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 02210
(Address of principal executive offices) (Zip code)
Daniel J. Beckman
c/o Columbia Management Investment Advisers, LLC
290 Congress Street
Boston, MA 02210
Ryan C. Larrenaga, Esq.
c/o Columbia Management Investment Advisers, LLC
290 Congress Street
Boston, MA 02210
(Name and address of agent for service)
Registrant's telephone number, including area code: (800) 345-6611
Date of fiscal year end: December 31
Date of reporting period: June 30, 2022
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
June 30, 2022 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2022) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | Life | ||
Class 1 | 04/30/13 | -22.07 | -20.66 | 1.01 | 1.71 | |
Class 2 | 04/30/13 | -22.15 | -20.81 | 0.75 | 1.46 | |
Bloomberg U.S. Long Government/Credit Bond Index | -21.88 | -20.14 | 1.03 | 2.28 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2022) | |
Asset-Backed Securities — Agency | 0.8 |
Corporate Bonds & Notes | 52.6 |
Foreign Government Obligations | 0.8 |
Money Market Funds | 2.3 |
U.S. Treasury Obligations | 43.5 |
Total | 100.0 |
Quality breakdown (%) (at June 30, 2022) | |
AAA rating | 45.3 |
AA rating | 4.1 |
A rating | 14.5 |
BBB rating | 33.0 |
BB rating | 3.1 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2022 |
(Unaudited)
January 1, 2022 — June 30, 2022 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 779.30 | 1,022.32 | 2.21 | 2.51 | 0.50 |
Class 2 | 1,000.00 | 1,000.00 | 778.50 | 1,021.08 | 3.31 | 3.76 | 0.75 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2022 | 5 |
June 30, 2022 (Unaudited)
Asset-Backed Securities — Agency 0.8% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
United States Small Business Administration | ||||
Series 2016-20L Class 1 | ||||
12/01/2036 | 2.810% | 3,054,230 | 2,958,005 | |
Series 2017-20E Class 1 | ||||
05/01/2037 | 2.880% | 280,501 | 271,701 | |
Series 2017-20F Class 1 | ||||
06/01/2037 | 2.810% | 2,255,042 | 2,169,545 | |
Series 2017-20G Class 1 | ||||
07/01/2037 | 2.980% | 2,301,789 | 2,243,718 | |
Series 2017-20H Class 1 | ||||
08/01/2037 | 2.750% | 2,063,063 | 1,981,405 | |
Series 2017-20I Class 1 | ||||
09/01/2037 | 2.590% | 3,141,831 | 3,027,966 | |
Total Asset-Backed Securities — Agency (Cost $13,096,456) | 12,652,340 | |||
Corporate Bonds & Notes 52.5% | ||||
Aerospace & Defense 3.1% | ||||
Arconic, Inc. | ||||
02/01/2037 | 5.950% | 4,695,000 | 4,425,262 | |
BAE Systems PLC(a) | ||||
02/15/2031 | 1.900% | 14,330,000 | 11,483,396 | |
Boeing Co. (The) | ||||
05/01/2034 | 3.600% | 7,597,000 | 6,046,352 | |
08/01/2059 | 3.950% | 11,460,000 | 7,737,518 | |
Northrop Grumman Corp. | ||||
06/01/2043 | 4.750% | 735,000 | 704,554 | |
10/15/2047 | 4.030% | 6,765,000 | 6,005,270 | |
United Technologies Corp. | ||||
06/01/2042 | 4.500% | 5,900,000 | 5,621,337 | |
11/01/2046 | 3.750% | 7,653,000 | 6,508,215 | |
Total | 48,531,904 | |||
Automotive 0.2% | ||||
General Motors Co. | ||||
04/01/2048 | 5.400% | 2,835,000 | 2,482,581 | |
Banking 10.3% | ||||
Bank of America Corp.(b) | ||||
07/23/2031 | 1.898% | 7,890,000 | 6,312,695 | |
10/24/2031 | 1.922% | 15,105,000 | 12,038,846 | |
02/04/2033 | 2.972% | 23,022,000 | 19,623,204 | |
Subordinated | ||||
09/21/2036 | 2.482% | 4,255,000 | 3,308,921 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Citigroup, Inc.(b) | ||||
06/03/2031 | 2.572% | 15,573,000 | 13,100,397 | |
01/25/2033 | 3.057% | 10,172,000 | 8,640,115 | |
Goldman Sachs Group, Inc. (The)(b) | ||||
07/21/2032 | 2.383% | 28,960,000 | 23,439,980 | |
HSBC Holdings PLC(b) | ||||
05/24/2032 | 2.804% | 11,582,000 | 9,508,549 | |
11/22/2032 | 2.871% | 9,308,000 | 7,624,387 | |
JPMorgan Chase & Co.(b) | ||||
04/22/2032 | 2.580% | 2,285,000 | 1,923,985 | |
11/15/2048 | 3.964% | 12,044,000 | 10,266,381 | |
04/22/2052 | 3.328% | 8,093,000 | 6,187,651 | |
Morgan Stanley(b) | ||||
07/21/2032 | 2.239% | 11,094,000 | 9,014,585 | |
10/20/2032 | 2.511% | 6,214,000 | 5,145,423 | |
Subordinated | ||||
04/20/2037 | 5.297% | 5,960,000 | 5,781,988 | |
Toronto-Dominion Bank (The) | ||||
06/08/2032 | 4.456% | 2,060,000 | 2,036,983 | |
Wells Fargo & Co.(b) | ||||
04/30/2041 | 3.068% | 10,175,000 | 7,930,318 | |
04/25/2053 | 4.611% | 11,241,000 | 10,402,499 | |
Total | 162,286,907 | |||
Cable and Satellite 2.2% | ||||
Charter Communications Operating LLC/Capital | ||||
05/01/2047 | 5.375% | 4,315,000 | 3,693,683 | |
06/30/2062 | 3.950% | 9,923,000 | 6,613,908 | |
04/01/2063 | 5.500% | 13,914,000 | 11,867,654 | |
Comcast Corp. | ||||
11/01/2056 | 2.937% | 11,385,000 | 7,900,579 | |
NBCUniversal Media LLC | ||||
01/15/2043 | 4.450% | 5,552,000 | 5,153,690 | |
Total | 35,229,514 | |||
Construction Machinery 0.4% | ||||
Caterpillar, Inc. | ||||
09/19/2049 | 3.250% | 2,755,000 | 2,264,575 | |
United Rentals North America, Inc. | ||||
02/15/2031 | 3.875% | 4,075,000 | 3,441,977 | |
Total | 5,706,552 | |||
Diversified Manufacturing 1.1% | ||||
Carrier Global Corp. | ||||
04/05/2050 | 3.577% | 9,245,000 | 7,015,682 | |
GE Capital International Funding Co. Unlimited Co. | ||||
11/15/2035 | 4.418% | 8,599,000 | 8,048,072 |
6 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
General Electric Co.(c) | ||||
Junior Subordinated | ||||
3-month USD LIBOR + 3.330% 12/31/2049 | 5.159% | 2,335,000 | 2,042,639 | |
Total | 17,106,393 | |||
Electric 6.2% | ||||
AEP Texas, Inc. | ||||
01/15/2050 | 3.450% | 12,460,000 | 9,606,108 | |
AES Corp. (The) | ||||
01/15/2031 | 2.450% | 4,830,000 | 3,885,054 | |
Berkshire Hathaway Energy Co.(a) | ||||
05/01/2053 | 4.600% | 4,670,000 | 4,506,211 | |
CenterPoint Energy, Inc. | ||||
09/01/2049 | 3.700% | 4,290,000 | 3,441,644 | |
Dominion Energy, Inc. | ||||
08/15/2031 | 2.250% | 7,221,000 | 5,945,732 | |
Dominion Resources, Inc. | ||||
12/01/2044 | 4.700% | 1,900,000 | 1,754,470 | |
DTE Energy Co. | ||||
06/15/2029 | 3.400% | 4,952,000 | 4,542,851 | |
Duke Energy Corp. | ||||
06/15/2051 | 3.500% | 10,723,000 | 8,087,848 | |
Emera US Finance LP | ||||
06/15/2046 | 4.750% | 3,340,000 | 2,945,926 | |
Eversource Energy | ||||
08/15/2030 | 1.650% | 6,764,000 | 5,377,937 | |
01/15/2050 | 3.450% | 4,737,000 | 3,657,846 | |
Exelon Corp.(a) | ||||
03/15/2052 | 4.100% | 8,365,000 | 7,176,679 | |
Georgia Power Co. | ||||
03/15/2042 | 4.300% | 14,365,000 | 12,492,383 | |
Jersey Central Power & Light Co.(a) | ||||
03/01/2032 | 2.750% | 1,380,000 | 1,172,936 | |
Pacific Gas and Electric Co. | ||||
07/01/2050 | 4.950% | 10,410,000 | 8,301,171 | |
PacifiCorp | ||||
02/15/2050 | 4.150% | 1,526,000 | 1,368,330 | |
Southern California Edison Co. | ||||
04/01/2047 | 4.000% | 865,000 | 701,612 | |
03/01/2048 | 4.125% | 2,200,000 | 1,815,803 | |
1st Refunding Mortgage | ||||
03/15/2043 | 3.900% | 1,252,000 | 1,002,448 | |
Xcel Energy, Inc. | ||||
12/01/2049 | 3.500% | 11,550,000 | 9,173,156 | |
Total | 96,956,145 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Environmental 0.4% | ||||
GFL Environmental, Inc.(a) | ||||
09/01/2028 | 3.500% | 5,905,000 | 5,119,905 | |
Waste Connections, Inc. | ||||
01/15/2052 | 2.950% | 2,312,000 | 1,656,393 | |
Total | 6,776,298 | |||
Food and Beverage 2.6% | ||||
Anheuser-Busch Companies LLC/InBev Worldwide, Inc. | ||||
02/01/2046 | 4.900% | 10,740,000 | 10,129,640 | |
Anheuser-Busch InBev Worldwide, Inc. | ||||
04/15/2058 | 4.750% | 10,457,000 | 9,431,345 | |
Bacardi Ltd.(a) | ||||
05/15/2038 | 5.150% | 9,541,000 | 9,054,332 | |
05/15/2048 | 5.300% | 1,375,000 | 1,291,989 | |
Kraft Heinz Foods Co. | ||||
06/01/2046 | 4.375% | 11,952,000 | 9,956,836 | |
Tyson Foods, Inc. | ||||
06/02/2047 | 4.550% | 1,900,000 | 1,734,565 | |
Total | 41,598,707 | |||
Health Care 2.5% | ||||
Becton Dickinson and Co. | ||||
05/20/2050 | 3.794% | 5,815,000 | 4,804,614 | |
Cigna Corp. | ||||
12/15/2048 | 4.900% | 4,859,000 | 4,665,000 | |
03/15/2050 | 3.400% | 5,985,000 | 4,576,929 | |
CVS Health Corp. | ||||
07/20/2045 | 5.125% | 10,305,000 | 9,948,206 | |
03/25/2048 | 5.050% | 490,000 | 468,809 | |
HCA, Inc.(a) | ||||
03/15/2052 | 4.625% | 11,934,000 | 9,547,719 | |
New York and Presbyterian Hospital (The) | ||||
08/01/2036 | 3.563% | 3,425,000 | 3,123,167 | |
Thermo Fisher Scientific, Inc. | ||||
10/15/2041 | 2.800% | 2,850,000 | 2,235,236 | |
Total | 39,369,680 | |||
Healthcare Insurance 1.8% | ||||
Aetna, Inc. | ||||
08/15/2047 | 3.875% | 4,360,000 | 3,602,245 | |
Anthem, Inc. | ||||
08/15/2044 | 4.650% | 3,500,000 | 3,316,804 | |
Centene Corp. | ||||
12/15/2029 | 4.625% | 2,197,000 | 2,048,675 | |
02/15/2030 | 3.375% | 3,679,000 | 3,120,100 | |
08/01/2031 | 2.625% | 2,650,000 | 2,126,625 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2022 | 7 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
UnitedHealth Group, Inc. | ||||
08/15/2039 | 3.500% | 3,760,000 | 3,279,536 | |
05/15/2041 | 3.050% | 12,313,000 | 9,953,241 | |
05/15/2062 | 4.950% | 1,134,000 | 1,149,210 | |
Total | 28,596,436 | |||
Independent Energy 0.5% | ||||
Canadian Natural Resources Ltd. | ||||
02/15/2037 | 6.500% | 2,580,000 | 2,757,583 | |
ConocoPhillips Co. | ||||
11/15/2044 | 4.300% | 2,890,000 | 2,656,048 | |
Occidental Petroleum Corp. | ||||
04/15/2046 | 4.400% | 528,000 | 427,685 | |
08/15/2049 | 4.400% | 2,437,000 | 1,950,938 | |
Total | 7,792,254 | |||
Integrated Energy 0.8% | ||||
BP Capital Markets America, Inc. | ||||
03/17/2052 | 3.001% | 1,780,000 | 1,285,623 | |
Cenovus Energy, Inc. | ||||
02/15/2052 | 3.750% | 6,384,000 | 4,855,694 | |
Shell International Finance BV | ||||
11/26/2041 | 2.875% | 7,684,000 | 5,946,266 | |
Total Capital International SA | ||||
06/29/2060 | 3.386% | 1,315,000 | 1,008,146 | |
Total | 13,095,729 | |||
Life Insurance 2.2% | ||||
Guardian Life Insurance Co. of America (The)(a) | ||||
Subordinated | ||||
06/19/2064 | 4.875% | 3,770,000 | 3,650,780 | |
Massachusetts Mutual Life Insurance Co.(a) | ||||
Subordinated | ||||
10/15/2070 | 3.729% | 6,405,000 | 4,708,150 | |
Metropolitan Life Global Funding I(a) | ||||
01/07/2031 | 1.550% | 7,105,000 | 5,666,671 | |
New York Life Insurance Co.(a) | ||||
Subordinated | ||||
05/15/2050 | 3.750% | 5,359,000 | 4,383,928 | |
Northwestern Mutual Life Insurance Co. (The)(a) | ||||
Subordinated | ||||
09/30/2059 | 3.625% | 9,583,000 | 7,184,988 | |
Teachers Insurance & Annuity Association of America(a) | ||||
Subordinated | ||||
09/15/2044 | 4.900% | 710,000 | 690,461 | |
05/15/2050 | 3.300% | 8,870,000 | 6,858,663 | |
Voya Financial, Inc. | ||||
06/15/2046 | 4.800% | 2,005,000 | 1,842,266 | |
Total | 34,985,907 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Media and Entertainment 2.0% | ||||
Magallanes, Inc.(a) | ||||
03/15/2062 | 5.391% | 17,065,000 | 14,311,775 | |
Netflix, Inc.(a) | ||||
11/15/2029 | 5.375% | 10,080,000 | 9,527,610 | |
Walt Disney Co. (The) | ||||
09/15/2044 | 4.750% | 8,657,000 | 8,444,990 | |
Total | 32,284,375 | |||
Midstream 2.2% | ||||
Enterprise Products Operating LLC | ||||
03/15/2044 | 4.850% | 2,314,000 | 2,102,078 | |
01/31/2060 | 3.950% | 5,523,000 | 4,350,557 | |
Kinder Morgan Energy Partners LP | ||||
03/01/2043 | 5.000% | 1,345,000 | 1,177,184 | |
Kinder Morgan, Inc. | ||||
02/15/2046 | 5.050% | 8,890,000 | 7,944,744 | |
MPLX LP | ||||
04/15/2048 | 4.700% | 1,427,000 | 1,198,824 | |
03/14/2052 | 4.950% | 3,596,000 | 3,110,180 | |
Plains All American Pipeline LP/Finance Corp. | ||||
06/15/2044 | 4.700% | 7,315,000 | 5,792,576 | |
Western Gas Partners LP | ||||
08/15/2048 | 5.500% | 1,530,000 | 1,254,060 | |
Williams Companies, Inc. (The) | ||||
06/24/2044 | 5.750% | 7,165,000 | 7,191,138 | |
Total | 34,121,341 | |||
Natural Gas 0.9% | ||||
NiSource, Inc. | ||||
02/15/2043 | 5.250% | 1,575,000 | 1,528,127 | |
02/15/2044 | 4.800% | 3,351,000 | 3,019,086 | |
05/15/2047 | 4.375% | 6,804,000 | 5,986,949 | |
Sempra Energy | ||||
02/01/2048 | 4.000% | 3,650,000 | 3,022,806 | |
Total | 13,556,968 | |||
Pharmaceuticals 2.5% | ||||
AbbVie, Inc. | ||||
11/06/2042 | 4.400% | 5,075,000 | 4,613,822 | |
06/15/2044 | 4.850% | 8,291,000 | 7,949,718 | |
11/14/2048 | 4.875% | 884,000 | 851,795 | |
11/21/2049 | 4.250% | 1,779,000 | 1,576,851 | |
Amgen, Inc. | ||||
02/22/2062 | 4.400% | 13,820,000 | 12,018,396 | |
Bristol-Myers Squibb Co. | ||||
03/15/2062 | 3.900% | 5,117,000 | 4,401,933 |
8 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Gilead Sciences, Inc. | ||||
10/01/2040 | 2.600% | 6,300,000 | 4,621,801 | |
10/01/2050 | 2.800% | 4,580,000 | 3,205,114 | |
Total | 39,239,430 | |||
Property & Casualty 0.9% | ||||
Berkshire Hathaway Finance Corp. | ||||
03/15/2052 | 3.850% | 12,730,000 | 10,894,596 | |
Liberty Mutual Group, Inc.(a) | ||||
10/15/2050 | 3.951% | 4,435,000 | 3,369,453 | |
Total | 14,264,049 | |||
Railroads 0.8% | ||||
Canadian Pacific Railway Co. | ||||
12/02/2051 | 3.100% | 1,698,000 | 1,251,012 | |
CSX Corp. | ||||
11/01/2046 | 3.800% | 8,888,000 | 7,514,391 | |
Norfolk Southern Corp. | ||||
08/15/2052 | 4.050% | 4,725,000 | 4,114,903 | |
Total | 12,880,306 | |||
Restaurants 0.3% | ||||
McDonald’s Corp. | ||||
09/01/2049 | 3.625% | 5,450,000 | 4,467,953 | |
Retailers 1.1% | ||||
Amazon.com, Inc. | ||||
04/13/2062 | 4.100% | 9,325,000 | 8,437,875 | |
Lowe’s Companies, Inc. | ||||
04/01/2062 | 4.450% | 11,366,000 | 9,713,375 | |
Total | 18,151,250 | |||
Supermarkets 0.0% | ||||
Kroger Co. (The) | ||||
02/01/2047 | 4.450% | 820,000 | 743,160 | |
Technology 3.3% | ||||
Apple, Inc. | ||||
02/09/2045 | 3.450% | 5,375,000 | 4,683,325 | |
Broadcom, Inc.(a) | ||||
11/15/2036 | 3.187% | 10,137,000 | 7,699,988 | |
Fidelity National Information Services, Inc. | ||||
03/01/2041 | 3.100% | 1,670,000 | 1,221,363 | |
Intel Corp. | ||||
08/12/2051 | 3.050% | 8,795,000 | 6,549,250 | |
MSCI, Inc.(a) | ||||
11/01/2031 | 3.625% | 5,850,000 | 4,854,475 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
NXP BV/Funding LLC/USA, Inc. | ||||
05/01/2030 | 3.400% | 1,255,000 | 1,117,988 | |
01/15/2033 | 5.000% | 2,156,000 | 2,106,971 | |
02/15/2042 | 3.125% | 3,530,000 | 2,585,573 | |
Oracle Corp. | ||||
07/08/2034 | 4.300% | 8,105,000 | 7,109,774 | |
07/15/2046 | 4.000% | 2,500,000 | 1,854,924 | |
04/01/2050 | 3.600% | 10,976,000 | 7,660,327 | |
03/25/2061 | 4.100% | 1,518,000 | 1,087,635 | |
VeriSign, Inc. | ||||
06/15/2031 | 2.700% | 3,740,000 | 3,012,233 | |
Total | 51,543,826 | |||
Tobacco 0.2% | ||||
BAT Capital Corp. | ||||
08/15/2047 | 4.540% | 3,520,000 | 2,586,491 | |
Transportation Services 0.2% | ||||
FedEx Corp. | ||||
11/15/2045 | 4.750% | 4,060,000 | 3,728,021 | |
04/01/2046 | 4.550% | 220,000 | 197,170 | |
Total | 3,925,191 | |||
Wireless 1.2% | ||||
American Tower Corp. | ||||
06/15/2030 | 2.100% | 7,470,000 | 5,968,480 | |
Crown Castle International Corp. | ||||
01/15/2051 | 3.250% | 1,340,000 | 963,081 | |
T-Mobile USA, Inc. | ||||
04/15/2029 | 3.375% | 5,000 | 4,376 | |
04/15/2050 | 4.500% | 1,670,000 | 1,483,703 | |
T-Mobile USA, Inc.(a) | ||||
10/15/2052 | 3.400% | 6,206,000 | 4,576,884 | |
11/15/2060 | 3.600% | 3,540,000 | 2,580,045 | |
Vodafone Group PLC | ||||
02/19/2043 | 4.375% | 3,205,000 | 2,784,139 | |
Total | 18,360,708 | |||
Wirelines 2.6% | ||||
AT&T, Inc. | ||||
09/15/2055 | 3.550% | 189,000 | 141,639 | |
12/01/2057 | 3.800% | 30,678,000 | 23,792,708 | |
Telefonica Emisiones SAU | ||||
03/06/2048 | 4.895% | 6,755,000 | 5,776,722 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2022 | 9 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Verizon Communications, Inc. | ||||
03/22/2041 | 3.400% | 7,916,000 | 6,442,405 | |
03/22/2051 | 3.550% | 5,290,000 | 4,241,249 | |
Total | 40,394,723 | |||
Total Corporate Bonds & Notes (Cost $1,010,013,001) | 827,034,778 | |||
Foreign Government Obligations(d) 0.8% | ||||
Mexico 0.8% | ||||
Mexico Government International Bond | ||||
08/14/2041 | 4.280% | 16,440,000 | 12,994,920 | |
Total Foreign Government Obligations (Cost $16,501,663) | 12,994,920 | |||
U.S. Treasury Obligations 43.4% | ||||
U.S. Treasury | ||||
02/15/2036 | 4.500% | 37,500,000 | 44,074,219 | |
05/15/2038 | 4.500% | 30,000,000 | 35,357,812 | |
02/15/2039 | 3.500% | 49,000,000 | 51,166,719 | |
08/15/2040 | 3.875% | 10,000,000 | 10,775,000 | |
02/15/2041 | 4.750% | 8,000,000 | 9,632,500 | |
05/15/2041 | 4.375% | 25,383,000 | 29,063,535 | |
05/15/2042 | 3.250% | 22,558,700 | 22,019,406 | |
05/15/2043 | 2.875% | 17,600,000 | 16,035,250 | |
08/15/2044 | 3.125% | 16,500,000 | 15,628,594 | |
11/15/2044 | 3.000% | 10,000,000 | 9,262,500 | |
11/15/2045 | 3.000% | 12,000,000 | 11,150,625 | |
11/15/2047 | 2.750% | 20,750,000 | 18,584,219 | |
02/15/2048 | 3.000% | 101,200,000 | 95,349,375 |
U.S. Treasury Obligations (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
08/15/2049 | 2.250% | 495,000 | 406,132 | |
02/15/2050 | 2.000% | 2,900,000 | 2,247,500 | |
05/15/2050 | 1.250% | 22,250,000 | 14,153,086 | |
08/15/2050 | 1.375% | 19,610,000 | 12,905,831 | |
11/15/2050 | 1.625% | 24,800,000 | 17,437,500 | |
02/15/2051 | 1.875% | 22,000,000 | 16,503,437 | |
05/15/2051 | 2.375% | 2,600,000 | 2,194,969 | |
05/15/2052 | 2.875% | 102,497,900 | 96,796,454 | |
U.S. Treasury(e) | ||||
05/15/2047 | 3.000% | 122,157,900 | 114,179,462 | |
U.S. Treasury(f) | ||||
STRIPS | ||||
02/15/2040 | 0.000% | 38,410,800 | 21,885,154 | |
11/15/2041 | 0.000% | 13,661,000 | 7,003,931 | |
05/15/2043 | 0.000% | 19,069,000 | 9,145,671 | |
Total U.S. Treasury Obligations (Cost $728,929,652) | 682,958,881 |
Money Market Funds 2.2% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.247%(g),(h) | 35,412,291 | 35,391,044 |
Total Money Market Funds (Cost $35,392,257) | 35,391,044 | |
Total Investments in Securities (Cost: $1,803,933,029) | 1,571,031,963 | |
Other Assets & Liabilities, Net | 4,284,169 | |
Net Assets | 1,575,316,132 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Long Bond | 1,547 | 09/2022 | USD | 214,452,875 | — | (1,119,182) |
U.S. Ultra Treasury Bond | 81 | 09/2022 | USD | 12,501,844 | 89,154 | — |
Total | 89,154 | (1,119,182) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 10-Year Note | (840) | 09/2022 | USD | (99,566,250) | 388,159 | — |
U.S. Treasury 5-Year Note | (29) | 09/2022 | USD | (3,255,250) | 33,260 | — |
U.S. Treasury Ultra 10-Year Note | (611) | 09/2022 | USD | (77,826,125) | 399,100 | — |
Total | 820,519 | — |
10 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
(a) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At June 30, 2022, the total value of these securities amounted to $129,417,038, which represents 8.22% of total net assets. |
(b) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of June 30, 2022. |
(c) | Variable rate security. The interest rate shown was the current rate as of June 30, 2022. |
(d) | Principal and interest may not be guaranteed by a governmental entity. |
(e) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(f) | Zero coupon bond. |
(g) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
(h) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 1.247% | ||||||||
40,772,963 | 248,288,528 | (253,672,430) | 1,983 | 35,391,044 | (16,189) | 125,599 | 35,412,291 |
LIBOR | London Interbank Offered Rate |
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.). |
■ | 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 – Long Government/Credit Bond Fund | Semiannual Report 2022 | 11 |
June 30, 2022 (Unaudited)
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Asset-Backed Securities — Agency | — | 12,652,340 | — | 12,652,340 |
Corporate Bonds & Notes | — | 827,034,778 | — | 827,034,778 |
Foreign Government Obligations | — | 12,994,920 | — | 12,994,920 |
U.S. Treasury Obligations | 644,924,125 | 38,034,756 | — | 682,958,881 |
Money Market Funds | 35,391,044 | — | — | 35,391,044 |
Total Investments in Securities | 680,315,169 | 890,716,794 | — | 1,571,031,963 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 909,673 | — | — | 909,673 |
Liability | ||||
Futures Contracts | (1,119,182) | — | — | (1,119,182) |
Total | 680,105,660 | 890,716,794 | — | 1,570,822,454 |
12 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,768,540,772) | $1,535,640,919 |
Affiliated issuers (cost $35,392,257) | 35,391,044 |
Receivable for: | |
Investments sold | 13,146,928 |
Dividends | 33,116 |
Interest | 14,329,478 |
Foreign tax reclaims | 29,778 |
Variation margin for futures contracts | 2,775,615 |
Prepaid expenses | 12,052 |
Trustees’ deferred compensation plan | 121,712 |
Total assets | 1,601,480,642 |
Liabilities | |
Payable for: | |
Investments purchased | 24,174,994 |
Capital shares purchased | 141,927 |
Variation margin for futures contracts | 1,651,387 |
Management services fees | 21,086 |
Distribution and/or service fees | 87 |
Service fees | 854 |
Compensation of board members | 21,177 |
Other expenses | 31,286 |
Trustees’ deferred compensation plan | 121,712 |
Total liabilities | 26,164,510 |
Net assets applicable to outstanding capital stock | $1,575,316,132 |
Represented by | |
Paid in capital | 1,796,261,495 |
Total distributable earnings (loss) | (220,945,363) |
Total - representing net assets applicable to outstanding capital stock | $1,575,316,132 |
Class 1 | |
Net assets | $1,562,522,160 |
Shares outstanding | 179,108,202 |
Net asset value per share | $8.72 |
Class 2 | |
Net assets | $12,793,972 |
Shares outstanding | 1,473,619 |
Net asset value per share | $8.68 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2022 | 13 |
Six Months Ended June 30, 2022 (Unaudited)
Net investment income | |
Income: | |
Dividends — affiliated issuers | $125,599 |
Interest | 27,893,209 |
Total income | 28,018,808 |
Expenses: | |
Management services fees | 4,165,540 |
Distribution and/or service fees | |
Class 2 | 19,069 |
Service fees | 4,791 |
Compensation of board members | 16,002 |
Custodian fees | 6,940 |
Printing and postage fees | 6,225 |
Audit fees | 19,642 |
Legal fees | 14,169 |
Interest on collateral | 866 |
Compensation of chief compliance officer | 247 |
Other | 13,500 |
Total expenses | 4,266,991 |
Net investment income | 23,751,817 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (51,932,376) |
Investments — affiliated issuers | (16,189) |
Foreign currency translations | (197) |
Futures contracts | (26,670,217) |
Net realized loss | (78,618,979) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (379,555,610) |
Investments — affiliated issuers | 1,983 |
Futures contracts | (1,129,554) |
Net change in unrealized appreciation (depreciation) | (380,683,181) |
Net realized and unrealized loss | (459,302,160) |
Net decrease in net assets resulting from operations | $(435,550,343) |
14 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2022 |
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | |
Operations | ||
Net investment income | $23,751,817 | $44,988,577 |
Net realized gain (loss) | (78,618,979) | 41,755,636 |
Net change in unrealized appreciation (depreciation) | (380,683,181) | (129,601,629) |
Net decrease in net assets resulting from operations | (435,550,343) | (42,857,416) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | — | (135,589,361) |
Class 2 | — | (1,313,978) |
Total distributions to shareholders | — | (136,903,339) |
Increase in net assets from capital stock activity | 31,090,631 | 382,998,483 |
Total increase (decrease) in net assets | (404,459,712) | 203,237,728 |
Net assets at beginning of period | 1,979,775,844 | 1,776,538,116 |
Net assets at end of period | $1,575,316,132 | $1,979,775,844 |
Six Months Ended | Year Ended | |||
June 30, 2022 (Unaudited) | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 4,467,161 | 39,169,808 | 35,337,035 | 407,096,137 |
Distributions reinvested | — | — | 12,041,684 | 135,589,361 |
Redemptions | (553,807) | (5,674,994) | (13,308,181) | (152,760,735) |
Net increase | 3,913,354 | 33,494,814 | 34,070,538 | 389,924,763 |
Class 2 | ||||
Subscriptions | 83,629 | 811,865 | 164,343 | 1,884,931 |
Distributions reinvested | — | — | 117,006 | 1,313,978 |
Redemptions | (330,302) | (3,216,048) | (890,100) | (10,125,189) |
Net decrease | (246,673) | (2,404,183) | (608,751) | (6,926,280) |
Total net increase | 3,666,681 | 31,090,631 | 33,461,787 | 382,998,483 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2022 | 15 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | |||||||
Six Months Ended 6/30/2022 (Unaudited) | $11.19 | 0.13 | (2.60) | (2.47) | — | — | — |
Year Ended 12/31/2021 | $12.38 | 0.26 | (0.65) | (0.39) | (0.24) | (0.56) | (0.80) |
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) |
Class 2 | |||||||
Six Months Ended 6/30/2022 (Unaudited) | $11.15 | 0.12 | (2.59) | (2.47) | — | — | — |
Year Ended 12/31/2021 | $12.34 | 0.24 | (0.66) | (0.42) | (0.21) | (0.56) | (0.77) |
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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Annualized. |
(d) | Ratios include interest on collateral expense which is less than 0.01%. |
16 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2022 (Unaudited) | $8.72 | (22.07%) | 0.50%(c),(d) | 0.50%(c),(d) | 2.80%(c) | 31% | $1,562,522 |
Year Ended 12/31/2021 | $11.19 | (3.21%) | 0.50%(d) | 0.50%(d) | 2.32% | 48% | $1,960,592 |
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 |
Class 2 | |||||||
Six Months Ended 6/30/2022 (Unaudited) | $8.68 | (22.15%) | 0.75%(c),(d) | 0.75%(c),(d) | 2.53%(c) | 31% | $12,794 |
Year Ended 12/31/2021 | $11.15 | (3.47%) | 0.75%(d) | 0.75%(d) | 2.07% | 48% | $19,183 |
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% | $16,156 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2022 | 17 |
June 30, 2022 (Unaudited)
18 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2022 | 19 |
June 30, 2022 (Unaudited)
20 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 909,673* |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 1,119,182* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Interest rate risk | (26,670,217) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Interest rate risk | (1,129,554) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 252,335,891 |
Futures contracts — short | 179,045,860 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2022. |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2022 | 21 |
June 30, 2022 (Unaudited)
22 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2022 | 23 |
June 30, 2022 (Unaudited)
Fee rate(s) contractual through April 30, 2023 | |
Class 1 | 0.54% |
Class 2 | 0.79 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
1,803,933,000 | 1,602,000 | (234,713,000) | (233,111,000) |
24 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2022 | 25 |
June 30, 2022 (Unaudited)
26 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2022 | 27 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
28 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2022 |
(Unaudited)
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | Terms of the Management Agreement; |
• | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
• | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
• | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2022 | 29 |
(Unaudited)
into account the organization and strength of the Fund’s and its service providers’ compliance programs. The Board also reviewed the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
30 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2022 |
(Unaudited)
considered 2020 profitability and that the 2022 information showed that the profitability generated by the Investment Manager in 2021 increased from 2020 levels, due to a variety of factors, including the increased assets under management of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager or its affiliates in connection with managing or distributing the Funds, such as the enhanced ability to offer various other financial products to Ameriprise Financial customers, soft dollar benefits and overall reputational advantages. The Board noted that the fees paid by the Fund should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate profit. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2022 | 31 |
June 30, 2022 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2022) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 01/01/89 | -38.87 | -44.92 | 9.71 | 11.42 | |
Class 2 | 06/01/00 | -38.95 | -45.06 | 9.44 | 11.13 | |
Russell 2000 Growth Index | -29.45 | -33.43 | 4.80 | 9.30 |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2022) | |
Common Stocks | 94.9 |
Money Market Funds | 5.1 |
Total | 100.0 |
Equity sector breakdown (%) (at June 30, 2022) | |
Consumer Discretionary | 17.3 |
Consumer Staples | 2.9 |
Energy | 3.6 |
Financials | 1.8 |
Health Care | 31.4 |
Industrials | 21.4 |
Information Technology | 19.6 |
Materials | 2.0 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2022 |
(Unaudited)
January 1, 2022 — June 30, 2022 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 611.30 | 1,020.43 | 3.52 | 4.41 | 0.88 |
Class 2 | 1,000.00 | 1,000.00 | 610.50 | 1,019.19 | 4.51 | 5.66 | 1.13 |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2022 | 5 |
June 30, 2022 (Unaudited)
Common Stocks 95.2% | ||
Issuer | Shares | Value ($) |
Consumer Discretionary 16.5% | ||
Hotels, Restaurants & Leisure 11.1% | ||
Caesars Entertainment, Inc.(a) | 47,642 | 1,824,689 |
Churchill Downs, Inc. | 7,528 | 1,441,838 |
Kura Sushi USA, Inc., Class A(a) | 12,618 | 624,970 |
Papa John’s International, Inc. | 80,894 | 6,756,267 |
Planet Fitness, Inc., Class A(a) | 161,845 | 11,007,078 |
SeaWorld Entertainment, Inc.(a) | 58,768 | 2,596,370 |
Texas Roadhouse, Inc. | 38,707 | 2,833,352 |
Total | 27,084,564 | |
Internet & Direct Marketing Retail 0.8% | ||
Xometry, Inc., Class A(a) | 56,071 | 1,902,489 |
Specialty Retail 4.6% | ||
Asbury Automotive Group, Inc.(a) | 8,626 | 1,460,727 |
Five Below, Inc.(a) | 10,366 | 1,175,815 |
Floor & Decor Holdings, Inc.(a) | 59,822 | 3,766,393 |
Leslie’s, Inc.(a) | 146,076 | 2,217,434 |
Lithia Motors, Inc., Class A | 9,359 | 2,571,947 |
Total | 11,192,316 | |
Total Consumer Discretionary | 40,179,369 | |
Consumer Staples 2.8% | ||
Food & Staples Retailing 2.8% | ||
BJ’s Wholesale Club Holdings, Inc.(a) | 109,610 | 6,830,895 |
Total Consumer Staples | 6,830,895 | |
Energy 3.4% | ||
Oil, Gas & Consumable Fuels 3.4% | ||
Antero Resources Corp.(a) | 65,906 | 2,020,019 |
Matador Resources Co. | 26,390 | 1,229,510 |
Northern Oil and Gas, Inc. | 204,866 | 5,174,915 |
Total | 8,424,444 | |
Total Energy | 8,424,444 | |
Financials 1.7% | ||
Banks 0.5% | ||
Triumph Bancorp, Inc.(a) | 18,451 | 1,154,294 |
Capital Markets 1.0% | ||
Open Lending Corp., Class A(a) | 236,426 | 2,418,638 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Insurance 0.2% | ||
Goosehead Insurance, Inc., Class A | 12,792 | 584,211 |
Total Financials | 4,157,143 | |
Health Care 29.9% | ||
Biotechnology 3.9% | ||
Arrowhead Pharmaceuticals, Inc.(a) | 39,848 | 1,403,048 |
Intellia Therapeutics, Inc.(a) | 20,968 | 1,085,304 |
Iovance Biotherapeutics, Inc.(a) | 82,283 | 908,404 |
IVERIC bio, Inc.(a) | 969 | 9,322 |
Natera, Inc.(a) | 99,402 | 3,522,807 |
Revolution Medicines, Inc.(a) | 65,382 | 1,274,295 |
Vericel Corp.(a) | 55,173 | 1,389,256 |
Total | 9,592,436 | |
Health Care Equipment & Supplies 6.1% | ||
Axonics, Inc.(a) | 136,096 | 7,712,560 |
BioLife Solutions, Inc.(a) | 109,761 | 1,515,800 |
Heska Corp.(a) | 59,634 | 5,636,009 |
Total | 14,864,369 | |
Health Care Providers & Services 7.9% | ||
Addus HomeCare Corp.(a) | 45,467 | 3,786,492 |
Amedisys, Inc.(a) | 44,486 | 4,676,368 |
Chemed Corp. | 23,053 | 10,820,848 |
Total | 19,283,708 | |
Health Care Technology 4.2% | ||
Doximity, Inc., Class A(a) | 132,428 | 4,611,143 |
Inspire Medical Systems, Inc.(a) | 23,868 | 4,359,967 |
Sharecare, Inc.(a) | 716,791 | 1,132,530 |
Total | 10,103,640 | |
Life Sciences Tools & Services 7.8% | ||
Bio-Techne Corp. | 22,797 | 7,902,352 |
Caris Life Sciences, Inc.(a),(b),(c),(d) | 308,642 | 771,605 |
Codexis, Inc.(a) | 166,717 | 1,743,860 |
DNA Script(a),(b),(c),(d) | 1,585 | 634,652 |
6 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Olink Holding AB ADR(a) | 82,009 | 1,246,537 |
Repligen Corp.(a) | 41,841 | 6,794,978 |
Total | 19,093,984 | |
Total Health Care | 72,938,137 | |
Industrials 20.3% | ||
Aerospace & Defense 2.5% | ||
Aerojet Rocketdyne Holdings, Inc.(a) | 64,802 | 2,630,961 |
Axon Enterprise, Inc.(a) | 38,574 | 3,593,940 |
Total | 6,224,901 | |
Air Freight & Logistics 1.0% | ||
GXO Logistics, Inc.(a) | 55,860 | 2,417,062 |
Building Products 4.3% | ||
Advanced Drainage Systems, Inc. | 67,452 | 6,075,401 |
Simpson Manufacturing Co., Inc. | 43,188 | 4,345,145 |
Total | 10,420,546 | |
Machinery 9.3% | ||
Evoqua Water Technologies Corp.(a) | 179,902 | 5,848,614 |
Helios Technologies, Inc. | 76,152 | 5,045,070 |
Hillman Solutions Corp.(a) | 557,393 | 4,815,876 |
Kornit Digital Ltd.(a) | 106,559 | 3,377,920 |
RBC Bearings, Inc.(a) | 19,767 | 3,655,907 |
Total | 22,743,387 | |
Trading Companies & Distributors 3.2% | ||
Ferguson PLC | 11,357 | 1,257,333 |
SiteOne Landscape Supply, Inc.(a) | 55,172 | 6,558,296 |
Total | 7,815,629 | |
Total Industrials | 49,621,525 | |
Information Technology 18.7% | ||
Electronic Equipment, Instruments & Components 0.3% | ||
908 Devices, Inc.(a) | 32,551 | 670,225 |
IT Services 2.9% | ||
DigitalOcean Holdings, Inc.(a) | 128,091 | 5,297,844 |
Flywire Corp.(a) | 96,920 | 1,708,699 |
Total | 7,006,543 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Semiconductors & Semiconductor Equipment 3.7% | ||
Onto Innovation, Inc.(a) | 90,965 | 6,343,899 |
SiTime Corp.(a) | 16,864 | 2,749,338 |
Total | 9,093,237 | |
Software 11.8% | ||
Avalara, Inc.(a) | 83,365 | 5,885,569 |
Bill.com Holdings, Inc.(a) | 41,449 | 4,556,903 |
Five9, Inc.(a) | 76,141 | 6,939,491 |
LiveVox Holdings, Inc.(a) | 405,245 | 672,707 |
Paylocity Holding Corp.(a) | 29,584 | 5,160,041 |
Stronghold Digital Mining, Inc., Class A(a) | 83,086 | 137,923 |
Workiva, Inc., Class A(a) | 82,287 | 5,430,119 |
Total | 28,782,753 | |
Total Information Technology | 45,552,758 | |
Materials 1.9% | ||
Chemicals 1.9% | ||
Livent Corp.(a) | 201,188 | 4,564,956 |
Total Materials | 4,564,956 | |
Total Common Stocks (Cost $291,412,772) | 232,269,227 | |
Money Market Funds 5.1% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.247%(e),(f) | 12,508,279 | 12,500,774 |
Total Money Market Funds (Cost $12,501,404) | 12,500,774 | |
Total Investments in Securities (Cost: $303,914,176) | 244,770,001 | |
Other Assets & Liabilities, Net | (817,088) | |
Net Assets | 243,952,913 |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2022 | 7 |
June 30, 2022 (Unaudited)
(a) | Non-income producing investment. |
(b) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At June 30, 2022, the total value of these securities amounted to $1,406,257, which represents 0.58% of total net assets. |
(c) | Denotes a restricted security, which is subject to legal or contractual restrictions on resale under federal securities laws. Disposal of a restricted investment may involve time-consuming negotiations and expenses, and prompt sale at an acceptable price may be difficult to achieve. Private placement securities are generally considered to be restricted, although certain of those securities may be traded between qualified institutional investors under the provisions of Section 4(a)(2) and Rule 144A. The Fund will not incur any registration costs upon such a trade. These securities are valued at fair value determined in good faith under consistently applied procedures established by the Fund’s Board of Trustees. At June 30, 2022, the total market value of these securities amounted to $1,406,257, which represents 0.58% of total net assets. Additional information on these securities is as follows: |
Security | Acquisition Dates | Shares | Cost ($) | Value ($) |
Caris Life Sciences, Inc. | 05/11/2021 | 308,642 | 2,502,312 | 771,605 |
DNA Script | 10/01/2021 | 1,585 | 1,382,080 | 634,652 |
3,884,392 | 1,406,257 |
(d) | Valuation based on significant unobservable inputs. |
(e) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
(f) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 1.247% | ||||||||
12,081,400 | 61,791,959 | (61,372,586) | 1 | 12,500,774 | (5,557) | 29,349 | 12,508,279 |
ADR | American Depositary Receipt |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
8 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Consumer Discretionary | 40,179,369 | — | — | 40,179,369 |
Consumer Staples | 6,830,895 | — | — | 6,830,895 |
Energy | 8,424,444 | — | — | 8,424,444 |
Financials | 4,157,143 | — | — | 4,157,143 |
Health Care | 71,531,880 | — | 1,406,257 | 72,938,137 |
Industrials | 49,621,525 | — | — | 49,621,525 |
Information Technology | 45,552,758 | — | — | 45,552,758 |
Materials | 4,564,956 | — | — | 4,564,956 |
Total Common Stocks | 230,862,970 | — | 1,406,257 | 232,269,227 |
Money Market Funds | 12,500,774 | — | — | 12,500,774 |
Total Investments in Securities | 243,363,744 | — | 1,406,257 | 244,770,001 |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2022 | 9 |
June 30, 2022 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $291,412,772) | $232,269,227 |
Affiliated issuers (cost $12,501,404) | 12,500,774 |
Receivable for: | |
Dividends | 52,359 |
Expense reimbursement due from Investment Manager | 354 |
Prepaid expenses | 4,387 |
Trustees’ deferred compensation plan | 65,311 |
Total assets | 244,892,412 |
Liabilities | |
Payable for: | |
Investments purchased | 802,708 |
Capital shares purchased | 2,659 |
Management services fees | 5,907 |
Distribution and/or service fees | 1 |
Service fees | 4,498 |
Compensation of board members | 37,502 |
Other expenses | 20,913 |
Trustees’ deferred compensation plan | 65,311 |
Total liabilities | 939,499 |
Net assets applicable to outstanding capital stock | $243,952,913 |
Represented by | |
Paid in capital | 217,626,433 |
Total distributable earnings (loss) | 26,326,480 |
Total - representing net assets applicable to outstanding capital stock | $243,952,913 |
Class 1 | |
Net assets | $243,819,766 |
Shares outstanding | 16,356,135 |
Net asset value per share | $14.91 |
Class 2 | |
Net assets | $133,147 |
Shares outstanding | 9,623 |
Net asset value per share | $13.84 |
10 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2022 |
Six Months Ended June 30, 2022 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $270,272 |
Dividends — affiliated issuers | 29,349 |
Interfund lending | 310 |
Total income | 299,931 |
Expenses: | |
Management services fees | 1,326,806 |
Distribution and/or service fees | |
Class 2 | 595 |
Service fees | 21,259 |
Compensation of board members | 7,269 |
Custodian fees | 5,528 |
Printing and postage fees | 6,620 |
Audit fees | 14,669 |
Legal fees | 6,880 |
Compensation of chief compliance officer | 47 |
Other | 6,734 |
Total expenses | 1,396,407 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (47,334) |
Total net expenses | 1,349,073 |
Net investment loss | (1,049,142) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (25,437,327) |
Investments — affiliated issuers | (5,557) |
Foreign currency translations | 132 |
Net realized loss | (25,442,752) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (129,824,002) |
Investments — affiliated issuers | 1 |
Net change in unrealized appreciation (depreciation) | (129,824,001) |
Net realized and unrealized loss | (155,266,753) |
Net decrease in net assets resulting from operations | $(156,315,895) |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2022 | 11 |
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | |
Operations | ||
Net investment loss | $(1,049,142) | $(3,543,735) |
Net realized gain (loss) | (25,442,752) | 117,963,677 |
Net change in unrealized appreciation (depreciation) | (129,824,001) | (113,263,649) |
