UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-05199
Columbia Funds Variable Insurance Trust
(Exact name of registrant as specified in charter)
290 Congress Street, Boston, MA 02210
(Address of principal executive offices) (Zip code)
Daniel J. Beckman
c/o Columbia Management Investment Advisers, LLC
290 Congress Street
Boston, MA 02210
Ryan C. Larrenaga, Esq.
c/o Columbia Management Investment Advisers, LLC
Boston, MA 02210
(Name and address of agent for service)
Registrant's telephone number, including area code: (800) 345-6611
Date of fiscal year end: December 31
Date of reporting period: June 30, 2023
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
June 30, 2023 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 04/30/12 | 20.72 | 21.09 | 12.76 | 12.64 | |
Class 2 | 04/30/12 | 20.56 | 20.75 | 12.48 | 12.36 | |
Russell 1000 Index | 16.68 | 19.36 | 11.92 | 12.64 |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2023) | |
Common Stocks | 98.5 |
Money Market Funds | 1.5 |
Total | 100.0 |
Equity sector breakdown (%) (at June 30, 2023) | |
Communication Services | 13.2 |
Consumer Discretionary | 7.0 |
Consumer Staples | 6.2 |
Energy | 3.4 |
Financials | 12.5 |
Health Care | 15.1 |
Industrials | 8.8 |
Information Technology | 29.2 |
Materials | 1.7 |
Real Estate | 1.3 |
Utilities | 1.6 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,207.20 | 1,021.54 | 3.74 | 3.43 | 0.68 |
Class 2 | 1,000.00 | 1,000.00 | 1,205.60 | 1,020.29 | 5.11 | 4.68 | 0.93 |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (Unaudited)
Common Stocks 99.1% | ||
Issuer | Shares | Value ($) |
Communication Services 13.1% | ||
Entertainment 2.8% | ||
Endeavor Group Holdings, Inc., Class A(a) | 464,103 | 11,101,344 |
Take-Two Interactive Software, Inc.(a) | 148,569 | 21,863,414 |
Walt Disney Co. (The)(a) | 78,886 | 7,042,942 |
Total | 40,007,700 | |
Interactive Media & Services 8.4% | ||
Alphabet, Inc., Class A(a) | 266,980 | 31,957,506 |
Alphabet, Inc., Class C(a) | 253,312 | 30,643,153 |
Match Group, Inc.(a) | 180,336 | 7,547,061 |
Meta Platforms, Inc., Class A(a) | 117,843 | 33,818,584 |
Pinterest, Inc., Class A(a) | 292,624 | 8,000,340 |
ZoomInfo Technologies, Inc.(a) | 300,671 | 7,634,037 |
Total | 119,600,681 | |
Media 0.8% | ||
Comcast Corp., Class A | 260,449 | 10,821,656 |
Wireless Telecommunication Services 1.1% | ||
T-Mobile US, Inc.(a) | 106,400 | 14,778,960 |
Total Communication Services | 185,208,997 | |
Consumer Discretionary 6.9% | ||
Automobiles 1.4% | ||
Tesla, Inc.(a) | 78,251 | 20,483,764 |
Broadline Retail 4.0% | ||
Amazon.com, Inc.(a) | 431,967 | 56,311,218 |
Hotels, Restaurants & Leisure 0.5% | ||
McDonald’s Corp. | 21,869 | 6,525,928 |
Specialty Retail 0.4% | ||
Lowe’s Companies, Inc. | 28,774 | 6,494,292 |
Textiles, Apparel & Luxury Goods 0.6% | ||
Tapestry, Inc. | 186,608 | 7,986,823 |
Total Consumer Discretionary | 97,802,025 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Consumer Staples 6.2% | ||
Consumer Staples Distribution & Retail 2.2% | ||
Sysco Corp. | 98,048 | 7,275,161 |
Walmart, Inc. | 151,133 | 23,755,085 |
Total | 31,030,246 | |
Food Products 1.5% | ||
Mondelez International, Inc., Class A | 293,319 | 21,394,688 |
Household Products 1.6% | ||
Procter & Gamble Co. (The) | 145,141 | 22,023,695 |
Personal Care Products 0.9% | ||
Coty, Inc., Class A(a) | 618,236 | 7,598,121 |
Kenvue, Inc.(a) | 199,267 | 5,264,634 |
Total | 12,862,755 | |
Total Consumer Staples | 87,311,384 | |
Energy 3.4% | ||
Oil, Gas & Consumable Fuels 3.4% | ||
Canadian Natural Resources Ltd. | 255,674 | 14,384,219 |
Chevron Corp. | 160,964 | 25,327,686 |
EOG Resources, Inc. | 75,428 | 8,631,980 |
Total | 48,343,885 | |
Total Energy | 48,343,885 | |
Financials 12.4% | ||
Banks 2.4% | ||
Bank of America Corp. | 278,135 | 7,979,693 |
JPMorgan Chase & Co. | 123,947 | 18,026,852 |
Wells Fargo & Co. | 197,120 | 8,413,081 |
Total | 34,419,626 | |
Capital Markets 2.7% | ||
BlackRock, Inc. | 28,661 | 19,808,763 |
MSCI, Inc. | 12,799 | 6,006,443 |
S&P Global, Inc. | 31,194 | 12,505,363 |
Total | 38,320,569 | |
Consumer Finance 0.5% | ||
American Express Co. | 40,526 | 7,059,629 |
6 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Financial Services 5.9% | ||
Berkshire Hathaway, Inc., Class B(a) | 110,333 | 37,623,553 |
MasterCard, Inc., Class A | 58,242 | 22,906,579 |
Visa, Inc., Class A | 99,236 | 23,566,565 |
Total | 84,096,697 | |
Insurance 0.9% | ||
Aon PLC, Class A | 34,993 | 12,079,584 |
Total Financials | 175,976,105 | |
Health Care 14.9% | ||
Biotechnology 2.8% | ||
AbbVie, Inc. | 121,193 | 16,328,333 |
BioMarin Pharmaceutical, Inc.(a) | 72,226 | 6,260,550 |
Vertex Pharmaceuticals, Inc.(a) | 48,198 | 16,961,358 |
Total | 39,550,241 | |
Health Care Equipment & Supplies 3.7% | ||
Abbott Laboratories | 102,493 | 11,173,787 |
Boston Scientific Corp.(a) | 231,472 | 12,520,320 |
GE HealthCare Technologies, Inc. | 80,357 | 6,528,203 |
Medtronic PLC | 248,484 | 21,891,440 |
Total | 52,113,750 | |
Health Care Providers & Services 1.7% | ||
Elevance Health, Inc. | 54,458 | 24,195,145 |
Life Sciences Tools & Services 2.1% | ||
Danaher Corp. | 29,602 | 7,104,480 |
IQVIA Holdings, Inc.(a) | 39,501 | 8,878,640 |
Thermo Fisher Scientific, Inc. | 27,504 | 14,350,212 |
Total | 30,333,332 | |
Pharmaceuticals 4.6% | ||
Eli Lilly & Co. | 77,035 | 36,127,874 |
Johnson & Johnson | 177,229 | 29,334,944 |
Total | 65,462,818 | |
Total Health Care | 211,655,286 | |
Industrials 8.8% | ||
Aerospace & Defense 1.8% | ||
Raytheon Technologies Corp. | 260,469 | 25,515,543 |
Electrical Equipment 0.8% | ||
Emerson Electric Co. | 125,578 | 11,350,995 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Ground Transportation 2.9% | ||
Uber Technologies, Inc.(a) | 482,002 | 20,808,026 |
Union Pacific Corp. | 96,628 | 19,772,022 |
Total | 40,580,048 | |
Industrial Conglomerates 1.8% | ||
General Electric Co. | 148,740 | 16,339,089 |
Honeywell International, Inc. | 46,218 | 9,590,235 |
Total | 25,929,324 | |
Machinery 1.5% | ||
Parker-Hannifin Corp. | 53,227 | 20,760,659 |
Total Industrials | 124,136,569 | |
Information Technology 28.9% | ||
Electronic Equipment, Instruments & Components 1.9% | ||
TE Connectivity Ltd. | 137,952 | 19,335,352 |
Zebra Technologies Corp., Class A(a) | 24,690 | 7,304,043 |
Total | 26,639,395 | |
IT Services 2.1% | ||
Accenture PLC, Class A | 45,975 | 14,186,965 |
International Business Machines Corp. | 116,011 | 15,523,432 |
Total | 29,710,397 | |
Semiconductors & Semiconductor Equipment 7.0% | ||
Advanced Micro Devices, Inc.(a) | 69,967 | 7,969,941 |
Entegris, Inc. | 60,194 | 6,670,699 |
Lam Research Corp. | 28,427 | 18,274,581 |
Marvell Technology, Inc. | 115,936 | 6,930,654 |
NVIDIA Corp. | 116,414 | 49,245,450 |
QUALCOMM, Inc. | 89,434 | 10,646,224 |
Total | 99,737,549 | |
Software 11.2% | ||
Adobe, Inc.(a) | 39,541 | 19,335,154 |
Intuit, Inc. | 51,765 | 23,718,205 |
Microsoft Corp. | 313,924 | 106,903,679 |
Palo Alto Networks, Inc.(a) | 36,277 | 9,269,136 |
Total | 159,226,174 | |
Technology Hardware, Storage & Peripherals 6.7% | ||
Apple, Inc. | 490,981 | 95,235,585 |
Total Information Technology | 410,549,100 |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2023 | 7 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Materials 1.7% | ||
Chemicals 1.3% | ||
Corteva, Inc. | 49,082 | 2,812,399 |
Sherwin-Williams Co. (The) | 59,727 | 15,858,713 |
Total | 18,671,112 | |
Containers & Packaging 0.0% | ||
Avery Dennison Corp. | 3,368 | 578,622 |
Metals & Mining 0.4% | ||
Newmont Corp. | 117,969 | 5,032,558 |
Total Materials | 24,282,292 | |
Real Estate 1.2% | ||
Specialized REITs 1.2% | ||
American Tower Corp. | 90,286 | 17,510,067 |
Total Real Estate | 17,510,067 | |
Utilities 1.6% | ||
Electric Utilities 0.7% | ||
American Electric Power Co., Inc. | 121,078 | 10,194,768 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Multi-Utilities 0.9% | ||
DTE Energy Co. | 32,397 | 3,564,318 |
Public Service Enterprise Group, Inc. | 146,365 | 9,163,912 |
Total | 12,728,230 | |
Total Utilities | 22,922,998 | |
Total Common Stocks (Cost $1,041,762,054) | 1,405,698,708 | |
Money Market Funds 1.5% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(b),(c) | 21,910,665 | 21,901,901 |
Total Money Market Funds (Cost $21,901,032) | 21,901,901 | |
Total Investments in Securities (Cost: $1,063,663,086) | 1,427,600,609 | |
Other Assets & Liabilities, Net | (8,684,339) | |
Net Assets | 1,418,916,270 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | ||||||||
37,684,790 | 120,151,020 | (135,931,857) | (2,052) | 21,901,901 | (1,932) | 469,113 | 21,910,665 |
■ | 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 2023 |
June 30, 2023 (Unaudited)
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 185,208,997 | — | — | 185,208,997 |
Consumer Discretionary | 97,802,025 | — | — | 97,802,025 |
Consumer Staples | 87,311,384 | — | — | 87,311,384 |
Energy | 48,343,885 | — | — | 48,343,885 |
Financials | 175,976,105 | — | — | 175,976,105 |
Health Care | 211,655,286 | — | — | 211,655,286 |
Industrials | 124,136,569 | — | — | 124,136,569 |
Information Technology | 410,549,100 | — | — | 410,549,100 |
Materials | 24,282,292 | — | — | 24,282,292 |
Real Estate | 17,510,067 | — | — | 17,510,067 |
Utilities | 22,922,998 | — | — | 22,922,998 |
Total Common Stocks | 1,405,698,708 | — | — | 1,405,698,708 |
Money Market Funds | 21,901,901 | — | — | 21,901,901 |
Total Investments in Securities | 1,427,600,609 | — | — | 1,427,600,609 |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2023 | 9 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,041,762,054) | $1,405,698,708 |
Affiliated issuers (cost $21,901,032) | 21,901,901 |
Receivable for: | |
Investments sold | 2,027,956 |
Capital shares sold | 33,312 |
Dividends | 657,596 |
Foreign tax reclaims | 60,233 |
Expense reimbursement due from Investment Manager | 2,350 |
Prepaid expenses | 8,773 |
Trustees’ deferred compensation plan | 180,765 |
Total assets | 1,430,571,594 |
Liabilities | |
Payable for: | |
Investments purchased | 7,886,549 |
Capital shares redeemed | 3,495,757 |
Management services fees | 27,890 |
Distribution and/or service fees | 1,050 |
Service fees | 10,153 |
Compensation of board members | 30,727 |
Compensation of chief compliance officer | 127 |
Other expenses | 22,306 |
Trustees’ deferred compensation plan | 180,765 |
Total liabilities | 11,655,324 |
Net assets applicable to outstanding capital stock | $1,418,916,270 |
Represented by | |
Trust capital | $1,418,916,270 |
Total - representing net assets applicable to outstanding capital stock | $1,418,916,270 |
Class 1 | |
Net assets | $1,263,626,121 |
Shares outstanding | 31,625,442 |
Net asset value per share | $39.96 |
Class 2 | |
Net assets | $155,290,149 |
Shares outstanding | 3,994,652 |
Net asset value per share | $38.87 |
10 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $8,657,579 |
Dividends — affiliated issuers | 469,113 |
Foreign taxes withheld | (52,297) |
Total income | 9,074,395 |
Expenses: | |
Management services fees | 4,847,510 |
Distribution and/or service fees | |
Class 2 | 174,250 |
Service fees | 47,867 |
Compensation of board members | 17,884 |
Custodian fees | 6,391 |
Printing and postage fees | 6,405 |
Accounting services fees | 15,045 |
Legal fees | 14,713 |
Compensation of chief compliance officer | 127 |
Other | 12,665 |
Total expenses | 5,142,857 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (427,577) |
Total net expenses | 4,715,280 |
Net investment income | 4,359,115 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 17,296,232 |
Investments — affiliated issuers | (1,932) |
Foreign currency translations | 3,614 |
Net realized gain | 17,297,914 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 233,707,999 |
Investments — affiliated issuers | (2,052) |
Foreign currency translations | (1,565) |
Net change in unrealized appreciation (depreciation) | 233,704,382 |
Net realized and unrealized gain | 251,002,296 |
Net increase in net assets resulting from operations | $255,361,411 |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2023 | 11 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment income | $4,359,115 | $9,384,893 |
Net realized gain | 17,297,914 | 83,119,653 |
Net change in unrealized appreciation (depreciation) | 233,704,382 | (394,766,107) |
Net increase (decrease) in net assets resulting from operations | 255,361,411 | (302,261,561) |
