | 77 |
(Unaudited)
78 | Portfolio Navigator Funds | Semiannual Report 2023 |
(Unaudited)
Portfolio Navigator Funds | Semiannual Report 2023 | 79 |
80 | Portfolio Navigator Funds | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1* | 02/20/19 | 7.03 | 5.86 | 3.13 | 4.37 | |
Class 2 | 04/19/12 | 6.89 | 5.57 | 2.90 | 4.25 | |
Blended Benchmark | 8.35 | 8.88 | 5.35 | 6.08 | ||
Bloomberg U.S. Aggregate Bond Index | 2.09 | -0.94 | 0.77 | 1.52 |
* | 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 2023 | 3 |
(Unaudited)
Portfolio Allocation (%) (at June 30, 2023) | |
Allocations to Underlying Funds | |
Equity Funds | 46.6 |
International | 12.8 |
U.S. Large Cap | 27.8 |
U.S. Mid Cap | 2.2 |
U.S. Small Cap | 3.8 |
Exchange-Traded Fixed Income Funds | 1.9 |
Investment Grade | 1.9 |
Fixed Income Funds | 24.1 |
Investment Grade | 24.1 |
Allocations to Tactical Assets | |
Corporate Bonds & Notes | 0.3 |
Money Market Funds(a) | 20.4 |
Put Option Contracts Purchased | 0.4 |
Residential Mortgage-Backed Securities - Agency | 6.3 |
U.S. Treasury Obligations | 0.0(b) |
Total | 100.0 |
(a) | Includes investments in Money Market Funds, including investing for the purpose of covering obligations relating to the Fund’s investment in derivatives. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and the derivative instruments discussion in Note 2 to the Notes to Financial Statements. |
(b) | Rounds to zero. |
4 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | ||||||||||
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 | 1,070.30 | 1,023.73 | 1.24 | 1.21 | 0.24 | 3.77 | 3.68 | 0.73 |
Class 2 | 1,000.00 | 1,000.00 | 1,068.90 | 1,022.49 | 2.53 | 2.47 | 0.49 | 5.05 | 4.94 | 0.98 |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes 0.3% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Aerospace & Defense 0.0% | ||||
BAE Systems PLC(a) | ||||
02/15/2031 | 1.900% | 670,000 | 538,084 | |
Boeing Co. (The) | ||||
05/01/2034 | 3.600% | 157,000 | 133,714 | |
08/01/2059 | 3.950% | 773,000 | 570,949 | |
05/01/2060 | 5.930% | 155,000 | 153,437 | |
Lockheed Martin Corp. | ||||
02/15/2055 | 5.200% | 186,000 | 192,010 | |
Northrop Grumman Corp. | ||||
06/01/2043 | 4.750% | 65,000 | 60,812 | |
10/15/2047 | 4.030% | 295,000 | 253,073 | |
03/15/2053 | 4.950% | 242,000 | 236,031 | |
United Technologies Corp. | ||||
06/01/2036 | 6.050% | 18,000 | 19,318 | |
07/15/2038 | 6.125% | 380,000 | 409,404 | |
11/01/2046 | 3.750% | 550,000 | 443,375 | |
Total | 3,010,207 | |||
Automotive 0.0% | ||||
General Motors Co. | ||||
04/01/2048 | 5.400% | 145,000 | 125,078 | |
Banking 0.1% | ||||
Bank of America Corp.(b) | ||||
07/23/2031 | 1.898% | 310,000 | 246,781 | |
10/24/2031 | 1.922% | 300,000 | 237,588 | |
02/04/2033 | 2.972% | 1,271,000 | 1,058,192 | |
Subordinated | ||||
09/21/2036 | 2.482% | 257,000 | 196,266 | |
Citigroup, Inc.(b) | ||||
06/03/2031 | 2.572% | 554,000 | 461,986 | |
01/25/2033 | 3.057% | 346,000 | 288,603 | |
Goldman Sachs Group, Inc. (The)(b) | ||||
07/21/2032 | 2.383% | 856,000 | 684,674 | |
HSBC Holdings PLC(b) | ||||
05/24/2032 | 2.804% | 337,000 | 272,783 | |
11/22/2032 | 2.871% | 538,000 | 434,635 | |
Subordinated | ||||
06/20/2034 | 6.547% | 95,000 | 94,618 | |
JPMorgan Chase & Co.(b) | ||||
04/22/2032 | 2.580% | 115,000 | 95,488 | |
11/08/2032 | 2.545% | 70,000 | 57,287 | |
11/15/2048 | 3.964% | 573,000 | 468,747 | |
Morgan Stanley(b) | ||||
07/21/2032 | 2.239% | 220,000 | 174,869 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated | ||||
09/16/2036 | 2.484% | 505,000 | 382,235 | |
US Bancorp(b) | ||||
06/12/2034 | 5.836% | 186,000 | 187,169 | |
Wells Fargo & Co.(b) | ||||
04/25/2053 | 4.611% | 1,206,000 | 1,057,932 | |
Total | 6,399,853 | |||
Cable and Satellite 0.0% | ||||
Charter Communications Operating LLC/Capital | ||||
05/01/2047 | 5.375% | 940,000 | 776,809 | |
12/01/2061 | 4.400% | 209,000 | 140,583 | |
06/30/2062 | 3.950% | 458,000 | 282,213 | |
Comcast Corp. | ||||
11/01/2056 | 2.937% | 575,000 | 374,564 | |
05/15/2064 | 5.500% | 105,000 | 106,402 | |
NBCUniversal Media LLC | ||||
01/15/2043 | 4.450% | 436,000 | 391,118 | |
Total | 2,071,689 | |||
Chemicals 0.0% | ||||
LYB International Finance III LLC | ||||
04/01/2051 | 3.625% | 155,000 | 107,563 | |
Construction Machinery 0.0% | ||||
Caterpillar, Inc. | ||||
09/19/2049 | 3.250% | 135,000 | 106,183 | |
United Rentals North America, Inc. | ||||
02/15/2031 | 3.875% | 190,000 | 164,674 | |
Total | 270,857 | |||
Diversified Manufacturing 0.0% | ||||
Carrier Global Corp. | ||||
04/05/2050 | 3.577% | 467,000 | 345,014 | |
Electric 0.1% | ||||
AEP Texas, Inc. | ||||
01/15/2050 | 3.450% | 652,000 | 469,964 | |
05/15/2052 | 5.250% | 170,000 | 161,558 | |
AES Corp. (The) | ||||
01/15/2031 | 2.450% | 220,000 | 177,960 | |
Berkshire Hathaway Energy Co. | ||||
05/01/2053 | 4.600% | 300,000 | 257,125 | |
CenterPoint Energy, Inc. | ||||
09/01/2049 | 3.700% | 203,000 | 152,807 | |
Dominion Energy, Inc. | ||||
