UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
, 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number811-05199
Columbia Funds Variable Insurance Trust
(Exact name of registrant as specified in charter)
290 Congress Street, Boston, MA 02110
(Address of principal executive offices) (Zip code)
Daniel J. Beckman
c/o Columbia Management Investment Advisers, LLC
290 Congress Street
Boston, MA 02210
Ryan C. Larrenaga, Esq.
c/o Columbia Management Investment Advisers, LLC
290 Congress Street
Boston, MA 02210
(Name and address of agent for service)
Registrant's telephone number, including area code: (800) 345-6611
Date of fiscal year end: December 31
Date of reporting period: June 30, 2021
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, 2021
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2021) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | Life | ||
Class 1* | 02/20/19 | 1.67 | 7.53 | 5.23 | 4.18 | |
Class 2 | 04/12/13 | 1.46 | 7.25 | 5.09 | 4.10 | |
Blended Benchmark | 1.24 | 7.01 | 5.63 | 4.95 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | -1.60 | -0.33 | 3.03 | 2.93 |
* | 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 2021 | 3 |
(Unaudited)
Portfolio Allocation (%) (at June 30, 2021) | |
Allocations to Underlying Funds | |
Equity Funds | 15.8 |
International | 4.4 |
U.S. Large Cap | 8.9 |
U.S. Mid Cap | 0.3 |
U.S. Small Cap | 2.2 |
Exchange-Traded Equity Funds | 3.9 |
International Mid Large Cap | 1.3 |
U.S. Large Cap | 2.6 |
Exchange-Traded Fixed Income Funds | 4.8 |
Investment Grade | 4.8 |
Fixed Income Funds | 47.9 |
Investment Grade | 47.9 |
Allocations to Tactical Assets | |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 14.2 |
Options Purchased Puts | 0.4 |
Residential Mortgage-Backed Securities - Agency | 13.0 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $128.3 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2021 |
(Unaudited)
January 1, 2021 — June 30, 2021 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,016.70 | 1,023.36 | 1.45 | 1.45 | 0.29 | 3.55 | 3.56 | 0.71 |
Class 2 | 1,000.00 | 1,000.00 | 1,014.60 | 1,022.12 | 2.70 | 2.71 | 0.54 | 4.80 | 4.81 | 0.96 |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2021 | 5 |
June 30, 2021 (Unaudited)
Equity Funds 18.1% | ||
Shares | Value ($) | |
International 5.0% | ||
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(a) | 1,723,594 | 25,853,912 |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares(a) | 344,604 | 4,538,434 |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares(a) | 324,133 | 4,573,517 |
Variable Portfolio – Partners International Value Fund, Class 1 Shares(a) | 443,058 | 4,510,328 |
Total | 39,476,191 | |
U.S. Large Cap 10.2% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 205,335 | 7,796,585 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 243,522 | 19,079,911 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 208,362 | 7,217,650 |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 1,250,788 | 20,775,581 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 198,343 | 7,106,629 |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares(a),(b) | 61,402 | 3,458,170 |
CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 99,731 | 3,458,673 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 50,839 | 3,445,875 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 108,326 | 3,426,337 |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(a),(b) | 150,607 | 4,903,780 |
Total | 80,669,191 | |
U.S. Mid Cap 0.4% | ||
Columbia Variable Portfolio – Mid Cap Growth Fund, Class 1 Shares(a),(b) | 28,286 | 1,436,962 |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares(a),(b) | 43,098 | 1,426,966 |
Total | 2,863,928 |
Equity Funds (continued) | ||
Shares | Value ($) | |
U.S. Small Cap 2.5% | ||
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares(a) | 68,269 | 1,400,878 |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares(a),(b) | 49,778 | 1,606,836 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 220,226 | 8,555,757 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 228,348 | 8,371,246 |
Total | 19,934,717 | |
Total Equity Funds (Cost $89,315,920) | 142,944,027 | |
Exchange-Traded Equity Funds 4.4% | ||
International Mid Large Cap 1.5% | ||
iShares MSCI EAFE ETF | 152,532 | 12,031,724 |
U.S. Large Cap 2.9% | ||
SPDR S&P 500 ETF Trust | 53,425 | 22,869,106 |
Total Exchange-Traded Equity Funds (Cost $19,897,366) | 34,900,830 | |
Exchange-Traded Fixed Income Funds 5.5% | ||
Investment Grade 5.5% | ||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 266,500 | 35,806,940 |
Vanguard Intermediate-Term Corporate Bond ETF | 80,000 | 7,605,600 |
Total | 43,412,540 | |
Total Exchange-Traded Fixed Income Funds (Cost $41,576,082) | 43,412,540 | |
Fixed Income Funds 54.8% | ||
Investment Grade 54.8% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 6,474,928 | 74,979,670 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 2,863,412 | 28,834,553 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 3,933,477 | 46,297,023 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 2,646,937 | 28,825,142 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 6,664,878 | 77,912,425 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 6,587,327 | 75,029,652 |
6 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Fixed Income Funds (continued) | ||
Shares | Value ($) | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a) | 1,123,452 | 11,526,621 |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(a) | 7,724,936 | 89,454,763 |
Total | 432,859,849 | |
Total Fixed Income Funds (Cost $401,989,171) | 432,859,849 |
Residential Mortgage-Backed Securities - Agency 14.8% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(c) | ||||
07/19/2036 | 2.500% | 29,300,000 | 30,552,117 | |
07/19/2036- 07/14/2051 | 3.000% | 53,539,000 | 56,021,184 | |
07/14/2051 | 3.500% | 29,002,000 | 30,534,235 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $117,349,899) | 117,107,536 |
Options Purchased Puts 0.4% | ||||
Value ($) | ||||
(Cost $6,605,442) | 3,332,895 |
Money Market Funds 16.3% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.051%(a),(d) | 128,349,098 | 128,336,263 |
Total Money Market Funds (Cost $128,330,785) | 128,336,263 | |
Total Investments in Securities (Cost: $805,064,665) | 902,893,940 | |
Other Assets & Liabilities, Net | (112,780,675) | |
Net Assets | 790,113,265 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
British Pound | 19 | 09/2021 | USD | 1,639,344 | — | (38,250) |
Euro FX | 14 | 09/2021 | USD | 2,076,375 | — | (60,584) |
EURO STOXX 50 Index | 44 | 09/2021 | EUR | 1,784,420 | — | (12,190) |
Japanese Yen | 24 | 09/2021 | USD | 2,702,100 | — | (40,057) |
New Zealand Dollar | 3 | 09/2021 | USD | 209,490 | — | (6,281) |
OMXS30 Index | 37 | 07/2021 | SEK | 8,384,200 | — | (9,585) |
S&P 500 Index E-mini | 162 | 09/2021 | USD | 34,737,660 | 437,096 | — |
SPI 200 Index | 9 | 09/2021 | AUD | 1,625,175 | 194 | — |
TOPIX Index | 7 | 09/2021 | JPY | 136,010,000 | — | (11,110) |
U.S. Long Bond | 61 | 09/2021 | USD | 9,805,750 | 309,636 | — |
U.S. Treasury 10-Year Note | 152 | 09/2021 | USD | 20,140,000 | 143,483 | — |
U.S. Treasury 2-Year Note | 31 | 09/2021 | USD | 6,829,930 | — | (9,747) |
U.S. Treasury 5-Year Note | 217 | 09/2021 | USD | 26,784,242 | — | (39,404) |
Total | 890,409 | (227,208) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Australian Dollar | (2) | 09/2021 | USD | (149,960) | 4,752 | — |
Canadian Dollar | (2) | 09/2021 | USD | (161,240) | 4,113 | — |
FTSE 100 Index | (2) | 09/2021 | GBP | (139,610) | 895 | — |
Hang Seng Index | (6) | 07/2021 | HKD | (8,589,000) | 19,667 | — |
MSCI Singapore Index | (6) | 07/2021 | SGD | (213,270) | — | (405) |
Russell 2000 Index E-mini | (35) | 09/2021 | USD | (4,038,650) | 26,426 | — |
S&P/TSX 60 Index | (11) | 09/2021 | CAD | (2,645,940) | — | (28,937) |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2021 | 7 |
June 30, 2021 (Unaudited)
Short futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Swiss Franc | (10) | 09/2021 | USD | (1,352,375) | 45,525 | — |
U.S. Ultra Treasury Bond | (7) | 09/2021 | USD | (1,348,813) | — | (47,594) |
Total | 101,378 | (76,936) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 37,388,250 | 87 | 3,300.00 | 12/16/2022 | 1,553,121 | 1,169,280 |
S&P 500 Index | JPMorgan | USD | 40,826,250 | 95 | 2,900.00 | 12/16/2022 | 2,151,415 | 765,225 |
S&P 500 Index | JPMorgan | USD | 26,644,500 | 62 | 3,000.00 | 12/16/2022 | 1,457,377 | 572,570 |
S&P 500 Index | JPMorgan | USD | 12,033,000 | 28 | 3,400.00 | 12/16/2022 | 533,026 | 424,200 |
S&P 500 Index | JPMorgan | USD | 15,471,000 | 36 | 3,100.00 | 12/16/2022 | 869,223 | 377,820 |
S&P 500 Index | JPMorgan | USD | 859,500 | 2 | 3,200.00 | 12/16/2022 | 41,280 | 23,800 |
Total | 6,605,442 | 3,332,895 |
(a) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2021 are as follows: |
Affiliated issuers | Beginning of period($) | 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, 0.051% | |||||||||
152,123,258 | 41,363,747 | (65,153,630) | 2,888 | 128,336,263 | — | (2,888) | 53,656 | 128,349,098 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
8,704,041 | 26,860 | (1,519,731) | 585,415 | 7,796,585 | — | 685,129 | — | 205,335 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
23,814,027 | 1,898,059 | (7,419,590) | 787,415 | 19,079,911 | — | 2,716,364 | — | 243,522 | |
Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares | |||||||||
5,112,825 | — | (3,477,675) | (1,635,150) | — | — | 1,752,870 | — | — | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
101,119,718 | 77,175 | (25,531,725) | (685,498) | 74,979,670 | — | 985,192 | — | 6,474,928 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
7,455,182 | 698,349 | (1,508,104) | 572,223 | 7,217,650 | — | 684,146 | — | 208,362 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
30,556,430 | 2,963,165 | (4,716,541) | 31,499 | 28,834,553 | — | (18,726) | — | 2,863,412 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
51,785,189 | 1,634,080 | (4,845,794) | (2,276,452) | 46,297,023 | — | (401,405) | — | 3,933,477 | |
Columbia Variable Portfolio – Mid Cap Growth Fund, Class 1 Shares | |||||||||
2,027,940 | 10,567 | (404,957) | (196,588) | 1,436,962 | — | 414,043 | — | 28,286 | |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares | |||||||||
12,308,304 | 13,528,352 | (1,010,823) | 1,028,079 | 25,853,912 | 528,328 | 42,625 | 245,691 | 1,723,594 | |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares | |||||||||
7,422,195 | 15,928,070 | (5,369,764) | 2,795,080 | 20,775,581 | — | 299,050 | — | 1,250,788 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
5,147,125 | 3,345,192 | (2,552,115) | 1,166,427 | 7,106,629 | — | 142,849 | — | 198,343 | |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares | |||||||||
2,025,833 | 8,004 | (534,752) | (72,119) | 1,426,966 | — | 383,705 | — | 43,098 |
8 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2021 |
June 30, 2021 (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 – Small Cap Value Fund, Class 1 Shares | |||||||||
3,037,319 | 31,812 | (1,606,047) | (62,206) | 1,400,878 | — | 665,567 | — | 68,269 | |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares | |||||||||
3,079,991 | 120,985 | (979,152) | (614,988) | 1,606,836 | — | 948,349 | — | 49,778 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
29,791,512 | 3,738,557 | (4,881,435) | 176,508 | 28,825,142 | — | 14,314 | — | 2,646,937 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
74,165,141 | 4,836,425 | (937,823) | (151,318) | 77,912,425 | — | (1,281) | — | 6,664,878 | |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares | |||||||||
5,781,275 | 152,050 | (4,392,920) | (1,540,405) | — | 76,935 | 1,623,323 | 32,414 | — | |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
5,929,854 | 11,524 | (1,553,669) | (929,539) | 3,458,170 | — | 1,383,967 | — | 61,402 | |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares | |||||||||
4,545,296 | — | (1,792,511) | (2,752,785) | — | — | 2,885,199 | — | — | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
4,050,596 | 18,412 | (838,860) | 228,525 | 3,458,673 | — | 311,722 | — | 99,731 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
6,035,707 | 285,591 | (1,310,115) | (1,565,308) | 3,445,875 | — | 1,806,350 | — | 50,839 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
4,032,798 | 59,886 | (887,240) | 220,893 | 3,426,337 | — | 417,415 | — | 108,326 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
100,055,333 | — | (24,062,535) | (963,146) | 75,029,652 | — | (247,517) | — | 6,587,327 | |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares | |||||||||
2,571,448 | — | (1,546,592) | (1,024,856) | — | — | 1,229,930 | — | — | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
12,238,978 | 1,144,007 | (1,831,895) | (24,469) | 11,526,621 | — | (43,003) | — | 1,123,452 | |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares | |||||||||
2,607,068 | — | (1,215,741) | (1,391,327) | — | — | 1,472,242 | — | — | |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares | |||||||||
106,233,472 | 3,554,627 | (19,280,329) | (1,053,007) | 89,454,763 | — | (348,173) | — | 7,724,936 | |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares | |||||||||
7,934,048 | 4,604 | (2,333,324) | (701,548) | 4,903,780 | — | 1,609,351 | — | 150,607 | |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares | |||||||||
10,772,809 | 905,458 | (6,027,478) | (1,112,355) | 4,538,434 | — | 1,708,697 | 92,146 | 344,604 | |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares | |||||||||
4,097,925 | 1,063,716 | (660,376) | 72,252 | 4,573,517 | 205,858 | 212 | 3,273 | 324,133 | |
Variable Portfolio – Partners International Value Fund, Class 1 Shares | |||||||||
4,795,747 | 889,994 | (1,419,896) | 244,483 | 4,510,328 | — | 132,556 | 87,776 | 443,058 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
7,032,777 | 2,978,448 | (2,214,669) | 759,201 | 8,555,757 | — | (70,079) | — | 220,226 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
5,668,946 | 3,058,762 | (1,672,478) | 1,316,016 | 8,371,246 | — | 173,068 | — | 228,348 | |
Total | 814,060,107 | (8,766,160) | 704,140,139 | 811,121 | 23,355,163 | 514,956 |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2021 | 9 |
June 30, 2021 (Unaudited)
(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, 2021. |
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 2021 |
June 30, 2021 (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 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Equity Funds | — | — | — | 142,944,027 | 142,944,027 |
Exchange-Traded Equity Funds | 34,900,830 | — | — | — | 34,900,830 |
Exchange-Traded Fixed Income Funds | 43,412,540 | — | — | — | 43,412,540 |
Fixed Income Funds | — | — | — | 432,859,849 | 432,859,849 |
Residential Mortgage-Backed Securities - Agency | — | 117,107,536 | — | — | 117,107,536 |
Options Purchased Puts | 3,332,895 | — | — | — | 3,332,895 |
Money Market Funds | 128,336,263 | — | — | — | 128,336,263 |
Total Investments in Securities | 209,982,528 | 117,107,536 | — | 575,803,876 | 902,893,940 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 991,787 | — | — | — | 991,787 |
Liability | |||||
Futures Contracts | (304,144) | — | — | — | (304,144) |
Total | 210,670,171 | 117,107,536 | — | 575,803,876 | 903,581,583 |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2021 | 11 |
June 30, 2021 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $178,823,347) | $195,420,906 |
Affiliated issuers (cost $619,635,876) | 704,140,139 |
Options purchased (cost $6,605,442) | 3,332,895 |
Cash collateral held at broker for: | |
TBA | 13,000 |
Margin deposits on: | |
Futures contracts | 4,685,499 |
Receivable for: | |
Investments sold | 523,281 |
Capital shares sold | 2,903 |
Dividends | 78,624 |
Interest | 141,358 |
Variation margin for futures contracts | 163,812 |
Prepaid expenses | 13,577 |
Trustees’ deferred compensation plan | 69,576 |
Total assets | 908,585,570 |
Liabilities | |
Payable for: | |
Investments purchased on a delayed delivery basis | 117,491,257 |
Capital shares purchased | 750,447 |
Variation margin for futures contracts | 76,435 |
Management services fees | 4,567 |
Distribution and/or service fees | 5,420 |
Service fees | 39,363 |
Compensation of board members | 6,518 |
Compensation of chief compliance officer | 65 |
Other expenses | 28,657 |
Trustees’ deferred compensation plan | 69,576 |
Total liabilities | 118,472,305 |
Net assets applicable to outstanding capital stock | $790,113,265 |
Represented by | |
Trust capital | $790,113,265 |
Total - representing net assets applicable to outstanding capital stock | $790,113,265 |
Class 1 | |
Net assets | $354,642 |
Shares outstanding | 25,351 |
Net asset value per share | $13.99 |
Class 2 | |
Net assets | $789,758,623 |
Shares outstanding | 56,760,836 |
Net asset value per share | $13.91 |
12 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2021 |
Six Months Ended June 30, 2021 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $730,500 |
Dividends — affiliated issuers | 514,956 |
Interest | 429 |
Total income | 1,245,885 |
Expenses: | |
Management services fees | 901,106 |
Distribution and/or service fees | |
Class 2 | 1,055,573 |
Service fees | 252,712 |
Compensation of board members | 12,920 |
Custodian fees | 14,942 |
Printing and postage fees | 8,259 |
Audit fees | 16,279 |
Legal fees | 8,774 |
Interest on collateral | 1,083 |
Compensation of chief compliance officer | 130 |
Other | 6,157 |
Total expenses | 2,277,935 |
Net investment loss | (1,032,050) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 3,805,410 |
Investments — affiliated issuers | 23,355,163 |
Capital gain distributions from underlying affiliated funds | 811,121 |
Foreign currency translations | 8,403 |
Futures contracts | (2,563,177) |
Options purchased | (957,269) |
Net realized gain | 24,459,651 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (651,707) |
Investments — affiliated issuers | (8,766,160) |
Foreign currency translations | (21,742) |
Futures contracts | 186,017 |
Options purchased | (2,494,261) |
Net change in unrealized appreciation (depreciation) | (11,747,853) |
Net realized and unrealized gain | 12,711,798 |
Net increase in net assets resulting from operations | $11,679,748 |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2021 | 13 |
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | |
Operations | ||
Net investment income (loss) | $(1,032,050) | $8,598,663 |
Net realized gain | 24,459,651 | 492,061 |
Net change in unrealized appreciation (depreciation) | (11,747,853) | 60,694,629 |
Net increase in net assets resulting from operations | 11,679,748 | 69,785,353 |
Increase (decrease) in net assets from capital stock activity | (123,767,363) | 259,661,661 |
Total increase (decrease) in net assets | (112,087,615) | 329,447,014 |
Net assets at beginning of period | 902,200,880 | 572,753,866 |
Net assets at end of period | $790,113,265 | $902,200,880 |
Six Months Ended | Year Ended | |||
June 30, 2021 (Unaudited) | December 31, 2020 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 3,476 | 47,720 | 25,282 | 332,075 |
Redemptions | (4,519) | (61,845) | (3,047) | (40,479) |
Net increase (decrease) | (1,043) | (14,125) | 22,235 | 291,596 |
Class 2 | ||||
Subscriptions | 1,790,686 | 24,540,467 | 25,535,509 | 323,847,235 |
Redemptions | (10,823,592) | (148,293,705) | (4,914,529) | (64,477,170) |
Net increase (decrease) | (9,032,906) | (123,753,238) | 20,620,980 | 259,370,065 |
Total net increase (decrease) | (9,033,949) | (123,767,363) | 20,643,215 | 259,661,661 |
14 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2021 |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2021 | 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 6/30/2021 (Unaudited) | $13.76 | 0.00(c) | 0.23 | 0.23 |
Year Ended 12/31/2020 | $12.70 | 0.15 | 0.91 | 1.06 |
Year Ended 12/31/2019(f) | $11.70 | 0.17 | 0.83 | 1.00 |
Class 2 | ||||
Six Months Ended 6/30/2021 (Unaudited) | $13.71 | (0.02) | 0.22 | 0.20 |
Year Ended 12/31/2020 | $12.68 | 0.15 | 0.88 | 1.03 |
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 |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Rounds to zero. |
(d) | Annualized. |
(e) | Ratios include interest on collateral expense which is less than 0.01%. |
(f) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
16 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2021 |
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 6/30/2021 (Unaudited) | $13.99 | 1.67% | 0.29%(d),(e) | 0.29%(d),(e) | 0.01%(d) | 90% | $355 |
Year Ended 12/31/2020 | $13.76 | 8.35% | 0.30% | 0.30% | 1.16% | 132% | $363 |
Year Ended 12/31/2019(f) | $12.70 | 8.55% | 0.31%(d) | 0.31%(d) | 1.57%(d) | 139% | $53 |
Class 2 | |||||||
Six Months Ended 6/30/2021 (Unaudited) | $13.91 | 1.46% | 0.54%(d),(e) | 0.54%(d),(e) | (0.24%)(d) | 90% | $789,759 |
Year Ended 12/31/2020 | $13.71 | 8.12% | 0.55% | 0.55% | 1.15% | 132% | $901,838 |
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% | $444,792 |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2021 | 17 |
June 30, 2021 (Unaudited)
18 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2021 | 19 |
June 30, 2021 (Unaudited)
20 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2021 | 21 |
June 30, 2021 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 484,278* |
Equity risk | Investments, at value — Options Purchased | 3,332,895 |
Foreign exchange risk | Component of trust capital — unrealized appreciation on futures contracts | 54,390* |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 453,119* |
Total | 4,324,682 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 62,227* |
Foreign exchange risk | Component of trust capital - unrealized depreciation on futures contracts | 145,172* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 96,745* |
Total | 304,144 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | 1,567,060 | (957,269) | 609,791 |
Foreign exchange risk | 187,805 | — | 187,805 |
Interest rate risk | (4,318,042) | — | (4,318,042) |
Total | (2,563,177) | (957,269) | (3,520,446) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | 37,077 | (2,494,261) | (2,457,184) |
Foreign exchange risk | (238,589) | — | (238,589) |
Interest rate risk | 387,529 | — | 387,529 |
Total | 186,017 | (2,494,261) | (2,308,244) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 121,723,196 |
Futures contracts — short | 16,294,473 |
22 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Derivative instrument | Average value ($)* |
Options contracts — purchased | 3,569,495 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2021. |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2021 | 23 |
June 30, 2021 (Unaudited)
JPMorgan ($) | |
Assets | |
Options purchased puts | 3,332,895 |
Total financial and derivative net assets | 3,332,895 |
Total collateral received (pledged) (a) | - |
Net amount (b) | 3,332,895 |
(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 2021 |
June 30, 2021 (Unaudited)
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2021 | 25 |
June 30, 2021 (Unaudited)
Fee rate(s) contractual through April 30, 2022 | |
Class 1 | 0.80% |
Class 2 | 1.05 |
26 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2021 | 27 |
June 30, 2021 (Unaudited)
28 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2021 | 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. |
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
30 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2021 |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | Terms of the Management Agreement; |
• | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
• | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
• | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2021 | 31 |
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Management Agreement supported the continuation of the Management Agreement.
32 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2021 |
Economies of scale
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2021 | 33 |
June 30, 2021
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2021) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 01/01/89 | 7.77 | 53.36 | 29.80 | 17.20 | |
Class 2 | 06/01/00 | 7.66 | 53.04 | 29.47 | 16.90 | |
Russell 2000 Growth Index | 8.98 | 51.36 | 18.76 | 13.52 |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2021 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2021) | |
Common Stocks | 96.1 |
Money Market Funds | 3.9 |
Total | 100.0 |
Equity sector breakdown (%) (at June 30, 2021) | |
Communication Services | 2.5 |
Consumer Discretionary | 14.3 |
Consumer Staples | 0.9 |
Energy | 0.6 |
Financials | 6.3 |
Health Care | 36.1 |
Industrials | 14.0 |
Information Technology | 21.1 |
Materials | 3.1 |
Real Estate | 1.1 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2021 |
(Unaudited)
January 1, 2021 — June 30, 2021 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,077.70 | 1,020.33 | 4.64 | 4.51 | 0.90 |
Class 2 | 1,000.00 | 1,000.00 | 1,076.60 | 1,019.09 | 5.92 | 5.76 | 1.15 |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2021 | 5 |
June 30, 2021 (Unaudited)
Common Stocks 98.0% | ||
Issuer | Shares | Value ($) |
Communication Services 2.4% | ||
Interactive Media & Services 1.7% | ||
EverQuote, Inc., Class A(a) | 157,726 | 5,154,486 |
fuboTV, Inc.(a) | 77,218 | 2,479,470 |
Total | 7,633,956 | |
Media 0.7% | ||
Magnite, Inc.(a) | 96,215 | 3,255,915 |
Total Communication Services | 10,889,871 | |
Consumer Discretionary 14.0% | ||
Diversified Consumer Services 0.8% | ||
OneSpaWorld Holdings Ltd.(a) | 170,793 | 1,654,984 |
Vivint Smart Home, Inc.(a) | 141,471 | 1,867,417 |
Total | 3,522,401 | |
Hotels, Restaurants & Leisure 7.6% | ||
Caesars Entertainment, Inc.(a) | 79,441 | 8,242,004 |
GAN Ltd.(a) | 177,876 | 2,924,281 |
Papa John’s International, Inc. | 78,373 | 8,185,276 |
Penn National Gaming, Inc.(a) | 19,502 | 1,491,708 |
Planet Fitness, Inc., Class A(a) | 182,546 | 13,736,587 |
Total | 34,579,856 | |
Internet & Direct Marketing Retail 1.9% | ||
Fiverr International Ltd.(a) | 22,734 | 5,512,768 |
PubMatic, Inc., Class A(a) | 75,422 | 2,946,737 |
Total | 8,459,505 | |
Multiline Retail 1.2% | ||
Ollie’s Bargain Outlet Holdings, Inc.(a) | 65,887 | 5,543,073 |
Specialty Retail 2.5% | ||
Floor & Decor Holdings, Inc.(a) | 56,980 | 6,022,786 |
Leslie’s, Inc.(a) | 104,072 | 2,860,939 |
Lithia Motors, Inc., Class A | 6,954 | 2,389,673 |
Total | 11,273,398 | |
Total Consumer Discretionary | 63,378,233 | |
Consumer Staples 0.9% | ||
Food & Staples Retailing 0.9% | ||
BJ’s Wholesale Club Holdings, Inc.(a) | 85,183 | 4,053,007 |
Total Consumer Staples | 4,053,007 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Energy 0.5% | ||
Energy Equipment & Services 0.1% | ||
Frank’s International NV(a) | 210,874 | 638,948 |
Oil, Gas & Consumable Fuels 0.4% | ||
Delek U.S. Holdings, Inc. | 81,635 | 1,764,949 |
Total Energy | 2,403,897 | |
Financials 6.2% | ||
Capital Markets 4.6% | ||
CM Life Sciences II, Inc.(a) | 80,873 | 1,087,742 |
CM Life Sciences, Inc., Class A(a) | 85,176 | 1,193,316 |
Falcon Capital Acquisition Corp., Class A(a) | 300,587 | 2,789,447 |
Hillman Group (The) PIPE(a),(b),(c),(d),(e),(f) | 540,000 | 6,561,000 |
LiveVox Holdings, Inc.(a) | 388,191 | 3,241,395 |
Open Lending Corp., Class A(a) | 138,317 | 5,960,080 |
Total | 20,832,980 | |
Consumer Finance 1.6% | ||
LendingTree, Inc.(a) | 33,939 | 7,190,995 |
Total Financials | 28,023,975 | |
Health Care 35.4% | ||
Biotechnology 5.9% | ||
Arrowhead Pharmaceuticals, Inc.(a) | 38,606 | 3,197,349 |
CRISPR Therapeutics AG(a) | 8,213 | 1,329,603 |
Insmed, Inc.(a) | 62,530 | 1,779,604 |
Intellia Therapeutics, Inc.(a) | 11,474 | 1,857,755 |
Iovance Biotherapeutics, Inc.(a) | 52,923 | 1,377,056 |
IVERIC bio, Inc.(a) | 144,309 | 910,590 |
Kura Oncology, Inc.(a) | 43,320 | 903,222 |
Natera, Inc.(a) | 67,653 | 7,680,645 |
Nurix Therapeutics, Inc.(a) | 29,418 | 780,459 |
Olema Pharmaceuticals, Inc.(a) | 41,310 | 1,155,854 |
Revolution Medicines, Inc.(a) | 63,344 | 2,010,539 |
Silverback Therapeutics, Inc.(a) | 38,699 | 1,195,412 |
SpringWorks Therapeutics, Inc.(a) | 28,266 | 2,329,401 |
Total | 26,507,489 |
6 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Health Care Equipment & Supplies 8.8% | ||
Axonics, Inc.(a) | 91,519 | 5,803,220 |
BioLife Solutions, Inc.(a) | 106,340 | 4,733,193 |
Glaukos Corp.(a) | 66,976 | 5,681,574 |
Heska Corp.(a) | 44,956 | 10,327,742 |
Neogen Corp.(a) | 96,124 | 4,425,549 |
Quidel Corp.(a) | 31,500 | 4,035,780 |
Quotient Ltd.(a) | 279,115 | 1,015,978 |
Silk Road Medical, Inc.(a) | 76,881 | 3,679,525 |
Total | 39,702,561 | |
Health Care Providers & Services 7.8% | ||
Accolade, Inc.(a) | 45,115 | 2,450,196 |
Addus HomeCare Corp.(a) | 44,049 | 3,842,835 |
Amedisys, Inc.(a) | 33,952 | 8,315,863 |
Chemed Corp. | 20,367 | 9,664,142 |
HealthEquity, Inc.(a) | 115,119 | 9,264,777 |
Hims & Hers Health, Inc.(a) | 176,360 | 1,920,560 |
Total | 35,458,373 | |
Health Care Technology 2.1% | ||
Caris Life Sciences, Inc.(a),(b),(d),(e) | 308,642 | 2,740,741 |
Doximity, Inc., Class A(a) | 37,362 | 2,174,468 |
Schrodinger, Inc.(a) | 58,926 | 4,455,395 |
Total | 9,370,604 | |
Life Sciences Tools & Services 10.8% | ||
10X Genomics, Inc., Class A(a) | 52,618 | 10,303,657 |
Adaptive Biotechnologies Corp.(a) | 56,608 | 2,313,003 |
Bio-Techne Corp. | 29,893 | 13,459,622 |
Codexis, Inc.(a) | 115,555 | 2,618,476 |
Maravai LifeSciences Holdings, Inc., Class A(a) | 43,081 | 1,797,770 |
NeoGenomics, Inc.(a) | 154,332 | 6,971,177 |
Olink Holding AB ADR(a) | 60,972 | 2,098,656 |
Pacific Biosciences of California, Inc.(a) | 39,563 | 1,383,518 |
Quanterix Corp.(a) | 102,093 | 5,988,776 |
Repligen Corp.(a) | 9,160 | 1,828,519 |
Total | 48,763,174 | |
Total Health Care | 159,802,201 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Industrials 13.8% | ||
Aerospace & Defense 1.6% | ||
Axon Enterprise, Inc.(a) | 19,483 | 3,444,594 |
Spirit AeroSystems Holdings, Inc., Class A | 78,699 | 3,713,806 |
Total | 7,158,400 | |
Building Products 0.9% | ||
Advanced Drainage Systems, Inc. | 33,225 | 3,873,039 |
Commercial Services & Supplies 1.2% | ||
Casella Waste Systems, Inc., Class A(a) | 28,725 | 1,822,027 |
Healthcare Services Group, Inc. | 109,971 | 3,471,784 |
Total | 5,293,811 | |
Electrical Equipment 3.3% | ||
Array Technologies, Inc.(a) | 124,801 | 1,946,896 |
Shoals Technologies Group, Inc., Class A(a) | 56,505 | 2,005,927 |
Sunrun, Inc.(a) | 72,723 | 4,056,489 |
Vertiv Holdings Co. | 254,576 | 6,949,925 |
Total | 14,959,237 | |
Machinery 3.6% | ||
Helios Technologies, Inc. | 72,743 | 5,677,591 |
Kornit Digital Ltd.(a) | 86,515 | 10,756,410 |
Total | 16,434,001 | |
Road & Rail 0.6% | ||
Saia, Inc.(a) | 13,412 | 2,809,680 |
Trading Companies & Distributors 2.6% | ||
SiteOne Landscape Supply, Inc.(a) | 67,931 | 11,498,001 |
Total Industrials | 62,026,169 | |
Information Technology 20.6% | ||
Electronic Equipment, Instruments & Components 1.8% | ||
908 Devices, Inc.(a) | 32,488 | 1,258,910 |
Advanced Energy Industries, Inc. | 59,148 | 6,666,571 |
Total | 7,925,481 | |
IT Services 4.0% | ||
Euronet Worldwide, Inc.(a) | 47,566 | 6,438,058 |
Flywire Corp.(a) | 61,091 | 2,244,484 |
Shift4 Payments, Inc., Class A(a) | 101,746 | 9,535,635 |
Total | 18,218,177 |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2021 | 7 |
June 30, 2021 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Semiconductors & Semiconductor Equipment 2.8% | ||
Ichor Holdings Ltd.(a) | 110,852 | 5,963,837 |
MKS Instruments, Inc. | 37,321 | 6,641,272 |
Total | 12,605,109 | |
Software 12.0% | ||
Alteryx, Inc., Class A(a) | 31,676 | 2,724,770 |
Avalara, Inc.(a) | 73,131 | 11,832,596 |
Bill.com Holdings, Inc.(a) | 79,041 | 14,478,730 |
Blackline, Inc.(a) | 49,557 | 5,514,207 |
Everbridge, Inc.(a) | 52,053 | 7,083,372 |
Five9, Inc.(a) | 23,184 | 4,251,714 |
Paylocity Holding Corp.(a) | 14,093 | 2,688,945 |
SailPoint Technologies Holdings, Inc.(a) | 59,214 | 3,024,059 |
Tenable Holdings, Inc.(a) | 68,306 | 2,824,453 |
Total | 54,422,846 | |
Total Information Technology | 93,171,613 | |
Materials 3.1% | ||
Chemicals 2.4% | ||
Balchem Corp. | 36,196 | 4,751,087 |
Livent Corp.(a) | 311,844 | 6,037,300 |
Total | 10,788,387 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Metals & Mining 0.7% | ||
Worthington Industries, Inc. | 49,372 | 3,020,579 |
Total Materials | 13,808,966 | |
Real Estate 1.1% | ||
Equity Real Estate Investment Trusts (REITS) 1.1% | ||
STORE Capital Corp. | 141,111 | 4,869,741 |
Total Real Estate | 4,869,741 | |
Total Common Stocks (Cost $325,060,669) | 442,427,673 | |
Money Market Funds 3.9% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.051%(g),(h) | 17,841,091 | 17,839,306 |
Total Money Market Funds (Cost $17,839,306) | 17,839,306 | |
Total Investments in Securities (Cost: $342,899,975) | 460,266,979 | |
Other Assets & Liabilities, Net | (8,635,192) | |
Net Assets | 451,631,787 |
(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, 2021, the total value of these securities amounted to $9,301,741, which represents 2.06% of total net assets. |
(c) | At June 30, 2021, the Fund had unfunded commitments to purchase shares for the securities shown below: |
Security | Shares | Cost ($) |
Hillman Group (The) PIPE | 540,000 | 5,406,177 |
(d) | Denotes a restricted security, which is subject to legal or contractual restrictions on resale under federal securities laws. Disposal of a restricted investment may involve time-consuming negotiations and expenses, and prompt sale at an acceptable price may be difficult to achieve. Private placement securities are generally considered to be restricted, although certain of those securities may be traded between qualified institutional investors under the provisions of Section 4(a)(2) and Rule 144A. The Fund will not incur any registration costs upon such a trade. These securities are valued at fair value determined in good faith under consistently applied procedures established by the Fund’s Board of Trustees. At June 30, 2021, the total market value of these securities amounted to $9,301,741, which represents 2.06% of total net assets. Additional information on these securities is as follows: |
Security | Acquisition Dates | Shares | Cost ($) | Value ($) |
Hillman Group (The) PIPE | 01/25/2021 | 540,000 | 5,406,177 | 6,561,000 |
Caris Life Sciences, Inc. | 05/11/2021 | 308,642 | 2,502,312 | 2,740,741 |
7,908,489 | 9,301,741 |
8 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
(e) | Valuation based on significant unobservable inputs. |
(f) | Represents a security purchased on a when-issued basis. |
(g) | The rate shown is the seven-day current annualized yield at June 30, 2021. |
(h) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2021 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.051% | ||||||||
21,199,698 | 155,139,431 | (158,499,823) | — | 17,839,306 | — | 5,347 | 17,841,091 |
ADR | American Depositary Receipt |
PIPE | Private Investment in Public Equity |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2021 | 9 |
June 30, 2021 (Unaudited)
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2021:
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 10,889,871 | — | — | 10,889,871 |
Consumer Discretionary | 63,378,233 | — | — | 63,378,233 |
Consumer Staples | 4,053,007 | — | — | 4,053,007 |
Energy | 2,403,897 | — | — | 2,403,897 |
Financials | 21,462,975 | — | 6,561,000 | 28,023,975 |
Health Care | 157,061,460 | — | 2,740,741 | 159,802,201 |
Industrials | 62,026,169 | — | — | 62,026,169 |
Information Technology | 93,171,613 | — | — | 93,171,613 |
Materials | 13,808,966 | — | — | 13,808,966 |
Real Estate | 4,869,741 | — | — | 4,869,741 |
Total Common Stocks | 433,125,932 | — | 9,301,741 | 442,427,673 |
Money Market Funds | 17,839,306 | — | — | 17,839,306 |
Total Investments in Securities | 450,965,238 | — | 9,301,741 | 460,266,979 |
Balance as of 12/31/2020 ($) | Increase (decrease) in accrued discounts/ premiums ($) | Realized gain (loss) ($) | Change in unrealized appreciation (depreciation)(a) ($) | Purchases ($) | Sales ($) | Transfers into Level 3 ($) | Transfers out of Level 3 ($) | Balance as of 06/30/2021 ($) | |
Common Stocks | — | — | — | 1,393,252 | 7,908,489 | — | — | — | 9,301,741 |
Fair value at June 30, 2021 ($) | Valuation technique | Unobservable input | Amount (%) |
6,561,000 | Discount from the Public Equity | Discount Schedule | 2 |
10 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $325,060,669) | $442,427,673 |
Affiliated issuers (cost $17,839,306) | 17,839,306 |
Cash | 6,177 |
Receivable for: | |
Investments sold | 399,141 |
Capital shares sold | 288 |
Dividends | 52,413 |
Expense reimbursement due from Investment Manager | 123 |
Prepaid expenses | 10,317 |
Trustees’ deferred compensation plan | 80,707 |
Total assets | 460,816,145 |
Liabilities | |
Payable for: | |
Investments purchased | 3,499,665 |
Investments purchased on a delayed delivery basis | 5,406,177 |
Capital shares purchased | 121,829 |
Management services fees | 10,868 |
Distribution and/or service fees | 11 |
Service fees | 5,809 |
Compensation of board members | 37,274 |
Compensation of chief compliance officer | 36 |
Other expenses | 21,982 |
Trustees’ deferred compensation plan | 80,707 |
Total liabilities | 9,184,358 |
Net assets applicable to outstanding capital stock | $451,631,787 |
Represented by | |
Paid in capital | 152,233,697 |
Total distributable earnings (loss) | 299,398,090 |
Total - representing net assets applicable to outstanding capital stock | $451,631,787 |
Class 1 | |
Net assets | $450,496,124 |
Shares outstanding | 13,948,829 |
Net asset value per share | $32.30 |
Class 2 | |
Net assets | $1,135,663 |
Shares outstanding | 37,398 |
Net asset value per share | $30.37 |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2021 | 11 |
Six Months Ended June 30, 2021 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $369,319 |
Dividends — affiliated issuers | 5,347 |
Interfund lending | 434 |
Total income | 375,100 |
Expenses: | |
Management services fees | 2,131,158 |
Distribution and/or service fees | |
Class 2 | 2,223 |
Service fees | 33,049 |
Compensation of board members | 16,141 |
Custodian fees | 6,515 |
Printing and postage fees | 7,969 |
Audit fees | 14,629 |
Legal fees | 7,164 |
Compensation of chief compliance officer | 80 |
Other | 6,849 |
Total expenses | 2,225,777 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (4,658) |
Total net expenses | 2,221,119 |
Net investment loss | (1,846,019) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 114,037,132 |
Net realized gain | 114,037,132 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (66,576,471) |
Net change in unrealized appreciation (depreciation) | (66,576,471) |
Net realized and unrealized gain | 47,460,661 |
Net increase in net assets resulting from operations | $45,614,642 |
12 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2021 |
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | |
Operations | ||
Net investment loss | $(1,846,019) | $(2,296,733) |
Net realized gain | 114,037,132 | 72,881,540 |
Net change in unrealized appreciation (depreciation) | (66,576,471) | 168,915,304 |
Net increase in net assets resulting from operations | 45,614,642 | 239,500,111 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | — | (7,383,529) |
Class 2 | — | (15,805) |
Total distributions to shareholders | — | (7,399,334) |
Increase (decrease) in net assets from capital stock activity | (164,615,061) | 390,919 |
Total increase (decrease) in net assets | (119,000,419) | 232,491,696 |
Net assets at beginning of period | 570,632,206 | 338,140,510 |
Net assets at end of period | $451,631,787 | $570,632,206 |
Six Months Ended | Year Ended | |||
June 30, 2021 (Unaudited) | December 31, 2020 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 838,671 | 25,636,486 | 285,674 | 5,528,828 |
Distributions reinvested | — | — | 331,100 | 7,383,529 |
Redemptions | (5,870,705) | (189,393,518) | (578,014) | (13,198,373) |
Net increase (decrease) | (5,032,034) | (163,757,032) | 38,760 | (286,016) |
Class 2 | ||||
Subscriptions | 5,274 | 153,257 | 37,571 | 810,632 |
Distributions reinvested | — | — | 752 | 15,805 |
Redemptions | (33,107) | (1,011,286) | (7,168) | (149,502) |
Net increase (decrease) | (27,833) | (858,029) | 31,155 | 676,935 |
Total net increase (decrease) | (5,059,867) | (164,615,061) | 69,915 | 390,919 |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2021 | 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 6/30/2021 (Unaudited) | $29.97 | (0.12) | 2.45 | 2.33 | — | — |
Year Ended 12/31/2020 | $17.82 | (0.12) | 12.66 | 12.54 | (0.39) | (0.39) |
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) |
Class 2 | ||||||
Six Months Ended 6/30/2021 (Unaudited) | $28.21 | (0.15) | 2.31 | 2.16 | — | — |
Year Ended 12/31/2020 | $16.80 | (0.17) | 11.92 | 11.75 | (0.34) | (0.34) |
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) |
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 2021 |
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 6/30/2021 (Unaudited) | $32.30 | 7.77% | 0.90%(c) | 0.90%(c) | (0.75%) | 28% | $450,496 |
Year Ended 12/31/2020 | $29.97 | 71.12% | 0.91% | 0.90% | (0.57%) | 80% | $568,792 |
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 |
Class 2 | |||||||
Six Months Ended 6/30/2021 (Unaudited) | $30.37 | 7.66% | 1.15%(c) | 1.15%(c) | (1.00%) | 28% | $1,136 |
Year Ended 12/31/2020 | $28.21 | 70.67% | 1.17% | 1.15% | (0.81%) | 80% | $1,840 |
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% | $454 |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2021 | 15 |
June 30, 2021 (Unaudited)
16 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2021 | 17 |
June 30, 2021 (Unaudited)
18 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
July 1, 2021 through April 30, 2022 | May 1, 2021 through June 30, 2021 | Prior to May 1, 2021 | |
Class 1 | 0.89% | 0.90% | 0.90% |
Class 2 | 1.14 | 1.15 | 1.15 |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2021 | 19 |
June 30, 2021 (Unaudited)
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
342,900,000 | 131,698,000 | (14,331,000) | 117,367,000 |
20 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 5,700,000 | 0.69 | 4 |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2021 | 21 |
June 30, 2021 (Unaudited)
22 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2021 | 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. |
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
24 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2021 |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | Terms of the Management Agreement; |
• | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
• | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
• | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2021 | 25 |
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Management Agreement supported the continuation of the Management Agreement.