Decrease in net assets from capital stock activity | (120,407,615) | (89,032,389) |
Total increase (decrease) in net assets | 134,953,796 | (391,293,950) |
Net assets at beginning of period | 1,283,962,474 | 1,675,256,424 |
Net assets at end of period | $1,418,916,270 | $1,283,962,474 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Shares sold | 59,141 | 2,162,421 | 146,080 | 5,048,992 |
Shares redeemed | (3,293,118) | (121,254,717) | (2,457,534) | (91,794,593) |
Net decrease | (3,233,977) | (119,092,296) | (2,311,454) | (86,745,601) |
Class 2 | ||||
Shares sold | 151,560 | 5,453,818 | 293,304 | 10,284,646 |
Shares redeemed | (192,990) | (6,769,137) | (358,478) | (12,571,434) |
Net decrease | (41,430) | (1,315,319) | (65,174) | (2,286,788) |
Total net decrease | (3,275,407) | (120,407,615) | (2,376,628) | (89,032,389) |
12 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2023 |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2023 | 13 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $33.10 | 0.12 | 6.74 | 6.86 |
Year Ended 12/31/2022 | $40.69 | 0.25 | (7.84) | (7.59) |
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) |
Class 2 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $32.24 | 0.08 | 6.55 | 6.63 |
Year Ended 12/31/2022 | $39.73 | 0.15 | (7.64) | (7.49) |
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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interfund lending expense which is less than 0.01%. |
14 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2023 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $39.96 | 20.72% | 0.74% | 0.68% | 0.68% | 20% | $1,263,626 |
Year Ended 12/31/2022 | $33.10 | (18.65%) | 0.74% | 0.69% | 0.69% | 48% | $1,153,825 |
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%(c) | 0.69%(c) | 0.91% | 58% | $1,449,079 |
Year Ended 12/31/2019 | $26.76 | 33.13% | 0.74%(c) | 0.70%(c) | 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 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $38.87 | 20.56% | 0.99% | 0.93% | 0.43% | 20% | $155,290 |
Year Ended 12/31/2022 | $32.24 | (18.85%) | 0.99% | 0.94% | 0.44% | 48% | $130,137 |
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%(c) | 0.94%(c) | 0.65% | 58% | $132,736 |
Year Ended 12/31/2019 | $26.27 | 32.81% | 0.99%(c) | 0.95%(c) | 0.90% | 43% | $112,800 |
Year Ended 12/31/2018 | $19.78 | (9.14%) | 0.96% | 0.96% | 0.86% | 63% | $91,923 |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2023 | 15 |
June 30, 2023 (Unaudited)
16 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2023 | 17 |
June 30, 2023 (Unaudited)
18 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2023 | 19 |
June 30, 2023 (Unaudited)
Contractual expense cap July 1, 2023 through April 30, 2024 | Voluntary expense cap May 1, 2023 through June 30, 2023 | Contractual expense cap prior to May 1, 2023 | |
Class 1 | 0.68% | 0.68% | 0.68% |
Class 2 | 0.93 | 0.93 | 0.93 |
20 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2023 | 21 |
June 30, 2023 (Unaudited)
22 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2023 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2023 | 23 |
(Unaudited)
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to one or more benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | Terms of the Management Agreement; |
• | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
• | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
• | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
24 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2023 |
(Unaudited)
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2023 | 25 |
(Unaudited)
compensation to its personnel, make necessary investments in its business and earn an appropriate profit. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
26 | Columbia Variable Portfolio – Contrarian Core Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/19/98 | 7.91 | 17.50 | 5.88 | 9.08 | |
Class 2 | 06/01/00 | 7.84 | 17.18 | 5.61 | 8.81 | |
Russell 2000 Value Index | 2.50 | 6.01 | 3.54 | 7.29 |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2023) | |
Common Stocks | 99.9 |
Money Market Funds | 0.1 |
Total | 100.0 |
Equity sector breakdown (%) (at June 30, 2023) | |
Communication Services | 2.1 |
Consumer Discretionary | 12.6 |
Consumer Staples | 2.6 |
Energy | 8.0 |
Financials | 21.3 |
Health Care | 9.2 |
Industrials | 18.7 |
Information Technology | 10.4 |
Materials | 8.1 |
Real Estate | 6.1 |
Utilities | 0.9 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,079.10 | 1,020.54 | 4.56 | 4.43 | 0.88 |
Class 2 | 1,000.00 | 1,000.00 | 1,078.40 | 1,019.30 | 5.86 | 5.69 | 1.13 |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (Unaudited)
Common Stocks 100.0% | ||
Issuer | Shares | Value ($) |
Communication Services 2.1% | ||
Diversified Telecommunication Services 0.3% | ||
Bandwidth, Inc., Class A(a) | 89,620 | 1,226,002 |
Entertainment 0.4% | ||
Gaia, Inc.(a) | 311,859 | 720,394 |
Playstudios, Inc.(a) | 272,096 | 1,335,992 |
Total | 2,056,386 | |
Media 0.9% | ||
AdTheorent Holding Co., Inc.(a) | 577,450 | 808,430 |
Criteo SA, ADR(a) | 82,468 | 2,782,470 |
Innovid Corp.(a) | 1,106,203 | 1,205,761 |
Total | 4,796,661 | |
Wireless Telecommunication Services 0.5% | ||
Telephone and Data Systems, Inc. | 190,860 | 1,570,777 |
United States Cellular Corp.(a) | 65,560 | 1,155,823 |
Total | 2,726,600 | |
Total Communication Services | 10,805,649 | |
Consumer Discretionary 12.6% | ||
Auto Components 1.1% | ||
Gentherm, Inc.(a) | 44,212 | 2,498,420 |
Modine Manufacturing Co.(a) | 94,979 | 3,136,207 |
Total | 5,634,627 | |
Broadline Retail 1.0% | ||
Redbubble Ltd.(a) | 2,158,982 | 533,828 |
Savers Value Village, Inc.(a) | 198,150 | 4,696,155 |
Total | 5,229,983 | |
Distributors 0.0% | ||
Educational Development Corp.(a) | 152,932 | 181,989 |
Diversified Consumer Services 0.6% | ||
American Public Education, Inc.(a) | 248,550 | 1,178,127 |
Stride, Inc.(a) | 56,123 | 2,089,459 |
Total | 3,267,586 | |
Hotels, Restaurants & Leisure 0.4% | ||
PlayAGS, Inc.(a) | 378,037 | 2,135,909 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Household Durables 3.1% | ||
Cavco Industries, Inc.(a) | 9,627 | 2,839,965 |
Century Communities, Inc. | 37,160 | 2,847,199 |
Hamilton Beach Brands Holding Co. | 195,090 | 1,884,570 |
iRobot Corp.(a) | 55,940 | 2,531,285 |
Legacy Housing Corp.(a) | 91,628 | 2,124,854 |
Lifetime Brands, Inc. | 188,814 | 1,066,799 |
Lovesac Co. (The)(a) | 43,194 | 1,164,078 |
Universal Electronics, Inc.(a) | 171,894 | 1,653,620 |
Total | 16,112,370 | |
Leisure Products 1.1% | ||
Latham Group, Inc.(a) | 442,773 | 1,642,688 |
Malibu Boats, Inc., Class A(a) | 39,763 | 2,332,498 |
Topgolf Callaway Brands Corp.(a) | 106,270 | 2,109,459 |
Total | 6,084,645 | |
Specialty Retail 3.2% | ||
1-800-Flowers.com, Inc., Class A(a) | 134,479 | 1,048,936 |
Advance Auto Parts, Inc. | 24,470 | 1,720,241 |
American Eagle Outfitters, Inc. | 170,370 | 2,010,366 |
Brilliant Earth Group, Inc., Class A(a) | 185,281 | 718,890 |
Citi Trends, Inc.(a) | 58,020 | 1,024,633 |
Lulu’s Fashion Lounge Holdings, Inc.(a) | 362,270 | 916,543 |
National Vision Holdings, Inc.(a) | 88,880 | 2,158,895 |
Overstock.com, Inc.(a) | 112,700 | 3,670,639 |
ThredUp, Inc., Class A(a) | 794,421 | 1,938,387 |
Victoria’s Secret & Co.(a) | 22,831 | 397,945 |
Zumiez, Inc.(a) | 59,330 | 988,438 |
Total | 16,593,913 | |
Textiles, Apparel & Luxury Goods 2.1% | ||
Canada Goose Holdings, Inc.(a) | 104,090 | 1,852,802 |
Capri Holdings Ltd.(a) | 83,790 | 3,007,223 |
Culp, Inc.(a) | 140,209 | 696,839 |
Fossil Group, Inc.(a) | 182,310 | 468,537 |
6 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Movado Group, Inc. | 65,985 | 1,770,377 |
Steven Madden Ltd. | 93,354 | 3,051,742 |
Total | 10,847,520 | |
Total Consumer Discretionary | 66,088,542 | |
Consumer Staples 2.6% | ||
Consumer Staples Distribution & Retail 0.6% | ||
Andersons, Inc. (The) | 68,752 | 3,172,905 |
Food Products 1.1% | ||
Fresh Del Monte Produce, Inc. | 92,743 | 2,384,423 |
Hain Celestial Group, Inc. (The)(a) | 254,228 | 3,180,392 |
Total | 5,564,815 | |
Household Products 0.2% | ||
Oil-Dri Corp of America | 16,472 | 971,683 |
Personal Care Products 0.7% | ||
Honest Co., Inc. (The)(a) | 628,230 | 1,055,427 |
Olaplex Holdings, Inc.(a) | 759,510 | 2,825,377 |
Total | 3,880,804 | |
Total Consumer Staples | 13,590,207 | |
Energy 8.0% | ||
Energy Equipment & Services 3.1% | ||
ChampionX Corp. | 114,050 | 3,540,112 |
Expro Group Holdings NV(a) | 156,623 | 2,775,360 |
Natural Gas Services Group, Inc.(a) | 148,650 | 1,471,635 |
Newpark Resources, Inc.(a) | 569,003 | 2,975,886 |
Pason Systems, Inc. | 298,069 | 2,585,252 |
Patterson-UTI Energy, Inc. | 177,930 | 2,129,822 |
Profire Energy, Inc.(a) | 707,291 | 869,968 |
Total | 16,348,035 | |
Oil, Gas & Consumable Fuels 4.9% | ||
Callon Petroleum Co.(a) | 66,310 | 2,325,492 |
CVR Energy, Inc. | 114,050 | 3,416,938 |
Delek U.S. Holdings, Inc. | 139,460 | 3,340,067 |
Kinetik Holdings, Inc. | 79,118 | 2,780,206 |
Magnolia Oil & Gas Corp., Class A | 69,400 | 1,450,460 |
Murphy Oil Corp. | 161,886 | 6,200,234 |
Ring Energy, Inc.(a) | 1,032,124 | 1,764,932 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Talos Energy, Inc.(a) | 181,511 | 2,517,557 |
W&T Offshore, Inc.(a) | 400,602 | 1,550,330 |
Total | 25,346,216 | |
Total Energy | 41,694,251 | |
Financials 21.3% | ||
Banks 12.5% | ||
Ameris Bancorp | 98,678 | 3,375,774 |
Bank of Marin Bancorp | 56,667 | 1,001,306 |
BankUnited, Inc. | 141,742 | 3,054,540 |
Banner Corp. | 58,514 | 2,555,306 |
Capital Bancorp, Inc. | 80,727 | 1,461,159 |
Capital City Bank Group, Inc. | 36,350 | 1,113,764 |
Central Pacific Financial Corp. | 96,724 | 1,519,534 |
Central Valley Community Bancorp | 85,936 | 1,327,711 |
Columbia Banking System, Inc. | 209,802 | 4,254,785 |
Community Trust Bancorp, Inc. | 38,126 | 1,356,142 |
Eastern Bankshares, Inc. | 218,300 | 2,678,541 |
First BanCorp | 64,546 | 1,920,244 |
First Community Corp. | 86,222 | 1,496,814 |
First Financial Corp. | 40,734 | 1,322,633 |
Heritage Financial Corp. | 105,680 | 1,708,846 |
HomeStreet, Inc. | 101,407 | 600,329 |
Northrim BanCorp, Inc. | 63,158 | 2,484,004 |
OFG Bancorp | 106,178 | 2,769,122 |
Popular, Inc. | 70,898 | 4,290,747 |
Provident Financial Holdings, Inc. | 77,536 | 1,001,765 |
Riverview Bancorp, Inc. | 193,284 | 974,151 |
Sierra Bancorp | 83,109 | 1,410,360 |
Southern First Bancshares, Inc.(a) | 67,122 | 1,661,270 |
Synovus Financial Corp. | 121,010 | 3,660,552 |
Territorial Bancorp, Inc. | 87,544 | 1,075,040 |
Towne Bank | 113,771 | 2,644,038 |
UMB Financial Corp. | 68,013 | 4,141,992 |
Washington Federal, Inc. | 109,396 | 2,901,182 |
Western Alliance Bancorp | 45,790 | 1,669,961 |
Western New England Bancorp, Inc. | 243,902 | 1,424,388 |
Zions Bancorp | 104,060 | 2,795,052 |
Total | 65,651,052 |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2023 | 7 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Capital Markets 0.6% | ||
StoneX Group, Inc.(a) | 37,276 | 3,096,890 |
Consumer Finance 0.5% | ||
PROG Holdings, Inc.(a) | 72,859 | 2,340,231 |
Financial Services 4.5% | ||
Alerus Financial Corp. | 86,331 | 1,552,231 |
Cass Information Systems, Inc. | 37,791 | 1,465,535 |
Essent Group Ltd. | 139,997 | 6,551,860 |
EVERTEC, Inc. | 63,140 | 2,325,446 |
MGIC Investment Corp. | 308,526 | 4,871,626 |
NMI Holdings, Inc., Class A(a) | 149,275 | 3,854,281 |
Payoneer Global, Inc.(a) | 605,167 | 2,910,853 |
Total | 23,531,832 | |
Insurance 3.2% | ||
Global Indemnity Group LLC | 84,402 | 2,835,063 |
Greenlight Capital Re Ltd., Class A(a) | 109,317 | 1,151,655 |
Horace Mann Educators Corp. | 95,725 | 2,839,203 |
Mercury General Corp. | 95,030 | 2,876,558 |
National Western Life Group, Inc., Class A | 11,723 | 4,871,610 |
ProAssurance Corp. | 146,524 | 2,211,047 |
Total | 16,785,136 | |
Total Financials | 111,405,141 | |
Health Care 9.2% | ||
Biotechnology 4.3% | ||
Arcutis Biotherapeutics, Inc.(a) | 93,680 | 892,770 |
Ardelyx, Inc.(a) | 140,380 | 475,888 |
Arrowhead Pharmaceuticals, Inc.(a) | 68,769 | 2,452,303 |
Atara Biotherapeutics, Inc.(a) | 271,770 | 437,550 |
BioCryst Pharmaceuticals, Inc.(a) | 108,140 | 761,306 |
Bioxcel Therapeutics, Inc.(a) | 97,700 | 650,682 |
Celcuity, Inc.(a) | 43,940 | 482,461 |
Insmed, Inc.(a) | 120,470 | 2,541,917 |
Kodiak Sciences, Inc.(a) | 74,040 | 510,876 |
Lexicon Pharmaceuticals, Inc.(a) | 234,560 | 537,142 |
Mersana Therapeutics, Inc.(a) | 159,980 | 526,334 |
Natera, Inc.(a) | 62,090 | 3,021,299 |