08/15/2052 | 4.850% | 40,000 | 35,681 |
6 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Dominion Resources, Inc. | ||||
12/01/2044 | 4.700% | 250,000 | 217,204 | |
Duke Energy Corp. | ||||
08/15/2052 | 5.000% | 1,060,000 | 970,124 | |
Duke Energy Ohio, Inc. | ||||
04/01/2053 | 5.650% | 98,000 | 100,886 | |
Emera US Finance LP | ||||
06/15/2046 | 4.750% | 354,000 | 287,137 | |
Eversource Energy | ||||
08/15/2030 | 1.650% | 342,000 | 271,823 | |
Exelon Corp. | ||||
03/15/2052 | 4.100% | 418,000 | 337,720 | |
03/15/2053 | 5.600% | 300,000 | 302,632 | |
FirstEnergy Corp. | ||||
03/01/2050 | 3.400% | 178,000 | 122,643 | |
Georgia Power Co. | ||||
03/15/2042 | 4.300% | 497,000 | 428,546 | |
Jersey Central Power & Light Co.(a) | ||||
03/01/2032 | 2.750% | 116,000 | 95,574 | |
Northern States Power Co. | ||||
05/15/2044 | 4.125% | 115,000 | 98,286 | |
Pacific Gas and Electric Co. | ||||
07/01/2050 | 4.950% | 715,000 | 562,600 | |
PacifiCorp | ||||
05/15/2054 | 5.500% | 75,000 | 70,369 | |
Xcel Energy, Inc. | ||||
06/01/2032 | 4.600% | 155,000 | 146,689 | |
12/01/2049 | 3.500% | 300,000 | 217,684 | |
Total | 5,485,012 | |||
Environmental 0.0% | ||||
GFL Environmental, Inc.(a) | ||||
09/01/2028 | 3.500% | 280,000 | 248,990 | |
Food and Beverage 0.0% | ||||
Bacardi Ltd.(a) | ||||
05/15/2038 | 5.150% | 536,000 | 504,027 | |
05/15/2048 | 5.300% | 130,000 | 122,258 | |
Constellation Brands, Inc. | ||||
05/01/2033 | 4.900% | 979,000 | 961,266 | |
Mars, Inc.(a) | ||||
04/20/2033 | 4.750% | 665,000 | 659,169 | |
Total | 2,246,720 | |||
Health Care 0.0% | ||||
Cigna Corp. | ||||
03/15/2050 | 3.400% | 420,000 | 306,886 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CVS Health Corp. | ||||
07/20/2045 | 5.125% | 776,000 | 717,090 | |
HCA, Inc.(a) | ||||
03/15/2052 | 4.625% | 566,000 | 464,767 | |
Total | 1,488,743 | |||
Healthcare Insurance 0.0% | ||||
Aetna, Inc. | ||||
11/15/2042 | 4.125% | 200,000 | 164,681 | |
08/15/2047 | 3.875% | 109,000 | 85,064 | |
Anthem, Inc. | ||||
08/15/2044 | 4.650% | 135,000 | 121,156 | |
Centene Corp. | ||||
02/15/2030 | 3.375% | 185,000 | 159,075 | |
03/01/2031 | 2.500% | 580,000 | 462,485 | |
UnitedHealth Group, Inc. | ||||
02/15/2063 | 6.050% | 610,000 | 689,553 | |
04/15/2063 | 5.200% | 311,000 | 310,232 | |
Total | 1,992,246 | |||
Independent Energy 0.0% | ||||
Canadian Natural Resources Ltd. | ||||
02/15/2037 | 6.500% | 105,000 | 106,875 | |
Integrated Energy 0.0% | ||||
BP Capital Markets America, Inc. | ||||
03/17/2052 | 3.001% | 85,000 | 58,780 | |
Cenovus Energy, Inc. | ||||
02/15/2052 | 3.750% | 321,000 | 227,887 | |
Total Capital International SA | ||||
06/29/2060 | 3.386% | 80,000 | 58,695 | |
Total | 345,362 | |||
Life Insurance 0.0% | ||||
Five Corners Funding Trust IV(a) | ||||
02/15/2053 | 5.997% | 370,000 | 376,405 | |
MetLife, Inc. | ||||
07/15/2052 | 5.000% | 239,000 | 225,373 | |
New York Life Insurance Co.(a) | ||||
Subordinated | ||||
05/15/2050 | 3.750% | 270,000 | 205,793 | |
Northwestern Mutual Life Insurance Co. (The)(a) | ||||
Subordinated | ||||
09/30/2059 | 3.625% | 534,000 | 376,872 | |
Teachers Insurance & Annuity Association of America(a) | ||||
Subordinated | ||||
09/15/2044 | 4.900% | 340,000 | 307,405 | |
05/15/2050 | 3.300% | 220,000 | 151,850 |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2023 | 7 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Voya Financial, Inc. | ||||
06/15/2046 | 4.800% | 84,000 | 69,237 | |
Total | 1,712,935 | |||
Media and Entertainment 0.0% | ||||
Meta Platforms, Inc. | ||||
05/15/2053 | 5.600% | 80,000 | 82,148 | |
05/15/2063 | 5.750% | 285,000 | 294,659 | |
Viacom, Inc. | ||||
03/15/2043 | 4.375% | 165,000 | 116,648 | |
Warnermedia Holdings, Inc. | ||||
03/15/2062 | 5.391% | 947,000 | 769,683 | |
Total | 1,263,138 | |||
Midstream 0.0% | ||||
Enterprise Products Operating LLC | ||||
02/15/2045 | 5.100% | 124,000 | 118,301 | |
01/31/2060 | 3.950% | 187,000 | 144,131 | |
Kinder Morgan Energy Partners LP | ||||
11/01/2042 | 4.700% | 100,000 | 83,055 | |
03/01/2043 | 5.000% | 320,000 | 275,915 | |
Kinder Morgan, Inc. | ||||
02/15/2046 | 5.050% | 112,000 | 95,844 | |
08/01/2052 | 5.450% | 102,000 | 93,142 | |
MPLX LP | ||||
04/15/2048 | 4.700% | 70,000 | 57,657 | |
03/14/2052 | 4.950% | 311,000 | 264,254 | |
Plains All American Pipeline LP/Finance Corp. | ||||
06/15/2044 | 4.700% | 439,000 | 342,907 | |
Western Gas Partners LP | ||||
08/15/2048 | 5.500% | 190,000 | 159,116 | |
Western Midstream Operating LP(b) | ||||
02/01/2050 | 5.250% | 225,000 | 186,836 | |
Williams Companies, Inc. (The) | ||||
06/24/2044 | 5.750% | 330,000 | 321,895 | |
Total | 2,143,053 | |||
Natural Gas 0.0% | ||||
NiSource, Inc. | ||||
02/15/2043 | 5.250% | 133,000 | 127,625 | |
02/15/2044 | 4.800% | 249,000 | 226,440 | |
05/15/2047 | 4.375% | 170,000 | 145,490 | |
Sempra Energy | ||||
02/01/2048 | 4.000% | 180,000 | 139,992 | |
Total | 639,547 | |||
Pharmaceuticals 0.1% | ||||
