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 | 811-05199 |
Columbia Funds Variable Insurance Trust
(Exact name of registrant as specified in charter)
225 Franklin Street, Boston, Massachusetts 02110
(Address of principal executive offices) (Zip code)
Christopher O. Petersen, Esq.
c/o Columbia Management Investment Advisers, LLC
225 Franklin Street
Boston, Massachusetts 02110
Ryan C. Larrenaga, Esq.
c/o Columbia Management Investment Advisers, LLC
225 Franklin Street
Boston, MA 02110
(Name and address of agent for service)
Registrant's telephone number, including area code: (800) 345-6611
Date of fiscal year end: December 31
Date of reporting period: June 30, 2020
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, 2020
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(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | Life | ||
Class 1 | 04/30/13 | 13.92 | 19.92 | 8.29 | 5.87 | |
Class 2 | 04/30/13 | 13.88 | 19.67 | 8.03 | 5.61 | |
Bloomberg Barclays U.S. Long Government/Credit Bond Index | 12.82 | 18.91 | 8.98 | 6.48 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2020) | |
Asset-Backed Securities — Agency | 1.1 |
Corporate Bonds & Notes | 54.5 |
Foreign Government Obligations | 0.6 |
Money Market Funds | 0.3 |
U.S. Treasury Obligations | 43.5 |
Total | 100.0 |
Quality breakdown (%) (at June 30, 2020) | |
AAA rating | 46.4 |
AA rating | 3.2 |
A rating | 15.5 |
BBB rating | 33.7 |
BB rating | 1.2 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 |
(Unaudited)
January 1, 2020 — June 30, 2020 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,139.20 | 1,022.38 | 2.66 | 2.51 | 0.50 |
Class 2 | 1,000.00 | 1,000.00 | 1,138.80 | 1,021.13 | 3.99 | 3.77 | 0.75 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 | 5 |
June 30, 2020 (Unaudited)
Asset-Backed Securities — Agency 1.1% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
United States Small Business Administration | ||||
Series 2016-20L Class 1 | ||||
12/01/2036 | 2.810% | 4,529,443 | 4,848,968 | |
Series 2017-20E Class 1 | ||||
05/01/2037 | 2.880% | 406,975 | 435,359 | |
Series 2017-20F Class 1 | ||||
06/01/2037 | 2.810% | 3,305,636 | 3,533,033 | |
Series 2017-20G Class 1 | ||||
07/01/2037 | 2.980% | 2,989,287 | 3,202,746 | |
Series 2017-20H Class 1 | ||||
08/01/2037 | 2.750% | 2,592,907 | 2,750,665 | |
Series 2017-20I Class 1 | ||||
09/01/2037 | 2.590% | 4,629,416 | 4,887,504 | |
Total Asset-Backed Securities — Agency (Cost $18,453,664) | 19,658,275 | |||
Corporate Bonds & Notes 54.1% | ||||
Aerospace & Defense 1.9% | ||||
BAE Systems PLC(a) | ||||
04/15/2030 | 3.400% | 3,300,000 | 3,595,882 | |
Boeing Co. (The) | ||||
08/01/2059 | 3.950% | 6,235,000 | 5,363,885 | |
General Dynamics Corp. | ||||
04/01/2050 | 4.250% | 545,000 | 704,595 | |
Northrop Grumman Corp. | ||||
01/15/2028 | 3.250% | 3,890,000 | 4,339,189 | |
10/15/2047 | 4.030% | 5,805,000 | 6,981,997 | |
Raytheon Technologies Corp. | ||||
07/01/2050 | 3.125% | 3,615,000 | 3,831,405 | |
United Technologies Corp. | ||||
06/01/2042 | 4.500% | 6,500,000 | 8,081,411 | |
Total | 32,898,364 | |||
Automotive 0.1% | ||||
General Motors Co. | ||||
04/01/2048 | 5.400% | 2,230,000 | 2,235,553 | |
Banking 4.8% | ||||
Bank of America Corp.(b) | ||||
03/20/2051 | 4.083% | 10,510,000 | 12,999,384 | |
Capital One Financial Corp. | ||||
01/31/2028 | 3.800% | 7,000,000 | 7,757,978 | |
Citigroup, Inc.(b) | ||||
06/03/2031 | 2.572% | 13,375,000 | 13,822,715 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Goldman Sachs Group, Inc. (The)(b) | ||||
04/23/2039 | 4.411% | 2,175,000 | 2,625,735 | |
Goldman Sachs Group, Inc. (The) | ||||
07/08/2044 | 4.800% | 6,790,000 | 8,846,865 | |
JPMorgan Chase & Co.(b) | ||||
01/23/2049 | 3.897% | 11,370,000 | 13,716,156 | |
Morgan Stanley(b) | ||||
01/22/2031 | 2.699% | 7,960,000 | 8,448,808 | |
Wells Fargo & Co.(b) | ||||
04/30/2041 | 3.068% | 14,905,000 | 15,557,008 | |
Total | 83,774,649 | |||
Cable and Satellite 1.9% | ||||
Charter Communications Operating LLC/Capital | ||||
03/01/2050 | 4.800% | 8,840,000 | 9,982,772 | |
04/01/2051 | 3.700% | 6,330,000 | 6,225,921 | |
Comcast Corp. | ||||
01/15/2051 | 2.800% | 8,915,000 | 9,117,428 | |
11/01/2052 | 4.049% | 7,021,000 | 8,611,843 | |
Total | 33,937,964 | |||
Chemicals 0.5% | ||||
Dow Chemical Co. (The) | ||||
05/15/2049 | 4.800% | 3,211,000 | 3,816,091 | |
DowDuPont, Inc. | ||||
11/15/2048 | 5.419% | 1,295,000 | 1,703,752 | |
LYB International Finance III LLC | ||||
05/01/2050 | 4.200% | 2,270,000 | 2,443,132 | |
Total | 7,962,975 | |||
Consumer Cyclical Services 0.2% | ||||
Amazon.com, Inc. | ||||
06/03/2050 | 2.500% | 3,650,000 | 3,715,041 | |
Diversified Manufacturing 0.6% | ||||
3M Co. | ||||
08/26/2049 | 3.250% | 1,600,000 | 1,762,637 | |
Carrier Global Corp.(a) | ||||
04/05/2040 | 3.377% | 2,270,000 | 2,209,926 | |
04/05/2050 | 3.577% | 4,490,000 | 4,383,744 | |
Honeywell International, Inc. | ||||
06/01/2050 | 2.800% | 1,555,000 | 1,668,137 | |
Total | 10,024,444 | |||
Electric 9.4% | ||||
AEP Texas, Inc. | ||||
01/15/2050 | 3.450% | 10,205,000 | 11,002,439 |
6 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Berkshire Hathaway Energy Co.(a) | ||||
10/15/2050 | 4.250% | 940,000 | 1,180,887 | |
CenterPoint Energy, Inc. | ||||
09/01/2049 | 3.700% | 3,485,000 | 3,776,207 | |
CMS Energy Corp. | ||||
02/15/2027 | 2.950% | 6,374,000 | 6,648,131 | |
03/31/2043 | 4.700% | 1,932,000 | 2,376,531 | |
03/01/2044 | 4.875% | 4,615,000 | 6,013,163 | |
Consolidated Edison Co. of New York, Inc. | ||||
06/15/2046 | 3.850% | 4,315,000 | 5,002,224 | |
04/01/2050 | 3.950% | 1,095,000 | 1,323,525 | |
Dominion Energy, Inc. | ||||
03/15/2049 | 4.600% | 3,325,000 | 4,212,054 | |
DTE Energy Co. | ||||
10/01/2026 | 2.850% | 13,207,000 | 14,025,803 | |
06/15/2029 | 3.400% | 7,155,000 | 7,731,297 | |
Duke Energy Corp. | ||||
09/01/2046 | 3.750% | 18,787,000 | 21,258,993 | |
Duke Energy Indiana LLC | ||||
10/01/2049 | 3.250% | 464,000 | 516,627 | |
Emera U.S. Finance LP | ||||
06/15/2046 | 4.750% | 6,805,000 | 8,091,537 | |
Eversource Energy | ||||
01/15/2028 | 3.300% | 3,225,000 | 3,542,837 | |
FirstEnergy Corp. | ||||
07/15/2047 | 4.850% | 1,250,000 | 1,589,216 | |
Georgia Power Co. | ||||
01/30/2050 | 3.700% | 3,095,000 | 3,474,349 | |
Indiana Michigan Power Co. | ||||
07/01/2047 | 3.750% | 4,614,000 | 5,293,067 | |
Oncor Electric Delivery Co. LLC | ||||
09/15/2049 | 3.100% | 1,740,000 | 1,923,510 | |
Oncor Electric Delivery Co. LLC(a) | ||||
05/15/2050 | 3.700% | 1,400,000 | 1,686,726 | |
Pacific Gas and Electric Co. | ||||
08/01/2050 | 3.500% | 1,450,000 | 1,401,677 | |
PacifiCorp | ||||
03/15/2051 | 3.300% | 6,615,000 | 7,275,986 | |
PacifiCorp. | ||||
02/15/2050 | 4.150% | 4,835,000 | 6,079,406 | |
Pennsylvania Electric Co.(a) | ||||
06/01/2029 | 3.600% | 1,630,000 | 1,820,343 | |
San Diego Gas & Electric Co. | ||||
04/15/2050 | 3.320% | 1,720,000 | 1,887,555 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Southern California Edison Co. | ||||
10/01/2043 | 4.650% | 2,090,000 | 2,559,177 | |
03/01/2048 | 4.125% | 2,200,000 | 2,556,472 | |
02/01/2050 | 3.650% | 775,000 | 855,472 | |
1st Refunding Mortgage | ||||
03/15/2043 | 3.900% | 1,252,000 | 1,388,116 | |
Southern Co. (The) | ||||
07/01/2036 | 4.250% | 2,344,000 | 2,664,444 | |
07/01/2046 | 4.400% | 10,040,000 | 11,984,311 | |
Xcel Energy, Inc. | ||||
06/01/2030 | 3.400% | 1,965,000 | 2,239,527 | |
09/15/2041 | 4.800% | 2,664,000 | 3,235,162 | |
12/01/2049 | 3.500% | 7,250,000 | 8,072,868 | |
Total | 164,689,639 | |||
Finance Companies 1.2% | ||||
GE Capital International Funding Co. Unlimited Co. | ||||
11/15/2035 | 4.418% | 21,180,000 | 21,448,947 | |
Food and Beverage 4.5% | ||||
Anheuser-Busch Companies LLC/InBev Worldwide, Inc. | ||||
02/01/2046 | 4.900% | 26,529,000 | 32,169,641 | |
Bacardi Ltd.(a) | ||||
05/15/2038 | 5.150% | 10,771,000 | 12,624,333 | |
Conagra Brands, Inc. | ||||
11/01/2038 | 5.300% | 4,065,000 | 5,313,098 | |
11/01/2048 | 5.400% | 1,230,000 | 1,698,086 | |
Kraft Heinz Foods Co. (The) | ||||
06/01/2046 | 4.375% | 10,251,000 | 10,057,686 | |
Mars, Inc.(a) | ||||
04/01/2059 | 4.200% | 4,300,000 | 5,511,185 | |
Molson Coors Brewing Co. | ||||
07/15/2046 | 4.200% | 1,122,000 | 1,089,675 | |
PepsiCo, Inc. | ||||
10/06/2046 | 3.450% | 1,410,000 | 1,635,102 | |
03/19/2060 | 3.875% | 5,085,000 | 6,429,257 | |
Tyson Foods, Inc. | ||||
06/02/2047 | 4.550% | 1,410,000 | 1,692,184 | |
Total | 78,220,247 | |||
Health Care 1.9% | ||||
Abbott Laboratories | ||||
11/30/2046 | 4.900% | 1,860,000 | 2,661,703 | |
Becton Dickinson and Co. | ||||
05/20/2050 | 3.794% | 5,100,000 | 5,664,595 | |
Cigna Corp. | ||||
03/15/2040 | 3.200% | 5,630,000 | 5,985,511 | |
12/15/2048 | 4.900% | 1,180,000 | 1,555,374 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 | 7 |
June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CVS Health Corp. | ||||
03/25/2048 | 5.050% | 10,261,000 | 13,413,174 | |
New York and Presbyterian Hospital (The) | ||||
08/01/2036 | 3.563% | 3,425,000 | 3,666,320 | |
Total | 32,946,677 | |||
Healthcare Insurance 1.4% | ||||
Aetna, Inc. | ||||
08/15/2047 | 3.875% | 1,765,000 | 1,985,826 | |
Anthem, Inc. | ||||
08/15/2044 | 4.650% | 2,795,000 | 3,538,992 | |
Centene Corp. | ||||
12/15/2029 | 4.625% | 2,197,000 | 2,318,058 | |
02/15/2030 | 3.375% | 1,264,000 | 1,275,326 | |
UnitedHealth Group, Inc. | ||||
08/15/2039 | 3.500% | 8,552,000 | 9,943,854 | |
05/15/2040 | 2.750% | 5,255,000 | 5,625,521 | |
Total | 24,687,577 | |||
Independent Energy 0.6% | ||||
Canadian Natural Resources Ltd. | ||||
02/15/2037 | 6.500% | 1,865,000 | 2,221,467 | |
ConocoPhillips Co. | ||||
11/15/2044 | 4.300% | 2,890,000 | 3,537,890 | |
Noble Energy, Inc. | ||||
11/15/2043 | 5.250% | 4,740,000 | 4,370,569 | |
Total | 10,129,926 | |||
Integrated Energy 0.6% | ||||
Cenovus Energy, Inc. | ||||
06/15/2047 | 5.400% | 3,110,000 | 2,675,597 | |
Shell International Finance BV | ||||
11/07/2049 | 3.125% | 5,280,000 | 5,533,925 | |
Total Capital International SA | ||||
06/29/2060 | 3.386% | 1,315,000 | 1,346,951 | |
Total | 9,556,473 | |||
Life Insurance 2.4% | ||||
American International Group, Inc. | ||||
07/16/2044 | 4.500% | 2,570,000 | 2,958,385 | |
Brighthouse Financial, Inc. | ||||
06/22/2047 | 4.700% | 552,000 | 501,630 | |
Guardian Life Insurance Co. of America (The)(a) | ||||
Subordinated | ||||
01/24/2077 | 4.850% | 4,523,000 | 5,752,617 | |
Massachusetts Mutual Life Insurance Co.(a) | ||||
Subordinated | ||||
10/15/2070 | 3.729% | 6,345,000 | 6,518,345 | |
04/01/2077 | 4.900% | 50,000 | 63,007 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
MetLife, Inc. | ||||
03/01/2045 | 4.050% | 1,100,000 | 1,296,455 | |
Northwestern Mutual Life Insurance Co. (The)(a) | ||||
09/30/2059 | 3.625% | 7,603,000 | 8,566,663 | |
Prudential Financial, Inc. | ||||
03/13/2051 | 3.700% | 2,725,000 | 2,990,540 | |
Teachers Insurance & Annuity Association of America(a) | ||||
Subordinated | ||||
05/15/2047 | 4.270% | 4,346,000 | 5,188,573 | |
05/15/2050 | 3.300% | 2,365,000 | 2,461,928 | |
Voya Financial, Inc. | ||||
06/15/2046 | 4.800% | 4,225,000 | 5,011,907 | |
Total | 41,310,050 | |||
Media and Entertainment 1.1% | ||||
Discovery Communications LLC | ||||
09/20/2037 | 5.000% | 1,600,000 | 1,883,263 | |
05/15/2049 | 5.300% | 5,782,000 | 6,934,090 | |
Fox Corp. | ||||
01/25/2039 | 5.476% | 1,340,000 | 1,790,898 | |
Walt Disney Co. (The) | ||||
09/15/2044 | 4.750% | 4,000,000 | 5,014,767 | |
05/13/2060 | 3.800% | 3,485,000 | 4,029,499 | |
Total | 19,652,517 | |||
Midstream 3.0% | ||||
Energy Transfer Operating LP | ||||
05/15/2050 | 5.000% | 4,590,000 | 4,351,251 | |
Enterprise Products Operating LLC | ||||
01/31/2060 | 3.950% | 4,360,000 | 4,538,356 | |
Kinder Morgan, Inc. | ||||
02/15/2046 | 5.050% | 11,960,000 | 13,720,847 | |
MPLX LP | ||||
04/15/2048 | 4.700% | 7,745,000 | 7,888,727 | |
Plains All American Pipeline LP/Finance Corp. | ||||
06/15/2044 | 4.700% | 11,620,000 | 10,446,876 | |
Western Gas Partners LP | ||||
08/15/2048 | 5.500% | 4,865,000 | 3,967,016 | |
Williams Companies, Inc. (The) | ||||
09/15/2045 | 5.100% | 7,525,000 | 8,224,888 | |
Total | 53,137,961 | |||
Natural Gas 1.3% | ||||
NiSource, Inc. | ||||
05/01/2030 | 3.600% | 2,255,000 | 2,583,667 | |
02/15/2043 | 5.250% | 1,575,000 | 2,039,796 | |
02/15/2044 | 4.800% | 3,351,000 | 4,109,049 | |
05/15/2047 | 4.375% | 8,234,000 | 10,035,008 |
8 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Sempra Energy | ||||
02/01/2048 | 4.000% | 3,650,000 | 4,139,526 | |
Total | 22,907,046 | |||
Oil Field Services 0.1% | ||||
Halliburton Co. | ||||
11/15/2045 | 5.000% | 1,945,000 | 2,006,737 | |
Pharmaceuticals 3.0% | ||||
AbbVie, Inc.(a) | ||||
06/15/2044 | 4.850% | 3,290,000 | 4,090,168 | |
11/21/2049 | 4.250% | 10,915,000 | 13,211,873 | |
Amgen, Inc. | ||||
02/21/2050 | 3.375% | 9,845,000 | 10,884,179 | |
Bristol-Myers Squibb Co.(a) | ||||
02/20/2048 | 4.550% | 1,082,000 | 1,459,245 | |
10/26/2049 | 4.250% | 4,382,000 | 5,776,932 | |
Johnson & Johnson | ||||
12/05/2033 | 4.375% | 10,574,000 | 13,912,464 | |
Pfizer, Inc. | ||||
05/28/2050 | 2.700% | 3,800,000 | 3,922,862 | |
Total | 53,257,723 | |||
Property & Casualty 0.2% | ||||
Liberty Mutual Group, Inc.(a) | ||||
10/15/2050 | 3.951% | 3,880,000 | 4,096,600 | |
Railroads 1.1% | ||||
CSX Corp. | ||||
11/01/2066 | 4.250% | 6,013,000 | 7,269,739 | |
Norfolk Southern Corp. | ||||
08/15/2052 | 4.050% | 3,670,000 | 4,366,582 | |
Union Pacific Corp. | ||||
08/15/2059 | 3.950% | 5,130,000 | 6,031,859 | |
03/20/2060 | 3.839% | 940,000 | 1,097,196 | |
02/05/2070 | 3.750% | 730,000 | 830,124 | |
Total | 19,595,500 | |||
Restaurants 0.4% | ||||
McDonald’s Corp. | ||||
09/01/2049 | 3.625% | 6,260,000 | 6,936,694 | |
Retailers 1.4% | ||||
Home Depot Inc (The) | ||||
04/15/2050 | 3.350% | 4,700,000 | 5,413,068 | |
Lowe’s Companies, Inc. | ||||
05/03/2047 | 4.050% | 6,050,000 | 7,109,188 | |
Target Corp. | ||||
04/15/2046 | 3.625% | 4,000,000 | 4,852,190 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Walmart, Inc. | ||||
12/15/2047 | 3.625% | 4,270,000 | 5,235,577 | |
09/24/2049 | 2.950% | 1,810,000 | 2,037,859 | |
Total | 24,647,882 | |||
Supermarkets 0.3% | ||||
Kroger Co. (The) | ||||
04/15/2042 | 5.000% | 1,064,000 | 1,330,293 | |
02/01/2047 | 4.450% | 1,105,000 | 1,352,161 | |
01/15/2048 | 4.650% | 2,230,000 | 2,781,176 | |
Total | 5,463,630 | |||
Technology 4.4% | ||||
Apple, Inc. | ||||
02/09/2045 | 3.450% | 7,245,000 | 8,431,211 | |
09/11/2049 | 2.950% | 1,180,000 | 1,289,985 | |
05/11/2050 | 2.650% | 1,055,000 | 1,106,900 | |
Broadcom, Inc.(a) | ||||
11/15/2030 | 4.150% | 10,640,000 | 11,571,088 | |
Corning, Inc. | ||||
11/15/2079 | 5.450% | 1,130,000 | 1,349,825 | |
Intel Corp. | ||||
05/11/2047 | 4.100% | 3,000,000 | 3,778,879 | |
02/15/2060 | 3.100% | 3,155,000 | 3,491,670 | |
International Business Machines Corp. | ||||
05/15/2050 | 2.950% | 9,240,000 | 9,480,763 | |
Microsoft Corp. | ||||
08/08/2046 | 3.700% | 11,545,000 | 14,435,227 | |
NXP BV/Funding LLC/USA, Inc.(a) | ||||
05/01/2030 | 3.400% | 1,255,000 | 1,350,718 | |
Oracle Corp. | ||||
07/08/2034 | 4.300% | 3,110,000 | 3,867,618 | |
07/15/2046 | 4.000% | 2,500,000 | 2,941,760 | |
04/01/2060 | 3.850% | 7,915,000 | 9,261,345 | |
QUALCOMM, Inc. | ||||
05/20/2047 | 4.300% | 1,475,000 | 1,848,357 | |
05/20/2050 | 3.250% | 2,460,000 | 2,702,567 | |
Total | 76,907,913 | |||
Tobacco 0.2% | ||||
BAT Capital Corp. | ||||
08/15/2047 | 4.540% | 3,270,000 | 3,544,473 | |
Transportation Services 1.0% | ||||
ERAC U.S.A. Finance LLC(a) | ||||
11/01/2046 | 4.200% | 4,196,000 | 4,055,867 | |
FedEx Corp. | ||||
11/15/2045 | 4.750% | 3,390,000 | 3,773,317 | |
04/01/2046 | 4.550% | 4,135,000 | 4,458,414 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 | 9 |
June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
United Parcel Service, Inc. | ||||
11/15/2047 | 3.750% | 1,530,000 | 1,771,987 | |
09/01/2049 | 3.400% | 2,790,000 | 3,075,853 | |
Total | 17,135,438 | |||
Wireless 1.5% | ||||
American Tower Corp. | ||||
08/15/2029 | 3.800% | 5,695,000 | 6,453,377 | |
Rogers Communications, Inc. | ||||
11/15/2049 | 3.700% | 5,755,000 | 6,382,779 | |
T-Mobile U.S.A., Inc.(a) | ||||
04/15/2030 | 3.875% | 2,395,000 | 2,665,749 | |
04/15/2040 | 4.375% | 5,620,000 | 6,506,376 | |
Vodafone Group PLC | ||||
09/17/2050 | 4.250% | 3,850,000 | 4,486,465 | |
Total | 26,494,746 | |||
Wirelines 3.1% | ||||
AT&T, Inc. | ||||
12/15/2042 | 4.300% | 15,230,000 | 17,055,697 | |
12/15/2043 | 5.350% | 545,000 | 687,806 | |
06/15/2045 | 4.350% | 14,245,000 | 15,943,491 | |
Telefonica Emisiones SAU | ||||
03/06/2048 | 4.895% | 3,970,000 | 4,801,566 | |
Verizon Communications, Inc. | ||||
08/21/2046 | 4.862% | 10,905,000 | 14,784,890 | |
Total | 53,273,450 | |||
Total Corporate Bonds & Notes (Cost $852,786,523) | 946,596,836 | |||
Foreign Government Obligations(c) 0.7% | ||||
Mexico 0.7% | ||||
Mexico Government International Bond | ||||
01/15/2047 | 4.350% | 11,300,000 | 11,316,455 | |
Total Foreign Government Obligations (Cost $10,731,969) | 11,316,455 | |||
U.S. Treasury Obligations 43.2% | ||||
U.S. Treasury | ||||
10/31/2024 | 2.250% | 2,376,000 | 2,580,373 | |
08/15/2027 | 2.250% | 8,800,000 | 9,882,125 | |
05/15/2028 | 2.875% | 5,000,000 | 5,900,781 | |
05/15/2029 | 2.375% | 3,500,000 | 4,039,219 |
U.S. Treasury Obligations (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
02/15/2031 | 5.375% | 4,000,000 | 5,942,500 | |
02/15/2036 | 4.500% | 30,000,000 | 45,923,437 | |
05/15/2038 | 4.500% | 30,000,000 | 47,325,000 | |
02/15/2039 | 3.500% | 49,000,000 | 69,319,687 | |
11/15/2039 | 4.375% | 6,300,000 | 9,905,766 | |
08/15/2040 | 3.875% | 10,000,000 | 14,898,438 | |
02/15/2041 | 4.750% | 8,000,000 | 13,271,250 | |
05/15/2041 | 4.375% | 25,383,000 | 40,362,936 | |
05/15/2043 | 2.875% | 17,600,000 | 22,984,500 | |
08/15/2044 | 3.125% | 16,500,000 | 22,501,875 | |
11/15/2044 | 3.000% | 10,000,000 | 13,389,063 | |
11/15/2045 | 3.000% | 12,000,000 | 16,173,750 | |
11/15/2046 | 2.875% | 8,000,000 | 10,637,500 | |
11/15/2047 | 2.750% | 26,500,000 | 34,665,312 | |
02/15/2048 | 3.000% | 101,200,000 | 138,533,312 | |
08/15/2049 | 2.250% | 2,235,000 | 2,687,588 | |
02/15/2050 | 2.000% | 2,900,000 | 3,321,406 | |
U.S. Treasury(d) | ||||
05/15/2047 | 3.000% | 122,157,900 | 166,497,400 | |
U.S. Treasury(e) | ||||
STRIPS | ||||
02/15/2040 | 0.000% | 38,410,800 | 30,545,589 | |
11/15/2041 | 0.000% | 13,661,000 | 10,304,450 | |
05/15/2043 | 0.000% | 19,069,000 | 13,793,740 | |
Total U.S. Treasury Obligations (Cost $567,722,543) | 755,386,997 |
Money Market Funds 0.3% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(f),(g) | 4,547,545 | 4,547,545 |
Total Money Market Funds (Cost $4,545,271) | 4,547,545 | |
Total Investments in Securities (Cost: $1,454,239,970) | 1,737,506,108 | |
Other Assets & Liabilities, Net | 11,092,621 | |
Net Assets | 1,748,598,729 |
10 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Long Bond | 227 | 09/2020 | USD | 40,533,688 | 96,018 | — |
U.S. Ultra Bond 10-Year Note | 115 | 09/2020 | USD | 18,110,703 | 138,054 | — |
Total | 234,072 | — |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 10-Year Note | (349) | 09/2020 | USD | (48,570,984) | — | (123,803) |
U.S. Ultra Treasury Bond | (69) | 09/2020 | USD | (15,052,781) | — | (291,314) |
Total | — | (415,117) |
(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, 2020, the total value of these securities amounted to $116,348,775, which represents 6.65% of total net assets. |
(b) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of June 30, 2020. |
(c) | Principal and interest may not be guaranteed by a governmental entity. |
(d) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(e) | Zero coupon bond. |
(f) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
(g) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | ||||||||
61,434,341 | 248,752,917 | (305,641,987) | 2,274 | 4,547,545 | 9,992 | 372,227 | 4,547,545 |
STRIPS | Separate Trading of Registered Interest and Principal Securities |
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.). |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 | 11 |
June 30, 2020 (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 | ||||
Asset-Backed Securities — Agency | — | 19,658,275 | — | 19,658,275 |
Corporate Bonds & Notes | — | 946,596,836 | — | 946,596,836 |
Foreign Government Obligations | — | 11,316,455 | — | 11,316,455 |
U.S. Treasury Obligations | 700,743,218 | 54,643,779 | — | 755,386,997 |
Money Market Funds | 4,547,545 | — | — | 4,547,545 |
Total Investments in Securities | 705,290,763 | 1,032,215,345 | — | 1,737,506,108 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 234,072 | — | — | 234,072 |
Liability | ||||
Futures Contracts | (415,117) | — | — | (415,117) |
Total | 705,109,718 | 1,032,215,345 | — | 1,737,325,063 |
12 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,449,694,699) | $1,732,958,563 |
Affiliated issuers (cost $4,545,271) | 4,547,545 |
Receivable for: | |
Capital shares sold | 81,227 |
Dividends | 5,899 |
Interest | 12,802,766 |
Foreign tax reclaims | 35,708 |
Variation margin for futures contracts | 123,149 |
Prepaid expenses | 1 |
Trustees’ deferred compensation plan | 94,764 |
Total assets | 1,750,649,622 |
Liabilities | |
Payable for: | |
Capital shares purchased | 1,769,481 |
Variation margin for futures contracts | 133,477 |
Management services fees | 23,459 |
Distribution and/or service fees | 161 |
Service fees | 648 |
Compensation of board members | 4,073 |
Compensation of chief compliance officer | 150 |
Other expenses | 24,680 |
Trustees’ deferred compensation plan | 94,764 |
Total liabilities | 2,050,893 |
Net assets applicable to outstanding capital stock | $1,748,598,729 |
Represented by | |
Paid in capital | 1,334,365,216 |
Total distributable earnings (loss) | 414,233,513 |
Total - representing net assets applicable to outstanding capital stock | $1,748,598,729 |
Class 1 | |
Net assets | $1,725,091,483 |
Shares outstanding | 137,780,438 |
Net asset value per share | $12.52 |
Class 2 | |
Net assets | $23,507,246 |
Shares outstanding | 1,885,133 |
Net asset value per share | $12.47 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 | 13 |
Six Months Ended June 30, 2020 (Unaudited)
Net investment income | |
Income: | |
Dividends — affiliated issuers | $372,227 |
Interest | 25,006,822 |
Interfund lending | 118 |
Total income | 25,379,167 |
Expenses: | |
Management services fees | 4,188,400 |
Distribution and/or service fees | |
Class 2 | 24,564 |
Service fees | 5,507 |
Compensation of board members | 17,589 |
Custodian fees | 6,119 |
Printing and postage fees | 5,172 |
Audit fees | 19,642 |
Legal fees | 20,976 |
Compensation of chief compliance officer | 294 |
Other | 19,990 |
Total expenses | 4,308,253 |
Net investment income | 21,070,914 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 29,439,216 |
Investments — affiliated issuers | 9,992 |
Futures contracts | 17,380,048 |
Net realized gain | 46,829,256 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 152,860,227 |
Investments — affiliated issuers | 2,274 |
Futures contracts | 2,847,557 |
Net change in unrealized appreciation (depreciation) | 155,710,058 |
Net realized and unrealized gain | 202,539,314 |
Net increase in net assets resulting from operations | $223,610,228 |
14 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||
Net investment income | $21,070,914 | $45,787,560 |
Net realized gain | 46,829,256 | 42,806,326 |
Net change in unrealized appreciation (depreciation) | 155,710,058 | 188,344,624 |
Net increase in net assets resulting from operations | 223,610,228 | 276,938,510 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | — | (43,558,568) |
Class 2 | — | (352,059) |
Total distributions to shareholders | — | (43,910,627) |
Decrease in net assets from capital stock activity | (98,355,178) | (34,041,963) |
Total increase in net assets | 125,255,050 | 198,985,920 |
Net assets at beginning of period | 1,623,343,679 | 1,424,357,759 |
Net assets at end of period | $1,748,598,729 | $1,623,343,679 |
Six Months Ended | Year Ended | |||
June 30, 2020 (Unaudited) | December 31, 2019 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 1,536,543 | 17,689,948 | 2,085,164 | 21,680,904 |
Distributions reinvested | — | — | 4,180,285 | 43,558,568 |
Redemptions | (10,057,955) | (120,891,643) | (9,611,724) | (101,225,037) |
Net decrease | (8,521,412) | (103,201,695) | (3,346,275) | (35,985,565) |
Class 2 | ||||
Subscriptions | 526,928 | 6,254,902 | 369,821 | 3,918,512 |
Distributions reinvested | — | — | 33,819 | 352,059 |
Redemptions | (119,920) | (1,408,385) | (228,212) | (2,326,969) |
Net increase | 407,008 | 4,846,517 | 175,428 | 1,943,602 |
Total net decrease | (8,114,404) | (98,355,178) | (3,170,847) | (34,041,963) |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 | 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 6/30/2020 (Unaudited) | $10.99 | 0.15 | 1.38 | 1.53 | — | — | — |
Year Ended 12/31/2019 | $9.44 | 0.31 | 1.54 | 1.85 | (0.30) | — | (0.30) |
Year Ended 12/31/2018 | $10.63 | 0.31 | (0.85) | (0.54) | (0.35) | (0.30) | (0.65) |
Year Ended 12/31/2017 | $9.92 | 0.34 | 0.77 | 1.11 | (0.36) | (0.04) | (0.40) |
Year Ended 12/31/2016 | $9.81 | 0.30 | 0.01 | 0.31 | (0.20) | — | (0.20) |
Year Ended 12/31/2015 | $10.02 | 0.21 | (0.22) | (0.01) | (0.20) | — | (0.20) |
Class 2 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $10.95 | 0.13 | 1.39 | 1.52 | — | — | — |
Year Ended 12/31/2019 | $9.41 | 0.28 | 1.53 | 1.81 | (0.27) | — | (0.27) |
Year Ended 12/31/2018 | $10.60 | 0.28 | (0.85) | (0.57) | (0.32) | (0.30) | (0.62) |
Year Ended 12/31/2017 | $9.90 | 0.31 | 0.76 | 1.07 | (0.33) | (0.04) | (0.37) |
Year Ended 12/31/2016 | $9.79 | 0.28 | 0.00(d) | 0.28 | (0.17) | — | (0.17) |
Year Ended 12/31/2015 | $9.99 | 0.18 | (0.20) | (0.02) | (0.18) | — | (0.18) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Annualized. |
(d) | Rounds to zero. |
16 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 |
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 6/30/2020 (Unaudited) | $12.52 | 13.92% | 0.50%(c) | 0.50%(c) | 2.47%(c) | 29% | $1,725,091 |
Year Ended 12/31/2019 | $10.99 | 19.74% | 0.50% | 0.50% | 2.94% | 49% | $1,607,152 |
Year Ended 12/31/2018 | $9.44 | (5.11%) | 0.51% | 0.51% | 3.13% | 80% | $1,412,097 |
Year Ended 12/31/2017 | $10.63 | 11.35% | 0.54% | 0.54% | 3.32% | 161% | $1,434,026 |
Year Ended 12/31/2016 | $9.92 | 3.02% | 0.57% | 0.56% | 2.96% | 394% | $1,464,843 |
Year Ended 12/31/2015 | $9.81 | (0.07%) | 0.57% | 0.56% | 2.09% | 414% | $1,483,185 |
Class 2 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $12.47 | 13.88% | 0.75%(c) | 0.75%(c) | 2.21%(c) | 29% | $23,507 |
Year Ended 12/31/2019 | $10.95 | 19.42% | 0.75% | 0.75% | 2.68% | 49% | $16,192 |
Year Ended 12/31/2018 | $9.41 | (5.37%) | 0.76% | 0.76% | 2.87% | 80% | $12,261 |
Year Ended 12/31/2017 | $10.60 | 10.99% | 0.79% | 0.79% | 3.07% | 161% | $16,156 |
Year Ended 12/31/2016 | $9.90 | 2.78% | 0.82% | 0.81% | 2.73% | 394% | $17,042 |
Year Ended 12/31/2015 | $9.79 | (0.22%) | 0.82% | 0.81% | 1.86% | 414% | $12,641 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 | 17 |
June 30, 2020 (Unaudited)
18 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 | 19 |
June 30, 2020 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 234,072* |
20 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 415,117* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Interest rate risk | 17,380,048 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Interest rate risk | 2,847,557 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 99,941,414 |
Futures contracts — short | 62,002,742 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2020. |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 | 21 |
June 30, 2020 (Unaudited)
22 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Fee rate(s) contractual through April 30, 2021 | |
Class 1 | 0.55% |
Class 2 | 0.80 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 | 23 |
June 30, 2020 (Unaudited)
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
1,454,240,000 | 287,936,000 | (4,851,000) | 283,085,000 |
24 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 1,000,000 | 0.85 | 5 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 | 25 |
June 30, 2020 (Unaudited)
26 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 | 27 |
• | 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. |
28 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 |
• | 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 the Investment Manager, as well as performance relative to benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by the Investment Manager; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund through April 30, 2021 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; |
• | The terms and conditions of the Management Agreement; |
• | The current and proposed terms and conditions 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 distribution, transfer agency and shareholder services to the Fund; |
• | Descriptions of various functions 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 reputation, regulatory history and 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, including an assessment of the Investment Manager’s compliance system by the Fund’s Chief Compliance Officer; and |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund. |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 | 29 |
30 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 | 31 |
Trustee | Votes For | Votes Withheld | Abstentions |
Janet L. Carrig | 26,231,108,809 | 1,129,334,152 | 0 |
J. Kevin Connaughton | 26,249,644,638 | 1,110,798,323 | 0 |
Olive Darragh | 26,323,990,658 | 1,036,452,304 | 0 |
Douglas A. Hacker | 26,255,762,920 | 1,104,680,042 | 0 |
Nancy T. Lukitsh | 26,332,381,722 | 1,028,061,240 | 0 |
David M. Moffett | 26,252,719,395 | 1,107,723,567 | 0 |
John J. Neuhauser | 26,222,694,456 | 1,137,748,505 | 0 |
Christopher O. Petersen | 26,265,703,212 | 1,094,739,749 | 0 |
Patrick J. Simpson | 26,222,908,024 | 1,137,534,938 | 0 |
Natalie A. Trunow | 26,340,164,732 | 1,020,278,229 | 0 |
32 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2020 |
June 30, 2020
3 | |
5 | |
6 | |
10 | |
11 | |
12 | |
14 | |
16 | |
24 | |
24 | |
28 |
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 01/01/89 | 20.26 | 26.31 | 17.36 | 16.65 | |
Class 2 | 06/01/00 | 20.06 | 25.97 | 17.06 | 16.34 | |
Russell 2000 Growth Index | -3.06 | 3.48 | 6.86 | 12.92 |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2020 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2020) | |
Common Stocks | 96.7 |
Money Market Funds | 3.3 |
Total | 100.0 |
Equity sector breakdown (%) (at June 30, 2020) | |
Communication Services | 1.8 |
Consumer Discretionary | 16.1 |
Energy | 0.6 |
Financials | 3.0 |
Health Care | 34.6 |
Industrials | 17.5 |
Information Technology | 21.5 |
Materials | 2.1 |
Real Estate | 2.8 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2020 |
(Unaudited)
January 1, 2020 — June 30, 2020 | |||||||
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 | 1,202.60 | 1,020.44 | 4.87 | 4.47 | 0.89 |
Class 2 | 1,000.00 | 1,000.00 | 1,200.60 | 1,019.19 | 6.24 | 5.72 | 1.14 |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2020 | 5 |
June 30, 2020 (Unaudited)
Common Stocks 96.3% | ||
Issuer | Shares | Value ($) |
Communication Services 1.7% | ||
Interactive Media & Services 1.7% | ||
EverQuote, Inc., Class A(a) | 119,767 | 6,965,649 |
Total Communication Services | 6,965,649 | |
Consumer Discretionary 15.5% | ||
Diversified Consumer Services 0.7% | ||
Vivint Smart Home, Inc.(a) | 156,620 | 2,714,224 |
Hotels, Restaurants & Leisure 9.7% | ||
Churchill Downs, Inc. | 17,232 | 2,294,441 |
Eldorado Resorts, Inc.(a) | 276,472 | 11,075,468 |
GAN Ltd.(a) | 139,650 | 3,554,093 |
Papa John’s International, Inc. | 83,140 | 6,602,147 |
Planet Fitness, Inc., Class A(a) | 161,335 | 9,772,061 |
Texas Roadhouse, Inc. | 62,783 | 3,300,502 |
Wingstop, Inc. | 22,272 | 3,095,140 |
Total | 39,693,852 | |
Internet & Direct Marketing Retail 2.5% | ||
Etsy, Inc.(a) | 94,525 | 10,041,391 |
Specialty Retail 2.6% | ||
Floor & Decor Holdings, Inc.(a) | 108,084 | 6,231,043 |
Lithia Motors, Inc., Class A | 29,304 | 4,434,574 |
Total | 10,665,617 | |
Total Consumer Discretionary | 63,115,084 | |
Energy 0.6% | ||
Energy Equipment & Services 0.2% | ||
Frank’s International NV(a) | 440,662 | 982,676 |
Oil, Gas & Consumable Fuels 0.4% | ||
Delek U.S. Holdings, Inc. | 88,808 | 1,546,148 |
Total Energy | 2,528,824 | |
Financials 2.9% | ||
Consumer Finance 1.5% | ||
LendingTree, Inc.(a) | 21,070 | 6,100,397 |
Insurance 0.9% | ||
Goosehead Insurance, Inc., Class A(a) | 23,578 | 1,772,123 |
Selectquote, Inc.(a) | 68,061 | 1,723,985 |
Total | 3,496,108 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Thrifts & Mortgage Finance 0.5% | ||
Essent Group Ltd. | 54,728 | 1,984,984 |
Total Financials | 11,581,489 | |
Health Care 33.4% | ||
Biotechnology 7.1% | ||
Arcutis Biotherapeutics, Inc.(a) | 42,748 | 1,292,700 |
Arrowhead Pharmaceuticals, Inc.(a) | 35,174 | 1,519,165 |
bluebird bio, Inc.(a) | 14,220 | 867,989 |
CRISPR Therapeutics AG(a) | 28,423 | 2,088,806 |
Exact Sciences Corp.(a) | 37,847 | 3,290,418 |
Immunomedics, Inc.(a) | 97,345 | 3,449,907 |
Insmed, Inc.(a) | 46,767 | 1,287,963 |
Mirati Therapeutics, Inc.(a) | 12,367 | 1,411,940 |
Natera, Inc.(a) | 142,682 | 7,114,125 |
SpringWorks Therapeutics, Inc.(a) | 37,977 | 1,595,034 |
Turning Point Therapeutics, Inc.(a) | 22,132 | 1,429,506 |
Twist Bioscience Corp.(a) | 53,574 | 2,426,902 |
uniQure NV(a) | 27,634 | 1,245,188 |
Total | 29,019,643 | |
Health Care Equipment & Supplies 11.9% | ||
BioLife Solutions, Inc.(a) | 199,335 | 3,259,127 |
Cantel Medical Corp. | 115,091 | 5,090,475 |
GenMark Diagnostics, Inc.(a) | 159,590 | 2,347,569 |
Glaukos Corp.(a) | 68,663 | 2,638,032 |
Heska Corp.(a) | 85,127 | 7,931,283 |
Inari Medical, Inc.(a) | 1,278 | 61,906 |
Neogen Corp.(a) | 112,323 | 8,716,265 |
Quidel Corp.(a) | 22,575 | 5,050,931 |
Quotient Ltd.(a) | 436,205 | 3,227,917 |
Silk Road Medical, Inc.(a) | 68,571 | 2,872,439 |
Tandem Diabetes Care, Inc.(a) | 70,519 | 6,975,740 |
Total | 48,171,684 |
6 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Health Care Providers & Services 5.8% | ||
Addus HomeCare Corp.(a) | 48,842 | 4,520,816 |
Amedisys, Inc.(a) | 24,538 | 4,871,774 |
Chemed Corp. | 18,773 | 8,467,937 |
Guardant Health, Inc.(a) | 3,531 | 286,470 |
HealthEquity, Inc.(a) | 90,709 | 5,321,897 |
Total | 23,468,894 | |
Health Care Technology 1.2% | ||
Teladoc Health, Inc.(a) | 24,814 | 4,735,504 |
Life Sciences Tools & Services 7.4% | ||
10X Genomics, Inc., Class A(a) | 54,027 | 4,825,151 |
Adaptive Biotechnologies Corp.(a) | 69,450 | 3,359,991 |
Bio-Techne Corp. | 40,909 | 10,802,840 |
Codexis, Inc.(a) | 132,240 | 1,507,536 |
NeoGenomics, Inc.(a) | 174,027 | 5,391,356 |
Quanterix Corp.(a) | 156,556 | 4,288,069 |
Total | 30,174,943 | |
Total Health Care | 135,570,668 | |
Industrials 16.8% | ||
Aerospace & Defense 1.7% | ||
Aerojet Rocketdyne Holdings, Inc.(a) | 73,066 | 2,896,336 |
Axon Enterprise, Inc.(a) | 42,298 | 4,150,703 |
Total | 7,047,039 | |
Building Products 2.4% | ||
Simpson Manufacturing Co., Inc. | 68,860 | 5,809,029 |
Trex Company, Inc.(a) | 30,554 | 3,974,159 |
Total | 9,783,188 | |
Commercial Services & Supplies 3.3% | ||
Casella Waste Systems, Inc., Class A(a) | 57,839 | 3,014,569 |
Healthcare Services Group, Inc. | 241,316 | 5,902,589 |
McGrath Rentcorp | 80,622 | 4,354,394 |
Total | 13,271,552 | |
Electrical Equipment 1.9% | ||
Vertiv Holdings Co.(a) | 571,192 | 7,745,364 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Machinery 3.1% | ||
Kornit Digital Ltd.(a) | 133,379 | 7,119,771 |
Proto Labs, Inc.(a) | 50,844 | 5,718,425 |
Total | 12,838,196 | |
Road & Rail 2.1% | ||
Saia, Inc.(a) | 76,450 | 8,499,711 |
Trading Companies & Distributors 2.3% | ||
SiteOne Landscape Supply, Inc.(a) | 80,930 | 9,223,592 |
Total Industrials | 68,408,642 | |
Information Technology 20.7% | ||
IT Services 1.4% | ||
Euronet Worldwide, Inc.(a) | 36,005 | 3,449,999 |
Shift4 Payments, Inc., Class A(a) | 60,071 | 2,132,521 |
Total | 5,582,520 | |
Semiconductors & Semiconductor Equipment 4.4% | ||
Advanced Energy Industries, Inc.(a) | 100,688 | 6,825,639 |
Cabot Microelectronics Corp. | 36,336 | 5,070,325 |
Ichor Holdings Ltd.(a) | 108,346 | 2,879,837 |
MKS Instruments, Inc. | 28,637 | 3,242,854 |
Total | 18,018,655 | |
Software 14.9% | ||
Alarm.com Holdings, Inc.(a) | 65,644 | 4,254,387 |
Alteryx, Inc., Class A(a) | 40,989 | 6,733,673 |
Avalara, Inc.(a) | 102,620 | 13,657,696 |
Bill.com Holdings, Inc.(a) | 31,956 | 2,882,751 |
Coupa Software, Inc.(a) | 11,455 | 3,173,493 |
Five9, Inc.(a) | 27,116 | 3,000,928 |
HubSpot, Inc.(a) | 27,154 | 6,092,000 |
Medallia, Inc.(a) | 161,554 | 4,077,623 |
Mimecast Ltd.(a) | 41,846 | 1,743,304 |
Paylocity Holding Corp.(a) | 47,955 | 6,996,155 |
Trade Desk, Inc. (The), Class A(a) | 19,228 | 7,816,182 |
Total | 60,428,192 | |
Total Information Technology | 84,029,367 |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2020 | 7 |
June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Materials 2.0% | ||
Chemicals 1.3% | ||
Balchem Corp. | 33,982 | 3,223,533 |
Livent Corp.(a) | 342,701 | 2,111,038 |
Total | 5,334,571 | |
Metals & Mining 0.7% | ||
Worthington Industries, Inc. | 76,642 | 2,858,746 |
Total Materials | 8,193,317 | |
Real Estate 2.7% | ||
Equity Real Estate Investment Trusts (REITS) 2.7% | ||
Coresite Realty Corp. | 42,948 | 5,199,285 |
STORE Capital Corp. | 242,700 | 5,778,687 |
Total | 10,977,972 | |
Total Real Estate | 10,977,972 | |
Total Common Stocks (Cost $318,178,940) | 391,371,012 | |
Money Market Funds 3.3% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(b),(c) | 13,377,176 | 13,377,176 |
Total Money Market Funds (Cost $13,377,176) | 13,377,176 | |
Total Investments in Securities (Cost: $331,556,116) | 404,748,188 | |
Other Assets & Liabilities, Net | 1,805,863 | |
Net Assets | 406,554,051 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | ||||||||
6,713,926 | 99,864,743 | (93,201,645) | 152 | 13,377,176 | 5,618 | 68,482 | 13,377,176 |
■ | 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 – Small Company Growth Fund | Semiannual Report 2020 |
June 30, 2020 (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 | 6,965,649 | — | — | 6,965,649 |
Consumer Discretionary | 63,115,084 | — | — | 63,115,084 |
Energy | 2,528,824 | — | — | 2,528,824 |
Financials | 11,581,489 | — | — | 11,581,489 |
Health Care | 135,570,668 | — | — | 135,570,668 |
Industrials | 68,408,642 | — | — | 68,408,642 |
Information Technology | 84,029,367 | — | — | 84,029,367 |
Materials | 8,193,317 | — | — | 8,193,317 |
Real Estate | 10,977,972 | — | — | 10,977,972 |
Total Common Stocks | 391,371,012 | — | — | 391,371,012 |
Money Market Funds | 13,377,176 | — | — | 13,377,176 |
Total Investments in Securities | 404,748,188 | — | — | 404,748,188 |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2020 | 9 |
June 30, 2020 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $318,178,940) | $391,371,012 |
Affiliated issuers (cost $13,377,176) | 13,377,176 |
Receivable for: | |
Investments sold | 1,884,560 |
Dividends | 156,526 |
Expense reimbursement due from Investment Manager | 195 |
Trustees’ deferred compensation plan | 61,630 |
Total assets | 406,851,099 |
Liabilities | |
Payable for: | |
Capital shares purchased | 179,118 |
Management services fees | 9,449 |
Distribution and/or service fees | 6 |
Service fees | 4,230 |
Compensation of board members | 27,960 |
Compensation of chief compliance officer | 13 |
Other expenses | 14,642 |
Trustees’ deferred compensation plan | 61,630 |
Total liabilities | 297,048 |
Net assets applicable to outstanding capital stock | $406,554,051 |
Represented by | |
Paid in capital | 316,409,895 |
Total distributable earnings (loss) | 90,144,156 |
Total - representing net assets applicable to outstanding capital stock | $406,554,051 |
Class 1 | |
Net assets | $405,715,187 |
Shares outstanding | 18,933,035 |
Net asset value per share | $21.43 |
Class 2 | |
Net assets | $838,864 |
Shares outstanding | 41,581 |
Net asset value per share | $20.17 |
10 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2020 |
Six Months Ended June 30, 2020 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $596,173 |
Dividends — affiliated issuers | 68,482 |
Interfund lending | 30 |
Total income | 664,685 |
Expenses: | |
Management services fees | 1,459,791 |
Distribution and/or service fees | |
Class 2 | 760 |
Service fees | 21,895 |
Compensation of board members | 7,011 |
Custodian fees | 5,322 |
Printing and postage fees | 6,863 |
Audit fees | 15,715 |
Legal fees | 3,898 |
Compensation of chief compliance officer | 63 |
Other | 3,276 |
Total expenses | 1,524,594 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (31,318) |
Total net expenses | 1,493,276 |
Net investment loss | (828,591) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 11,121,460 |
Investments — affiliated issuers | 5,618 |
Foreign currency translations | (903) |
Net realized gain | 11,126,175 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 58,163,749 |
Investments — affiliated issuers | 152 |
Net change in unrealized appreciation (depreciation) | 58,163,901 |
Net realized and unrealized gain | 69,290,076 |
Net increase in net assets resulting from operations | $68,461,485 |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2020 | 11 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||
Net investment loss | $(828,591) | $(429,095) |
Net realized gain | 11,126,175 | 7,273,513 |
Net change in unrealized appreciation (depreciation) | 58,163,901 | 16,447,388 |
Net increase in net assets resulting from operations | 68,461,485 | 23,291,806 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | — | (6,000,386) |
Class 2 | — | (116,037) |
Total distributions to shareholders | — | (6,116,423) |
Increase (decrease) in net assets from capital stock activity | (47,944) | 295,855,272 |
Total increase in net assets | 68,413,541 | 313,030,655 |
Net assets at beginning of period | 338,140,510 | 25,109,855 |
Net assets at end of period | $406,554,051 | $338,140,510 |
Six Months Ended | Year Ended | |||
June 30, 2020 (Unaudited) | December 31, 2019 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 184,995 | 3,202,238 | 17,276,396 | 294,484,935 |
Distributions reinvested | — | — | 344,652 | 6,000,386 |
Redemptions | (194,063) | (3,369,571) | (252,661) | (4,629,598) |
Net increase (decrease) | (9,068) | (167,333) | 17,368,387 | 295,855,723 |
Class 2 | ||||
Subscriptions | 10,398 | 167,341 | 1,128 | 19,974 |
Distributions reinvested | — | — | 7,062 | 116,037 |
Redemptions | (2,893) | (47,952) | (7,597) | (136,462) |
Net increase (decrease) | 7,505 | 119,389 | 593 | (451) |
Total net increase (decrease) | (1,563) | (47,944) | 17,368,980 | 295,855,272 |
12 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2020 | 13 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain | Total from investment operations | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | ||||||
Six Months Ended 6/30/2020 (Unaudited) | $17.82 | (0.04) | 3.65 | 3.61 | — | — |
Year Ended 12/31/2019 | $15.64 | (0.06) | 6.33 | 6.27 | (4.09) | (4.09) |
Year Ended 12/31/2018 | $18.71 | (0.06) | 0.02 | (0.04) | (3.03) | (3.03) |
Year Ended 12/31/2017 | $15.31 | (0.06) | 4.43 | 4.37 | (0.97) | (0.97) |
Year Ended 12/31/2016 | $16.85 | (0.02) | 1.93 | 1.91 | (3.45) | (3.45) |
Year Ended 12/31/2015 | $17.04 | (0.08) | 0.82 | 0.74 | (0.93) | (0.93) |
Class 2 | ||||||
Six Months Ended 6/30/2020 (Unaudited) | $16.80 | (0.06) | 3.43 | 3.37 | — | — |
Year Ended 12/31/2019 | $14.91 | (0.11) | 6.04 | 5.93 | (4.04) | (4.04) |
Year Ended 12/31/2018 | $17.97 | (0.10) | 0.03 | (0.07) | (2.99) | (2.99) |
Year Ended 12/31/2017 | $14.75 | (0.10) | 4.25 | 4.15 | (0.93) | (0.93) |
Year Ended 12/31/2016 | $16.34 | (0.06) | 1.87 | 1.81 | (3.40) | (3.40) |
Year Ended 12/31/2015 | $16.59 | (0.12) | 0.80 | 0.68 | (0.93) | (0.93) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Annualized. |
14 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2020 |
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 6/30/2020 (Unaudited) | $21.43 | 20.26% | 0.91%(c) | 0.89%(c) | (0.49%)(c) | 52% | $405,715 |
Year Ended 12/31/2019 | $17.82 | 40.70% | 0.97% | 0.89% | (0.36%) | 100% | $337,568 |
Year Ended 12/31/2018 | $15.64 | (1.75%) | 1.24% | 0.90% | (0.31%) | 156% | $24,611 |
Year Ended 12/31/2017 | $18.71 | 29.25% | 1.25% | 0.93% | (0.38%) | 153% | $30,341 |
Year Ended 12/31/2016 | $15.31 | 12.74% | 1.29% | 0.94% | (0.13%) | 183% | $26,912 |
Year Ended 12/31/2015 | $16.85 | 3.83% | 1.17% | 0.96% | (0.47%) | 150% | $27,479 |
Class 2 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $20.17 | 20.06% | 1.16%(c) | 1.14%(c) | (0.74%)(c) | 52% | $839 |
Year Ended 12/31/2019 | $16.80 | 40.39% | 1.22% | 1.14% | (0.62%) | 100% | $572 |
Year Ended 12/31/2018 | $14.91 | (2.00%) | 1.49% | 1.15% | (0.55%) | 156% | $499 |
Year Ended 12/31/2017 | $17.97 | 28.84% | 1.50% | 1.18% | (0.63%) | 153% | $540 |
Year Ended 12/31/2016 | $14.75 | 12.53% | 1.54% | 1.19% | (0.38%) | 183% | $454 |
Year Ended 12/31/2015 | $16.34 | 3.56% | 1.42% | 1.21% | (0.72%) | 150% | $495 |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2020 | 15 |
June 30, 2020 (Unaudited)
16 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2020 | 17 |
June 30, 2020 (Unaudited)
18 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Contractual expense cap July 1, 2020 through April 30, 2021 | Voluntary expense cap May 1, 2020 through June 30, 2020 | Contractual expense cap prior to May 1, 2020 | |
Class 1 | 0.90% | 0.89% | 0.89% |
Class 2 | 1.15 | 1.14 | 1.14 |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2020 | 19 |
June 30, 2020 (Unaudited)
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
331,556,000 | 84,477,000 | (11,285,000) | 73,192,000 |
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 1,700,000 | 0.63 | 1 |
20 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2020 | 21 |
June 30, 2020 (Unaudited)
22 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2020 | 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 – Small Company Growth Fund | Semiannual Report 2020 |
• | 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 an independent third-party data provider, as well as performance relative to benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by the independent third-party data provider; |
• | The Investment Manager’s agreement to voluntarily 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; |
• | The terms and conditions of the Management Agreement; |
• | The current and proposed terms and conditions 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 distribution, transfer agency and shareholder services to the Fund; |
• | Descriptions of various functions 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 reputation, regulatory history and 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, including an assessment of the Investment Manager’s compliance system by the Fund’s Chief Compliance Officer; and |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund. |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2020 | 25 |
26 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2020 | 27 |
Trustee | Votes For | Votes Withheld | Abstentions |
Janet L. Carrig | 26,231,108,809 | 1,129,334,152 | 0 |
J. Kevin Connaughton | 26,249,644,638 | 1,110,798,323 | 0 |
Olive Darragh | 26,323,990,658 | 1,036,452,304 | 0 |
Douglas A. Hacker | 26,255,762,920 | 1,104,680,042 | 0 |
Nancy T. Lukitsh | 26,332,381,722 | 1,028,061,240 | 0 |
David M. Moffett | 26,252,719,395 | 1,107,723,567 | 0 |
John J. Neuhauser | 26,222,694,456 | 1,137,748,505 | 0 |
Christopher O. Petersen | 26,265,703,212 | 1,094,739,749 | 0 |
Patrick J. Simpson | 26,222,908,024 | 1,137,534,938 | 0 |
Natalie A. Trunow | 26,340,164,732 | 1,020,278,229 | 0 |
28 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2020 |
June 30, 2020
3 | |
5 | |
6 | |
12 | |
13 | |
14 | |
16 | |
18 | |
26 | |
26 | |
30 |
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/19/98 | -20.74 | -14.69 | 1.86 | 7.56 | |
Class 2 | 06/01/00 | -20.84 | -14.95 | 1.61 | 7.34 | |
Russell 2000 Value Index | -23.50 | -17.48 | 1.26 | 7.82 |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2020) | |
Common Stocks | 99.2 |
Money Market Funds | 0.8 |
Total | 100.0 |
Equity sector breakdown (%) (at June 30, 2020) | |
Communication Services | 1.5 |
Consumer Discretionary | 12.5 |
Consumer Staples | 2.6 |
Energy | 4.0 |
Financials | 34.9 |
Health Care | 3.3 |
Industrials | 16.6 |
Information Technology | 7.7 |
Materials | 10.0 |
Real Estate | 6.3 |