26 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2021 |
these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2021 | 27 |
June 30, 2021
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2021) | |||||
Inception | 6 Months cumulative | 1 Year | Life | ||
Class 1* | 02/20/19 | 8.99 | 19.14 | 11.01 | |
Class 2 | 11/02/16 | 8.83 | 18.75 | 10.84 | |
Blended Benchmark | 9.13 | 25.14 | 13.53 | ||
S&P 500 Index | 15.25 | 40.79 | 18.90 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | -1.60 | -0.33 | 3.30 |
* | 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 2021 | 3 |
(Unaudited)
Portfolio Allocation (%) (at June 30, 2021) | |
Allocations to Underlying Funds | |
Equity Funds | 60.7 |
U.S. Large Cap | 60.7 |
Exchange-Traded Fixed Income Funds | 3.0 |
Investment Grade | 3.0 |
Fixed Income Funds | 9.6 |
Investment Grade | 9.6 |
Allocations to Tactical Assets | |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 21.0 |
Options Purchased Puts | 1.6 |
Residential Mortgage-Backed Securities - Agency | 4.1 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $858.0 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2021 |
(Unaudited)
January 1, 2021 — June 30, 2021 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,089.90 | 1,023.46 | 1.40 | 1.35 | 0.27 | 3.58 | 3.46 | 0.69 |
Class 2 | 1,000.00 | 1,000.00 | 1,088.30 | 1,022.22 | 2.69 | 2.61 | 0.52 | 4.87 | 4.71 | 0.94 |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2021 | 5 |
June 30, 2021 (Unaudited)
Equity Funds 62.2% | ||
Shares | Value ($) | |
U.S. Large Cap 62.2% | ||
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 2,889,973 | 226,429,422 |
Columbia Variable Portfolio – Large Cap Index Fund, Class 1 Shares(a),(b) | 16,507,000 | 580,881,320 |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 13,787,638 | 229,012,664 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 6,843,317 | 245,196,032 |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares(a),(b) | 4,647,750 | 261,761,280 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 3,818,110 | 258,791,462 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 7,099,137 | 224,545,704 |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(a),(b) | 13,832,816 | 450,396,504 |
Total | 2,477,014,388 | |
Total Equity Funds (Cost $1,472,087,974) | 2,477,014,388 | |
Exchange-Traded Fixed Income Funds 3.1% | ||
Investment Grade 3.1% | ||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 102,100 | 13,718,156 |
Vanguard Intermediate-Term Corporate Bond ETF | 1,140,000 | 108,379,800 |
Total | 122,097,956 | |
Total Exchange-Traded Fixed Income Funds (Cost $117,476,461) | 122,097,956 | |
Fixed Income Funds 9.8% | ||
Investment Grade 9.8% | ||
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 3,330,296 | 33,536,083 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 2,961,368 | 34,855,297 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 2,560,305 | 27,881,723 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 6,067,812 | 70,932,720 |
Fixed Income Funds (continued) | ||
Shares | Value ($) | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 7,460,373 | 84,973,650 |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a) | 1,361,941 | 13,973,511 |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(a) | 10,852,747 | 125,674,813 |
Total | 391,827,797 | |
Total Fixed Income Funds (Cost $370,799,185) | 391,827,797 |
Residential Mortgage-Backed Securities - Agency 4.2% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(c) | ||||
07/19/2036 | 2.500% | 43,600,000 | 45,463,219 | |
07/19/2036- 07/14/2051 | 3.000% | 70,988,000 | 74,315,908 | |
07/14/2051 | 3.500% | 44,000,000 | 46,324,609 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $166,215,493) | 166,103,736 |
Options Purchased Puts 1.7% | ||||
Value ($) | ||||
(Cost $86,120,334) | 66,350,000 |
Money Market Funds 21.5% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.051%(a),(d) | 858,070,664 | 857,984,857 |
Total Money Market Funds (Cost $857,955,658) | 857,984,857 | |
Total Investments in Securities (Cost: $3,070,655,105) | 4,081,378,734 | |
Other Assets & Liabilities, Net | (98,595,817) | |
Net Assets | 3,982,782,917 |
6 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Russell 2000 Index E-mini | 150 | 09/2021 | USD | 17,308,500 | — | (113,997) |
S&P 500 Index E-mini | 5,874 | 09/2021 | USD | 1,259,561,820 | 16,790,343 | — |
U.S. Long Bond | 264 | 09/2021 | USD | 42,438,000 | 1,157,793 | — |
U.S. Treasury 10-Year Note | 124 | 09/2021 | USD | 16,430,000 | 103,438 | — |
U.S. Treasury 2-Year Note | 55 | 09/2021 | USD | 12,117,617 | 1,765 | — |
U.S. Treasury 2-Year Note | 23 | 09/2021 | USD | 5,067,367 | — | (7,231) |
U.S. Treasury 5-Year Note | 140 | 09/2021 | USD | 17,280,156 | 11,155 | — |
U.S. Treasury 5-Year Note | 83 | 09/2021 | USD | 10,244,664 | — | (15,072) |
U.S. Ultra Treasury Bond | 97 | 09/2021 | USD | 18,690,688 | 767,985 | — |
Total | 18,832,479 | (136,300) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 1,268,622,000 | 2,952 | 3,400.00 | 12/16/2022 | 54,435,912 | 44,722,800 |
S&P 500 Index | JPMorgan | USD | 356,692,500 | 830 | 3,300.00 | 12/16/2022 | 12,758,191 | 11,155,200 |
S&P 500 Index | JPMorgan | USD | 378,180,000 | 880 | 3,200.00 | 12/16/2022 | 18,926,231 | 10,472,000 |
Total | 86,120,334 | 66,350,000 |
(a) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2021 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Short-Term Cash Fund, 0.051% | |||||||||
587,336,282 | 679,440,511 | (408,795,865) | 3,929 | 857,984,857 | — | (3,929) | 237,548 | 858,070,664 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
240,260,436 | 497,604 | (38,430,939) | 24,102,321 | 226,429,422 | — | 11,960,365 | — | 2,889,973 | |
Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares | |||||||||
26,520,019 | — | (25,418,348) | (1,101,671) | — | — | 1,101,487 | — | — | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
89,352,453 | — | (80,468,005) | (8,884,448) | — | — | 8,694,363 | — | — | |
Columbia Variable Portfolio – Large Cap Index Fund, Class 1 Shares | |||||||||
489,081,287 | 41,085,058 | (25,377,979) | 76,092,954 | 580,881,320 | — | 2,422,841 | — | 16,507,000 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
26,313,985 | 8,366,649 | (1,192,890) | 48,339 | 33,536,083 | — | (2,969) | — | 3,330,296 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
21,689,436 | 13,907,686 | — | (741,825) | 34,855,297 | — | — | — | 2,961,368 | |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares | |||||||||
49,820,436 | 151,452,847 | (83,209) | 27,822,590 | 229,012,664 | — | 611 | — | 13,787,638 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
237,845,337 | — | (29,325,277) | 36,675,972 | 245,196,032 | — | 8,254,432 | — | 6,843,317 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
25,991,990 | 1,817,432 | (62,299) | 134,600 | 27,881,723 | — | (167) | — | 2,560,305 |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2021 | 7 |
June 30, 2021 (Unaudited)
Affiliated issuers | Beginning of period($) | 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® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
86,747,060 | 1,994,127 | (16,977,809) | (830,658) | 70,932,720 | — | 223,410 | — | 6,067,812 | |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
238,680,307 | — | (6,101,314) | 29,182,287 | 261,761,280 | — | 2,607,332 | — | 4,647,750 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
245,872,426 | 5,681,205 | (7,156,586) | 14,394,417 | 258,791,462 | — | 5,498,438 | — | 3,818,110 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
240,073,980 | 1,215,811 | (43,637,573) | 26,893,486 | 224,545,704 | — | 10,400,664 | — | 7,099,137 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
83,241,934 | 6,142,651 | (3,551,763) | (859,172) | 84,973,650 | — | (16,218) | — | 7,460,373 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
11,949,435 | 2,121,443 | (20,276) | (77,091) | 13,973,511 | — | (554) | — | 1,361,941 | |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares | |||||||||
78,026,259 | 48,511,085 | — | (862,531) | 125,674,813 | — | — | — | 10,852,747 | |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares | |||||||||
448,193,100 | 22,545,396 | (63,701,285) | 43,359,293 | 450,396,504 | — | 20,587,810 | — | 13,832,816 | |
Total | 3,226,996,162 | 265,352,792 | 3,726,827,042 | — | 71,727,916 | 237,548 |
(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, 2021. |
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 – U.S. Flexible Growth Fund | Semiannual Report 2021 |
June 30, 2021 (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 | — | — | — | 2,477,014,388 | 2,477,014,388 |
Exchange-Traded Fixed Income Funds | 122,097,956 | — | — | — | 122,097,956 |
Fixed Income Funds | — | — | — | 391,827,797 | 391,827,797 |
Residential Mortgage-Backed Securities - Agency | — | 166,103,736 | — | — | 166,103,736 |
Options Purchased Puts | 66,350,000 | — | — | — | 66,350,000 |
Money Market Funds | 857,984,857 | — | — | — | 857,984,857 |
Total Investments in Securities | 1,046,432,813 | 166,103,736 | — | 2,868,842,185 | 4,081,378,734 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 18,832,479 | — | — | — | 18,832,479 |
Liability | |||||
Futures Contracts | (136,300) | — | — | — | (136,300) |
Total | 1,065,128,992 | 166,103,736 | — | 2,868,842,185 | 4,100,074,913 |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2021 | 9 |
June 30, 2021 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $283,691,954) | $288,201,692 |
Affiliated issuers (cost $2,700,842,817) | 3,726,827,042 |
Options purchased (cost $86,120,334) | 66,350,000 |
Cash collateral held at broker for: | |
TBA | 675,000 |
Margin deposits on: | |
Futures contracts | 66,081,548 |
Receivable for: | |
Investments sold | 1,693,107 |
Investments sold on a delayed delivery basis | 159,288,454 |
Capital shares sold | 994 |
Dividends | 31,730 |
Interest | 202,223 |
Variation margin for futures contracts | 2,289,623 |
Prepaid expenses | 45,295 |
Trustees’ deferred compensation plan | 78,568 |
Total assets | 4,311,765,276 |
Liabilities | |
Payable for: | |
Investments purchased on a delayed delivery basis | 326,183,096 |
Capital shares purchased | 2,419,718 |
Management services fees | 22,505 |
Distribution and/or service fees | 27,260 |
Service fees | 192,519 |
Compensation of board members | 15,084 |
Compensation of chief compliance officer | 270 |
Other expenses | 43,339 |
Trustees’ deferred compensation plan | 78,568 |
Total liabilities | 328,982,359 |
Net assets applicable to outstanding capital stock | $3,982,782,917 |
Represented by | |
Trust capital | $3,982,782,917 |
Total - representing net assets applicable to outstanding capital stock | $3,982,782,917 |
Class 1 | |
Net assets | $1,894,063 |
Shares outstanding | 116,583 |
Net asset value per share | $16.25 |
Class 2 | |
Net assets | $3,980,888,854 |
Shares outstanding | 246,458,823 |
Net asset value per share | $16.15 |
10 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2021 |
Six Months Ended June 30, 2021 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $2,319,288 |
Dividends — affiliated issuers | 237,548 |
Interest | 10 |
Total income | 2,556,846 |
Expenses: | |
Management services fees | 3,823,750 |
Distribution and/or service fees | |
Class 2 | 4,664,598 |
Service fees | 1,121,330 |
Compensation of board members | 30,691 |
Custodian fees | 12,839 |
Printing and postage fees | 16,505 |
Audit fees | 16,279 |
Legal fees | 27,131 |
Interest on collateral | 2,271 |
Compensation of chief compliance officer | 516 |
Other | 7,418 |
Total expenses | 9,723,328 |
Net investment loss | (7,166,482) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (2,503,480) |
Investments — affiliated issuers | 71,727,916 |
Foreign currency translations | 27,880 |
Futures contracts | 39,894,657 |
Options purchased | (41,505,136) |
Net realized gain | 67,641,837 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (10,951,032) |
Investments — affiliated issuers | 265,352,792 |
Futures contracts | 12,954,547 |
Options purchased | (9,074,061) |
Net change in unrealized appreciation (depreciation) | 258,282,246 |
Net realized and unrealized gain | 325,924,083 |
Net increase in net assets resulting from operations | $318,757,601 |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2021 | 11 |
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | |
Operations | ||
Net investment income (loss) | $(7,166,482) | $4,500,706 |
Net realized gain (loss) | 67,641,837 | (221,511,557) |
Net change in unrealized appreciation (depreciation) | 258,282,246 | 406,847,891 |
Net increase in net assets resulting from operations | 318,757,601 | 189,837,040 |
Increase in net assets from capital stock activity | 51,267,176 | 389,796,162 |
Total increase in net assets | 370,024,777 | 579,633,202 |
Net assets at beginning of period | 3,612,758,140 | 3,033,124,938 |
Net assets at end of period | $3,982,782,917 | $3,612,758,140 |
Six Months Ended | Year Ended | |||
June 30, 2021 (Unaudited) | December 31, 2020 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 80,485 | 1,255,735 | 58,117 | 811,731 |
Redemptions | (26,662) | (416,291) | (4,635) | (64,487) |
Net increase | 53,823 | 839,444 | 53,482 | 747,244 |
Class 2 | ||||
Subscriptions | 7,092,648 | 110,458,232 | 35,856,917 | 482,687,050 |
Redemptions | (3,948,543) | (60,030,500) | (6,706,192) | (93,638,132) |
Net increase | 3,144,105 | 50,427,732 | 29,150,725 | 389,048,918 |
Total net increase | 3,197,928 | 51,267,176 | 29,204,207 | 389,796,162 |
12 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2021 |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2021 | 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 6/30/2021 (Unaudited) | $14.91 | (0.01) | 1.35 | 1.34 |
Year Ended 12/31/2020 | $14.19 | 0.05 | 0.67 | 0.72 |
Year Ended 12/31/2019(e) | $12.62 | 0.06 | 1.51 | 1.57 |
Class 2 | ||||
Six Months Ended 6/30/2021 (Unaudited) | $14.84 | (0.03) | 1.34 | 1.31 |
Year Ended 12/31/2020 | $14.16 | 0.02 | 0.66 | 0.68 |
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) | Annualized. |
(d) | Ratios include interest on collateral expense which is less than 0.01%. |
(e) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
(f) | 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 2021 |
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 6/30/2021 (Unaudited) | $16.25 | 8.99% | 0.27%(c),(d) | 0.27%(c),(d) | (0.14%)(c) | 96% | $1,894 |
Year Ended 12/31/2020 | $14.91 | 5.07% | 0.28% | 0.28% | 0.34% | 279% | $936 |
Year Ended 12/31/2019(e) | $14.19 | 12.44% | 0.30%(c) | 0.30%(c) | 0.52%(c) | 132% | $132 |
Class 2 | |||||||
Six Months Ended 6/30/2021 (Unaudited) | $16.15 | 8.83% | 0.52%(c),(d) | 0.52%(c),(d) | (0.38%)(c) | 96% | $3,980,889 |
Year Ended 12/31/2020 | $14.84 | 4.80% | 0.53% | 0.53% | 0.14% | 279% | $3,611,822 |
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%(c) | 0.63%(c) | (0.26%)(c) | 12% | $166,632 |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2021 | 15 |
June 30, 2021 (Unaudited)
16 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2021 | 17 |
June 30, 2021 (Unaudited)
18 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2021 | 19 |
June 30, 2021 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 16,790,343* |
Equity risk | Investments, at value — Options Purchased | 66,350,000 |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 2,042,136* |
Total | 85,182,479 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 113,997* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 22,303* |
Total | 136,300 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | 62,191,173 | (41,505,136) | 20,686,037 |
Interest rate risk | (22,296,516) | — | (22,296,516) |
Total | 39,894,657 | (41,505,136) | (1,610,479) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | 9,873,100 | (9,074,061) | 799,039 |
Interest rate risk | 3,081,447 | — | 3,081,447 |
Total | 12,954,547 | (9,074,061) | 3,880,486 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 1,100,767,407 |
Futures contracts — short | 9,679,982 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 62,668,978 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2021. |
20 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2021 | 21 |
June 30, 2021 (Unaudited)
JPMorgan ($) | |
Assets | |
Options purchased puts | 66,350,000 |
Total financial and derivative net assets | 66,350,000 |
Total collateral received (pledged) (a) | - |
Net amount (b) | 66,350,000 |
(a) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Represents the net amount due from/(to) counterparties in the event of default. |
22 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2021 | 23 |
June 30, 2021 (Unaudited)
Fee rate(s) contractual through April 30, 2022 | |
Class 1 | 0.80% |
Class 2 | 1.05 |
24 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2021 | 25 |
June 30, 2021 (Unaudited)
26 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2021 | 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. |
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
28 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2021 |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | Terms of the Management Agreement; |
• | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
• | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
• | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2021 | 29 |
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Management Agreement supported the continuation of the Management Agreement.
30 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2021 |
these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2021 | 31 |
June 30, 2021
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2021) | |||||
Inception | 6 Months cumulative | 1 Year | Life | ||
Class 1* | 02/20/19 | 4.18 | 10.70 | 7.44 | |
Class 2 | 11/02/16 | 4.12 | 10.41 | 7.31 | |
Blended Benchmark | 4.08 | 12.82 | 8.84 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | -1.60 | -0.33 | 3.30 | ||
S&P 500 Index | 15.25 | 40.79 | 18.90 |
* | 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 2021 | 3 |
(Unaudited)
Portfolio Allocation (%) (at June 30, 2021) | |
Allocations to Underlying Funds | |
Equity Funds | 30.3 |
U.S. Large Cap | 30.3 |
Exchange-Traded Fixed Income Funds | 5.9 |
Investment Grade | 5.9 |
Fixed Income Funds | 37.0 |
Investment Grade | 37.0 |
Allocations to Tactical Assets | |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 16.6 |
Options Purchased Puts | 0.8 |
Residential Mortgage-Backed Securities - Agency | 9.4 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $66.5 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2021 |
(Unaudited)
January 1, 2021 — June 30, 2021 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,041.80 | 1,023.31 | 1.52 | 1.51 | 0.30 | 3.49 | 3.46 | 0.69 |
Class 2 | 1,000.00 | 1,000.00 | 1,041.20 | 1,022.07 | 2.78 | 2.76 | 0.55 | 4.76 | 4.71 | 0.94 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2021 | 5 |
June 30, 2021 (Unaudited)
Equity Funds 33.1% | ||
Shares | Value ($) | |
U.S. Large Cap 33.1% | ||
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 183,281 | 14,360,060 |
Columbia Variable Portfolio – Large Cap Index Fund, Class 1 Shares(a),(b) | 768,787 | 27,053,602 |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 861,303 | 14,306,239 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 305,341 | 10,940,376 |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares(a),(b) | 196,670 | 11,076,475 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 164,182 | 11,128,228 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 347,451 | 10,989,871 |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(a),(b) | 662,787 | 21,580,364 |
Total | 121,435,215 | |
Total Equity Funds (Cost $70,261,038) | 121,435,215 | |
Exchange-Traded Fixed Income Funds 6.5% | ||
Investment Grade 6.5% | ||
iShares Core U.S. Aggregate Bond ETF | 22,610 | 2,607,611 |
iShares iBoxx $ Investment Grade Corporate Bond ETF | 89,527 | 12,028,848 |
Vanguard Intermediate-Term Corporate Bond ETF | 95,000 | 9,031,650 |
Total | 23,668,109 | |
Total Exchange-Traded Fixed Income Funds (Cost $21,734,004) | 23,668,109 | |
Fixed Income Funds 40.4% | ||
Investment Grade 40.4% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 2,907,446 | 33,668,228 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 801,816 | 8,074,289 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 923,802 | 10,873,152 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 739,887 | 8,057,366 |
Fixed Income Funds (continued) | ||
Shares | Value ($) | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 2,537,659 | 29,665,235 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 2,367,275 | 26,963,258 |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a) | 524,006 | 5,376,301 |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(a) | 2,212,397 | 25,619,557 |
Total | 148,297,386 | |
Total Fixed Income Funds (Cost $138,603,519) | 148,297,386 |
Residential Mortgage-Backed Securities - Agency 10.3% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(c) | ||||
07/19/2036 | 2.500% | 8,832,500 | 9,209,951 | |
07/19/2036- 07/14/2051 | 3.000% | 16,714,000 | 17,503,292 | |
07/14/2051 | 3.500% | 10,567,500 | 11,125,803 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $37,915,831) | 37,839,046 |
Options Purchased Puts 0.9% | ||||
Value ($) | ||||
(Cost $4,422,539) | 3,333,280 |
Money Market Funds 18.1% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.051%(a),(d) | 66,482,043 | 66,475,395 |
Total Money Market Funds (Cost $66,471,825) | 66,475,395 | |
Total Investments in Securities (Cost: $339,408,756) | 401,048,431 | |
Other Assets & Liabilities, Net | (34,199,613) | |
Net Assets | 366,848,818 |
6 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Russell 2000 Index E-mini | 12 | 09/2021 | USD | 1,384,680 | — | (9,120) |
S&P 500 Index E-mini | 300 | 09/2021 | USD | 64,329,000 | 862,833 | — |
U.S. Long Bond | 22 | 09/2021 | USD | 3,536,500 | 111,672 | — |
U.S. Treasury 10-Year Note | 26 | 09/2021 | USD | 3,445,000 | 24,543 | — |
U.S. Treasury 2-Year Note | 7 | 09/2021 | USD | 1,542,242 | — | (2,201) |
U.S. Treasury 5-Year Note | 36 | 09/2021 | USD | 4,443,469 | — | (6,537) |
U.S. Ultra Treasury Bond | 5 | 09/2021 | USD | 963,438 | 46,946 | — |
Total | 1,045,994 | (17,858) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 64,462,500 | 150 | 3,400.00 | 12/16/2022 | 2,808,024 | 2,272,500 |
S&P 500 Index | JPMorgan | USD | 22,776,750 | 53 | 3,200.00 | 12/16/2022 | 1,139,875 | 630,700 |
S&P 500 Index | JPMorgan | USD | 13,752,000 | 32 | 3,300.00 | 12/16/2022 | 474,640 | 430,080 |
Total | 4,422,539 | 3,333,280 |
(a) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2021 are as follows: |
Affiliated issuers | Beginning of period($) | 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, 0.051% | |||||||||
69,827,210 | 39,154,886 | (42,507,058) | 357 | 66,475,395 | — | (358) | 25,524 | 66,482,043 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
15,529,211 | 386,048 | (3,034,507) | 1,479,308 | 14,360,060 | — | 910,821 | — | 183,281 | |
Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares | |||||||||
9,359,648 | — | (8,780,271) | (579,377) | — | — | 579,641 | — | — | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
33,993,027 | 2,712,205 | (3,175,810) | 138,806 | 33,668,228 | — | (2,341) | — | 2,907,446 | |
Columbia Variable Portfolio – Large Cap Index Fund, Class 1 Shares | |||||||||
30,270,626 | 294,795 | (5,404,393) | 1,892,574 | 27,053,602 | — | 2,058,923 | — | 768,787 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
9,870,018 | 170,625 | (1,947,517) | (18,837) | 8,074,289 | — | 23,665 | — | 801,816 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
8,285,271 | 5,032,209 | (2,068,107) | (376,221) | 10,873,152 | — | (139,525) | — | 923,802 | |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares | |||||||||
4,161,183 | 9,319,842 | (1,194,583) | 2,019,797 | 14,306,239 | — | 71,400 | — | 861,303 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
14,059,937 | 339,547 | (4,248,241) | 789,133 | 10,940,376 | — | 1,600,492 | — | 305,341 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
9,837,343 | 214,017 | (2,030,718) | 36,724 | 8,057,366 | — | 25,324 | — | 739,887 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
32,806,836 | 321,909 | (3,324,879) | (138,631) | 29,665,235 | — | 12,920 | — | 2,537,659 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2021 | 7 |
June 30, 2021 (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® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
14,869,806 | 54,585 | (3,489,213) | (358,703) | 11,076,475 | — | 1,785,143 | — | 196,670 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
14,679,603 | 1,178,505 | (3,306,192) | (1,423,688) | 11,128,228 | — | 2,366,182 | — | 164,182 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
14,069,968 | 284,415 | (4,165,488) | 800,976 | 10,989,871 | — | 1,140,193 | — | 347,451 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
31,559,799 | 259,503 | (4,547,630) | (308,414) | 26,963,258 | — | (65,996) | — | 2,367,275 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
4,546,902 | 1,847,029 | (1,007,429) | (10,201) | 5,376,301 | — | (18,275) | — | 524,006 | |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares | |||||||||
29,178,706 | 1,009,230 | (4,262,670) | (305,709) | 25,619,557 | — | (64,025) | — | 2,212,397 | |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares | |||||||||
27,352,120 | 95,715 | (6,785,908) | 918,437 | 21,580,364 | — | 2,556,956 | — | 662,787 | |
Total | 374,257,214 | 4,556,331 | 336,207,996 | — | 12,841,140 | 25,524 |
(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, 2021. |
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 – U.S. Flexible Conservative Growth Fund | Semiannual Report 2021 |
June 30, 2021 (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 | — | — | — | 121,435,215 | 121,435,215 |
Exchange-Traded Fixed Income Funds | 23,668,109 | — | — | — | 23,668,109 |
Fixed Income Funds | — | — | — | 148,297,386 | 148,297,386 |
Residential Mortgage-Backed Securities - Agency | — | 37,839,046 | — | — | 37,839,046 |
Options Purchased Puts | 3,333,280 | — | — | — | 3,333,280 |
Money Market Funds | 66,475,395 | — | — | — | 66,475,395 |
Total Investments in Securities | 93,476,784 | 37,839,046 | — | 269,732,601 | 401,048,431 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 1,045,994 | — | — | — | 1,045,994 |
Liability | |||||
Futures Contracts | (17,858) | — | — | — | (17,858) |
Total | 94,504,920 | 37,839,046 | — | 269,732,601 | 402,076,567 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2021 | 9 |
June 30, 2021 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $59,649,835) | $61,507,155 |
Affiliated issuers (cost $275,336,382) | 336,207,996 |
Options purchased (cost $4,422,539) | 3,333,280 |
Cash collateral held at broker for: | |
TBA | 119,000 |
Margin deposits on: | |
Futures contracts | 3,421,639 |
Receivable for: | |
Investments sold on a delayed delivery basis | 4,190,957 |
Capital shares sold | 369,786 |
Dividends | 2,546 |
Interest | 46,373 |
Variation margin for futures contracts | 129,490 |
Prepaid expenses | 7,869 |
Trustees’ deferred compensation plan | 28,994 |
Total assets | 409,365,085 |
Liabilities | |
Payable for: | |
Investments purchased | 238,761 |
Investments purchased on a delayed delivery basis | 42,165,934 |
Capital shares purchased | 28,699 |
Management services fees | 2,057 |
Distribution and/or service fees | 2,508 |
Service fees | 17,863 |
Compensation of board members | 5,014 |
Compensation of chief compliance officer | 32 |
Other expenses | 26,405 |
Trustees’ deferred compensation plan | 28,994 |
Total liabilities | 42,516,267 |
Net assets applicable to outstanding capital stock | $366,848,818 |
Represented by | |
Trust capital | $366,848,818 |
Total - representing net assets applicable to outstanding capital stock | $366,848,818 |
Class 1 | |
Net assets | $101,672 |
Shares outstanding | 7,277 |
Net asset value per share | $13.97 |
Class 2 | |
Net assets | $366,747,146 |
Shares outstanding | 26,408,899 |
Net asset value per share | $13.89 |
10 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2021 |
Six Months Ended June 30, 2021 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $264,609 |
Dividends — affiliated issuers | 25,524 |
Total income | 290,133 |
Expenses: | |
Management services fees | 404,321 |
Distribution and/or service fees | |
Class 2 | 476,477 |
Service fees | 113,978 |
Compensation of board members | 9,782 |
Custodian fees | 11,450 |
Printing and postage fees | 7,322 |
Audit fees | 16,279 |
Legal fees | 6,463 |
Compensation of chief compliance officer | 60 |
Other | 6,070 |
Total expenses | 1,052,202 |
Net investment loss | (762,069) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (209,383) |
Investments — affiliated issuers | 12,841,140 |
Foreign currency translations | 786 |
Futures contracts | 1,416,017 |
Options purchased | (2,435,609) |
Net realized gain | 11,612,951 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (1,040,149) |
Investments — affiliated issuers | 4,556,331 |
Futures contracts | 746,755 |
Options purchased | (357,240) |
Net change in unrealized appreciation (depreciation) | 3,905,697 |
Net realized and unrealized gain | 15,518,648 |
Net increase in net assets resulting from operations | $14,756,579 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2021 | 11 |
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | |
Operations | ||
Net investment income (loss) | $(762,069) | $3,101,692 |
Net realized gain (loss) | 11,612,951 | (12,865,036) |
Net change in unrealized appreciation (depreciation) | 3,905,697 | 36,905,860 |
Net increase in net assets resulting from operations | 14,756,579 | 27,142,516 |
Increase (decrease) in net assets from capital stock activity | (65,280,459) | 101,299,948 |
Total increase (decrease) in net assets | (50,523,880) | 128,442,464 |
Net assets at beginning of period | 417,372,698 | 288,930,234 |
Net assets at end of period | $366,848,818 | $417,372,698 |
Six Months Ended | Year Ended | |||
June 30, 2021 (Unaudited) | December 31, 2020 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 87 | 1,213 | 7,001 | 88,002 |
Redemptions | (13) | (181) | (19) | (222) |
Net increase | 74 | 1,032 | 6,982 | 87,780 |
Class 2 | ||||
Subscriptions | 540,774 | 7,318,492 | 11,855,126 | 145,880,778 |
Redemptions | (5,400,683) | (72,599,983) | (3,510,460) | (44,668,610) |
Net increase (decrease) | (4,859,909) | (65,281,491) | 8,344,666 | 101,212,168 |
Total net increase (decrease) | (4,859,835) | (65,280,459) | 8,351,648 | 101,299,948 |
12 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2021 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2021 | 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 6/30/2021 (Unaudited) | $13.41 | (0.01) | 0.57 | 0.56 |
Year Ended 12/31/2020 | $12.63 | 0.09 | 0.69 | 0.78 |
Year Ended 12/31/2019(d) | $11.47 | 0.20 | 0.96 | 1.16 |
Class 2 | ||||
Six Months Ended 6/30/2021 (Unaudited) | $13.34 | (0.03) | 0.58 | 0.55 |
Year Ended 12/31/2020 | $12.60 | 0.11 | 0.63 | 0.74 |
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(e) | $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) | 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 Conservative Growth Fund | Semiannual Report 2021 |
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 6/30/2021 (Unaudited) | $13.97 | 4.18% | 0.30%(c) | 0.30%(c) | (0.15%)(c) | 84% | $102 |
Year Ended 12/31/2020 | $13.41 | 6.18% | 0.32% | 0.32% | 0.74% | 243% | $97 |
Year Ended 12/31/2019(d) | $12.63 | 10.11% | 0.32%(c) | 0.32%(c) | 1.98%(c) | 156% | $3 |
Class 2 | |||||||
Six Months Ended 6/30/2021 (Unaudited) | $13.89 | 4.12% | 0.55%(c) | 0.55%(c) | (0.40%)(c) | 84% | $366,747 |
Year Ended 12/31/2020 | $13.34 | 5.87% | 0.56% | 0.56% | 0.84% | 243% | $417,276 |
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(e) | $10.07 | 0.70% | 1.08%(c) | 0.66%(c) | (0.28%)(c) | 10% | $18,272 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2021 | 15 |
June 30, 2021 (Unaudited)
16 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2021 | 17 |
June 30, 2021 (Unaudited)
18 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2021 | 19 |
June 30, 2021 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 862,833* |
Equity risk | Investments, at value — Options Purchased | 3,333,280 |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 183,161* |
Total | 4,379,274 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 9,120* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 8,738* |
Total | 17,858 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | 4,133,453 | (2,435,609) | 1,697,844 |
Interest rate risk | (2,717,436) | — | (2,717,436) |
Total | 1,416,017 | (2,435,609) | (1,019,592) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | 415,432 | (357,240) | 58,192 |
Interest rate risk | 331,323 | — | 331,323 |
Total | 746,755 | (357,240) | 389,515 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 70,443,435 |
Futures contracts — short | 176,828 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 3,251,358 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2021. |
20 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2021 | 21 |
June 30, 2021 (Unaudited)
JPMorgan ($) | |
Assets | |
Options purchased puts | 3,333,280 |
Total financial and derivative net assets | 3,333,280 |
Total collateral received (pledged) (a) | - |
Net amount (b) | 3,333,280 |
(a) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Represents the net amount due from/(to) counterparties in the event of default. |
22 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2021 | 23 |
June 30, 2021 (Unaudited)
Fee rate(s) contractual through April 30, 2022 | |
Class 1 | 0.80% |
Class 2 | 1.05 |
24 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2021 | 25 |
June 30, 2021 (Unaudited)
26 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2021 | 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. |
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
28 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2021 |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | Terms of the Management Agreement; |
• | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
• | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
• | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2021 | 29 |
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Management Agreement supported the continuation of the Management Agreement.
30 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2021 |
Economies of scale
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2021 | 31 |
June 30, 2021
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2021) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | Life | ||
Class 1* | 02/20/19 | 3.60 | 12.29 | 6.72 | 5.29 | |
Class 2 | 04/12/13 | 3.48 | 12.03 | 6.60 | 5.21 | |
Blended Benchmark | 3.38 | 12.73 | 7.53 | 6.39 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | -1.60 | -0.33 | 3.03 | 2.93 |
* | 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 2021 | 3 |
(Unaudited)
Portfolio Allocation (%) (at June 30, 2021) | |
Allocations to Underlying Funds | |
Equity Funds | 30.0 |
International | 7.0 |
U.S. Large Cap | 18.6 |
U.S. Mid Cap | 1.4 |
U.S. Small Cap | 3.0 |
Exchange-Traded Equity Funds | 3.8 |
International Mid Large Cap | 1.2 |
U.S. Large Cap | 2.6 |
Exchange-Traded Fixed Income Funds | 4.5 |
Investment Grade | 4.5 |
Fixed Income Funds | 36.1 |
Investment Grade | 36.1 |
Allocations to Tactical Assets | |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 14.1 |
Options Purchased Puts | 0.7 |
Residential Mortgage-Backed Securities - Agency | 10.8 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $260.6 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2021 |
(Unaudited)
January 1, 2021 — June 30, 2021 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,036.00 | 1,023.41 | 1.41 | 1.40 | 0.28 | 3.74 | 3.71 | 0.74 |
Class 2 | 1,000.00 | 1,000.00 | 1,034.80 | 1,022.17 | 2.67 | 2.66 | 0.53 | 4.99 | 4.96 | 0.99 |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2021 | 5 |
June 30, 2021 (Unaudited)
Equity Funds 33.2% | ||
Shares | Value ($) | |
International 7.8% | ||
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(a) | 4,582,652 | 68,739,781 |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares(a) | 2,124,508 | 27,979,769 |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares(a) | 1,192,862 | 16,831,290 |
Variable Portfolio – Partners International Value Fund, Class 1 Shares(a) | 1,583,066 | 16,115,608 |
Total | 129,666,448 | |
U.S. Large Cap 20.7% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 575,579 | 21,854,747 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 853,938 | 66,906,055 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 939,801 | 32,554,717 |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 4,106,129 | 68,202,808 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 834,357 | 29,894,995 |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares(a),(b) | 488,820 | 27,530,312 |
CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 760,081 | 26,359,619 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 417,232 | 28,279,942 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 795,011 | 25,146,201 |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(a),(b) | 528,731 | 17,215,473 |
Total | 343,944,869 | |
U.S. Mid Cap 1.5% | ||
Columbia Variable Portfolio – Mid Cap Growth Fund, Class 1 Shares(a),(b) | 125,702 | 6,385,697 |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares(a),(b) | 186,067 | 6,160,683 |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(a),(b) | 152,684 | 6,153,155 |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(a),(b) | 138,116 | 6,201,396 |
Total | 24,900,931 |
Equity Funds (continued) | ||
Shares | Value ($) | |
U.S. Small Cap 3.2% | ||
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares(a) | 297,427 | 6,103,203 |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares(a),(b) | 205,638 | 6,638,007 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 545,434 | 21,190,089 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 555,044 | 20,347,920 |
Total | 54,279,219 | |
Total Equity Funds (Cost $325,578,612) | 552,791,467 | |
Exchange-Traded Equity Funds 4.2% | ||
International Mid Large Cap 1.3% | ||
iShares MSCI EAFE ETF | 278,987 | 22,006,495 |
U.S. Large Cap 2.9% | ||
SPDR S&P 500 ETF Trust | 113,625 | 48,638,317 |
Total Exchange-Traded Equity Funds (Cost $39,163,923) | 70,644,812 | |
Exchange-Traded Fixed Income Funds 5.0% | ||
Investment Grade 5.0% | ||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 468,500 | 62,947,660 |
Vanguard Intermediate-Term Corporate Bond ETF | 205,000 | 19,489,350 |
Total | 82,437,010 | |
Total Exchange-Traded Fixed Income Funds (Cost $77,426,625) | 82,437,010 | |
Fixed Income Funds 40.1% | ||
Investment Grade 40.1% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 11,206,075 | 129,766,348 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 3,635,153 | 36,605,986 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 6,389,404 | 75,203,280 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 3,328,703 | 36,249,576 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 7,919,194 | 92,575,375 |
6 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Fixed Income Funds (continued) | ||
Shares | Value ($) | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 10,880,308 | 123,926,714 |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a) | 1,772,127 | 18,182,025 |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(a) | 13,292,590 | 153,928,189 |
Total | 666,437,493 | |
Total Fixed Income Funds (Cost $614,645,155) | 666,437,493 |
Residential Mortgage-Backed Securities - Agency 12.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(c) | ||||
07/19/2036 | 2.500% | 52,021,000 | 54,244,085 | |
07/19/2036- 07/14/2051 | 3.000% | 89,684,000 | 93,825,599 | |
07/14/2051 | 3.500% | 49,111,000 | 51,705,634 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $200,156,261) | 199,775,318 |
Options Purchased Puts 0.8% | ||||
Value ($) | ||||
(Cost $22,991,381) | 12,852,950 |
Money Market Funds 15.7% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.051%(a),(d) | 260,663,411 | 260,637,345 |
Total Money Market Funds (Cost $260,626,429) | 260,637,345 | |
Total Investments in Securities (Cost: $1,540,588,386) | 1,845,576,395 | |
Other Assets & Liabilities, Net | (183,375,078) | |
Net Assets | 1,662,201,317 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Australian Dollar | 68 | 09/2021 | USD | 5,098,640 | — | (165,335) |
British Pound | 151 | 09/2021 | USD | 13,028,469 | — | (303,989) |
Euro FX | 153 | 09/2021 | USD | 22,691,813 | — | (662,096) |
EURO STOXX 50 Index | 441 | 09/2021 | EUR | 17,884,755 | — | (122,177) |
FTSE 100 Index | 42 | 09/2021 | GBP | 2,931,810 | — | (19,227) |
Japanese Yen | 195 | 09/2021 | USD | 21,954,563 | — | (325,463) |
MSCI Singapore Index | 6 | 07/2021 | SGD | 213,270 | 310 | — |
New Zealand Dollar | 10 | 09/2021 | USD | 698,300 | — | (20,937) |
OMXS30 Index | 225 | 07/2021 | SEK | 50,985,000 | — | (58,249) |
S&P 500 Index E-mini | 522 | 09/2021 | USD | 111,932,460 | 1,459,747 | — |
SPI 200 Index | 56 | 09/2021 | AUD | 10,112,200 | 1,205 | — |
Swiss Franc | 11 | 09/2021 | USD | 1,487,613 | — | (50,503) |
TOPIX Index | 93 | 09/2021 | JPY | 1,806,990,000 | — | (147,603) |
U.S. Long Bond | 116 | 09/2021 | USD | 18,647,000 | 588,815 | — |
U.S. Treasury 10-Year Note | 106 | 09/2021 | USD | 14,045,000 | 100,060 | — |
U.S. Treasury 2-Year Note | 62 | 09/2021 | USD | 13,659,859 | — | (19,493) |
U.S. Treasury 5-Year Note | 312 | 09/2021 | USD | 38,510,063 | — | (56,655) |
U.S. Ultra Treasury Bond | 17 | 09/2021 | USD | 3,275,688 | 159,617 | — |
Total | 2,309,754 | (1,951,727) |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2021 | 7 |
June 30, 2021 (Unaudited)
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Canadian Dollar | (17) | 09/2021 | USD | (1,370,540) | 34,957 | — |
Hang Seng Index | (16) | 07/2021 | HKD | (22,904,000) | 52,447 | — |
S&P/TSX 60 Index | (41) | 09/2021 | CAD | (9,862,140) | — | (107,855) |
Total | 87,404 | (107,855) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 113,883,750 | 265 | 3,400.00 | 12/16/2022 | 5,078,456 | 4,014,750 |
S&P 500 Index | JPMorgan | USD | 103,140,000 | 240 | 3,300.00 | 12/16/2022 | 4,100,971 | 3,225,600 |
S&P 500 Index | JPMorgan | USD | 100,991,250 | 235 | 2,900.00 | 12/16/2022 | 5,308,344 | 1,892,925 |
S&P 500 Index | JPMorgan | USD | 64,462,500 | 150 | 3,100.00 | 12/16/2022 | 3,621,762 | 1,574,250 |
S&P 500 Index | JPMorgan | USD | 66,611,250 | 155 | 3,000.00 | 12/16/2022 | 3,643,443 | 1,431,425 |
S&P 500 Index | JPMorgan | USD | 25,785,000 | 60 | 3,200.00 | 12/16/2022 | 1,238,405 | 714,000 |
Total | 22,991,381 | 12,852,950 |
(a) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2021 are as follows: |
Affiliated issuers | Beginning of period($) | 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, 0.051% | |||||||||
267,597,368 | 130,314,953 | (137,277,356) | 2,380 | 260,637,345 | — | (2,381) | 93,684 | 260,663,411 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
22,077,090 | — | (1,496,011) | 1,273,668 | 21,854,747 | — | 2,175,241 | — | 575,579 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
84,393,394 | 15,863 | (15,147,178) | (2,356,024) | 66,906,055 | — | 14,255,151 | — | 853,938 | |
Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares | |||||||||
19,987,818 | — | (12,616,722) | (7,371,096) | — | — | 7,848,294 | — | — | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
131,126,676 | 6,957,568 | (8,826,226) | 508,330 | 129,766,348 | — | 28,161 | — | 11,206,075 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
26,952,413 | 4,075,570 | (3,319,486) | 4,846,220 | 32,554,717 | — | 341,300 | — | 939,801 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
38,984,592 | 18,011 | (2,487,182) | 90,565 | 36,605,986 | — | (55,949) | — | 3,635,153 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
69,122,727 | 10,829,005 | (1,540,107) | (3,208,345) | 75,203,280 | — | (128,853) | — | 6,389,404 | |
Columbia Variable Portfolio – Mid Cap Growth Fund, Class 1 Shares | |||||||||
7,851,769 | 25,674 | (1,011,336) | (480,410) | 6,385,697 | — | 1,352,863 | — | 125,702 | |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares | |||||||||
41,714,461 | 24,586,608 | (204,435) | 2,643,147 | 68,739,781 | 1,404,705 | 2,723 | 643,281 | 4,582,652 | |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares | |||||||||
26,132,805 | 34,936,280 | (568,261) | 7,701,984 | 68,202,808 | — | 8,109 | — | 4,106,129 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
20,372,381 | 10,773,427 | (6,072,496) | 4,821,683 | 29,894,995 | — | 541,437 | — | 834,357 |
8 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2021 |
June 30, 2021 (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 – Select Mid Cap Value Fund, Class 1 Shares | |||||||||
7,888,286 | — | (1,738,095) | 10,492 | 6,160,683 | — | 1,249,225 | — | 186,067 | |
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares | |||||||||
8,851,360 | — | (3,692,011) | 943,854 | 6,103,203 | — | 1,093,194 | — | 297,427 | |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares | |||||||||
9,007,664 | 543,792 | (1,931,412) | (982,037) | 6,638,007 | — | 1,857,351 | — | 205,638 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
37,627,673 | 11,566 | (1,582,095) | 192,432 | 36,249,576 | — | 23,146 | — | 3,328,703 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
89,661,832 | 3,094,903 | — | (181,360) | 92,575,375 | — | — | — | 7,919,194 | |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares | |||||||||
23,875,219 | 2,174,558 | (21,872,032) | (4,177,745) | — | 1,098,401 | 3,562,595 | 462,771 | — | |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
24,006,462 | 2,978,098 | (2,771,497) | 3,317,249 | 27,530,312 | — | 280,535 | — | 488,820 | |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares | |||||||||
20,118,050 | — | (7,350,236) | (12,767,814) | — | — | 13,158,577 | — | — | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
16,589,460 | 10,250,248 | (3,703,545) | 3,223,456 | 26,359,619 | — | 385,244 | — | 760,081 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
25,008,664 | 3,067,318 | (2,002,668) | 2,206,628 | 28,279,942 | — | 130,475 | — | 417,232 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
18,315,755 | 8,079,132 | (5,010,712) | 3,762,026 | 25,146,201 | — | 677,483 | — | 795,011 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
129,999,568 | 3,349,928 | (7,996,542) | (1,426,240) | 123,926,714 | — | (72,414) | — | 10,880,308 | |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares | |||||||||
11,657,979 | — | (4,166,986) | (1,337,838) | 6,153,155 | — | 3,232,131 | — | 152,684 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
12,875,115 | 5,721,402 | (323,170) | (91,322) | 18,182,025 | — | (4,365) | — | 1,772,127 | |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares | |||||||||
11,833,914 | 48,868 | (2,784,194) | (2,897,192) | 6,201,396 | — | 3,600,092 | — | 138,116 | |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares | |||||||||
150,313,857 | 7,807,391 | (2,454,937) | (1,738,122) | 153,928,189 | — | (33,302) | — | 13,292,590 | |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares | |||||||||
30,179,412 | 129,350 | (8,221,143) | (4,872,146) | 17,215,473 | — | 8,027,028 | — | 528,731 | |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares | |||||||||
50,013,509 | 7,107,682 | (26,756,182) | (2,385,240) | 27,979,769 | — | 5,315,882 | 466,815 | 2,124,508 | |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares | |||||||||
19,301,384 | 770,368 | (2,826,668) | (413,794) | 16,831,290 | 759,050 | 850,008 | 11,318 | 1,192,862 | |
Variable Portfolio – Partners International Value Fund, Class 1 Shares | |||||||||
18,567,243 | 1,301,404 | (4,890,269) | 1,137,230 | 16,115,608 | — | 272,458 | 321,604 | 1,583,066 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
18,954,360 | 3,382,325 | (3,115,837) | 1,969,241 | 21,190,089 | — | 37,798 | — | 545,434 |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2021 | 9 |
June 30, 2021 (Unaudited)
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
17,277,912 | 2,544,425 | (2,991,284) | 3,516,867 | 20,347,920 | — | 404,458 | — | 555,044 | |
Total | 1,508,238,172 | (4,519,273) | 1,479,866,305 | 3,262,156 | 70,413,695 | 1,999,473 |
(b) | Non-income producing investment. |
(c) | Represents a security purchased on a when-issued basis. |
(d) | The rate shown is the seven-day current annualized yield at June 30, 2021. |
TBA | To Be Announced |
AUD | Australian Dollar |
CAD | Canada Dollar |
EUR | Euro |
GBP | British Pound |
HKD | Hong Kong Dollar |
JPY | Japanese Yen |
SEK | Swedish Krona |
SGD | Singapore Dollar |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
10 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Equity Funds | — | — | — | 552,791,467 | 552,791,467 |
Exchange-Traded Equity Funds | 70,644,812 | — | — | — | 70,644,812 |
Exchange-Traded Fixed Income Funds | 82,437,010 | — | — | — | 82,437,010 |
Fixed Income Funds | — | — | — | 666,437,493 | 666,437,493 |
Residential Mortgage-Backed Securities - Agency | — | 199,775,318 | — | — | 199,775,318 |
Options Purchased Puts | 12,852,950 | — | — | — | 12,852,950 |
Money Market Funds | 260,637,345 | — | — | — | 260,637,345 |
Total Investments in Securities | 426,572,117 | 199,775,318 | — | 1,219,228,960 | 1,845,576,395 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 2,397,158 | — | — | — | 2,397,158 |
Liability | |||||
Futures Contracts | (2,059,582) | — | — | — | (2,059,582) |
Total | 426,909,693 | 199,775,318 | — | 1,219,228,960 | 1,845,913,971 |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2021 | 11 |
June 30, 2021 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $316,746,809) | $352,857,140 |
Affiliated issuers (cost $1,200,850,196) | 1,479,866,305 |
Options purchased (cost $22,991,381) | 12,852,950 |
Cash collateral held at broker for: | |
TBA | 324,000 |
Margin deposits on: | |
Futures contracts | 17,292,971 |
Receivable for: | |
Investments sold | 1,374,814 |
Investments sold on a delayed delivery basis | 12,572,635 |
Dividends | 166,455 |
Interest | 240,314 |
Variation margin for futures contracts | 350,907 |
Prepaid expenses | 22,708 |
Trustees’ deferred compensation plan | 115,270 |
Total assets | 1,878,036,469 |
Liabilities | |
Payable for: | |
Investments purchased on a delayed delivery basis | 213,009,171 |
Capital shares purchased | 1,964,020 |
Variation margin for futures contracts | 601,566 |
Management services fees | 9,475 |
Distribution and/or service fees | 11,407 |
Service fees | 81,660 |
Compensation of board members | 9,014 |
Compensation of chief compliance officer | 128 |
Other expenses | 33,441 |
Trustees’ deferred compensation plan | 115,270 |
Total liabilities | 215,835,152 |
Net assets applicable to outstanding capital stock | $1,662,201,317 |
Represented by | |
Trust capital | $1,662,201,317 |
Total - representing net assets applicable to outstanding capital stock | $1,662,201,317 |
Class 1 | |
Net assets | $662,649 |
Shares outstanding | 43,423 |
Net asset value per share | $15.26 |
Class 2 | |
Net assets | $1,661,538,668 |
Shares outstanding | 109,490,320 |
Net asset value per share | $15.18 |
12 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2021 |
Six Months Ended June 30, 2021 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $1,408,216 |
Dividends — affiliated issuers | 1,999,473 |
Interest | 2,315 |
Total income | 3,410,004 |
Expenses: | |
Management services fees | 1,721,409 |
Distribution and/or service fees | |
Class 2 | 2,078,587 |
Service fees | 498,818 |
Compensation of board members | 18,058 |
Custodian fees | 15,746 |
Printing and postage fees | 11,126 |
Audit fees | 16,278 |
Legal fees | 12,536 |
Interest on collateral | 11,718 |
Compensation of chief compliance officer | 242 |
Other | (898) |
Total expenses | 4,383,620 |
Net investment loss | (973,616) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (936,730) |
Investments — affiliated issuers | 70,413,695 |
Capital gain distributions from underlying affiliated funds | 3,262,156 |
Foreign currency translations | 27,718 |
Futures contracts | (1,685,086) |
Options purchased | (4,502,678) |
Net realized gain | 66,579,075 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 4,356,785 |
Investments — affiliated issuers | (4,519,273) |
Foreign currency translations | (96,071) |
Futures contracts | (614,948) |
Options purchased | (7,459,695) |
Net change in unrealized appreciation (depreciation) | (8,333,202) |
Net realized and unrealized gain | 58,245,873 |
Net increase in net assets resulting from operations | $57,272,257 |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2021 | 13 |
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | |
Operations | ||
Net investment income (loss) | $(973,616) | $12,185,768 |
Net realized gain | 66,579,075 | 19,519,005 |
Net change in unrealized appreciation (depreciation) | (8,333,202) | 109,621,655 |
Net increase in net assets resulting from operations | 57,272,257 | 141,326,428 |
Increase (decrease) in net assets from capital stock activity | (90,206,100) | 32,876,907 |
Total increase (decrease) in net assets | (32,933,843) | 174,203,335 |
Net assets at beginning of period | 1,695,135,160 | 1,520,931,825 |
Net assets at end of period | $1,662,201,317 | $1,695,135,160 |
Six Months Ended | Year Ended | |||
June 30, 2021 (Unaudited) | December 31, 2020 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 11,011 | 165,607 | 27,854 | 382,942 |
Redemptions | (4,495) | (67,767) | (6,327) | (83,224) |
Net increase | 6,516 | 97,840 | 21,527 | 299,718 |
Class 2 | ||||
Subscriptions | 1,436,362 | 21,173,352 | 9,339,157 | 126,651,731 |
Redemptions | (7,496,306) | (111,477,292) | (6,903,807) | (94,074,542) |
Net increase (decrease) | (6,059,944) | (90,303,940) | 2,435,350 | 32,577,189 |
Total net increase (decrease) | (6,053,428) | (90,206,100) | 2,456,877 | 32,876,907 |
14 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2021 |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2021 | 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 6/30/2021 (Unaudited) | $14.73 | 0.01 | 0.52 | 0.53 |
Year Ended 12/31/2020 | $13.47 | 0.14 | 1.12 | 1.26 |
Year Ended 12/31/2019(e) | $12.36 | 0.16 | 0.95 | 1.11 |
Class 2 | ||||
Six Months Ended 6/30/2021 (Unaudited) | $14.67 | (0.01) | 0.52 | 0.51 |
Year Ended 12/31/2020 | $13.44 | 0.11 | 1.12 | 1.23 |
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 |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Annualized. |
(d) | Ratios include interest on collateral expense which is less than 0.01%. |
(e) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
16 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2021 |
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 6/30/2021 (Unaudited) | $15.26 | 3.60% | 0.28%(c),(d) | 0.28%(c),(d) | 0.14%(c) | 85% | $663 |
Year Ended 12/31/2020 | $14.73 | 9.35% | 0.29% | 0.29% | 1.06% | 152% | $544 |
Year Ended 12/31/2019(e) | $13.47 | 8.98% | 0.29%(c) | 0.29%(c) | 1.46%(c) | 137% | $207 |
Class 2 | |||||||
Six Months Ended 6/30/2021 (Unaudited) | $15.18 | 3.48% | 0.53%(c),(d) | 0.53%(c),(d) | (0.12%)(c) | 85% | $1,661,539 |
Year Ended 12/31/2020 | $14.67 | 9.15% | 0.54% | 0.54% | 0.78% | 152% | $1,694,592 |
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% | $1,358,964 |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2021 | 17 |
June 30, 2021 (Unaudited)
18 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2021 | 19 |
June 30, 2021 (Unaudited)
20 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2021 | 21 |
June 30, 2021 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 1,513,709* |
Equity risk | Investments, at value — Options Purchased | 12,852,950 |
Foreign exchange risk | Component of trust capital — unrealized appreciation on futures contracts | 34,957* |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 848,492* |
Total | 15,250,108 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 455,111* |
Foreign exchange risk | Component of trust capital - unrealized depreciation on futures contracts | 1,528,323* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 76,148* |
Total | 2,059,582 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | 6,909,788 | (4,502,678) | 2,407,110 |
Foreign exchange risk | 637,577 | — | 637,577 |
Interest rate risk | (9,232,451) | — | (9,232,451) |
Total | (1,685,086) | (4,502,678) | (6,187,764) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | 221,885 | (7,459,695) | (7,237,810) |
Foreign exchange risk | (1,911,394) | — | (1,911,394) |
Interest rate risk | 1,074,561 | — | 1,074,561 |
Total | (614,948) | (7,459,695) | (8,074,643) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 313,631,954 |
Futures contracts — short | 20,535,556 |
22 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Derivative instrument | Average value ($) |
Options contracts — purchased | 13,147,440 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2021. |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2021 | 23 |
June 30, 2021 (Unaudited)
JPMorgan ($) | |
Assets | |
Options purchased puts | 12,852,950 |
Total financial and derivative net assets | 12,852,950 |
Total collateral received (pledged) (a) | - |
Net amount (b) | 12,852,950 |
(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 2021 |
June 30, 2021 (Unaudited)
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2021 | 25 |
June 30, 2021 (Unaudited)
Fee rate(s) contractual through April 30, 2022 | |
Class 1 | 0.80% |
Class 2 | 1.05 |
26 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2021 | 27 |
June 30, 2021 (Unaudited)
28 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2021 | 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. |
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
30 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2021 |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | Terms of the Management Agreement; |
• | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
• | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
• | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2021 | 31 |
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Management Agreement supported the continuation of the Management Agreement.