AbbVie, Inc. | ||||
06/15/2044 | 4.850% | 425,000 | 395,905 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Amgen, Inc. | ||||
03/02/2053 | 5.650% | 119,000 | 120,642 | |
02/22/2062 | 4.400% | 235,000 | 193,506 | |
03/02/2063 | 5.750% | 983,000 | 999,113 | |
Bristol-Myers Squibb Co. | ||||
03/15/2062 | 3.900% | 145,000 | 116,534 | |
Merck & Co., Inc. | ||||
05/17/2063 | 5.150% | 449,000 | 458,300 | |
Pfizer Investment Enterprises Pte., Ltd. | ||||
05/19/2063 | 5.340% | 1,241,000 | 1,255,910 | |
Total | 3,539,910 | |||
Property & Casualty 0.0% | ||||
Berkshire Hathaway Finance Corp. | ||||
03/15/2052 | 3.850% | 425,000 | 351,573 | |
Liberty Mutual Group, Inc.(a) | ||||
10/15/2050 | 3.951% | 180,000 | 131,136 | |
Total | 482,709 | |||
Retailers 0.0% | ||||
Amazon.com, Inc. | ||||
04/13/2062 | 4.100% | 545,000 | 470,479 | |
Lowe’s Companies, Inc. | ||||
04/01/2062 | 4.450% | 513,000 | 413,209 | |
09/15/2062 | 5.800% | 310,000 | 307,536 | |
04/01/2063 | 5.850% | 113,000 | 112,666 | |
Total | 1,303,890 | |||
Technology 0.0% | ||||
Broadcom, Inc.(a) | ||||
11/15/2036 | 3.187% | 743,000 | 561,476 | |
Fidelity National Information Services, Inc. | ||||
03/01/2041 | 3.100% | 80,000 | 55,108 | |
07/15/2052 | 5.625% | 89,000 | 84,024 | |
Intel Corp. | ||||
08/12/2051 | 3.050% | 405,000 | 271,498 | |
08/05/2062 | 5.050% | 15,000 | 13,822 | |
International Business Machines Corp. | ||||
02/06/2053 | 5.100% | 200,000 | 192,495 | |
MSCI, Inc.(a) | ||||
11/01/2031 | 3.625% | 260,000 | 222,643 | |
NXP BV/Funding LLC/USA, Inc. | ||||
05/01/2030 | 3.400% | 65,000 | 57,571 | |
01/15/2033 | 5.000% | 264,000 | 253,783 | |
02/15/2042 | 3.125% | 169,000 | 118,331 |
8 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Oracle Corp. | ||||
07/15/2046 | 4.000% | 385,000 | 295,951 | |
04/01/2050 | 3.600% | 319,000 | 227,781 | |
03/25/2061 | 4.100% | 62,000 | 45,623 | |
Total | 2,400,106 | |||
Tobacco 0.0% | ||||
Reynolds American, Inc. | ||||
08/15/2035 | 5.700% | 210,000 | 197,593 | |
Transportation Services 0.0% | ||||
ERAC USA Finance LLC(a) | ||||
05/01/2053 | 5.400% | 149,000 | 148,792 | |
Wireless 0.0% | ||||
American Tower Corp. | ||||
06/15/2030 | 2.100% | 125,000 | 101,235 | |
T-Mobile US, Inc. | ||||
04/15/2050 | 4.500% | 70,000 | 60,142 | |
11/15/2060 | 3.600% | 380,000 | 266,756 | |
Vodafone Group PLC | ||||
02/19/2043 | 4.375% | 165,000 | 138,493 | |
Total | 566,626 | |||
Wirelines 0.0% | ||||
AT&T, Inc. | ||||
12/01/2057 | 3.800% | 1,451,000 | 1,049,547 | |
Telefonica Emisiones SAU | ||||
03/06/2048 | 4.895% | 300,000 | 251,052 | |
Verizon Communications, Inc. | ||||
03/22/2041 | 3.400% | 855,000 | 659,511 | |
03/22/2051 | 3.550% | 330,000 | 246,438 | |
Total | 2,206,548 | |||
Total Corporate Bonds & Notes (Cost $46,224,952) | 40,849,056 |
Equity Funds 49.3% | ||
Shares | Value ($) | |
International 13.5% | ||
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(c) | 60,397,961 | 751,350,635 |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares(c) | 40,886,287 | 402,321,069 |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares(c) | 23,313,711 | 263,911,206 |
Variable Portfolio – Partners International Value Fund, Class 1 Shares(c) | 27,453,944 | 263,832,398 |
Total | 1,681,415,308 |
Equity Funds (continued) | ||
Shares | Value ($) | |
U.S. Large Cap 29.4% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(c),(d) | 5,404,174 | 215,950,800 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(c),(d) | 7,950,430 | 662,906,832 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(c),(d) | 10,358,242 | 351,455,132 |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(c),(d) | 38,037,174 | 671,736,488 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(c),(d) | 8,675,288 | 324,021,992 |
CTIVP® – MFS® Value Fund, Class 1 Shares(c),(d) | 7,867,525 | 285,591,171 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(c),(d) | 5,327,140 | 235,672,671 |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares(c),(d) | 5,844,281 | 301,155,817 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(c),(d) | 8,615,471 | 280,347,416 |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(c),(d) | 9,639,483 | 328,802,778 |
Total | 3,657,641,097 | |
U.S. Mid Cap 2.3% | ||
Columbia Variable Portfolio – Select Mid Cap Growth Fund, Class 1 Shares(c),(d) | 1,693,741 | 73,796,301 |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares(c),(d) | 1,990,719 | 69,436,255 |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(c),(d) | 1,592,880 | 69,433,647 |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(c),(d) | 1,770,416 | 73,401,456 |
Total | 286,067,659 | |
U.S. Small Cap 4.1% | ||
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares(c) | 5,661,233 | 70,255,909 |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares(c),(d) | 6,041,437 | 67,362,023 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(c),(d) | 6,399,256 | 188,266,100 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(c),(d) | 5,341,821 | 181,408,244 |