Utilities | 0.6 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 |
(Unaudited)
January 1, 2020 — June 30, 2020 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 792.60 | 1,020.34 | 4.06 | 4.57 | 0.91 |
Class 2 | 1,000.00 | 1,000.00 | 791.60 | 1,019.10 | 5.17 | 5.82 | 1.16 |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 | 5 |
June 30, 2020 (Unaudited)
Common Stocks 99.5% | ||
Issuer | Shares | Value ($) |
Communication Services 1.5% | ||
Diversified Telecommunication Services 0.2% | ||
Liberty Latin America Ltd., Class C(a) | 128,283 | 1,210,992 |
Entertainment 0.2% | ||
Lions Gate Entertainment Corp., Class B(a) | 152,931 | 1,044,519 |
Interactive Media & Services 0.3% | ||
Trivago NV, ADR(a) | 650,983 | 1,282,436 |
Media 0.4% | ||
Criteo SA, ADR(a) | 165,618 | 1,886,389 |
Wireless Telecommunication Services 0.4% | ||
Shenandoah Telecommunications Co. | 44,889 | 2,212,579 |
Total Communication Services | 7,636,915 | |
Consumer Discretionary 12.4% | ||
Auto Components 2.4% | ||
Cooper Tire & Rubber Co. | 161,146 | 4,449,241 |
Gentherm, Inc.(a) | 66,599 | 2,590,701 |
Modine Manufacturing Co.(a) | 274,818 | 1,516,996 |
Visteon Corp.(a) | 54,420 | 3,727,770 |
Total | 12,284,708 | |
Distributors 0.4% | ||
Educational Development Corp. | 232,507 | 2,236,717 |
Diversified Consumer Services 0.9% | ||
American Public Education, Inc.(a) | 60,288 | 1,784,525 |
Carriage Services, Inc. | 144,950 | 2,626,494 |
Total | 4,411,019 | |
Household Durables 3.6% | ||
Cavco Industries, Inc.(a) | 15,747 | 3,036,809 |
Ethan Allen Interiors, Inc. | 179,648 | 2,125,236 |
Hamilton Beach Brands Holding Co. | 115,263 | 1,371,630 |
Hooker Furniture Corp. | 84,383 | 1,641,249 |
Legacy Housing Corp.(a) | 128,779 | 1,831,237 |
Lifetime Brands, Inc. | 149,647 | 1,005,628 |
Skyline Champion Corp.(a) | 134,210 | 3,266,672 |
TRI Pointe Group, Inc.(a) | 299,187 | 4,395,057 |
Total | 18,673,518 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Leisure Products 0.6% | ||
Malibu Boats, Inc., Class A(a) | 60,712 | 3,153,988 |
Multiline Retail 0.9% | ||
Big Lots, Inc. | 104,987 | 4,409,454 |
Specialty Retail 1.8% | ||
Aaron’s, Inc. | 66,340 | 3,011,836 |
Children’s Place, Inc. (The) | 47,848 | 1,790,472 |
Citi Trends, Inc. | 101,988 | 2,062,198 |
Urban Outfitters, Inc.(a) | 174,628 | 2,657,838 |
Total | 9,522,344 | |
Textiles, Apparel & Luxury Goods 1.8% | ||
Canada Goose Holdings, Inc.(a) | 93,030 | 2,155,505 |
Capri Holdings Ltd.(a) | 104,272 | 1,629,771 |
Culp, Inc. | 160,480 | 1,381,733 |
Movado Group, Inc. | 199,815 | 2,165,994 |
Skechers U.S.A., Inc., Class A(a) | 57,820 | 1,814,392 |
Total | 9,147,395 | |
Total Consumer Discretionary | 63,839,143 | |
Consumer Staples 2.6% | ||
Beverages 0.7% | ||
MGP Ingredients, Inc. | 100,604 | 3,692,670 |
Food & Staples Retailing 0.5% | ||
Andersons, Inc. (The) | 180,827 | 2,488,179 |
Food Products 1.0% | ||
Fresh Del Monte Produce, Inc. | 213,619 | 5,259,300 |
Personal Products 0.4% | ||
Inter Parfums, Inc. | 43,082 | 2,074,398 |
Total Consumer Staples | 13,514,547 | |
Energy 4.0% | ||
Energy Equipment & Services 2.3% | ||
ChampionX Corp.(a) | 271,500 | 2,649,840 |
Core Laboratories NV | 96,520 | 1,961,286 |
Covia Holdings Corp.(a),(b),(c) | 1,402,024 | 98,142 |
Dawson Geophysical Co.(a) | 798,214 | 1,149,428 |
Frank’s International NV(a) | 502,261 | 1,120,042 |
6 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Natural Gas Services Group, Inc.(a) | 279,262 | 1,750,973 |
Pason Systems, Inc. | 194,398 | 1,062,488 |
Profire Energy, Inc.(a) | 906,331 | 755,064 |
ProPetro Holding Corp.(a) | 274,780 | 1,412,369 |
Total | 11,959,632 | |
Oil, Gas & Consumable Fuels 1.7% | ||
Delek U.S. Holdings, Inc. | 184,593 | 3,213,764 |
Range Resources Corp. | 451,930 | 2,544,366 |
Talos Energy, Inc.(a) | 152,820 | 1,405,944 |
W&T Offshore, Inc.(a) | 629,140 | 1,434,439 |
Total | 8,598,513 | |
Total Energy | 20,558,145 | |
Financials 34.8% | ||
Banks 19.4% | ||
Altabancorp | 67,265 | 1,511,445 |
Ameris Bancorp | 143,882 | 3,394,176 |
Atlantic Union Bankshares Corp. | 116,337 | 2,694,365 |
BancFirst Corp. | 101,004 | 4,097,732 |
BankUnited, Inc. | 145,713 | 2,950,688 |
Banner Corp. | 95,677 | 3,635,726 |
Boston Private Financial Holdings, Inc. | 432,329 | 2,974,423 |
Brookline Bancorp, Inc. | 296,428 | 2,987,994 |
Capital Bancorp, Inc.(a) | 120,730 | 1,291,811 |
Capital City Bank Group, Inc. | 121,605 | 2,547,625 |
Central Pacific Financial Corp. | 113,070 | 1,812,512 |
Columbia Banking System, Inc. | 144,194 | 4,087,179 |
Community Trust Bancorp, Inc. | 82,247 | 2,694,412 |
First BanCorp | 748,440 | 4,183,780 |
First BanCorp | 99,775 | 2,502,357 |
First Community Corp. | 163,338 | 2,474,571 |
First Financial Corp. | 106,839 | 3,935,949 |
First Hawaiian, Inc. | 140,870 | 2,428,599 |
First of Long Island Corp. (The) | 178,820 | 2,921,919 |
Heritage Financial Corp. | 148,943 | 2,978,860 |
Hilltop Holdings, Inc. | 262,360 | 4,840,542 |
Investors Bancorp, Inc. | 369,626 | 3,141,821 |
National Bank Holdings Corp., Class A | 102,131 | 2,757,537 |
Northrim BanCorp, Inc. | 141,102 | 3,547,304 |
OFG Bancorp | 246,399 | 3,294,355 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Popular, Inc. | 193,118 | 7,178,196 |
Sierra Bancorp | 77,471 | 1,462,652 |
Silvergate Capital Corp., Class A(a) | 163,287 | 2,286,018 |
Southern First Bancshares, Inc.(a) | 90,205 | 2,499,580 |
Towne Bank | 202,083 | 3,807,244 |
UMB Financial Corp. | 123,834 | 6,383,643 |
Total | 99,305,015 | |
Capital Markets 1.0% | ||
INTL FCStone, Inc.(a) | 94,649 | 5,205,695 |
Consumer Finance 1.5% | ||
Ezcorp, Inc., Class A(a) | 699,056 | 4,404,053 |
FirstCash, Inc. | 44,874 | 3,028,097 |
Total | 7,432,150 | |
Insurance 6.6% | ||
American Equity Investment Life Holding Co. | 200,287 | 4,949,092 |
American National Insurance Co. | 43,698 | 3,149,315 |
Crawford & Co., Class A | 229,414 | 1,810,076 |
Employers Holdings, Inc. | 85,855 | 2,588,528 |
FBL Financial Group, Inc., Class A | 83,680 | 3,003,275 |
Global Indemnity Ltd | 252,893 | 6,054,258 |
Heritage Insurance Holdings, Inc. | 215,684 | 2,823,304 |
Horace Mann Educators Corp. | 65,591 | 2,409,157 |
National Western Life Group, Inc., Class A | 13,106 | 2,663,008 |
ProAssurance Corp. | 160,150 | 2,317,371 |
Protective Insurance Corp., Class B | 140,357 | 2,115,180 |
Total | 33,882,564 | |
Mortgage Real Estate Investment Trusts (REITS) 0.9% | ||
Blackstone Mortgage Trust, Inc. | 114,700 | 2,763,123 |
Starwood Property Trust, Inc. | 130,535 | 1,952,804 |
Total | 4,715,927 | |
Thrifts & Mortgage Finance 5.4% | ||
HomeStreet, Inc. | 130,232 | 3,205,010 |
MGIC Investment Corp. | 590,096 | 4,832,886 |
NMI Holdings, Inc., Class A(a) | 199,309 | 3,204,889 |
Provident Financial Holdings, Inc. | 151,265 | 2,028,464 |
Radian Group, Inc. | 310,920 | 4,822,369 |
Washington Federal, Inc. | 170,425 | 4,574,207 |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 | 7 |
June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Western New England Bancorp, Inc. | 494,961 | 2,865,824 |
WSFS Financial Corp. | 74,365 | 2,134,275 |
Total | 27,667,924 | |
Total Financials | 178,209,275 | |
Health Care 3.2% | ||
Biotechnology 0.7% | ||
Atara Biotherapeutics, Inc.(a) | 100,560 | 1,465,159 |
Coherus Biosciences, Inc.(a) | 123,311 | 2,202,335 |
Total | 3,667,494 | |
Health Care Equipment & Supplies 1.0% | ||
Inogen, Inc.(a) | 82,550 | 2,932,176 |
Quotient Ltd.(a) | 309,902 | 2,293,275 |
Total | 5,225,451 | |
Life Sciences Tools & Services 0.2% | ||
Pacific Biosciences of California, Inc.(a) | 234,630 | 809,473 |
Pharmaceuticals 1.3% | ||
Aerie Pharmaceuticals, Inc.(a) | 132,280 | 1,952,453 |
Supernus Pharmaceuticals, Inc.(a) | 118,040 | 2,803,450 |
TherapeuticsMD, Inc.(a) | 1,718,870 | 2,148,587 |
Total | 6,904,490 | |
Total Health Care | 16,606,908 | |
Industrials 16.5% | ||
Aerospace & Defense 1.4% | ||
Curtiss-Wright Corp. | 40,090 | 3,579,235 |
Moog, Inc., Class A | 71,390 | 3,782,243 |
Total | 7,361,478 | |
Airlines 0.6% | ||
Skywest, Inc. | 88,110 | 2,874,148 |
Building Products 2.2% | ||
Apogee Enterprises, Inc. | 73,398 | 1,691,090 |
Caesarstone Ltd. | 140,428 | 1,664,072 |
Resideo Technologies, Inc.(a) | 239,056 | 2,801,736 |
UFP Industries, Inc. | 102,466 | 5,073,092 |
Total | 11,229,990 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Commercial Services & Supplies 1.0% | ||
HNI Corp. | 102,570 | 3,135,565 |
KAR Auction Services, Inc. | 132,103 | 1,817,737 |
Total | 4,953,302 | |
Construction & Engineering 0.6% | ||
Dycom Industries, Inc.(a) | 81,400 | 3,328,446 |
Electrical Equipment 1.9% | ||
Acuity Brands, Inc. | 31,600 | 3,025,384 |
AZZ, Inc. | 79,500 | 2,728,440 |
Encore Wire Corp. | 81,593 | 3,983,370 |
Total | 9,737,194 | |
Machinery 3.8% | ||
Commercial Vehicle Group, Inc.(a) | 559,400 | 1,616,666 |
Gorman-Rupp Co. | 101,306 | 3,148,591 |
Greenbrier Companies, Inc. (The) | 103,670 | 2,358,493 |
LB Foster Co., Class A(a) | 119,965 | 1,531,953 |
Lydall, Inc.(a) | 159,431 | 2,161,884 |
Manitex International, Inc.(a) | 314,384 | 1,562,488 |
Mueller Industries, Inc. | 141,959 | 3,773,270 |
Standex International Corp. | 56,110 | 3,229,131 |
Total | 19,382,476 | |
Marine 0.5% | ||
Atlas Corp. | 328,768 | 2,498,637 |
Professional Services 0.8% | ||
Korn/Ferry International | 127,466 | 3,917,030 |
Road & Rail 2.5% | ||
Heartland Express, Inc. | 113,300 | 2,358,906 |
Marten Transport Ltd. | 140,200 | 3,527,432 |
Schneider National, Inc., Class B | 181,351 | 4,473,929 |
Werner Enterprises, Inc. | 63,338 | 2,757,103 |
Total | 13,117,370 | |
Trading Companies & Distributors 1.2% | ||
BMC Stock Holdings, Inc.(a) | 98,000 | 2,463,720 |
Textainer Group Holdings Ltd.(a) | 438,778 | 3,589,204 |
Total | 6,052,924 | |
Total Industrials | 84,452,995 |
8 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Information Technology 7.6% | ||
Communications Equipment 2.7% | ||
Casa Systems, Inc.(a) | 399,758 | 1,662,993 |
Digi International, Inc.(a) | 193,513 | 2,254,426 |
KVH Industries, Inc.(a) | 260,471 | 2,326,006 |
NETGEAR, Inc.(a) | 124,540 | 3,224,341 |
Netscout Systems, Inc.(a) | 168,133 | 4,297,480 |
Total | 13,765,246 | |
Electronic Equipment, Instruments & Components 1.5% | ||
Airgain, Inc.(a) | 124,690 | 1,339,171 |
Vishay Intertechnology, Inc. | 345,690 | 5,278,686 |
Vishay Precision Group, Inc.(a) | 46,847 | 1,151,499 |
Total | 7,769,356 | |
IT Services 0.5% | ||
International Money Express, Inc.(a) | 186,564 | 2,324,588 |
Semiconductors & Semiconductor Equipment 0.8% | ||
Cohu, Inc. | 241,373 | 4,185,408 |
Software 1.7% | ||
Asure Software, Inc.(a) | 278,640 | 1,791,655 |
CDK Global, Inc. | 98,844 | 4,094,118 |
MicroStrategy, Inc., Class A(a) | 25,540 | 3,021,127 |
Total | 8,906,900 | |
Technology Hardware, Storage & Peripherals 0.4% | ||
Stratasys Ltd.(a) | 136,455 | 2,164,176 |
Total Information Technology | 39,115,674 | |
Materials 10.0% | ||
Chemicals 1.7% | ||
FutureFuel Corp. | 189,323 | 2,262,410 |
Livent Corp.(a) | 682,702 | 4,205,444 |
Tronox Holdings PLC, Class A | 325,694 | 2,351,511 |
Total | 8,819,365 | |
Construction Materials 0.6% | ||
Eagle Materials, Inc. | 44,080 | 3,095,298 |
Containers & Packaging 0.6% | ||
Greif, Inc., Class A | 90,817 | 3,125,013 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Metals & Mining 5.7% | ||
Ampco-Pittsburgh Corp.(a) | 433,204 | 1,329,936 |
Capstone Mining Corp.(a) | 7,564,544 | 4,624,758 |
Centerra Gold, Inc. | 375,830 | 4,194,037 |
Commercial Metals Co. | 285,460 | 5,823,384 |
Ferroglobe PLC(a) | 1,320,018 | 654,597 |
Gold Resource Corp. | 449,120 | 1,845,883 |
Olympic Steel, Inc. | 233,680 | 2,745,740 |
Pretium Resources, Inc.(a) | 414,039 | 3,464,557 |
Schnitzer Steel Industries, Inc., Class A | 163,678 | 2,887,280 |
Universal Stainless & Alloy Products, Inc.(a) | 173,513 | 1,492,212 |
Total | 29,062,384 | |
Paper & Forest Products 1.4% | ||
Clearwater Paper Corp.(a) | 92,393 | 3,338,159 |
Louisiana-Pacific Corp. | 146,560 | 3,759,264 |
Total | 7,097,423 | |
Total Materials | 51,199,483 | |
Real Estate 6.3% | ||
Equity Real Estate Investment Trusts (REITS) 6.3% | ||
American Assets Trust, Inc. | 133,340 | 3,712,185 |
Braemar Hotels & Resorts, Inc. | 459,950 | 1,315,457 |
Farmland Partners, Inc. | 482,134 | 3,302,618 |
Highwoods Properties, Inc. | 79,600 | 2,971,468 |
Macerich Co. (The) | 185,480 | 1,663,756 |
Pebblebrook Hotel Trust | 311,625 | 4,256,797 |
PotlatchDeltic Corp. | 143,662 | 5,463,466 |
RLJ Lodging Trust | 582,891 | 5,502,491 |
Sunstone Hotel Investors, Inc. | 491,758 | 4,007,828 |
Total | 32,196,066 | |
Total Real Estate | 32,196,066 | |
Utilities 0.6% | ||
Gas Utilities 0.6% | ||
National Fuel Gas Co. | 70,790 | 2,968,225 |
Total Utilities | 2,968,225 | |
Total Common Stocks (Cost $595,153,925) | 510,297,376 | |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 | 9 |
June 30, 2020 (Unaudited)
Money Market Funds 0.8% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(d),(e) | 4,072,056 | 4,072,056 |
Total Money Market Funds (Cost $4,072,089) | 4,072,056 | |
Total Investments in Securities (Cost: $599,226,014) | 514,369,432 | |
Other Assets & Liabilities, Net | (1,601,644) | |
Net Assets | 512,767,788 |
(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, 2020, the total value of these securities amounted to $98,142, which represents 0.02% of total net assets. |
(c) | Valuation based on significant unobservable inputs. |
(d) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
(e) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | ||||||||
8,853,077 | 63,256,305 | (68,037,498) | 172 | 4,072,056 | 2,738 | 25,544 | 4,072,056 |
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). |
10 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 7,636,915 | — | — | 7,636,915 |
Consumer Discretionary | 63,839,143 | — | — | 63,839,143 |
Consumer Staples | 13,514,547 | — | — | 13,514,547 |
Energy | 20,460,003 | — | 98,142 | 20,558,145 |
Financials | 178,209,275 | — | — | 178,209,275 |
Health Care | 16,606,908 | — | — | 16,606,908 |
Industrials | 84,452,995 | — | — | 84,452,995 |
Information Technology | 39,115,674 | — | — | 39,115,674 |
Materials | 51,199,483 | — | — | 51,199,483 |
Real Estate | 32,196,066 | — | — | 32,196,066 |
Utilities | 2,968,225 | — | — | 2,968,225 |
Total Common Stocks | 510,199,234 | — | 98,142 | 510,297,376 |
Money Market Funds | 4,072,056 | — | — | 4,072,056 |
Total Investments in Securities | 514,271,290 | — | 98,142 | 514,369,432 |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 | 11 |
June 30, 2020 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $595,153,925) | $510,297,376 |
Affiliated issuers (cost $4,072,089) | 4,072,056 |
Receivable for: | |
Investments sold | 294,008 |
Capital shares sold | 100,888 |
Dividends | 600,883 |
Expense reimbursement due from Investment Manager | 1,921 |
Trustees’ deferred compensation plan | 95,941 |
Total assets | 515,463,073 |
Liabilities | |
Payable for: | |
Investments purchased | 2,072,208 |
Capital shares purchased | 361,951 |
Management services fees | 12,031 |
Distribution and/or service fees | 1,766 |
Service fees | 101,130 |
Compensation of board members | 2,759 |
Compensation of chief compliance officer | 39 |
Other expenses | 47,460 |
Trustees’ deferred compensation plan | 95,941 |
Total liabilities | 2,695,285 |
Net assets applicable to outstanding capital stock | $512,767,788 |
Represented by | |
Paid in capital | 592,780,888 |
Total distributable earnings (loss) | (80,013,100) |
Total - representing net assets applicable to outstanding capital stock | $512,767,788 |
Class 1 | |
Net assets | $250,947,414 |
Shares outstanding | 20,208,440 |
Net asset value per share | $12.42 |
Class 2 | |
Net assets | $261,820,374 |
Shares outstanding | 21,268,382 |
Net asset value per share | $12.31 |
12 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 |
Six Months Ended June 30, 2020 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $5,743,047 |
Dividends — affiliated issuers | 25,544 |
Foreign taxes withheld | (35,568) |
Total income | 5,733,023 |
Expenses: | |
Management services fees | 2,186,445 |
Distribution and/or service fees | |
Class 2 | 316,448 |
Service fees | 269,128 |
Compensation of board members | 10,098 |
Custodian fees | 11,140 |
Printing and postage fees | 46,445 |
Audit fees | 15,715 |
Legal fees | 6,460 |
Compensation of chief compliance officer | 108 |
Other | 12,846 |
Total expenses | 2,874,833 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (270,179) |
Total net expenses | 2,604,654 |
Net investment income | 3,128,369 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (23,587,699) |
Investments — affiliated issuers | 2,738 |
Foreign currency translations | (1,161) |
Net realized loss | (23,586,122) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (107,247,391) |
Investments — affiliated issuers | 172 |
Foreign currency translations | (20) |
Net change in unrealized appreciation (depreciation) | (107,247,239) |
Net realized and unrealized loss | (130,833,361) |
Net decrease in net assets resulting from operations | $(127,704,992) |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 | 13 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||
Net investment income | $3,128,369 | $2,535,826 |
Net realized gain (loss) | (23,586,122) | 23,050,204 |
Net change in unrealized appreciation (depreciation) | (107,247,239) | 51,584,475 |
Net increase (decrease) in net assets resulting from operations | (127,704,992) | 77,170,505 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | — | (535,774) |
Class 2 | — | (27,808,189) |
Total distributions to shareholders | — | (28,343,963) |
Increase in net assets from capital stock activity | 8,721,268 | 292,643,666 |
Total increase (decrease) in net assets | (118,983,724) | 341,470,208 |
Net assets at beginning of period | 631,751,512 | 290,281,304 |
Net assets at end of period | $512,767,788 | $631,751,512 |
Six Months Ended | Year Ended | |||
June 30, 2020 (Unaudited) | December 31, 2019 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 429,374 | 4,600,991 | 19,898,420 | 293,885,795 |
Distributions reinvested | — | — | 36,422 | 535,774 |
Redemptions | (421,275) | (4,991,537) | (122,954) | (1,845,073) |
Net increase (decrease) | 8,099 | (390,546) | 19,811,888 | 292,576,496 |
Class 2 | ||||
Subscriptions | 2,364,060 | 26,687,764 | 1,352,923 | 20,253,011 |
Distributions reinvested | — | — | 1,903,367 | 27,808,189 |
Redemptions | (1,365,701) | (17,575,950) | (3,156,935) | (47,994,030) |
Net increase | 998,359 | 9,111,814 | 99,355 | 67,170 |
Total net increase | 1,006,458 | 8,721,268 | 19,911,243 | 292,643,666 |
14 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 | 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 6/30/2020 (Unaudited) | $15.67 | 0.08 | (3.33) | (3.25) | — | — | — |
Year Ended 12/31/2019 | $14.22 | 0.15 | 2.79 | 2.94 | (0.09) | (1.40) | (1.49) |
Year Ended 12/31/2018 | $20.30 | 0.10 | (3.12) | (3.02) | (0.08) | (2.98) | (3.06) |
Year Ended 12/31/2017 | $19.11 | 0.08 | 2.52 | 2.60 | (0.10) | (1.31) | (1.41) |
Year Ended 12/31/2016 | $16.02 | 0.10 | 4.82 | 4.92 | (0.11) | (1.72) | (1.83) |
Year Ended 12/31/2015 | $18.42 | 0.10 | (1.15) | (1.05) | (0.15) | (1.20) | (1.35) |
Class 2 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $15.55 | 0.07 | (3.31) | (3.24) | — | — | — |
Year Ended 12/31/2019 | $14.12 | 0.08 | 2.79 | 2.87 | (0.04) | (1.40) | (1.44) |
Year Ended 12/31/2018 | $20.17 | 0.05 | (3.08) | (3.03) | (0.04) | (2.98) | (3.02) |
Year Ended 12/31/2017 | $19.01 | 0.03 | 2.50 | 2.53 | (0.06) | (1.31) | (1.37) |
Year Ended 12/31/2016 | $15.94 | 0.06 | 4.80 | 4.86 | (0.07) | (1.72) | (1.79) |
Year Ended 12/31/2015 | $18.33 | 0.06 | (1.14) | (1.08) | (0.11) | (1.20) | (1.31) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Annualized. |
(d) | Ratios include interfund lending expense which is less than 0.01%. |
(e) | Ratios include line of credit interest expense which is less than 0.01%. |
16 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 |
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 6/30/2020 (Unaudited) | $12.42 | (20.74%) | 1.01%(c) | 0.91%(c) | 1.36%(c) | 38% | $250,947 |
Year Ended 12/31/2019 | $15.67 | 21.34% | 1.04%(d) | 0.92%(d) | 1.00% | 60% | $316,513 |
Year Ended 12/31/2018 | $14.22 | (18.01%) | 1.05% | 0.92% | 0.51% | 49% | $5,525 |
Year Ended 12/31/2017 | $20.30 | 14.31% | 1.01%(e) | 0.93%(e) | 0.41% | 52% | $7,186 |
Year Ended 12/31/2016 | $19.11 | 33.04% | 0.98% | 0.93% | 0.60% | 62% | $6,081 |
Year Ended 12/31/2015 | $16.02 | (6.12%) | 0.98% | 0.93% | 0.56% | 64% | $6,045 |
Class 2 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $12.31 | (20.84%) | 1.26%(c) | 1.16%(c) | 1.12%(c) | 38% | $261,820 |
Year Ended 12/31/2019 | $15.55 | 20.98% | 1.31%(d) | 1.17%(d) | 0.52% | 60% | $315,238 |
Year Ended 12/31/2018 | $14.12 | (18.17%) | 1.30% | 1.17% | 0.26% | 49% | $284,756 |
Year Ended 12/31/2017 | $20.17 | 13.98% | 1.26%(e) | 1.18%(e) | 0.14% | 52% | $374,640 |
Year Ended 12/31/2016 | $19.01 | 32.74% | 1.23% | 1.18% | 0.37% | 62% | $398,105 |
Year Ended 12/31/2015 | $15.94 | (6.32%) | 1.23% | 1.18% | 0.32% | 64% | $320,184 |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 | 17 |
June 30, 2020 (Unaudited)
18 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 | 19 |
June 30, 2020 (Unaudited)
20 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
May 1, 2020 through April 30, 2021 | Prior to May 1, 2020 | |
Class 1 | 0.88% | 0.92% |
Class 2 | 1.13 | 1.17 |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 | 21 |
June 30, 2020 (Unaudited)
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
599,226,000 | 33,895,000 | (118,752,000) | (84,857,000) |
22 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 | 23 |
June 30, 2020 (Unaudited)
24 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 | 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 – Small Cap Value Fund | Semiannual Report 2020 |
• | 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 the Investment Manager, as well as performance relative to benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by the Investment Manager; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund through April 30, 2021 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; |
• | The terms and conditions of the Management Agreement; |
• | The current and proposed terms and conditions 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 distribution, transfer agency and shareholder services to the Fund; |
• | Descriptions of various functions 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 reputation, regulatory history and 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, including an assessment of the Investment Manager’s compliance system by the Fund’s Chief Compliance Officer; and |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund. |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 | 27 |
28 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 | 29 |
Trustee | Votes For | Votes Withheld | Abstentions |
Janet L. Carrig | 26,231,108,809 | 1,129,334,152 | 0 |
J. Kevin Connaughton | 26,249,644,638 | 1,110,798,323 | 0 |
Olive Darragh | 26,323,990,658 | 1,036,452,304 | 0 |
Douglas A. Hacker | 26,255,762,920 | 1,104,680,042 | 0 |
Nancy T. Lukitsh | 26,332,381,722 | 1,028,061,240 | 0 |
David M. Moffett | 26,252,719,395 | 1,107,723,567 | 0 |
John J. Neuhauser | 26,222,694,456 | 1,137,748,505 | 0 |
Christopher O. Petersen | 26,265,703,212 | 1,094,739,749 | 0 |
Patrick J. Simpson | 26,222,908,024 | 1,137,534,938 | 0 |
Natalie A. Trunow | 26,340,164,732 | 1,020,278,229 | 0 |
30 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2020 |
June 30, 2020
3 | |
5 | |
6 | |
10 | |
11 | |
12 | |
14 | |
16 | |
23 | |
23 | |
27 |
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | Life | ||
Class 1 | 04/30/12 | -1.46 | 9.65 | 9.58 | 12.61 | |
Class 2 | 04/30/12 | -1.60 | 9.39 | 9.31 | 12.33 | |
Russell 1000 Index | -2.81 | 7.48 | 10.47 | 12.50 |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2020 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2020) | |
Common Stocks | 99.3 |
Money Market Funds | 0.7 |
Total | 100.0 |
Equity sector breakdown (%) (at June 30, 2020) | |
Communication Services | 12.7 |
Consumer Discretionary | 12.0 |
Consumer Staples | 4.7 |
Energy | 3.2 |
Financials | 11.1 |
Health Care | 12.8 |
Industrials | 7.0 |
Information Technology | 30.7 |
Materials | 3.0 |
Real Estate | 1.2 |
Utilities | 1.6 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2020 |
(Unaudited)
January 1, 2020 — June 30, 2020 | |||||||
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 | 985.40 | 1,021.43 | 3.41 | 3.47 | 0.69 |
Class 2 | 1,000.00 | 1,000.00 | 984.00 | 1,020.19 | 4.64 | 4.72 | 0.94 |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2020 | 5 |
June 30, 2020 (Unaudited)
Common Stocks 99.2% | ||
Issuer | Shares | Value ($) |
Communication Services 12.6% | ||
Entertainment 2.1% | ||
Activision Blizzard, Inc. | 191,009 | 14,497,583 |
Walt Disney Co. (The) | 136,405 | 15,210,522 |
Total | 29,708,105 | |
Interactive Media & Services 6.5% | ||
Alphabet, Inc., Class A(a) | 19,481 | 27,625,032 |
Alphabet, Inc., Class C(a) | 20,599 | 29,118,952 |
Facebook, Inc., Class A(a) | 152,339 | 34,591,617 |
Total | 91,335,601 | |
Media 2.5% | ||
Comcast Corp., Class A | 901,827 | 35,153,217 |
Wireless Telecommunication Services 1.5% | ||
T-Mobile U.S.A., Inc.(a) | 197,682 | 20,588,580 |
Total Communication Services | 176,785,503 | |
Consumer Discretionary 11.9% | ||
Hotels, Restaurants & Leisure 0.8% | ||
McDonald’s Corp. | 57,485 | 10,604,258 |
Internet & Direct Marketing Retail 7.2% | ||
Amazon.com, Inc.(a) | 29,807 | 82,232,147 |
eBay, Inc. | 369,115 | 19,360,082 |
Total | 101,592,229 | |
Multiline Retail 1.1% | ||
Dollar Tree, Inc.(a) | 173,715 | 16,099,906 |
Specialty Retail 2.8% | ||
AutoZone, Inc.(a) | 7,285 | 8,218,354 |
Lowe’s Companies, Inc. | 228,022 | 30,810,333 |
Total | 39,028,687 | |
Total Consumer Discretionary | 167,325,080 | |
Consumer Staples 4.6% | ||
Food Products 2.7% | ||
ConAgra Foods, Inc. | 446,483 | 15,702,807 |
Mondelez International, Inc., Class A | 325,571 | 16,646,445 |
Tyson Foods, Inc., Class A | 90,225 | 5,387,335 |
Total | 37,736,587 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Household Products 0.5% | ||
Colgate-Palmolive Co. | 99,280 | 7,273,253 |
Tobacco 1.4% | ||
Philip Morris International, Inc. | 289,955 | 20,314,247 |
Total Consumer Staples | 65,324,087 | |
Energy 3.1% | ||
Oil, Gas & Consumable Fuels 3.1% | ||
Canadian Natural Resources Ltd. | 660,146 | 11,506,345 |
Chevron Corp. | 254,996 | 22,753,293 |
EOG Resources, Inc. | 199,860 | 10,124,907 |
Total | 44,384,545 | |
Total Energy | 44,384,545 | |
Financials 11.1% | ||
Banks 3.7% | ||
Bank of America Corp. | 386,600 | 9,181,750 |
Citigroup, Inc. | 153,029 | 7,819,782 |
JPMorgan Chase & Co. | 342,435 | 32,209,436 |
PNC Financial Services Group, Inc. (The) | 32,815 | 3,452,466 |
Total | 52,663,434 | |
Capital Markets 3.3% | ||
BlackRock, Inc. | 40,342 | 21,949,679 |
Charles Schwab Corp. (The) | 183,675 | 6,197,195 |
Morgan Stanley | 387,944 | 18,737,695 |
Total | 46,884,569 | |
Consumer Finance 0.5% | ||
American Express Co. | 67,770 | 6,451,704 |
Diversified Financial Services 2.6% | ||
Berkshire Hathaway, Inc., Class B(a) | 202,895 | 36,218,786 |
Insurance 1.0% | ||
Aon PLC, Class A | 70,093 | 13,499,912 |
Total Financials | 155,718,405 | |
Health Care 12.7% | ||
Biotechnology 0.7% | ||
Alexion Pharmaceuticals, Inc.(a) | 83,308 | 9,350,490 |
6 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Health Care Equipment & Supplies 4.8% | ||
Abbott Laboratories | 164,927 | 15,079,276 |
Becton Dickinson and Co. | 45,727 | 10,941,099 |
Dentsply Sirona, Inc. | 113,685 | 5,008,961 |
Medtronic PLC | 291,538 | 26,734,034 |
Stryker Corp. | 57,125 | 10,293,354 |
Total | 68,056,724 | |
Health Care Providers & Services 3.2% | ||
Anthem, Inc. | 54,015 | 14,204,865 |
Cigna Corp. | 83,956 | 15,754,343 |
Quest Diagnostics, Inc. | 137,505 | 15,670,070 |
Total | 45,629,278 | |
Pharmaceuticals 4.0% | ||
Johnson & Johnson | 223,054 | 31,368,084 |
Merck & Co., Inc. | 148,880 | 11,512,890 |
Pfizer, Inc. | 400,884 | 13,108,907 |
Total | 55,989,881 | |
Total Health Care | 179,026,373 | |
Industrials 7.0% | ||
Aerospace & Defense 1.8% | ||
Northrop Grumman Corp. | 37,145 | 11,419,859 |
Raytheon Technologies Corp. | 220,250 | 13,571,805 |
Total | 24,991,664 | |
Building Products 0.9% | ||
Carrier Global Corp. | 542,817 | 12,061,394 |
Industrial Conglomerates 0.4% | ||
Honeywell International, Inc. | 42,452 | 6,138,135 |
Machinery 1.5% | ||
Stanley Black & Decker, Inc. | 152,345 | 21,233,846 |
Road & Rail 2.4% | ||
Lyft, Inc., Class A(a) | 161,300 | 5,324,513 |
Uber Technologies, Inc.(a) | 246,705 | 7,667,591 |
Union Pacific Corp. | 123,640 | 20,903,815 |
Total | 33,895,919 | |
Total Industrials | 98,320,958 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Information Technology 30.4% | ||
Communications Equipment 0.9% | ||
Cisco Systems, Inc. | 275,835 | 12,864,944 |
Electronic Equipment, Instruments & Components 0.9% | ||
TE Connectivity Ltd. | 158,300 | 12,909,365 |
IT Services 7.5% | ||
Automatic Data Processing, Inc. | 81,895 | 12,193,347 |
Fidelity National Information Services, Inc. | 200,007 | 26,818,939 |
Fiserv, Inc.(a) | 170,126 | 16,607,700 |
International Business Machines Corp. | 59,225 | 7,152,603 |
MasterCard, Inc., Class A | 100,712 | 29,780,538 |
PayPal Holdings, Inc.(a) | 70,425 | 12,270,148 |
Total | 104,823,275 | |
Semiconductors & Semiconductor Equipment 3.7% | ||
Intel Corp. | 117,600 | 7,036,008 |
Lam Research Corp. | 52,460 | 16,968,712 |
Marvell Technology Group Ltd. | 203,635 | 7,139,443 |
NVIDIA Corp. | 32,295 | 12,269,193 |
NXP Semiconductors NV | 77,051 | 8,786,896 |
Total | 52,200,252 | |
Software 10.4% | ||
Adobe, Inc.(a) | 56,160 | 24,447,010 |
Autodesk, Inc.(a) | 30,115 | 7,203,207 |
Intuit, Inc. | 44,195 | 13,090,117 |
Microsoft Corp. | 464,160 | 94,461,201 |
Palo Alto Networks, Inc.(a) | 34,073 | 7,825,546 |
Total | 147,027,081 | |
Technology Hardware, Storage & Peripherals 7.0% | ||
Apple, Inc. | 247,743 | 90,376,647 |
Western Digital Corp. | 177,255 | 7,825,808 |
Total | 98,202,455 | |
Total Information Technology | 428,027,372 |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2020 | 7 |
June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Materials 3.0% | ||
Chemicals 1.7% | ||
Air Products & Chemicals, Inc. | 47,715 | 11,521,264 |
Corteva, Inc. | 106,134 | 2,843,330 |
Nutrien Ltd. | 173,780 | 5,578,338 |
Sherwin-Williams Co. (The) | 6,204 | 3,584,981 |
Total | 23,527,913 | |
Metals & Mining 1.3% | ||
Newmont Corp. | 298,635 | 18,437,725 |
Total Materials | 41,965,638 | |
Real Estate 1.2% | ||
Equity Real Estate Investment Trusts (REITS) 1.2% | ||
American Tower Corp. | 64,459 | 16,665,230 |
Total Real Estate | 16,665,230 | |
Utilities 1.6% | ||
Electric Utilities 1.2% | ||
American Electric Power Co., Inc. | 125,266 | 9,976,185 |
FirstEnergy Corp. | 181,240 | 7,028,487 |
Total | 17,004,672 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Independent Power and Renewable Electricity Producers 0.4% | ||
AES Corp. (The) | 389,235 | 5,640,015 |
Total Utilities | 22,644,687 | |
Total Common Stocks (Cost $1,078,738,401) | 1,396,187,878 | |
Money Market Funds 0.7% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(b),(c) | 9,529,053 | 9,529,053 |
Total Money Market Funds (Cost $9,529,053) | 9,529,053 | |
Total Investments in Securities (Cost: $1,088,267,454) | 1,405,716,931 | |
Other Assets & Liabilities, Net | 1,141,016 | |
Net Assets | 1,406,857,947 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | ||||||||
12,377,570 | 209,001,234 | (211,849,751) | — | 9,529,053 | 10,074 | 113,593 | 9,529,053 |
■ | 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.). |
8 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2020 |
June 30, 2020 (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 | 176,785,503 | — | — | 176,785,503 |
Consumer Discretionary | 167,325,080 | — | — | 167,325,080 |
Consumer Staples | 65,324,087 | — | — | 65,324,087 |
Energy | 44,384,545 | — | — | 44,384,545 |
Financials | 155,718,405 | — | — | 155,718,405 |
Health Care | 179,026,373 | — | — | 179,026,373 |
Industrials | 98,320,958 | — | — | 98,320,958 |
Information Technology | 428,027,372 | — | — | 428,027,372 |
Materials | 41,965,638 | — | — | 41,965,638 |
Real Estate | 16,665,230 | — | — | 16,665,230 |
Utilities | 22,644,687 | — | — | 22,644,687 |
Total Common Stocks | 1,396,187,878 | — | — | 1,396,187,878 |
Money Market Funds | 9,529,053 | — | — | 9,529,053 |
Total Investments in Securities | 1,405,716,931 | — | — | 1,405,716,931 |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2020 | 9 |
June 30, 2020 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,078,738,401) | $1,396,187,878 |
Affiliated issuers (cost $9,529,053) | 9,529,053 |
Receivable for: | |
Investments sold | 5,046,647 |
Capital shares sold | 9,825 |
Dividends | 1,570,546 |
Foreign tax reclaims | 65,733 |
Expense reimbursement due from Investment Manager | 1,964 |
Trustees’ deferred compensation plan | 123,238 |
Total assets | 1,412,534,884 |
Liabilities | |
Payable for: | |
Investments purchased | 2,695,256 |
Capital shares purchased | 2,795,791 |
Management services fees | 27,472 |
Distribution and/or service fees | 735 |
Service fees | 6,328 |
Compensation of board members | 3,753 |
Compensation of chief compliance officer | 139 |
Other expenses | 24,225 |
Trustees’ deferred compensation plan | 123,238 |
Total liabilities | 5,676,937 |
Net assets applicable to outstanding capital stock | $1,406,857,947 |
Represented by | |
Trust capital | $1,406,857,947 |
Total - representing net assets applicable to outstanding capital stock | $1,406,857,947 |
Class 1 | |
Net assets | $1,297,650,184 |
Shares outstanding | 49,213,994 |
Net asset value per share | $26.37 |
Class 2 | |
Net assets | $109,207,763 |
Shares outstanding | 4,225,184 |
Net asset value per share | $25.85 |
10 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2020 |
Six Months Ended June 30, 2020 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $12,647,067 |
Dividends — affiliated issuers | 113,593 |
Foreign taxes withheld | (63,161) |
Total income | 12,697,499 |
Expenses: | |
Management services fees | 5,102,535 |
Distribution and/or service fees | |
Class 2 | 130,524 |
Service fees | 33,495 |
Compensation of board members | 15,951 |
Custodian fees | 6,736 |
Printing and postage fees | 10,110 |
Audit fees | 14,669 |
Legal fees | 17,521 |
Compensation of chief compliance officer | 262 |
Other | 19,071 |
Total expenses | 5,350,874 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (341,859) |
Total net expenses | 5,009,015 |
Net investment income | 7,688,484 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 38,507,872 |
Investments — affiliated issuers | 10,074 |
Foreign currency translations | 3,813 |
Net realized gain | 38,521,759 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (74,962,307) |
Foreign currency translations | (1,346) |
Net change in unrealized appreciation (depreciation) | (74,963,653) |
Net realized and unrealized loss | (36,441,894) |
Net decrease in net assets resulting from operations | $(28,753,410) |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2020 | 11 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||
Net investment income | $7,688,484 | $17,172,229 |
Net realized gain | 38,521,759 | 75,122,014 |
Net change in unrealized appreciation (depreciation) | (74,963,653) | 335,016,025 |
Net increase (decrease) in net assets resulting from operations | (28,753,410) | 427,310,268 |
Decrease in net assets from capital stock activity | (110,568,720) | (274,808,345) |
Total increase (decrease) in net assets | (139,322,130) | 152,501,923 |
Net assets at beginning of period | 1,546,180,077 | 1,393,678,154 |
Net assets at end of period | $1,406,857,947 | $1,546,180,077 |
Six Months Ended | Year Ended | |||
June 30, 2020 (Unaudited) | December 31, 2019 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 2,658,713 | 71,311,240 | 216,231 | 5,144,391 |
Redemptions | (7,004,369) | (180,017,853) | (11,411,795) | (271,813,544) |
Net decrease | (4,345,656) | (108,706,613) | (11,195,564) | (266,669,153) |
Class 2 | ||||
Subscriptions | 141,337 | 3,397,487 | 169,748 | 4,008,986 |
Redemptions | (210,603) | (5,259,594) | (522,680) | (12,148,178) |
Net decrease | (69,266) | (1,862,107) | (352,932) | (8,139,192) |
Total net decrease | (4,414,922) | (110,568,720) | (11,548,496) | (274,808,345) |
12 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2020 | 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 6/30/2020 (Unaudited) | $26.76 | 0.14 | (0.53) | (0.39) |
Year Ended 12/31/2019 | $20.10 | 0.27 | 6.39 | 6.66 |
Year Ended 12/31/2018 | $22.07 | 0.24 | (2.21) | (1.97) |
Year Ended 12/31/2017 | $18.12 | 0.21 | 3.74 | 3.95 |
Year Ended 12/31/2016 | $16.67 | 0.20 | 1.25 | 1.45 |
Year Ended 12/31/2015 | $16.19 | 0.54(e) | (0.06) | 0.48 |
Class 2 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $26.27 | 0.11 | (0.53) | (0.42) |
Year Ended 12/31/2019 | $19.78 | 0.21 | 6.28 | 6.49 |
Year Ended 12/31/2018 | $21.77 | 0.19 | (2.18) | (1.99) |
Year Ended 12/31/2017 | $17.92 | 0.16 | 3.69 | 3.85 |
Year Ended 12/31/2016 | $16.53 | 0.16 | 1.23 | 1.39 |
Year Ended 12/31/2015 | $16.09 | 0.58(f) | (0.14) | 0.44 |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Annualized. |
(d) | Ratios include interfund lending expense which is less than 0.01%. |
(e) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.40 per share. |
(f) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.47 per share. |
14 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2020 |
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 6/30/2020 (Unaudited) | $26.37 | (1.46%) | 0.74%(c) | 0.69%(c) | 1.11%(c) | 34% | $1,297,650 |
Year Ended 12/31/2019 | $26.76 | 33.13% | 0.74%(d) | 0.70%(d) | 1.16% | 43% | $1,433,380 |
Year Ended 12/31/2018 | $20.10 | (8.93%) | 0.71% | 0.71% | 1.09% | 63% | $1,301,755 |
Year Ended 12/31/2017 | $22.07 | 21.80% | 0.72% | 0.72% | 1.04% | 46% | $2,383,772 |
Year Ended 12/31/2016 | $18.12 | 8.70% | 0.76% | 0.76% | 1.18% | 53% | $2,216,643 |
Year Ended 12/31/2015 | $16.67 | 2.97% | 0.75% | 0.75% | 3.29% | 67% | $2,278,481 |
Class 2 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $25.85 | (1.60%) | 0.99%(c) | 0.94%(c) | 0.86%(c) | 34% | $109,208 |
Year Ended 12/31/2019 | $26.27 | 32.81% | 0.99%(d) | 0.95%(d) | 0.90% | 43% | $112,800 |
Year Ended 12/31/2018 | $19.78 | (9.14%) | 0.96% | 0.96% | 0.86% | 63% | $91,923 |
Year Ended 12/31/2017 | $21.77 | 21.49% | 0.97% | 0.97% | 0.78% | 46% | $110,867 |
Year Ended 12/31/2016 | $17.92 | 8.41% | 1.01% | 1.01% | 0.94% | 53% | $82,790 |
Year Ended 12/31/2015 | $16.53 | 2.73% | 1.01% | 1.01% | 3.52% | 67% | $55,892 |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2020 | 15 |
June 30, 2020 (Unaudited)
16 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2020 | 17 |
June 30, 2020 (Unaudited)
18 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Fee rate(s) contractual through April 30, 2021 | |
Class 1 | 0.69% |
Class 2 | 0.94 |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2020 | 19 |
June 30, 2020 (Unaudited)
20 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2020 | 21 |
June 30, 2020 (Unaudited)
22 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2020 |
• | 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 – Contrarian Core Fund | Semiannual Report 2020 | 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 an independent third-party data provider, as well as performance relative to benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by the independent third-party data provider; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund through April 30, 2021 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; |
• | The terms and conditions of the Management Agreement; |
• | The current and proposed terms and conditions 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 distribution, transfer agency and shareholder services to the Fund; |
• | Descriptions of various functions 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 reputation, regulatory history and 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, including an assessment of the Investment Manager’s compliance system by the Fund’s Chief Compliance Officer; and |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund. |
24 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2020 | 25 |
26 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2020 |
Trustee | Votes For | Votes Withheld | Abstentions |
Janet L. Carrig | 26,231,108,809 | 1,129,334,152 | 0 |
J. Kevin Connaughton | 26,249,644,638 | 1,110,798,323 | 0 |
Olive Darragh | 26,323,990,658 | 1,036,452,304 | 0 |
Douglas A. Hacker | 26,255,762,920 | 1,104,680,042 | 0 |
Nancy T. Lukitsh | 26,332,381,722 | 1,028,061,240 | 0 |
David M. Moffett | 26,252,719,395 | 1,107,723,567 | 0 |
John J. Neuhauser | 26,222,694,456 | 1,137,748,505 | 0 |
Christopher O. Petersen | 26,265,703,212 | 1,094,739,749 | 0 |
Patrick J. Simpson | 26,222,908,024 | 1,137,534,938 | 0 |
Natalie A. Trunow | 26,340,164,732 | 1,020,278,229 | 0 |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2020 | 27 |
June 30, 2020
3 | |
5 | |
6 | |
11 | |
12 | |
13 | |
14 | |
16 | |
24 | |
24 | |
29 |
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | Life | ||
Class 1 | 04/30/13 | -12.39 | -7.94 | 0.92 | 1.81 | |
Class 2 | 04/30/13 | -12.48 | -8.24 | 0.66 | 1.56 | |
MSCI EAFE Index (Net) | -11.34 | -5.13 | 2.05 | 2.97 |
CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2020 | 3 |
(Unaudited)
Equity sector breakdown (%) (at June 30, 2020) | |
Communication Services | 5.8 |
Consumer Discretionary | 9.8 |
Consumer Staples | 14.2 |
Energy | 2.7 |
Financials | 15.9 |
Health Care | 15.5 |
Industrials | 13.9 |
Information Technology | 10.2 |
Materials | 6.8 |
Real Estate | 2.3 |
Utilities | 2.9 |
Total | 100.0 |
Country breakdown (%) (at June 30, 2020) | |
Australia | 6.1 |
Austria | 0.3 |
Belgium | 0.5 |
China | 0.3 |
Denmark | 5.1 |
Finland | 1.5 |
France | 10.1 |
Germany | 6.8 |
Hong Kong | 3.3 |
Ireland | 0.1 |
Italy | 2.0 |
Japan | 24.9 |
Netherlands | 5.1 |
New Zealand | 0.5 |
Norway | 1.4 |
Singapore | 0.7 |
Spain | 1.4 |
Sweden | 4.7 |
Switzerland | 11.7 |
United Kingdom | 12.4 |
United States(a) | 1.1 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds. |
4 | CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2020 |
(Unaudited)
January 1, 2020 — June 30, 2020 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 876.10 | 1,020.84 | 3.78 | 4.07 | 0.81 |
Class 2 | 1,000.00 | 1,000.00 | 875.20 | 1,019.59 | 4.94 | 5.32 | 1.06 |
CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2020 | 5 |
June 30, 2020 (Unaudited)
Common Stocks 97.1% | ||
Issuer | Shares | Value ($) |
Australia 6.0% | ||
ASX Ltd. | 120,657 | 7,171,651 |
BHP Group Ltd. | 349,229 | 8,695,069 |
CIMIC Group Ltd. | 368,373 | 6,190,366 |
Fortescue Metals Group Ltd. | 3,074,512 | 29,889,415 |
IGO Ltd. | 596,008 | 2,033,620 |
Inghams Group Ltd. | 889,389 | 1,977,830 |
Magellan Financial Group Ltd. | 104,214 | 4,255,640 |
Netwealth Group Ltd. | 311,419 | 1,943,854 |
Regis Resources Ltd. | 1,991,720 | 7,288,296 |
Santos Ltd. | 3,413,576 | 12,686,812 |
Technology One Ltd. | 1,160,214 | 7,110,190 |
Total | 89,242,743 | |
Austria 0.4% | ||
OMV AG(a) | 109,201 | 3,684,867 |
Raiffeisen Bank International AG(a) | 82,421 | 1,473,135 |
Total | 5,158,002 | |
Belgium 0.5% | ||
Galapagos NV(a) | 19,594 | 3,867,419 |
UCB SA | 28,995 | 3,364,766 |
Total | 7,232,185 | |
China 0.3% | ||
S-Enjoy Service Group Co., Ltd.(a) | 1,633,000 | 4,218,347 |
Denmark 5.1% | ||
Coloplast A/S, Class B | 175,501 | 27,354,988 |
Genmab A/S(a) | 12,074 | 4,071,270 |
Novo Nordisk A/S, Class B | 675,228 | 43,989,573 |
Total | 75,415,831 | |
Finland 1.5% | ||
Metso OYJ | 153,708 | 5,051,391 |
UPM-Kymmene OYJ | 137,230 | 3,974,825 |
Valmet OYJ | 470,969 | 12,344,001 |
Total | 21,370,217 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
France 10.0% | ||
Cie de Saint-Gobain(a) | 448,496 | 16,182,166 |
Hermes International | 15,443 | 12,966,059 |
Legrand SA | 97,315 | 7,394,234 |
L’Oreal SA | 124,030 | 40,030,265 |
Orange SA | 703,650 | 8,414,222 |
Peugeot SA(a) | 751,865 | 12,329,934 |
Schneider Electric SE | 357,073 | 39,719,623 |
Total SA | 293,339 | 11,310,686 |
Total | 148,347,189 | |
Germany 5.7% | ||
Allianz SE, Registered Shares | 171,388 | 35,021,836 |
Continental AG(a) | 23,954 | 2,354,949 |
Deutsche Bank AG, Registered Shares(a) | 157,470 | 1,502,279 |
Dialog Semiconductor PLC(a) | 61,416 | 2,807,242 |
DWS Group GmbH & Co. KGaA(a),(b) | 135,585 | 4,940,311 |
Eckert & Ziegler Strahlen- und Medizintechnik AG | 11,930 | 1,998,001 |
HelloFresh SE(a) | 76,268 | 4,079,948 |
LPKF Laser & Electronics AG | 59,671 | 1,294,891 |
MTU Aero Engines AG(a) | 33,548 | 5,840,724 |
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen, Registered Shares | 56,863 | 14,806,839 |
SAP SE | 40,310 | 5,634,913 |
Varta AG(a) | 38,398 | 4,333,087 |
Total | 84,615,020 | |
Hong Kong 3.3% | ||
CK Hutchison Holdings Ltd. | 400,000 | 2,590,235 |
Hong Kong Exchanges and Clearing Ltd. | 116,100 | 4,944,900 |
Kerry Properties Ltd. | 277,500 | 720,843 |
Sands China Ltd. | 4,196,800 | 16,532,196 |
Sun Hung Kai Properties Ltd. | 138,000 | 1,762,983 |
WH Group Ltd. | 25,192,500 | 21,771,218 |
Total | 48,322,375 | |
Ireland 0.1% | ||
Bank of Ireland Group PLC(a) | 550,776 | 1,134,886 |
6 | CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Italy 1.9% | ||
A2A SpA | 1,362,480 | 1,936,678 |
Enel SpA | 1,197,924 | 10,360,178 |
Ferrari NV | 42,510 | 7,281,765 |
Fiat Chrysler Automobiles NV(a) | 395,984 | 4,006,608 |
Intesa Sanpaolo SpA(a) | 1,157,985 | 2,225,288 |
Poste Italiane SpA | 321,876 | 2,811,664 |
Total | 28,622,181 | |
Japan 24.7% | ||
77 Bank Ltd. (The) | 155,200 | 2,314,612 |
Advantest Corp. | 225,100 | 12,846,566 |
Brother Industries Ltd. | 231,400 | 4,180,727 |
Chubu Electric Power Co., Inc. | 392,600 | 4,923,966 |
Dai-ichi Life Holdings, Inc. | 2,257,700 | 27,024,671 |
Daito Trust Construction Co., Ltd. | 75,200 | 6,930,539 |
Daiwa House Industry Co., Ltd. | 1,034,700 | 24,434,336 |
DIP Corp. | 132,300 | 2,687,426 |
East Japan Railway Co. | 293,500 | 20,338,161 |
Electric Power Development Co., Ltd. | 344,100 | 6,522,924 |
IT Holdings Corp. | 230,200 | 4,873,936 |
ITOCHU Techno-Solutions Corp. | 211,300 | 7,946,319 |
Japan Tobacco, Inc. | 90,300 | 1,677,120 |
Kansai Electric Power Co., Inc. (The) | 203,400 | 1,970,943 |
Kao Corp. | 33,200 | 2,634,679 |
KDDI Corp. | 319,100 | 9,521,033 |
Kureha Corp. | 79,400 | 3,490,983 |
Mitsubishi UFJ Financial Group, Inc. | 3,220,300 | 12,673,571 |
Murata Manufacturing Co., Ltd. | 221,800 | 13,074,778 |
Nihon Unisys Ltd. | 98,900 | 3,109,538 |
Nintendo Co., Ltd. | 23,600 | 10,550,825 |
Nishi-Nippon Financial Holdings, Inc. | 428,500 | 2,896,120 |
NTT DoCoMo, Inc. | 1,010,000 | 26,813,501 |
Omron Corp. | 126,600 | 8,479,446 |
Ono Pharmaceutical Co., Ltd. | 100,700 | 2,939,083 |
Oracle Corp. Japan | 63,800 | 7,567,488 |
ORIX Corp. | 363,000 | 4,507,464 |
Otsuka Corp. | 167,100 | 8,825,499 |
Sekisui Chemical Co., Ltd. | 557,700 | 7,990,577 |
Sekisui House Ltd. | 109,300 | 2,086,774 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Seven & I Holdings Co., Ltd. | 793,400 | 25,954,908 |
Shin-Etsu Chemical Co., Ltd. | 270,900 | 31,793,236 |
Shionogi & Co., Ltd. | 40,200 | 2,521,882 |
SoftBank Corp. | 599,100 | 7,636,269 |
Sumitomo Forestry Co., Ltd. | 256,800 | 3,230,812 |
Sumitomo Mitsui Financial Group, Inc. | 137,800 | 3,888,964 |
Sumitomo Mitsui Trust Holdings, Inc. | 171,200 | 4,824,478 |
T&D Holdings, Inc. | 356,900 | 3,065,489 |
Tokyo Electron Ltd. | 47,100 | 11,621,632 |
Tokyu Construction Co., Ltd. | 364,700 | 1,894,759 |
Trend Micro, Inc. | 84,800 | 4,739,005 |
West Japan Railway Co. | 137,600 | 7,717,843 |
Total | 364,722,882 | |
Netherlands 5.1% | ||
ArcelorMittal SA(a) | 122,196 | 1,294,283 |
ASML Holding NV | 34,906 | 12,769,070 |
Koninklijke Ahold Delhaize NV | 484,152 | 13,195,107 |
NN Group NV | 211,252 | 7,099,707 |
Royal Dutch Shell PLC, Class A | 390,362 | 6,389,978 |
Teladoc Health, Inc. | 145,365 | 22,378,450 |
Unilever NV | 214,783 | 11,451,748 |
Total | 74,578,343 | |
New Zealand 0.5% | ||
Fisher & Paykel Healthcare Corp., Ltd. | 329,529 | 7,591,298 |
Norway 1.4% | ||
DNB ASA(a) | 505,185 | 6,742,957 |
Equinor ASA | 188,785 | 2,719,575 |
Orkla | 326,139 | 2,863,368 |
Telenor ASA | 571,790 | 8,348,632 |
Total | 20,674,532 | |
Singapore 0.7% | ||
AEM Holdings Ltd. | 640,900 | 1,458,997 |
DBS Group Holdings Ltd. | 59,500 | 895,287 |
Oversea-Chinese Banking Corp., Ltd. | 586,200 | 3,820,730 |
United Overseas Bank Ltd. | 236,800 | 3,460,090 |
Total | 9,635,104 |
CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2020 | 7 |