32 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2021 |
Economies of scale
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2021 | 33 |
June 30, 2021
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2021) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | Life | ||
Class 1* | 02/20/19 | 7.97 | 22.84 | 9.72 | 7.46 | |
Class 2 | 04/12/13 | 7.87 | 22.59 | 9.59 | 7.39 | |
Blended Benchmark | 7.89 | 25.09 | 11.39 | 9.35 | ||
Russell 3000 Index | 15.11 | 44.16 | 17.89 | 15.10 |
* | 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 2021 | 3 |
(Unaudited)
Portfolio Allocation (%) (at June 30, 2021) | |
Allocations to Underlying Funds | |
Equity Funds | 58.1 |
International | 14.5 |
U.S. Large Cap | 36.1 |
U.S. Mid Cap | 2.8 |
U.S. Small Cap | 4.7 |
Exchange-Traded Equity Funds | 2.9 |
International Mid Large Cap | 1.7 |
U.S. Large Cap | 1.2 |
Exchange-Traded Fixed Income Funds | 3.2 |
Investment Grade | 3.2 |
Fixed Income Funds | 10.1 |
Investment Grade | 10.1 |
Allocations to Tactical Assets | |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 17.9 |
Options Purchased Puts | 1.4 |
Residential Mortgage-Backed Securities - Agency | 6.4 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $2.6 billion) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2021 |
(Unaudited)
January 1, 2021 — June 30, 2021 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,079.70 | 1,023.55 | 1.29 | 1.25 | 0.25 | 4.02 | 3.91 | 0.78 |
Class 2 | 1,000.00 | 1,000.00 | 1,078.70 | 1,022.32 | 2.58 | 2.51 | 0.50 | 5.31 | 5.16 | 1.03 |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2021 | 5 |
June 30, 2021 (Unaudited)
Equity Funds 61.1% | ||
Shares | Value ($) | |
International 15.3% | ||
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(a) | 55,254,669 | 828,820,036 |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares(a) | 46,764,434 | 615,887,598 |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares(a) | 22,681,557 | 320,036,767 |
Variable Portfolio – Partners International Value Fund, Class 1 Shares(a) | 31,348,417 | 319,126,886 |
Total | 2,083,871,287 | |
U.S. Large Cap 37.9% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 8,445,877 | 320,689,965 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 10,801,531 | 846,299,964 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 14,227,304 | 492,833,819 |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 47,578,523 | 790,279,264 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 13,503,466 | 483,829,177 |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares(a),(b) | 7,810,688 | 439,897,974 |
CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 13,098,822 | 454,267,153 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 7,275,136 | 493,108,689 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 13,740,390 | 434,608,536 |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(a),(b) | 12,763,231 | 415,570,794 |
Total | 5,171,385,335 | |
U.S. Mid Cap 3.0% | ||
Columbia Variable Portfolio – Mid Cap Growth Fund, Class 1 Shares(a),(b) | 1,983,063 | 100,739,573 |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares(a),(b) | 3,068,173 | 101,587,203 |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(a),(b) | 2,579,959 | 103,972,352 |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(a),(b) | 2,194,777 | 98,545,492 |
Total | 404,844,620 |
Equity Funds (continued) | ||
Shares | Value ($) | |
U.S. Small Cap 4.9% | ||
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares(a) | 4,928,974 | 101,142,547 |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares(a),(b) | 3,257,782 | 105,161,222 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 6,179,291 | 240,065,451 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 6,268,261 | 229,794,439 |
Total | 676,163,659 | |
Total Equity Funds (Cost $5,100,077,400) | 8,336,264,901 | |
Exchange-Traded Equity Funds 3.0% | ||
International Mid Large Cap 1.7% | ||
iShares MSCI EAFE ETF | 3,000,000 | 236,640,000 |
U.S. Large Cap 1.3% | ||
SPDR S&P 500 ETF Trust | 413,300 | 176,917,198 |
Total Exchange-Traded Equity Funds (Cost $308,508,293) | 413,557,198 | |
Exchange-Traded Fixed Income Funds 3.3% | ||
Investment Grade 3.3% | ||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 1,463,500 | 196,635,860 |
Vanguard Intermediate-Term Corporate Bond ETF | 2,745,000 | 260,967,150 |
Total | 457,603,010 | |
Total Exchange-Traded Fixed Income Funds (Cost $427,630,203) | 457,603,010 | |
Fixed Income Funds 10.7% | ||
Investment Grade 10.7% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 16,867,054 | 195,320,490 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 9,657,109 | 97,247,087 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 17,112,928 | 201,419,165 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 8,842,820 | 96,298,305 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 16,779,660 | 196,154,220 |
6 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Fixed Income Funds (continued) | ||
Shares | Value ($) | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 21,491,070 | 244,783,284 |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(a) | 36,481,607 | 422,457,012 |
Total | 1,453,679,563 | |
Total Fixed Income Funds (Cost $1,349,864,425) | 1,453,679,563 |
Residential Mortgage-Backed Securities - Agency 6.8% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(c) | ||||
07/19/2036 | 2.500% | 222,200,000 | 231,695,579 | |
07/19/2036- 07/14/2051 | 3.000% | 428,721,000 | 448,663,132 | |
07/14/2051 | 3.500% | 231,000,000 | 243,204,199 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $924,809,433) | 923,562,910 |
Options Purchased Puts 1.5% | ||||
Value ($) | ||||
(Cost $338,851,725) | 202,372,250 |
Money Market Funds 18.8% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.051%(a),(d) | 2,569,709,250 | 2,569,452,279 |
Total Money Market Funds (Cost $2,569,307,174) | 2,569,452,279 | |
Total Investments in Securities (Cost: $11,019,048,653) | 14,356,492,111 | |
Other Assets & Liabilities, Net | (715,820,183) | |
Net Assets | 13,640,671,928 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Australian Dollar | 1,318 | 09/2021 | USD | 98,823,640 | — | (3,204,584) |
British Pound | 2,188 | 09/2021 | USD | 188,783,375 | — | (4,404,827) |
Euro FX | 2,392 | 09/2021 | USD | 354,763,500 | — | (10,351,201) |
EURO STOXX 50 Index | 7,129 | 09/2021 | EUR | 289,116,595 | — | (1,975,059) |
FTSE 100 Index | 574 | 09/2021 | GBP | 40,068,070 | — | (262,769) |
Japanese Yen | 3,229 | 09/2021 | USD | 363,545,038 | — | (5,389,326) |
New Zealand Dollar | 100 | 09/2021 | USD | 6,983,000 | — | (209,370) |
OMXS30 Index | 2,476 | 07/2021 | SEK | 561,061,600 | — | (625,833) |
Russell 2000 Index E-mini | 969 | 09/2021 | USD | 111,812,910 | — | (639,128) |
S&P 500 Index E-mini | 11,646 | 09/2021 | USD | 2,497,251,780 | 33,249,070 | — |
SPI 200 Index | 937 | 09/2021 | AUD | 169,198,775 | 20,156 | — |
Swiss Franc | 180 | 09/2021 | USD | 24,342,750 | — | (826,416) |
TOPIX Index | 1,753 | 09/2021 | JPY | 34,060,790,000 | — | (2,782,240) |
U.S. Long Bond | 854 | 09/2021 | USD | 137,280,500 | 3,940,194 | — |
U.S. Treasury 10-Year Note | 1,083 | 09/2021 | USD | 143,497,500 | 935,176 | — |
U.S. Treasury 2-Year Note | 170 | 09/2021 | USD | 37,454,453 | 11,306 | — |
U.S. Treasury 2-Year Note | 418 | 09/2021 | USD | 92,093,890 | — | (131,419) |
U.S. Treasury 5-Year Note | 395 | 09/2021 | USD | 48,754,727 | 37,044 | — |
U.S. Treasury 5-Year Note | 1,005 | 09/2021 | USD | 124,046,836 | — | (182,495) |
U.S. Ultra Treasury Bond | 395 | 09/2021 | USD | 76,111,563 | 3,372,651 | — |
Total | 41,565,597 | (30,984,667) |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2021 | 7 |
June 30, 2021 (Unaudited)
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Canadian Dollar | (260) | 09/2021 | USD | (20,961,200) | 534,638 | — |
DAX Index | (1) | 09/2021 | EUR | (388,200) | 991 | — |
Hang Seng Index | (383) | 07/2021 | HKD | (548,264,500) | 1,255,442 | — |
MSCI Singapore Index | (264) | 07/2021 | SGD | (9,383,880) | — | (17,838) |
S&P/TSX 60 Index | (585) | 09/2021 | CAD | (140,715,900) | — | (1,538,907) |
Total | 1,791,071 | (1,556,745) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 1,951,065,000 | 4,540 | 3,400.00 | 12/16/2022 | 87,985,448 | 68,781,000 |
S&P 500 Index | JPMorgan | USD | 1,676,025,000 | 3,900 | 3,300.00 | 12/16/2022 | 66,077,026 | 52,416,000 |
S&P 500 Index | JPMorgan | USD | 1,740,487,500 | 4,050 | 3,000.00 | 12/16/2022 | 95,199,500 | 37,401,750 |
S&P 500 Index | JPMorgan | USD | 988,425,000 | 2,300 | 3,100.00 | 12/16/2022 | 55,533,637 | 24,138,500 |
S&P 500 Index | JPMorgan | USD | 709,087,500 | 1,650 | 3,200.00 | 12/16/2022 | 34,056,114 | 19,635,000 |
Total | 338,851,725 | 202,372,250 |
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America Investment Grade Index, Series 36 | Morgan Stanley | 06/20/2026 | 1.000 | Quarterly | 0.481 | USD | 150,000,000 | 741,144 | — | — | 741,144 | — |
* | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(a) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2021 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, 0.051% | |||||||||
1,916,223,592 | 2,028,852,049 | (1,375,643,827) | 20,465 | 2,569,452,279 | — | (20,465) | 770,305 | 2,569,709,250 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
303,650,420 | 198,778 | (12,746,429) | 29,587,196 | 320,689,965 | — | 18,318,656 | — | 8,445,877 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
1,107,726,311 | — | (213,902,962) | (47,523,385) | 846,299,964 | — | 185,521,592 | — | 10,801,531 | |
Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares | |||||||||
275,798,928 | — | (167,648,217) | (108,150,711) | — | — | 114,839,086 | — | — | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
234,025,179 | 12,402,136 | (47,311,156) | (3,795,669) | 195,320,490 | — | 4,707,444 | — | 16,867,054 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
363,085,688 | 57,450,002 | (506,585) | 72,804,714 | 492,833,819 | — | 20,896 | — | 14,227,304 |
8 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
68,100,159 | 29,117,327 | (87,409) | 117,010 | 97,247,087 | — | (3,073) | — | 9,657,109 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
129,021,902 | 79,571,970 | (1,343,741) | (5,830,966) | 201,419,165 | — | (107,007) | — | 17,112,928 | |
Columbia Variable Portfolio – Mid Cap Growth Fund, Class 1 Shares | |||||||||
105,418,743 | 375,152 | (7,884,021) | 2,829,699 | 100,739,573 | — | 9,781,152 | — | 1,983,063 | |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares | |||||||||
544,202,030 | 252,536,319 | (53,397) | 32,135,084 | 828,820,036 | 16,937,034 | 583 | 7,721,538 | 55,254,669 | |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares | |||||||||
311,078,779 | 392,385,592 | (1,109,289) | 87,924,182 | 790,279,264 | — | 21,044 | — | 47,578,523 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
289,603,280 | 167,672,171 | (48,221,429) | 74,775,155 | 483,829,177 | — | 5,469,551 | — | 13,503,466 | |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares | |||||||||
106,902,559 | — | (16,116,633) | 10,801,277 | 101,587,203 | — | 7,519,694 | — | 3,068,173 | |
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares | |||||||||
90,739,070 | — | (10,097,467) | 20,500,944 | 101,142,547 | — | 3,457,412 | — | 4,928,974 | |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares | |||||||||
98,086,081 | 9,543,076 | (6,037,954) | 3,570,019 | 105,161,222 | — | 5,223,934 | — | 3,257,782 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
67,678,019 | 28,354,755 | (58,622) | 324,153 | 96,298,305 | — | (87) | — | 8,842,820 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
163,534,496 | 32,542,507 | (298,589) | 375,806 | 196,154,220 | — | (2,305) | — | 16,779,660 | |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares | |||||||||
321,456,185 | 29,384,223 | (303,764,739) | (47,075,669) | — | 20,673,988 | 31,719,962 | 8,710,234 | — | |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
329,106,610 | 57,643,097 | — | 53,148,267 | 439,897,974 | — | — | — | 7,810,688 | |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares | |||||||||
278,885,096 | — | (101,561,951) | (177,323,145) | — | — | 194,404,299 | — | — | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
217,421,906 | 207,164,072 | (23,921,677) | 53,602,852 | 454,267,153 | — | 2,921,488 | — | 13,098,822 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
341,198,444 | 121,330,226 | (8,975,242) | 39,555,261 | 493,108,689 | — | 365,868 | — | 7,275,136 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
262,663,991 | 155,530,482 | (45,644,564) | 62,058,627 | 434,608,536 | — | 5,759,369 | — | 13,740,390 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
247,390,833 | 14,481,230 | (14,325,597) | (2,763,182) | 244,783,284 | — | 137,342 | — | 21,491,070 | |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares | |||||||||
153,354,325 | — | (47,387,720) | (1,994,253) | 103,972,352 | — | 29,580,258 | — | 2,579,959 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
24,294,678 | — | (23,959,165) | (335,513) | — | — | 288,628 | — | — | |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares | |||||||||
155,928,237 | 387,179 | (30,265,786) | (27,504,138) | 98,545,492 | — | 37,807,416 | — | 2,194,777 | |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares | |||||||||
399,965,749 | 27,103,843 | — | (4,612,580) | 422,457,012 | — | — | — | 36,481,607 |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2021 | 9 |
June 30, 2021 (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 Core Equity Fund, Class 1 Shares | |||||||||
427,768,413 | 7,290,549 | (42,023,882) | 22,535,714 | 415,570,794 | — | 37,990,799 | — | 12,763,231 | |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares | |||||||||
787,762,864 | 163,037,884 | (377,333,534) | 42,420,384 | 615,887,598 | — | 16,326,794 | 14,323,870 | 46,764,434 | |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares | |||||||||
279,608,758 | 36,067,331 | — | 4,360,678 | 320,036,767 | 14,405,108 | — | 198,822 | 22,681,557 | |
Variable Portfolio – Partners International Value Fund, Class 1 Shares | |||||||||
280,897,012 | 93,087,389 | (83,239,466) | 28,381,951 | 319,126,886 | — | (7,749,101) | 5,003,541 | 31,348,417 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
235,039,270 | 19,732,053 | (34,352,150) | 19,646,278 | 240,065,451 | — | 6,392,049 | — | 6,179,291 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
195,616,323 | 17,951,478 | (23,225,777) | 39,452,415 | 229,794,439 | — | 3,892,175 | — | 6,268,261 | |
Total | 11,113,233,930 | 274,018,920 | 12,359,396,743 | 52,016,130 | 714,585,453 | 36,728,310 |
(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, 2021. |
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 Growth Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Equity Funds | — | — | — | 8,336,264,901 | 8,336,264,901 |
Exchange-Traded Equity Funds | 413,557,198 | — | — | — | 413,557,198 |
Exchange-Traded Fixed Income Funds | 457,603,010 | — | — | — | 457,603,010 |
Fixed Income Funds | — | — | — | 1,453,679,563 | 1,453,679,563 |
Residential Mortgage-Backed Securities - Agency | — | 923,562,910 | — | — | 923,562,910 |
Options Purchased Puts | 202,372,250 | — | — | — | 202,372,250 |
Money Market Funds | 2,569,452,279 | — | — | — | 2,569,452,279 |
Total Investments in Securities | 3,642,984,737 | 923,562,910 | — | 9,789,944,464 | 14,356,492,111 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 43,356,668 | — | — | — | 43,356,668 |
Swap Contracts | — | 741,144 | — | — | 741,144 |
Liability | |||||
Futures Contracts | (32,541,412) | — | — | — | (32,541,412) |
Total | 3,653,799,993 | 924,304,054 | — | 9,789,944,464 | 14,368,048,511 |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2021 | 11 |
June 30, 2021 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,660,947,929) | $1,794,723,118 |
Affiliated issuers (cost $9,019,248,999) | 12,359,396,743 |
Options purchased (cost $338,851,725) | 202,372,250 |
Cash collateral held at broker for: | |
TBA | 3,320,000 |
Margin deposits on: | |
Futures contracts | 227,398,766 |
Swap contracts | 3,778,875 |
Receivable for: | |
Investments sold | 8,681,846 |
Investments sold on a delayed delivery basis | 429,409,193 |
Capital shares sold | 2,978 |
Dividends | 669,100 |
Interest | 1,118,152 |
Variation margin for futures contracts | 6,090,385 |
Prepaid expenses | 149,927 |
Trustees’ deferred compensation plan | 548,754 |
Total assets | 15,037,660,087 |
Liabilities | |
Payable for: | |
Investments purchased | 16,802,500 |
Investments purchased on a delayed delivery basis | 1,356,673,612 |
Capital shares purchased | 12,405,616 |
Variation margin for futures contracts | 9,600,243 |
Variation margin for swap contracts | 11,811 |
Management services fees | 69,790 |
Distribution and/or service fees | 93,595 |
Service fees | 665,226 |
Compensation of board members | 31,430 |
Compensation of chief compliance officer | 914 |
Other expenses | 84,668 |
Trustees’ deferred compensation plan | 548,754 |
Total liabilities | 1,396,988,159 |
Net assets applicable to outstanding capital stock | $13,640,671,928 |
Represented by | |
Trust capital | $13,640,671,928 |
Total - representing net assets applicable to outstanding capital stock | $13,640,671,928 |
Class 1 | |
Net assets | $10,067,434 |
Shares outstanding | 558,575 |
Net asset value per share | $18.02 |
Class 2 | |
Net assets | $13,630,604,494 |
Shares outstanding | 759,137,605 |
Net asset value per share | $17.96 |
12 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2021 |
Six Months Ended June 30, 2021 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $9,433,701 |
Dividends — affiliated issuers | 36,728,310 |
Interest | 35,360 |
Total income | 46,197,371 |
Expenses: | |
Management services fees | 11,767,130 |
Distribution and/or service fees | |
Class 2 | 16,241,119 |
Service fees | 3,908,897 |
Compensation of board members | 77,361 |
Custodian fees | 20,847 |
Printing and postage fees | 32,136 |
Audit fees | 16,278 |
Legal fees | 80,733 |
Interest on collateral | 186,879 |
Compensation of chief compliance officer | 1,787 |
Other | (5,983) |
Total expenses | 32,327,184 |
Net investment income | 13,870,187 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (6,455,504) |
Investments — affiliated issuers | 714,585,453 |
Capital gain distributions from underlying affiliated funds | 52,016,130 |
Foreign currency translations | 319,325 |
Futures contracts | 142,637,005 |
Options purchased | (72,399,573) |
Swap contracts | 809,346 |
Net realized gain | 831,512,182 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (10,322,014) |
Investments — affiliated issuers | 274,018,920 |
Foreign currency translations | (1,503,235) |
Futures contracts | (18,447,296) |
Options purchased | (103,020,866) |
Swap contracts | 219,496 |
Net change in unrealized appreciation (depreciation) | 140,945,005 |
Net realized and unrealized gain | 972,457,187 |
Net increase in net assets resulting from operations | $986,327,374 |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2021 | 13 |
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | |
Operations | ||
Net investment income | $13,870,187 | $17,996,745 |
Net realized gain | 831,512,182 | 452,688,875 |
Net change in unrealized appreciation (depreciation) | 140,945,005 | 786,612,622 |
Net increase in net assets resulting from operations | 986,327,374 | 1,257,298,242 |
Increase (decrease) in net assets from capital stock activity | 145,034,256 | (200,132,361) |
Total increase in net assets | 1,131,361,630 | 1,057,165,881 |
Net assets at beginning of period | 12,509,310,298 | 11,452,144,417 |
Net assets at end of period | $13,640,671,928 | $12,509,310,298 |
Six Months Ended | Year Ended | |||
June 30, 2021 (Unaudited) | December 31, 2020 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 204,513 | 3,565,136 | 271,876 | 4,115,906 |
Redemptions | (10,504) | (182,961) | (39,948) | (600,344) |
Net increase | 194,009 | 3,382,175 | 231,928 | 3,515,562 |
Class 2 | ||||
Subscriptions | 13,841,736 | 240,077,047 | 12,219,780 | 184,675,627 |
Redemptions | (5,678,911) | (98,424,966) | (26,490,460) | (388,323,550) |
Net increase (decrease) | 8,162,825 | 141,652,081 | (14,270,680) | (203,647,923) |
Total net increase (decrease) | 8,356,834 | 145,034,256 | (14,038,752) | (200,132,361) |
14 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2021 |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2021 | 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 6/30/2021 (Unaudited) | $16.69 | 0.04 | 1.29 | 1.33 |
Year Ended 12/31/2020 | $14.96 | 0.06 | 1.67 | 1.73 |
Year Ended 12/31/2019(e) | $13.62 | 0.11 | 1.23 | 1.34 |
Class 2 | ||||
Six Months Ended 6/30/2021 (Unaudited) | $16.65 | 0.02 | 1.29 | 1.31 |
Year Ended 12/31/2020 | $14.96 | 0.02 | 1.67 | 1.69 |
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 |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Annualized. |
(d) | Ratios include interest on collateral expense which is less than 0.01%. |
(e) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
16 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2021 |
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 6/30/2021 (Unaudited) | $18.02 | 7.97% | 0.25%(c),(d) | 0.25%(c),(d) | 0.48%(c) | 101% | $10,067 |
Year Ended 12/31/2020 | $16.69 | 11.56% | 0.25% | 0.25% | 0.42% | 184% | $6,085 |
Year Ended 12/31/2019(e) | $14.96 | 9.84% | 0.25%(c) | 0.25%(c) | 0.88%(c) | 128% | $1,985 |
Class 2 | |||||||
Six Months Ended 6/30/2021 (Unaudited) | $17.96 | 7.87% | 0.50%(c),(d) | 0.50%(c),(d) | 0.21%(c) | 101% | $13,630,604 |
Year Ended 12/31/2020 | $16.65 | 11.30% | 0.50% | 0.50% | 0.16% | 184% | $12,503,225 |
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% | $8,232,846 |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2021 | 17 |
June 30, 2021 (Unaudited)
18 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2021 | 19 |
June 30, 2021 (Unaudited)
20 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2021 | 21 |
June 30, 2021 (Unaudited)
22 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of trust capital — unrealized appreciation on swap contracts | 741,144* |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 34,525,659* |
Equity risk | Investments, at value — Options Purchased | 202,372,250 |
Foreign exchange risk | Component of trust capital — unrealized appreciation on futures contracts | 534,638* |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 8,296,371* |
Total | 246,470,062 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 7,841,774* |
Foreign exchange risk | Component of trust capital - unrealized depreciation on futures contracts | 24,385,724* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 313,914* |
Total | 32,541,412 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 809,346 | 809,346 |
Equity risk | 207,648,485 | (72,399,573) | — | 135,248,912 |
Foreign exchange risk | 7,503,496 | — | — | 7,503,496 |
Interest rate risk | (72,514,976) | — | — | (72,514,976) |
Total | 142,637,005 | (72,399,573) | 809,346 | 71,046,778 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 219,496 | 219,496 |
Equity risk | 1,448,577 | (103,020,866) | — | (101,572,289) |
Foreign exchange risk | (30,881,067) | — | — | (30,881,067) |
Interest rate risk | 10,985,194 | — | — | 10,985,194 |
Total | (18,447,296) | (103,020,866) | 219,496 | (121,248,666) |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2021 | 23 |
June 30, 2021 (Unaudited)
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 4,365,039,762 |
Futures contracts — short | 217,150,677 |
Credit default swap contracts — sell protection | 150,000,000 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 202,116,303 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2021. |
24 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
JPMorgan ($) | Morgan Stanley ($) | Total ($) | |
Assets | |||
Options purchased puts | 202,372,250 | - | 202,372,250 |
Liabilities | |||
Centrally cleared credit default swap contracts (a) | - | 11,811 | 11,811 |
Total financial and derivative net assets | 202,372,250 | (11,811) | 202,360,439 |
Total collateral received (pledged) (b) | - | - | - |
Net amount (c) | 202,372,250 | (11,811) | 202,360,439 |
(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 2021 | 25 |
June 30, 2021 (Unaudited)
26 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2021 | 27 |
June 30, 2021 (Unaudited)
Fee rate(s) contractual through April 30, 2022 | |
Class 1 | 0.80% |
Class 2 | 1.05 |
28 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2021 | 29 |
June 30, 2021 (Unaudited)
30 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2021 |
• | 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. |
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2021 | 31 |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | Terms of the Management Agreement; |
• | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
• | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
• | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
32 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2021 |
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Management Agreement supported the continuation of the Management Agreement.
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2021 | 33 |
Economies of scale
34 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2021 |
June 30, 2021
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2021) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/19/98 | 26.90 | 74.19 | 14.86 | 10.67 | |
Class 2 | 06/01/00 | 26.71 | 73.82 | 14.57 | 10.43 | |
Russell 2000 Value Index | 26.69 | 73.28 | 13.62 | 10.85 |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2021 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2021) | |
Common Stocks | 99.6 |
Money Market Funds | 0.4 |
Total | 100.0 |
Equity sector breakdown (%) (at June 30, 2021) | |
Communication Services | 3.0 |
Consumer Discretionary | 12.2 |
Consumer Staples | 2.8 |
Energy | 6.2 |
Financials | 29.9 |
Health Care | 7.5 |
Industrials | 15.0 |
Information Technology | 8.2 |
Materials | 8.4 |
Real Estate | 6.0 |
Utilities | 0.8 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2021 |
(Unaudited)
January 1, 2021 — June 30, 2021 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,269.00 | 1,020.43 | 4.95 | 4.41 | 0.88 |
Class 2 | 1,000.00 | 1,000.00 | 1,267.10 | 1,019.19 | 6.35 | 5.66 | 1.13 |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2021 | 5 |
June 30, 2021 (Unaudited)
Common Stocks 99.9% | ||
Issuer | Shares | Value ($) |
Communication Services 3.0% | ||
Diversified Telecommunication Services 0.3% | ||
Liberty Latin America Ltd., Class C(a) | 155,230 | 2,188,743 |
Entertainment 0.6% | ||
Gaia, Inc.(a) | 160,140 | 1,759,939 |
Lions Gate Entertainment Corp., Class B(a) | 146,158 | 2,674,691 |
Total | 4,434,630 | |
Interactive Media & Services 0.5% | ||
Cargurus, Inc.(a) | 114,010 | 2,990,482 |
Trivago NV, ADR(a) | 371,305 | 1,229,020 |
Total | 4,219,502 | |
Media 0.7% | ||
Criteo SA, ADR(a) | 125,638 | 5,682,606 |
Wireless Telecommunication Services 0.9% | ||
Shenandoah Telecommunications Co. | 42,889 | 2,080,545 |
Telephone and Data Systems, Inc. | 227,040 | 5,144,727 |
Total | 7,225,272 | |
Total Communication Services | 23,750,753 | |
Consumer Discretionary 12.2% | ||
Auto Components 1.7% | ||
Gentherm, Inc.(a) | 63,444 | 4,507,696 |
Modine Manufacturing Co.(a) | 193,381 | 3,208,191 |
Visteon Corp.(a) | 49,715 | 6,012,532 |
Total | 13,728,419 | |
Distributors 0.2% | ||
Educational Development Corp. | 144,239 | 1,798,660 |
Diversified Consumer Services 1.4% | ||
American Public Education, Inc.(a) | 94,278 | 2,671,839 |
Carriage Services, Inc. | 132,670 | 4,904,810 |
Stride, Inc.(a) | 100,150 | 3,217,819 |
Total | 10,794,468 | |
Household Durables 4.0% | ||
Cavco Industries, Inc.(a) | 15,447 | 3,432,169 |
Ethan Allen Interiors, Inc. | 104,309 | 2,878,928 |
Hamilton Beach Brands Holding Co. | 144,553 | 3,219,195 |
Hooker Furniture Corp. | 64,523 | 2,235,077 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Legacy Housing Corp.(a) | 108,921 | 1,841,854 |
Lifetime Brands, Inc. | 140,415 | 2,102,013 |
Meritage Homes Corp.(a) | 65,514 | 6,163,557 |
Skyline Champion Corp.(a) | 91,250 | 4,863,625 |
Tri Pointe Homes, Inc.(a) | 257,967 | 5,528,233 |
Total | 32,264,651 | |
Internet & Direct Marketing Retail 0.2% | ||
Redbubble Ltd.(a) | 694,580 | 1,880,450 |
Leisure Products 0.5% | ||
Malibu Boats, Inc., Class A(a) | 53,744 | 3,941,047 |
Multiline Retail 0.7% | ||
Big Lots, Inc. | 86,487 | 5,709,007 |
Specialty Retail 1.2% | ||
Aaron’s Co., Inc. (The) | 37,197 | 1,189,932 |
Leslie’s, Inc.(a) | 135,300 | 3,719,397 |
Urban Outfitters, Inc.(a) | 102,098 | 4,208,480 |
Total | 9,117,809 | |
Textiles, Apparel & Luxury Goods 2.3% | ||
Canada Goose Holdings, Inc.(a) | 88,830 | 3,885,424 |
Culp, Inc. | 130,659 | 2,129,742 |
Movado Group, Inc. | 106,937 | 3,365,307 |
Skechers U.S.A., Inc., Class A(a) | 71,931 | 3,584,322 |
Steven Madden Ltd. | 131,010 | 5,732,998 |
Total | 18,697,793 | |
Total Consumer Discretionary | 97,932,304 | |
Consumer Staples 2.8% | ||
Beverages 0.5% | ||
MGP Ingredients, Inc. | 66,861 | 4,522,478 |
Food & Staples Retailing 1.2% | ||
Andersons, Inc. (The) | 135,761 | 4,144,784 |
Sprouts Farmers Market, Inc.(a) | 214,420 | 5,328,337 |
Total | 9,473,121 | |
Food Products 0.7% | ||
Fresh Del Monte Produce, Inc. | 179,433 | 5,899,757 |
6 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Personal Products 0.4% | ||
Inter Parfums, Inc. | 41,209 | 2,967,048 |
Total Consumer Staples | 22,862,404 | |
Energy 6.2% | ||
Energy Equipment & Services 3.7% | ||
ChampionX Corp.(a) | 306,630 | 7,865,060 |
Core Laboratories NV | 92,120 | 3,588,074 |
Dawson Geophysical Co.(a) | 573,604 | 1,497,106 |
Frank’s International NV(a) | 583,807 | 1,768,935 |
Natural Gas Services Group, Inc.(a) | 184,924 | 1,901,019 |
Newpark Resources, Inc.(a) | 944,682 | 3,268,600 |
Pason Systems, Inc. | 284,948 | 2,052,747 |
Profire Energy, Inc.(a) | 703,113 | 794,518 |
ProPetro Holding Corp.(a) | 199,250 | 1,825,130 |
TechnipFMC PLC(a) | 558,228 | 5,051,963 |
Total | 29,613,152 | |
Oil, Gas & Consumable Fuels 2.5% | ||
Chesapeake Energy Corp. | 52,470 | 2,724,242 |
HollyFrontier Corp. | 101,620 | 3,343,298 |
Range Resources Corp.(a) | 433,080 | 7,258,421 |
Talos Energy, Inc.(a) | 237,720 | 3,717,941 |
W&T Offshore, Inc.(a) | 591,340 | 2,867,999 |
Total | 19,911,901 | |
Total Energy | 49,525,053 | |
Financials 29.8% | ||
Banks 18.4% | ||
Altabancorp | 102,123 | 4,422,947 |
Ameris Bancorp | 159,811 | 8,091,231 |
Atlantic Union Bankshares Corp. | 111,028 | 4,021,434 |
BancFirst Corp. | 86,223 | 5,382,902 |
Bank of Marin Bancorp | 23,115 | 737,369 |
BankUnited, Inc. | 203,592 | 8,691,342 |
Banner Corp. | 91,492 | 4,959,781 |
Brookline Bancorp, Inc. | 282,861 | 4,228,772 |
Capital Bancorp, Inc.(a) | 147,725 | 3,020,976 |
Capital City Bank Group, Inc. | 121,769 | 3,140,423 |
Central Pacific Financial Corp. | 107,699 | 2,806,636 |
Central Valley Community Bancorp | 82,910 | 1,670,636 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Columbia Banking System, Inc. | 144,566 | 5,574,465 |
Community Trust Bancorp, Inc. | 78,324 | 3,162,723 |
First BanCorp | 611,883 | 7,293,645 |
First BanCorp | 111,532 | 4,562,774 |
First Community Corp. | 179,220 | 3,620,244 |
First Financial Corp. | 102,276 | 4,174,906 |
First of Long Island Corp. (The) | 115,187 | 2,445,420 |
FVCBankcorp, Inc.(a) | 86,330 | 1,490,056 |
Heritage Financial Corp. | 148,238 | 3,708,915 |
Hilltop Holdings, Inc. | 176,650 | 6,430,060 |
National Bank Holdings Corp., Class A | 97,389 | 3,675,461 |
Northrim BanCorp, Inc. | 135,673 | 5,800,021 |
OFG Bancorp | 217,609 | 4,813,511 |
Plumas Bancorp | 49,350 | 1,580,680 |
Popular, Inc. | 154,090 | 11,564,454 |
Professional Holding Corp., Class A(a) | 85,480 | 1,540,350 |
Shore Bancshares, Inc. | 87,350 | 1,463,112 |
Sierra Bancorp | 73,979 | 1,882,766 |
Southern First Bancshares, Inc.(a) | 67,723 | 3,464,709 |
Spirit of Texas Bancshares, Inc. | 131,400 | 3,001,176 |
Towne Bank | 197,602 | 6,011,053 |
UMB Financial Corp. | 93,827 | 8,731,541 |
Total | 147,166,491 | |
Capital Markets 0.5% | ||
StoneX Group, Inc.(a) | 66,174 | 4,014,777 |
Consumer Finance 1.4% | ||
Ezcorp, Inc., Class A(a) | 578,483 | 3,488,253 |
FirstCash, Inc. | 42,974 | 3,284,933 |
PROG Holdings, Inc. | 96,219 | 4,631,020 |
Total | 11,404,206 | |
Insurance 4.8% | ||
American Equity Investment Life Holding Co. | 190,015 | 6,141,285 |
American National Group, Inc. | 46,077 | 6,844,738 |
Crawford & Co., Class A | 220,748 | 2,002,184 |
eHealth, Inc.(a) | 42,798 | 2,499,403 |
Employers Holdings, Inc. | 94,706 | 4,053,417 |
Global Indemnity Group LLC | 187,509 | 4,940,862 |
Heritage Insurance Holdings, Inc. | 265,406 | 2,277,184 |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2021 | 7 |
June 30, 2021 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Horace Mann Educators Corp. | 64,401 | 2,409,885 |
National Western Life Group, Inc., Class A | 14,787 | 3,318,055 |
ProAssurance Corp. | 188,333 | 4,284,576 |
Total | 38,771,589 | |
Thrifts & Mortgage Finance 4.7% | ||
HomeStreet, Inc. | 89,890 | 3,662,119 |
MGIC Investment Corp. | 488,966 | 6,649,938 |
NMI Holdings, Inc., Class A(a) | 199,609 | 4,487,210 |
Provident Financial Holdings, Inc. | 143,725 | 2,482,131 |
Radian Group, Inc. | 380,570 | 8,467,682 |
Riverview Bancorp, Inc. | 220,320 | 1,562,069 |
Territorial Bancorp, Inc. | 59,530 | 1,545,994 |
Washington Federal, Inc. | 189,712 | 6,029,047 |
Western New England Bancorp, Inc. | 335,728 | 2,736,183 |
Total | 37,622,373 | |
Total Financials | 238,979,436 | |
Health Care 7.5% | ||
Biotechnology 3.7% | ||
ACADIA Pharmaceuticals, Inc.(a) | 213,201 | 5,199,972 |
Atara Biotherapeutics, Inc.(a) | 219,345 | 3,410,815 |
bluebird bio, Inc.(a) | 109,150 | 3,490,617 |
Coherus Biosciences, Inc.(a) | 216,281 | 2,991,166 |
Insmed, Inc.(a) | 104,330 | 2,969,232 |
Iovance Biotherapeutics, Inc.(a) | 149,245 | 3,883,355 |
Sage Therapeutics, Inc.(a) | 50,080 | 2,845,045 |
Spero Therapeutics, Inc.(a) | 151,853 | 2,119,868 |
uniQure NV(a) | 78,220 | 2,409,176 |
Total | 29,319,246 | |
Health Care Equipment & Supplies 0.7% | ||
Inogen, Inc.(a) | 71,496 | 4,659,394 |
Quotient Ltd.(a) | 286,799 | 1,043,949 |
Total | 5,703,343 | |
Health Care Providers & Services 0.5% | ||
Triple-S Management Corp., Class B(a) | 170,169 | 3,789,663 |
Pharmaceuticals 2.6% | ||
Aerie Pharmaceuticals, Inc.(a) | 177,782 | 2,846,290 |
ANI Pharmaceuticals, Inc.(a) | 69,405 | 2,432,645 |
Perrigo Co. PLC | 70,830 | 3,247,555 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Satsuma Pharmaceuticals, Inc.(a) | 224,330 | 1,581,527 |
Supernus Pharmaceuticals, Inc.(a) | 135,352 | 4,167,488 |
Taro Pharmaceutical Industries Ltd.(a) | 59,293 | 4,266,724 |
TherapeuticsMD, Inc.(a) | 2,075,610 | 2,469,976 |
Total | 21,012,205 | |
Total Health Care | 59,824,457 | |
Industrials 15.0% | ||
Aerospace & Defense 1.3% | ||
Curtiss-Wright Corp. | 39,390 | 4,677,956 |
Moog, Inc., Class A | 71,615 | 6,019,957 |
Total | 10,697,913 | |
Airlines 0.5% | ||
Skywest, Inc.(a) | 84,370 | 3,633,816 |
Building Products 2.0% | ||
Caesarstone Ltd. | 173,087 | 2,554,764 |
Resideo Technologies, Inc.(a) | 228,080 | 6,842,400 |
UFP Industries, Inc. | 91,886 | 6,830,805 |
Total | �� | 16,227,969 |
Commercial Services & Supplies 0.8% | ||
HNI Corp. | 103,263 | 4,540,474 |
KAR Auction Services, Inc.(a) | 125,903 | 2,209,598 |
Total | 6,750,072 | |
Construction & Engineering 0.5% | ||
Dycom Industries, Inc.(a) | 48,120 | 3,586,384 |
Electrical Equipment 2.2% | ||
Acuity Brands, Inc. | 30,000 | 5,610,900 |
AZZ, Inc. | 75,959 | 3,933,157 |
Encore Wire Corp. | 75,965 | 5,757,387 |
Thermon(a) | 137,113 | 2,336,406 |
Total | 17,637,850 | |
Machinery 3.0% | ||
Gorman-Rupp Co. | 87,945 | 3,028,826 |
Greenbrier Companies, Inc. (The) | 101,970 | 4,443,853 |
Hurco Companies, Inc. | 43,090 | 1,508,150 |
LB Foster Co., Class A(a) | 114,060 | 2,126,078 |
Manitex International, Inc.(a) | 306,194 | 2,232,154 |
8 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Mueller Industries, Inc. | 159,882 | 6,924,490 |
Standex International Corp. | 41,619 | 3,950,059 |
Total | 24,213,610 | |
Marine 1.0% | ||
Atlas Corp. | 355,013 | 5,058,935 |
Costamare, Inc. | 270,247 | 3,191,617 |
Total | 8,250,552 | |
Professional Services 1.3% | ||
Korn/Ferry International | 114,515 | 8,308,063 |
Red Violet, Inc.(a) | 78,790 | 1,853,141 |
Total | 10,161,204 | |
Road & Rail 1.5% | ||
Marten Transport Ltd. | 200,836 | 3,311,786 |
Schneider National, Inc., Class B | 208,290 | 4,534,473 |
Werner Enterprises, Inc. | 84,568 | 3,764,967 |
Total | 11,611,226 | |
Trading Companies & Distributors 0.9% | ||
H&E Equipment Services, Inc. | 105,555 | 3,511,815 |
Textainer Group Holdings Ltd.(a) | 114,691 | 3,873,115 |
Total | 7,384,930 | |
Total Industrials | 120,155,526 | |
Information Technology 8.2% | ||
Communications Equipment 2.5% | ||
Applied Optoelectronics, Inc.(a) | 215,430 | 1,824,692 |
Casa Systems, Inc.(a) | 317,918 | 2,819,933 |
Digi International, Inc.(a) | 143,196 | 2,879,672 |
KVH Industries, Inc.(a) | 176,485 | 2,170,765 |
NETGEAR, Inc.(a) | 117,837 | 4,515,514 |
Netscout Systems, Inc.(a) | 199,871 | 5,704,318 |
Total | 19,914,894 | |
Electronic Equipment, Instruments & Components 2.2% | ||
Airgain, Inc.(a) | 118,233 | 2,437,963 |
Bel Fuse, Inc., Class B | 116,180 | 1,672,992 |
ePlus, Inc.(a) | 39,750 | 3,445,928 |
Powerfleet, Inc.(a) | 208,840 | 1,503,648 |
Vishay Intertechnology, Inc. | 315,231 | 7,108,459 |
Vishay Precision Group, Inc.(a) | 47,106 | 1,603,488 |
Total | 17,772,478 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
IT Services 1.0% | ||
Cass Information Systems, Inc. | 54,516 | 2,221,527 |
IBEX Holdings Ltd.(a) | 127,135 | 2,481,675 |
International Money Express, Inc.(a) | 198,048 | 2,941,013 |
Total | 7,644,215 | |
Semiconductors & Semiconductor Equipment 0.7% | ||
Cohu, Inc.(a) | 102,231 | 3,761,079 |
CyberOptics Corp.(a) | 52,670 | 2,157,363 |
Total | 5,918,442 | |
Software 1.8% | ||
Asure Software, Inc.(a) | 214,647 | 1,903,919 |
CDK Global, Inc. | 113,774 | 5,653,430 |
Cognyte Software Ltd.(a) | 265,161 | 6,496,445 |
Total | 14,053,794 | |
Total Information Technology | 65,303,823 | |
Materials 8.4% | ||
Chemicals 1.4% | ||
Livent Corp.(a) | 272,448 | 5,274,593 |
Tronox Holdings PLC, Class A | 254,764 | 5,706,714 |
Total | 10,981,307 | |
Construction Materials 0.7% | ||
Eagle Materials, Inc. | 42,080 | 5,979,989 |
Containers & Packaging 0.6% | ||
Greif, Inc., Class A | 72,943 | 4,416,698 |
Metals & Mining 4.6% | ||
Ampco-Pittsburgh Corp.(a) | 574,413 | 3,486,687 |
Capstone Mining Corp.(a) | 921,975 | 4,001,473 |
Centerra Gold, Inc. | 527,480 | 4,004,184 |
Commercial Metals Co. | 254,860 | 7,829,299 |
ERO Copper Corp.(a) | 199,584 | 4,187,786 |
Ferroglobe PLC(a) | 541,203 | 3,312,162 |
Olympic Steel, Inc. | 73,848 | 2,170,393 |
Pretium Resources, Inc.(a) | 421,579 | 4,033,500 |
Torex Gold Resources, Inc.(a) | 206,207 | 2,375,473 |
Universal Stainless & Alloy Products, Inc.(a) | 166,628 | 1,677,944 |
Total | 37,078,901 |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2021 | 9 |
June 30, 2021 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Paper & Forest Products 1.1% | ||
Clearwater Paper Corp.(a) | 76,110 | 2,204,907 |
Glatfelter Corp. | 167,653 | 2,342,112 |
Louisiana-Pacific Corp. | 69,640 | 4,198,596 |
Total | 8,745,615 | |
Total Materials | 67,202,510 | |
Real Estate 6.0% | ||
Equity Real Estate Investment Trusts (REITS) 6.0% | ||
American Assets Trust, Inc. | 158,420 | 5,907,482 |
Brixmor Property Group, Inc. | 151,580 | 3,469,666 |
Farmland Partners, Inc. | 266,404 | 3,210,168 |
Highwoods Properties, Inc. | 76,000 | 3,432,920 |
Hudson Pacific Properties, Inc. | 118,697 | 3,302,151 |
Macerich Co. (The) | 214,050 | 3,906,413 |
Pebblebrook Hotel Trust | 267,054 | 6,289,122 |
PotlatchDeltic Corp. | 126,702 | 6,734,211 |
RLJ Lodging Trust | 389,176 | 5,927,150 |
Sunstone Hotel Investors, Inc.(a) | 468,879 | 5,823,477 |
Total | 48,002,760 | |
Total Real Estate | 48,002,760 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Utilities 0.8% | ||
Gas Utilities 0.8% | ||
National Fuel Gas Co. | 78,810 | 4,117,823 |
RGC Resources, Inc. | 89,330 | 2,252,009 |
Total | 6,369,832 | |
Total Utilities | 6,369,832 | |
Total Common Stocks (Cost $661,403,348) | 799,908,858 | |
Money Market Funds 0.5% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.051%(b),(c) | 3,493,529 | 3,493,180 |
Total Money Market Funds (Cost $3,493,180) | 3,493,180 | |
Total Investments in Securities (Cost: $664,896,528) | 803,402,038 | |
Other Assets & Liabilities, Net | (2,962,231) | |
Net Assets | 800,439,807 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2021. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2021 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.051% | ||||||||
461,061 | 244,181,330 | (241,149,211) | — | 3,493,180 | — | 3,545 | 3,493,529 |
ADR | American Depositary Receipt |
10 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 23,750,753 | — | — | 23,750,753 |
Consumer Discretionary | 96,051,854 | 1,880,450 | — | 97,932,304 |
Consumer Staples | 22,862,404 | — | — | 22,862,404 |
Energy | 49,525,053 | — | — | 49,525,053 |
Financials | 238,979,436 | — | — | 238,979,436 |
Health Care | 59,824,457 | — | — | 59,824,457 |
Industrials | 120,155,526 | — | — | 120,155,526 |
Information Technology | 65,303,823 | — | — | 65,303,823 |
Materials | 67,202,510 | — | — | 67,202,510 |
Real Estate | 48,002,760 | — | — | 48,002,760 |
Utilities | 6,369,832 | — | — | 6,369,832 |
Total Common Stocks | 798,028,408 | 1,880,450 | — | 799,908,858 |
Money Market Funds | 3,493,180 | — | — | 3,493,180 |
Total Investments in Securities | 801,521,588 | 1,880,450 | — | 803,402,038 |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2021 | 11 |
June 30, 2021 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $661,403,348) | $799,908,858 |
Affiliated issuers (cost $3,493,180) | 3,493,180 |
Cash | 18,986 |
Receivable for: | |
Investments sold | 2,718,308 |
Capital shares sold | 124,081 |
Dividends | 526,977 |
Expense reimbursement due from Investment Manager | 1,659 |
Prepaid expenses | 11,736 |
Trustees’ deferred compensation plan | 121,302 |
Total assets | 806,925,087 |
Liabilities | |
Payable for: | |
Investments purchased | 2,622,079 |
Capital shares purchased | 3,509,722 |
Management services fees | 18,707 |
Distribution and/or service fees | 2,398 |
Service fees | 134,197 |
Compensation of board members | 5,993 |
Compensation of chief compliance officer | 44 |
Other expenses | 70,838 |
Trustees’ deferred compensation plan | 121,302 |
Total liabilities | 6,485,280 |
Net assets applicable to outstanding capital stock | $800,439,807 |
Represented by | |
Paid in capital | 536,081,113 |
Total distributable earnings (loss) | 264,358,694 |
Total - representing net assets applicable to outstanding capital stock | $800,439,807 |
Class 1 | |
Net assets | $448,951,243 |
Shares outstanding | 21,873,997 |
Net asset value per share | $20.52 |
Class 2 | |
Net assets | $351,488,564 |
Shares outstanding | 17,272,469 |
Net asset value per share | $20.35 |
12 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2021 |
Six Months Ended June 30, 2021 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $5,681,672 |
Dividends — affiliated issuers | 3,545 |
Non-cash dividends - unaffiliated issuers | 1,711,020 |
Foreign taxes withheld | (45,141) |
Total income | 7,351,096 |
Expenses: | |
Management services fees | 3,410,480 |
Distribution and/or service fees | |
Class 2 | 435,864 |
Service fees | 362,728 |
Compensation of board members | 11,967 |
Custodian fees | 12,659 |
Printing and postage fees | 30,876 |
Audit fees | 14,628 |
Legal fees | 10,574 |
Interest on interfund lending | 679 |
Compensation of chief compliance officer | 103 |
Other | 4,085 |
Total expenses | 4,294,643 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (327,235) |
Total net expenses | 3,967,408 |
Net investment income | 3,383,688 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 120,722,460 |
Foreign currency translations | 2,081 |
Net realized gain | 120,724,541 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 55,346,776 |
Foreign currency translations | 253 |
Net change in unrealized appreciation (depreciation) | 55,347,029 |
Net realized and unrealized gain | 176,071,570 |
Net increase in net assets resulting from operations | $179,455,258 |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2021 | 13 |
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | |
Operations | ||
Net investment income | $3,383,688 | $5,058,256 |
Net realized gain (loss) | 120,724,541 | (2,718,411) |
Net change in unrealized appreciation (depreciation) | 55,347,029 | 60,768,077 |
Net increase in net assets resulting from operations | 179,455,258 | 63,107,922 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | — | (13,046,266) |
Class 2 | — | (12,850,112) |
Total distributions to shareholders | — | (25,896,378) |
Increase (decrease) in net assets from capital stock activity | (74,604,974) | 26,626,467 |
Total increase in net assets | 104,850,284 | 63,838,011 |
Net assets at beginning of period | 695,589,523 | 631,751,512 |
Net assets at end of period | $800,439,807 | $695,589,523 |
Six Months Ended | Year Ended | |||
June 30, 2021 (Unaudited) | December 31, 2020 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 7,486,505 | 151,658,313 | 3,580,910 | 45,222,558 |
Distributions reinvested | — | — | 1,090,825 | 13,046,266 |
Redemptions | (8,688,504) | (174,449,768) | (1,796,080) | (23,336,890) |
Net increase (decrease) | (1,201,999) | (22,791,455) | 2,875,655 | 34,931,934 |
Class 2 | ||||
Subscriptions | 1,090,365 | 21,679,037 | 2,679,431 | 31,305,869 |
Distributions reinvested | — | — | 1,080,749 | 12,850,112 |
Redemptions | (3,897,293) | (73,492,556) | (3,950,806) | (52,461,448) |
Net decrease | (2,806,928) | (51,813,519) | (190,626) | (8,305,467) |
Total net increase (decrease) | (4,008,927) | (74,604,974) | 2,685,029 | 26,626,467 |
14 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2021 |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2021 | 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 6/30/2021 (Unaudited) | $16.17 | 0.09 | 4.26 | 4.35 | — | — | — |
Year Ended 12/31/2020 | $15.67 | 0.14 | 1.01 | 1.15 | (0.08) | (0.57) | (0.65) |
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) |
Class 2 | |||||||
Six Months Ended 6/30/2021 (Unaudited) | $16.06 | 0.07 | 4.22 | 4.29 | — | — | — |
Year Ended 12/31/2020 | $15.55 | 0.10 | 1.02 | 1.12 | (0.04) | (0.57) | (0.61) |
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) |
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 2021 |
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 6/30/2021 (Unaudited) | $20.52 | 26.90% | 0.96%(c),(d) | 0.88%(c),(d) | 0.96%(c) | 36% | $448,951 |
Year Ended 12/31/2020 | $16.17 | 8.80% | 1.02%(d) | 0.90%(d) | 1.05% | 57% | $373,200 |
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 |
Class 2 | |||||||
Six Months Ended 6/30/2021 (Unaudited) | $20.35 | 26.71% | 1.21%(c),(d) | 1.13%(c),(d) | 0.70%(c) | 36% | $351,489 |
Year Ended 12/31/2020 | $16.06 | 8.59% | 1.27%(d) | 1.15%(d) | 0.80% | 57% | $322,390 |
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% | $398,105 |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2021 | 17 |
June 30, 2021 (Unaudited)
18 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2021 | 19 |
June 30, 2021 (Unaudited)
20 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2021 | 21 |
June 30, 2021 (Unaudited)
Contractual expense cap July 1, 2021 through April 30, 2022 | Voluntary expense cap May 1, 2021 through June 30, 2021 | Contractual expense cap Prior to May 1, 2021 | |
Class 1 | 0.88% | 0.88% | 0.88% |
Class 2 | 1.13 | 1.13 | 1.13 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
664,897,000 | 165,139,000 | (26,634,000) | 138,505,000 |
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
— | (2,536,831) | (2,536,831) |
22 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Borrower | 3,530,000 | 0.70 | 10 |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2021 | 23 |
June 30, 2021 (Unaudited)
24 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2021 | 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. |
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
26 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2021 |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | Terms of the Management Agreement; |
• | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
• | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
• | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2021 | 27 |
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Management Agreement supported the continuation of the Management Agreement.