Total | 507,292,276 | |
Total Equity Funds (Cost $4,542,867,990) | 6,132,416,340 | |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2023 | 9 |
June 30, 2023 (Unaudited)
Exchange-Traded Fixed Income Funds 1.9% | ||
Shares | Value ($) | |
Investment Grade 1.9% | ||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 1,209,290 | 130,772,621 |
Vanguard Intermediate-Term Corporate Bond ETF | 1,431,500 | 113,131,445 |
Total | 243,904,066 | |
Total Exchange-Traded Fixed Income Funds (Cost $244,920,475) | 243,904,066 | |
Fixed Income Funds 25.4% | ||
Investment Grade 25.4% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(c) | 72,754,699 | 614,049,661 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(c) | 20,453,002 | 191,849,156 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(c) | 46,997,777 | 376,452,194 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(c) | 21,411,187 | 189,060,781 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(c) | 51,235,695 | 469,318,964 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(c) | 66,083,227 | 616,556,506 |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(c) | 73,506,555 | 709,338,258 |
Total | 3,166,625,520 | |
Total Fixed Income Funds (Cost $3,727,069,753) | 3,166,625,520 |
Residential Mortgage-Backed Securities - Agency 6.7% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(e) | ||||
07/18/2038- 07/13/2053 | 3.000% | 249,302,000 | 221,453,662 | |
07/18/2038- 07/13/2053 | 3.500% | 143,500,000 | 132,952,755 | |
07/18/2038- 07/13/2053 | 4.000% | 174,630,000 | 165,350,644 | |
07/13/2053 | 4.500% | 90,600,000 | 87,103,406 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
07/13/2053 | 5.000% | 227,000,000 | 222,424,531 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $834,356,715) | 829,284,998 | |||
U.S. Treasury Obligations 0.0% | ||||
U.S. Treasury | ||||
05/15/2033 | 3.375% | 191,600 | 184,804 | |
05/15/2043 | 3.875% | 231,000 | 225,442 | |
02/15/2053 | 3.625% | 256,300 | 246,168 | |
Total U.S. Treasury Obligations (Cost $656,456) | 656,414 |
Put Option Contracts Purchased 0.5% | ||||
Value ($) | ||||
(Cost $113,580,705) | 58,461,850 |
Money Market Funds 21.6% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(c),(f) | 2,690,624,989 | 2,689,548,739 |
Total Money Market Funds (Cost $2,689,617,501) | 2,689,548,739 | |
Total Investments in Securities (Cost: $12,199,294,547) | 13,161,746,983 | |
Other Assets & Liabilities, Net | (713,684,646) | |
Net Assets | 12,448,062,337 |
10 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
2,000,000,000 JPY | 14,388,971 USD | Barclays | 07/20/2023 | 493,898 | — |
16,101,000 USD | 15,000,000 EUR | Barclays | 07/20/2023 | 280,275 | — |
33,963,655 USD | 55,000,000 NZD | Barclays | 07/20/2023 | — | (212,355) |
5,119,712 USD | 7,500,000 AUD | Citi | 07/20/2023 | — | (121,150) |
25,387,500 USD | 20,000,000 GBP | Citi | 07/20/2023 | 15,500 | — |
98,111,891 USD | 13,500,000,000 JPY | Citi | 07/20/2023 | — | (4,320,142) |
45,000,000 GBP | 57,357,900 USD | Goldman Sachs International | 07/20/2023 | 201,150 | — |
59,277,500 USD | 55,000,000 EUR | Goldman Sachs International | 07/20/2023 | 787,175 | — |
19,836,644 USD | 2,750,000,000 JPY | Goldman Sachs International | 07/20/2023 | — | (730,917) |
20,000,000 AUD | 13,119,496 USD | HSBC | 07/20/2023 | — | (210,004) |
86,696,162 USD | 70,000,000 GBP | HSBC | 07/20/2023 | 2,214,338 | — |
25,000,000 CHF | 27,932,337 USD | Morgan Stanley | 07/20/2023 | — | (46,031) |
16,677,828 USD | 15,000,000 CHF | Morgan Stanley | 07/20/2023 | 109,193 | — |
10,863,850 USD | 10,000,000 EUR | Morgan Stanley | 07/20/2023 | 57,000 | — |
6,237,079 USD | 5,000,000 GBP | Morgan Stanley | 07/20/2023 | 113,672 | — |
14,056,328 USD | 150,000,000 SEK | Morgan Stanley | 07/20/2023 | — | (138,217) |
40,072,740 USD | 60,000,000 AUD | UBS | 07/20/2023 | — | (84,240) |
25,216,441 USD | 270,000,000 SEK | Wells Fargo Securities LLC | 07/20/2023 | — | (163,840) |
Total | 4,272,201 | (6,026,896) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Euro STOXX 50 Index | 3,258 | 09/2023 | EUR | 144,231,660 | 2,013,213 | — |
FTSE 100 Index | 25 | 09/2023 | GBP | 1,885,375 | 20,632 | — |
FTSE 100 Index | 650 | 09/2023 | GBP | 49,019,750 | — | (351,349) |
MSCI Singapore Index | 300 | 07/2023 | SGD | 8,667,000 | 22,081 | — |
OMXS30 Index | 300 | 07/2023 | SEK | 69,487,500 | 132,718 | — |
OMXS30 Index | 2,750 | 07/2023 | SEK | 636,968,750 | — | (23,131) |
S&P 500 Index E-mini | 5,165 | 09/2023 | USD | 1,159,090,563 | 29,265,075 | — |
SPI 200 Index | 176 | 09/2023 | AUD | 31,508,400 | 175,384 | — |
TOPIX Index | 961 | 09/2023 | JPY | 21,987,680,000 | 5,034,782 | — |
TOPIX Index | 100 | 09/2023 | JPY | 2,288,000,000 | — | (91,336) |
U.S. Long Bond | 72 | 09/2023 | USD | 9,137,250 | — | (24,576) |
U.S. Treasury 10-Year Note | 1,653 | 09/2023 | USD | 185,575,078 | — | (2,953,216) |