June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Spain 1.4% | ||
Industria de Diseno Textil SA | 737,332 | 19,563,963 |
Viscofan SA | 22,363 | 1,459,752 |
Total | 21,023,715 | |
Sweden 4.6% | ||
Axfood AB | 379,434 | 8,295,205 |
EQT AB | 153,395 | 2,765,849 |
Essity AB, Class B(a) | 377,932 | 12,253,085 |
Evolution Gaming Group AB | 212,416 | 12,616,583 |
Lundin Energy AB | 98,816 | 2,411,667 |
Skandinaviska Enskilda Banken AB, Class A(a) | 722,759 | 6,273,944 |
SKF AB, Class B | 485,048 | 9,067,258 |
Swedish Match AB | 145,048 | 10,233,956 |
Volvo AB, B Shares(a) | 298,409 | 4,695,434 |
Total | 68,612,981 | |
Switzerland 11.6% | ||
Credit Suisse Group AG, Registered Shares(a) | 596,888 | 6,210,543 |
Geberit AG | 11,847 | 5,944,066 |
Nestlé SA, Registered Shares | 332,451 | 36,859,050 |
Novartis AG, Registered Shares | 591,709 | 51,550,320 |
Partners Group Holding AG | 8,133 | 7,406,664 |
Roche Holding AG, Genusschein Shares | 165,033 | 57,175,607 |
UBS AG | 582,589 | 6,728,358 |
Total | 171,874,608 | |
United Kingdom 12.3% | ||
Anglo American PLC | 229,716 | 5,295,694 |
AstraZeneca PLC | 50,079 | 5,211,944 |
Barclays Bank PLC | 13,476,257 | 19,012,290 |
British American Tobacco PLC | 59,299 | 2,274,284 |
Ferguson PLC | 55,301 | 4,521,774 |
Galiform PLC | 963,822 | 6,598,495 |
GlaxoSmithKline PLC | 647,077 | 13,070,762 |
IMI PLC | 290,015 | 3,308,704 |
Imperial Brands PLC | 266,207 | 5,067,690 |
Investec PLC | 586,459 | 1,176,778 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Persimmon PLC(a) | 487,117 | 13,786,174 |
Plus500 Ltd. | 320,872 | 5,233,651 |
RELX PLC | 1,467,207 | 33,959,643 |
Rio Tinto PLC | 89,922 | 5,060,502 |
Royal Bank of Scotland Group PLC | 3,963,040 | 5,949,498 |
Scottish & Southern Energy PLC | 911,837 | 15,440,252 |
Softcat PLC | 167,583 | 2,266,583 |
Spectris PLC | 56,644 | 1,769,139 |
Spirent Communications PLC | 1,079,866 | 3,230,835 |
Standard Chartered PLC | 796,007 | 4,314,993 |
Tate & Lyle PLC | 867,042 | 7,167,601 |
Taylor Wimpey PLC | 922,820 | 1,628,786 |
Vistry Group PLC | 631,231 | 5,560,068 |
Vodafone Group PLC | 6,469,430 | 10,284,848 |
Total | 181,190,988 | |
Total Common Stocks (Cost $1,296,432,197) | 1,433,583,427 |
Preferred Stocks 1.1% | |||
Issuer | Shares | Value ($) | |
Germany 1.1% | |||
Porsche Automobil Holding SE(a) | 119,725 | 6,934,321 | |
Schaeffler AG | 611,723 | 4,591,116 | |
Volkswagen AG | 24,860 | 3,778,722 | |
Total | 15,304,159 | ||
Total Preferred Stocks (Cost $20,996,096) | 15,304,159 |
Money Market Funds 1.1% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(c),(d) | 16,758,989 | 16,758,989 |
Total Money Market Funds (Cost $16,759,533) | 16,758,989 | |
Total Investments in Securities (Cost $1,334,187,826) | 1,465,646,575 | |
Other Assets & Liabilities, Net | 10,862,041 | |
Net Assets | $1,476,508,616 |
8 | CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
(a) | Non-income producing investment. |
(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, 2020, the total value of these securities amounted to $4,940,311, which represents 0.33% of total net assets. |
(c) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
(d) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | ||||||||
5,296,419 | 330,047,613 | (318,584,896) | (147) | 16,758,989 | (2,027) | 90,271 | 16,758,989 |
■ | 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® – Lazard International Equity Advantage Fund | Semiannual Report 2020 | 9 |
June 30, 2020 (Unaudited)
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2020:
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Australia | — | 89,242,743 | — | 89,242,743 |
Austria | — | 5,158,002 | — | 5,158,002 |
Belgium | — | 7,232,185 | — | 7,232,185 |
China | — | 4,218,347 | — | 4,218,347 |
Denmark | — | 75,415,831 | — | 75,415,831 |
Finland | — | 21,370,217 | — | 21,370,217 |
France | — | 148,347,189 | — | 148,347,189 |
Germany | — | 84,615,020 | — | 84,615,020 |
Hong Kong | — | 48,322,375 | — | 48,322,375 |
Ireland | — | 1,134,886 | — | 1,134,886 |
Italy | — | 28,622,181 | — | 28,622,181 |
Japan | — | 364,722,882 | — | 364,722,882 |
Netherlands | — | 74,578,343 | — | 74,578,343 |
New Zealand | — | 7,591,298 | — | 7,591,298 |
Norway | — | 20,674,532 | — | 20,674,532 |
Singapore | — | 9,635,104 | — | 9,635,104 |
Spain | — | 21,023,715 | — | 21,023,715 |
Sweden | — | 68,612,981 | — | 68,612,981 |
Switzerland | — | 171,874,608 | — | 171,874,608 |
United Kingdom | — | 181,190,988 | — | 181,190,988 |
Total Common Stocks | — | 1,433,583,427 | — | 1,433,583,427 |
Preferred Stocks | ||||
Germany | — | 15,304,159 | — | 15,304,159 |
Total Preferred Stocks | — | 15,304,159 | — | 15,304,159 |
Money Market Funds | 16,758,989 | — | — | 16,758,989 |
Total Investments in Securities | 16,758,989 | 1,448,887,586 | — | 1,465,646,575 |
10 | CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,317,428,293) | $1,448,887,586 |
Affiliated issuers (cost $16,759,533) | 16,758,989 |
Receivable for: | |
Capital shares sold | 105,476 |
Dividends | 2,287,990 |
Foreign tax reclaims | 9,729,007 |
Trustees’ deferred compensation plan | 111,489 |
Other assets | 24,808 |
Total assets | 1,477,905,345 |
Liabilities | |
Due to custodian | 15,335 |
Foreign currency (cost $28,146) | 27,712 |
Payable for: | |
Capital shares purchased | 1,076,818 |
Management services fees | 33,040 |
Distribution and/or service fees | 150 |
Service fees | 508 |
Compensation of board members | 5,467 |
Compensation of chief compliance officer | 275 |
Custodian fees | 125,935 |
Trustees’ deferred compensation plan | 111,489 |
Total liabilities | 1,396,729 |
Net assets applicable to outstanding capital stock | $1,476,508,616 |
Represented by | |
Paid in capital | 1,647,103,913 |
Total distributable earnings (loss) | (170,595,297) |
Total - representing net assets applicable to outstanding capital stock | $1,476,508,616 |
Class 1 | |
Net assets | $1,454,378,717 |
Shares outstanding | 150,256,609 |
Net asset value per share | $9.68 |
Class 2 | |
Net assets | $22,129,899 |
Shares outstanding | 2,288,321 |
Net asset value per share | $9.67 |
CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2020 | 11 |
Six Months Ended June 30, 2020 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $51,211,889 |
Dividends — affiliated issuers | 90,271 |
Foreign taxes withheld | (5,302,177) |
Total income | 45,999,983 |
Expenses: | |
Management services fees | 9,592,325 |
Distribution and/or service fees | |
Class 2 | 27,150 |
Service fees | 6,083 |
Compensation of board members | 24,307 |
Custodian fees | 160,455 |
Printing and postage fees | 5,357 |
Audit fees | 59,515 |
Legal fees | 33,538 |
Compensation of chief compliance officer | 517 |
Other | 34,939 |
Total expenses | 9,944,186 |
Net investment income | 36,055,797 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (223,912,677) |
Investments — affiliated issuers | (2,027) |
Foreign currency translations | (754,599) |
Net realized loss | (224,669,303) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (193,188,934) |
Investments — affiliated issuers | (147) |
Foreign currency translations | 125,820 |
Net change in unrealized appreciation (depreciation) | (193,063,261) |
Net realized and unrealized loss | (417,732,564) |
Net decrease in net assets resulting from operations | $(381,676,767) |
12 | CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2020 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||
Net investment income | $36,055,797 | $74,091,611 |
Net realized loss | (224,669,303) | (108,099,124) |
Net change in unrealized appreciation (depreciation) | (193,063,261) | 495,888,047 |
Net increase (decrease) in net assets resulting from operations | (381,676,767) | 461,880,534 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (4,449,199) | (100,913,605) |
Class 2 | (36,072) | (687,709) |
Total distributions to shareholders | (4,485,271) | (101,601,314) |
Decrease in net assets from capital stock activity | (1,166,974,746) | (135,770,094) |
Total increase (decrease) in net assets | (1,553,136,784) | 224,509,126 |
Net assets at beginning of period | 3,029,645,400 | 2,805,136,274 |
Net assets at end of period | $1,476,508,616 | $3,029,645,400 |
Six Months Ended | Year Ended | |||
June 30, 2020 (Unaudited) | December 31, 2019 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 4,823,540 | 43,101,565 | 4,482,831 | 47,157,586 |
Distributions reinvested | 516,748 | 4,449,199 | 9,539,041 | 100,913,605 |
Redemptions | (126,633,899) | (1,215,155,494) | (26,852,935) | (286,602,283) |
Net decrease | (121,293,611) | (1,167,604,730) | (12,831,063) | (138,531,092) |
Class 2 | ||||
Subscriptions | 251,300 | 2,410,803 | 433,206 | 4,548,563 |
Distributions reinvested | 4,189 | 36,072 | 65,003 | 687,709 |
Redemptions | (188,529) | (1,816,891) | (235,575) | (2,475,274) |
Net increase | 66,960 | 629,984 | 262,634 | 2,760,998 |
Total net decrease | (121,226,651) | (1,166,974,746) | (12,568,429) | (135,770,094) |
CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2020 | 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 6/30/2020 (Unaudited) | $11.07 | 0.14 | (1.51) | (1.37) | (0.02) | — | (0.02) |
Year Ended 12/31/2019 | $9.80 | 0.26 | 1.37 | 1.63 | (0.31) | (0.05) | (0.36) |
Year Ended 12/31/2018 | $11.97 | 0.26 | (2.14) | (1.88) | (0.25) | (0.04) | (0.29) |
Year Ended 12/31/2017 | $9.78 | 0.21 | 2.13 | 2.34 | (0.15) | — | (0.15) |
Year Ended 12/31/2016 | $9.60 | 0.20 | 0.18 | 0.38 | (0.20) | — | (0.20) |
Year Ended 12/31/2015 | $10.24 | 0.24 | (0.58) | (0.34) | (0.30) | — | (0.30) |
Class 2 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $11.07 | 0.12 | (1.50) | (1.38) | (0.02) | — | (0.02) |
Year Ended 12/31/2019 | $9.79 | 0.23 | 1.38 | 1.61 | (0.28) | (0.05) | (0.33) |
Year Ended 12/31/2018 | $11.96 | 0.23 | (2.13) | (1.90) | (0.23) | (0.04) | (0.27) |
Year Ended 12/31/2017 | $9.78 | 0.17 | 2.13 | 2.30 | (0.12) | — | (0.12) |
Year Ended 12/31/2016 | $9.60 | 0.16 | 0.21 | 0.37 | (0.19) | — | (0.19) |
Year Ended 12/31/2015 | $10.25 | 0.21 | (0.58) | (0.37) | (0.28) | — | (0.28) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Annualized. |
14 | CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2020 |
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 6/30/2020 (Unaudited) | $9.68 | (12.39%) | 0.81%(c) | 0.81%(c) | 2.93%(c) | 48% | $1,454,379 |
Year Ended 12/31/2019 | $11.07 | 16.82% | 0.79% | 0.79% | 2.46% | 62% | $3,005,054 |
Year Ended 12/31/2018 | $9.80 | (15.98%) | 0.79% | 0.79% | 2.28% | 73% | $2,785,951 |
Year Ended 12/31/2017 | $11.97 | 24.05% | 0.83% | 0.83% | 1.90% | 71% | $3,009,266 |
Year Ended 12/31/2016 | $9.78 | 4.06% | 0.91% | 0.91% | 2.11% | 129% | $1,327,954 |
Year Ended 12/31/2015 | $9.60 | (3.37%) | 0.92% | 0.92% | 2.35% | 12% | $1,240,134 |
Class 2 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $9.67 | (12.48%) | 1.06%(c) | 1.06%(c) | 2.54%(c) | 48% | $22,130 |
Year Ended 12/31/2019 | $11.07 | 16.58% | 1.04% | 1.04% | 2.18% | 62% | $24,591 |
Year Ended 12/31/2018 | $9.79 | (16.21%) | 1.04% | 1.04% | 2.04% | 73% | $19,185 |
Year Ended 12/31/2017 | $11.96 | 23.64% | 1.08% | 1.08% | 1.55% | 71% | $17,987 |
Year Ended 12/31/2016 | $9.78 | 3.87% | 1.17% | 1.17% | 1.68% | 129% | $5,764 |
Year Ended 12/31/2015 | $9.60 | (3.71%) | 1.17% | 1.17% | 2.09% | 12% | $3,452 |
CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2020 | 15 |
June 30, 2020 (Unaudited)
16 | CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2020 | 17 |
June 30, 2020 (Unaudited)
18 | CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Fee rate(s) contractual through April 30, 2021 | |
Class 1 | 0.88% |
Class 2 | 1.13 |
CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2020 | 19 |
June 30, 2020 (Unaudited)
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
1,334,188,000 | 220,875,000 | (89,416,000) | 131,459,000 |
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
(62,446,053) | (46,096,718) | (108,542,771) |
20 | CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2020 | 21 |
June 30, 2020 (Unaudited)
22 | CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2020 | 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 | CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2020 |
• | 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 the Investment Manager, as well as performance relative to benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by the Investment Manager; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund through April 30, 2021 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; |
• | The terms and conditions of the Agreements; |
• | The subadvisory fees payable by the Investment Manager under the Subadvisory Agreement; |
• | The current and proposed terms and conditions 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 distribution, transfer agency and shareholder services to the Fund; |
• | Descriptions of various functions performed by the Investment Manager and the Subadviser under the 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 reputation, regulatory history and resources of the Investment Manager and 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, including an assessment of the Investment Manager’s and the Subadviser’s compliance system by the Fund’s Chief Compliance Officer; and |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund. |
CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2020 | 25 |
26 | CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2020 |
CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2020 | 27 |
28 | CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2020 |
Trustee | Votes For | Votes Withheld | Abstentions |
Janet L. Carrig | 26,231,108,809 | 1,129,334,152 | 0 |
J. Kevin Connaughton | 26,249,644,638 | 1,110,798,323 | 0 |
Olive Darragh | 26,323,990,658 | 1,036,452,304 | 0 |
Douglas A. Hacker | 26,255,762,920 | 1,104,680,042 | 0 |
Nancy T. Lukitsh | 26,332,381,722 | 1,028,061,240 | 0 |
David M. Moffett | 26,252,719,395 | 1,107,723,567 | 0 |
John J. Neuhauser | 26,222,694,456 | 1,137,748,505 | 0 |
Christopher O. Petersen | 26,265,703,212 | 1,094,739,749 | 0 |
Patrick J. Simpson | 26,222,908,024 | 1,137,534,938 | 0 |
Natalie A. Trunow | 26,340,164,732 | 1,020,278,229 | 0 |
CTIVP® – Lazard International Equity Advantage Fund | Semiannual Report 2020 | 29 |
June 30, 2020
3 | |
5 | |
6 | |
12 | |
13 | |
14 | |
16 | |
18 | |
30 | |
30 | |
34 |
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | Life | ||
Class 1* | 02/20/19 | 0.89 | 5.11 | 4.30 | 4.35 | |
Class 2 | 04/12/13 | 0.82 | 4.88 | 4.22 | 4.30 | |
Blended Benchmark | 2.21 | 7.19 | 5.70 | 5.54 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | 6.14 | 8.74 | 4.30 | 3.39 |
* | 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 Conservative Growth Fund | Semiannual Report 2020 | 3 |
(Unaudited)
Portfolio Allocation (%) (at June 30, 2020) | |
Allocations to Underlying Funds | |
Equity Funds | 28.6 |
International | 7.6 |
U.S. Large Cap | 16.9 |
U.S. Mid Cap | 1.9 |
U.S. Small Cap | 2.2 |
Exchange-Traded Equity Funds | 4.4 |
International Mid Large Cap | 0.9 |
U.S. Large Cap | 3.5 |
Exchange-Traded Fixed Income Funds | 4.4 |
Investment Grade | 4.4 |
Fixed Income Funds | 36.2 |
Investment Grade | 36.2 |
Allocations to Tactical Assets | |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 14.3 |
Options Purchased Puts | 1.0 |
Residential Mortgage-Backed Securities - Agency | 11.1 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $245.0 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 |
(Unaudited)
January 1, 2020 — June 30, 2020 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,008.90 | 1,023.42 | 1.45 | 1.46 | 0.29 | 3.65 | 3.67 | 0.73 |
Class 2 | 1,000.00 | 1,000.00 | 1,008.20 | 1,022.18 | 2.70 | 2.72 | 0.54 | 4.89 | 4.93 | 0.98 |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 | 5 |
June 30, 2020 (Unaudited)
Equity Funds 31.8% | ||
Shares | Value ($) | |
International 8.4% | ||
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(a) | 2,474,158 | 29,046,609 |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares(a) | 2,478,331 | 23,990,244 |
Variable Portfolio - Partners International Core Equity Fund, Class 1 Shares(a) | 4,471,907 | 43,914,131 |
Variable Portfolio - Partners International Growth Fund, Class 1 Shares(a) | 1,485,030 | 16,394,735 |
Variable Portfolio - Partners International Value Fund, Class 1 Shares(a) | 2,235,920 | 16,814,119 |
Total | 130,159,838 | |
U.S. Large Cap 18.8% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 973,800 | 25,679,110 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 1,332,944 | 75,844,512 |
Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares(a),(b) | 658,337 | 16,932,424 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 1,002,528 | 24,241,131 |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 1,038,494 | 12,326,924 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 548,134 | 12,919,520 |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares(a),(b) | 527,138 | 21,744,452 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares(a),(b) | 576,439 | 21,921,971 |
CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 543,688 | 13,782,477 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 491,353 | 23,162,394 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 586,868 | 12,535,494 |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares(a),(b) | 1,263,208 | 28,763,252 |
Total | 289,853,661 |
Equity Funds (continued) | ||
Shares | Value ($) | |
U.S. Mid Cap 2.1% | ||
Columbia Variable Portfolio – Mid Cap Growth Fund, Class 1 Shares(a),(b) | 197,347 | 6,840,065 |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares(a),(b) | 302,859 | 6,272,209 |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(a),(b) | 372,862 | 9,634,747 |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(a),(b) | 314,780 | 10,072,946 |
Total | 32,819,967 | |
U.S. Small Cap 2.5% | ||
Columbia Variable Portfolio - Small Cap Value Fund, Class 1 Shares(a) | 502,848 | 6,245,373 |
Columbia Variable Portfolio - Small Company Growth Fund, Class 1 Shares(a),(b) | 351,518 | 7,533,028 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 497,631 | 12,530,351 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 560,032 | 12,550,308 |
Total | 38,859,060 | |
Total Equity Funds (Cost $360,983,953) | 491,692,526 | |
Exchange-Traded Equity Funds 4.9% | ||
International Mid Large Cap 1.0% | ||
iShares MSCI EAFE ETF | 258,987 | 15,764,539 |
U.S. Large Cap 3.9% | ||
SPDR S&P 500 ETF Trust | 193,625 | 59,706,205 |
Total Exchange-Traded Equity Funds (Cost $53,418,695) | 75,470,744 | |
Exchange-Traded Fixed Income Funds 4.9% | ||
Investment Grade 4.9% | ||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 518,500 | 69,738,250 |
Vanguard Intermediate-Term Corporate Bond ETF | 70,000 | 6,659,800 |
Total | 76,398,050 | |
Total Exchange-Traded Fixed Income Funds (Cost $71,197,256) | 76,398,050 | |
6 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Fixed Income Funds 40.2% | ||
Shares | Value ($) | |
Investment Grade 40.2% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a),(b) | 10,802,945 | 122,721,456 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a),(b) | 3,649,077 | 36,746,209 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a),(b) | 5,262,798 | 65,890,231 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a),(b) | 3,228,288 | 35,349,750 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a),(b) | 7,267,340 | 83,501,731 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a),(b) | 10,530,903 | 123,106,259 |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a),(b) | 1,144,365 | 12,130,272 |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares(a),(b) | 12,017,380 | 142,045,434 |
Total | 621,491,342 | |
Total Fixed Income Funds (Cost $563,296,741) | 621,491,342 |
Residential Mortgage-Backed Securities - Agency 12.3% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(c) | ||||
07/16/2035 | 2.500% | 39,521,000 | 41,376,635 | |
07/16/2035- 07/14/2050 | 3.000% | 84,684,000 | 89,134,523 | |
07/14/2050 | 3.500% | 56,611,000 | 59,541,061 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $189,943,835) | 190,052,219 |
Options Purchased Puts 1.1% | ||||
Value ($) | ||||
(Cost $15,872,375) | 17,959,660 |
Money Market Funds 15.8% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(a),(d) | 245,016,839 | 245,016,839 |
Total Money Market Funds (Cost $244,984,630) | 245,016,839 | |
Total Investments in Securities (Cost: $1,499,697,485) | 1,718,081,380 | |
Other Assets & Liabilities, Net | (170,910,832) | |
Net Assets | 1,547,170,548 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
British Pound | 18 | 09/2020 | USD | 1,394,663 | — | (37,991) |
Japanese Yen | 24 | 09/2020 | USD | 2,781,300 | 7,441 | — |
MSCI Singapore Index | 17 | 07/2020 | SGD | 502,945 | — | (5,800) |
S&P 500 Index E-mini | 419 | 09/2020 | USD | 64,739,690 | 1,854,616 | — |
U.S. Long Bond | 174 | 09/2020 | USD | 31,069,875 | 57,826 | — |
U.S. Treasury 10-Year Note | 277 | 09/2020 | USD | 38,550,609 | 101,157 | — |
U.S. Treasury 2-Year Note | 168 | 09/2020 | USD | 37,099,125 | 4,038 | — |
U.S. Treasury 5-Year Note | 616 | 09/2020 | USD | 77,457,188 | 167,177 | — |
U.S. Ultra Treasury Bond | 25 | 09/2020 | USD | 5,453,906 | — | (20,558) |
Total | 2,192,255 | (64,349) |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 | 7 |
June 30, 2020 (Unaudited)
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Australian Dollar | (24) | 09/2020 | USD | (1,656,000) | 29,191 | — |
Canadian Dollar | (7) | 09/2020 | USD | (515,340) | 8,458 | — |
Euro FX | (6) | 09/2020 | USD | (844,013) | — | (1,570) |
EURO STOXX 50 Index | (197) | 09/2020 | EUR | (6,349,310) | — | (241,790) |
FTSE 100 Index | (53) | 09/2020 | GBP | (3,258,175) | — | (49,158) |
Hang Seng Index | (33) | 07/2020 | HKD | (40,007,550) | 17,056 | — |
New Zealand Dollar | (10) | 09/2020 | USD | (645,500) | 10,513 | — |
OMXS30 Index | (426) | 07/2020 | SEK | (70,982,250) | — | (324,376) |
Russell 2000 Index E-mini | (326) | 09/2020 | USD | (23,432,880) | — | (1,368,378) |
S&P 500 Index E-mini | (570) | 09/2020 | USD | (88,070,700) | — | (1,981,631) |
S&P/TSX 60 Index | (48) | 09/2020 | CAD | (8,913,600) | — | (199,959) |
Swiss Franc | (13) | 09/2020 | USD | (1,719,250) | — | (15,892) |
TOPIX Index | (13) | 09/2020 | JPY | (202,605,000) | — | (28,100) |
Total | 65,218 | (4,210,854) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 155,014,500 | 500 | 2,500.00 | 12/17/2021 | 8,434,359 | 9,175,000 |
S&P 500 Index | JPMorgan | USD | 95,488,932 | 308 | 2,600.00 | 12/17/2021 | 5,305,355 | 6,951,560 |
S&P 500 Index | JPMorgan | USD | 35,653,335 | 115 | 2,400.00 | 12/17/2021 | 2,132,661 | 1,833,100 |
Total | 15,872,375 | 17,959,660 |
(a) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | |||||||||
279,577,260 | 190,364,828 | (224,965,149) | 39,900 | 245,016,839 | — | 7,210 | 1,280,308 | 245,016,839 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
26,081,069 | 689,850 | (625,798) | (466,011) | 25,679,110 | — | 211,851 | — | 973,800 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
76,543,935 | 2,869,647 | (1,776,529) | (1,792,541) | 75,844,512 | — | 160,248 | — | 1,332,944 | |
Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares | |||||||||
17,903,007 | 1,357,507 | (36,220) | (2,291,870) | 16,932,424 | — | 2,735 | — | 658,337 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
117,907,590 | 1,092,632 | (3,832,875) | 7,554,109 | 122,721,456 | — | 84,061 | — | 10,802,945 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
23,914,473 | 238,845 | (1,444,171) | 1,531,984 | 24,241,131 | — | 954,934 | — | 1,002,528 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
35,856,087 | 385,875 | (659,794) | 1,164,041 | 36,746,209 | — | (45,656) | — | 3,649,077 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
62,599,357 | 199,887 | (4,720,102) | 7,811,089 | 65,890,231 | — | 725,434 | — | 5,262,798 | |
Columbia Variable Portfolio – Mid Cap Growth Fund, Class 1 Shares | |||||||||
6,764,205 | 176,087 | (358,320) | 258,093 | 6,840,065 | — | 77,706 | — | 197,347 |
8 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Affiliated issuers | Beginning of period($) | 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 – Overseas Core Fund, Class 1 Shares | |||||||||
— | 29,420,413 | — | (373,804) | 29,046,609 | 362,672 | — | 148,054 | 2,474,158 | |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares | |||||||||
12,421,820 | 287,548 | (371,817) | (10,627) | 12,326,924 | — | 46,016 | — | 1,038,494 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
13,679,283 | 1,246,607 | (66,567) | (1,939,803) | 12,919,520 | — | 31,788 | — | 548,134 | |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares | |||||||||
6,790,011 | 816,224 | (31,133) | (1,302,893) | 6,272,209 | — | 3,079 | — | 302,859 | |
Columbia Variable Portfolio - Small Cap Value Fund, Class 1 Shares | |||||||||
6,418,653 | 1,038,689 | — | (1,211,969) | 6,245,373 | — | — | — | 502,848 | |
Columbia Variable Portfolio - Small Company Growth Fund, Class 1 Shares | |||||||||
6,326,936 | 160,936 | (224,617) | 1,269,773 | 7,533,028 | — | 46,885 | — | 351,518 | |
Columbia Variable Portfolio – U.S. Equities Fund, Class 1 Shares | |||||||||
1,622,596 | — | (1,010,188) | (612,408) | — | — | 108,545 | — | — | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
34,665,227 | 456,363 | (835,827) | 1,063,987 | 35,349,750 | — | 4,124 | — | 3,228,288 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
81,215,008 | 753,184 | (1,966,679) | 3,500,218 | 83,501,731 | — | (9,367) | — | 7,267,340 | |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares | |||||||||
48,290,833 | 4,511,310 | (25,229,634) | (3,582,265) | 23,990,244 | — | (2,449,846) | 74,534 | 2,478,331 | |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
21,528,957 | 163,713 | (1,312,546) | 1,364,328 | 21,744,452 | — | 740,547 | — | 527,138 | |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares | |||||||||
21,495,654 | 311,692 | (1,298,661) | 1,413,286 | 21,921,971 | — | 571,014 | — | 576,439 | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
14,613,026 | 1,098,252 | (81,856) | (1,846,945) | 13,782,477 | — | 9,115 | — | 543,688 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
21,016,006 | 202,377 | (2,938,991) | 4,883,002 | 23,162,394 | — | 1,648,009 | — | 491,353 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
13,483,531 | 1,503,383 | (40,199) | (2,411,221) | 12,535,494 | — | 4,728 | — | 586,868 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
118,979,974 | 1,077,594 | (4,103,209) | 7,151,900 | 123,106,259 | — | 112,557 | — | 10,530,903 | |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares | |||||||||
10,074,114 | 1,005,576 | (50,232) | (1,394,711) | 9,634,747 | — | (408) | — | 372,862 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
11,898,172 | 185,849 | (319,129) | 365,381 | 12,130,273 | — | 4,405 | — | 1,144,365 | |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares | |||||||||
10,285,151 | 369,644 | (433,205) | (148,644) | 10,072,946 | — | 189,261 | — | 314,780 | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | |||||||||
137,270,041 | 1,276,982 | (4,549,011) | 8,047,422 | 142,045,434 | — | 113,203 | — | 12,017,380 | |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares | |||||||||
29,261,237 | 1,191,276 | (485,388) | (1,203,873) | 28,763,252 | — | 49,284 | — | 1,263,208 | |
Variable Portfolio - Partners International Core Equity Fund, Class 1 Shares | |||||||||
48,315,671 | 4,213,938 | (4,344,992) | (4,270,487) | 43,914,130 | 143,560 | (526,728) | 97,428 | 4,471,908 |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 | 9 |
June 30, 2020 (Unaudited)
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Variable Portfolio - Partners International Growth Fund, Class 1 Shares | |||||||||
19,291,378 | 1,096,823 | (3,460,900) | (532,566) | 16,394,735 | 182,515 | (16,362) | 40,318 | 1,485,030 | |
Variable Portfolio - Partners International Value Fund, Class 1 Shares | |||||||||
18,932,660 | 3,278,211 | (1,577,847) | (3,818,905) | 16,814,119 | — | (342,955) | 120,634 | 2,235,920 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
12,381,369 | 659,533 | (550,832) | 40,281 | 12,530,351 | — | 28,470 | — | 497,631 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
13,425,677 | 2,077,022 | (10,585) | (2,941,806) | 12,550,308 | — | 176 | — | 560,031 | |
Total | 1,380,829,968 | 15,305,445 | 1,358,200,707 | 688,747 | 2,544,063 | 1,761,276 |
(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, 2020. |
TBA | To Be Announced |
CAD | Canada Dollar |
EUR | Euro |
GBP | British Pound |
HKD | Hong Kong Dollar |
JPY | Japanese Yen |
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). |
10 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 |
June 30, 2020 (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 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Equity Funds | — | — | — | 491,692,526 | 491,692,526 |
Exchange-Traded Equity Funds | 75,470,744 | — | — | — | 75,470,744 |
Exchange-Traded Fixed Income Funds | 76,398,050 | — | — | — | 76,398,050 |
Fixed Income Funds | — | — | — | 621,491,342 | 621,491,342 |
Residential Mortgage-Backed Securities - Agency | — | 190,052,219 | — | — | 190,052,219 |
Options Purchased Puts | 17,959,660 | — | — | — | 17,959,660 |
Money Market Funds | 245,016,839 | — | — | — | 245,016,839 |
Total Investments in Securities | 414,845,293 | 190,052,219 | — | 1,113,183,868 | 1,718,081,380 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 2,257,473 | — | — | — | 2,257,473 |
Liability | |||||
Futures Contracts | (4,275,203) | — | — | — | (4,275,203) |
Total | 412,827,563 | 190,052,219 | — | 1,113,183,868 | 1,716,063,650 |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 | 11 |
June 30, 2020 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $314,559,786) | $341,921,013 |
Affiliated issuers (cost $1,169,265,324) | 1,358,200,707 |
Options purchased (cost $15,872,375) | 17,959,660 |
Cash collateral held at broker for: | |
TBA | 77,000 |
Margin deposits on: | |
Futures contracts | 20,036,631 |
Receivable for: | |
Investments sold | 1,180,296 |
Dividends | 318,815 |
Interest | 208,799 |
Variation margin for futures contracts | 979,553 |
Trustees’ deferred compensation plan | 75,695 |
Total assets | 1,740,958,169 |
Liabilities | |
Payable for: | |
Investments purchased on a delayed delivery basis | 190,152,634 |
Capital shares purchased | 1,686,138 |
Variation margin for futures contracts | 1,735,212 |
Management services fees | 9,163 |
Distribution and/or service fees | 10,530 |
Service fees | 75,799 |
Compensation of board members | 3,812 |
Compensation of chief compliance officer | 133 |
Other expenses | 38,505 |
Trustees’ deferred compensation plan | 75,695 |
Total liabilities | 193,787,621 |
Net assets applicable to outstanding capital stock | $1,547,170,548 |
Represented by | |
Trust capital | $1,547,170,548 |
Total - representing net assets applicable to outstanding capital stock | $1,547,170,548 |
Class 1 | |
Net assets | $297,016 |
Shares outstanding | 21,853 |
Net asset value per share | $13.59 |
Class 2 | |
Net assets | $1,546,873,532 |
Shares outstanding | 114,182,306 |
Net asset value per share | $13.55 |
12 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 |
Six Months Ended June 30, 2020 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $1,501,121 |
Dividends — affiliated issuers | 1,761,276 |
Interest | 22,653 |
Total income | 3,285,050 |
Expenses: | |
Management services fees | 1,611,176 |
Distribution and/or service fees | |
Class 2 | 1,861,903 |
Service fees | 447,138 |
Compensation of board members | 16,275 |
Custodian fees | 15,460 |
Printing and postage fees | 17,382 |
Audit fees | 19,642 |
Legal fees | 18,407 |
Compensation of chief compliance officer | 265 |
Other | 17,299 |
Total expenses | 4,024,947 |
Net investment loss | (739,897) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 2,205,949 |
Investments — affiliated issuers | 2,544,063 |
Capital gain distributions from underlying affiliated funds | 688,747 |
Foreign currency translations | 117,724 |
Futures contracts | (27,214,586) |
Options purchased | 21,928,975 |
Net realized gain | 270,872 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (2,351,623) |
Investments — affiliated issuers | 15,305,445 |
Foreign currency translations | 29,546 |
Futures contracts | (5,241,701) |
Options purchased | 4,650,370 |
Net change in unrealized appreciation (depreciation) | 12,392,037 |
Net realized and unrealized gain | 12,662,909 |
Net increase in net assets resulting from operations | $11,923,012 |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 | 13 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||
Net investment income (loss) | $(739,897) | $22,377,977 |
Net realized gain | 270,872 | 18,677,232 |
Net change in unrealized appreciation (depreciation) | 12,392,037 | 141,835,609 |
Net increase in net assets resulting from operations | 11,923,012 | 182,890,818 |
Increase in net assets from capital stock activity | 14,315,711 | 37,059,723 |
Total increase in net assets | 26,238,723 | 219,950,541 |
Net assets at beginning of period | 1,520,931,825 | 1,300,981,284 |
Net assets at end of period | $1,547,170,548 | $1,520,931,825 |
Six Months Ended | Year Ended | |||
June 30, 2020 (Unaudited) | December 31, 2019 (a) | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 11,103 | 141,983 | 15,903 | 209,249 |
Redemptions | (4,630) | (59,011) | (523) | (6,781) |
Net increase | 6,473 | 82,972 | 15,380 | 202,468 |
Class 2 | ||||
Subscriptions | 4,600,791 | 60,444,522 | 7,647,751 | 98,451,288 |
Redemptions | (3,533,399) | (46,211,783) | (4,845,056) | (61,594,033) |
Net increase | 1,067,392 | 14,232,739 | 2,802,695 | 36,857,255 |
Total net increase | 1,073,865 | 14,315,711 | 2,818,075 | 37,059,723 |
(a) | Class 1 shares are based on operations from February 20, 2019 (commencement of operations) through the stated period end. |
14 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 | 15 |
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 6/30/2020 (Unaudited) | $13.47 | 0.01 | 0.11 | 0.12 |
Year Ended 12/31/2019(d) | $12.36 | 0.16 | 0.95 | 1.11 |
Class 2 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $13.44 | (0.01) | 0.12 | 0.11 |
Year Ended 12/31/2019 | $11.79 | 0.20 | 1.45 | 1.65 |
Year Ended 12/31/2018 | $12.32 | 0.15 | (0.68) | (0.53) |
Year Ended 12/31/2017 | $11.08 | 0.11 | 1.13 | 1.24 |
Year Ended 12/31/2016 | $10.74 | 0.07 | 0.27 | 0.34 |
Year Ended 12/31/2015 | $10.94 | 0.09 | (0.29) | (0.20) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Annualized. |
(d) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
16 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 |
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 6/30/2020 (Unaudited) | $13.59 | 0.89% | 0.29%(c) | 0.29%(c) | 0.15%(c) | 71% | $297 |
Year Ended 12/31/2019(d) | $13.47 | 8.98% | 0.29%(c) | 0.29%(c) | 1.46%(c) | 137% | $207 |
Class 2 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $13.55 | 0.82% | 0.54%(c) | 0.54%(c) | (0.10%)(c) | 71% | $1,546,874 |
Year Ended 12/31/2019 | $13.44 | 14.00% | 0.54% | 0.54% | 1.58% | 137% | $1,520,725 |
Year Ended 12/31/2018 | $11.79 | (4.30%) | 0.54% | 0.54% | 1.21% | 101% | $1,300,981 |
Year Ended 12/31/2017 | $12.32 | 11.19% | 0.53% | 0.53% | 0.95% | 100% | $1,425,498 |
Year Ended 12/31/2016 | $11.08 | 3.17% | 0.51% | 0.51% | 0.64% | 108% | $1,358,964 |
Year Ended 12/31/2015 | $10.74 | (1.83%) | 0.52% | 0.52% | 0.83% | 118% | $936,541 |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 | 17 |
June 30, 2020 (Unaudited)
18 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 | 19 |
June 30, 2020 (Unaudited)
20 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 | 21 |
June 30, 2020 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 1,871,672* |
Equity risk | Investments, at value — Options Purchased | 17,959,660 |
Foreign exchange risk | Component of trust capital — unrealized appreciation on futures contracts | 55,603* |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 330,198* |
Total | 20,217,133 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 4,199,192* |
Foreign exchange risk | Component of trust capital - unrealized depreciation on futures contracts | 55,453* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 20,558* |
Total | 4,275,203 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | (35,503,790) | 21,928,975 | (13,574,815) |
Foreign exchange risk | (1,136,104) | — | (1,136,104) |
Interest rate risk | 9,425,308 | — | 9,425,308 |
Total | (27,214,586) | 21,928,975 | (5,285,611) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | (6,357,451) | 4,650,370 | (1,707,081) |
Foreign exchange risk | (219,314) | — | (219,314) |
Interest rate risk | 1,335,064 | — | 1,335,064 |
Total | (5,241,701) | 4,650,370 | (591,331) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 270,538,892 |
Futures contracts — short | 90,186,561 |
22 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Derivative instrument | Average value ($)* |
Options contracts — purchased | 16,553,818 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2020. |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 | 23 |
June 30, 2020 (Unaudited)
JPMorgan ($) | |
Assets | |
Options purchased puts | 17,959,660 |
Total financial and derivative net assets | 17,959,660 |
Total collateral received (pledged) (a) | - |
Net amount (b) | 17,959,660 |
(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. |
24 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 | 25 |
June 30, 2020 (Unaudited)
May 1, 2020 through April 30, 2021 | Prior to May 1, 2020 | |
Class 1 | 0.80% | 0.85% |
Class 2 | 1.05 | 1.10 |
26 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 | 27 |
June 30, 2020 (Unaudited)
28 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 | 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 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 |
• | 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 the Investment Manager, as well as performance relative to benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by the Investment Manager; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund through April 30, 2021 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; |
• | The terms and conditions of the Management Agreement; |
• | The current and proposed terms and conditions 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 distribution, transfer agency and shareholder services to the Fund; |
• | Descriptions of various functions 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 reputation, regulatory history and 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, including an assessment of the Investment Manager’s compliance system by the Fund’s Chief Compliance Officer; and |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund. |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 | 31 |
32 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 | 33 |
Trustee | Votes For | Votes Withheld | Abstentions |
Janet L. Carrig | 26,231,108,809 | 1,129,334,152 | 0 |
J. Kevin Connaughton | 26,249,644,638 | 1,110,798,323 | 0 |
Olive Darragh | 26,323,990,658 | 1,036,452,304 | 0 |
Douglas A. Hacker | 26,255,762,920 | 1,104,680,042 | 0 |
Nancy T. Lukitsh | 26,332,381,722 | 1,028,061,240 | 0 |
David M. Moffett | 26,252,719,395 | 1,107,723,567 | 0 |
John J. Neuhauser | 26,222,694,456 | 1,137,748,505 | 0 |
Christopher O. Petersen | 26,265,703,212 | 1,094,739,749 | 0 |
Patrick J. Simpson | 26,222,908,024 | 1,137,534,938 | 0 |
Natalie A. Trunow | 26,340,164,732 | 1,020,278,229 | 0 |
34 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2020 |
June 30, 2020
3 | |
5 | |
6 | |
13 | |
14 | |
15 | |
16 | |
18 | |
31 | |
31 | |
35 |
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | Life | ||
Class 1* | 02/20/19 | -1.94 | 3.31 | 4.44 | 5.49 | |
Class 2 | 04/12/13 | -2.07 | 3.02 | 4.37 | 5.43 | |
Blended Benchmark | -1.31 | 5.57 | 6.78 | 7.33 | ||
Russell 3000 Index | -3.48 | 6.53 | 10.03 | 11.56 |
* | 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 Growth Fund | Semiannual Report 2020 | 3 |
(Unaudited)
Portfolio Allocation (%) (at June 30, 2020) | |
Allocations to Underlying Funds | |
Equity Funds | 52.7 |
International | 14.2 |
U.S. Large Cap | 31.9 |
U.S. Mid Cap | 3.4 |
U.S. Small Cap | 3.2 |
Exchange-Traded Equity Funds | 1.0 |
U.S. Large Cap | 1.0 |
Exchange-Traded Fixed Income Funds | 7.4 |
Investment Grade | 7.4 |
Fixed Income Funds | 10.2 |
Investment Grade | 10.2 |
Allocations to Tactical Assets | |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 12.9 |
Options Purchased Puts | 1.6 |
Residential Mortgage-Backed Securities - Agency | 14.2 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $1.6 billion) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 |
(Unaudited)
January 1, 2020 — June 30, 2020 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 980.60 | 1,023.62 | 1.23 | 1.26 | 0.25 | 3.79 | 3.87 | 0.77 |
Class 2 | 1,000.00 | 1,000.00 | 979.30 | 1,022.38 | 2.46 | 2.51 | 0.50 | 5.02 | 5.13 | 1.02 |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 | 5 |
June 30, 2020 (Unaudited)
Equity Funds 60.3% | ||
Shares | Value ($) | |
International 16.2% | ||
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(a) | 33,955,188 | 398,633,909 |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares(a) | 33,292,766 | 322,273,980 |
Variable Portfolio - Partners International Core Equity Fund, Class 1 Shares(a) | 62,415,998 | 612,925,096 |
Variable Portfolio - Partners International Growth Fund, Class 1 Shares(a) | 20,666,452 | 228,157,633 |
Variable Portfolio - Partners International Value Fund, Class 1 Shares(a) | 30,242,763 | 227,425,575 |
Total | 1,789,416,193 | |
U.S. Large Cap 36.6% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 13,384,962 | 352,961,458 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 18,357,681 | 1,044,552,031 |
Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares(a),(b) | 9,129,959 | 234,822,554 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 13,979,238 | 338,017,977 |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 14,591,834 | 173,205,064 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 7,810,207 | 184,086,579 |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares(a),(b) | 7,468,053 | 308,057,206 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares(a),(b) | 8,164,731 | 310,504,723 |
CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 7,149,585 | 181,241,970 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 7,090,493 | 334,245,862 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 7,753,490 | 165,614,548 |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares(a),(b) | 17,748,342 | 404,129,743 |
Total | 4,031,439,715 |
Equity Funds (continued) | ||
Shares | Value ($) | |
U.S. Mid Cap 3.9% | ||
Columbia Variable Portfolio – Mid Cap Growth Fund, Class 1 Shares(a),(b) | 2,697,983 | 93,512,087 |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares(a),(b) | 3,910,810 | 80,992,887 |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(a),(b) | 4,765,271 | 123,134,594 |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(a),(b) | 4,155,721 | 132,983,060 |
Total | 430,622,628 | |
U.S. Small Cap 3.6% | ||
Columbia Variable Portfolio - Small Cap Value Fund, Class 1 Shares(a) | 3,743,082 | 46,489,075 |
Columbia Variable Portfolio - Small Company Growth Fund, Class 1 Shares(a),(b) | 3,202,966 | 68,639,561 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 6,438,542 | 162,122,480 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 5,451,673 | 122,172,002 |
Total | 399,423,118 | |
Total Equity Funds (Cost $4,918,585,092) | 6,650,901,654 | |
Exchange-Traded Equity Funds 1.1% | ||
U.S. Large Cap 1.1% | ||
SPDR S&P 500 ETF Trust | 413,300 | 127,445,188 |
Total Exchange-Traded Equity Funds (Cost $72,399,094) | 127,445,188 | |
Exchange-Traded Fixed Income Funds 8.4% | ||
Investment Grade 8.4% | ||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 3,676,000 | 494,421,999 |
Vanguard Intermediate-Term Corporate Bond ETF | 4,575,000 | 435,265,500 |
Total | 929,687,499 | |
Total Exchange-Traded Fixed Income Funds (Cost $886,758,379) | 929,687,499 | |
6 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Fixed Income Funds 11.7% | ||
Shares | Value ($) | |
Investment Grade 11.7% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a),(b) | 19,706,417 | 223,864,898 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a),(b) | 6,483,923 | 65,293,105 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a),(b) | 10,235,753 | 128,151,631 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a),(b) | 5,941,180 | 65,055,918 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a),(b) | 13,589,924 | 156,148,231 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a),(b) | 20,509,424 | 239,755,168 |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a),(b) | 2,179,218 | 23,099,705 |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares(a),(b) | 32,848,042 | 388,263,851 |
Total | 1,289,632,507 | |
Total Fixed Income Funds (Cost $1,165,845,563) | 1,289,632,507 |
Residential Mortgage-Backed Securities - Agency 16.2% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(c) | ||||
07/16/2035 | 2.500% | 428,200,000 | 448,305,330 | |
07/16/2035- 07/14/2050 | 3.000% | 840,721,000 | 884,590,225 | |
07/14/2050 | 3.500% | 437,000,000 | 459,618,163 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $1,792,632,777) | 1,792,513,718 |
Options Purchased Puts 1.9% | ||||
Value ($) | ||||
(Cost $191,451,380) | 206,002,700 |
Money Market Funds 14.8% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(a),(d) | 1,629,387,073 | 1,629,387,073 |
Total Money Market Funds (Cost $1,629,104,425) | 1,629,387,073 | |
Total Investments in Securities (Cost: $10,656,776,710) | 12,625,570,339 | |
Other Assets & Liabilities, Net | (1,589,752,346) | |
Net Assets | 11,035,817,993 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Australian Dollar | 68 | 09/2020 | USD | 4,692,000 | — | (83,212) |
British Pound | 88 | 09/2020 | USD | 6,818,350 | — | (185,734) |
DAX Index | 35 | 09/2020 | EUR | 10,784,813 | 298,739 | — |
FTSE/MIB Index | 88 | 09/2020 | EUR | 8,487,160 | 275,147 | — |
Japanese Yen | 259 | 09/2020 | USD | 30,014,863 | 80,303 | — |
MSCI Singapore Index | 205 | 07/2020 | SGD | 6,064,925 | — | (69,944) |
S&P 500 Index E-mini | 5,302 | 09/2020 | USD | 819,212,020 | 22,927,816 | — |
SPI 200 Index | 183 | 09/2020 | AUD | 26,955,900 | 324,862 | — |
TOPIX Index | 69 | 09/2020 | JPY | 1,075,365,000 | — | (430,917) |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 | 7 |
June 30, 2020 (Unaudited)
Long futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Long Bond | 1,723 | 09/2020 | USD | 307,663,188 | 769,055 | — |
U.S. Treasury 10-Year Note | 3,614 | 09/2020 | USD | 502,967,156 | 1,285,994 | — |
U.S. Treasury 2-Year Note | 2,195 | 09/2020 | USD | 484,717,737 | 153,234 | — |
U.S. Treasury 5-Year Note | 3,854 | 09/2020 | USD | 484,610,393 | 952,397 | — |
U.S. Ultra Treasury Bond | 100 | 09/2020 | USD | 21,815,625 | 81,817 | — |
U.S. Ultra Treasury Bond | 373 | 09/2020 | USD | 81,372,281 | — | (139,691) |
Total | 27,149,364 | (909,498) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Canadian Dollar | (160) | 09/2020 | USD | (11,779,200) | 193,328 | — |
Euro FX | (178) | 09/2020 | USD | (25,039,038) | — | (46,578) |
EURO STOXX 50 Index | (1,521) | 09/2020 | EUR | (49,021,830) | — | (1,866,814) |
FTSE 100 Index | (437) | 09/2020 | GBP | (26,864,575) | — | (405,320) |
Hang Seng Index | (401) | 07/2020 | HKD | (486,152,350) | 207,254 | — |
New Zealand Dollar | (50) | 09/2020 | USD | (3,227,500) | 52,565 | — |
OMXS30 Index | (4,503) | 07/2020 | SEK | (750,312,375) | — | (3,428,794) |
Russell 2000 Index E-mini | (2,905) | 09/2020 | USD | (208,811,400) | — | (12,193,679) |
S&P 500 Index E-mini | (4,324) | 09/2020 | USD | (668,101,240) | — | (15,025,283) |
S&P/TSX 60 Index | (650) | 09/2020 | CAD | (120,705,000) | — | (2,707,779) |
Swiss Franc | (50) | 09/2020 | USD | (6,612,500) | — | (61,122) |
Total | 453,147 | (35,735,369) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 1,348,626,150 | 4,350 | 2,500.00 | 12/17/2021 | 73,378,025 | 79,822,500 |
S&P 500 Index | JPMorgan | USD | 1,010,694,540 | 3,260 | 2,600.00 | 12/17/2021 | 56,154,183 | 73,578,200 |
S&P 500 Index | JPMorgan | USD | 1,023,095,700 | 3,300 | 2,400.00 | 12/17/2021 | 61,919,172 | 52,602,000 |
Total | 191,451,380 | 206,002,700 |
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America Investment Grade Index, Series 34 | Morgan Stanley | 06/20/2025 | 1.000 | Quarterly | 0.762 | USD | 150,000,000 | 1,563,588 | — | — | 1,563,588 | — |
* | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
8 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
(a) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 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, 0.253% | ||||||||
1,764,411,758 | 2,506,620,348 | (2,641,936,539) | 291,506 | 1,629,387,073 | (25,609) | 8,255,223 | 1,629,387,073 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | ||||||||
390,186,423 | — | (19,142,421) | (18,082,544) | 352,961,458 | 12,625,330 | — | 13,384,962 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | ||||||||
1,132,525,668 | 176,045 | (37,357,344) | (50,792,338) | 1,044,552,031 | 20,369,864 | — | 18,357,681 | |
Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares | ||||||||
267,859,700 | 1,851,869 | (28,258) | (34,860,757) | 234,822,554 | 10,891 | — | 9,129,959 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | ||||||||
225,401,811 | 111,261 | (15,115,458) | 13,467,284 | 223,864,898 | 868,096 | — | 19,706,417 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | ||||||||
362,858,624 | — | (33,888,372) | 9,047,725 | 338,017,977 | 25,824,698 | — | 13,979,238 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | ||||||||
66,178,417 | 58,923 | (3,153,994) | 2,209,759 | 65,293,105 | (176,273) | — | 6,483,923 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | ||||||||
129,570,915 | 759 | (16,119,753) | 14,699,710 | 128,151,631 | 2,787,202 | — | 10,235,753 | |
Columbia Variable Portfolio – Mid Cap Growth Fund, Class 1 Shares | ||||||||
99,645,919 | — | (6,946,422) | 812,590 | 93,512,087 | 3,216,976 | — | 2,697,983 | |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares | ||||||||
— | 403,585,146 | — | (4,951,237) | 398,633,909 | — | 2,035,062 | 33,955,188 | |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares | ||||||||
188,877,177 | — | (12,935,472) | (2,736,641) | 173,205,064 | 2,397,964 | — | 14,591,834 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | ||||||||
233,488,450 | 1,167,128 | (14,890,120) | (35,678,879) | 184,086,579 | 3,872,679 | — | 7,810,207 | |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares | ||||||||
97,278,851 | 3,001,364 | (233,085) | (19,054,243) | 80,992,887 | 27,480 | — | 3,910,810 | |
Columbia Variable Portfolio - Small Cap Value Fund, Class 1 Shares | ||||||||
57,290,453 | 921,955 | — | (11,723,333) | 46,489,075 | — | — | 3,743,082 | |
Columbia Variable Portfolio - Small Company Growth Fund, Class 1 Shares | ||||||||
56,471,831 | 565,474 | — | 11,602,256 | 68,639,561 | — | — | 3,202,966 | |
Columbia Variable Portfolio – U.S. Equities Fund, Class 1 Shares† | ||||||||
14,054,428 | — | (8,928,153) | (5,126,275) | — | 761,962 | — | — | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | ||||||||
66,225,640 | 57,984 | (3,170,707) | 1,943,001 | 65,055,918 | 86,487 | — | 5,941,180 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | ||||||||
159,176,943 | 64,571 | (9,651,155) | 6,557,872 | 156,148,231 | 209,536 | — | 13,589,924 | |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares | ||||||||
707,034,872 | 18,608,180 | (355,126,846) | (48,242,226) | 322,273,980 | (42,371,846) | 1,057,280 | 33,292,766 | |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | ||||||||
328,750,610 | — | (25,546,079) | 4,852,675 | 308,057,206 | 25,153,901 | — | 7,468,053 | |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares | ||||||||
332,019,486 | — | (31,996,822) | 10,482,059 | 310,504,723 | 17,296,766 | — | 8,164,731 |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 | 9 |
June 30, 2020 (Unaudited)
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
CTIVP® – MFS® Value Fund, Class 1 Shares | ||||||||
204,945,854 | 2,767,046 | (32,277) | (26,438,653) | 181,241,970 | 744 | — | 7,149,585 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | ||||||||
317,566,138 | — | (40,699,011) | 57,378,735 | 334,245,862 | 37,348,751 | — | 7,090,493 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | ||||||||
194,870,920 | 5,987,129 | — | (35,243,501) | 165,614,548 | — | — | 7,753,490 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | ||||||||
243,997,330 | 70,917 | (17,628,426) | 13,315,347 | 239,755,168 | 1,413,873 | — | 20,509,424 | |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares | ||||||||
140,769,178 | 3,334,238 | (845,487) | (20,123,335) | 123,134,594 | 72,571 | — | 4,765,271 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | ||||||||
22,538,267 | 94,324 | (230,043) | 697,157 | 23,099,705 | 3,515 | — | 2,179,218 | |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares | ||||||||
152,211,685 | 64,073 | (11,527,671) | (7,765,027) | 132,983,060 | 7,165,310 | — | 4,155,721 | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | ||||||||
393,856,381 | 142,303 | (27,486,808) | 21,751,975 | 388,263,851 | 1,420,352 | — | 32,848,042 | |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares | ||||||||
439,791,573 | 245,729 | (11,910,713) | (23,996,846) | 404,129,743 | 4,628,002 | — | 17,748,342 | |
Variable Portfolio - Partners International Core Equity Fund, Class 1 Shares | ||||||||
716,487,338 | 20,171,943 | (62,380,289) | (61,353,896) | 612,925,096 | (13,080,289) | 1,396,561 | 62,415,998 | |
Variable Portfolio - Partners International Growth Fund, Class 1 Shares | ||||||||
272,553,406 | 6,533,865 | (45,842,700) | (5,086,938) | 228,157,633 | (3,866,080) | 565,700 | 20,666,452 | |
Variable Portfolio - Partners International Value Fund, Class 1 Shares | ||||||||
258,520,062 | 25,541,420 | — | (56,635,907) | 227,425,575 | — | 1,545,438 | 30,242,763 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | ||||||||
145,554,659 | 13,751,805 | — | 2,816,016 | 162,122,480 | — | — | 6,438,542 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | ||||||||
134,402,018 | 16,039,470 | — | (28,269,486) | 122,172,002 | — | — | 5,451,673 | |
Total | 10,317,372,785 | (324,236,394) | 9,569,921,234 | 108,022,856 | 14,855,264 |
† | Issuer was not an affiliate at the end of period. |
(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, 2020. |
TBA | To Be Announced |
AUD | Australian Dollar |
CAD | Canada Dollar |
EUR | Euro |
GBP | British Pound |
HKD | Hong Kong Dollar |
JPY | Japanese Yen |
10 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
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 ($) | |
Investments in Securities | |||||
Equity Funds | — | — | — | 6,650,901,654 | 6,650,901,654 |
Exchange-Traded Equity Funds | 127,445,188 | — | — | — | 127,445,188 |
Exchange-Traded Fixed Income Funds | 929,687,499 | — | — | — | 929,687,499 |
Fixed Income Funds | — | — | — | 1,289,632,507 | 1,289,632,507 |
Residential Mortgage-Backed Securities - Agency | — | 1,792,513,718 | — | — | 1,792,513,718 |
Options Purchased Puts | 206,002,700 | — | — | — | 206,002,700 |
Money Market Funds | 1,629,387,073 | — | — | — | 1,629,387,073 |
Total Investments in Securities | 2,892,522,460 | 1,792,513,718 | — | 7,940,534,161 | 12,625,570,339 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 27,602,511 | — | — | — | 27,602,511 |
Swap Contracts | — | 1,563,588 | — | — | 1,563,588 |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 | 11 |
June 30, 2020 (Unaudited)
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Liability | |||||
Futures Contracts | (36,644,867) | — | — | — | (36,644,867) |
Total | 2,883,480,104 | 1,794,077,306 | — | 7,940,534,161 | 12,618,091,571 |
12 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $2,751,790,250) | $2,849,646,405 |
Affiliated issuers (cost $7,713,535,080) | 9,569,921,234 |
Options purchased (cost $191,451,380) | 206,002,700 |
Cash collateral held at broker for: | |
TBA | 1,408,000 |
Margin deposits on: | |
Futures contracts | 200,566,000 |
Swap contracts | 5,649,139 |
Receivable for: | |
Investments sold | 7,149,696 |
Capital shares sold | 138 |
Dividends | 926,711 |
Interest | 1,977,074 |
Variation margin for futures contracts | 12,482,053 |
Variation margin for swap contracts | 208,660 |
Trustees’ deferred compensation plan | 360,730 |
Total assets | 12,856,298,540 |
Liabilities | |
Payable for: | |
Investments purchased on a delayed delivery basis | 1,794,609,851 |
Capital shares purchased | 10,213,990 |
Variation margin for futures contracts | 14,531,832 |
Management services fees | 56,829 |
Distribution and/or service fees | 74,940 |
Service fees | 543,022 |
Compensation of board members | 14,353 |
Compensation of chief compliance officer | 1,009 |
Other expenses | 73,991 |
Trustees’ deferred compensation plan | 360,730 |
Total liabilities | 1,820,480,547 |
Net assets applicable to outstanding capital stock | $11,035,817,993 |
Represented by | |
Trust capital | $11,035,817,993 |
Total - representing net assets applicable to outstanding capital stock | $11,035,817,993 |
Class 1 | |
Net assets | $3,499,304 |
Shares outstanding | 238,613 |
Net asset value per share | $14.67 |
Class 2 | |
Net assets | $11,032,318,689 |
Shares outstanding | 753,263,430 |
Net asset value per share | $14.65 |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 | 13 |
Six Months Ended June 30, 2020 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $9,191,544 |
Dividends — affiliated issuers | 14,855,264 |
Interest | 393,962 |
Total income | 24,440,770 |
Expenses: | |
Management services fees | 9,948,586 |
Distribution and/or service fees | |
Class 2 | 13,483,415 |
Service fees | 3,236,104 |
Compensation of board members | 75,235 |
Custodian fees | 19,631 |
Printing and postage fees | 59,708 |
Audit fees | 19,642 |
Legal fees | 133,777 |
Compensation of chief compliance officer | 1,962 |
Other | 111,238 |
Total expenses | 27,089,298 |
Net investment loss | (2,648,528) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 86,887,510 |
Investments — affiliated issuers | 108,022,856 |
Capital gain distributions from underlying affiliated funds | 9,533,724 |
Foreign currency translations | 609,247 |
Futures contracts | (318,973,951) |
Options purchased | 329,156,626 |
Swap contracts | 246,233 |
Net realized gain | 215,482,245 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (134,887,966) |
Investments — affiliated issuers | (324,236,394) |
Foreign currency translations | 534,945 |
Futures contracts | (51,150,845) |
Options purchased | 49,019,970 |
Swap contracts | 1,563,588 |
Net change in unrealized appreciation (depreciation) | (459,156,702) |
Net realized and unrealized loss | (243,674,457) |
Net decrease in net assets resulting from operations | $(246,322,985) |
14 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||
Net investment income (loss) | $(2,648,528) | $98,164,055 |
Net realized gain | 215,482,245 | 134,809,608 |
Net change in unrealized appreciation (depreciation) | (459,156,702) | 1,548,835,619 |
Net increase (decrease) in net assets resulting from operations | (246,322,985) | 1,781,809,282 |
Decrease in net assets from capital stock activity | (170,003,439) | (149,973,121) |
Total increase (decrease) in net assets | (416,326,424) | 1,631,836,161 |
Net assets at beginning of period | 11,452,144,417 | 9,820,308,256 |
Net assets at end of period | $11,035,817,993 | $11,452,144,417 |
Six Months Ended | Year Ended | |||
June 30, 2020 (Unaudited) | December 31, 2019 (a) | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 128,831 | 1,859,708 | 138,161 | 1,973,792 |
Redemptions | (22,856) | (333,062) | (5,523) | (76,936) |
Net increase | 105,975 | 1,526,646 | 132,638 | 1,896,856 |
Class 2 | ||||
Subscriptions | 3,880,411 | 53,102,299 | 11,338,956 | 159,797,469 |
Redemptions | (15,862,441) | (224,632,384) | (22,198,942) | (311,667,446) |
Net decrease | (11,982,030) | (171,530,085) | (10,859,986) | (151,869,977) |
Total net decrease | (11,876,055) | (170,003,439) | (10,727,348) | (149,973,121) |
(a) | Class 1 shares are based on operations from February 20, 2019 (commencement of operations) through the stated period end. |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 | 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 6/30/2020 (Unaudited) | $14.96 | 0.01 | (0.30) | (0.29) |
Year Ended 12/31/2019(d) | $13.62 | 0.11 | 1.23 | 1.34 |
Class 2 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $14.96 | (0.00) | (0.31) | (0.31) |
Year Ended 12/31/2019 | $12.65 | 0.13 | 2.18 | 2.31 |
Year Ended 12/31/2018 | $13.71 | 0.09 | (1.15) | (1.06) |
Year Ended 12/31/2017 | $11.67 | 0.05 | 1.99 | 2.04 |
Year Ended 12/31/2016 | $11.29 | 0.04 | 0.34 | 0.38 |
Year Ended 12/31/2015 | $11.68 | 0.03 | (0.42) | (0.39) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Annualized. |
(d) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
16 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 |
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 6/30/2020 (Unaudited) | $14.67 | (1.94%) | 0.25%(c) | 0.25%(c) | 0.21%(c) | 91% | $3,499 |
Year Ended 12/31/2019(d) | $14.96 | 9.84% | 0.25%(c) | 0.25%(c) | 0.88%(c) | 128% | $1,985 |
Class 2 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $14.65 | (2.07%) | 0.50%(c) | 0.50%(c) | (0.05%)(c) | 91% | $11,032,319 |
Year Ended 12/31/2019 | $14.96 | 18.26% | 0.49% | 0.49% | 0.91% | 128% | $11,450,160 |
Year Ended 12/31/2018 | $12.65 | (7.73%) | 0.49% | 0.49% | 0.65% | 74% | $9,820,308 |
Year Ended 12/31/2017 | $13.71 | 17.48% | 0.48% | 0.48% | 0.42% | 83% | $10,121,668 |
Year Ended 12/31/2016 | $11.67 | 3.37% | 0.47% | 0.47% | 0.37% | 91% | $8,232,846 |
Year Ended 12/31/2015 | $11.29 | (3.34%) | 0.48% | 0.48% | 0.29% | 74% | $7,441,534 |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 | 17 |
June 30, 2020 (Unaudited)
18 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 | 19 |
June 30, 2020 (Unaudited)
20 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 | 21 |
June 30, 2020 (Unaudited)
22 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of trust capital — unrealized appreciation on swap contracts | 1,563,588* |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 24,033,818* |
Equity risk | Investments, at value — Options Purchased | 206,002,700 |
Foreign exchange risk | Component of trust capital — unrealized appreciation on futures contracts | 326,196* |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 3,242,497* |
Total | 235,168,799 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 36,128,530* |
Foreign exchange risk | Component of trust capital - unrealized depreciation on futures contracts | 376,646* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 139,691* |
Total | 36,644,867 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 246,233 | 246,233 |
Equity risk | (359,657,819) | 329,156,626 | — | (30,501,193) |
Foreign exchange risk | (11,009,786) | — | — | (11,009,786) |
Interest rate risk | 51,693,654 | — | — | 51,693,654 |
Total | (318,973,951) | 329,156,626 | 246,233 | 10,428,908 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 1,563,588 | 1,563,588 |
Equity risk | (53,412,303) | 49,019,970 | — | (4,392,333) |
Foreign exchange risk | (4,505,290) | — | — | (4,505,290) |
Interest rate risk | 6,766,748 | — | — | 6,766,748 |
Total | (51,150,845) | 49,019,970 | 1,563,588 | (567,287) |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 | 23 |
June 30, 2020 (Unaudited)
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 2,877,069,569 |
Futures contracts — short | 1,041,594,294 |
Credit default swap contracts — sell protection | 75,000,000 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 197,162,350 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2020. |
24 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
JPMorgan ($) | Morgan Stanley ($) | Total ($) | |
Assets | |||
Centrally cleared credit default swap contracts (a) | - | 208,660 | 208,660 |
Options purchased puts | 206,002,700 | - | 206,002,700 |
Total assets | 206,002,700 | 208,660 | 206,211,360 |
Total financial and derivative net assets | 206,002,700 | 208,660 | 206,211,360 |
Total collateral received (pledged) (b) | - | - | - |
Net amount (c) | 206,002,700 | 208,660 | 206,211,360 |
(a) | Centrally cleared swaps are included within payable/receivable for variation margin on the Statement of Assets and Liabilities. |
(b) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(c) | Represents the net amount due from/(to) counterparties in the event of default. |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 | 25 |
June 30, 2020 (Unaudited)
26 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
May 1, 2020 through April 30, 2021 | Prior to May 1, 2020 | |
Class 1 | 0.80% | 0.85% |
Class 2 | 1.05 | 1.10 |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 | 27 |
June 30, 2020 (Unaudited)
28 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 | 29 |
June 30, 2020 (Unaudited)
30 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 |
• | 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 – Managed Volatility Growth Fund | Semiannual Report 2020 | 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 the Investment Manager, as well as performance relative to benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by the Investment Manager; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund through April 30, 2021 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; |
• | The terms and conditions of the Management Agreement; |
• | The current and proposed terms and conditions 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 distribution, transfer agency and shareholder services to the Fund; |
• | Descriptions of various functions 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 reputation, regulatory history and 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, including an assessment of the Investment Manager’s compliance system by the Fund’s Chief Compliance Officer; and |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund. |
32 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 | 33 |
34 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 |
Trustee | Votes For | Votes Withheld | Abstentions |
Janet L. Carrig | 26,231,108,809 | 1,129,334,152 | 0 |
J. Kevin Connaughton | 26,249,644,638 | 1,110,798,323 | 0 |
Olive Darragh | 26,323,990,658 | 1,036,452,304 | 0 |
Douglas A. Hacker | 26,255,762,920 | 1,104,680,042 | 0 |
Nancy T. Lukitsh | 26,332,381,722 | 1,028,061,240 | 0 |
David M. Moffett | 26,252,719,395 | 1,107,723,567 | 0 |
John J. Neuhauser | 26,222,694,456 | 1,137,748,505 | 0 |
Christopher O. Petersen | 26,265,703,212 | 1,094,739,749 | 0 |
Patrick J. Simpson | 26,222,908,024 | 1,137,534,938 | 0 |
Natalie A. Trunow | 26,340,164,732 | 1,020,278,229 | 0 |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2020 | 35 |
June 30, 2020
3 | |
5 | |
6 | |
12 | |
13 | |
14 | |
16 | |
18 | |
30 | |
30 | |
34 |
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | Life | ||
Class 1* | 02/20/19 | 2.44 | 6.20 | 4.18 | 3.73 | |
Class 2 | 04/12/13 | 2.29 | 5.88 | 4.10 | 3.67 | |
Blended Benchmark | 3.96 | 7.96 | 5.16 | 4.66 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | 6.14 | 8.74 | 4.30 | 3.39 |
* | 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 Conservative Fund | Semiannual Report 2020 | 3 |
(Unaudited)
Portfolio Allocation (%) (at June 30, 2020) | |
Allocations to Underlying Funds | |
Equity Funds | 15.7 |
International | 4.0 |
U.S. Large Cap | 9.2 |
U.S. Mid Cap | 1.0 |
U.S. Small Cap | 1.5 |
Exchange-Traded Equity Funds | 4.0 |
International Mid Large Cap | 1.2 |
U.S. Large Cap | 2.8 |
Exchange-Traded Fixed Income Funds | 3.6 |
Investment Grade | 3.6 |
Fixed Income Funds | 50.3 |
Investment Grade | 50.3 |
Allocations to Tactical Assets | |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 16.6 |
Options Purchased Puts | 0.7 |
Residential Mortgage-Backed Securities - Agency | 9.1 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $137.8 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 |
(Unaudited)
January 1, 2020 — June 30, 2020 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,024.40 | 1,023.37 | 1.51 | 1.51 | 0.30 | 3.52 | 3.52 | 0.70 |
Class 2 | 1,000.00 | 1,000.00 | 1,022.90 | 1,022.13 | 2.77 | 2.77 | 0.55 | 4.78 | 4.78 | 0.95 |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 | 5 |
June 30, 2020 (Unaudited)
Equity Funds 17.1% | ||
Shares | Value ($) | |
International 4.3% | ||
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(a) | 623,116 | 7,315,378 |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares(a) | 731,398 | 7,079,935 |
Variable Portfolio - Partners International Core Equity Fund, Class 1 Shares(a) | 1,131,453 | 11,110,865 |
Variable Portfolio - Partners International Growth Fund, Class 1 Shares(a) | 305,203 | 3,369,442 |
Variable Portfolio - Partners International Value Fund, Class 1 Shares(a) | 540,154 | 4,061,960 |
Total | 32,937,580 | |
U.S. Large Cap 10.0% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 260,366 | 6,865,845 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 357,482 | 20,340,707 |
Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares(a),(b) | 169,955 | 4,371,233 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 271,417 | 6,562,869 |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 289,719 | 3,438,965 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 147,440 | 3,475,153 |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares(a),(b) | 127,465 | 5,257,926 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares(a),(b) | 143,201 | 5,445,953 |
CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 131,226 | 3,326,593 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 128,669 | 6,065,479 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 155,749 | 3,326,791 |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares(a),(b) | 325,122 | 7,403,037 |
Total | 75,880,551 |
Equity Funds (continued) | ||
Shares | Value ($) | |
U.S. Mid Cap 1.1% | ||
Columbia Variable Portfolio – Mid Cap Growth Fund, Class 1 Shares(a),(b) | 52,274 | 1,811,825 |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares(a),(b) | 82,407 | 1,706,658 |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(a),(b) | 89,539 | 2,313,677 |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(a),(b) | 75,591 | 2,418,913 |
Total | 8,251,073 | |
U.S. Small Cap 1.7% | ||
Columbia Variable Portfolio - Small Cap Value Fund, Class 1 Shares(a) | 201,612 | 2,504,024 |
Columbia Variable Portfolio - Small Company Growth Fund, Class 1 Shares(a),(b) | 121,432 | 2,602,289 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 147,493 | 3,713,855 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 179,340 | 4,019,013 |
Total | 12,839,181 | |
Total Equity Funds (Cost $99,428,342) | 129,908,385 | |
Exchange-Traded Equity Funds 4.3% | ||
International Mid Large Cap 1.3% | ||
iShares MSCI EAFE ETF | 167,532 | 10,197,673 |
U.S. Large Cap 3.0% | ||
SPDR S&P 500 ETF Trust | 73,425 | 22,641,333 |
Total Exchange-Traded Equity Funds (Cost $25,165,299) | 32,839,006 | |
Exchange-Traded Fixed Income Funds 3.9% | ||
Investment Grade 3.9% | ||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 221,500 | 29,791,750 |
Total Exchange-Traded Fixed Income Funds (Cost $27,811,549) | 29,791,750 | |
6 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Fixed Income Funds 54.8% | ||
Shares | Value ($) | |
Investment Grade 54.8% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a),(b) | 7,355,201 | 83,555,078 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a),(b) | 2,496,605 | 25,140,811 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a),(b) | 3,385,738 | 42,389,443 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a),(b) | 2,232,976 | 24,451,089 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a),(b) | 5,249,660 | 60,318,598 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a),(b) | 7,076,359 | 82,722,634 |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a),(b) | 950,847 | 10,078,982 |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares(a),(b) | 7,403,692 | 87,511,633 |
Total | 416,168,268 | |
Total Fixed Income Funds (Cost $380,960,597) | 416,168,268 |
Residential Mortgage-Backed Securities - Agency 10.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(c) | ||||
07/16/2035 | 2.500% | 17,800,000 | 18,635,766 | |
07/16/2035- 07/14/2050 | 3.000% | 33,539,000 | 35,298,731 | |
07/14/2050 | 3.500% | 20,502,000 | 21,563,139 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $75,466,254) | 75,497,636 |
Options Purchased Puts 0.8% | ||||
Value ($) | ||||
(Cost $5,280,987) | 6,017,780 |
Money Market Funds 18.2% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(a),(d) | 137,790,450 | 137,790,450 |
Total Money Market Funds (Cost $137,775,662) | 137,790,450 | |
Total Investments in Securities (Cost: $751,888,690) | 828,013,275 | |
Other Assets & Liabilities, Net | (68,865,152) | |
Net Assets | 759,148,123 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
British Pound | 3 | 09/2020 | USD | 232,444 | — | (6,332) |
Japanese Yen | 1 | 09/2020 | USD | 115,888 | 310 | — |
MSCI Singapore Index | 6 | 07/2020 | SGD | 177,510 | — | (2,047) |
S&P 500 Index E-mini | 132 | 09/2020 | USD | 20,395,320 | 593,525 | — |
U.S. Long Bond | 82 | 09/2020 | USD | 14,642,125 | 27,251 | — |
U.S. Treasury 10-Year Note | 182 | 09/2020 | USD | 25,329,281 | 66,464 | — |
U.S. Treasury 2-Year Note | 74 | 09/2020 | USD | 16,341,281 | 1,778 | — |
U.S. Treasury 5-Year Note | 277 | 09/2020 | USD | 34,830,586 | 75,176 | — |
Total | 764,504 | (8,379) |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 | 7 |
June 30, 2020 (Unaudited)
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Australian Dollar | (19) | 09/2020 | USD | (1,311,000) | 23,110 | — |
Canadian Dollar | (2) | 09/2020 | USD | (147,240) | 2,417 | — |
Euro FX | (1) | 09/2020 | USD | (140,669) | — | (262) |
EURO STOXX 50 Index | (80) | 09/2020 | EUR | (2,578,400) | — | (98,189) |
FTSE 100 Index | (19) | 09/2020 | GBP | (1,168,025) | — | (17,623) |
Hang Seng Index | (8) | 07/2020 | HKD | (9,698,800) | 4,135 | — |
OMXS30 Index | (161) | 07/2020 | SEK | (26,826,625) | — | (122,593) |
Russell 2000 Index E-mini | (118) | 09/2020 | USD | (8,481,840) | — | (495,303) |
S&P 500 Index E-mini | (150) | 09/2020 | USD | (23,176,500) | — | (521,647) |
S&P/TSX 60 Index | (10) | 09/2020 | CAD | (1,857,000) | — | (41,658) |
SPI 200 Index | (1) | 09/2020 | AUD | (147,300) | — | (2,638) |
Swiss Franc | (3) | 09/2020 | USD | (396,750) | — | (3,667) |
TOPIX Index | (3) | 09/2020 | JPY | (46,755,000) | 11,437 | — |
TOPIX Index | (8) | 09/2020 | JPY | (124,680,000) | — | (17,292) |
U.S. Ultra Treasury Bond | (12) | 09/2020 | USD | (2,617,875) | 17,413 | — |
Total | 58,512 | (1,320,872) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 53,014,959 | 171 | 2,500.00 | 12/17/2021 | 2,884,495 | 3,137,850 |
S&P 500 Index | JPMorgan | USD | 32,553,045 | 105 | 2,600.00 | 12/17/2021 | 1,808,629 | 2,369,850 |
S&P 500 Index | JPMorgan | USD | 9,920,928 | 32 | 2,400.00 | 12/17/2021 | 587,863 | 510,080 |
Total | 5,280,987 | 6,017,780 |
(a) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | |||||||||
115,040,778 | 89,342,257 | (66,611,655) | 19,070 | 137,790,450 | — | 1,766 | 578,859 | 137,790,450 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
4,938,391 | 2,239,108 | (643,276) | 331,622 | 6,865,845 | — | (4,374) | — | 260,366 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
14,340,260 | 6,992,514 | (1,977,917) | 985,850 | 20,340,707 | — | (62,672) | — | 357,482 | |
Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares | |||||||||
3,275,984 | 1,651,555 | (331,043) | (225,263) | 4,371,233 | — | (35,402) | — | 169,955 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
62,429,451 | 16,646,938 | (692,402) | 5,171,091 | 83,555,078 | — | 7,494 | — | 7,355,201 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
4,530,074 | 1,825,222 | (656,751) | 864,324 | 6,562,869 | — | 38,146 | — | 271,417 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
18,985,434 | 5,439,927 | (125,580) | 841,030 | 25,140,811 | — | 746 | — | 2,496,605 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
31,626,919 | 7,069,748 | (1,275,331) | 4,968,107 | 42,389,443 | — | 32,761 | — | 3,385,738 | |
Columbia Variable Portfolio – Mid Cap Growth Fund, Class 1 Shares | |||||||||
1,229,333 | 573,028 | (176,422) | 185,886 | 1,811,825 | — | (1) | — | 52,274 |
8 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Affiliated issuers | Beginning of period($) | 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 – Overseas Core Fund, Class 1 Shares | |||||||||
— | 7,415,828 | (11,424) | (89,026) | 7,315,378 | 91,482 | (331) | 37,346 | 623,115 | |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares | |||||||||
2,463,277 | 1,111,194 | (333,518) | 198,012 | 3,438,965 | — | (1,159) | — | 289,719 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
2,474,720 | 1,492,420 | (393,627) | (98,360) | 3,475,153 | — | (45,640) | — | 147,440 | |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares | |||||||||
1,235,752 | 781,744 | (174,680) | (136,158) | 1,706,658 | — | (28,686) | — | 82,407 | |
Columbia Variable Portfolio - Small Cap Value Fund, Class 1 Shares | |||||||||
1,697,495 | 1,020,526 | (37,927) | (176,070) | 2,504,024 | — | (2,509) | — | 201,612 | |
Columbia Variable Portfolio - Small Company Growth Fund, Class 1 Shares | |||||||||
1,673,240 | 486,067 | (14,075) | 457,057 | 2,602,289 | — | 1,642 | — | 121,432 | |
Columbia Variable Portfolio – U.S. Equities Fund, Class 1 Shares | |||||||||
393,996 | — | (248,491) | (145,505) | — | — | 23,158 | — | — | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
18,556,859 | 5,367,170 | (131,759) | 658,819 | 24,451,089 | — | 376 | — | 2,232,976 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
45,560,315 | 12,850,955 | (523,431) | 2,430,759 | 60,318,598 | — | 1,191 | — | 5,249,660 | |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares | |||||||||
8,596,966 | 5,413,380 | (6,710,173) | (220,238) | 7,079,935 | — | (476,942) | 20,185 | 731,398 | |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
3,697,845 | 1,335,047 | (409,190) | 634,224 | 5,257,926 | — | 21,418 | — | 127,465 | |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares | |||||||||
3,693,928 | 1,589,196 | (549,653) | 712,482 | 5,445,953 | — | 16,812 | — | 143,201 | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
2,457,868 | 1,322,873 | (315,647) | (138,501) | 3,326,593 | — | (30,497) | — | 131,227 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
3,660,352 | 1,419,839 | (671,421) | 1,656,709 | 6,065,479 | — | 43,174 | — | 128,669 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
2,456,745 | 1,435,655 | (279,895) | (285,714) | 3,326,791 | — | (42,862) | — | 155,749 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
62,432,997 | 16,709,842 | (771,196) | 4,350,991 | 82,722,634 | — | 9,945 | — | 7,076,359 | |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares | |||||||||
1,634,911 | 988,048 | (236,149) | (73,133) | 2,313,677 | — | (32,093) | — | 89,539 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
7,660,965 | 2,198,281 | (41,094) | 260,830 | 10,078,982 | — | 183 | — | 950,847 | |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares | |||||||||
1,651,021 | 884,836 | (307,211) | 190,267 | 2,418,913 | — | (6,002) | — | 75,591 | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | |||||||||
66,003,274 | 17,885,023 | (834,193) | 4,457,529 | 87,511,633 | — | 10,363 | — | 7,403,692 | |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares | |||||||||
5,327,053 | 2,546,514 | (672,307) | 201,777 | 7,403,037 | — | (26,610) | — | 325,122 | |
Variable Portfolio - Partners International Core Equity Fund, Class 1 Shares | |||||||||
8,595,700 | 4,442,025 | (1,701,582) | (225,278) | 11,110,865 | 36,370 | (120,348) | 26,814 | 1,131,453 |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 | 9 |
June 30, 2020 (Unaudited)
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Variable Portfolio - Partners International Growth Fund, Class 1 Shares | |||||||||
2,877,272 | 1,411,015 | (1,028,366) | 109,521 | 3,369,442 | 37,545 | 13,049 | 8,972 | 305,203 | |
Variable Portfolio - Partners International Value Fund, Class 1 Shares | |||||||||
2,850,201 | 1,923,305 | (211,730) | (499,816) | 4,061,960 | — | (49,671) | 29,956 | 540,154 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
2,458,443 | 1,314,132 | (383,311) | 324,591 | 3,713,855 | — | (20,100) | — | 147,493 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
2,861,661 | 1,927,088 | (359,240) | (410,496) | 4,019,013 | — | (75,974) | — | 179,340 | |
Total | 519,369,480 | 27,286,990 | 683,867,103 | 165,397 | (839,649) | 702,132 |
(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, 2020. |
TBA | To Be Announced |
AUD | Australian Dollar |
CAD | Canada Dollar |
EUR | Euro |
GBP | British Pound |
HKD | Hong Kong Dollar |
JPY | Japanese Yen |
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). |
10 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Variable Portfolios serve as investment vehicles for variable annuity contracts and variable life insurance policies. Principle investment strategies within these Variable Portfolios vary based on the Portfolios investment objective. Investments in the Variable Portfolios may be redeemed on a daily basis without restriction.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Equity Funds | — | — | — | 129,908,385 | 129,908,385 |
Exchange-Traded Equity Funds | 32,839,006 | — | — | — | 32,839,006 |
Exchange-Traded Fixed Income Funds | 29,791,750 | — | — | — | 29,791,750 |
Fixed Income Funds | — | — | — | 416,168,268 | 416,168,268 |
Residential Mortgage-Backed Securities - Agency | — | 75,497,636 | — | — | 75,497,636 |
Options Purchased Puts | 6,017,780 | — | — | — | 6,017,780 |
Money Market Funds | 137,790,450 | — | — | — | 137,790,450 |
Total Investments in Securities | 206,438,986 | 75,497,636 | — | 546,076,653 | 828,013,275 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 823,016 | — | — | — | 823,016 |
Liability | |||||
Futures Contracts | (1,329,251) | — | — | — | (1,329,251) |
Total | 205,932,751 | 75,497,636 | — | 546,076,653 | 827,507,040 |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 | 11 |
June 30, 2020 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $128,443,103) | $138,128,392 |
Affiliated issuers (cost $618,164,600) | 683,867,103 |
Options purchased (cost $5,280,987) | 6,017,780 |
Margin deposits on: | |
Futures contracts | 6,339,410 |
Receivable for: | |
Capital shares sold | 1,364,324 |
Dividends | 130,610 |
Interest | 82,736 |
Variation margin for futures contracts | 323,416 |
Trustees’ deferred compensation plan | 44,997 |
Total assets | 836,298,768 |
Liabilities | |
Payable for: | |
Investments purchased | 939,227 |
Investments purchased on a delayed delivery basis | 75,548,990 |
Capital shares purchased | 22,571 |
Variation margin for futures contracts | 516,136 |
Management services fees | 4,475 |
Distribution and/or service fees | 5,157 |
Service fees | 36,847 |
Compensation of board members | 2,940 |
Compensation of chief compliance officer | 48 |
Other expenses | 29,257 |
Trustees’ deferred compensation plan | 44,997 |
Total liabilities | 77,150,645 |
Net assets applicable to outstanding capital stock | $759,148,123 |
Represented by | |
Trust capital | $759,148,123 |
Total - representing net assets applicable to outstanding capital stock | $759,148,123 |
Class 1 | |
Net assets | $107,209 |
Shares outstanding | 8,240 |
Net asset value per share | $13.01 |
Class 2 | |
Net assets | $759,040,914 |
Shares outstanding | 58,519,710 |
Net asset value per share | $12.97 |
12 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 |
Six Months Ended June 30, 2020 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $633,911 |
Dividends — affiliated issuers | 702,132 |
Interest | 9,964 |
Total income | 1,346,007 |
Expenses: | |
Management services fees | 723,683 |
Distribution and/or service fees | |
Class 2 | 813,617 |
Service fees | 196,062 |
Compensation of board members | 10,571 |
Custodian fees | 13,931 |
Printing and postage fees | 8,637 |
Audit fees | 19,642 |
Legal fees | 7,449 |
Compensation of chief compliance officer | 103 |
Other | 7,994 |
Total expenses | 1,801,689 |
Net investment loss | (455,682) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 1,328,058 |
Investments — affiliated issuers | (839,649) |
Capital gain distributions from underlying affiliated funds | 165,397 |
Foreign currency translations | 39,328 |
Futures contracts | (7,611,713) |
Options purchased | 3,982,764 |
Net realized loss | (2,935,815) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (1,023,311) |
Investments — affiliated issuers | 27,286,990 |
Foreign currency translations | 6,846 |
Futures contracts | (1,443,138) |
Options purchased | 1,239,910 |
Net change in unrealized appreciation (depreciation) | 26,067,297 |
Net realized and unrealized gain | 23,131,482 |
Net increase in net assets resulting from operations | $22,675,800 |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 | 13 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||
Net investment income (loss) | $(455,682) | $9,457,622 |
Net realized gain (loss) | (2,935,815) | 6,851,300 |
Net change in unrealized appreciation (depreciation) | 26,067,297 | 38,388,994 |
Net increase in net assets resulting from operations | 22,675,800 | 54,697,916 |
Increase in net assets from capital stock activity | 163,718,457 | 91,762,250 |
Total increase in net assets | 186,394,257 | 146,460,166 |
Net assets at beginning of period | 572,753,866 | 426,293,700 |
Net assets at end of period | $759,148,123 | $572,753,866 |
Six Months Ended | Year Ended | |||
June 30, 2020 (Unaudited) | December 31, 2019 (a) | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 4,290 | 52,686 | 4,222 | 51,550 |
Redemptions | (209) | (2,544) | (63) | (790) |
Net increase | 4,081 | 50,142 | 4,159 | 50,760 |
Class 2 | ||||
Subscriptions | 15,350,325 | 188,944,819 | 10,555,664 | 128,068,194 |
Redemptions | (2,003,377) | (25,276,504) | (3,022,427) | (36,356,704) |
Net increase | 13,346,948 | 163,668,315 | 7,533,237 | 91,711,490 |
Total net increase | 13,351,029 | 163,718,457 | 7,537,396 | 91,762,250 |
(a) | Class 1 shares are based on operations from February 20, 2019 (commencement of operations) through the stated period end. |
14 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 | 15 |
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 6/30/2020 (Unaudited) | $12.70 | 0.01 | 0.30 | 0.31 |
Year Ended 12/31/2019(d) | $11.70 | 0.17 | 0.83 | 1.00 |
Class 2 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $12.68 | (0.01) | 0.30 | 0.29 |
Year Ended 12/31/2019 | $11.33 | 0.23 | 1.12 | 1.35 |
Year Ended 12/31/2018 | $11.63 | 0.17 | (0.47) | (0.30) |
Year Ended 12/31/2017 | $10.78 | 0.13 | 0.72 | 0.85 |
Year Ended 12/31/2016 | $10.46 | 0.09 | 0.23 | 0.32 |
Year Ended 12/31/2015 | $10.58 | 0.10 | (0.22) | (0.12) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Annualized. |
(d) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
16 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 |
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 6/30/2020 (Unaudited) | $13.01 | 2.44% | 0.30%(c) | 0.30%(c) | 0.09%(c) | 71% | $107 |
Year Ended 12/31/2019(d) | $12.70 | 8.55% | 0.31%(c) | 0.31%(c) | 1.57%(c) | 139% | $53 |
Class 2 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $12.97 | 2.29% | 0.55%(c) | 0.55%(c) | (0.14%)(c) | 71% | $759,041 |
Year Ended 12/31/2019 | $12.68 | 11.91% | 0.57% | 0.57% | 1.90% | 139% | $572,701 |
Year Ended 12/31/2018 | $11.33 | (2.58%) | 0.57% | 0.57% | 1.45% | 119% | $426,294 |
Year Ended 12/31/2017 | $11.63 | 7.88% | 0.55% | 0.55% | 1.17% | 103% | $462,907 |
Year Ended 12/31/2016 | $10.78 | 3.06% | 0.53% | 0.53% | 0.86% | 106% | $444,792 |
Year Ended 12/31/2015 | $10.46 | (1.13%) | 0.56% | 0.56% | 0.98% | 142% | $241,975 |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 | 17 |
June 30, 2020 (Unaudited)
18 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 | 19 |
June 30, 2020 (Unaudited)
20 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 | 21 |
June 30, 2020 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 609,097* |
Equity risk | Investments, at value — Options Purchased | 6,017,780 |
Foreign exchange risk | Component of trust capital — unrealized appreciation on futures contracts | 25,837* |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 188,082* |
Total | 6,840,796 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 1,318,990* |
Foreign exchange risk | Component of trust capital - unrealized depreciation on futures contracts | 10,261* |
Total | 1,329,251 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | (11,476,344) | 3,982,764 | (7,493,580) |
Foreign exchange risk | (433,825) | — | (433,825) |
Interest rate risk | 4,298,456 | — | 4,298,456 |
Total | (7,611,713) | 3,982,764 | (3,628,949) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | (2,041,089) | 1,239,910 | (801,179) |
Foreign exchange risk | (16,349) | — | (16,349) |
Interest rate risk | 614,300 | — | 614,300 |
Total | (1,443,138) | 1,239,910 | (203,228) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 120,348,741 |
Futures contracts — short | 28,518,803 |
22 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Derivative instrument | Average value ($)* |
Options contracts — purchased | 4,588,075 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2020. |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 | 23 |
June 30, 2020 (Unaudited)
JPMorgan ($) | |
Assets | |
Options purchased puts | 6,017,780 |
Total financial and derivative net assets | 6,017,780 |
Total collateral received (pledged) (a) | - |
Net amount (b) | 6,017,780 |
(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. |
24 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 | 25 |
June 30, 2020 (Unaudited)
May 1, 2020 through April 30, 2021 | Prior to May 1, 2020 | |
Class 1 | 0.80% | 0.85% |
Class 2 | 1.05 | 1.10 |
26 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 | 27 |
June 30, 2020 (Unaudited)
28 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 | 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 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 |
• | 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 the Investment Manager, as well as performance relative to benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by the Investment Manager; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund through April 30, 2021 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; |
• | The terms and conditions of the Management Agreement; |
• | The current and proposed terms and conditions 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 distribution, transfer agency and shareholder services to the Fund; |
• | Descriptions of various functions 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 reputation, regulatory history and 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, including an assessment of the Investment Manager’s compliance system by the Fund’s Chief Compliance Officer; and |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund. |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 | 31 |
32 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 | 33 |
Trustee | Votes For | Votes Withheld | Abstentions |
Janet L. Carrig | 26,231,108,809 | 1,129,334,152 | 0 |
J. Kevin Connaughton | 26,249,644,638 | 1,110,798,323 | 0 |
Olive Darragh | 26,323,990,658 | 1,036,452,304 | 0 |
Douglas A. Hacker | 26,255,762,920 | 1,104,680,042 | 0 |
Nancy T. Lukitsh | 26,332,381,722 | 1,028,061,240 | 0 |
David M. Moffett | 26,252,719,395 | 1,107,723,567 | 0 |
John J. Neuhauser | 26,222,694,456 | 1,137,748,505 | 0 |
Christopher O. Petersen | 26,265,703,212 | 1,094,739,749 | 0 |
Patrick J. Simpson | 26,222,908,024 | 1,137,534,938 | 0 |
Natalie A. Trunow | 26,340,164,732 | 1,020,278,229 | 0 |
34 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2020 |
June 30, 2020
3 | |
5 | |
6 | |
10 | |
11 | |
12 | |
14 | |
16 | |
29 | |
29 | |
33 |
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | |||||
Inception | 6 Months cumulative | 1 Year | Life | ||
Class 1* | 02/20/19 | -0.08 | 4.73 | 6.57 | |
Class 2 | 11/02/16 | -0.16 | 4.48 | 6.48 | |
Blended Benchmark | 3.27 | 8.85 | 7.78 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | 6.14 | 8.74 | 4.31 | ||
S&P 500 Index | -3.08 | 7.51 | 13.53 |
* | 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 – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 | 3 |
(Unaudited)
Portfolio Allocation (%) (at June 30, 2020) | |
Allocations to Underlying Funds | |
Equity Funds | 27.1 |
U.S. Large Cap | 27.1 |
Exchange-Traded Fixed Income Funds | 7.9 |
Investment Grade | 7.9 |
Fixed Income Funds | 33.8 |
High Yield | 1.9 |
Investment Grade | 31.9 |
Allocations to Tactical Assets | |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 13.9 |
Options Purchased Puts | 0.6 |
Residential Mortgage-Backed Securities - Agency | 16.7 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $62.8 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 |
(Unaudited)
January 1, 2020 — June 30, 2020 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 999.20 | 1,023.32 | 1.54 | 1.56 | 0.31 | 3.48 | 3.52 | 0.70 |
Class 2 | 1,000.00 | 1,000.00 | 998.40 | 1,022.03 | 2.83 | 2.87 | 0.57 | 4.77 | 4.83 | 0.96 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 | 5 |
June 30, 2020 (Unaudited)
Equity Funds 31.9% | ||
Shares | Value ($) | |
U.S. Large Cap 31.9% | ||
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 237,605 | 13,519,733 |
Columbia Variable Portfolio - Large Cap Index Fund, Class 1 Shares(a),(b) | 1,077,190 | 26,994,388 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 573,400 | 13,515,033 |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares(a),(b) | 328,397 | 13,546,367 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 294,724 | 13,893,312 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 627,800 | 13,409,802 |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares(a),(b) | 1,184,675 | 26,975,043 |
Total | 121,853,678 | |
Total Equity Funds (Cost $100,782,269) | 121,853,678 | |
Exchange-Traded Fixed Income Funds 9.3% | ||
Investment Grade 9.3% | ||
iShares Core U.S. Aggregate Bond ETF | 22,610 | 2,672,728 |
iShares iBoxx $ Investment Grade Corporate Bond ETF | 114,527 | 15,403,882 |
Vanguard Intermediate-Term Corporate Bond ETF | 185,000 | 17,600,900 |
Total | 35,677,510 | |
Total Exchange-Traded Fixed Income Funds (Cost $33,592,500) | 35,677,510 | |
Fixed Income Funds 39.9% | ||
High Yield 2.3% | ||
Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares(a) | 1,195,412 | 8,762,371 |
Investment Grade 37.6% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a),(b) | 2,667,355 | 30,301,153 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a),(b) | 884,694 | 8,908,866 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a),(b) | 582,239 | 7,289,635 |
Fixed Income Funds (continued) | ||
Shares | Value ($) | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a),(b) | 812,722 | 8,899,306 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a),(b) | 2,553,078 | 29,334,861 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a),(b) | 2,430,226 | 28,409,339 |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a),(b) | 383,952 | 4,069,892 |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares(a),(b) | 2,226,002 | 26,311,344 |
Total | 143,524,396 | |
Total Fixed Income Funds (Cost $141,843,547) | 152,286,767 |
Residential Mortgage-Backed Securities - Agency 19.7% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(c) | ||||
07/16/2035 | 2.500% | 22,332,500 | 23,381,081 | |
07/16/2035- 07/14/2050 | 3.000% | 45,214,000 | 47,584,117 | |
07/14/2050 | 3.500% | 4,067,500 | 4,278,025 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $75,195,118) | 75,243,223 |
Options Purchased Puts 0.7% | ||||
Value ($) | ||||
(Cost $2,251,156) | 2,571,720 |
Money Market Funds 16.5% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(a),(d) | 62,807,606 | 62,807,606 |
Total Money Market Funds (Cost $62,800,033) | 62,807,606 | |
Total Investments in Securities (Cost: $416,464,623) | 450,440,504 | |
Other Assets & Liabilities, Net | (68,598,772) | |
Net Assets | 381,841,732 |
6 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | 59 | 09/2020 | USD | 9,116,090 | 261,921 | — |
U.S. Long Bond | 79 | 09/2020 | USD | 14,106,438 | 26,254 | — |
U.S. Treasury 10-Year Note | 143 | 09/2020 | USD | 19,901,578 | 52,222 | — |
U.S. Treasury 2-Year Note | 63 | 09/2020 | USD | 13,912,172 | 1,514 | — |
U.S. Treasury 5-Year Note | 153 | 09/2020 | USD | 19,238,555 | 41,523 | — |
U.S. Ultra Treasury Bond | 27 | 09/2020 | USD | 5,890,219 | — | (22,202) |
Total | 383,434 | (22,202) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | (406) | 09/2020 | USD | (62,731,060) | — | (1,412,051) |