Olema Pharmaceuticals, Inc.(a) | 64,210 | 579,816 |
Protagonist Therapeutics, Inc.(a) | 27,460 | 758,445 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Replimune Group, Inc.(a) | 52,193 | 1,211,922 |
Sage Therapeutics, Inc.(a) | 46,889 | 2,204,721 |
SpringWorks Therapeutics, Inc.(a) | 62,686 | 1,643,627 |
Travere Therapeutics, Inc.(a) | 54,280 | 833,741 |
uniQure NV(a) | 69,280 | 793,949 |
Zentalis Pharmaceuticals, Inc.(a) | 55,120 | 1,554,935 |
Total | 22,871,684 | |
Health Care Equipment & Supplies 1.0% | ||
Inogen, Inc.(a) | 81,090 | 936,589 |
LivaNova PLC(a) | 54,526 | 2,804,272 |
Zimvie, Inc.(a) | 134,860 | 1,514,478 |
Total | 5,255,339 | |
Health Care Providers & Services 1.4% | ||
Castle Biosciences, Inc.(a) | 59,025 | 809,823 |
Enhabit, Inc.(a) | 208,870 | 2,402,005 |
Guardant Health, Inc.(a) | 55,724 | 1,994,919 |
National HealthCare Corp. | 33,076 | 2,044,759 |
Total | 7,251,506 | |
Life Sciences Tools & Services 0.3% | ||
Azenta, Inc.(a) | 22,666 | 1,058,049 |
Codexis, Inc.(a) | 197,624 | 553,347 |
Total | 1,611,396 | |
Pharmaceuticals 2.2% | ||
ANI Pharmaceuticals, Inc.(a) | 41,359 | 2,226,355 |
Perrigo Co. PLC | 147,730 | 5,015,434 |
Supernus Pharmaceuticals, Inc.(a) | 68,717 | 2,065,633 |
Taro Pharmaceutical Industries Ltd.(a) | 57,337 | 2,174,792 |
Total | 11,482,214 | |
Total Health Care | 48,472,139 | |
Industrials 18.7% | ||
Aerospace & Defense 1.0% | ||
Moog, Inc., Class A | 50,049 | 5,426,813 |
Air Freight & Logistics 0.8% | ||
Forward Air Corp. | 23,520 | 2,495,707 |
Radiant Logistics, Inc.(a) | 284,327 | 1,910,678 |
Total | 4,406,385 |
8 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Building Products 2.1% | ||
AZEK Co., Inc. (The)(a) | 92,907 | 2,814,153 |
AZZ, Inc. | 64,352 | 2,796,738 |
UFP Industries, Inc. | 53,826 | 5,223,813 |
Total | 10,834,704 | |
Commercial Services & Supplies 0.9% | ||
Healthcare Services Group, Inc. | 171,537 | 2,561,048 |
HNI Corp. | 73,795 | 2,079,543 |
Total | 4,640,591 | |
Electrical Equipment 1.3% | ||
Encore Wire Corp. | 25,639 | 4,767,059 |
Thermon(a) | 81,942 | 2,179,657 |
Total | 6,946,716 | |
Ground Transportation 2.3% | ||
Hertz Global Holdings, Inc.(a) | 257,770 | 4,740,390 |
Marten Transport Ltd. | 133,500 | 2,870,250 |
Schneider National, Inc., Class B | 148,690 | 4,270,377 |
Total | 11,881,017 | |
Machinery 4.0% | ||
Gorman-Rupp Co. | 53,602 | 1,545,346 |
Greenbrier Companies, Inc. (The) | 65,228 | 2,811,327 |
Helios Technologies, Inc. | 38,880 | 2,569,579 |
Hurco Companies, Inc. | 77,503 | 1,677,940 |
John Bean Technologies Corp. | 39,720 | 4,818,036 |
Manitex International, Inc.(a) | 247,470 | 1,326,439 |
Markforged Holding Corp.(a) | 745,640 | 902,224 |
Miller Industries, Inc. | 32,374 | 1,148,306 |
Mueller Industries, Inc. | 49,692 | 4,337,118 |
Total | 21,136,315 | |
Marine Transportation 1.1% | ||
Costamare, Inc. | 256,485 | 2,480,210 |
Kirby Corp.(a) | 39,207 | 3,016,979 |
Total | 5,497,189 | |
Passenger Airlines 1.1% | ||
Hawaiian Holdings, Inc.(a) | 110,197 | 1,186,822 |
JetBlue Airways Corp.(a) | 500,110 | 4,430,974 |
Total | 5,617,796 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Professional Services 2.1% | ||
IBEX Holdings Ltd.(a) | 73,781 | 1,566,371 |
Korn/Ferry International | 63,490 | 3,145,295 |
MAXIMUS, Inc. | 31,600 | 2,670,516 |
Red Violet, Inc.(a) | 79,697 | 1,639,367 |
TaskUS, Inc., Class A(a) | 150,970 | 1,708,980 |
Total | 10,730,529 | |
Trading Companies & Distributors 2.0% | ||
BlueLinx Holdings, Inc.(a) | 25,024 | 2,346,751 |
H&E Equipment Services, Inc. | 65,300 | 2,987,475 |
Karat Packaging, Inc. | 96,540 | 1,761,855 |
Textainer Group Holdings Ltd. | 91,591 | 3,606,853 |
Total | 10,702,934 | |
Total Industrials | 97,820,989 | |
Information Technology 10.4% | ||
Communications Equipment 1.9% | ||
Applied Optoelectronics, Inc.(a) | 355,809 | 2,120,622 |
Casa Systems, Inc.(a) | 656,420 | 800,832 |
Lumentum Holdings, Inc.(a) | 73,308 | 4,158,763 |
Netscout Systems, Inc.(a) | 92,680 | 2,868,446 |
Total | 9,948,663 | |
Electronic Equipment, Instruments & Components 3.4% | ||
Airgain, Inc.(a) | 166,318 | 898,117 |
ePlus, Inc.(a) | 51,051 | 2,874,171 |
FARO Technologies, Inc.(a) | 35,567 | 576,185 |
IPG Photonics Corp.(a) | 21,300 | 2,892,966 |
Knowles Corp.(a) | 184,640 | 3,334,599 |
OSI Systems, Inc.(a) | 16,587 | 1,954,446 |
Powerfleet, Inc.(a) | 447,853 | 1,343,559 |
TTM Technologies, Inc.(a) | 161,740 | 2,248,186 |
Vishay Precision Group, Inc.(a) | 44,106 | 1,638,538 |
Total | 17,760,767 | |
IT Services 1.2% | ||
DigitalOcean Holdings, Inc.(a) | 77,950 | 3,128,913 |
Kyndryl Holdings, Inc.(a) | 221,257 | 2,938,293 |
Total | 6,067,206 |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2023 | 9 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Semiconductors & Semiconductor Equipment 2.2% | ||
Cohu, Inc.(a) | 89,091 | 3,702,622 |
MagnaChip Semiconductor Corp.(a) | 102,970 | 1,151,205 |
SMART Global Holdings, Inc.(a) | 87,120 | 2,527,351 |
Synaptics, Inc.(a) | 40,210 | 3,433,130 |
Valens Semiconductor Ltd.(a) | 326,482 | 825,999 |
Total | 11,640,307 | |
Software 1.5% | ||
Cerence, Inc.(a) | 87,285 | 2,551,340 |
Cognyte Software Ltd.(a) | 185,273 | 1,128,313 |
Expensify, Inc., Class A(a) | 163,320 | 1,303,294 |
Mitek Systems, Inc.(a) | 114,528 | 1,241,483 |
Upland Software, Inc.(a) | 379,877 | 1,367,557 |
Total | 7,591,987 | |
Technology Hardware, Storage & Peripherals 0.2% | ||
Nano Dimension Ltd., ADR(a) | 435,030 | 1,257,237 |
Total Information Technology | 54,266,167 | |
Materials 8.1% | ||
Chemicals 1.5% | ||
Aspen Aerogels, Inc.(a) | 273,335 | 2,156,613 |
Chemours Co. LLC (The) | 75,480 | 2,784,457 |
Tronox Holdings PLC, Class A | 243,943 | 3,100,516 |
Total | 8,041,586 | |
Construction Materials 1.6% | ||
Eagle Materials, Inc. | 14,279 | 2,661,891 |
Summit Materials, Inc., Class A(a) | 151,868 | 5,748,204 |
Total | 8,410,095 | |
Containers & Packaging 0.6% | ||
Greif, Inc., Class A | 44,479 | 3,064,159 |
Metals & Mining 3.9% | ||
Ampco-Pittsburgh Corp.(a) | 267,621 | 851,035 |
Capstone Copper Corp.(a) | 621,965 | 2,821,672 |
Centerra Gold, Inc. | 316,370 | 1,896,190 |
ERO Copper Corp.(a) | 135,171 | 2,734,541 |
Ferroglobe PLC(a) | 327,196 | 1,560,725 |
Hudbay Minerals, Inc. | 490,097 | 2,349,210 |
MP Materials Corp.(a) | 71,130 | 1,627,454 |
Olympic Steel, Inc. | 29,119 | 1,426,831 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Pan American Silver Corp. | 155,006 | 2,259,987 |
Torex Gold Resources, Inc.(a) | 113,394 | 1,610,927 |
Universal Stainless & Alloy Products, Inc.(a) | 104,139 | 1,458,987 |
Total | 20,597,559 | |
Paper & Forest Products 0.5% | ||
Clearwater Paper Corp.(a) | 37,494 | 1,174,312 |
Glatfelter Corp. | 380,453 | 1,148,968 |
Total | 2,323,280 | |
Total Materials | 42,436,679 | |
Real Estate 6.1% | ||
Diversified REITs 0.5% | ||
American Assets Trust, Inc. | 146,012 | 2,803,430 |
Hotel & Resort REITs 2.6% | ||
Park Hotels & Resorts, Inc. | 251,700 | 3,226,794 |
Pebblebrook Hotel Trust | 248,184 | 3,459,685 |
RLJ Lodging Trust | 294,435 | 3,023,847 |
Sunstone Hotel Investors, Inc. | 372,379 | 3,768,476 |
Total | 13,478,802 | |
Office REITs 0.3% | ||
Brandywine Realty Trust | 296,260 | 1,377,609 |
Real Estate Management & Development 0.5% | ||
Forestar Group, Inc.(a) | 117,901 | 2,658,667 |
Retail REITs 0.7% | ||
Macerich Co. (The) | 329,140 | 3,709,408 |
Specialized REITs 1.5% | ||
Outfront Media, Inc. | 196,900 | 3,095,268 |
PotlatchDeltic Corp. | 94,902 | 5,015,571 |
Total | 8,110,839 | |
Total Real Estate | 32,138,755 | |
Utilities 0.9% | ||
Gas Utilities 0.9% | ||
National Fuel Gas Co. | 57,885 | 2,972,973 |
RGC Resources, Inc. | 96,028 | 1,923,441 |
Total | 4,896,414 | |
Total Utilities | 4,896,414 | |
Total Common Stocks (Cost $527,288,068) | 523,614,933 | |
10 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Money Market Funds 0.1% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(b),(c) | 484,912 | 484,718 |
Total Money Market Funds (Cost $484,775) | 484,718 | |
Total Investments in Securities (Cost: $527,772,843) | 524,099,651 | |
Other Assets & Liabilities, Net | (450,732) | |
Net Assets | 523,648,919 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | ||||||||
17,351 | 61,342,732 | (60,875,308) | (57) | 484,718 | (1,351) | 69,849 | 484,912 |
ADR | American Depositary Receipt |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2023 | 11 |
June 30, 2023 (Unaudited)
The Fund’s Board of Trustees (the Board) has designated the Investment Manager, through its Valuation Committee (the Committee), as valuation designee, responsible for determining the fair value of the assets of the Fund for which market quotations are not readily available using valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 10,805,649 | — | — | 10,805,649 |
Consumer Discretionary | 65,554,714 | 533,828 | — | 66,088,542 |
Consumer Staples | 13,590,207 | — | — | 13,590,207 |
Energy | 41,694,251 | — | — | 41,694,251 |
Financials | 111,405,141 | — | — | 111,405,141 |
Health Care | 48,472,139 | — | — | 48,472,139 |
Industrials | 97,820,989 | — | — | 97,820,989 |
Information Technology | 54,266,167 | — | — | 54,266,167 |
Materials | 42,436,679 | — | — | 42,436,679 |
Real Estate | 32,138,755 | — | — | 32,138,755 |
Utilities | 4,896,414 | — | — | 4,896,414 |
Total Common Stocks | 523,081,105 | 533,828 | — | 523,614,933 |
Money Market Funds | 484,718 | — | — | 484,718 |
Total Investments in Securities | 523,565,823 | 533,828 | — | 524,099,651 |
12 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $527,288,068) | $523,614,933 |
Affiliated issuers (cost $484,775) | 484,718 |
Receivable for: | |
Investments sold | 5,156,509 |
Capital shares sold | 127,802 |
Dividends | 476,557 |
Expense reimbursement due from Investment Manager | 1,364 |
Prepaid expenses | 4,083 |
Trustees’ deferred compensation plan | 107,332 |
Total assets | 529,973,298 |
Liabilities | |
Payable for: | |
Investments purchased | 5,689,984 |
Capital shares redeemed | 425,529 |
Management services fees | 12,421 |
Distribution and/or service fees | 1,362 |
Service fees | 41,373 |
Compensation of board members | 19,948 |
Compensation of chief compliance officer | 50 |
Other expenses | 26,380 |
Trustees’ deferred compensation plan | 107,332 |
Total liabilities | 6,324,379 |
Net assets applicable to outstanding capital stock | $523,648,919 |
Represented by | |
Paid in capital | 479,321,037 |
Total distributable earnings (loss) | 44,327,882 |
Total - representing net assets applicable to outstanding capital stock | $523,648,919 |
Class 1 | |
Net assets | $324,039,428 |
Shares outstanding | 26,106,332 |
Net asset value per share | $12.41 |
Class 2 | |
Net assets | $199,609,491 |
Shares outstanding | 16,305,189 |
Net asset value per share | $12.24 |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2023 | 13 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $4,243,224 |
Dividends — affiliated issuers | 69,849 |
Foreign taxes withheld | (35,443) |
Total income | 4,277,630 |
Expenses: | |
Management services fees | 2,219,859 |
Distribution and/or service fees | |
Class 2 | 243,439 |
Service fees | 206,049 |
Compensation of board members | 10,869 |
Custodian fees | 13,517 |
Printing and postage fees | 7,655 |
Accounting services fees | 15,045 |
Legal fees | 9,367 |
Interest on interfund lending | 1,699 |
Compensation of chief compliance officer | 50 |
Other | 11,515 |
Total expenses | 2,739,064 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (243,594) |
Total net expenses | 2,495,470 |
Net investment income | 1,782,160 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 6,993,827 |
Investments — affiliated issuers | (1,351) |
Foreign currency translations | (340) |
Net realized gain | 6,992,136 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 31,598,594 |
Investments — affiliated issuers | (57) |
Net change in unrealized appreciation (depreciation) | 31,598,537 |
Net realized and unrealized gain | 38,590,673 |
Net increase in net assets resulting from operations | $40,372,833 |
14 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment income | $1,782,160 | $3,223,931 |
Net realized gain | 6,992,136 | 37,000,599 |
Net change in unrealized appreciation (depreciation) | 31,598,537 | (95,438,319) |
Net increase (decrease) in net assets resulting from operations | 40,372,833 | (55,213,789) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | — | (134,518,457) |
Class 2 | — | (79,388,766) |