Net increase (decrease) in net assets resulting from operations | (156,315,895) | 1,156,293 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | — | (72,117,821) |
Class 2 | — | (179,545) |
Total distributions to shareholders | — | (72,297,366) |
Decrease in net assets from capital stock activity | (3,597,969) | (95,624,356) |
Total decrease in net assets | (159,913,864) | (166,765,429) |
Net assets at beginning of period | 403,866,777 | 570,632,206 |
Net assets at end of period | $243,952,913 | $403,866,777 |
Six Months Ended | Year Ended | |||
June 30, 2022 (Unaudited) | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 19 | 314 | 841,588 | 25,713,118 |
Distributions reinvested | — | — | 2,690,963 | 72,117,821 |
Redemptions | (170,682) | (3,185,295) | (5,986,616) | (192,536,188) |
Net decrease | (170,663) | (3,184,981) | (2,454,065) | (94,705,249) |
Class 2 | ||||
Subscriptions | — | — | 5,273 | 153,257 |
Distributions reinvested | — | — | 7,202 | 179,545 |
Redemptions | (25,694) | (412,988) | (42,389) | (1,251,909) |
Net decrease | (25,694) | (412,988) | (29,914) | (919,107) |
Total net decrease | (196,357) | (3,597,969) | (2,483,979) | (95,624,356) |
12 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2022 |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2022 | 13 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | ||||||
Six Months Ended 6/30/2022 (Unaudited) | $24.39 | (0.06) | (9.42) | (9.48) | — | — |
Year Ended 12/31/2021 | $29.97 | (0.22) | (0.18)(d) | (0.40) | (5.18) | (5.18) |
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) |
Class 2 | ||||||
Six Months Ended 6/30/2022 (Unaudited) | $22.67 | (0.09) | (8.74) | (8.83) | — | — |
Year Ended 12/31/2021 | $28.21 | (0.29) | (0.13)(d) | (0.42) | (5.12) | (5.12) |
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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Annualized. |
(d) | Calculation of the net gain (loss) per share (both realized and unrealized) does not correlate to the aggregate realized and unrealized gain (loss) presented in the Statement of Operations due to the timing of subscriptions and redemptions of Fund shares in relation to fluctuations in the market value of the portfolio. |
14 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2022 (Unaudited) | $14.91 | (38.87%) | 0.92%(c) | 0.88%(c) | (0.69%)(c) | 32% | $243,820 |
Year Ended 12/31/2021 | $24.39 | (2.90%) | 0.91% | 0.90% | (0.76%) | 61% | $403,066 |
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 |
Class 2 | |||||||
Six Months Ended 6/30/2022 (Unaudited) | $13.84 | (38.95%) | 1.15%(c) | 1.13%(c) | (0.95%)(c) | 32% | $133 |
Year Ended 12/31/2021 | $22.67 | (3.13%) | 1.15% | 1.15% | (1.01%) | 61% | $801 |
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% | $540 |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2022 | 15 |
June 30, 2022 (Unaudited)
16 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2022 | 17 |
June 30, 2022 (Unaudited)
18 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
May 1, 2022 through April 30, 2023 | Prior to May 1, 2022 | |
Class 1 | 0.87% | 0.89% |
Class 2 | 1.12 | 1.14 |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2022 | 19 |
June 30, 2022 (Unaudited)
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
303,914,000 | 14,505,000 | (73,649,000) | (59,144,000) |
20 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 2,360,000 | 0.76 | 5 |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2022 | 21 |
June 30, 2022 (Unaudited)
22 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2022 | 23 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
24 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2022 |
(Unaudited)
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | Terms of the Management Agreement; |
• | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
• | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
• | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2022 | 25 |
(Unaudited)
into account the organization and strength of the Fund’s and its service providers’ compliance programs. The Board also reviewed the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
26 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2022 |
(Unaudited)
considered 2020 profitability and that the 2022 information showed that the profitability generated by the Investment Manager in 2021 increased from 2020 levels, due to a variety of factors, including the increased assets under management of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager or its affiliates in connection with managing or distributing the Funds, such as the enhanced ability to offer various other financial products to Ameriprise Financial customers, soft dollar benefits and overall reputational advantages. The Board noted that the fees paid by the Fund should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate profit. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2022 | 27 |
June 30, 2022 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2022) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 07/05/94 | -10.35 | -10.71 | 1.87 | 3.13 | |
Class 2 | 06/01/00 | -10.48 | -10.86 | 1.64 | 2.87 | |
Bloomberg U.S. Aggregate Bond Index | -10.35 | -10.29 | 0.88 | 1.54 | ||
ICE BofA US Cash Pay High Yield Constrained Index | -13.99 | -12.58 | 1.93 | 4.38 | ||
FTSE Non-U.S. World Government Bond (All Maturities) Index - Unhedged | -18.74 | -21.92 | -2.62 | -1.71 | ||
JPMorgan Emerging Markets Bond Index - Global | -18.83 | -19.25 | -1.00 | 2.05 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2022) | |
Asset-Backed Securities — Non-Agency | 4.4 |
Commercial Mortgage-Backed Securities - Non-Agency | 2.8 |
Common Stocks | 0.0(a) |
Convertible Bonds | 0.1 |
Corporate Bonds & Notes | 33.1 |
Foreign Government Obligations | 4.1 |
Money Market Funds | 8.2 |
Options Purchased Calls | 0.7 |
Residential Mortgage-Backed Securities - Agency | 19.5 |
Residential Mortgage-Backed Securities - Non-Agency | 15.6 |
Senior Loans | 6.9 |
U.S. Treasury Obligations | 4.6 |
Total | 100.0 |
(a) | Rounds to zero. |
Quality breakdown (%) (at June 30, 2022) | |
AAA rating | 26.5 |
AA rating | 2.1 |
A rating | 7.4 |
BBB rating | 17.4 |
BB rating | 21.5 |
B rating | 16.0 |
CCC rating | 3.1 |
CC rating | 0.0(a) |
C rating | 0.0(a) |
Not rated | 6.0 |
Total | 100.0 |
(a) | Rounds to zero. |
Market exposure through derivatives investments (% of notional exposure) (at June 30, 2022)(a) | |||
Long | Short | Net | |
Fixed Income Derivative Contracts | 336.1 | (233.8) | 102.3 |
Foreign Currency Derivative Contracts | — | (2.3) | (2.3) |
Total Notional Market Value of Derivative Contracts | 336.1 | (236.1) | 100.0 |
4 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 |
(Unaudited)
January 1, 2022 — June 30, 2022 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 896.50 | 1,021.32 | 3.29 | 3.51 | 0.70 |
Class 2 | 1,000.00 | 1,000.00 | 895.20 | 1,020.08 | 4.46 | 4.76 | 0.95 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 | 5 |
June 30, 2022 (Unaudited)
Asset-Backed Securities — Non-Agency 4.8% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
ARES XLIV CLO Ltd.(a),(b) | ||||
Series 2017-44A Class DR | ||||
3-month USD LIBOR + 6.870% Floor 6.870% 04/15/2034 | 7.914% | 500,000 | 455,428 | |
Bain Capital Credit CLO Ltd.(a),(b) | ||||
Series 2021-5A Class E | ||||
3-month USD LIBOR + 6.500% Floor 6.500% 10/23/2034 | 7.684% | 280,000 | 248,073 | |
Series 2021-6A Class E | ||||
3-month USD LIBOR + 6.500% Floor 6.500% 10/21/2034 | 7.598% | 250,000 | 216,455 | |
Series 2021-7A Class E | ||||
3-month USD LIBOR + 6.750% Floor 6.750% 01/22/2035 | 7.116% | 250,000 | 219,450 | |
Ballyrock CLO Ltd.(a),(b) | ||||
Series 2021-18A Class D | ||||
3-month USD LIBOR + 6.500% Floor 6.500% 01/15/2035 | 6.734% | 250,000 | 216,016 | |
Barings CLO Ltd.(a),(b) | ||||
Series 2021-2A Class E | ||||
3-month USD LIBOR + 6.250% Floor 6.250% 07/15/2034 | 7.294% | 250,000 | 221,197 | |
Carlyle Global Market Strategies CLO Ltd.(a),(b) | ||||
Series 2016-3A Class ERR | ||||
3-month USD LIBOR + 7.000% Floor 7.000% 07/20/2034 | 8.063% | 250,000 | 220,559 | |
Consumer Loan Underlying Bond Credit Trust(a) | ||||
Subordinated Series 2018-P1 Class C | ||||
07/15/2025 | 5.210% | 37,617 | 37,535 | |
FREED ABS Trust(a) | ||||
Subordinated Series 2019-2 Class C | ||||
11/18/2026 | 4.860% | 625,542 | 626,082 | |
Subordinated Series 2021-1CP Class B | ||||
03/20/2028 | 1.410% | 914,686 | 903,919 | |
LendingPoint Asset Securitization Trust(a),(c),(d) | ||||
Subordinated Series 2021-1 Class B | ||||
04/15/2027 | 2.853% | 339,863 | 336,889 | |
Madison Park Funding XXII Ltd.(a),(b) | ||||
Series 2016-22A Class DR | ||||
3-month USD LIBOR + 3.500% Floor 3.500% 01/15/2033 | 4.544% | 400,000 | 371,116 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Octagon 55 Ltd.(a),(b) | ||||
Series 2021-1A Class E | ||||
3-month USD LIBOR + 6.500% Floor 6.500% 07/20/2034 | 7.563% | 300,000 | 260,330 | |
Octagon Investment Partners 48 Ltd.(a),(b) | ||||
Series 2020-3A Class ER | ||||
3-month USD LIBOR + 6.700% Floor 6.700% 10/20/2034 | 7.763% | 250,000 | 219,246 | |
Pagaya AI Debt Selection Trust(a) | ||||
Series 2019-3 Class A | ||||
11/16/2026 | 3.821% | 12,120 | 12,118 | |
Subordinated Series 2020-3 Class C | ||||
05/17/2027 | 6.430% | 1,200,000 | 1,168,228 | |
Subordinated Series 2021-1 Class C | ||||
11/15/2027 | 4.090% | 499,794 | 455,744 | |
Subordinated Series 2021-3 Class C | ||||
05/15/2029 | 3.270% | 299,984 | 277,079 | |
Voya CLO Ltd.(a),(b) | ||||
Series 2021-1A Class E | ||||
3-month USD LIBOR + 6.350% Floor 6.350% 07/15/2034 | 7.394% | 250,000 | 214,703 | |
Series 2021-2A Class E | ||||
3-month USD LIBOR + 6.600% Floor 6.600% 10/20/2034 | 7.663% | 250,000 | 217,805 | |
Total Asset-Backed Securities — Non-Agency (Cost $7,418,331) | 6,897,972 | |||
Commercial Mortgage-Backed Securities - Non-Agency 3.1% | ||||
Braemar Hotels & Resorts Trust(a),(b) | ||||
Series 2018-PRME Class E | ||||
1-month USD LIBOR + 2.400% Floor 2.400% 06/15/2035 | 3.724% | 300,000 | 281,822 | |
Subordinated Series 2018-PRME Class D | ||||
1-month USD LIBOR + 1.800% Floor 1.925% 06/15/2035 | 3.124% | 300,000 | 287,645 | |
CLNY Trust(a),(b) | ||||
Series 2019-IKPR Class E | ||||
1-month USD LIBOR + 2.721% Floor 2.721% 11/15/2038 | 4.045% | 300,000 | 275,951 |
6 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2019-IKPR Class F | ||||
1-month USD LIBOR + 3.417% Floor 3.417% 11/15/2038 | 4.741% | 650,000 | 591,381 | |
COMM Mortgage Trust(a),(e) | ||||
Subordinated Series 2020-CBM Class F | ||||
02/10/2037 | 3.754% | 150,000 | 130,994 | |
Credit Suisse Mortgage Capital Certificates OA LLC(a) | ||||
Subordinated Series 2014-USA Class E | ||||
09/15/2037 | 4.373% | 500,000 | 392,147 | |
Subordinated Series 2014-USA Class F | ||||
09/15/2037 | 4.373% | 400,000 | 286,768 | |
CSMC Trust(a),(e) | ||||
Subordinated Series 2019-UVIL Class E | ||||
12/15/2041 | 3.393% | 600,000 | 452,574 | |
Extended Stay America Trust(a),(b) | ||||
Series 2021-ESH Class D | ||||
1-month USD LIBOR + 2.250% Floor 2.250% 07/15/2038 | 3.125% | 198,777 | 191,806 | |
Morgan Stanley Capital I Trust(a),(e) | ||||
Series 2019-MEAD Class E | ||||
11/10/2036 | 3.283% | 600,000 | 536,259 | |
Progress Residential Trust(a) | ||||
Subordinated Series 2020-SFR2 Class F | ||||
06/18/2037 | 6.152% | 500,000 | 497,254 | |
UBS Commercial Mortgage Trust(a),(b) | ||||
Series 2018-NYCH Class E | ||||
1-month USD LIBOR + 2.900% Floor 3.200% 02/15/2032 | 4.224% | 450,000 | 422,211 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $4,683,963) | 4,346,812 |
Common Stocks —% | ||
Issuer | Shares | Value ($) |
Financials —% | ||
Diversified Financial Services —% | ||
Fairlane Management Corp.(c),(d),(f) | 2,000 | — |
Total Financials | — | |
Total Common Stocks (Cost $—) | — |
Convertible Bonds 0.1% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Cable and Satellite 0.1% | ||||
DISH Network Corp. | ||||
Subordinated | ||||
08/15/2026 | 3.375% | 158,000 | 106,729 | |
Total Convertible Bonds (Cost $148,880) | 106,729 | |||
Corporate Bonds & Notes 36.6% | ||||
Aerospace & Defense 0.8% | ||||
Boeing Co. (The) | ||||
08/01/2059 | 3.950% | 515,000 | 347,716 | |
05/01/2060 | 5.930% | 285,000 | 260,727 | |
Bombardier, Inc.(a) | ||||
04/15/2027 | 7.875% | 113,000 | 94,052 | |
Howmet Aerospace, Inc. | ||||
01/15/2029 | 3.000% | 107,000 | 88,615 | |
TransDigm, Inc.(a) | ||||
12/15/2025 | 8.000% | 70,000 | 70,911 | |
03/15/2026 | 6.250% | 76,000 | 73,439 | |
TransDigm, Inc. | ||||
06/15/2026 | 6.375% | 11,000 | 10,301 | |
11/15/2027 | 5.500% | 251,000 | 213,739 | |
05/01/2029 | 4.875% | 48,000 | 39,019 | |
Total | 1,198,519 | |||
Airlines 0.3% | ||||
Air Canada(a) | ||||
08/15/2026 | 3.875% | 75,000 | 63,659 | |
American Airlines, Inc.(a) | ||||
07/15/2025 | 11.750% | 41,000 | 42,435 | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd.(a) | ||||
04/20/2026 | 5.500% | 153,175 | 141,121 | |
04/20/2029 | 5.750% | 107,995 | 92,206 | |
Hawaiian Brand Intellectual Property Ltd./Miles Loyalty Ltd.(a) | ||||
01/20/2026 | 5.750% | 92,595 | 82,977 | |
United Airlines, Inc.(a) | ||||
04/15/2026 | 4.375% | 33,000 | 29,268 | |
Total | 451,666 | |||
Automotive 0.6% | ||||
American Axle & Manufacturing, Inc. | ||||
04/01/2027 | 6.500% | 8,000 | 7,083 | |
Ford Motor Co. | ||||
02/12/2032 | 3.250% | 133,000 | 99,415 | |
01/15/2043 | 4.750% | 105,000 | 74,846 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 | 7 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Ford Motor Credit Co. LLC | ||||
09/08/2024 | 3.664% | 47,000 | 44,729 | |
06/16/2025 | 5.125% | 113,000 | 107,982 | |
11/13/2025 | 3.375% | 63,000 | 56,721 | |
08/17/2027 | 4.125% | 74,000 | 65,155 | |
02/16/2028 | 2.900% | 22,000 | 17,740 | |
11/13/2030 | 4.000% | 19,000 | 15,404 | |
Goodyear Tire & Rubber Co. (The) | ||||
07/15/2029 | 5.000% | 84,000 | 70,014 | |
IAA Spinco, Inc.(a) | ||||
06/15/2027 | 5.500% | 57,000 | 53,081 | |
KAR Auction Services, Inc.(a) | ||||
06/01/2025 | 5.125% | 130,000 | 122,326 | |
Panther BF Aggregator 2 LP/Finance Co., Inc.(a) | ||||
05/15/2027 | 8.500% | 67,000 | 64,810 | |
Tenneco, Inc.(a) | ||||
01/15/2029 | 7.875% | 40,000 | 38,741 | |
Total | 838,047 | |||
Banking 6.9% | ||||
Bank of America Corp.(g) | ||||
10/22/2030 | 2.884% | 1,010,000 | 883,410 | |
07/23/2031 | 1.898% | 1,000,000 | 800,088 | |
10/20/2032 | 2.572% | 646,000 | 533,040 | |
02/04/2033 | 2.972% | 710,000 | 605,181 | |
Citigroup, Inc.(g) | ||||
01/25/2033 | 3.057% | 785,000 | 666,781 | |
Goldman Sachs Group, Inc. (The)(g) | ||||
07/21/2032 | 2.383% | 1,310,000 | 1,060,303 | |
02/24/2033 | 3.102% | 648,000 | 554,145 | |
HSBC Holdings PLC(g) | ||||
05/24/2032 | 2.804% | 270,000 | 221,664 | |
11/22/2032 | 2.871% | 599,000 | 490,654 | |
JPMorgan Chase & Co.(g) | ||||
04/22/2032 | 2.580% | 1,078,000 | 907,683 | |
11/08/2032 | 2.545% | 1,340,000 | 1,113,375 | |
Morgan Stanley(g) | ||||
07/21/2032 | 2.239% | 212,000 | 172,264 | |
10/20/2032 | 2.511% | 408,000 | 337,839 | |
Subordinated | ||||
04/20/2037 | 5.297% | 215,000 | 208,578 | |
Wells Fargo & Co.(g) | ||||
02/11/2031 | 2.572% | 1,060,000 | 911,362 | |
03/02/2033 | 3.350% | 387,000 | 343,495 | |
Total | 9,809,862 | |||
Brokerage/Asset Managers/Exchanges 0.2% | ||||
AG Issuer LLC(a) | ||||
03/01/2028 | 6.250% | 18,000 | 15,560 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Hightower Holding LLC(a) | ||||
04/15/2029 | 6.750% | 42,000 | 31,619 | |
NFP Corp.(a) | ||||
08/15/2028 | 4.875% | 131,000 | 112,303 | |
08/15/2028 | 6.875% | 156,000 | 129,728 | |
Total | 289,210 | |||
Building Materials 0.4% | ||||
American Builders & Contractors Supply Co., Inc.(a) | ||||
01/15/2028 | 4.000% | 254,000 | 219,184 | |
Beacon Roofing Supply, Inc.(a) | ||||
11/15/2026 | 4.500% | 70,000 | 63,698 | |
05/15/2029 | 4.125% | 26,000 | 21,353 | |
James Hardie International Finance DAC(a) | ||||
01/15/2028 | 5.000% | 66,000 | 59,454 | |
SRS Distribution, Inc.(a) | ||||
07/01/2028 | 4.625% | 75,000 | 65,509 | |
07/01/2029 | 6.125% | 40,000 | 31,523 | |
12/01/2029 | 6.000% | 49,000 | 38,437 | |
White Cap Buyer LLC(a) | ||||
10/15/2028 | 6.875% | 38,000 | 30,443 | |
Total | 529,601 | |||
Cable and Satellite 2.1% | ||||
CCO Holdings LLC/Capital Corp.(a) | ||||
06/01/2029 | 5.375% | 60,000 | 54,667 | |
03/01/2030 | 4.750% | 58,000 | 49,608 | |
08/15/2030 | 4.500% | 76,000 | 63,513 | |
02/01/2031 | 4.250% | 30,000 | 24,636 | |
02/01/2032 | 4.750% | 55,000 | 45,283 | |
CCO Holdings LLC/Capital Corp. | ||||
05/01/2032 | 4.500% | 206,000 | 166,780 | |
Charter Communications Operating LLC/Capital | ||||
05/01/2047 | 5.375% | 140,000 | 119,841 | |
06/30/2062 | 3.950% | 236,000 | 157,299 | |
04/01/2063 | 5.500% | 807,000 | 688,314 | |
CSC Holdings LLC | ||||
06/01/2024 | 5.250% | 16,000 | 14,975 | |
CSC Holdings LLC(a) | ||||
01/15/2030 | 5.750% | 117,000 | 85,119 | |
12/01/2030 | 4.125% | 154,000 | 120,035 | |
12/01/2030 | 4.625% | 69,000 | 46,217 | |
02/15/2031 | 3.375% | 132,000 | 97,950 | |
DIRECTV Holdings LLC/Financing Co., Inc.(a) | ||||
08/15/2027 | 5.875% | 43,000 | 36,685 | |
DISH DBS Corp.(a) | ||||
12/01/2028 | 5.750% | 180,000 | 133,224 | |
DISH DBS Corp. | ||||
06/01/2029 | 5.125% | 197,000 | 119,713 |
8 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Radiate Holdco LLC/Finance, Inc.(a) | ||||
09/15/2026 | 4.500% | 73,000 | 63,043 | |
09/15/2028 | 6.500% | 110,000 | 85,110 | |
Sirius XM Radio, Inc.(a) | ||||
09/01/2026 | 3.125% | 37,000 | 33,080 | |
07/01/2030 | 4.125% | 78,000 | 65,138 | |
Videotron Ltd.(a) | ||||
06/15/2029 | 3.625% | 388,000 | 320,285 | |
Virgin Media Finance PLC(a) | ||||
07/15/2030 | 5.000% | 126,000 | 99,854 | |
VZ Secured Financing BV(a) | ||||
01/15/2032 | 5.000% | 101,000 | 83,830 | |
Ziggo Bond Co. BV(a) | ||||
02/28/2030 | 5.125% | 118,000 | 92,557 | |
Ziggo BV(a) | ||||
01/15/2030 | 4.875% | 137,000 | 116,134 | |
Total | 2,982,890 | |||
Chemicals 0.4% | ||||
Axalta Coating Systems LLC(a) | ||||
02/15/2029 | 3.375% | 56,000 | 45,740 | |
Element Solutions, Inc.(a) | ||||
09/01/2028 | 3.875% | 70,000 | 57,888 | |
HB Fuller Co. | ||||
10/15/2028 | 4.250% | 86,000 | 72,250 | |
Herens Holdco Sarl(a) | ||||
05/15/2028 | 4.750% | 42,000 | 35,024 | |
Illuminate Buyer LLC/Holdings IV, Inc.(a) | ||||
07/01/2028 | 9.000% | 39,000 | 30,930 | |
INEOS Quattro Finance 2 Plc(a) | ||||
01/15/2026 | 3.375% | 22,000 | 18,480 | |
Ingevity Corp.(a) | ||||
11/01/2028 | 3.875% | 46,000 | 38,520 | |
Innophos Holdings, Inc.(a) | ||||
02/15/2028 | 9.375% | 69,000 | 62,871 | |
Iris Holdings, Inc.(a),(h) | ||||
02/15/2026 | 8.750% | 19,000 | 15,578 | |
Olympus Water US Holding Corp.(a) | ||||
10/01/2028 | 4.250% | 63,000 | 49,410 | |
SPCM SA(a) | ||||
03/15/2027 | 3.125% | 4,000 | 3,375 | |
Unifrax Escrow Issuer Corp.(a) | ||||
09/30/2028 | 5.250% | 32,000 | 25,569 | |
WR Grace Holdings LLC(a) | ||||
06/15/2027 | 4.875% | 99,000 | 86,136 | |
08/15/2029 | 5.625% | 119,000 | 87,796 | |
Total | 629,567 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Construction Machinery 0.2% | ||||
H&E Equipment Services, Inc.(a) | ||||
12/15/2028 | 3.875% | 182,000 | 147,087 | |
Herc Holdings, Inc.(a) | ||||
07/15/2027 | 5.500% | 50,000 | 45,762 | |
Ritchie Bros. Auctioneers, Inc.(a) | ||||
01/15/2025 | 5.375% | 18,000 | 17,629 | |
United Rentals North America, Inc. | ||||
01/15/2032 | 3.750% | 19,000 | 15,624 | |
Total | 226,102 | |||
Consumer Cyclical Services 0.4% | ||||
APX Group, Inc.(a) | ||||
07/15/2029 | 5.750% | 14,000 | 10,870 | |
Arches Buyer, Inc.(a) | ||||
06/01/2028 | 4.250% | 72,000 | 58,762 | |
12/01/2028 | 6.125% | 25,000 | 20,406 | |
ASGN, Inc.(a) | ||||
05/15/2028 | 4.625% | 77,000 | 66,259 | |
Staples, Inc.(a) | ||||
04/15/2026 | 7.500% | 132,000 | 109,460 | |
04/15/2027 | 10.750% | 12,000 | 7,943 | |
Uber Technologies, Inc.(a) | ||||
05/15/2025 | 7.500% | 40,000 | 39,880 | |
01/15/2028 | 6.250% | 97,000 | 89,679 | |
08/15/2029 | 4.500% | 164,000 | 134,910 | |
Total | 538,169 | |||
Consumer Products 0.2% | ||||
CD&R Smokey Buyer, Inc.(a) | ||||
07/15/2025 | 6.750% | 60,000 | 53,265 | |
Mattel, Inc. | ||||
10/01/2040 | 6.200% | 40,000 | 38,508 | |
Newell Brands, Inc. | ||||
04/01/2046 | 6.000% | 225,000 | 182,043 | |
Spectrum Brands, Inc. | ||||
07/15/2025 | 5.750% | 38,000 | 37,604 | |
Tempur Sealy International, Inc.(a) | ||||
10/15/2031 | 3.875% | 40,000 | 29,986 | |
Total | 341,406 | |||
Diversified Manufacturing 0.8% | ||||
Carrier Global Corp. | ||||
04/05/2050 | 3.577% | 681,000 | 516,785 | |
GE Capital International Funding Co. Unlimited Co. | ||||
11/15/2035 | 4.418% | 55,000 | 51,476 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 | 9 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
General Electric Co.(b) | ||||
Junior Subordinated | ||||
3-month USD LIBOR + 3.330% 12/31/2049 | 5.159% | 290,000 | 253,690 | |
Madison IAQ LLC(a) | ||||
06/30/2028 | 4.125% | 24,000 | 19,883 | |
06/30/2029 | 5.875% | 49,000 | 37,374 | |
Resideo Funding, Inc.(a) | ||||
09/01/2029 | 4.000% | 34,000 | 26,551 | |
Vertical US Newco, Inc.(a) | ||||
07/15/2027 | 5.250% | 24,000 | 21,433 | |
WESCO Distribution, Inc.(a) | ||||
06/15/2025 | 7.125% | 95,000 | 94,779 | |
06/15/2028 | 7.250% | 49,000 | 48,448 | |
Total | 1,070,419 | |||
Electric 1.7% | ||||
AEP Texas, Inc. | ||||
01/15/2050 | 3.450% | 435,000 | 335,366 | |
Calpine Corp.(a) | ||||
02/15/2028 | 4.500% | 44,000 | 40,048 | |
Clearway Energy Operating LLC(a) | ||||
02/15/2031 | 3.750% | 224,000 | 181,649 | |
01/15/2032 | 3.750% | 96,000 | 75,926 | |
Emera US Finance LP | ||||
06/15/2046 | 4.750% | 365,000 | 321,935 | |
Georgia Power Co. | ||||
03/15/2042 | 4.300% | 200,000 | 173,928 | |
Leeward Renewable Energy Operations LLC(a) | ||||
07/01/2029 | 4.250% | 56,000 | 45,301 | |
NextEra Energy Operating Partners LP(a) | ||||
07/15/2024 | 4.250% | 24,000 | 22,985 | |
09/15/2027 | 4.500% | 191,000 | 176,898 | |
NRG Energy, Inc.(a) | ||||
06/15/2029 | 5.250% | 29,000 | 25,908 | |
02/15/2031 | 3.625% | 159,000 | 125,120 | |
02/15/2032 | 3.875% | 319,000 | 253,252 | |
Pacific Gas and Electric Co. | ||||
07/01/2050 | 4.950% | 415,000 | 330,930 | |
Pattern Energy Operations LP/Inc.(a) | ||||
08/15/2028 | 4.500% | 41,000 | 35,666 | |
PG&E Corp. | ||||
07/01/2028 | 5.000% | 35,000 | 30,083 | |
TerraForm Power Operating LLC(a) | ||||
01/31/2028 | 5.000% | 69,000 | 62,643 | |
01/15/2030 | 4.750% | 89,000 | 76,270 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Vistra Operations Co. LLC(a) | ||||
07/31/2027 | 5.000% | 24,000 | 21,754 | |
05/01/2029 | 4.375% | 107,000 | 89,886 | |
Total | 2,425,548 | |||
Environmental 0.2% | ||||
Covanta Holding Corp.(a) | ||||
12/01/2029 | 4.875% | 27,000 | 21,970 | |
GFL Environmental, Inc.(a) | ||||
06/01/2025 | 4.250% | 68,000 | 64,169 | |
08/01/2025 | 3.750% | 29,000 | 26,888 | |
08/01/2028 | 4.000% | 56,000 | 46,530 | |
06/15/2029 | 4.750% | 46,000 | 38,453 | |
08/15/2029 | 4.375% | 37,000 | 29,951 | |
Waste Pro USA, Inc.(a) | ||||
02/15/2026 | 5.500% | 120,000 | 106,436 | |
Total | 334,397 | |||
Finance Companies 0.5% | ||||
Navient Corp. | ||||
06/25/2025 | 6.750% | 58,000 | 53,024 | |
Provident Funding Associates LP/Finance Corp.(a) | ||||
06/15/2025 | 6.375% | 67,000 | 60,047 | |
Quicken Loans LLC/Co-Issuer, Inc.(a) | ||||
03/01/2029 | 3.625% | 111,000 | 87,169 | |
03/01/2031 | 3.875% | 138,000 | 103,855 | |
Rocket Mortgage LLC/Co-Issuer, Inc.(a) | ||||
10/15/2033 | 4.000% | 425,000 | 303,223 | |
Springleaf Finance Corp. | ||||
03/15/2024 | 6.125% | 80,000 | 76,418 | |
Total | 683,736 | |||
Food and Beverage 2.3% | ||||
Anheuser-Busch Companies LLC/InBev Worldwide, Inc. | ||||
02/01/2046 | 4.900% | 967,000 | 912,045 | |
Bacardi Ltd.(a) | ||||
05/15/2048 | 5.300% | 520,000 | 488,607 | |
Darling Ingredients, Inc.(a) | ||||
04/15/2027 | 5.250% | 70,000 | 67,880 | |
FAGE International SA/USA Dairy Industry, Inc.(a) | ||||
08/15/2026 | 5.625% | 229,000 | 200,362 | |
Kraft Heinz Foods Co. | ||||
06/01/2046 | 4.375% | 823,000 | 685,615 | |
Lamb Weston Holdings, Inc.(a) | ||||
05/15/2028 | 4.875% | 36,000 | 33,892 | |
01/31/2030 | 4.125% | 45,000 | 39,149 | |
01/31/2032 | 4.375% | 45,000 | 39,133 |
10 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Pilgrim’s Pride Corp.(a) | ||||
04/15/2031 | 4.250% | 112,000 | 93,437 | |
03/01/2032 | 3.500% | 725,000 | 568,377 | |
Post Holdings, Inc.(a) | ||||
03/01/2027 | 5.750% | 12,000 | 11,626 | |
04/15/2030 | 4.625% | 28,000 | 23,622 | |
09/15/2031 | 4.500% | 53,000 | 43,514 | |
Primo Water Holdings, Inc.(a) | ||||
04/30/2029 | 4.375% | 43,000 | 35,105 | |
Simmons Foods, Inc./Prepared Foods, Inc./Pet Food, Inc./Feed(a) | ||||
03/01/2029 | 4.625% | 56,000 | 47,331 | |
US Foods, Inc.(a) | ||||
04/15/2025 | 6.250% | 4,000 | 3,988 | |
02/15/2029 | 4.750% | 17,000 | 14,854 | |
06/01/2030 | 4.625% | 35,000 | 29,839 | |
Total | 3,338,376 | |||
Gaming 0.4% | ||||
Boyd Gaming Corp.(a) | ||||
06/15/2031 | 4.750% | 82,000 | 69,392 | |
Caesars Entertainment, Inc.(a) | ||||
10/15/2029 | 4.625% | 127,000 | 99,113 | |
Colt Merger Sub, Inc.(a) | ||||
07/01/2025 | 6.250% | 28,000 | 26,986 | |
07/01/2027 | 8.125% | 83,000 | 80,033 | |
International Game Technology PLC(a) | ||||
02/15/2025 | 6.500% | 55,000 | 54,672 | |
Midwest Gaming Borrower LLC(a) | ||||
05/01/2029 | 4.875% | 107,000 | 87,368 | |
Penn National Gaming, Inc.(a) | ||||
07/01/2029 | 4.125% | 35,000 | 26,765 | |
Scientific Games Holdings LP/US FinCo, Inc.(a) | ||||
03/01/2030 | 6.625% | 61,000 | 51,879 | |
Scientific Games International, Inc.(a) | ||||
07/01/2025 | 8.625% | 20,000 | 20,521 | |
05/15/2028 | 7.000% | 45,000 | 42,483 | |
11/15/2029 | 7.250% | 28,000 | 26,503 | |
Wynn Las Vegas LLC/Capital Corp.(a) | ||||
03/01/2025 | 5.500% | 47,000 | 43,020 | |
Total | 628,735 | |||
Health Care 2.2% | ||||
Acadia Healthcare Co., Inc.(a) | ||||
07/01/2028 | 5.500% | 12,000 | 11,227 | |
04/15/2029 | 5.000% | 29,000 | 26,201 | |
AdaptHealth LLC(a) | ||||
08/01/2029 | 4.625% | 19,000 | 15,620 | |
03/01/2030 | 5.125% | 61,000 | 51,286 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Avantor Funding, Inc.(a) | ||||
07/15/2028 | 4.625% | 29,000 | 26,551 | |
11/01/2029 | 3.875% | 256,000 | 223,978 | |
Catalent Pharma Solutions, Inc.(a) | ||||
07/15/2027 | 5.000% | 14,000 | 13,176 | |
02/15/2029 | 3.125% | 10,000 | 8,232 | |
04/01/2030 | 3.500% | 28,000 | 22,978 | |
Change Healthcare Holdings LLC/Finance, Inc.(a) | ||||
03/01/2025 | 5.750% | 24,000 | 23,399 | |
Charles River Laboratories International, Inc.(a) | ||||
05/01/2028 | 4.250% | 17,000 | 15,288 | |
03/15/2029 | 3.750% | 21,000 | 18,225 | |
03/15/2031 | 4.000% | 19,000 | 16,270 | |
CHS/Community Health Systems, Inc.(a) | ||||
03/15/2026 | 8.000% | 48,000 | 43,708 | |
03/15/2027 | 5.625% | 108,000 | 91,401 | |
04/15/2029 | 6.875% | 44,000 | 28,167 | |
05/15/2030 | 5.250% | 101,000 | 77,093 | |
02/15/2031 | 4.750% | 39,000 | 28,689 | |
Cigna Corp. | ||||
03/15/2050 | 3.400% | 380,000 | 290,599 | |
03/15/2051 | 3.400% | 390,000 | 299,930 | |
CVS Health Corp. | ||||
03/25/2048 | 5.050% | 340,000 | 325,296 | |
HCA, Inc. | ||||
09/01/2028 | 5.625% | 106,000 | 104,341 | |
HCA, Inc.(a) | ||||
03/15/2052 | 4.625% | 560,000 | 448,024 | |
Hologic, Inc.(a) | ||||
02/01/2028 | 4.625% | 75,000 | 70,266 | |
IQVIA, Inc.(a) | ||||
10/15/2026 | 5.000% | 16,000 | 15,258 | |
05/15/2027 | 5.000% | 61,000 | 57,714 | |
Mozart Debt Merger Sub, Inc.(a) | ||||
10/01/2029 | 5.250% | 20,000 | 16,623 | |
Owens & Minor, Inc.(a) | ||||
04/01/2030 | 6.625% | 43,000 | 39,212 | |
Radiology Partners, Inc.(a) | ||||
02/01/2028 | 9.250% | 42,000 | 31,564 | |
RP Escrow Issuer LLC(a) | ||||
12/15/2025 | 5.250% | 192,000 | 166,372 | |
Select Medical Corp.(a) | ||||
08/15/2026 | 6.250% | 181,000 | 169,329 | |
Surgery Center Holdings, Inc.(a) | ||||
04/15/2027 | 10.000% | 53,000 | 51,919 | |
Syneos Health, Inc.(a) | ||||
01/15/2029 | 3.625% | 28,000 | 23,825 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 | 11 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Tenet Healthcare Corp. | ||||
07/15/2024 | 4.625% | 6,000 | 5,765 | |
Tenet Healthcare Corp.(a) | ||||
02/01/2027 | 6.250% | 51,000 | 47,135 | |
11/01/2027 | 5.125% | 89,000 | 80,411 | |
10/01/2028 | 6.125% | 77,000 | 66,258 | |
01/15/2030 | 4.375% | 37,000 | 31,434 | |
US Acute Care Solutions LLC(a) | ||||
03/01/2026 | 6.375% | 49,000 | 43,965 | |
Total | 3,126,729 | |||
Healthcare Insurance 0.2% | ||||
Centene Corp. | ||||
10/15/2030 | 3.000% | 52,000 | 43,100 | |
08/01/2031 | 2.625% | 237,000 | 190,192 | |
Total | 233,292 | |||
Home Construction 0.2% | ||||
Meritage Homes Corp. | ||||
06/06/2027 | 5.125% | 44,000 | 40,461 | |
Meritage Homes Corp.(a) | ||||
04/15/2029 | 3.875% | 195,000 | 161,752 | |
Shea Homes LP/Funding Corp.(a) | ||||
02/15/2028 | 4.750% | 47,000 | 37,854 | |
Taylor Morrison Communities, Inc.(a) | ||||
01/15/2028 | 5.750% | 52,000 | 46,713 | |
Total | 286,780 | |||
Independent Energy 1.4% | ||||
Apache Corp. | ||||
01/15/2030 | 4.250% | 26,000 | 23,181 | |
09/01/2040 | 5.100% | 31,000 | 26,182 | |
02/01/2042 | 5.250% | 16,000 | 13,321 | |
04/15/2043 | 4.750% | 176,000 | 137,549 | |
Callon Petroleum Co. | ||||
10/01/2024 | 6.125% | 85,000 | 86,286 | |
07/01/2026 | 6.375% | 136,000 | 125,243 | |
Callon Petroleum Co.(a) | ||||
08/01/2028 | 8.000% | 129,000 | 124,067 | |
CNX Resources Corp.(a) | ||||
03/14/2027 | 7.250% | 26,000 | 25,516 | |
01/15/2029 | 6.000% | 41,000 | 38,130 | |
Colgate Energy Partners III LLC(a) | ||||
07/01/2029 | 5.875% | 75,000 | 65,707 | |
Comstock Resources, Inc.(a) | ||||
03/01/2029 | 6.750% | 19,000 | 17,061 | |
01/15/2030 | 5.875% | 27,000 | 23,359 | |
CrownRock LP/Finance, Inc.(a) | ||||
05/01/2029 | 5.000% | 22,000 | 19,746 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Hilcorp Energy I LP/Finance Co.(a) | ||||
02/01/2029 | 5.750% | 57,000 | 49,749 | |
04/15/2030 | 6.000% | 34,000 | 29,936 | |
04/15/2032 | 6.250% | 28,000 | 24,480 | |
Matador Resources Co. | ||||
09/15/2026 | 5.875% | 75,000 | 72,267 | |
Occidental Petroleum Corp. | ||||
09/01/2030 | 6.625% | 117,000 | 120,535 | |
01/01/2031 | 6.125% | 170,000 | 172,489 | |
09/15/2036 | 6.450% | 449,000 | 467,680 | |
03/15/2040 | 6.200% | 31,000 | 30,683 | |
03/15/2046 | 6.600% | 114,000 | 121,010 | |
Southwestern Energy Co. | ||||
02/01/2029 | 5.375% | 17,000 | 15,795 | |
02/01/2032 | 4.750% | 158,000 | 135,153 | |
Total | 1,965,125 | |||
Integrated Energy 0.1% | ||||
Cenovus Energy, Inc. | ||||
02/15/2052 | 3.750% | 105,000 | 79,863 | |
Leisure 0.6% | ||||
Carnival Corp.(a) | ||||
03/01/2026 | 7.625% | 324,000 | 252,926 | |
03/01/2027 | 5.750% | 95,000 | 68,627 | |
05/01/2029 | 6.000% | 87,000 | 60,916 | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Operations LLC(a) | ||||
05/01/2025 | 5.500% | 15,000 | 14,582 | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Operations LLC | ||||
10/01/2028 | 6.500% | 29,000 | 27,640 | |
Cinemark USA, Inc.(a) | ||||
03/15/2026 | 5.875% | 105,000 | 93,733 | |
07/15/2028 | 5.250% | 20,000 | 16,055 | |
NCL Corp., Ltd.(a) | ||||
03/15/2026 | 5.875% | 31,000 | 24,322 | |
Royal Caribbean Cruises Ltd.(a) | ||||
07/01/2026 | 4.250% | 56,000 | 39,772 | |
08/31/2026 | 5.500% | 198,000 | 145,525 | |
07/15/2027 | 5.375% | 23,000 | 16,706 | |
04/01/2028 | 5.500% | 35,000 | 24,323 | |
Six Flags Entertainment Corp.(a) | ||||
07/31/2024 | 4.875% | 75,000 | 71,463 | |
Total | 856,590 | |||
Life Insurance 0.9% | ||||
Guardian Life Insurance Co. of America (The)(a) | ||||
Subordinated | ||||
06/19/2064 | 4.875% | 389,000 | 376,699 |
12 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Massachusetts Mutual Life Insurance Co.(a) | ||||
Subordinated | ||||
10/15/2070 | 3.729% | 350,000 | 257,276 | |
Peachtree Corners Funding Trust(a) | ||||
02/15/2025 | 3.976% | 300,000 | 298,556 | |
Teachers Insurance & Annuity Association of America(a) | ||||
Subordinated | ||||
09/15/2044 | 4.900% | 340,000 | 330,643 | |
Total | 1,263,174 | |||
Media and Entertainment 1.3% | ||||
Cengage Learning, Inc.(a) | ||||
06/15/2024 | 9.500% | 208,000 | 192,441 | |
Clear Channel International BV(a) | ||||
08/01/2025 | 6.625% | 68,000 | 63,185 | |
Clear Channel Outdoor Holdings, Inc.(a) | ||||
04/15/2028 | 7.750% | 90,000 | 65,487 | |
06/01/2029 | 7.500% | 81,000 | 58,522 | |
Clear Channel Worldwide Holdings, Inc.(a) | ||||
08/15/2027 | 5.125% | 73,000 | 61,644 | |
iHeartCommunications, Inc. | ||||
05/01/2026 | 6.375% | 12,000 | 11,119 | |
05/01/2027 | 8.375% | 91,130 | 72,822 | |
Magallanes, Inc.(a) | ||||
03/15/2062 | 5.391% | 825,000 | 691,897 | |
Netflix, Inc. | ||||
04/15/2028 | 4.875% | 54,000 | 50,983 | |
11/15/2028 | 5.875% | 77,000 | 75,378 | |
05/15/2029 | 6.375% | 17,000 | 17,136 | |
Netflix, Inc.(a) | ||||
11/15/2029 | 5.375% | 53,000 | 50,096 | |
06/15/2030 | 4.875% | 308,000 | 282,665 | |
Outfront Media Capital LLC/Corp.(a) | ||||
01/15/2029 | 4.250% | 15,000 | 11,965 | |
03/15/2030 | 4.625% | 78,000 | 62,603 | |
Playtika Holding Corp.(a) | ||||
03/15/2029 | 4.250% | 69,000 | 57,354 | |
Roblox Corp.(a) | ||||
05/01/2030 | 3.875% | 56,000 | 45,375 | |
Univision Communications, Inc.(a) | ||||
05/01/2029 | 4.500% | 22,000 | 19,011 | |
Total | 1,889,683 | |||
Metals and Mining 0.4% | ||||
Allegheny Technologies, Inc. | ||||
10/01/2029 | 4.875% | 16,000 | 12,934 | |
10/01/2031 | 5.125% | 99,000 | 77,630 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Constellium SE(a) | ||||
06/15/2028 | 5.625% | 107,000 | 96,830 | |
04/15/2029 | 3.750% | 268,000 | 213,467 | |
Hudbay Minerals, Inc.(a) | ||||
04/01/2029 | 6.125% | 143,000 | 115,955 | |
Kaiser Aluminum Corp.(a) | ||||
03/01/2028 | 4.625% | 13,000 | 10,882 | |
06/01/2031 | 4.500% | 78,000 | 59,723 | |
Novelis Corp.(a) | ||||
11/15/2026 | 3.250% | 28,000 | 23,738 | |
08/15/2031 | 3.875% | 33,000 | 25,419 | |
Total | 636,578 | |||
Midstream 2.6% | ||||
Cheniere Energy Partners LP | ||||
10/01/2029 | 4.500% | 69,000 | 61,647 | |
03/01/2031 | 4.000% | 33,000 | 28,134 | |
Cheniere Energy Partners LP(a) | ||||
01/31/2032 | 3.250% | 94,000 | 74,096 | |
Cheniere Energy, Inc. | ||||
10/15/2028 | 4.625% | 76,000 | 68,758 | |
CNX Midstream Partners LP(a) | ||||
04/15/2030 | 4.750% | 40,000 | 33,542 | |
DCP Midstream Operating LP | ||||
04/01/2044 | 5.600% | 47,000 | 38,031 | |
Delek Logistics Partners LP/Finance Corp. | ||||
05/15/2025 | 6.750% | 32,000 | 29,785 | |
DT Midstream, Inc.(a) | ||||
06/15/2029 | 4.125% | 33,000 | 28,060 | |
06/15/2031 | 4.375% | 66,000 | 55,172 | |
Enterprise Products Operating LLC | ||||
03/15/2044 | 4.850% | 48,000 | 43,604 | |
01/31/2060 | 3.950% | 116,000 | 91,375 | |
EQM Midstream Partners LP(a) | ||||
07/01/2027 | 6.500% | 22,000 | 20,465 | |
01/15/2029 | 4.500% | 73,000 | 59,302 | |
01/15/2031 | 4.750% | 292,000 | 232,925 | |
EQM Midstream Partners LP | ||||
07/15/2048 | 6.500% | 277,000 | 206,414 | |
Galaxy Pipeline Assets Bidco Ltd.(a) | ||||
03/31/2036 | 2.625% | 400,000 | 324,128 | |
09/30/2040 | 3.250% | 200,000 | 158,075 | |
Holly Energy Partners LP/Finance Corp.(a) | ||||
04/15/2027 | 6.375% | 26,000 | 24,518 | |
02/01/2028 | 5.000% | 38,000 | 32,586 | |
Kinder Morgan Energy Partners LP | ||||
03/01/2043 | 5.000% | 37,000 | 32,384 | |
Kinder Morgan, Inc. | ||||
02/15/2046 | 5.050% | 328,000 | 293,124 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 | 13 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
NuStar Logistics LP | ||||
10/01/2025 | 5.750% | 136,000 | 127,179 | |
06/01/2026 | 6.000% | 93,000 | 86,115 | |
Plains All American Pipeline LP/Finance Corp. | ||||
06/15/2044 | 4.700% | 702,000 | 555,897 | |
Rockies Express Pipeline LLC(a) | ||||
05/15/2025 | 3.600% | 26,000 | 23,359 | |
Rockpoint Gas Storage Canada Ltd.(a) | ||||
03/31/2023 | 7.000% | 57,000 | 56,298 | |
Superior Plus LP/General Partner, Inc.(a) | ||||
03/15/2029 | 4.500% | 21,000 | 17,842 | |
TransMontaigne Partners LP/TLP Finance Corp. | ||||
02/15/2026 | 6.125% | 96,000 | 84,845 | |
Venture Global Calcasieu Pass LLC(a) | ||||
08/15/2029 | 3.875% | 81,000 | 71,015 | |
08/15/2031 | 4.125% | 225,000 | 193,249 | |
11/01/2033 | 3.875% | 305,000 | 251,563 | |
Western Gas Partners LP | ||||
08/15/2048 | 5.500% | 61,000 | 49,999 | |
Williams Companies, Inc. (The) | ||||
09/15/2045 | 5.100% | 220,000 | 204,966 | |
Total | 3,658,452 | |||
Natural Gas 0.3% | ||||
NiSource, Inc. | ||||
05/15/2047 | 4.375% | 465,000 | 409,161 | |
Oil Field Services 0.2% | ||||
Transocean Sentry Ltd.(a) | ||||
05/15/2023 | 5.375% | 296,696 | 282,140 | |
Other Industry 0.0% | ||||
Hillenbrand, Inc. | ||||
03/01/2031 | 3.750% | 21,000 | 17,094 | |
Other REIT 0.3% | ||||
Blackstone Mortgage Trust, Inc.(a) | ||||
01/15/2027 | 3.750% | 60,000 | 49,410 | |
Ladder Capital Finance Holdings LLLP/Corp.(a) | ||||
10/01/2025 | 5.250% | 42,000 | 38,376 | |
02/01/2027 | 4.250% | 102,000 | 82,594 | |
06/15/2029 | 4.750% | 128,000 | 98,794 | |
Park Intermediate Holdings LLC/PK Domestic Property LLC/Finance Co-Issuer(a) | ||||
05/15/2029 | 4.875% | 97,000 | 83,431 | |
RHP Hotel Properties LP/Finance Corp.(a) | ||||
02/15/2029 | 4.500% | 15,000 | 12,714 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
RLJ Lodging Trust LP(a) | ||||
07/01/2026 | 3.750% | 20,000 | 17,577 | |
09/15/2029 | 4.000% | 26,000 | 21,495 | |
Total | 404,391 | |||
Packaging 0.3% | ||||
Ardagh Metal Packaging Finance USA LLC/PLC(a) | ||||
06/15/2027 | 6.000% | 26,000 | 25,723 | |
09/01/2029 | 4.000% | 135,000 | 108,257 | |
Ardagh Packaging Finance PLC/Holdings USA, Inc.(a) | ||||
08/15/2026 | 4.125% | 18,000 | 15,250 | |
08/15/2027 | 5.250% | 95,000 | 66,552 | |
BWAY Holding Co.(a) | ||||
04/15/2024 | 5.500% | 46,000 | 43,938 | |
CANPACK SA/Eastern PA Land Investment Holding LLC(a) | ||||
11/01/2025 | 3.125% | 38,000 | 33,440 | |
Canpack SA/US LLC(a) | ||||
11/15/2029 | 3.875% | 84,000 | 66,390 | |
Trivium Packaging Finance BV(a) | ||||
08/15/2026 | 5.500% | 29,000 | 27,338 | |
08/15/2027 | 8.500% | 39,000 | 36,743 | |
Total | 423,631 | |||
Pharmaceuticals 1.1% | ||||
AbbVie, Inc. | ||||
11/14/2048 | 4.875% | 221,000 | 212,949 | |
11/21/2049 | 4.250% | 447,000 | 396,207 | |
Amgen, Inc. | ||||
02/22/2062 | 4.400% | 569,000 | 494,824 | |
Bausch Health Companies, Inc.(a) | ||||
04/01/2026 | 9.250% | 20,000 | 14,306 | |
02/01/2027 | 6.125% | 41,000 | 34,943 | |
01/15/2028 | 7.000% | 41,000 | 23,473 | |
06/01/2028 | 4.875% | 13,000 | 10,174 | |
01/30/2030 | 5.250% | 51,000 | 26,553 | |
Endo Dac/Finance LLC/Finco, Inc.(a) | ||||
06/30/2028 | 6.000% | 17,000 | 1,351 | |
Grifols Escrow Issuer SA(a) | ||||
10/15/2028 | 4.750% | 19,000 | 16,479 | |
Organon Finance 1 LLC(a) | ||||
04/30/2028 | 4.125% | 207,000 | 183,184 | |
04/30/2031 | 5.125% | 82,000 | 70,770 | |
Par Pharmaceutical, Inc.(a) | ||||
04/01/2027 | 7.500% | 27,000 | 20,520 | |
Total | 1,505,733 |
14 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Property & Casualty 0.9% | ||||
Alliant Holdings Intermediate LLC/Co-Issuer(a) | ||||
10/15/2027 | 4.250% | 129,000 | 112,646 | |
10/15/2027 | 6.750% | 79,000 | 70,043 | |
11/01/2029 | 5.875% | 50,000 | 41,496 | |
AssuredPartners, Inc.(a) | ||||
01/15/2029 | 5.625% | 51,000 | 41,243 | |
Berkshire Hathaway Finance Corp. | ||||
03/15/2052 | 3.850% | 737,000 | 630,740 | |
BroadStreet Partners, Inc.(a) | ||||
04/15/2029 | 5.875% | 67,000 | 52,256 | |
GTCR AP Finance, Inc.(a) | ||||
05/15/2027 | 8.000% | 11,000 | 10,334 | |
HUB International Ltd.(a) | ||||
05/01/2026 | 7.000% | 193,000 | 182,233 | |
12/01/2029 | 5.625% | 62,000 | 51,947 | |
Radian Group, Inc. | ||||
03/15/2025 | 6.625% | 30,000 | 29,523 | |
Ryan Specialty Group LLC(a) | ||||
02/01/2030 | 4.375% | 17,000 | 14,794 | |
USI, Inc.(a) | ||||
05/01/2025 | 6.875% | 39,000 | 37,665 | |
Total | 1,274,920 | |||
Restaurants 0.2% | ||||
1011778 BC ULC/New Red Finance, Inc.(a) | ||||
04/15/2025 | 5.750% | 18,000 | 18,129 | |