28 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2021 |
these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2021 | 29 |
June 30, 2021
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2021) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 07/05/94 | 2.50 | 10.78 | 5.76 | 5.06 | |
Class 2 | 06/01/00 | 2.06 | 10.39 | 5.47 | 4.78 | |
Bloomberg Barclays U.S. Aggregate Bond Index | -1.60 | -0.33 | 3.03 | 3.39 | ||
ICE BofA US Cash Pay High Yield Constrained Index | 3.58 | 15.45 | 7.25 | 6.47 | ||
FTSE Non-U.S. World Government Bond (All Maturities) Index - Unhedged | -6.00 | 3.06 | 1.28 | 0.79 | ||
JPMorgan Emerging Markets Bond Index - Global | -1.00 | 6.82 | 4.44 | 5.34 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2021) | |
Asset-Backed Securities — Non-Agency | 10.9 |
Commercial Mortgage-Backed Securities - Non-Agency | 4.3 |
Common Stocks | 0.0(a) |
Convertible Bonds | 0.0(a) |
Corporate Bonds & Notes | 35.0 |
Foreign Government Obligations | 6.9 |
Money Market Funds | 3.5 |
Options Purchased Puts | 1.0 |
Residential Mortgage-Backed Securities - Agency | 7.4 |
Residential Mortgage-Backed Securities - Non-Agency | 21.9 |
Senior Loans | 8.8 |
U.S. Treasury Obligations | 0.3 |
Total | 100.0 |
(a) | Rounds to zero. |
Quality breakdown (%) (at June 30, 2021) | |
AAA rating | 8.0 |
AA rating | 4.5 |
A rating | 4.8 |
BBB rating | 20.7 |
BB rating | 24.9 |
B rating | 19.2 |
CCC rating | 5.2 |
Not rated | 12.7 |
Total | 100.0 |
Market exposure through derivatives investments (% of notional exposure) (at June 30, 2021)(a) | |||
Long | Short | Net | |
Fixed Income Derivative Contracts | 610.3 | (498.6) | 111.7 |
Foreign Currency Derivative Contracts | – | (11.7) | (11.7) |
Total Notional Market Value of Derivative Contracts | 610.3 | (510.3) | 100.0 |
4 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 |
(Unaudited)
January 1, 2021 — June 30, 2021 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,025.00 | 1,021.37 | 3.46 | 3.46 | 0.69 |
Class 2 | 1,000.00 | 1,000.00 | 1,020.60 | 1,020.13 | 4.71 | 4.71 | 0.94 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 | 5 |
June 30, 2021 (Unaudited)
Asset-Backed Securities — Non-Agency 11.2% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
American Credit Acceptance Receivables Trust(a) | ||||
Subordinated Series 2018-4 Class F | ||||
10/13/2025 | 6.940% | 500,000 | 526,373 | |
ARES XLIV CLO Ltd.(a),(b) | ||||
Series 2017-44A Class DR | ||||
3-month USD LIBOR + 6.870% Floor 6.870% 04/15/2034 | 7.032% | 500,000 | 498,567 | |
Atrium XIII(a),(b) | ||||
Series 2013A Class B | ||||
3-month USD LIBOR + 1.500% 11/21/2030 | 1.673% | 1,300,000 | 1,300,484 | |
Ballyrock CLO Ltd.(a),(b) | ||||
Series 2018-1A Class A2 | ||||
3-month USD LIBOR + 1.600% 04/20/2031 | 1.788% | 500,000 | 499,221 | |
Carlyle Global Market Strategies CLO(a),(b),(c) | ||||
Series 2016-3A Class ERR | ||||
3-month USD LIBOR + 3.100% Floor 3.100% 07/20/2034 | 3.400% | 250,000 | 249,973 | |
Carlyle Global Market Strategies CLO Ltd.(a),(b) | ||||
Series 2015-4A Class A2R | ||||
3-month USD LIBOR + 1.800% 07/20/2032 | 1.988% | 600,000 | 598,889 | |
Consumer Loan Underlying Bond Credit Trust(a) | ||||
Subordinated Series 2018-P1 Class C | ||||
07/15/2025 | 5.210% | 373,377 | 379,629 | |
Credit Suisse ABS Trust(a) | ||||
Series 2018-LD1 Class C | ||||
07/25/2024 | 5.170% | 65,662 | 65,881 | |
Dryden Senior Loan Fund(a),(b) | ||||
Series 2015-41A Class BR | ||||
3-month USD LIBOR + 1.300% Floor 1.300% 04/15/2031 | 1.484% | 335,000 | 331,191 | |
FREED ABS Trust(a) | ||||
Series 2019-1 Class C | ||||
06/18/2026 | 5.390% | 600,000 | 616,217 | |
Subordinated Series 2019-2 Class C | ||||
11/18/2026 | 4.860% | 1,000,000 | 1,030,611 | |
Subordinated Series 2021-1CP Class B | ||||
03/20/2028 | 1.410% | 925,000 | 927,799 | |
LendingClub Receivables Trust(a) | ||||
Series 2019-1 Class A | ||||
07/17/2045 | 4.000% | 239,519 | 244,709 | |
Series 2019-11 Class A | ||||
12/15/2045 | 3.750% | 99,250 | 100,272 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2019-3 Class A | ||||
10/15/2025 | 3.750% | 386,592 | 393,226 | |
Series 2019-7 Class A | ||||
01/15/2027 | 3.750% | 383,842 | 388,700 | |
Series 2019-8 Class A | ||||
12/15/2045 | 3.750% | 163,581 | 165,318 | |
Series 2020-1 Class A | ||||
01/16/2046 | 3.500% | 393,399 | 397,737 | |
Series 2020-2 Class A | ||||
02/15/2046 | 3.600% | 257,435 | 260,239 | |
LendingPoint Asset Securitization Trust(a),(d),(e) | ||||
Subordinated Series 2021-1 Class B | ||||
04/15/2027 | 2.853% | 400,000 | 400,625 | |
Madison Park Funding XXII Ltd.(a),(b) | ||||
Series 2016-22A Class DR | ||||
3-month USD LIBOR + 3.500% Floor 3.500% 01/15/2033 | 3.684% | 400,000 | 399,995 | |
Madison Park Funding XXIV Ltd.(a),(b) | ||||
Series 2016-24A Class BR | ||||
3-month USD LIBOR + 1.750% 10/20/2029 | 1.938% | 600,000 | 600,017 | |
OZLM XXI(a),(b) | ||||
Series 2017-21A Class A2 | ||||
3-month USD LIBOR + 1.450% 01/20/2031 | 1.638% | 800,000 | 795,154 | |
Pagaya AI Debt Selection Trust(a),(e) | ||||
Series 2019-1 Class A | ||||
06/15/2026 | 3.690% | 204,201 | 206,243 | |
Pagaya AI Debt Selection Trust(a) | ||||
Series 2019-3 Class A | ||||
11/16/2026 | 3.821% | 375,682 | 380,363 | |
Series 2021-1 Class A | ||||
11/15/2027 | 1.180% | 385,490 | 386,451 | |
Series 2021-1 Class B | ||||
11/15/2027 | 2.130% | 700,000 | 701,502 | |
Subordinated Series 2020-3 Class C | ||||
05/17/2027 | 6.430% | 1,200,000 | 1,239,374 | |
Subordinated Series 2021-1 Class C | ||||
11/15/2027 | 4.090% | 500,000 | 500,961 | |
Upstart Securitization Trust(a) | ||||
Series 2021-1 Class B | ||||
03/20/2031 | 1.890% | 750,000 | 750,376 | |
Total Asset-Backed Securities — Non-Agency (Cost $15,227,165) | 15,336,097 | |||
6 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency 4.5% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
BBCMS Trust(a),(b) | ||||
Subordinated Series 2018-BXH Class F | ||||
1-month USD LIBOR + 2.950% Floor 2.950% 10/15/2037 | 3.023% | 550,000 | 503,458 | |
BFLD Trust(a),(b) | ||||
Series 2019-DPLO Class F | ||||
1-month USD LIBOR + 2.540% Floor 2.540% 10/15/2034 | 2.613% | 250,000 | 244,429 | |
Braemar Hotels & Resorts Trust(a),(b) | ||||
Series 2018-PRME Class E | ||||
1-month USD LIBOR + 2.400% Floor 2.400% 06/15/2035 | 2.473% | 300,000 | 279,284 | |
CLNY Trust(a),(b) | ||||
Series 2019-IKPR Class E | ||||
1-month USD LIBOR + 2.721% Floor 2.721% 11/15/2038 | 2.794% | 200,000 | 198,750 | |
Series 2019-IKPR Class F | ||||
1-month USD LIBOR + 3.417% Floor 3.417% 11/15/2038 | 3.490% | 650,000 | 596,207 | |
COMM Mortgage Trust(a),(f) | ||||
Series 2020-CBM Class F | ||||
02/10/2037 | 3.754% | 150,000 | 139,930 | |
Credit Suisse Mortgage Capital Certificates OA LLC(a) | ||||
Subordinated Series 2014-USA Class D | ||||
09/15/2037 | 4.373% | 300,000 | 287,879 | |
Subordinated Series 2014-USA Class E | ||||
09/15/2037 | 4.373% | 500,000 | 447,870 | |
Subordinated Series 2014-USA Class F | ||||
09/15/2037 | 4.373% | 400,000 | 305,379 | |
CSMC Trust(a),(f) | ||||
Subordinated Series 2019-UVIL Class E | ||||
12/15/2041 | 3.393% | 600,000 | 523,323 | |
Extended Stay America Trust(a),(b),(c) | ||||
Series 2021-ESH Class D | ||||
1-month USD LIBOR + 2.250% Floor 2.250% 07/15/2038 | 2.325% | 200,000 | 201,437 | |
Series 2021-ESH Class E | ||||
1-month USD LIBOR + 2.850% Floor 2.850% 07/15/2038 | 2.925% | 200,000 | 201,499 | |
Morgan Stanley Capital I Trust(a),(f) | ||||
Series 2019-MEAD Class E | ||||
11/10/2036 | 3.283% | 600,000 | 577,451 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Progress Residential Trust(a) | ||||
Subordinated Series 2019-SFR2 Class F | ||||
05/17/2036 | 4.837% | 630,000 | 626,184 | |
Subordinated Series 2020-SFR2 Class F | ||||
06/18/2037 | 6.152% | 500,000 | 529,085 | |
UBS Commercial Mortgage Trust(a),(b) | ||||
Series 2018-NYCH Class E | ||||
1-month USD LIBOR + 2.900% Floor 3.200% 02/15/2032 | 2.973% | 450,000 | 440,408 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $6,118,008) | 6,102,573 |
Common Stocks 0.0% | ||
Issuer | Shares | Value ($) |
Energy 0.0% | ||
Energy Equipment & Services 0.0% | ||
Fieldwood Energy LLC(e),(g) | 8,596 | 1,079 |
Total Energy | 1,079 | |
Financials —% | ||
Diversified Financial Services —% | ||
Fairlane Management Corp.(d),(e),(g) | 2,000 | — |
Total Financials | — | |
Total Common Stocks (Cost $200,545) | 1,079 |
Convertible Bonds 0.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Cable and Satellite 0.0% | ||||
DISH Network Corp. | ||||
Subordinated | ||||
08/15/2026 | 3.375% | 49,000 | 50,004 | |
Total Convertible Bonds (Cost $46,195) | 50,004 | |||
Corporate Bonds & Notes 36.1% | ||||
Aerospace & Defense 0.4% | ||||
Bombardier, Inc.(a) | ||||
10/15/2022 | 6.000% | 37,000 | 37,055 | |
12/01/2024 | 7.500% | 38,000 | 39,767 | |
04/15/2027 | 7.875% | 113,000 | 117,141 | |
TransDigm, Inc.(a) | ||||
12/15/2025 | 8.000% | 110,000 | 118,831 | |
03/15/2026 | 6.250% | 28,000 | 29,535 | |
05/01/2029 | 4.875% | 93,000 | 93,975 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 | 7 |
June 30, 2021 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
TransDigm, Inc. | ||||
06/15/2026 | 6.375% | 17,000 | 17,599 | |
03/15/2027 | 7.500% | 73,000 | 77,745 | |
Total | 531,648 | |||
Airlines 0.3% | ||||
American Airlines, Inc.(a) | ||||
07/15/2025 | 11.750% | 41,000 | 51,447 | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd.(a) | ||||
04/20/2026 | 5.500% | 130,000 | 138,013 | |
04/20/2029 | 5.750% | 10,730 | 11,604 | |
Delta Air Lines, Inc. | ||||
01/15/2026 | 7.375% | 21,000 | 24,647 | |
Hawaiian Brand Intellectual Property Ltd./Miles Loyalty Ltd.(a) | ||||
01/20/2026 | 5.750% | 42,595 | 45,717 | |
Mileage Plus Holdings LLC/Intellectual Property Assets Ltd.(a) | ||||
06/20/2027 | 6.500% | 44,000 | 48,444 | |
United Airlines, Inc.(a) | ||||
04/15/2026 | 4.375% | 31,000 | 32,092 | |
04/15/2029 | 4.625% | 35,000 | 36,253 | |
Total | 388,217 | |||
Automotive 0.9% | ||||
American Axle & Manufacturing, Inc. | ||||
03/15/2026 | 6.250% | 55,000 | 56,721 | |
04/01/2027 | 6.500% | 8,000 | 8,474 | |
Clarios Global LP(a) | ||||
05/15/2025 | 6.750% | 34,000 | 36,276 | |
Ford Motor Co. | ||||
04/21/2023 | 8.500% | 43,000 | 47,986 | |
04/22/2025 | 9.000% | 30,000 | 36,968 | |
04/22/2030 | 9.625% | 9,000 | 12,901 | |
01/15/2043 | 4.750% | 70,000 | 74,550 | |
Ford Motor Credit Co. LLC | ||||
03/18/2024 | 5.584% | 49,000 | 53,668 | |
09/08/2024 | 3.664% | 47,000 | 49,259 | |
11/01/2024 | 4.063% | 23,000 | 24,458 | |
06/16/2025 | 5.125% | 113,000 | 124,403 | |
11/13/2025 | 3.375% | 63,000 | 65,328 | |
08/17/2027 | 4.125% | 116,000 | 123,118 | |
02/16/2028 | 2.900% | 34,000 | 33,926 | |
11/13/2030 | 4.000% | 30,000 | 31,470 | |
Goodyear Tire & Rubber Co. (The)(a) | ||||
07/15/2029 | 5.000% | 54,000 | 56,435 | |
IAA Spinco, Inc.(a) | ||||
06/15/2027 | 5.500% | 89,000 | 93,398 | |
KAR Auction Services, Inc.(a) | ||||
06/01/2025 | 5.125% | 152,000 | 155,941 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Panther BF Aggregator 2 LP/Finance Co., Inc.(a) | ||||
05/15/2026 | 6.250% | 23,000 | 24,497 | |
05/15/2027 | 8.500% | 67,000 | 73,034 | |
Real Hero Merger Sub 2, Inc.(a) | ||||
02/01/2029 | 6.250% | 20,000 | 20,743 | |
Tenneco, Inc.(a) | ||||
01/15/2029 | 7.875% | 63,000 | 71,142 | |
Total | 1,274,696 | |||
Banking 2.3% | ||||
Bank of America Corp.(h) | ||||
07/23/2031 | 1.898% | 1,000,000 | 970,332 | |
Citigroup, Inc.(h) | ||||
05/01/2032 | 2.561% | 347,000 | 353,510 | |
HSBC Holdings PLC(h) | ||||
05/24/2032 | 2.804% | 470,000 | 482,453 | |
JPMorgan Chase & Co.(h) | ||||
04/22/2032 | 2.580% | 1,355,000 | 1,392,113 | |
Total | 3,198,408 | |||
Brokerage/Asset Managers/Exchanges 0.2% | ||||
Advisor Group Holdings, Inc.(a) | ||||
08/01/2027 | 10.750% | 11,000 | 12,202 | |
AG Issuer LLC(a) | ||||
03/01/2028 | 6.250% | 28,000 | 29,481 | |
Aretec Escrow Issuer, Inc.(a) | ||||
04/01/2029 | 7.500% | 25,000 | 25,806 | |
Hightower Holding LLC(a) | ||||
04/15/2029 | 6.750% | 59,000 | 60,178 | |
NFP Corp.(a) | ||||
08/15/2028 | 4.875% | 56,000 | 56,919 | |
08/15/2028 | 6.875% | 120,000 | 126,787 | |
Total | 311,373 | |||
Building Materials 0.4% | ||||
Beacon Roofing Supply, Inc.(a) | ||||
11/15/2026 | 4.500% | 70,000 | 73,416 | |
05/15/2029 | 4.125% | 41,000 | 40,802 | |
Core & Main LP(a) | ||||
08/15/2025 | 6.125% | 116,000 | 118,320 | |
CP Atlas Buyer Inc.(a) | ||||
12/01/2028 | 7.000% | 70,000 | 72,535 | |
Interface, Inc.(a) | ||||
12/01/2028 | 5.500% | 21,000 | 21,993 | |
James Hardie International Finance DAC(a) | ||||
01/15/2028 | 5.000% | 66,000 | 70,037 |
8 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
SRS Distribution, Inc.(a) | ||||
07/01/2028 | 4.625% | 32,000 | 32,733 | |
07/01/2029 | 6.125% | 62,000 | 63,954 | |
White Cap Buyer LLC(a) | ||||
10/15/2028 | 6.875% | 51,000 | 54,405 | |
Total | 548,195 | |||
Cable and Satellite 1.9% | ||||
Cable One, Inc.(a) | ||||
11/15/2030 | 4.000% | 53,000 | 53,228 | |
CCO Holdings LLC/Capital Corp.(a) | ||||
02/15/2026 | 5.750% | 14,000 | 14,471 | |
06/01/2029 | 5.375% | 94,000 | 102,718 | |
03/01/2030 | 4.750% | 91,000 | 96,158 | |
08/15/2030 | 4.500% | 92,000 | 95,966 | |
02/01/2031 | 4.250% | 47,000 | 47,902 | |
CCO Holdings LLC/Capital Corp. | ||||
05/01/2032 | 4.500% | 46,000 | 47,621 | |
Charter Communications Operating LLC/Capital | ||||
05/01/2047 | 5.375% | 140,000 | 171,672 | |
03/01/2050 | 4.800% | 425,000 | 489,645 | |
CSC Holdings LLC | ||||
06/01/2024 | 5.250% | 25,000 | 27,099 | |
CSC Holdings LLC(a) | ||||
01/15/2030 | 5.750% | 117,000 | 121,716 | |
12/01/2030 | 4.125% | 40,000 | 39,865 | |
12/01/2030 | 4.625% | 189,000 | 185,381 | |
02/15/2031 | 3.375% | 32,000 | 30,229 | |
DISH DBS Corp. | ||||
07/01/2026 | 7.750% | 114,000 | 129,046 | |
DISH DBS Corp.(a) | ||||
06/01/2029 | 5.125% | 209,000 | 206,565 | |
Radiate Holdco LLC/Finance, Inc.(a) | ||||
09/15/2026 | 4.500% | 84,000 | 86,926 | |
09/15/2028 | 6.500% | 121,000 | 127,093 | |
Sirius XM Radio, Inc.(a) | ||||
07/15/2024 | 4.625% | 26,000 | 26,696 | |
07/01/2030 | 4.125% | 70,000 | 70,816 | |
Videotron Ltd.(a) | ||||
06/15/2029 | 3.625% | 36,000 | 36,526 | |
Virgin Media Finance PLC(a) | ||||
07/15/2030 | 5.000% | 126,000 | 127,027 | |
Virgin Media Secured Finance PLC(a) | ||||
08/15/2026 | 5.500% | 32,000 | 33,045 | |
Ziggo Bond Co. BV(a) | ||||
02/28/2030 | 5.125% | 184,000 | 188,210 | |
Total | 2,555,621 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Chemicals 0.7% | ||||
Axalta Coating Systems LLC(a) | ||||
02/15/2029 | 3.375% | 88,000 | 86,020 | |
Element Solutions, Inc.(a) | ||||
09/01/2028 | 3.875% | 70,000 | 71,403 | |
HB Fuller Co. | ||||
10/15/2028 | 4.250% | 52,000 | 53,752 | |
Herens Holdco Sarl(a) | ||||
05/15/2028 | 4.750% | 58,000 | 57,773 | |
Illuminate Buyer LLC/Holdings IV, Inc.(a) | ||||
07/01/2028 | 9.000% | 39,000 | 43,536 | |
INEOS Group Holdings SA(a) | ||||
08/01/2024 | 5.625% | 117,000 | 117,408 | |
INEOS Quattro Finance 2 Plc(a) | ||||
01/15/2026 | 3.375% | 22,000 | 22,222 | |
Ingevity Corp.(a) | ||||
11/01/2028 | 3.875% | 135,000 | 134,717 | |
Innophos Holdings, Inc.(a) | ||||
02/15/2028 | 9.375% | 107,000 | 115,649 | |
Iris Holdings, Inc.(a),(i) | ||||
02/15/2026 | 8.750% | 29,000 | 29,580 | |
PQ Corp.(a) | ||||
12/15/2025 | 5.750% | 117,000 | 120,023 | |
SPCM SA(a) | ||||
09/15/2025 | 4.875% | 67,000 | 68,581 | |
WR Grace & Co.(a) | ||||
06/15/2027 | 4.875% | 70,000 | 74,193 | |
Total | 994,857 | |||
Construction Machinery 0.2% | ||||
H&E Equipment Services, Inc.(a) | ||||
12/15/2028 | 3.875% | 103,000 | 101,259 | |
Herc Holdings, Inc.(a) | ||||
07/15/2027 | 5.500% | 78,000 | 82,250 | |
NESCO Holdings II, Inc.(a) | ||||
04/15/2029 | 5.500% | 36,000 | 37,567 | |
Ritchie Bros. Auctioneers, Inc.(a) | ||||
01/15/2025 | 5.375% | 28,000 | 28,816 | |
Total | 249,892 | |||
Consumer Cyclical Services 0.4% | ||||
APX Group, Inc. | ||||
11/01/2024 | 8.500% | 144,000 | 150,621 | |
Arches Buyer, Inc.(a) | ||||
12/01/2028 | 6.125% | 25,000 | 25,842 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 | 9 |
June 30, 2021 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
ASGN, Inc.(a) | ||||
05/15/2028 | 4.625% | 120,000 | 125,615 | |
Match Group, Inc.(a) | ||||
06/01/2028 | 4.625% | 23,000 | 23,892 | |
Staples, Inc.(a) | ||||
04/15/2026 | 7.500% | 96,000 | 99,466 | |
04/15/2027 | 10.750% | 19,000 | 19,380 | |
Uber Technologies, Inc.(a) | ||||
05/15/2025 | 7.500% | 112,000 | 120,851 | |
Total | 565,667 | |||
Consumer Products 0.1% | ||||
CD&R Smokey Buyer, Inc.(a) | ||||
07/15/2025 | 6.750% | 93,000 | 99,639 | |
Mattel, Inc. | ||||
11/01/2041 | 5.450% | 12,000 | 13,859 | |
Prestige Brands, Inc.(a) | ||||
04/01/2031 | 3.750% | 26,000 | 25,118 | |
Spectrum Brands, Inc. | ||||
07/15/2025 | 5.750% | 59,000 | 60,510 | |
Total | 199,126 | |||
Diversified Manufacturing 0.5% | ||||
BWX Technologies, Inc.(a) | ||||
07/15/2026 | 5.375% | 54,000 | 55,451 | |
06/30/2028 | 4.125% | 12,000 | 12,230 | |
CFX Escrow Corp.(a) | ||||
02/15/2026 | 6.375% | 39,000 | 41,234 | |
Madison IAQ LLC(a) | ||||
06/30/2028 | 4.125% | 24,000 | 24,236 | |
06/30/2029 | 5.875% | 77,000 | 78,352 | |
Resideo Funding, Inc.(a) | ||||
11/01/2026 | 6.125% | 121,000 | 127,625 | |
Vertical Holdco GmbH(a) | ||||
07/15/2028 | 7.625% | 77,000 | 83,481 | |
Vertical US Newco, Inc.(a) | ||||
07/15/2027 | 5.250% | 37,000 | 38,976 | |
WESCO Distribution, Inc.(a) | ||||
06/15/2025 | 7.125% | 95,000 | 102,675 | |
06/15/2028 | 7.250% | 76,000 | 84,632 | |
Total | 648,892 | |||
Electric 2.4% | ||||
AEP Texas, Inc. | ||||
01/15/2050 | 3.450% | 435,000 | 451,137 | |
Calpine Corp.(a) | ||||
06/01/2026 | 5.250% | 35,000 | 36,000 | |
02/15/2028 | 4.500% | 48,000 | 48,949 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Clearway Energy Operating LLC | ||||
09/15/2026 | 5.000% | 59,000 | 60,641 | |
Clearway Energy Operating LLC(a) | ||||
03/15/2028 | 4.750% | 136,000 | 142,680 | |
02/15/2031 | 3.750% | 151,000 | 149,730 | |
Emera US Finance LP | ||||
06/15/2046 | 4.750% | 365,000 | 435,650 | |
Leeward Renewable Energy Operations LLC(a),(c) | ||||
07/01/2029 | 4.250% | 88,000 | 89,412 | |
NextEra Energy Operating Partners LP(a) | ||||
07/15/2024 | 4.250% | 24,000 | 25,309 | |
09/15/2027 | 4.500% | 240,000 | 260,050 | |
NRG Energy, Inc.(a) | ||||
06/15/2029 | 5.250% | 45,000 | 47,915 | |
02/15/2031 | 3.625% | 136,000 | 133,562 | |
Pacific Gas and Electric Co. | ||||
07/01/2050 | 4.950% | 415,000 | 427,474 | |
Pattern Energy Operations LP/Inc.(a) | ||||
08/15/2028 | 4.500% | 41,000 | 42,440 | |
PG&E Corp. | ||||
07/01/2028 | 5.000% | 35,000 | 35,419 | |
Southern Co. (The) | ||||
07/01/2046 | 4.400% | 572,000 | 671,069 | |
TerraForm Power Operating LLC(a) | ||||
01/31/2028 | 5.000% | 69,000 | 73,058 | |
01/15/2030 | 4.750% | 89,000 | 91,410 | |
Vistra Operations Co. LLC(a) | ||||
07/31/2027 | 5.000% | 24,000 | 24,638 | |
05/01/2029 | 4.375% | 44,000 | 44,232 | |
Total | 3,290,775 | |||
Environmental 0.3% | ||||
GFL Environmental, Inc.(a) | ||||
06/01/2025 | 4.250% | 135,000 | 140,562 | |
08/01/2025 | 3.750% | 29,000 | 29,792 | |
08/01/2028 | 4.000% | 56,000 | 55,344 | |
06/15/2029 | 4.750% | 72,000 | 74,814 | |
Waste Pro USA, Inc.(a) | ||||
02/15/2026 | 5.500% | 115,000 | 118,765 | |
Total | 419,277 | |||
Finance Companies 0.8% | ||||
GE Capital International Funding Co. Unlimited Co. | ||||
11/15/2035 | 4.418% | 420,000 | 504,449 | |
Global Aircraft Leasing Co., Ltd.(a),(i) | ||||
09/15/2024 | 6.500% | 41,120 | 41,240 | |
Navient Corp. | ||||
03/15/2028 | 4.875% | 40,000 | 40,209 |
10 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Provident Funding Associates LP/Finance Corp.(a) | ||||
06/15/2025 | 6.375% | 186,000 | 188,984 | |
Quicken Loans LLC/Co-Issuer, Inc.(a) | ||||
03/01/2029 | 3.625% | 107,000 | 105,869 | |
03/01/2031 | 3.875% | 24,000 | 24,186 | |
Springleaf Finance Corp. | ||||
05/15/2022 | 6.125% | 46,000 | 47,897 | |
03/15/2024 | 6.125% | 137,000 | 147,477 | |
Total | 1,100,311 | |||
Food and Beverage 2.2% | ||||
Anheuser-Busch Companies LLC/InBev Worldwide, Inc. | ||||
02/01/2046 | 4.900% | 587,000 | 742,503 | |
Bacardi Ltd.(a) | ||||
05/15/2048 | 5.300% | 670,000 | 870,805 | |
FAGE International SA/USA Dairy Industry, Inc.(a) | ||||
08/15/2026 | 5.625% | 171,000 | 176,373 | |
JBS USA LUX SA/Food Co./Finance, Inc.(a) | ||||
12/01/2031 | 3.750% | 35,000 | 35,717 | |
JBS USA LUX SA/USA Finance, Inc.(a) | ||||
02/15/2028 | 6.750% | 80,000 | 87,900 | |
Kraft Heinz Foods Co. | ||||
06/01/2046 | 4.375% | 466,000 | 528,125 | |
Lamb Weston Holdings, Inc.(a) | ||||
05/15/2028 | 4.875% | 36,000 | 39,842 | |
Performance Food Group, Inc.(a) | ||||
05/01/2025 | 6.875% | 23,000 | 24,632 | |
Pilgrim’s Pride Corp.(a) | ||||
04/15/2031 | 4.250% | 142,000 | 147,194 | |
Post Holdings, Inc.(a) | ||||
03/01/2027 | 5.750% | 57,000 | 59,695 | |
01/15/2028 | 5.625% | 33,000 | 35,062 | |
04/15/2030 | 4.625% | 58,000 | 59,028 | |
09/15/2031 | 4.500% | 82,000 | 81,846 | |
Primo Water Holdings, Inc.(a) | ||||
04/30/2029 | 4.375% | 43,000 | 43,009 | |
Simmons Foods, Inc./Prepared Foods, Inc./Pet Food, Inc./Feed(a) | ||||
03/01/2029 | 4.625% | 32,000 | 32,301 | |
Triton Water Holdings, Inc.(a) | ||||
04/01/2029 | 6.250% | 42,000 | 42,291 | |
US Foods, Inc.(a) | ||||
04/15/2025 | 6.250% | 6,000 | 6,366 | |
02/15/2029 | 4.750% | 27,000 | 27,539 | |
Total | 3,040,228 | |||
Gaming 0.8% | ||||
Boyd Gaming Corp.(a) | ||||
06/15/2031 | 4.750% | 82,000 | 85,251 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Caesars Resort Collection LLC/CRC Finco, Inc.(a) | ||||
10/15/2025 | 5.250% | 129,000 | 130,660 | |
CCM Merger, Inc.(a) | ||||
05/01/2026 | 6.375% | 89,000 | 93,523 | |
Colt Merger Sub, Inc.(a) | ||||
07/01/2025 | 6.250% | 28,000 | 29,700 | |
07/01/2027 | 8.125% | 129,000 | 143,555 | |
International Game Technology PLC(a) | ||||
02/15/2025 | 6.500% | 86,000 | 96,223 | |
MGM Growth Properties Operating Partnership LP/Finance Co-Issuer, Inc. | ||||
05/01/2024 | 5.625% | 1,000 | 1,084 | |
Midwest Gaming Borrower LLC(a) | ||||
05/01/2029 | 4.875% | 81,000 | 81,139 | |
Penn National Gaming, Inc.(a),(c) | ||||
07/01/2029 | 4.125% | 35,000 | 34,960 | |
Scientific Games International, Inc.(a) | ||||
10/15/2025 | 5.000% | 28,000 | 28,905 | |
03/15/2026 | 8.250% | 121,000 | 129,940 | |
05/15/2028 | 7.000% | 45,000 | 49,161 | |
11/15/2029 | 7.250% | 44,000 | 49,631 | |
Stars Group Holdings BV/Co-Borrower LLC(a) | ||||
07/15/2026 | 7.000% | 52,000 | 53,933 | |
VICI Properties LP/Note Co., Inc.(a) | ||||
02/15/2025 | 3.500% | 13,000 | 13,320 | |
12/01/2026 | 4.250% | 61,000 | 63,409 | |
Wynn Las Vegas LLC/Capital Corp.(a) | ||||
03/01/2025 | 5.500% | 47,000 | 50,584 | |
Total | 1,134,978 | |||
Health Care 2.0% | ||||
Acadia Healthcare Co., Inc.(a) | ||||
07/01/2028 | 5.500% | 19,000 | 20,335 | |
04/15/2029 | 5.000% | 46,000 | 48,181 | |
Avantor Funding, Inc.(a) | ||||
07/15/2028 | 4.625% | 45,000 | 47,491 | |
Becton Dickinson and Co. | ||||
02/11/2031 | 1.957% | 490,000 | 478,105 | |
Catalent Pharma Solutions, Inc.(a) | ||||
07/15/2027 | 5.000% | 14,000 | 14,635 | |
02/15/2029 | 3.125% | 16,000 | 15,507 | |
Charles River Laboratories International, Inc.(a) | ||||
05/01/2028 | 4.250% | 27,000 | 27,961 | |
03/15/2029 | 3.750% | 21,000 | 21,278 | |
03/15/2031 | 4.000% | 17,000 | 17,663 | |
CHS/Community Health Systems, Inc.(a) | ||||
02/15/2025 | 6.625% | 110,000 | 116,265 | |
03/15/2026 | 8.000% | 75,000 | 80,821 | |
04/15/2029 | 6.875% | 48,000 | 50,404 | |
04/01/2030 | 6.125% | 36,000 | 36,539 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 | 11 |
June 30, 2021 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
02/15/2031 | 4.750% | 39,000 | 39,141 | |
Encompass Health Corp. | ||||
02/01/2028 | 4.500% | 62,000 | 64,325 | |
HCA, Inc. | ||||
02/01/2025 | 5.375% | 34,000 | 38,350 | |
09/01/2028 | 5.625% | 165,000 | 195,707 | |
09/01/2030 | 3.500% | 5,000 | 5,323 | |
Hologic, Inc.(a) | ||||
02/01/2028 | 4.625% | 75,000 | 78,717 | |
IQVIA, Inc.(a) | ||||
10/15/2026 | 5.000% | 25,000 | 25,868 | |
05/15/2027 | 5.000% | 95,000 | 99,473 | |
Jaguar Holding Co. II/PPD Development LP(a) | ||||
06/15/2025 | 4.625% | 67,000 | 70,461 | |
06/15/2028 | 5.000% | 131,000 | 141,957 | |
Ortho-Clinical Diagnostics, Inc./SA(a) | ||||
06/01/2025 | 7.375% | 40,000 | 42,933 | |
02/01/2028 | 7.250% | 15,000 | 16,401 | |
RP Escrow Issuer LLC(a) | ||||
12/15/2025 | 5.250% | 136,000 | 142,058 | |
Select Medical Corp.(a) | ||||
08/15/2026 | 6.250% | 181,000 | 192,810 | |
Surgery Center Holdings, Inc.(a) | ||||
04/15/2027 | 10.000% | 83,000 | 91,157 | |
Syneos Health, Inc.(a) | ||||
01/15/2029 | 3.625% | 43,000 | 42,551 | |
Teleflex, Inc. | ||||
11/15/2027 | 4.625% | 53,000 | 56,448 | |
Teleflex, Inc.(a) | ||||
06/01/2028 | 4.250% | 28,000 | 29,192 | |
Tenet Healthcare Corp. | ||||
07/15/2024 | 4.625% | 26,000 | 26,381 | |
Tenet Healthcare Corp.(a) | ||||
02/01/2027 | 6.250% | 79,000 | 82,551 | |
11/01/2027 | 5.125% | 139,000 | 145,663 | |
10/01/2028 | 6.125% | 115,000 | 122,367 | |
US Acute Care Solutions LLC(a) | ||||
03/01/2026 | 6.375% | 31,000 | 32,041 | |
Total | 2,757,060 | |||
Healthcare Insurance 0.1% | ||||
Centene Corp. | ||||
10/15/2030 | 3.000% | 81,000 | 83,246 | |
Home Construction 0.2% | ||||
Meritage Homes Corp. | ||||
06/06/2027 | 5.125% | 44,000 | 49,317 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Meritage Homes Corp.(a) | ||||
04/15/2029 | 3.875% | 30,000 | 31,045 | |
Shea Homes LP/Funding Corp.(a) | ||||
02/15/2028 | 4.750% | 47,000 | 48,276 | |
Taylor Morrison Communities, Inc.(a) | ||||
01/15/2028 | 5.750% | 52,000 | 58,691 | |
TRI Pointe Group, Inc./Homes | ||||
06/15/2024 | 5.875% | 35,000 | 38,929 | |
Total | 226,258 | |||
Independent Energy 2.6% | ||||
Apache Corp. | ||||
11/15/2027 | 4.875% | 34,000 | 36,862 | |
10/15/2028 | 4.375% | 46,000 | 48,990 | |
01/15/2030 | 4.250% | 41,000 | 43,338 | |
09/01/2040 | 5.100% | 24,000 | 25,202 | |
02/01/2042 | 5.250% | 25,000 | 26,459 | |
04/15/2043 | 4.750% | 70,000 | 72,769 | |
Callon Petroleum Co. | ||||
07/01/2026 | 6.375% | 185,000 | 178,547 | |
Callon Petroleum Co.(a),(c) | ||||
08/01/2028 | 8.000% | 46,000 | 46,501 | |
Carrizo Oil & Gas, Inc. | ||||
04/15/2023 | 6.250% | 57,000 | 57,082 | |
CNX Resources Corp.(a) | ||||
03/14/2027 | 7.250% | 45,000 | 48,250 | |
01/15/2029 | 6.000% | 33,000 | 35,676 | |
Comstock Resources, Inc.(a) | ||||
03/01/2029 | 6.750% | 29,000 | 30,889 | |
01/15/2030 | 5.875% | 27,000 | 27,569 | |
CrownRock LP/Finance, Inc.(a) | ||||
10/15/2025 | 5.625% | 24,000 | 24,833 | |
05/01/2029 | 5.000% | 22,000 | 23,074 | |
Encana Corp. | ||||
08/15/2034 | 6.500% | 5,000 | 6,583 | |
Endeavor Energy Resources LP/Finance, Inc.(a) | ||||
01/30/2028 | 5.750% | 39,000 | 41,583 | |
EQT Corp.(h) | ||||
02/01/2030 | 8.750% | 118,000 | 153,536 | |
EQT Corp.(a) | ||||
05/15/2031 | 3.625% | 33,000 | 34,520 | |
Hilcorp Energy I LP/Finance Co.(a) | ||||
02/01/2029 | 5.750% | 72,000 | 75,060 | |
02/01/2031 | 6.000% | 46,000 | 48,742 | |
Indigo Natural Resources LLC(a) | ||||
02/01/2029 | 5.375% | 26,000 | 27,264 | |
Matador Resources Co. | ||||
09/15/2026 | 5.875% | 129,000 | 132,874 |
12 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Newfield Exploration Co. | ||||
01/01/2026 | 5.375% | 45,000 | 50,740 | |
Occidental Petroleum Corp. | ||||
02/15/2023 | 2.700% | 24,000 | 24,535 | |
08/15/2024 | 2.900% | 99,000 | 101,230 | |
04/15/2026 | 3.400% | 139,000 | 142,174 | |
08/15/2029 | 3.500% | 75,000 | 75,273 | |
09/01/2030 | 6.625% | 117,000 | 140,734 | |
01/01/2031 | 6.125% | 110,000 | 129,344 | |
09/15/2036 | 6.450% | 408,000 | 487,552 | |
03/15/2040 | 6.200% | 31,000 | 35,231 | |
07/15/2044 | 4.500% | 39,000 | 37,727 | |
06/15/2045 | 4.625% | 193,000 | 189,502 | |
03/15/2046 | 6.600% | 114,000 | 135,384 | |
04/15/2046 | 4.400% | 441,000 | 425,754 | |
08/15/2049 | 4.400% | 45,000 | 43,250 | |
Ovintiv, Inc. | ||||
11/01/2031 | 7.200% | 10,000 | 13,184 | |
SM Energy Co. | ||||
09/15/2026 | 6.750% | 27,000 | 27,461 | |
01/15/2027 | 6.625% | 142,000 | 145,821 | |
07/15/2028 | 6.500% | 24,000 | 24,663 | |
Total | 3,475,762 | |||
Integrated Energy 0.2% | ||||
Cenovus Energy, Inc. | ||||
07/15/2025 | 5.375% | 53,000 | 60,635 | |
04/15/2027 | 4.250% | 11,000 | 12,300 | |
11/15/2039 | 6.750% | 28,000 | 37,971 | |
Chevron USA, Inc. | ||||
11/15/2043 | 5.250% | 125,000 | 169,953 | |
Total | 280,859 | |||
Leisure 0.6% | ||||
Carnival Corp.(a) | ||||
03/01/2026 | 7.625% | 114,000 | 124,215 | |
03/01/2027 | 5.750% | 95,000 | 99,932 | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp. | ||||
06/01/2024 | 5.375% | 61,000 | 61,647 | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Operations LLC(a) | ||||
05/01/2025 | 5.500% | 23,000 | 24,049 | |
10/01/2028 | 6.500% | 46,000 | 49,634 | |
Cinemark USA, Inc.(a) | ||||
03/15/2026 | 5.875% | 68,000 | 71,325 | |
07/15/2028 | 5.250% | 32,000 | 32,815 | |
NCL Corp Ltd.(a) | ||||
03/15/2026 | 5.875% | 49,000 | 51,329 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Royal Caribbean Cruises Ltd.(a) | ||||
06/15/2023 | 9.125% | 67,000 | 73,547 | |
07/01/2026 | 4.250% | 46,000 | 45,942 | |
04/01/2028 | 5.500% | 55,000 | 57,701 | |
Six Flags Entertainment Corp.(a) | ||||
07/31/2024 | 4.875% | 75,000 | 75,731 | |
Viking Cruises Ltd.(a) | ||||
02/15/2029 | 7.000% | 14,000 | 14,612 | |
Viking Ocean Cruises Ship VII Ltd.(a) | ||||
02/15/2029 | 5.625% | 12,000 | 12,213 | |
Total | 794,692 | |||
Life Insurance 2.1% | ||||
Guardian Life Insurance Co. of America (The)(a) | ||||
Subordinated | ||||
06/19/2064 | 4.875% | 389,000 | 499,361 | |
Massachusetts Mutual Life Insurance Co.(a) | ||||
Subordinated | ||||
10/15/2070 | 3.729% | 350,000 | 371,190 | |
Peachtree Corners Funding Trust(a) | ||||
02/15/2025 | 3.976% | 1,230,000 | 1,345,632 | |
Teachers Insurance & Annuity Association of America(a) | ||||
Subordinated | ||||
09/15/2044 | 4.900% | 340,000 | 438,425 | |
Voya Financial, Inc. | ||||
06/15/2046 | 4.800% | 170,000 | 215,216 | |
Total | 2,869,824 | |||
Lodging 0.0% | ||||
Marriott Ownership Resorts, Inc. | ||||
01/15/2028 | 4.750% | 11,000 | 11,261 | |
Marriott Ownership Resorts, Inc.(a) | ||||
06/15/2029 | 4.500% | 20,000 | 20,277 | |
Total | 31,538 | |||
Media and Entertainment 0.9% | ||||
Cengage Learning, Inc.(a) | ||||
06/15/2024 | 9.500% | 45,000 | 46,092 | |
Clear Channel International BV(a) | ||||
08/01/2025 | 6.625% | 68,000 | 71,207 | |
Clear Channel Outdoor Holdings, Inc.(a) | ||||
04/15/2028 | 7.750% | 101,000 | 105,792 | |
06/01/2029 | 7.500% | 61,000 | 63,188 | |
Diamond Sports Group LLC/Finance Co.(a) | ||||
08/15/2026 | 5.375% | 39,000 | 25,270 | |
08/15/2027 | 6.625% | 25,000 | 12,262 | |
iHeartCommunications, Inc. | ||||
05/01/2026 | 6.375% | 19,000 | 20,214 | |
05/01/2027 | 8.375% | 91,130 | 97,767 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 | 13 |
June 30, 2021 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
iHeartCommunications, Inc.(a) | ||||
01/15/2028 | 4.750% | 116,000 | 119,564 | |
Lamar Media Corp. | ||||
01/15/2029 | 4.875% | 80,000 | 84,396 | |
Netflix, Inc. | ||||
04/15/2028 | 4.875% | 54,000 | 62,763 | |
11/15/2028 | 5.875% | 77,000 | 94,591 | |
05/15/2029 | 6.375% | 17,000 | 21,676 | |
Netflix, Inc.(a) | ||||
11/15/2029 | 5.375% | 53,000 | 64,386 | |
06/15/2030 | 4.875% | 43,000 | 51,124 | |
Nexstar Broadcasting, Inc.(a) | ||||
11/01/2028 | 4.750% | 49,000 | 50,370 | |
Outfront Media Capital LLC/Corp.(a) | ||||
01/15/2029 | 4.250% | 24,000 | 24,130 | |
03/15/2030 | 4.625% | 125,000 | 126,717 | |
Playtika Holding Corp.(a) | ||||
03/15/2029 | 4.250% | 57,000 | 57,055 | |
Univision Communications, Inc.(a) | ||||
05/01/2029 | 4.500% | 35,000 | 35,263 | |
Total | 1,233,827 | |||
Metals and Mining 0.7% | ||||
Alcoa Nederland Holding BV(a) | ||||
09/30/2026 | 7.000% | 45,000 | 47,110 | |
03/31/2029 | 4.125% | 28,000 | 29,170 | |
Commercial Metals Co. | ||||
02/15/2031 | 3.875% | 7,000 | 7,055 | |
Constellium SE(a) | ||||
06/15/2028 | 5.625% | 107,000 | 114,953 | |
04/15/2029 | 3.750% | 88,000 | 87,171 | |
Freeport-McMoRan, Inc. | ||||
03/15/2043 | 5.450% | 108,000 | 132,037 | |
Hudbay Minerals, Inc.(a) | ||||
04/01/2029 | 6.125% | 281,000 | 299,367 | |
Kaiser Aluminum Corp.(a) | ||||
06/01/2031 | 4.500% | 74,000 | 76,181 | |
Novelis Corp.(a) | ||||
09/30/2026 | 5.875% | 211,000 | 219,680 | |
Total | 1,012,724 | |||
Midstream 2.4% | ||||
Cheniere Energy Partners LP | ||||
10/01/2026 | 5.625% | 36,000 | 37,350 | |
10/01/2029 | 4.500% | 107,000 | 115,031 | |
Cheniere Energy Partners LP(a) | ||||
03/01/2031 | 4.000% | 33,000 | 34,504 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Cheniere Energy, Inc.(a) | ||||
10/15/2028 | 4.625% | 118,000 | 124,482 | |
DCP Midstream Operating LP | ||||
04/01/2044 | 5.600% | 93,000 | 102,287 | |
Delek Logistics Partners LP/Finance Corp. | ||||
05/15/2025 | 6.750% | 50,000 | 51,377 | |
DT Midstream, Inc.(a) | ||||
06/15/2029 | 4.125% | 51,000 | 51,777 | |
06/15/2031 | 4.375% | 41,000 | 41,802 | |
EQM Midstream Partners LP(a) | ||||
07/01/2027 | 6.500% | 35,000 | 39,019 | |
01/15/2029 | 4.500% | 73,000 | 74,284 | |
01/15/2031 | 4.750% | 95,000 | 97,891 | |
Galaxy Pipeline Assets Bidco Ltd.(a) | ||||
09/30/2040 | 3.250% | 200,000 | 198,889 | |
Holly Energy Partners LP/Finance Corp.(a) | ||||
02/01/2028 | 5.000% | 59,000 | 60,495 | |
ITT Holdings LLC(a),(c) | ||||
08/01/2029 | 6.500% | 16,000 | 16,301 | |
Kinder Morgan Energy Partners LP | ||||
03/01/2043 | 5.000% | 270,000 | 324,610 | |
NuStar Logistics LP | ||||
10/01/2025 | 5.750% | 136,000 | 147,959 | |
06/01/2026 | 6.000% | 23,000 | 25,024 | |
Plains All American Pipeline LP/Finance Corp. | ||||
06/15/2044 | 4.700% | 451,000 | 478,107 | |
Rockies Express Pipeline LLC(a) | ||||
05/15/2025 | 3.600% | 40,000 | 40,615 | |
Rockpoint Gas Storage Canada Ltd.(a) | ||||
03/31/2023 | 7.000% | 157,000 | 160,600 | |
Sunoco LP/Finance Corp. | ||||
02/15/2026 | 5.500% | 120,000 | 123,649 | |
Superior Plus LP/General Partner, Inc.(a) | ||||
03/15/2029 | 4.500% | 33,000 | 33,984 | |
Targa Resources Partners LP/Finance Corp. | ||||
01/15/2028 | 5.000% | 28,000 | 29,576 | |
03/01/2030 | 5.500% | 77,000 | 84,648 | |
Targa Resources Partners LP/Finance Corp.(a) | ||||
02/01/2031 | 4.875% | 94,000 | 101,731 | |
01/15/2032 | 4.000% | 34,000 | 34,994 | |
TransMontaigne Partners LP/TLP Finance Corp. | ||||
02/15/2026 | 6.125% | 94,000 | 96,261 | |
Western Gas Partners LP | ||||
08/15/2048 | 5.500% | 241,000 | 262,805 | |
Williams Companies, Inc. (The) | ||||
09/15/2045 | 5.100% | 186,000 | 230,929 | |
Total | 3,220,981 |
14 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Natural Gas 0.4% | ||||
NiSource, Inc. | ||||
05/15/2047 | 4.375% | 465,000 | 556,225 | |
Oil Field Services 0.2% | ||||
Apergy Corp. | ||||
05/01/2026 | 6.375% | 68,000 | 71,310 | |
Nabors Industries Ltd.(a) | ||||
01/15/2028 | 7.500% | 22,000 | 21,233 | |
Transocean Sentry Ltd.(a) | ||||
05/15/2023 | 5.375% | 199,417 | 194,584 | |
Total | 287,127 | |||
Other Industry 0.1% | ||||
Dycom Industries, Inc.(a) | ||||
04/15/2029 | 4.500% | 41,000 | 41,415 | |
Hillenbrand, Inc. | ||||
06/15/2025 | 5.750% | 20,000 | 21,456 | |
03/01/2031 | 3.750% | 33,000 | 32,753 | |
Total | 95,624 | |||
Other REIT 0.3% | ||||
Ladder Capital Finance Holdings LLLP/Corp.(a) | ||||
03/15/2022 | 5.250% | 80,000 | 80,385 | |
10/01/2025 | 5.250% | 42,000 | 42,760 | |
02/01/2027 | 4.250% | 35,000 | 35,047 | |
06/15/2029 | 4.750% | 90,000 | 89,981 | |
Park Intermediate Holdings LLC/PK Domestic Property LLC/Finance Co-Issuer(a) | ||||
05/15/2029 | 4.875% | 45,000 | 46,586 | |
RHP Hotel Properties LP/Finance Corp.(a) | ||||