Total distributions to shareholders | — | (213,907,223) |
Increase (decrease) in net assets from capital stock activity | (29,004,051) | 139,563,102 |
Total increase (decrease) in net assets | 11,368,782 | (129,557,910) |
Net assets at beginning of period | 512,280,137 | 641,838,047 |
Net assets at end of period | $523,648,919 | $512,280,137 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Shares sold | 188,816 | 2,212,758 | 223,773 | 3,532,153 |
Distributions reinvested | — | — | 11,738,085 | 134,518,457 |
Shares redeemed | (1,828,821) | (22,825,329) | (3,664,462) | (54,106,164) |
Net increase (decrease) | (1,640,005) | (20,612,571) | 8,297,396 | 83,944,446 |
Class 2 | ||||
Shares sold | 600,755 | 7,164,469 | 807,729 | 13,543,027 |
Distributions reinvested | — | — | 7,006,952 | 79,388,766 |
Shares redeemed | (1,315,898) | (15,555,949) | (2,371,837) | (37,313,137) |
Net increase (decrease) | (715,143) | (8,391,480) | 5,442,844 | 55,618,656 |
Total net increase (decrease) | (2,355,148) | (29,004,051) | 13,740,240 | 139,563,102 |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2023 | 15 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $11.50 | 0.05 | 0.86 | 0.91 | — | — | — |
Year Ended 12/31/2022 | $20.75 | 0.10 | (1.93) | (1.83) | (0.14) | (7.28) | (7.42) |
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) |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $11.35 | 0.03 | 0.86 | 0.89 | — | — | — |
Year Ended 12/31/2022 | $20.58 | 0.06 | (1.92) | (1.86) | (0.09) | (7.28) | (7.37) |
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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interfund lending expense which is less than 0.01%. |
16 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2023 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $12.41 | 7.91% | 0.98%(c) | 0.88%(c) | 0.79% | 34% | $324,039 |
Year Ended 12/31/2022 | $11.50 | (8.69%) | 0.95%(c) | 0.88%(c) | 0.67% | 52% | $319,024 |
Year Ended 12/31/2021 | $20.75 | 29.19% | 0.97%(c) | 0.88%(c) | 0.58% | 69% | $403,571 |
Year Ended 12/31/2020 | $16.17 | 8.80% | 1.02%(c) | 0.90%(c) | 1.05% | 57% | $373,200 |
Year Ended 12/31/2019 | $15.67 | 21.34% | 1.04%(c) | 0.92%(c) | 1.00% | 60% | $316,513 |
Year Ended 12/31/2018 | $14.22 | (18.01%) | 1.05% | 0.92% | 0.51% | 49% | $5,525 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $12.24 | 7.84% | 1.23%(c) | 1.13%(c) | 0.55% | 34% | $199,609 |
Year Ended 12/31/2022 | $11.35 | (8.97%) | 1.20%(c) | 1.13%(c) | 0.43% | 52% | $193,256 |
Year Ended 12/31/2021 | $20.58 | 28.80% | 1.21%(c) | 1.13%(c) | 0.31% | 69% | $238,267 |
Year Ended 12/31/2020 | $16.06 | 8.59% | 1.27%(c) | 1.15%(c) | 0.80% | 57% | $322,390 |
Year Ended 12/31/2019 | $15.55 | 20.98% | 1.31%(c) | 1.17%(c) | 0.52% | 60% | $315,238 |
Year Ended 12/31/2018 | $14.12 | (18.17%) | 1.30% | 1.17% | 0.26% | 49% | $284,756 |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2023 | 17 |
June 30, 2023 (Unaudited)
18 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2023 | 19 |
June 30, 2023 (Unaudited)
20 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2023 | 21 |
June 30, 2023 (Unaudited)
Fee rate(s) contractual through April 30, 2024 | |
Class 1 | 0.88% |
Class 2 | 1.13 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
527,773,000 | 68,336,000 | (72,009,000) | (3,673,000) |
22 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Borrower | 1,180,000 | 4.98 | 10 |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2023 | 23 |
June 30, 2023 (Unaudited)
24 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2023 | 25 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
26 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2023 |
(Unaudited)
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to one or more benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | Terms of the Management Agreement; |
• | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
• | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
• | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2023 | 27 |
(Unaudited)
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
28 | Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2023 |
(Unaudited)
compensation to its personnel, make necessary investments in its business and earn an appropriate profit. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
Columbia Variable Portfolio – Small Cap Value Fund | Semiannual Report 2023 | 29 |
June 30, 2023 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 07/05/94 | 3.71 | 2.54 | 2.06 | 2.93 | |
Class 2 | 06/01/00 | 3.47 | 2.27 | 1.82 | 2.67 | |
Bloomberg U.S. Aggregate Bond Index | 2.09 | -0.94 | 0.77 | 1.52 | ||
ICE BofA US Cash Pay High Yield Constrained Index | 5.34 | 8.88 | 3.17 | 4.32 | ||
FTSE Non-U.S. World Government Bond (All Maturities) Index - Unhedged | 1.52 | -2.63 | -3.75 | -1.40 | ||
JPMorgan Emerging Markets Bond Index - Global | 3.81 | 6.85 | 0.82 | 2.60 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2023) | |
Asset-Backed Securities — Non-Agency | 3.2 |
Call Option Contracts Purchased | 0.1 |
Commercial Mortgage-Backed Securities - Non-Agency | 1.8 |
Common Stocks | 0.0(a) |
Convertible Bonds | 0.1 |
Corporate Bonds & Notes | 33.4 |
Foreign Government Obligations | 6.1 |
Money Market Funds | 8.1 |
Residential Mortgage-Backed Securities - Agency | 25.9 |
Residential Mortgage-Backed Securities - Non-Agency | 14.2 |
Senior Loans | 4.5 |
U.S. Treasury Obligations | 2.6 |
Total | 100.0 |
(a) | Rounds to zero. |
Quality breakdown (%) (at June 30, 2023) | |
AAA rating | 31.2 |
AA rating | 1.0 |
A rating | 10.0 |
BBB rating | 20.5 |
BB rating | 16.1 |
B rating | 13.5 |
CCC rating | 2.4 |
CC rating | 0.1 |
Not rated | 5.2 |
Total | 100.0 |
Market exposure through derivatives investments (% of notional exposure) (at June 30, 2023)(a) | |||
Long | Short | Net | |
Fixed Income Derivative Contracts | 75.4 | (172.4) | (97.0) |
Foreign Currency Derivative Contracts | — | (3.0) | (3.0) |
Total Notional Market Value of Derivative Contracts | 75.4 | (175.4) | (100.0) |
4 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,037.10 | 1,021.49 | 3.50 | 3.48 | 0.69 |
Class 2 | 1,000.00 | 1,000.00 | 1,034.70 | 1,020.24 | 4.77 | 4.73 | 0.94 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (Unaudited)
Asset-Backed Securities — Non-Agency 3.7% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
ARES XLIV CLO Ltd.(a),(b) | ||||
Series 2017-44A Class DR | ||||
3-month USD LIBOR + 6.870% Floor 6.870% 04/15/2034 | 12.130% | 500,000 | 446,330 | |
Bain Capital Credit CLO Ltd.(a),(b) | ||||
Series 2021-6A Class E | ||||
3-month USD LIBOR + 6.500% Floor 6.500% 10/21/2034 | 11.761% | 250,000 | 217,736 | |
Series 2021-7A Class E | ||||
3-month USD LIBOR + 6.750% Floor 6.750% 01/22/2035 | 12.023% | 250,000 | 219,936 | |
Ballyrock CLO Ltd.(a),(b) | ||||
Series 2021-18A Class D | ||||
3-month USD LIBOR + 6.500% Floor 6.500% 01/15/2035 | 11.760% | 250,000 | 235,443 | |
Barings CLO Ltd.(a),(b) | ||||
Series 2021-2A Class E | ||||
3-month USD LIBOR + 6.250% Floor 6.250% 07/15/2034 | 11.510% | 250,000 | 224,554 | |
Exeter Automobile Receivables Trust | ||||
Subordinated Series 2023-3A Class B | ||||
09/15/2027 | 6.110% | 500,000 | 498,803 | |
LendingPoint Asset Securitization Trust(a) | ||||
Subordinated Series 2022-A Class C | ||||
06/15/2029 | 2.820% | 220,000 | 211,438 | |
Madison Park Funding XXII Ltd.(a),(b) | ||||
Series 2016-22A Class DR | ||||
3-month USD LIBOR + 3.500% Floor 3.500% 01/15/2033 | 8.760% | 400,000 | 377,889 | |
Marlette Funding Trust(a) | ||||
Series 2023-2A Class A | ||||
06/15/2033 | 6.040% | 276,602 | 275,739 | |
Netcredit Combined Receivables LLC(a),(c) | ||||
Series 2023-A Class A | ||||
12/20/2027 | 7.780% | 454,123 | 449,582 | |
Octagon 55 Ltd.(a),(b) | ||||
Series 2021-1A Class E | ||||
3-month USD LIBOR + 6.500% Floor 6.500% 07/20/2034 | 11.750% | 300,000 | 261,062 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Octagon Investment Partners 48 Ltd.(a),(b) | ||||
Series 2020-3A Class ER | ||||
3-month USD LIBOR + 6.700% Floor 6.700% 10/20/2034 | 11.950% | 250,000 | 222,851 | |
Pagaya AI Debt Trust(a) | ||||
Series 2022-2 Class A | ||||
01/15/2030 | 4.970% | 131,655 | 129,241 | |
Subordinated Series 2022-1 Class B | ||||
10/15/2029 | 3.344% | 399,947 | 370,392 | |
Subordinated Series 2022-3 Class B | ||||
03/15/2030 | 8.050% | 349,966 | 348,370 | |
Theorem Funding Trust(a) | ||||
Series 2022-3A Class A | ||||
04/15/2029 | 7.600% | 347,301 | 348,220 | |
Upstart Securitization Trust(a),(d) | ||||
Series 2023-2 Class A | ||||
06/20/2033 | 6.770% | 500,000 | 499,244 | |
Total Asset-Backed Securities — Non-Agency (Cost $5,580,068) | 5,336,830 | |||
Commercial Mortgage-Backed Securities - Non-Agency 2.0% | ||||
Braemar Hotels & Resorts Trust(a),(b) | ||||
Series 2018-PRME Class E | ||||
1-month USD LIBOR + 2.400% Floor 2.400% 06/15/2035 | 7.594% | 300,000 | 279,595 | |
Subordinated Series 2018-PRME Class D | ||||
1-month USD LIBOR + 1.800% Floor 1.925% 06/15/2035 | 6.994% | 300,000 | 281,014 | |
CLNY Trust(a),(b) | ||||
Subordinated Series 2019-IKPR Class E | ||||
1-month USD LIBOR + 2.721% Floor 2.721% 11/15/2038 | 7.986% | 300,000 | 275,241 | |
Subordinated Series 2019-IKPR Class F | ||||
1-month USD LIBOR + 3.417% Floor 3.417% 11/15/2038 | 8.682% | 350,000 | 313,446 | |
COMM Mortgage Trust(a),(e) | ||||
Subordinated Series 2020-CBM Class F | ||||
02/10/2037 | 3.754% | 150,000 | 130,811 | |
Credit Suisse Mortgage Capital Certificates OA LLC(a) | ||||
Subordinated Series 2014-USA Class E | ||||
09/15/2037 | 4.373% | 500,000 | 270,129 | |
Subordinated Series 2014-USA Class F | ||||
09/15/2037 | 4.373% | 400,000 | 161,368 |
6 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Extended Stay America Trust(a),(b) | ||||
Series 2021-ESH Class D | ||||
1-month USD LIBOR + 2.250% Floor 2.250% 07/15/2038 | 7.443% | 192,747 | 187,331 | |
Morgan Stanley Capital I Trust(a),(e) | ||||
Series 2019-MEAD Class E | ||||
11/10/2036 | 3.283% | 600,000 | 527,799 | |
Progress Residential Trust(a) | ||||
Subordinated Series 2020-SFR2 Class F | ||||
06/17/2037 | 6.152% | 500,000 | 482,180 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $3,391,704) | 2,908,914 |
Common Stocks 0.0% | ||
Issuer | Shares | Value ($) |
Financials —% | ||
Financial Services —% | ||
Fairlane Management Corp.(c),(f),(g) | 2,000 | — |
Total Financials | — | |
Information Technology 0.0% | ||
Software 0.0% | ||
Avaya Holdings Corp.(g) | 702 | 9,477 |
Avaya Holdings Corp.(g) | 3,343 | 45,131 |
Total | 54,608 | |
Total Information Technology | 54,608 | |
Total Common Stocks (Cost $63,203) | 54,608 |
Convertible Bonds 0.1% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Cable and Satellite 0.1% | ||||
DISH Network Corp. | ||||
Subordinated | ||||
08/15/2026 | 3.375% | 303,000 | 153,773 | |
Total Convertible Bonds (Cost $234,814) | 153,773 | |||
Corporate Bonds & Notes(h) 37.8% | ||||
Aerospace & Defense 1.1% | ||||
BAE Systems PLC(a) | ||||
02/15/2031 | 1.900% | 460,000 | 369,431 |
Corporate Bonds & Notes(h) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Boeing Co. (The) | ||||
08/01/2059 | 3.950% | 646,000 | 477,145 | |
05/01/2060 | 5.930% | 159,000 | 157,396 | |
Bombardier, Inc.(a) | ||||
04/15/2027 | 7.875% | 42,000 | 41,902 | |
Howmet Aerospace, Inc. | ||||
01/15/2029 | 3.000% | 107,000 | 93,730 | |
Northrop Grumman Corp. | ||||
03/15/2053 | 4.950% | 78,000 | 76,076 | |
Spirit AeroSystems, Inc.(a) | ||||
11/30/2029 | 9.375% | 46,000 | 49,310 | |
TransDigm, Inc.(a) | ||||
03/15/2026 | 6.250% | 256,000 | 254,751 | |
08/15/2028 | 6.750% | 71,000 | 71,378 | |
Total | 1,591,119 | |||
Airlines 0.3% | ||||
Air Canada(a) | ||||
08/15/2026 | 3.875% | 43,000 | 39,864 | |
American Airlines, Inc.(a) | ||||
07/15/2025 | 11.750% | 41,000 | 44,983 | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd.(a) | ||||
04/20/2026 | 5.500% | 96,012 | 95,178 | |
04/20/2029 | 5.750% | 178,729 | 173,697 | |
Hawaiian Brand Intellectual Property Ltd./Miles Loyalty Ltd.(a) | ||||
01/20/2026 | 5.750% | 89,474 | 84,709 | |
United Airlines, Inc.(a) | ||||
04/15/2026 | 4.375% | 66,000 | 62,708 | |
Total | 501,139 | |||
Automotive 0.7% | ||||
American Axle & Manufacturing, Inc. | ||||
04/01/2027 | 6.500% | 34,000 | 32,251 | |
Clarios Global LP/US Finance Co.(a) | ||||
05/15/2028 | 6.750% | 100,000 | 99,819 | |
Ford Motor Co. | ||||
02/12/2032 | 3.250% | 85,000 | 66,752 | |
01/15/2043 | 4.750% | 148,000 | 113,624 | |