01/15/2028 | 3.875% | 66,000 | 57,410 | |
Fertitta Entertainment LLC/Finance Co., Inc.(a) | ||||
01/15/2030 | 6.750% | 97,000 | 74,515 | |
IRB Holding Corp.(a) | ||||
06/15/2025 | 7.000% | 124,000 | 121,014 | |
Yum! Brands, Inc. | ||||
04/01/2032 | 5.375% | 53,000 | 48,897 | |
Total | 319,965 | |||
Retailers 0.5% | ||||
Asbury Automotive Group, Inc.(a) | ||||
11/15/2029 | 4.625% | 14,000 | 11,565 | |
02/15/2032 | 5.000% | 14,000 | 11,451 | |
Group 1 Automotive, Inc.(a) | ||||
08/15/2028 | 4.000% | 21,000 | 17,784 | |
L Brands, Inc. | ||||
11/01/2035 | 6.875% | 60,000 | 48,736 | |
LCM Investments Holdings II LLC(a) | ||||
05/01/2029 | 4.875% | 67,000 | 51,277 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Lowe’s Companies, Inc. | ||||
10/15/2050 | 3.000% | 424,000 | 295,640 | |
04/01/2062 | 4.450% | 224,000 | 191,430 | |
PetSmart, Inc./Finance Corp.(a) | ||||
02/15/2028 | 4.750% | 37,000 | 31,970 | |
02/15/2029 | 7.750% | 47,000 | 42,403 | |
Total | 702,256 | |||
Supermarkets 0.1% | ||||
Albertsons Companies LLC/Safeway, Inc./New Albertsons LP/Albertsons LLC(a) | ||||
02/15/2028 | 5.875% | 59,000 | 55,171 | |
Albertsons Companies, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(a) | ||||
03/15/2026 | 3.250% | 19,000 | 16,609 | |
Total | 71,780 | |||
Technology 2.2% | ||||
Black Knight InfoServ LLC(a) | ||||
09/01/2028 | 3.625% | 16,000 | 13,895 | |
Boxer Parent Co., Inc.(a) | ||||
10/02/2025 | 7.125% | 17,000 | 16,283 | |
Broadcom, Inc.(a) | ||||
04/15/2034 | 3.469% | 205,000 | 166,277 | |
11/15/2036 | 3.187% | 129,000 | 97,987 | |
Camelot Finance SA(a) | ||||
11/01/2026 | 4.500% | 35,000 | 32,081 | |
CDK Global, Inc. | ||||
06/01/2027 | 4.875% | 57,000 | 56,504 | |
Clarivate Science Holdings Corp.(a) | ||||
07/01/2028 | 3.875% | 26,000 | 21,858 | |
07/01/2029 | 4.875% | 64,000 | 52,538 | |
Condor Merger Sub, Inc.(a) | ||||
02/15/2030 | 7.375% | 54,000 | 43,895 | |
Entegris Escrow Corp.(a) | ||||
04/15/2029 | 4.750% | 22,000 | 20,507 | |
06/15/2030 | 5.950% | 81,000 | 77,184 | |
Everi Holdings, Inc.(a) | ||||
07/15/2029 | 5.000% | 8,000 | 6,780 | |
Gartner, Inc.(a) | ||||
06/15/2029 | 3.625% | 168,000 | 144,870 | |
10/01/2030 | 3.750% | 398,000 | 344,049 | |
HealthEquity, Inc.(a) | ||||
10/01/2029 | 4.500% | 58,000 | 50,770 | |
Helios Software Holdings, Inc.(a) | ||||
05/01/2028 | 4.625% | 68,000 | 54,644 | |
ION Trading Technologies Sarl(a) | ||||
05/15/2028 | 5.750% | 38,000 | 30,231 | |
Logan Merger Sub, Inc.(a) | ||||
09/01/2027 | 5.500% | 143,000 | 97,870 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 | 15 |
June 30, 2022 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Minerva Merger Sub, Inc.(a) | ||||
02/15/2030 | 6.500% | 88,000 | 73,429 | |
NCR Corp.(a) | ||||
10/01/2028 | 5.000% | 52,000 | 44,294 | |
04/15/2029 | 5.125% | 85,000 | 72,066 | |
Nielsen Finance LLC/Co.(a) | ||||
10/01/2028 | 5.625% | 138,000 | 128,117 | |
07/15/2029 | 4.500% | 36,000 | 32,595 | |
07/15/2031 | 4.750% | 29,000 | 26,168 | |
NXP BV/Funding LLC/USA, Inc. | ||||
01/15/2033 | 5.000% | 194,000 | 189,588 | |
02/15/2042 | 3.125% | 149,000 | 109,136 | |
Oracle Corp. | ||||
04/01/2050 | 3.600% | 297,000 | 207,281 | |
03/25/2061 | 4.100% | 287,000 | 205,633 | |
Plantronics, Inc.(a) | ||||
03/01/2029 | 4.750% | 177,000 | 176,441 | |
PTC, Inc.(a) | ||||
02/15/2028 | 4.000% | 40,000 | 36,968 | |
Sabre GLBL, Inc.(a) | ||||
09/01/2025 | 7.375% | 5,000 | 4,639 | |
Shift4 Payments LLC/Finance Sub, Inc.(a) | ||||
11/01/2026 | 4.625% | 151,000 | 134,098 | |
Square, Inc.(a) | ||||
06/01/2031 | 3.500% | 31,000 | 24,886 | |
Switch Ltd.(a) | ||||
09/15/2028 | 3.750% | 27,000 | 26,714 | |
06/15/2029 | 4.125% | 83,000 | 82,356 | |
Tempo Acquisition LLC/Finance Corp.(a) | ||||
06/01/2025 | 5.750% | 28,000 | 26,729 | |
Verscend Escrow Corp.(a) | ||||
08/15/2026 | 9.750% | 97,000 | 94,314 | |
ZoomInfo Technologies LLC/Finance Corp.(a) | ||||
02/01/2029 | 3.875% | 152,000 | 127,300 | |
Total | 3,150,975 | |||
Transportation Services 0.1% | ||||
Adani Ports & Special Economic Zone Ltd.(a) | ||||
07/03/2029 | 4.375% | 200,000 | 176,896 | |
Wireless 1.3% | ||||
Altice France Holding SA(a) | ||||
02/15/2028 | 6.000% | 180,000 | 124,143 | |
Altice France SA(a) | ||||
02/01/2027 | 8.125% | 28,000 | 25,800 | |
07/15/2029 | 5.125% | 64,000 | 48,290 | |
10/15/2029 | 5.500% | 35,000 | 26,812 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
American Tower Corp. | ||||
08/15/2029 | 3.800% | 268,000 | 246,073 | |
06/15/2030 | 2.100% | 75,000 | 59,925 | |
SBA Communications Corp. | ||||
02/15/2027 | 3.875% | 44,000 | 40,232 | |
02/01/2029 | 3.125% | 175,000 | 143,172 | |
Sprint Capital Corp. | ||||
11/15/2028 | 6.875% | 206,000 | 217,069 | |
03/15/2032 | 8.750% | 56,000 | 67,499 | |
Sprint Corp. | ||||
06/15/2024 | 7.125% | 17,000 | 17,487 | |
T-Mobile USA, Inc. | ||||
02/15/2029 | 2.625% | 50,000 | 42,044 | |
02/15/2031 | 2.875% | 95,000 | 78,862 | |
04/15/2031 | 3.500% | 76,000 | 65,798 | |
T-Mobile USA, Inc.(a) | ||||
04/15/2031 | 3.500% | 301,000 | 258,527 | |
10/15/2052 | 3.400% | 10,000 | 7,375 | |
Vmed O2 UK Financing I PLC(a) | ||||
01/31/2031 | 4.250% | 51,000 | 41,637 | |
07/15/2031 | 4.750% | 386,000 | 317,017 | |
Total | 1,827,762 | |||
Wirelines 0.8% | ||||
AT&T, Inc. | ||||
12/01/2057 | 3.800% | 567,000 | 439,744 | |
CenturyLink, Inc. | ||||
12/01/2023 | 6.750% | 49,000 | 48,643 | |
04/01/2024 | 7.500% | 65,000 | 64,455 | |
04/01/2025 | 5.625% | 65,000 | 61,703 | |
CenturyLink, Inc.(a) | ||||
12/15/2026 | 5.125% | 31,000 | 26,132 | |
02/15/2027 | 4.000% | 28,000 | 23,672 | |
Front Range BidCo, Inc.(a) | ||||
03/01/2027 | 4.000% | 47,000 | 38,989 | |
03/01/2028 | 6.125% | 29,000 | 21,012 | |
Frontier Communications Holdings LLC(a) | ||||
05/15/2030 | 8.750% | 19,000 | 19,222 | |
Iliad Holding SAS(a) | ||||
10/15/2026 | 6.500% | 164,000 | 147,548 | |
10/15/2028 | 7.000% | 120,000 | 104,888 | |
Network i2i Ltd.(a),(g) | ||||
12/31/2049 | 5.650% | 200,000 | 185,326 | |
Total | 1,181,334 | |||
Total Corporate Bonds & Notes (Cost $60,808,259) | 52,060,554 | |||
16 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Foreign Government Obligations(i),(j) 4.5% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Angola 0.2% | ||||
Angolan Government International Bond(a) | ||||
11/26/2029 | 8.000% | 400,000 | 317,315 | |
Brazil 0.1% | ||||
Brazilian Government International Bond | ||||
06/12/2030 | 3.875% | 202,000 | 169,516 | |
Canada 0.2% | ||||
MEGlobal Canada ULC(a) | ||||
05/18/2025 | 5.000% | 200,000 | 201,759 | |
NOVA Chemicals Corp.(a) | ||||
06/01/2027 | 5.250% | 70,000 | 60,144 | |
05/15/2029 | 4.250% | 45,000 | 35,299 | |
Total | 297,202 | |||
Colombia 0.3% | ||||
Colombia Government International Bond | ||||
06/15/2045 | 5.000% | 300,000 | 200,558 | |
05/15/2049 | 5.200% | 273,000 | 184,858 | |
Total | 385,416 | |||
Dominican Republic 0.4% | ||||
Dominican Republic International Bond(a) | ||||
01/25/2027 | 5.950% | 218,000 | 209,095 | |
04/30/2044 | 7.450% | 200,000 | 171,545 | |
01/27/2045 | 6.850% | 200,000 | 159,683 | |
Total | 540,323 | |||
Egypt 0.2% | ||||
Egypt Government International Bond(a) | ||||
04/11/2031 | 6.375% | EUR | 100,000 | 66,019 |
05/29/2032 | 7.625% | 200,000 | 130,381 | |
01/31/2047 | 8.500% | 250,000 | 147,759 | |
Total | 344,159 | |||
Guatemala 0.1% | ||||
Guatemala Government Bond(a) | ||||
06/01/2050 | 6.125% | 200,000 | 168,245 | |
Indonesia 0.4% | ||||
Indonesia Government International Bond | ||||
10/30/2049 | 3.700% | 200,000 | 160,435 | |
PT Indonesia Asahan Aluminium Persero(a) | ||||
11/15/2048 | 6.757% | 200,000 | 181,385 | |
PT Pertamina Persero(a) | ||||
05/30/2044 | 6.450% | 200,000 | 203,338 | |
Total | 545,158 |
Foreign Government Obligations(i),(j) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Ivory Coast 0.1% | ||||
Ivory Coast Government International Bond(a) | ||||
10/17/2031 | 5.875% | EUR | 200,000 | 163,872 |
Kazakhstan 0.1% | ||||
KazMunayGas National Co. JSC(a) | ||||
04/19/2027 | 4.750% | 200,000 | 178,072 | |
Mexico 0.7% | ||||
Mexican Bonos | ||||
05/31/2029 | 8.500% | MXN | 8,500,000 | 410,726 |
Mexico Government International Bond | ||||
04/16/2030 | 3.250% | 200,000 | 175,853 | |
Petroleos Mexicanos | ||||
01/28/2031 | 5.950% | 22,000 | 16,010 | |
02/16/2032 | 6.700% | 175,000 | 133,424 | |
09/21/2047 | 6.750% | 183,000 | 113,232 | |
01/23/2050 | 7.690% | 300,000 | 201,204 | |
Total | 1,050,449 | |||
Oman 0.1% | ||||
Oman Government International Bond(a) | ||||
01/17/2048 | 6.750% | 200,000 | 172,357 | |
Panama 0.1% | ||||
Panama Government International Bond | ||||
01/19/2033 | 3.298% | 200,000 | 171,376 | |
Paraguay 0.1% | ||||
Paraguay Government International Bond(a) | ||||
08/11/2044 | 6.100% | 200,000 | 173,883 | |
Qatar 0.3% | ||||
Qatar Government International Bond(a) | ||||
03/14/2049 | 4.817% | 200,000 | 201,239 | |
Qatar Petroleum(a) | ||||
07/12/2031 | 2.250% | 200,000 | 170,957 | |
Total | 372,196 | |||
Romania 0.1% | ||||
Romanian Government International Bond(a) | ||||
04/03/2049 | 4.625% | EUR | 150,000 | 111,756 |
Russian Federation 0.0% | ||||
Russian Foreign Bond - Eurobond(a),(c),(d),(k),(l) | ||||
03/28/2035 | 0.000% | 200,000 | 36,084 | |
Saudi Arabia 0.3% | ||||
Saudi Arabian Oil Co.(a) | ||||
11/24/2030 | 2.250% | 253,000 | 215,234 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 | 17 |
June 30, 2022 (Unaudited)
Foreign Government Obligations(i),(j) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Saudi Government International Bond(a) | ||||
10/22/2030 | 3.250% | 200,000 | 188,394 | |
Total | 403,628 | |||
South Africa 0.1% | ||||
Republic of South Africa Government International Bond | ||||
09/30/2029 | 4.850% | 200,000 | 170,882 | |
Ukraine 0.2% | ||||
Ukraine Government International Bond(a) | ||||
09/01/2026 | 7.750% | 200,000 | 51,487 | |
09/25/2032 | 7.375% | 420,000 | 104,860 | |
03/15/2033 | 7.253% | 200,000 | 49,586 | |
Total | 205,933 | |||
United Arab Emirates 0.3% | ||||
DP World Crescent Ltd.(a) | ||||
07/18/2029 | 3.875% | 200,000 | 185,232 | |
DP World Ltd.(a) | ||||
09/25/2048 | 5.625% | 200,000 | 186,688 | |
Total | 371,920 | |||
United Kingdom 0.1% | ||||
NAK Naftogaz Ukraine via Kondor Finance PLC(a) | ||||
07/19/2024 | 7.125% | EUR | 200,000 | 65,880 |
Total Foreign Government Obligations (Cost $8,244,589) | 6,415,622 | |||
Residential Mortgage-Backed Securities - Agency 21.6% | ||||
Federal Home Loan Mortgage Corp. | ||||
05/01/2052 | 3.000% | 1,489,862 | 1,395,866 | |
Federal Home Loan Mortgage Corp.(b),(m) | ||||
CMO Series 4620 Class AS | ||||
-1.0 x 1-month USD LIBOR + 0.440% 11/15/2042 | 0.958% | 619,407 | 28,062 | |
Federal National Mortgage Association | ||||
11/01/2051- 05/01/2052 | 3.000% | 4,927,946 | 4,626,408 | |
05/01/2052 | 3.500% | 4,980,877 | 4,839,019 | |
Federal National Mortgage Association(e),(m) | ||||
CMO Series 2006-5 Class N1 | ||||
08/25/2034 | 0.000% | 1,415,759 | 3 | |
Federal National Mortgage Association(m) | ||||
CMO Series 2012-133 Class EI | ||||
07/25/2031 | 3.500% | 233,016 | 6,457 | |
CMO Series 2012-139 Class IL | ||||
04/25/2040 | 3.500% | 21,596 | 17 | |
CMO Series 2013-1 Class AI | ||||
02/25/2043 | 3.500% | 730,478 | 102,479 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2021-3 Class TI | ||||
02/25/2051 | 2.500% | 2,322,429 | 405,744 | |
Federal National Mortgage Association(b),(m) | ||||
CMO Series 2014-93 Class ES | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 01/25/2045 | 4.526% | 269,971 | 42,650 | |
CMO Series 2016-31 Class VS | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 06/25/2046 | 4.376% | 498,174 | 66,059 | |
CMO Series 2017-47 Class SE | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 06/25/2047 | 4.476% | 385,651 | 76,127 | |
CMO Series 2017-56 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 07/25/2047 | 4.526% | 783,240 | 130,878 | |
CMO Series 2018-76 Class SN | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 10/25/2048 | 4.526% | 338,972 | 56,715 | |
Government National Mortgage Association(m) | ||||
CMO Series 2014-190 Class AI | ||||
12/20/2038 | 3.500% | 862,668 | 87,494 | |
CMO Series 2020-138 Class GI | ||||
09/20/2050 | 3.000% | 840,765 | 125,525 | |
CMO Series 2021-140 Class IW | ||||
08/20/2051 | 3.500% | 1,150,169 | 190,734 | |
CMO Series 2021-16 Class KI | ||||
01/20/2051 | 2.500% | 1,359,097 | 213,045 | |
CMO Series 2021-57 Class KI | ||||
03/20/2051 | 3.500% | 1,625,463 | 283,644 | |
CMO Series 2021-89 Class IO | ||||
05/20/2051 | 3.000% | 1,176,922 | 180,192 | |
CMO Series 2021-9 Class MI | ||||
01/20/2051 | 2.500% | 1,051,558 | 137,639 | |
Government National Mortgage Association(b),(m) | ||||
CMO Series 2016-20 Class SQ | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 02/20/2046 | 4.505% | 434,706 | 55,182 |
18 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2017-129 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 08/20/2047 | 4.605% | 358,748 | 47,683 | |
CMO Series 2017-133 Class SM | ||||
-1.0 x 1-month USD LIBOR + 6.250% Cap 6.250% 09/20/2047 | 4.655% | 396,521 | 48,869 | |
CMO Series 2018-124 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 09/20/2048 | 4.605% | 668,440 | 80,210 | |
CMO Series 2018-155 Class ES | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 11/20/2048 | 4.505% | 511,280 | 60,125 | |
CMO Series 2018-168 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 12/20/2048 | 4.505% | 469,643 | 55,929 | |
CMO Series 2018-67 Class SP | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 05/20/2048 | 4.605% | 842,206 | 104,350 | |
CMO Series 2019-152 Class BS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 12/20/2049 | 4.455% | 925,492 | 114,435 | |
CMO Series 2019-23 Class LS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 02/20/2049 | 4.455% | 315,838 | 39,330 | |
CMO Series 2019-29 Class DS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 03/20/2049 | 4.455% | 723,403 | 80,970 | |
CMO Series 2019-41 Class AS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 03/20/2049 | 4.455% | 610,749 | 69,562 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2019-5 Class SH | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 01/20/2049 | 4.555% | 488,336 | 63,995 | |
CMO Series 2019-59 Class JS | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 05/20/2049 | 4.555% | 470,382 | 60,727 | |
CMO Series 2021-155 Class SG | ||||
-1.0 x 1-month USD LIBOR + 6.300% Cap 6.300% 09/20/2051 | 4.705% | 1,272,984 | 209,909 | |
Government National Mortgage Association TBA(n) | ||||
08/18/2052 | 3.000% | 2,000,000 | 1,884,336 | |
Uniform Mortgage-Backed Security TBA(n) | ||||
08/16/2037 | 3.000% | 1,000,000 | 976,195 | |
08/11/2052 | 3.500% | 2,500,000 | 2,404,780 | |
08/11/2052 | 4.000% | 11,500,000 | 11,332,441 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $31,495,060) | 30,683,785 | |||
Residential Mortgage-Backed Securities - Non-Agency 17.2% | ||||
510 Asset Backed Trust(a),(e) | ||||
CMO Series 2021-NPL2 Class A1 | ||||
06/25/2061 | 2.116% | 424,655 | 394,617 | |
Bellemeade Re Ltd.(a),(b) | ||||
CMO Series 2019-2A Class M1B | ||||
1-month USD LIBOR + 1.450% Floor 1.450% 04/25/2029 | 3.074% | 261,182 | 254,319 | |
CMO Series 2020-3A Class M2 | ||||
1-month USD LIBOR + 4.850% Floor 4.850% 10/25/2030 | 5.856% | 550,000 | 539,826 | |
CMO Series 2021-1A Class M1C | ||||
30-day Average SOFR + 2.950% Floor 2.950% 03/25/2031 | 3.239% | 300,000 | 294,311 | |
BRAVO Residential Funding Trust(a),(e) | ||||
CMO Series 2021-B Class A1 | ||||
04/01/2069 | 2.115% | 343,184 | 326,795 | |
BVRT Financing Trust(a),(b),(d) | ||||
CMO Series 2021-2F Class M2 | ||||
30-day Average SOFR + 2.500% Floor 2.500% 01/10/2032 | 2.717% | 277,083 | 277,708 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 | 19 |
June 30, 2022 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2021-3F Class M2 | ||||
30-day Average SOFR + 2.900% Floor 2.900% 07/12/2033 | 3.126% | 500,000 | 500,000 | |
BVRT Financing Trust(a),(b),(c),(d) | ||||
CMO Series 2021-CRT1 Class M4 | ||||
1-month USD LIBOR + 3.500% Floor 3.500% 07/10/2032 | 3.589% | 875,000 | 856,472 | |
CHL GMSR Issuer Trust(a),(b) | ||||
CMO Series 2018-GT1 Class A | ||||
1-month USD LIBOR + 1.000% 05/25/2023 | 4.374% | 500,000 | 494,934 | |
CIM Trust(a),(e) | ||||
CMO Series 2021-NR4 Class A1 | ||||
10/25/2061 | 2.816% | 256,518 | 240,591 | |
Connecticut Avenue Securities Trust(a),(b) | ||||
Subordinated CMO Series 2022-R01 Class 1B2 | ||||
30-day Average SOFR + 6.000% 12/25/2041 | 6.926% | 750,000 | 611,956 | |
Subordinated CMO Series 2022-R02 Class 2B1 | ||||
30-day Average SOFR + 4.500% 01/25/2042 | 5.426% | 400,000 | 356,321 | |
Connecticut Avenue Securities Trust(a),(b),(n) | ||||
Subordinated CMO Series 2022-R07 Class 1B2 | ||||
30-day Average SOFR + 12.000% 06/25/2042 | 12.926% | 300,000 | 299,250 | |
CTS Corp.(a) | ||||
CMO Series 2015-6R Class 3A2 | ||||
02/27/2036 | 3.750% | 299,281 | 290,057 | |
Eagle Re Ltd.(a),(b) | ||||
CMO Series 2019-1 Class M2 | ||||
1-month USD LIBOR + 3.300% 04/25/2029 | 4.306% | 350,000 | 346,307 | |
CMO Series 2021-1 Class M1C | ||||
30-day Average SOFR + 2.700% Floor 2.700% 10/25/2033 | 2.989% | 275,000 | 273,998 | |
Fannie Mae Connecticut Avenue Securities(a),(b) | ||||
Subordinated CMO Series 2021-R02 Class 2B1 | ||||
30-day Average SOFR + 3.300% 11/25/2041 | 7.126% | 200,000 | 171,056 | |
Freddie Mac STACR REMIC Trust(a),(b) | ||||
CMO Series 2022-HQA1 Class M2 | ||||
30-day Average SOFR + 5.250% 03/25/2042 | 6.176% | 400,000 | 372,049 | |
Subordinated CMO Series 2020-DNA4 Class B1 | ||||
1-month USD LIBOR + 6.000% 08/25/2050 | 7.624% | 700,000 | 728,544 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated CMO Series 2020-DNA6 Class B1 | ||||
30-day Average SOFR + 3.000% 12/25/2050 | 3.926% | 600,000 | 514,539 | |
Subordinated CMO Series 2021-DNA5 Class B1 | ||||
30-day Average SOFR + 3.050% 01/25/2034 | 3.976% | 500,000 | 427,715 | |
Subordinated CMO Series 2021-HQA1 Class B2 | ||||
30-day Average SOFR + 5.000% 08/25/2033 | 5.926% | 250,000 | 185,506 | |
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 | 4.926% | 750,000 | 705,716 | |
Subordinated CMO Series 2022-DNA2 Class B1 | ||||
30-day Average SOFR + 4.750% 02/25/2042 | 5.676% | 450,000 | 396,106 | |
Freddie Mac Structured Agency Credit Risk Debt Notes(a),(e) | ||||
Subordinated CMO Series 2022-DNA2 Class B2 | ||||
02/25/2042 | 9.426% | 350,000 | 313,240 | |
Loan Revolving Advance Investment Trust(a),(b),(c),(d) | ||||
CMO Series 2021-2 Class A1X | ||||
1-month USD LIBOR + 2.750% Floor 2.750% 06/30/2023 | 3.625% | 300,000 | 300,000 | |
New York Mortgage Trust(a),(e) | ||||
CMO Series 2021-BPL1 Class A1 | ||||
05/25/2026 | 2.239% | 400,000 | 375,819 | |
NRZ Excess Spread-Collateralized Notes(a) | ||||
Series 2020-PLS1 Class A | ||||
12/25/2025 | 3.844% | 299,365 | 284,463 | |
Oaktown Re VI Ltd.(a),(b) | ||||
CMO Series 2021-1A Class M1C | ||||
30-day Average SOFR + 3.000% Floor 3.000% 10/25/2033 | 3.926% | 200,000 | 190,130 | |
PMT Credit Risk Transfer Trust(a),(b) | ||||
Series 2019-2R Class A | ||||
1-month USD LIBOR + 2.750% Floor 2.750% 05/27/2023 | 4.402% | 312,125 | 292,657 | |
PNMAC GMSR Issuer Trust(a),(b) | ||||
CMO Series 2018-GT1 Class A | ||||
1-month USD LIBOR + 2.850% Floor 2.850% 02/25/2023 | 4.474% | 2,350,000 | 2,335,454 | |
CMO Series 2018-GT2 Class A | ||||
1-month USD LIBOR + 2.650% 08/25/2025 | 4.274% | 3,450,000 | 3,404,403 | |
Point Securitization Trust(a),(e) | ||||
CMO Series 2021-1 Class A1 | ||||
02/25/2052 | 3.228% | 460,704 | 459,593 |
20 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Preston Ridge Partners Mortgage(a),(e) | ||||
CMO Series 2021-4 Class A1 | ||||
04/25/2026 | 1.867% | 310,756 | 291,013 | |
Preston Ridge Partners Mortgage Trust(a),(e) | ||||
CMO Series 2021-1 Class A1 | ||||
01/25/2026 | 2.115% | 316,372 | 299,059 | |
CMO Series 2021-2 Class A1 | ||||
03/25/2026 | 2.115% | 287,062 | 271,520 | |
CMO Series 2021-3 Class A1 | ||||
04/25/2026 | 1.867% | 315,188 | 295,143 | |
Pretium Mortgage Credit Partners(a),(e) | ||||
CMO Series 2022-NPL1 Class A1 | ||||
01/25/2052 | 2.981% | 440,320 | 410,301 | |
Pretium Mortgage Credit Partners I LLC(a),(e) | ||||
CMO Series 2021-NPL1 Class A1 | ||||
09/27/2060 | 2.240% | 209,144 | 198,006 | |
Pretium Mortgage Credit Partners LLC(a),(e) | ||||
CMO Series 2021-RN2 Class A1 | ||||
07/25/2051 | 1.744% | 205,877 | 192,561 | |
Radnor Re Ltd.(a),(b) | ||||
CMO Series 2021-1 Class M2 | ||||
30-day Average SOFR + 3.150% 12/27/2033 | 4.076% | 400,000 | 352,950 | |
Stonnington Mortgage Trust(a),(c),(d),(e) | ||||
CMO Series 2020-1 Class A | ||||
07/28/2024 | 3.500% | 131,980 | 131,980 | |
Toorak Mortgage Corp., Ltd.(a),(e) | ||||
CMO Series 2021-1 Class A1 | ||||
06/25/2024 | 2.240% | 400,000 | 380,206 | |
Triangle Re Ltd.(a),(b) | ||||
CMO Series 2021-1 Class M1C | ||||
1-month USD LIBOR + 3.400% Floor 3.400% 08/25/2033 | 5.024% | 317,270 | 317,444 | |
CMO Series 2021-2 Class M1C | ||||
1-month USD LIBOR + 4.500% Floor 4.500% 10/25/2033 | 6.124% | 500,000 | 498,116 | |
CMO Series 2021-2 Class M2 | ||||
1-month USD LIBOR + 5.500% Floor 5.500% 10/25/2033 | 7.124% | 250,000 | 236,755 | |
VCAT Asset Securitization LLC(a),(e) | ||||
CMO Series 2021-NPL6 Class A1 | ||||
09/25/2051 | 1.917% | 438,437 | 411,422 | |
VCAT LLC(a),(e) | ||||
CMO Series 2021-NPL5 Class A1 | ||||
08/25/2051 | 1.868% | 564,789 | 533,536 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Vericrest Opportunity Loan Transferee(a),(e) | ||||
CMO Series 2021-NPL4 Class A1 | ||||
03/27/2051 | 2.240% | 531,877 | 511,355 | |
Vericrest Opportunity Loan Transferee XCIII LLC(a),(e) | ||||
CMO Series 2021-NPL2 Class A1 | ||||
02/27/2051 | 1.893% | 357,574 | 341,097 | |
Verus Securitization Trust(a),(e) | ||||
CMO Series 2020-1 Class M1 | ||||
01/25/2060 | 3.021% | 400,000 | 372,907 | |
CMO Series 2020-NPL1 Class A1 | ||||
08/25/2050 | 3.598% | 40,426 | 40,377 | |
Subordinated CMO Series 2019-INV3 Class B1 | ||||
11/25/2059 | 3.731% | 300,000 | 279,120 | |
Visio Trust(a),(e) | ||||
CMO Series 2019-2 Class M1 | ||||
11/25/2054 | 3.260% | 200,000 | 189,907 | |
Subordinated CMO Series 2019-2 Class B1 | ||||
11/25/2054 | 3.910% | 100,000 | 94,374 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $25,318,025) | 24,463,601 | |||
Senior Loans 7.6% | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Airlines 0.3% | ||||
American Airlines, Inc.(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 1.750% 01/29/2027 | 3.402% | 484,896 | 425,768 | |
Automotive 0.3% | ||||
Clarios Global LP(b),(o) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 3.250% 04/30/2026 | 4.916% | 422,604 | 393,550 | |
Building Materials 0.3% | ||||
CP Atlas Buyer, Inc.(b),(o) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 3.750% Floor 0.500% 11/23/2027 | 5.416% | 495,065 | 433,390 | |
Cable and Satellite 0.4% | ||||
Cogeco Communications Finance LP(b),(o) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 2.000% 01/03/2025 | 3.666% | 47,973 | 45,515 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 | 21 |
June 30, 2022 (Unaudited)
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Virgin Media Bristol LLC(b),(o) | ||||
Tranche Q Term Loan | ||||
1-month USD LIBOR + 3.250% 01/31/2029 | 4.574% | 600,000 | 573,534 | |
Total | 619,049 | |||
Chemicals 0.8% | ||||
ColourOz Investment 1 GmbH(b),(o) | ||||
Tranche C 1st Lien Term Loan | ||||
3-month USD LIBOR + 4.250% Floor 1.000% 09/21/2023 | 5.250% | 46,546 | 40,379 | |
ColourOz Investment 2 LLC(b),(o) | ||||
Tranche B2 1st Lien Term Loan | ||||
3-month USD LIBOR + 4.250% Floor 1.000% 09/21/2023 | 5.250% | 281,571 | 244,263 | |
Ineos US Finance LLC(b),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 2.000% 04/01/2024 | 3.666% | 486,005 | 469,374 | |
Nouryon Finance BV(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.000% 10/01/2025 | 5.250% | 371,130 | 350,368 | |
Total | 1,104,384 | |||
Consumer Cyclical Services 0.5% | ||||
8th Avenue Food & Provisions, Inc.(b),(o) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 3.750% 10/01/2025 | 5.416% | 33,395 | 28,004 | |
2nd Lien Term Loan | ||||
1-month USD LIBOR + 7.750% 10/01/2026 | 9.416% | 63,566 | 52,569 | |
Uber Technologies, Inc.(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.500% 02/25/2027 | 5.075% | 697,827 | 666,621 | |
Total | 747,194 | |||
Diversified Manufacturing 0.3% | ||||
TK Elevator Midco GmbH(b),(o) | ||||
Tranche B1 Term Loan | ||||
1-month USD LIBOR + 3.500% Floor 0.500% 07/30/2027 | 4.019% | 492,547 | 460,226 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Electric 0.6% | ||||
Constellation Renewables LLC(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 2.500% Floor 1.000% 12/15/2027 | 4.080% | 461,237 | 443,710 | |
PG&E Corp.(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.000% Floor 1.000% 06/23/2025 | 4.688% | 490,000 | 460,845 | |
Total | 904,555 | |||
Gaming 0.3% | ||||
Caesars Resort Collection LLC(b),(o) | ||||
Tranche B1 Term Loan | ||||
1-month USD LIBOR + 3.500% 07/21/2025 | 5.166% | 491,250 | 472,460 | |
Health Care 0.3% | ||||
Medline Borrower LP(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.250% Floor 0.500% 10/23/2028 | 4.916% | 465,500 | 430,950 | |
Media and Entertainment 0.3% | ||||
Gray Television, Inc.(b),(o) | ||||
Tranche C Term Loan | ||||
3-month USD LIBOR + 2.500% 01/02/2026 | 3.562% | 425,886 | 409,596 | |
Pharmaceuticals 0.3% | ||||
Grifols Worldwide Operations Ltd.(b),(o) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 2.000% 11/15/2027 | 3.666% | 393,519 | 371,041 | |
Property & Casualty 0.3% | ||||
Asurion LLC(b),(o) | ||||
Tranche B8 Term Loan | ||||
1-month USD LIBOR + 3.250% 12/23/2026 | 4.916% | 440,539 | 398,414 | |
Technology 2.3% | ||||
Arches Buyer, Inc.(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.250% Floor 0.500% 12/06/2027 | 4.916% | 490,000 | 445,900 |
22 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Avaya, Inc.(b),(o) | ||||
Tranche B1 Term Loan | ||||
1-month USD LIBOR + 4.250% 12/15/2027 | 5.574% | 277,008 | 207,756 | |
Endurance International Group Holdings, Inc.(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.500% Floor 0.750% 02/10/2028 | 4.620% | 876,449 | 785,149 | |
GoTo Group, Inc.(b),(o) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 4.750% 08/31/2027 | 6.345% | 496,231 | 375,895 | |
MA FinanceCo LLC(b),(o) | ||||
Tranche B4 Term Loan | ||||
1-month USD LIBOR + 4.250% Floor 1.000% 06/05/2025 | 5.915% | 481,039 | 438,948 | |
Misys Ltd.(b),(o) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 3.500% Floor 1.000% 06/13/2024 | 4.739% | 494,527 | 444,609 | |
Peraton Corp.(b),(o) | ||||
Tranche B 1st Lien Term Loan | ||||
3-month USD LIBOR + 3.750% Floor 0.750% 02/01/2028 | 5.416% | 565,607 | 529,952 | |
Total | 3,228,209 | |||
Wireless 0.3% | ||||
SBA Senior Finance II LLC(b),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 1.750% 04/11/2025 | 3.420% | 488,550 | 469,892 | |
Total Senior Loans (Cost $11,801,771) | 10,868,678 | |||
U.S. Treasury Obligations 5.1% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
U.S. Treasury | ||||
04/30/2024 | 2.500% | 4,370,000 | 4,332,274 | |
05/15/2032 | 2.875% | 2,905,000 | 2,872,773 | |
Total U.S. Treasury Obligations (Cost $7,287,187) | 7,205,047 |
Options Purchased Calls 0.8% | ||||
Value ($) | ||||
(Cost $1,190,560) | 1,080,382 |
Money Market Funds 9.1% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.247%(p),(q) | 12,876,916 | 12,869,190 |
Total Money Market Funds (Cost $12,870,537) | 12,869,190 | |
Total Investments in Securities (Cost: $171,267,162) | 156,998,372 | |
Other Assets & Liabilities, Net | (14,907,205) | |
Net Assets | 142,091,167 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
4,500,000 MXN | 222,835 USD | Citi | 08/08/2022 | 488 | — |
500,000 EUR | 528,133 USD | UBS | 08/08/2022 | 2,921 | — |
Total | 3,409 | — |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 | 23 |
June 30, 2022 (Unaudited)
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Long Gilt | 54 | 09/2022 | GBP | 6,154,920 | — | (271,552) |
U.S. Long Bond | 20 | 09/2022 | USD | 2,772,500 | — | (51,710) |
U.S. Treasury 10-Year Note | 212 | 09/2022 | USD | 25,128,625 | 733,153 | — |
U.S. Ultra Treasury Bond | 8 | 09/2022 | USD | 1,234,750 | — | (33,902) |
Total | 733,153 | (357,164) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Euro-Bund | (25) | 09/2022 | EUR | (3,719,500) | 70,100 | — |
Euro-Bund | (50) | 09/2022 | EUR | (7,439,000) | — | (46,382) |
Japanese 10-Year Government Bond | (9) | 09/2022 | JPY | (1,337,490,000) | — | (117,871) |
U.S. Treasury 5-Year Note | (377) | 09/2022 | USD | (42,318,250) | 234,831 | — |
Total | 304,931 | (164,253) |
Call option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | 1,250,000 | 1,250,000 | 1.00 | 07/08/2022 | 12,750 | — |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 3,730,000 | 3,730,000 | 2.25 | 04/27/2023 | 89,520 | 54,695 |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 7,640,000 | 7,640,000 | 2.50 | 05/12/2023 | 228,436 | 172,226 |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 5,230,000 | 5,230,000 | 2.25 | 05/26/2023 | 107,215 | 83,479 |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 7,900,000 | 7,900,000 | 2.90 | 06/21/2023 | 257,145 | 323,814 |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 8,000,000 | 8,000,000 | 2.75 | 06/26/2023 | 259,800 | 273,942 |
10-Year OTC interest rate swap with Morgan Stanley to receive exercise rate and pay SOFR | Morgan Stanley | USD | 7,640,000 | 7,640,000 | 2.50 | 05/12/2023 | 235,694 | 172,226 |
Total | 1,190,560 | 1,080,382 |
Put option contracts written | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Premium received ($) | Value ($) |
5-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (6,300,000) | (6,300,000) | 1.75 | 07/05/2022 | (48,825) | (377,054) |
5-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (10,200,000) | (10,200,000) | 1.90 | 07/18/2022 | (102,510) | (542,526) |
5-Year OTC interest rate swap with Morgan Stanley to receive exercise rate and pay 3-Month USD LIBOR BBA | Morgan Stanley | USD | (8,800,000) | (8,800,000) | 1.85 | 07/07/2022 | (74,800) | (487,082) |
Total | (226,135) | (1,406,662) |
24 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Cleared interest rate swap contracts | |||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Fixed rate of 6.361% | 28-Day MXN TIIE-Banxico | Receives at Maturity, Pays at Maturity | Morgan Stanley | 10/24/2025 | MXN | 17,000,000 | (69,431) | — | — | — | (69,431) |
Fixed rate of 5.985% | 28-Day MXN TIIE-Banxico | Receives at Maturity, Pays at Maturity | Morgan Stanley | 01/21/2026 | MXN | 8,000,000 | (38,592) | — | — | — | (38,592) |
Fixed rate of 5.960% | 28-Day MXN TIIE-Banxico | Receives at Maturity, Pays at Maturity | Morgan Stanley | 02/02/2026 | MXN | 20,000,000 | (97,744) | — | — | — | (97,744) |
3-Month USD LIBOR | Fixed rate of 1.781% | Receives Quarterly, Pays SemiAnnually | Morgan Stanley | 08/09/2049 | USD | 2,100,000 | 455,477 | — | — | 455,477 | — |
Total | 249,710 | — | — | 455,477 | (205,767) |
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 | 32,313 | (100) | 6,903 | — | 25,308 | — |
Cleared credit default swap contracts - buy protection | |||||||||||
Reference entity | Counterparty | Maturity date | Pay fixed rate (%) | Payment frequency | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America High Yield Index, Series 38 | Morgan Stanley | 06/20/2027 | 5.000 | Quarterly | USD | 11,228,580 | 789,625 | — | — | 789,625 | — |
Credit default swap contracts - sell protection | |||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CMBX North America Index, Series 10 BBB- | Citi | 11/17/2059 | 3.000 | Monthly | 8.150 | USD | 500,000 | (87,813) | 250 | — | (110,573) | 23,010 | — |
Markit CMBX North America Index, Series 13 BBB- | Citi | 12/16/2072 | 3.000 | Monthly | 6.865 | USD | 200,000 | (40,125) | 100 | — | (10,120) | — | (29,905) |
Markit CMBX North America Index, Series 10 BBB- | Goldman Sachs International | 11/17/2059 | 3.000 | Monthly | 8.150 | USD | 250,000 | (43,906) | 125 | — | (28,558) | — | (15,223) |
Markit CMBX North America Index, Series 12 BBB- | Goldman Sachs International | 08/17/2061 | 3.000 | Monthly | 6.852 | USD | 200,000 | (35,312) | 100 | — | (10,860) | — | (24,352) |
Markit CMBX North America Index, Series 13 BBB- | Goldman Sachs International | 12/16/2072 | 3.000 | Monthly | 6.865 | USD | 100,000 | (20,063) | 50 | — | (8,185) | — | (11,828) |
Markit CMBX North America Index, Series 13 BBB- | Goldman Sachs International | 12/16/2072 | 3.000 | Monthly | 6.865 | USD | 200,000 | (40,125) | 100 | — | (10,255) | — | (29,770) |
Markit CMBX North America Index, Series 13 BBB- | Goldman Sachs International | 12/16/2072 | 3.000 | Monthly | 6.865 | USD | 300,000 | (60,188) | 150 | — | (16,108) | — | (43,930) |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 | 25 |
June 30, 2022 (Unaudited)
Credit default swap contracts - sell protection (continued) | |||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 8.150 | USD | 500,000 | (87,813) | 250 | — | (109,501) | 21,938 | — |
Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 8.150 | USD | 500,000 | (87,812) | 250 | — | (84,823) | — | (2,739) |
Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 8.150 | USD | 250,000 | (43,906) | 125 | — | (39,521) | — | (4,260) |
Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 8.150 | USD | 500,000 | (87,812) | 250 | — | (81,679) | — | (5,883) |
Markit CMBX North America Index, Series 11 BBB- | JPMorgan | 11/18/2054 | 3.000 | Monthly | 6.953 | USD | 500,000 | (80,781) | 250 | — | (84,165) | 3,634 | — |
Markit CMBX North America Index, Series 13 BBB- | JPMorgan | 12/16/2072 | 3.000 | Monthly | 6.865 | USD | 200,000 | (40,125) | 100 | — | (12,435) | — | (27,590) |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 8.150 | USD | 500,000 | (87,811) | 250 | — | (109,186) | 21,625 | — |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 8.150 | USD | 500,000 | (87,813) | 250 | — | (99,102) | 11,539 | — |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 8.150 | USD | 500,000 | (87,812) | 250 | — | (81,679) | — | (5,883) |
Total | (1,019,217) | 2,850 | — | (896,750) | 81,746 | (201,363) |
* | 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 | 8.030% |
3-Month USD LIBOR | London Interbank Offered Rate | 2.285% |
(a) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At June 30, 2022, the total value of these securities amounted to $64,982,304, which represents 45.73% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of June 30, 2022. |
(c) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At June 30, 2022, the total value of these securities amounted to $1,661,425, which represents 1.17% of total net assets. |
(d) | Valuation based on significant unobservable inputs. |
(e) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of June 30, 2022. |
(f) | Non-income producing investment. |
(g) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of June 30, 2022. |
26 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
(h) | Payment-in-kind security. Interest can be paid by issuing additional par of the security or in cash. |
(i) | Principal amounts are denominated in United States Dollars unless otherwise noted. |
(j) | Principal and interest may not be guaranteed by a governmental entity. |
(k) | Denotes a restricted security, which is subject to legal or contractual restrictions on resale under federal securities laws. Disposal of a restricted investment may involve time-consuming negotiations and expenses, and prompt sale at an acceptable price may be difficult to achieve. Private placement securities are generally considered to be restricted, although certain of those securities may be traded between qualified institutional investors under the provisions of Section 4(a)(2) and Rule 144A. The Fund will not incur any registration costs upon such a trade. These securities are valued at fair value determined in good faith under consistently applied procedures established by the Fund’s Board of Trustees. At June 30, 2022, the total market value of these securities amounted to $36,084, which represents 0.03% of total net assets. Additional information on these securities is as follows: |
Security | Acquisition Dates | Shares | Cost ($) | Value ($) |
Russian Foreign Bond - Eurobond | 08/06/2020 | 200,000 | 248,175 | 36,084 |
(l) | Represents securities that have defaulted on payment of interest. The Fund has stopped accruing interest on these securities. At June 30, 2022, the total value of these securities amounted to $36,084, which represents 0.03% of total net assets. |
(m) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
(n) | Represents a security purchased on a when-issued basis. |
(o) | The stated interest rate represents the weighted average interest rate at June 30, 2022 of contracts within the senior loan facility. Interest rates on contracts are primarily determined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. These base lending rates are primarily the LIBOR and other short-term rates. Base lending rates may be subject to a floor or minimum rate. The interest rate for senior loans purchased on a when-issued or delayed delivery basis will be determined upon settlement, therefore no interest rate is disclosed. Senior loans often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay cannot be predicted with accuracy. As a result, remaining maturities of senior loans may be less than the stated maturities. Generally, the Fund is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. |
(p) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
(q) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 1.247% | ||||||||
8,799,251 | 47,990,266 | (43,919,185) | (1,142) | 12,869,190 | (3,734) | 30,604 | 12,876,916 |
CMO | Collateralized Mortgage Obligation |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing Rate |
TBA | To Be Announced |
EUR | Euro |
GBP | British Pound |
JPY | Japanese Yen |
MXN | Mexican Peso |
USD | US Dollar |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 | 27 |
June 30, 2022 (Unaudited)
pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Asset-Backed Securities — Non-Agency | — | 6,561,083 | 336,889 | 6,897,972 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 4,346,812 | — | 4,346,812 |
Common Stocks | ||||
Financials | — | — | — | — |
Total Common Stocks | — | — | — | — |
Convertible Bonds | — | 106,729 | — | 106,729 |
Corporate Bonds & Notes | — | 52,060,554 | — | 52,060,554 |
Foreign Government Obligations | — | 6,379,538 | 36,084 | 6,415,622 |
Residential Mortgage-Backed Securities - Agency | — | 30,683,785 | — | 30,683,785 |
Residential Mortgage-Backed Securities - Non-Agency | — | 22,397,441 | 2,066,160 | 24,463,601 |
Senior Loans | — | 10,868,678 | — | 10,868,678 |
U.S. Treasury Obligations | 7,205,047 | — | — | 7,205,047 |
Options Purchased Calls | — | 1,080,382 | — | 1,080,382 |
Money Market Funds | 12,869,190 | — | — | 12,869,190 |
Total Investments in Securities | 20,074,237 | 134,485,002 | 2,439,133 | 156,998,372 |
Investments in Derivatives | ||||
Asset | ||||
Forward Foreign Currency Exchange Contracts | — | 3,409 | — | 3,409 |
Futures Contracts | 1,038,084 | — | — | 1,038,084 |
Swap Contracts | — | 1,352,156 | — | 1,352,156 |
Liability | ||||
Futures Contracts | (521,417) | — | — | (521,417) |
Options Contracts Written | — | (1,406,662) | — | (1,406,662) |
Swap Contracts | — | (407,130) | — | (407,130) |
Total | 20,590,904 | 134,026,775 | 2,439,133 | 157,056,812 |
28 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
See the Portfolio of Investments for all investment classifications not indicated in the table.