U.S. Treasury 2-Year Note | 966 | 09/2023 | USD | 196,430,063 | — | (2,469,567) |
U.S. Treasury 5-Year Note | 2,681 | 09/2023 | USD | 287,118,344 | — | (5,256,394) |
Total | 36,663,885 | (11,169,569) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Russell 2000 Index E-mini | (995) | 09/2023 | USD | (94,709,075) | — | (184,808) |
U.S. Long Bond | (3) | 09/2023 | USD | (380,719) | 2,056 | — |
U.S. Treasury 10-Year Note | (49) | 09/2023 | USD | (5,501,016) | 98,289 | — |
U.S. Treasury Ultra 10-Year Note | (13) | 09/2023 | USD | (1,539,688) | 16,825 | — |
U.S. Treasury Ultra Bond | (2) | 09/2023 | USD | (272,438) | 1,362 | — |
U.S. Treasury Ultra Bond | (4) | 09/2023 | USD | (544,875) | — | (1,689) |
Total | 118,532 | (186,497) |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2023 | 11 |
June 30, 2023 (Unaudited)
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 925,679,040 | 2,080 | 3,450.00 | 12/20/2024 | 23,119,302 | 16,515,200 |
S&P 500 Index | JPMorgan | USD | 867,824,100 | 1,950 | 3,400.00 | 12/20/2024 | 20,488,146 | 14,566,500 |
S&P 500 Index | JPMorgan | USD | 829,995,870 | 1,865 | 3,200.00 | 12/20/2024 | 33,056,346 | 10,789,025 |
S&P 500 Index | JPMorgan | USD | 716,511,180 | 1,610 | 3,300.00 | 12/20/2024 | 27,528,749 | 10,601,850 |
S&P 500 Index | JPMorgan | USD | 200,267,100 | 450 | 3,350.00 | 12/20/2024 | 6,167,272 | 3,159,000 |
S&P 500 Index | JPMorgan | USD | 140,186,970 | 315 | 3,550.00 | 12/20/2024 | 3,220,890 | 2,830,275 |
Total | 113,580,705 | 58,461,850 |
(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, 2023, the total value of these securities amounted to $5,115,241, which represents 0.04% of total net assets. |
(b) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of June 30, 2023. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | 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, 5.323% | |||||||||
1,816,587,221 | 2,087,055,145 | (1,213,771,199) | (322,428) | 2,689,548,739 | — | 82,734 | 58,566,590 | 2,690,624,989 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
196,544,525 | — | (8,130,204) | 27,536,479 | 215,950,800 | — | 11,661,751 | — | 5,404,174 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
612,605,565 | — | (20,105,345) | 70,406,612 | 662,906,832 | — | 23,410,851 | — | 7,950,430 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
606,809,046 | — | (6,218,942) | 13,459,557 | 614,049,661 | — | (931,458) | — | 72,754,699 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
303,543,743 | — | (16,894,583) | 64,805,972 | 351,455,132 | — | 23,399,522 | — | 10,358,242 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
191,795,483 | — | (4,874,375) | 4,928,048 | 191,849,156 | — | (553,592) | — | 20,453,002 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
359,596,930 | — | (701,635) | 17,556,899 | 376,452,194 | — | (134,891) | — | 46,997,777 | |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares | |||||||||
760,181,744 | 14,603,208 | (61,389,997) | 37,955,680 | 751,350,635 | — | 5,520,094 | 14,603,208 | 60,397,961 | |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares | |||||||||
614,041,050 | — | (34,103,758) | 91,799,196 | 671,736,488 | — | 22,131,039 | — | 38,037,174 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
325,660,340 | — | (3,354,000) | 1,715,652 | 324,021,992 | — | 3,831,843 | — | 8,675,288 | |
Columbia Variable Portfolio – Select Mid Cap Growth Fund, Class 1 Shares | |||||||||
66,571,948 | — | (2,946,497) | 10,170,850 | 73,796,301 | — | 2,818,208 | — | 1,693,741 | |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares | |||||||||
68,868,202 | — | (1,304,978) | 1,873,031 | 69,436,255 | — | 1,211,167 | — | 1,990,719 | |
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares | |||||||||
68,984,214 | — | (4,983,304) | 6,254,999 | 70,255,909 | — | (756,223) | — | 5,661,233 | |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares | |||||||||
55,581,221 | — | — | 11,780,802 | 67,362,023 | — | — | — | 6,041,437 |
12 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2023 |
June 30, 2023 (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 | |||||||||
187,743,146 | — | (2,027,903) | 3,345,538 | 189,060,781 | — | (297,872) | — | 21,411,187 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
465,921,345 | — | (6,542,519) | 9,940,138 | 469,318,964 | — | (1,066,812) | — | 51,235,695 | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
283,014,178 | — | (1,631,225) | 4,208,218 | 285,591,171 | — | 1,583,746 | — | 7,867,525 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
188,367,668 | — | — | 47,305,003 | 235,672,671 | — | — | — | 5,327,140 | |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares | |||||||||
269,617,274 | — | (11,207,406) | 42,745,949 | 301,155,817 | — | 14,192,825 | — | 5,844,281 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
280,930,908 | — | (2,978,368) | 2,394,876 | 280,347,416 | — | 2,244,410 | — | 8,615,471 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