Ford Motor Credit Co. LLC | ||||
09/08/2024 | 3.664% | 47,000 | 45,421 | |
06/16/2025 | 5.125% | 112,000 | 108,772 | |
11/13/2025 | 3.375% | 40,000 | 37,174 | |
08/17/2027 | 4.125% | 74,000 | 67,481 | |
11/04/2027 | 7.350% | 45,000 | 46,051 | |
02/16/2028 | 2.900% | 22,000 | 18,834 | |
02/10/2029 | 2.900% | 75,000 | 62,149 | |
06/10/2030 | 7.200% | 28,000 | 28,287 | |
11/13/2030 | 4.000% | 19,000 | 16,242 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2023 | 7 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes(h) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Goodyear Tire & Rubber Co. (The) | ||||
07/15/2029 | 5.000% | 84,000 | 75,753 | |
IHO Verwaltungs GmbH(a),(i) | ||||
09/15/2026 | 4.750% | 15,000 | 13,820 | |
KAR Auction Services, Inc.(a) | ||||
06/01/2025 | 5.125% | 21,000 | 20,630 | |
Panther BF Aggregator 2 LP/Finance Co., Inc.(a) | ||||
05/15/2026 | 6.250% | 17,000 | 16,877 | |
05/15/2027 | 8.500% | 88,000 | 88,231 | |
Total | 958,168 | |||
Banking 6.2% | ||||
Ally Financial, Inc. | ||||
05/21/2024 | 3.875% | 22,000 | 21,507 | |
Subordinated | ||||
11/20/2025 | 5.750% | 38,000 | 36,571 | |
Bank of America Corp.(j) | ||||
10/22/2030 | 2.884% | 1,010,000 | 869,857 | |
07/23/2031 | 1.898% | 1,000,000 | 796,068 | |
10/20/2032 | 2.572% | 720,000 | 586,029 | |
02/04/2033 | 2.972% | 440,000 | 366,329 | |
Subordinated | ||||
09/21/2036 | 2.482% | 57,000 | 43,530 | |
Citigroup, Inc.(j) | ||||
01/25/2033 | 3.057% | 521,000 | 434,573 | |
Goldman Sachs Group, Inc. (The)(j) | ||||
07/21/2032 | 2.383% | 1,173,000 | 938,228 | |
10/21/2032 | 2.650% | 3,000 | 2,444 | |
HSBC Holdings PLC(j) | ||||
05/24/2032 | 2.804% | 270,000 | 218,550 | |
11/22/2032 | 2.871% | 754,000 | 609,136 | |
03/09/2034 | 6.254% | 200,000 | 204,917 | |
Subordinated | ||||
06/20/2034 | 6.547% | 185,000 | 184,256 | |
JPMorgan Chase & Co.(j) | ||||
04/22/2032 | 2.580% | 902,000 | 748,960 | |
11/08/2032 | 2.545% | 1,000,000 | 818,392 | |
Morgan Stanley(j) | ||||
07/21/2032 | 2.239% | 182,000 | 144,664 | |
Subordinated | ||||
09/16/2036 | 2.484% | 70,000 | 52,983 | |
PNC Financial Services Group, Inc. (The)(j) | ||||
06/12/2029 | 5.582% | 396,000 | 394,229 | |
US Bancorp(j) | ||||
06/12/2034 | 5.836% | 123,000 | 123,773 |
Corporate Bonds & Notes(h) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Wells Fargo & Co.(j) | ||||
10/30/2030 | 2.879% | 485,000 | 419,204 | |
02/11/2031 | 2.572% | 1,060,000 | 898,294 | |
04/25/2053 | 4.611% | 88,000 | 77,196 | |
Total | 8,989,690 | |||
Brokerage/Asset Managers/Exchanges 0.3% | ||||
AG Issuer LLC(a) | ||||
03/01/2028 | 6.250% | 2,000 | 1,906 | |
AG TTMT Escrow Issuer LLC(a) | ||||
09/30/2027 | 8.625% | 80,000 | 82,112 | |
Hightower Holding LLC(a) | ||||
04/15/2029 | 6.750% | 42,000 | 36,356 | |
NFP Corp.(a) | ||||
08/15/2028 | 4.875% | 131,000 | 117,428 | |
08/15/2028 | 6.875% | 156,000 | 135,524 | |
10/01/2030 | 7.500% | 66,000 | 64,007 | |
Total | 437,333 | |||
Building Materials 0.4% | ||||
American Builders & Contractors Supply Co., Inc.(a) | ||||
01/15/2028 | 4.000% | 182,000 | 165,925 | |
Beacon Roofing Supply, Inc.(a) | ||||
11/15/2026 | 4.500% | 45,000 | 42,712 | |
05/15/2029 | 4.125% | 26,000 | 23,019 | |
James Hardie International Finance DAC(a) | ||||
01/15/2028 | 5.000% | 66,000 | 62,261 | |
SRS Distribution, Inc.(a) | ||||
07/01/2028 | 4.625% | 75,000 | 67,217 | |
07/01/2029 | 6.125% | 40,000 | 34,737 | |
12/01/2029 | 6.000% | 77,000 | 66,415 | |
White Cap Buyer LLC(a) | ||||
10/15/2028 | 6.875% | 68,000 | 61,641 | |
Total | 523,927 | |||
Cable and Satellite 1.8% | ||||
CCO Holdings LLC/Capital Corp.(a) | ||||
05/01/2027 | 5.125% | 92,000 | 85,557 | |
06/01/2029 | 5.375% | 60,000 | 54,250 | |
03/01/2030 | 4.750% | 58,000 | 49,628 | |
08/15/2030 | 4.500% | 59,000 | 49,148 | |
02/01/2031 | 4.250% | 30,000 | 24,235 | |
02/01/2032 | 4.750% | 55,000 | 44,761 | |
CCO Holdings LLC/Capital Corp. | ||||
05/01/2032 | 4.500% | 206,000 | 163,850 | |
Charter Communications Operating LLC/Capital | ||||
05/01/2047 | 5.375% | 140,000 | 115,695 | |
12/01/2061 | 4.400% | 291,000 | 195,741 | |
06/30/2062 | 3.950% | 358,000 | 220,595 | |
04/01/2063 | 5.500% | 215,000 | 172,541 |
8 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes(h) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CSC Holdings LLC(a) | ||||
12/01/2030 | 4.125% | 79,000 | 55,485 | |
12/01/2030 | 4.625% | 154,000 | 68,559 | |
02/15/2031 | 3.375% | 197,000 | 134,088 | |
11/15/2031 | 5.000% | 64,000 | 29,960 | |
DIRECTV Holdings LLC/Financing Co., Inc.(a) | ||||
08/15/2027 | 5.875% | 43,000 | 38,935 | |
DISH DBS Corp. | ||||
06/01/2029 | 5.125% | 197,000 | 91,909 | |
DISH Network Corp.(a) | ||||
11/15/2027 | 11.750% | 13,000 | 12,713 | |
Radiate Holdco LLC/Finance, Inc.(a) | ||||
09/15/2026 | 4.500% | 93,000 | 74,262 | |
09/15/2028 | 6.500% | 36,000 | 21,014 | |
Sirius XM Radio, Inc.(a) | ||||
09/01/2026 | 3.125% | 37,000 | 33,336 | |
07/15/2028 | 4.000% | 110,000 | 95,699 | |
07/01/2030 | 4.125% | 78,000 | 63,722 | |
Videotron Ltd.(a) | ||||
06/15/2029 | 3.625% | 388,000 | 335,563 | |
Virgin Media Finance PLC(a) | ||||
07/15/2030 | 5.000% | 81,000 | 64,477 | |
VZ Secured Financing BV(a) | ||||
01/15/2032 | 5.000% | 101,000 | 81,457 | |
Ziggo Bond Co. BV(a) | ||||
02/28/2030 | 5.125% | 118,000 | 89,611 | |
Ziggo BV(a) | ||||
01/15/2030 | 4.875% | 102,000 | 84,778 | |
Total | 2,551,569 | |||
Chemicals 1.0% | ||||
Avient Corp.(a) | ||||
08/01/2030 | 7.125% | 55,000 | 55,630 | |
Axalta Coating Systems LLC(a) | ||||
02/15/2029 | 3.375% | 100,000 | 85,161 | |
Braskem Netherlands Finance BV(a) | ||||
01/31/2030 | 4.500% | 324,000 | 278,110 | |
Cheever Escrow Issuer LLC(a) | ||||
10/01/2027 | 7.125% | 42,000 | 38,128 | |
Element Solutions, Inc.(a) | ||||
09/01/2028 | 3.875% | 110,000 | 95,992 | |
HB Fuller Co. | ||||
10/15/2028 | 4.250% | 86,000 | 76,779 | |
Herens Holdco Sarl(a) | ||||
05/15/2028 | 4.750% | 77,000 | 59,247 | |
Illuminate Buyer LLC/Holdings IV, Inc.(a) | ||||
07/01/2028 | 9.000% | 71,000 | 62,040 |
Corporate Bonds & Notes(h) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
INEOS Quattro Finance 2 Plc(a) | ||||
01/15/2026 | 3.375% | 55,000 | 50,244 | |
Ingevity Corp.(a) | ||||
11/01/2028 | 3.875% | 62,000 | 52,968 | |
Innophos Holdings, Inc.(a) | ||||
02/15/2028 | 9.375% | 69,000 | 68,953 | |
Iris Holdings, Inc.(a),(i) | ||||
02/15/2026 | 8.750% | 19,000 | 18,041 | |
Olympus Water US Holding Corp.(a) | ||||
10/01/2028 | 4.250% | 63,000 | 49,791 | |
11/15/2028 | 9.750% | 113,000 | 110,192 | |
10/01/2029 | 6.250% | 60,000 | 43,306 | |
SPCM SA(a) | ||||
03/15/2027 | 3.125% | 4,000 | 3,588 | |
Unifrax Escrow Issuer Corp.(a) | ||||
09/30/2028 | 5.250% | 32,000 | 23,103 | |
WR Grace Holdings LLC(a) | ||||
06/15/2027 | 4.875% | 136,000 | 126,636 | |
08/15/2029 | 5.625% | 99,000 | 80,905 | |
03/01/2031 | 7.375% | 17,000 | 16,758 | |
Total | 1,395,572 | |||
Construction Machinery 0.1% | ||||
H&E Equipment Services, Inc.(a) | ||||
12/15/2028 | 3.875% | 136,000 | 118,142 | |
Herc Holdings, Inc.(a) | ||||
07/15/2027 | 5.500% | 50,000 | 48,002 | |
Ritchie Bros Holdings, Inc.(a) | ||||
03/15/2028 | 6.750% | 14,000 | 14,160 | |
03/15/2031 | 7.750% | 18,000 | 18,728 | |
United Rentals North America, Inc. | ||||
01/15/2032 | 3.750% | 19,000 | 16,111 | |
Total | 215,143 | |||
Consumer Cyclical Services 0.4% | ||||
APX Group, Inc.(a) | ||||
07/15/2029 | 5.750% | 14,000 | 12,172 | |
Arches Buyer, Inc.(a) | ||||
06/01/2028 | 4.250% | 91,000 | 79,024 | |
12/01/2028 | 6.125% | 73,000 | 62,944 | |
ASGN, Inc.(a) | ||||
05/15/2028 | 4.625% | 77,000 | 70,431 | |
Match Group, Inc.(a) | ||||
12/15/2027 | 5.000% | 18,000 | 16,877 | |
06/01/2028 | 4.625% | 67,000 | 61,518 | |
Staples, Inc.(a) | ||||
04/15/2026 | 7.500% | 32,000 | 26,369 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2023 | 9 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes(h) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uber Technologies, Inc.(a) | ||||
05/15/2025 | 7.500% | 40,000 | 40,524 | |
09/15/2027 | 7.500% | 17,000 | 17,413 | |
01/15/2028 | 6.250% | 97,000 | 96,640 | |
08/15/2029 | 4.500% | 109,000 | 100,330 | |
Total | 584,242 | |||
Consumer Products 0.2% | ||||
CD&R Smokey Buyer, Inc.(a) | ||||
07/15/2025 | 6.750% | 127,000 | 118,434 | |
Mattel, Inc. | ||||
10/01/2040 | 6.200% | 40,000 | 35,904 | |
Newell Brands, Inc. | ||||
09/15/2027 | 6.375% | 20,000 | 19,205 | |
09/15/2029 | 6.625% | 29,000 | 27,831 | |
Newell, Inc. | ||||
04/01/2026 | 4.700% | 26,000 | 24,431 | |
Scotts Miracle-Gro Co. (The) | ||||
04/01/2031 | 4.000% | 40,000 | 31,476 | |
Spectrum Brands, Inc. | ||||
07/15/2025 | 5.750% | 38,000 | 37,985 | |
Spectrum Brands, Inc.(a) | ||||
10/01/2029 | 5.000% | 48,000 | 43,060 | |
07/15/2030 | 5.500% | 13,000 | 11,865 | |
Total | 350,191 | |||
Diversified Manufacturing 1.1% | ||||
Carrier Global Corp. | ||||
02/15/2030 | 2.722% | 1,330,000 | 1,146,218 | |
Chart Industries, Inc.(a) | ||||
01/01/2030 | 7.500% | 37,000 | 37,758 | |
01/01/2031 | 9.500% | 12,000 | 12,804 | |
Emerald Debt Merger Sub LLC(a) | ||||
12/15/2030 | 6.625% | 58,000 | 57,552 | |
Gates Global LLC/Co.(a) | ||||
01/15/2026 | 6.250% | 65,000 | 64,151 | |
Madison IAQ LLC(a) | ||||
06/30/2028 | 4.125% | 73,000 | 64,295 | |
06/30/2029 | 5.875% | 49,000 | 39,808 | |
Resideo Funding, Inc.(a) | ||||
09/01/2029 | 4.000% | 61,000 | 50,685 | |
Vertical Holdco GmbH(a) | ||||
07/15/2028 | 7.625% | 5,000 | 4,560 | |
Vertical US Newco, Inc.(a) | ||||
07/15/2027 | 5.250% | 78,000 | 72,118 |
Corporate Bonds & Notes(h) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
WESCO Distribution, Inc.(a) | ||||
06/15/2025 | 7.125% | 61,000 | 61,716 | |
06/15/2028 | 7.250% | 55,000 | 56,114 | |
Total | 1,667,779 | |||
Electric 2.4% | ||||
AEP Texas, Inc. | ||||
01/15/2050 | 3.450% | 435,000 | 313,550 | |
Calpine Corp.(a) | ||||
02/15/2028 | 4.500% | 44,000 | 39,833 | |
Clearway Energy Operating LLC(a) | ||||
02/15/2031 | 3.750% | 261,000 | 216,727 | |
01/15/2032 | 3.750% | 96,000 | 78,555 | |
Duke Energy Corp. | ||||
06/15/2031 | 2.550% | 510,000 | 422,221 | |
08/15/2052 | 5.000% | 144,000 | 131,790 | |
Duke Energy Ohio, Inc. | ||||
04/01/2053 | 5.650% | 29,000 | 29,854 | |
Edison International | ||||
11/15/2028 | 5.250% | 344,000 | 335,174 | |
Emera US Finance LP | ||||
06/15/2046 | 4.750% | 365,000 | 296,059 | |
Exelon Corp. | ||||
03/15/2053 | 5.600% | 110,000 | 110,965 | |
FirstEnergy Corp. | ||||
03/01/2050 | 3.400% | 80,000 | 55,121 | |
Georgia Power Co. | ||||
03/15/2042 | 4.300% | 200,000 | 172,453 | |
Leeward Renewable Energy Operations LLC(a) | ||||
07/01/2029 | 4.250% | 56,000 | 49,880 | |
NextEra Energy Operating Partners LP(a) | ||||
07/15/2024 | 4.250% | 24,000 | 23,556 | |
09/15/2027 | 4.500% | 206,000 | 191,428 | |
NRG Energy, Inc.(a) | ||||
06/15/2029 | 5.250% | 64,000 | 57,155 | |
02/15/2032 | 3.875% | 178,000 | 137,603 | |
Pacific Gas and Electric Co. | ||||
07/01/2050 | 4.950% | 550,000 | 432,769 | |
Pattern Energy Operations LP/Inc.(a) | ||||
08/15/2028 | 4.500% | 41,000 | 37,579 | |
PG&E Corp. | ||||
07/01/2028 | 5.000% | 31,000 | 28,457 | |
TerraForm Power Operating LLC(a) | ||||
01/31/2028 | 5.000% | 69,000 | 63,623 | |
01/15/2030 | 4.750% | 107,000 | 94,470 |
10 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes(h) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Vistra Operations Co. LLC(a) | ||||
09/01/2026 | 5.500% | 88,000 | 84,774 | |
07/31/2027 | 5.000% | 24,000 | 22,507 | |
Total | 3,426,103 | |||
Environmental 0.2% | ||||
Clean Harbors, Inc.(a) | ||||
02/01/2031 | 6.375% | 9,000 | 9,061 | |
GFL Environmental, Inc.(a) | ||||
06/01/2025 | 4.250% | 68,000 | 65,639 | |
08/01/2025 | 3.750% | 19,000 | 18,087 | |
08/01/2028 | 4.000% | 56,000 | 50,210 | |
Waste Pro USA, Inc.(a) | ||||
02/15/2026 | 5.500% | 107,000 | 99,391 | |
Total | 242,388 | |||
Finance Companies 0.6% | ||||
Navient Corp. | ||||
03/25/2024 | 6.125% | 49,000 | 48,565 | |
06/25/2025 | 6.750% | 58,000 | 57,144 | |
03/15/2027 | 5.000% | 41,000 | 36,788 | |
OneMain Finance Corp. | ||||
01/15/2029 | 9.000% | 40,000 | 40,344 | |
09/15/2030 | 4.000% | 58,000 | 44,721 | |
Provident Funding Associates LP/Finance Corp.(a) | ||||
06/15/2025 | 6.375% | 57,000 | 50,288 | |
Quicken Loans LLC/Co-Issuer, Inc.(a) | ||||
03/01/2029 | 3.625% | 111,000 | 93,321 | |
03/01/2031 | 3.875% | 82,000 | 66,487 | |
Rocket Mortgage LLC/Co-Issuer, Inc.(a) | ||||
10/15/2033 | 4.000% | 425,000 | 332,399 | |
Springleaf Finance Corp. | ||||