Balance as of 12/31/2021 ($) | Increase (decrease) in accrued discounts/ premiums ($) | Realized gain (loss) ($) | Change in unrealized appreciation (depreciation)(a) ($) | Purchases ($) | Sales ($) | Transfers into Level 3 ($) | Transfers out of Level 3 ($) | Balance as of 06/30/2022 ($) | |
Asset-Backed Securities - Non-Agency | 399,800 | — | — | (2,775) | — | (60,136) | — | — | 336,889 |
Foreign Government Obligations | — | (3,592) | — | (196,516) | — | — | 236,192 | — | 36,084 |
Residential Mortgage-Backed Securities - Non-Agency | 3,875,627 | 20,089 | — | (50,747) | — | (1,488,049) | — | (290,760) | 2,066,160 |
Senior Loans | 60,388 | — | — | — | — | — | — | (60,388) | — |
Total | 4,335,815 | 16,497 | — | (250,038) | — | (1,548,185) | 236,192 | (351,148) | 2,439,133 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 | 29 |
June 30, 2022 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $157,206,065) | $143,048,800 |
Affiliated issuers (cost $12,870,537) | 12,869,190 |
Options purchased (cost $1,190,560) | 1,080,382 |
Cash | 16,809 |
Foreign currency (cost $17,496) | 17,203 |
Cash collateral held at broker for: | |
Swap contracts | 450,000 |
TBA | 309,000 |
Other(a) | 1,109,000 |
Margin deposits on: | |
Futures contracts | 724,301 |
Swap contracts | 939,621 |
Unrealized appreciation on forward foreign currency exchange contracts | 3,409 |
Unrealized appreciation on swap contracts | 107,054 |
Upfront payments on swap contracts | 6,903 |
Receivable for: | |
Investments sold | 200,299 |
Investments sold on a delayed delivery basis | 16,535,068 |
Capital shares sold | 317 |
Dividends | 11,451 |
Interest | 1,171,467 |
Foreign tax reclaims | 1,911 |
Variation margin for futures contracts | 340,132 |
Variation margin for swap contracts | 27,168 |
Expense reimbursement due from Investment Manager | 607 |
Prepaid expenses | 844 |
Trustees’ deferred compensation plan | 96,811 |
Total assets | 179,067,747 |
Liabilities | |
Option contracts written, at value (premiums received $226,135) | 1,406,662 |
Unrealized depreciation on swap contracts | 201,363 |
Upfront receipts on swap contracts | 896,750 |
Payable for: | |
Investments purchased | 88,100 |
Investments purchased on a delayed delivery basis | 33,514,516 |
Capital shares purchased | 255,478 |
Variation margin for futures contracts | 405,765 |
Variation margin for swap contracts | 30,938 |
Management services fees | 2,334 |
Distribution and/or service fees | 856 |
Service fees | 22,862 |
Compensation of board members | 10,479 |
Compensation of chief compliance officer | 2 |
Other expenses | 38,672 |
Trustees’ deferred compensation plan | 96,811 |
Other liabilities | 4,992 |
Total liabilities | 36,976,580 |
Net assets applicable to outstanding capital stock | $142,091,167 |
Represented by | |
Paid in capital | 146,858,173 |
Total distributable earnings (loss) | (4,767,006) |
Total - representing net assets applicable to outstanding capital stock | $142,091,167 |
30 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Class 1 | |
Net assets | $17,066,312 |
Shares outstanding | 4,484,667 |
Net asset value per share | $3.81 |
Class 2 | |
Net assets | $125,024,855 |
Shares outstanding | 33,274,943 |
Net asset value per share | $3.76 |
(a) | Includes collateral related to options contracts and swap contracts. |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 | 31 |
Six Months Ended June 30, 2022 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $4,629 |
Dividends — affiliated issuers | 30,604 |
Interest | 3,102,597 |
Total income | 3,137,830 |
Expenses: | |
Management services fees | 438,969 |
Distribution and/or service fees | |
Class 2 | 160,681 |
Service fees | 86,562 |
Compensation of board members | 7,886 |
Custodian fees | 20,253 |
Printing and postage fees | 7,879 |
Audit fees | 25,469 |
Legal fees | 5,905 |
Interest on collateral | 10,000 |
Compensation of chief compliance officer | 24 |
Other | 3,036 |
Total expenses | 766,664 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (96,135) |
Total net expenses | 670,529 |
Net investment income | 2,467,301 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (4,059,362) |
Investments — affiliated issuers | (3,734) |
Foreign currency translations | 27,407 |
Forward foreign currency exchange contracts | 35,464 |
Futures contracts | 580,271 |
Options purchased | 1,367,555 |
Options contracts written | (467,100) |
Swap contracts | (195,375) |
Net realized loss | (2,714,874) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (16,360,825) |
Investments — affiliated issuers | (1,142) |
Foreign currency translations | (1,681) |
Forward foreign currency exchange contracts | 12,080 |
Futures contracts | 530,994 |
Options purchased | 35,304 |
Options contracts written | (1,293,094) |
Swap contracts | 890,949 |
Net change in unrealized appreciation (depreciation) | (16,187,415) |
Net realized and unrealized loss | (18,902,289) |
Net decrease in net assets resulting from operations | $(16,434,988) |
32 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 |
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | |
Operations | ||
Net investment income | $2,467,301 | $4,264,258 |
Net realized gain (loss) | (2,714,874) | 6,933,454 |
Net change in unrealized appreciation (depreciation) | (16,187,415) | (8,634,602) |
Net increase (decrease) in net assets resulting from operations | (16,434,988) | 2,563,110 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | — | (952,850) |
Class 2 | — | (6,233,060) |
Total distributions to shareholders | — | (7,185,910) |
Increase (decrease) in net assets from capital stock activity | 11,759,314 | (72,845,490) |
Total decrease in net assets | (4,675,674) | (77,468,290) |
Net assets at beginning of period | 146,766,841 | 224,235,131 |
Net assets at end of period | $142,091,167 | $146,766,841 |
Six Months Ended | Year Ended | |||
June 30, 2022 (Unaudited) | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 408,343 | 1,630,430 | 1,070,904 | 4,682,876 |
Distributions reinvested | — | — | 223,150 | 952,850 |
Redemptions | (404,290) | (1,630,507) | (23,791,166) | (105,162,096) |
Net increase (decrease) | 4,053 | (77) | (22,497,112) | (99,526,370) |
Class 2 | ||||
Subscriptions | 5,598,132 | 22,437,789 | 8,039,184 | 34,765,188 |
Distributions reinvested | — | — | 1,473,537 | 6,233,060 |
Redemptions | (2,717,990) | (10,678,398) | (3,311,883) | (14,317,368) |
Net increase | 2,880,142 | 11,759,391 | 6,200,838 | 26,680,880 |
Total net increase (decrease) | 2,884,195 | 11,759,314 | (16,296,274) | (72,845,490) |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 | 33 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Total distributions to shareholders | |
Class 1 | ||||||
Six Months Ended 6/30/2022 (Unaudited) | $4.25 | 0.07 | (0.51) | (0.44) | — | — |
Year Ended 12/31/2021 | $4.40 | 0.14 | (0.05) | 0.09 | (0.24) | (0.24) |
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) |
Class 2 | ||||||
Six Months Ended 6/30/2022 (Unaudited) | $4.20 | 0.07 | (0.51) | (0.44) | — | — |
Year Ended 12/31/2021 | $4.36 | 0.13 | (0.06) | 0.07 | (0.23) | (0.23) |
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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Annualized. |
(d) | Ratios include interest on collateral expense. For the periods indicated below, if interest on collateral expense had been excluded, expenses would have been lower by: |
Class | 6/30/2022 | 12/31/2021 | 12/31/2020 | 12/31/2019 | 12/31/2018 |
Class 1 | 0.01% | 0.01% | less than 0.01% | less than 0.01% | less than 0.01% |
Class 2 | 0.01% | 0.01% | less than 0.01% | less than 0.01% | less than 0.01% |
34 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2022 (Unaudited) | $3.81 | (10.35%) | 0.83%(c),(d) | 0.70%(c),(d) | 3.58%(c) | 84% | $17,066 |
Year Ended 12/31/2021 | $4.25 | 2.09% | 0.80%(d) | 0.69%(d) | 3.21% | 136% | $19,045 |
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 |
Class 2 | |||||||
Six Months Ended 6/30/2022 (Unaudited) | $3.76 | (10.48%) | 1.08%(c),(d) | 0.95%(c),(d) | 3.34%(c) | 84% | $125,025 |
Year Ended 12/31/2021 | $4.20 | 1.63% | 1.08%(d) | 0.94%(d) | 3.04% | 136% | $127,722 |
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% | $63,882 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 | 35 |
June 30, 2022 (Unaudited)
36 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 | 37 |
June 30, 2022 (Unaudited)
38 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 | 39 |
June 30, 2022 (Unaudited)
40 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 | 41 |
June 30, 2022 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 896,679* |
Credit risk | Upfront payments on swap contracts | 6,903 |
Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 3,409 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 1,038,084* |
Interest rate risk | Investments, at value — Options purchased | 1,080,382 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 455,477* |
Total | 3,480,934 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 201,363* |
Credit risk | Upfront receipts on swap contracts | 896,750 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 521,417* |
Interest rate risk | Options contracts written, at value | 1,406,662 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 205,767* |
Total | 3,231,959 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
42 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts written ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | — | — | 48,541 | 48,541 |
Foreign exchange risk | 35,464 | — | — | — | — | 35,464 |
Interest rate risk | — | 580,271 | (467,100) | 1,367,555 | (243,916) | 1,236,810 |
Total | 35,464 | 580,271 | (467,100) | 1,367,555 | (195,375) | 1,320,815 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts written ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | — | — | 203,972 | 203,972 |
Foreign exchange risk | 12,080 | — | — | — | — | 12,080 |
Interest rate risk | — | 530,994 | (1,293,094) | 35,304 | 686,977 | (39,819) |
Total | 12,080 | 530,994 | (1,293,094) | 35,304 | 890,949 | 176,233 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 26,128,565 |
Futures contracts — short | 48,138,302 |
Credit default swap contracts — buy protection | 9,610,290 |
Credit default swap contracts — sell protection | 6,625,000 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 1,102,568 |
Options contracts — written | (1,400,149) |
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 1,705 | (14,421) |
Interest rate swap contracts | 337,725 | (186,473) |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2022. |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 | 43 |
June 30, 2022 (Unaudited)
44 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Citi ($)(a) | Citi ($)(a) | Goldman Sachs International ($) | JPMorgan ($) | Morgan Stanley ($)(a) | Morgan Stanley ($)(a) | UBS ($) | Total ($) | |
Assets | ||||||||
Centrally cleared credit default swap contracts (b) | - | - | - | - | - | 20,500 | - | 20,500 |
Centrally cleared interest rate swap contracts (b) | - | - | - | - | - | 6,668 | - | 6,668 |
Forward foreign currency exchange contracts | 488 | - | - | - | - | - | 2,921 | 3,409 |
Options purchased calls | 908,156 | - | - | - | 172,226 | - | - | 1,080,382 |
OTC credit default swap contracts (c) | - | 23,010 | - | 57,783 | 33,164 | - | - | 113,957 |
Total assets | 908,644 | 23,010 | - | 57,783 | 205,390 | 27,168 | 2,921 | 1,224,916 |
Liabilities | ||||||||
Centrally cleared interest rate swap contracts (b) | - | - | - | - | - | 30,938 | - | 30,938 |
Options contracts written | 919,580 | - | - | - | 487,082 | - | - | 1,406,662 |
OTC credit default swap contracts (c) | - | 150,598 | 199,069 | 452,596 | 295,850 | - | - | 1,098,113 |
Total liabilities | 919,580 | 150,598 | 199,069 | 452,596 | 782,932 | 30,938 | - | 2,535,713 |
Total financial and derivative net assets | (10,936) | (127,588) | (199,069) | (394,813) | (577,542) | (3,770) | 2,921 | (1,310,797) |
Total collateral received (pledged) (d) | - | (127,588) | - | (394,813) | (577,542) | (3,770) | - | (1,103,713) |
Net amount (e) | (10,936) | - | (199,069) | - | - | - | 2,921 | (207,084) |
(a) | Exposure can only be netted across transactions governed under the same master agreement with the same legal entity. |
(b) | Centrally cleared swaps are included within payable/receivable for variation margin in the Statement of Assets and Liabilities. |
(c) | 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 2022 | 45 |
June 30, 2022 (Unaudited)
46 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 | 47 |
June 30, 2022 (Unaudited)
May 1, 2022 through April 30, 2023 | Prior to May 1, 2022 | |
Class 1 | 0.67% | 0.69% |
Class 2 | 0.92 | 0.94 |
48 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
170,151,000 | 3,108,000 | (17,092,000) | (13,984,000) |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 | 49 |
June 30, 2022 (Unaudited)
50 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 | 51 |
June 30, 2022 (Unaudited)
52 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 | 53 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
54 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 |
(Unaudited)
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | Terms of the Management Agreement; |
• | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
• | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
• | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 | 55 |
(Unaudited)
into account the organization and strength of the Fund’s and its service providers’ compliance programs. The Board also reviewed the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
56 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 |
(Unaudited)
of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager or its affiliates in connection with managing or distributing the Funds, such as the enhanced ability to offer various other financial products to Ameriprise Financial customers, soft dollar benefits and overall reputational advantages. The Board noted that the fees paid by the Fund should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate profit. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2022 | 57 |
June 30, 2022 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2022) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/19/98 | -16.14 | -14.63 | 5.46 | 9.63 | |
Class 2 | 06/01/00 | -16.23 | -14.85 | 5.21 | 9.38 | |
Russell 2000 Value Index | -17.31 | -16.28 | 4.89 | 9.05 |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2022) | |
Common Stocks | 98.8 |
Money Market Funds | 1.2 |
Total | 100.0 |
Equity sector breakdown (%) (at June 30, 2022) | |
Communication Services | 1.8 |
Consumer Discretionary | 11.1 |
Consumer Staples | 4.0 |
Energy | 4.8 |
Financials | 26.1 |
Health Care | 8.1 |
Industrials | 17.2 |
Information Technology | 12.0 |
Materials | 7.6 |
Real Estate | 6.2 |
Utilities | 1.1 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2022 |
(Unaudited)
January 1, 2022 — June 30, 2022 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 838.60 | 1,020.43 | 4.01 | 4.41 | 0.88 |
Class 2 | 1,000.00 | 1,000.00 | 837.70 | 1,019.19 | 5.15 | 5.66 | 1.13 |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2022 | 5 |
June 30, 2022 (Unaudited)
Common Stocks 99.8% | ||
Issuer | Shares | Value ($) |
Communication Services 1.8% | ||
Entertainment 0.4% | ||
Gaia, Inc.(a) | 193,312 | 821,576 |
Playstudios, Inc.(a) | 293,640 | 1,256,779 |
Total | 2,078,355 | |
Interactive Media & Services 0.2% | ||
Trivago NV, ADR(a) | 761,503 | 1,134,640 |
Media 0.8% | ||
Criteo SA, ADR(a) | 102,308 | 2,496,315 |
Integral Ad Science Holding Corp.(a) | 164,830 | 1,636,762 |
Total | 4,133,077 | |
Wireless Telecommunication Services 0.4% | ||
Telephone and Data Systems, Inc. | 106,091 | 1,675,177 |
Total Communication Services | 9,021,249 | |
Consumer Discretionary 11.1% | ||
Auto Components 1.6% | ||
Gentherm, Inc.(a) | 39,862 | 2,487,787 |
Modine Manufacturing Co.(a) | 216,069 | 2,275,207 |
Visteon Corp.(a) | 30,845 | 3,194,925 |
Total | 7,957,919 | |
Distributors 0.1% | ||
Educational Development Corp. | 167,844 | 708,302 |
Diversified Consumer Services 0.8% | ||
American Public Education, Inc.(a) | 68,081 | 1,100,189 |
Stride, Inc.(a) | 71,973 | 2,935,779 |
Total | 4,035,968 | |
Hotels, Restaurants & Leisure 0.2% | ||
PlayAGS, Inc.(a) | 210,910 | 1,088,296 |
Household Durables 3.6% | ||
Cavco Industries, Inc.(a) | 10,427 | 2,043,588 |
Century Communities, Inc. | 41,240 | 1,854,563 |
Ethan Allen Interiors, Inc. | 79,709 | 1,610,919 |
Hamilton Beach Brands Holding Co. | 97,760 | 1,213,201 |
Legacy Housing Corp.(a) | 95,913 | 1,251,665 |
Lifetime Brands, Inc. | 89,382 | 986,777 |
Lovesac Co. (The)(a) | 50,414 | 1,386,385 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Meritage Homes Corp.(a) | 48,474 | 3,514,365 |
Tri Pointe Homes, Inc.(a) | 158,495 | 2,673,811 |
Universal Electronics, Inc.(a) | 55,450 | 1,417,856 |
Total | 17,953,130 | |
Internet & Direct Marketing Retail 0.7% | ||
1-800-Flowers.com, Inc., Class A(a) | 125,569 | 1,194,161 |
Overstock.com, Inc.(a) | 49,070 | 1,227,241 |
Redbubble Ltd.(a) | 1,663,510 | 1,034,253 |
Total | 3,455,655 | |
Leisure Products 0.4% | ||
Malibu Boats, Inc., Class A(a) | 43,323 | 2,283,555 |
Multiline Retail 0.3% | ||
Big Lots, Inc. | 72,117 | 1,512,293 |
Specialty Retail 0.6% | ||
Urban Outfitters, Inc.(a) | 150,718 | 2,812,398 |
Textiles, Apparel & Luxury Goods 2.8% | ||
Allbirds, Inc., Class A(a) | 410,833 | 1,614,574 |
Canada Goose Holdings, Inc.(a) | 117,710 | 2,119,957 |
Culp, Inc. | 162,567 | 699,038 |
Fossil Group, Inc.(a) | 240,760 | 1,244,729 |
Kontoor Brands, Inc. | 50,670 | 1,690,858 |
Movado Group, Inc. | 65,029 | 2,011,347 |
Skechers U.S.A., Inc., Class A(a) | 42,126 | 1,498,843 |
Steven Madden Ltd. | 93,494 | 3,011,442 |
Total | 13,890,788 | |
Total Consumer Discretionary | 55,698,304 | |
Consumer Staples 4.0% | ||
Beverages 1.2% | ||
Boston Beer Co., Inc. (The), Class A(a) | 7,770 | 2,354,077 |
MGP Ingredients, Inc. | 37,392 | 3,742,565 |
Total | 6,096,642 | |
Food & Staples Retailing 0.6% | ||
Andersons, Inc. (The) | 86,432 | 2,851,392 |
6 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Food Products 1.7% | ||
Fresh Del Monte Produce, Inc. | 127,370 | 3,761,236 |
TreeHouse Foods, Inc.(a) | 110,540 | 4,622,783 |
Total | 8,384,019 | |
Household Products 0.2% | ||
Oil-Dri Corp of America | 37,950 | 1,163,167 |
Personal Products 0.3% | ||
Honest Co., Inc. (The)(a) | 576,612 | 1,683,707 |
Total Consumer Staples | 20,178,927 | |
Energy 4.8% | ||
Energy Equipment & Services 2.5% | ||
ChampionX Corp. | 212,880 | 4,225,668 |
Expro Group Holdings NV(a) | 190,383 | 2,193,212 |
Natural Gas Services Group, Inc.(a) | 155,863 | 1,714,493 |
Newpark Resources, Inc.(a) | 657,385 | 2,031,320 |
Pason Systems, Inc. | 141,468 | 1,603,495 |
Profire Energy, Inc.(a) | 585,394 | 842,967 |
Total | 12,611,155 | |
Oil, Gas & Consumable Fuels 2.3% | ||
CVR Energy, Inc. | 104,090 | 3,487,015 |
Equitrans Midstream Corp. | 647,290 | 4,116,764 |
Talos Energy, Inc.(a) | 139,520 | 2,158,374 |
W&T Offshore, Inc.(a) | 435,492 | 1,881,326 |
Total | 11,643,479 | |
Total Energy | 24,254,634 | |
Financials 26.1% | ||
Banks 15.8% | ||
Ameris Bancorp | 112,146 | 4,506,026 |
Bank of Marin Bancorp | 56,888 | 1,807,901 |
BankUnited, Inc. | 141,212 | 5,022,911 |
Banner Corp. | 68,306 | 3,839,480 |
Brookline Bancorp, Inc. | 217,018 | 2,888,510 |
Capital Bancorp, Inc. | 90,681 | 1,967,778 |
Capital City Bank Group, Inc. | 74,042 | 2,065,031 |
Central Pacific Financial Corp. | 82,178 | 1,762,718 |
Central Valley Community Bancorp | 69,341 | 1,005,445 |
Community Trust Bancorp, Inc. | 60,998 | 2,466,759 |
First BanCorp | 359,913 | 4,646,477 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
First BanCorp | 69,913 | 2,439,964 |
First Community Corp. | 94,574 | 1,812,984 |
First Financial Corp. | 46,913 | 2,087,628 |
First of Long Island Corp. (The) | 55,634 | 975,264 |
Heritage Financial Corp. | 114,601 | 2,883,361 |
Hilltop Holdings, Inc. | 141,850 | 3,781,721 |
HomeStreet, Inc. | 53,464 | 1,853,597 |
Northrim BanCorp, Inc. | 65,816 | 2,649,752 |
OFG Bancorp | 130,671 | 3,319,043 |
Plumas Bancorp | 44,268 | 1,263,409 |
Popular, Inc. | 72,833 | 5,603,043 |
Riverview Bancorp, Inc. | 174,573 | 1,148,690 |
Sierra Bancorp | 75,219 | 1,634,509 |
Southern First Bancshares, Inc.(a) | 52,324 | 2,280,803 |
Towne Bank | 135,880 | 3,689,142 |
UMB Financial Corp. | 69,151 | 5,953,901 |
Washington Federal, Inc. | 135,466 | 4,066,689 |
Total | 79,422,536 | |
Capital Markets 0.7% | ||
StoneX Group, Inc.(a) | 46,100 | 3,599,027 |
Consumer Finance 1.2% | ||
Ezcorp, Inc., Class A(a) | 507,660 | 3,812,527 |
PROG Holdings, Inc.(a) | 150,089 | 2,476,468 |
Total | 6,288,995 | |
Diversified Financial Services 0.3% | ||
Alerus Financial Corp. | 65,011 | 1,547,912 |
Insurance 4.3% | ||
American Equity Investment Life Holding Co. | 136,430 | 4,989,245 |
Employers Holdings, Inc. | 72,874 | 3,052,692 |
Global Indemnity Group LLC | 92,125 | 2,383,274 |
Horace Mann Educators Corp. | 55,082 | 2,114,047 |
Mercury General Corp. | 61,718 | 2,734,107 |
National Western Life Group, Inc., Class A | 15,105 | 3,061,784 |
ProAssurance Corp. | 130,246 | 3,077,713 |
Total | 21,412,862 |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2022 | 7 |
June 30, 2022 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Thrifts & Mortgage Finance 3.8% | ||
Essent Group Ltd. | 87,070 | 3,387,023 |
MGIC Investment Corp. | 303,586 | 3,825,183 |
NMI Holdings, Inc., Class A(a) | 155,159 | 2,583,397 |
Provident Financial Holdings, Inc. | 88,902 | 1,318,417 |
Radian Group, Inc. | 231,960 | 4,558,014 |
Territorial Bancorp, Inc. | 72,696 | 1,515,712 |
Western New England Bancorp, Inc. | 239,429 | 1,786,140 |
Total | 18,973,886 | |
Total Financials | 131,245,218 | |
Health Care 8.0% | ||
Biotechnology 3.9% | ||
ACADIA Pharmaceuticals, Inc.(a) | 90,130 | 1,269,932 |
Atara Biotherapeutics, Inc.(a) | 248,400 | 1,935,036 |
Coherus Biosciences, Inc.(a) | 153,131 | 1,108,668 |
Insmed, Inc.(a) | 132,940 | 2,621,577 |
Iovance Biotherapeutics, Inc.(a) | 216,425 | 2,389,332 |
Natera, Inc.(a) | 58,880 | 2,086,707 |
Novavax, Inc.(a) | 60,360 | 3,104,315 |
Sage Therapeutics, Inc.(a) | 68,589 | 2,215,424 |
uniQure NV(a) | 85,400 | 1,591,856 |
Zentalis Pharmaceuticals, Inc.(a) | 46,400 | 1,303,840 |
Total | 19,626,687 | |
Health Care Equipment & Supplies 0.4% | ||
Inogen, Inc.(a) | 85,960 | 2,078,513 |
Health Care Providers & Services 1.1% | ||
Encompass Health Corp. | 102,240 | 5,730,552 |
Health Care Technology 0.2% | ||
Sharecare, Inc.(a) | 720,866 | 1,138,968 |
Pharmaceuticals 2.4% | ||
ANI Pharmaceuticals, Inc.(a) | 52,849 | 1,568,030 |
Perrigo Co. PLC | 117,940 | 4,784,826 |
Satsuma Pharmaceuticals, Inc.(a) | 204,971 | 848,580 |
Supernus Pharmaceuticals, Inc.(a) | 117,872 | 3,408,858 |
Taro Pharmaceutical Industries Ltd.(a) | 35,174 | 1,271,892 |
Total | 11,882,186 | |
Total Health Care | 40,456,906 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Industrials 17.1% | ||
Aerospace & Defense 2.8% | ||
Aerojet Rocketdyne Holdings, Inc.(a) | 77,880 | 3,161,928 |
Curtiss-Wright Corp. | 32,640 | 4,310,439 |
Maxar Technologies, Inc. | 137,560 | 3,588,940 |
Moog, Inc., Class A | 39,105 | 3,104,546 |
Total | 14,165,853 | |
Air Freight & Logistics 0.1% | ||
Radiant Logistics, Inc.(a) | 107,405 | 796,945 |
Building Products 1.7% | ||
Caesarstone Ltd. | 155,088 | 1,415,953 |
Resideo Technologies, Inc.(a) | 149,390 | 2,901,154 |
UFP Industries, Inc. | 60,756 | 4,139,914 |
Total | 8,457,021 | |
Commercial Services & Supplies 1.1% | ||
Healthcare Services Group, Inc. | 152,117 | 2,648,357 |
HNI Corp. | 79,123 | 2,744,777 |
Total | 5,393,134 | |
Construction & Engineering 0.6% | ||
MDU Resources Group, Inc. | 120,560 | 3,253,914 |
Electrical Equipment 2.7% | ||
Array Technologies, Inc.(a) | 251,652 | 2,770,688 |
AZZ, Inc. | 58,712 | 2,396,624 |
Encore Wire Corp. | 39,872 | 4,143,498 |
Shoals Technologies Group, Inc., Class A(a) | 144,910 | 2,388,117 |
Thermon(a) | 123,834 | 1,739,868 |
Total | 13,438,795 | |
Machinery 3.6% | ||
Gorman-Rupp Co. | 58,138 | 1,645,306 |
Greenbrier Companies, Inc. (The) | 70,728 | 2,545,501 |
Hurco Companies, Inc. | 64,160 | 1,587,318 |
John Bean Technologies Corp. | 23,660 | 2,612,537 |
LB Foster Co., Class A(a) | 87,328 | 1,123,911 |
Manitex International, Inc.(a) | 253,374 | 1,644,397 |
Mueller Industries, Inc. | 79,062 | 4,213,214 |
Standex International Corp. | 30,219 | 2,561,967 |
Total | 17,934,151 |
8 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Marine 1.2% | ||
Costamare, Inc. | 211,085 | 2,554,128 |
Kirby Corp.(a) | 53,890 | 3,278,668 |
Total | 5,832,796 | |
Professional Services 1.0% | ||
Korn/Ferry International | 71,255 | 4,134,215 |
Red Violet, Inc.(a) | 61,050 | 1,162,392 |
Total | 5,296,607 | |
Road & Rail 1.3% | ||
Marten Transport Ltd. | 179,530 | 3,019,695 |
Schneider National, Inc., Class B | 159,690 | 3,573,862 |
Total | 6,593,557 | |
Trading Companies & Distributors 1.0% | ||
H&E Equipment Services, Inc. | 80,462 | 2,330,984 |
Textainer Group Holdings Ltd. | 97,991 | 2,685,934 |
Total | 5,016,918 | |
Total Industrials | 86,179,691 | |
Information Technology 12.0% | ||
Communications Equipment 2.3% | ||
Applied Optoelectronics, Inc.(a) | 479,838 | 743,749 |
Casa Systems, Inc.(a) | 301,143 | 1,183,492 |
Digi International, Inc.(a) | 99,291 | 2,404,828 |
KVH Industries, Inc.(a) | 90,010 | 783,087 |
NETGEAR, Inc.(a) | 87,257 | 1,616,000 |
Netscout Systems, Inc.(a) | 135,010 | 4,570,088 |
Total | 11,301,244 | |
Electronic Equipment, Instruments & Components 4.0% | ||
Airgain, Inc.(a) | 125,094 | 1,015,763 |
Bel Fuse, Inc., Class B | 110,849 | 1,724,811 |
ePlus, Inc.(a) | 61,999 | 3,293,387 |
FARO Technologies, Inc.(a) | 44,517 | 1,372,459 |
Knowles Corp.(a) | 98,730 | 1,710,991 |
Luna Innovations, Inc.(a) | 183,640 | 1,070,621 |
OSI Systems, Inc.(a) | 39,057 | 3,337,030 |
Powerfleet, Inc.(a) | 433,232 | 940,113 |
Vishay Intertechnology, Inc. | 250,611 | 4,465,888 |
Vishay Precision Group, Inc.(a) | 48,160 | 1,402,901 |
Total | 20,333,964 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
IT Services 3.6% | ||
Cass Information Systems, Inc. | 54,142 | 1,830,000 |
DigitalOcean Holdings, Inc.(a) | 61,160 | 2,529,578 |
EVERTEC, Inc. | 55,200 | 2,035,776 |
IBEX Holdings Ltd.(a) | 152,220 | 2,567,951 |
International Money Express, Inc.(a) | 107,608 | 2,202,736 |
Kyndryl Holdings, Inc.(a) | 287,447 | 2,811,232 |
Payoneer Global, Inc.(a) | 426,357 | 1,671,319 |
Shift4 Payments, Inc., Class A(a) | 73,501 | 2,429,943 |
Total | 18,078,535 | |
Semiconductors & Semiconductor Equipment 0.8% | ||
Cohu, Inc.(a) | 92,071 | 2,554,970 |
CyberOptics Corp.(a) | 45,198 | 1,579,218 |
Total | 4,134,188 | |
Software 1.3% | ||
BTRS Holdings, Inc.(a) | 312,469 | 1,556,096 |
Cerence, Inc.(a) | 74,734 | 1,885,539 |
Cognyte Software Ltd.(a) | 248,913 | 1,057,880 |
Mitek Systems, Inc.(a) | 86,262 | 797,061 |
Upland Software, Inc.(a) | 83,390 | 1,210,823 |
Total | 6,507,399 | |
Total Information Technology | 60,355,330 | |
Materials 7.6% | ||
Chemicals 1.1% | ||
Aspen Aerogels, Inc.(a) | 169,180 | 1,671,498 |
Tronox Holdings PLC, Class A | 217,703 | 3,657,411 |
Total | 5,328,909 | |
Construction Materials 0.9% | ||
Eagle Materials, Inc. | 42,729 | 4,697,626 |
Containers & Packaging 0.6% | ||
Greif, Inc., Class A | 48,079 | 2,999,168 |
Metals & Mining 3.7% | ||
Ampco-Pittsburgh Corp.(a) | 262,413 | 1,015,538 |
Capstone Mining Corp.(a) | 601,285 | 1,518,161 |
Centerra Gold, Inc. | 407,100 | 2,761,018 |
Commercial Metals Co. | 174,170 | 5,765,027 |
ERO Copper Corp.(a) | 231,855 | 1,957,943 |
Ferroglobe PLC(a) | 229,733 | 1,364,614 |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2022 | 9 |
June 30, 2022 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Olympic Steel, Inc. | 60,932 | 1,568,999 |
Torex Gold Resources, Inc.(a) | 215,757 | 1,666,116 |
Universal Stainless & Alloy Products, Inc.(a) | 134,429 | 994,775 |
Total | 18,612,191 | |
Paper & Forest Products 1.3% | ||
Clearwater Paper Corp.(a) | 52,067 | 1,751,013 |
Glatfelter Corp. | 136,053 | 936,044 |
Louisiana-Pacific Corp. | 75,931 | 3,979,544 |
Total | 6,666,601 | |
Total Materials | 38,304,495 | |
Real Estate 6.2% | ||
Equity Real Estate Investment Trusts (REITS) 5.8% | ||
Highwoods Properties, Inc. | 103,740 | 3,546,870 |
Hudson Pacific Properties, Inc. | 230,027 | 3,413,601 |
Macerich Co. (The) | 243,370 | 2,119,753 |
Outfront Media, Inc. | 266,070 | 4,509,886 |
Pebblebrook Hotel Trust | 204,154 | 3,382,832 |
PotlatchDeltic Corp. | 101,902 | 4,503,049 |
RLJ Lodging Trust | 354,135 | 3,906,109 |
Sunstone Hotel Investors, Inc.(a) | 399,179 | 3,959,856 |
Total | 29,341,956 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Real Estate Management & Development 0.4% | ||
Forestar Group, Inc.(a) | 141,527 | 1,937,505 |
Total Real Estate | 31,279,461 | |
Utilities 1.1% | ||
Gas Utilities 1.1% | ||
National Fuel Gas Co. | 57,315 | 3,785,656 |
RGC Resources, Inc. | 75,729 | 1,444,152 |
Total | 5,229,808 | |
Total Utilities | 5,229,808 | |
Total Common Stocks (Cost $553,094,372) | 502,204,023 | |
Money Market Funds 1.2% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.247%(b),(c) | 6,022,891 | 6,019,277 |
Total Money Market Funds (Cost $6,018,728) | 6,019,277 | |
Total Investments in Securities (Cost: $559,113,100) | 508,223,300 | |
Other Assets & Liabilities, Net | (4,917,475) | |
Net Assets | 503,305,825 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 1.247% | ||||||||
3,423,863 | 65,019,500 | (62,424,752) | 666 | 6,019,277 | (401) | 4,614 | 6,022,891 |
ADR | American Depositary Receipt |
10 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 9,021,249 | — | — | 9,021,249 |
Consumer Discretionary | 54,664,051 | 1,034,253 | — | 55,698,304 |
Consumer Staples | 20,178,927 | — | — | 20,178,927 |
Energy | 24,254,634 | — | — | 24,254,634 |
Financials | 131,245,218 | — | — | 131,245,218 |
Health Care | 40,456,906 | — | — | 40,456,906 |
Industrials | 86,179,691 | — | — | 86,179,691 |
Information Technology | 60,355,330 | — | — | 60,355,330 |
Materials | 38,304,495 | — | — | 38,304,495 |
Real Estate | 31,279,461 | — | — | 31,279,461 |
Utilities | 5,229,808 | — | — | 5,229,808 |
Total Common Stocks | 501,169,770 | 1,034,253 | — | 502,204,023 |
Money Market Funds | 6,019,277 | — | — | 6,019,277 |
Total Investments in Securities | 507,189,047 | 1,034,253 | — | 508,223,300 |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2022 | 11 |
June 30, 2022 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $553,094,372) | $502,204,023 |
Affiliated issuers (cost $6,018,728) | 6,019,277 |
Receivable for: | |
Investments sold | 2,080,801 |
Capital shares sold | 2,645 |
Dividends | 412,569 |
Foreign tax reclaims | 3,789 |
Expense reimbursement due from Investment Manager | 1,292 |
Prepaid expenses | 5,247 |
Trustees’ deferred compensation plan | 97,739 |
Total assets | 510,827,382 |
Liabilities | |
Due to custodian | 472 |
Payable for: | |
Investments purchased | 6,923,257 |
Capital shares purchased | 308,886 |
Management services fees | 12,043 |
Distribution and/or service fees | 1,284 |
Service fees | 61,665 |
Compensation of board members | 14,092 |
Other expenses | 102,119 |
Trustees’ deferred compensation plan | 97,739 |
Total liabilities | 7,521,557 |
Net assets applicable to outstanding capital stock | $503,305,825 |
Represented by | |
Paid in capital | 329,500,066 |
Total distributable earnings (loss) | 173,805,759 |
Total - representing net assets applicable to outstanding capital stock | $503,305,825 |
Class 1 | |
Net assets | $316,776,333 |
Shares outstanding | 18,205,250 |
Net asset value per share | $17.40 |
Class 2 | |
Net assets | $186,529,492 |
Shares outstanding | 10,821,868 |
Net asset value per share | $17.24 |
12 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2022 |
Six Months Ended June 30, 2022 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $4,591,332 |
Dividends — affiliated issuers | 4,614 |
Foreign taxes withheld | (30,466) |
Total income | 4,565,480 |
Expenses: | |
Management services fees | 2,518,799 |
Distribution and/or service fees | |
Class 2 | 271,731 |
Service fees | 217,562 |
Compensation of board members | 10,089 |
Custodian fees | 11,785 |
Printing and postage fees | 20,886 |
Audit fees | 14,669 |
Legal fees | 8,148 |
Interest on interfund lending | 209 |
Compensation of chief compliance officer | 79 |
Other | 11,270 |
Total expenses | 3,085,227 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (242,357) |
Total net expenses | 2,842,870 |
Net investment income | 1,722,610 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 10,058,169 |
Investments — affiliated issuers | (401) |
Foreign currency translations | 5,710 |
Net realized gain | 10,063,478 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (111,057,061) |
Investments — affiliated issuers | 666 |
Foreign currency translations | 5 |
Net change in unrealized appreciation (depreciation) | (111,056,390) |
Net realized and unrealized loss | (100,992,912) |
Net decrease in net assets resulting from operations | $(99,270,302) |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2022 | 13 |
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | |
Operations | ||
Net investment income | $1,722,610 | $3,562,012 |
Net realized gain | 10,063,478 | 212,210,544 |
Net change in unrealized appreciation (depreciation) | (111,056,390) | (22,992,144) |
Net increase (decrease) in net assets resulting from operations | (99,270,302) | 192,780,412 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | — | (2,870,583) |
Class 2 | — | (1,737,204) |
Total distributions to shareholders | — | (4,607,787) |
Decrease in net assets from capital stock activity | (39,261,920) | (241,924,101) |
Total decrease in net assets | (138,532,222) | (53,751,476) |
Net assets at beginning of period | 641,838,047 | 695,589,523 |
Net assets at end of period | $503,305,825 | $641,838,047 |
Six Months Ended | Year Ended | |||
June 30, 2022 (Unaudited) | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 118,607 | 2,282,304 | 7,596,548 | 153,876,536 |
Distributions reinvested | — | — | 143,817 | 2,870,583 |
Redemptions | (1,362,298) | (27,192,371) | (11,367,420) | (229,015,939) |
Net decrease | (1,243,691) | (24,910,067) | (3,627,055) | (72,268,820) |
Class 2 | ||||
Subscriptions | 497,339 | 9,919,902 | 1,822,750 | 36,327,358 |
Distributions reinvested | — | — | 87,649 | 1,737,204 |
Redemptions | (1,252,959) | (24,271,755) | (10,412,308) | (207,719,843) |
Net decrease | (755,620) | (14,351,853) | (8,501,909) | (169,655,281) |
Total net decrease | (1,999,311) | (39,261,920) | (12,128,964) | (241,924,101) |
14 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2022 |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2022 | 15 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | |||||||
Six Months Ended 6/30/2022 (Unaudited) | $20.75 | 0.07 | (3.42) | (3.35) | — | — | — |
Year Ended 12/31/2021 | $16.17 | 0.12 | 4.59 | 4.71 | (0.13) | — | (0.13) |
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) |
Class 2 | |||||||
Six Months Ended 6/30/2022 (Unaudited) | $20.58 | 0.04 | (3.38) | (3.34) | — | — | — |
Year Ended 12/31/2021 | $16.06 | 0.06 | 4.56 | 4.62 | (0.10) | — | (0.10) |
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) |
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 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2022 (Unaudited) | $17.40 | (16.14%) | 0.96%(c),(d) | 0.88%(c),(d) | 0.68%(c) | 27% | $316,776 |
Year Ended 12/31/2021 | $20.75 | 29.19% | 0.97%(d) | 0.88%(d) | 0.58% | 69% | $403,571 |
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 |
Class 2 | |||||||
Six Months Ended 6/30/2022 (Unaudited) | $17.24 | (16.23%) | 1.21%(c),(d) | 1.13%(c),(d) | 0.43%(c) | 27% | $186,529 |
Year Ended 12/31/2021 | $20.58 | 28.80% | 1.21%(d) | 1.13%(d) | 0.31% | 69% | $238,267 |
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% | $374,640 |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2022 | 17 |
June 30, 2022 (Unaudited)
18 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2022 | 19 |
June 30, 2022 (Unaudited)
20 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Contractual expense cap July 1, 2022 through April 30, 2023 | Voluntary expense cap May 1, 2022 through June 30, 2022 | Contractual expense cap prior to May 1, 2022 | |
Class 1 | 0.88% | 0.88% | 0.88% |
Class 2 | 1.13 | 1.13 | 1.13 |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2022 | 21 |
June 30, 2022 (Unaudited)
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
559,113,000 | 41,911,000 | (92,801,000) | (50,890,000) |
22 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Borrower | 1,211,111 | 0.96 | 9 |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2022 | 23 |
June 30, 2022 (Unaudited)
24 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2022 | 25 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
26 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2022 |
(Unaudited)
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | Terms of the Management Agreement; |
• | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
• | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
• | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2022 | 27 |
(Unaudited)
into account the organization and strength of the Fund’s and its service providers’ compliance programs. The Board also reviewed the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
28 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2022 |
(Unaudited)
considered 2020 profitability and that the 2022 information showed that the profitability generated by the Investment Manager in 2021 increased from 2020 levels, due to a variety of factors, including the increased assets under management of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager or its affiliates in connection with managing or distributing the Funds, such as the enhanced ability to offer various other financial products to Ameriprise Financial customers, soft dollar benefits and overall reputational advantages. The Board noted that the fees paid by the Fund should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate profit. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2022 | 29 |
June 30, 2022 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2022) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 04/30/12 | -18.90 | -13.09 | 10.44 | 13.00 | |
Class 2 | 04/30/12 | -18.98 | -13.31 | 10.16 | 12.72 | |
Russell 1000 Index | -20.94 | -13.04 | 11.00 | 12.82 |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2022) | |
Common Stocks | 98.2 |
Money Market Funds | 1.8 |
Total | 100.0 |
Equity sector breakdown (%) (at June 30, 2022) | |
Communication Services | 12.4 |
Consumer Discretionary | 7.0 |
Consumer Staples | 6.7 |
Energy | 4.5 |
Financials | 10.4 |
Health Care | 16.4 |
Industrials | 8.1 |
Information Technology | 26.7 |
Materials | 3.3 |
Real Estate | 1.6 |
Utilities | 2.9 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2022 |
(Unaudited)
January 1, 2022 — June 30, 2022 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 811.00 | 1,021.32 | 3.14 | 3.51 | 0.70 |
Class 2 | 1,000.00 | 1,000.00 | 810.20 | 1,020.08 | 4.26 | 4.76 | 0.95 |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2022 | 5 |
June 30, 2022 (Unaudited)
Common Stocks 97.5% | ||
Issuer | Shares | Value ($) |
Communication Services 12.1% | ||
Entertainment 2.4% | ||
Endeavor Group Holdings, Inc., Class A(a) | 235,324 | 4,838,262 |
Take-Two Interactive Software, Inc.(a) | 137,231 | 16,814,914 |
Walt Disney Co. (The)(a) | 100,180 | 9,456,992 |
Total | 31,110,168 | |
Interactive Media & Services 6.3% | ||
Alphabet, Inc., Class A(a) | 14,919 | 32,512,380 |
Alphabet, Inc., Class C(a) | 15,232 | 33,319,238 |
Meta Platforms, Inc., Class A(a) | 91,347 | 14,729,704 |
Snap, Inc., Class A(a) | 142,543 | 1,871,589 |
Total | 82,432,911 | |
Media 1.6% | ||
Comcast Corp., Class A | 528,603 | 20,742,382 |
Wireless Telecommunication Services 1.8% | ||
T-Mobile USA, Inc.(a) | 173,570 | 23,352,108 |
Total Communication Services | 157,637,569 | |
Consumer Discretionary 6.8% | ||
Automobiles 0.7% | ||
Tesla Motors, Inc.(a) | 14,015 | 9,437,981 |
Hotels, Restaurants & Leisure 1.0% | ||
Chipotle Mexican Grill, Inc.(a) | 3,890 | 5,085,242 |
McDonald’s Corp. | 33,523 | 8,276,158 |
Total | 13,361,400 | |
Internet & Direct Marketing Retail 3.9% | ||
Amazon.com, Inc.(a) | 480,180 | 50,999,918 |
Specialty Retail 0.4% | ||
Lowe’s Companies, Inc. | 30,489 | 5,325,513 |
Textiles, Apparel & Luxury Goods 0.8% | ||
Tapestry, Inc. | 278,127 | 8,488,436 |
Under Armour, Inc., Class A(a) | 225,687 | 1,879,973 |
Total | 10,368,409 | |
Total Consumer Discretionary | 89,493,221 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Consumer Staples 6.5% | ||
Beverages 0.8% | ||
Monster Beverage Corp.(a) | 112,866 | 10,462,678 |
Food & Staples Retailing 3.8% | ||
Sysco Corp. | 266,629 | 22,586,143 |
Walmart, Inc. | 227,163 | 27,618,477 |
Total | 50,204,620 | |
Food Products 1.6% | ||
Mondelez International, Inc., Class A | 338,894 | 21,041,929 |
Personal Products 0.3% | ||
Coty, Inc., Class A(a) | 398,040 | 3,188,300 |
Total Consumer Staples | 84,897,527 | |
Energy 4.3% | ||
Oil, Gas & Consumable Fuels 4.3% | ||
Canadian Natural Resources Ltd. | 251,166 | 13,482,591 |
Chevron Corp. | 193,965 | 28,082,253 |
EOG Resources, Inc. | 138,922 | 15,342,545 |
Total | 56,907,389 | |
Total Energy | 56,907,389 | |
Financials 10.2% | ||
Banks 4.5% | ||
Bank of America Corp. | 692,371 | 21,553,509 |
JPMorgan Chase & Co. | 118,045 | 13,293,047 |
Wells Fargo & Co. | 601,391 | 23,556,486 |
Total | 58,403,042 | |
Capital Markets 2.5% | ||
BlackRock, Inc. | 12,471 | 7,595,338 |
MSCI, Inc. | 18,646 | 7,684,949 |
State Street Corp. | 290,496 | 17,909,078 |
Total | 33,189,365 | |
Consumer Finance 0.1% | ||
American Express Co. | 9,481 | 1,314,257 |
Diversified Financial Services 2.8% | ||
Berkshire Hathaway, Inc., Class B(a) | 135,050 | 36,871,351 |
6 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Insurance 0.3% | ||
Aon PLC, Class A | 11,781 | 3,177,100 |
Total Financials | 132,955,115 | |
Health Care 16.0% | ||
Biotechnology 2.8% | ||
BioMarin Pharmaceutical, Inc.(a) | 119,404 | 9,895,010 |
Horizon Therapeutics PLC(a) | 70,149 | 5,595,084 |
Vertex Pharmaceuticals, Inc.(a) | 74,880 | 21,100,435 |
Total | 36,590,529 | |
Health Care Equipment & Supplies 2.6% | ||
Abbott Laboratories | 163,865 | 17,803,932 |
Baxter International, Inc. | 116,038 | 7,453,121 |
Boston Scientific Corp.(a) | 233,500 | 8,702,545 |
Total | 33,959,598 | |
Health Care Providers & Services 3.2% | ||
CVS Health Corp. | 234,510 | 21,729,697 |
Elevance Health, Inc. | 40,556 | 19,571,514 |
Total | 41,301,211 | |
Life Sciences Tools & Services 1.3% | ||
IQVIA Holdings, Inc.(a) | 38,401 | 8,332,633 |
Thermo Fisher Scientific, Inc. | 14,938 | 8,115,517 |
Total | 16,448,150 | |
Pharmaceuticals 6.1% | ||
Eli Lilly & Co. | 94,306 | 30,576,834 |
Johnson & Johnson | 280,721 | 49,830,785 |
Total | 80,407,619 | |
Total Health Care | 208,707,107 | |
Industrials 7.9% | ||
Aerospace & Defense 3.7% | ||
Raytheon Technologies Corp. | 507,415 | 48,767,656 |
Airlines 1.1% | ||
Southwest Airlines Co.(a) | 419,590 | 15,155,591 |
Industrial Conglomerates 0.9% | ||
Honeywell International, Inc. | 64,870 | 11,275,055 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Road & Rail 2.2% | ||
Uber Technologies, Inc.(a) | 769,251 | 15,738,875 |
Union Pacific Corp. | 60,661 | 12,937,778 |
Total | 28,676,653 | |
Total Industrials | 103,874,955 | |
Information Technology 26.0% | ||
Electronic Equipment, Instruments & Components 0.8% | ||
TE Connectivity Ltd. | 99,263 | 11,231,608 |
IT Services 5.3% | ||
Fidelity National Information Services, Inc. | 103,963 | 9,530,288 |
Global Payments, Inc. | 76,653 | 8,480,888 |
International Business Machines Corp. | 73,036 | 10,311,953 |
MasterCard, Inc., Class A | 72,127 | 22,754,626 |
PayPal Holdings, Inc.(a) | 66,843 | 4,668,315 |
Visa, Inc., Class A | 67,208 | 13,232,583 |
Total | 68,978,653 | |
Semiconductors & Semiconductor Equipment 2.4% | ||