611,702,171 | — | (11,161,551) | 16,015,886 | 616,556,506 | — | (1,166,393) | — | 66,083,227 | |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares | |||||||||
69,412,523 | — | (1,216,244) | 1,237,368 | 69,433,647 | — | 1,386,797 | — | 1,592,880 | |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares | |||||||||
67,261,811 | — | (2,177,226) | 8,316,871 | 73,401,456 | — | 2,417,321 | — | 1,770,416 | |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares | |||||||||
703,625,071 | — | (13,504,075) | 19,217,262 | 709,338,258 | — | (1,221,563) | — | 73,506,555 | |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares | |||||||||
306,605,925 | — | (8,527,302) | 30,724,155 | 328,802,778 | — | 11,610,385 | — | 9,639,483 | |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares | |||||||||
398,042,512 | 5,896,938 | (50,852,562) | 49,234,181 | 402,321,069 | — | (3,357,046) | 5,896,938 | 40,886,287 | |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares | |||||||||
255,136,579 | 1,280,687 | (24,514,063) | 32,008,003 | 263,911,206 | — | (888,558) | 1,280,686 | 23,313,711 | |
Variable Portfolio – Partners International Value Fund, Class 1 Shares | |||||||||
264,051,256 | 5,723,977 | (28,527,814) | 22,584,979 | 263,832,398 | — | 2,676,352 | 5,723,977 | 27,453,944 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
177,666,143 | — | (2,938,228) | 13,538,185 | 188,266,100 | — | 1,734,375 | — | 6,399,256 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
181,482,290 | — | (4,856,339) | 4,782,293 | 181,408,244 | — | 2,538,672 | — | 5,341,821 | |
Total | 10,757,952,032 | 667,520,254 | 11,988,590,599 | — | 124,077,684 | 86,071,399 |
(d) | Non-income producing investment. |
(e) | Represents a security purchased on a when-issued basis. |
(f) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
TBA | To Be Announced |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2023 | 13 |
June 30, 2023 (Unaudited)
AUD | Australian Dollar |
CHF | Swiss Franc |
EUR | Euro |
GBP | British Pound |
JPY | Japanese Yen |
NZD | New Zealand Dollar |
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). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Corporate Bonds & Notes | — | 40,849,056 | — | — | 40,849,056 |
Equity Funds | — | — | — | 6,132,416,340 | 6,132,416,340 |
Exchange-Traded Fixed Income Funds | 243,904,066 | — | — | — | 243,904,066 |
Fixed Income Funds | — | — | — | 3,166,625,520 | 3,166,625,520 |
Residential Mortgage-Backed Securities - Agency | — | 829,284,998 | — | — | 829,284,998 |
U.S. Treasury Obligations | — | 656,414 | — | — | 656,414 |
14 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Put Option Contracts Purchased | 58,461,850 | — | — | — | 58,461,850 |
Money Market Funds | 2,689,548,739 | — | — | — | 2,689,548,739 |
Total Investments in Securities | 2,991,914,655 | 870,790,468 | — | 9,299,041,860 | 13,161,746,983 |
Investments in Derivatives | |||||
Asset | |||||
Forward Foreign Currency Exchange Contracts | — | 4,272,201 | — | — | 4,272,201 |
Futures Contracts | 36,782,417 | — | — | — | 36,782,417 |
Liability | |||||
Forward Foreign Currency Exchange Contracts | — | (6,026,896) | — | — | (6,026,896) |
Futures Contracts | (11,356,066) | — | — | — | (11,356,066) |
Total | 3,017,341,006 | 869,035,773 | — | 9,299,041,860 | 13,185,418,639 |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2023 | 15 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,126,158,598) | $1,114,694,534 |
Affiliated issuers (cost $10,959,555,244) | 11,988,590,599 |
Option contracts purchased (cost $113,580,705) | 58,461,850 |
Cash | 3,004,276 |
Cash collateral held at broker for: | |
TBA | 5,218,000 |
Margin deposits on: | |
Futures contracts | 94,496,579 |
Unrealized appreciation on forward foreign currency exchange contracts | 4,272,201 |
Receivable for: | |
Investments sold | 6,603,114 |
Investments sold on a delayed delivery basis | 151,249,250 |
Capital shares sold | 45,421 |
Dividends | 11,194,065 |
Interest | 1,768,323 |
Foreign tax reclaims | 891 |
Variation margin for futures contracts | 16,941,869 |
Prepaid expenses | 59,219 |
Total assets | 13,456,600,191 |
Liabilities | |
Unrealized depreciation on forward foreign currency exchange contracts | 6,026,896 |
Payable for: | |
Investments purchased on a delayed delivery basis | 986,939,479 |
Capital shares redeemed | 13,539,627 |
Variation margin for futures contracts | 577,636 |
Management services fees | 58,015 |
Distribution and/or service fees | 84,601 |
Service fees | 614,277 |
Compensation of board members | 592,530 |
Compensation of chief compliance officer | 1,194 |
Other expenses | 103,599 |
Total liabilities | 1,008,537,854 |
Net assets applicable to outstanding capital stock | $12,448,062,337 |
Represented by | |
Trust capital | $12,448,062,337 |
Total - representing net assets applicable to outstanding capital stock | $12,448,062,337 |