03/15/2024 | 6.125% | 98,000 | 97,650 | |
11/15/2029 | 5.375% | 6,000 | 5,123 | |
Total | 872,830 | |||
Food and Beverage 1.1% | ||||
Bacardi Ltd.(a) | ||||
05/15/2048 | 5.300% | 520,000 | 489,034 | |
Constellation Brands, Inc. | ||||
05/01/2033 | 4.900% | 401,000 | 393,736 | |
Darling Ingredients, Inc.(a) | ||||
04/15/2027 | 5.250% | 70,000 | 67,892 | |
FAGE International SA/USA Dairy Industry, Inc.(a) | ||||
08/15/2026 | 5.625% | 229,000 | 216,542 | |
Lamb Weston Holdings, Inc.(a) | ||||
05/15/2028 | 4.875% | 36,000 | 34,487 | |
01/31/2030 | 4.125% | 45,000 | 40,223 | |
01/31/2032 | 4.375% | 45,000 | 40,126 |
Corporate Bonds & Notes(h) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Post Holdings, Inc.(a) | ||||
03/01/2027 | 5.750% | 62,000 | 60,576 | |
04/15/2030 | 4.625% | 28,000 | 24,554 | |
09/15/2031 | 4.500% | 53,000 | 45,230 | |
Primo Water Holdings, Inc.(a) | ||||
04/30/2029 | 4.375% | 101,000 | 86,485 | |
Simmons Foods, Inc./Prepared Foods, Inc./Pet Food, Inc./Feed(a) | ||||
03/01/2029 | 4.625% | 86,000 | 69,297 | |
Triton Water Holdings, Inc.(a) | ||||
04/01/2029 | 6.250% | 65,000 | 55,667 | |
US Foods, Inc.(a) | ||||
04/15/2025 | 6.250% | 4,000 | 4,003 | |
02/15/2029 | 4.750% | 17,000 | 15,603 | |
06/01/2030 | 4.625% | 35,000 | 31,350 | |
Total | 1,674,805 | |||
Gaming 0.6% | ||||
Boyd Gaming Corp.(a) | ||||
06/15/2031 | 4.750% | 53,000 | 47,378 | |
Caesars Entertainment, Inc.(a) | ||||
10/15/2029 | 4.625% | 147,000 | 128,332 | |
02/15/2030 | 7.000% | 109,000 | 109,531 | |
Churchill Downs, Inc.(a) | ||||
05/01/2031 | 6.750% | 33,000 | 32,677 | |
Colt Merger Sub, Inc.(a) | ||||
07/01/2025 | 5.750% | 109,000 | 110,296 | |
07/01/2025 | 6.250% | 28,000 | 27,876 | |
07/01/2027 | 8.125% | 89,000 | 90,979 | |
MGM Resorts International | ||||
09/01/2026 | 4.625% | 66,000 | 62,300 | |
Midwest Gaming Borrower LLC(a) | ||||
05/01/2029 | 4.875% | 107,000 | 94,775 | |
Penn National Gaming, Inc.(a) | ||||
01/15/2027 | 5.625% | 18,000 | 16,916 | |
Scientific Games Holdings LP/US FinCo, Inc.(a) | ||||
03/01/2030 | 6.625% | 61,000 | 53,688 | |
Scientific Games International, Inc.(a) | ||||
07/01/2025 | 8.625% | 20,000 | 20,433 | |
05/15/2028 | 7.000% | 45,000 | 44,910 | |
11/15/2029 | 7.250% | 61,000 | 61,252 | |
Wynn Las Vegas LLC/Capital Corp.(a) | ||||
03/01/2025 | 5.500% | 47,000 | 46,227 | |
Total | 947,570 | |||
Health Care 2.0% | ||||
Acadia Healthcare Co., Inc.(a) | ||||
07/01/2028 | 5.500% | 38,000 | 36,333 | |
04/15/2029 | 5.000% | 74,000 | 68,714 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2023 | 11 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes(h) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
AdaptHealth LLC(a) | ||||
03/01/2030 | 5.125% | 58,000 | 47,151 | |
Avantor Funding, Inc.(a) | ||||
07/15/2028 | 4.625% | 29,000 | 26,880 | |
11/01/2029 | 3.875% | 164,000 | 143,795 | |
Becton Dickinson Euro Finance SARL | ||||
08/13/2041 | 1.336% | EUR | 227,000 | 158,305 |
Catalent Pharma Solutions, Inc.(a) | ||||
02/15/2029 | 3.125% | 10,000 | 8,129 | |
04/01/2030 | 3.500% | 67,000 | 54,270 | |
Charles River Laboratories International, Inc.(a) | ||||
05/01/2028 | 4.250% | 17,000 | 15,614 | |
03/15/2029 | 3.750% | 21,000 | 18,558 | |
03/15/2031 | 4.000% | 19,000 | 16,586 | |
CHS/Community Health Systems, Inc.(a) | ||||
04/15/2029 | 6.875% | 44,000 | 27,475 | |
05/15/2030 | 5.250% | 155,000 | 122,592 | |
02/15/2031 | 4.750% | 39,000 | 29,470 | |
CVS Health Corp. | ||||
07/20/2045 | 5.125% | 364,000 | 336,367 | |
GE HealthCare Technologies, Inc. | ||||
11/15/2027 | 5.650% | 452,000 | 457,244 | |
HCA, Inc.(a) | ||||
03/15/2052 | 4.625% | 705,000 | 578,905 | |
IQVIA, Inc.(a) | ||||
10/15/2026 | 5.000% | 16,000 | 15,473 | |
05/15/2027 | 5.000% | 61,000 | 58,756 | |
05/15/2030 | 6.500% | 28,000 | 28,331 | |
Mozart Debt Merger Sub, Inc.(a) | ||||
10/01/2029 | 5.250% | 156,000 | 135,411 | |
Select Medical Corp.(a) | ||||
08/15/2026 | 6.250% | 116,000 | 113,884 | |
Surgery Center Holdings, Inc.(a) | ||||
04/15/2027 | 10.000% | 38,000 | 38,949 | |
Tenet Healthcare Corp. | ||||
02/01/2027 | 6.250% | 85,000 | 84,289 | |
11/01/2027 | 5.125% | 89,000 | 84,970 | |
06/15/2028 | 4.625% | 68,000 | 63,540 | |
10/01/2028 | 6.125% | 67,000 | 64,487 | |
01/15/2030 | 4.375% | 37,000 | 33,387 | |
US Acute Care Solutions LLC(a) | ||||
03/01/2026 | 6.375% | 49,000 | 41,950 | |
Total | 2,909,815 | |||
Healthcare Insurance 1.1% | ||||
Aetna, Inc. | ||||
11/15/2042 | 4.125% | 54,000 | 44,464 | |
08/15/2047 | 3.875% | 51,000 | 39,801 |
Corporate Bonds & Notes(h) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Centene Corp. | ||||
10/15/2030 | 3.000% | 842,000 | 702,125 | |
08/01/2031 | 2.625% | 217,000 | 172,884 | |
UnitedHealth Group, Inc. | ||||
02/15/2030 | 5.300% | 160,000 | 163,785 | |
04/15/2063 | 5.200% | 447,000 | 445,896 | |
Total | 1,568,955 | |||
Home Construction 0.2% | ||||
Meritage Homes Corp. | ||||
06/06/2027 | 5.125% | 44,000 | 42,265 | |
Meritage Homes Corp.(a) | ||||
04/15/2029 | 3.875% | 110,000 | 97,777 | |
Shea Homes LP/Funding Corp. | ||||
02/15/2028 | 4.750% | 47,000 | 41,929 | |
Taylor Morrison Communities, Inc.(a) | ||||
01/15/2028 | 5.750% | 52,000 | 50,578 | |
Total | 232,549 | |||
Independent Energy 0.7% | ||||
Baytex Energy Corp.(a) | ||||
04/30/2030 | 8.500% | 54,000 | 52,760 | |
Callon Petroleum Co.(a) | ||||
08/01/2028 | 8.000% | 89,000 | 88,041 | |
Centennial Resource Production LLC(a) | ||||
04/01/2027 | 6.875% | 15,000 | 14,799 | |
CNX Resources Corp.(a) | ||||
03/14/2027 | 7.250% | 3,000 | 2,976 | |
01/15/2029 | 6.000% | 41,000 | 38,063 | |
Colgate Energy Partners III LLC(a) | ||||
07/01/2029 | 5.875% | 257,000 | 242,247 | |
CrownRock LP/Finance, Inc.(a) | ||||
10/15/2025 | 5.625% | 17,000 | 16,781 | |
05/01/2029 | 5.000% | 137,000 | 128,819 | |
Hilcorp Energy I LP/Finance Co.(a) | ||||
11/01/2028 | 6.250% | 39,000 | 36,766 | |
02/01/2029 | 5.750% | 85,000 | 77,458 | |
Matador Resources Co. | ||||
09/15/2026 | 5.875% | 81,000 | 78,711 | |
Matador Resources Co.(a) | ||||
04/15/2028 | 6.875% | 35,000 | 34,640 | |
Occidental Petroleum Corp. | ||||
09/01/2030 | 6.625% | 117,000 | 121,560 | |
Southwestern Energy Co. | ||||
02/01/2029 | 5.375% | 17,000 | 16,048 | |
02/01/2032 | 4.750% | 158,000 | 139,587 | |
Total | 1,089,256 |
12 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes(h) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Integrated Energy 0.1% | ||||
Cenovus Energy, Inc. | ||||
02/15/2052 | 3.750% | 105,000 | 74,542 | |
Leisure 0.5% | ||||
Carnival Corp.(a) | ||||
03/01/2026 | 7.625% | 64,000 | 62,673 | |
03/01/2027 | 5.750% | 61,000 | 56,115 | |
Carnival Holdings Bermuda Ltd.(a) | ||||
05/01/2028 | 10.375% | 74,000 | 80,952 | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op | ||||
04/15/2027 | 5.375% | 18,000 | 17,115 | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Operations LLC(a) | ||||
05/01/2025 | 5.500% | 15,000 | 14,889 | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Operations LLC | ||||
10/01/2028 | 6.500% | 29,000 | 28,296 | |
Cinemark USA, Inc.(a) | ||||
03/15/2026 | 5.875% | 90,000 | 85,404 | |
Live Nation Entertainment, Inc.(a) | ||||
03/15/2026 | 5.625% | 18,000 | 17,594 | |
NCL Corp., Ltd.(a) | ||||
02/15/2027 | 5.875% | 23,000 | 22,363 | |
Royal Caribbean Cruises Ltd.(a) | ||||
08/31/2026 | 5.500% | 63,000 | 59,778 | |
07/15/2027 | 5.375% | 8,000 | 7,501 | |
01/15/2029 | 9.250% | 15,000 | 15,996 | |
01/15/2030 | 7.250% | 113,000 | 114,674 | |
Six Flags Entertainment Corp.(a) | ||||
05/15/2031 | 7.250% | 58,000 | 56,485 | |
Viking Cruises Ltd.(a) | ||||
09/15/2027 | 5.875% | 55,000 | 50,504 | |
07/15/2031 | 9.125% | 27,000 | 27,282 | |
Total | 717,621 | |||
Life Insurance 0.2% | ||||
Peachtree Corners Funding Trust(a) | ||||
02/15/2025 | 3.976% | 300,000 | 289,080 | |
Voya Financial, Inc. | ||||
06/15/2046 | 4.800% | 4,000 | 3,297 | |
Total | 292,377 | |||
Media and Entertainment 1.4% | ||||
Cengage Learning, Inc.(a) | ||||
06/15/2024 | 9.500% | 10,000 | 10,025 | |
Clear Channel International BV(a) | ||||
08/01/2025 | 6.625% | 55,000 | 54,813 |
Corporate Bonds & Notes(h) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Clear Channel Outdoor Holdings, Inc.(a) | ||||
04/15/2028 | 7.750% | 59,000 | 46,283 | |
06/01/2029 | 7.500% | 66,000 | 48,900 | |
Clear Channel Worldwide Holdings, Inc.(a) | ||||
08/15/2027 | 5.125% | 113,000 | 102,772 | |
iHeartCommunications, Inc. | ||||
05/01/2026 | 6.375% | 70,159 | 59,108 | |
iHeartCommunications, Inc.(a) | ||||
08/15/2027 | 5.250% | 197,000 | 150,665 | |
Meta Platforms, Inc. | ||||
05/15/2063 | 5.750% | 285,000 | 294,660 | |
Netflix, Inc. | ||||
05/15/2029 | 4.625% | EUR | 110,000 | 121,466 |
Outfront Media Capital LLC/Corp.(a) | ||||
08/15/2027 | 5.000% | 27,000 | 24,500 | |
01/15/2029 | 4.250% | 15,000 | 12,608 | |
03/15/2030 | 4.625% | 78,000 | 65,326 | |
Playtika Holding Corp.(a) | ||||
03/15/2029 | 4.250% | 134,000 | 119,085 | |
Roblox Corp.(a) | ||||
05/01/2030 | 3.875% | 107,000 | 90,175 | |
Univision Communications, Inc.(a) | ||||
05/01/2029 | 4.500% | 52,000 | 44,699 | |
06/30/2030 | 7.375% | 35,000 | 33,362 | |
Warnermedia Holdings, Inc. | ||||
03/15/2062 | 5.391% | 1,013,000 | 823,325 | |
Total | 2,101,772 | |||
Metals and Mining 0.4% | ||||
Allegheny Technologies, Inc. | ||||
10/01/2029 | 4.875% | 16,000 | 14,494 | |
10/01/2031 | 5.125% | 63,000 | 56,246 | |
Constellium SE(a) | ||||
06/15/2028 | 5.625% | 88,000 | 83,105 | |
04/15/2029 | 3.750% | 291,000 | 250,019 | |
Hudbay Minerals, Inc.(a) | ||||
04/01/2029 | 6.125% | 143,000 | 131,697 | |
Kaiser Aluminum Corp.(a) | ||||
06/01/2031 | 4.500% | 33,000 | 26,362 | |
Novelis Corp.(a) | ||||
11/15/2026 | 3.250% | 28,000 | 25,372 | |
08/15/2031 | 3.875% | 33,000 | 27,236 | |
Total | 614,531 | |||
Midstream 2.3% | ||||
CNX Midstream Partners LP(a) | ||||
04/15/2030 | 4.750% | 40,000 | 33,838 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2023 | 13 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes(h) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
DCP Midstream Operating LP | ||||
04/01/2044 | 5.600% | 32,000 | 30,312 | |
Delek Logistics Partners LP/Finance Corp. | ||||
05/15/2025 | 6.750% | 32,000 | 31,507 | |
DT Midstream, Inc.(a) | ||||
06/15/2029 | 4.125% | 72,000 | 63,204 | |
06/15/2031 | 4.375% | 42,000 | 36,212 | |
EQM Midstream Partners LP(a) | ||||
07/01/2027 | 6.500% | 22,000 | 21,697 | |
01/15/2029 | 4.500% | 48,000 | 42,836 | |
01/15/2031 | 4.750% | 119,000 | 104,182 | |
EQM Midstream Partners LP | ||||
07/15/2048 | 6.500% | 104,000 | 94,135 | |
Galaxy Pipeline Assets Bidco Ltd.(a) | ||||
03/31/2036 | 2.625% | 400,000 | 323,188 | |
09/30/2040 | 3.250% | 200,000 | 155,309 | |
Greensaif Pipelines Bidco Sarl(a) | ||||
02/23/2038 | 6.129% | 200,000 | 204,238 | |
Holly Energy Partners LP/Finance Corp.(a) | ||||
04/15/2027 | 6.375% | 55,000 | 54,491 | |
02/01/2028 | 5.000% | 38,000 | 35,440 | |
Kinder Morgan, Inc. | ||||
02/15/2046 | 5.050% | 83,000 | 71,027 | |
08/01/2052 | 5.450% | 331,000 | 302,253 | |
MPLX LP | ||||
03/14/2052 | 4.950% | 108,000 | 91,766 | |
NuStar Logistics LP | ||||
10/01/2025 | 5.750% | 91,000 | 89,023 | |
06/01/2026 | 6.000% | 93,000 | 90,718 | |
Plains All American Pipeline LP/Finance Corp. | ||||
06/15/2044 | 4.700% | 702,000 | 548,339 | |
TransMontaigne Partners LP/TLP Finance Corp. | ||||
02/15/2026 | 6.125% | 96,000 | 82,965 | |
Venture Global Calcasieu Pass LLC(a) | ||||
08/15/2029 | 3.875% | 81,000 | 70,758 | |
08/15/2031 | 4.125% | 170,000 | 146,363 | |
11/01/2033 | 3.875% | 301,000 | 247,429 | |
Western Midstream Operating LP(j) | ||||
02/01/2050 | 5.250% | 280,000 | 232,507 | |
Williams Companies, Inc. (The) | ||||
09/15/2045 | 5.100% | 220,000 | 198,170 | |
Total | 3,401,907 | |||
Natural Gas 0.2% | ||||
NiSource, Inc. | ||||
05/15/2047 | 4.375% | 325,000 | 278,143 |
Corporate Bonds & Notes(h) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Oil Field Services 0.2% | ||||
Nabors Industries Ltd.(a) | ||||
01/15/2026 | 7.250% | 72,000 | 67,260 | |
Nabors Industries, Inc.(a) | ||||
05/15/2027 | 7.375% | 29,000 | 27,585 | |
Transocean Titan Financing Ltd.(a) | ||||
02/01/2028 | 8.375% | 83,000 | 84,723 | |
Venture Global LNG, Inc.(a) | ||||
06/01/2028 | 8.125% | 40,000 | 40,682 | |
06/01/2031 | 8.375% | 28,000 | 28,272 | |
Total | 248,522 | |||
Other Industry 0.0% | ||||
Hillenbrand, Inc. | ||||
03/01/2031 | 3.750% | 21,000 | 17,803 | |
Other REIT 0.3% | ||||
Blackstone Mortgage Trust, Inc.(a) | ||||