Advanced Micro Devices, Inc.(a) | 76,141 | 5,822,502 |
GlobalFoundries, Inc.(a) | 58,829 | 2,373,162 |
Lam Research Corp. | 19,248 | 8,202,535 |
Marvell Technology, Inc. | 51,494 | 2,241,534 |
Micron Technology, Inc. | 47,232 | 2,610,985 |
NVIDIA Corp. | 63,983 | 9,699,183 |
Total | 30,949,901 | |
Software 12.0% | ||
Adobe, Inc.(a) | 55,770 | 20,415,166 |
Intuit, Inc. | 54,298 | 20,928,621 |
Microsoft Corp. | 348,173 | 89,421,272 |
Palo Alto Networks, Inc.(a) | 33,404 | 16,499,572 |
Salesforce, Inc.(a) | 59,124 | 9,757,825 |
Total | 157,022,456 | |
Technology Hardware, Storage & Peripherals 5.5% | ||
Apple, Inc. | 527,708 | 72,148,238 |
Total Information Technology | 340,330,856 |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2022 | 7 |
June 30, 2022 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Materials 3.3% | ||
Chemicals 2.9% | ||
Corteva, Inc. | 193,773 | 10,490,870 |
Ecolab, Inc. | 50,540 | 7,771,030 |
International Flavors & Fragrances, Inc. | 115,188 | 13,721,195 |
Nutrien Ltd. | 78,501 | 6,255,745 |
Total | 38,238,840 | |
Metals & Mining 0.4% | ||
Newmont Corp. | 73,285 | 4,372,916 |
Total Materials | 42,611,756 | |
Real Estate 1.6% | ||
Equity Real Estate Investment Trusts (REITS) 1.6% | ||
American Tower Corp. | 80,045 | 20,458,701 |
Total Real Estate | 20,458,701 | |
Utilities 2.8% | ||
Electric Utilities 1.6% | ||
American Electric Power Co., Inc. | 222,283 | 21,325,831 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Multi-Utilities 1.2% | ||
Public Service Enterprise Group, Inc. | 250,779 | 15,869,295 |
Total Utilities | 37,195,126 | |
Total Common Stocks (Cost $1,125,849,632) | 1,275,069,322 | |
Money Market Funds 1.8% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.247%(b),(c) | 23,107,153 | 23,093,289 |
Total Money Market Funds (Cost $23,095,451) | 23,093,289 | |
Total Investments in Securities (Cost: $1,148,945,083) | 1,298,162,611 | |
Other Assets & Liabilities, Net | 9,286,750 | |
Net Assets | 1,307,449,361 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 1.247% | ||||||||
12,885,067 | 156,587,688 | (146,377,304) | (2,162) | 23,093,289 | (11,628) | 67,389 | 23,107,153 |
■ | 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 2022 |
June 30, 2022 (Unaudited)
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 157,637,569 | — | — | 157,637,569 |
Consumer Discretionary | 89,493,221 | — | — | 89,493,221 |
Consumer Staples | 84,897,527 | — | — | 84,897,527 |
Energy | 56,907,389 | — | — | 56,907,389 |
Financials | 132,955,115 | — | — | 132,955,115 |
Health Care | 208,707,107 | — | — | 208,707,107 |
Industrials | 103,874,955 | — | — | 103,874,955 |
Information Technology | 340,330,856 | — | — | 340,330,856 |
Materials | 42,611,756 | — | — | 42,611,756 |
Real Estate | 20,458,701 | — | — | 20,458,701 |
Utilities | 37,195,126 | — | — | 37,195,126 |
Total Common Stocks | 1,275,069,322 | — | — | 1,275,069,322 |
Money Market Funds | 23,093,289 | — | — | 23,093,289 |
Total Investments in Securities | 1,298,162,611 | — | — | 1,298,162,611 |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2022 | 9 |
June 30, 2022 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,125,849,632) | $1,275,069,322 |
Affiliated issuers (cost $23,095,451) | 23,093,289 |
Receivable for: | |
Investments sold | 10,838,761 |
Capital shares sold | 943 |
Dividends | 882,607 |
Foreign tax reclaims | 18,402 |
Expense reimbursement due from Investment Manager | 2,335 |
Prepaid expenses | 11,272 |
Trustees’ deferred compensation plan | 153,782 |
Total assets | 1,310,070,713 |
Liabilities | |
Payable for: | |
Investments purchased | 2,185,026 |
Capital shares purchased | 200,980 |
Management services fees | 26,282 |
Distribution and/or service fees | 911 |
Service fees | 9,184 |
Compensation of board members | 19,530 |
Other expenses | 25,657 |
Trustees’ deferred compensation plan | 153,782 |
Total liabilities | 2,621,352 |
Net assets applicable to outstanding capital stock | $1,307,449,361 |
Represented by | |
Trust capital | $1,307,449,361 |
Total - representing net assets applicable to outstanding capital stock | $1,307,449,361 |
Class 1 | |
Net assets | $1,175,806,738 |
Shares outstanding | 35,626,805 |
Net asset value per share | $33.00 |
Class 2 | |
Net assets | $131,642,623 |
Shares outstanding | 4,089,505 |
Net asset value per share | $32.19 |
10 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2022 |
Six Months Ended June 30, 2022 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $9,852,154 |
Dividends — affiliated issuers | 67,389 |
Interfund lending | 254 |
Foreign taxes withheld | (55,650) |
Total income | 9,864,147 |
Expenses: | |
Management services fees | 5,345,246 |
Distribution and/or service fees | |
Class 2 | 183,860 |
Service fees | 49,609 |
Compensation of board members | 14,797 |
Custodian fees | 9,221 |
Printing and postage fees | 7,242 |
Audit fees | 14,669 |
Legal fees | 12,977 |
Compensation of chief compliance officer | 211 |
Other | 12,034 |
Total expenses | 5,649,866 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (252,795) |
Total net expenses | 5,397,071 |
Net investment income | 4,467,076 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 64,408,119 |
Investments — affiliated issuers | (11,628) |
Foreign currency translations | 1,604 |
Net realized gain | 64,398,095 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (375,778,565) |
Investments — affiliated issuers | (2,162) |
Foreign currency translations | (71) |
Net change in unrealized appreciation (depreciation) | (375,780,798) |
Net realized and unrealized loss | (311,382,703) |
Net decrease in net assets resulting from operations | $(306,915,627) |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2022 | 11 |
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | |
Operations | ||
Net investment income | $4,467,076 | $8,577,104 |
Net realized gain | 64,398,095 | 335,524,121 |
Net change in unrealized appreciation (depreciation) | (375,780,798) | 15,420,836 |
Net increase (decrease) in net assets resulting from operations | (306,915,627) | 359,522,061 |
Decrease in net assets from capital stock activity | (60,891,436) | (266,081,388) |
Total increase (decrease) in net assets | (367,807,063) | 93,440,673 |
Net assets at beginning of period | 1,675,256,424 | 1,581,815,751 |
Net assets at end of period | $1,307,449,361 | $1,675,256,424 |
Six Months Ended | Year Ended | |||
June 30, 2022 (Unaudited) | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 75,536 | 2,680,165 | 81,946 | 3,067,204 |
Redemptions | (1,619,604) | (63,016,306) | (7,176,586) | (267,772,669) |
Net decrease | (1,544,068) | (60,336,141) | (7,094,640) | (264,705,465) |
Class 2 | ||||
Subscriptions | 180,971 | 6,567,275 | 300,120 | 10,926,608 |
Redemptions | (192,722) | (7,122,570) | (340,477) | (12,302,531) |
Net decrease | (11,751) | (555,295) | (40,357) | (1,375,923) |
Total net decrease | (1,555,819) | (60,891,436) | (7,134,997) | (266,081,388) |
12 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2022 |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2022 | 13 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Six Months Ended 6/30/2022 (Unaudited) | $40.69 | 0.12 | (7.81) | (7.69) |
Year Ended 12/31/2021 | $32.74 | 0.20 | 7.75 | 7.95 |
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 |
Class 2 | ||||
Six Months Ended 6/30/2022 (Unaudited) | $39.73 | 0.07 | (7.61) | (7.54) |
Year Ended 12/31/2021 | $32.05 | 0.11 | 7.57 | 7.68 |
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 |
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 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2022 (Unaudited) | $33.00 | (18.90%) | 0.73%(c) | 0.70%(c) | 0.62%(c) | 26% | $1,175,807 |
Year Ended 12/31/2021 | $40.69 | 24.28% | 0.73% | 0.70% | 0.54% | 45% | $1,512,305 |
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 |
Class 2 | |||||||
Six Months Ended 6/30/2022 (Unaudited) | $32.19 | (18.98%) | 0.98%(c) | 0.95%(c) | 0.38%(c) | 26% | $131,643 |
Year Ended 12/31/2021 | $39.73 | 23.96% | 0.98% | 0.95% | 0.29% | 45% | $162,952 |
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% | $110,867 |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2022 | 15 |
June 30, 2022 (Unaudited)
16 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2022 | 17 |
June 30, 2022 (Unaudited)
18 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
May 1, 2022 through April 30, 2023 | Prior to May 1, 2022 | |
Class 1 | 0.68% | 0.71% |
Class 2 | 0.93 | 0.96 |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2022 | 19 |
June 30, 2022 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 1,800,000 | 0.85 | 6 |
20 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2022 | 21 |
June 30, 2022 (Unaudited)
22 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2022 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2022 | 23 |
(Unaudited)
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | Terms of the Management Agreement; |
24 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2022 |
(Unaudited)
into account the organization and strength of the Fund’s and its service providers’ compliance programs. The Board also reviewed the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2022 | 25 |
(Unaudited)
The Board also considered the profitability of the Investment Manager and its affiliates in connection with the Investment Manager providing management services to the Fund. With respect to the profitability of the Investment Manager and its affiliates, the Independent Trustees referred to information discussing the profitability to the Investment Manager and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2021 the Board had considered 2020 profitability and that the 2022 information showed that the profitability generated by the Investment Manager in 2021 increased from 2020 levels, due to a variety of factors, including the increased assets under management of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager or its affiliates in connection with managing or distributing the Funds, such as the enhanced ability to offer various other financial products to Ameriprise Financial customers, soft dollar benefits and overall reputational advantages. The Board noted that the fees paid by the Fund should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate profit. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
26 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2022) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | Life | ||
Class 1* | 02/20/19 | -15.28 | -13.50 | 2.46 | 3.07 | |
Class 2 | 04/12/13 | -15.38 | -13.77 | 2.27 | 2.96 | |
Blended Benchmark | -13.97 | -11.80 | 3.61 | 4.24 | ||
Bloomberg U.S. Aggregate Bond Index | -10.35 | -10.29 | 0.88 | 1.41 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. 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 2022 | 3 |
(Unaudited)
Portfolio Allocation (%) (at June 30, 2022) | |
Allocations to Underlying Funds | |
Equity Funds | 29.2 |
International | 7.0 |
U.S. Large Cap | 18.1 |
U.S. Mid Cap | 1.3 |
U.S. Small Cap | 2.8 |
Exchange-Traded Equity Funds | 2.0 |
International Mid Large Cap | 1.0 |
U.S. Large Cap | 1.0 |
Exchange-Traded Fixed Income Funds | 4.6 |
Investment Grade | 4.6 |
Fixed Income Funds | 37.5 |
Investment Grade | 37.5 |
Allocations to Tactical Assets | |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 17.8 |
Options Purchased Puts | 0.9 |
Residential Mortgage-Backed Securities - Agency | 8.0 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2022 |
(Unaudited)
January 1, 2022 — June 30, 2022 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 847.20 | 1,023.41 | 1.28 | 1.40 | 0.28 | 3.30 | 3.61 | 0.72 |
Class 2 | 1,000.00 | 1,000.00 | 846.20 | 1,022.17 | 2.43 | 2.66 | 0.53 | 4.44 | 4.86 | 0.97 |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2022 | 5 |
June 30, 2022 (Unaudited)
Equity Funds 31.4% | ||
Shares | Value ($) | |
International 7.6% | ||
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(a) | 4,795,199 | 53,322,611 |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares(a) | 2,507,081 | 21,134,696 |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares(a),(b) | 1,234,304 | 12,009,784 |
Variable Portfolio – Partners International Value Fund, Class 1 Shares(a) | 1,509,146 | 12,435,361 |
Total | 98,902,452 | |
U.S. Large Cap 19.4% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 575,579 | 18,994,118 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 712,424 | 50,781,570 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 826,726 | 22,073,596 |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 3,464,463 | 50,858,324 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 687,841 | 22,863,825 |
CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 627,412 | 20,610,477 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 422,732 | 15,328,250 |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares(a),(b) | 450,148 | 19,122,271 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 664,775 | 20,149,345 |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(a),(b) | 446,950 | 13,046,468 |
Total | 253,828,244 | |
U.S. Mid Cap 1.4% | ||
Columbia Variable Portfolio – Select Mid Cap Growth Fund, Class 1 Shares(a),(b) | 123,650 | 4,228,818 |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares(a),(b) | 147,858 | 4,570,292 |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(a),(b) | 120,729 | 4,643,250 |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(a),(b) | 128,171 | 4,392,415 |
Total | 17,834,775 |
Equity Funds (continued) | ||
Shares | Value ($) | |
U.S. Small Cap 3.0% | ||
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares(a) | 262,128 | 4,561,020 |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares(a),(b) | 245,354 | 3,658,221 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 578,404 | 15,316,151 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 516,872 | 16,214,282 |
Total | 39,749,674 | |
Total Equity Funds (Cost $298,025,311) | 410,315,145 | |
Exchange-Traded Equity Funds 2.2% | ||
International Mid Large Cap 1.1% | ||
iShares MSCI EAFE ETF | 218,987 | 13,684,498 |
U.S. Large Cap 1.1% | ||
SPDR S&P 500 ETF Trust | 38,625 | 14,571,281 |
Total Exchange-Traded Equity Funds (Cost $19,661,157) | 28,255,779 | |
Exchange-Traded Fixed Income Funds 4.9% | ||
Investment Grade 4.9% | ||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 329,150 | 36,216,375 |
Vanguard Intermediate-Term Corporate Bond ETF | 351,500 | 28,127,030 |
Total | 64,343,405 | |
Total Exchange-Traded Fixed Income Funds (Cost $70,874,685) | 64,343,405 | |
Fixed Income Funds 40.5% | ||
Investment Grade 40.5% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 11,580,548 | 103,877,512 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 3,196,329 | 29,374,260 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 6,542,763 | 57,052,895 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 3,147,297 | 29,458,700 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 8,439,583 | 83,805,061 |
6 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Fixed Income Funds (continued) | ||
Shares | Value ($) | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 10,421,577 | 99,526,057 |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(a) | 12,562,426 | 124,870,518 |
Total | 527,965,003 | |
Total Fixed Income Funds (Cost $586,769,554) | 527,965,003 |
Residential Mortgage-Backed Securities - Agency 8.6% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(c) | ||||
08/16/2037 | 2.000% | 11,375,000 | 10,620,962 | |
08/16/2037- 08/11/2052 | 2.500% | 50,946,000 | 46,922,900 | |
08/11/2052 | 3.000% | 58,393,000 | 54,381,903 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $110,745,642) | 111,925,765 |
Options Purchased Puts 0.9% | ||||
Value ($) | ||||
(Cost $9,921,542) | 12,281,620 |
Money Market Funds 19.2% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.247%(a),(d) | 251,012,199 | 250,861,591 |
Total Money Market Funds (Cost $250,933,595) | 250,861,591 | |
Total Investments in Securities (Cost: $1,346,931,486) | 1,405,948,308 | |
Other Assets & Liabilities, Net | (100,868,876) | |
Net Assets | 1,305,079,432 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
9,000,000 EUR | 9,537,345 USD | Barclays | 08/19/2022 | 75,240 | — |
2,437,500 GBP | 2,995,775 USD | Barclays | 08/19/2022 | 26,047 | — |
5,000,000 CHF | 5,204,674 USD | Citi | 08/19/2022 | — | (49,228) |
2,212,178 USD | 300,000,000 JPY | Citi | 08/19/2022 | 5,586 | — |
9,589,537 USD | 94,000,000 NOK | Goldman Sachs International | 08/19/2022 | — | (36,768) |
6,000,000 AUD | 4,195,392 USD | UBS | 08/19/2022 | 52,302 | — |
Total | 159,175 | (85,996) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
EURO STOXX 50 Index | 26 | 09/2022 | EUR | 894,660 | — | (8,080) |
FTSE 100 Index | 2 | 09/2022 | GBP | 142,420 | 749 | — |
FTSE 100 Index | 9 | 09/2022 | GBP | 640,890 | — | (14,648) |
MSCI Singapore Index | 12 | 07/2022 | SGD | 336,660 | — | (8,743) |
OMXS30 Index | 60 | 07/2022 | SEK | 11,223,000 | — | (29,604) |
S&P 500 Index E-mini | 303 | 09/2022 | USD | 57,410,925 | 624,969 | — |
SPI 200 Index | 2 | 09/2022 | AUD | 323,050 | 340 | — |
SPI 200 Index | 7 | 09/2022 | AUD | 1,130,675 | — | (22,109) |
TOPIX Index | 13 | 09/2022 | JPY | 243,165,000 | — | (68,554) |
U.S. Long Bond | 139 | 09/2022 | USD | 19,268,875 | — | (102,987) |
U.S. Treasury 10-Year Note | 192 | 09/2022 | USD | 22,758,000 | — | (129,365) |
U.S. Treasury 2-Year Note | 169 | 09/2022 | USD | 35,492,641 | — | (102,841) |
U.S. Treasury 5-Year Note | 549 | 09/2022 | USD | 61,625,250 | — | (328,898) |
U.S. Ultra Treasury Bond | 58 | 09/2022 | USD | 8,951,938 | — | (93,021) |
Total | 626,058 | (908,850) |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2022 | 7 |
June 30, 2022 (Unaudited)
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Russell 2000 Index E-mini | (169) | 09/2022 | USD | (14,432,600) | 1,533,256 | — |
S&P 500 Index E-mini | (145) | 09/2022 | USD | (27,473,875) | 1,651,553 | — |
Total | 3,184,809 | — |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 99,555,494 | 263 | 3,300.00 | 12/15/2023 | 4,645,119 | 5,975,360 |
S&P 500 Index | JPMorgan | USD | 48,831,402 | 129 | 3,600.00 | 12/15/2023 | 3,056,627 | 4,059,630 |
S&P 500 Index | JPMorgan | USD | 46,181,636 | 122 | 3,100.00 | 12/15/2023 | 2,219,796 | 2,246,630 |
Total | 9,921,542 | 12,281,620 |
(a) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Short-Term Cash Fund, 1.247% | |||||||||
294,043,414 | 154,708,426 | (197,835,588) | (54,661) | 250,861,591 | — | (50,299) | 554,307 | 251,012,199 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
23,420,322 | — | — | (4,426,204) | 18,994,118 | — | — | — | 575,579 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
69,053,011 | 469,560 | (2,715,759) | (16,025,242) | 50,781,570 | — | 3,387,136 | — | 712,424 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
125,392,931 | 42,453 | (6,230,100) | (15,327,772) | 103,877,512 | — | (684,176) | — | 11,580,548 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
30,645,223 | 899,573 | (335,082) | (9,136,118) | 22,073,596 | — | 78,893 | — | 826,726 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
35,908,596 | — | (4,643,073) | (1,891,263) | 29,374,260 | — | (388,864) | — | 3,196,329 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
72,158,130 | 976,855 | (178,316) | (15,903,774) | 57,052,895 | — | (20,584) | — | 6,542,763 | |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares | |||||||||
69,182,495 | 4,952,443 | (3,467,919) | (17,344,408) | 53,322,611 | 4,227,722 | (345,694) | 477,773 | 4,795,199 | |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares | |||||||||
68,482,528 | 454,779 | (4,639,701) | (13,439,282) | 50,858,324 | — | 319,324 | — | 3,464,463 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
30,785,822 | 131,475 | (4,431,257) | (3,622,215) | 22,863,825 | — | 854,354 | — | 687,841 | |
Columbia Variable Portfolio – Select Mid Cap Growth Fund, Class 1 Shares | |||||||||
5,925,970 | 400,160 | — | (2,097,312) | 4,228,818 | — | — | — | 123,650 | |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares | |||||||||
6,312,094 | 35,563 | (431,145) | (1,346,220) | 4,570,292 | — | 440,320 | — | 147,858 | |
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares | |||||||||
6,023,497 | 38,383 | (452,283) | (1,048,577) | 4,561,020 | — | 158,009 | — | 262,128 | |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares | |||||||||
5,984,172 | — | — | (2,325,951) | 3,658,221 | — | — | — | 245,354 |
8 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
35,598,946 | 15,358 | (3,146,007) | (3,009,597) | 29,458,700 | — | (293,812) | — | 3,147,297 | |
CTIVP® – Allspring Short Duration Government Fund, Class 1 Shares | |||||||||
17,879,260 | 126,270 | (18,719,630) | 714,100 | — | 88,047 | (1,423,882) | 38,223 | — | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
97,647,861 | 466,905 | (3,182,891) | (11,126,814) | 83,805,061 | — | (411,301) | — | 8,439,583 | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
26,694,716 | 80,759 | (2,478,090) | (3,686,908) | 20,610,477 | — | 415,507 | — | 627,412 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
23,400,192 | 1,518,405 | — | (9,590,347) | 15,328,250 | — | — | — | 422,732 | |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares | |||||||||
26,084,012 | 708,309 | (308,104) | (7,361,946) | 19,122,271 | — | 219,408 | — | 450,148 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
26,447,252 | 53,088 | (3,275,747) | (3,075,248) | 20,149,345 | — | 832,458 | — | 664,775 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
119,700,953 | 16,227 | (7,847,389) | (12,343,734) | 99,526,057 | — | (625,127) | — | 10,421,577 | |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares | |||||||||
6,191,820 | 20,021 | (450,733) | (1,117,858) | 4,643,250 | — | 536,633 | — | 120,729 | |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares | |||||||||
6,095,412 | 204,555 | (125,685) | (1,781,867) | 4,392,415 | — | 76,062 | — | 128,171 | |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares | |||||||||
149,842,256 | 21,485 | (10,542,807) | (14,450,416) | 124,870,518 | — | (1,114,893) | — | 12,562,426 | |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares | |||||||||
17,387,873 | 103,348 | (556,791) | (3,887,962) | 13,046,468 | — | 722,421 | — | 446,950 | |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares | |||||||||
27,843,855 | 4,485,145 | (653,298) | (10,541,006) | 21,134,696 | 3,828,773 | (35,429) | 470,485 | 2,507,081 | |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares | |||||||||
16,237,180 | 1,303,130 | (3,131) | (5,527,395) | 12,009,784 | 754,231 | 27 | — | 1,234,304 | |
Variable Portfolio – Partners International Value Fund, Class 1 Shares | |||||||||
16,183,106 | 376,148 | (1,314,762) | (2,809,131) | 12,435,361 | — | (46,844) | 333,600 | 1,509,146 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
20,427,005 | 1,240,510 | — | (6,351,364) | 15,316,151 | — | — | — | 578,404 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
21,161,792 | 121,285 | (1,465,966) | (3,602,829) | 16,214,282 | — | 340,975 | — | 516,872 | |
Total | 1,498,141,696 | (203,539,321) | 1,189,141,739 | 8,898,773 | 2,940,622 | 1,874,388 |
(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, 2022. |
TBA | To Be Announced |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2022 | 9 |
June 30, 2022 (Unaudited)
AUD | Australian Dollar |
CHF | Swiss Franc |
EUR | Euro |
GBP | British Pound |
JPY | Japanese Yen |
NOK | Norwegian Krone |
SEK | Swedish Krona |
SGD | Singapore Dollar |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Equity Funds | — | — | — | 410,315,145 | 410,315,145 |
Exchange-Traded Equity Funds | 28,255,779 | — | — | — | 28,255,779 |
Exchange-Traded Fixed Income Funds | 64,343,405 | — | — | — | 64,343,405 |
Fixed Income Funds | — | — | — | 527,965,003 | 527,965,003 |
Residential Mortgage-Backed Securities - Agency | — | 111,925,765 | — | — | 111,925,765 |
10 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Options Purchased Puts | 12,281,620 | — | — | — | 12,281,620 |
Money Market Funds | 250,861,591 | — | — | — | 250,861,591 |
Total Investments in Securities | 355,742,395 | 111,925,765 | — | 938,280,148 | 1,405,948,308 |
Investments in Derivatives | |||||
Asset | |||||
Forward Foreign Currency Exchange Contracts | — | 159,175 | — | — | 159,175 |
Futures Contracts | 3,810,867 | — | — | — | 3,810,867 |
Liability | |||||
Forward Foreign Currency Exchange Contracts | — | (85,996) | — | — | (85,996) |
Futures Contracts | (908,850) | — | — | — | (908,850) |
Total | 358,644,412 | 111,998,944 | — | 938,280,148 | 1,408,923,504 |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2022 | 11 |
June 30, 2022 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $201,281,484) | $204,524,949 |
Affiliated issuers (cost $1,135,728,460) | 1,189,141,739 |
Options purchased (cost $9,921,542) | 12,281,620 |
Cash | 324,836 |
Cash collateral held at broker for: | |
TBA | 2,866,558 |
Margin deposits on: | |
Futures contracts | 8,498,537 |
Unrealized appreciation on forward foreign currency exchange contracts | 159,175 |
Receivable for: | |
Investments sold | 530,616 |
Investments sold on a delayed delivery basis | 122,278,991 |
Dividends | 280,769 |
Interest | 100,306 |
Variation margin for futures contracts | 1,408,226 |
Prepaid expenses | 11,907 |
Trustees’ deferred compensation plan | 96,566 |
Total assets | 1,542,504,795 |
Liabilities | |
Unrealized depreciation on forward foreign currency exchange contracts | 85,996 |
Payable for: | |
Investments purchased on a delayed delivery basis | 235,751,525 |
Capital shares purchased | 758,024 |
Variation margin for futures contracts | 599,221 |
Management services fees | 7,880 |
Distribution and/or service fees | 8,927 |
Service fees | 65,329 |
Compensation of board members | 19,603 |
Other expenses | 32,292 |
Trustees’ deferred compensation plan | 96,566 |
Total liabilities | 237,425,363 |
Net assets applicable to outstanding capital stock | $1,305,079,432 |
Represented by | |
Trust capital | $1,305,079,432 |
Total - representing net assets applicable to outstanding capital stock | $1,305,079,432 |
Class 1 | |
Net assets | $917,364 |
Shares outstanding | 69,508 |
Net asset value per share | $13.20 |
Class 2 | |
Net assets | $1,304,162,068 |
Shares outstanding | 99,617,249 |
Net asset value per share | $13.09 |
12 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2022 |
Six Months Ended June 30, 2022 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $1,240,724 |
Dividends — affiliated issuers | 1,874,388 |
Interest | 5,733 |
Total income | 3,120,845 |
Expenses: | |
Management services fees | 1,502,693 |
Distribution and/or service fees | |
Class 2 | 1,806,489 |
Service fees | 433,050 |
Compensation of board members | 14,551 |
Custodian fees | 14,624 |
Printing and postage fees | 10,796 |
Audit fees | 15,301 |
Legal fees | 12,723 |
Interest on collateral | 5,179 |
Compensation of chief compliance officer | 206 |
Other | 10,908 |
Total expenses | 3,826,520 |
Net investment loss | (705,675) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (14,363,352) |
Investments — affiliated issuers | 2,940,622 |
Capital gain distributions from underlying affiliated funds | 8,898,773 |
Foreign currency translations | (131,342) |
Forward foreign currency exchange contracts | (788,168) |
Futures contracts | (23,353,491) |
Options purchased | (1,802,183) |
Net realized loss | (28,599,141) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (20,594,419) |
Investments — affiliated issuers | (203,539,321) |
Forward foreign currency exchange contracts | 73,179 |
Futures contracts | 289,083 |
Options purchased | 7,578,634 |
Net change in unrealized appreciation (depreciation) | (216,192,844) |
Net realized and unrealized loss | (244,791,985) |
Net decrease in net assets resulting from operations | $(245,497,660) |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2022 | 13 |
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | |
Operations | ||
Net investment income (loss) | $(705,675) | $10,245,155 |
Net realized gain (loss) | (28,599,141) | 114,778,932 |
Net change in unrealized appreciation (depreciation) | (216,192,844) | (35,473,925) |
Net increase (decrease) in net assets resulting from operations | (245,497,660) | 89,550,162 |
Decrease in net assets from capital stock activity | (85,152,197) | (148,956,033) |
Total decrease in net assets | (330,649,857) | (59,405,871) |
Net assets at beginning of period | 1,635,729,289 | 1,695,135,160 |
Net assets at end of period | $1,305,079,432 | $1,635,729,289 |
Six Months Ended | Year Ended | |||
June 30, 2022 (Unaudited) | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 10,482 | 148,553 | 38,073 | 582,714 |
Redemptions | (6,261) | (93,331) | (9,693) | (147,942) |
Net increase | 4,221 | 55,222 | 28,380 | 434,772 |
Class 2 | ||||
Subscriptions | 811,166 | 11,472,011 | 2,448,261 | 36,745,727 |
Redemptions | (6,843,374) | (96,679,430) | (12,349,068) | (186,136,532) |
Net decrease | (6,032,208) | (85,207,419) | (9,900,807) | (149,390,805) |
Total net decrease | (6,027,987) | (85,152,197) | (9,872,427) | (148,956,033) |
14 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2022 |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2022 | 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 6/30/2022 (Unaudited) | $15.58 | 0.01 | (2.39) | (2.38) |
Year Ended 12/31/2021 | $14.73 | 0.13 | 0.72 | 0.85 |
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 6/30/2022 (Unaudited) | $15.47 | (0.01) | (2.37) | (2.38) |
Year Ended 12/31/2021 | $14.67 | 0.09 | 0.71 | 0.80 |
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 |
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 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2022 (Unaudited) | $13.20 | (15.28%) | 0.28%(c),(d) | 0.28%(c),(d) | 0.16%(c) | 78% | $917 |
Year Ended 12/31/2021 | $15.58 | 5.77% | 0.28%(d) | 0.28%(d) | 0.85% | 180% | $1,017 |
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 6/30/2022 (Unaudited) | $13.09 | (15.38%) | 0.53%(c),(d) | 0.53%(c),(d) | (0.10%)(c) | 78% | $1,304,162 |
Year Ended 12/31/2021 | $15.47 | 5.45% | 0.53%(d) | 0.53%(d) | 0.62% | 180% | $1,634,712 |
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% | $1,425,498 |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2022 | 17 |
June 30, 2022 (Unaudited)
18 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2022 | 19 |
June 30, 2022 (Unaudited)
20 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2022 | 21 |
June 30, 2022 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 3,810,867* |
Equity risk | Investments, at value — Options Purchased | 12,281,620 |
Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 159,175 |
Total | 16,251,662 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 151,738* |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 85,996 |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 757,112* |
Total | 994,846 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
22 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | — | (11,502,579) | (1,802,183) | (13,304,762) |
Foreign exchange risk | (788,168) | (109,429) | — | (897,597) |
Interest rate risk | — | (11,741,483) | — | (11,741,483) |
Total | (788,168) | (23,353,491) | (1,802,183) | (25,943,842) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | — | 2,012,889 | 7,578,634 | 9,591,523 |
Foreign exchange risk | 73,179 | (262,355) | — | (189,176) |
Interest rate risk | — | (1,461,451) | — | (1,461,451) |
Total | 73,179 | 289,083 | 7,578,634 | 7,940,896 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 222,793,326 |
Futures contracts — short | 46,820,651 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 12,792,190 |
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 400,332 | (210,878) |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2022. |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2022 | 23 |
June 30, 2022 (Unaudited)
Barclays ($) | Citi ($) | Goldman Sachs International ($) | JPMorgan ($) | UBS ($) | Total ($) | |
Assets | ||||||
Forward foreign currency exchange contracts | 101,287 | 5,586 | - | - | 52,302 | 159,175 |
Options purchased puts | - | - | - | 12,281,620 | - | 12,281,620 |
Total assets | 101,287 | 5,586 | - | 12,281,620 | 52,302 | 12,440,795 |
Liabilities | ||||||
Forward foreign currency exchange contracts | - | 49,228 | 36,768 | - | - | 85,996 |
Total financial and derivative net assets | 101,287 | (43,642) | (36,768) | 12,281,620 | 52,302 | 12,354,799 |
Total collateral received (pledged) (a) | - | - | - | - | - | - |
Net amount (b) | 101,287 | (43,642) | (36,768) | 12,281,620 | 52,302 | 12,354,799 |
(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 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2022 | 25 |
June 30, 2022 (Unaudited)
26 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
May 1, 2022 through April 30, 2023 | Prior to May 1, 2022 | |
Class 1 | 0.79% | 0.80% |
Class 2 | 1.04 | 1.05 |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2022 | 27 |
June 30, 2022 (Unaudited)
28 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2022 | 29 |
June 30, 2022 (Unaudited)
30 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2022 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2022 | 31 |
(Unaudited)
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes 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 Conservative Growth Fund | Semiannual Report 2022 |
(Unaudited)
into account the organization and strength of the Fund’s and its service providers’ compliance programs. The Board also reviewed the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2022 | 33 |
(Unaudited)
considered 2020 profitability and that the 2022 information showed that the profitability generated by the Investment Manager in 2021 increased from 2020 levels, due to a variety of factors, including the increased assets under management of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager or its affiliates in connection with managing or distributing the Funds, such as the enhanced ability to offer various other financial products to Ameriprise Financial customers, soft dollar benefits and overall reputational advantages. The Board noted that the fees paid by the Fund should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate profit. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
34 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2022) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | Life | ||
Class 1* | 02/20/19 | -19.06 | -15.87 | 3.78 | 4.64 | |
Class 2 | 04/12/13 | -19.11 | -16.09 | 3.61 | 4.55 | |
Blended Benchmark | -17.07 | -13.18 | 5.86 | 6.65 | ||
Russell 3000 Index | -21.10 | -13.87 | 10.60 | 11.54 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share class, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2022 | 3 |
(Unaudited)
Portfolio Allocation (%) (at June 30, 2022) | |
Allocations to Underlying Funds | |
Equity Funds | 55.7 |
International | 14.2 |
U.S. Large Cap | 34.5 |
U.S. Mid Cap | 2.6 |
U.S. Small Cap | 4.4 |
Exchange-Traded Equity Funds | 1.2 |
International Mid Large Cap | 1.2 |
Exchange-Traded Fixed Income Funds | 7.1 |
Investment Grade | 7.1 |
Fixed Income Funds | 10.6 |
Investment Grade | 10.6 |
Allocations to Tactical Assets | |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 14.8 |
Options Purchased Puts | 1.6 |
Residential Mortgage-Backed Securities - Agency | 9.0 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2022 |
(Unaudited)
January 1, 2022 — June 30, 2022 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 809.40 | 1,023.55 | 1.12 | 1.25 | 0.25 | 3.41 | 3.81 | 0.76 |
Class 2 | 1,000.00 | 1,000.00 | 808.90 | 1,022.32 | 2.24 | 2.51 | 0.50 | 4.53 | 5.06 | 1.01 |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2022 | 5 |
June 30, 2022 (Unaudited)
Equity Funds 60.4% | ||
Shares | Value ($) | |
International 15.4% | ||
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(a) | 62,127,029 | 690,852,566 |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares(a) | 58,246,705 | 491,019,719 |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares(a),(b) | 25,630,370 | 249,383,496 |
Variable Portfolio – Partners International Value Fund, Class 1 Shares(a) | 32,480,453 | 267,638,934 |
Total | 1,698,894,715 | |
U.S. Large Cap 37.4% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 8,445,877 | 278,713,954 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 9,555,953 | 681,148,364 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 14,038,510 | 374,828,222 |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 43,597,279 | 640,008,050 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 12,358,294 | 410,789,705 |
CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 11,728,265 | 385,273,493 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 6,969,605 | 252,717,882 |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares(a),(b) | 8,176,420 | 347,334,311 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 12,725,587 | 385,712,548 |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(a),(b) | 12,175,608 | 355,405,983 |
Total | 4,111,932,512 | |
U.S. Mid Cap 2.8% | ||
Columbia Variable Portfolio – Select Mid Cap Growth Fund, Class 1 Shares(a),(b) | 2,090,439 | 71,493,011 |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares(a),(b) | 2,640,158 | 81,607,298 |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(a),(b) | 2,172,854 | 83,567,952 |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(a),(b) | 2,207,178 | 75,639,999 |
Total | 312,308,260 |
Equity Funds (continued) | ||
Shares | Value ($) | |
U.S. Small Cap 4.8% | ||
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares(a) | 4,599,331 | 80,028,359 |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares(a),(b) | 3,886,961 | 57,954,593 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 6,859,214 | 181,631,973 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 6,465,261 | 202,815,236 |
Total | 522,430,161 | |
Total Equity Funds (Cost $5,114,528,349) | 6,645,565,648 | |
Exchange-Traded Equity Funds 1.3% | ||
International Mid Large Cap 1.3% | ||
iShares MSCI EAFE ETF | 2,300,000 | 143,727,000 |
Total Exchange-Traded Equity Funds (Cost $180,452,200) | 143,727,000 | |
Exchange-Traded Fixed Income Funds 7.7% | ||
Investment Grade 7.7% | ||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 3,598,500 | 395,942,955 |
Vanguard Intermediate-Term Corporate Bond ETF | 5,687,000 | 455,073,740 |
Total | 851,016,695 | |
Total Exchange-Traded Fixed Income Funds (Cost $945,239,904) | 851,016,695 | |
Fixed Income Funds 11.5% | ||
Investment Grade 11.5% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 18,818,139 | 168,798,712 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 9,414,601 | 86,520,183 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 17,995,339 | 156,919,361 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 9,054,970 | 84,754,516 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 16,978,641 | 168,597,909 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 22,148,020 | 211,513,590 |
6 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Fixed Income Funds (continued) | ||
Shares | Value ($) | |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(a) | 38,582,420 | 383,509,252 |
Total | 1,260,613,523 | |
Total Fixed Income Funds (Cost $1,410,281,546) | 1,260,613,523 |
Residential Mortgage-Backed Securities - Agency 9.7% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(c) | ||||
08/16/2037 | 2.000% | 87,750,000 | 81,933,135 | |
08/16/2037- 08/11/2052 | 2.500% | 466,450,000 | 427,766,900 | |
08/11/2052 | 3.000% | 603,182,000 | 561,748,578 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $1,060,392,658) | 1,071,448,613 |
Options Purchased Puts 1.8% | ||||
Value ($) | ||||
(Cost $160,163,277) | 194,618,650 |
Money Market Funds 16.1% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.247%(a),(d) | 1,771,201,585 | 1,770,138,864 |
Total Money Market Funds (Cost $1,770,503,506) | 1,770,138,864 | |
Total Investments in Securities (Cost: $10,641,561,440) | 11,937,128,993 | |
Other Assets & Liabilities, Net | (934,409,508) | |
Net Assets | 11,002,719,485 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
90,000,000 EUR | 95,373,450 USD | Barclays | 08/19/2022 | 752,400 | — |
17,312,500 GBP | 21,277,686 USD | Barclays | 08/19/2022 | 185,001 | — |
40,000,000 CHF | 41,637,390 USD | Citi | 08/19/2022 | — | (393,827) |
7,373,924 USD | 1,000,000,000 JPY | Citi | 08/19/2022 | 18,620 | — |
83,653,410 USD | 820,000,000 NOK | Goldman Sachs International | 08/19/2022 | — | (320,740) |
80,000,000 AUD | 55,938,560 USD | UBS | 08/19/2022 | 697,360 | — |
Total | 1,653,381 | (714,567) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
FTSE 100 Index | 85 | 09/2022 | GBP | 6,052,850 | — | (138,341) |
MSCI Singapore Index | 376 | 07/2022 | SGD | 10,548,680 | — | (273,942) |
OMXS30 Index | 376 | 07/2022 | SEK | 70,330,800 | — | (329,695) |
S&P 500 Index E-mini | 4,935 | 09/2022 | USD | 935,059,125 | 6,767,016 | — |
SPI 200 Index | 97 | 09/2022 | AUD | 15,667,925 | — | (306,363) |
TOPIX Index | 133 | 09/2022 | JPY | 2,487,765,000 | — | (701,364) |
U.S. Long Bond | 1,652 | 09/2022 | USD | 229,008,500 | — | (1,223,993) |
U.S. Treasury 10-Year Note | 2,003 | 09/2022 | USD | 237,418,094 | — | (1,349,571) |
U.S. Treasury 2-Year Note | 1,918 | 09/2022 | USD | 402,809,971 | — | (1,167,157) |
U.S. Treasury 5-Year Note | 2,958 | 09/2022 | USD | 332,035,500 | — | (1,772,096) |
U.S. Ultra Treasury Bond | 1,029 | 09/2022 | USD | 158,819,719 | — | (1,650,323) |
Total | 6,767,016 | (8,912,845) |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2022 | 7 |
June 30, 2022 (Unaudited)
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
EURO STOXX 50 Index | (256) | 09/2022 | EUR | (8,808,960) | 391,854 | — |
Russell 2000 Index E-mini | (1,555) | 09/2022 | USD | (132,797,000) | 13,530,444 | — |
S&P 500 Index E-mini | (2,136) | 09/2022 | USD | (404,718,600) | 21,621,484 | — |
Total | 35,543,782 | — |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 1,506,581,240 | 3,980 | 3,300.00 | 12/15/2023 | 70,294,931 | 90,425,600 |
S&P 500 Index | JPMorgan | USD | 743,827,170 | 1,965 | 3,600.00 | 12/15/2023 | 48,019,733 | 61,838,550 |
S&P 500 Index | JPMorgan | USD | 870,637,400 | 2,300 | 3,100.00 | 12/15/2023 | 41,848,613 | 42,354,500 |
Total | 160,163,277 | 194,618,650 |
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America Investment Grade Index, Series 38 | Morgan Stanley | 06/20/2027 | 1.000 | Quarterly | 1.010 | USD | 150,000,000 | (2,077,193) | — | — | — | (2,077,193) |
* | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(a) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Short-Term Cash Fund, 1.247% | |||||||||
2,314,051,236 | 1,930,822,891 | (2,474,423,267) | (311,996) | 1,770,138,864 | — | (468,411) | 4,117,672 | 1,771,201,585 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
343,662,751 | — | — | (64,948,797) | 278,713,954 | — | — | — | 8,445,877 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
846,944,157 | — | — | (165,795,793) | 681,148,364 | — | — | — | 9,555,953 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
194,015,020 | — | — | (25,216,308) | 168,798,712 | — | — | — | 18,818,139 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
510,881,900 | 16,085,147 | (114,690) | (152,024,135) | 374,828,222 | — | 32,375 | — | 14,038,510 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
97,413,191 | — | (5,044,980) | (5,848,028) | 86,520,183 | — | (529,695) | — | 9,414,601 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
199,623,026 | 1,567,465 | (317,120) | (43,954,010) | 156,919,361 | — | (38,606) | — | 17,995,339 |
8 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares | |||||||||
864,337,263 | 61,200,657 | (8,160,155) | (226,525,199) | 690,852,566 | 54,774,741 | (1,155,270) | 6,073,916 | 62,127,029 | |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares | |||||||||