Class 1 | |
Net assets | $16,364,515 |
Shares outstanding | 995,078 |
Net asset value per share | $16.45 |
Class 2 | |
Net assets | $12,431,697,822 |
Shares outstanding | 763,033,493 |
Net asset value per share | $16.29 |
16 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $7,703,796 |
Dividends — affiliated issuers | 86,071,399 |
Interest | 2,779,957 |
Foreign taxes withheld | (1,160) |
Total income | 96,553,992 |
Expenses: | |
Management services fees | 10,871,357 |
Distribution and/or service fees | |
Class 2 | 15,477,705 |
Service fees | 3,726,558 |
Compensation of board members | 105,762 |
Custodian fees | 25,433 |
Printing and postage fees | 33,076 |
Accounting services fees | 15,045 |
Legal fees | 88,966 |
Interest on collateral | 328 |
Compensation of chief compliance officer | 1,196 |
Other | 85,167 |
Total expenses | 30,430,593 |
Net investment income | 66,123,399 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 45,171,816 |
Investments — affiliated issuers | 124,077,684 |
Foreign currency translations | 1,354,246 |
Forward foreign currency exchange contracts | (17,604,561) |
Futures contracts | 26,810,035 |
Option contracts purchased | (37,511,457) |
Swap contracts | 3,094,135 |
Net realized gain | 145,391,898 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 4,877,562 |
Investments — affiliated issuers | 667,520,254 |
Forward foreign currency exchange contracts | 6,102,052 |
Futures contracts | (10,528,705) |
Option contracts purchased | (51,897,484) |
Swap contracts | (1,264,151) |
Net change in unrealized appreciation (depreciation) | 614,809,528 |
Net realized and unrealized gain | 760,201,426 |
Net increase in net assets resulting from operations | $826,324,825 |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2023 | 17 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment income | $66,123,399 | $97,447,264 |
Net realized gain (loss) | 145,391,898 | (180,000,458) |
Net change in unrealized appreciation (depreciation) | 614,809,528 | (2,833,729,815) |
Net increase (decrease) in net assets resulting from operations | 826,324,825 | (2,916,283,009) |
Decrease in net assets from capital stock activity | (629,313,019) | (1,208,759,648) |
Total increase (decrease) in net assets | 197,011,806 | (4,125,042,657) |
Net assets at beginning of period | 12,251,050,531 | 16,376,093,188 |
Net assets at end of period | $12,448,062,337 | $12,251,050,531 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Shares sold | 157,983 | 2,518,409 | 295,945 | 4,823,818 |
Shares redeemed | (37,645) | (601,365) | (16,828) | (271,676) |
Net increase | 120,338 | 1,917,044 | 279,117 | 4,552,142 |
Class 2 | ||||
Shares sold | 35,995 | 568,770 | 308,609 | 5,351,316 |
Shares redeemed | (39,854,192) | (631,798,833) | (76,205,282) | (1,218,663,106) |
Net decrease | (39,818,197) | (631,230,063) | (75,896,673) | (1,213,311,790) |
Total net decrease | (39,697,859) | (629,313,019) | (75,617,556) | (1,208,759,648) |
18 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2023 |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2023 | 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 6/30/2023 (Unaudited) | $15.37 | 0.11 | 0.97 | 1.08 |
Year Ended 12/31/2022 | $18.73 | 0.16 | (3.52) | (3.36) |
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(d) | $14.19 | 0.13 | 1.21 | 1.34 |
Class 2 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $15.24 | 0.08 | 0.97 | 1.05 |
Year Ended 12/31/2022 | $18.62 | 0.12 | (3.50) | (3.38) |
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) |
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) | Ratios include interest on collateral expense which is less than 0.01%. |
(d) | 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 2023 |
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 6/30/2023 (Unaudited) | $16.45 | 7.03% | 0.24%(c) | 0.24%(c) | 1.32% | 81% | $16,365 |
Year Ended 12/31/2022 | $15.37 | (17.94%) | 0.25%(c) | 0.25%(c) | 1.00% | 149% | $13,442 |
Year Ended 12/31/2021 | $18.73 | 9.02% | 0.25%(c) | 0.25%(c) | 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(d) | $15.53 | 9.44% | 0.24% | 0.24% | 1.01% | 138% | $1,093 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $16.29 | 6.89% | 0.49%(c) | 0.49%(c) | 1.07% | 81% | $12,431,698 |
Year Ended 12/31/2022 | $15.24 | (18.15%) | 0.50%(c) | 0.50%(c) | 0.71% | 149% | $12,237,609 |
Year Ended 12/31/2021 | $18.62 | 8.70% | 0.49%(c) | 0.49%(c) | 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% | $13,743,943 |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2023 | 21 |
June 30, 2023 (Unaudited)
22 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2023 | 23 |
June 30, 2023 (Unaudited)
24 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2023 | 25 |
June 30, 2023 (Unaudited)
26 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 36,663,885* |
Equity risk | Investments, at value — Option contracts purchased | 58,461,850 |
Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 4,272,201 |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 118,532* |
Total | 99,516,468 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 650,624* |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 6,026,896 |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 10,705,442* |
Total | 17,382,962 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin for futures and centrally cleared swaps, if any, is reported in receivables or payables in the Statement of Assets and Liabilities. |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2023 | 27 |
June 30, 2023 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | |||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Option contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | — | 3,094,135 | 3,094,135 |
Equity risk | — | 26,064,412 | (37,511,457) | — | (11,447,045) |
Foreign exchange risk | (17,604,561) | — | — | — | (17,604,561) |
Interest rate risk | — | 745,623 | — | — | 745,623 |
Total | (17,604,561) | 26,810,035 | (37,511,457) | 3,094,135 | (25,211,848) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Option contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | — | (1,264,151) | (1,264,151) |
Equity risk | — | (3,126,012) | (51,897,484) | — | (55,023,496) |
Foreign exchange risk | 6,102,052 | — | — | — | 6,102,052 |
Interest rate risk | — | (7,402,693) | — | — | (7,402,693) |
Total | 6,102,052 | (10,528,705) | (51,897,484) | (1,264,151) | (57,588,288) |
Derivative instrument | Average notional amounts ($) |
Futures contracts — long | 2,045,526,490* |
Futures contracts — short | 123,916,257* |
Credit default swap contracts — sell protection | 66,483,516** |
Derivative instrument | Average value ($)* |
Option contracts purchased | 63,248,913 |
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 2,214,030 | (3,289,857) |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2023. |
** | Based on the ending daily outstanding amounts for the six months ended June 30, 2023. |
28 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Barclays ($) | Citi ($) | Goldman Sachs International ($) | HSBC ($) | JPMorgan ($) | Morgan Stanley ($) | UBS ($) | Wells Fargo Securities LLC ($) | Total ($) | |
Assets | |||||||||
Forward foreign currency exchange contracts | 774,173 | 15,500 | 988,325 | 2,214,338 | - | 279,865 | - | - | 4,272,201 |
Put option contracts purchased | - | - | - | - | 58,461,850 | - | - | - | 58,461,850 |
Total assets | 774,173 | 15,500 | 988,325 | 2,214,338 | 58,461,850 | 279,865 | - | - | 62,734,051 |
Liabilities | |||||||||
Forward foreign currency exchange contracts | 212,355 | 4,441,292 | 730,917 | 210,004 | - | 184,248 | 84,240 | 163,840 | 6,026,896 |
Total financial and derivative net assets | 561,818 | (4,425,792) | 257,408 | 2,004,334 | 58,461,850 | 95,617 | (84,240) | (163,840) | 56,707,155 |
Total collateral received (pledged) (a) | - | - | - | - | - | - | - | - | - |
Net amount (b) | 561,818 | (4,425,792) | 257,408 | 2,004,334 | 58,461,850 | 95,617 | (84,240) | (163,840) | 56,707,155 |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2023 | 29 |
June 30, 2023 (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. |
30 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2023 | 31 |
June 30, 2023 (Unaudited)
May 1, 2023 through April 30, 2024 | Prior to May 1, 2023 | |
Class 1 | 0.78% | 0.79% |
Class 2 | 1.03 | 1.04 |
32 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2023 | 33 |
June 30, 2023 (Unaudited)
34 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2023 | 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 2023 |
(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 one or more 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 2023 | 37 |
(Unaudited)
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
38 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2023 |
(Unaudited)
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 2023 | 39 |
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 |
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By (Signature and Title) | /s/ Daniel J. Beckman |
| Daniel J. Beckman, President and Principal Executive Officer |
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Date | August 22, 2023 |
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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 |
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|
Date | August 22, 2023 |
By (Signature and Title) | /s/ Michael G. Clarke |
| Michael G. Clarke, Chief Financial Officer, |
| Principal Financial Officer and Senior Vice President |
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Date | August 22, 2023 |
By (Signature and Title) | /s/ Joseph Beranek |
| Joseph Beranek, Treasurer, Chief Accounting |
| Officer and Principal Financial Officer |
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Date | August 22, 2023 |