01/15/2027 | 3.750% | 60,000 | 50,432 | |
Ladder Capital Finance Holdings LLLP/Corp.(a) | ||||
10/01/2025 | 5.250% | 42,000 | 39,532 | |
02/01/2027 | 4.250% | 129,000 | 112,072 | |
06/15/2029 | 4.750% | 115,000 | 93,624 | |
Park Intermediate Holdings LLC/PK Domestic Property LLC/Finance Co-Issuer(a) | ||||
05/15/2029 | 4.875% | 97,000 | 83,630 | |
RHP Hotel Properties LP/Finance Corp.(a) | ||||
07/15/2028 | 7.250% | 18,000 | 18,184 | |
02/15/2029 | 4.500% | 15,000 | 13,284 | |
RLJ Lodging Trust LP(a) | ||||
07/01/2026 | 3.750% | 20,000 | 18,355 | |
Total | 429,113 | |||
Packaging 0.3% | ||||
Ardagh Metal Packaging Finance USA LLC/PLC(a) | ||||
06/15/2027 | 6.000% | 61,000 | 59,966 | |
09/01/2029 | 4.000% | 135,000 | 107,155 | |
Ardagh Packaging Finance PLC/Holdings USA, Inc.(a) | ||||
08/15/2026 | 4.125% | 18,000 | 16,773 | |
Ball Corp. | ||||
06/15/2029 | 6.000% | 62,000 | 61,545 | |
CANPACK SA/Eastern PA Land Investment Holding LLC(a) | ||||
11/01/2025 | 3.125% | 38,000 | 34,788 | |
Canpack SA/US LLC(a) | ||||
11/15/2029 | 3.875% | 84,000 | 68,296 | |
Sealed Air Corp.(a) | ||||
02/01/2028 | 6.125% | 9,000 | 8,933 |
14 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes(h) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Trivium Packaging Finance BV(a) | ||||
08/15/2026 | 5.500% | 38,000 | 36,476 | |
08/15/2027 | 8.500% | 39,000 | 37,555 | |
Total | 431,487 | |||
Pharmaceuticals 2.4% | ||||
1375209 BC Ltd.(a) | ||||
01/30/2028 | 9.000% | 11,000 | 11,028 | |
Amgen, Inc. | ||||
03/02/2063 | 5.750% | 1,571,000 | 1,596,751 | |
Bausch Health Companies, Inc.(a) | ||||
02/01/2027 | 6.125% | 41,000 | 26,249 | |
06/01/2028 | 4.875% | 73,000 | 43,464 | |
09/30/2028 | 11.000% | 19,000 | 13,516 | |
10/15/2030 | 14.000% | 3,000 | 1,796 | |
Endo Dac/Finance LLC/Finco, Inc.(a),(k) | ||||
06/30/2028 | 0.000% | 17,000 | 933 | |
Grifols Escrow Issuer SA(a) | ||||
10/15/2028 | 4.750% | 19,000 | 16,491 | |
Jazz Securities DAC(a) | ||||
01/15/2029 | 4.375% | 41,000 | 36,597 | |
Organon Finance 1 LLC(a) | ||||
04/30/2028 | 4.125% | 37,000 | 32,854 | |
04/30/2031 | 5.125% | 82,000 | 67,639 | |
Pfizer Investment Enterprises Pte., Ltd. | ||||
05/19/2033 | 4.750% | 518,000 | 516,264 | |
05/19/2043 | 5.110% | 417,000 | 417,136 | |
05/19/2063 | 5.340% | 677,000 | 685,134 | |
Total | 3,465,852 | |||
Property & Casualty 0.9% | ||||
Alliant Holdings Intermediate LLC/Co-Issuer(a) | ||||
10/15/2027 | 4.250% | 129,000 | 118,243 | |
10/15/2027 | 6.750% | 79,000 | 74,265 | |
04/15/2028 | 6.750% | 124,000 | 122,263 | |
11/01/2029 | 5.875% | 50,000 | 44,138 | |
AssuredPartners, Inc.(a) | ||||
08/15/2025 | 7.000% | 43,000 | 42,456 | |
01/15/2029 | 5.625% | 104,000 | 90,168 | |
Berkshire Hathaway Finance Corp. | ||||
03/15/2052 | 3.850% | 241,000 | 199,363 | |
BroadStreet Partners, Inc.(a) | ||||
04/15/2029 | 5.875% | 67,000 | 58,122 | |
GTCR AP Finance, Inc.(a) | ||||
05/15/2027 | 8.000% | 11,000 | 10,782 | |
HUB International Ltd.(a) | ||||
05/01/2026 | 7.000% | 193,000 | 192,656 | |
12/01/2029 | 5.625% | 66,000 | 59,268 |
Corporate Bonds & Notes(h) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
HUB International, Ltd.(a) | ||||
06/15/2030 | 7.250% | 191,000 | 197,224 | |
Ryan Specialty Group LLC(a) | ||||
02/01/2030 | 4.375% | 7,000 | 6,193 | |
USI, Inc.(a) | ||||
05/01/2025 | 6.875% | 80,000 | 79,429 | |
Total | 1,294,570 | |||
Restaurants 0.2% | ||||
1011778 BC ULC/New Red Finance, Inc.(a) | ||||
04/15/2025 | 5.750% | 18,000 | 17,968 | |
01/15/2028 | 3.875% | 66,000 | 60,344 | |
Fertitta Entertainment LLC/Finance Co., Inc.(a) | ||||
01/15/2029 | 4.625% | 20,000 | 17,589 | |
01/15/2030 | 6.750% | 32,000 | 27,173 | |
IRB Holding Corp.(a) | ||||
06/15/2025 | 7.000% | 124,000 | 124,620 | |
Yum! Brands, Inc. | ||||
04/01/2032 | 5.375% | 53,000 | 50,316 | |
Total | 298,010 | |||
Retailers 1.0% | ||||
Asbury Automotive Group, Inc.(a) | ||||
11/15/2029 | 4.625% | 14,000 | 12,461 | |
02/15/2032 | 5.000% | 44,000 | 38,443 | |
Group 1 Automotive, Inc.(a) | ||||
08/15/2028 | 4.000% | 21,000 | 18,464 | |
Hanesbrands, Inc.(a) | ||||
05/15/2026 | 4.875% | 15,000 | 14,003 | |
02/15/2031 | 9.000% | 59,000 | 59,446 | |
L Brands, Inc.(a) | ||||
07/01/2025 | 9.375% | 180,000 | 190,918 | |
10/01/2030 | 6.625% | 38,000 | 36,717 | |
L Brands, Inc. | ||||
11/01/2035 | 6.875% | 60,000 | 54,914 | |
LCM Investments Holdings II LLC(a) | ||||
05/01/2029 | 4.875% | 67,000 | 57,495 | |
Lithia Motors, Inc.(a) | ||||
01/15/2031 | 4.375% | 30,000 | 25,897 | |
Lowe’s Companies, Inc. | ||||
04/01/2062 | 4.450% | 193,000 | 155,457 | |
09/15/2062 | 5.800% | 726,000 | 720,229 | |
PetSmart, Inc./Finance Corp.(a) | ||||
02/15/2028 | 4.750% | 37,000 | 34,264 | |
02/15/2029 | 7.750% | 47,000 | 46,722 | |
Wolverine World Wide, Inc.(a) | ||||
08/15/2029 | 4.000% | 37,000 | 29,462 | |
Total | 1,494,892 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2023 | 15 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes(h) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Supermarkets 0.1% | ||||
Albertsons Companies LLC/Safeway, Inc./New Albertsons LP/Albertsons LLC(a) | ||||
02/15/2028 | 6.500% | 140,000 | 140,221 | |
Albertsons Companies, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(a) | ||||
03/15/2026 | 3.250% | 68,000 | 63,010 | |
Total | 203,231 | |||
Technology 1.7% | ||||
Black Knight InfoServ LLC(a) | ||||
09/01/2028 | 3.625% | 16,000 | 14,372 | |
Block, Inc. | ||||
06/01/2031 | 3.500% | 31,000 | 25,711 | |
Boxer Parent Co., Inc.(a) | ||||
10/02/2025 | 7.125% | 17,000 | 16,987 | |
Broadcom, Inc.(a) | ||||
11/15/2036 | 3.187% | 529,000 | 399,759 | |
Camelot Finance SA(a) | ||||
11/01/2026 | 4.500% | 35,000 | 33,011 | |
Clarivate Science Holdings Corp.(a) | ||||
07/01/2028 | 3.875% | 26,000 | 22,991 | |
07/01/2029 | 4.875% | 128,000 | 113,555 | |
Cloud Software Group, Inc.(a) | ||||
09/30/2029 | 9.000% | 112,000 | 97,890 | |
Condor Merger Sub, Inc.(a) | ||||
02/15/2030 | 7.375% | 98,000 | 85,198 | |
Entegris Escrow Corp.(a) | ||||
04/15/2029 | 4.750% | 46,000 | 42,715 | |
06/15/2030 | 5.950% | 81,000 | 77,739 | |
HealthEquity, Inc.(a) | ||||
10/01/2029 | 4.500% | 58,000 | 51,300 | |
Helios Software Holdings, Inc.(a) | ||||
05/01/2028 | 4.625% | 44,000 | 37,719 | |
ION Trading Technologies Sarl(a) | ||||
05/15/2028 | 5.750% | 59,000 | 50,893 | |
Iron Mountain, Inc.(a) | ||||
09/15/2027 | 4.875% | 65,000 | 61,366 | |
Logan Merger Sub, Inc.(a) | ||||
09/01/2027 | 5.500% | 109,000 | 60,842 | |
Minerva Merger Sub, Inc.(a) | ||||
02/15/2030 | 6.500% | 88,000 | 74,015 | |
NCR Corp.(a) | ||||
10/01/2028 | 5.000% | 100,000 | 89,452 | |
04/15/2029 | 5.125% | 91,000 | 80,565 | |
10/01/2030 | 5.250% | 74,000 | 64,456 | |
Neptune Bidco US, Inc.(a) | ||||
04/15/2029 | 9.290% | 80,000 | 73,465 |
Corporate Bonds & Notes(h) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
NXP BV/Funding LLC/USA, Inc. | ||||
01/15/2033 | 5.000% | 194,000 | 186,492 | |
02/15/2042 | 3.125% | 149,000 | 104,328 | |
Picard Midco, Inc.(a) | ||||
03/31/2029 | 6.500% | 115,000 | 102,223 | |
PTC, Inc.(a) | ||||
02/15/2028 | 4.000% | 40,000 | 37,061 | |
Seagate HDD Cayman(a) | ||||
12/15/2029 | 8.250% | 33,000 | 34,481 | |
07/15/2031 | 8.500% | 36,000 | 37,778 | |
Sensata Technologies BV(a) | ||||
09/01/2030 | 5.875% | 50,000 | 48,627 | |
Shift4 Payments LLC/Finance Sub, Inc.(a) | ||||
11/01/2026 | 4.625% | 116,000 | 109,434 | |
Synaptics, Inc.(a) | ||||
06/15/2029 | 4.000% | 60,000 | 50,770 | |
Tempo Acquisition LLC/Finance Corp.(a) | ||||
06/01/2025 | 5.750% | 28,000 | 27,970 | |
Verscend Escrow Corp.(a) | ||||
08/15/2026 | 9.750% | 97,000 | 97,112 | |
ZoomInfo Technologies LLC/Finance Corp.(a) | ||||
02/01/2029 | 3.875% | 152,000 | 130,712 | |
Total | 2,540,989 | |||
Transportation Services 0.5% | ||||
Adani Ports & Special Economic Zone Ltd.(a) | ||||
07/03/2029 | 4.375% | 200,000 | 161,248 | |
ERAC USA Finance LLC(a) | ||||
05/01/2028 | 4.600% | 558,000 | 542,940 | |
Total | 704,188 | |||
Wireless 1.4% | ||||
Altice France Holding SA(a) | ||||
02/15/2028 | 6.000% | 75,000 | 36,544 | |
Altice France SA(a) | ||||
02/01/2027 | 8.125% | 28,000 | 24,241 | |
07/15/2029 | 5.125% | 64,000 | 45,434 | |
10/15/2029 | 5.500% | 35,000 | 25,158 | |
American Tower Corp. | ||||
08/15/2029 | 3.800% | 268,000 | 244,996 | |
06/15/2030 | 2.100% | 75,000 | 60,741 | |
SBA Communications Corp. | ||||
02/15/2027 | 3.875% | 44,000 | 40,539 | |
02/01/2029 | 3.125% | 112,000 | 94,962 | |
Sprint Capital Corp. | ||||
11/15/2028 | 6.875% | 88,000 | 93,311 | |
Sprint Corp. | ||||
06/15/2024 | 7.125% | 17,000 | 17,164 |
16 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes(h) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
T-Mobile US, Inc. | ||||
02/15/2031 | 2.875% | 1,024,000 | 868,269 | |
04/15/2031 | 3.500% | 217,000 | 191,389 | |
Vmed O2 UK Financing I PLC(a) | ||||
01/31/2031 | 4.250% | 51,000 | 41,288 | |
07/15/2031 | 4.750% | 247,000 | 205,788 | |
Total | 1,989,824 | |||
Wirelines 1.2% | ||||
AT&T, Inc. | ||||
03/01/2029 | 4.350% | 400,000 | 384,085 | |
12/01/2057 | 3.800% | 180,000 | 130,199 | |
CenturyLink, Inc.(a) | ||||
02/15/2027 | 4.000% | 28,000 | 20,918 | |
Frontier Communications Holdings LLC(a) | ||||
05/15/2030 | 8.750% | 19,000 | 18,565 | |
03/15/2031 | 8.625% | 64,000 | 61,932 | |
Iliad Holding SAS(a) | ||||
10/15/2026 | 6.500% | 153,000 | 144,452 | |
10/15/2028 | 7.000% | 94,000 | 86,736 | |
Network i2i Ltd.(a),(j),(l) | ||||
5.650% | 200,000 | 194,336 | ||
Verizon Communications, Inc. | ||||
03/21/2031 | 2.550% | 860,000 | 718,257 | |
Total | 1,759,480 | |||
Total Corporate Bonds & Notes (Cost $59,245,946) | 55,088,997 | |||
Foreign Government Obligations(h),(m) 6.9% | ||||
Angola 0.1% | ||||
Angolan Government International Bond(a) | ||||
11/26/2029 | 8.000% | 200,000 | 169,783 | |
Azerbaijan 0.1% | ||||
Republic of Azerbaijan International Bond(a) | ||||
09/01/2032 | 3.500% | 165,000 | 141,205 | |
Brazil 0.1% | ||||
Brazilian Government International Bond | ||||
06/12/2030 | 3.875% | 202,000 | 179,434 | |
Canada 0.2% | ||||
MEGlobal Canada ULC(a) | ||||
05/18/2025 | 5.000% | 200,000 | 196,090 | |
NOVA Chemicals Corp.(a) | ||||
06/01/2027 | 5.250% | 70,000 | 62,381 | |
05/15/2029 | 4.250% | 45,000 | 36,715 | |
Total | 295,186 |
Foreign Government Obligations(h),(m) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Colombia 0.8% | ||||
Colombia Government International Bond | ||||
05/15/2049 | 5.200% | 273,000 | 189,994 | |
Colombian TES | ||||
03/26/2031 | 7.000% | COP | 1,296,900,000 | 261,937 |
Ecopetrol SA | ||||
04/29/2030 | 6.875% | 800,000 | 728,268 | |
Total | 1,180,199 | |||
Dominican Republic 0.4% | ||||
Dominican Republic International Bond(a) | ||||
01/25/2027 | 5.950% | 218,000 | 213,668 | |
04/30/2044 | 7.450% | 200,000 | 195,866 | |
01/27/2045 | 6.850% | 200,000 | 181,594 | |
Total | 591,128 | |||
Egypt 0.3% | ||||
Egypt Government International Bond(a) | ||||
04/11/2031 | 6.375% | EUR | 100,000 | 60,457 |
05/29/2032 | 7.625% | 474,000 | 275,162 | |
01/31/2047 | 8.500% | 250,000 | 132,691 | |
Total | 468,310 | |||
Hungary 0.4% | ||||
Hungary Government International Bond(a) | ||||
09/22/2031 | 2.125% | 730,000 | 565,271 | |
India 0.2% | ||||
Export-Import Bank of India(a) | ||||
01/15/2030 | 3.250% | 239,000 | 211,741 | |
Indonesia 0.5% | ||||
Indonesia Government International Bond | ||||
10/30/2049 | 3.700% | 200,000 | 159,519 | |
Indonesia Treasury Bond | ||||
04/15/2039 | 8.375% | IDR | 2,025,000,000 | 158,068 |
PT Pertamina Persero(a) | ||||
05/30/2044 | 6.450% | 400,000 | 422,012 | |
Total | 739,599 | |||
Ivory Coast 0.2% | ||||
Ivory Coast Government International Bond(a) | ||||
10/17/2031 | 5.875% | EUR | 353,000 | 322,250 |
Malaysia 0.1% | ||||
Petronas Capital Ltd.(a) | ||||
04/21/2030 | 3.500% | 225,000 | 208,709 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2023 | 17 |
June 30, 2023 (Unaudited)
Foreign Government Obligations(h),(m) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Mexico 1.4% | ||||
Mexico Government International Bond | ||||
04/16/2030 | 3.250% | 200,000 | 178,183 | |
05/29/2031 | 7.750% | MXN | 12,190,000 | 674,492 |
Petroleos Mexicanos | ||||
03/13/2027 | 6.500% | 279,000 | 247,857 | |
02/12/2028 | 5.350% | 120,000 | 98,429 | |
01/28/2031 | 5.950% | 22,000 | 16,069 | |
02/16/2032 | 6.700% | 672,000 | 511,937 | |
09/21/2047 | 6.750% | 183,000 | 114,590 | |
01/23/2050 | 7.690% | 300,000 | 203,141 | |
Total | 2,044,698 | |||
Oman 0.1% | ||||