837,878,607 | — | (30,848,513) | (167,022,044) | 640,008,050 | — | 1,456,112 | — | 43,597,279 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
519,825,531 | — | (50,270,310) | (58,765,516) | 410,789,705 | — | 7,036,153 | — | 12,358,294 | |
Columbia Variable Portfolio – Select Mid Cap Growth Fund, Class 1 Shares | |||||||||
99,192,366 | 6,848,825 | — | (34,548,180) | 71,493,011 | — | — | — | 2,090,439 | |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares | |||||||||
107,931,731 | — | (5,394,286) | (20,930,147) | 81,607,298 | — | 4,600,064 | — | 2,640,158 | |
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares | |||||||||
101,033,306 | — | (3,993,047) | (17,011,900) | 80,028,359 | — | 1,310,947 | — | 4,599,331 | |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares | |||||||||
94,802,986 | — | — | (36,848,393) | 57,954,593 | — | — | — | 3,886,961 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
96,140,569 | — | (2,662,844) | (8,723,209) | 84,754,516 | — | (367,418) | — | 9,054,970 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
197,363,156 | — | (6,344,078) | (22,421,169) | 168,597,909 | — | (747,389) | — | 16,978,641 | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
480,239,279 | — | (29,505,521) | (65,460,265) | 385,273,493 | — | 4,088,729 | — | 11,728,265 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
418,176,308 | — | — | (165,458,426) | 252,717,882 | — | — | — | 6,969,605 | |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares | |||||||||
460,267,017 | 14,965,652 | (26,538) | (127,871,820) | 347,334,311 | — | (1,710) | — | 8,176,420 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
475,691,565 | — | (40,987,952) | (48,991,065) | 385,712,548 | — | 5,048,262 | — | 12,725,587 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
245,451,388 | — | (7,976,973) | (25,960,825) | 211,513,590 | — | (1,091,576) | — | 22,148,020 | |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares | |||||||||
104,752,975 | — | (5,241,733) | (15,943,290) | 83,567,952 | — | 5,326,688 | — | 2,172,854 | |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares | |||||||||
101,892,807 | 2,984,803 | (76,595) | (29,161,016) | 75,639,999 | — | 105,441 | — | 2,207,178 | |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares | |||||||||
445,839,235 | — | (17,581,217) | (44,748,766) | 383,509,252 | — | (2,221,666) | — | 38,582,420 | |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares | |||||||||
457,468,887 | — | (9,108,198) | (92,954,706) | 355,405,983 | — | 6,855,715 | — | 12,175,608 | |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares | |||||||||
631,827,354 | 104,610,766 | (1,114,392) | (244,304,009) | 491,019,719 | 88,953,407 | 23,957 | 10,776,651 | 58,246,705 | |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares | |||||||||
331,623,385 | 30,181,956 | — | (112,421,845) | 249,383,496 | 15,661,629 | — | — | 25,630,370 | |
Variable Portfolio – Partners International Value Fund, Class 1 Shares | |||||||||
332,883,489 | 7,072,770 | (11,917,616) | (60,399,709) | 267,638,934 | — | (1,042,585) | 7,072,770 | 32,480,453 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
238,115,678 | 16,460,577 | — | (72,944,282) | 181,631,973 | — | — | — | 6,859,214 |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2022 | 9 |
June 30, 2022 (Unaudited)
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
257,419,545 | — | (13,658,092) | (40,946,217) | 202,815,236 | — | 21,962 | — | 6,465,261 | |
Total | 12,406,745,708 | (2,198,461,065) | 9,676,318,035 | 159,389,777 | 28,242,079 | 28,041,009 |
(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, 2022. |
TBA | To Be Announced |
AUD | Australian Dollar |
CHF | Swiss Franc |
EUR | Euro |
GBP | British Pound |
JPY | Japanese Yen |
NOK | Norwegian Krone |
SEK | Swedish Krona |
SGD | Singapore Dollar |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
10 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2022 |
June 30, 2022 (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 | — | — | — | 6,645,565,648 | 6,645,565,648 |
Exchange-Traded Equity Funds | 143,727,000 | — | — | — | 143,727,000 |
Exchange-Traded Fixed Income Funds | 851,016,695 | — | — | — | 851,016,695 |
Fixed Income Funds | — | — | — | 1,260,613,523 | 1,260,613,523 |
Residential Mortgage-Backed Securities - Agency | — | 1,071,448,613 | — | — | 1,071,448,613 |
Options Purchased Puts | 194,618,650 | — | — | — | 194,618,650 |
Money Market Funds | 1,770,138,864 | — | — | — | 1,770,138,864 |
Total Investments in Securities | 2,959,501,209 | 1,071,448,613 | — | 7,906,179,171 | 11,937,128,993 |
Investments in Derivatives | |||||
Asset | |||||
Forward Foreign Currency Exchange Contracts | — | 1,653,381 | — | — | 1,653,381 |
Futures Contracts | 42,310,798 | — | — | — | 42,310,798 |
Liability | |||||
Forward Foreign Currency Exchange Contracts | — | (714,567) | — | — | (714,567) |
Futures Contracts | (8,912,845) | — | — | — | (8,912,845) |
Swap Contracts | — | (2,077,193) | — | — | (2,077,193) |
Total | 2,992,899,162 | 1,070,310,234 | — | 7,906,179,171 | 11,969,388,567 |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2022 | 11 |
June 30, 2022 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $2,186,084,762) | $2,066,192,308 |
Affiliated issuers (cost $8,295,313,401) | 9,676,318,035 |
Options purchased (cost $160,163,277) | 194,618,650 |
Cash | 1,111,000 |
Cash collateral held at broker for: | |
TBA | 31,078,553 |
Margin deposits on: | |
Futures contracts | 110,634,498 |
Swap contracts | 4,546,374 |
Unrealized appreciation on forward foreign currency exchange contracts | 1,653,381 |
Receivable for: | |
Investments sold | 7,901,635 |
Investments sold on a delayed delivery basis | 1,127,683,561 |
Dividends | 1,594,206 |
Interest | 950,239 |
Variation margin for futures contracts | 15,272,523 |
Prepaid expenses | 89,058 |
Trustees’ deferred compensation plan | 458,862 |
Total assets | 13,240,102,883 |
Liabilities | |
Unrealized depreciation on forward foreign currency exchange contracts | 714,567 |
Payable for: | |
Investments purchased on a delayed delivery basis | 2,215,009,772 |
Capital shares purchased | 11,288,050 |
Variation margin for futures contracts | 8,999,609 |
Variation margin for swap contracts | 52,038 |
Management services fees | 59,044 |
Distribution and/or service fees | 75,507 |
Service fees | 554,852 |
Compensation of board members | 93,083 |
Other expenses | 78,014 |
Trustees’ deferred compensation plan | 458,862 |
Total liabilities | 2,237,383,398 |
Net assets applicable to outstanding capital stock | $11,002,719,485 |
Represented by | |
Trust capital | $11,002,719,485 |
Total - representing net assets applicable to outstanding capital stock | $11,002,719,485 |
Class 1 | |
Net assets | $14,432,144 |
Shares outstanding | 951,743 |
Net asset value per share | $15.16 |
Class 2 | |
Net assets | $10,988,287,341 |
Shares outstanding | 729,202,532 |
Net asset value per share | $15.07 |
12 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2022 |
Six Months Ended June 30, 2022 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $12,731,414 |
Dividends — affiliated issuers | 28,041,009 |
Interest | 48,700 |
Total income | 40,821,123 |
Expenses: | |
Management services fees | 11,381,706 |
Distribution and/or service fees | |
Class 2 | 15,401,571 |
Service fees | 3,694,857 |
Compensation of board members | 73,161 |
Custodian fees | 22,277 |
Printing and postage fees | 30,504 |
Audit fees | 15,302 |
Legal fees | 69,745 |
Interest on collateral | 109,100 |
Compensation of chief compliance officer | 1,758 |
Other | 70,663 |
Total expenses | 30,870,644 |
Net investment income | 9,950,479 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (66,104,150) |
Investments — affiliated issuers | 28,242,079 |
Capital gain distributions from underlying affiliated funds | 159,389,777 |
Foreign currency translations | (557,272) |
Forward foreign currency exchange contracts | (11,644,486) |
Futures contracts | (395,682,572) |
Options purchased | (23,062,870) |
Swap contracts | (327,650) |
Net realized loss | (309,747,144) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (260,074,970) |
Investments — affiliated issuers | (2,198,461,065) |
Forward foreign currency exchange contracts | 938,814 |
Futures contracts | (6,529,324) |
Options purchased | 116,504,983 |
Swap contracts | (2,418,382) |
Net change in unrealized appreciation (depreciation) | (2,350,039,944) |
Net realized and unrealized loss | (2,659,787,088) |
Net decrease in net assets resulting from operations | $(2,649,836,609) |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2022 | 13 |
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | |
Operations | ||
Net investment income | $9,950,479 | $29,811,980 |
Net realized gain (loss) | (309,747,144) | 1,000,137,461 |
Net change in unrealized appreciation (depreciation) | (2,350,039,944) | 469,812,218 |
Net increase (decrease) in net assets resulting from operations | (2,649,836,609) | 1,499,761,659 |
Increase (decrease) in net assets from capital stock activity | (369,752,126) | 13,236,263 |
Total increase (decrease) in net assets | (3,019,588,735) | 1,512,997,922 |
Net assets at beginning of period | 14,022,308,220 | 12,509,310,298 |
Net assets at end of period | $11,002,719,485 | $14,022,308,220 |
Six Months Ended | Year Ended | |||
June 30, 2022 (Unaudited) | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 250,369 | 4,153,598 | 455,856 | 8,218,379 |
Redemptions | (101,458) | (1,540,830) | (17,590) | (313,724) |
Net increase | 148,911 | 2,612,768 | 438,266 | 7,904,655 |
Class 2 | ||||
Subscriptions | 159,907 | 2,703,579 | 17,641,224 | 310,107,565 |
Redemptions | (22,640,504) | (375,068,473) | (16,932,875) | (304,775,957) |
Net increase (decrease) | (22,480,597) | (372,364,894) | 708,349 | 5,331,608 |
Total net increase (decrease) | (22,331,686) | (369,752,126) | 1,146,615 | 13,236,263 |
14 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2022 |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2022 | 15 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Six Months Ended 6/30/2022 (Unaudited) | $18.73 | 0.04 | (3.61) | (3.57) |
Year Ended 12/31/2021 | $16.69 | 0.08 | 1.96 | 2.04 |
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 6/30/2022 (Unaudited) | $18.63 | 0.01 | (3.57) | (3.56) |
Year Ended 12/31/2021 | $16.65 | 0.04 | 1.94 | 1.98 |
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 |
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 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2022 (Unaudited) | $15.16 | (19.06%) | 0.25%(c),(d) | 0.25%(c),(d) | 0.44%(c) | 87% | $14,432 |
Year Ended 12/31/2021 | $18.73 | 12.22% | 0.25%(d) | 0.25%(d) | 0.46% | 196% | $15,036 |
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 6/30/2022 (Unaudited) | $15.07 | (19.11%) | 0.50%(c),(d) | 0.50%(c),(d) | 0.16%(c) | 87% | $10,988,287 |
Year Ended 12/31/2021 | $18.63 | 11.89% | 0.50%(d) | 0.50%(d) | 0.22% | 196% | $14,007,272 |
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% | $10,121,668 |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2022 | 17 |
June 30, 2022 (Unaudited)
18 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2022 | 19 |
June 30, 2022 (Unaudited)
20 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2022 | 21 |
June 30, 2022 (Unaudited)
22 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 42,310,798* |
Equity risk | Investments, at value — Options Purchased | 194,618,650 |
Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 1,653,381 |
Total | 238,582,829 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of trust capital - unrealized depreciation on swap contracts | 2,077,193* |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 1,749,705* |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 714,567 |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 7,163,140* |
Total | 11,704,605 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2022 | 23 |
June 30, 2022 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | |||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | — | (327,650) | (327,650) |
Equity risk | — | (269,959,717) | (23,062,870) | — | (293,022,587) |
Foreign exchange risk | (11,644,486) | (2,909,015) | — | — | (14,553,501) |
Interest rate risk | — | (122,813,840) | — | — | (122,813,840) |
Total | (11,644,486) | (395,682,572) | (23,062,870) | (327,650) | (430,717,578) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | — | (2,418,382) | (2,418,382) |
Equity risk | — | 9,465,140 | 116,504,983 | — | 125,970,123 |
Foreign exchange risk | 938,814 | (3,496,377) | — | — | (2,557,563) |
Interest rate risk | — | (12,498,087) | — | — | (12,498,087) |
Total | 938,814 | (6,529,324) | 116,504,983 | (2,418,382) | 108,496,091 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 2,615,210,903 |
Futures contracts — short | 470,852,968 |
Credit default swap contracts — sell protection | 150,000,000 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 202,908,375 |
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 3,896,264 | (2,317,479) |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2022. |
24 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2022 | 25 |
June 30, 2022 (Unaudited)
Barclays ($) | Citi ($) | Goldman Sachs International ($) | JPMorgan ($) | Morgan Stanley ($) | UBS ($) | Total ($) | |
Assets | |||||||
Forward foreign currency exchange contracts | 937,401 | 18,620 | - | - | - | 697,360 | 1,653,381 |
Options purchased puts | - | - | - | 194,618,650 | - | - | 194,618,650 |
Total assets | 937,401 | 18,620 | - | 194,618,650 | - | 697,360 | 196,272,031 |
Liabilities | |||||||
Centrally cleared credit default swap contracts (a) | - | - | - | - | 52,038 | - | 52,038 |
Forward foreign currency exchange contracts | - | 393,827 | 320,740 | - | - | - | 714,567 |
Total liabilities | - | 393,827 | 320,740 | - | 52,038 | - | 766,605 |
Total financial and derivative net assets | 937,401 | (375,207) | (320,740) | 194,618,650 | (52,038) | 697,360 | 195,505,426 |
Total collateral received (pledged) (b) | - | - | - | - | (52,038) | - | (52,038) |
Net amount (c) | 937,401 | (375,207) | (320,740) | 194,618,650 | - | 697,360 | 195,557,464 |
(a) | Centrally cleared swaps are included within payable/receivable for variation margin in the Statement of Assets and Liabilities. |
(b) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(c) | Represents the net amount due from/(to) counterparties in the event of default. |
26 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2022 | 27 |
June 30, 2022 (Unaudited)
May 1, 2022 through April 30, 2023 | Prior to May 1, 2022 | |
Class 1 | 0.79% | 0.80% |
Class 2 | 1.04 | 1.05 |
28 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2022 | 29 |
June 30, 2022 (Unaudited)
30 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2022 | 31 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
32 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2022 |
(Unaudited)
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | Terms of the Management Agreement; |
• | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
• | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
• | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2022 | 33 |
(Unaudited)
into account the organization and strength of the Fund’s and its service providers’ compliance programs. The Board also reviewed the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
34 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2022 |
(Unaudited)
considered 2020 profitability and that the 2022 information showed that the profitability generated by the Investment Manager in 2021 increased from 2020 levels, due to a variety of factors, including the increased assets under management of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager or its affiliates in connection with managing or distributing the Funds, such as the enhanced ability to offer various other financial products to Ameriprise Financial customers, soft dollar benefits and overall reputational advantages. The Board noted that the fees paid by the Fund should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate profit. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2022 | 35 |
June 30, 2022 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2022) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | Life | ||
Class 1* | 02/20/19 | -13.42 | -12.37 | 1.79 | 2.24 | |
Class 2 | 04/12/13 | -13.50 | -12.51 | 1.62 | 2.15 | |
Blended Benchmark | -12.42 | -11.12 | 2.50 | 3.07 | ||
Bloomberg U.S. Aggregate Bond Index | -10.35 | -10.29 | 0.88 | 1.41 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. 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 2022 | 3 |
(Unaudited)
Portfolio Allocation (%) (at June 30, 2022) | |
Allocations to Underlying Funds | |
Equity Funds | 16.7 |
International | 4.7 |
U.S. Large Cap | 9.3 |
U.S. Mid Cap | 0.4 |
U.S. Small Cap | 2.3 |
Exchange-Traded Equity Funds | 3.0 |
International Mid Large Cap | 1.3 |
U.S. Large Cap | 1.7 |
Exchange-Traded Fixed Income Funds | 3.2 |
Investment Grade | 3.2 |
Fixed Income Funds | 50.1 |
Investment Grade | 50.1 |
Allocations to Tactical Assets | |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 18.6 |
Options Purchased Puts | 0.5 |
Residential Mortgage-Backed Securities - Agency | 7.9 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2022 |
(Unaudited)
January 1, 2022 — June 30, 2022 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 865.80 | 1,023.36 | 1.34 | 1.45 | 0.29 | 3.24 | 3.51 | 0.70 |
Class 2 | 1,000.00 | 1,000.00 | 865.00 | 1,022.12 | 2.50 | 2.71 | 0.54 | 4.39 | 4.76 | 0.95 |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2022 | 5 |
June 30, 2022 (Unaudited)
Equity Funds 17.9% | ||
Shares | Value ($) | |
International 5.0% | ||
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(a) | 1,864,818 | 20,736,778 |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares(a) | 428,471 | 3,612,012 |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares(a),(b) | 374,973 | 3,648,482 |
Variable Portfolio – Partners International Value Fund, Class 1 Shares(a) | 435,419 | 3,587,854 |
Total | 31,585,126 | |
U.S. Large Cap 10.0% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 183,920 | 6,069,346 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 209,360 | 14,923,171 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 210,020 | 5,607,542 |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 1,103,127 | 16,193,909 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 169,192 | 5,623,953 |
CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 83,026 | 2,727,414 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 66,713 | 2,419,020 |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares(a),(b) | 63,740 | 2,707,656 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 89,860 | 2,723,645 |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(a),(b) | 131,247 | 3,831,095 |
Total | 62,826,751 | |
U.S. Mid Cap 0.4% | ||
Columbia Variable Portfolio – Select Mid Cap Growth Fund, Class 1 Shares(a),(b) | 33,236 | 1,136,653 |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares(a),(b) | 36,598 | 1,131,249 |
Total | 2,267,902 |
Equity Funds (continued) | ||
Shares | Value ($) | |
U.S. Small Cap 2.5% | ||
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares(a) | 64,792 | 1,127,385 |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares(a),(b) | 59,392 | 885,531 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 260,310 | 6,893,013 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 216,554 | 6,793,308 |
Total | 15,699,237 | |
Total Equity Funds (Cost $88,581,840) | 112,379,016 | |
Exchange-Traded Equity Funds 3.2% | ||
International Mid Large Cap 1.4% | ||
iShares MSCI EAFE ETF | 137,532 | 8,594,375 |
U.S. Large Cap 1.8% | ||
SPDR S&P 500 ETF Trust | 30,425 | 11,477,831 |
Total Exchange-Traded Equity Funds (Cost $14,021,764) | 20,072,206 | |
Exchange-Traded Fixed Income Funds 3.5% | ||
Investment Grade 3.5% | ||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 157,850 | 17,368,235 |
Vanguard Intermediate-Term Corporate Bond ETF | 56,000 | 4,481,120 |
Total | 21,849,355 | |
Total Exchange-Traded Fixed Income Funds (Cost $24,884,682) | 21,849,355 | |
Fixed Income Funds 54.0% | ||
Investment Grade 54.0% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 6,738,288 | 60,442,448 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 2,495,764 | 22,936,072 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 4,253,360 | 37,089,297 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 2,465,855 | 23,080,401 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 6,299,176 | 62,550,819 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 6,325,511 | 60,408,629 |
6 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Fixed Income Funds (continued) | ||
Shares | Value ($) | |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(a) | 7,217,215 | 71,739,116 |
Total | 338,246,782 | |
Total Fixed Income Funds (Cost $375,450,296) | 338,246,782 |
Residential Mortgage-Backed Securities - Agency 8.5% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(c) | ||||
08/16/2037 | 2.000% | 6,000,000 | 5,602,266 | |
08/16/2037- 08/11/2052 | 2.500% | 26,177,000 | 24,344,120 | |
08/11/2052 | 3.000% | 24,900,000 | 23,189,584 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $52,571,596) | 53,135,970 |
Options Purchased Puts 0.5% | ||||
Value ($) | ||||
(Cost $2,549,289) | 3,236,840 |
Money Market Funds 20.0% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.247%(a),(d) | 125,402,207 | 125,326,966 |
Total Money Market Funds (Cost $125,364,038) | 125,326,966 | |
Total Investments in Securities (Cost: $683,423,505) | 674,247,135 | |
Other Assets & Liabilities, Net | (47,351,143) | |
Net Assets | 626,895,992 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
6,450,000 EUR | 6,835,097 USD | Barclays | 08/19/2022 | 53,922 | — |
2,500,000 GBP | 3,072,590 USD | Barclays | 08/19/2022 | 26,715 | — |
2,287,500 CHF | 2,381,138 USD | Citi | 08/19/2022 | — | (22,522) |
95,000,000 JPY | 700,523 USD | Citi | 08/19/2022 | — | (1,769) |
4,488,720 USD | 44,000,000 NOK | Goldman Sachs International | 08/19/2022 | — | (17,210) |
4,000,000 AUD | 2,796,928 USD | UBS | 08/19/2022 | 34,868 | — |
Total | 115,505 | (41,501) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | 122 | 09/2022 | USD | 23,115,950 | 333,295 | — |
U.S. Long Bond | 57 | 09/2022 | USD | 7,901,625 | — | (42,233) |
U.S. Treasury 10-Year Note | 161 | 09/2022 | USD | 19,083,531 | — | (108,478) |
U.S. Treasury 2-Year Note | 89 | 09/2022 | USD | 18,691,391 | — | (54,159) |
U.S. Treasury 5-Year Note | 225 | 09/2022 | USD | 25,256,250 | — | (134,794) |
U.S. Ultra Treasury Bond | 10 | 09/2022 | USD | 1,543,438 | — | (16,038) |
Total | 333,295 | (355,702) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
EURO STOXX 50 Index | (82) | 09/2022 | EUR | (2,821,620) | 125,516 | — |
FTSE 100 Index | (12) | 09/2022 | GBP | (854,520) | 19,614 | — |
MSCI Singapore Index | (3) | 07/2022 | SGD | (84,165) | 2,271 | — |
OMXS30 Index | (82) | 07/2022 | SEK | (15,338,100) | 71,682 | — |
Russell 2000 Index E-mini | (97) | 09/2022 | USD | (8,283,800) | 853,389 | — |
S&P 500 Index E-mini | (46) | 09/2022 | USD | (8,715,850) | 498,154 | — |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2022 | 7 |
June 30, 2022 (Unaudited)
Short futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
SPI 200 Index | (5) | 09/2022 | AUD | (807,625) | 15,685 | — |
TOPIX Index | (13) | 09/2022 | JPY | (243,165,000) | 66,898 | — |
Total | 1,653,209 | — |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 18,926,900 | 50 | 3,600.00 | 12/15/2023 | 1,178,651 | 1,573,500 |
S&P 500 Index | JPMorgan | USD | 21,576,666 | 57 | 3,300.00 | 12/15/2023 | 1,006,737 | 1,295,040 |
S&P 500 Index | JPMorgan | USD | 7,570,760 | 20 | 3,100.00 | 12/15/2023 | 363,901 | 368,300 |
Total | 2,549,289 | 3,236,840 |
(a) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Short-Term Cash Fund, 1.247% | |||||||||
127,701,574 | 68,078,416 | (70,422,204) | (30,820) | 125,326,966 | — | (20,905) | 276,279 | 125,402,207 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
7,382,751 | 910,876 | (664,767) | (1,559,514) | 6,069,346 | — | 254,807 | — | 183,920 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
18,089,688 | 2,399,752 | (1,649,367) | (3,916,902) | 14,923,171 | — | 564,494 | — | 209,360 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
70,841,347 | 1,835,817 | (3,499,757) | (8,734,959) | 60,442,448 | — | (273,293) | — | 6,738,288 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
6,807,672 | 1,453,074 | (588,520) | (2,064,684) | 5,607,542 | — | 43,080 | — | 210,020 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
27,258,427 | 296,743 | (3,038,199) | (1,580,899) | 22,936,072 | — | (134,895) | — | 2,495,764 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
43,499,493 | 3,984,595 | (768,449) | (9,626,342) | 37,089,297 | — | (157,753) | — | 4,253,360 | |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares | |||||||||
25,074,560 | 5,422,996 | (3,595,744) | (6,165,034) | 20,736,778 | 1,644,190 | (190,499) | 177,708 | 1,864,818 | |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares | |||||||||
19,697,458 | 2,420,383 | (1,910,811) | (4,013,121) | 16,193,909 | — | 201,757 | — | 1,103,127 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
6,840,751 | 716,018 | (1,068,245) | (864,571) | 5,623,953 | — | 243,478 | — | 169,192 | |
Columbia Variable Portfolio – Select Mid Cap Growth Fund, Class 1 Shares | |||||||||
1,312,885 | 436,464 | (143,113) | (469,583) | 1,136,653 | — | (6,025) | — | 33,236 | |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares | |||||||||
1,373,084 | 190,812 | (151,684) | (280,963) | 1,131,249 | — | 82,392 | — | 36,598 | |
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares | |||||||||
1,342,547 | 157,841 | (120,819) | (252,184) | 1,127,385 | — | 52,236 | — | 64,792 | |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares | |||||||||
1,448,565 | — | — | (563,034) | 885,531 | — | — | — | 59,392 |
8 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
27,211,166 | 492,404 | (2,344,829) | (2,278,340) | 23,080,401 | — | (210,805) | — | 2,465,855 | |
CTIVP® – Allspring Short Duration Government Fund, Class 1 Shares | |||||||||
10,891,147 | 90,924 | (11,365,513) | 383,442 | — | 52,837 | (809,125) | 22,937 | — | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
73,613,000 | 1,385,854 | (4,295,200) | (8,152,835) | 62,550,819 | — | (328,050) | — | 6,299,176 | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
3,290,742 | 301,520 | (307,508) | (557,340) | 2,727,414 | — | 157,344 | — | 83,026 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
2,933,080 | 1,081,587 | (370,502) | (1,225,145) | 2,419,020 | — | (48,752) | — | 66,713 | |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares | |||||||||
3,249,110 | 680,939 | (317,373) | (905,020) | 2,707,656 | — | 10,099 | — | 63,740 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
3,284,787 | 308,566 | (362,903) | (506,805) | 2,723,645 | — | 231,400 | — | 89,860 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
70,860,144 | 1,231,049 | (4,438,577) | (7,243,987) | 60,408,629 | — | (399,905) | — | 6,325,511 | |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares | |||||||||
84,461,385 | 1,350,190 | (5,898,396) | (8,174,063) | 71,739,116 | — | (547,167) | — | 7,217,215 | |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares | |||||||||
4,648,668 | 542,609 | (376,343) | (983,839) | 3,831,095 | — | 132,822 | — | 131,247 | |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares | |||||||||
4,365,620 | 1,444,288 | (489,034) | (1,708,862) | 3,612,012 | 654,474 | 19,697 | 77,763 | 428,471 | |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares | |||||||||
4,358,562 | 1,191,754 | (393,851) | (1,507,983) | 3,648,482 | 229,389 | 860 | — | 374,973 | |
Variable Portfolio – Partners International Value Fund, Class 1 Shares | |||||||||
4,371,651 | 776,892 | (813,921) | (746,768) | 3,587,854 | — | 14,267 | 93,276 | 435,419 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
7,844,897 | 2,104,738 | (627,580) | (2,429,042) | 6,893,013 | — | (57,991) | — | 260,310 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
8,153,352 | 910,840 | (962,223) | (1,308,661) | 6,793,308 | — | 59,438 | — | 216,554 | |
Total | 672,208,113 | (77,467,858) | 575,952,764 | 2,580,890 | (1,116,994) | 647,963 |
(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, 2022. |
TBA | To Be Announced |
AUD | Australian Dollar |
CHF | Swiss Franc |
EUR | Euro |
GBP | British Pound |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2022 | 9 |
June 30, 2022 (Unaudited)
JPY | Japanese Yen |
NOK | Norwegian Krone |
SEK | Swedish Krona |
SGD | Singapore Dollar |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Equity Funds | — | — | — | 112,379,016 | 112,379,016 |
Exchange-Traded Equity Funds | 20,072,206 | — | — | — | 20,072,206 |
Exchange-Traded Fixed Income Funds | 21,849,355 | — | — | — | 21,849,355 |
Fixed Income Funds | — | — | — | 338,246,782 | 338,246,782 |
Residential Mortgage-Backed Securities - Agency | — | 53,135,970 | — | — | 53,135,970 |
Options Purchased Puts | 3,236,840 | — | — | — | 3,236,840 |
Money Market Funds | 125,326,966 | — | — | — | 125,326,966 |
Total Investments in Securities | 170,485,367 | 53,135,970 | — | 450,625,798 | 674,247,135 |
Investments in Derivatives |
10 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Asset | |||||
Forward Foreign Currency Exchange Contracts | — | 115,505 | — | — | 115,505 |
Futures Contracts | 1,986,504 | — | — | — | 1,986,504 |
Liability | |||||
Forward Foreign Currency Exchange Contracts | — | (41,501) | — | — | (41,501) |
Futures Contracts | (355,702) | — | — | — | (355,702) |
Total | 172,116,169 | 53,209,974 | — | 450,625,798 | 675,951,941 |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2022 | 11 |
June 30, 2022 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $91,478,042) | $95,057,531 |
Affiliated issuers (cost $589,396,174) | 575,952,764 |
Options purchased (cost $2,549,289) | 3,236,840 |
Cash | 292,000 |
Cash collateral held at broker for: | |
TBA | 1,387,000 |
Margin deposits on: | |
Futures contracts | 4,056,061 |
Unrealized appreciation on forward foreign currency exchange contracts | 115,505 |
Receivable for: | |
Investments sold | 71,253 |
Investments sold on a delayed delivery basis | 52,693,352 |
Dividends | 160,786 |
Interest | 48,886 |
Variation margin for futures contracts | 763,914 |
Prepaid expenses | 6,370 |
Trustees’ deferred compensation plan | 58,280 |
Total assets | 733,900,542 |
Liabilities | |
Unrealized depreciation on forward foreign currency exchange contracts | 41,501 |
Payable for: | |
Investments purchased on a delayed delivery basis | 106,515,582 |
Capital shares purchased | 101,790 |
Variation margin for futures contracts | 204,495 |
Management services fees | 3,760 |
Distribution and/or service fees | 4,283 |
Service fees | 30,954 |
Compensation of board members | 14,491 |
Other expenses | 29,414 |
Trustees’ deferred compensation plan | 58,280 |
Total liabilities | 107,004,550 |
Net assets applicable to outstanding capital stock | $626,895,992 |
Represented by | |
Trust capital | $626,895,992 |
Total - representing net assets applicable to outstanding capital stock | $626,895,992 |
Class 1 | |
Net assets | $380,891 |
Shares outstanding | 31,065 |
Net asset value per share | $12.26 |
Class 2 | |
Net assets | $626,515,101 |
Shares outstanding | 51,499,860 |
Net asset value per share | $12.17 |
12 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2022 |
Six Months Ended June 30, 2022 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $624,732 |
Dividends — affiliated issuers | 647,963 |
Interest | 1,385 |
Total income | 1,274,080 |
Expenses: | |
Management services fees | 711,136 |
Distribution and/or service fees | |
Class 2 | 835,373 |
Service fees | 200,140 |
Compensation of board members | 10,528 |
Custodian fees | 13,797 |
Printing and postage fees | 7,659 |
Audit fees | 15,301 |
Legal fees | 8,626 |
Interest on collateral | 2,369 |
Compensation of chief compliance officer | 94 |
Other | 6,519 |
Total expenses | 1,811,542 |
Net investment loss | (537,462) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (7,752,509) |
Investments — affiliated issuers | (1,116,994) |
Capital gain distributions from underlying affiliated funds | 2,580,890 |
Foreign currency translations | (303,153) |
Forward foreign currency exchange contracts | 714,385 |
Futures contracts | (7,174,333) |
Options purchased | (430,487) |
Net realized loss | (13,482,201) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (9,959,935) |
Investments — affiliated issuers | (77,467,858) |
Forward foreign currency exchange contracts | 74,004 |
Futures contracts | 1,033,806 |
Options purchased | 1,881,270 |
Net change in unrealized appreciation (depreciation) | (84,438,713) |
Net realized and unrealized loss | (97,920,914) |
Net decrease in net assets resulting from operations | $(98,458,376) |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2022 | 13 |
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | |
Operations | ||
Net investment income (loss) | $(537,462) | $6,588,506 |
Net realized gain (loss) | (13,482,201) | 46,970,183 |
Net change in unrealized appreciation (depreciation) | (84,438,713) | (33,297,622) |
Net increase (decrease) in net assets resulting from operations | (98,458,376) | 20,261,067 |
Decrease in net assets from capital stock activity | (19,422,715) | (177,684,864) |
Total decrease in net assets | (117,881,091) | (157,423,797) |
Net assets at beginning of period | 744,777,083 | 902,200,880 |
Net assets at end of period | $626,895,992 | $744,777,083 |
Six Months Ended | Year Ended | |||
June 30, 2022 (Unaudited) | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 4,649 | 62,622 | 8,437 | 117,705 |
Redemptions | (3,332) | (45,178) | (5,083) | (69,818) |
Net increase | 1,317 | 17,444 | 3,354 | 47,887 |
Class 2 | ||||
Subscriptions | 3,023,203 | 38,631,801 | 3,316,418 | 45,971,074 |
Redemptions | (4,443,440) | (58,071,960) | (16,190,063) | (223,703,825) |
Net decrease | (1,420,237) | (19,440,159) | (12,873,645) | (177,732,751) |
Total net decrease | (1,418,920) | (19,422,715) | (12,870,291) | (177,684,864) |
14 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2022 |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2022 | 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 6/30/2022 (Unaudited) | $14.16 | 0.01 | (1.91) | (1.90) |
Year Ended 12/31/2021 | $13.76 | 0.16 | 0.24 | 0.40 |
Year Ended 12/31/2020 | $12.70 | 0.15 | 0.91 | 1.06 |
Year Ended 12/31/2019(e) | $11.70 | 0.17 | 0.83 | 1.00 |
Class 2 | ||||
Six Months Ended 6/30/2022 (Unaudited) | $14.07 | (0.01) | (1.89) | (1.90) |
Year Ended 12/31/2021 | $13.71 | 0.11 | 0.25 | 0.36 |
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 |
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 Fund | Semiannual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2022 (Unaudited) | $12.26 | (13.42%) | 0.29%(c),(d) | 0.29%(c),(d) | 0.09%(c) | 82% | $381 |
Year Ended 12/31/2021 | $14.16 | 2.91% | 0.29%(d) | 0.29%(d) | 1.18% | 195% | $421 |
Year Ended 12/31/2020 | $13.76 | 8.35% | 0.30% | 0.30% | 1.16% | 132% | $363 |
Year Ended 12/31/2019(e) | $12.70 | 8.55% | 0.31%(c) | 0.31%(c) | 1.57%(c) | 139% | $53 |
Class 2 | |||||||
Six Months Ended 6/30/2022 (Unaudited) | $12.17 | (13.50%) | 0.54%(c),(d) | 0.54%(c),(d) | (0.16%)(c) | 82% | $626,515 |
Year Ended 12/31/2021 | $14.07 | 2.63% | 0.54%(d) | 0.54%(d) | 0.81% | 195% | $744,356 |
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% | $462,907 |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2022 | 17 |
June 30, 2022 (Unaudited)
18 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2022 | 19 |
June 30, 2022 (Unaudited)
20 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2022 | 21 |
June 30, 2022 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 1,986,504* |
Equity risk | Investments, at value — Options Purchased | 3,236,840 |
Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 115,505 |
Total | 5,338,849 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 41,501 |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 355,702* |
Total | 397,203 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
22 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | — | (2,911,292) | (430,487) | (3,341,779) |
Foreign exchange risk | 714,385 | 85,688 | — | 800,073 |
Interest rate risk | — | (4,348,729) | — | (4,348,729) |
Total | 714,385 | (7,174,333) | (430,487) | (6,890,435) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | — | 1,689,479 | 1,881,270 | 3,570,749 |
Foreign exchange risk | 74,004 | 4,551 | — | 78,555 |
Interest rate risk | — | (660,224) | — | (660,224) |
Total | 74,004 | 1,033,806 | 1,881,270 | 2,989,080 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 90,166,676 |
Futures contracts — short | 28,388,307 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 3,287,740 |
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 270,755 | (77,987) |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2022. |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2022 | 23 |
June 30, 2022 (Unaudited)
Barclays ($) | Citi ($) | Goldman Sachs International ($) | JPMorgan ($) | UBS ($) | Total ($) | |
Assets | ||||||
Forward foreign currency exchange contracts | 80,637 | - | - | - | 34,868 | 115,505 |
Options purchased puts | - | - | - | 3,236,840 | - | 3,236,840 |
Total assets | 80,637 | - | - | 3,236,840 | 34,868 | 3,352,345 |
Liabilities | ||||||
Forward foreign currency exchange contracts | - | 24,291 | 17,210 | - | - | 41,501 |
Total financial and derivative net assets | 80,637 | (24,291) | (17,210) | 3,236,840 | 34,868 | 3,310,844 |
Total collateral received (pledged) (a) | - | - | - | - | - | - |
Net amount (b) | 80,637 | (24,291) | (17,210) | 3,236,840 | 34,868 | 3,310,844 |
(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 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2022 | 25 |
June 30, 2022 (Unaudited)
26 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
May 1, 2022 through April 30, 2023 | Prior to May 1, 2022 | |
Class 1 | 0.79% | 0.80% |
Class 2 | 1.04 | 1.05 |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2022 | 27 |
June 30, 2022 (Unaudited)
28 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2022 | 29 |
June 30, 2022 (Unaudited)
30 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2022 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2022 | 31 |
(Unaudited)
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, 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 Conservative Fund | Semiannual Report 2022 |
(Unaudited)
into account the organization and strength of the Fund’s and its service providers’ compliance programs. The Board also reviewed the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2022 | 33 |
(Unaudited)
considered 2020 profitability and that the 2022 information showed that the profitability generated by the Investment Manager in 2021 increased from 2020 levels, due to a variety of factors, including the increased assets under management of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager or its affiliates in connection with managing or distributing the Funds, such as the enhanced ability to offer various other financial products to Ameriprise Financial customers, soft dollar benefits and overall reputational advantages. The Board noted that the fees paid by the Fund should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate profit. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
34 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2022) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | Life | ||
Class 1* | 02/20/19 | -14.67 | -11.74 | 3.01 | 3.77 | |
Class 2 | 11/02/16 | -14.78 | -12.02 | 2.83 | 3.61 | |
Blended Benchmark | -13.71 | -10.17 | 4.74 | 5.21 | ||
Bloomberg U.S. Aggregate Bond Index | -10.35 | -10.29 | 0.88 | 0.75 | ||
S&P 500 Index | -19.96 | -10.62 | 11.31 | 13.05 |
* | 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 2022 | 3 |
(Unaudited)
Portfolio Allocation (%) (at June 30, 2022) | |
Allocations to Underlying Funds | |
Equity Funds | 29.7 |
U.S. Large Cap | 29.7 |
Exchange-Traded Fixed Income Funds | 7.0 |
Investment Grade | 7.0 |
Fixed Income Funds | 36.5 |
Investment Grade | 36.5 |
Allocations to Tactical Assets | |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 17.2 |
Options Purchased Puts | 0.6 |
Residential Mortgage-Backed Securities - Agency | 9.0 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2022 |
(Unaudited)
January 1, 2022 — June 30, 2022 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 853.30 | 1,023.31 | 1.38 | 1.51 | 0.30 | 3.17 | 3.46 | 0.69 |
Class 2 | 1,000.00 | 1,000.00 | 852.20 | 1,022.07 | 2.53 | 2.76 | 0.55 | 4.32 | 4.71 | 0.94 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2022 | 5 |
June 30, 2022 (Unaudited)
Equity Funds 32.2% | ||
Shares | Value ($) | |
U.S. Large Cap 32.2% | ||
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 169,401 | 12,074,914 |
Columbia Variable Portfolio – Large Cap Index Fund, Class 1 Shares(a),(b) | 722,899 | 22,677,335 |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 818,609 | 12,017,188 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 280,079 | 9,309,828 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 244,592 | 8,868,903 |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares(a),(b) | 219,598 | 9,328,520 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 309,500 | 9,380,930 |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(a),(b) | 623,091 | 18,188,022 |
Total | 101,845,640 | |
Total Equity Funds (Cost $71,405,202) | 101,845,640 | |
Exchange-Traded Fixed Income Funds 7.6% | ||
Investment Grade 7.6% | ||
iShares Core U.S. Aggregate Bond ETF | 22,610 | 2,298,985 |
iShares iBoxx $ Investment Grade Corporate Bond ETF | 106,027 | 11,666,151 |
Vanguard Intermediate-Term Corporate Bond ETF | 126,400 | 10,114,528 |
Total | 24,079,664 | |
Total Exchange-Traded Fixed Income Funds (Cost $26,166,193) | 24,079,664 | |
Fixed Income Funds 39.7% | ||
Investment Grade 39.7% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 3,303,819 | 29,635,253 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 766,614 | 7,045,184 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 1,097,755 | 9,572,429 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 757,224 | 7,087,614 |
Fixed Income Funds (continued) | ||
Shares | Value ($) | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 2,610,006 | 25,917,357 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 2,456,993 | 23,464,287 |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(a) | 2,268,283 | 22,546,732 |
Total | 125,268,856 | |
Total Fixed Income Funds (Cost $140,448,779) | 125,268,856 |
Residential Mortgage-Backed Securities - Agency 9.8% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(c) | ||||
08/16/2037 | 2.000% | 3,800,000 | 3,548,102 | |
08/16/2037- 08/11/2052 | 2.500% | 16,107,500 | 14,874,957 | |
08/11/2052 | 3.000% | 13,477,500 | 12,551,711 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $30,642,580) | 30,974,770 |
Options Purchased Puts 0.7% | ||||
Value ($) | ||||
(Cost $1,915,964) | 2,174,450 |
Money Market Funds 18.7% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.247%(a),(d) | 59,195,219 | 59,159,702 |
Total Money Market Funds (Cost $59,173,154) | 59,159,702 | |
Total Investments in Securities (Cost: $329,751,872) | 343,503,082 | |
Other Assets & Liabilities, Net | (27,450,731) | |
Net Assets | 316,052,351 |
6 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | 86 | 09/2022 | USD | 16,294,850 | 304,137 | — |
U.S. Long Bond | 59 | 09/2022 | USD | 8,178,875 | — | (43,714) |
U.S. Treasury 10-Year Note | 73 | 09/2022 | USD | 8,652,781 | — | (49,186) |
U.S. Treasury 2-Year Note | 38 | 09/2022 | USD | 7,980,594 | — | (23,124) |
U.S. Treasury 5-Year Note | 101 | 09/2022 | USD | 11,337,250 | — | (60,508) |