02/15/2029 | 4.500% | 24,000 | 24,120 | |
RLJ Lodging Trust LP(a) | ||||
07/01/2026 | 3.750% | 31,000 | 31,322 | |
Total | 350,201 | |||
Packaging 0.5% | ||||
Ardagh Metal Packaging Finance USA LLC/PLC(a) | ||||
09/01/2029 | 4.000% | 111,000 | 110,163 | |
Ardagh Packaging Finance PLC/Holdings USA, Inc.(a) | ||||
08/15/2026 | 4.125% | 28,000 | 28,906 | |
08/15/2027 | 5.250% | 148,000 | 151,062 | |
Berry Global, Inc. | ||||
07/15/2023 | 5.125% | 34,000 | 34,036 | |
BWAY Holding Co.(a) | ||||
04/15/2024 | 5.500% | 72,000 | 72,583 | |
CANPACK SA/Eastern PA Land Investment Holding LLC(a) | ||||
11/01/2025 | 3.125% | 60,000 | 61,083 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Flex Acquisition Co., Inc.(a) | ||||
07/15/2026 | 7.875% | 45,000 | 46,876 | |
Novolex(a) | ||||
01/15/2025 | 6.875% | 29,000 | 29,544 | |
Trivium Packaging Finance BV(a) | ||||
08/15/2026 | 5.500% | 29,000 | 30,451 | |
08/15/2027 | 8.500% | 61,000 | 66,238 | |
Total | 630,942 | |||
Pharmaceuticals 0.8% | ||||
AbbVie, Inc. | ||||
11/21/2049 | 4.250% | 330,000 | 395,666 | |
Bausch Health Companies, Inc.(a) | ||||
04/01/2026 | 9.250% | 147,000 | 159,870 | |
01/31/2027 | 8.500% | 103,000 | 111,952 | |
01/15/2028 | 7.000% | 99,000 | 102,218 | |
06/01/2028 | 4.875% | 21,000 | 21,476 | |
Endo Dac/Finance LLC/Finco, Inc.(a) | ||||
07/31/2027 | 9.500% | 17,000 | 17,390 | |
06/30/2028 | 6.000% | 26,000 | 17,516 | |
Endo Luxembourg Finance Co I Sarl/US, Inc.(a) | ||||
04/01/2029 | 6.125% | 50,000 | 49,009 | |
Organon Finance 1 LLC(a) | ||||
04/30/2031 | 5.125% | 96,000 | 98,890 | |
Par Pharmaceutical, Inc.(a) | ||||
04/01/2027 | 7.500% | 112,000 | 114,535 | |
Total | 1,088,522 | |||
Property & Casualty 0.3% | ||||
Alliant Holdings Intermediate LLC/Co-Issuer(a) | ||||
10/15/2027 | 6.750% | 114,000 | 119,863 | |
AssuredPartners, Inc.(a) | ||||
01/15/2029 | 5.625% | 70,000 | 70,143 | |
BroadStreet Partners, Inc.(a) | ||||
04/15/2029 | 5.875% | 63,000 | 64,239 | |
HUB International Ltd.(a) | ||||
05/01/2026 | 7.000% | 47,000 | 48,733 | |
MGIC Investment Corp. | ||||
08/15/2028 | 5.250% | 16,000 | 16,964 | |
Radian Group, Inc. | ||||
03/15/2025 | 6.625% | 30,000 | 33,897 | |
03/15/2027 | 4.875% | 38,000 | 41,350 | |
USI, Inc.(a) | ||||
05/01/2025 | 6.875% | 39,000 | 39,718 | |
Total | 434,907 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 | 15 |
June 30, 2021 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Restaurants 0.4% | ||||
1011778 BC ULC/New Red Finance, Inc.(a) | ||||
04/15/2025 | 5.750% | 28,000 | 29,652 | |
1011778 BC ULC/New Red Finance, Inc.(a),(j) | ||||
01/15/2028 | 3.875% | 103,000 | 104,287 | |
IRB Holding Corp.(a) | ||||
06/15/2025 | 7.000% | 193,000 | 208,397 | |
02/15/2026 | 6.750% | 199,000 | 206,121 | |
Yum! Brands, Inc.(a) | ||||
04/01/2025 | 7.750% | 25,000 | 27,248 | |
Total | 575,705 | |||
Retailers 0.5% | ||||
Hanesbrands, Inc.(a) | ||||
05/15/2025 | 5.375% | 36,000 | 38,101 | |
L Brands, Inc. | ||||
11/01/2035 | 6.875% | 119,000 | 150,824 | |
LCM Investments Holdings II LLC(a) | ||||
05/01/2029 | 4.875% | 24,000 | 24,608 | |
Lowe’s Companies, Inc. | ||||
05/03/2047 | 4.050% | 305,000 | 351,425 | |
Penske Automotive Group, Inc. | ||||
09/01/2025 | 3.500% | 29,000 | 30,035 | |
PetSmart, Inc./Finance Corp.(a) | ||||
02/15/2028 | 4.750% | 58,000 | 60,230 | |
02/15/2029 | 7.750% | 14,000 | 15,441 | |
Total | 670,664 | |||
Supermarkets 0.1% | ||||
Albertsons Companies LLC/Safeway, Inc./New Albertsons LP/Albertsons LLC(a) | ||||
02/15/2028 | 5.875% | 92,000 | 99,123 | |
Albertsons Companies, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(a) | ||||
03/15/2026 | 3.250% | 29,000 | 29,527 | |
SEG Holding LLC/Finance Corp.(a) | ||||
10/15/2028 | 5.625% | 30,000 | 31,498 | |
Total | 160,148 | |||
Technology 2.7% | ||||
Ascend Learning LLC(a) | ||||
08/01/2025 | 6.875% | 92,000 | 93,774 | |
08/01/2025 | 6.875% | 78,000 | 79,398 | |
Banff Merger Sub, Inc.(a) | ||||
09/01/2026 | 9.750% | 19,000 | 20,029 | |
Black Knight InfoServ LLC(a) | ||||
09/01/2028 | 3.625% | 25,000 | 24,904 | |
Boxer Parent Co., Inc.(a) | ||||
10/02/2025 | 7.125% | 27,000 | 28,898 | |
03/01/2026 | 9.125% | 16,000 | 16,879 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Broadcom Corp./Cayman Finance Ltd. | ||||
01/15/2027 | 3.875% | 412,000 | 455,350 | |
Broadcom, Inc. | ||||
11/15/2030 | 4.150% | 175,000 | 196,380 | |
Camelot Finance SA(a) | ||||
11/01/2026 | 4.500% | 54,000 | 56,463 | |
CDK Global, Inc. | ||||
06/01/2027 | 4.875% | 57,000 | 60,384 | |
Clarivate Science Holdings Corp.(a) | ||||
06/30/2028 | 3.875% | 41,000 | 41,229 | |
06/30/2029 | 4.875% | 64,000 | 65,670 | |
CommScope Technologies LLC(a) | ||||
06/15/2025 | 6.000% | 77,000 | 78,659 | |
Everi Holdings, Inc.(a),(c) | ||||
07/15/2029 | 5.000% | 8,000 | 8,000 | |
Gartner, Inc.(a) | ||||
06/15/2029 | 3.625% | 28,000 | 28,448 | |
10/01/2030 | 3.750% | 97,000 | 99,235 | |
Helios Software Holdings, Inc.(a) | ||||
05/01/2028 | 4.625% | 68,000 | 66,704 | |
ION Trading Technologies Sarl(a) | ||||
05/15/2028 | 5.750% | 59,000 | 61,288 | |
Logan Merger Sub, Inc.(a) | ||||
09/01/2027 | 5.500% | 115,000 | 119,219 | |
NCR Corp.(a) | ||||
10/01/2028 | 5.000% | 81,000 | 83,708 | |
04/15/2029 | 5.125% | 85,000 | 87,698 | |
Nielsen Finance LLC/Co.(a) | ||||
10/01/2028 | 5.625% | 67,000 | 70,774 | |
07/15/2029 | 4.500% | 36,000 | 36,077 | |
07/15/2031 | 4.750% | 45,000 | 45,132 | |
Oracle Corp. | ||||
04/01/2050 | 3.600% | 162,000 | 166,448 | |
03/25/2061 | 4.100% | 398,000 | 441,074 | |
Plantronics, Inc.(a) | ||||
03/01/2029 | 4.750% | 159,000 | 157,702 | |
PTC, Inc.(a) | ||||
02/15/2028 | 4.000% | 63,000 | 65,055 | |
QualityTech LP/QTS Finance Corp.(a) | ||||
10/01/2028 | 3.875% | 160,000 | 171,081 | |
Sabre GLBL, Inc.(a) | ||||
09/01/2025 | 7.375% | 8,000 | 8,696 | |
Shift4 Payments LLC/Finance Sub, Inc.(a) | ||||
11/01/2026 | 4.625% | 102,000 | 106,584 | |
Square, Inc.(a) | ||||
06/01/2026 | 2.750% | 14,000 | 14,244 | |
06/01/2031 | 3.500% | 49,000 | 49,435 |
16 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Switch Ltd.(a) | ||||
09/15/2028 | 3.750% | 33,000 | 33,358 | |
06/15/2029 | 4.125% | 36,000 | 36,905 | |
Tempo Acquisition LLC/Finance Corp.(a) | ||||
06/01/2025 | 5.750% | 43,000 | 45,277 | |
06/01/2025 | 6.750% | 79,000 | 80,334 | |
Tencent Holdings Ltd.(a) | ||||
06/03/2050 | 3.240% | 200,000 | 194,998 | |
Verscend Escrow Corp.(a) | ||||
08/15/2026 | 9.750% | 151,000 | 159,267 | |
ZoomInfo Technologies LLC/Finance Corp.(a) | ||||
02/01/2029 | 3.875% | 64,000 | 63,520 | |
Total | 3,718,278 | |||
Transportation Services 0.2% | ||||
Adani Ports & Special Economic Zone Ltd.(a) | ||||
07/03/2029 | 4.375% | 200,000 | 208,889 | |
Wireless 0.9% | ||||
Altice France Holding SA(a) | ||||
02/15/2028 | 6.000% | 86,000 | 85,486 | |
Altice France SA(a) | ||||
05/01/2026 | 7.375% | 14,000 | 14,554 | |
02/01/2027 | 8.125% | 43,000 | 46,817 | |
07/15/2029 | 5.125% | 100,000 | 101,143 | |
SBA Communications Corp. | ||||
02/15/2027 | 3.875% | 69,000 | 70,998 | |
SBA Communications Corp.(a) | ||||
02/01/2029 | 3.125% | 39,000 | 37,663 | |
Sprint Capital Corp. | ||||
11/15/2028 | 6.875% | 94,000 | 120,597 | |
Sprint Corp. | ||||
06/15/2024 | 7.125% | 26,000 | 30,049 | |
T-Mobile USA, Inc. | ||||
02/15/2029 | 2.625% | 78,000 | 77,049 | |
04/15/2030 | 3.875% | 390,000 | 435,315 | |
02/15/2031 | 2.875% | 43,000 | 42,645 | |
04/15/2031 | 3.500% | 54,000 | 55,802 | |
T-Mobile USA, Inc.(a) | ||||
04/15/2031 | 3.500% | 52,000 | 53,664 | |
Vmed O2 UK Financing I PLC(a) | ||||
01/31/2031 | 4.250% | 79,000 | 77,707 | |
Total | 1,249,489 | |||
Wirelines 2.1% | ||||
AT&T, Inc.(a) | ||||
09/15/2055 | 3.550% | 696,000 | 697,406 | |
12/01/2057 | 3.800% | 279,000 | 291,555 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CenturyLink, Inc. | ||||
12/01/2023 | 6.750% | 77,000 | 85,354 | |
04/01/2024 | 7.500% | 102,000 | 114,531 | |
04/01/2025 | 5.625% | 102,000 | 110,594 | |
CenturyLink, Inc.(a) | ||||
12/15/2026 | 5.125% | 109,000 | 113,248 | |
02/15/2027 | 4.000% | 44,000 | 44,881 | |
Front Range BidCo, Inc.(a) | ||||
03/01/2027 | 4.000% | 73,000 | 72,520 | |
03/01/2028 | 6.125% | 46,000 | 46,970 | |
Level 3 Financing, Inc.(a) | ||||
07/15/2029 | 3.750% | 44,000 | 42,788 | |
Lumen Technologies, Inc.(a) | ||||
06/15/2029 | 5.375% | 37,000 | 37,603 | |
Network i2i Ltd.(a),(h) | ||||
12/31/2049 | 5.650% | 200,000 | 213,536 | |
Northwest Fiber LLC/Finance Sub, Inc.(a) | ||||
02/15/2028 | 6.000% | 25,000 | 25,005 | |
Verizon Communications, Inc. | ||||
08/10/2033 | 4.500% | 242,000 | 289,580 | |
03/22/2061 | 3.700% | 570,000 | 611,342 | |
Total | 2,796,913 | |||
Total Corporate Bonds & Notes (Cost $45,875,131) | 49,262,566 | |||
Foreign Government Obligations(k),(l) 7.1% | ||||
Angola 0.1% | ||||
Angolan Government International Bond(a) | ||||
11/26/2029 | 8.000% | 200,000 | 205,260 | |
Brazil 0.1% | ||||
Brazilian Government International Bond | ||||
06/12/2030 | 3.875% | 202,000 | 203,786 | |
Canada 0.2% | ||||
MEGlobal Canada ULC(a) | ||||
05/18/2025 | 5.000% | 200,000 | 224,195 | |
NOVA Chemicals Corp.(a) | ||||
05/15/2029 | 4.250% | 28,000 | 28,303 | |
Total | 252,498 | |||
China 0.5% | ||||
China Government Bond | ||||
06/04/2027 | 2.850% | CNY | 2,110,000 | 323,094 |
05/21/2030 | 2.680% | CNY | 2,100,000 | 313,012 |
Total | 636,106 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 | 17 |
June 30, 2021 (Unaudited)
Foreign Government Obligations(k),(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Colombia 1.0% | ||||
Colombia Government International Bond | ||||
04/15/2031 | 3.125% | 500,000 | 489,203 | |
02/26/2044 | 5.625% | 200,000 | 226,270 | |
06/15/2045 | 5.000% | 300,000 | 318,765 | |
05/15/2049 | 5.200% | 273,000 | 298,454 | |
Total | 1,332,692 | |||
Dominican Republic 0.7% | ||||
Dominican Republic Bond(a) | ||||
02/05/2027 | 11.250% | DOP | 10,000,000 | 209,347 |
Dominican Republic International Bond(a) | ||||
01/25/2027 | 5.950% | 218,000 | 245,376 | |
04/30/2044 | 7.450% | 200,000 | 240,974 | |
01/27/2045 | 6.850% | 200,000 | 226,221 | |
Total | 921,918 | |||
Egypt 0.3% | ||||
Egypt Government International Bond(a) | ||||
04/11/2031 | 6.375% | EUR | 100,000 | 123,495 |
01/31/2047 | 8.500% | 250,000 | 260,753 | |
Total | 384,248 | |||
Ghana 0.1% | ||||
Ghana Government International Bond(a) | ||||
03/26/2051 | 8.950% | 200,000 | 197,431 | |
Guatemala 0.2% | ||||
Guatemala Government Bond(a) | ||||
06/01/2050 | 6.125% | 200,000 | 243,651 | |
Indonesia 0.7% | ||||
Indonesia Government International Bond | ||||
10/30/2049 | 3.700% | 200,000 | 209,697 | |
PT Indonesia Asahan Aluminium Persero(a) | ||||
11/15/2048 | 6.757% | 200,000 | 259,262 | |
PT Pertamina Persero(a) | ||||
05/30/2044 | 6.450% | 200,000 | 260,430 | |
PT Saka Energi Indonesia(a) | ||||
05/05/2024 | 4.450% | 200,000 | 187,474 | |
Total | 916,863 | |||
Ivory Coast 0.2% | ||||
Ivory Coast Government International Bond(a) | ||||
10/17/2031 | 5.875% | EUR | 200,000 | 255,109 |
Kazakhstan 0.2% | ||||
KazMunayGas National Co. JSC(a) | ||||
04/19/2027 | 4.750% | 200,000 | 228,511 |
Foreign Government Obligations(k),(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Mexico 1.0% | ||||
Mexican Bonos | ||||
05/31/2029 | 8.500% | MXN | 8,500,000 | 469,307 |
Mexico Government International Bond | ||||
04/16/2030 | 3.250% | 200,000 | 206,725 | |
Petroleos Mexicanos(a) | ||||
09/12/2024 | 7.190% | MXN | 260,000 | 12,398 |
Petroleos Mexicanos | ||||
01/23/2026 | 4.500% | 80,000 | 81,048 | |
11/12/2026 | 7.470% | MXN | 4,700,000 | 209,311 |
01/23/2030 | 6.840% | 135,000 | 139,131 | |
01/28/2031 | 5.950% | 22,000 | 21,347 | |
01/23/2050 | 7.690% | 300,000 | 288,750 | |
Total | 1,428,017 | |||
Paraguay 0.2% | ||||
Paraguay Government International Bond(a) | ||||
08/11/2044 | 6.100% | 200,000 | 248,121 | |
Qatar 0.3% | ||||
Qatar Government International Bond(a) | ||||
03/14/2049 | 4.817% | 200,000 | 257,324 | |
Qatar Petroleum(a),(c) | ||||
07/12/2031 | 2.250% | 200,000 | 197,874 | |
Total | 455,198 | |||
Romania 0.2% | ||||
Romanian Government International Bond(a) | ||||
04/03/2049 | 4.625% | EUR | 150,000 | 226,197 |
Russian Federation 0.2% | ||||
Russian Foreign Bond - Eurobond(a) | ||||
03/28/2035 | 5.100% | 200,000 | 237,584 | |
Serbia 0.2% | ||||
Serbia International Bond(a) | ||||
09/28/2021 | 7.250% | 250,000 | 253,896 | |
South Africa 0.1% | ||||
Republic of South Africa Government International Bond | ||||
09/30/2029 | 4.850% | 200,000 | 212,210 | |
Turkey 0.1% | ||||
Turkey Government International Bond | ||||
02/17/2028 | 5.125% | 200,000 | 194,132 | |
Ukraine 0.2% | ||||
Ukraine Government International Bond(a) | ||||
09/25/2032 | 7.375% | 220,000 | 231,014 |
18 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Foreign Government Obligations(k),(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
United Arab Emirates 0.3% | ||||
DP World Crescent Ltd.(a) | ||||
07/18/2029 | 3.875% | 200,000 | 217,009 | |
DP World PLC(a) | ||||
09/25/2048 | 5.625% | 200,000 | 249,767 | |
Total | 466,776 | |||
Total Foreign Government Obligations (Cost $9,383,153) | 9,731,218 | |||
Residential Mortgage-Backed Securities - Agency 7.6% | ||||
Federal Home Loan Mortgage Corp.(m) | ||||
CMO Series 4120 Class AI | ||||
11/15/2039 | 3.500% | 554,610 | 15,848 | |
Federal Home Loan Mortgage Corp.(f),(m) | ||||
CMO Series 4620 Class AS | ||||
11/15/2042 | 1.805% | 844,866 | 52,493 | |
Federal National Mortgage Association | ||||
05/01/2041 | 4.000% | 28,434 | 30,695 | |
Federal National Mortgage Association(f),(m) | ||||
CMO Series 2006-5 Class N1 | ||||
08/25/2034 | 0.000% | 1,846,179 | 2 | |
Federal National Mortgage Association(m) | ||||
CMO Series 2012-133 Class EI | ||||
07/25/2031 | 3.500% | 465,974 | 20,223 | |
CMO Series 2012-139 Class IL | ||||
04/25/2040 | 3.500% | 523,742 | 20,557 | |
CMO Series 2013-1 Class AI | ||||
02/25/2043 | 3.500% | 997,467 | 135,482 | |
CMO Series 2021-3 Class TI | ||||
02/25/2051 | 2.500% | 2,463,100 | 422,964 | |
Federal National Mortgage Association(b),(m) | ||||
CMO Series 2014-93 Class ES | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 01/25/2045 | 6.059% | 367,110 | 72,423 | |
CMO Series 2016-31 Class VS | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 06/25/2046 | 5.909% | 677,681 | 154,488 | |
CMO Series 2017-47 Class SE | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 06/25/2047 | 6.009% | 521,012 | 129,621 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2017-56 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 07/25/2047 | 6.059% | 1,029,483 | 223,191 | |
CMO Series 2018-76 Class SN | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 10/25/2048 | 6.059% | 469,209 | 112,310 | |
Government National Mortgage Association(m) | ||||
CMO Series 2014-190 Class AI | ||||
12/20/2038 | 3.500% | 1,023,935 | 109,432 | |
CMO Series 2021-16 Class KI | ||||
01/20/2051 | 2.500% | 1,477,036 | 218,766 | |
CMO Series 2021-89 Class IO | ||||
05/20/2051 | 3.000% | 1,295,545 | 206,873 | |
CMO Series 2021-9 Class MI | ||||
01/20/2051 | 2.500% | 1,228,233 | 159,438 | |
Government National Mortgage Association(b),(m) | ||||
CMO Series 2016-20 Class SQ | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 02/20/2046 | 6.007% | 599,128 | 133,360 | |
CMO Series 2017-129 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 08/20/2047 | 6.107% | 523,968 | 112,495 | |
CMO Series 2017-133 Class SM | ||||
-1.0 x 1-month USD LIBOR + 6.250% Cap 6.250% 09/20/2047 | 6.157% | 616,165 | 133,331 | |
CMO Series 2018-124 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 09/20/2048 | 6.107% | 1,134,226 | 213,461 | |
CMO Series 2018-155 Class ES | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 11/20/2048 | 6.007% | 815,158 | 147,611 | |
CMO Series 2018-168 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 12/20/2048 | 6.007% | 717,730 | 131,151 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 | 19 |
June 30, 2021 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2018-67 Class SP | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 05/20/2048 | 6.107% | 1,215,098 | 255,019 | |
CMO Series 2019-152 Class BS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 12/20/2049 | 5.957% | 1,428,223 | 212,122 | |
CMO Series 2019-23 Class LS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 02/20/2049 | 5.957% | 461,594 | 89,364 | |
CMO Series 2019-29 Class DS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 03/20/2049 | 5.957% | 1,127,616 | 193,875 | |
CMO Series 2019-41 Class AS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 03/20/2049 | 5.957% | 914,191 | 159,435 | |
CMO Series 2019-5 Class SH | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 01/20/2049 | 6.057% | 710,970 | 135,702 | |
CMO Series 2019-59 Class JS | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 05/20/2049 | 6.057% | 738,780 | 139,805 | |
Government National Mortgage Association TBA(c) | ||||
07/21/2051 | 3.000% | 2,000,000 | 2,086,562 | |
Uniform Mortgage-Backed Security TBA(c) | ||||
07/19/2036 | 3.000% | 1,000,000 | 1,050,908 | |
07/14/2051 | 2.000% | 1,000,000 | 1,011,055 | |
07/14/2051 | 2.500% | 2,000,000 | 2,069,922 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $10,434,411) | 10,359,984 | |||
Residential Mortgage-Backed Securities - Non-Agency 22.6% | ||||
Banc of America Funding Trust(a),(e),(f) | ||||
CMO Series 2016-R1 Class M2 | ||||
03/25/2040 | 3.500% | 507,334 | 515,198 | |
Bayview Opportunity Master Fund IVb Trust(a),(f) | ||||
CMO Series 2019-RN4 Class A1 | ||||
10/28/2034 | 3.278% | 30,020 | 30,029 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Bayview Opportunity Master Fund Trust(a),(f) | ||||
CMO Series 2020-RN1 Class A1 | ||||
02/28/2035 | 3.228% | 161,260 | 161,255 | |
Bellemeade Re Ltd.(a),(b) | ||||
CMO Series 2019-1A Class M1A | ||||
1-month USD LIBOR + 1.300% Floor 1.300% 03/25/2029 | 1.392% | 20,604 | 20,604 | |
CMO Series 2019-2A Class M1B | ||||
1-month USD LIBOR + 1.450% Floor 1.450% 04/25/2029 | 1.542% | 261,182 | 261,013 | |
CMO Series 2020-3A Class M2 | ||||
1-month USD LIBOR + 4.850% Floor 4.850% 10/25/2030 | 4.942% | 550,000 | 578,754 | |
CMO Series 2021-1A Class M1C | ||||
30-day Average SOFR + 2.950% Floor 2.950% 03/25/2031 | 2.960% | 300,000 | 313,509 | |
BRAVO Residential Funding Trust(a),(f) | ||||
CMO Series 2021-B Class A1 | ||||
04/01/2069 | 2.115% | 471,960 | 471,455 | |
BVRT Financing Trust(a),(b),(e) | ||||
CMO Series 2021-2F Class M2 | ||||
30-day Average SOFR + 2.500% Floor 2.500% 01/10/2032 | 2.510% | 500,000 | 500,000 | |
CMO Series 2021-CRT2 Class M1 | ||||
1-month USD LIBOR + 1.750% Floor 1.750% 11/10/2032 | 1.827% | 335,213 | 335,213 | |
CMO Series 2021-CRT2 Class M2 | ||||
1-month USD LIBOR + 2.250% Floor 2.250% 11/10/2032 | 2.327% | 500,000 | 500,000 | |
BVRT Financing Trust(a),(b),(d),(e) | ||||
CMO Series 2021-CRT1 Class M4 | ||||
1-month USD LIBOR + 3.500% Floor 3.500% 07/10/2032 | 3.577% | 875,000 | 889,219 | |
CHL GMSR Issuer Trust(a),(b) | ||||
CMO Series 2018-GT1 Class A | ||||
1-month USD LIBOR + 1.000% 05/25/2023 | 2.842% | 500,000 | 500,929 | |
Connecticut Avenue Securities Trust(a),(b) | ||||
CMO Series 2020-R01 Class 1M2 | ||||
1-month USD LIBOR + 2.050% Floor 2.050% 01/25/2040 | 2.142% | 486,117 | 488,114 |
20 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CTS Corp.(a) | ||||
CMO Series 2015-6R Class 3A2 | ||||
02/27/2036 | 3.750% | 380,448 | 376,061 | |
Eagle Re Ltd.(a),(b) | ||||
CMO Series 2021-1 Class M1C | ||||
30-day Average SOFR + 2.700% Floor 2.700% 10/25/2033 | 2.710% | 275,000 | 280,094 | |
FMC GMSR Issuer Trust(a),(f) | ||||
CMO Series 2019-GT1 Class A | ||||
05/25/2024 | 5.070% | 2,200,000 | 2,211,204 | |
Freddie Mac STACR REMIC Trust(a),(b) | ||||
CMO Series 2020-HQA2 Class M2 | ||||
1-month USD LIBOR + 3.100% 03/25/2050 | 3.192% | 300,000 | 304,482 | |
Subordinated CMO Series 2020-DNA4 Class B1 | ||||
1-month USD LIBOR + 6.000% 08/25/2050 | 6.092% | 700,000 | 748,470 | |
Subordinated CMO Series 2020-DNA6 Class B1 | ||||
30-day Average SOFR + 3.000% 12/25/2050 | 3.018% | 600,000 | 603,233 | |
Freddie Mac Structured Agency Credit Risk Debt Notes(a),(b) | ||||
Subordinated CMO Series 2020-HQA5 Class B1 | ||||
30-day Average SOFR + 4.000% 11/25/2050 | 4.018% | 750,000 | 780,522 | |
GCAT LLC(a),(f) | ||||
CMO Series 2021-CM1 Class A1 | ||||
04/25/2065 | 1.469% | 423,714 | 422,875 | |
MRA Issuance Trust(a),(b) | ||||
CMO Series 2021-EBO4 Class A1X | ||||
1-month USD LIBOR + 1.750% Floor 1.750% 02/16/2022 | 1.860% | 1,000,000 | 1,000,125 | |
New Residential Mortgage LLC(a) | ||||
Subordinated CMO Series 2018-FNT1 Class D | ||||
05/25/2023 | 4.690% | 188,096 | 188,093 | |
New York Mortgage Trust(a),(f) | ||||
CMO Series 2021-BPL1 Class A1 | ||||
05/25/2026 | 2.239% | 400,000 | 399,995 | |
NRZ Excess Spread-Collateralized Notes(a) | ||||
Series 2020-PLS1 Class A | ||||
12/25/2025 | 3.844% | 418,355 | 422,306 | |
Oaktown Re VI Ltd.(a),(b) | ||||
CMO Series 2021-1A Class M1C | ||||
30-day Average SOFR + 3.000% Floor 3.000% 10/25/2033 | 3.018% | 200,000 | 204,419 | |
OMSR(a) | ||||
CMO Series 2019-PLS1 Class A | ||||
11/25/2024 | 5.069% | 303,140 | 304,464 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
OSAT Trust(a),(f) | ||||
CMO Series 2020-RPL1 Class A1 | ||||
12/26/2059 | 3.072% | 649,359 | 652,888 | |
PMT Credit Risk Transfer Trust(a),(b) | ||||
CMO Series 2019-1R Class A | ||||
1-month USD LIBOR + 2.000% Floor 2.000% 03/27/2024 | 2.096% | 369,843 | 366,607 | |
Series 2019-2R Class A | ||||
1-month USD LIBOR + 2.750% Floor 2.750% 05/27/2023 | 2.846% | 522,652 | 516,306 | |
PNMAC GMSR Issuer Trust(a),(b) | ||||
CMO Series 2018-GT1 Class A | ||||
1-month USD LIBOR + 2.850% Floor 2.850% 02/25/2023 | 2.942% | 2,350,000 | 2,354,369 | |
CMO Series 2018-GT2 Class A | ||||
1-month USD LIBOR + 2.650% 08/25/2025 | 2.742% | 3,450,000 | 3,444,707 | |
Preston Ridge Partners Mortgage(a),(f) | ||||
CMO Series 2021-2 Class A1 | ||||
03/25/2026 | 2.115% | 380,004 | 379,791 | |
CMO Series 2021-4 Class A1 | ||||
04/25/2026 | 1.867% | 390,348 | 389,773 | |
Preston Ridge Partners Mortgage LLC(a),(f) | ||||
CMO Series 2021-3 Class A1 | ||||
04/25/2026 | 1.867% | 388,023 | 387,237 | |
Preston Ridge Partners Mortgage Trust(a),(f) | ||||
CMO Series 2021-1 Class A1 | ||||
01/25/2026 | 2.115% | 960,940 | 960,930 | |
Pretium Mortgage Credit Partners I LLC(a),(f) | ||||
CMO Series 2021-NPL1 Class A1 | ||||
09/27/2060 | 2.240% | 281,844 | 281,784 | |
Pretium Mortgage Credit Partners I LLC(a),(d),(e),(f) | ||||
CMO Series 2021-NPL2 Class A1 | ||||
06/27/2024 | 1.992% | 450,000 | 450,000 | |
Radnor Re Ltd.(a),(b) | ||||
CMO Series 2021-1 Class M2 | ||||
30-day Average SOFR + 3.150% 12/27/2033 | 3.160% | 400,000 | 399,998 | |
Stonnington Mortgage Trust(a),(e),(f) | ||||
CMO Series 2020-1 Class A | ||||
07/28/2024 | 5.500% | 514,236 | 514,236 | |
Toorak Mortgage Corp., Ltd.(a),(f) | ||||
CMO Series 2021-1 Class A1 | ||||
06/25/2024 | 2.240% | 400,000 | 399,960 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 | 21 |
June 30, 2021 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Triangle Re Ltd.(a),(b) | ||||
CMO Series 2021-1 Class M1B | ||||
1-month USD LIBOR + 3.000% Floor 3.000% 08/25/2033 | 3.092% | 1,000,000 | 1,007,917 | |
CMO Series 2021-1 Class M1C | ||||
1-month USD LIBOR + 3.400% Floor 3.400% 08/25/2033 | 3.492% | 400,000 | 403,247 | |
CMO Series 2021-2 Class M1C | ||||
1-month USD LIBOR + 4.500% Floor 4.500% 10/25/2033 | 4.592% | 500,000 | 521,608 | |
CMO Series 2021-2 Class M2 | ||||
1-month USD LIBOR + 5.500% Floor 5.500% 10/25/2033 | 5.592% | 250,000 | 272,922 | |
Vericrest Opportunity Loan Transferee(a),(f) | ||||
CMO Series 2021-NPL4 Class A1 | ||||
03/27/2051 | 2.240% | 739,882 | 739,343 | |
Vericrest Opportunity Loan Transferee XCIII LLC(a),(f) | ||||
CMO Series 2021-NPL2 Class A1 | ||||
02/27/2051 | 1.893% | 411,211 | 410,767 | |
Vericrest Opportunity Loan Transferee XCIV LLC(a),(f) | ||||
CMO Series 2021-NPL3 Class A1 | ||||
02/27/2051 | 2.240% | 491,586 | 491,490 | |
Verus Securitization Trust(a),(f) | ||||
CMO Series 2020-1 Class M1 | ||||
01/25/2060 | 3.021% | 400,000 | 409,910 | |
CMO Series 2020-NPL1 Class A1 | ||||
08/25/2050 | 3.598% | 653,132 | 655,854 | |
Subordinated CMO Series 2019-INV3 Class B1 | ||||
11/25/2059 | 3.731% | 300,000 | 302,997 | |
Visio Trust(a),(f) | ||||
CMO Series 2019-2 Class B1 | ||||
11/25/2054 | 3.910% | 100,000 | 102,215 | |
CMO Series 2019-2 Class M1 | ||||
11/25/2054 | 3.260% | 200,000 | 207,283 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $29,977,530) | 30,835,774 | |||
Senior Loans 9.1% | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Airlines 0.3% | ||||
American Airlines, Inc.(b),(n) | ||||
Term Loan | ||||
1-month USD LIBOR + 1.750% 01/29/2027 | 1.846% | 489,844 | 467,634 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Automotive 0.3% | ||||
Clarios Global LP(b),(n) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 3.250% 04/30/2026 | 3.354% | 454,327 | 449,784 | |
Building Materials 0.4% | ||||
CP Atlas Buyer, Inc./American Bath(b),(n) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 3.750% Floor 0.500% 11/23/2027 | 4.250% | 498,750 | 497,139 | |
Cable and Satellite 0.5% | ||||
Cogeco Communications II LP(b),(n) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 2.000% 01/03/2025 | 2.104% | 48,484 | 47,777 | |
Virgin Media Bristol LLC(b),(n) | ||||
Tranche Q Term Loan | ||||
1-month USD LIBOR + 3.250% 01/31/2029 | 3.353% | 600,000 | 599,082 | |
Total | 646,859 | |||
Chemicals 1.0% | ||||
ColourOz Investment 1 GmbH(b),(n) | ||||
Tranche C 1st Lien Term Loan | ||||
3-month USD LIBOR + 4.250% Floor 1.000% 09/21/2023 | 5.250% | 67,828 | 67,446 | |
ColourOz Investment 2 LLC(b),(n) | ||||
Tranche B2 1st Lien Term Loan | ||||
3-month USD LIBOR + 4.250% Floor 1.000% 09/21/2023 | 5.250% | 410,299 | 407,993 | |
Ineos US Finance LLC(b),(n) | ||||
Term Loan | ||||
3-month USD LIBOR + 2.000% 04/01/2024 | 2.104% | 491,094 | 485,230 | |
Nouryon Finance BV/AkzoNobel(b),(n) | ||||
Term Loan | ||||
1-month USD LIBOR + 2.750% 10/01/2025 | 3.132% | 462,350 | 458,596 | |
Total | 1,419,265 | |||
Consumer Cyclical Services 0.6% | ||||
8th Avenue Food & Provisions, Inc.(b),(n) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 3.500% 10/01/2025 | 3.591% | 33,741 | 33,593 |
22 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
2nd Lien Term Loan | ||||
1-month USD LIBOR + 7.750% 10/01/2026 | 7.841% | 63,566 | 63,037 | |
Uber Technologies, Inc.(b),(n) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.500% 02/25/2027 | 3.604% | 705,231 | 704,569 | |
Total | 801,199 | |||
Diversified Manufacturing 0.4% | ||||
Vertical Midco GmbH(b),(n) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 4.250% 07/30/2027 | 4.478% | 497,503 | 497,712 | |
Electric 0.7% | ||||
Exgen Renewables IV LLC(b),(n) | ||||
Term Loan | ||||
1-month USD LIBOR + 2.500% Floor 1.000% 12/15/2027 | 3.500% | 488,748 | 488,342 | |
PG&E Corp.(b),(n) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.000% Floor 1.000% 06/23/2025 | 3.500% | 495,000 | 487,887 | |
Total | 976,229 | |||
Gaming 0.4% | ||||
Caesars Resort Collection LLC(b),(n) | ||||
Tranche B1 Term Loan | ||||
1-month USD LIBOR + 4.500% 07/21/2025 | 4.604% | 496,250 | 497,491 | |
Leisure 0.4% | ||||
Metro-Goldwyn-Mayer, Inc.(b),(n) | ||||
2nd Lien Term Loan | ||||
3-month USD LIBOR + 4.500% Floor 1.000% 07/03/2026 | 5.500% | 500,000 | 499,585 | |
Media and Entertainment 0.7% | ||||
Gray Television, Inc.(b),(n) | ||||
Tranche C Term Loan | ||||
3-month USD LIBOR + 2.500% 01/02/2026 | 2.592% | 425,886 | 423,599 | |
Meredith Corp.(b),(n) | ||||
Tranche B2 Term Loan | ||||
1-month USD LIBOR + 2.500% 01/31/2025 | 2.604% | 467,033 | 464,815 | |
Total | 888,414 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Oil Field Services 0.1% | ||||
Fieldwood Energy LLC(e),(n),(o) | ||||
1st Lien Term Loan | ||||
04/11/2022 | 0.000% | 275,952 | 143,495 | |
Fieldwood Energy LLC(n),(o) | ||||
2nd Lien Term Loan | ||||
04/11/2023 | 0.000% | 372,536 | 32,288 | |
Total | 175,783 | |||
Pharmaceuticals 0.3% | ||||
Grifols Worldwide Operations Ltd.(b),(n) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 2.000% 11/15/2027 | 2.088% | 418,792 | 414,500 | |
Property & Casualty 0.3% | ||||
Asurion LLC(b),(n) | ||||
Tranche B8 Term Loan | ||||
1-month USD LIBOR + 3.250% 12/23/2026 | 3.354% | 445,011 | 439,729 | |
Restaurants 0.3% | ||||
New Red Finance, Inc./Burger King/Tim Hortons(b),(n) | ||||
Tranche B4 Term Loan | ||||
3-month USD LIBOR + 1.750% 11/19/2026 | 1.854% | 449,288 | 442,760 | |
Technology 2.0% | ||||
Arches Buyer, Inc./Ancestry.com(b),(n) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.250% Floor 0.500% 12/06/2027 | 3.750% | 497,500 | 495,913 | |
Ascend Learning LLC(b),(n) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.000% Floor 1.000% 07/12/2024 | 4.000% | 35,466 | 35,429 | |
Avaya, Inc.(b),(n) | ||||
Tranche B1 Term Loan | ||||
1-month USD LIBOR + 4.250% 12/15/2027 | 4.323% | 277,008 | 277,759 | |
Dun & Bradstreet Corp. (The)(b),(n) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.250% 02/06/2026 | 3.345% | 496,250 | 493,690 | |
MA FinanceCo LLC(b),(n) | ||||
Tranche B4 Term Loan | ||||
1-month USD LIBOR + 4.250% Floor 1.000% 06/05/2025 | 5.250% | 493,711 | 499,472 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 | 23 |
June 30, 2021 (Unaudited)
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Peraton Corp.(b),(j),(n) | ||||
Tranche B 1st Lien Term Loan | ||||
3-month USD LIBOR + 3.750% Floor 0.750% 02/01/2028 | 4.500% | 581,875 | 583,085 | |
Project Alpha Intermediate Holding, Inc.(b),(n) | ||||
Term Loan | ||||
1-month USD LIBOR + 4.000% 04/26/2024 | 4.110% | 58,003 | 58,044 | |
SCS Holdings I, Inc./Sirius Computer Solutions, Inc.(b),(n) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 3.500% 07/01/2026 | 3.604% | 294,023 | 293,079 | |
Total | 2,736,471 | |||
Wireless 0.4% | ||||
SBA Senior Finance II LLC(b),(n) | ||||
Term Loan | ||||
3-month USD LIBOR + 1.750% 04/11/2025 | 1.860% | 493,639 | 489,013 | |
Total Senior Loans (Cost $12,830,828) | 12,339,567 | |||
U.S. Treasury Obligations 0.3% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
U.S. Treasury | ||||
08/15/2048 | 3.000% | 340,000 | 405,769 | |
Total U.S. Treasury Obligations (Cost $337,237) | 405,769 |
Options Purchased Puts 1.1% | ||||
Value ($) | ||||
(Cost $659,250) | 1,449,585 |
Money Market Funds 3.6% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.051%(p),(q) | 4,872,722 | 4,872,235 |
Total Money Market Funds (Cost $4,871,019) | 4,872,235 | |
Total Investments in Securities (Cost: $135,960,472) | 140,746,451 | |
Other Assets & Liabilities, Net | (4,378,369) | |
Net Assets | 136,368,082 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
15,538,852 MXN | 771,063 USD | Morgan Stanley | 07/23/2021 | — | (6,386) |
863,077 EUR | 1,046,512 USD | UBS | 07/23/2021 | 22,659 | — |
Total | 22,659 | (6,386) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 10-Year Note | 449 | 09/2021 | USD | 59,492,500 | 423,356 | — |
U.S. Treasury 5-Year Note | 50 | 09/2021 | USD | 6,171,484 | — | (9,432) |
Total | 423,356 | (9,432) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Canadian Government 10-Year Bond | (40) | 09/2021 | CAD | (5,820,800) | — | (55,579) |
U.S. Ultra Treasury Bond | (38) | 09/2021 | USD | (7,322,125) | — | (356,850) |
Total | — | (412,429) |
24 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | 14,000,000 | 14,000,000 | 1.00 | 09/30/2021 | 243,600 | 645,880 |
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | 14,000,000 | 14,000,000 | 1.25 | 12/03/2021 | 217,000 | 442,996 |
10-Year OTC interest rate swap with Morgan Stanley to receive 3-Month USD LIBOR BBA and pay exercise rate | Morgan Stanley | USD | 10,000,000 | 10,000,000 | 1.25 | 11/18/2021 | 122,000 | 304,423 |
5-Year OTC interest rate swap with Morgan Stanley to receive 3-Month USD LIBOR BBA and pay exercise rate | Morgan Stanley | USD | 7,300,000 | 7,300,000 | 1.50 | 05/20/2022 | 76,650 | 56,286 |
Total | 659,250 | 1,449,585 |
Call option contracts written | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Premium received ($) | Value ($) |
10-Year OTC interest rate swap with Morgan Stanley to receive 3-Month USD LIBOR BBA and pay exercise rate | Morgan Stanley | USD | (5,000,000) | (5,000,000) | 1.70 | 10/01/2021 | (69,125) | (139,102) |
Put option contracts written | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Premium received ($) | Value ($) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (6,000,000) | (6,000,000) | 2.20 | 03/17/2022 | (112,200) | (32,107) |
Cleared interest rate swap contracts | |||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | 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 | (3,990) | — | — | — | (3,990) |
Fixed rate of 5.985% | 28-Day MXN TIIE-Banxico | Receives Monthly, Pays Monthly | Morgan Stanley | 01/21/2026 | MXN | 8,000,000 | (8,717) | — | — | — | (8,717) |
Fixed rate of 5.960% | 28-Day MXN TIIE-Banxico | Receives Monthly, Pays Monthly | Morgan Stanley | 02/02/2026 | MXN | 20,000,000 | (23,757) | — | — | — | (23,757) |
Fixed rate of 2.165% | U.S. CPI Urban Consumers NSA | Receives at Maturity, Pays at Maturity | Morgan Stanley | 12/18/2030 | USD | 4,800,000 | (251,430) | — | — | — | (251,430) |
Fixed rate of 2.291% | U.S. CPI Urban Consumers NSA | Receives at Maturity, Pays at Maturity | Morgan Stanley | 01/14/2031 | USD | 5,000,000 | (192,089) | — | — | — | (192,089) |
Fixed rate of 2.372% | U.S. CPI Urban Consumers NSA | Receives at Maturity, Pays at Maturity | Morgan Stanley | 02/17/2031 | USD | 3,300,000 | (93,526) | — | — | — | (93,526) |
3-Month USD LIBOR | Fixed rate of 1.635% | Receives Quarterly, Pays SemiAnnually | Morgan Stanley | 03/18/2031 | USD | 4,000,000 | (95,918) | — | — | — | (95,918) |
Fixed rate of 2.510% | U.S. CPI Urban Consumers NSA | Receives at Maturity, Pays at Maturity | Morgan Stanley | 06/10/2031 | USD | 2,041,482 | (9,350) | — | — | — | (9,350) |
3-Month USD LIBOR | Fixed rate of 1.781% | Receives Quarterly, Pays SemiAnnually | Morgan Stanley | 08/09/2049 | USD | 2,100,000 | (11,788) | — | — | — | (11,788) |
Total | (690,565) | — | — | — | (690,565) |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 | 25 |
June 30, 2021 (Unaudited)
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 | 6,812 | (100) | 7,116 | — | — | (404) |
Cleared credit default swap contracts - buy protection | |||||||||||
Reference entity | Counterparty | Maturity date | Pay fixed rate (%) | Payment frequency | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America High Yield Index, Series 36 | Morgan Stanley | 06/20/2026 | 5.000 | Quarterly | USD | 8,717,000 | (145,296) | — | — | — | (145,296) |
Credit default swap contracts - sell protection | |||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CMBX North America Index, Series 10 BBB- | Citi | 11/17/2059 | 3.000 | Monthly | 4.921 | USD | 500,000 | (44,062) | 250 | — | (113,528) | 69,716 | — |
Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 4.921 | USD | 800,000 | (70,499) | 400 | — | (154,093) | 83,994 | — |
Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 4.921 | USD | 500,000 | (44,062) | 250 | — | (112,428) | 68,616 | — |
Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 4.921 | USD | 500,000 | (44,063) | 250 | — | (87,091) | 43,278 | — |
Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 4.921 | USD | 500,000 | (44,062) | 250 | — | (83,863) | 40,051 | — |
Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 4.921 | USD | 500,000 | (44,063) | 250 | — | (81,155) | 37,342 | — |