S&P/TSX 60 Index | (8) | 09/2020 | CAD | (1,485,600) | — | (33,327) |
Total | — | (1,445,378) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 26,042,436 | 84 | 2,500.00 | 12/17/2021 | 1,417,045 | 1,541,400 |
S&P 500 Index | JPMorgan | USD | 12,401,160 | 40 | 2,600.00 | 12/17/2021 | 689,030 | 902,800 |
S&P 500 Index | JPMorgan | USD | 2,480,232 | 8 | 2,400.00 | 12/17/2021 | 145,081 | 127,520 |
Total | 2,251,156 | 2,571,720 |
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America Investment Grade Index, Series 34 | Morgan Stanley | 06/20/2025 | 1.000 | Quarterly | 0.762 | USD | 18,000,000 | 273,737 | — | — | 273,737 | — |
* | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(a) | As defined in the Investment Company Act of 1940, 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, 2020 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, 0.253% | |||||||||
62,412,483 | 82,251,205 | (81,864,211) | 8,129 | 62,807,606 | — | (2,863) | 305,720 | 62,807,606 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
10,043,912 | 4,131,641 | (1,043,105) | 387,285 | 13,519,733 | — | (89,766) | — | 237,605 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 | 7 |
June 30, 2020 (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 – Income Opportunities Fund, Class 1 Shares | |||||||||
6,616,297 | 2,578,735 | (308,069) | (124,592) | 8,762,371 | — | (16,654) | — | 1,195,412 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
22,647,920 | 6,819,121 | (1,070,599) | 1,904,711 | 30,301,153 | — | 8,548 | — | 2,667,355 | |
Columbia Variable Portfolio - Large Cap Index Fund, Class 1 Shares | |||||||||
20,099,279 | 8,215,958 | (1,899,857) | 579,008 | 26,994,388 | — | (160,473) | — | 1,077,190 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
6,662,698 | 2,195,282 | (244,361) | 295,247 | 8,908,866 | — | (415) | — | 884,694 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
5,414,795 | 1,387,196 | (367,839) | 855,483 | 7,289,635 | — | 232 | — | 582,239 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
10,064,800 | 5,776,771 | (1,663,927) | (662,611) | 13,515,033 | — | (294,226) | — | 573,400 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
6,664,795 | 2,240,637 | (253,839) | 247,713 | 8,899,306 | — | (48) | — | 812,722 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
21,912,796 | 7,114,914 | (868,052) | 1,175,203 | 29,334,861 | — | (1,081) | — | 2,553,078 | |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
10,043,110 | 3,068,116 | (1,110,804) | 1,545,945 | 13,546,367 | — | 37,153 | — | 328,397 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
10,031,491 | 3,358,748 | (3,257,603) | 3,760,676 | 13,893,312 | — | 460,608 | — | 294,724 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
10,057,817 | 5,910,712 | (1,170,622) | (1,388,105) | 13,409,802 | — | (241,927) | — | 627,800 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
21,218,272 | 6,497,496 | (804,234) | 1,497,805 | 28,409,339 | — | (516) | — | 2,430,226 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
3,043,276 | 1,028,447 | (106,645) | 104,814 | 4,069,892 | — | (7) | — | 383,952 | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | |||||||||
19,634,612 | 6,120,657 | (786,837) | 1,342,912 | 26,311,344 | — | 667 | — | 2,226,002 | |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares | |||||||||
20,093,120 | 8,449,335 | (1,837,458) | 270,046 | 26,975,043 | — | (180,770) | — | 1,184,675 | |
Total | 266,661,473 | 11,799,669 | 336,948,051 | — | (481,538) | 305,720 |
(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, 2020. |
TBA | To Be Announced |
CAD | Canada Dollar |
USD | US Dollar |
8 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 |
June 30, 2020 (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 | |||||
Equity Funds | — | — | — | 121,853,678 | 121,853,678 |
Exchange-Traded Fixed Income Funds | 35,677,510 | — | — | — | 35,677,510 |
Fixed Income Funds | — | — | — | 152,286,767 | 152,286,767 |
Residential Mortgage-Backed Securities - Agency | — | 75,243,223 | — | — | 75,243,223 |
Options Purchased Puts | 2,571,720 | — | — | — | 2,571,720 |
Money Market Funds | 62,807,606 | — | — | — | 62,807,606 |
Total Investments in Securities | 101,056,836 | 75,243,223 | — | 274,140,445 | 450,440,504 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 383,434 | — | — | — | 383,434 |
Swap Contracts | — | 273,737 | — | — | 273,737 |
Liability | |||||
Futures Contracts | (1,467,580) | — | — | — | (1,467,580) |
Total | 99,972,690 | 75,516,960 | — | 274,140,445 | 449,630,095 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 | 9 |
June 30, 2020 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $108,787,618) | $110,920,733 |
Affiliated issuers (cost $305,425,849) | 336,948,051 |
Options purchased (cost $2,251,156) | 2,571,720 |
Margin deposits on: | |
Futures contracts | 6,772,515 |
Swap contracts | 677,897 |
Receivable for: | |
Investments sold | 11,823 |
Capital shares sold | 10,361 |
Dividends | 13,300 |
Interest | 80,184 |
Variation margin for futures contracts | 126,359 |
Variation margin for swap contracts | 25,039 |
Trustees’ deferred compensation plan | 18,654 |
Total assets | 458,176,636 |
Liabilities | |
Payable for: | |
Investments purchased on a delayed delivery basis | 75,275,302 |
Capital shares purchased | 27,251 |
Variation margin for futures contracts | 961,114 |
Management services fees | 2,279 |
Distribution and/or service fees | 2,598 |
Service fees | 18,679 |
Compensation of board members | 2,606 |
Compensation of chief compliance officer | 22 |
Other expenses | 26,399 |
Trustees’ deferred compensation plan | 18,654 |
Total liabilities | 76,334,904 |
Net assets applicable to outstanding capital stock | $381,841,732 |
Represented by | |
Trust capital | $381,841,732 |
Total - representing net assets applicable to outstanding capital stock | $381,841,732 |
Class 1 | |
Net assets | $20,926 |
Shares outstanding | 1,658 |
Net asset value per share | $12.62 |
Class 2 | |
Net assets | $381,820,806 |
Shares outstanding | 30,352,220 |
Net asset value per share | $12.58 |
10 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 |
Six Months Ended June 30, 2020 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $317,499 |
Dividends — affiliated issuers | 305,720 |
Interest | 8,333 |
Total income | 631,552 |
Expenses: | |
Management services fees | 368,244 |
Distribution and/or service fees | |
Class 2 | 414,423 |
Service fees | 99,931 |
Compensation of board members | 8,656 |
Custodian fees | 12,057 |
Printing and postage fees | 8,285 |
Audit fees | 19,642 |
Legal fees | 3,822 |
Compensation of chief compliance officer | 52 |
Other | 5,273 |
Total expenses | 940,385 |
Net investment loss | (308,833) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 1,281,747 |
Investments — affiliated issuers | (481,538) |
Foreign currency translations | (4,971) |
Futures contracts | (13,632,292) |
Options purchased | 4,685,995 |
Swap contracts | 42,300 |
Net realized loss | (8,108,759) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 780,032 |
Investments — affiliated issuers | 11,799,669 |
Foreign currency translations | 4,974 |
Futures contracts | (2,277,891) |
Options purchased | 733,671 |
Swap contracts | 273,737 |
Net change in unrealized appreciation (depreciation) | 11,314,192 |
Net realized and unrealized gain | 3,205,433 |
Net increase in net assets resulting from operations | $2,896,600 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 | 11 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||
Net investment income (loss) | $(308,833) | $2,965,061 |
Net realized gain (loss) | (8,108,759) | 2,892,937 |
Net change in unrealized appreciation (depreciation) | 11,314,192 | 21,480,197 |
Net increase in net assets resulting from operations | 2,896,600 | 27,338,195 |
Increase in net assets from capital stock activity | 90,014,898 | 122,530,566 |
Total increase in net assets | 92,911,498 | 149,868,761 |
Net assets at beginning of period | 288,930,234 | 139,061,473 |
Net assets at end of period | $381,841,732 | $288,930,234 |
Six Months Ended | Year Ended | |||
June 30, 2020 (Unaudited) | December 31, 2019 (a) | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 1,443 | 17,080 | 221 | 2,540 |
Redemptions | (6) | (77) | — | — |
Net increase | 1,437 | 17,003 | 221 | 2,540 |
Class 2 | ||||
Subscriptions | 8,774,273 | 106,366,528 | 11,038,892 | 131,914,768 |
Redemptions | (1,346,195) | (16,368,633) | (787,233) | (9,386,742) |
Net increase | 7,428,078 | 89,997,895 | 10,251,659 | 122,528,026 |
Total net increase | 7,429,515 | 90,014,898 | 10,251,880 | 122,530,566 |
(a) | Class 1 shares are based on operations from February 20, 2019 (commencement of operations) through the stated period end. |
12 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 | 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 6/30/2020 (Unaudited) | $12.63 | (0.00)(c) | (0.01)(d) | (0.01) |
Year Ended 12/31/2019(f) | $11.47 | 0.20 | 0.96 | 1.16 |
Class 2 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $12.60 | (0.01) | (0.01)(d) | (0.02) |
Year Ended 12/31/2019 | $10.97 | 0.17 | 1.46 | 1.63 |
Year Ended 12/31/2018 | $11.25 | 0.11 | (0.39) | (0.28) |
Year Ended 12/31/2017 | $10.07 | 0.09 | 1.09 | 1.18 |
Year Ended 12/31/2016(g) | $10.00 | (0.02) | 0.09 | 0.07 |
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) | Calculation of the net gain (loss) per share (both realized and unrealized) does not correlate to the aggregate realized and unrealized gain (loss) presented in the Statement of Operations due to the timing of subscriptions and redemptions of Fund shares in relation to fluctuations in the market value of the portfolio. |
(e) | Annualized. |
(f) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
(g) | The Fund commenced operations on November 2, 2016. Per share data and total return reflect activity from that date. |
14 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 |
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 6/30/2020 (Unaudited) | $12.62 | (0.08%) | 0.31%(e) | 0.31%(e) | (0.03%)(e) | 87% | $21 |
Year Ended 12/31/2019(f) | $12.63 | 10.11% | 0.32%(e) | 0.32%(e) | 1.98%(e) | 156% | $3 |
Class 2 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $12.58 | (0.16%) | 0.57%(e) | 0.57%(e) | (0.19%)(e) | 87% | $381,821 |
Year Ended 12/31/2019 | $12.60 | 14.86% | 0.59% | 0.59% | 1.42% | 156% | $288,927 |
Year Ended 12/31/2018 | $10.97 | (2.49%) | 0.65% | 0.65% | 0.99% | 51% | $139,061 |
Year Ended 12/31/2017 | $11.25 | 11.72% | 0.74% | 0.67% | 0.80% | 49% | $82,636 |
Year Ended 12/31/2016(g) | $10.07 | 0.70% | 1.08%(e) | 0.66%(e) | (0.28%)(e) | 10% | $18,272 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 | 15 |
June 30, 2020 (Unaudited)
16 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 | 17 |
June 30, 2020 (Unaudited)
18 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 | 19 |
June 30, 2020 (Unaudited)
20 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of trust capital — unrealized appreciation on swap contracts | 273,737* |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 261,921* |
Equity risk | Investments, at value — Options Purchased | 2,571,720 |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 121,513* |
Total | 3,228,891 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 1,445,378* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 22,202* |
Total | 1,467,580 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 42,300 | 42,300 |
Equity risk | (15,760,382) | 4,685,995 | — | (11,074,387) |
Interest rate risk | 2,128,090 | — | — | 2,128,090 |
Total | (13,632,292) | 4,685,995 | 42,300 | (8,903,997) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 273,737 | 273,737 |
Equity risk | (2,586,600) | 733,671 | — | (1,852,929) |
Interest rate risk | 308,709 | — | — | 308,709 |
Total | (2,277,891) | 733,671 | 273,737 | (1,270,483) |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 | 21 |
June 30, 2020 (Unaudited)
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 89,063,798 |
Futures contracts — short | 52,598,757 |
Credit default swap contracts — sell protection | 16,000,000 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 2,407,898 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2020. |
22 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
JPMorgan ($) | Morgan Stanley ($) | Total ($) | |
Assets | |||
Centrally cleared credit default swap contracts (a) | - | 25,039 | 25,039 |
Options purchased puts | 2,571,720 | - | 2,571,720 |
Total assets | 2,571,720 | 25,039 | 2,596,759 |
Total financial and derivative net assets | 2,571,720 | 25,039 | 2,596,759 |
Total collateral received (pledged) (b) | - | - | - |
Net amount (c) | 2,571,720 | 25,039 | 2,596,759 |
(a) | Centrally cleared swaps are included within payable/receivable for variation margin on the Statement of Assets and Liabilities. |
(b) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(c) | Represents the net amount due from/(to) counterparties in the event of default. |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 | 23 |
June 30, 2020 (Unaudited)
24 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
May 1, 2020 through April 30, 2021 | Prior to May 1, 2020 | |
Class 1 | 0.80% | 0.85% |
Class 2 | 1.05 | 1.10 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 | 25 |
June 30, 2020 (Unaudited)
26 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 | 27 |
June 30, 2020 (Unaudited)
28 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 |
• | 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 – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 | 29 |
• | 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 the Investment Manager, as well as performance relative to benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by the Investment Manager; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund through April 30, 2021 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; |
• | The terms and conditions of the Management Agreement; |
• | The current and proposed terms and conditions 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 distribution, transfer agency and shareholder services to the Fund; |
• | Descriptions of various functions 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 reputation, regulatory history and 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, including an assessment of the Investment Manager’s compliance system by the Fund’s Chief Compliance Officer; and |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund. |
30 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 | 31 |
32 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 |
Trustee | Votes For | Votes Withheld | Abstentions |
Janet L. Carrig | 26,231,108,809 | 1,129,334,152 | 0 |
J. Kevin Connaughton | 26,249,644,638 | 1,110,798,323 | 0 |
Olive Darragh | 26,323,990,658 | 1,036,452,304 | 0 |
Douglas A. Hacker | 26,255,762,920 | 1,104,680,042 | 0 |
Nancy T. Lukitsh | 26,332,381,722 | 1,028,061,240 | 0 |
David M. Moffett | 26,252,719,395 | 1,107,723,567 | 0 |
John J. Neuhauser | 26,222,694,456 | 1,137,748,505 | 0 |
Christopher O. Petersen | 26,265,703,212 | 1,094,739,749 | 0 |
Patrick J. Simpson | 26,222,908,024 | 1,137,534,938 | 0 |
Natalie A. Trunow | 26,340,164,732 | 1,020,278,229 | 0 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2020 | 33 |
June 30, 2020
3 | |
5 | |
6 | |
10 | |
11 | |
12 | |
14 | |
16 | |
30 | |
30 | |
34 |
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | |||||
Inception | 6 Months cumulative | 1 Year | Life | ||
Class 1* | 02/20/19 | -3.88 | 2.71 | 8.88 | |
Class 2 | 11/02/16 | -3.96 | 2.41 | 8.77 | |
Blended Benchmark | 0.50 | 8.49 | 10.55 | ||
S&P 500 Index | -3.08 | 7.51 | 13.53 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | 6.14 | 8.74 | 4.31 |
* | 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 – U.S. Flexible Growth Fund | Semiannual Report 2020 | 3 |
(Unaudited)
Portfolio Allocation (%) (at June 30, 2020) | |
Allocations to Underlying Funds | |
Equity Funds | 47.5 |
U.S. Large Cap | 47.5 |
Exchange-Traded Fixed Income Funds | 7.7 |
Investment Grade | 7.7 |
Fixed Income Funds | 10.2 |
High Yield | 0.6 |
Investment Grade | 9.6 |
Allocations to Tactical Assets | |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 11.7 |
Options Purchased Puts | 0.8 |
Residential Mortgage-Backed Securities - Agency | 22.1 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $476.4 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 |
(Unaudited)
January 1, 2020 — June 30, 2020 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 961.20 | 1,023.42 | 1.41 | 1.46 | 0.29 | 3.46 | 3.57 | 0.71 |
Class 2 | 1,000.00 | 1,000.00 | 960.40 | 1,022.23 | 2.58 | 2.66 | 0.53 | 4.63 | 4.78 | 0.95 |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 | 5 |
June 30, 2020 (Unaudited)
Equity Funds 59.0% | ||
Shares | Value ($) | |
U.S. Large Cap 59.0% | ||
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 3,768,886 | 214,449,633 |
Columbia Variable Portfolio - Large Cap Index Fund, Class 1 Shares(a),(b) | 17,094,981 | 428,400,221 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 9,041,936 | 213,118,433 |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares(a),(b) | 5,253,353 | 216,700,821 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 4,848,646 | 228,565,165 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 9,862,738 | 210,668,072 |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares(a),(b) | 18,751,937 | 426,981,605 |
Total | 1,938,883,950 | |
Total Equity Funds (Cost $1,606,064,377) | 1,938,883,950 | |
Exchange-Traded Fixed Income Funds 9.6% | ||
Investment Grade 9.6% | ||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 1,172,100 | 157,647,450 |
Vanguard Intermediate-Term Corporate Bond ETF | 1,650,000 | 156,981,000 |
Total | 314,628,450 | |
Total Exchange-Traded Fixed Income Funds (Cost $306,847,812) | 314,628,450 | |
Fixed Income Funds 12.7% | ||
High Yield 0.7% | ||
Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares(a) | 3,283,992 | 24,071,660 |
Investment Grade 12.0% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a),(b) | 7,361,906 | 83,631,257 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a),(b) | 2,411,102 | 24,279,799 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a),(b) | 1,604,872 | 20,092,991 |
Fixed Income Funds (continued) | ||
Shares | Value ($) | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a),(b) | 2,203,780 | 24,131,396 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a),(b) | 6,977,602 | 80,172,644 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a),(b) | 6,632,975 | 77,539,483 |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a),(b) | 1,050,728 | 11,137,716 |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares(a),(b) | 6,085,386 | 71,929,259 |
Total | 392,914,545 | |
Total Fixed Income Funds (Cost $384,739,363) | 416,986,205 |
Residential Mortgage-Backed Securities - Agency 27.3% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(c) | ||||
07/16/2035 | 2.500% | 293,100,000 | 306,861,962 | |
07/16/2035- 07/14/2050 | 3.000% | 545,988,000 | 574,502,595 | |
07/14/2050 | 3.500% | 17,500,000 | 18,405,761 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $899,613,997) | 899,770,318 |
Options Purchased Puts 1.0% | ||||
Value ($) | ||||
(Cost $31,777,860) | 34,184,150 |
Money Market Funds 14.5% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(a),(d) | 476,430,050 | 476,430,050 |
Total Money Market Funds (Cost $476,380,778) | 476,430,050 | |
Total Investments in Securities (Cost: $3,705,424,187) | 4,080,883,123 | |
Other Assets & Liabilities, Net | (793,248,195) | |
Net Assets | 3,287,634,928 |
6 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | 817 | 09/2020 | USD | 126,234,670 | 3,583,401 | — |
U.S. Long Bond | 1,058 | 09/2020 | USD | 188,919,125 | 351,609 | — |
U.S. Treasury 10-Year Note | 1,859 | 09/2020 | USD | 258,720,516 | 678,883 | — |
U.S. Treasury 2-Year Note | 1,100 | 09/2020 | USD | 242,910,939 | 26,438 | — |
U.S. Treasury 5-Year Note | 2,353 | 09/2020 | USD | 295,871,368 | 638,585 | — |
U.S. Ultra Treasury Bond | 304 | 09/2020 | USD | 66,319,500 | — | (249,983) |
Total | 5,278,916 | (249,983) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | (6,837) | 09/2020 | USD | (1,056,384,870) | — | (23,759,648) |
S&P/TSX 60 Index | (210) | 09/2020 | CAD | (38,997,000) | — | (874,821) |
Total | — | (24,634,469) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 215,470,155 | 695 | 2,600.00 | 12/17/2021 | 11,971,503 | 15,686,150 |
S&P 500 Index | JPMorgan | USD | 217,020,300 | 700 | 2,400.00 | 12/17/2021 | 13,058,997 | 11,158,000 |
S&P 500 Index | JPMorgan | USD | 124,011,600 | 400 | 2,500.00 | 12/17/2021 | 6,747,360 | 7,340,000 |
Total | 31,777,860 | 34,184,150 |
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America Investment Grade Index, Series 34 | Morgan Stanley | 06/20/2025 | 1.000 | Quarterly | 0.762 | USD | 295,000,000 | 4,113,279 | — | — | 4,113,279 | — |
* | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(a) | As defined in the Investment Company Act of 1940, 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, 2020 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, 0.253% | |||||||||
673,395,132 | 1,259,007,322 | (1,456,028,772) | 56,368 | 476,430,050 | — | 11,815 | 3,032,610 | 476,430,050 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
196,936,969 | 27,592,280 | (8,453,328) | (1,626,288) | 214,449,633 | — | (241,530) | — | 3,768,886 |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 | 7 |
June 30, 2020 (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 – Income Opportunities Fund, Class 1 Shares | |||||||||
22,477,582 | 2,868,582 | (425,295) | (849,209) | 24,071,660 | — | (33,816) | — | 3,283,992 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
76,698,396 | 4,294,267 | (2,501,799) | 5,140,393 | 83,631,257 | — | 54,054 | — | 7,361,906 | |
Columbia Variable Portfolio - Large Cap Index Fund, Class 1 Shares | |||||||||
394,041,712 | 55,601,857 | (15,714,612) | (5,528,736) | 428,400,221 | — | (276,241) | — | 17,094,981 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
22,486,366 | 1,608,446 | (554,376) | 739,363 | 24,279,799 | — | 740 | — | 2,411,102 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
18,290,049 | 450,299 | (1,099,960) | 2,452,603 | 20,092,991 | — | 111,944 | — | 1,604,872 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
197,282,413 | 50,631,897 | (11,171,641) | (23,624,236) | 213,118,433 | — | (1,249,643) | — | 9,041,936 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
22,501,608 | 1,585,068 | (674,047) | 718,767 | 24,131,396 | — | 8,307 | — | 2,203,780 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
74,322,559 | 4,713,073 | (2,200,871) | 3,337,883 | 80,172,644 | — | (4,255) | — | 6,977,602 | |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
196,598,041 | 10,815,708 | (10,431,827) | 19,718,899 | 216,700,821 | — | 1,280,925 | — | 5,253,353 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
196,450,873 | 8,175,179 | (32,700,082) | 56,639,195 | 228,565,165 | — | 6,684,320 | — | 4,848,646 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
197,201,156 | 56,857,110 | (11,224,486) | (32,165,708) | 210,668,072 | — | (1,576,823) | — | 9,862,738 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
71,729,830 | 4,005,840 | (2,676,908) | 4,480,721 | 77,539,483 | — | 67,505 | — | 6,632,975 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
10,375,742 | 765,310 | (335,334) | 331,998 | 11,137,716 | — | 5,420 | — | 1,050,728 | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | |||||||||
66,501,891 | 3,789,093 | (2,408,943) | 4,047,218 | 71,929,259 | — | 58,777 | — | 6,085,386 | |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares | |||||||||
393,925,365 | 58,457,819 | (14,793,938) | (10,607,641) | 426,981,605 | — | (448,768) | — | 18,751,937 | |
Total | 2,831,215,684 | 23,261,590 | 2,832,300,205 | — | 4,452,731 | 3,032,610 |
(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, 2020. |
TBA | To Be Announced |
CAD | Canada Dollar |
USD | US Dollar |
8 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 |
June 30, 2020 (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 | |||||
Equity Funds | — | — | — | 1,938,883,950 | 1,938,883,950 |
Exchange-Traded Fixed Income Funds | 314,628,450 | — | — | — | 314,628,450 |
Fixed Income Funds | — | — | — | 416,986,205 | 416,986,205 |
Residential Mortgage-Backed Securities - Agency | — | 899,770,318 | — | — | 899,770,318 |
Options Purchased Puts | 34,184,150 | — | — | — | 34,184,150 |
Money Market Funds | 476,430,050 | — | — | — | 476,430,050 |
Total Investments in Securities | 825,242,650 | 899,770,318 | — | 2,355,870,155 | 4,080,883,123 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 5,278,916 | — | — | — | 5,278,916 |
Swap Contracts | — | 4,113,279 | — | — | 4,113,279 |
Liability | |||||
Futures Contracts | (24,884,452) | — | — | — | (24,884,452) |
Total | 805,637,114 | 903,883,597 | — | 2,355,870,155 | 4,065,390,866 |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 | 9 |
June 30, 2020 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,206,461,809) | $1,214,398,768 |
Affiliated issuers (cost $2,467,184,518) | 2,832,300,205 |
Options purchased (cost $31,777,860) | 34,184,150 |
Cash collateral held at broker for: | |
Purchased options | 578,000 |
Margin deposits on: | |
Futures contracts | 109,128,495 |
Swap contracts | 11,109,974 |
Receivable for: | |
Investments sold | 1,411,711 |
Capital shares sold | 136,434 |
Dividends | 97,880 |
Interest | 961,084 |
Variation margin for futures contracts | 1,753,313 |
Variation margin for swap contracts | 410,365 |
Trustees’ deferred compensation plan | 48,008 |
Total assets | 4,206,518,387 |
Liabilities | |
Payable for: | |
Investments purchased on a delayed delivery basis | 900,575,081 |
Capital shares purchased | 2,153,164 |
Variation margin for futures contracts | 15,869,122 |
Management services fees | 19,252 |
Distribution and/or service fees | 22,354 |
Service fees | 160,158 |
Compensation of board members | 5,375 |
Compensation of chief compliance officer | 239 |
Other expenses | 30,706 |
Trustees’ deferred compensation plan | 48,008 |
Total liabilities | 918,883,459 |
Net assets applicable to outstanding capital stock | $3,287,634,928 |
Represented by | |
Trust capital | $3,287,634,928 |
Total - representing net assets applicable to outstanding capital stock | $3,287,634,928 |
Class 1 | |
Net assets | $391,149 |
Shares outstanding | 28,678 |
Net asset value per share | $13.64 |
Class 2 | |
Net assets | $3,287,243,779 |
Shares outstanding | 241,783,506 |
Net asset value per share | $13.60 |
10 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 |
Six Months Ended June 30, 2020 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $2,645,144 |
Dividends — affiliated issuers | 3,032,610 |
Interest | 135,374 |
Total income | 5,813,128 |
Expenses: | |
Management services fees | 3,281,074 |
Distribution and/or service fees | |
Class 2 | 3,820,859 |
Service fees | 918,867 |
Compensation of board members | 25,023 |
Custodian fees | 13,427 |
Printing and postage fees | 21,360 |
Audit fees | 19,641 |
Legal fees | 36,889 |
Compensation of chief compliance officer | 527 |
Other | 28,736 |
Total expenses | 8,166,403 |
Net investment loss | (2,353,275) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 17,382,160 |
Investments — affiliated issuers | 4,452,731 |
Foreign currency translations | (130,476) |
Futures contracts | (235,332,621) |
Options purchased | 106,050,584 |
Swap contracts | 663,289 |
Net realized loss | (106,914,333) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (202,478) |
Investments — affiliated issuers | 23,261,590 |
Foreign currency translations | 130,574 |
Futures contracts | (42,181,463) |
Options purchased | 10,686,080 |
Swap contracts | 4,113,279 |
Net change in unrealized appreciation (depreciation) | (4,192,418) |
Net realized and unrealized loss | (111,106,751) |
Net decrease in net assets resulting from operations | $(113,460,026) |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 | 11 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||
Net investment income (loss) | $(2,353,275) | $13,544,586 |
Net realized gain (loss) | (106,914,333) | 48,786,628 |
Net change in unrealized appreciation (depreciation) | (4,192,418) | 356,276,626 |
Net increase (decrease) in net assets resulting from operations | (113,460,026) | 418,607,840 |
Increase in net assets from capital stock activity | 367,970,016 | 908,990,327 |
Total increase in net assets | 254,509,990 | 1,327,598,167 |
Net assets at beginning of period | 3,033,124,938 | 1,705,526,771 |
Net assets at end of period | $3,287,634,928 | $3,033,124,938 |
Six Months Ended | Year Ended | |||
June 30, 2020 (Unaudited) | December 31, 2019 (a) | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 20,082 | 273,796 | 9,696 | 133,660 |
Redemptions | (682) | (9,050) | (418) | (5,629) |
Net increase | 19,400 | 264,746 | 9,278 | 128,031 |
Class 2 | ||||
Subscriptions | 28,560,671 | 379,753,299 | 69,615,922 | 912,520,970 |
Redemptions | (941,158) | (12,048,029) | (275,141) | (3,658,674) |
Net increase | 27,619,513 | 367,705,270 | 69,340,781 | 908,862,296 |
Total net increase | 27,638,913 | 367,970,016 | 69,350,059 | 908,990,327 |
(a) | Class 1 shares are based on operations from February 20, 2019 (commencement of operations) through the stated period end. |
12 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 | 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 6/30/2020 (Unaudited) | $14.19 | 0.00(c) | (0.55) | (0.55) |
Year Ended 12/31/2019(e) | $12.62 | 0.06 | 1.51 | 1.57 |
Class 2 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $14.16 | (0.01) | (0.55) | (0.56) |
Year Ended 12/31/2019 | $11.78 | 0.08 | 2.30 | 2.38 |
Year Ended 12/31/2018 | $12.26 | 0.05 | (0.53) | (0.48) |
Year Ended 12/31/2017 | $10.35 | 0.02 | 1.89 | 1.91 |
Year Ended 12/31/2016(f) | $10.00 | (0.01) | 0.36 | 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) | Rounds to zero. |
(d) | Annualized. |
(e) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
(f) | The Fund commenced operations on November 2, 2016. Per share data and total return reflect activity from that date. |
14 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 |
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 6/30/2020 (Unaudited) | $13.64 | (3.88%) | 0.29%(d) | 0.29%(d) | 0.06%(d) | 98% | $391 |
Year Ended 12/31/2019(e) | $14.19 | 12.44% | 0.30%(d) | 0.30%(d) | 0.52%(d) | 132% | $132 |
Class 2 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $13.60 | (3.96%) | 0.53%(d) | 0.53%(d) | (0.15%)(d) | 98% | $3,287,244 |
Year Ended 12/31/2019 | $14.16 | 20.20% | 0.54% | 0.54% | 0.57% | 132% | $3,032,993 |
Year Ended 12/31/2018 | $11.78 | (3.92%) | 0.55% | 0.55% | 0.38% | 44% | $1,705,527 |
Year Ended 12/31/2017 | $12.26 | 18.45% | 0.55% | 0.55% | 0.17% | 9% | $998,296 |
Year Ended 12/31/2016(f) | $10.35 | 3.50% | 0.63%(d) | 0.63%(d) | (0.26%)(d) | 12% | $166,632 |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 | 15 |
June 30, 2020 (Unaudited)
16 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 | 17 |
June 30, 2020 (Unaudited)
18 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 | 19 |
June 30, 2020 (Unaudited)
20 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of trust capital — unrealized appreciation on swap contracts | 4,113,279* |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 3,583,401* |
Equity risk | Investments, at value — Options Purchased | 34,184,150 |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 1,695,515* |
Total | 43,576,345 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 24,634,469* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 249,983* |
Total | 24,884,452 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 663,289 | 663,289 |
Equity risk | (250,890,273) | 106,050,584 | — | (144,839,689) |
Interest rate risk | 15,557,652 | — | — | 15,557,652 |
Total | (235,332,621) | 106,050,584 | 663,289 | (128,618,748) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 4,113,279 | 4,113,279 |
Equity risk | (44,128,804) | 10,686,080 | — | (33,442,724) |
Interest rate risk | 1,947,341 | — | — | 1,947,341 |
Total | (42,181,463) | 10,686,080 | 4,113,279 | (27,382,104) |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 | 21 |
June 30, 2020 (Unaudited)
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 1,196,205,275 |
Futures contracts — short | 918,437,781 |
Credit default swap contracts — sell protection | 247,500,000 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 32,945,125 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2020. |
22 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
JPMorgan ($) | Morgan Stanley ($) | Total ($) | |
Assets | |||
Centrally cleared credit default swap contracts (a) | - | 410,365 | 410,365 |
Options purchased puts | 34,184,150 | - | 34,184,150 |
Total assets | 34,184,150 | 410,365 | 34,594,515 |
Total financial and derivative net assets | 34,184,150 | 410,365 | 34,594,515 |
Total collateral received (pledged) (b) | - | - | - |
Net amount (c) | 34,184,150 | 410,365 | 34,594,515 |
(a) | Centrally cleared swaps are included within payable/receivable for variation margin on the Statement of Assets and Liabilities. |
(b) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(c) | Represents the net amount due from/(to) counterparties in the event of default. |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 | 23 |
June 30, 2020 (Unaudited)
24 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
May 1, 2020 through April 30, 2021 | Prior to May 1, 2020 | |
Class 1 | 0.80% | 0.85% |
Class 2 | 1.05 | 1.10 |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 | 25 |
June 30, 2020 (Unaudited)
26 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 | 27 |
June 30, 2020 (Unaudited)
28 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 | 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 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 |
• | 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 the Investment Manager, as well as performance relative to benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by the Investment Manager; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund through April 30, 2021 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; |
• | The terms and conditions of the Management Agreement; |
• | The current and proposed terms and conditions 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 distribution, transfer agency and shareholder services to the Fund; |
• | Descriptions of various functions 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 reputation, regulatory history and 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, including an assessment of the Investment Manager’s compliance system by the Fund’s Chief Compliance Officer; and |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund. |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 | 31 |
32 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 | 33 |
Trustee | Votes For | Votes Withheld | Abstentions |
Janet L. Carrig | 26,231,108,809 | 1,129,334,152 | 0 |
J. Kevin Connaughton | 26,249,644,638 | 1,110,798,323 | 0 |
Olive Darragh | 26,323,990,658 | 1,036,452,304 | 0 |
Douglas A. Hacker | 26,255,762,920 | 1,104,680,042 | 0 |
Nancy T. Lukitsh | 26,332,381,722 | 1,028,061,240 | 0 |
David M. Moffett | 26,252,719,395 | 1,107,723,567 | 0 |
John J. Neuhauser | 26,222,694,456 | 1,137,748,505 | 0 |
Christopher O. Petersen | 26,265,703,212 | 1,094,739,749 | 0 |
Patrick J. Simpson | 26,222,908,024 | 1,137,534,938 | 0 |
Natalie A. Trunow | 26,340,164,732 | 1,020,278,229 | 0 |
34 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2020 |
June 30, 2020
3 | |
5 | |
6 | |
10 | |
11 | |
12 | |
14 | |
16 | |
30 | |
30 | |
34 |
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | |||||
Inception | 6 Months cumulative | 1 Year | Life | ||
Class 1* | 02/20/19 | -1.86 | 3.87 | 7.80 | |
Class 2 | 11/02/16 | -1.94 | 3.63 | 7.71 | |
Blended Benchmark | 1.92 | 8.72 | 9.19 | ||
S&P 500 Index | -3.08 | 7.51 | 13.53 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | 6.14 | 8.74 | 4.31 |
* | 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 – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 | 3 |
(Unaudited)
Portfolio Allocation (%) (at June 30, 2020) | |
Allocations to Underlying Funds | |
Equity Funds | 37.7 |
U.S. Large Cap | 37.7 |
Exchange-Traded Fixed Income Funds | 8.1 |
Investment Grade | 8.1 |
Fixed Income Funds | 21.9 |
High Yield | 1.3 |
Investment Grade | 20.6 |
Allocations to Tactical Assets | |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 12.5 |
Options Purchased Puts | 0.8 |
Residential Mortgage-Backed Securities - Agency | 19.0 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $282.5 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 |
(Unaudited)
January 1, 2020 — June 30, 2020 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 981.40 | 1,023.42 | 1.43 | 1.46 | 0.29 | 3.40 | 3.47 | 0.69 |
Class 2 | 1,000.00 | 1,000.00 | 980.60 | 1,022.18 | 2.66 | 2.72 | 0.54 | 4.63 | 4.73 | 0.94 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 | 5 |
June 30, 2020 (Unaudited)
Equity Funds 45.4% | ||
Shares | Value ($) | |
U.S. Large Cap 45.4% | ||
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 1,671,914 | 95,131,888 |
Columbia Variable Portfolio - Large Cap Index Fund, Class 1 Shares(a),(b) | 7,602,608 | 190,521,358 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 4,030,119 | 94,989,916 |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares(a),(b) | 2,306,653 | 95,149,439 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 2,047,408 | 96,514,831 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 4,383,209 | 93,625,342 |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares(a),(b) | 8,358,201 | 190,316,239 |
Total | 856,249,013 | |
Total Equity Funds (Cost $696,395,752) | 856,249,013 | |
Exchange-Traded Fixed Income Funds 9.8% | ||
Investment Grade 9.8% | ||
iShares Core U.S. Aggregate Bond ETF | 206,400 | 24,398,544 |
iShares iBoxx $ Investment Grade Corporate Bond ETF | 631,363 | 84,918,323 |
Vanguard Intermediate-Term Corporate Bond ETF | 790,000 | 75,160,600 |
Total | 184,477,467 | |
Total Exchange-Traded Fixed Income Funds (Cost $174,621,485) | 184,477,467 | |
Fixed Income Funds 26.4% | ||
High Yield 1.5% | ||
Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares(a) | 3,906,123 | 28,631,878 |
Investment Grade 24.9% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a),(b) | 8,756,185 | 99,470,259 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a),(b) | 2,882,035 | 29,022,097 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a),(b) | 1,914,337 | 23,967,493 |
Fixed Income Funds (continued) | ||
Shares | Value ($) | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a),(b) | 2,630,549 | 28,804,516 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a),(b) | 8,306,132 | 95,437,454 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a),(b) | 7,910,099 | 92,469,062 |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a),(b) | 1,237,876 | 13,121,482 |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares(a),(b) | 7,247,982 | 85,671,152 |
Total | 467,963,515 | |
Total Fixed Income Funds (Cost $457,706,099) | 496,595,393 |
Residential Mortgage-Backed Securities - Agency 22.9% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(c) | ||||
07/16/2035 | 2.500% | 134,920,000 | 141,254,917 | |
07/16/2035- 07/14/2050 | 3.000% | 267,090,000 | 281,039,535 | |
07/14/2050 | 3.500% | 9,000,000 | 9,465,820 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $431,672,767) | 431,760,272 |
Options Purchased Puts 0.9% | ||||
Value ($) | ||||
(Cost $15,395,252) | 17,661,930 |
Money Market Funds 15.0% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(a),(d) | 282,533,341 | 282,533,341 |
Total Money Market Funds (Cost $282,501,406) | 282,533,341 | |
Total Investments in Securities (Cost: $2,058,292,761) | 2,269,277,416 | |
Other Assets & Liabilities, Net | (384,334,794) | |
Net Assets | 1,884,942,622 |
6 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | 413 | 09/2020 | USD | 63,812,630 | 1,815,186 | — |
U.S. Long Bond | 556 | 09/2020 | USD | 99,280,750 | 184,778 | — |
U.S. Treasury 10-Year Note | 815 | 09/2020 | USD | 113,425,078 | 297,627 | — |
U.S. Treasury 2-Year Note | 468 | 09/2020 | USD | 103,347,563 | 11,248 | — |
U.S. Treasury 5-Year Note | 930 | 09/2020 | USD | 116,940,235 | 252,394 | — |
U.S. Ultra Treasury Bond | 166 | 09/2020 | USD | 36,213,938 | — | (136,504) |
Total | 2,561,233 | (136,504) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | (2,968) | 09/2020 | USD | (458,585,680) | — | (10,312,608) |
S&P/TSX 60 Index | (90) | 09/2020 | CAD | (16,713,000) | — | (374,923) |
Total | — | (10,687,531) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 158,114,790 | 510 | 2,600.00 | 12/17/2021 | 8,784,870 | 11,510,700 |
S&P 500 Index | JPMorgan | USD | 75,027,018 | 242 | 2,400.00 | 12/17/2021 | 4,501,792 | 3,857,480 |
S&P 500 Index | JPMorgan | USD | 38,753,625 | 125 | 2,500.00 | 12/17/2021 | 2,108,590 | 2,293,750 |
Total | 15,395,252 | 17,661,930 |
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America Investment Grade Index, Series 34 | Morgan Stanley | 06/20/2025 | 1.000 | Quarterly | 0.762 | USD | 125,000,000 | 1,704,731 | — | — | 1,704,731 | — |
* | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(a) | As defined in the Investment Company Act of 1940, 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, 2020 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, 0.253% | |||||||||
379,061,811 | 609,556,499 | (706,120,292) | 35,323 | 282,533,341 | — | 2,906 | 1,708,633 | 282,533,341 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
91,387,243 | 8,901,629 | (3,932,848) | (1,224,136) | 95,131,888 | — | (16,373) | — | 1,671,914 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 | 7 |
June 30, 2020 (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 – Income Opportunities Fund, Class 1 Shares | |||||||||
27,710,814 | 2,539,121 | (553,050) | (1,065,007) | 28,631,878 | — | (41,643) | — | 3,906,123 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
94,555,648 | 4,172,936 | (5,398,744) | 6,140,419 | 99,470,259 | — | 118,745 | — | 8,756,185 | |
Columbia Variable Portfolio - Large Cap Index Fund, Class 1 Shares | |||||||||
183,675,859 | 16,672,280 | (6,293,866) | (3,532,915) | 190,521,358 | — | 109,506 | — | 7,602,608 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
27,822,176 | 1,478,923 | (1,170,771) | 891,769 | 29,022,097 | — | (3,211) | — | 2,882,035 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
22,651,137 | 462,487 | (2,068,896) | 2,922,765 | 23,967,493 | — | 203,026 | — | 1,914,337 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
92,312,417 | 16,965,488 | (2,534,602) | (11,753,387) | 94,989,916 | — | (271,656) | — | 4,030,119 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
27,815,300 | 1,529,540 | (1,406,713) | 866,389 | 28,804,516 | — | 19,543 | — | 2,630,549 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
91,666,736 | 4,225,141 | (4,505,821) | 4,051,398 | 95,437,454 | — | (19,640) | — | 8,306,132 | |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
91,927,672 | 1,837,248 | (6,800,246) | 8,184,765 | 95,149,439 | — | 1,063,674 | — | 2,306,653 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
91,216,448 | 2,305,002 | (20,243,225) | 23,236,606 | 96,514,831 | — | 5,091,063 | — | 2,047,408 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
91,535,607 | 20,091,074 | (2,391,508) | (15,609,831) | 93,625,342 | — | (315,521) | — | 4,383,209 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
88,522,911 | 3,793,294 | (5,221,673) | 5,374,530 | 92,469,062 | — | 129,088 | — | 7,910,099 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
12,670,335 | 733,813 | (676,506) | 393,840 | 13,121,482 | — | 11,009 | — | 1,237,876 | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | |||||||||
82,020,524 | 3,567,829 | (4,766,782) | 4,849,581 | 85,671,152 | — | 122,852 | — | 7,247,982 | |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares | |||||||||
183,152,051 | 18,193,274 | (5,247,179) | (5,781,907) | 190,316,239 | — | (52,176) | — | 8,358,201 | |
Total | 1,679,704,689 | 17,980,202 | 1,635,377,747 | — | 6,151,192 | 1,708,633 |
(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, 2020. |
TBA | To Be Announced |
CAD | Canada Dollar |
USD | US Dollar |
8 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 |
June 30, 2020 (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 | |||||
Equity Funds | — | — | — | 856,249,013 | 856,249,013 |
Exchange-Traded Fixed Income Funds | 184,477,467 | — | — | — | 184,477,467 |
Fixed Income Funds | — | — | — | 496,595,393 | 496,595,393 |
Residential Mortgage-Backed Securities - Agency | — | 431,760,272 | — | — | 431,760,272 |
Options Purchased Puts | 17,661,930 | — | — | — | 17,661,930 |
Money Market Funds | 282,533,341 | — | — | — | 282,533,341 |
Total Investments in Securities | 484,672,738 | 431,760,272 | — | 1,352,844,406 | 2,269,277,416 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 2,561,233 | — | — | — | 2,561,233 |
Swap Contracts | — | 1,704,731 | — | — | 1,704,731 |
Liability | |||||
Futures Contracts | (10,824,035) | — | — | — | (10,824,035) |
Total | 476,409,936 | 433,465,003 | — | 1,352,844,406 | 2,262,719,345 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 | 9 |
June 30, 2020 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $606,294,252) | $616,237,739 |
Affiliated issuers (cost $1,436,603,257) | 1,635,377,747 |
Options purchased (cost $15,395,252) | 17,661,930 |
Cash collateral held at broker for: | |
TBA | 253,000 |
Margin deposits on: | |
Futures contracts | 48,843,878 |
Swap contracts | 4,707,616 |
Receivable for: | |
Investments sold | 1,088,109 |
Dividends | 58,675 |
Interest | 461,846 |
Variation margin for futures contracts | 884,938 |
Variation margin for swap contracts | 173,883 |
Trustees’ deferred compensation plan | 36,684 |
Total assets | 2,325,786,045 |
Liabilities | |
Payable for: | |
Investments purchased on a delayed delivery basis | 432,134,612 |
Capital shares purchased | 1,554,441 |
Variation margin for futures contracts | 6,966,816 |
Management services fees | 11,253 |
Distribution and/or service fees | 12,824 |
Service fees | 92,242 |
Compensation of board members | 3,995 |
Compensation of chief compliance officer | 149 |
Other expenses | 30,407 |
Trustees’ deferred compensation plan | 36,684 |
Total liabilities | 440,843,423 |
Net assets applicable to outstanding capital stock | $1,884,942,622 |
Represented by | |
Trust capital | $1,884,942,622 |
Total - representing net assets applicable to outstanding capital stock | $1,884,942,622 |
Class 1 | |
Net assets | $511,878 |
Shares outstanding | 38,901 |
Net asset value per share | $13.16 |
Class 2 | |
Net assets | $1,884,430,744 |
Shares outstanding | 143,633,450 |
Net asset value per share | $13.12 |
10 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 |
Six Months Ended June 30, 2020 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $1,807,044 |
Dividends — affiliated issuers | 1,708,633 |
Interest | 67,559 |
Total income | 3,583,236 |
Expenses: | |
Management services fees | 2,001,699 |
Distribution and/or service fees | |
Class 2 | 2,266,121 |
Service fees | 544,605 |
Compensation of board members | 18,072 |
Custodian fees | 12,363 |
Printing and postage fees | 16,769 |
Audit fees | 19,642 |
Legal fees | 22,313 |
Compensation of chief compliance officer | 319 |
Other | 18,996 |
Total expenses | 4,920,899 |
Net investment loss | (1,337,663) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 9,403,615 |
Investments — affiliated issuers | 6,151,192 |
Foreign currency translations | (55,916) |
Futures contracts | (107,343,411) |
Options purchased | 48,258,758 |
Swap contracts | 276,767 |
Net realized loss | (43,308,995) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 2,160,723 |
Investments — affiliated issuers | 17,980,202 |
Foreign currency translations | 55,960 |
Futures contracts | (19,065,064) |
Options purchased | 6,293,636 |
Swap contracts | 1,704,731 |
Net change in unrealized appreciation (depreciation) | 9,130,188 |
Net realized and unrealized loss | (34,178,807) |
Net decrease in net assets resulting from operations | $(35,516,470) |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 | 11 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||
Net investment income (loss) | $(1,337,663) | $15,746,425 |
Net realized gain (loss) | (43,308,995) | 26,142,228 |
Net change in unrealized appreciation (depreciation) | 9,130,188 | 192,384,953 |