U.S. Ultra Treasury Bond | 20 | 09/2022 | USD | 3,086,875 | — | (32,076) |
Total | 304,137 | (208,608) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | (125) | 09/2022 | USD | (23,684,375) | 1,346,785 | — |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 21,198,128 | 56 | 3,100.00 | 12/15/2023 | 1,018,923 | 1,031,240 |
S&P 500 Index | JPMorgan | USD | 7,192,222 | 19 | 3,600.00 | 12/15/2023 | 473,152 | 597,930 |
S&P 500 Index | JPMorgan | USD | 9,084,912 | 24 | 3,300.00 | 12/15/2023 | 423,889 | 545,280 |
Total | 1,915,964 | 2,174,450 |
(a) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Short-Term Cash Fund, 1.247% | |||||||||
68,633,018 | 53,799,529 | (63,262,378) | (10,467) | 59,159,702 | — | (14,828) | 131,512 | 59,195,219 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
14,956,062 | 788,738 | (565,592) | (3,104,294) | 12,074,914 | — | 260,155 | — | 169,401 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
34,086,191 | 1,413,739 | (1,746,265) | (4,118,412) | 29,635,253 | — | (226,658) | — | 3,303,819 | |
Columbia Variable Portfolio – Large Cap Index Fund, Class 1 Shares | |||||||||
28,037,461 | 1,481,333 | (972,149) | (5,869,310) | 22,677,335 | — | 367,592 | — | 722,899 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
8,191,888 | 38,531 | (687,348) | (497,887) | 7,045,184 | — | (24,412) | — | 766,614 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
10,898,866 | 1,377,232 | (310,102) | (2,393,567) | 9,572,429 | — | (54,760) | — | 1,097,755 | |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares | |||||||||
14,871,821 | 742,401 | (570,716) | (3,026,318) | 12,017,188 | — | 77,274 | — | 818,609 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
11,442,300 | 624,029 | (1,100,617) | (1,655,884) | 9,309,828 | — | 554,129 | — | 280,079 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
8,164,021 | 172,416 | (537,722) | (711,101) | 7,087,614 | — | (37,807) | — | 757,224 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2022 | 7 |
June 30, 2022 (Unaudited)
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
CTIVP® – Allspring Short Duration Government Fund, Class 1 Shares | |||||||||
5,448,610 | 51,305 | (5,696,249) | 196,334 | — | 26,679 | (410,794) | 11,582 | — | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
30,049,547 | 843,030 | (1,603,338) | (3,371,882) | 25,917,357 | — | (101,373) | — | 2,610,006 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
10,814,886 | 2,836,624 | (93,127) | (4,689,480) | 8,868,903 | — | (26,452) | — | 244,592 | |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares | |||||||||
11,246,714 | 1,617,966 | (372,589) | (3,163,571) | 9,328,520 | — | (20,974) | — | 219,598 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
11,439,731 | 408,309 | (934,764) | (1,532,346) | 9,380,930 | — | 505,627 | — | 309,500 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
27,284,549 | 598,903 | (1,644,583) | (2,774,582) | 23,464,287 | — | (170,633) | — | 2,456,993 | |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares | |||||||||
25,906,550 | 699,741 | (1,507,227) | (2,552,332) | 22,546,732 | — | (132,992) | — | 2,268,283 | |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares | |||||||||
22,387,460 | 990,165 | (718,729) | (4,470,874) | 18,188,022 | — | 255,036 | — | 623,091 | |
Total | 343,859,675 | (43,745,973) | 286,274,198 | 26,679 | 798,130 | 143,094 |
(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, 2022. |
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 2022 |
June 30, 2022 (Unaudited)
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Variable Portfolios serve as investment vehicles for variable annuity contracts and variable life insurance policies. Principle investment strategies within these Variable Portfolios vary based on the Portfolios investment objective. Investments in the Variable Portfolios may be redeemed on a daily basis without restriction.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Equity Funds | — | — | — | 101,845,640 | 101,845,640 |
Exchange-Traded Fixed Income Funds | 24,079,664 | — | — | — | 24,079,664 |
Fixed Income Funds | — | — | — | 125,268,856 | 125,268,856 |
Residential Mortgage-Backed Securities - Agency | — | 30,974,770 | — | — | 30,974,770 |
Options Purchased Puts | 2,174,450 | — | — | — | 2,174,450 |
Money Market Funds | 59,159,702 | — | — | — | 59,159,702 |
Total Investments in Securities | 85,413,816 | 30,974,770 | — | 227,114,496 | 343,503,082 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 1,650,922 | — | — | — | 1,650,922 |
Liability | |||||
Futures Contracts | (208,608) | — | — | — | (208,608) |
Total | 86,856,130 | 30,974,770 | — | 227,114,496 | 344,945,396 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2022 | 9 |
June 30, 2022 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $56,808,773) | $55,054,434 |
Affiliated issuers (cost $271,027,135) | 286,274,198 |
Options purchased (cost $1,915,964) | 2,174,450 |
Cash collateral held at broker for: | |
TBA | 597,000 |
Margin deposits on: | |
Futures contracts | 2,928,047 |
Receivable for: | |
Investments sold on a delayed delivery basis | 31,823,856 |
Capital shares sold | 64,359 |
Dividends | 52,786 |
Interest | 27,977 |
Variation margin for futures contracts | 519,976 |
Prepaid expenses | 2,907 |
Trustees’ deferred compensation plan | 24,759 |
Total assets | 379,544,749 |
Liabilities | |
Payable for: | |
Investments purchased | 28,715 |
Investments purchased on a delayed delivery basis | 63,208,912 |
Capital shares purchased | 23,338 |
Variation margin for futures contracts | 147,345 |
Management services fees | 1,856 |
Distribution and/or service fees | 2,153 |
Service fees | 15,601 |
Compensation of board members | 11,889 |
Other expenses | 27,830 |
Trustees’ deferred compensation plan | 24,759 |
Total liabilities | 63,492,398 |
Net assets applicable to outstanding capital stock | $316,052,351 |
Represented by | |
Trust capital | $316,052,351 |
Total - representing net assets applicable to outstanding capital stock | $316,052,351 |
Class 1 | |
Net assets | $257,174 |
Shares outstanding | 20,857 |
Net asset value per share | $12.33 |
Class 2 | |
Net assets | $315,795,177 |
Shares outstanding | 25,832,193 |
Net asset value per share | $12.22 |
10 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2022 |
Six Months Ended June 30, 2022 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $262,103 |
Dividends — affiliated issuers | 143,094 |
Total income | 405,197 |
Expenses: | |
Management services fees | 351,504 |
Distribution and/or service fees | |
Class 2 | 419,802 |
Service fees | 100,700 |
Compensation of board members | 8,872 |
Custodian fees | 11,159 |
Printing and postage fees | 6,721 |
Audit fees | 14,669 |
Legal fees | 6,911 |
Compensation of chief compliance officer | 47 |
Other | 4,331 |
Total expenses | 924,716 |
Net investment loss | (519,519) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (3,442,894) |
Investments — affiliated issuers | 798,130 |
Capital gain distributions from underlying affiliated funds | 26,679 |
Futures contracts | (6,323,621) |
Options purchased | (690,800) |
Net realized loss | (9,632,506) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (3,265,538) |
Investments — affiliated issuers | (43,745,973) |
Futures contracts | 613,255 |
Options purchased | 1,917,304 |
Net change in unrealized appreciation (depreciation) | (44,480,952) |
Net realized and unrealized loss | (54,113,458) |
Net decrease in net assets resulting from operations | $(54,632,977) |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2022 | 11 |
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | |
Operations | ||
Net investment income (loss) | $(519,519) | $1,709,103 |
Net realized gain (loss) | (9,632,506) | 24,121,105 |
Net change in unrealized appreciation (depreciation) | (44,480,952) | 912,362 |
Net increase (decrease) in net assets resulting from operations | (54,632,977) | 26,742,570 |
Decrease in net assets from capital stock activity | (3,985,711) | (69,444,229) |
Total decrease in net assets | (58,618,688) | (42,701,659) |
Net assets at beginning of period | 374,671,039 | 417,372,698 |
Net assets at end of period | $316,052,351 | $374,671,039 |
Six Months Ended | Year Ended | |||
June 30, 2022 (Unaudited) | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 10,979 | 147,868 | 2,882 | 41,432 |
Redemptions | (121) | (1,580) | (86) | (1,217) |
Net increase | 10,858 | 146,288 | 2,796 | 40,215 |
Class 2 | ||||
Subscriptions | 1,419,136 | 18,169,819 | 1,705,300 | 23,801,038 |
Redemptions | (1,698,525) | (22,301,818) | (6,862,526) | (93,285,482) |
Net decrease | (279,389) | (4,131,999) | (5,157,226) | (69,484,444) |
Total net decrease | (268,531) | (3,985,711) | (5,154,430) | (69,444,229) |
12 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2022 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2022 | 13 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Six Months Ended 6/30/2022 (Unaudited) | $14.45 | (0.00)(c) | (2.12) | (2.12) |
Year Ended 12/31/2021 | $13.41 | 0.10 | 0.94 | 1.04 |
Year Ended 12/31/2020 | $12.63 | 0.09 | 0.69 | 0.78 |
Year Ended 12/31/2019(e) | $11.47 | 0.20 | 0.96 | 1.16 |
Class 2 | ||||
Six Months Ended 6/30/2022 (Unaudited) | $14.34 | (0.02) | (2.10) | (2.12) |
Year Ended 12/31/2021 | $13.34 | 0.06 | 0.94 | 1.00 |
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 |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Rounds to zero. |
(d) | Annualized. |
(e) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
14 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2022 (Unaudited) | $12.33 | (14.67%) | 0.30%(d) | 0.30%(d) | (0.04%)(d) | 79% | $257 |
Year Ended 12/31/2021 | $14.45 | 7.76% | 0.30% | 0.30% | 0.70% | 179% | $144 |
Year Ended 12/31/2020 | $13.41 | 6.18% | 0.32% | 0.32% | 0.74% | 243% | $97 |
Year Ended 12/31/2019(e) | $12.63 | 10.11% | 0.32%(d) | 0.32%(d) | 1.98%(d) | 156% | $3 |
Class 2 | |||||||
Six Months Ended 6/30/2022 (Unaudited) | $12.22 | (14.78%) | 0.55%(d) | 0.55%(d) | (0.31%)(d) | 79% | $315,795 |
Year Ended 12/31/2021 | $14.34 | 7.50% | 0.55% | 0.55% | 0.45% | 179% | $374,527 |
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% | $82,636 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2022 | 15 |
June 30, 2022 (Unaudited)
16 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2022 | 17 |
June 30, 2022 (Unaudited)
18 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 1,650,922* |
Equity risk | Investments, at value — Options Purchased | 2,174,450 |
Total | 3,825,372 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 208,608* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2022 | 19 |
June 30, 2022 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | (3,089,796) | (690,800) | (3,780,596) |
Interest rate risk | (3,233,825) | — | (3,233,825) |
Total | (6,323,621) | (690,800) | (7,014,421) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | 961,937 | 1,917,304 | 2,879,241 |
Interest rate risk | (348,682) | — | (348,682) |
Total | 613,255 | 1,917,304 | 2,530,559 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 60,120,096 |
Futures contracts — short | 22,602,719 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 2,590,248 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2022. |
20 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
JPMorgan ($) | |
Assets | |
Options purchased puts | 2,174,450 |
Total financial and derivative net assets | 2,174,450 |
Total collateral received (pledged) (a) | - |
Net amount (b) | 2,174,450 |
(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. |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2022 | 21 |
June 30, 2022 (Unaudited)
22 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2022 | 23 |
June 30, 2022 (Unaudited)
May 1, 2022 through April 30, 2023 | Prior to May 1, 2022 | |
Class 1 | 0.79% | 0.80% |
Class 2 | 1.04 | 1.05 |
24 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2022 | 25 |
June 30, 2022 (Unaudited)
26 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2022 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2022 | 27 |
(Unaudited)
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | Terms of the Management Agreement; |
• | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
• | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
• | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
28 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2022 |
(Unaudited)
into account the organization and strength of the Fund’s and its service providers’ compliance programs. The Board also reviewed the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2022 | 29 |
(Unaudited)
of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager or its affiliates in connection with managing or distributing the Funds, such as the enhanced ability to offer various other financial products to Ameriprise Financial customers, soft dollar benefits and overall reputational advantages. The Board noted that the fees paid by the Fund should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate profit. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
30 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2022) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | Life | ||
Class 1* | 02/20/19 | -17.73 | -12.62 | 4.90 | 6.41 | |
Class 2 | 11/02/16 | -17.85 | -12.82 | 4.70 | 6.23 | |
Blended Benchmark | -16.59 | -10.27 | 7.88 | 8.91 | ||
S&P 500 Index | -19.96 | -10.62 | 11.31 | 13.05 | ||
Bloomberg U.S. Aggregate Bond Index | -10.35 | -10.29 | 0.88 | 0.75 |
* | 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 2022 | 3 |
(Unaudited)
Portfolio Allocation (%) (at June 30, 2022) | |
Allocations to Underlying Funds | |
Equity Funds | 54.4 |
U.S. Large Cap | 54.4 |
Exchange-Traded Fixed Income Funds | 8.4 |
Investment Grade | 8.4 |
Fixed Income Funds | 10.0 |
Investment Grade | 10.0 |
Allocations to Tactical Assets | |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 14.1 |
Options Purchased Puts | 1.3 |
Residential Mortgage-Backed Securities - Agency | 11.8 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2022 |
(Unaudited)
January 1, 2022 — June 30, 2022 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 822.70 | 1,023.46 | 1.22 | 1.35 | 0.27 | 3.07 | 3.41 | 0.68 |
Class 2 | 1,000.00 | 1,000.00 | 821.50 | 1,022.22 | 2.35 | 2.61 | 0.52 | 4.20 | 4.66 | 0.93 |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2022 | 5 |
June 30, 2022 (Unaudited)
Equity Funds 60.7% | ||
Shares | Value ($) | |
U.S. Large Cap 60.7% | ||
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 2,907,740 | 207,263,722 |
Columbia Variable Portfolio – Large Cap Index Fund, Class 1 Shares(a),(b) | 16,571,959 | 519,862,346 |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 14,074,974 | 206,620,624 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 6,559,340 | 218,032,452 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 4,597,371 | 166,700,656 |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares(a),(b) | 5,086,577 | 216,077,770 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 7,315,855 | 221,743,579 |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(a),(b) | 14,725,702 | 429,843,241 |
Total | 2,186,144,390 | |
Total Equity Funds (Cost $1,575,885,429) | 2,186,144,390 | |
Exchange-Traded Fixed Income Funds 9.4% | ||
Investment Grade 9.4% | ||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 1,467,100 | 161,425,013 |
Vanguard Intermediate-Term Corporate Bond ETF | 2,215,000 | 177,244,300 |
Total | 338,669,313 | |
Total Exchange-Traded Fixed Income Funds (Cost $390,373,732) | 338,669,313 | |
Fixed Income Funds 11.1% | ||
Investment Grade 11.1% | ||
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 4,577,554 | 42,067,727 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 4,875,507 | 42,514,418 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 2,934,111 | 27,463,283 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 6,838,517 | 67,906,471 |
Fixed Income Funds (continued) | ||
Shares | Value ($) | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 8,575,637 | 81,897,336 |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(a) | 13,819,145 | 137,362,300 |
Total | 399,211,535 | |
Total Fixed Income Funds (Cost $446,606,040) | 399,211,535 |
Residential Mortgage-Backed Securities - Agency 13.2% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(c) | ||||
08/16/2037 | 2.000% | 25,950,000 | 24,229,799 | |
08/16/2037- 08/11/2052 | 2.500% | 198,550,000 | 181,558,158 | |
08/11/2052 | 3.000% | 287,988,000 | 268,205,698 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $469,043,747) | 473,993,655 |
Options Purchased Puts 1.4% | ||||
Value ($) | ||||
(Cost $44,825,332) | 51,586,530 |
Money Market Funds 15.8% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.247%(a),(d) | 567,265,702 | 566,925,342 |
Total Money Market Funds (Cost $567,029,801) | 566,925,342 | |
Total Investments in Securities (Cost: $3,493,764,081) | 4,016,530,765 | |
Other Assets & Liabilities, Net | (415,972,480) | |
Net Assets | 3,600,558,285 |
6 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | 1,243 | 09/2022 | USD | 235,517,425 | 2,381,023 | — |
U.S. Long Bond | 766 | 09/2022 | USD | 106,186,750 | — | (567,542) |
U.S. Treasury 10-Year Note | 1,113 | 09/2022 | USD | 131,925,281 | — | (749,911) |
U.S. Treasury 2-Year Note | 725 | 09/2022 | USD | 152,261,329 | — | (441,183) |
U.S. Treasury 5-Year Note | 1,155 | 09/2022 | USD | 129,648,750 | — | (691,944) |
U.S. Ultra Treasury Bond | 515 | 09/2022 | USD | 79,487,031 | — | (825,965) |
Total | 2,381,023 | (3,276,545) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | (2,025) | 09/2022 | USD | (383,686,875) | 22,646,041 | — |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 439,861,156 | 1,162 | 3,100.00 | 12/15/2023 | 21,142,647 | 21,398,230 |
S&P 500 Index | JPMorgan | USD | 185,483,620 | 490 | 3,600.00 | 12/15/2023 | 12,202,353 | 15,420,300 |
S&P 500 Index | JPMorgan | USD | 246,049,700 | 650 | 3,300.00 | 12/15/2023 | 11,480,332 | 14,768,000 |
Total | 44,825,332 | 51,586,530 |
(a) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Short-Term Cash Fund, 1.247% | |||||||||
863,475,796 | 787,255,702 | (1,083,751,366) | (54,790) | 566,925,342 | — | (222,811) | 1,382,661 | 567,265,702 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
255,639,174 | 4,401,000 | (1,979,390) | (50,797,062) | 207,263,722 | — | 996,407 | — | 2,907,740 | |
Columbia Variable Portfolio – Large Cap Index Fund, Class 1 Shares | |||||||||
635,588,887 | 15,301,025 | (2,948,866) | (128,078,700) | 519,862,346 | — | 476,231 | — | 16,571,959 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
45,803,464 | 202,364 | (989,512) | (2,948,589) | 42,067,727 | — | (72,576) | — | 4,577,554 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
45,936,176 | 6,899,189 | (121,297) | (10,199,650) | 42,514,418 | — | (35,936) | — | 4,875,507 | |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares | |||||||||
253,258,260 | 6,182,227 | (1,480,472) | (51,339,391) | 206,620,624 | — | 72,575 | — | 14,074,974 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
256,118,120 | — | (7,064,187) | (31,021,481) | 218,032,452 | — | 3,554,743 | — | 6,559,340 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
30,561,046 | 231,854 | (491,612) | (2,838,005) | 27,463,283 | — | (60,648) | — | 2,934,111 | |
CTIVP® – Allspring Short Duration Government Fund, Class 1 Shares | |||||||||
15,298,723 | 155,173 | (15,921,797) | 467,901 | — | 79,283 | (1,094,035) | 34,418 | — |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2022 | 7 |
June 30, 2022 (Unaudited)
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
76,844,876 | 671,831 | (568,403) | (9,041,833) | 67,906,471 | — | (50,024) | — | 6,838,517 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
240,855,395 | 26,517,232 | — | (100,671,971) | 166,700,656 | — | — | — | 4,597,371 | |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares | |||||||||
252,277,866 | 36,020,832 | (597,784) | (71,623,144) | 216,077,770 | — | (167,762) | — | 5,086,577 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
255,683,444 | — | (8,754,253) | (25,185,612) | 221,743,579 | — | 242,667 | — | 7,315,855 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
92,111,286 | 761,746 | (859,521) | (10,116,175) | 81,897,336 | — | (103,556) | — | 8,575,637 | |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares | |||||||||
153,959,658 | 1,103,977 | (1,523,846) | (16,177,489) | 137,362,300 | — | (163,990) | — | 13,819,145 | |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares | |||||||||
522,152,273 | 9,731,867 | (1,729,383) | (100,311,516) | 429,843,241 | — | (71,793) | — | 14,725,702 | |
Total | 3,995,564,444 | (609,937,507) | 3,152,281,267 | 79,283 | 3,299,492 | 1,417,079 |
(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, 2022. |
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 2022 |
June 30, 2022 (Unaudited)
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Equity Funds | — | — | — | 2,186,144,390 | 2,186,144,390 |
Exchange-Traded Fixed Income Funds | 338,669,313 | — | — | — | 338,669,313 |
Fixed Income Funds | — | — | — | 399,211,535 | 399,211,535 |
Residential Mortgage-Backed Securities - Agency | — | 473,993,655 | — | — | 473,993,655 |
Options Purchased Puts | 51,586,530 | — | — | — | 51,586,530 |
Money Market Funds | 566,925,342 | — | — | — | 566,925,342 |
Total Investments in Securities | 957,181,185 | 473,993,655 | — | 2,585,355,925 | 4,016,530,765 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 25,027,064 | — | — | — | 25,027,064 |
Liability | |||||
Futures Contracts | (3,276,545) | — | — | — | (3,276,545) |
Total | 978,931,704 | 473,993,655 | — | 2,585,355,925 | 4,038,281,284 |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2022 | 9 |
June 30, 2022 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $859,417,479) | $812,662,968 |
Affiliated issuers (cost $2,589,521,270) | 3,152,281,267 |
Options purchased (cost $44,825,332) | 51,586,530 |
Cash | 408,000 |
Cash collateral held at broker for: | |
TBA | 13,283,682 |
Margin deposits on: | |
Futures contracts | 45,618,508 |
Receivable for: | |
Investments sold | 1,910,622 |
Investments sold on a delayed delivery basis | 509,660,007 |
Capital shares sold | 993 |
Dividends | 534,944 |
Interest | 417,709 |
Variation margin for futures contracts | 8,146,694 |
Prepaid expenses | 25,606 |
Trustees’ deferred compensation plan | 66,247 |
Total assets | 4,596,603,777 |
Liabilities | |
Payable for: | |
Investments purchased on a delayed delivery basis | 990,872,104 |
Capital shares purchased | 2,730,453 |
Variation margin for futures contracts | 2,075,545 |
Management services fees | 20,490 |
Distribution and/or service fees | 24,668 |
Service fees | 180,419 |
Compensation of board members | 33,532 |
Other expenses | 42,034 |
Trustees’ deferred compensation plan | 66,247 |
Total liabilities | 996,045,492 |
Net assets applicable to outstanding capital stock | $3,600,558,285 |
Represented by | |
Trust capital | $3,600,558,285 |
Total - representing net assets applicable to outstanding capital stock | $3,600,558,285 |
Class 1 | |
Net assets | $5,306,119 |
Shares outstanding | 373,735 |
Net asset value per share | $14.20 |
Class 2 | |
Net assets | $3,595,252,166 |
Shares outstanding | 255,360,678 |
Net asset value per share | $14.08 |
10 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2022 |
Six Months Ended June 30, 2022 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $3,457,771 |
Dividends — affiliated issuers | 1,417,079 |
Interest | 27 |
Total income | 4,874,877 |
Expenses: | |
Management services fees | 4,053,149 |
Distribution and/or service fees | |
Class 2 | 4,877,083 |
Service fees | 1,171,030 |
Compensation of board members | 27,055 |
Custodian fees | 13,646 |
Printing and postage fees | 15,628 |
Audit fees | 14,669 |
Legal fees | 25,403 |
Compensation of chief compliance officer | 552 |
Other | 23,199 |
Total expenses | 10,221,414 |
Net investment loss | (5,346,537) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (43,444,221) |
Investments — affiliated issuers | 3,299,492 |
Capital gain distributions from underlying affiliated funds | 79,283 |
Foreign currency translations | (478) |
Futures contracts | (112,686,853) |
Options purchased | (12,132,578) |
Net realized loss | (164,885,355) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (47,404,873) |
Investments — affiliated issuers | (609,937,507) |
Futures contracts | 7,082,958 |
Options purchased | 39,718,444 |
Net change in unrealized appreciation (depreciation) | (610,540,978) |
Net realized and unrealized loss | (775,426,333) |
Net decrease in net assets resulting from operations | $(780,772,870) |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2022 | 11 |
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | |
Operations | ||
Net investment loss | $(5,346,537) | $(7,843,953) |
Net realized gain (loss) | (164,885,355) | 189,461,246 |
Net change in unrealized appreciation (depreciation) | (610,540,978) | 383,920,619 |
Net increase (decrease) in net assets resulting from operations | (780,772,870) | 565,537,912 |
Increase in net assets from capital stock activity | 22,382,903 | 180,652,200 |
Total increase (decrease) in net assets | (758,389,967) | 746,190,112 |
Net assets at beginning of period | 4,358,948,252 | 3,612,758,140 |
Net assets at end of period | $3,600,558,285 | $4,358,948,252 |
Six Months Ended | Year Ended | |||
June 30, 2022 (Unaudited) | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 92,196 | 1,449,599 | 251,684 | 4,135,628 |
Redemptions | (1,380) | (20,645) | (31,525) | (496,660) |
Net increase | 90,816 | 1,428,954 | 220,159 | 3,638,968 |
Class 2 | ||||
Subscriptions | 4,242,333 | 65,864,748 | 16,030,706 | 259,886,326 |
Redemptions | (2,907,006) | (44,910,799) | (5,320,073) | (82,873,094) |
Net increase | 1,335,327 | 20,953,949 | 10,710,633 | 177,013,232 |
Total net increase | 1,426,143 | 22,382,903 | 10,930,792 | 180,652,200 |
12 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2022 |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2022 | 13 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Six Months Ended 6/30/2022 (Unaudited) | $17.26 | (0.00)(c) | (3.06) | (3.06) |
Year Ended 12/31/2021 | $14.91 | 0.01 | 2.34 | 2.35 |
Year Ended 12/31/2020 | $14.19 | 0.05 | 0.67 | 0.72 |
Year Ended 12/31/2019(f) | $12.62 | 0.06 | 1.51 | 1.57 |
Class 2 | ||||
Six Months Ended 6/30/2022 (Unaudited) | $17.14 | (0.02) | (3.04) | (3.06) |
Year Ended 12/31/2021 | $14.84 | (0.03) | 2.33 | 2.30 |
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 |
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. |
14 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2022 (Unaudited) | $14.20 | (17.73%) | 0.27%(d) | 0.27%(d) | (0.02%)(d) | 90% | $5,306 |
Year Ended 12/31/2021 | $17.26 | 15.76% | 0.27%(e) | 0.27%(e) | 0.06% | 189% | $4,884 |
Year Ended 12/31/2020 | $14.91 | 5.07% | 0.28% | 0.28% | 0.34% | 279% | $936 |
Year Ended 12/31/2019(f) | $14.19 | 12.44% | 0.30%(d) | 0.30%(d) | 0.52%(d) | 132% | $132 |
Class 2 | |||||||
Six Months Ended 6/30/2022 (Unaudited) | $14.08 | (17.85%) | 0.52%(d) | 0.52%(d) | (0.27%)(d) | 90% | $3,595,252 |
Year Ended 12/31/2021 | $17.14 | 15.50% | 0.52%(e) | 0.52%(e) | (0.20%) | 189% | $4,354,064 |
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% | $998,296 |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2022 | 15 |
June 30, 2022 (Unaudited)
16 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2022 | 17 |
June 30, 2022 (Unaudited)
18 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 25,027,064* |
Equity risk | Investments, at value — Options Purchased | 51,586,530 |
Total | 76,613,594 |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2022 | 19 |
June 30, 2022 (Unaudited)
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 3,276,545* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | (68,576,724) | (12,132,578) | (80,709,302) |
Interest rate risk | (44,110,129) | — | (44,110,129) |
Total | (112,686,853) | (12,132,578) | (124,819,431) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | 11,584,059 | 39,718,444 | 51,302,503 |
Interest rate risk | (4,501,101) | — | (4,501,101) |
Total | 7,082,958 | 39,718,444 | 46,801,402 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 869,015,793 |
Futures contracts — short | 322,895,381 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 59,356,390 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2022. |
20 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
JPMorgan ($) | |
Assets | |
Options purchased puts | 51,586,530 |
Total financial and derivative net assets | 51,586,530 |
Total collateral received (pledged) (a) | - |
Net amount (b) | 51,586,530 |
(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. |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2022 | 21 |
June 30, 2022 (Unaudited)
22 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2022 | 23 |
June 30, 2022 (Unaudited)
May 1, 2022 through April 30, 2023 | Prior to May 1, 2022 | |
Class 1 | 0.79% | 0.80% |
Class 2 | 1.04 | 1.05 |
24 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2022 | 25 |
June 30, 2022 (Unaudited)
26 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2022 | 27 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
28 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2022 |
(Unaudited)
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | Terms of the Management Agreement; |
• | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
• | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
• | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2022 | 29 |
(Unaudited)
into account the organization and strength of the Fund’s and its service providers’ compliance programs. The Board also reviewed the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
30 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2022 |
(Unaudited)
of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager or its affiliates in connection with managing or distributing the Funds, such as the enhanced ability to offer various other financial products to Ameriprise Financial customers, soft dollar benefits and overall reputational advantages. The Board noted that the fees paid by the Fund should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate profit. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2022 | 31 |
June 30, 2022 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2022) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | Life | ||
Class 1* | 02/20/19 | -16.04 | -11.92 | 4.04 | 5.17 | |
Class 2 | 11/02/16 | -16.14 | -12.12 | 3.88 | 5.03 | |
Blended Benchmark | -15.15 | -10.20 | 6.33 | 7.07 | ||
Bloomberg U.S. Aggregate Bond Index | -10.35 | -10.29 | 0.88 | 0.75 | ||
S&P 500 Index | -19.96 | -10.62 | 11.31 | 13.05 |
* | 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 2022 | 3 |
(Unaudited)
Portfolio Allocation (%) (at June 30, 2022) | |
Allocations to Underlying Funds | |
Equity Funds | 42.1 |
U.S. Large Cap | 42.1 |
Exchange-Traded Fixed Income Funds | 7.9 |
Investment Grade | 7.9 |
Fixed Income Funds | 23.5 |
Investment Grade | 23.5 |
Allocations to Tactical Assets | |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 15.7 |
Options Purchased Puts | 1.0 |
Residential Mortgage-Backed Securities - Agency | 9.8 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2022 |
(Unaudited)
January 1, 2022 — June 30, 2022 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 839.60 | 1,023.41 | 1.28 | 1.40 | 0.28 | 3.10 | 3.41 | 0.68 |
Class 2 | 1,000.00 | 1,000.00 | 838.60 | 1,022.17 | 2.42 | 2.66 | 0.53 | 4.24 | 4.66 | 0.93 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2022 | 5 |
June 30, 2022 (Unaudited)
Equity Funds 46.1% | ||
Shares | Value ($) | |
U.S. Large Cap 46.1% | ||
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 1,335,420 | 95,188,772 |
Columbia Variable Portfolio – Large Cap Index Fund, Class 1 Shares(a),(b) | 6,666,773 | 209,136,662 |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 6,459,051 | 94,818,864 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 2,587,350 | 86,003,499 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 1,713,911 | 62,146,428 |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares(a),(b) | 2,055,784 | 87,329,697 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 2,883,636 | 87,403,012 |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(a),(b) | 5,737,743 | 167,484,715 |
Total | 889,511,649 | |
Total Equity Funds (Cost $616,403,019) | 889,511,649 | |
Exchange-Traded Fixed Income Funds 8.7% | ||
Investment Grade 8.7% | ||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 770,363 | 84,763,041 |
Vanguard Intermediate-Term Corporate Bond ETF | 1,030,000 | 82,420,600 |
Total | 167,183,641 | |
Total Exchange-Traded Fixed Income Funds (Cost $186,770,733) | 167,183,641 | |
Fixed Income Funds 25.7% | ||
Investment Grade 25.7% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 9,652,670 | 86,584,451 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 3,226,913 | 29,655,328 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 5,067,311 | 44,186,950 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 3,119,181 | 29,195,539 |
Fixed Income Funds (continued) | ||
Shares | Value ($) | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 12,475,257 | 123,879,298 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 10,714,961 | 102,327,881 |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(a) | 8,131,569 | 80,827,797 |
Total | 496,657,244 | |
Total Fixed Income Funds (Cost $558,114,995) | 496,657,244 |
Residential Mortgage-Backed Securities - Agency 10.7% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(c) | ||||
08/16/2037 | 2.000% | 17,575,000 | 16,409,970 | |
08/16/2037- 08/11/2052 | 2.500% | 92,595,000 | 84,535,724 | |
08/11/2052 | 3.000% | 113,100,000 | 105,331,001 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $204,111,542) | 206,276,695 |
Options Purchased Puts 1.1% | ||||
Value ($) | ||||
(Cost $18,374,405) | 20,981,100 |
Money Market Funds 17.1% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.247%(a),(d) | 330,533,725 | 330,335,405 |
Total Money Market Funds (Cost $330,404,488) | 330,335,405 | |
Total Investments in Securities (Cost: $1,914,179,182) | 2,110,945,734 | |
Other Assets & Liabilities, Net | (181,783,461) | |
Net Assets | 1,929,162,273 |
6 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | 500 | 09/2022 | USD | 94,737,500 | 833,702 | — |
U.S. Long Bond | 344 | 09/2022 | USD | 47,687,000 | — | (254,875) |
U.S. Treasury 10-Year Note | 356 | 09/2022 | USD | 42,197,125 | — | (239,864) |
U.S. Treasury 2-Year Note | 436 | 09/2022 | USD | 91,566,813 | — | (265,318) |
U.S. Treasury 5-Year Note | 794 | 09/2022 | USD | 89,126,500 | — | (475,674) |
U.S. Ultra Treasury Bond | 203 | 09/2022 | USD | 31,331,781 | — | (325,574) |
Total | 833,702 | (1,561,305) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | (818) | 09/2022 | USD | (154,990,550) | 9,307,731 | — |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 193,054,380 | 510 | 3,100.00 | 12/15/2023 | 9,279,475 | 9,391,650 |
S&P 500 Index | JPMorgan | USD | 73,814,910 | 195 | 3,600.00 | 12/15/2023 | 4,856,038 | 6,136,650 |
S&P 500 Index | JPMorgan | USD | 90,849,120 | 240 | 3,300.00 | 12/15/2023 | 4,238,892 | 5,452,800 |
Total | 18,374,405 | 20,981,100 |
(a) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Short-Term Cash Fund, 1.247% | |||||||||
467,563,046 | 397,975,195 | (535,154,522) | (48,314) | 330,335,405 | — | (104,756) | 784,054 | 330,533,725 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
119,713,656 | 1,987,000 | (2,350,524) | (24,161,360) | 95,188,772 | — | 1,055,098 | — | 1,335,420 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
99,622,469 | 746,895 | (994,152) | (12,790,761) | 86,584,451 | — | (178,028) | — | 9,652,670 | |
Columbia Variable Portfolio – Large Cap Index Fund, Class 1 Shares | |||||||||
261,753,036 | 4,376,887 | (3,200,786) | (53,792,475) | 209,136,662 | — | 1,676,121 | — | 6,666,773 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
33,053,544 | 125,148 | (1,456,999) | (2,066,365) | 29,655,328 | — | (104,716) | — | 3,226,913 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
49,956,687 | 5,449,938 | (191,779) | (11,027,896) | 44,186,950 | — | (55,931) | — | 5,067,311 | |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares | |||||||||
118,745,126 | 2,085,133 | (2,098,512) | (23,912,883) | 94,818,864 | — | 59,957 | — | 6,459,051 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
105,623,657 | — | (7,664,802) | (11,955,356) | 86,003,499 | — | 1,111,322 | — | 2,587,350 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
32,858,215 | 254,191 | (921,794) | (2,995,073) | 29,195,539 | — | (122,711) | — | 3,119,181 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2022 | 7 |
June 30, 2022 (Unaudited)
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
CTIVP® – Allspring Short Duration Government Fund, Class 1 Shares | |||||||||
16,481,497 | 174,106 | (17,155,649) | 500,046 | — | 85,272 | (1,173,998) | 37,018 | — | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
141,699,465 | 859,944 | (2,207,268) | (16,472,843) | 123,879,298 | — | (248,828) | — | 12,475,257 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
93,568,517 | 7,366,034 | (1) | (38,788,122) | 62,146,428 | — | — | — | 1,713,911 | |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares | |||||||||
103,111,784 | 13,754,672 | (601,773) | (28,934,986) | 87,329,697 | — | (128,329) | — | 2,055,784 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
104,257,247 | — | (5,912,012) | (10,942,223) | 87,403,012 | — | 1,024,369 | — | 2,883,636 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
116,435,069 | 703,284 | (2,226,025) | (12,584,447) | 102,327,881 | — | (305,402) | — | 10,714,961 | |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares | |||||||||
91,408,599 | 554,571 | (1,617,767) | (9,517,606) | 80,827,797 | — | (177,403) | — | 8,131,569 | |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares | |||||||||
208,763,783 | 1,777,228 | (2,141,848) | (40,914,448) | 167,484,715 | — | 1,088,503 | — | 5,737,743 | |
Total | 2,164,615,397 | (300,405,112) | 1,716,504,298 | 85,272 | 3,415,268 | 821,072 |
(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, 2022. |
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 2022 |
June 30, 2022 (Unaudited)
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Variable Portfolios serve as investment vehicles for variable annuity contracts and variable life insurance policies. Principle investment strategies within these Variable Portfolios vary based on the Portfolios investment objective. Investments in the Variable Portfolios may be redeemed on a daily basis without restriction.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Equity Funds | — | — | — | 889,511,649 | 889,511,649 |
Exchange-Traded Fixed Income Funds | 167,183,641 | — | — | — | 167,183,641 |
Fixed Income Funds | — | — | — | 496,657,244 | 496,657,244 |
Residential Mortgage-Backed Securities - Agency | — | 206,276,695 | — | — | 206,276,695 |
Options Purchased Puts | 20,981,100 | — | — | — | 20,981,100 |
Money Market Funds | 330,335,405 | — | — | — | 330,335,405 |
Total Investments in Securities | 518,500,146 | 206,276,695 | — | 1,386,168,893 | 2,110,945,734 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 10,141,433 | — | — | — | 10,141,433 |
Liability | |||||
Futures Contracts | (1,561,305) | — | — | — | (1,561,305) |
Total | 527,080,274 | 206,276,695 | — | 1,386,168,893 | 2,119,525,862 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2022 | 9 |
June 30, 2022 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $390,882,275) | $373,460,336 |
Affiliated issuers (cost $1,504,922,502) | 1,716,504,298 |
Options purchased (cost $18,374,405) | 20,981,100 |
Cash | 300,000 |
Cash collateral held at broker for: | |
TBA | 5,880,739 |
Margin deposits on: | |
Futures contracts | 18,922,965 |
Receivable for: | |
Investments sold | 1,383,875 |
Investments sold on a delayed delivery basis | 217,533,790 |
Dividends | 302,191 |
Interest | 180,844 |
Variation margin for futures contracts | 3,547,296 |
Prepaid expenses | 14,585 |
Trustees’ deferred compensation plan | 49,436 |
Total assets | 2,359,061,455 |
Liabilities | |
Payable for: | |
Investments purchased on a delayed delivery basis | 426,866,414 |
Capital shares purchased | 1,976,965 |
Variation margin for futures contracts | 827,844 |
Management services fees | 11,306 |
Distribution and/or service fees | 13,203 |
Service fees | 96,452 |
Compensation of board members | 22,861 |
Other expenses | 34,701 |
Trustees’ deferred compensation plan | 49,436 |
Total liabilities | 429,899,182 |
Net assets applicable to outstanding capital stock | $1,929,162,273 |
Represented by | |
Trust capital | $1,929,162,273 |
Total - representing net assets applicable to outstanding capital stock | $1,929,162,273 |
Class 1 | |
Net assets | $2,907,459 |
Shares outstanding | 218,603 |
Net asset value per share | $13.30 |
Class 2 | |
Net assets | $1,926,254,814 |
Shares outstanding | 145,973,599 |
Net asset value per share | $13.20 |
10 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2022 |
Six Months Ended June 30, 2022 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $1,722,625 |
Dividends — affiliated issuers | 821,072 |
Total income | 2,543,697 |
Expenses: | |
Management services fees | 2,210,077 |
Distribution and/or service fees | |
Class 2 | 2,617,862 |
Service fees | 628,533 |
Compensation of board members | 17,838 |
Custodian fees | 12,401 |
Printing and postage fees | 12,452 |
Audit fees | 14,669 |
Legal fees | 16,041 |
Compensation of chief compliance officer | 296 |
Other | 13,863 |
Total expenses | 5,544,032 |
Net investment loss | (3,000,335) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (23,051,366) |
Investments — affiliated issuers | 3,415,268 |
Capital gain distributions from underlying affiliated funds | 85,272 |
Foreign currency translations | (3) |
Futures contracts | (45,671,740) |
Options purchased | (5,468,926) |
Net realized loss | (70,691,495) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (20,993,342) |
Investments — affiliated issuers | (300,405,112) |
Futures contracts | 2,406,993 |
Options purchased | 16,824,818 |
Net change in unrealized appreciation (depreciation) | (302,166,643) |
Net realized and unrealized loss | (372,858,138) |
Net decrease in net assets resulting from operations | $(375,858,473) |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2022 | 11 |
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | |
Operations | ||
Net investment income (loss) | $(3,000,335) | $3,483,819 |
Net realized gain (loss) | (70,691,495) | 114,141,661 |
Net change in unrealized appreciation (depreciation) | (302,166,643) | 120,961,567 |
Net increase (decrease) in net assets resulting from operations | (375,858,473) | 238,587,047 |
Increase (decrease) in net assets from capital stock activity | (28,768,829) | 27,331,178 |
Total increase (decrease) in net assets | (404,627,302) | 265,918,225 |
Net assets at beginning of period | 2,333,789,575 | 2,067,871,350 |
Net assets at end of period | $1,929,162,273 | $2,333,789,575 |
Six Months Ended | Year Ended | |||
June 30, 2022 (Unaudited) | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 40,268 | 582,171 | 81,282 | 1,230,016 |
Redemptions | (8,419) | (122,433) | (6,183) | (92,662) |
Net increase | 31,849 | 459,738 | 75,099 | 1,137,354 |
Class 2 | ||||
Subscriptions | 1,630,233 | 23,780,707 | 6,918,485 | 103,394,533 |
Redemptions | (3,750,374) | (53,009,274) | (5,201,411) | (77,200,709) |
Net increase (decrease) | (2,120,141) | (29,228,567) | 1,717,074 | 26,193,824 |
Total net increase (decrease) | (2,088,292) | (28,768,829) | 1,792,173 | 27,331,178 |
12 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2022 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2022 | 13 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Six Months Ended 6/30/2022 (Unaudited) | $15.84 | (0.00)(c) | (2.54) | (2.54) |