Markit CMBX North America Index, Series 11 BBB- | JPMorgan | 11/18/2054 | 3.000 | Monthly | 3.623 | USD | 500,000 | (17,031) | 250 | — | (86,762) | 69,981 | — |
Markit CMBX North America Index, Series 11 BBB- | JPMorgan | 11/18/2054 | 3.000 | Monthly | 3.623 | USD | 300,000 | (10,219) | 150 | — | (45,762) | 35,693 | — |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 4.921 | USD | 500,000 | (44,063) | 250 | — | (112,105) | 68,292 | — |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 4.921 | USD | 500,000 | (44,063) | 250 | — | (101,751) | 57,938 | — |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 4.921 | USD | 500,000 | (44,062) | 250 | — | (83,863) | 40,051 | — |
Total | (450,249) | 2,800 | — | (1,062,401) | 614,952 | — |
26 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 |
June 30, 2021 (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. |
Reference index and values for swap contracts as of period end | ||
Reference index | Reference rate | |
28-Day MXN TIIE-Banxico | Interbank Equilibrium Interest Rate | 4.529% |
3-Month USD LIBOR | London Interbank Offered Rate | 0.146% |
U.S. CPI Urban Consumers NSA | United States Consumer Price All Urban Non-Seasonally Adjusted Index | 5.391% |
(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, 2021, the total value of these securities amounted to $85,418,938, which represents 62.64% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of June 30, 2021. |
(c) | Represents a security purchased on a when-issued basis. |
(d) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At June 30, 2021, the total value of these securities amounted to $1,739,844, which represents 1.28% of total net assets. |
(e) | Valuation based on significant unobservable inputs. |
(f) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of June 30, 2021. |
(g) | Non-income producing investment. |
(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, 2021. |
(i) | Payment-in-kind security. Interest can be paid by issuing additional par of the security or in cash. |
(j) | Represents a security purchased on a forward commitment basis. |
(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, 2021 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 securities that have defaulted on payment of interest. The Fund has stopped accruing interest on these securities. At June 30, 2021, the total value of these securities amounted to $175,783, which represents 0.13% of total net assets. |
(p) | The rate shown is the seven-day current annualized yield at June 30, 2021. |
(q) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2021 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.051% | ||||||||
10,027,788 | 86,195,626 | (91,350,365) | (814) | 4,872,235 | 812 | 3,412 | 4,872,722 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 | 27 |
June 30, 2021 (Unaudited)
CMO | Collateralized Mortgage Obligation |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing Rate |
TBA | To Be Announced |
CAD | Canada Dollar |
CNY | China Yuan Renminbi |
DOP | Dominican Republic Peso |
EUR | Euro |
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). |
28 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2021:
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Asset-Backed Securities — Non-Agency | — | 14,729,229 | 606,868 | 15,336,097 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 6,102,573 | — | 6,102,573 |
Common Stocks | ||||
Energy | — | — | 1,079 | 1,079 |
Financials | — | — | — | — |
Total Common Stocks | — | — | 1,079 | 1,079 |
Convertible Bonds | — | 50,004 | — | 50,004 |
Corporate Bonds & Notes | — | 49,262,566 | — | 49,262,566 |
Foreign Government Obligations | — | 9,731,218 | — | 9,731,218 |
Residential Mortgage-Backed Securities - Agency | — | 10,359,984 | — | 10,359,984 |
Residential Mortgage-Backed Securities - Non-Agency | — | 27,131,908 | 3,703,866 | 30,835,774 |
Senior Loans | — | 12,196,072 | 143,495 | 12,339,567 |
U.S. Treasury Obligations | 405,769 | — | — | 405,769 |
Options Purchased Puts | — | 1,449,585 | — | 1,449,585 |
Money Market Funds | 4,872,235 | — | — | 4,872,235 |
Total Investments in Securities | 5,278,004 | 131,013,139 | 4,455,308 | 140,746,451 |
Investments in Derivatives | ||||
Asset | ||||
Forward Foreign Currency Exchange Contracts | — | 22,659 | — | 22,659 |
Futures Contracts | 423,356 | — | — | 423,356 |
Swap Contracts | — | 614,952 | — | 614,952 |
Liability | ||||
Forward Foreign Currency Exchange Contracts | — | (6,386) | — | (6,386) |
Futures Contracts | (421,861) | — | — | (421,861) |
Options Contracts Written | — | (171,209) | — | (171,209) |
Swap Contracts | — | (836,265) | — | (836,265) |
Total | 5,279,499 | 130,636,890 | 4,455,308 | 140,371,697 |
Balance as of 12/31/2020 ($) | Increase (decrease) in accrued discounts/ premiums ($) | Realized gain (loss) ($) | Change in unrealized appreciation (depreciation)(a) ($) | Purchases ($) | Sales ($) | Transfers into Level 3 ($) | Transfers out of Level 3 ($) | Balance as of 06/30/2021 ($) | |
Asset-Backed Securities — Non-Agency | 958,494 | — | — | (2,132) | 399,993 | (248,129) | — | (501,358) | 606,868 |
Common Stocks | — | — | — | 1,079 | — | — | — | — | 1,079 |
Residential Mortgage-Backed Securities — Non-Agency | 1,762,784 | 371 | — | 18,503 | 2,818,518 | (524,342) | — | (371,968) | 3,703,866 |
Senior Loans | 95,165 | — | — | 81,406 | — | — | 62,089 | (95,165) | 143,495 |
Total | 2,816,443 | 371 | — | 98,856 | 3,218,511 | (772,471) | 62,089 | (968,491) | 4,455,308 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 | 29 |
June 30, 2021 (Unaudited)
Financial assets were transferred from Level 2 to Level 3 due to utilizing a single market quotation from a broker dealer. As a result, management concluded that the market input(s) were generally unobservable.
30 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $130,430,203) | $134,424,631 |
Affiliated issuers (cost $4,871,019) | 4,872,235 |
Options purchased (cost $659,250) | 1,449,585 |
Cash | 65,825 |
Foreign currency (cost $46,779) | 47,404 |
Cash collateral held at broker for: | |
Swap contracts | 420,000 |
Margin deposits on: | |
Futures contracts | 529,693 |
Swap contracts | 1,419,662 |
Unrealized appreciation on forward foreign currency exchange contracts | 22,659 |
Unrealized appreciation on swap contracts | 614,952 |
Upfront payments on swap contracts | 7,116 |
Receivable for: | |
Investments sold | 165,744 |
Investments sold on a delayed delivery basis | 43,633 |
Capital shares sold | 489,686 |
Dividends | 161 |
Interest | 901,768 |
Foreign tax reclaims | 2,113 |
Variation margin for futures contracts | 108,359 |
Variation margin for swap contracts | 7,887 |
Expense reimbursement due from Investment Manager | 543 |
Prepaid expenses | 4,461 |
Trustees’ deferred compensation plan | 120,140 |
Total assets | 145,718,257 |
Liabilities | |
Option contracts written, at value (premiums received $181,325) | 171,209 |
Unrealized depreciation on forward foreign currency exchange contracts | 6,386 |
Unrealized depreciation on swap contracts | 404 |
Upfront receipts on swap contracts | 1,062,401 |
Payable for: | |
Investments purchased | 175,599 |
Investments purchased on a delayed delivery basis | 7,581,015 |
Capital shares purchased | 6,736 |
Variation margin for futures contracts | 52,431 |
Variation margin for swap contracts | 112,367 |
Management services fees | 2,233 |
Distribution and/or service fees | 811 |
Service fees | 20,040 |
Compensation of board members | 4,311 |
Compensation of chief compliance officer | 10 |
Other expenses | 34,082 |
Trustees’ deferred compensation plan | 120,140 |
Total liabilities | 9,350,175 |
Net assets applicable to outstanding capital stock | $136,368,082 |
Represented by | |
Paid in capital | 116,951,128 |
Total distributable earnings (loss) | 19,416,954 |
Total - representing net assets applicable to outstanding capital stock | $136,368,082 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 | 31 |
June 30, 2021 (Unaudited)
Class 1 | |
Net assets | $17,680,899 |
Shares outstanding | 3,924,394 |
Net asset value per share | $4.51 |
Class 2 | |
Net assets | $118,687,183 |
Shares outstanding | 26,660,877 |
Net asset value per share | $4.45 |
32 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 |
Six Months Ended June 30, 2021 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $35 |
Dividends — affiliated issuers | 3,412 |
Interest | 2,781,259 |
Total income | 2,784,706 |
Expenses: | |
Management services fees | 407,156 |
Distribution and/or service fees | |
Class 2 | 138,307 |
Service fees | 73,681 |
Compensation of board members | 8,265 |
Custodian fees | 21,525 |
Printing and postage fees | 7,744 |
Audit fees | 26,010 |
Legal fees | 5,315 |
Interest on collateral | 3,740 |
Compensation of chief compliance officer | 20 |
Other | 2,397 |
Total expenses | 694,160 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (87,930) |
Total net expenses | 606,230 |
Net investment income | 2,178,476 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 5,831,667 |
Investments — affiliated issuers | 812 |
Foreign currency translations | (25,710) |
Forward foreign currency exchange contracts | (48,189) |
Futures contracts | 1,225,280 |
Swap contracts | 207,384 |
Net realized gain | 7,191,244 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (6,089,203) |
Investments — affiliated issuers | (814) |
Foreign currency translations | (11,045) |
Forward foreign currency exchange contracts | 86,699 |
Futures contracts | (307,049) |
Options purchased | 705,186 |
Options contracts written | 10,116 |
Swap contracts | (637,438) |
Net change in unrealized appreciation (depreciation) | (6,243,548) |
Net realized and unrealized gain | 947,696 |
Net increase in net assets resulting from operations | $3,126,172 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 | 33 |
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | |
Operations | ||
Net investment income | $2,178,476 | $7,204,897 |
Net realized gain | 7,191,244 | 1,514,575 |
Net change in unrealized appreciation (depreciation) | (6,243,548) | 4,653,730 |
Net increase in net assets resulting from operations | 3,126,172 | 13,373,202 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | — | (3,974,116) |
Class 2 | — | (3,277,059) |
Total distributions to shareholders | — | (7,251,175) |
Increase (decrease) in net assets from capital stock activity | (90,993,221) | 5,642,391 |
Total increase (decrease) in net assets | (87,867,049) | 11,764,418 |
Net assets at beginning of period | 224,235,131 | 212,470,713 |
Net assets at end of period | $136,368,082 | $224,235,131 |
Six Months Ended | Year Ended | |||
June 30, 2021 (Unaudited) | December 31, 2020 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 522,100 | 2,333,712 | 979,700 | 4,110,151 |
Distributions reinvested | — | — | 946,218 | 3,974,116 |
Redemptions | (23,575,432) | (104,228,904) | (624,669) | (2,616,503) |
Net increase (decrease) | (23,053,332) | (101,895,192) | 1,301,249 | 5,467,764 |
Class 2 | ||||
Subscriptions | 4,080,882 | 18,005,286 | 4,936,010 | 20,522,083 |
Distributions reinvested | — | — | 787,754 | 3,277,059 |
Redemptions | (1,613,968) | (7,103,315) | (5,842,822) | (23,624,515) |
Net increase (decrease) | 2,466,914 | 10,901,971 | (119,058) | 174,627 |
Total net increase (decrease) | (20,586,418) | (90,993,221) | 1,182,191 | 5,642,391 |
34 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 | 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 6/30/2021 (Unaudited) | $4.40 | 0.07 | 0.04 | 0.11 | — | — | — |
Year Ended 12/31/2020 | $4.27 | 0.15 | 0.13 | 0.28 | (0.15) | — | (0.15) |
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) |
Class 2 | |||||||
Six Months Ended 6/30/2021 (Unaudited) | $4.36 | 0.07 | 0.02 | 0.09 | — | — | — |
Year Ended 12/31/2020 | $4.23 | 0.14 | 0.13 | 0.27 | (0.14) | — | (0.14) |
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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Annualized. |
(d) | Ratios include interest on collateral expense. For the periods indicated below, if interest on collateral expense had been excluded, expenses would have been lower by: |
Class | 6/30/2021 | 12/31/2020 | 12/31/2019 | 12/31/2018 |
Class 1 | less than 0.01% | less than 0.01% | less than 0.01% | less than 0.01% |
Class 2 | 0.01% | less than 0.01% | less than 0.01% | less than 0.01% |
36 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 |
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 6/30/2021 (Unaudited) | $4.51 | 2.50% | 0.78%(c),(d) | 0.69%(c),(d) | 3.25%(c) | 79% | $17,681 |
Year Ended 12/31/2020 | $4.40 | 6.82% | 0.74%(d) | 0.69%(d) | 3.58% | 166% | $118,832 |
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 |
Class 2 | |||||||
Six Months Ended 6/30/2021 (Unaudited) | $4.45 | 2.06% | 1.08%(c),(d) | 0.94%(c),(d) | 3.20%(c) | 79% | $118,687 |
Year Ended 12/31/2020 | $4.36 | 6.62% | 0.99%(d) | 0.94%(d) | 3.33% | 166% | $105,403 |
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% | $46,676 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 | 37 |
June 30, 2021 (Unaudited)
38 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 | 39 |
June 30, 2021 (Unaudited)
40 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 | 41 |
June 30, 2021 (Unaudited)
42 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 | 43 |
June 30, 2021 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 614,952* |
Credit risk | Upfront payments on swap contracts | 7,116 |
Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 22,659 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 423,356* |
Interest rate risk | Investments, at value — Options purchased | 1,449,585 |
Total | 2,517,668 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 145,700* |
Credit risk | Upfront receipts on swap contracts | 1,062,401 |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 6,386 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 421,861* |
Interest rate risk | Options contracts written, at value | 171,209 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 690,565* |
Total | 2,498,122 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
44 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 202,680 | 202,680 |
Foreign exchange risk | (48,189) | — | — | (48,189) |
Interest rate risk | — | 1,225,280 | 4,704 | 1,229,984 |
Total | (48,189) | 1,225,280 | 207,384 | 1,384,475 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts written ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | — | — | (46,910) | (46,910) |
Foreign exchange risk | 86,699 | — | — | — | — | 86,699 |
Interest rate risk | — | (307,049) | 10,116 | 705,186 | (590,528) | (182,275) |
Total | 86,699 | (307,049) | 10,116 | 705,186 | (637,438) | (142,486) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 63,013,086 |
Futures contracts — short | 13,770,655 |
Credit default swap contracts — buy protection | 7,422,000 |
Credit default swap contracts — sell protection | 6,150,000 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 2,157,578 |
Options contracts — written | (152,634) |
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 27,383 | (11,033) |
Interest rate swap contracts | 137,280 | (543,368) |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2021. |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 | 45 |
June 30, 2021 (Unaudited)
46 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Citi($)(a) | Citi($)(a) | JPMorgan ($) | Morgan Stanley ($)(a) | Morgan Stanley ($)(a) | UBS ($) | Total ($) | |
Assets | |||||||
Centrally cleared credit default swap contracts (b) | - | - | - | - | 2,832 | - | 2,832 |
Centrally cleared interest rate swap contracts (b) | - | - | - | - | 5,055 | - | 5,055 |
Forward foreign currency exchange contracts | - | - | - | - | - | 22,659 | 22,659 |
Options purchased puts | 1,088,876 | - | - | 360,709 | - | - | 1,449,585 |
OTC credit default swap contracts (c) | - | 69,716 | 386,071 | 166,281 | - | - | 622,068 |
Total assets | 1,088,876 | 69,716 | 386,071 | 526,990 | 7,887 | 22,659 | 2,102,199 |
Liabilities | |||||||
Centrally cleared interest rate swap contracts (b) | - | - | - | - | 112,367 | - | 112,367 |
Forward foreign currency exchange contracts | - | - | - | 6,386 | - | - | 6,386 |
Options contracts written | 32,107 | - | - | 139,102 | - | - | 171,209 |
OTC credit default swap contracts (c) | - | 113,528 | 651,558 | 297,719 | - | - | 1,062,805 |
Total liabilities | 32,107 | 113,528 | 651,558 | 443,207 | 112,367 | - | 1,352,767 |
Total financial and derivative net assets | 1,056,769 | (43,812) | (265,487) | 83,783 | (104,480) | 22,659 | 749,432 |
Total collateral received (pledged) (d) | 1,056,769 | - | (265,487) | 83,783 | (104,480) | - | 770,585 |
Net amount (e) | - | (43,812) | - | - | - | 22,659 | (21,153) |
(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 2021 | 47 |
June 30, 2021 (Unaudited)
48 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 | 49 |
June 30, 2021 (Unaudited)
Fee rate(s) contractual through April 30, 2022 | |
Class 1 | 0.69% |
Class 2 | 0.94 |
50 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
134,724,000 | 7,725,000 | (3,132,000) | 4,593,000 |
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
— | (244,779) | (244,779) |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 | 51 |
June 30, 2021 (Unaudited)
52 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 | 53 |
June 30, 2021 (Unaudited)
54 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 | 55 |
• | 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. |
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
56 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | Terms of the Management Agreement; |
• | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
• | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
• | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 | 57 |
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Management Agreement supported the continuation of the Management Agreement.
58 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 |
Economies of scale
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2021 | 59 |
June 30, 2021
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2021) | |||||
Inception | 6 Months cumulative | 1 Year | Life | ||
Class 1* | 02/20/19 | 6.49 | 14.74 | 9.25 | |
Class 2 | 11/02/16 | 6.37 | 14.48 | 9.13 | |
Blended Benchmark | 6.58 | 18.86 | 11.20 | ||
S&P 500 Index | 15.25 | 40.79 | 18.90 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | -1.60 | -0.33 | 3.30 |
* | 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 2021 | 3 |
(Unaudited)
Portfolio Allocation (%) (at June 30, 2021) | |
Allocations to Underlying Funds | |
Equity Funds | 45.0 |
U.S. Large Cap | 45.0 |
Exchange-Traded Fixed Income Funds | 3.7 |
Investment Grade | 3.7 |
Fixed Income Funds | 23.9 |
Investment Grade | 23.9 |
Allocations to Tactical Assets | |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 19.5 |
Options Purchased Puts | 1.2 |
Residential Mortgage-Backed Securities - Agency | 6.7 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $454.7 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2021 |
(Unaudited)
January 1, 2021 — June 30, 2021 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,064.90 | 1,023.41 | 1.43 | 1.40 | 0.28 | 3.53 | 3.46 | 0.69 |
Class 2 | 1,000.00 | 1,000.00 | 1,063.70 | 1,022.17 | 2.71 | 2.66 | 0.53 | 4.81 | 4.71 | 0.94 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2021 | 5 |
June 30, 2021 (Unaudited)
Equity Funds 47.6% | ||
Shares | Value ($) | |
U.S. Large Cap 47.6% | ||
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 1,392,917 | 109,135,004 |
Columbia Variable Portfolio – Large Cap Index Fund, Class 1 Shares(a),(b) | 6,905,932 | 243,019,733 |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 6,633,542 | 110,183,138 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 2,650,155 | 94,955,048 |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares(a),(b) | 1,770,790 | 99,730,901 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 1,567,981 | 106,277,765 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 2,994,806 | 94,725,721 |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(a),(b) | 5,895,002 | 191,941,274 |
Total | 1,049,968,584 | |
Total Equity Funds (Cost $615,031,596) | 1,049,968,584 | |
Exchange-Traded Fixed Income Funds 3.9% | ||
Investment Grade 3.9% | ||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 191,363 | 25,711,533 |
Vanguard Intermediate-Term Corporate Bond ETF | 635,000 | 60,369,450 |
Total | 86,080,983 | |
Total Exchange-Traded Fixed Income Funds (Cost $80,170,667) | 86,080,983 | |
Fixed Income Funds 25.3% | ||
Investment Grade 25.3% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 8,241,943 | 95,441,706 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 3,143,721 | 31,657,268 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 4,169,180 | 49,071,245 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 2,884,376 | 31,410,854 |
Fixed Income Funds (continued) | ||
Shares | Value ($) | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 11,589,847 | 135,485,306 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 9,791,499 | 111,525,177 |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a) | 1,534,322 | 15,742,143 |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(a) | 7,589,774 | 87,889,581 |
Total | 558,223,280 | |
Total Fixed Income Funds (Cost $521,746,055) | 558,223,280 |
Residential Mortgage-Backed Securities - Agency 7.1% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(c) | ||||
07/19/2036 | 2.500% | 37,920,000 | 39,540,488 | |
07/19/2036- 07/14/2051 | 3.000% | 70,090,000 | 73,296,651 | |
07/14/2051 | 3.500% | 42,000,000 | 44,218,945 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $157,377,897) | 157,056,084 |
Options Purchased Puts 1.3% | ||||
Value ($) | ||||
(Cost $37,141,609) | 28,459,650 |
Money Market Funds 20.6% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.051%(a),(d) | 454,735,742 | 454,690,269 |
Total Money Market Funds (Cost $454,666,899) | 454,690,269 | |
Total Investments in Securities (Cost: $1,866,134,723) | 2,334,478,850 | |
Other Assets & Liabilities, Net | (127,929,307) | |
Net Assets | 2,206,549,543 |
6 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Russell 2000 Index E-mini | 65 | 09/2021 | USD | 7,500,350 | — | (49,399) |
S&P 500 Index E-mini | 2,570 | 09/2021 | USD | 551,085,100 | 7,367,162 | — |
U.S. Long Bond | 113 | 09/2021 | USD | 18,164,750 | 573,587 | — |
U.S. Treasury 10-Year Note | 49 | 09/2021 | USD | 6,492,500 | 46,254 | — |
U.S. Treasury 2-Year Note | 33 | 09/2021 | USD | 7,270,570 | — | (10,375) |
U.S. Treasury 5-Year Note | 116 | 09/2021 | USD | 14,317,844 | — | (21,064) |
U.S. Ultra Treasury Bond | 29 | 09/2021 | USD | 5,587,938 | 272,289 | — |
Total | 8,259,292 | (80,838) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 547,931,250 | 1,275 | 3,400.00 | 12/16/2022 | 23,651,548 | 19,316,250 |
S&P 500 Index | JPMorgan | USD | 167,602,500 | 390 | 3,200.00 | 12/16/2022 | 8,387,761 | 4,641,000 |
S&P 500 Index | JPMorgan | USD | 143,966,250 | 335 | 3,300.00 | 12/16/2022 | 5,102,300 | 4,502,400 |
Total | 37,141,609 | 28,459,650 |
(a) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2021 are as follows: |
Affiliated issuers | Beginning of period($) | 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, 0.051% | |||||||||
338,280,430 | 303,619,405 | (187,215,647) | 6,081 | 454,690,269 | — | (6,081) | 135,334 | 454,735,742 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
107,645,077 | 534,611 | (12,006,512) | 12,961,828 | 109,135,004 | — | 4,118,317 | — | 1,392,917 | |
Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares | |||||||||
31,275,296 | — | (30,035,114) | (1,240,182) | — | — | 1,240,204 | — | — | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
106,473,502 | 8,314,197 | (18,533,257) | (812,736) | 95,441,706 | — | 1,270,693 | — | 8,241,943 | |
Columbia Variable Portfolio – Large Cap Index Fund, Class 1 Shares | |||||||||
217,100,469 | 10,409,084 | (14,962,417) | 30,472,597 | 243,019,733 | — | 3,021,660 | — | 6,905,932 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
30,909,559 | 1,724,122 | (1,004,536) | 28,123 | 31,657,268 | — | 8,005 | — | 3,143,721 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
25,918,522 | 24,702,530 | (396,107) | (1,153,700) | 49,071,245 | — | (32,428) | — | 4,169,180 | |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares | |||||||||
24,488,665 | 73,203,443 | (432,083) | 12,923,113 | 110,183,138 | — | 3,663 | — | 6,633,542 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
105,731,495 | 403,889 | (22,641,743) | 11,461,407 | 94,955,048 | — | 7,803,982 | — | 2,650,155 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
30,781,117 | 1,431,250 | (961,162) | 159,649 | 31,410,854 | — | 3,786 | — | 2,884,376 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
103,373,122 | 31,777,355 | (114,622) | 449,451 | 135,485,306 | — | (1,168) | — | 11,589,847 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2021 | 7 |
June 30, 2021 (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® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
105,213,500 | 220,141 | (11,521,384) | 5,818,644 | 99,730,901 | — | 6,944,785 | — | 1,770,790 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
108,983,049 | 9,847,162 | (11,397,609) | (1,154,837) | 106,277,765 | — | 10,068,022 | — | 1,567,981 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
107,214,832 | 884,606 | (23,510,796) | 10,137,079 | 94,725,721 | — | 5,628,743 | — | 2,994,806 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
98,686,087 | 14,035,389 | (146,854) | (1,049,445) | 111,525,177 | — | (5,256) | — | 9,791,499 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
13,975,730 | 1,892,254 | (38,554) | (87,287) | 15,742,143 | — | (1,041) | — | 1,534,322 | |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares | |||||||||
91,018,658 | 3,289,529 | (5,397,294) | (1,021,312) | 87,889,581 | — | (19,187) | — | 7,589,774 | |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares | |||||||||
199,372,893 | 3,003,483 | (28,436,435) | 18,001,333 | 191,941,274 | — | 10,038,277 | — | 5,895,002 | |
Total | 1,846,442,003 | 95,899,806 | 2,062,882,133 | — | 50,084,976 | 135,334 |
(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, 2021. |
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 – U.S. Flexible Moderate Growth Fund | Semiannual Report 2021 |
June 30, 2021 (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 | — | — | — | 1,049,968,584 | 1,049,968,584 |
Exchange-Traded Fixed Income Funds | 86,080,983 | — | — | — | 86,080,983 |
Fixed Income Funds | — | — | — | 558,223,280 | 558,223,280 |
Residential Mortgage-Backed Securities - Agency | — | 157,056,084 | — | — | 157,056,084 |
Options Purchased Puts | 28,459,650 | — | — | — | 28,459,650 |
Money Market Funds | 454,690,269 | — | — | — | 454,690,269 |
Total Investments in Securities | 569,230,902 | 157,056,084 | — | 1,608,191,864 | 2,334,478,850 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 8,259,292 | — | — | — | 8,259,292 |
Liability | |||||
Futures Contracts | (80,838) | — | — | — | (80,838) |
Total | 577,409,356 | 157,056,084 | — | 1,608,191,864 | 2,342,657,304 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2021 | 9 |
June 30, 2021 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $237,548,564) | $243,137,067 |
Affiliated issuers (cost $1,591,444,550) | 2,062,882,133 |
Options purchased (cost $37,141,609) | 28,459,650 |
Cash collateral held at broker for: | |
TBA | 540,000 |
Margin deposits on: | |
Futures contracts | 28,880,214 |
Receivable for: | |
Investments sold | 1,648,986 |
Investments sold on a delayed delivery basis | 37,718,609 |
Dividends | 16,289 |
Interest | 187,452 |
Variation margin for futures contracts | 984,789 |
Prepaid expenses | 27,127 |
Trustees’ deferred compensation plan | 58,455 |
Total assets | 2,404,540,771 |
Liabilities | |
Payable for: | |
Investments purchased on a delayed delivery basis | 195,398,792 |
Capital shares purchased | 2,355,694 |
Management services fees | 12,529 |
Distribution and/or service fees | 15,096 |
Service fees | 107,161 |
Compensation of board members | 10,209 |
Compensation of chief compliance officer | 155 |
Other expenses | 33,137 |
Trustees’ deferred compensation plan | 58,455 |
Total liabilities | 197,991,228 |
Net assets applicable to outstanding capital stock | $2,206,549,543 |
Represented by | |
Trust capital | $2,206,549,543 |
Total - representing net assets applicable to outstanding capital stock | $2,206,549,543 |
Class 1 | |
Net assets | $2,216,682 |
Shares outstanding | 146,783 |
Net asset value per share | $15.10 |
Class 2 | |
Net assets | $2,204,332,861 |
Shares outstanding | 146,757,525 |
Net asset value per share | $15.02 |
10 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2021 |
Six Months Ended June 30, 2021 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $1,460,550 |
Dividends — affiliated issuers | 135,334 |
Interest | 5 |
Total income | 1,595,889 |
Expenses: | |
Management services fees | 2,234,063 |
Distribution and/or service fees | |
Class 2 | 2,631,331 |
Service fees | 632,679 |
Compensation of board members | 20,574 |
Custodian fees | 12,094 |
Printing and postage fees | 12,462 |
Audit fees | 16,279 |
Legal fees | 14,485 |
Interest on collateral | 665 |
Compensation of chief compliance officer | 295 |
Other | 1,743 |
Total expenses | 5,576,670 |
Net investment loss | (3,980,781) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 723,213 |
Investments — affiliated issuers | 50,084,976 |
Foreign currency translations | 10,242 |
Futures contracts | 14,050,390 |
Options purchased | (18,242,289) |
Net realized gain | 46,626,532 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (8,318,181) |
Investments — affiliated issuers | 95,899,806 |
Futures contracts | 6,084,718 |
Options purchased | (3,695,518) |
Net change in unrealized appreciation (depreciation) | 89,970,825 |
Net realized and unrealized gain | 136,597,357 |
Net increase in net assets resulting from operations | $132,616,576 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2021 | 11 |
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | |
Operations | ||
Net investment income (loss) | $(3,980,781) | $9,054,793 |
Net realized gain (loss) | 46,626,532 | (90,813,888) |
Net change in unrealized appreciation (depreciation) | 89,970,825 | 191,199,400 |
Net increase in net assets resulting from operations | 132,616,576 | 109,440,305 |
Increase in net assets from capital stock activity | 6,061,617 | 125,344,966 |
Total increase in net assets | 138,678,193 | 234,785,271 |
Net assets at beginning of period | 2,067,871,350 | 1,833,086,079 |
Net assets at end of period | $2,206,549,543 | $2,067,871,350 |
Six Months Ended | Year Ended | |||
June 30, 2021 (Unaudited) | December 31, 2020 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 38,612 | 570,233 | 90,433 | 1,227,597 |
Redemptions | (3,484) | (50,691) | (1,102) | (14,728) |
Net increase | 35,128 | 519,542 | 89,331 | 1,212,869 |
Class 2 | ||||
Subscriptions | 3,470,745 | 50,231,779 | 14,968,143 | 196,630,803 |
Redemptions | (3,089,886) | (44,689,704) | (5,540,609) | (72,498,706) |
Net increase | 380,859 | 5,542,075 | 9,427,534 | 124,132,097 |
Total net increase | 415,987 | 6,061,617 | 9,516,865 | 125,344,966 |
12 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2021 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2021 | 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 6/30/2021 (Unaudited) | $14.18 | (0.01) | 0.93 | 0.92 |
Year Ended 12/31/2020 | $13.41 | 0.08 | 0.69 | 0.77 |
Year Ended 12/31/2019(e) | $12.05 | 0.20 | 1.16 | 1.36 |
Class 2 | ||||
Six Months Ended 6/30/2021 (Unaudited) | $14.12 | (0.03) | 0.93 | 0.90 |
Year Ended 12/31/2020 | $13.38 | 0.06 | 0.68 | 0.74 |
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(f) | $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) | Ratios include interest on collateral expense which is less than 0.01%. |
(e) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
(f) | 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 2021 |
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 6/30/2021 (Unaudited) | $15.10 | 6.49% | 0.28%(c),(d) | 0.28%(c),(d) | (0.13%)(c) | 90% | $2,217 |
Year Ended 12/31/2020 | $14.18 | 5.74% | 0.29% | 0.29% | 0.63% | 232% | $1,583 |
Year Ended 12/31/2019(e) | $13.41 | 11.29% | 0.30%(c) | 0.30%(c) | 1.84%(c) | 125% | $299 |
Class 2 | |||||||
Six Months Ended 6/30/2021 (Unaudited) | $15.02 | 6.37% | 0.53%(c),(d) | 0.53%(c),(d) | (0.38%)(c) | 90% | $2,204,333 |
Year Ended 12/31/2020 | $14.12 | 5.53% | 0.54% | 0.54% | 0.48% | 232% | $2,066,289 |
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(f) | $10.21 | 2.10% | 0.75%(c) | 0.64%(c) | (0.16%)(c) | 16% | $89,784 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2021 | 15 |
June 30, 2021 (Unaudited)
16 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2021 | 17 |
June 30, 2021 (Unaudited)
18 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2021 | 19 |
June 30, 2021 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 7,367,162* |
Equity risk | Investments, at value — Options Purchased | 28,459,650 |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 892,130* |
Total | 36,718,942 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 49,399* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 31,439* |
Total | 80,838 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | 27,745,886 | (18,242,289) | 9,503,597 |
Interest rate risk | (13,695,496) | — | (13,695,496) |
Total | 14,050,390 | (18,242,289) | (4,191,899) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | 4,522,019 | (3,695,518) | 826,501 |
Interest rate risk | 1,562,699 | — | 1,562,699 |
Total | 6,084,718 | (3,695,518) | 2,389,200 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 491,575,965 |
Futures contracts — short | 3,785,838 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 27,014,695 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2021. |
20 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2021 | 21 |
June 30, 2021 (Unaudited)
JPMorgan ($) | |
Assets | |
Options purchased puts | 28,459,650 |
Total financial and derivative net assets | 28,459,650 |
Total collateral received (pledged) (a) | - |
Net amount (b) | 28,459,650 |
(a) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Represents the net amount due from/(to) counterparties in the event of default. |
22 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2021 | 23 |
June 30, 2021 (Unaudited)
Fee rate(s) contractual through April 30, 2022 | |
Class 1 | 0.80% |
Class 2 | 1.05 |
24 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2021 | 25 |
June 30, 2021 (Unaudited)
26 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2021 | 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. |
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
28 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2021 |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | Terms of the Management Agreement; |
• | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
• | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
• | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2021 | 29 |
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Management Agreement supported the continuation of the Management Agreement.