Net increase (decrease) in net assets resulting from operations | (35,516,470) | 234,273,606 |
Increase in net assets from capital stock activity | 87,373,013 | 456,784,780 |
Total increase in net assets | 51,856,543 | 691,058,386 |
Net assets at beginning of period | 1,833,086,079 | 1,142,027,693 |
Net assets at end of period | $1,884,942,622 | $1,833,086,079 |
Six Months Ended | Year Ended | |||
June 30, 2020 (Unaudited) | December 31, 2019 (a) | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 16,791 | 223,083 | 22,369 | 288,470 |
Redemptions | (214) | (2,754) | (45) | (643) |
Net increase | 16,577 | 220,329 | 22,324 | 287,827 |
Class 2 | ||||
Subscriptions | 9,643,590 | 124,679,131 | 37,126,401 | 462,990,250 |
Redemptions | (2,959,272) | (37,526,447) | (505,591) | (6,493,297) |
Net increase | 6,684,318 | 87,152,684 | 36,620,810 | 456,496,953 |
Total net increase | 6,700,895 | 87,373,013 | 36,643,134 | 456,784,780 |
(a) | Class 1 shares are based on operations from February 20, 2019 (commencement of operations) through the stated period end. |
12 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 | 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 6/30/2020 (Unaudited) | $13.41 | 0.01 | (0.26) | (0.25) |
Year Ended 12/31/2019(d) | $12.05 | 0.20 | 1.16 | 1.36 |
Class 2 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $13.38 | (0.01) | (0.25) | (0.26) |
Year Ended 12/31/2019 | $11.38 | 0.13 | 1.87 | 2.00 |
Year Ended 12/31/2018 | $11.76 | 0.09 | (0.47) | (0.38) |
Year Ended 12/31/2017 | $10.21 | 0.06 | 1.49 | 1.55 |
Year Ended 12/31/2016(e) | $10.00 | (0.01) | 0.22 | 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) | Annualized. |
(d) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
(e) | The Fund commenced operations on November 2, 2016. Per share data and total return reflect activity from that date. |
14 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 |
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 6/30/2020 (Unaudited) | $13.16 | (1.86%) | 0.29%(c) | 0.29%(c) | 0.09%(c) | 85% | $512 |
Year Ended 12/31/2019(d) | $13.41 | 11.29% | 0.30%(c) | 0.30%(c) | 1.84%(c) | 125% | $299 |
Class 2 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $13.12 | (1.94%) | 0.54%(c) | 0.54%(c) | (0.15%)(c) | 85% | $1,884,431 |
Year Ended 12/31/2019 | $13.38 | 17.57% | 0.55% | 0.55% | 1.05% | 125% | $1,832,787 |
Year Ended 12/31/2018 | $11.38 | (3.23%) | 0.56% | 0.56% | 0.74% | 42% | $1,142,028 |
Year Ended 12/31/2017 | $11.76 | 15.18% | 0.56% | 0.56% | 0.56% | 9% | $715,814 |
Year Ended 12/31/2016(e) | $10.21 | 2.10% | 0.75%(c) | 0.64%(c) | (0.16%)(c) | 16% | $89,784 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 | 15 |
June 30, 2020 (Unaudited)
16 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 | 17 |
June 30, 2020 (Unaudited)
18 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 | 19 |
June 30, 2020 (Unaudited)
20 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of trust capital — unrealized appreciation on swap contracts | 1,704,731* |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 1,815,186* |
Equity risk | Investments, at value — Options Purchased | 17,661,930 |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 746,047* |
Total | 21,927,894 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 10,687,531* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 136,504* |
Total | 10,824,035 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 276,767 | 276,767 |
Equity risk | (117,546,280) | 48,258,758 | — | (69,287,522) |
Interest rate risk | 10,202,869 | — | — | 10,202,869 |
Total | (107,343,411) | 48,258,758 | 276,767 | (58,807,886) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 1,704,731 | 1,704,731 |
Equity risk | (20,404,716) | 6,293,636 | — | (14,111,080) |
Interest rate risk | 1,339,652 | — | — | 1,339,652 |
Total | (19,065,064) | 6,293,636 | 1,704,731 | (11,066,697) |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 | 21 |
June 30, 2020 (Unaudited)
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 546,608,749 |
Futures contracts — short | 386,610,790 |
Credit default swap contracts — sell protection | 102,500,000 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 16,355,715 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2020. |
22 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
JPMorgan ($) | Morgan Stanley ($) | Total ($) | |
Assets | |||
Centrally cleared credit default swap contracts (a) | - | 173,883 | 173,883 |
Options purchased puts | 17,661,930 | - | 17,661,930 |
Total assets | 17,661,930 | 173,883 | 17,835,813 |
Total financial and derivative net assets | 17,661,930 | 173,883 | 17,835,813 |
Total collateral received (pledged) (c) | - | - | - |
Net amount (d) | 17,661,930 | 173,883 | 17,835,813 |
(a) | Centrally cleared swaps are included within payable/receivable for variation margin on the Statement of Assets and Liabilities. |
(b) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(c) | Represents the net amount due from/(to) counterparties in the event of default. |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 | 23 |
June 30, 2020 (Unaudited)
24 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
May 1, 2020 through April 30, 2021 | Prior to May 1, 2020 | |
Class 1 | 0.80% | 0.85% |
Class 2 | 1.05 | 1.10 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 | 25 |
June 30, 2020 (Unaudited)
26 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 | 27 |
June 30, 2020 (Unaudited)
28 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 | 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 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 |
• | 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 the Investment Manager, as well as performance relative to benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by the Investment Manager; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund through April 30, 2021 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; |
• | The terms and conditions of the Management Agreement; |
• | The current and proposed terms and conditions 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 distribution, transfer agency and shareholder services to the Fund; |
• | Descriptions of various functions 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 reputation, regulatory history and 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, including an assessment of the Investment Manager’s compliance system by the Fund’s Chief Compliance Officer; and |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund. |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 | 31 |
32 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 | 33 |
Trustee | Votes For | Votes Withheld | Abstentions |
Janet L. Carrig | 26,231,108,809 | 1,129,334,152 | 0 |
J. Kevin Connaughton | 26,249,644,638 | 1,110,798,323 | 0 |
Olive Darragh | 26,323,990,658 | 1,036,452,304 | 0 |
Douglas A. Hacker | 26,255,762,920 | 1,104,680,042 | 0 |
Nancy T. Lukitsh | 26,332,381,722 | 1,028,061,240 | 0 |
David M. Moffett | 26,252,719,395 | 1,107,723,567 | 0 |
John J. Neuhauser | 26,222,694,456 | 1,137,748,505 | 0 |
Christopher O. Petersen | 26,265,703,212 | 1,094,739,749 | 0 |
Patrick J. Simpson | 26,222,908,024 | 1,137,534,938 | 0 |
Natalie A. Trunow | 26,340,164,732 | 1,020,278,229 | 0 |
34 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2020 |
June 30, 2020
3 | |
5 | |
6 | |
10 | |
11 | |
12 | |
14 | |
16 | |
30 | |
30 | |
34 |
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | |||||
Inception | 6 Months cumulative | 1 Year | Life | ||
Class 1* | 02/20/19 | -2.71 | 2.39 | 3.94 | |
Class 2 | 09/12/17 | -2.80 | 2.12 | 3.80 | |
Blended Benchmark | 0.48 | 6.43 | 6.25 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | 6.14 | 8.74 | 5.29 | ||
Russell 3000 Index | -3.48 | 6.53 | 9.58 | ||
MSCI EAFE Index (Net) | -11.34 | -5.13 | -0.88 |
* | 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 Risk Fund | Semiannual Report 2020 | 3 |
(Unaudited)
Portfolio Allocation (%) (at June 30, 2020) | |
Allocations to Underlying Funds | |
Equity Funds | 49.9 |
International | 15.4 |
U.S. Large Cap | 30.6 |
U.S. Small Cap | 3.9 |
Exchange-Traded Fixed Income Funds | 8.7 |
Investment Grade | 8.7 |
Fixed Income Funds | 26.2 |
Investment Grade | 26.2 |
Allocations to Tactical Assets | |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 4.2 |
Options Purchased Puts | 1.4 |
Residential Mortgage-Backed Securities - Agency | 9.6 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $8.6 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 |
(Unaudited)
January 1, 2020 — June 30, 2020 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 972.90 | 1,023.62 | 1.23 | 1.26 | 0.25 | 3.88 | 3.97 | 0.79 |
Class 2 | 1,000.00 | 1,000.00 | 972.00 | 1,022.38 | 2.45 | 2.51 | 0.50 | 5.10 | 5.23 | 1.04 |
Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 | 5 |
June 30, 2020 (Unaudited)
Equity Funds 53.9% | ||
Shares | Value ($) | |
International 16.6% | ||
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares(a) | 3,281,284 | 31,762,832 |
U.S. Large Cap 33.1% | ||
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 558,490 | 31,778,087 |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares(a),(b) | 1,389,846 | 31,646,778 |
Total | 63,424,865 | |
U.S. Small Cap 4.2% | ||
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 162,342 | 4,087,764 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 178,699 | 4,004,656 |
Total | 8,092,420 | |
Total Equity Funds (Cost $99,460,388) | 103,280,117 | |
Exchange-Traded Fixed Income Funds 9.4% | ||
Investment Grade 9.4% | ||
iShares Core U.S. Aggregate Bond ETF | 30,750 | 3,634,957 |
iShares iBoxx $ Investment Grade Corporate Bond ETF | 64,220 | 8,637,590 |
Vanguard Intermediate-Term Corporate Bond ETF | 34,000 | 3,234,760 |
Vanguard Total Bond Market ETF | 28,000 | 2,473,520 |
Total | 17,980,827 | |
Total Exchange-Traded Fixed Income Funds (Cost $16,525,715) | 17,980,827 | |
Fixed Income Funds 28.3% | ||
Investment Grade 28.3% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a),(b) | 2,071,964 | 23,537,510 |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a),(b) | 723,146 | 7,665,355 |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares(a),(b) | 1,960,557 | 23,173,783 |
Total | 54,376,648 | |
Total Fixed Income Funds (Cost $49,485,848) | 54,376,648 |
Residential Mortgage-Backed Securities - Agency 10.4% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(c) | ||||
07/16/2035 | 2.500% | 5,725,000 | 5,993,807 | |
07/16/2035- 07/14/2050 | 3.000% | 7,600,000 | 7,992,531 | |
07/14/2050 | 3.500% | 5,600,000 | 5,889,844 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $19,899,836) | 19,876,182 |
Options Purchased Puts 1.5% | ||||
Value ($) | ||||
(Cost $2,660,409) | 2,944,610 |
Money Market Funds 4.5% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(a),(d) | 8,635,171 | 8,635,171 |
Total Money Market Funds (Cost $8,635,057) | 8,635,171 | |
Total Investments in Securities (Cost: $196,667,253) | 207,093,555 | |
Other Assets & Liabilities, Net | (15,397,834) | |
Net Assets | 191,695,721 |
6 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | 78 | 09/2020 | USD | 12,051,780 | 342,142 | — |
U.S. Long Bond | 20 | 09/2020 | USD | 3,571,250 | 15,032 | — |
U.S. Treasury 10-Year Note | 45 | 09/2020 | USD | 6,262,734 | 15,815 | — |
U.S. Treasury 2-Year Note | 17 | 09/2020 | USD | 3,754,078 | 1,512 | — |
U.S. Treasury 5-Year Note | 81 | 09/2020 | USD | 10,185,117 | 20,865 | — |
U.S. Ultra Treasury Bond | 22 | 09/2020 | USD | 4,799,438 | — | (18,091) |
Total | 395,366 | (18,091) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Australian Dollar | (18) | 09/2020 | USD | (1,242,000) | 21,893 | — |
British Pound | (13) | 09/2020 | USD | (1,007,256) | 17,896 | — |
Canadian Dollar | (3) | 09/2020 | USD | (220,860) | 3,625 | — |
Euro FX | (7) | 09/2020 | USD | (984,681) | 9,861 | — |
Euro FX | (7) | 09/2020 | USD | (984,681) | — | (1,832) |
EURO STOXX 50 Index | (47) | 09/2020 | EUR | (1,514,810) | — | (57,686) |
FTSE 100 Index | (14) | 09/2020 | GBP | (860,650) | — | (12,985) |
Hang Seng Index | (2) | 07/2020 | HKD | (2,424,700) | 1,034 | — |
Japanese Yen | (24) | 09/2020 | USD | (2,781,300) | 2,098 | — |
MSCI EAFE Index | (3) | 09/2020 | USD | (266,760) | — | (1,792) |
MSCI Singapore Index | (4) | 07/2020 | SGD | (118,340) | 1,027 | — |
New Zealand Dollar | (4) | 09/2020 | USD | (258,200) | 4,205 | — |
OMXS30 Index | (242) | 07/2020 | SEK | (40,323,250) | — | (184,270) |
Russell 2000 Index E-mini | (90) | 09/2020 | USD | (6,469,200) | — | (369,993) |
S&P 500 Index E-mini | (91) | 09/2020 | USD | (14,060,410) | — | (309,503) |
SPI 200 Index | (8) | 09/2020 | AUD | (1,178,400) | — | (21,108) |
Swiss Franc | (12) | 09/2020 | USD | (1,587,000) | — | (12,851) |
TOPIX Index | (14) | 09/2020 | JPY | (218,190,000) | 52,457 | — |
TOPIX Index | (6) | 09/2020 | JPY | (93,510,000) | — | (12,969) |
Total | 114,096 | (984,989) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 35,033,277 | 113 | 2,500.00 | 12/17/2021 | 1,906,125 | 2,073,550 |
S&P 500 Index | JPMorgan | USD | 8,680,812 | 28 | 2,600.00 | 12/17/2021 | 482,258 | 631,960 |
S&P 500 Index | JPMorgan | USD | 4,650,435 | 15 | 2,400.00 | 12/17/2021 | 272,026 | 239,100 |
Total | 2,660,409 | 2,944,610 |
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America Investment Grade Index, Series 34 | Morgan Stanley | 06/20/2025 | 1.000 | Quarterly | 0.762 | USD | 6,000,000 | 49,414 | — | — | 49,414 | — |
* | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 | 7 |
June 30, 2020 (Unaudited)
(a) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 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, 0.253% | |||||||||
14,130,213 | 46,694,175 | (52,189,343) | 126 | 8,635,171 | — | 1,814 | 55,631 | 8,635,171 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
31,621,723 | 3,900,812 | (3,261,506) | (482,942) | 31,778,087 | — | (116,599) | — | 558,490 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
23,806,494 | 1,050,384 | (2,770,277) | 1,450,909 | 23,537,510 | — | 31,234 | — | 2,071,964 | |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares | |||||||||
31,720,147 | 5,998,936 | (2,710,254) | (3,245,997) | 31,762,832 | — | (655,176) | 51,874 | 3,281,284 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
7,938,027 | 621,750 | (1,119,628) | 225,206 | 7,665,355 | — | 24,617 | — | 723,146 | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | |||||||||
23,791,467 | 1,464,139 | (3,371,033) | 1,289,210 | 23,173,783 | — | 115,668 | — | 1,960,557 | |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares | |||||||||
31,666,116 | 3,849,618 | (2,802,872) | (1,066,084) | 31,646,778 | — | (114,664) | — | 1,389,846 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
3,948,634 | 555,573 | (512,652) | 96,209 | 4,087,764 | — | (43,881) | — | 162,342 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
3,961,730 | 1,259,250 | (454,849) | (761,475) | 4,004,656 | — | (127,231) | — | 178,699 | |
Total | 172,584,551 | (2,494,838) | 166,291,936 | — | (884,218) | 107,505 |
(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, 2020. |
TBA | To Be Announced |
AUD | Australian Dollar |
EUR | Euro |
GBP | British Pound |
HKD | Hong Kong Dollar |
JPY | Japanese Yen |
SEK | Swedish Krona |
SGD | Singapore Dollar |
USD | US Dollar |
8 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Equity Funds | — | — | — | 103,280,117 | 103,280,117 |
Exchange-Traded Fixed Income Funds | 17,980,827 | — | — | — | 17,980,827 |
Fixed Income Funds | — | — | — | 54,376,648 | 54,376,648 |
Residential Mortgage-Backed Securities - Agency | — | 19,876,182 | — | — | 19,876,182 |
Options Purchased Puts | 2,944,610 | — | — | — | 2,944,610 |
Money Market Funds | 8,635,171 | — | — | — | 8,635,171 |
Total Investments in Securities | 29,560,608 | 19,876,182 | — | 157,656,765 | 207,093,555 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 509,462 | — | — | — | 509,462 |
Swap Contracts | — | 49,414 | — | — | 49,414 |
Liability | |||||
Futures Contracts | (1,003,080) | — | — | — | (1,003,080) |
Total | 29,066,990 | 19,925,596 | — | 157,656,765 | 206,649,351 |
Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 | 9 |
June 30, 2020 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $36,425,551) | $37,857,009 |
Affiliated issuers (cost $157,581,293) | 166,291,936 |
Options purchased (cost $2,660,409) | 2,944,610 |
Margin deposits on: | |
Futures contracts | 4,469,329 |
Swap contracts | 225,966 |
Receivable for: | |
Investments sold | 122,356 |
Dividends | 1,924 |
Interest | 22,208 |
Variation margin for futures contracts | 203,332 |
Variation margin for swap contracts | 8,346 |
Trustees’ deferred compensation plan | 14,489 |
Total assets | 212,161,505 |
Liabilities | |
Payable for: | |
Investments purchased on a delayed delivery basis | 19,922,044 |
Capital shares purchased | 143,949 |
Variation margin for futures contracts | 352,735 |
Management services fees | 759 |
Distribution and/or service fees | 1,303 |
Service fees | 9,444 |
Compensation of board members | 2,492 |
Compensation of chief compliance officer | 15 |
Other expenses | 18,554 |
Trustees’ deferred compensation plan | 14,489 |
Total liabilities | 20,465,784 |
Net assets applicable to outstanding capital stock | $191,695,721 |
Represented by | |
Trust capital | $191,695,721 |
Total - representing net assets applicable to outstanding capital stock | $191,695,721 |
Class 1 | |
Net assets | $2,656 |
Shares outstanding | 239 |
Net asset value per share(a) | $11.13 |
Class 2 | |
Net assets | $191,693,065 |
Shares outstanding | 17,270,007 |
Net asset value per share | $11.10 |
(a) | Net asset value per share rounds to this amount due to fractional shares outstanding. |
10 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 |
Six Months Ended June 30, 2020 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $179,846 |
Dividends — affiliated issuers | 107,505 |
Interest | 2,647 |
Total income | 289,998 |
Expenses: | |
Management services fees | 125,016 |
Distribution and/or service fees | |
Class 2 | 231,552 |
Service fees | 55,639 |
Compensation of board members | 7,906 |
Custodian fees | 11,445 |
Printing and postage fees | 6,008 |
Audit fees | 14,669 |
Legal fees | 2,275 |
Compensation of chief compliance officer | 33 |
Other | 4,455 |
Total expenses | 458,998 |
Net investment loss | (169,000) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 88,822 |
Investments — affiliated issuers | (884,218) |
Foreign currency translations | (55,273) |
Futures contracts | (6,694,894) |
Options purchased | 4,151,850 |
Swap contracts | 9,786 |
Net realized loss | (3,383,927) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 806,082 |
Investments — affiliated issuers | (2,494,838) |
Foreign currency translations | 2,994 |
Futures contracts | (708,886) |
Options purchased | 683,987 |
Swap contracts | 49,414 |
Net change in unrealized appreciation (depreciation) | (1,661,247) |
Net realized and unrealized loss | (5,045,174) |
Net decrease in net assets resulting from operations | $(5,214,174) |
Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 | 11 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||
Net investment income (loss) | $(169,000) | $1,639,256 |
Net realized gain (loss) | (3,383,927) | 1,780,412 |
Net change in unrealized appreciation (depreciation) | (1,661,247) | 16,801,237 |
Net increase (decrease) in net assets resulting from operations | (5,214,174) | 20,220,905 |
Increase in net assets from capital stock activity | 10,156,978 | 69,161,743 |
Total increase in net assets | 4,942,804 | 89,382,648 |
Net assets at beginning of period | 186,752,917 | 97,370,269 |
Net assets at end of period | $191,695,721 | $186,752,917 |
Six Months Ended | Year Ended | |||
June 30, 2020 (Unaudited) | December 31, 2019 (a) | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | — | — | 239 | 2,500 |
Net increase | — | — | 239 | 2,500 |
Class 2 | ||||
Subscriptions | 1,338,564 | 14,680,341 | 6,558,958 | 70,246,048 |
Redemptions | (421,839) | (4,523,363) | (99,019) | (1,086,805) |
Net increase | 916,725 | 10,156,978 | 6,459,939 | 69,159,243 |
Total net increase | 916,725 | 10,156,978 | 6,460,178 | 69,161,743 |
(a) | Class 1 shares are based on operations from February 20, 2019 (commencement of operations) through the stated period end. |
12 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 |
Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 | 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 6/30/2020 (Unaudited) | $11.44 | 0.01 | (0.32) | (0.31) |
Year Ended 12/31/2019(d) | $10.48 | 0.15 | 0.81 | 0.96 |
Class 2 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $11.42 | (0.01) | (0.31) | (0.32) |
Year Ended 12/31/2019 | $9.84 | 0.12 | 1.46 | 1.58 |
Year Ended 12/31/2018 | $10.39 | 0.09 | (0.64) | (0.55) |
Year Ended 12/31/2017(e) | $10.00 | (0.00)(f) | 0.39 | 0.39 |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Annualized. |
(d) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
(e) | The Fund commenced operations on September 12, 2017. Per share data and total return reflect activity from that date. |
(f) | Rounds to zero. |
14 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 |
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 6/30/2020 (Unaudited) | $11.13 | (2.71%) | 0.25%(c) | 0.25%(c) | 0.06%(c) | 40% | $3 |
Year Ended 12/31/2019(d) | $11.44 | 9.16% | 0.25%(c) | 0.25%(c) | 1.57%(c) | 37% | $3 |
Class 2 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $11.10 | (2.80%) | 0.50%(c) | 0.50%(c) | (0.18%)(c) | 40% | $191,693 |
Year Ended 12/31/2019 | $11.42 | 16.06% | 0.51% | 0.51% | 1.12% | 37% | $186,750 |
Year Ended 12/31/2018 | $9.84 | (5.29%) | 0.61% | 0.55% | 0.85% | 47% | $97,370 |
Year Ended 12/31/2017(e) | $10.39 | 3.90% | 1.17%(c) | 0.49%(c) | (0.01%)(c) | 75% | $17,803 |
Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 | 15 |
June 30, 2020 (Unaudited)
16 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 | 17 |
June 30, 2020 (Unaudited)
18 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 | 19 |
June 30, 2020 (Unaudited)
20 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of trust capital — unrealized appreciation on swap contracts | 49,414* |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 396,660* |
Equity risk | Investments, at value — Options Purchased | 2,944,610 |
Foreign exchange risk | Component of trust capital — unrealized appreciation on futures contracts | 59,578* |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 53,224* |
Total | 3,503,486 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 970,306* |
Foreign exchange risk | Component of trust capital - unrealized depreciation on futures contracts | 14,683* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 18,091* |
Total | 1,003,080 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 | 21 |
June 30, 2020 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) | ||
Credit risk | — | — | 9,786 | 9,786 | ||
Equity risk | (7,426,050) | 4,151,850 | — | (3,274,200) | ||
Foreign exchange risk | (193,119) | — | — | (193,119) | ||
Interest rate risk | 924,275 | — | — | 924,275 | ||
Total | (6,694,894) | 4,151,850 | 9,786 | (2,533,258) | ||
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) | ||
Credit risk | — | — | 49,414 | 49,414 | ||
Equity risk | (958,189) | 683,987 | — | (274,202) | ||
Foreign exchange risk | 65,171 | — | — | 65,171 | ||
Interest rate risk | 184,132 | — | — | 184,132 | ||
Total | (708,886) | 683,987 | 49,414 | 24,515 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 44,293,477 |
Futures contracts — short | 35,105,917 |
Credit default swap contracts — sell protection | 3,000,000 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 2,586,768 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2020. |
22 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
JPMorgan ($) | Morgan Stanley ($) | Total ($) | |
Assets | |||
Centrally cleared credit default swap contracts (a) | - | 8,346 | 8,346 |
Options purchased puts | 2,944,610 | - | 2,944,610 |
Total assets | 2,944,610 | 8,346 | 2,952,956 |
Total financial and derivative net assets | 2,944,610 | 8,346 | 2,952,956 |
Total collateral received (pledged) (b) | - | - | - |
Net amount (c) | 2,944,610 | 8,346 | 2,952,956 |
(a) | Centrally cleared swaps are included within payable/receivable for variation margin on the Statement of Assets and Liabilities. |
(b) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(c) | Represents the net amount due from/(to) counterparties in the event of default. |
Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 | 23 |
June 30, 2020 (Unaudited)
24 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 | 25 |
June 30, 2020 (Unaudited)
May 1, 2020 through April 30, 2021 | Prior to May 1, 2020 | |
Class 1 | 0.80% | 0.85% |
Class 2 | 1.05 | 1.10 |
26 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 | 27 |
June 30, 2020 (Unaudited)
28 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 | 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 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 |
• | 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 the Investment Manager, as well as performance relative to benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by the Investment Manager; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund through April 30, 2021 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; |
• | The terms and conditions of the Management Agreement; |
• | The current and proposed terms and conditions 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 distribution, transfer agency and shareholder services to the Fund; |
• | Descriptions of various functions 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 reputation, regulatory history and 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, including an assessment of the Investment Manager’s compliance system by the Fund’s Chief Compliance Officer; and |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund. |
Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 | 31 |
32 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 |
Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 | 33 |
Trustee | Votes For | Votes Withheld | Abstentions |
Janet L. Carrig | 26,231,108,809 | 1,129,334,152 | 0 |
J. Kevin Connaughton | 26,249,644,638 | 1,110,798,323 | 0 |
Olive Darragh | 26,323,990,658 | 1,036,452,304 | 0 |
Douglas A. Hacker | 26,255,762,920 | 1,104,680,042 | 0 |
Nancy T. Lukitsh | 26,332,381,722 | 1,028,061,240 | 0 |
David M. Moffett | 26,252,719,395 | 1,107,723,567 | 0 |
John J. Neuhauser | 26,222,694,456 | 1,137,748,505 | 0 |
Christopher O. Petersen | 26,265,703,212 | 1,094,739,749 | 0 |
Patrick J. Simpson | 26,222,908,024 | 1,137,534,938 | 0 |
Natalie A. Trunow | 26,340,164,732 | 1,020,278,229 | 0 |
34 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2020 |
June 30, 2020
3 | |
5 | |
6 | |
10 | |
11 | |
12 | |
14 | |
16 | |
29 | |
29 | |
33 |
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | |||||
Inception | 6 Months cumulative | 1 Year | Life | ||
Class 1* | 02/20/19 | -1.34 | 4.79 | 6.16 | |
Class 2 | 09/12/17 | -1.51 | 4.44 | 6.00 | |
Blended Benchmark | 1.92 | 8.72 | 8.15 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | 6.14 | 8.74 | 5.29 | ||
S&P 500 Index | -3.08 | 7.51 | 10.21 |
* | 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 Risk U.S. Fund | Semiannual Report 2020 | 3 |
(Unaudited)
Portfolio Allocation (%) (at June 30, 2020) | |
Allocations to Underlying Funds | |
Equity Funds | 48.0 |
U.S. Large Cap | 48.0 |
Exchange-Traded Fixed Income Funds | 8.5 |
Investment Grade | 8.5 |
Fixed Income Funds | 25.8 |
Investment Grade | 25.8 |
Allocations to Tactical Assets | |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 4.4 |
Options Purchased Puts | 1.2 |
Residential Mortgage-Backed Securities - Agency | 12.1 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $10.4 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 |
(Unaudited)
January 1, 2020 — June 30, 2020 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 986.60 | 1,023.67 | 1.19 | 1.21 | 0.24 | 3.75 | 3.82 | 0.76 |
Class 2 | 1,000.00 | 1,000.00 | 984.90 | 1,022.43 | 2.42 | 2.46 | 0.49 | 4.98 | 5.08 | 1.01 |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 | 5 |
June 30, 2020 (Unaudited)
Equity Funds 53.4% | ||
Shares | Value ($) | |
U.S. Large Cap 53.4% | ||
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 606,142 | 34,489,476 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares(a),(b) | 579,985 | 22,056,818 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 1,004,357 | 21,453,070 |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares(a),(b) | 1,512,534 | 34,440,390 |
Total | 112,439,754 | |
Total Equity Funds (Cost $101,426,283) | 112,439,754 | |
Exchange-Traded Fixed Income Funds 9.4% | ||
Investment Grade 9.4% | ||
iShares Core U.S. Aggregate Bond ETF | 31,700 | 3,747,257 |
iShares iBoxx $ Investment Grade Corporate Bond ETF | 63,685 | 8,565,633 |
Vanguard Intermediate-Term Corporate Bond ETF | 51,000 | 4,852,140 |
Vanguard Total Bond Market ETF | 30,000 | 2,650,200 |
Total | 19,815,230 | |
Total Exchange-Traded Fixed Income Funds (Cost $18,387,360) | 19,815,230 | |
Fixed Income Funds 28.7% | ||
Investment Grade 28.7% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a),(b) | 2,283,556 | 25,941,196 |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a),(b) | 813,183 | 8,619,736 |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares(a),(b) | 2,194,730 | 25,941,710 |
Total | 60,502,642 | |
Total Fixed Income Funds (Cost $55,497,009) | 60,502,642 |
Residential Mortgage-Backed Securities - Agency 13.4% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(c) | ||||
07/16/2035 | 2.500% | 7,925,000 | 8,297,103 | |
07/16/2035- 07/14/2050 | 3.000% | 12,975,000 | 13,650,598 | |
07/14/2050 | 3.500% | 5,975,000 | 6,284,253 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $28,247,082) | 28,231,954 |
Options Purchased Puts 1.4% | ||||
Value ($) | ||||
(Cost $2,618,542) | 2,853,400 |
Money Market Funds 4.9% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(a),(d) | 10,388,995 | 10,388,995 |
Total Money Market Funds (Cost $10,389,407) | 10,388,995 | |
Total Investments in Securities (Cost: $216,565,683) | 234,231,975 | |
Other Assets & Liabilities, Net | (23,655,153) | |
Net Assets | 210,576,822 |
6 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | 74 | 09/2020 | USD | 11,433,740 | 330,059 | — |
U.S. Long Bond | 34 | 09/2020 | USD | 6,071,125 | 19,685 | — |
U.S. Treasury 10-Year Note | 44 | 09/2020 | USD | 6,123,563 | 15,617 | — |
U.S. Treasury 2-Year Note | 20 | 09/2020 | USD | 4,416,563 | 481 | — |
U.S. Treasury 5-Year Note | 91 | 09/2020 | USD | 11,442,539 | 24,462 | — |
U.S. Ultra Treasury Bond | 22 | 09/2020 | USD | 4,799,438 | — | (18,091) |
Total | 390,304 | (18,091) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | (270) | 09/2020 | USD | (41,717,700) | — | (938,337) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 32,863,074 | 106 | 2,500.00 | 12/17/2021 | 1,788,020 | 1,945,100 |
S&P 500 Index | JPMorgan | USD | 7,440,696 | 24 | 2,600.00 | 12/17/2021 | 413,415 | 541,680 |
S&P 500 Index | JPMorgan | USD | 7,130,667 | 23 | 2,400.00 | 12/17/2021 | 417,107 | 366,620 |
Total | 2,618,542 | 2,853,400 |
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America Investment Grade Index, Series 34 | Morgan Stanley | 06/20/2025 | 1.000 | Quarterly | 0.762 | USD | 11,000,000 | 84,028 | — | — | 84,028 | — |
* | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(a) | As defined in the Investment Company Act of 1940, 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, 2020 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, 0.253% | |||||||||
12,586,187 | 56,054,106 | (58,250,939) | (359) | 10,388,995 | — | 938 | 49,767 | 10,388,995 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
31,823,122 | 5,806,141 | (2,901,888) | (237,899) | 34,489,476 | — | (216,283) | — | 606,142 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
23,805,850 | 2,644,865 | (2,082,102) | 1,572,583 | 25,941,196 | — | 5,735 | — | 2,283,556 |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 | 7 |
June 30, 2020 (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® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares | |||||||||
19,867,017 | 1,920,210 | (1,699,301) | 1,968,892 | 22,056,818 | — | 52,529 | — | 579,985 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
19,908,049 | 6,659,366 | (1,883,097) | (3,231,248) | 21,453,070 | — | (399,164) | — | 1,004,357 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
7,941,018 | 1,342,425 | (906,728) | 243,021 | 8,619,736 | — | 15,395 | — | 813,183 | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | |||||||||
23,811,408 | 3,478,468 | (2,752,416) | 1,404,250 | 25,941,710 | — | 61,666 | — | 2,194,730 | |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares | |||||||||
31,837,731 | 6,221,448 | (2,777,303) | (841,486) | 34,440,390 | — | (228,576) | — | 1,512,534 | |
Total | 171,580,382 | 877,754 | 183,331,391 | — | (707,760) | 49,767 |
(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, 2020. |
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). |
8 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Equity Funds | — | — | — | 112,439,754 | 112,439,754 |
Exchange-Traded Fixed Income Funds | 19,815,230 | — | — | — | 19,815,230 |
Fixed Income Funds | — | — | — | 60,502,642 | 60,502,642 |
Residential Mortgage-Backed Securities - Agency | — | 28,231,954 | — | — | 28,231,954 |
Options Purchased Puts | 2,853,400 | — | — | — | 2,853,400 |
Money Market Funds | 10,388,995 | — | — | — | 10,388,995 |
Total Investments in Securities | 33,057,625 | 28,231,954 | — | 172,942,396 | 234,231,975 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 390,304 | — | — | — | 390,304 |
Swap Contracts | — | 84,028 | — | — | 84,028 |
Liability | |||||
Futures Contracts | (956,428) | — | — | — | (956,428) |
Total | 32,491,501 | 28,315,982 | — | 172,942,396 | 233,749,879 |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 | 9 |
June 30, 2020 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $46,634,442) | $48,047,184 |
Affiliated issuers (cost $167,312,699) | 183,331,391 |
Options purchased (cost $2,618,542) | 2,853,400 |
Margin deposits on: | |
Futures contracts | 4,679,400 |
Swap contracts | 414,270 |
Receivable for: | |
Investments sold | 124,258 |
Dividends | 2,237 |
Interest | 31,026 |
Variation margin for futures contracts | 157,562 |
Variation margin for swap contracts | 15,302 |
Trustees’ deferred compensation plan | 14,294 |
Total assets | 239,670,324 |
Liabilities | |
Payable for: | |
Investments purchased on a delayed delivery basis | 28,278,108 |
Capital shares purchased | 146,186 |
Variation margin for futures contracts | 622,094 |
Management services fees | 844 |
Distribution and/or service fees | 1,431 |
Service fees | 10,311 |
Compensation of board members | 2,482 |
Compensation of chief compliance officer | 14 |
Other expenses | 17,738 |
Trustees’ deferred compensation plan | 14,294 |
Total liabilities | 29,093,502 |
Net assets applicable to outstanding capital stock | $210,576,822 |
Represented by | |
Trust capital | $210,576,822 |
Total - representing net assets applicable to outstanding capital stock | $210,576,822 |
Class 1 | |
Net assets | $2,745 |
Shares outstanding | 233 |
Net asset value per share(a) | $11.81 |
Class 2 | |
Net assets | $210,574,077 |
Shares outstanding | 17,894,954 |
Net asset value per share | $11.77 |
(a) | Net asset value per share rounds to this amount due to fractional shares outstanding. |
10 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 |
Six Months Ended June 30, 2020 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $191,476 |
Dividends — affiliated issuers | 49,767 |
Interest | 2,784 |
Total income | 244,027 |
Expenses: | |
Management services fees | 128,823 |
Distribution and/or service fees | |
Class 2 | 241,898 |
Service fees | 58,196 |
Compensation of board members | 7,905 |
Custodian fees | 11,033 |
Printing and postage fees | 5,651 |
Audit fees | 14,669 |
Legal fees | 2,324 |
Compensation of chief compliance officer | 33 |
Other | 4,370 |
Total expenses | 474,902 |
Net investment loss | (230,875) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 268,880 |
Investments — affiliated issuers | (707,760) |
Futures contracts | (7,525,701) |
Options purchased | 4,326,716 |
Swap contracts | 17,909 |
Net realized loss | (3,619,956) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 746,612 |
Investments — affiliated issuers | 877,754 |
Futures contracts | (859,715) |
Options purchased | 596,338 |
Swap contracts | 84,028 |
Net change in unrealized appreciation (depreciation) | 1,445,017 |
Net realized and unrealized loss | (2,174,939) |
Net decrease in net assets resulting from operations | $(2,405,814) |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 | 11 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||
Net investment income (loss) | $(230,875) | $804,178 |
Net realized gain (loss) | (3,619,956) | 863,426 |
Net change in unrealized appreciation (depreciation) | 1,445,017 | 19,028,706 |
Net increase (decrease) in net assets resulting from operations | (2,405,814) | 20,696,310 |
Increase in net assets from capital stock activity | 26,778,706 | 85,388,406 |
Total increase in net assets | 24,372,892 | 106,084,716 |
Net assets at beginning of period | 186,203,930 | 80,119,214 |
Net assets at end of period | $210,576,822 | $186,203,930 |
Six Months Ended | Year Ended | |||
June 30, 2020 (Unaudited) | December 31, 2019 (a) | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | — | — | 233 | 2,500 |
Net increase | — | — | 233 | 2,500 |
Class 2 | ||||
Subscriptions | 2,466,241 | 28,452,123 | 7,945,770 | 88,580,629 |
Redemptions | (152,048) | (1,673,417) | (293,990) | (3,194,723) |
Net increase | 2,314,193 | 26,778,706 | 7,651,780 | 85,385,906 |
Total net increase | 2,314,193 | 26,778,706 | 7,652,013 | 85,388,406 |
(a) | Class 1 shares are based on operations from February 20, 2019 (commencement of operations) through the stated period end. |
12 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 | 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 6/30/2020 (Unaudited) | $11.97 | 0.01 | (0.17) | (0.16) |
Year Ended 12/31/2019(d) | $10.75 | 0.10 | 1.12 | 1.22 |
Class 2 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $11.95 | (0.01) | (0.17) | (0.18) |
Year Ended 12/31/2019 | $10.10 | 0.07 | 1.78 | 1.85 |
Year Ended 12/31/2018 | $10.47 | 0.04 | (0.41) | (0.37) |
Year Ended 12/31/2017(e) | $10.00 | (0.01) | 0.48 | 0.47 |
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) | Annualized. |
(d) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
(e) | The Fund commenced operations on September 12, 2017. Per share data and total return reflect activity from that date. |
14 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 |
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 6/30/2020 (Unaudited) | $11.81 | (1.34%) | 0.24%(c) | 0.24%(c) | 0.02%(c) | 43% | $3 |
Year Ended 12/31/2019(d) | $11.97 | 11.35% | 0.25%(c) | 0.25%(c) | 1.02%(c) | 24% | $3 |
Class 2 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $11.77 | (1.51%) | 0.49%(c) | 0.49%(c) | (0.24%)(c) | 43% | $210,574 |
Year Ended 12/31/2019 | $11.95 | 18.32% | 0.52% | 0.52% | 0.61% | 24% | $186,201 |
Year Ended 12/31/2018 | $10.10 | (3.53%) | 0.67% | 0.58% | 0.41% | 45% | $80,119 |
Year Ended 12/31/2017(e) | $10.47 | 4.70% | 1.19%(c) | 0.52%(c) | (0.26%)(c) | 109% | $12,190 |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 | 15 |
June 30, 2020 (Unaudited)
16 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 | 17 |
June 30, 2020 (Unaudited)
18 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 | 19 |
June 30, 2020 (Unaudited)
20 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of trust capital — unrealized appreciation on swap contracts | 84,028* |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 330,059* |
Equity risk | Investments, at value — Options Purchased | 2,853,400 |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 60,245* |
Total | 3,327,732 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 938,337* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 18,091* |
Total | 956,428 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 17,909 | 17,909 |
Equity risk | (8,462,860) | 4,326,716 | — | (4,136,144) |
Interest rate risk | 937,159 | — | — | 937,159 |
Total | (7,525,701) | 4,326,716 | 17,909 | (3,181,076) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 84,028 | 84,028 |
Equity risk | (1,046,497) | 596,338 | — | (450,159) |
Interest rate risk | 186,782 | — | — | 186,782 |
Total | (859,715) | 596,338 | 84,028 | (179,349) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 47,803,628 |
Futures contracts — short | 35,570,383 |
Credit default swap contracts — sell protection | 5,500,000 |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 | 21 |
June 30, 2020 (Unaudited)
Derivative instrument | Average value ($)* |
Options contracts — purchased | 2,472,125 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2020. |
22 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
JPMorgan ($) | Morgan Stanley ($) | Total ($) | |
Assets | |||
Centrally cleared credit default swap contracts (a) | - | 15,302 | 15,302 |
Options purchased puts | 2,853,400 | - | 2,853,400 |
Total assets | 2,853,400 | 15,302 | 2,868,702 |
Total financial and derivative net assets | 2,853,400 | 15,302 | 2,868,702 |
Total collateral received (pledged) (b) | - | - | - |
Net amount (c) | 2,853,400 | 15,302 | 2,868,702 |
(a) | Centrally cleared swaps are included within payable/receivable for variation margin on the Statement of Assets and Liabilities. |
(b) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(c) | Represents the net amount due from/(to) counterparties in the event of default. |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 | 23 |
June 30, 2020 (Unaudited)
24 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
May 1, 2020 through April 30, 2021 | Prior to May 1, 2020 | |
Class 1 | 0.80% | 0.85% |
Class 2 | 1.05 | 1.10 |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 | 25 |
June 30, 2020 (Unaudited)
26 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 | 27 |
June 30, 2020 (Unaudited)
28 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 |
• | 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 – Managed Risk U.S. Fund | Semiannual Report 2020 | 29 |
• | 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 the Investment Manager, as well as performance relative to benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by the Investment Manager; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund through April 30, 2021 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; |
• | The terms and conditions of the Management Agreement; |
• | The current and proposed terms and conditions 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 distribution, transfer agency and shareholder services to the Fund; |
• | Descriptions of various functions 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 reputation, regulatory history and 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, including an assessment of the Investment Manager’s compliance system by the Fund’s Chief Compliance Officer; and |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund. |
30 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 | 31 |
32 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 |
Trustee | Votes For | Votes Withheld | Abstentions |
Janet L. Carrig | 26,231,108,809 | 1,129,334,152 | 0 |
J. Kevin Connaughton | 26,249,644,638 | 1,110,798,323 | 0 |
Olive Darragh | 26,323,990,658 | 1,036,452,304 | 0 |
Douglas A. Hacker | 26,255,762,920 | 1,104,680,042 | 0 |
Nancy T. Lukitsh | 26,332,381,722 | 1,028,061,240 | 0 |
David M. Moffett | 26,252,719,395 | 1,107,723,567 | 0 |
John J. Neuhauser | 26,222,694,456 | 1,137,748,505 | 0 |
Christopher O. Petersen | 26,265,703,212 | 1,094,739,749 | 0 |
Patrick J. Simpson | 26,222,908,024 | 1,137,534,938 | 0 |
Natalie A. Trunow | 26,340,164,732 | 1,020,278,229 | 0 |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2020 | 33 |
June 30, 2020
3 | |
5 | |
6 | |
33 | |
34 | |
35 | |
36 | |
38 | |
55 | |
55 | |
59 |
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 07/05/94 | -1.17 | 1.74 | 3.79 | 5.12 | |
Class 2 | 06/01/00 | -1.42 | 1.51 | 3.53 | 4.85 | |
Bloomberg Barclays U.S. Aggregate Bond Index | 6.14 | 8.74 | 4.30 | 3.82 | ||
ICE BofA US Cash Pay High Yield Constrained Index | -4.80 | -1.14 | 4.58 | 6.44 | ||
FTSE Non-U.S. World Government Bond (All Maturities) Index - Unhedged | 1.04 | 0.86 | 3.32 | 1.81 | ||
JPMorgan Emerging Markets Bond Index - Global | -1.87 | 1.52 | 5.12 | 5.82 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2020) | |
Asset-Backed Securities — Non-Agency | 9.0 |
Commercial Mortgage-Backed Securities - Non-Agency | 5.4 |
Common Stocks | 0.0 |
Corporate Bonds & Notes | 38.3 |
Foreign Government Obligations | 8.4 |
Money Market Funds | 4.8 |
Options Purchased Puts | 0.0(a) |
Residential Mortgage-Backed Securities - Agency | 11.0 |
Residential Mortgage-Backed Securities - Non-Agency | 17.0 |
Senior Loans | 5.9 |
U.S. Treasury Obligations | 0.2 |
Total | 100.0 |
(a) | Rounds to zero. |
Quality breakdown (%) (at June 30, 2020) | |
AAA rating | 6.0 |
AA rating | 12.1 |
A rating | 4.6 |
BBB rating | 24.8 |
BB rating | 19.8 |
B rating | 14.5 |
CCC rating | 3.6 |
C rating | 0.0(a) |
Not rated | 14.6 |
Total | 100.0 |
(a) | Rounds to zero. |
Market exposure through derivatives investments (% of notional exposure) (at June 30, 2020)(a) | |||
Long | Short | Net | |
Fixed Income Derivative Contracts | 193.3 | (87.3) | 106.0 |
Foreign Currency Derivative Contracts | (6.0) | (6.0) | |
Total Notional Market Value of Derivative Contracts | 193.3 | (93.3) | 100.0 |
4 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
(Unaudited)
January 1, 2020 — June 30, 2020 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 988.30 | 1,021.43 | 3.41 | 3.47 | 0.69 |
Class 2 | 1,000.00 | 1,000.00 | 985.80 | 1,020.19 | 4.64 | 4.72 | 0.94 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 5 |
June 30, 2020 (Unaudited)
Asset-Backed Securities — Non-Agency 9.6% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
ARES XLIV CLO Ltd.(a),(b) | ||||
Series 2017-44A Class D | ||||
3-month USD LIBOR + 6.550% 10/15/2029 | 7.769% | 500,000 | 456,928 | |
Atrium XIII(a),(b) | ||||
Series 2013A Class B | ||||
3-month USD LIBOR + 1.500% 11/21/2030 | 2.543% | 1,300,000 | 1,241,596 | |
Avant Loans Funding Trust(a) | ||||
Series 2019-A Class B | ||||
12/15/2022 | 3.800% | 400,000 | 385,174 | |
Series 2019-B Class A | ||||
10/15/2026 | 2.720% | 425,501 | 426,278 | |
Ballyrock CLO Ltd.(a),(b) | ||||
Series 2018-1A Class A2 | ||||
3-month USD LIBOR + 1.600% 04/20/2031 | 2.735% | 500,000 | 480,712 | |
Carlyle Global Market Strategies CLO Ltd.(a),(b) | ||||
Series 2013-3A Class A2R | ||||
3-month USD LIBOR + 1.400% 10/15/2030 | 2.619% | 2,500,000 | 2,346,387 | |
Series 2015-4A Class A2R | ||||
3-month USD LIBOR + 1.800% 07/20/2032 | 2.935% | 600,000 | 559,695 | |
Conn’s Receivables Funding LLC(a) | ||||
Series 2019-A Class A | ||||
10/16/2023 | 3.400% | 108,817 | 106,664 | |
Series 2019-A Class B | ||||
10/16/2023 | 4.360% | 235,433 | 227,526 | |
Series 2019-B Class B | ||||
06/17/2024 | 3.620% | 500,000 | 462,051 | |
Consumer Underlying Bond Securitization(a) | ||||
Series 2018-1 Class A | ||||
02/17/2026 | 4.790% | 750,085 | 743,031 | |
Credit Suisse ABS Trust(a) | ||||
Series 2018-LD1 Class B | ||||
07/25/2024 | 4.280% | 30,919 | 30,978 | |
Dryden 41 Senior Loan Fund(a),(b) | ||||
Series 2015-41A Class BR | ||||
3-month USD LIBOR + 1.300% Floor 1.300% 04/15/2031 | 2.519% | 335,000 | 317,917 | |
Dryden XXVIII Senior Loan Fund(a),(b) | ||||
Series 2013-28A Class A2LR | ||||
3-month USD LIBOR + 1.650% 08/15/2030 | 2.042% | 500,000 | 486,879 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
LendingClub Receivables Trust(a) | ||||
Series 2019-1 Class A | ||||
07/17/2045 | 4.000% | 475,667 | 472,283 | |
Series 2019-11 Class A | ||||
12/15/2045 | 3.750% | 348,872 | 346,406 | |
Series 2019-3 Class A | ||||
10/15/2025 | 3.750% | 699,723 | 694,910 | |
Series 2019-7 Class A | ||||
01/15/2027 | 3.750% | 682,804 | 680,856 | |
Series 2019-8 Class A | ||||
12/15/2045 | 3.750% | 303,599 | 301,969 | |
Series 2020-1 Class A | ||||
01/16/2046 | 3.500% | 890,672 | 884,921 | |
Series 2020-2 Class A | ||||
02/15/2046 | 3.600% | 453,164 | 451,561 | |
Madison Park Funding XXII Ltd.(a),(b) | ||||
Series 2016-22A Class DR | ||||