Year Ended 12/31/2021 | $14.18 | 0.07 | 1.59 | 1.66 |
Year Ended 12/31/2020 | $13.41 | 0.08 | 0.69 | 0.77 |
Year Ended 12/31/2019(f) | $12.05 | 0.20 | 1.16 | 1.36 |
Class 2 | ||||
Six Months Ended 6/30/2022 (Unaudited) | $15.74 | (0.02) | (2.52) | (2.54) |
Year Ended 12/31/2021 | $14.12 | 0.02 | 1.60 | 1.62 |
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 |
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. |
14 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2022 (Unaudited) | $13.30 | (16.04%) | 0.28%(d) | 0.28%(d) | (0.03%)(d) | 82% | $2,907 |
Year Ended 12/31/2021 | $15.84 | 11.71% | 0.28%(e) | 0.28%(e) | 0.44% | 175% | $2,959 |
Year Ended 12/31/2020 | $14.18 | 5.74% | 0.29% | 0.29% | 0.63% | 232% | $1,583 |
Year Ended 12/31/2019(f) | $13.41 | 11.29% | 0.30%(d) | 0.30%(d) | 1.84%(d) | 125% | $299 |
Class 2 | |||||||
Six Months Ended 6/30/2022 (Unaudited) | $13.20 | (16.14%) | 0.53%(d) | 0.53%(d) | (0.29%)(d) | 82% | $1,926,255 |
Year Ended 12/31/2021 | $15.74 | 11.47% | 0.53%(e) | 0.53%(e) | 0.16% | 175% | $2,330,831 |
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% | $715,814 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2022 | 15 |
June 30, 2022 (Unaudited)
16 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2022 | 17 |
June 30, 2022 (Unaudited)
18 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 10,141,433* |
Equity risk | Investments, at value — Options Purchased | 20,981,100 |
Total | 31,122,533 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2022 | 19 |
June 30, 2022 (Unaudited)
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 1,561,305* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | (22,631,255) | (5,468,926) | (28,100,181) |
Interest rate risk | (23,040,485) | — | (23,040,485) |
Total | (45,671,740) | (5,468,926) | (51,140,666) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | 4,737,588 | 16,824,818 | 21,562,406 |
Interest rate risk | (2,330,595) | — | (2,330,595) |
Total | 2,406,993 | 16,824,818 | 19,231,811 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 416,056,727 |
Futures contracts — short | 138,094,057 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 24,272,700 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2022. |
20 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
JPMorgan ($) | |
Assets | |
Options purchased puts | 20,981,100 |
Total financial and derivative net assets | 20,981,100 |
Total collateral received (pledged) (a) | - |
Net amount (b) | 20,981,100 |
(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. |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2022 | 21 |
June 30, 2022 (Unaudited)
22 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2022 | 23 |
June 30, 2022 (Unaudited)
May 1, 2022 through April 30, 2023 | Prior to May 1, 2022 | |
Class 1 | 0.79% | 0.80% |
Class 2 | 1.04 | 1.05 |
24 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2022 | 25 |
June 30, 2022 (Unaudited)
26 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2022 | 27 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
28 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2022 |
(Unaudited)
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | Terms of the Management Agreement; |
• | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
• | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
• | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2022 | 29 |
(Unaudited)
into account the organization and strength of the Fund’s and its service providers’ compliance programs. The Board also reviewed the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
30 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2022 |
(Unaudited)
of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager or its affiliates in connection with managing or distributing the Funds, such as the enhanced ability to offer various other financial products to Ameriprise Financial customers, soft dollar benefits and overall reputational advantages. The Board noted that the fees paid by the Fund should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate profit. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2022 | 31 |
June 30, 2022 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2022) | |||||
Inception | 6 Months cumulative | 1 Year | Life | ||
Class 1* | 02/20/19 | -16.10 | -12.59 | 3.01 | |
Class 2 | 09/12/17 | -16.14 | -12.75 | 2.83 | |
Blended Benchmark | -15.52 | -12.47 | 4.45 | ||
Bloomberg U.S. Aggregate Bond Index | -10.35 | -10.29 | 0.67 | ||
Russell 3000 Index | -21.10 | -13.87 | 10.35 | ||
MSCI EAFE Index (Net) | -19.57 | -17.77 | 1.26 |
* | 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 2022 | 3 |
(Unaudited)
Portfolio Allocation (%) (at June 30, 2022) | |
Allocations to Underlying Funds | |
Equity Funds | 50.3 |
International | 16.1 |
U.S. Large Cap | 29.6 |
U.S. Small Cap | 4.6 |
Exchange-Traded Equity Funds | 1.4 |
International Mid Large Cap | 0.2 |
U.S. Mid Cap | 1.2 |
Exchange-Traded Fixed Income Funds | 6.1 |
Investment Grade | 6.1 |
Fixed Income Funds | 28.4 |
Investment Grade | 28.4 |
Allocations to Tactical Assets | |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 5.8 |
Options Purchased Puts | 1.2 |
Residential Mortgage-Backed Securities - Agency | 6.8 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2022 |
(Unaudited)
January 1, 2022 — June 30, 2022 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 839.00 | 1,023.55 | 1.14 | 1.25 | 0.25 | 3.60 | 3.96 | 0.79 |
Class 2 | 1,000.00 | 1,000.00 | 838.60 | 1,022.32 | 2.28 | 2.51 | 0.50 | 4.74 | 5.21 | 1.04 |
Variable Portfolio – Managed Risk Fund | Semiannual Report 2022 | 5 |
June 30, 2022 (Unaudited)
Equity Funds 52.9% | ||
Shares | Value ($) | |
International 16.9% | ||
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(a) | 1,688,797 | 18,779,422 |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares(a) | 2,438,418 | 20,555,867 |
Total | 39,335,289 | |
U.S. Large Cap 31.1% | ||
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 189,951 | 13,539,685 |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 911,879 | 13,386,384 |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(a),(b) | 1,549,574 | 45,232,067 |
Total | 72,158,136 | |
U.S. Small Cap 4.9% | ||
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 210,923 | 5,585,243 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 182,247 | 5,717,074 |
Total | 11,302,317 | |
Total Equity Funds (Cost $121,303,073) | 122,795,742 | |
Exchange-Traded Equity Funds 1.5% | ||
International Mid Large Cap 0.3% | ||
iShares MSCI EAFE ETF | 10,000 | 624,900 |
U.S. Mid Cap 1.2% | ||
iShares Core S&P Mid-Cap ETF | 12,500 | 2,827,875 |
Total Exchange-Traded Equity Funds (Cost $4,089,200) | 3,452,775 | |
Exchange-Traded Fixed Income Funds 6.4% | ||
Investment Grade 6.4% | ||
iShares Core U.S. Aggregate Bond ETF | 5,750 | 584,660 |
iShares iBoxx $ Investment Grade Corporate Bond ETF | 62,220 | 6,846,067 |
Vanguard Intermediate-Term Corporate Bond ETF | 87,000 | 6,961,740 |
Vanguard Total Bond Market ETF | 5,000 | 376,300 |
Total | 14,768,767 | |
Total Exchange-Traded Fixed Income Funds (Cost $16,126,987) | 14,768,767 | |
Fixed Income Funds 29.9% | ||
Shares | Value ($) | |
Investment Grade 29.9% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 3,419,148 | 30,669,756 |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(a) | 3,900,116 | 38,767,153 |
Total | 69,436,909 | |
Total Fixed Income Funds (Cost $77,239,890) | 69,436,909 |
Residential Mortgage-Backed Securities - Agency 7.1% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(c) | ||||
08/16/2037 | 2.000% | 1,548,000 | 1,445,384 | |
08/16/2037- 08/11/2052 | 2.500% | 8,823,000 | 8,044,541 | |
08/11/2052 | 3.000% | 7,501,000 | 6,985,746 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $16,303,892) | 16,475,671 |
Options Purchased Puts 1.2% | ||||
Value ($) | ||||
(Cost $2,463,370) | 2,913,705 |
Money Market Funds 6.1% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.247%(a),(d) | 14,257,111 | 14,248,557 |
Total Money Market Funds (Cost $14,249,518) | 14,248,557 | |
Total Investments in Securities (Cost: $251,775,930) | 244,092,126 | |
Other Assets & Liabilities, Net | (11,881,789) | |
Net Assets | 232,210,337 |
6 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
5,000,000 EUR | 5,298,525 USD | Barclays | 08/19/2022 | 41,800 | — |
2,000,000 GBP | 2,458,072 USD | Barclays | 08/19/2022 | 21,372 | — |
1,750,000 CHF | 1,821,636 USD | Citi | 08/19/2022 | — | (17,230) |
240,000,000 JPY | 1,769,742 USD | Citi | 08/19/2022 | — | (4,469) |
1,428,229 USD | 14,000,000 NOK | Goldman Sachs International | 08/19/2022 | — | (5,476) |
2,500,000 AUD | 1,748,080 USD | UBS | 08/19/2022 | 21,793 | — |
Total | 84,965 | (27,175) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | 102 | 09/2022 | USD | 19,326,450 | 320,844 | — |
U.S. Long Bond | 17 | 09/2022 | USD | 2,356,625 | — | (4,368) |
U.S. Treasury 10-Year Note | 46 | 09/2022 | USD | 5,452,438 | — | (21,431) |
U.S. Treasury 2-Year Note | 4 | 09/2022 | USD | 840,063 | 2,962 | — |
U.S. Treasury 2-Year Note | 47 | 09/2022 | USD | 9,870,734 | — | (29,610) |
U.S. Treasury 5-Year Note | 6 | 09/2022 | USD | 673,500 | 6,927 | — |
U.S. Treasury 5-Year Note | 67 | 09/2022 | USD | 7,520,750 | — | (40,139) |
U.S. Ultra Treasury Bond | 2 | 09/2022 | USD | 308,688 | 9,996 | — |
U.S. Ultra Treasury Bond | 15 | 09/2022 | USD | 2,315,156 | — | (24,057) |
Total | 340,729 | (119,605) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
EURO STOXX 50 Index | (116) | 09/2022 | EUR | (3,991,560) | 178,288 | — |
FTSE 100 Index | (16) | 09/2022 | GBP | (1,139,360) | 27,001 | — |
MSCI Singapore Index | (10) | 07/2022 | SGD | (280,550) | 7,570 | — |
OMXS30 Index | (120) | 07/2022 | SEK | (22,446,000) | 104,901 | — |
Russell 2000 Index E-mini | (70) | 09/2022 | USD | (5,978,000) | 510,781 | — |
S&P 500 Index E-mini | (91) | 09/2022 | USD | (17,242,225) | 762,103 | — |
SPI 200 Index | (9) | 09/2022 | AUD | (1,453,725) | 30,299 | — |
TOPIX Index | (19) | 09/2022 | JPY | (355,395,000) | 93,886 | — |
Total | 1,714,829 | — |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 16,277,134 | 43 | 3,600.00 | 12/15/2023 | 998,099 | 1,353,210 |
S&P 500 Index | JPMorgan | USD | 24,604,970 | 65 | 3,100.00 | 12/15/2023 | 1,182,678 | 1,196,975 |
S&P 500 Index | JPMorgan | USD | 6,056,608 | 16 | 3,300.00 | 12/15/2023 | 282,593 | 363,520 |
Total | 2,463,370 | 2,913,705 |
Variable Portfolio – Managed Risk Fund | Semiannual Report 2022 | 7 |
June 30, 2022 (Unaudited)
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America Investment Grade Index, Series 38 | Morgan Stanley | 06/20/2027 | 1.000 | Quarterly | 1.010 | USD | 6,000,000 | (83,452) | — | — | — | (83,452) |
* | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(a) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Short-Term Cash Fund, 1.247% | |||||||||
21,607,090 | 45,768,943 | (53,128,080) | 604 | 14,248,557 | — | (7,065) | 35,812 | 14,257,111 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
16,957,287 | 269,261 | (276,206) | (3,410,657) | 13,539,685 | — | 135,358 | — | 189,951 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
33,016,381 | 2,449,783 | (573,352) | (4,223,056) | 30,669,756 | — | (77,942) | — | 3,419,148 | |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares | |||||||||
22,833,024 | 2,315,217 | (299,804) | (6,069,015) | 18,779,422 | 1,488,940 | (22,903) | 161,507 | 1,688,797 | |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares | |||||||||
16,706,580 | 322,213 | (264,640) | (3,377,769) | 13,386,384 | — | 16,135 | — | 911,879 | |
CTIVP® – Allspring Short Duration Government Fund, Class 1 Shares | |||||||||
11,356,709 | 141,901 | (11,845,944) | 347,334 | — | 57,918 | (806,156) | 25,143 | — | |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares | |||||||||
35,302,819 | 10,429,714 | (3,568,911) | (3,396,469) | 38,767,153 | — | (484,775) | — | 3,900,116 | |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares | |||||||||
55,671,187 | 1,076,798 | (814,101) | (10,701,817) | 45,232,067 | — | 43,507 | — | 1,549,574 | |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares | |||||||||
25,208,512 | 5,425,518 | (14,607) | (10,063,556) | 20,555,867 | 3,723,912 | (821) | 443,225 | 2,438,418 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
6,751,432 | 1,112,339 | (85,562) | (2,192,966) | 5,585,243 | — | (12,265) | — | 210,923 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
6,935,989 | 122,125 | (226,133) | (1,114,907) | 5,717,074 | — | (7,691) | — | 182,247 | |
Total | 252,347,010 | (44,202,274) | 206,481,208 | 5,270,770 | (1,224,618) | 665,687 |
(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, 2022. |
TBA | To Be Announced |
8 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
AUD | Australian Dollar |
CHF | Swiss Franc |
EUR | Euro |
GBP | British Pound |
JPY | Japanese Yen |
NOK | Norwegian Krone |
SEK | Swedish Krona |
SGD | Singapore Dollar |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Equity Funds | — | — | — | 122,795,742 | 122,795,742 |
Exchange-Traded Equity Funds | 3,452,775 | — | — | — | 3,452,775 |
Exchange-Traded Fixed Income Funds | 14,768,767 | — | — | — | 14,768,767 |
Fixed Income Funds | — | — | — | 69,436,909 | 69,436,909 |
Residential Mortgage-Backed Securities - Agency | — | 16,475,671 | — | — | 16,475,671 |
Variable Portfolio – Managed Risk Fund | Semiannual Report 2022 | 9 |
June 30, 2022 (Unaudited)
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Options Purchased Puts | 2,913,705 | — | — | — | 2,913,705 |
Money Market Funds | 14,248,557 | — | — | — | 14,248,557 |
Total Investments in Securities | 35,383,804 | 16,475,671 | — | 192,232,651 | 244,092,126 |
Investments in Derivatives | |||||
Asset | |||||
Forward Foreign Currency Exchange Contracts | — | 84,965 | — | — | 84,965 |
Futures Contracts | 2,055,558 | — | — | — | 2,055,558 |
Liability | |||||
Forward Foreign Currency Exchange Contracts | — | (27,175) | — | — | (27,175) |
Futures Contracts | (119,605) | — | — | — | (119,605) |
Swap Contracts | — | (83,452) | — | — | (83,452) |
Total | 37,319,757 | 16,450,009 | — | 192,232,651 | 246,002,417 |
10 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $36,520,079) | $34,697,213 |
Affiliated issuers (cost $212,792,481) | 206,481,208 |
Options purchased (cost $2,463,370) | 2,913,705 |
Cash collateral held at broker for: | |
TBA | 344,000 |
Margin deposits on: | |
Futures contracts | 3,876,693 |
Swap contracts | 181,855 |
Unrealized appreciation on forward foreign currency exchange contracts | 84,965 |
Receivable for: | |
Investments sold | 117,238 |
Investments sold on a delayed delivery basis | 18,380,413 |
Dividends | 14,196 |
Interest | 14,330 |
Variation margin for futures contracts | 580,649 |
Expense reimbursement due from Investment Manager | 255 |
Prepaid expenses | 1,644 |
Trustees’ deferred compensation plan | 19,490 |
Total assets | 267,707,854 |
Liabilities | |
Unrealized depreciation on forward foreign currency exchange contracts | 27,175 |
Payable for: | |
Investments purchased on a delayed delivery basis | 35,112,035 |
Capital shares purchased | 137,928 |
Variation margin for futures contracts | 172,745 |
Variation margin for swap contracts | 2,082 |
Management services fees | 985 |
Distribution and/or service fees | 1,592 |
Service fees | 11,627 |
Compensation of board members | 11,144 |
Other expenses | 714 |
Trustees’ deferred compensation plan | 19,490 |
Total liabilities | 35,497,517 |
Net assets applicable to outstanding capital stock | $232,210,337 |
Represented by | |
Trust capital | $232,210,337 |
Total - representing net assets applicable to outstanding capital stock | $232,210,337 |
Class 1 | |
Net assets | $2,747 |
Shares outstanding | 239 |
Net asset value per share(a) | $11.52 |
Class 2 | |
Net assets | $232,207,590 |
Shares outstanding | 20,324,308 |
Net asset value per share | $11.43 |
(a) | Net asset value per share rounds to this amount due to fractional shares outstanding. |
Variable Portfolio – Managed Risk Fund | Semiannual Report 2022 | 11 |
Six Months Ended June 30, 2022 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $198,521 |
Dividends — affiliated issuers | 665,687 |
Total income | 864,208 |
Expenses: | |
Management services fees | 177,237 |
Distribution and/or service fees | |
Class 2 | 315,646 |
Service fees | 75,702 |
Compensation of board members | 8,458 |
Custodian fees | 11,410 |
Printing and postage fees | 34,518 |
Audit fees | 15,301 |
Legal fees | 6,477 |
Interest on collateral | 3,737 |
Compensation of chief compliance officer | 35 |
Other | 3,673 |
Total expenses | 652,194 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (24,646) |
Total net expenses | 627,548 |
Net investment income | 236,660 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (2,329,664) |
Investments — affiliated issuers | (1,224,618) |
Capital gain distributions from underlying affiliated funds | 5,270,770 |
Foreign currency translations | (205,454) |
Forward foreign currency exchange contracts | 681,134 |
Futures contracts | (3,263,477) |
Options purchased | (263,427) |
Swap contracts | (13,002) |
Net realized loss | (1,347,738) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (3,226,247) |
Investments — affiliated issuers | (44,202,274) |
Forward foreign currency exchange contracts | 57,790 |
Futures contracts | 1,636,244 |
Options purchased | 1,745,113 |
Swap contracts | (97,100) |
Net change in unrealized appreciation (depreciation) | (44,086,474) |
Net realized and unrealized loss | (45,434,212) |
Net decrease in net assets resulting from operations | $(45,197,552) |
12 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2022 |
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | |
Operations | ||
Net investment income | $236,660 | $1,616,481 |
Net realized gain (loss) | (1,347,738) | 16,747,211 |
Net change in unrealized appreciation (depreciation) | (44,086,474) | 7,607,494 |
Net increase (decrease) in net assets resulting from operations | (45,197,552) | 25,971,186 |
Increase (decrease) in net assets from capital stock activity | (303,590) | 21,175,850 |
Total increase (decrease) in net assets | (45,501,142) | 47,147,036 |
Net assets at beginning of period | 277,711,479 | 230,564,443 |
Net assets at end of period | $232,210,337 | $277,711,479 |
Six Months Ended | Year Ended | |||
June 30, 2022 (Unaudited) | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 2 | ||||
Subscriptions | 521,536 | 6,635,789 | 2,210,573 | 28,772,763 |
Redemptions | (564,851) | (6,939,379) | (574,500) | (7,596,913) |
Net increase (decrease) | (43,315) | (303,590) | 1,636,073 | 21,175,850 |
Total net increase (decrease) | (43,315) | (303,590) | 1,636,073 | 21,175,850 |
Variable Portfolio – Managed Risk Fund | Semiannual Report 2022 | 13 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Six Months Ended 6/30/2022 (Unaudited) | $13.73 | 0.03 | (2.24) | (2.21) |
Year Ended 12/31/2021 | $12.37 | 0.12 | 1.24 | 1.36 |
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 6/30/2022 (Unaudited) | $13.63 | 0.01 | (2.21) | (2.20) |
Year Ended 12/31/2021 | $12.31 | 0.08 | 1.24 | 1.32 |
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 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2022 (Unaudited) | $11.52 | (16.10%) | 0.28%(c),(d) | 0.25%(c),(d) | 0.45%(c) | 58% | $3 |
Year Ended 12/31/2021 | $13.73 | 10.99% | 0.25%(d) | 0.25%(d) | 0.88% | 116% | $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 6/30/2022 (Unaudited) | $11.43 | (16.14%) | 0.52%(c),(d) | 0.50%(c),(d) | 0.19%(c) | 58% | $232,208 |
Year Ended 12/31/2021 | $13.63 | 10.72% | 0.50%(d) | 0.50%(d) | 0.63% | 116% | $277,708 |
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% | $17,803 |
Variable Portfolio – Managed Risk Fund | Semiannual Report 2022 | 15 |
June 30, 2022 (Unaudited)
16 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – Managed Risk Fund | Semiannual Report 2022 | 17 |
June 30, 2022 (Unaudited)
18 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – Managed Risk Fund | Semiannual Report 2022 | 19 |
June 30, 2022 (Unaudited)
20 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 2,035,673* |
Equity risk | Investments, at value — Options Purchased | 2,913,705 |
Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 84,965 |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 19,885* |
Total | 5,054,228 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of trust capital - unrealized depreciation on swap contracts | 83,452* |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 27,175 |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 119,605* |
Total | 230,232 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Variable Portfolio – Managed Risk Fund | Semiannual Report 2022 | 21 |
June 30, 2022 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | |||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | — | (13,002) | (13,002) |
Equity risk | — | (1,736,717) | (263,427) | — | (2,000,144) |
Foreign exchange risk | 681,134 | 60,604 | — | — | 741,738 |
Interest rate risk | — | (1,587,364) | — | — | (1,587,364) |
Total | 681,134 | (3,263,477) | (263,427) | (13,002) | (2,858,772) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | — | (97,100) | (97,100) |
Equity risk | — | 1,788,015 | 1,745,113 | — | 3,533,128 |
Foreign exchange risk | 57,790 | 40,209 | — | — | 97,999 |
Interest rate risk | — | (191,980) | — | — | (191,980) |
Total | 57,790 | 1,636,244 | 1,745,113 | (97,100) | 3,342,047 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 45,789,074 |
Futures contracts — short | 30,800,181 |
Credit default swap contracts — sell protection | 6,000,000 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 3,043,988 |
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 163,300 | (38,239) |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2022. |
22 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – Managed Risk Fund | Semiannual Report 2022 | 23 |
June 30, 2022 (Unaudited)
Barclays ($) | Citi ($) | Goldman Sachs International ($) | JPMorgan ($) | Morgan Stanley ($) | UBS ($) | Total ($) | |
Assets | |||||||
Forward foreign currency exchange contracts | 63,172 | - | - | - | - | 21,793 | 84,965 |
Options purchased puts | - | - | - | 2,913,705 | - | - | 2,913,705 |
Total assets | 63,172 | - | - | 2,913,705 | - | 21,793 | 2,998,670 |
Liabilities | |||||||
Centrally cleared credit default swap contracts (a) | - | - | - | - | 2,082 | - | 2,082 |
Forward foreign currency exchange contracts | - | 21,699 | 5,476 | - | - | - | 27,175 |
Total liabilities | - | 21,699 | 5,476 | - | 2,082 | - | 29,257 |
Total financial and derivative net assets | 63,172 | (21,699) | (5,476) | 2,913,705 | (2,082) | 21,793 | 2,969,413 |
Total collateral received (pledged) (b) | - | - | - | - | (2,082) | - | (2,082) |
Net amount (c) | 63,172 | (21,699) | (5,476) | 2,913,705 | - | 21,793 | 2,971,495 |
(a) | Centrally cleared swaps are included within payable/receivable for variation margin in the Statement of Assets and Liabilities. |
(b) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(c) | Represents the net amount due from/(to) counterparties in the event of default. |
24 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – Managed Risk Fund | Semiannual Report 2022 | 25 |
June 30, 2022 (Unaudited)
May 1, 2022 through April 30, 2023 | Prior to May 1, 2022 | |
Class 1 | 0.79% | 0.80% |
Class 2 | 1.04 | 1.05 |
26 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – Managed Risk Fund | Semiannual Report 2022 | 27 |
June 30, 2022 (Unaudited)
28 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – Managed Risk Fund | Semiannual Report 2022 | 29 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
30 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2022 |
(Unaudited)
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | Terms of the Management Agreement; |
• | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
• | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
• | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Variable Portfolio – Managed Risk Fund | Semiannual Report 2022 | 31 |
(Unaudited)
into account the organization and strength of the Fund’s and its service providers’ compliance programs. The Board also reviewed the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
32 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2022 |
(Unaudited)
of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager or its affiliates in connection with managing or distributing the Funds, such as the enhanced ability to offer various other financial products to Ameriprise Financial customers, soft dollar benefits and overall reputational advantages. The Board noted that the fees paid by the Fund should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate profit. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
Variable Portfolio – Managed Risk Fund | Semiannual Report 2022 | 33 |
June 30, 2022 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2022) | |||||
Inception | 6 Months cumulative | 1 Year | Life | ||
Class 1* | 02/20/19 | -15.31 | -10.84 | 5.08 | |
Class 2 | 09/12/17 | -15.47 | -11.10 | 4.88 | |
Blended Benchmark | -15.15 | -10.20 | 6.11 | ||
Bloomberg U.S. Aggregate Bond Index | -10.35 | -10.29 | 0.67 | ||
S&P 500 Index | -19.96 | -10.62 | 11.03 |
* | 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 2022 | 3 |
(Unaudited)
Portfolio Allocation (%) (at June 30, 2022) | |
Allocations to Underlying Funds | |
Equity Funds | 50.3 |
U.S. Large Cap | 50.3 |
Exchange-Traded Fixed Income Funds | 6.8 |
Investment Grade | 6.8 |
Fixed Income Funds | 28.1 |
Investment Grade | 28.1 |
Allocations to Tactical Assets | |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 6.7 |
Options Purchased Puts | 1.2 |
Residential Mortgage-Backed Securities - Agency | 6.9 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2022 |
(Unaudited)
January 1, 2022 — June 30, 2022 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 846.90 | 1,023.65 | 1.05 | 1.15 | 0.23 | 3.39 | 3.71 | 0.74 |
Class 2 | 1,000.00 | 1,000.00 | 845.30 | 1,022.41 | 2.20 | 2.41 | 0.48 | 4.53 | 4.96 | 0.99 |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2022 | 5 |
June 30, 2022 (Unaudited)
Equity Funds 53.1% | ||
Shares | Value ($) | |
U.S. Large Cap 53.1% | ||
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 480,651 | 34,260,789 |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 2,329,594 | 34,198,441 |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares(a),(b) | 670,213 | 28,470,662 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 951,933 | 28,853,077 |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(a),(b) | 2,058,891 | 60,099,030 |
Total | 185,881,999 | |
Total Equity Funds (Cost $162,189,439) | 185,881,999 | |
Exchange-Traded Fixed Income Funds 7.2% | ||
Investment Grade 7.2% | ||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 108,685 | 11,958,611 |
Vanguard Intermediate-Term Corporate Bond ETF | 166,000 | 13,283,320 |
Total | 25,241,931 | |
Total Exchange-Traded Fixed Income Funds (Cost $28,238,821) | 25,241,931 | |
Fixed Income Funds 29.8% | ||
Investment Grade 29.8% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 5,370,570 | 48,174,011 |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(a) | 5,627,438 | 55,936,740 |
Total | 104,110,751 | |
Total Fixed Income Funds (Cost $117,236,553) | 104,110,751 |
Residential Mortgage-Backed Securities - Agency 7.4% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(c) | ||||
08/16/2037 | 2.000% | 1,900,000 | 1,774,051 | |
08/16/2037- 08/11/2052 | 2.500% | 14,227,500 | 12,935,307 | |
08/11/2052 | 3.000% | 11,825,000 | 11,012,724 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $25,454,796) | 25,722,082 |
Options Purchased Puts 1.2% | ||||
Value ($) | ||||
(Cost $3,624,652) | 4,285,925 |
Money Market Funds 7.0% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.247%(a),(d) | 24,656,106 | 24,641,312 |
Total Money Market Funds (Cost $24,643,762) | 24,641,312 | |
Total Investments in Securities (Cost: $361,388,023) | 369,884,000 | |
Other Assets & Liabilities, Net | (19,808,075) | |
Net Assets | 350,075,925 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | 119 | 09/2022 | USD | 22,547,525 | 331,877 | — |
U.S. Long Bond | 40 | 09/2022 | USD | 5,545,000 | — | (25,523) |
U.S. Treasury 10-Year Note | 68 | 09/2022 | USD | 8,060,125 | — | (38,644) |
U.S. Treasury 2-Year Note | 3 | 09/2022 | USD | 630,047 | 2,221 | — |
6 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Long futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 2-Year Note | 66 | 09/2022 | USD | 13,861,031 | — | (42,966) |
U.S. Treasury 5-Year Note | 5 | 09/2022 | USD | 561,250 | 5,772 | — |
U.S. Treasury 5-Year Note | 105 | 09/2022 | USD | 11,786,250 | — | (62,904) |
U.S. Ultra Treasury Bond | 30 | 09/2022 | USD | 4,630,312 | — | (48,114) |
Total | 339,870 | (218,151) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | (272) | 09/2022 | USD | (51,537,200) | 2,630,552 | — |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 23,847,894 | 63 | 3,600.00 | 12/15/2023 | 1,473,299 | 1,982,610 |
S&P 500 Index | JPMorgan | USD | 35,204,034 | 93 | 3,100.00 | 12/15/2023 | 1,692,140 | 1,712,595 |
S&P 500 Index | JPMorgan | USD | 9,841,988 | 26 | 3,300.00 | 12/15/2023 | 459,213 | 590,720 |
Total | 3,624,652 | 4,285,925 |
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America Investment Grade Index, Series 38 | Morgan Stanley | 06/20/2027 | 1.000 | Quarterly | 1.010 | USD | 11,000,000 | (152,327) | — | — | — | (152,327) |
* | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(a) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Short-Term Cash Fund, 1.247% | |||||||||
37,658,872 | 61,295,941 | (74,314,493) | 992 | 24,641,312 | — | (13,603) | 66,481 | 24,656,106 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
39,745,297 | 2,652,361 | (276,585) | (7,860,284) | 34,260,789 | — | 3,840 | — | 480,651 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
46,248,954 | 8,202,954 | (119,699) | (6,158,198) | 48,174,011 | — | (20,380) | — | 5,370,570 | |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares | |||||||||
39,447,129 | 3,083,085 | (193,956) | (8,137,817) | 34,198,441 | — | 1,724 | — | 2,329,594 | |
CTIVP® – Allspring Short Duration Government Fund, Class 1 Shares | |||||||||
15,946,150 | 393,575 | (16,904,007) | 564,282 | — | 83,887 | (1,221,873) | 36,417 | — |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2022 | 7 |
June 30, 2022 (Unaudited)
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares | |||||||||
32,350,303 | 5,740,488 | (124,704) | (9,495,425) | 28,470,662 | — | (12,487) | — | 670,213 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
32,744,558 | 874,785 | (1,532,814) | (3,233,452) | 28,853,077 | — | 60,338 | — | 951,933 | |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares | |||||||||
49,443,093 | 13,744,204 | (2,014,602) | (5,235,955) | 55,936,740 | — | (276,760) | — | 5,627,438 | |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares | |||||||||
68,812,441 | 5,136,355 | (402,636) | (13,447,130) | 60,099,030 | — | (5,571) | — | 2,058,891 | |
Total | 362,396,797 | (53,002,987) | 314,634,062 | 83,887 | (1,484,772) | 102,898 |
(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, 2022. |
TBA | To Be Announced |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
8 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Equity Funds | — | — | — | 185,881,999 | 185,881,999 |
Exchange-Traded Fixed Income Funds | 25,241,931 | — | — | — | 25,241,931 |
Fixed Income Funds | — | — | — | 104,110,751 | 104,110,751 |
Residential Mortgage-Backed Securities - Agency | — | 25,722,082 | — | — | 25,722,082 |
Options Purchased Puts | 4,285,925 | — | — | — | 4,285,925 |
Money Market Funds | 24,641,312 | — | — | — | 24,641,312 |
Total Investments in Securities | 54,169,168 | 25,722,082 | — | 289,992,750 | 369,884,000 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 2,970,422 | — | — | — | 2,970,422 |
Liability | |||||
Futures Contracts | (218,151) | — | — | — | (218,151) |
Swap Contracts | — | (152,327) | — | — | (152,327) |
Total | 56,921,439 | 25,569,755 | — | 289,992,750 | 372,483,944 |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2022 | 9 |
June 30, 2022 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $53,693,617) | $50,964,013 |
Affiliated issuers (cost $304,069,754) | 314,634,062 |
Options purchased (cost $3,624,652) | 4,285,925 |
Cash collateral held at broker for: | |
TBA | 789,000 |
Margin deposits on: | |
Futures contracts | 4,654,946 |
Swap contracts | 333,401 |
Receivable for: | |
Investments sold | 25,281 |
Investments sold on a delayed delivery basis | 28,626,686 |
Dividends | 25,360 |
Interest | 22,155 |
Variation margin for futures contracts | 763,401 |
Prepaid expenses | 2,038 |
Trustees’ deferred compensation plan | 19,337 |
Total assets | 405,145,605 |
Liabilities | |
Payable for: | |
Investments purchased on a delayed delivery basis | 54,756,497 |
Capital shares purchased | 29,743 |
Variation margin for futures contracts | 199,732 |
Variation margin for swap contracts | 3,816 |
Management services fees | 1,318 |
Distribution and/or service fees | 2,389 |
Service fees | 17,199 |
Compensation of board members | 11,664 |
Other expenses | 27,985 |
Trustees’ deferred compensation plan | 19,337 |
Total liabilities | 55,069,680 |
Net assets applicable to outstanding capital stock | $350,075,925 |
Represented by | |
Trust capital | $350,075,925 |
Total - representing net assets applicable to outstanding capital stock | $350,075,925 |
Class 1 | |
Net assets | $2,946 |
Shares outstanding | 233 |
Net asset value per share(a) | $12.67 |
Class 2 | |
Net assets | $350,072,979 |
Shares outstanding | 27,847,166 |
Net asset value per share | $12.57 |
(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 2022 |
Six Months Ended June 30, 2022 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $222,500 |
Dividends — affiliated issuers | 102,898 |
Total income | 325,398 |
Expenses: | |
Management services fees | 248,103 |
Distribution and/or service fees | |
Class 2 | 451,805 |
Service fees | 108,408 |
Compensation of board members | 8,991 |
Custodian fees | 11,359 |
Printing and postage fees | 6,947 |
Audit fees | 14,669 |
Legal fees | 7,014 |
Interest on collateral | 210 |
Compensation of chief compliance officer | 50 |
Other | 4,017 |
Total expenses | 861,573 |
Net investment loss | (536,175) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (2,790,968) |
Investments — affiliated issuers | (1,484,772) |
Capital gain distributions from underlying affiliated funds | 83,887 |
Foreign currency translations | (6) |
Futures contracts | (4,383,722) |
Options purchased | (191,997) |
Swap contracts | (24,028) |
Net realized loss | (8,791,606) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (3,107,653) |
Investments — affiliated issuers | (53,002,987) |
Futures contracts | 2,155,259 |
Options purchased | 2,327,687 |
Swap contracts | (177,348) |
Net change in unrealized appreciation (depreciation) | (51,805,042) |
Net realized and unrealized loss | (60,596,648) |
Net decrease in net assets resulting from operations | $(61,132,823) |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2022 | 11 |
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | |
Operations | ||
Net investment income (loss) | $(536,175) | $1,113,440 |
Net realized gain (loss) | (8,791,606) | 20,217,905 |
Net change in unrealized appreciation (depreciation) | (51,805,042) | 20,983,074 |
Net increase (decrease) in net assets resulting from operations | (61,132,823) | 42,314,419 |
Increase in net assets from capital stock activity | 23,384,499 | 61,469,870 |
Total increase (decrease) in net assets | (37,748,324) | 103,784,289 |
Net assets at beginning of period | 387,824,249 | 284,039,960 |
Net assets at end of period | $350,075,925 | $387,824,249 |
Six Months Ended | Year Ended | |||
June 30, 2022 (Unaudited) | December 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 2 | ||||
Subscriptions | 2,203,635 | 29,356,061 | 4,866,878 | 67,596,025 |
Redemptions | (442,490) | (5,971,562) | (427,993) | (6,126,155) |
Net increase | 1,761,145 | 23,384,499 | 4,438,885 | 61,469,870 |
Total net increase | 1,761,145 | 23,384,499 | 4,438,885 | 61,469,870 |
12 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2022 |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2022 | 13 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Six Months Ended 6/30/2022 (Unaudited) | $14.96 | (0.00)(c) | (2.29) | (2.29) |
Year Ended 12/31/2021 | $13.18 | 0.08 | 1.70 | 1.78 |
Year Ended 12/31/2020 | $11.97 | 0.09 | 1.12 | 1.21 |
Year Ended 12/31/2019(f) | $10.75 | 0.10 | 1.12 | 1.22 |
Class 2 | ||||
Six Months Ended 6/30/2022 (Unaudited) | $14.87 | (0.02) | (2.28) | (2.30) |
Year Ended 12/31/2021 | $13.12 | 0.05 | 1.70 | 1.75 |
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(g) | $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) | 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. |
(g) | 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 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2022 (Unaudited) | $12.67 | (15.31%) | 0.23%(d),(e) | 0.23%(d),(e) | (0.03%)(d) | 56% | $3 |
Year Ended 12/31/2021 | $14.96 | 13.51% | 0.23%(e) | 0.23%(e) | 0.57% | 113% | $3 |
Year Ended 12/31/2020 | $13.18 | 10.11% | 0.24% | 0.24% | 0.75% | 94% | $3 |
Year Ended 12/31/2019(f) | $11.97 | 11.35% | 0.25%(d) | 0.25%(d) | 1.02%(d) | 24% | $3 |
Class 2 | |||||||
Six Months Ended 6/30/2022 (Unaudited) | $12.57 | (15.47%) | 0.48%(d),(e) | 0.48%(d),(e) | (0.30%)(d) | 56% | $350,073 |
Year Ended 12/31/2021 | $14.87 | 13.34% | 0.48%(e) | 0.48%(e) | 0.32% | 113% | $387,821 |
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(g) | $10.47 | 4.70% | 1.19%(d) | 0.52%(d) | (0.26%)(d) | 109% | $12,190 |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2022 | 15 |
June 30, 2022 (Unaudited)
16 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2022 | 17 |
June 30, 2022 (Unaudited)
18 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2022 | 19 |
June 30, 2022 (Unaudited)
20 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 2,962,429* |
Equity risk | Investments, at value — Options Purchased | 4,285,925 |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 7,993* |
Total | 7,256,347 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of trust capital - unrealized depreciation on swap contracts | 152,327* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 218,151* |
Total | 370,478 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | (24,028) | (24,028) |
Equity risk | (2,177,970) | (191,997) | — | (2,369,967) |
Interest rate risk | (2,205,752) | — | — | (2,205,752) |
Total | (4,383,722) | (191,997) | (24,028) | (4,599,747) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | (177,348) | (177,348) |
Equity risk | 2,496,162 | 2,327,687 | — | 4,823,849 |
Interest rate risk | (340,903) | — | — | (340,903) |
Total | 2,155,259 | 2,327,687 | (177,348) | 4,305,598 |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2022 | 21 |
June 30, 2022 (Unaudited)
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 60,914,613 |
Futures contracts — short | 37,775,088 |
Credit default swap contracts — sell protection | 11,000,000 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 4,413,360 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2022. |
22 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
JPMorgan ($) | Morgan Stanley ($) | Total ($) | |
Assets | |||
Options purchased puts | 4,285,925 | - | 4,285,925 |
Liabilities | |||
Centrally cleared credit default swap contracts (a) | - | 3,816 | 3,816 |
Total financial and derivative net assets | 4,285,925 | (3,816) | 4,282,109 |
Total collateral received (pledged) (b) | - | (3,816) | (3,816) |
Net amount (c) | 4,285,925 | - | 4,285,925 |
(a) | Centrally cleared swaps are included within payable/receivable for variation margin in the Statement of Assets and Liabilities. |
(b) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(c) | Represents the net amount due from/(to) counterparties in the event of default. |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2022 | 23 |
June 30, 2022 (Unaudited)
24 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2022 | 25 |
June 30, 2022 (Unaudited)
May 1, 2022 through April 30, 2023 | Prior to May 1, 2022 | |
Class 1 | 0.79% | 0.80% |
Class 2 | 1.04 | 1.05 |
26 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2022 |
June 30, 2022 (Unaudited)
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2022 | 27 |
June 30, 2022 (Unaudited)
28 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2022 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2022 | 29 |
(Unaudited)
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | Terms of the Management Agreement; |
• | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
• | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
• | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
30 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2022 |
(Unaudited)
into account the organization and strength of the Fund’s and its service providers’ compliance programs. The Board also reviewed the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2022 | 31 |
(Unaudited)
of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager or its affiliates in connection with managing or distributing the Funds, such as the enhanced ability to offer various other financial products to Ameriprise Financial customers, soft dollar benefits and overall reputational advantages. The Board noted that the fees paid by the Fund should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate profit. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
32 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2022 |
Item 2. Code of Ethics.
Not applicable for semiannual reports.
Item 3. Audit Committee Financial Expert.
Not applicable for semiannual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable for semiannual reports.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments
(a)The registrant's "Schedule I – Investments in securities of unaffiliated issuers" (as set forth in 17 CFR 210.12-12) is included in Item 1 of this Form N-CSR.
(b)Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the registrant's board of directors.
Item 11. Controls and Procedures.
(a)The registrant's principal executive officer and principal financial officer, based on their evaluation of the registrant's disclosure controls and procedures as of a
date within 90 days of the filing of this report, have concluded that such controls and procedures are adequately designed to ensure that information required to be disclosed by the registrant in Form N-CSR is accumulated and communicated to the registrant's management, including the principal executive officer and principal financial officer, or persons performing similar functions, as appropriate to allow timely decisions regarding required disclosure.
(b)There was no change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable.
Item 13. Exhibits.
(a)(1) Code of ethics required to be disclosed under Item 2 of Form N-CSR: Not applicable for semiannual reports.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly
authorized. |
| ||
(registrant) |
| Columbia Funds Variable Insurance Trust | |
By (Signature and Title) | /s/ Daniel J. Beckman | ||
|
|
| Daniel J. Beckman, President and Principal Executive Officer |
Date |
| August 22, 2022 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title) | /s/ Daniel J. Beckman | ||
|
| Daniel J. Beckman, President and Principal Executive Officer | |
Date |
| August 22, 2022 |
|
By (Signature and Title) | /s/ Michael G. Clarke | ||
|
| Michael G. Clarke, Chief Financial Officer, Principal Financial Officer | |
|
| and Senior Vice President | |
Date |
| August 22, 2022 |
|
By (Signature and Title) | /s/ Joseph Beranek | ||
|
| Joseph Beranek, Treasurer, Chief Accounting Officer and Principal | |
|
| Financial Officer | |
Date |
| August 22, 2022 |
|