30 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2021 |
Economies of scale
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2021 | 31 |
June 30, 2021
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2021) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | Life | ||
Class 1 | 04/30/13 | -4.93 | -2.15 | 5.71 | 4.85 | |
Class 2 | 04/30/13 | -5.11 | -2.44 | 5.43 | 4.59 | |
Bloomberg Barclays U.S. Long Government/Credit Bond Index | -4.64 | -1.86 | 5.45 | 5.42 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2021 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2021) | |
Asset-Backed Securities — Agency | 0.9 |
Corporate Bonds & Notes | 57.8 |
Foreign Government Obligations | 0.9 |
Money Market Funds | 2.9 |
U.S. Treasury Obligations | 37.5 |
Total | 100.0 |
Quality breakdown (%) (at June 30, 2021) | |
AAA rating | 40.3 |
AA rating | 3.7 |
A rating | 18.6 |
BBB rating | 35.8 |
BB rating | 1.6 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2021 |
(Unaudited)
January 1, 2021 — June 30, 2021 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 950.70 | 1,022.32 | 2.42 | 2.51 | 0.50 |
Class 2 | 1,000.00 | 1,000.00 | 948.90 | 1,021.08 | 3.62 | 3.76 | 0.75 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2021 | 5 |
June 30, 2021 (Unaudited)
Asset-Backed Securities — Agency 0.9% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
United States Small Business Administration | ||||
Series 2016-20L Class 1 | ||||
12/01/2036 | 2.810% | 4,040,029 | 4,334,246 | |
Series 2017-20E Class 1 | ||||
05/01/2037 | 2.880% | 356,847 | 384,113 | |
Series 2017-20F Class 1 | ||||
06/01/2037 | 2.810% | 2,950,290 | 3,162,733 | |
Series 2017-20G Class 1 | ||||
07/01/2037 | 2.980% | 2,774,630 | 2,997,895 | |
Series 2017-20H Class 1 | ||||
08/01/2037 | 2.750% | 2,402,026 | 2,571,723 | |
Series 2017-20I Class 1 | ||||
09/01/2037 | 2.590% | 4,035,169 | 4,294,027 | |
Total Asset-Backed Securities — Agency (Cost $16,558,992) | 17,744,737 | |||
Corporate Bonds & Notes 57.4% | ||||
Aerospace & Defense 2.6% | ||||
BAE Systems PLC(a) | ||||
04/15/2030 | 3.400% | 3,300,000 | 3,585,879 | |
02/15/2031 | 1.900% | 5,000,000 | 4,829,864 | |
Boeing Co. (The) | ||||
05/01/2034 | 3.600% | 6,930,000 | 7,302,132 | |
08/01/2059 | 3.950% | 11,165,000 | 11,666,545 | |
General Dynamics Corp. | ||||
04/01/2040 | 4.250% | 790,000 | 966,239 | |
Northrop Grumman Corp. | ||||
06/01/2043 | 4.750% | 735,000 | 946,453 | |
10/15/2047 | 4.030% | 6,765,000 | 8,035,570 | |
United Technologies Corp. | ||||
06/01/2042 | 4.500% | 9,820,000 | 12,222,831 | |
11/01/2046 | 3.750% | 3,860,000 | 4,353,106 | |
Total | 53,908,619 | |||
Automotive 0.2% | ||||
General Motors Co. | ||||
04/01/2048 | 5.400% | 2,815,000 | 3,584,235 | |
Banking 9.5% | ||||
Bank of America Corp.(b) | ||||
07/23/2031 | 1.898% | 7,890,000 | 7,655,922 | |
10/24/2031 | 1.922% | 15,105,000 | 14,722,566 | |
06/19/2041 | 2.676% | 15,480,000 | 15,062,105 | |
Citigroup, Inc.(b) | ||||
06/03/2031 | 2.572% | 23,040,000 | 23,677,906 | |
05/01/2032 | 2.561% | 2,707,000 | 2,757,781 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Goldman Sachs Group Inc. (The)(b) | ||||
04/22/2032 | 2.615% | 23,757,000 | 24,296,298 | |
HSBC Holdings PLC(b) | ||||
08/18/2031 | 2.357% | 7,448,000 | 7,452,222 | |
05/24/2032 | 2.804% | 13,708,000 | 14,071,213 | |
JPMorgan Chase & Co.(b) | ||||
10/15/2030 | 2.739% | 6,982,000 | 7,320,783 | |
11/19/2031 | 1.764% | 585,000 | 561,846 | |
04/22/2032 | 2.580% | 6,397,000 | 6,572,211 | |
04/22/2042 | 3.157% | 2,680,000 | 2,790,525 | |
01/23/2049 | 3.897% | 11,370,000 | 13,212,308 | |
Morgan Stanley(b) | ||||
04/28/2032 | 1.928% | 22,550,000 | 21,931,543 | |
Wells Fargo & Co.(b) | ||||
02/11/2031 | 2.572% | 13,865,000 | 14,352,664 | |
04/30/2041 | 3.068% | 17,350,000 | 17,791,340 | |
Total | 194,229,233 | |||
Cable and Satellite 2.3% | ||||
Charter Communications Operating LLC/Capital | ||||
05/01/2047 | 5.375% | 4,315,000 | 5,291,160 | |
03/01/2050 | 4.800% | 9,380,000 | 10,806,755 | |
04/01/2061 | 3.850% | 5,077,000 | 4,990,711 | |
12/01/2061 | 4.400% | 2,101,000 | 2,259,735 | |
Comcast Corp. | ||||
01/15/2051 | 2.800% | 4,285,000 | 4,123,855 | |
11/01/2052 | 4.049% | 7,021,000 | 8,354,791 | |
NBCUniversal Media LLC | ||||
01/15/2043 | 4.450% | 9,095,000 | 11,162,699 | |
Total | 46,989,706 | |||
Chemicals 0.4% | ||||
Dow Chemical Co. (The) | ||||
05/15/2049 | 4.800% | 3,976,000 | 5,091,902 | |
LYB International Finance III LLC | ||||
05/01/2050 | 4.200% | 1,615,000 | 1,852,439 | |
10/01/2060 | 3.800% | 1,120,000 | 1,182,570 | |
Total | 8,126,911 | |||
Construction Machinery 0.2% | ||||
Caterpillar, Inc. | ||||
04/09/2050 | 3.250% | 2,700,000 | 2,992,425 | |
Diversified Manufacturing 0.5% | ||||
Carrier Global Corp. | ||||
04/05/2050 | 3.577% | 8,315,000 | 8,826,091 |
6 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Honeywell International, Inc. | ||||
06/01/2050 | 2.800% | 2,170,000 | 2,237,155 | |
Total | 11,063,246 | |||
Electric 6.8% | ||||
AEP Texas, Inc. | ||||
01/15/2050 | 3.450% | 12,460,000 | 12,922,185 | |
CenterPoint Energy, Inc. | ||||
09/01/2049 | 3.700% | 4,290,000 | 4,606,828 | |
Consolidated Edison Co. of New York, Inc. | ||||
04/01/2050 | 3.950% | 2,455,000 | 2,792,072 | |
Dominion Energy, Inc. | ||||
04/01/2030 | 3.375% | 7,132,000 | 7,775,738 | |
Dominion Resources, Inc. | ||||
12/01/2044 | 4.700% | 1,900,000 | 2,371,475 | |
DTE Energy Co. | ||||
06/15/2029 | 3.400% | 8,059,000 | 8,807,670 | |
Duke Energy Corp. | ||||
06/15/2051 | 3.500% | 7,608,000 | 7,865,986 | |
Emera US Finance LP | ||||
06/15/2046 | 4.750% | 5,245,000 | 6,260,235 | |
Eversource Energy | ||||
08/15/2030 | 1.650% | 15,709,000 | 15,033,547 | |
Exelon Corp. | ||||
04/15/2050 | 4.700% | 7,270,000 | 9,179,631 | |
Georgia Power Co. | ||||
03/15/2042 | 4.300% | 18,565,000 | 21,992,436 | |
Jersey Central Power & Light Co.(a) | ||||
03/01/2032 | 2.750% | 1,380,000 | 1,400,721 | |
Pacific Gas and Electric Co. | ||||
07/01/2050 | 4.950% | 10,410,000 | 10,722,895 | |
Southern California Edison Co. | ||||
04/01/2047 | 4.000% | 865,000 | 910,848 | |
03/01/2048 | 4.125% | 2,200,000 | 2,353,260 | |
1st Refunding Mortgage | ||||
03/15/2043 | 3.900% | 1,252,000 | 1,312,857 | |
WEC Energy Group, Inc. | ||||
10/15/2030 | 1.800% | 9,960,000 | 9,534,790 | |
Xcel Energy, Inc. | ||||
12/01/2049 | 3.500% | 11,550,000 | 12,485,572 | |
Total | 138,328,746 | |||
Finance Companies 1.3% | ||||
GE Capital International Funding Co. Unlimited Co. | ||||
11/15/2035 | 4.418% | 22,490,000 | 27,012,015 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Food and Beverage 3.8% | ||||
Anheuser-Busch Companies LLC/InBev Worldwide, Inc. | ||||
02/01/2046 | 4.900% | 26,569,000 | 33,607,413 | |
Bacardi Ltd.(a) | ||||
05/15/2038 | 5.150% | 7,571,000 | 9,357,280 | |
05/15/2048 | 5.300% | 1,375,000 | 1,787,099 | |
Coca-Cola Co. (The) | ||||
03/05/2051 | 3.000% | 3,491,000 | 3,622,878 | |
Conagra Brands, Inc. | ||||
11/01/2038 | 5.300% | 4,065,000 | 5,170,227 | |
11/01/2048 | 5.400% | 1,230,000 | 1,644,050 | |
Kraft Heinz Foods Co. | ||||
06/01/2046 | 4.375% | 4,210,000 | 4,771,261 | |
Mars, Inc.(a) | ||||
04/01/2059 | 4.200% | 4,880,000 | 6,111,994 | |
PepsiCo, Inc. | ||||
10/06/2046 | 3.450% | 8,285,000 | 9,299,775 | |
Tyson Foods, Inc. | ||||
06/02/2047 | 4.550% | 1,900,000 | 2,321,961 | |
Total | 77,693,938 | |||
Health Care 2.5% | ||||
Abbott Laboratories | ||||
11/30/2046 | 4.900% | 2,355,000 | 3,213,877 | |
Becton Dickinson and Co. | ||||
02/11/2031 | 1.957% | 15,275,000 | 14,904,186 | |
Cigna Corp. | ||||
12/15/2048 | 4.900% | 4,859,000 | 6,280,247 | |
03/15/2051 | 3.400% | 2,706,000 | 2,830,391 | |
CVS Health Corp. | ||||
03/25/2048 | 5.050% | 9,551,000 | 12,420,722 | |
HCA, Inc. | ||||
02/01/2025 | 5.375% | 2,465,000 | 2,780,361 | |
07/15/2051 | 3.500% | 4,965,000 | 4,966,358 | |
New York and Presbyterian Hospital (The) | ||||
08/01/2036 | 3.563% | 3,425,000 | 3,858,075 | |
Total | 51,254,217 | |||
Healthcare Insurance 1.6% | ||||
Aetna, Inc. | ||||
08/15/2047 | 3.875% | 4,360,000 | 4,897,645 | |
Anthem, Inc. | ||||
08/15/2044 | 4.650% | 3,500,000 | 4,383,377 | |
Centene Corp. | ||||
12/15/2029 | 4.625% | 2,197,000 | 2,418,500 | |
02/15/2030 | 3.375% | 3,679,000 | 3,845,024 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2021 | 7 |
June 30, 2021 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
UnitedHealth Group, Inc. | ||||
08/15/2039 | 3.500% | 3,760,000 | 4,197,381 | |
05/15/2041 | 3.050% | 12,313,000 | 12,901,270 | |
Total | 32,643,197 | |||
Independent Energy 0.3% | ||||
Canadian Natural Resources Ltd. | ||||
02/15/2037 | 6.500% | 2,580,000 | 3,483,052 | |
ConocoPhillips Co. | ||||
11/15/2044 | 4.300% | 2,890,000 | 3,482,821 | |
Total | 6,965,873 | |||
Integrated Energy 0.9% | ||||
BP Capital Markets America, Inc. | ||||
02/08/2061 | 3.379% | 1,165,000 | 1,170,746 | |
Cenovus Energy, Inc. | ||||
06/15/2047 | 5.400% | 4,055,000 | 5,034,921 | |
Chevron USA, Inc. | ||||
11/15/2043 | 5.250% | 1,090,000 | 1,481,996 | |
Shell International Finance BV | ||||
11/07/2049 | 3.125% | 6,010,000 | 6,220,654 | |
Suncor Energy, Inc. | ||||
11/15/2047 | 4.000% | 2,120,000 | 2,342,903 | |
Total Capital International SA | ||||
06/29/2060 | 3.386% | 1,315,000 | 1,388,529 | |
Total | 17,639,749 | |||
Life Insurance 2.5% | ||||
Guardian Life Insurance Co. of America (The)(a) | ||||
Subordinated | ||||
06/19/2064 | 4.875% | 3,770,000 | 4,839,563 | |
Massachusetts Mutual Life Insurance Co.(a) | ||||
Subordinated | ||||
10/15/2070 | 3.729% | 6,405,000 | 6,792,783 | |
Metropolitan Life Global Funding I(a) | ||||
01/07/2031 | 1.550% | 7,105,000 | 6,773,904 | |
Northwestern Mutual Life Insurance Co. (The)(a) | ||||
Subordinated | ||||
09/30/2059 | 3.625% | 9,583,000 | 10,458,901 | |
Prudential Financial, Inc. | ||||
03/13/2051 | 3.700% | 3,430,000 | 3,910,453 | |
Teachers Insurance & Annuity Association of America(a) | ||||
Subordinated | ||||
09/15/2044 | 4.900% | 710,000 | 915,536 | |
05/15/2050 | 3.300% | 8,870,000 | 9,196,445 | |
Voya Financial, Inc. | ||||
06/15/2046 | 4.800% | 6,480,000 | 8,203,514 | |
Total | 51,091,099 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Media and Entertainment 1.7% | ||||
Discovery Communications LLC | ||||
05/15/2049 | 5.300% | 3,782,000 | 4,769,248 | |
Netflix, Inc.(a) | ||||
11/15/2029 | 5.375% | 7,690,000 | 9,342,081 | |
ViacomCBS, Inc. | ||||
01/15/2031 | 4.950% | 3,450,000 | 4,164,713 | |
05/19/2032 | 4.200% | 4,355,000 | 5,024,520 | |
Walt Disney Co. (The) | ||||
09/15/2044 | 4.750% | 8,657,000 | 11,273,243 | |
Total | 34,573,805 | |||
Midstream 2.1% | ||||
Enterprise Products Operating LLC | ||||
01/31/2060 | 3.950% | 6,620,000 | 7,359,598 | |
Kinder Morgan Energy Partners LP | ||||
03/01/2043 | 5.000% | 1,345,000 | 1,617,038 | |
Kinder Morgan, Inc. | ||||
02/15/2046 | 5.050% | 8,020,000 | 9,730,652 | |
MPLX LP | ||||
04/15/2048 | 4.700% | 5,225,000 | 6,075,118 | |
Plains All American Pipeline LP/Finance Corp. | ||||
06/15/2044 | 4.700% | 7,315,000 | 7,754,656 | |
Western Gas Partners LP | ||||
08/15/2048 | 5.500% | 1,530,000 | 1,668,430 | |
Williams Companies, Inc. (The) | ||||
06/24/2044 | 5.750% | 7,165,000 | 9,406,903 | |
Total | 43,612,395 | |||
Natural Gas 0.8% | ||||
NiSource, Inc. | ||||
02/15/2043 | 5.250% | 1,575,000 | 2,051,935 | |
02/15/2044 | 4.800% | 3,351,000 | 4,155,347 | |
05/15/2047 | 4.375% | 5,114,000 | 6,117,281 | |
Sempra Energy | ||||
02/01/2048 | 4.000% | 3,650,000 | 4,093,028 | |
Total | 16,417,591 | |||
Oil Field Services 0.2% | ||||
Halliburton Co. | ||||
11/15/2045 | 5.000% | 2,970,000 | 3,626,324 | |
Pharmaceuticals 2.8% | ||||
AbbVie, Inc. | ||||
11/06/2042 | 4.400% | 5,075,000 | 6,168,128 | |
06/15/2044 | 4.850% | 8,291,000 | 10,536,728 | |
11/21/2049 | 4.250% | 3,489,000 | 4,183,269 |
8 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Amgen, Inc. | ||||
02/21/2050 | 3.375% | 12,165,000 | 12,819,373 | |
Bristol-Myers Squibb Co. | ||||
02/20/2048 | 4.550% | 1,402,000 | 1,829,931 | |
Gilead Sciences, Inc. | ||||
10/01/2040 | 2.600% | 6,300,000 | 6,068,669 | |
10/01/2050 | 2.800% | 4,580,000 | 4,399,837 | |
Mylan NV | ||||
06/15/2046 | 5.250% | 1,185,000 | 1,451,101 | |
Pfizer, Inc. | ||||
05/28/2050 | 2.700% | 10,155,000 | 10,124,785 | |
Total | 57,581,821 | |||
Property & Casualty 0.5% | ||||
American International Group, Inc. | ||||
07/16/2044 | 4.500% | 3,705,000 | 4,497,238 | |
Berkshire Hathaway Finance Corp. | ||||
10/15/2050 | 2.850% | 1,640,000 | 1,634,957 | |
Liberty Mutual Group, Inc.(a) | ||||
10/15/2050 | 3.951% | 4,435,000 | 4,920,888 | |
Total | 11,053,083 | |||
Railroads 0.8% | ||||
Norfolk Southern Corp. | ||||
08/15/2052 | 4.050% | 4,725,000 | 5,580,196 | |
Union Pacific Corp. | ||||
08/15/2059 | 3.950% | 6,150,000 | 7,145,698 | |
03/20/2060 | 3.839% | 2,390,000 | 2,713,055 | |
02/05/2070 | 3.750% | 730,000 | 802,978 | |
Total | 16,241,927 | |||
Restaurants 0.3% | ||||
McDonald’s Corp. | ||||
09/01/2049 | 3.625% | 5,450,000 | 6,038,119 | |
Retailers 1.5% | ||||
Amazon.com, Inc. | ||||
06/03/2050 | 2.500% | 3,650,000 | 3,447,455 | |
05/12/2061 | 3.250% | 10,563,000 | 11,182,281 | |
Home Depot, Inc. (The) | ||||
04/15/2040 | 3.300% | 1,045,000 | 1,145,695 | |
12/06/2048 | 4.500% | 4,370,000 | 5,680,390 | |
Lowe’s Companies, Inc. | ||||
05/03/2047 | 4.050% | 6,050,000 | 6,970,893 | |
10/15/2050 | 3.000% | 2,355,000 | 2,320,078 | |
Total | 30,746,792 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Supermarkets 0.1% | ||||
Kroger Co. (The) | ||||
04/15/2042 | 5.000% | 1,064,000 | 1,343,810 | |
02/01/2047 | 4.450% | 820,000 | 980,063 | |
Total | 2,323,873 | |||
Technology 4.7% | ||||
Apple, Inc. | ||||
02/09/2045 | 3.450% | 8,225,000 | 9,224,789 | |
02/08/2061 | 2.800% | 2,035,000 | 1,990,553 | |
Broadcom, Inc. | ||||
11/15/2030 | 4.150% | 5,100,000 | 5,723,072 | |
Fidelity National Information Services, Inc. | ||||
03/01/2041 | 3.100% | 1,670,000 | 1,715,707 | |
Intel Corp. | ||||
05/11/2047 | 4.100% | 8,795,000 | 10,551,312 | |
International Business Machines Corp. | ||||
05/15/2040 | 2.850% | 5,150,000 | 5,207,020 | |
05/15/2050 | 2.950% | 6,742,000 | 6,762,594 | |
Microsoft Corp. | ||||
08/08/2046 | 3.700% | 880,000 | 1,062,595 | |
03/17/2052 | 2.921% | 12,545,000 | 13,307,018 | |
MSCI, Inc.(a) | ||||
11/01/2031 | 3.625% | 5,850,000 | 6,014,773 | |
NXP BV/Funding LLC/USA, Inc.(a) | ||||
05/01/2030 | 3.400% | 1,255,000 | 1,368,127 | |
Oracle Corp. | ||||
07/08/2034 | 4.300% | 8,105,000 | 9,413,057 | |
07/15/2046 | 4.000% | 2,500,000 | 2,716,506 | |
04/01/2050 | 3.600% | 10,262,000 | 10,543,747 | |
03/25/2061 | 4.100% | 2,103,000 | 2,330,600 | |
QUALCOMM, Inc. | ||||
05/20/2032 | 1.650% | 3,240,000 | 3,098,064 | |
VeriSign, Inc. | ||||
06/15/2031 | 2.700% | 3,740,000 | 3,795,570 | |
Total | 94,825,104 | |||
Tobacco 0.2% | ||||
BAT Capital Corp. | ||||
08/15/2047 | 4.540% | 3,270,000 | 3,448,065 | |
Transportation Services 0.8% | ||||
FedEx Corp. | ||||
05/15/2041 | 3.250% | 6,315,000 | 6,502,156 | |
11/15/2045 | 4.750% | 3,980,000 | 4,960,750 | |
04/01/2046 | 4.550% | 220,000 | 266,331 | |
United Parcel Service, Inc. | ||||
09/01/2049 | 3.400% | 3,055,000 | 3,425,369 | |
Total | 15,154,606 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2021 | 9 |
June 30, 2021 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Wireless 1.5% | ||||
American Tower Corp. | ||||
08/15/2029 | 3.800% | 6,995,000 | 7,801,812 | |
Crown Castle International Corp. | ||||
04/01/2031 | 2.100% | 5,707,000 | 5,566,085 | |
Rogers Communications, Inc. | ||||
11/15/2049 | 3.700% | 4,870,000 | 5,185,491 | |
T-Mobile USA, Inc. | ||||
02/15/2041 | 3.000% | 6,820,000 | 6,744,256 | |
04/15/2050 | 4.500% | 1,670,000 | 1,986,636 | |
Vodafone Group PLC | ||||
02/19/2043 | 4.375% | 3,205,000 | 3,740,038 | |
Total | 31,024,318 | |||
Wirelines 4.0% | ||||
AT&T, Inc.(a) | ||||
09/15/2055 | 3.550% | 10,061,000 | 10,081,339 | |
12/01/2057 | 3.800% | 29,166,000 | 30,478,434 | |
Telefonica Emisiones SAU | ||||
03/06/2048 | 4.895% | 6,755,000 | 8,079,052 | |
Verizon Communications, Inc. | ||||
03/22/2061 | 3.700% | 30,437,000 | 32,644,620 | |
Total | 81,283,445 | |||
Total Corporate Bonds & Notes (Cost $1,110,239,268) | 1,171,474,477 | |||
Foreign Government Obligations(c) 0.8% | ||||
Mexico 0.8% | ||||
Mexico Government International Bond | ||||
08/14/2041 | 4.280% | 16,440,000 | 17,277,234 | |
Total Foreign Government Obligations (Cost $16,504,412) | 17,277,234 | |||
U.S. Treasury Obligations 37.3% | ||||
U.S. Treasury | ||||
08/15/2027 | 2.250% | 6,400,000 | 6,844,500 | |
05/15/2028 | 2.875% | 5,000,000 | 5,554,688 | |
05/15/2029 | 2.375% | 3,500,000 | 3,777,266 | |
02/15/2031 | 1.125% | 4,000,000 | 3,884,375 |
U.S. Treasury Obligations (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
02/15/2031 | 5.375% | 4,000,000 | 5,433,750 | |
02/15/2036 | 4.500% | 37,500,000 | 51,445,312 | |
05/15/2038 | 4.500% | 30,000,000 | 41,850,000 | |
02/15/2039 | 3.500% | 49,000,000 | 61,219,375 | |
08/15/2040 | 3.875% | 10,000,000 | 13,137,500 | |
02/15/2041 | 4.750% | 8,000,000 | 11,723,750 | |
05/15/2041 | 4.375% | 25,383,000 | 35,631,386 | |
05/15/2043 | 2.875% | 17,600,000 | 20,226,250 | |
08/15/2044 | 3.125% | 16,500,000 | 19,792,266 | |
11/15/2044 | 3.000% | 10,000,000 | 11,767,188 | |
11/15/2045 | 3.000% | 12,000,000 | 14,182,500 | |
11/15/2046 | 2.875% | 8,000,000 | 9,280,000 | |
11/15/2047 | 2.750% | 20,750,000 | 23,609,609 | |
02/15/2048 | 3.000% | 101,200,000 | 120,570,312 | |
08/15/2049 | 2.250% | 2,235,000 | 2,314,622 | |
11/15/2049 | 2.375% | 6,810,000 | 7,249,458 | |
02/15/2050 | 2.000% | 17,600,000 | 17,286,500 | |
05/15/2050 | 1.250% | 22,250,000 | 18,165,039 | |
08/15/2050 | 1.375% | 23,610,000 | 19,898,803 | |
11/15/2050 | 1.625% | 24,800,000 | 22,265,750 | |
02/15/2051 | 1.875% | 22,000,000 | 20,992,812 | |
U.S. Treasury(d) | ||||
05/15/2047 | 3.000% | 122,157,900 | 145,177,029 | |
U.S. Treasury(e) | ||||
STRIPS | ||||
02/15/2040 | 0.000% | 38,410,800 | 26,809,538 | |
11/15/2041 | 0.000% | 13,661,000 | 8,988,511 | |
05/15/2043 | 0.000% | 19,069,000 | 12,054,439 | |
Total U.S. Treasury Obligations (Cost $666,263,853) | 761,132,528 |
Money Market Funds 2.9% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.051%(f),(g) | 59,550,537 | 59,544,582 |
Total Money Market Funds (Cost $59,544,529) | 59,544,582 | |
Total Investments in Securities (Cost: $1,869,111,054) | 2,027,173,558 | |
Other Assets & Liabilities, Net | 13,452,449 | |
Net Assets | 2,040,626,007 |
10 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Long Bond | 1,672 | 09/2021 | USD | 268,774,000 | 8,084,486 | — |
U.S. Ultra Treasury Bond | 277 | 09/2021 | USD | 53,374,438 | 1,730,507 | — |
Total | 9,814,993 | — |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 10-Year Note | (702) | 09/2021 | USD | (93,015,000) | — | (538,243) |
U.S. Ultra Bond 10-Year Note | (957) | 09/2021 | USD | (140,873,391) | — | (2,731,098) |
Total | — | (3,269,341) |
(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, 2021, the total value of these securities amounted to $128,255,611, which represents 6.29% of total net assets. |
(b) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of June 30, 2021. |
(c) | Principal and interest may not be guaranteed by a governmental entity. |
(d) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(e) | Zero coupon bond. |
(f) | The rate shown is the seven-day current annualized yield at June 30, 2021. |
(g) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2021 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.051% | ||||||||
34,592,750 | 495,256,217 | (470,304,385) | — | 59,544,582 | — | 15,661 | 59,550,537 |
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 2021 | 11 |
June 30, 2021 (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 | — | 17,744,737 | — | 17,744,737 |
Corporate Bonds & Notes | — | 1,171,474,477 | — | 1,171,474,477 |
Foreign Government Obligations | — | 17,277,234 | — | 17,277,234 |
U.S. Treasury Obligations | 713,280,040 | 47,852,488 | — | 761,132,528 |
Money Market Funds | 59,544,582 | — | — | 59,544,582 |
Total Investments in Securities | 772,824,622 | 1,254,348,936 | — | 2,027,173,558 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 9,814,993 | — | — | 9,814,993 |
Liability | ||||
Futures Contracts | (3,269,341) | — | — | (3,269,341) |
Total | 779,370,274 | 1,254,348,936 | — | 2,033,719,210 |
12 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,809,566,525) | $1,967,628,976 |
Affiliated issuers (cost $59,544,529) | 59,544,582 |
Receivable for: | |
Investments sold | 5,192,187 |
Dividends | 2,297 |
Interest | 13,837,105 |
Foreign tax reclaims | 45,461 |
Variation margin for futures contracts | 1,363,875 |
Prepaid expenses | 22,935 |
Trustees’ deferred compensation plan | 145,888 |
Total assets | 2,047,783,306 |
Liabilities | |
Payable for: | |
Investments purchased | 1,861,808 |
Capital shares purchased | 4,472,889 |
Variation margin for futures contracts | 609,654 |
Management services fees | 27,289 |
Distribution and/or service fees | 142 |
Service fees | 1,875 |
Compensation of board members | 9,225 |
Compensation of chief compliance officer | 140 |
Other expenses | 28,389 |
Trustees’ deferred compensation plan | 145,888 |
Total liabilities | 7,157,299 |
Net assets applicable to outstanding capital stock | $2,040,626,007 |
Represented by | |
Paid in capital | 1,727,158,793 |
Total distributable earnings (loss) | 313,467,214 |
Total - representing net assets applicable to outstanding capital stock | $2,040,626,007 |
Class 1 | |
Net assets | $2,020,082,471 |
Shares outstanding | 171,645,452 |
Net asset value per share | $11.77 |
Class 2 | |
Net assets | $20,543,536 |
Shares outstanding | 1,753,718 |
Net asset value per share | $11.71 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2021 | 13 |
Six Months Ended June 30, 2021 (Unaudited)
Net investment income | |
Income: | |
Dividends — affiliated issuers | $15,661 |
Interest | 26,816,854 |
Foreign taxes withheld | (7,375) |
Total income | 26,825,140 |
Expenses: | |
Management services fees | 4,536,999 |
Distribution and/or service fees | |
Class 2 | 29,134 |
Service fees | 7,868 |
Compensation of board members | 18,613 |
Custodian fees | 6,312 |
Printing and postage fees | 5,154 |
Audit fees | 19,588 |
Legal fees | 13,096 |
Interest on collateral | 695 |
Compensation of chief compliance officer | 253 |
Other | 18,541 |
Total expenses | 4,656,253 |
Net investment income | 22,168,887 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 19,302,668 |
Futures contracts | (9,803,997) |
Net realized gain | 9,498,671 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (120,241,098) |
Futures contracts | 7,675,019 |
Net change in unrealized appreciation (depreciation) | (112,566,079) |
Net realized and unrealized loss | (103,067,408) |
Net decrease in net assets resulting from operations | $(80,898,521) |
14 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2021 |
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | |
Operations | ||
Net investment income | $22,168,887 | $41,352,416 |
Net realized gain | 9,498,671 | 84,314,983 |
Net change in unrealized appreciation (depreciation) | (112,566,079) | 149,799,200 |
Net increase (decrease) in net assets resulting from operations | (80,898,521) | 275,466,599 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | — | (70,758,692) |
Class 2 | — | (965,457) |
Total distributions to shareholders | — | (71,724,149) |
Increase (decrease) in net assets from capital stock activity | 344,986,412 | (50,548,013) |
Total increase in net assets | 264,087,891 | 153,194,437 |
Net assets at beginning of period | 1,776,538,116 | 1,623,343,679 |
Net assets at end of period | $2,040,626,007 | $1,776,538,116 |
Six Months Ended | Year Ended | |||
June 30, 2021 (Unaudited) | December 31, 2020 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 34,039,252 | 392,591,934 | 3,410,371 | 40,618,650 |
Distributions reinvested | — | — | 5,584,743 | 70,758,692 |
Redemptions | (3,518,110) | (41,067,193) | (14,172,654) | (172,321,382) |
Net increase (decrease) | 30,521,142 | 351,524,741 | (5,177,540) | (60,944,040) |
Class 2 | ||||
Subscriptions | 105,342 | 1,214,799 | 1,069,779 | 12,981,471 |
Distributions reinvested | — | — | 76,381 | 965,457 |
Redemptions | (680,667) | (7,753,128) | (295,242) | (3,550,901) |
Net increase (decrease) | (575,325) | (6,538,329) | 850,918 | 10,396,027 |
Total net increase (decrease) | 29,945,817 | 344,986,412 | (4,326,622) | (50,548,013) |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2021 | 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 6/30/2021 (Unaudited) | $12.38 | 0.14 | (0.75) | (0.61) | — | — | — |
Year Ended 12/31/2020 | $10.99 | 0.29 | 1.62 | 1.91 | (0.33) | (0.19) | (0.52) |
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) |
Class 2 | |||||||
Six Months Ended 6/30/2021 (Unaudited) | $12.34 | 0.12 | (0.75) | (0.63) | — | — | — |
Year Ended 12/31/2020 | $10.95 | 0.26 | 1.62 | 1.88 | (0.30) | (0.19) | (0.49) |
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(e) | 0.28 | (0.17) | — | (0.17) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Annualized. |
(d) | Ratios include interest on collateral expense which is less than 0.01%. |
(e) | Rounds to zero. |
16 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2021 |
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 6/30/2021 (Unaudited) | $11.77 | (4.93%) | 0.50%(c),(d) | 0.50%(c),(d) | 2.40%(c) | 25% | $2,020,082 |
Year Ended 12/31/2020 | $12.38 | 17.25% | 0.50% | 0.50% | 2.38% | 46% | $1,747,792 |
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 |
Class 2 | |||||||
Six Months Ended 6/30/2021 (Unaudited) | $11.71 | (5.11%) | 0.75%(c),(d) | 0.75%(c),(d) | 2.13%(c) | 25% | $20,544 |
Year Ended 12/31/2020 | $12.34 | 17.07% | 0.75% | 0.75% | 2.11% | 46% | $28,746 |
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% | $17,042 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2021 | 17 |
June 30, 2021 (Unaudited)
18 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2021 | 19 |
June 30, 2021 (Unaudited)
20 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 9,814,993* |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 3,269,341* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Interest rate risk | (9,803,997) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Interest rate risk | 7,675,019 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 271,445,626 |
Futures contracts — short | 199,336,071 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2021. |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2021 | 21 |
June 30, 2021 (Unaudited)
22 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2021 | 23 |
June 30, 2021 (Unaudited)
May 1, 2021 through April 30, 2022 | Prior to May 1, 2021 | |
Class 1 | 0.54% | 0.55% |
Class 2 | 0.79 | 0.80 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
1,869,111,000 | 177,118,000 | (12,510,000) | 164,608,000 |
24 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2021 | 25 |
June 30, 2021 (Unaudited)
26 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2021 | 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. |
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
28 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2021 |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | Terms of the Management Agreement; |
• | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
• | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
• | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2021 | 29 |
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Management Agreement supported the continuation of the Management Agreement.
30 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2021 |
these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2021 | 31 |
June 30, 2021
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2021) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | Life | ||
Class 1 | 04/30/12 | 15.98 | 43.99 | 17.37 | 15.67 | |
Class 2 | 04/30/12 | 15.85 | 43.64 | 17.08 | 15.38 | |
Russell 1000 Index | 14.95 | 43.07 | 17.99 | 15.49 |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2021 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2021) | |
Common Stocks | 98.6 |
Money Market Funds | 1.4 |
Total | 100.0 |
Equity sector breakdown (%) (at June 30, 2021) | |
Communication Services | 13.2 |
Consumer Discretionary | 10.8 |
Consumer Staples | 3.9 |
Energy | 3.0 |
Financials | 11.7 |
Health Care | 10.7 |
Industrials | 9.3 |
Information Technology | 29.7 |
Materials | 4.9 |
Real Estate | 1.6 |
Utilities | 1.2 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2021 |
(Unaudited)
January 1, 2021 — June 30, 2021 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,159.80 | 1,021.37 | 3.70 | 3.46 | 0.69 |
Class 2 | 1,000.00 | 1,000.00 | 1,158.50 | 1,020.13 | 5.03 | 4.71 | 0.94 |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2021 | 5 |
June 30, 2021 (Unaudited)
Common Stocks 98.6% | ||
Issuer | Shares | Value ($) |
Communication Services 13.0% | ||
Entertainment 2.2% | ||
Activision Blizzard, Inc. | 180,732 | 17,249,062 |
Walt Disney Co. (The)(a) | 110,618 | 19,443,326 |
Total | 36,692,388 | |
Interactive Media & Services 7.4% | ||
Alphabet, Inc., Class A(a) | 14,497 | 35,398,630 |
Alphabet, Inc., Class C(a) | 17,073 | 42,790,401 |
Facebook, Inc., Class A(a) | 124,262 | 43,207,140 |
Total | 121,396,171 | |
Media 2.0% | ||
Comcast Corp., Class A | 570,531 | 32,531,678 |
Wireless Telecommunication Services 1.4% | ||
T-Mobile USA, Inc.(a) | 159,439 | 23,091,550 |
Total Communication Services | 213,711,787 | |
Consumer Discretionary 10.7% | ||
Hotels, Restaurants & Leisure 1.4% | ||
Darden Restaurants, Inc. | 36,645 | 5,349,804 |
McDonald’s Corp. | 77,679 | 17,943,072 |
Total | 23,292,876 | |
Internet & Direct Marketing Retail 6.1% | ||
Amazon.com, Inc.(a) | 21,541 | 74,104,486 |
eBay, Inc. | 374,256 | 26,276,514 |
Total | 100,381,000 | |
Multiline Retail 0.2% | ||
Dollar Tree, Inc.(a) | 33,125 | 3,295,938 |
Specialty Retail 1.8% | ||
Lowe’s Companies, Inc. | 128,583 | 24,941,245 |
Ulta Beauty, Inc.(a) | 14,799 | 5,117,050 |
Total | 30,058,295 | |
Textiles, Apparel & Luxury Goods 1.2% | ||
Tapestry, Inc.(a) | 346,268 | 15,055,733 |
Under Armour, Inc., Class A(a) | 188,890 | 3,995,023 |
Total | 19,050,756 | |
Total Consumer Discretionary | 176,078,865 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Consumer Staples 3.9% | ||
Food & Staples Retailing 1.3% | ||
Sysco Corp. | 282,346 | 21,952,401 |
Food Products 1.1% | ||
Mondelez International, Inc., Class A | 276,281 | 17,250,986 |
Tobacco 1.5% | ||
Philip Morris International, Inc. | 249,326 | 24,710,700 |
Total Consumer Staples | 63,914,087 | |
Energy 3.0% | ||
Oil, Gas & Consumable Fuels 3.0% | ||
Canadian Natural Resources Ltd. | 355,933 | 12,913,249 |
Chevron Corp. | 195,080 | 20,432,679 |
EOG Resources, Inc. | 188,804 | 15,753,806 |
Total | 49,099,734 | |
Total Energy | 49,099,734 | |
Financials 11.5% | ||
Banks 3.7% | ||
Bank of America Corp. | 673,937 | 27,786,422 |
Citigroup, Inc. | 171,095 | 12,104,971 |
JPMorgan Chase & Co. | 136,151 | 21,176,927 |
Total | 61,068,320 | |
Capital Markets 3.3% | ||
BlackRock, Inc. | 24,489 | 21,427,140 |
Morgan Stanley | 225,691 | 20,693,608 |
State Street Corp. | 147,909 | 12,169,953 |
Total | 54,290,701 | |
Consumer Finance 1.5% | ||
American Express Co. | 155,015 | 25,613,128 |
Diversified Financial Services 2.0% | ||
Berkshire Hathaway, Inc., Class B(a) | 120,628 | 33,524,934 |
Insurance 1.0% | ||
Aon PLC, Class A | 66,504 | 15,878,495 |
Total Financials | 190,375,578 |
6 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Health Care 10.5% | ||
Biotechnology 1.5% | ||
BioMarin Pharmaceutical, Inc.(a) | 119,110 | 9,938,538 |
Vertex Pharmaceuticals, Inc.(a) | 72,822 | 14,683,100 |
Total | 24,621,638 | |
Health Care Equipment & Supplies 4.0% | ||
Abbott Laboratories | 182,720 | 21,182,730 |
Baxter International, Inc. | 58,912 | 4,742,416 |
Dentsply Sirona, Inc. | 192,097 | 12,152,056 |
Medtronic PLC | 186,477 | 23,147,390 |
Stryker Corp. | 19,210 | 4,989,413 |
Total | 66,214,005 | |
Health Care Providers & Services 1.8% | ||
Anthem, Inc. | 20,831 | 7,953,276 |
Cigna Corp. | 39,520 | 9,369,006 |
CVS Health Corp. | 144,359 | 12,045,315 |
Total | 29,367,597 | |
Pharmaceuticals 3.2% | ||
Eli Lilly & Co. | 96,533 | 22,156,254 |
Johnson & Johnson | 189,487 | 31,216,089 |
Total | 53,372,343 | |
Total Health Care | 173,575,583 | |
Industrials 9.2% | ||
Aerospace & Defense 2.8% | ||
Raytheon Technologies Corp. | 539,796 | 46,049,997 |
Building Products 1.1% | ||
Carrier Global Corp. | 365,338 | 17,755,427 |
Industrial Conglomerates 1.1% | ||
Honeywell International, Inc. | 87,027 | 19,089,372 |
Machinery 1.3% | ||
Stanley Black & Decker, Inc. | 103,164 | 21,147,588 |
Road & Rail 2.9% | ||
Uber Technologies, Inc.(a) | 357,058 | 17,895,747 |
Union Pacific Corp. | 134,205 | 29,515,706 |
Total | 47,411,453 | |
Total Industrials | 151,453,837 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Information Technology 29.3% | ||
Communications Equipment 0.6% | ||
Cisco Systems, Inc. | 194,029 | 10,283,537 |
Electronic Equipment, Instruments & Components 1.9% | ||
TE Connectivity Ltd. | 229,929 | 31,088,700 |
IT Services 6.7% | ||
Akamai Technologies, Inc.(a) | 81,354 | 9,485,876 |
Fidelity National Information Services, Inc. | 111,069 | 15,735,145 |
Fiserv, Inc.(a) | 200,402 | 21,420,970 |
MasterCard, Inc., Class A | 120,241 | 43,898,787 |
PayPal Holdings, Inc.(a) | 68,394 | 19,935,483 |
Total | 110,476,261 | |
Semiconductors & Semiconductor Equipment 3.1% | ||
Lam Research Corp. | 24,190 | 15,740,433 |
Marvell Technology, Inc. | 168,207 | 9,811,514 |
NVIDIA Corp. | 32,890 | 26,315,289 |
Total | 51,867,236 | |
Software 11.3% | ||
Adobe, Inc.(a) | 38,687 | 22,656,654 |
Autodesk, Inc.(a) | 56,290 | 16,431,051 |
Intuit, Inc. | 42,257 | 20,713,114 |
Microsoft Corp. | 370,422 | 100,347,320 |
Palo Alto Networks, Inc.(a) | 46,179 | 17,134,718 |
Splunk, Inc.(a) | 57,217 | 8,272,434 |
Total | 185,555,291 | |
Technology Hardware, Storage & Peripherals 5.7% | ||
Apple, Inc. | 611,424 | 83,740,631 |
Western Digital Corp.(a) | 141,816 | 10,093,045 |
Total | 93,833,676 | |
Total Information Technology | 483,104,701 | |
Materials 4.8% | ||
Chemicals 3.8% | ||
Air Products & Chemicals, Inc. | 23,622 | 6,795,577 |
Corteva, Inc. | 336,519 | 14,924,618 |
International Flavors & Fragrances, Inc. | 149,733 | 22,370,110 |
Nutrien Ltd. | 200,363 | 12,144,001 |
Sherwin-Williams Co. (The) | 24,010 | 6,541,525 |
Total | 62,775,831 |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2021 | 7 |
June 30, 2021 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Metals & Mining 1.0% | ||
Newmont Corp. | 252,517 | 16,004,527 |
Total Materials | 78,780,358 | |
Real Estate 1.6% | ||
Equity Real Estate Investment Trusts (REITS) 1.6% | ||
American Tower Corp. | 97,054 | 26,218,168 |
Total Real Estate | 26,218,168 | |
Utilities 1.1% | ||
Electric Utilities 0.9% | ||
American Electric Power Co., Inc. | 182,088 | 15,402,824 |
Independent Power and Renewable Electricity Producers 0.2% | ||
AES Corp. (The) | 130,011 | 3,389,387 |
Total Utilities | 18,792,211 | |
Total Common Stocks (Cost $1,056,619,209) | 1,625,104,909 | |
Money Market Funds 1.5% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.051%(b),(c) | 23,897,762 | 23,895,372 |
Total Money Market Funds (Cost $23,895,372) | 23,895,372 | |
Total Investments in Securities (Cost: $1,080,514,581) | 1,649,000,281 | |
Other Assets & Liabilities, Net | (1,363,468) | |
Net Assets | 1,647,636,813 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2021. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2021 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.051% | ||||||||
18,641,916 | 147,321,188 | (142,067,732) | — | 23,895,372 | — | 4,545 | 23,897,762 |
■ | 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 – Contrarian Core Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 213,711,787 | — | — | 213,711,787 |
Consumer Discretionary | 176,078,865 | — | — | 176,078,865 |
Consumer Staples | 63,914,087 | — | — | 63,914,087 |
Energy | 49,099,734 | — | — | 49,099,734 |
Financials | 190,375,578 | — | — | 190,375,578 |
Health Care | 173,575,583 | — | — | 173,575,583 |
Industrials | 151,453,837 | — | — | 151,453,837 |
Information Technology | 483,104,701 | — | — | 483,104,701 |
Materials | 78,780,358 | — | — | 78,780,358 |
Real Estate | 26,218,168 | — | — | 26,218,168 |
Utilities | 18,792,211 | — | — | 18,792,211 |
Total Common Stocks | 1,625,104,909 | — | — | 1,625,104,909 |
Money Market Funds | 23,895,372 | — | — | 23,895,372 |
Total Investments in Securities | 1,649,000,281 | — | — | 1,649,000,281 |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2021 | 9 |
June 30, 2021 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,056,619,209) | $1,625,104,909 |
Affiliated issuers (cost $23,895,372) | 23,895,372 |
Receivable for: | |
Investments sold | 3,341,124 |
Capital shares sold | 1,476 |
Dividends | 1,130,737 |
Foreign tax reclaims | 51,659 |
Expense reimbursement due from Investment Manager | 1,604 |
Prepaid expenses | 21,663 |
Trustees’ deferred compensation plan | 183,785 |
Total assets | 1,653,732,329 |
Liabilities | |
Payable for: | |
Investments purchased | 4,338,733 |
Capital shares purchased | 1,496,625 |
Management services fees | 32,095 |
Distribution and/or service fees | 1,046 |
Service fees | 8,800 |
Compensation of board members | 8,698 |
Compensation of chief compliance officer | 116 |
Other expenses | 25,618 |
Trustees’ deferred compensation plan | 183,785 |
Total liabilities | 6,095,516 |
Net assets applicable to outstanding capital stock | $1,647,636,813 |
Represented by | |
Trust capital | $1,647,636,813 |
Total - representing net assets applicable to outstanding capital stock | $1,647,636,813 |
Class 1 | |
Net assets | $1,494,748,125 |
Shares outstanding | 39,362,367 |
Net asset value per share | $37.97 |
Class 2 | |
Net assets | $152,888,688 |
Shares outstanding | 4,117,524 |
Net asset value per share | $37.13 |
10 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2021 |
Six Months Ended June 30, 2021 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $10,378,822 |
Dividends — affiliated issuers | 4,545 |
Foreign taxes withheld | (69,295) |
Total income | 10,314,072 |
Expenses: | |
Management services fees | 5,823,777 |
Distribution and/or service fees | |
Class 2 | 177,103 |
Service fees | 45,890 |
Compensation of board members | 17,512 |
Custodian fees | 8,846 |
Printing and postage fees | 7,162 |
Audit fees | 14,628 |
Legal fees | 12,370 |
Compensation of chief compliance officer | 224 |
Other | 8,677 |
Total expenses | 6,116,189 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (290,191) |
Total net expenses | 5,825,998 |
Net investment income | 4,488,074 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 181,544,355 |
Foreign currency translations | 2,477 |
Net realized gain | 181,546,832 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 58,908,976 |
Foreign currency translations | (1,701) |
Net change in unrealized appreciation (depreciation) | 58,907,275 |
Net realized and unrealized gain | 240,454,107 |
Net increase in net assets resulting from operations | $244,942,181 |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2021 | 11 |
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | |
Operations | ||
Net investment income | $4,488,074 | $12,839,637 |
Net realized gain | 181,546,832 | 161,427,084 |
Net change in unrealized appreciation (depreciation) | 58,907,275 | 117,164,382 |
Net increase in net assets resulting from operations | 244,942,181 | 291,431,103 |
Decrease in net assets from capital stock activity | (179,121,119) | (255,795,429) |
Total increase in net assets | 65,821,062 | 35,635,674 |
Net assets at beginning of period | 1,581,815,751 | 1,546,180,077 |
Net assets at end of period | $1,647,636,813 | $1,581,815,751 |
Six Months Ended | Year Ended | |||
June 30, 2021 (Unaudited) | December 31, 2020 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 29,885 | 1,049,755 | 11,065,514 | 337,414,644 |
Redemptions | (4,933,031) | (179,431,115) | (20,359,651) | (588,975,938) |
Net decrease | (4,903,146) | (178,381,360) | (9,294,137) | (251,561,294) |
Class 2 | ||||
Subscriptions | 149,901 | 5,204,420 | 261,970 | 6,908,429 |
Redemptions | (173,990) | (5,944,179) | (414,807) | (11,142,564) |
Net decrease | (24,089) | (739,759) | (152,837) | (4,234,135) |
Total net decrease | (4,927,235) | (179,121,119) | (9,446,974) | (255,795,429) |
12 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2021 |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2021 | 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 6/30/2021 (Unaudited) | $32.74 | 0.10 | 5.13 | 5.23 |
Year Ended 12/31/2020 | $26.76 | 0.25 | 5.73 | 5.98 |
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 |
Class 2 | ||||
Six Months Ended 6/30/2021 (Unaudited) | $32.05 | 0.06 | 5.02 | 5.08 |
Year Ended 12/31/2020 | $26.27 | 0.17 | 5.61 | 5.78 |
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 |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Annualized. |
(d) | Ratios include interfund lending expense which is less than 0.01%. |
14 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2021 |
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 6/30/2021 (Unaudited) | $37.97 | 15.98% | 0.73%(c) | 0.69%(c) | 0.57%(c) | 22% | $1,494,748 |
Year Ended 12/31/2020 | $32.74 | 22.35% | 0.74%(d) | 0.69%(d) | 0.91% | 58% | $1,449,079 |
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 |
Class 2 | |||||||
Six Months Ended 6/30/2021 (Unaudited) | $37.13 | 15.85% | 0.98%(c) | 0.94%(c) | 0.32%(c) | 22% | $152,889 |
Year Ended 12/31/2020 | $32.05 | 22.00% | 0.99%(d) | 0.94%(d) | 0.65% | 58% | $132,736 |
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 |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2021 | 15 |
June 30, 2021 (Unaudited)
16 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2021 | 17 |
June 30, 2021 (Unaudited)
18 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Contractual expense cap July 1, 2021 through April 30, 2022 | Voluntary expense cap May 1, 2021 through June 30, 2021* | Contractual expense cap prior to May 1, 2021 | |
Class 1 | 0.71% | 0.69% | 0.69% |
Class 2 | 0.96 | 0.94 | 0.94 |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2021 | 19 |
June 30, 2021 (Unaudited)
20 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2021 | 21 |
June 30, 2021 (Unaudited)
22 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2021 |
• | 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. |
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2021 | 23 |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | Terms of the Management Agreement; |
• | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
• | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
• | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
24 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2021 |
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Management Agreement supported the continuation of the Management Agreement.