3-month USD LIBOR + 3.500% Floor 3.500% 01/15/2033 | 4.719% | 400,000 | 372,309 | |
Madison Park Funding XXIV Ltd.(a),(b) | ||||
Series 2016-24A Class BR | ||||
3-month USD LIBOR + 1.750% 10/20/2029 | 2.885% | 600,000 | 582,321 | |
Madison Park Funding XXXII Ltd.(a),(b) | ||||
Series 2018-32A Class D | ||||
3-month USD LIBOR + 4.100% Floor 4.100% 01/22/2031 | 5.198% | 500,000 | 492,336 | |
Morgan Stanley Resecuritization Pass-Through Trust(a),(c),(d) | ||||
Series 2018-SC1 Class B | ||||
09/18/2023 | 1.000% | 80,776 | 80,372 | |
OHA Credit Partners XIV Ltd.(a),(b) | ||||
Series 2017-14A Class B | ||||
3-month USD LIBOR + 1.500% 01/21/2030 | 2.609% | 1,000,000 | 965,276 | |
OneMain Financial Issuance Trust(a) | ||||
Series 2018-1A Class A | ||||
03/14/2029 | 3.300% | 855,000 | 852,651 | |
OZLM XXI(a),(b) | ||||
Series 2017-21A Class A2 | ||||
3-month USD LIBOR + 1.450% 01/20/2031 | 2.585% | 800,000 | 757,927 | |
Pagaya AI Debt Selection Trust(a),(d) | ||||
Series 2019-1 Class A | ||||
06/15/2026 | 3.690% | 679,801 | 656,008 |
6 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Pagaya AI Debt Selection Trust(a) | ||||
Series 2019-3 Class A | ||||
11/16/2026 | 3.821% | 811,900 | 801,984 | |
Prosper Marketplace Issuance Trust(a) | ||||
Series 2018-1A Class C | ||||
06/17/2024 | 4.870% | 397,512 | 395,752 | |
Subordinated Series 2017-2A Class C | ||||
09/15/2023 | 5.370% | 154,935 | 152,099 | |
Subordinated Series 2019-3A Class C | ||||
07/15/2025 | 4.940% | 1,000,000 | 970,075 | |
SoFi Consumer Loan Program LLC(a) | ||||
Series 2016-3 Class A | ||||
12/26/2025 | 3.050% | 8,443 | 8,393 | |
Westlake Automobile Receivables Trust(a) | ||||
Subordinated Series 2019-3A Class E | ||||
03/17/2025 | 3.590% | 400,000 | 396,205 | |
Total Asset-Backed Securities — Non-Agency (Cost $20,180,463) | 19,588,430 | |||
Commercial Mortgage-Backed Securities - Non-Agency 5.7% | ||||
BBCMS Trust(a),(b) | ||||
Subordinated Series 2018-BXH Class F | ||||
1-month USD LIBOR + 2.950% Floor 2.950% 10/15/2037 | 3.135% | 550,000 | 374,960 | |
BFLD Trust(a),(b) | ||||
Series 2019-DPLO Class F | ||||
1-month USD LIBOR + 2.540% Floor 2.540% 10/15/2034 | 2.725% | 250,000 | 211,016 | |
Braemar Hotels & Resorts Trust(a),(b) | ||||
Series 2018-PRME Class F | ||||
1-month USD LIBOR + 2.900% Floor 2.900% 06/15/2035 | 3.085% | 700,000 | 503,252 | |
BX Trust(a) | ||||
Series 2019-OC11 Class E | ||||
12/09/2041 | 4.076% | 900,000 | 798,889 | |
CHT Mortgage Trust(a),(b) | ||||
Series 2017-CSMO Class B | ||||
1-month USD LIBOR + 1.400% Floor 1.200% 11/15/2036 | 1.585% | 500,000 | 467,531 | |
Series 2017-CSMO Class E | ||||
1-month USD LIBOR + 3.000% Floor 3.000% 11/15/2036 | 3.185% | 400,000 | 360,037 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CLNY Trust(a),(b) | ||||
Series 2019-IKPR Class E | ||||
1-month USD LIBOR + 2.721% Floor 2.721% 11/15/2038 | 2.906% | 200,000 | 164,021 | |
Series 2019-IKPR Class F | ||||
1-month USD LIBOR + 3.417% Floor 3.417% 11/15/2038 | 3.602% | 650,000 | 474,537 | |
COMM Mortgage Trust(a),(e) | ||||
Series 2020-CBM Class F | ||||
02/10/2037 | 3.754% | 150,000 | 115,866 | |
Credit Suisse Mortgage Capital Certificates OA LLC(a) | ||||
Subordinated Series 2014-USA Class D | ||||
09/15/2037 | 4.373% | 300,000 | 231,602 | |
Subordinated Series 2014-USA Class E | ||||
09/15/2037 | 4.373% | 500,000 | 376,064 | |
Subordinated Series 2014-USA Class F | ||||
09/15/2037 | 4.373% | 400,000 | 292,891 | |
Credit Suisse Mortgage Capital Trust(a) | ||||
Series 2014-USA Class A2 | ||||
09/15/2037 | 3.953% | 350,000 | 341,593 | |
CSMC Trust(a),(e) | ||||
Subordinated Series 2019-UVIL Class E | ||||
12/15/2041 | 3.393% | 600,000 | 427,913 | |
Hilton U.S.A. Trust(a),(e) | ||||
Series 2016-HHV Class F | ||||
11/05/2038 | 4.333% | 1,000,000 | 810,035 | |
Hilton U.S.A. Trust(a) | ||||
Subordinated Series 2016-SFP Class E | ||||
11/05/2035 | 5.519% | 600,000 | 559,251 | |
Morgan Stanley Capital I Trust(a) | ||||
Series 2019-MEAD Class E | ||||
11/10/2036 | 3.177% | 600,000 | 476,011 | |
Morgan Stanley Capital I Trust(a),(b) | ||||
Subordinated Series 2017-ASHF Class E | ||||
1-month USD LIBOR + 3.150% Floor 3.150% 11/15/2034 | 3.335% | 500,000 | 368,883 | |
Progress Residential Trust(a) | ||||
Series 2019-SFR1 Class E | ||||
08/17/2035 | 4.466% | 500,000 | 515,236 | |
Series 2020-SFR1 Class F | ||||
04/17/2037 | 3.431% | 650,000 | 623,938 | |
Subordinated Series 2019-SFR2 Class F | ||||
05/17/2036 | 4.837% | 630,000 | 631,263 | |
Subordinated Series 2020-SFR2 Class F | ||||
06/18/2037 | 6.152% | 500,000 | 530,823 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 7 |
June 30, 2020 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
RETL(a),(b) | ||||
Subordinated Series 2019-RVP Class C | ||||
1-month USD LIBOR + 2.100% Floor 2.100% 03/15/2036 | 2.285% | 600,000 | 524,711 | |
UBS Commercial Mortgage Trust(a),(b) | ||||
Series 2018-NYCH Class C | ||||
1-month USD LIBOR + 1.500% Floor 1.500% 02/15/2032 | 1.685% | 400,000 | 367,586 | |
Series 2018-NYCH Class E | ||||
1-month USD LIBOR + 2.900% Floor 3.200% 02/15/2032 | 3.085% | 600,000 | 495,357 | |
Series 2018-NYCH Class F | ||||
1-month USD LIBOR + 3.821% Floor 3.821% 02/15/2032 | 4.006% | 400,000 | 310,521 | |
Wells Fargo Commercial Mortgage Trust(a),(b) | ||||
Subordinated Series 2017-SMP Class D | ||||
1-month USD LIBOR + 1.650% Floor 1.650% 12/15/2034 | 1.835% | 400,000 | 322,212 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $13,125,316) | 11,675,999 |
Common Stocks 0.0% | ||
Issuer | Shares | Value ($) |
Energy 0.0% | ||
Energy Equipment & Services 0.0% | ||
Fieldwood Energy LLC(d),(f) | 8,596 | 860 |
Total Energy | 860 | |
Financials —% | ||
Diversified Financial Services —% | ||
Fairlane Management Corp.(c),(d),(f) | 2,000 | — |
Total Financials | — | |
Utilities 0.0% | ||
Independent Power and Renewable Electricity Producers 0.0% | ||
Vistra Energy Corp.(d),(f) | 10,180 | 9,162 |
Total Utilities | 9,162 | |
Total Common Stocks (Cost $200,545) | 10,022 |
Corporate Bonds & Notes 40.7% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Aerospace & Defense 0.6% | ||||
Bombardier, Inc.(a) | ||||
12/01/2024 | 7.500% | 38,000 | 24,688 | |
03/15/2025 | 7.500% | 69,000 | 44,960 | |
04/15/2027 | 7.875% | 10,000 | 6,518 | |
Moog, Inc.(a) | ||||
12/15/2027 | 4.250% | 48,000 | 46,817 | |
Northrop Grumman Corp. | ||||
01/15/2028 | 3.250% | 310,000 | 345,797 | |
TransDigm, Inc. | ||||
05/15/2025 | 6.500% | 59,000 | 55,238 | |
06/15/2026 | 6.375% | 17,000 | 15,510 | |
03/15/2027 | 7.500% | 73,000 | 70,141 | |
Subordinated | ||||
11/15/2027 | 5.500% | 59,000 | 51,484 | |
TransDigm, Inc.(a) | ||||
12/15/2025 | 8.000% | 84,000 | 88,233 | |
03/15/2026 | 6.250% | 480,000 | 478,589 | |
Total | 1,227,975 | |||
Airlines 0.0% | ||||
Delta Air Lines, Inc. | ||||
01/15/2026 | 7.375% | 65,000 | 62,866 | |
Automotive 0.4% | ||||
Clarios Global LP(a) | ||||
05/15/2025 | 6.750% | 36,000 | 37,469 | |
Ford Motor Co. | ||||
04/21/2023 | 8.500% | 32,000 | 33,834 | |
04/22/2025 | 9.000% | 30,000 | 32,432 | |
04/22/2030 | 9.625% | 9,000 | 10,668 | |
Ford Motor Credit Co. LLC | ||||
03/18/2024 | 5.584% | 99,000 | 99,982 | |
06/16/2025 | 5.125% | 227,000 | 227,060 | |
IAA Spinco, Inc.(a) | ||||
06/15/2027 | 5.500% | 89,000 | 92,008 | |
IHO Verwaltungs GmbH(a),(g) | ||||
05/15/2029 | 6.375% | 1,000 | 1,017 | |
KAR Auction Services, Inc.(a) | ||||
06/01/2025 | 5.125% | 127,000 | 124,971 | |
Panther BF Aggregator 2 LP/Finance Co., Inc.(a) | ||||
05/15/2027 | 8.500% | 54,000 | 54,341 | |
Total | 713,782 | |||
Banking 0.6% | ||||
Capital One Financial Corp. | ||||
01/31/2028 | 3.800% | 270,000 | 299,237 | |
Citigroup, Inc.(h) | ||||
06/03/2031 | 2.572% | 300,000 | 310,042 |
8 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Goldman Sachs Group, Inc. (The) | ||||
02/07/2030 | 2.600% | 270,000 | 283,106 | |
JPMorgan Chase & Co.(h) | ||||
10/15/2030 | 2.739% | 360,000 | 385,814 | |
Total | 1,278,199 | |||
Brokerage/Asset Managers/Exchanges 0.1% | ||||
Advisor Group Holdings, Inc.(a) | ||||
08/01/2027 | 10.750% | 28,000 | 27,852 | |
AG Issuer LLC(a) | ||||
03/01/2028 | 6.250% | 28,000 | 26,528 | |
NFP Corp.(a) | ||||
05/15/2025 | 7.000% | 26,000 | 27,300 | |
07/15/2025 | 6.875% | 166,000 | 163,710 | |
Total | 245,390 | |||
Building Materials 0.7% | ||||
American Builders & Contractors Supply Co., Inc.(a) | ||||
05/15/2026 | 5.875% | 161,000 | 161,317 | |
01/15/2028 | 4.000% | 170,000 | 165,058 | |
Beacon Roofing Supply, Inc.(a) | ||||
11/01/2025 | 4.875% | 107,000 | 95,705 | |
11/15/2026 | 4.500% | 102,000 | 99,645 | |
Cemex SAB de CV(a) | ||||
05/05/2025 | 6.125% | 250,000 | 242,719 | |
11/19/2029 | 5.450% | 389,000 | 359,770 | |
Core & Main LP(a) | ||||
08/15/2025 | 6.125% | 192,000 | 191,145 | |
James Hardie International Finance DAC(a) | ||||
01/15/2028 | 5.000% | 39,000 | 40,136 | |
Total | 1,355,495 | |||
Cable and Satellite 2.8% | ||||
CCO Holdings LLC/Capital Corp.(a) | ||||
05/01/2025 | 5.375% | 142,000 | 145,820 | |
05/01/2026 | 5.500% | 5,000 | 5,178 | |
05/01/2027 | 5.125% | 164,000 | 169,662 | |
02/01/2028 | 5.000% | 23,000 | 23,753 | |
06/01/2029 | 5.375% | 94,000 | 99,163 | |
03/01/2030 | 4.750% | 172,000 | 176,093 | |
08/15/2030 | 4.500% | 249,000 | 253,951 | |
Charter Communications Operating LLC/Capital | ||||
03/01/2050 | 4.800% | 465,000 | 525,112 | |
04/01/2051 | 3.700% | 170,000 | 167,205 | |
Comcast Corp. | ||||
01/15/2051 | 2.800% | 310,000 | 317,039 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CSC Holdings LLC(a) | ||||
10/15/2025 | 6.625% | 16,000 | 16,620 | |
10/15/2025 | 10.875% | 214,000 | 230,090 | |
02/01/2028 | 5.375% | 338,000 | 351,060 | |
02/01/2029 | 6.500% | 275,000 | 301,074 | |
01/15/2030 | 5.750% | 117,000 | 121,751 | |
DISH DBS Corp. | ||||
11/15/2024 | 5.875% | 165,000 | 164,182 | |
07/01/2026 | 7.750% | 373,000 | 395,296 | |
DISH DBS Corp.(a),(i) | ||||
07/01/2028 | 7.375% | 78,000 | 78,096 | |
Quebecor Media, Inc. | ||||
01/15/2023 | 5.750% | 199,000 | 208,643 | |
Radiate HoldCo LLC/Finance, Inc.(a) | ||||
02/15/2023 | 6.875% | 25,000 | 25,379 | |
02/15/2025 | 6.625% | 107,000 | 107,109 | |
Sirius XM Radio, Inc.(a) | ||||
07/15/2024 | 4.625% | 40,000 | 40,996 | |
04/15/2025 | 5.375% | 88,000 | 90,420 | |
07/15/2026 | 5.375% | 22,000 | 22,779 | |
07/01/2030 | 4.125% | 149,000 | 147,328 | |
Sky PLC(a) | ||||
09/16/2024 | 3.750% | 750,000 | 834,581 | |
Viasat, Inc.(a) | ||||
04/15/2027 | 5.625% | 32,000 | 32,824 | |
Virgin Media Finance PLC(a) | ||||
07/15/2030 | 5.000% | 115,000 | 112,056 | |
Virgin Media Secured Finance PLC(a) | ||||
05/15/2029 | 5.500% | 155,000 | 162,369 | |
Ziggo Bond Co. BV(a) | ||||
02/28/2030 | 5.125% | 32,000 | 31,726 | |
Ziggo Bond Finance BV(a) | ||||
01/15/2027 | 6.000% | 172,000 | 174,089 | |
Ziggo BV(a) | ||||
01/15/2027 | 5.500% | 257,000 | 259,965 | |
Total | 5,791,409 | |||
Chemicals 1.1% | ||||
Alpha 2 BV(a),(g) | ||||
06/01/2023 | 8.750% | 85,000 | 84,890 | |
Angus Chemical Co.(a) | ||||
02/15/2023 | 8.750% | 109,000 | 110,067 | |
Atotech U.S.A., Inc.(a) | ||||
02/01/2025 | 6.250% | 116,000 | 114,827 | |
Axalta Coating Systems LLC(a) | ||||
08/15/2024 | 4.875% | 85,000 | 86,039 | |
Axalta Coating Systems LLC/Dutch Holding B BV(a) | ||||
06/15/2027 | 4.750% | 44,000 | 44,233 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 9 |
June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Braskem Netherlands Finance BV(a) | ||||
01/31/2030 | 4.500% | 400,000 | 367,504 | |
CF Industries, Inc. | ||||
03/15/2034 | 5.150% | 59,000 | 63,155 | |
03/15/2044 | 5.375% | 14,000 | 15,155 | |
Chemours Co. (The) | ||||
05/15/2023 | 6.625% | 39,000 | 37,329 | |
05/15/2027 | 5.375% | 21,000 | 19,029 | |
Illuminate Buyer LLC/Holdings IV, Inc.(a) | ||||
07/01/2028 | 9.000% | 13,000 | 13,553 | |
INEOS Group Holdings SA(a) | ||||
08/01/2024 | 5.625% | 117,000 | 113,316 | |
Innophos Holdings, Inc.(a) | ||||
02/15/2028 | 9.375% | 79,000 | 77,673 | |
Minerals Technologies, Inc.(a) | ||||
07/01/2028 | 5.000% | 61,000 | 61,914 | |
Platform Specialty Products Corp.(a) | ||||
12/01/2025 | 5.875% | 236,000 | 238,592 | |
PQ Corp.(a) | ||||
11/15/2022 | 6.750% | 249,000 | 253,618 | |
12/15/2025 | 5.750% | 117,000 | 118,217 | |
SPCM SA(a) | ||||
09/15/2025 | 4.875% | 67,000 | 67,771 | |
Starfruit Finco BV/US Holdco LLC(a) | ||||
10/01/2026 | 8.000% | 174,000 | 178,801 | |
WR Grace & Co-Conn(a) | ||||
06/15/2027 | 4.875% | 89,000 | 90,151 | |
Total | 2,155,834 | |||
Construction Machinery 0.3% | ||||
H&E Equipment Services, Inc. | ||||
09/01/2025 | 5.625% | 77,000 | 77,976 | |
Herc Holdings, Inc.(a) | ||||
07/15/2027 | 5.500% | 78,000 | 78,383 | |
Ritchie Bros. Auctioneers, Inc.(a) | ||||
01/15/2025 | 5.375% | 28,000 | 28,784 | |
United Rentals North America, Inc. | ||||
07/15/2025 | 5.500% | 76,000 | 77,955 | |
09/15/2026 | 5.875% | 145,000 | 151,927 | |
12/15/2026 | 6.500% | 95,000 | 99,769 | |
07/15/2030 | 4.000% | 35,000 | 33,888 | |
Total | 548,682 | |||
Consumer Cyclical Services 0.4% | ||||
APX Group, Inc. | ||||
12/01/2022 | 7.875% | 164,000 | 163,106 | |
09/01/2023 | 7.625% | 185,000 | 170,452 | |
11/01/2024 | 8.500% | 144,000 | 141,034 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
ASGN, Inc.(a) | ||||
05/15/2028 | 4.625% | 82,000 | 80,034 | |
Expedia Group, Inc.(a) | ||||
05/01/2025 | 6.250% | 14,000 | 14,874 | |
05/01/2025 | 7.000% | 7,000 | 7,331 | |
frontdoor, Inc.(a) | ||||
08/15/2026 | 6.750% | 32,000 | 34,042 | |
Match Group, Inc.(a) | ||||
12/15/2027 | 5.000% | 5,000 | 5,204 | |
06/01/2028 | 4.625% | 57,000 | 57,737 | |
Staples, Inc.(a) | ||||
04/15/2026 | 7.500% | 47,000 | 37,018 | |
04/15/2027 | 10.750% | 19,000 | 11,274 | |
Uber Technologies, Inc.(a) | ||||
11/01/2023 | 7.500% | 70,000 | 70,413 | |
05/15/2025 | 7.500% | 89,000 | 89,707 | |
Total | 882,226 | |||
Consumer Products 0.5% | ||||
CD&R Smokey Buyer, Inc.(a),(i) | ||||
07/15/2025 | 6.750% | 63,000 | 65,596 | |
Energizer Holdings, Inc.(a) | ||||
07/15/2026 | 6.375% | 164,000 | 169,740 | |
01/15/2027 | 7.750% | 73,000 | 77,987 | |
Mattel, Inc.(a) | ||||
12/15/2027 | 5.875% | 77,000 | 79,354 | |
Mattel, Inc. | ||||
11/01/2041 | 5.450% | 73,000 | 60,493 | |
Newell Brands, Inc. | ||||
06/01/2025 | 4.875% | 31,000 | 32,434 | |
Prestige Brands, Inc.(a) | ||||
03/01/2024 | 6.375% | 115,000 | 118,283 | |
01/15/2028 | 5.125% | 37,000 | 37,142 | |
Scotts Miracle-Gro Co. (The) | ||||
10/15/2029 | 4.500% | 33,000 | 33,958 | |
Spectrum Brands, Inc. | ||||
07/15/2025 | 5.750% | 59,000 | 60,541 | |
Valvoline, Inc.(a) | ||||
08/15/2025 | 4.375% | 27,000 | 27,160 | |
02/15/2030 | 4.250% | 154,000 | 150,989 | |
Valvoline, Inc. | ||||
08/15/2025 | 4.375% | 74,000 | 74,568 | |
Total | 988,245 | |||
Diversified Manufacturing 0.6% | ||||
BWX Technologies, Inc.(a) | ||||
07/15/2026 | 5.375% | 25,000 | 25,873 | |
06/30/2028 | 4.125% | 74,000 | 73,806 |
10 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Carrier Global Corp.(a) | ||||
04/05/2040 | 3.377% | 185,000 | 180,104 | |
04/05/2050 | 3.577% | 245,000 | 239,202 | |
CFX Escrow Corp.(a) | ||||
02/15/2024 | 6.000% | 23,000 | 23,724 | |
02/15/2026 | 6.375% | 53,000 | 55,385 | |
Gates Global LLC/Co.(a) | ||||
01/15/2026 | 6.250% | 195,000 | 192,529 | |
MTS Systems Corp.(a) | ||||
08/15/2027 | 5.750% | 57,000 | 52,578 | |
Resideo Funding, Inc.(a) | ||||
11/01/2026 | 6.125% | 101,000 | 98,652 | |
TriMas Corp.(a) | ||||
10/15/2025 | 4.875% | 38,000 | 38,104 | |
WESCO Distribution, Inc. | ||||
06/15/2024 | 5.375% | 84,000 | 84,025 | |
WESCO Distribution, Inc.(a) | ||||
06/15/2025 | 7.125% | 99,000 | 104,372 | |
06/15/2028 | 7.250% | 76,000 | 80,550 | |
Total | 1,248,904 | |||
Electric 5.7% | ||||
AEP Texas, Inc. | ||||
01/15/2050 | 3.450% | 435,000 | 468,992 | |
AES Corp. (The) | ||||
05/15/2026 | 6.000% | 126,000 | 131,127 | |
09/01/2027 | 5.125% | 65,000 | 67,466 | |
Calpine Corp.(a) | ||||
06/01/2026 | 5.250% | 51,000 | 51,504 | |
02/15/2028 | 4.500% | 83,000 | 81,507 | |
03/15/2028 | 5.125% | 99,000 | 96,908 | |
Clearway Energy Operating LLC | ||||
10/15/2025 | 5.750% | 68,000 | 70,531 | |
09/15/2026 | 5.000% | 59,000 | 60,351 | |
Clearway Energy Operating LLC(a) | ||||
03/15/2028 | 4.750% | 55,000 | 56,027 | |
CMS Energy Corp. | ||||
03/01/2024 | 3.875% | 600,000 | 648,788 | |
02/15/2027 | 2.950% | 165,000 | 172,096 | |
03/31/2043 | 4.700% | 80,000 | 98,407 | |
Consolidated Edison Co. of New York, Inc. | ||||
04/01/2050 | 3.950% | 50,000 | 60,435 | |
DTE Energy Co. | ||||
06/01/2024 | 3.500% | 340,000 | 366,599 | |
10/01/2026 | 2.850% | 1,220,000 | 1,295,637 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Duke Energy Corp. | ||||
08/15/2027 | 3.150% | 578,000 | 641,652 | |
06/01/2030 | 2.450% | 250,000 | 262,997 | |
09/01/2046 | 3.750% | 538,000 | 608,790 | |
06/15/2049 | 4.200% | 55,000 | 67,267 | |
Duke Energy Indiana LLC | ||||
04/01/2050 | 2.750% | 90,000 | 91,105 | |
Emera U.S. Finance LP | ||||
06/15/2046 | 4.750% | 675,000 | 802,614 | |
Eversource Energy | ||||
01/15/2028 | 3.300% | 170,000 | 186,754 | |
Georgia Power Co. | ||||
01/30/2050 | 3.700% | 80,000 | 89,805 | |
Indiana Michigan Power Co. | ||||
07/01/2047 | 3.750% | 186,000 | 213,375 | |
NextEra Energy Operating Partners LP(a) | ||||
07/15/2024 | 4.250% | 50,000 | 50,322 | |
09/15/2027 | 4.500% | 347,000 | 362,971 | |
NRG Energy, Inc. | ||||
05/15/2026 | 7.250% | 53,000 | 55,919 | |
01/15/2027 | 6.625% | 105,000 | 109,981 | |
01/15/2028 | 5.750% | 12,000 | 12,687 | |
NRG Energy, Inc.(a) | ||||
06/15/2029 | 5.250% | 112,000 | 117,922 | |
Pattern Energy Group, Inc.(a) | ||||
02/01/2024 | 5.875% | 139,000 | 139,775 | |
PG&E Corp. | ||||
07/01/2028 | 5.000% | 75,000 | 74,973 | |
07/01/2030 | 5.250% | 55,000 | 55,306 | |
PPL Capital Funding, Inc. | ||||
05/15/2026 | 3.100% | 300,000 | 324,762 | |
Progress Energy, Inc. | ||||
04/01/2022 | 3.150% | 382,000 | 396,416 | |
Southern Co. (The) | ||||
07/01/2046 | 4.400% | 682,000 | 814,074 | |
TerraForm Power Operating LLC(a) | ||||
01/31/2028 | 5.000% | 97,000 | 101,936 | |
01/15/2030 | 4.750% | 83,000 | 84,587 | |
Vistra Energy Corp.(a) | ||||
01/30/2026 | 8.125% | 10,000 | 10,458 | |
Vistra Operations Co. LLC(a) | ||||
02/15/2027 | 5.625% | 76,000 | 77,983 | |
07/31/2027 | 5.000% | 137,000 | 138,424 | |
WEC Energy Group, Inc. | ||||
06/15/2025 | 3.550% | 190,000 | 211,933 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 11 |
June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Xcel Energy, Inc. | ||||
12/01/2026 | 3.350% | 480,000 | 539,103 | |
06/01/2030 | 3.400% | 1,100,000 | 1,253,679 | |
Total | 11,623,945 | |||
Environmental 0.1% | ||||
Clean Harbors, Inc.(a) | ||||
07/15/2027 | 4.875% | 26,000 | 26,711 | |
07/15/2029 | 5.125% | 18,000 | 18,655 | |
GFL Environmental, Inc.(a) | ||||
06/01/2025 | 4.250% | 43,000 | 43,332 | |
12/15/2026 | 5.125% | 45,000 | 46,455 | |
05/01/2027 | 8.500% | 45,000 | 48,941 | |
Hulk Finance Corp.(a) | ||||
06/01/2026 | 7.000% | 46,000 | 47,951 | |
Waste Pro USA, Inc.(a) | ||||
02/15/2026 | 5.500% | 75,000 | 71,556 | |
Total | 303,601 | |||
Finance Companies 1.2% | ||||
Alliance Data Systems Corp.(a) | ||||
12/15/2024 | 4.750% | 19,000 | 17,077 | |
GE Capital International Funding Co. Unlimited Co. | ||||
11/15/2035 | 4.418% | 1,420,000 | 1,438,031 | |
Global Aircraft Leasing Co., Ltd.(a),(g) | ||||
09/15/2024 | 6.500% | 74,000 | 52,248 | |
Navient Corp. | ||||
03/25/2021 | 5.875% | 14,000 | 13,758 | |
07/26/2021 | 6.625% | 43,000 | 42,140 | |
06/15/2022 | 6.500% | 166,000 | 163,055 | |
01/25/2023 | 5.500% | 39,000 | 37,454 | |
09/25/2023 | 7.250% | 36,000 | 35,175 | |
Provident Funding Associates LP/Finance Corp.(a) | ||||
06/15/2025 | 6.375% | 136,000 | 128,527 | |
Quicken Loans, Inc.(a) | ||||
05/01/2025 | 5.750% | 292,000 | 298,679 | |
Springleaf Finance Corp. | ||||
05/15/2022 | 6.125% | 46,000 | 46,875 | |
03/15/2023 | 5.625% | 52,000 | 52,577 | |
03/15/2024 | 6.125% | 101,000 | 102,517 | |
03/15/2025 | 6.875% | 35,000 | 35,960 | |
06/01/2025 | 8.875% | 33,000 | 35,267 | |
Total | 2,499,340 | |||
Food and Beverage 2.5% | ||||
Anheuser-Busch Companies LLC/InBev Worldwide, Inc. | ||||
02/01/2046 | 4.900% | 1,102,000 | 1,336,309 | |
Aramark Services, Inc.(a) | ||||
05/01/2025 | 6.375% | 30,000 | 30,976 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Bacardi Ltd.(a) | ||||
05/15/2048 | 5.300% | 670,000 | 830,836 | |
Conagra Brands, Inc. | ||||
11/01/2048 | 5.400% | 330,000 | 455,584 | |
FAGE International SA/USA Dairy Industry, Inc.(a) | ||||
08/15/2026 | 5.625% | 119,000 | 114,130 | |
Kraft Heinz Foods Co. (The) | ||||
06/01/2046 | 4.375% | 1,141,000 | 1,119,483 | |
Lamb Weston Holdings, Inc.(a) | ||||
11/01/2024 | 4.625% | 33,000 | 34,232 | |
11/01/2026 | 4.875% | 76,000 | 78,764 | |
05/15/2028 | 4.875% | 36,000 | 38,119 | |
Mondelez International, Inc. | ||||
04/13/2030 | 2.750% | 150,000 | 161,839 | |
Performance Food Group, Inc.(a) | ||||
05/01/2025 | 6.875% | 21,000 | 21,908 | |
10/15/2027 | 5.500% | 94,000 | 90,712 | |
Pilgrim’s Pride Corp.(a) | ||||
03/15/2025 | 5.750% | 26,000 | 25,921 | |
09/30/2027 | 5.875% | 82,000 | 82,049 | |
Post Holdings, Inc.(a) | ||||
08/15/2026 | 5.000% | 169,000 | 169,801 | |
03/01/2027 | 5.750% | 252,000 | 259,908 | |
01/15/2028 | 5.625% | 33,000 | 34,078 | |
04/15/2030 | 4.625% | 180,000 | 176,486 | |
Total | 5,061,135 | |||
Gaming 1.1% | ||||
Boyd Gaming Corp.(a) | ||||
06/01/2025 | 8.625% | 29,000 | 30,318 | |
12/01/2027 | 4.750% | 74,000 | 63,644 | |
Boyd Gaming Corp. | ||||
04/01/2026 | 6.375% | 42,000 | 39,914 | |
08/15/2026 | 6.000% | 58,000 | 54,495 | |
Caesars Resort Collection LLC/CRC Finco, Inc.(a) | ||||
10/15/2025 | 5.250% | 81,000 | 70,487 | |
Colt Merger Sub, Inc.(a),(i) | ||||
07/01/2025 | 5.750% | 33,000 | 33,175 | |
07/01/2025 | 6.250% | 138,000 | 137,526 | |
07/01/2027 | 8.125% | 69,000 | 66,695 | |
Eldorado Resorts, Inc. | ||||
04/01/2025 | 6.000% | 178,000 | 186,081 | |
09/15/2026 | 6.000% | 110,000 | 121,581 | |
International Game Technology PLC(a) | ||||
02/15/2022 | 6.250% | 139,000 | 140,384 | |
02/15/2025 | 6.500% | 144,000 | 147,111 | |
01/15/2029 | 5.250% | 63,000 | 61,512 |
12 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
MGM Growth Properties Operating Partnership LP/Finance Co-Issuer, Inc. | ||||
05/01/2024 | 5.625% | 1,000 | 1,035 | |
09/01/2026 | 4.500% | 151,000 | 148,718 | |
02/01/2027 | 5.750% | 46,000 | 47,587 | |
01/15/2028 | 4.500% | 161,000 | 156,194 | |
MGM Growth Properties Operating Partnership LP/Finance Co-Issuer, Inc.(a) | ||||
06/15/2025 | 4.625% | 54,000 | 52,977 | |
Scientific Games International, Inc.(a) | ||||
10/15/2025 | 5.000% | 242,000 | 224,403 | |
03/15/2026 | 8.250% | 121,000 | 108,490 | |
05/15/2028 | 7.000% | 36,000 | 28,742 | |
11/15/2029 | 7.250% | 36,000 | 28,885 | |
Stars Group Holdings BV/Co-Borrower LLC(a) | ||||
07/15/2026 | 7.000% | 52,000 | 54,849 | |
VICI Properties LP/Note Co., Inc.(a) | ||||
12/01/2026 | 4.250% | 61,000 | 58,607 | |
02/15/2027 | 3.750% | 38,000 | 35,670 | |
12/01/2029 | 4.625% | 48,000 | 47,058 | |
Wynn Las Vegas LLC/Capital Corp.(a) | ||||
03/01/2025 | 5.500% | 69,000 | 63,400 | |
Wynn Resorts Finance LLC/Capital Corp.(a) | ||||
04/15/2025 | 7.750% | 20,000 | 20,147 | |
Total | 2,229,685 | |||
Health Care 2.1% | ||||
Acadia Healthcare Co., Inc. | ||||
07/01/2022 | 5.125% | 18,000 | 18,004 | |
03/01/2024 | 6.500% | 125,000 | 127,083 | |
Acadia Healthcare Co., Inc.(a) | ||||
07/01/2028 | 5.500% | 19,000 | 19,144 | |
Avantor, Inc.(a) | ||||
10/01/2025 | 9.000% | 166,000 | 178,343 | |
Becton Dickinson and Co. | ||||
05/20/2030 | 2.823% | 515,000 | 544,468 | |
Change Healthcare Holdings LLC/Finance, Inc.(a) | ||||
03/01/2025 | 5.750% | 156,000 | 154,019 | |
Charles River Laboratories International, Inc.(a) | ||||
04/01/2026 | 5.500% | 74,000 | 77,425 | |
05/01/2028 | 4.250% | 27,000 | 26,984 | |
CHS/Community Health Systems, Inc. | ||||
03/31/2023 | 6.250% | 129,000 | 121,415 | |
CHS/Community Health Systems, Inc.(a) | ||||
02/15/2025 | 6.625% | 93,000 | 88,685 | |
Cigna Corp. | ||||
12/15/2048 | 4.900% | 235,000 | 309,757 | |
CVS Health Corp. | ||||
03/25/2048 | 5.050% | 460,000 | 601,312 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Encompass Health Corp. | ||||
02/01/2028 | 4.500% | 62,000 | 59,485 | |
02/01/2030 | 4.750% | 30,000 | 28,772 | |
HCA, Inc. | ||||
02/01/2025 | 5.375% | 92,000 | 98,463 | |
09/01/2028 | 5.625% | 186,000 | 207,435 | |
02/01/2029 | 5.875% | 104,000 | 117,579 | |
09/01/2030 | 3.500% | 106,000 | 101,610 | |
Hologic, Inc.(a) | ||||
10/15/2025 | 4.375% | 117,000 | 118,339 | |
02/01/2028 | 4.625% | 75,000 | 78,296 | |
IQVIA, Inc.(a) | ||||
05/15/2027 | 5.000% | 95,000 | 96,889 | |
MPH Acquisition Holdings LLC(a) | ||||
06/01/2024 | 7.125% | 67,000 | 62,303 | |
Ortho-Clinical Diagnostics, Inc./SA(a) | ||||
06/01/2025 | 7.375% | 21,000 | 21,372 | |
02/01/2028 | 7.250% | 25,000 | 25,385 | |
Select Medical Corp.(a) | ||||
08/15/2026 | 6.250% | 111,000 | 112,209 | |
Surgery Center Holdings, Inc.(a) | ||||
04/15/2027 | 10.000% | 61,000 | 61,659 | |
Teleflex, Inc. | ||||
06/01/2026 | 4.875% | 57,000 | 58,705 | |
11/15/2027 | 4.625% | 53,000 | 55,726 | |
Teleflex, Inc.(a) | ||||
06/01/2028 | 4.250% | 28,000 | 28,745 | |
Tenet Healthcare Corp. | ||||
06/15/2023 | 6.750% | 90,000 | 89,306 | |
08/01/2025 | 7.000% | 67,000 | 65,290 | |
Tenet Healthcare Corp.(a) | ||||
04/01/2025 | 7.500% | 79,000 | 83,997 | |
02/01/2027 | 6.250% | 148,000 | 146,790 | |
11/01/2027 | 5.125% | 194,000 | 191,916 | |
06/15/2028 | 4.625% | 29,000 | 28,263 | |
Total | 4,205,173 | |||
Healthcare Insurance 0.5% | ||||
Centene Corp. | ||||
01/15/2025 | 4.750% | 56,000 | 57,270 | |
01/15/2025 | 4.750% | 35,000 | 35,822 | |
12/15/2027 | 4.250% | 144,000 | 148,536 | |
12/15/2029 | 4.625% | 187,000 | 197,304 | |
02/15/2030 | 3.375% | 119,000 | 120,066 | |
Centene Corp.(a) | ||||
08/15/2026 | 5.375% | 130,000 | 135,260 | |
UnitedHealth Group, Inc. | ||||
05/15/2040 | 2.750% | 270,000 | 289,037 | |
Total | 983,295 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 13 |
June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Home Construction 0.3% | ||||
Lennar Corp. | ||||
06/01/2026 | 5.250% | 80,000 | 86,717 | |
06/15/2027 | 5.000% | 112,000 | 120,970 | |
11/29/2027 | 4.750% | 111,000 | 120,398 | |
Meritage Homes Corp. | ||||
04/01/2022 | 7.000% | 44,000 | 46,585 | |
06/06/2027 | 5.125% | 93,000 | 95,972 | |
Shea Homes LP/Funding Corp.(a) | ||||
02/15/2028 | 4.750% | 44,000 | 41,628 | |
Taylor Morrison Communities, Inc.(a) | ||||
01/15/2028 | 5.750% | 52,000 | 53,880 | |
TRI Pointe Group, Inc. | ||||
06/15/2028 | 5.700% | 21,000 | 21,465 | |
TRI Pointe Group, Inc./Homes | ||||
06/15/2024 | 5.875% | 35,000 | 36,133 | |
Total | 623,748 | |||
Independent Energy 1.3% | ||||
Callon Petroleum Co. | ||||
10/01/2024 | 6.125% | 14,000 | 5,243 | |
07/01/2026 | 6.375% | 252,000 | 83,600 | |
Carrizo Oil & Gas, Inc. | ||||
04/15/2023 | 6.250% | 11,000 | 4,185 | |
Centennial Resource Production LLC(a) | ||||
01/15/2026 | 5.375% | 84,000 | 42,774 | |
04/01/2027 | 6.875% | 73,000 | 37,180 | |
Continental Resources, Inc. | ||||
04/15/2023 | 4.500% | 65,000 | 62,216 | |
CrownRock LP/Finance, Inc.(a) | ||||
10/15/2025 | 5.625% | 209,000 | 187,419 | |
Endeavor Energy Resources LP/Finance, Inc.(a) | ||||
07/15/2025 | 6.625% | 33,000 | 33,256 | |
01/30/2026 | 5.500% | 28,000 | 26,875 | |
01/30/2028 | 5.750% | 75,000 | 72,266 | |
Hilcorp Energy I LP/Finance Co.(a) | ||||
10/01/2025 | 5.750% | 95,000 | 78,981 | |
11/01/2028 | 6.250% | 76,000 | 60,384 | |
Jagged Peak Energy LLC | ||||
05/01/2026 | 5.875% | 20,000 | 19,483 | |
Matador Resources Co. | ||||
09/15/2026 | 5.875% | 201,000 | 149,102 | |
Noble Energy, Inc. | ||||
11/15/2043 | 5.250% | 125,000 | 115,258 | |
Occidental Petroleum Corp. | ||||
08/15/2024 | 2.900% | 182,000 | 155,537 | |
04/15/2046 | 4.400% | 243,000 | 169,575 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Occidental Petroleum Corp.(i) | ||||
07/15/2025 | 8.000% | 225,000 | 225,861 | |
Parsley Energy LLC/Finance Corp.(a) | ||||
10/15/2027 | 5.625% | 337,000 | 332,019 | |
02/15/2028 | 4.125% | 73,000 | 66,127 | |
QEP Resources, Inc. | ||||
03/01/2026 | 5.625% | 70,000 | 44,262 | |
SM Energy Co. | ||||
06/01/2025 | 5.625% | 32,000 | 16,962 | |
09/15/2026 | 6.750% | 85,000 | 43,094 | |
01/15/2027 | 6.625% | 142,000 | 70,134 | |
Tullow Oil PLC(a) | ||||
03/01/2025 | 7.000% | 200,000 | 126,687 | |
WPX Energy, Inc. | ||||
09/15/2024 | 5.250% | 115,000 | 113,662 | |
06/15/2028 | 5.875% | 45,000 | 43,237 | |
01/15/2030 | 4.500% | 280,000 | 246,371 | |
Total | 2,631,750 | |||
Leisure 0.2% | ||||
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Operations LLC(a) | ||||
05/01/2025 | 5.500% | 77,000 | 77,315 | |
Cinemark USA, Inc.(a) | ||||
05/01/2025 | 8.750% | 56,000 | 58,680 | |
Live Nation Entertainment, Inc.(a) | ||||
11/01/2024 | 4.875% | 59,000 | 53,135 | |
03/15/2026 | 5.625% | 29,000 | 27,485 | |
05/15/2027 | 6.500% | 84,000 | 86,535 | |
Six Flags Theme Parks, Inc.(a) | ||||
07/01/2025 | 7.000% | 38,000 | 39,446 | |
Vail Resorts, Inc.(a) | ||||
05/15/2025 | 6.250% | 17,000 | 17,781 | |
Viking Cruises Ltd.(a) | ||||
05/15/2025 | 13.000% | 20,000 | 21,003 | |
VOC Escrow Ltd.(a) | ||||
02/15/2028 | 5.000% | 21,000 | 15,813 | |
Total | 397,193 | |||
Life Insurance 2.0% | ||||
Brighthouse Financial, Inc. | ||||
06/22/2047 | 4.700% | 5,000 | 4,544 | |
Five Corners Funding Trust(a) | ||||
11/15/2023 | 4.419% | 1,089,000 | 1,213,059 | |
Guardian Life Insurance Co. of America (The)(a) | ||||
Subordinated | ||||
06/19/2064 | 4.875% | 389,000 | 494,604 |
14 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Massachusetts Mutual Life Insurance Co.(a) | ||||
Subordinated | ||||
04/01/2077 | 4.900% | 300,000 | 378,043 | |
Peachtree Corners Funding Trust(a) | ||||
02/15/2025 | 3.976% | 1,230,000 | 1,341,960 | |
Teachers Insurance & Annuity Association of America(a) | ||||
Subordinated | ||||
09/15/2044 | 4.900% | 340,000 | 435,334 | |
Voya Financial, Inc. | ||||
06/15/2046 | 4.800% | 170,000 | 201,663 | |
Total | 4,069,207 | |||
Lodging 0.1% | ||||
Hilton Domestic Operating Co., Inc.(a) | ||||
05/01/2025 | 5.375% | 39,000 | 38,837 | |
05/01/2028 | 5.750% | 43,000 | 43,576 | |
Hilton Domestic Operating Co., Inc. | ||||
05/01/2026 | 5.125% | 113,000 | 112,493 | |
Total | 194,906 | |||
Media and Entertainment 0.9% | ||||
Clear Channel Worldwide Holdings, Inc. | ||||
02/15/2024 | 9.250% | 102,000 | 94,623 | |
Clear Channel Worldwide Holdings, Inc.(a) | ||||
08/15/2027 | 5.125% | 158,000 | 151,742 | |
Diamond Sports Group LLC/Finance Co.(a) | ||||
08/15/2026 | 5.375% | 69,000 | 49,873 | |
08/15/2027 | 6.625% | 49,000 | 26,226 | |
Discovery Communications LLC | ||||
05/15/2049 | 5.300% | 362,000 | 434,130 | |
iHeartCommunications, Inc. | ||||
05/01/2026 | 6.375% | 47,791 | 47,615 | |
05/01/2027 | 8.375% | 163,130 | 149,354 | |
iHeartCommunications, Inc.(a) | ||||
08/15/2027 | 5.250% | 29,000 | 27,782 | |
01/15/2028 | 4.750% | 64,000 | 59,131 | |
Lamar Media Corp.(a) | ||||
02/15/2028 | 3.750% | 39,000 | 36,953 | |
01/15/2029 | 4.875% | 48,000 | 48,516 | |
02/15/2030 | 4.000% | 15,000 | 14,400 | |
Netflix, Inc. | ||||
02/15/2025 | 5.875% | 24,000 | 26,640 | |
04/15/2028 | 4.875% | 194,000 | 207,005 | |
11/15/2028 | 5.875% | 54,000 | 61,447 | |
05/15/2029 | 6.375% | 17,000 | 19,807 | |
Netflix, Inc.(a) | ||||
11/15/2029 | 5.375% | 53,000 | 58,057 | |
06/15/2030 | 4.875% | 81,000 | 86,837 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Outfront Media Capital LLC/Corp.(a) | ||||
08/15/2027 | 5.000% | 38,000 | 34,299 | |
03/15/2030 | 4.625% | 97,000 | 88,628 | |
Scripps Escrow, Inc.(a) | ||||
07/15/2027 | 5.875% | 30,000 | 28,426 | |
TEGNA, Inc.(a) | ||||
09/15/2029 | 5.000% | 97,000 | 90,836 | |
Twitter, Inc.(a) | ||||
12/15/2027 | 3.875% | 55,000 | 55,012 | |
Total | 1,897,339 | |||
Metals and Mining 0.9% | ||||
Alcoa Nederland Holding BV(a) | ||||
09/30/2024 | 6.750% | 9,000 | 9,232 | |
09/30/2026 | 7.000% | 108,000 | 111,820 | |
Big River Steel LLC/Finance Corp.(a) | ||||
09/01/2025 | 7.250% | 191,000 | 178,375 | |
Constellium NV(a) | ||||
05/15/2024 | 5.750% | 38,000 | 37,834 | |
03/01/2025 | 6.625% | 61,000 | 61,911 | |
02/15/2026 | 5.875% | 255,000 | 255,539 | |
Constellium SE(a) | ||||
06/15/2028 | 5.625% | 40,000 | 39,255 | |
Freeport-McMoRan, Inc. | ||||
09/01/2029 | 5.250% | 139,000 | 142,200 | |
03/15/2043 | 5.450% | 254,000 | 249,676 | |
HudBay Minerals, Inc.(a) | ||||
01/15/2023 | 7.250% | 96,000 | 94,647 | |
01/15/2025 | 7.625% | 306,000 | 292,451 | |
Novelis Corp.(a) | ||||
09/30/2026 | 5.875% | 269,000 | 268,625 | |
01/30/2030 | 4.750% | 118,000 | 112,729 | |
Total | 1,854,294 | |||
Midstream 3.1% | ||||
Cheniere Energy Partners LP | ||||
10/01/2026 | 5.625% | 91,000 | 90,317 | |
Cheniere Energy Partners LP(a) | ||||
10/01/2029 | 4.500% | 46,000 | 44,732 | |
DCP Midstream Operating LP | ||||
05/15/2029 | 5.125% | 93,000 | 89,022 | |
04/01/2044 | 5.600% | 312,000 | 250,935 | |
Delek Logistics Partners LP/Finance Corp. | ||||
05/15/2025 | 6.750% | 71,000 | 64,927 | |
Enterprise Products Operating LLC | ||||
01/31/2060 | 3.950% | 285,000 | 296,659 | |
EQM Midstream Partners LP(a) | ||||
07/01/2025 | 6.000% | 51,000 | 51,652 | |
07/01/2027 | 6.500% | 48,000 | 49,160 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 15 |
June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Genesis Energy LP/Finance Corp. | ||||
06/15/2024 | 5.625% | 31,000 | 27,241 | |
10/01/2025 | 6.500% | 11,000 | 9,448 | |
02/01/2028 | 7.750% | 47,000 | 41,360 | |
Holly Energy Partners LP/Finance Corp.(a) | ||||
02/01/2028 | 5.000% | 98,000 | 93,355 | |
Kinder Morgan Energy Partners LP | ||||
03/01/2043 | 5.000% | 835,000 | 925,637 | |
Kinder Morgan, Inc. | ||||
02/15/2046 | 5.050% | 305,000 | 349,905 | |
MPLX LP | ||||
04/15/2048 | 4.700% | 230,000 | 234,268 | |
NuStar Logistics LP | ||||
06/01/2026 | 6.000% | 45,000 | 43,266 | |
04/28/2027 | 5.625% | 97,000 | 93,743 | |
Plains All American Pipeline LP/Finance Corp. | ||||
06/15/2044 | 4.700% | 1,601,000 | 1,439,367 | |
Rockies Express Pipeline LLC(a) | ||||
07/15/2029 | 4.950% | 88,000 | 81,994 | |
Rockpoint Gas Storage Canada Ltd.(a) | ||||
03/31/2023 | 7.000% | 115,000 | 105,708 | |
Sunoco LP/Finance Corp. | ||||
01/15/2023 | 4.875% | 30,000 | 29,882 | |
02/15/2026 | 5.500% | 84,000 | 81,588 | |
Tallgrass Energy Partners LP/Finance Corp.(a) | ||||
03/01/2027 | 6.000% | 69,000 | 61,411 | |
01/15/2028 | 5.500% | 50,000 | 42,752 | |
Targa Resources Partners LP/Finance Corp. | ||||
02/01/2027 | 5.375% | 67,000 | 64,640 | |
01/15/2028 | 5.000% | 28,000 | 26,319 | |
Targa Resources Partners LP/Finance Corp.(a) | ||||
03/01/2030 | 5.500% | 338,000 | 325,372 | |
TransMontaigne Partners LP/TLP Finance Corp. | ||||
02/15/2026 | 6.125% | 94,000 | 90,785 | |
Western Gas Partners LP | ||||
08/15/2048 | 5.500% | 580,000 | 472,943 | |
Williams Companies, Inc. (The) | ||||
09/15/2045 | 5.100% | 676,000 | 738,874 | |
Total | 6,317,262 | |||
Natural Gas 1.0% | ||||
NiSource, Inc. | ||||
05/01/2030 | 3.600% | 320,000 | 366,640 | |
02/15/2043 | 5.250% | 55,000 | 71,231 | |
05/15/2047 | 4.375% | 605,000 | 737,331 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Sempra Energy | ||||
06/15/2024 | 3.550% | 425,000 | 460,885 | |
06/15/2027 | 3.250% | 450,000 | 493,980 | |
Total | 2,130,067 | |||
Oil Field Services 0.2% | ||||
Apergy Corp. | ||||
05/01/2026 | 6.375% | 64,000 | 59,426 | |
Archrock Partners LP/Finance Corp.(a) | ||||
04/01/2028 | 6.250% | 68,000 | 62,615 | |
Nabors Industries Ltd.(a) | ||||
01/15/2026 | 7.250% | 110,000 | 68,679 | |
01/15/2028 | 7.500% | 40,000 | 24,703 | |
Transocean Sentry Ltd.(a) | ||||
05/15/2023 | 5.375% | 183,000 | 154,635 | |
Transocean, Inc.(a) | ||||
02/01/2027 | 8.000% | 41,000 | 22,645 | |
USA Compression Partners LP/Finance Corp. | ||||
09/01/2027 | 6.875% | 48,000 | 45,769 | |
Total | 438,472 | |||
Other Industry 0.0% | ||||
Hillenbrand, Inc. | ||||
06/15/2025 | 5.750% | 20,000 | 20,699 | |
Other REIT 0.1% | ||||
Ladder Capital Finance Holdings LLLP/Corp.(a) | ||||
10/01/2025 | 5.250% | 123,000 | 105,927 | |
Packaging 0.6% | ||||
ARD Finance SA(a),(g) | ||||
06/30/2027 | 6.500% | 30,000 | 29,703 | |
Ardagh Packaging Finance PLC/Holdings USA, Inc.(a) | ||||
02/15/2025 | 6.000% | 107,000 | 109,564 | |
08/15/2026 | 4.125% | 205,000 | 201,611 | |
08/15/2027 | 5.250% | 148,000 | 145,313 | |
Berry Global Escrow Corp.(a) | ||||
07/15/2026 | 4.875% | 50,000 | 50,480 | |
Berry Global, Inc. | ||||
07/15/2023 | 5.125% | 120,000 | 120,715 | |
BWAY Holding Co.(a) | ||||
04/15/2024 | 5.500% | 152,000 | 149,438 | |
Flex Acquisition Co., Inc.(a) | ||||
07/15/2026 | 7.875% | 54,000 | 52,326 | |
Novolex(a) | ||||
01/15/2025 | 6.875% | 29,000 | 27,885 | |
Owens-Brockway Glass Container, Inc.(a) | ||||
08/15/2023 | 5.875% | 27,000 | 27,810 |
16 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Reynolds Group Issuer, Inc./LLC(a) | ||||
07/15/2023 | 5.125% | 120,000 | 120,593 | |
Trivium Packaging Finance BV(a) | ||||
08/15/2026 | 5.500% | 136,000 | 138,167 | |
08/15/2027 | 8.500% | 61,000 | 65,189 | |
Total | 1,238,794 | |||
Pharmaceuticals 1.3% | ||||
AbbVie, Inc.(a) | ||||
06/15/2044 | 4.850% | 170,000 | 211,346 | |
11/21/2049 | 4.250% | 510,000 | 617,321 | |
Amgen, Inc. | ||||
02/21/2050 | 3.375% | 535,000 | 591,472 | |
Bausch Health Companies, Inc.(a) | ||||
03/15/2024 | 7.000% | 10,000 | 10,370 | |
04/15/2025 | 6.125% | 399,000 | 404,264 | |
04/01/2026 | 9.250% | 145,000 | 157,189 | |
01/31/2027 | 8.500% | 103,000 | 109,830 | |
01/30/2028 | 5.000% | 50,000 | 47,114 | |
02/15/2029 | 6.250% | 100,000 | 100,557 | |
01/30/2030 | 5.250% | 50,000 | 47,381 | |
Bristol-Myers Squibb Co.(a) | ||||
10/26/2049 | 4.250% | 71,000 | 93,602 | |
Catalent Pharma Solutions, Inc.(a) | ||||
01/15/2026 | 4.875% | 95,000 | 96,873 | |
07/15/2027 | 5.000% | 14,000 | 14,542 | |
Jaguar Holding Co. II/PPD Development LP(a) | ||||
06/15/2025 | 4.625% | 39,000 | 39,655 | |
06/15/2028 | 5.000% | 36,000 | 36,847 | |
Par Pharmaceutical, Inc.(a) | ||||
04/01/2027 | 7.500% | 86,000 | 88,215 | |
Total | 2,666,578 | |||
Property & Casualty 0.2% | ||||
Alliant Holdings Intermediate LLC/Co-Issuer(a) | ||||
10/15/2027 | 6.750% | 128,000 | 127,087 | |
HUB International Ltd.(a) | ||||
05/01/2026 | 7.000% | 147,000 | 146,584 | |
USI, Inc.(a) | ||||
05/01/2025 | 6.875% | 39,000 | 39,312 | |
Total | 312,983 | |||
Railroads 0.0% | ||||
Union Pacific Corp. | ||||
08/15/2059 | 3.950% | 51,000 | 59,966 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Restaurants 0.4% | ||||
1011778 BC ULC/New Red Finance, Inc.(a) | ||||
04/15/2025 | 5.750% | 67,000 | 70,412 | |
10/15/2025 | 5.000% | 178,000 | 176,980 | |
01/15/2028 | 3.875% | 39,000 | 37,833 | |
Golden Nugget, Inc.(a) | ||||
10/15/2024 | 6.750% | 28,000 | 20,048 | |
IRB Holding Corp.(a) | ||||
06/15/2025 | 7.000% | 169,000 | 174,042 | |
02/15/2026 | 6.750% | 199,000 | 190,170 | |
Yum! Brands, Inc.(a) | ||||
04/01/2025 | 7.750% | 13,000 | 14,020 | |
01/15/2030 | 4.750% | 100,000 | 102,189 | |
Total | 785,694 | |||
Retailers 0.5% | ||||
Burlington Coat Factory Warehouse Corp.(a) | ||||
04/15/2025 | 6.250% | 14,000 | 14,594 | |
L Brands, Inc.(a) | ||||
07/01/2025 | 6.875% | 52,000 | 53,725 | |
07/01/2025 | 9.375% | 21,000 | 21,028 | |
L Brands, Inc. | ||||
02/01/2028 | 5.250% | 41,000 | 32,409 | |
06/15/2029 | 7.500% | 23,000 | 20,215 | |
11/01/2035 | 6.875% | 93,000 | 77,544 | |
Lowe’s Companies, Inc. | ||||
05/03/2047 | 4.050% | 305,000 | 358,397 | |
PetSmart, Inc.(a) | ||||
03/15/2023 | 7.125% | 234,000 | 230,683 | |
06/01/2025 | 5.875% | 113,000 | 113,397 | |
Total | 921,992 | |||
Supermarkets 0.3% | ||||
Albertsons Companies LLC/Safeway, Inc./New Albertsons LP | ||||
03/15/2025 | 5.750% | 117,000 | 119,504 | |
Albertsons Companies LLC/Safeway, Inc./New Albertsons LP(a) | ||||
03/15/2026 | 7.500% | 44,000 | 47,666 | |
02/15/2028 | 5.875% | 92,000 | 94,903 | |
Albertsons Companies, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(a) | ||||
01/15/2027 | 4.625% | 19,000 | 18,999 | |
02/15/2030 | 4.875% | 44,000 | 45,180 | |
Kroger Co. (The) | ||||
02/01/2047 | 4.450% | 218,000 | 266,761 | |
Total | 593,013 | |||
Technology 2.8% | ||||
Ascend Learning LLC(a) | ||||
08/01/2025 | 6.875% | 92,000 | 93,250 | |
08/01/2025 | 6.875% | 78,000 | 78,495 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 17 |
June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Banff Merger Sub, Inc.(a) | ||||
09/01/2026 | 9.750% | 19,000 | 19,140 | |
Boxer Parent Co., Inc.(a) | ||||
10/02/2025 | 7.125% | 27,000 | 28,308 | |
03/01/2026 | 9.125% | 16,000 | 16,518 | |
Broadcom Corp./Cayman Finance Ltd. | ||||
01/15/2027 | 3.875% | 870,000 | 939,652 | |
Broadcom, Inc.(a) | ||||
11/15/2030 | 4.150% | 175,000 | 190,314 | |
Camelot Finance SA(a) | ||||
11/01/2026 | 4.500% | 54,000 | 54,000 | |
CDK Global, Inc. | ||||
06/01/2027 | 4.875% | 57,000 | 58,462 | |
CommScope Technologies LLC(a) | ||||
06/15/2025 | 6.000% | 88,000 | 84,896 | |
03/15/2027 | 5.000% | 25,000 | 22,533 | |
Ensemble S Merger Sub, Inc.(a) | ||||
09/30/2023 | 9.000% | 26,000 | 26,267 | |
Gartner, Inc.(a) | ||||
04/01/2025 | 5.125% | 156,000 | 159,709 | |
07/01/2028 | 4.500% | 89,000 | 89,901 | |
Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/U.S. Holdings I LLC(a) | ||||
11/30/2024 | 10.000% | 82,000 | 85,076 | |
International Business Machines Corp. | ||||
05/15/2040 | 2.850% | 390,000 | 406,162 | |
Iron Mountain, Inc. | ||||
08/15/2024 | 5.750% | 229,000 | 231,194 | |
Iron Mountain, Inc.(a) | ||||
07/15/2028 | 5.000% | 61,000 | 59,768 | |
09/15/2029 | 4.875% | 39,000 | 37,901 | |
07/15/2030 | 5.250% | 154,000 | 151,690 | |
Microchip Technology, Inc.(a) | ||||
09/01/2025 | 4.250% | 77,000 | 77,358 | |
Microsoft Corp. | ||||
08/08/2046 | 3.700% | 250,000 | 312,586 | |
MSCI, Inc.(a) | ||||
08/01/2026 | 4.750% | 36,000 | 37,333 | |
NCR Corp. | ||||
07/15/2022 | 5.000% | 100,000 | 99,798 | |
12/15/2023 | 6.375% | 112,000 | 113,948 | |
NCR Corp.(a) | ||||
04/15/2025 | 8.125% | 56,000 | 59,378 | |
09/01/2029 | 6.125% | 67,000 | 66,887 | |
NXP BV/Funding LLC/USA, Inc.(a) | ||||
05/01/2030 | 3.400% | 90,000 | 96,864 | |
Oracle Corp. | ||||
04/01/2060 | 3.850% | 485,000 | 567,499 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Plantronics, Inc.(a) | ||||
05/31/2023 | 5.500% | 164,000 | 143,609 | |
PTC, Inc.(a) | ||||
02/15/2025 | 3.625% | 21,000 | 20,823 | |
02/15/2028 | 4.000% | 63,000 | 62,552 | |
Qualitytech LP/QTS Finance Corp.(a) | ||||
11/15/2025 | 4.750% | 150,000 | 153,759 | |
Refinitiv US Holdings, Inc.(a) | ||||
05/15/2026 | 6.250% | 250,000 | 264,956 | |
11/15/2026 | 8.250% | 113,000 | 122,314 | |
Sabre GLBL, Inc.(a) | ||||
04/15/2025 | 9.250% | 15,000 | 15,793 | |
Sensata Technologies, Inc.(a) | ||||
02/15/2030 | 4.375% | 41,000 | 40,573 | |
Solera LLC/Finance, Inc.(a) | ||||
03/01/2024 | 10.500% | 50,000 | 50,870 | |
Tempo Acquisition LLC/Finance Corp.(a) | ||||
06/01/2025 | 5.750% | 43,000 | 44,197 | |
06/01/2025 | 6.750% | 21,000 | 21,299 | |
Tencent Holdings Ltd.(a) | ||||
06/03/2050 | 3.240% | 400,000 | 401,352 | |
Verscend Escrow Corp.(a) | ||||
08/15/2026 | 9.750% | 151,000 | 162,688 | |
Total | 5,769,672 | |||
Transportation Services 0.7% | ||||
Adani Ports & Special Economic Zone Ltd.(a) | ||||
07/03/2029 | 4.375% | 200,000 | 195,636 | |
Avis Budget Car Rental LLC/Finance, Inc.(a) | ||||
03/15/2025 | 5.250% | 41,000 | 31,870 | |
ERAC U.S.A. Finance LLC(a) | ||||
11/01/2046 | 4.200% | 410,000 | 396,307 | |
FedEx Corp. | ||||
04/01/2046 | 4.550% | 385,000 | 415,112 | |
Hertz Corp. (The)(a),(j) | ||||
06/01/2022 | 0.000% | 63,000 | 47,507 | |
10/15/2024 | 0.000% | 206,000 | 64,105 | |
08/01/2026 | 0.000% | 138,000 | 43,074 | |
01/15/2028 | 0.000% | 361,000 | 112,714 | |
Hertz Corp. (The) | ||||
10/15/2022 | 6.250% | 21,000 | 6,537 | |
XPO Logistics, Inc.(a) | ||||
06/15/2022 | 6.500% | 50,000 | 50,062 | |
Total | 1,362,924 | |||
Wireless 0.9% | ||||
Altice France Holding SA(a) | ||||
02/15/2028 | 6.000% | 208,000 | 196,630 |
18 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Altice France SA(a) | ||||
05/01/2026 | 7.375% | 317,000 | 330,047 | |
02/01/2027 | 8.125% | 68,000 | 74,519 | |
01/15/2028 | 5.500% | 142,000 | 143,503 | |
SBA Communications Corp. | ||||
09/01/2024 | 4.875% | 305,000 | 312,236 | |
SBA Communications Corp.(a) | ||||
02/15/2027 | 3.875% | 69,000 | 68,780 | |
Sprint Capital Corp. | ||||
11/15/2028 | 6.875% | 221,000 | 269,538 | |
03/15/2032 | 8.750% | 71,000 | 101,552 | |
Sprint Corp. | ||||
03/01/2026 | 7.625% | 134,000 | 158,266 | |
T-Mobile U.S.A., Inc. | ||||
02/01/2026 | 4.500% | 50,000 | 50,591 | |
02/01/2028 | 4.750% | 147,000 | 155,280 | |
Total | 1,860,942 | |||
Wirelines 1.6% | ||||
AT&T, Inc. | ||||
06/15/2045 | 4.350% | 1,160,000 | 1,298,312 | |
CenturyLink, Inc. | ||||
12/01/2023 | 6.750% | 52,000 | 55,945 | |
04/01/2024 | 7.500% | 102,000 | 112,189 | |
04/01/2025 | 5.625% | 78,000 | 80,675 | |
CenturyLink, Inc.(a) | ||||
12/15/2026 | 5.125% | 335,000 | 334,536 | |
02/15/2027 | 4.000% | 44,000 | 42,722 | |
Front Range BidCo, Inc.(a) | ||||
03/01/2027 | 4.000% | 139,000 | 132,185 | |
03/01/2028 | 6.125% | 111,000 | 107,897 | |
Level 3 Financing, Inc.(a) | ||||
07/01/2028 | 4.250% | 151,000 | 150,849 | |
Network i2i Ltd.(a),(h) | ||||
12/31/2049 | 5.650% | 400,000 | 386,604 | |
Telecom Italia Capital SA | ||||
09/30/2034 | 6.000% | 34,000 | 36,986 | |
Verizon Communications, Inc. | ||||
09/21/2028 | 4.329% | 415,000 | 500,363 | |
Total | 3,239,263 | |||
Total Corporate Bonds & Notes (Cost $79,843,653) | 82,897,866 | |||
Foreign Government Obligations(k),(l) 8.9% | ||||
Angola 0.1% | ||||
Angolan Government International Bond(a) | ||||
11/26/2029 | 8.000% | 200,000 | 165,232 |
Foreign Government Obligations(k),(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Belarus 0.1% | ||||
Republic of Belarus International Bond(a) | ||||
06/29/2027 | 7.625% | 250,000 | 257,731 | |
Brazil 0.3% | ||||
Brazilian Government International Bond | ||||
06/12/2030 | 3.875% | 202,000 | 195,470 | |
01/07/2041 | 5.625% | 410,000 | 426,761 | |
Total | 622,231 | |||
Canada 0.2% | ||||
MEGlobal Canada ULC(a) | ||||
05/18/2025 | 5.000% | 200,000 | 215,947 | |
NOVA Chemicals Corp.(a) | ||||
08/01/2023 | 5.250% | 79,000 | 75,991 | |
06/01/2027 | 5.250% | 87,000 | 76,545 | |
Total | 368,483 | |||
China 0.3% | ||||
Syngenta Finance NV(a) | ||||
04/24/2028 | 5.182% | 600,000 | 640,622 | |
Colombia 0.6% | ||||
Colombia Government International Bond | ||||
01/30/2030 | 3.000% | 200,000 | 198,048 | |
04/15/2031 | 3.125% | 200,000 | 198,628 | |
05/15/2049 | 5.200% | 273,000 | 320,015 | |
Ecopetrol SA | ||||
04/29/2030 | 6.875% | 400,000 | 458,156 | |
Total | 1,174,847 | |||
Dominican Republic 0.8% | ||||
Dominican Republic Bond(a) | ||||
02/05/2027 | 11.250% | DOP | 10,000,000 | 169,652 |
Dominican Republic International Bond(a) | ||||
01/08/2021 | 14.000% | DOP | 3,012,000 | 52,721 |
03/04/2022 | 10.375% | DOP | 17,800,000 | 303,184 |
02/10/2023 | 14.500% | DOP | 3,600,000 | 66,650 |
01/25/2027 | 5.950% | 218,000 | 219,516 | |
01/30/2030 | 4.500% | 150,000 | 136,249 | |
04/30/2044 | 7.450% | 486,000 | 499,853 | |
01/27/2045 | 6.850% | 200,000 | 192,381 | |
Total | 1,640,206 | |||
Egypt 0.3% | ||||
Egypt Government International Bond(a) | ||||
04/11/2031 | 6.375% | EUR | 100,000 | 104,151 |
01/31/2047 | 8.500% | 250,000 | 244,480 | |
02/21/2048 | 7.903% | 200,000 | 185,055 | |
Total | 533,686 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 19 |
June 30, 2020 (Unaudited)
Foreign Government Obligations(k),(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
El Salvador 0.1% | ||||
El Salvador Government International Bond(a) | ||||
01/18/2027 | 6.375% | 200,000 | 172,616 | |
Ghana 0.1% | ||||
Ghana Government International Bond(a) | ||||
02/11/2035 | 7.875% | 200,000 | 181,808 | |
Guatemala 0.1% | ||||
Guatemala Government Bond(a) | ||||
04/24/2032 | 5.375% | 200,000 | 221,171 | |
India 0.1% | ||||
Export-Import Bank of India(a) | ||||
01/15/2030 | 3.250% | 200,000 | 197,141 | |
Indonesia 1.3% | ||||
Indonesia Government International Bond(a) | ||||
01/17/2038 | 7.750% | 100,000 | 150,742 | |
Indonesia Government International Bond | ||||
10/30/2049 | 3.700% | 409,000 | 424,121 | |
Pertamina Persero PT(a) | ||||
01/21/2050 | 4.175% | 320,000 | 316,719 | |
PT Hutama Karya Persero(a) | ||||
05/11/2030 | 3.750% | 200,000 | 210,511 | |
PT Indonesia Asahan Aluminium Persero(a) | ||||
05/15/2025 | 4.750% | 200,000 | 214,452 | |
11/15/2048 | 6.757% | 200,000 | 245,027 | |
PT Pertamina Persero(a) | ||||
05/30/2044 | 6.450% | 200,000 | 254,795 | |
PT Perusahaan Listrik Negara(a) | ||||
05/21/2028 | 5.450% | 300,000 | 345,781 | |
Saka Energi Indonesia PT(a) | ||||
05/05/2024 | 4.450% | 250,000 | 229,326 | |
05/05/2024 | 4.450% | 200,000 | 183,461 | |
Total | 2,574,935 | |||
Ivory Coast 0.3% | ||||
Ivory Coast Government International Bond(a) | ||||
10/17/2031 | 5.875% | EUR | 400,000 | 422,385 |
06/15/2033 | 6.125% | 200,000 | 200,038 | |
Total | 622,423 | |||
Kazakhstan 0.1% | ||||
KazMunayGas National Co. JSC(a) | ||||
04/19/2027 | 4.750% | 200,000 | 216,866 | |
Malaysia 0.1% | ||||
Petronas Capital Ltd.(a) | ||||
04/21/2030 | 3.500% | 200,000 | 221,558 |
Foreign Government Obligations(k),(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Mexico 0.8% | ||||
Mexican Bonos | ||||
06/10/2021 | 6.500% | MXN | 50,000 | 2,212 |
05/31/2029 | 8.500% | MXN | 8,500,000 | 439,101 |
Petroleos Mexicanos(a) | ||||
09/12/2024 | 7.190% | MXN | 260,000 | 9,682 |
01/23/2030 | 6.840% | 135,000 | 118,471 | |
01/28/2031 | 5.950% | 22,000 | 18,121 | |
01/28/2060 | 6.950% | 370,000 | 284,263 | |
Petroleos Mexicanos | ||||
01/23/2026 | 4.500% | 80,000 | 70,158 | |
08/04/2026 | 6.875% | 350,000 | 330,809 | |
11/12/2026 | 7.470% | MXN | 4,700,000 | 159,031 |
01/23/2029 | 6.500% | 200,000 | 174,450 | |
Total | 1,606,298 | |||
Morocco 0.1% | ||||
OCP SA(a) | ||||
04/25/2024 | 5.625% | 200,000 | 215,709 | |
Netherlands 0.1% | ||||
Petrobras Global Finance BV | ||||
03/19/2049 | 6.900% | 200,000 | 210,749 | |
Oman 0.1% | ||||
Oman Government International Bond(a) | ||||
06/15/2026 | 4.750% | 200,000 | 184,836 | |
Panama 0.2% | ||||
Panama Government International Bond | ||||
04/01/2056 | 4.500% | 400,000 | 490,447 | |
Paraguay 0.2% | ||||
Paraguay Government International Bond(a) | ||||
03/27/2027 | 4.700% | 200,000 | 218,900 | |
08/11/2044 | 6.100% | 200,000 | 244,585 | |
Total | 463,485 | |||
Qatar 0.5% | ||||
Qatar Government International Bond(a) | ||||
03/14/2049 | 4.817% | 725,000 | 958,634 | |
Romania 0.4% | ||||
Romanian Government International Bond(a) | ||||
04/03/2049 | 4.625% | EUR | 700,000 | 901,207 |
Russian Federation 0.2% | ||||
Russian Foreign Bond - Eurobond(a) | ||||
03/21/2029 | 4.375% | 400,000 | 454,658 |
20 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Foreign Government Obligations(k),(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Saudi Arabia 0.2% | ||||
Saudi Government International Bond(a) | ||||
01/21/2055 | 3.750% | 400,000 | 409,247 | |
Serbia 0.1% | ||||
Serbia International Bond(a) | ||||
09/28/2021 | 7.250% | 250,000 | 266,250 | |
South Africa 0.1% | ||||
Republic of South Africa Government International Bond | ||||
09/30/2029 | 4.850% | 200,000 | 189,481 | |
Turkey 0.3% | ||||
Turkey Government International Bond | ||||
02/17/2028 | 5.125% | 600,000 | 552,748 | |
Ukraine 0.2% | ||||
Ukraine Government International Bond(a) | ||||
09/01/2026 | 7.750% | 200,000 | 208,554 | |
09/25/2032 | 7.375% | 220,000 | 221,602 | |
Total | 430,156 | |||
United Arab Emirates 0.5% | ||||
Abu Dhabi Government International Bond(a) | ||||
09/30/2049 | 3.125% | 200,000 | 208,832 | |
04/16/2050 | 3.875% | 200,000 | 237,009 | |
DP World Crescent Ltd.(a) | ||||
07/18/2029 | 3.875% | 400,000 | 392,842 | |
DP World PLC(a) | ||||
09/25/2048 | 5.625% | 200,000 | 217,436 | |
Total | 1,056,119 | |||
Total Foreign Government Obligations (Cost $18,426,468) | 18,201,580 | |||
Residential Mortgage-Backed Securities - Agency 11.7% | ||||
Federal Home Loan Mortgage Corp.(b),(m) | ||||
CMO Series 318 Class S1 | ||||
-1.0 x 1-month USD LIBOR + 5.950% Cap 5.950% 11/15/2043 | 5.765% | 2,778,690 | 566,163 | |
CMO Series 4903 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 08/25/2049 | 5.866% | 2,006,795 | 432,875 | |
Federal Home Loan Mortgage Corp.(m) | ||||
CMO Series 4120 Class AI | ||||
11/15/2039 | 3.500% | 1,587,741 | 59,069 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal Home Loan Mortgage Corp.(e),(m) | ||||
CMO Series 4620 Class AS | ||||
11/15/2042 | 3.202% | 1,158,188 | 68,920 | |
Federal National Mortgage Association | ||||
05/01/2041 | 4.000% | 86,223 | 92,389 | |
Federal National Mortgage Association(e),(m) | ||||
CMO Series 2006-5 Class N1 | ||||
08/25/2034 | 0.000% | 2,396,108 | 3 | |
Federal National Mortgage Association(m) | ||||
CMO Series 2012-133 Class EI | ||||
07/25/2031 | 3.500% | 894,813 | 46,883 | |
CMO Series 2012-139 Class IL | ||||
04/25/2040 | 3.500% | 1,450,468 | 69,822 | |
CMO Series 2013-1 Class AI | ||||
02/25/2043 | 3.500% | 1,452,895 | 188,749 | |
Federal National Mortgage Association(b),(m) | ||||
CMO Series 2014-93 Class ES | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 01/25/2045 | 5.966% | 472,778 | 85,419 | |
CMO Series 2016-31 Class VS | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 06/25/2046 | 5.816% | 993,224 | 201,999 | |
CMO Series 2016-42 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 07/25/2046 | 5.816% | 1,714,597 | 399,239 | |
CMO Series 2017-47 Class SE | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 06/25/2047 | 5.916% | 665,763 | 168,333 | |
CMO Series 2017-56 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 07/25/2047 | 5.966% | 1,383,927 | 310,184 | |
CMO Series 2018-76 Class SN | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 10/25/2048 | 5.966% | 671,349 | 144,049 | |
CMO Series 2019-67 Class SE | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 11/25/2049 | 5.866% | 1,822,125 | 404,349 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 21 |
June 30, 2020 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2019-8 Class SG | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 03/25/2049 | 5.816% | 1,997,125 | 430,071 | |
Government National Mortgage Association(m) | ||||
CMO Series 2014-190 Class AI | ||||
12/20/2038 | 3.500% | 1,530,900 | 151,203 | |
Government National Mortgage Association(b),(m) | ||||
CMO Series 2016-20 Class SQ | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 02/20/2046 | 5.910% | 799,729 | 170,964 | |
CMO Series 2017-129 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 08/20/2047 | 6.010% | 763,867 | 151,973 | |
CMO Series 2017-133 Class SM | ||||
-1.0 x 1-month USD LIBOR + 6.250% Cap 6.250% 09/20/2047 | 6.060% | 865,702 | 169,733 | |
CMO Series 2018-124 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 09/20/2048 | 6.010% | 1,828,897 | 307,469 | |
CMO Series 2018-155 Class ES | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 11/20/2048 | 5.910% | 1,222,143 | 214,841 | |
CMO Series 2018-168 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 12/20/2048 | 5.910% | 988,845 | 180,890 | |
CMO Series 2018-67 Class SP | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 05/20/2048 | 6.010% | 1,635,419 | 332,285 | |
CMO Series 2019-152 Class BS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 12/20/2049 | 5.860% | 1,954,190 | 353,247 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2019-23 Class LS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 02/20/2049 | 5.860% | 645,903 | 134,827 | |
CMO Series 2019-23 Class QS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 02/20/2049 | 5.860% | 2,017,804 | 412,081 | |
CMO Series 2019-29 Class DS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 03/20/2049 | 5.860% | 1,624,148 | 277,679 | |
CMO Series 2019-41 Class AS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 03/20/2049 | 5.860% | 1,258,313 | 259,228 | |
CMO Series 2019-5 Class SH | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 01/20/2049 | 5.960% | 985,411 | 205,217 | |
CMO Series 2019-59 Class JS | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 05/20/2049 | 5.960% | 996,826 | 185,797 | |
Government National Mortgage Association TBA(i) | ||||
07/21/2050 | 3.000% | 2,000,000 | 2,118,984 | |
Uniform Mortgage-Backed Security TBA(i) | ||||
07/16/2035 | 3.000% | 1,000,000 | 1,051,094 | |
07/14/2050 | 2.500% | 13,000,000 | 13,552,500 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $23,041,547) | 23,898,528 | |||
Residential Mortgage-Backed Securities - Non-Agency 18.0% | ||||
Arroyo Mortgage Trust(a) | ||||
CMO Series 2018-1 Class A3 | ||||
04/25/2048 | 4.218% | 452,856 | 458,339 | |
Arroyo Mortgage Trust(a),(e) | ||||
CMO Series 2019-2 Class A3 | ||||
04/25/2049 | 3.800% | 339,695 | 344,716 | |
Banc of America Funding Trust(a),(d),(e) | ||||
CMO Series 2016-R1 Class M2 | ||||
03/25/2040 | 3.500% | 507,334 | 515,299 | |
Bayview Opportunity Master Fund IIIb Trust(a),(e) | ||||
Series 2019-LT2 Class A1 | ||||
10/28/2034 | 3.376% | 93,567 | 93,282 |
22 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Bayview Opportunity Master Fund IVa Trust(a),(d),(e) | ||||
CMO Series 2020-RN2 Class A1 | ||||
06/28/2035 | 4.424% | 500,000 | 498,903 | |
Bayview Opportunity Master Fund IVb Trust(a),(e) | ||||
CMO Series 2019-RN4 Class A1 | ||||
10/28/2034 | 3.278% | 196,622 | 195,711 | |
Bayview Opportunity Master Fund Trust(a),(e) | ||||
CMO Series 2020-RN1 Class A1 | ||||
02/28/2035 | 3.228% | 250,221 | 248,709 | |
Bellemeade Re Ltd.(a),(b) | ||||
CMO Series 2018-2A Class M1C | ||||
1-month USD LIBOR + 1.600% 08/25/2028 | 1.785% | 400,000 | 376,476 | |
CMO Series 2019-1A Class M1A | ||||
1-month USD LIBOR + 1.300% Floor 1.300% 03/25/2029 | 1.485% | 20,604 | 20,519 | |
CMO Series 2019-2A Class M1B | ||||
1-month USD LIBOR + 1.450% Floor 1.450% 04/25/2029 | 1.635% | 261,182 | 258,184 | |
CMO Series 2019-3A Class M1B | ||||
1-month USD LIBOR + 1.600% Floor 1.600% 07/25/2029 | 1.785% | 1,200,000 | 1,134,519 | |
Bellemeade Re Ltd.(a),(b),(c),(d) | ||||
CMO Series 2020-1A Class M1B | ||||
1-month USD LIBOR + 3.400% 06/25/2030 | 3.595% | 500,000 | 500,000 | |
CHL GMSR Issuer Trust(a),(b) | ||||
CMO Series 2018-GT1 Class A | ||||
1-month USD LIBOR + 1.000% 05/25/2023 | 2.935% | 500,000 | 481,799 | |
COLT Mortgage Loan Trust(a),(e) | ||||
CMO Series 2019-1 Class M1 | ||||
03/25/2049 | 4.518% | 500,000 | 499,504 | |
Connecticut Avenue Securities Trust(a),(b) | ||||
CMO Series 2019-HRP1 Class M2 | ||||
1-month USD LIBOR + 2.150% 11/25/2039 | 2.335% | 626,568 | 581,183 | |
Credit Suisse Mortgage Trust(a) | ||||
CMO Series 2018-RPL2 Class A1 | ||||
08/25/2062 | 4.030% | 157,198 | 159,350 | |
CSMC Trust(a),(e) | ||||
CMO Series 2020-RPL2 Class A12 | ||||
02/25/2060 | 3.552% | 846,505 | 848,819 | |
CTS Corp.(a) | ||||
CMO Series 2015-6R Class 3A2 | ||||
02/27/2036 | 3.750% | 458,408 | 436,214 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Deephaven Residential Mortgage Trust(a) | ||||
CMO Series 2018-1A Class B1 | ||||
12/25/2057 | 4.340% | 250,000 | 227,176 | |
Eagle Re Ltd.(a),(b) | ||||
CMO Series 2019-1 Class M1B | ||||
1-month USD LIBOR + 1.800% 04/25/2029 | 1.985% | 330,861 | 328,126 | |
CMO Series 2020-1 Class M1B | ||||
1-month USD LIBOR + 1.450% 01/25/2030 | 1.635% | 1,550,000 | 1,437,994 | |
Eagle RE Ltd.(a),(b) | ||||
Subordinated CMO Series 2020-1 Class M1C | ||||
1-month USD LIBOR + 1.800% 01/25/2030 | 1.985% | 350,000 | 304,013 | |
Ellington Financial Mortgage Trust(a),(e) | ||||
CMO Series 2019-1 Class A3 | ||||
06/25/2059 | 3.241% | 446,201 | 454,919 | |
FMC GMSR Issuer Trust(a),(e) | ||||
CMO Series 2019-GT1 Class A | ||||
05/25/2024 | 5.070% | 2,200,000 | 2,156,348 | |
Freddie Mac Structured Agency Credit Risk Debt Notes(a),(b),(i) | ||||
CMO Series 2020-DNA3 Class M2 | ||||
1-month USD LIBOR + 3.000% 06/25/2050 | 3.171% | 550,000 | 550,000 | |
GCAT LLC(a),(e) | ||||
CMO Series 2019-3 Class A1 | ||||
10/25/2049 | 3.352% | 238,302 | 232,193 | |
CMO Series 2020-1 Class A1 | ||||
01/26/2060 | 2.981% | 537,504 | 530,469 | |
Genworth Mortgage Insurance Corp.(a),(b) | ||||
CMO Series 2019-1 Class M1 | ||||
1-month USD LIBOR + 1.900% Floor 1.900% 11/26/2029 | 2.085% | 700,000 | 682,133 | |
Grand Avenue Mortgage Loan Trust(a) | ||||
CMO Series 2017-RPL1 Class A1 | ||||
08/25/2064 | 3.250% | 322,906 | 313,883 | |
Legacy Mortgage Asset Trust(a) | ||||
CMO Series 2017-GS1 Class A1 | ||||
01/25/2057 | 6.500% | 680,038 | 675,744 | |
Mortgage Insurance-Linked Notes(a),(b) | ||||
CMO Series 2020-1 Class M1C | ||||
1-month USD LIBOR + 1.750% Floor 1.750% 02/25/2030 | 1.935% | 300,000 | 259,090 | |
Subordinated CMO Series 2020-1 Class M2A | ||||
1-month USD LIBOR + 2.000% Floor 2.000% 02/25/2030 | 2.168% | 300,000 | 246,652 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 23 |
June 30, 2020 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
New Residential Mortgage LLC(a) | ||||
Subordinated CMO Series 2018-FNT1 Class D | ||||
05/25/2023 | 4.690% | 413,856 | 397,195 | |
NRZ Excess Spread-Collateralized Notes(a) | ||||
Series 2018-PLS1 Class C | ||||
01/25/2023 | 3.981% | 256,912 | 254,045 | |
Series 2018-PLS1 Class D | ||||
01/25/2023 | 4.374% | 256,912 | 250,937 | |
Subordinated CMO Series 2018-PLS2 Class C | ||||
02/25/2023 | 4.102% | 270,359 | 273,113 | |
Subordinated CMO Series 2018-PLS2 Class D | ||||
02/25/2023 | 4.593% | 459,610 | 464,274 | |
OMSR(a),(c),(d) | ||||
CMO Series 2019-PLS1 Class A | ||||
11/25/2024 | 5.069% | 440,761 | 353,711 | |
OSAT Trust(a),(e) | ||||
CMO Series 2020-RPL1 Class A1 | ||||
12/01/2059 | 3.072% | 731,470 | 737,240 | |
PMT Credit Risk Transfer Trust(a),(b) | ||||
CMO Series 2019-1R Class A | ||||
1-month USD LIBOR + 2.000% Floor 2.000% 03/27/2024 | 2.184% | 711,545 | 648,142 | |
Series 2019-2R Class A | ||||
1-month USD LIBOR + 2.750% Floor 2.750% 05/27/2023 | 2.934% | 927,488 | 872,999 | |
PNMAC GMSR Issuer Trust(a),(b) | ||||
CMO Series 2018-GT1 Class A | ||||
1-month USD LIBOR + 2.850% Floor 2.850% 02/25/2023 | 3.035% | 2,350,000 | 2,303,171 | |
CMO Series 2018-GT2 Class A | ||||
1-month USD LIBOR + 2.650% 08/25/2025 | 2.835% | 3,450,000 | 3,293,515 | |
Preston Ridge Partners Mortgage LLC(a),(e) | ||||
CMO Series 2019-1A Class A1 | ||||
01/25/2024 | 4.500% | 555,842 | 560,460 | |
Preston Ridge Partners Mortgage LLC(a) | ||||
CMO Series 2019-2A Class A1 | ||||
04/25/2024 | 3.967% | 564,484 | 568,790 | |
Pretium Mortgage Credit Partners I LLC(a),(e) | ||||
CMO Series 2020-NPL2 Class A1 | ||||
02/27/2060 | 3.721% | 399,045 | 399,304 | |
RCO V Mortgage LLC(a),(e) | ||||
CMO Series 2018-2 Class A1 | ||||
10/25/2023 | 4.458% | 283,588 | 283,588 | |
CMO Series 2019-2 Class A1 | ||||
11/25/2024 | 3.475% | 1,271,154 | 1,268,646 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Toorak Mortgage Corp., Ltd.(a),(e) | ||||
CMO Series 2018-1 Class A1 | ||||
08/25/2021 | 4.336% | 1,050,000 | 1,050,793 | |
CMO Series 2019-1 Class A1 | ||||
03/25/2022 | 4.458% | 600,000 | 600,485 | |
Toorak Mortgage Corp., Ltd.(e) | ||||
CMO Series 2019-2 Class A1 | ||||
09/25/2022 | 3.721% | 500,000 | 499,525 | |
VCAT Asset Securitization LLC(a),(e) | ||||
CMO Series 2019-NPL2 Class A1 | ||||
11/25/2049 | 3.573% | 700,763 | 695,173 | |
Vericrest Opportunity Loan Transferee LXXXVII LLC(a),(e) | ||||
CMO Series 2020-NPL3 Class A1A | ||||
02/25/2050 | 2.981% | 986,766 | 977,125 | |
CMO Series 2020-NPL3 Class A1B | ||||
02/25/2050 | 3.672% | 600,000 | 582,143 | |
Vericrest Opportunity Loan Transferee LXXXVIII LLC(a),(e) | ||||
CMO Series 2020-NPL4 Class A1 | ||||
03/25/2050 | 2.981% | 238,355 | 235,021 | |
Vericrest Opportunity Loan Trust(a),(e) | ||||
CMO Series 2019-NPL5 Class A1B | ||||
09/25/2049 | 4.250% | 250,000 | 240,709 | |
CMO Series 2019-NPL7 Class A1A | ||||
10/25/2049 | 3.179% | 204,304 | 202,338 | |
CMO Series 2020-NPL5 Class A1A | ||||
03/25/2050 | 2.982% | 481,591 | 477,803 | |
Vericrest Opportunity Loan Trust(a),(e),(i) | ||||
CMO Series 2020-NPL6 Class A1B | ||||
12/31/2049 | 4.949% | 550,000 | 550,000 | |
Vericrest Opportunity Loan Trust LXXXV LLC(a),(e) | ||||
CMO Series 2020-NPL1 Class A1B | ||||
01/25/2050 | 3.721% | 300,000 | 286,416 | |
Verus Securitization Trust(a),(e) | ||||
CMO Series 2019-2 Class M1 | ||||
04/25/2059 | 3.781% | 400,000 | 389,344 | |
CMO Series 2019-3 Class M1 | ||||
07/25/2059 | 3.139% | 500,000 | 431,419 | |
CMO Series 2019-INV3 Class B1 | ||||
11/25/2059 | 3.731% | 300,000 | 274,892 | |
Visio Trust(a),(e) | ||||
CMO Series 2019-2 Class B1 | ||||
11/25/2054 | 3.910% | 100,000 | 89,643 | |
CMO Series 2019-2 Class M1 | ||||
11/25/2054 | 3.260% | 200,000 | 181,302 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $36,755,734) | 36,743,527 | |||
24 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Senior Loans 6.3% | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Aerospace & Defense 0.2% | ||||
TransDigm Inc.(b),(n) | ||||
Tranche F Term Loan | ||||
1-month USD LIBOR + 2.250% 12/09/2025 | 2.428% | 494,981 | 444,067 | |
Airlines 0.2% | ||||
American Airlines, Inc.(b),(n) | ||||
Term Loan | ||||
1-month USD LIBOR + 1.750% 01/29/2027 | 1.934% | 494,792 | 371,836 | |
Automotive 0.3% | ||||
Panther BF Aggregator 2 LP(b),(n) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 3.500% 04/30/2026 | 3.678% | 496,250 | 471,438 | |
Cable and Satellite 0.3% | ||||
Cogeco Communications II LP(b),(n) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 2.000% 01/03/2025 | 2.178% | 48,995 | 46,747 | |
Virgin Media Bristol LLC(b),(n) | ||||
Tranche N Term Loan | ||||
3-month USD LIBOR + 2.500% 01/31/2028 | 2.685% | 500,000 | 476,375 | |
Total | 523,122 | |||
Chemicals 0.9% | ||||
Chemours Co. (The)(b),(n) | ||||
Tranche B2 Term Loan | ||||
3-month USD LIBOR + 1.750% 04/03/2025 | 1.930% | 498,725 | 469,424 | |
ColourOz Investment 1 GmbH(b),(n) | ||||
Tranche C 1st Lien Term Loan | ||||
3-month USD LIBOR + 3.000% Floor 1.000% 09/07/2021 | 4.020% | 67,122 | 57,683 | |
ColourOz Investment 2 LLC(b),(n) | ||||
Tranche B2 1st Lien Term Loan | ||||
3-month USD LIBOR + 3.000% Floor 1.000% 09/07/2021 | 4.020% | 412,651 | 354,624 | |
Ineos US Finance LLC(b),(n) | ||||
Term Loan | ||||
3-month USD LIBOR + 2.000% 04/01/2024 | 2.178% | 496,183 | 469,360 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Nouryon Finance BV/AkzoNobel(b),(n) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.000% 10/01/2025 | 3.188% | 482,327 | 451,376 | |
Total | 1,802,467 | |||
Consumer Cyclical Services 0.4% | ||||
8th Avenue Food & Provisions, Inc.(b),(n) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 3.500% 10/01/2025 | 3.685% | 34,087 | 32,986 | |
2nd Lien Term Loan | ||||
3-month USD LIBOR + 7.750% 10/01/2026 | 7.935% | 63,566 | 60,441 | |
Uber Technologies, Inc.(b),(n) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.500% 07/13/2023 | 3.678% | 712,635 | 677,004 | |
Total | 770,431 | |||
Diversified Manufacturing 0.5% | ||||
Ingersoll Rand Services Co.(b),(n) | ||||
Tranche B1 Term Loan | ||||
1-month USD LIBOR + 1.750% 03/01/2027 | 1.928% | 498,750 | 473,503 | |
Vertical US Newco, Inc.(b) | ||||
Term Loan | ||||
1-month USD LIBOR + 4.250% | 500,000 | 492,500 | ||
Total | 966,003 | |||
Electric 0.2% | ||||
Astoria Energy LLC(b),(n) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 4.000% Floor 1.000% 12/24/2021 | 5.000% | 460,772 | 453,399 | |
Gaming 0.2% | ||||
Scientific Games International, Inc.(b),(n) | ||||
Tranche B5 Term Loan | ||||
3-month USD LIBOR + 2.750% 08/14/2024 | 3.476% | 498,724 | 439,875 | |
Media and Entertainment 0.4% | ||||
Gray Television, Inc.(b),(n) | ||||
Tranche C Term Loan | ||||
3-month USD LIBOR + 2.500% 01/02/2026 | 2.671% | 425,886 | 411,300 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 25 |
June 30, 2020 (Unaudited)
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Meredith Corp.(b),(n) | ||||
Tranche B2 Term Loan | ||||
1-month USD LIBOR + 2.500% 01/31/2025 | 3.260% | 467,033 | 430,254 | |
Total | 841,554 | |||
Metals and Mining 0.0% | ||||
Big River Steel LLC(b),(n) | ||||
Term Loan | ||||
3-month USD LIBOR + 5.000% Floor 1.000% 08/23/2023 | 6.000% | 17,075 | 16,008 | |
Oil Field Services 0.0% | ||||
Fieldwood Energy LLC(b),(n) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 5.250% Floor 1.000% 04/11/2022 | 6.250% | 275,952 | 50,132 | |
2nd Lien Term Loan | ||||
3-month USD LIBOR + 7.250% Floor 1.000% 04/11/2023 | 8.250% | 372,536 | 2,235 | |
Total | 52,367 | |||
Packaging 0.2% | ||||
ProAmpac PG Borrower LLC(b),(n) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 3.500% Floor 1.000% 11/20/2023 | 4.500% | 472,615 | 449,575 | |
Pharmaceuticals 0.2% | ||||
Grifols Worldwide Operations Ltd.(b),(n) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 2.000% 11/15/2027 | 2.109% | 423,044 | 406,601 | |
Property & Casualty 0.2% | ||||
Asurion LLC(b),(n) | ||||
Tranche B4 Term Loan | ||||
3-month USD LIBOR + 3.000% 08/04/2022 | 3.178% | 448,682 | 435,971 | |
Restaurants 0.2% | ||||
New Red Finance, Inc./Burger King/Tim Hortons(b),(n) | ||||
Tranche B4 Term Loan | ||||
3-month USD LIBOR + 1.750% 11/19/2026 | 1.928% | 453,850 | 429,342 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Retailers 0.3% | ||||
Academy Ltd.(b),(n) | ||||
Term Loan | ||||
3-month USD LIBOR + 4.000% Floor 1.000% 07/01/2022 | 5.000% | 545,886 | 436,027 | |
Party City Holdings, Inc.(b),(n) | ||||
Term Loan | ||||
3-month USD LIBOR + 2.500% Floor 0.750% 08/19/2022 | 4.072% | 450,937 | 212,878 | |
Total | 648,905 | |||
Technology 1.3% | ||||
Ascend Learning LLC(b),(n) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.000% Floor 1.000% 07/12/2024 | 4.000% | 35,835 | 34,021 | |
Avaya, Inc.(b),(n) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 4.250% 12/15/2024 | 4.435% | 500,000 | 460,250 | |
CommScope, Inc.(b),(n) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.250% 04/06/2026 | 3.428% | 498,744 | 471,313 | |
Hyland Software, Inc.(b),(n) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 3.250% Floor 0.750% 07/01/2024 | 4.000% | 476,469 | 461,951 | |
Plantronics, Inc.(b),(n) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 2.500% 07/02/2025 | 2.795% | 489,333 | 444,475 | |
Project Alpha Intermediate Holding, Inc.(b),(n) | ||||
Term Loan | ||||
3-month USD LIBOR + 4.250% 04/26/2024 | 6.130% | 58,590 | 56,393 | |
Refinitiv US Holdings, Inc.(a),(b),(n) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.250% 10/01/2025 | 3.428% | 494,975 | 482,972 | |
SCS Holdings I, Inc./Sirius Computer Solutions, Inc.(b),(n) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 3.500% 07/01/2026 | 3.678% | 297,007 | 287,355 | |
Total | 2,698,730 |
26 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Wireless 0.3% | ||||
SBA Senior Finance II LLC(b),(n),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 1.750% 04/11/2025 | 498,728 | 478,988 | ||
Total Senior Loans (Cost $14,239,932) | 12,700,679 | |||
U.S. Treasury Obligations 0.2% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
U.S. Treasury | ||||
08/15/2048 | 3.000% | 340,000 | 467,553 | |
Total U.S. Treasury Obligations (Cost $337,237) | 467,553 |
Options Purchased Puts 0.1% | ||||
Value ($) | ||||
(Cost $135,270) | 114,832 |
Money Market Funds 5.1% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(p),(q) | 10,340,354 | 10,340,354 |
Total Money Market Funds (Cost $10,337,707) | 10,340,354 | |
Total Investments in Securities (Cost: $216,623,872) | 216,639,370 | |
Other Assets & Liabilities, Net | (12,790,840) | |
Net Assets | 203,848,530 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
15,538,852 MXN | 683,178 USD | Morgan Stanley | 07/27/2020 | 9,534 | — |
1,513,077 EUR | 1,694,484 USD | UBS | 07/27/2020 | — | (6,441) |
Total | 9,534 | (6,441) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Euro-BTP | 17 | 09/2020 | EUR | 2,445,960 | 79,839 | — |
Euro-OAT | 11 | 09/2020 | EUR | 1,844,150 | 32,391 | — |
Long Gilt | 67 | 09/2020 | GBP | 9,221,880 | 49,593 | — |
U.S. Treasury 10-Year Note | 44 | 09/2020 | USD | 6,123,563 | 339 | — |
Total | 162,162 | — |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Euro-Bund | (55) | 09/2020 | EUR | (9,708,600) | — | (81,698) |
U.S. Treasury 5-Year Note | (116) | 09/2020 | USD | (14,586,094) | — | (32,058) |
U.S. Ultra Treasury Bond | (14) | 09/2020 | USD | (3,054,188) | 11,368 | — |
U.S. Ultra Treasury Bond | (8) | 09/2020 | USD | (1,745,250) | — | (38,943) |
Total | 11,368 | (152,699) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
10-Year OTC interest rate swap with Deutsche Bank to receive 3-Month USD LIBOR BBA and pay exercise rate | Morgan Stanley | USD | 16,700,000 | 16,700,000 | 1.00 | 12/29/2020 | 135,270 | 114,832 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 27 |
June 30, 2020 (Unaudited)
Interest rate swap contracts | ||||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
U.S. CPI Urban Consumers NSA | Fixed rate of 1.172% | Receives at Maturity, Pays at Maturity | Citi | 03/17/2030 | USD | 1,880,000 | 55,133 | — | — | — | 55,133 | — |
U.S. CPI Urban Consumers NSA | Fixed rate of 1.185% | Receives at Maturity, Pays at Maturity | Citi | 04/22/2030 | USD | 1,800,000 | 50,542 | — | — | — | 50,542 | — |
U.S. CPI Urban Consumers NSA | Fixed rate of 1.225% | Receives at Maturity, Pays at Maturity | Goldman Sachs International | 03/12/2030 | USD | 9,600,000 | 228,012 | — | — | — | 228,012 | — |
U.S. CPI Urban Consumers NSA | Fixed rate of 1.761% | Receives at Maturity, Pays at Maturity | JPMorgan | 02/26/2030 | USD | 2,900,000 | (94,755) | — | — | — | — | (94,755) |
U.S. CPI Urban Consumers NSA | Fixed rate of 1.611% | Receives at Maturity, Pays at Maturity | JPMorgan | 03/09/2030 | USD | 4,000,000 | (73,478) | — | — | — | — | (73,478) |
Total | 165,454 | — | — | — | 333,687 | (168,233) |
Cleared interest rate swap contracts | |||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Fixed rate of 6.361% | 28-Day MXN TIIE-Banxico | Receives Monthly, Pays Monthly | Morgan Stanley | 10/24/2025 | MXN | 17,000,000 | 52,348 | — | — | 52,348 | — |
Fixed rate of 5.985% | 28-Day MXN TIIE-Banxico | Receives Monthly, Pays Monthly | Morgan Stanley | 01/21/2026 | MXN | 8,000,000 | 18,072 | — | — | 18,072 | — |
Fixed rate of 5.960% | 28-Day MXN TIIE-Banxico | Receives Monthly, Pays Monthly | Morgan Stanley | 02/02/2026 | MXN | 20,000,000 | 44,053 | — | — | 44,053 | — |
3-Month USD LIBOR | Fixed rate of 1.781% | Receives Quarterly, Pays SemiAnnually | Morgan Stanley | 08/09/2049 | USD | 2,100,000 | (494,461) | — | — | — | (494,461) |
Total | (379,988) | — | — | 114,473 | (494,461) |
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- | JPMorgan | 11/18/2054 | 3.000 | Monthly | USD | 200,000 | 40,908 | (100) | 7,329 | — | 33,479 | — |
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 11 BBB- | Citi | 11/18/2054 | 3.000 | Monthly | 6.577 | USD | 400,000 | (81,816) | 200 | — | (111,441) | 29,825 | — |
Markit CMBX North America Index, Series 12 AAA | Citi | 08/17/2061 | 0.500 | Monthly | 0.554 | USD | 810,000 | (3,420) | 67 | — | (50,429) | 47,076 | — |
Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 7.039 | USD | 800,000 | (163,408) | 400 | — | (158,106) | — | (4,902) |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 7.039 | USD | 500,000 | (102,130) | 250 | — | (104,400) | 2,520 | — |
Total | (350,774) | 917 | — | (424,376) | 79,421 | (4,902) |
28 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
* | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
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 33 | Morgan Stanley | 12/20/2024 | 5.000 | Quarterly | 5.150 | USD | 5,554,960 | 347,717 | — | — | 347,717 | — |
Markit CDX North America High Yield Index, Series 34 | Morgan Stanley | 06/20/2025 | 5.000 | Quarterly | 5.169 | USD | 9,215,000 | 565,154 | — | — | 565,154 | — |
Total | 912,871 | — | — | 912,871 | — |
* | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
Reference index and values for swap contracts as of period end | ||
Reference index | Reference rate | |
28-Day MXN TIIE-Banxico | Interbank Equilibrium Interest Rate | 5.284% |
3-Month USD LIBOR | London Interbank Offered Rate | 0.344% |
U.S. CPI Urban Consumers NSA | United States Consumer Price All Urban Non-Seasonally Adjusted Index | 0.646% |
(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, 2020, the total value of these securities amounted to $119,761,115, which represents 58.75% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of June 30, 2020. |
(c) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At June 30, 2020, the total value of these securities amounted to $934,083, which represents 0.46% of total net assets. |
(d) | Valuation based on significant unobservable inputs. |
(e) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of June 30, 2020. |
(f) | Non-income producing investment. |
(g) | Payment-in-kind security. Interest can be paid by issuing additional par of the security or in cash. |
(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, 2020. |
(i) | Represents a security purchased on a when-issued basis. |
(j) | Represents securities that have defaulted on payment of interest. The Fund has stopped accruing interest on these securities. At June 30, 2020, the total value of these securities amounted to $267,400, which represents 0.13% of total net assets. |
(k) | Principal amounts are denominated in United States Dollars unless otherwise noted. |
(l) | Principal and interest may not be guaranteed by a governmental entity. |
(m) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
(n) | The stated interest rate represents the weighted average interest rate at June 30, 2020 of contracts within the senior loan facility. Interest rates on contracts are primarily determined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. These base lending rates are primarily the LIBOR and other short-term rates. Base lending rates may be subject to a floor or minimum rate. The interest rate for senior loans purchased on a when-issued or delayed delivery basis will be determined upon settlement, therefore no interest rate is disclosed. Senior loans often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, cannot be predicted with accuracy. As a result, remaining maturities of senior loans may be less than the stated maturities. Generally, the Fund is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. |
(o) | Represents a security purchased on a forward commitment basis. |
(p) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 29 |
June 30, 2020 (Unaudited)
(q) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 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 ($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | |||||||||
12,682,033 | 49,691,922 | (52,036,321) | 2,720 | 10,340,354 | — | (404) | 46,019 | 10,340,354 |
CMO | Collateralized Mortgage Obligation |
LIBOR | London Interbank Offered Rate |
TBA | To Be Announced |
DOP | Dominican Republic Peso |
EUR | Euro |
GBP | British Pound |
MXN | Mexican Peso |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
30 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Asset-Backed Securities — Non-Agency | — | 18,852,050 | 736,380 | 19,588,430 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 11,675,999 | — | 11,675,999 |
Common Stocks | ||||
Energy | — | — | 860 | 860 |
Financials | — | — | 0* | 0* |
Utilities | — | — | 9,162 | 9,162 |
Total Common Stocks | — | — | 10,022 | 10,022 |
Corporate Bonds & Notes | — | 82,897,866 | — | 82,897,866 |
Foreign Government Obligations | — | 18,201,580 | — | 18,201,580 |
Residential Mortgage-Backed Securities - Agency | — | 23,898,528 | — | 23,898,528 |
Residential Mortgage-Backed Securities - Non-Agency | — | 34,875,614 | 1,867,913 | 36,743,527 |
Senior Loans | — | 12,700,679 | — | 12,700,679 |
U.S. Treasury Obligations | 467,553 | — | — | 467,553 |
Options Purchased Puts | — | 114,832 | — | 114,832 |
Money Market Funds | 10,340,354 | — | — | 10,340,354 |
Total Investments in Securities | 10,807,907 | 203,217,148 | 2,614,315 | 216,639,370 |
Investments in Derivatives | ||||
Asset | ||||
Forward Foreign Currency Exchange Contracts | — | 9,534 | — | 9,534 |
Futures Contracts | 173,530 | — | — | 173,530 |
Swap Contracts | — | 1,473,931 | — | 1,473,931 |
Liability | ||||
Forward Foreign Currency Exchange Contracts | — | (6,441) | — | (6,441) |
Futures Contracts | (152,699) | — | — | (152,699) |
Swap Contracts | — | (667,596) | — | (667,596) |
Total | 10,828,738 | 204,026,576 | 2,614,315 | 217,469,629 |
* | Rounds to zero. |
Balance as of 12/31/2019 ($) | 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 ($) | Balance as of 06/30/2020 ($) | |
Asset-Backed Securities — Non-Agency | 1,581,662 | 6,942 | (669,480) | 482,687 | — | (665,431) | — | — | 736,380 |
Common Stocks | — | — | — | (174,043) | — | — | 184,065 | — | 10,022 |
Residential Mortgage-Backed Securities — Non-Agency | 495,158 | 6,904 | — | 24,462 | 1,365,805 | (24,416) | — | — | 1,867,913 |
Total | 2,076,820 | 13,846 | (669,480) | 333,106 | 1,365,805 | (689,847) | 184,065 | — | 2,614,315 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 31 |
June 30, 2020 (Unaudited)
The Fund’s assets assigned to the Level 3 category are valued utilizing the valuation technique deemed the most appropriate in the circumstances. Certain residential mortgage backed securities, asset backed securities and common stock classified as Level 3 securities are valued using the market approach and utilize single market quotations from broker dealers which may have included, but were not limited to, observable transactions for identical or similar assets in the market and the distressed nature of the security. The appropriateness of fair values for these securities is monitored on an ongoing basis which may include results of back testing, manual price reviews and other control procedures. Significant increases (decreases) to any of these inputs would have resulted in a significantly higher (lower) fair value measurement.
32 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $206,150,895) | $206,184,184 |
Affiliated issuers (cost $10,337,707) | 10,340,354 |
Options purchased (cost $135,270) | 114,832 |
Cash | 37,352 |
Foreign currency (cost $24,635) | 23,436 |
Cash collateral held at broker for: | |
Swap contracts | 240,000 |
Margin deposits on: | |
Futures contracts | 891,217 |
Swap contracts | 2,388,848 |
Unrealized appreciation on forward foreign currency exchange contracts | 9,534 |
Unrealized appreciation on swap contracts | 446,587 |
Upfront payments on swap contracts | 7,329 |
Receivable for: | |
Investments sold | 1,219,733 |
Investments sold on a delayed delivery basis | 344,303 |
Capital shares sold | 111,240 |
Dividends | 2,289 |
Interest | 1,604,308 |
Foreign tax reclaims | 5,980 |
Variation margin for futures contracts | 45,468 |
Variation margin for swap contracts | 138,152 |
Expense reimbursement due from Investment Manager | 243 |
Trustees’ deferred compensation plan | 93,521 |
Total assets | 224,248,910 |
Liabilities | |
Unrealized depreciation on forward foreign currency exchange contracts | 6,441 |
Unrealized depreciation on swap contracts | 173,135 |
Upfront receipts on swap contracts | 424,376 |
Payable for: | |
Investments purchased | 591,498 |
Investments purchased on a delayed delivery basis | 18,816,073 |
Capital shares purchased | 219,919 |
Variation margin for futures contracts | 21,023 |
Management services fees | 3,336 |
Distribution and/or service fees | 649 |
Service fees | 12,967 |
Compensation of board members | 2,519 |
Compensation of chief compliance officer | 18 |
Other expenses | 34,905 |
Trustees’ deferred compensation plan | 93,521 |
Total liabilities | 20,400,380 |
Net assets applicable to outstanding capital stock | $203,848,530 |
Represented by | |
Paid in capital | 197,122,592 |
Total distributable earnings (loss) | 6,725,938 |
Total - representing net assets applicable to outstanding capital stock | $203,848,530 |
Class 1 | |
Net assets | $108,891,935 |
Shares outstanding | 25,818,465 |
Net asset value per share | $4.22 |
Class 2 | |
Net assets | $94,956,595 |
Shares outstanding | 22,782,729 |
Net asset value per share | $4.17 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 33 |
Six Months Ended June 30, 2020 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $89,043 |
Dividends — affiliated issuers | 46,019 |
Interest | 4,249,812 |
Foreign taxes withheld | (5,897) |
Total income | 4,378,977 |
Expenses: | |
Management services fees | 600,341 |
Distribution and/or service fees | |
Class 2 | 118,632 |
Service fees | 61,567 |
Compensation of board members | 8,054 |
Custodian fees | 20,624 |
Printing and postage fees | 10,462 |
Audit fees | 25,301 |
Legal fees | 2,548 |
Interest on collateral | 909 |
Compensation of chief compliance officer | 36 |
Other | 5,642 |
Total expenses | 854,116 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (44,680) |
Total net expenses | 809,436 |
Net investment income | 3,569,541 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (182,576) |
Investments — affiliated issuers | (404) |
Foreign currency translations | 30,112 |
Forward foreign currency exchange contracts | 117,523 |
Futures contracts | (2,792,011) |
Options purchased | 1,205,300 |
Options contracts written | (1,160,266) |
Swap contracts | 1,106,283 |
Net realized loss | (1,676,039) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (6,287,458) |
Investments — affiliated issuers | 2,720 |
Foreign currency translations | 228 |
Forward foreign currency exchange contracts | 41,444 |
Futures contracts | (670,301) |
Options purchased | (20,438) |
Swap contracts | 1,597,258 |
Foreign capital gains tax | 228 |
Net change in unrealized appreciation (depreciation) | (5,336,319) |
Net realized and unrealized loss | (7,012,358) |
Net decrease in net assets resulting from operations | $(3,442,817) |
34 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||
Net investment income | $3,569,541 | $7,715,100 |
Net realized loss | (1,676,039) | (2,033,813) |
Net change in unrealized appreciation (depreciation) | (5,336,319) | 12,477,049 |
Net increase (decrease) in net assets resulting from operations | (3,442,817) | 18,158,336 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | — | (4,041,068) |
Class 2 | — | (3,062,256) |
Total distributions to shareholders | — | (7,103,324) |
Increase (decrease) in net assets from capital stock activity | (5,179,366) | 33,123,976 |
Total increase (decrease) in net assets | (8,622,183) | 44,178,988 |
Net assets at beginning of period | 212,470,713 | 168,291,725 |
Net assets at end of period | $203,848,530 | $212,470,713 |
Six Months Ended | Year Ended | |||
June 30, 2020 (Unaudited) | December 31, 2019 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 413,832 | 1,680,315 | 653,187 | 2,757,690 |
Distributions reinvested | — | — | 966,763 | 4,041,068 |
Redemptions | (271,844) | (1,111,167) | (760,175) | (3,203,096) |
Net increase | 141,988 | 569,148 | 859,775 | 3,595,662 |
Class 2 | ||||
Subscriptions | 2,555,636 | 10,460,118 | 8,274,326 | 34,581,903 |
Distributions reinvested | — | — | 739,675 | 3,062,256 |
Redemptions | (4,085,928) | (16,208,632) | (1,933,639) | (8,115,845) |
Net increase (decrease) | (1,530,292) | (5,748,514) | 7,080,362 | 29,528,314 |
Total net increase (decrease) | (1,388,304) | (5,179,366) | 7,940,137 | 33,123,976 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 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 6/30/2020 (Unaudited) | $4.27 | 0.08 | (0.13) | (0.05) | — | — | — |
Year Ended 12/31/2019 | $4.02 | 0.18 | 0.23 | 0.41 | (0.16) | — | (0.16) |
Year Ended 12/31/2018 | $4.18 | 0.19 | (0.21) | (0.02) | (0.14) | — | (0.14) |
Year Ended 12/31/2017 | $4.05 | 0.18 | 0.08 | 0.26 | (0.13) | — | (0.13) |
Year Ended 12/31/2016 | $4.45 | 0.19 | 0.21 | 0.40 | (0.53) | (0.27) | (0.80) |
Year Ended 12/31/2015 | $8.71 | 0.34 | (0.32)(e) | 0.02 | (3.20) | (1.08) | (4.28) |
Class 2 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $4.23 | 0.07 | (0.13) | (0.06) | — | — | — |
Year Ended 12/31/2019 | $3.98 | 0.16 | 0.24 | 0.40 | (0.15) | — | (0.15) |
Year Ended 12/31/2018 | $4.14 | 0.17 | (0.20) | (0.03) | (0.13) | — | (0.13) |
Year Ended 12/31/2017 | $4.02 | 0.17 | 0.07 | 0.24 | (0.12) | — | (0.12) |
Year Ended 12/31/2016 | $4.41 | 0.18 | 0.21 | 0.39 | (0.51) | (0.27) | (0.78) |
Year Ended 12/31/2015 | $8.66 | 0.26 | (0.25)(e) | 0.01 | (3.18) | (1.08) | (4.26) |
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) | Annualized. |
(d) | Ratios include interest on collateral expense which is less than 0.01%. |
(e) | Calculation of the net gain (loss) per share (both realized and unrealized) does not correlate to the aggregate realized and unrealized gain (loss) presented in the Statement of Operations due to the timing of subscriptions and redemptions of Fund shares in relation to fluctuations in the market value of the portfolio. |
36 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
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 6/30/2020 (Unaudited) | $4.22 | (1.17%) | 0.74%(c),(d) | 0.69%(c),(d) | 3.69%(c) | 92% | $108,892 |
Year Ended 12/31/2019 | $4.27 | 10.38% | 0.74%(d) | 0.69%(d) | 4.19% | 193% | $109,698 |
Year Ended 12/31/2018 | $4.02 | (0.39%) | 0.77%(d) | 0.69%(d) | 4.49% | 157% | $99,738 |
Year Ended 12/31/2017 | $4.18 | 6.36% | 0.77% | 0.71% | 4.42% | 162% | $99,806 |
Year Ended 12/31/2016 | $4.05 | 9.15% | 0.73% | 0.66% | 4.50% | 179% | $95,971 |
Year Ended 12/31/2015 | $4.45 | (1.77%) | 0.69% | 0.68% | 4.23% | 192% | $89,998 |
Class 2 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $4.17 | (1.42%) | 0.99%(c),(d) | 0.94%(c),(d) | 3.43%(c) | 92% | $94,957 |
Year Ended 12/31/2019 | $4.23 | 10.22% | 0.99%(d) | 0.94%(d) | 3.92% | 193% | $102,773 |
Year Ended 12/31/2018 | $3.98 | (0.64%) | 1.02%(d) | 0.94%(d) | 4.24% | 157% | $68,554 |
Year Ended 12/31/2017 | $4.14 | 5.90% | 1.03% | 0.96% | 4.19% | 162% | $63,882 |
Year Ended 12/31/2016 | $4.02 | 9.05% | 0.98% | 0.90% | 4.24% | 179% | $46,676 |
Year Ended 12/31/2015 | $4.41 | (1.93%) | 0.98% | 0.94% | 4.23% | 192% | $35,854 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 37 |
June 30, 2020 (Unaudited)
38 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 39 |
June 30, 2020 (Unaudited)
40 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 41 |
June 30, 2020 (Unaudited)
42 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 43 |
June 30, 2020 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 1,025,771* |
Credit risk | Upfront payments on swap contracts | 7,329 |
Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 9,534 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 173,530* |
Interest rate risk | Investments, at value — Options purchased | 114,832 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 448,160* |
Total | 1,779,156 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 4,902* |
Credit risk | Upfront receipts on swap contracts | 424,376 |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 6,441 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 152,699* |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 662,694* |
Total | 1,251,112 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts written ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | — | — | 1,116,597 | 1,116,597 |
Foreign exchange risk | 117,523 | — | — | — | — | 117,523 |
Interest rate risk | — | (2,792,011) | (1,160,266) | 1,205,300 | (10,314) | (2,757,291) |
Total | 117,523 | (2,792,011) | (1,160,266) | 1,205,300 | 1,106,283 | (1,523,171) |
44 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | — | 1,887,917 | 1,887,917 |
Foreign exchange risk | 41,444 | — | — | — | 41,444 |
Interest rate risk | — | (670,301) | (20,438) | (290,659) | (981,398) |
Total | 41,444 | (670,301) | (20,438) | 1,597,258 | 947,963 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 24,949,569 |
Futures contracts — short | 22,780,734 |
Credit default swap contracts — buy protection | 200,000 |
Credit default swap contracts — sell protection | 17,157,700 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 729,856 |
Options contracts — written | (630,591) |
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 65,971 | (3,221) |
Interest rate swap contracts | 224,080 | (877,721) |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2020. |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 45 |
June 30, 2020 (Unaudited)
46 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Citi ($) | Goldman Sachs International ($) | JPMorgan ($) | Morgan Stanley ($)(a) | Morgan Stanley ($)(a) | UBS ($) | Total ($) | |
Assets | |||||||
Centrally cleared credit default swap contracts (b) | - | - | - | - | 116,973 | - | 116,973 |
Centrally cleared interest rate swap contracts (b) | - | - | - | - | 21,179 | - | 21,179 |
Forward foreign currency exchange contracts | - | - | - | 9,534 | - | - | 9,534 |
Options purchased puts | - | - | - | 114,832 | - | - | 114,832 |
OTC credit default swap contracts (c) | - | - | 40,808 | - | - | - | 40,808 |
OTC interest rate swap contracts (c) | 105,675 | 228,012 | - | - | - | - | 333,687 |
Total assets | 105,675 | 228,012 | 40,808 | 124,366 | 138,152 | - | 637,013 |
Liabilities | |||||||
Forward foreign currency exchange contracts | - | - | - | - | - | 6,441 | 6,441 |
OTC credit default swap contracts (c) | 84,969 | - | 163,008 | 101,880 | - | - | 349,857 |
OTC interest rate swap contracts (c) | - | - | 168,233 | - | - | - | 168,233 |
Total liabilities | 84,969 | - | 331,241 | 101,880 | - | 6,441 | 524,531 |
Total financial and derivative net assets | 20,706 | 228,012 | (290,433) | 22,486 | 138,152 | (6,441) | 112,482 |
Total collateral received (pledged) (d) | - | - | (240,000) | - | - | - | (240,000) |
Net amount (e) | 20,706 | 228,012 | (50,433) | 22,486 | 138,152 | (6,441) | 352,482 |
(a) | Exposure can only be netted across transactions governed under the same master agreement with the same legal entity. |
(b) | Centrally cleared swaps are included within payable/receivable for variation margin on the Statement of Assets and Liabilities. |
(c) | Over-the-Counter (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. |
(d) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(e) | Represents the net amount due from/(to) counterparties in the event of default. |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 47 |
June 30, 2020 (Unaudited)
48 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 49 |
June 30, 2020 (Unaudited)
Fee rate(s) contractual through April 30, 2021 | |
Class 1 | 0.69% |
Class 2 | 0.94 |
50 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
216,631,000 | 9,618,000 | (8,772,000) | 846,000 |
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
(285,047) | (2,187,271) | (2,472,318) |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 51 |
June 30, 2020 (Unaudited)
52 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 53 |
June 30, 2020 (Unaudited)
54 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
• | 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 – Strategic Income Fund | Semiannual Report 2020 | 55 |
• | 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 the Investment Manager, as well as performance relative to benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by the Investment Manager; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund through April 30, 2021 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; |
• | The terms and conditions of the Management Agreement; |
• | The current and proposed terms and conditions 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 distribution, transfer agency and shareholder services to the Fund; |
• | Descriptions of various functions 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 reputation, regulatory history and 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, including an assessment of the Investment Manager’s compliance system by the Fund’s Chief Compliance Officer; and |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund. |
56 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 57 |
58 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 |
Trustee | Votes For | Votes Withheld | Abstentions |
Janet L. Carrig | 26,231,108,809 | 1,129,334,152 | 0 |
J. Kevin Connaughton | 26,249,644,638 | 1,110,798,323 | 0 |
Olive Darragh | 26,323,990,658 | 1,036,452,304 | 0 |
Douglas A. Hacker | 26,255,762,920 | 1,104,680,042 | 0 |
Nancy T. Lukitsh | 26,332,381,722 | 1,028,061,240 | 0 |
David M. Moffett | 26,252,719,395 | 1,107,723,567 | 0 |
John J. Neuhauser | 26,222,694,456 | 1,137,748,505 | 0 |
Christopher O. Petersen | 26,265,703,212 | 1,094,739,749 | 0 |
Patrick J. Simpson | 26,222,908,024 | 1,137,534,938 | 0 |
Natalie A. Trunow | 26,340,164,732 | 1,020,278,229 | 0 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2020 | 59 |
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.
(a)(3) Not applicable.
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 Insurance Trust | |
By (Signature and Title) | /s/ Christopher O. Petersen | ||
|
|
| Christopher O. Petersen, President and Principal Executive Officer |
Date |
| August 21. 2020 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title) | /s/ Christopher O. Petersen | ||
|
| Christopher O. Petersen, President and Principal Executive Officer | |
Date |
| August 21. 2020 |
|
By (Signature and Title) | /s/ Michael G. Clarke | ||
|
| Michael G. Clarke, Chief Financial Officer, Principal Financial Officer | |
|
| and Senior Vice President | |
Date |
| August 21. 2020 |
|
By (Signature and Title) | /s/ Joseph Beranek | ||
|
| Joseph Beranek, Treasurer, Chief Accounting Officer and Principal | |
|
| Financial Officer | |
Date |
| August 31. 2020 |
|