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2021 | 25 |
these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
26 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2021 |
June 30, 2021
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2021) | |||||
Inception | 6 Months cumulative | 1 Year | Life | ||
Class 1* | 02/20/19 | 6.55 | 18.42 | 7.57 | |
Class 2 | 09/12/17 | 6.42 | 18.02 | 7.37 | |
Blended Benchmark | 5.62 | 18.79 | 9.42 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | -1.60 | -0.33 | 3.78 | ||
Russell 3000 Index | 15.11 | 44.16 | 17.79 | ||
MSCI EAFE Index (Net) | 8.83 | 32.35 | 6.97 |
* | 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 2021 | 3 |
(Unaudited)
Portfolio Allocation (%) (at June 30, 2021) | |
Allocations to Underlying Funds | |
Equity Funds | 51.2 |
International | 16.4 |
U.S. Large Cap | 30.1 |
U.S. Small Cap | 4.7 |
Exchange-Traded Equity Funds | 2.4 |
International Mid Large Cap | 1.2 |
U.S. Mid Cap | 1.2 |
Exchange-Traded Fixed Income Funds | 4.7 |
Investment Grade | 4.7 |
Fixed Income Funds | 27.3 |
Investment Grade | 27.3 |
Allocations to Tactical Assets | |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 7.1 |
Options Purchased Puts | 0.9 |
Residential Mortgage-Backed Securities - Agency | 6.4 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $19.5 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2021 |
(Unaudited)
January 1, 2021 — June 30, 2021 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,065.50 | 1,023.51 | 1.33 | 1.30 | 0.26 | 4.15 | 4.06 | 0.81 |
Class 2 | 1,000.00 | 1,000.00 | 1,064.20 | 1,022.32 | 2.56 | 2.51 | 0.50 | 5.37 | 5.26 | 1.05 |
Variable Portfolio – Managed Risk Fund | Semiannual Report 2021 | 5 |
June 30, 2021 (Unaudited)
Equity Funds 54.0% | ||
Shares | Value ($) | |
International 17.3% | ||
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(a) | 1,411,672 | 21,175,084 |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares(a) | 1,834,197 | 24,156,374 |
Total | 45,331,458 | |
U.S. Large Cap 31.7% | ||
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 198,414 | 15,545,738 |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 944,898 | 15,694,754 |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(a),(b) | 1,589,552 | 51,755,802 |
Total | 82,996,294 | |
U.S. Small Cap 5.0% | ||
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 170,453 | 6,622,105 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 172,066 | 6,307,934 |
Total | 12,930,039 | |
Total Equity Funds (Cost $112,686,748) | 141,257,791 | |
Exchange-Traded Equity Funds 2.5% | ||
International Mid Large Cap 1.2% | ||
iShares MSCI EAFE ETF | 40,000 | 3,155,200 |
U.S. Mid Cap 1.3% | ||
iShares Core S&P Mid-Cap ETF | 12,500 | 3,359,125 |
Total Exchange-Traded Equity Funds (Cost $6,045,800) | 6,514,325 | |
Exchange-Traded Fixed Income Funds 4.9% | ||
Investment Grade 4.9% | ||
iShares Core U.S. Aggregate Bond ETF | 5,750 | 663,148 |
iShares iBoxx $ Investment Grade Corporate Bond ETF | 64,220 | 8,628,599 |
Vanguard Intermediate-Term Corporate Bond ETF | 34,000 | 3,232,380 |
Vanguard Total Bond Market ETF | 5,000 | 429,450 |
Total | 12,953,577 | |
Total Exchange-Traded Fixed Income Funds (Cost $11,948,464) | 12,953,577 | |
Fixed Income Funds 28.8% | ||
Shares | Value ($) | |
Investment Grade 28.8% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 2,703,927 | 31,311,472 |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a) | 1,046,622 | 10,738,350 |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(a) | 2,878,510 | 33,333,145 |
Total | 75,382,967 | |
Total Fixed Income Funds (Cost $70,629,200) | 75,382,967 |
Residential Mortgage-Backed Securities - Agency 6.8% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(c) | ||||
07/19/2036 | 2.500% | 4,225,000 | 4,405,553 | |
07/19/2036- 07/14/2051 | 3.000% | 8,600,000 | 9,000,499 | |
07/14/2051 | 3.500% | 4,100,000 | 4,316,611 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $17,752,006) | 17,722,663 |
Options Purchased Puts 1.0% | ||||
Value ($) | ||||
(Cost $4,962,609) | 2,526,725 |
Money Market Funds 7.4% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.051%(a),(d) | 19,454,126 | 19,452,180 |
Total Money Market Funds (Cost $19,451,830) | 19,452,180 | |
Total Investments in Securities (Cost: $243,476,657) | 275,810,228 | |
Other Assets & Liabilities, Net | (14,219,370) | |
Net Assets | 261,590,858 |
6 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Australian Dollar | 10 | 09/2021 | USD | 749,800 | — | (24,314) |
British Pound | 6 | 09/2021 | USD | 517,688 | — | (12,079) |
Japanese Yen | 17 | 09/2021 | USD | 1,913,988 | — | (28,374) |
S&P 500 Index E-mini | 91 | 09/2021 | USD | 19,513,130 | 319,615 | — |
SPI 200 Index | 8 | 09/2021 | AUD | 1,444,600 | 172 | — |
TOPIX Index | 2 | 09/2021 | JPY | 38,860,000 | — | (3,174) |
U.S. Long Bond | 18 | 09/2021 | USD | 2,893,500 | 91,368 | — |
U.S. Treasury 10-Year Note | 48 | 09/2021 | USD | 6,360,000 | 45,310 | — |
U.S. Treasury 2-Year Note | 3 | 09/2021 | USD | 660,961 | — | (943) |
U.S. Treasury 5-Year Note | 65 | 09/2021 | USD | 8,022,930 | — | (11,803) |
U.S. Ultra Treasury Bond | 17 | 09/2021 | USD | 3,275,688 | 159,617 | — |
Total | 616,082 | (80,687) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Canadian Dollar | (7) | 09/2021 | USD | (564,340) | 14,394 | — |
Euro FX | (8) | 09/2021 | USD | (1,186,500) | 33,902 | — |
EURO STOXX 50 Index | (15) | 09/2021 | EUR | (608,325) | 5,370 | — |
FTSE 100 Index | (26) | 09/2021 | GBP | (1,814,930) | 11,635 | — |
Hang Seng Index | (9) | 07/2021 | HKD | (12,883,500) | 30,691 | — |
MSCI EAFE Index | (3) | 09/2021 | USD | (345,615) | 8,478 | — |
MSCI Singapore Index | (36) | 07/2021 | SGD | (1,279,620) | — | (2,432) |
New Zealand Dollar | (4) | 09/2021 | USD | (279,320) | 8,585 | — |
OMXS30 Index | (27) | 07/2021 | SEK | (6,118,200) | — | (637) |
Russell 2000 Index E-mini | (28) | 09/2021 | USD | (3,230,920) | 21,141 | — |
S&P/TSX 60 Index | (9) | 09/2021 | CAD | (2,164,860) | — | (23,676) |
Swiss Franc | (12) | 09/2021 | USD | (1,622,850) | 54,631 | — |
Total | 188,827 | (26,745) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 49,421,250 | 115 | 3,100.00 | 12/16/2022 | 2,801,308 | 1,206,925 |
S&P 500 Index | JPMorgan | USD | 17,190,000 | 40 | 3,400.00 | 12/16/2022 | 739,358 | 606,000 |
S&P 500 Index | JPMorgan | USD | 17,190,000 | 40 | 3,000.00 | 12/16/2022 | 940,243 | 369,400 |
S&P 500 Index | JPMorgan | USD | 6,446,250 | 15 | 3,300.00 | 12/16/2022 | 223,615 | 201,600 |
S&P 500 Index | JPMorgan | USD | 5,157,000 | 12 | 3,200.00 | 12/16/2022 | 258,085 | 142,800 |
Total | 4,962,609 | 2,526,725 |
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America Investment Grade Index, Series 36 | Morgan Stanley | 06/20/2026 | 1.000 | Quarterly | 0.481 | USD | 6,000,000 | 29,646 | — | — | 29,646 | — |
Variable Portfolio – Managed Risk Fund | Semiannual Report 2021 | 7 |
June 30, 2021 (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. |
(a) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2021 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, 0.051% | |||||||||
17,852,696 | 23,884,021 | (22,284,840) | 303 | 19,452,180 | — | (303) | 7,149 | 19,454,126 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
34,031,933 | 431,180 | (16,270,979) | (2,646,396) | 15,545,738 | — | 6,213,339 | — | 198,414 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
28,524,734 | 3,929,782 | (1,285,277) | 142,233 | 31,311,472 | — | 13,557 | — | 2,703,927 | |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares | |||||||||
3,131,655 | 17,677,627 | (41,966) | 407,768 | 21,175,084 | 432,715 | 157 | 198,669 | 1,411,672 | |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares | |||||||||
2,902,322 | 11,061,982 | (113,980) | 1,844,430 | 15,694,754 | — | 1,355 | — | 944,898 | |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares | |||||||||
31,136,165 | — | (27,564,517) | (3,571,648) | — | — | 4,783,100 | — | — | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
9,443,932 | 1,356,004 | (1,474) | (60,112) | 10,738,350 | — | (41) | — | 1,046,622 | |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares | |||||||||
28,434,985 | 5,199,490 | (992) | (300,338) | 33,333,145 | — | (25) | — | 2,878,510 | |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares | |||||||||
34,454,395 | 17,303,260 | (5,100,131) | 5,098,278 | 51,755,802 | — | 1,468,817 | — | 1,589,552 | |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares | |||||||||
9,015,731 | 20,436,540 | (6,440,943) | 1,145,046 | 24,156,374 | — | 12,120 | 436,985 | 1,834,197 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
5,472,822 | 691,975 | (123,878) | 581,186 | 6,622,105 | — | 20,812 | — | 170,453 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
5,013,166 | 880,475 | (556,515) | 970,808 | 6,307,934 | — | 118,488 | — | 172,066 | |
Total | 209,414,536 | 3,611,558 | 236,092,938 | 432,715 | 12,631,376 | 642,803 |
(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, 2021. |
TBA | To Be Announced |
AUD | Australian Dollar |
CAD | Canada Dollar |
EUR | Euro |
8 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
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). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Equity Funds | — | — | — | 141,257,791 | 141,257,791 |
Exchange-Traded Equity Funds | 6,514,325 | — | — | — | 6,514,325 |
Exchange-Traded Fixed Income Funds | 12,953,577 | — | — | — | 12,953,577 |
Fixed Income Funds | — | — | — | 75,382,967 | 75,382,967 |
Residential Mortgage-Backed Securities - Agency | — | 17,722,663 | — | — | 17,722,663 |
Options Purchased Puts | 2,526,725 | — | — | — | 2,526,725 |
Money Market Funds | 19,452,180 | — | — | — | 19,452,180 |
Total Investments in Securities | 41,446,807 | 17,722,663 | — | 216,640,758 | 275,810,228 |
Variable Portfolio – Managed Risk Fund | Semiannual Report 2021 | 9 |
June 30, 2021 (Unaudited)
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 804,909 | — | — | — | 804,909 |
Swap Contracts | — | 29,646 | — | — | 29,646 |
Liability | |||||
Futures Contracts | (107,432) | — | — | — | (107,432) |
Total | 42,144,284 | 17,752,309 | — | 216,640,758 | 276,537,351 |
10 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $35,746,270) | $37,190,565 |
Affiliated issuers (cost $202,767,778) | 236,092,938 |
Options purchased (cost $4,962,609) | 2,526,725 |
Margin deposits on: | |
Futures contracts | 3,347,745 |
Swap contracts | 151,155 |
Receivable for: | |
Investments sold | 171,916 |
Dividends | 780 |
Interest | 21,488 |
Variation margin for futures contracts | 135,742 |
Prepaid expenses | 5,788 |
Trustees’ deferred compensation plan | 23,235 |
Total assets | 279,668,077 |
Liabilities | |
Due to custodian | 27 |
Payable for: | |
Investments purchased on a delayed delivery basis | 17,773,495 |
Capital shares purchased | 202,254 |
Variation margin for futures contracts | 33,038 |
Variation margin for swap contracts | 472 |
Management services fees | 1,014 |
Distribution and/or service fees | 1,794 |
Service fees | 12,781 |
Compensation of board members | 4,451 |
Compensation of chief compliance officer | 16 |
Other expenses | 24,642 |
Trustees’ deferred compensation plan | 23,235 |
Total liabilities | 18,077,219 |
Net assets applicable to outstanding capital stock | $261,590,858 |
Represented by | |
Trust capital | $261,590,858 |
Total - representing net assets applicable to outstanding capital stock | $261,590,858 |
Class 1 | |
Net assets | $3,144 |
Shares outstanding | 239 |
Net asset value per share(a) | $13.18 |
Class 2 | |
Net assets | $261,587,714 |
Shares outstanding | 19,961,705 |
Net asset value per share | $13.10 |
(a) | Net asset value per share rounds to this amount due to fractional shares outstanding. |
Variable Portfolio – Managed Risk Fund | Semiannual Report 2021 | 11 |
Six Months Ended June 30, 2021 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $174,953 |
Dividends — affiliated issuers | 642,803 |
Total income | 817,756 |
Expenses: | |
Management services fees | 171,490 |
Distribution and/or service fees | |
Class 2 | 305,433 |
Service fees | 73,520 |
Compensation of board members | 8,668 |
Custodian fees | 10,811 |
Printing and postage fees | 6,975 |
Audit fees | 14,628 |
Legal fees | 7,157 |
Interest on collateral | 12,367 |
Compensation of chief compliance officer | 33 |
Other | 4,776 |
Total expenses | 615,858 |
Net investment income | 201,898 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (38,102) |
Investments — affiliated issuers | 12,631,376 |
Capital gain distributions from underlying affiliated funds | 432,715 |
Foreign currency translations | 162,804 |
Futures contracts | 1,008,855 |
Options purchased | (1,454,402) |
Swap contracts | 32,374 |
Net realized gain | 12,775,620 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (224,739) |
Investments — affiliated issuers | 3,611,558 |
Foreign currency translations | (22,577) |
Futures contracts | 304,757 |
Options purchased | (1,322,552) |
Swap contracts | 8,780 |
Net change in unrealized appreciation (depreciation) | 2,355,227 |
Net realized and unrealized gain | 15,130,847 |
Net increase in net assets resulting from operations | $15,332,745 |
12 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2021 |
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | |
Operations | ||
Net investment income | $201,898 | $965,171 |
Net realized gain (loss) | 12,775,620 | (3,262,288) |
Net change in unrealized appreciation (depreciation) | 2,355,227 | 19,056,421 |
Net increase in net assets resulting from operations | 15,332,745 | 16,759,304 |
Increase in net assets from capital stock activity | 15,693,670 | 27,052,222 |
Total increase in net assets | 31,026,415 | 43,811,526 |
Net assets at beginning of period | 230,564,443 | 186,752,917 |
Net assets at end of period | $261,590,858 | $230,564,443 |
Six Months Ended | Year Ended | |||
June 30, 2021 (Unaudited) | December 31, 2020 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 2 | ||||
Subscriptions | 1,398,066 | 17,845,601 | 3,077,116 | 34,821,098 |
Redemptions | (167,911) | (2,151,931) | (698,848) | (7,768,876) |
Net increase | 1,230,155 | 15,693,670 | 2,378,268 | 27,052,222 |
Total net increase | 1,230,155 | 15,693,670 | 2,378,268 | 27,052,222 |
Variable Portfolio – Managed Risk Fund | Semiannual Report 2021 | 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 6/30/2021 (Unaudited) | $12.37 | 0.03 | 0.78 | 0.81 |
Year Ended 12/31/2020 | $11.44 | 0.09 | 0.84 | 0.93 |
Year Ended 12/31/2019(e) | $10.48 | 0.15 | 0.81 | 0.96 |
Class 2 | ||||
Six Months Ended 6/30/2021 (Unaudited) | $12.31 | 0.01 | 0.78 | 0.79 |
Year Ended 12/31/2020 | $11.42 | 0.06 | 0.83 | 0.89 |
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(f) | $10.00 | (0.00)(g) | 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) | Ratios include interest on collateral expense. If interest on collateral expense had been excluded, expenses would have been lower by 0.01%. |
(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 September 12, 2017. Per share data and total return reflect activity from that date. |
(g) | Rounds to zero. |
14 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2021 |
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 6/30/2021 (Unaudited) | $13.18 | 6.55% | 0.26%(c),(d) | 0.26%(c),(d) | 0.41%(c) | 69% | $3 |
Year Ended 12/31/2020 | $12.37 | 8.13% | 0.25%(d) | 0.25%(d) | 0.75% | 89% | $3 |
Year Ended 12/31/2019(e) | $11.44 | 9.16% | 0.25%(c) | 0.25%(c) | 1.57%(c) | 37% | $3 |
Class 2 | |||||||
Six Months Ended 6/30/2021 (Unaudited) | $13.10 | 6.42% | 0.50%(c),(d) | 0.50%(c),(d) | 0.16%(c) | 69% | $261,588 |
Year Ended 12/31/2020 | $12.31 | 7.79% | 0.50%(d) | 0.50%(d) | 0.49% | 89% | $230,561 |
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(f) | $10.39 | 3.90% | 1.17%(c) | 0.49%(c) | (0.01%)(c) | 75% | $17,803 |
Variable Portfolio – Managed Risk Fund | Semiannual Report 2021 | 15 |
June 30, 2021 (Unaudited)
16 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Variable Portfolio – Managed Risk Fund | Semiannual Report 2021 | 17 |
June 30, 2021 (Unaudited)
18 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Variable Portfolio – Managed Risk Fund | Semiannual Report 2021 | 19 |
June 30, 2021 (Unaudited)
20 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of trust capital — unrealized appreciation on swap contracts | 29,646* |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 397,102* |
Equity risk | Investments, at value — Options Purchased | 2,526,725 |
Foreign exchange risk | Component of trust capital — unrealized appreciation on futures contracts | 111,512* |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 296,295* |
Total | 3,361,280 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 29,919* |
Foreign exchange risk | Component of trust capital - unrealized depreciation on futures contracts | 64,767* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 12,746* |
Total | 107,432 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Variable Portfolio – Managed Risk Fund | Semiannual Report 2021 | 21 |
June 30, 2021 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 32,374 | 32,374 |
Equity risk | 1,917,690 | (1,454,402) | — | 463,288 |
Foreign exchange risk | 141,342 | — | — | 141,342 |
Interest rate risk | (1,050,177) | — | — | (1,050,177) |
Total | 1,008,855 | (1,454,402) | 32,374 | (413,173) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 8,780 | 8,780 |
Equity risk | (103,849) | (1,322,552) | — | (1,426,401) |
Foreign exchange risk | 84,168 | — | — | 84,168 |
Interest rate risk | 324,438 | — | — | 324,438 |
Total | 304,757 | (1,322,552) | 8,780 | (1,009,015) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 43,711,152 |
Futures contracts — short | 15,565,494 |
Credit default swap contracts — sell protection | 6,000,000 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 2,893,850 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2021. |
22 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
JPMorgan ($) | Morgan Stanley ($) | Total ($) | |
Assets | |||
Options purchased puts | 2,526,725 | - | 2,526,725 |
Liabilities | |||
Centrally cleared credit default swap contracts (a) | - | 472 | 472 |
Total financial and derivative net assets | 2,526,725 | (472) | 2,526,253 |
Total collateral received (pledged) (b) | - | (472) | (472) |
Net amount (c) | 2,526,725 | - | 2,526,725 |
(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 2021 | 23 |
June 30, 2021 (Unaudited)
24 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Variable Portfolio – Managed Risk Fund | Semiannual Report 2021 | 25 |
June 30, 2021 (Unaudited)
Fee rate(s) contractual through April 30, 2022 | |
Class 1 | 0.80% |
Class 2 | 1.05 |
26 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Variable Portfolio – Managed Risk Fund | Semiannual Report 2021 | 27 |
June 30, 2021 (Unaudited)
28 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2021 |
• | 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. |
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
Variable Portfolio – Managed Risk Fund | Semiannual Report 2021 | 29 |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | Terms of the Management Agreement; |
• | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
• | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
• | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
30 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2021 |
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Management Agreement supported the continuation of the Management Agreement.
Variable Portfolio – Managed Risk Fund | Semiannual Report 2021 | 31 |
these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
32 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2021 |
June 30, 2021
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2021) | |||||
Inception | 6 Months cumulative | 1 Year | Life | ||
Class 1* | 02/20/19 | 7.82 | 20.32 | 9.72 | |
Class 2 | 09/12/17 | 7.78 | 20.14 | 9.55 | |
Blended Benchmark | 6.58 | 18.86 | 10.87 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | -1.60 | -0.33 | 3.78 | ||
S&P 500 Index | 15.25 | 40.79 | 17.55 |
* | 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 2021 | 3 |
(Unaudited)
Portfolio Allocation (%) (at June 30, 2021) | |
Allocations to Underlying Funds | |
Equity Funds | 50.9 |
U.S. Large Cap | 50.9 |
Exchange-Traded Fixed Income Funds | 4.1 |
Investment Grade | 4.1 |
Fixed Income Funds | 27.3 |
Investment Grade | 27.3 |
Allocations to Tactical Assets | |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 10.1 |
Options Purchased Puts | 0.9 |
Residential Mortgage-Backed Securities - Agency | 6.7 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $37.8 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2021 |
(Unaudited)
January 1, 2021 — June 30, 2021 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,078.20 | 1,023.60 | 1.24 | 1.20 | 0.24 | 3.92 | 3.81 | 0.76 |
Class 2 | 1,000.00 | 1,000.00 | 1,077.80 | 1,022.41 | 2.47 | 2.41 | 0.48 | 5.15 | 5.01 | 1.00 |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2021 | 5 |
June 30, 2021 (Unaudited)
Equity Funds 54.1% | ||
Shares | Value ($) | |
U.S. Large Cap 54.1% | ||
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 447,165 | 35,035,412 |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 2,104,782 | 34,960,429 |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares(a),(b) | 523,867 | 29,504,192 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 917,054 | 29,006,411 |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(a),(b) | 1,874,532 | 61,034,756 |
Total | 189,541,200 | |
Total Equity Funds (Cost $142,217,183) | 189,541,200 | |
Exchange-Traded Fixed Income Funds 4.4% | ||
Investment Grade 4.4% | ||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 63,685 | 8,556,717 |
Vanguard Intermediate-Term Corporate Bond ETF | 71,000 | 6,749,970 |
Total | 15,306,687 | |
Total Exchange-Traded Fixed Income Funds (Cost $14,580,661) | 15,306,687 | |
Fixed Income Funds 29.0% | ||
Investment Grade 29.0% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 3,631,055 | 42,047,616 |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a) | 1,411,064 | 14,477,520 |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(a) | 3,885,949 | 44,999,291 |
Total | 101,524,427 | |
Total Fixed Income Funds (Cost $96,566,812) | 101,524,427 |
Residential Mortgage-Backed Securities - Agency 7.1% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(c) | ||||
07/19/2036 | 2.500% | 5,925,000 | 6,178,201 | |
07/19/2036- 07/14/2051 | 3.000% | 11,975,000 | 12,534,876 | |
07/14/2051 | 3.500% | 5,975,000 | 6,290,671 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $25,047,925) | 25,003,748 |
Options Purchased Puts 1.0% | ||||
Value ($) | ||||
(Cost $6,423,132) | 3,379,155 |
Money Market Funds 10.8% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.051%(a),(d) | 37,759,845 | 37,756,069 |
Total Money Market Funds (Cost $37,756,597) | 37,756,069 | |
Total Investments in Securities (Cost: $322,592,310) | 372,511,286 | |
Other Assets & Liabilities, Net | (22,441,951) | |
Net Assets | 350,069,335 |
6 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Russell 2000 Index E-mini | 14 | 09/2021 | USD | 1,615,460 | — | (10,640) |
S&P 500 Index E-mini | 119 | 09/2021 | USD | 25,517,170 | 397,001 | — |
U.S. Long Bond | 30 | 09/2021 | USD | 4,822,500 | 152,280 | — |
U.S. Treasury 10-Year Note | 52 | 09/2021 | USD | 6,890,000 | 49,086 | — |
U.S. Treasury 2-Year Note | 3 | 09/2021 | USD | 660,961 | — | (943) |
U.S. Treasury 5-Year Note | 81 | 09/2021 | USD | 9,997,805 | — | (14,709) |
U.S. Ultra Treasury Bond | 23 | 09/2021 | USD | 4,431,813 | 215,953 | — |
Total | 814,320 | (26,292) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
EURO STOXX 50 Index | (53) | 09/2021 | EUR | (2,149,415) | 18,976 | — |
FTSE 100 Index | (4) | 09/2021 | GBP | (279,220) | 1,790 | — |
Hang Seng Index | (4) | 07/2021 | HKD | (5,726,000) | 13,112 | — |
OMXS30 Index | (30) | 07/2021 | SEK | (6,798,000) | — | (708) |
S&P/TSX 60 Index | (4) | 09/2021 | CAD | (962,160) | — | (10,522) |
Total | 33,878 | (11,230) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 50,280,750 | 117 | 3,100.00 | 12/16/2022 | 2,840,782 | 1,227,915 |
S&P 500 Index | JPMorgan | USD | 22,347,000 | 52 | 3,400.00 | 12/16/2022 | 965,238 | 787,800 |
S&P 500 Index | JPMorgan | USD | 25,785,000 | 60 | 3,000.00 | 12/16/2022 | 1,410,365 | 554,100 |
S&P 500 Index | JPMorgan | USD | 13,322,250 | 31 | 3,300.00 | 12/16/2022 | 497,013 | 416,640 |
S&P 500 Index | JPMorgan | USD | 14,181,750 | 33 | 3,200.00 | 12/16/2022 | 709,734 | 392,700 |
Total | 6,423,132 | 3,379,155 |
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America Investment Grade Index, Series 36 | Morgan Stanley | 06/20/2026 | 1.000 | Quarterly | 0.481 | USD | 11,000,000 | 54,351 | — | — | 54,351 | — |
* | 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 U.S. Fund | Semiannual Report 2021 | 7 |
June 30, 2021 (Unaudited)
(a) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2021 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, 0.051% | |||||||||
27,377,686 | 24,895,836 | (14,517,459) | 6 | 37,756,069 | — | (6) | 11,197 | 37,759,845 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
46,350,701 | 602,489 | (14,425,485) | 2,507,707 | 35,035,412 | — | 3,298,040 | — | 447,165 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
34,792,541 | 8,006,269 | (958,085) | 206,891 | 42,047,616 | — | (602) | — | 3,631,055 | |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares | |||||||||
7,488,076 | 23,246,061 | (107,996) | 4,334,288 | 34,960,429 | — | 1,258 | — | 2,104,782 | |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
1,157,073 | 25,084,580 | (334,339) | 3,596,878 | 29,504,192 | — | 15,019 | — | 523,867 | |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares | |||||||||
26,054,438 | — | (15,956,658) | (10,097,780) | — | — | 10,551,707 | — | — | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
28,622,786 | 1,304,141 | (4,578,136) | 3,657,620 | 29,006,411 | — | 680,000 | — | 917,054 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
11,548,504 | 3,259,570 | (257,872) | (72,682) | 14,477,520 | — | (7,338) | — | 1,411,064 | |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares | |||||||||
34,799,019 | 10,530,115 | — | (329,843) | 44,999,291 | — | — | — | 3,885,949 | |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares | |||||||||
45,223,526 | 19,166,689 | (10,268,889) | 6,913,430 | 61,034,756 | — | 1,315,881 | — | 1,874,532 | |
Total | 263,414,350 | 10,716,515 | 328,821,696 | — | 15,853,959 | 11,197 |
(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, 2021. |
TBA | To Be Announced |
CAD | Canada Dollar |
EUR | Euro |
GBP | British Pound |
HKD | Hong Kong Dollar |
SEK | Swedish Krona |
USD | US Dollar |
8 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2021 |
June 30, 2021 (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 | — | — | — | 189,541,200 | 189,541,200 |
Exchange-Traded Fixed Income Funds | 15,306,687 | — | — | — | 15,306,687 |
Fixed Income Funds | — | — | — | 101,524,427 | 101,524,427 |
Residential Mortgage-Backed Securities - Agency | — | 25,003,748 | — | — | 25,003,748 |
Options Purchased Puts | 3,379,155 | — | — | — | 3,379,155 |
Money Market Funds | 37,756,069 | — | — | — | 37,756,069 |
Total Investments in Securities | 56,441,911 | 25,003,748 | — | 291,065,627 | 372,511,286 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 848,198 | — | — | — | 848,198 |
Swap Contracts | — | 54,351 | — | — | 54,351 |
Liability | |||||
Futures Contracts | (37,522) | — | — | — | (37,522) |
Total | 57,252,587 | 25,058,099 | — | 291,065,627 | 373,376,313 |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2021 | 9 |
June 30, 2021 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $39,628,586) | $40,310,435 |
Affiliated issuers (cost $276,540,592) | 328,821,696 |
Options purchased (cost $6,423,132) | 3,379,155 |
Margin deposits on: | |
Futures contracts | 2,265,836 |
Swap contracts | 277,118 |
Receivable for: | |
Investments sold | 217,904 |
Dividends | 1,450 |
Interest | 30,421 |
Variation margin for futures contracts | 144,547 |
Prepaid expenses | 6,438 |
Trustees’ deferred compensation plan | 23,053 |
Total assets | 375,478,053 |
Liabilities | |
Payable for: | |
Investments purchased on a delayed delivery basis | 25,078,345 |
Capital shares purchased | 256,358 |
Variation margin for swap contracts | 866 |
Management services fees | 1,319 |
Distribution and/or service fees | 2,396 |
Service fees | 16,996 |
Compensation of board members | 4,622 |
Compensation of chief compliance officer | 18 |
Other expenses | 24,745 |
Trustees’ deferred compensation plan | 23,053 |
Total liabilities | 25,408,718 |
Net assets applicable to outstanding capital stock | $350,069,335 |
Represented by | |
Trust capital | $350,069,335 |
Total - representing net assets applicable to outstanding capital stock | $350,069,335 |
Class 1 | |
Net assets | $3,305 |
Shares outstanding | 233 |
Net asset value per share(a) | $14.21 |
Class 2 | |
Net assets | $350,066,030 |
Shares outstanding | 24,764,931 |
Net asset value per share | $14.14 |
(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 2021 |
Six Months Ended June 30, 2021 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $144,033 |
Dividends — affiliated issuers | 11,197 |
Total income | 155,230 |
Expenses: | |
Management services fees | 216,231 |
Distribution and/or service fees | |
Class 2 | 393,791 |
Service fees | 94,944 |
Compensation of board members | 9,044 |
Custodian fees | 10,690 |
Printing and postage fees | 7,156 |
Audit fees | 14,628 |
Legal fees | 7,589 |
Interest on collateral | 719 |
Compensation of chief compliance officer | 41 |
Other | 5,419 |
Total expenses | 760,252 |
Net investment loss | (605,022) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (64,126) |
Investments — affiliated issuers | 15,853,959 |
Foreign currency translations | 3,019 |
Futures contracts | 1,130,762 |
Options purchased | (1,545,744) |
Swap contracts | 59,352 |
Net realized gain | 15,437,222 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (446,842) |
Investments — affiliated issuers | 10,716,515 |
Futures contracts | 459,173 |
Options purchased | (1,878,829) |
Swap contracts | 16,097 |
Net change in unrealized appreciation (depreciation) | 8,866,114 |
Net realized and unrealized gain | 24,303,336 |
Net increase in net assets resulting from operations | $23,698,314 |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2021 | 11 |
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | |
Operations | ||
Net investment income (loss) | $(605,022) | $1,005,925 |
Net realized gain (loss) | 15,437,222 | (2,925,610) |
Net change in unrealized appreciation (depreciation) | 8,866,114 | 26,178,710 |
Net increase in net assets resulting from operations | 23,698,314 | 24,259,025 |
Increase in net assets from capital stock activity | 42,331,061 | 73,577,005 |
Total increase in net assets | 66,029,375 | 97,836,030 |
Net assets at beginning of period | 284,039,960 | 186,203,930 |
Net assets at end of period | $350,069,335 | $284,039,960 |
Six Months Ended | Year Ended | |||
June 30, 2021 (Unaudited) | December 31, 2020 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 2 | ||||
Subscriptions | 3,234,829 | 43,936,851 | 6,496,681 | 78,688,976 |
Redemptions | (117,034) | (1,605,790) | (430,306) | (5,111,971) |
Net increase | 3,117,795 | 42,331,061 | 6,066,375 | 73,577,005 |
Total net increase | 3,117,795 | 42,331,061 | 6,066,375 | 73,577,005 |
12 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2021 |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2021 | 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 6/30/2021 (Unaudited) | $13.18 | (0.01) | 1.04 | 1.03 |
Year Ended 12/31/2020 | $11.97 | 0.09 | 1.12 | 1.21 |
Year Ended 12/31/2019(e) | $10.75 | 0.10 | 1.12 | 1.22 |
Class 2 | ||||
Six Months Ended 6/30/2021 (Unaudited) | $13.12 | (0.03) | 1.05 | 1.02 |
Year Ended 12/31/2020 | $11.95 | 0.06 | 1.11 | 1.17 |
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(f) | $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) | Ratios include interest on collateral expense which is less than 0.01%. |
(e) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
(f) | 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 2021 |
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 6/30/2021 (Unaudited) | $14.21 | 7.82% | 0.24%(c),(d) | 0.24%(c),(d) | (0.13%)(c) | 61% | $3 |
Year Ended 12/31/2020 | $13.18 | 10.11% | 0.24% | 0.24% | 0.75% | 94% | $3 |
Year Ended 12/31/2019(e) | $11.97 | 11.35% | 0.25%(c) | 0.25%(c) | 1.02%(c) | 24% | $3 |
Class 2 | |||||||
Six Months Ended 6/30/2021 (Unaudited) | $14.14 | 7.78% | 0.48%(c),(d) | 0.48%(c),(d) | (0.38%)(c) | 61% | $350,066 |
Year Ended 12/31/2020 | $13.12 | 9.79% | 0.49% | 0.49% | 0.46% | 94% | $284,037 |
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(f) | $10.47 | 4.70% | 1.19%(c) | 0.52%(c) | (0.26%)(c) | 109% | $12,190 |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2021 | 15 |
June 30, 2021 (Unaudited)
16 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2021 | 17 |
June 30, 2021 (Unaudited)
18 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2021 | 19 |
June 30, 2021 (Unaudited)
20 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of trust capital — unrealized appreciation on swap contracts | 54,351* |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 430,879* |
Equity risk | Investments, at value — Options Purchased | 3,379,155 |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 417,319* |
Total | 4,281,704 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 21,870* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 15,652* |
Total | 37,522 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 59,352 | 59,352 |
Equity risk | 2,604,733 | (1,545,744) | — | 1,058,989 |
Interest rate risk | (1,473,971) | — | — | (1,473,971) |
Total | 1,130,762 | (1,545,744) | 59,352 | (355,630) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 16,097 | 16,097 |
Equity risk | 5,451 | (1,878,829) | — | (1,873,378) |
Interest rate risk | 453,722 | — | — | 453,722 |
Total | 459,173 | (1,878,829) | 16,097 | (1,403,559) |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2021 | 21 |
June 30, 2021 (Unaudited)
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 50,601,883 |
Futures contracts — short | 5,398,157 |
Credit default swap contracts — sell protection | 11,000,000 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 3,735,710 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2021. |
22 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
JPMorgan ($) | Morgan Stanley ($) | Total ($) | |
Assets | |||
Options purchased puts | 3,379,155 | - | 3,379,155 |
Liabilities | |||
Centrally cleared credit default swap contracts (a) | - | 866 | 866 |
Total financial and derivative net assets | 3,379,155 | (866) | 3,378,289 |
Total collateral received (pledged) (b) | - | (866) | (866) |
Net amount (c) | 3,379,155 | - | 3,379,155 |
(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 2021 | 23 |
June 30, 2021 (Unaudited)
24 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2021 | 25 |
June 30, 2021 (Unaudited)
Fee rate(s) contractual through April 30, 2022 | |
Class 1 | 0.80% |
Class 2 | 1.05 |
26 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2021 |
June 30, 2021 (Unaudited)
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2021 | 27 |
June 30, 2021 (Unaudited)
28 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2021 |
• | 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. |
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2021 | 29 |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | Terms of the Management Agreement; |
• | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
• | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
• | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
30 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2021 |
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Management Agreement supported the continuation of the Management Agreement.
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2021 | 31 |
Economies of scale
32 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2021 |
Item 2. Code of Ethics.
Not applicable for semiannual reports.
Item 3. Audit Committee Financial Expert.
Not applicable for semiannual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable for semiannual reports.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments
(a)The registrant's "Schedule I – Investments in securities of unaffiliated issuers" (as set forth in 17 CFR 210.12-12) is included in Item 1 of this Form N-CSR.
(b)Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the registrant's board of directors.
Item 11. Controls and Procedures.
(a)The registrant's principal executive officer and principal financial officer, based on their evaluation of the registrant's disclosure controls and procedures as of a
date within 90 days of the filing of this report, have concluded that such controls and procedures are adequately designed to ensure that information required to be disclosed by the registrant in Form N-CSR is accumulated and communicated to the registrant's management, including the principal executive officer and principal financial officer, or persons performing similar functions, as appropriate to allow timely decisions regarding required disclosure.
(b)There was no change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable.
Item 13. Exhibits.
(a)(1) Code of ethics required to be disclosed under Item 2 of Form N-CSR: Not applicable for semiannual reports.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly
authorized. |
| ||
(registrant) |
| Columbia Funds Variable Insurance Trust | |
By (Signature and Title) | /s/ Daniel J. Beckman | ||
|
|
| Daniel J. Beckman, President and Principal Executive Officer |
Date |
| August 20, 2021 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title) | /s/ Daniel J. Beckman | ||
|
| Daniel J. Beckman, President and Principal Executive Officer | |
Date |
| August 20, 2021 |
|
By (Signature and Title) | /s/ Michael G. Clarke | ||
|
| Michael G. Clarke, Chief Financial Officer, Principal Financial Officer | |
|
| and Senior Vice President | |
Date |
| August 20, 2021 |
|
By (Signature and Title) | /s/ Joseph Beranek | ||
|
| Joseph Beranek, Treasurer, Chief Accounting Officer and Principal | |
|
| Financial Officer | |
Date |
| August 20, 2021 |
|