Oman Government International Bond(a) | ||||
01/17/2048 | 6.750% | 200,000 | 192,611 | |
Panama 0.1% | ||||
Panama Government International Bond | ||||
01/19/2033 | 3.298% | 200,000 | 166,996 | |
Paraguay 0.1% | ||||
Paraguay Government International Bond(a) | ||||
08/11/2044 | 6.100% | 200,000 | 190,372 | |
Qatar 0.3% | ||||
Qatar Government International Bond(a) | ||||
03/14/2049 | 4.817% | 200,000 | 192,321 | |
Qatar Petroleum(a) | ||||
07/12/2031 | 2.250% | 200,000 | 167,707 | |
Total | 360,028 | |||
Romania 0.1% | ||||
Romanian Government International Bond(a) | ||||
04/03/2049 | 4.625% | EUR | 150,000 | 126,561 |
Saudi Arabia 0.8% | ||||
Saudi Arabian Oil Co.(a) | ||||
11/24/2030 | 2.250% | 453,000 | 376,827 | |
Saudi Government International Bond(a) | ||||
10/22/2030 | 3.250% | 800,000 | 725,860 | |
Total | 1,102,687 | |||
South Africa 0.2% | ||||
Republic of South Africa Government Bond | ||||
01/31/2030 | 8.000% | ZAR | 6,288,891 | 295,179 |
Foreign Government Obligations(h),(m) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Ukraine 0.1% | ||||
Ukraine Government International Bond(a) | ||||
09/01/2028 | 7.750% | 200,000 | 47,496 | |
09/25/2034 | 7.375% | 420,000 | 96,074 | |
03/15/2035 | 7.253% | 200,000 | 45,975 | |
Total | 189,545 | |||
United Arab Emirates 0.3% | ||||
DP World Crescent Ltd.(a) | ||||
07/18/2029 | 3.875% | 200,000 | 189,356 | |
DP World Ltd.(a) | ||||
09/25/2048 | 5.625% | 200,000 | 186,681 | |
Total | 376,037 | |||
Total Foreign Government Obligations (Cost $11,408,436) | 10,117,529 | |||
Residential Mortgage-Backed Securities - Agency 29.3% | ||||
Federal Home Loan Mortgage Corp. | ||||
05/01/2052 | 3.000% | 1,405,903 | 1,247,478 | |
07/01/2052- 08/01/2052 | 4.000% | 2,820,655 | 2,667,834 | |
Federal Home Loan Mortgage Corp.(n) | ||||
CMO Series 390 Class C30 | ||||
08/15/2052 | 2.500% | 2,072,668 | 315,425 | |
Federal Home Loan Mortgage Corp.(b),(n) | ||||
CMO Series 4620 Class AS | ||||
-1.0 x 1-month USD LIBOR + 0.440% 11/15/2042 | 0.000% | 501,648 | 24,739 | |
Federal Home Loan Mortgage Corp. REMICS(n) | ||||
CMO Series 5051 Class KI | ||||
12/25/2050 | 2.500% | 1,656,597 | 261,230 | |
CMO Series 5192 Class PI | ||||
10/25/2051 | 2.500% | 1,758,601 | 201,106 | |
CMO Series 5198 Class KI | ||||
02/25/2052 | 3.000% | 1,192,619 | 224,714 | |
Federal National Mortgage Association | ||||
11/01/2051- 05/01/2052 | 3.000% | 10,234,068 | 9,062,965 | |
05/01/2052 | 3.500% | 4,691,420 | 4,324,681 | |
Federal National Mortgage Association(e),(n) | ||||
CMO Series 2006-5 Class N1 | ||||
08/25/2034 | 0.000% | 1,129,395 | 11 | |
Federal National Mortgage Association(n) | ||||
CMO Series 2012-133 Class EI | ||||
07/25/2031 | 3.500% | 90,038 | 1,079 | |
CMO Series 2013-1 Class AI | ||||
02/25/2043 | 3.500% | 638,872 | 86,314 |
18 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2021-3 Class TI | ||||
02/25/2051 | 2.500% | 2,202,110 | 348,531 | |
Federal National Mortgage Association(b),(n) | ||||
CMO Series 2014-93 Class ES | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 01/25/2045 | 1.000% | 234,179 | 25,814 | |
CMO Series 2016-31 Class VS | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 06/25/2046 | 0.850% | 438,120 | 40,751 | |
CMO Series 2017-47 Class SE | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 06/25/2047 | 0.950% | 337,830 | 49,368 | |
CMO Series 2017-56 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 07/25/2047 | 1.000% | 686,707 | 85,299 | |
CMO Series 2018-76 Class SN | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 10/25/2048 | 1.000% | 306,350 | 36,591 | |
Freddie Mac REMICS(n) | ||||
CMO Series 5287 Class NI | ||||
05/25/2051 | 3.500% | 1,163,702 | 222,956 | |
Government National Mortgage Association(n) | ||||
CMO Series 2014-190 Class AI | ||||
12/20/2038 | 3.500% | 713,281 | 56,628 | |
CMO Series 2020-138 Class GI | ||||
09/20/2050 | 3.000% | 755,560 | 109,842 | |
CMO Series 2021-140 Class IW | ||||
08/20/2051 | 3.500% | 1,024,617 | 168,696 | |
CMO Series 2021-16 Class KI | ||||
01/20/2051 | 2.500% | 1,252,846 | 170,449 | |
CMO Series 2021-57 Class KI | ||||
03/20/2051 | 3.500% | 1,485,964 | 238,661 | |
CMO Series 2021-89 Class IO | ||||
05/20/2051 | 3.000% | 1,080,223 | 154,754 | |
Government National Mortgage Association(b),(n) | ||||
CMO Series 2016-20 Class SQ | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 02/20/2046 | 0.943% | 387,745 | 33,892 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2017-129 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 08/20/2047 | 1.054% | 314,032 | 29,105 | |
CMO Series 2017-133 Class SM | ||||
-1.0 x 1-month USD LIBOR + 6.250% Cap 6.250% 09/20/2047 | 1.093% | 342,227 | 29,353 | |
CMO Series 2018-124 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 09/20/2048 | 1.043% | 572,363 | 47,588 | |
CMO Series 2018-155 Class ES | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 11/20/2048 | 0.954% | 451,885 | 35,525 | |
CMO Series 2018-168 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 12/20/2048 | 0.943% | 398,134 | 40,792 | |
CMO Series 2018-67 Class SP | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 05/20/2048 | 1.043% | 746,945 | 62,066 | |
CMO Series 2019-152 Class BS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 12/20/2049 | 0.893% | 811,637 | 68,246 | |
CMO Series 2019-23 Class LS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 02/20/2049 | 0.904% | 272,600 | 26,379 | |
CMO Series 2019-29 Class DS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 03/20/2049 | 0.893% | 637,848 | 45,324 | |
CMO Series 2019-41 Class AS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 03/20/2049 | 0.904% | 531,214 | 50,510 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2023 | 19 |
June 30, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2019-5 Class SH | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 01/20/2049 | 0.993% | 421,811 | 41,686 | |
CMO Series 2019-59 Class JS | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 05/20/2049 | 1.004% | 402,809 | 39,715 | |
CMO Series 2020-101 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 07/20/2050 | 1.043% | 1,744,484 | 197,364 | |
CMO Series 2020-61 Class SM | ||||
-1.0 x 1-month USD LIBOR + 6.600% Cap 6.600% 07/20/2043 | 1.443% | 1,171,471 | 143,197 | |
CMO Series 2021-155 Class SG | ||||
-1.0 x 1-month USD LIBOR + 6.300% Cap 6.300% 09/20/2051 | 1.143% | 1,158,175 | 135,227 | |
CMO Series 2022-90 Class SD | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 05/20/2050 | 0.893% | 1,294,193 | 136,104 | |
CMO Series 2023-66 Class SK | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 07/20/2050 | 1.043% | 2,295,353 | 242,852 | |
CMO Series 2023-75 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 06/20/2050 | 0.893% | 2,496,175 | 272,137 | |
Government National Mortgage Association TBA(d) | ||||
07/20/2053 | 3.000% | 2,000,000 | 1,786,953 | |
Uniform Mortgage-Backed Security TBA(d) | ||||
07/18/2038 | 3.000% | 1,000,000 | 932,812 | |
07/13/2053 | 3.500% | 3,500,000 | 3,189,238 | |
07/13/2053 | 4.500% | 8,500,000 | 8,171,953 | |
07/13/2053 | 5.000% | 7,000,000 | 6,858,906 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $45,215,612) | 42,742,840 | |||
Residential Mortgage-Backed Securities - Non-Agency 16.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
510 Asset Backed Trust(a),(e) | ||||
CMO Series 2021-NPL2 Class A1 | ||||
06/25/2061 | 2.116% | 319,156 | 295,400 | |
Bellemeade Re Ltd.(a),(b) | ||||
CMO Series 2020-3A Class M2 | ||||
1-month USD LIBOR + 4.850% Floor 4.850% 10/25/2030 | 10.000% | 550,000 | 574,763 | |
CMO Series 2021-1A Class M1C | ||||
30-day Average SOFR + 2.950% Floor 2.950% 03/25/2031 | 8.017% | 300,000 | 310,461 | |
BRAVO Residential Funding Trust(a),(e) | ||||
CMO Series 2021-A Class A1 | ||||
10/25/2059 | 1.991% | 1,038,999 | 976,908 | |
CMO Series 2021-B Class A1 | ||||
04/01/2069 | 2.115% | 281,685 | 266,321 | |
BVRT Financing Trust(a),(b),(c) | ||||
CMO Series 2021-3F Class M2 | ||||
30-day Average SOFR + 2.900% Floor 2.900% 07/12/2033 | 4.187% | 500,000 | 500,000 | |
CMO Series 2021-CRT1 Class M4 | ||||
1-month USD LIBOR + 3.500% Floor 3.500% 07/10/2032 | 3.589% | 875,000 | 841,899 | |
CIM Trust(a),(e) | ||||
CMO Series 2021-NR4 Class A1 | ||||
10/25/2061 | 2.816% | 207,128 | 193,061 | |
Connecticut Avenue Securities Trust(a),(b) | ||||
Subordinated CMO Series 2022-R01 Class 1B2 | ||||
30-day Average SOFR + 6.000% 12/25/2041 | 11.067% | 750,000 | 735,309 | |
Subordinated CMO Series 2022-R07 Class 1B2 | ||||
30-day Average SOFR + 12.000% 06/25/2042 | 17.067% | 300,000 | 347,114 | |
CTS Corp.(a) | ||||
CMO Series 2015-6R Class 3A2 | ||||
02/27/2036 | 3.750% | 193,884 | 186,068 | |
Eagle Re Ltd.(a),(b) | ||||
CMO Series 2019-1 Class M2 | ||||
1-month USD LIBOR + 3.300% 04/25/2029 | 8.450% | 350,000 | 354,296 | |
CMO Series 2021-1 Class M1C | ||||
30-day Average SOFR + 2.700% Floor 2.700% 10/25/2033 | 7.767% | 243,116 | 242,643 |
20 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Fannie Mae Connecticut Avenue Securities(a),(b) | ||||
Subordinated CMO Series 2021-R02 Class 2B1 | ||||
30-day Average SOFR + 3.300% 11/25/2041 | 8.367% | 200,000 | 198,501 | |
Freddie Mac STACR(b) | ||||
CMO Series 2020-CS02 Class M4 | ||||
1-month USD LIBOR + 0.000% 06/25/2033 | 4.617% | 966,737 | 916,813 | |
Freddie Mac STACR REMIC Trust(a),(b) | ||||
CMO Series 2021-HQA1 Class M2 | ||||
30-day Average SOFR + 2.250% 08/25/2033 | 7.317% | 192,354 | 189,443 | |
CMO Series 2022-HQA1 Class M2 | ||||
30-day Average SOFR + 5.250% 03/25/2042 | 10.317% | 400,000 | 414,354 | |
Subordinated CMO Series 2020-DNA4 Class B1 | ||||
1-month USD LIBOR + 6.000% 08/25/2050 | 11.150% | 632,608 | 702,320 | |
Subordinated CMO Series 2020-DNA6 Class B1 | ||||
30-day Average SOFR + 3.000% 12/25/2050 | 8.067% | 600,000 | 590,953 | |
Subordinated CMO Series 2021-DNA5 Class B1 | ||||
30-day Average SOFR + 3.050% 01/25/2034 | 8.117% | 300,000 | 293,852 | |
Subordinated CMO Series 2021-HQA1 Class B2 | ||||
30-day Average SOFR + 5.000% 08/25/2033 | 10.067% | 550,000 | 492,119 | |
Freddie Mac Structured Agency Credit Risk Debt Notes(a),(b) | ||||
CMO Series 2019-CS03 Class M2 | ||||
1-month USD LIBOR + 0.000% 10/25/2032 | 5.150% | 496,949 | 474,946 | |
Subordinated CMO Series 2020-HQA5 Class B1 | ||||
30-day Average SOFR + 4.000% 11/25/2050 | 9.067% | 750,000 | 765,920 | |
Subordinated CMO Series 2022-DNA2 Class B1 | ||||
30-day Average SOFR + 4.750% 02/25/2042 | 9.817% | 450,000 | 446,123 | |
Subordinated CMO Series 2022-DNA2 Class B2 | ||||
30-day Average SOFR + 8.500% 02/25/2042 | 13.567% | 350,000 | 350,295 | |
New York Mortgage Trust(a),(e) | ||||
CMO Series 2021-BPL1 Class A1 | ||||
05/25/2026 | 2.239% | 397,899 | 392,588 | |
NRZ Excess Spread-Collateralized Notes(a) | ||||
Series 2020-PLS1 Class A | ||||
12/25/2025 | 3.844% | 215,242 | 199,823 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Oaktown Re VI Ltd.(a),(b) | ||||
CMO Series 2021-1A Class M1C | ||||
30-day Average SOFR + 3.000% Floor 3.000% 10/25/2033 | 8.067% | 200,000 | 203,398 | |
PMT Credit Risk Transfer Trust(a),(b) | ||||
Series 2019-2R Class A | ||||
1-month USD LIBOR + 2.750% Floor 2.750% 05/25/2025 | 8.928% | 269,344 | 267,330 | |
PNMAC GMSR Issuer Trust(a),(b) | ||||
CMO Series 2018-GT1 Class A | ||||
1-month USD LIBOR + 2.850% Floor 2.850% 02/25/2025 | 8.000% | 1,400,000 | 1,398,320 | |
CMO Series 2018-GT2 Class A | ||||
1-month USD LIBOR + 2.650% 08/25/2025 | 7.800% | 2,250,000 | 2,222,093 | |
Point Securitization Trust(a),(e) | ||||
CMO Series 2021-1 Class A1 | ||||
02/25/2052 | 3.228% | 393,359 | 370,202 | |
Preston Ridge Partners Mortgage(a),(e) | ||||
CMO Series 2021-4 Class A1 | ||||
04/25/2026 | 1.867% | 268,041 | 246,881 | |
Preston Ridge Partners Mortgage Trust(a),(e) | ||||
CMO Series 2021-1 Class A1 | ||||
01/25/2026 | 2.115% | 256,040 | 244,681 | |
CMO Series 2021-2 Class A1 | ||||
03/25/2026 | 2.115% | 218,719 | 204,560 | |
CMO Series 2021-3 Class A1 | ||||
04/25/2026 | 1.867% | 240,428 | 222,331 | |
CMO Series 2023-RCF1 Class M1 | ||||
06/25/2053 | 4.000% | 350,000 | 290,353 | |
Pretium Mortgage Credit Partners(a),(e) | ||||
CMO Series 2022-NPL1 Class A1 | ||||
01/25/2052 | 2.981% | 357,546 | 329,122 | |
Pretium Mortgage Credit Partners I LLC(a),(e) | ||||
CMO Series 2021-NPL1 Class A1 | ||||
09/27/2060 | 2.240% | 155,281 | 146,078 | |
Pretium Mortgage Credit Partners LLC(a),(e) | ||||
CMO Series 2021-RN2 Class A1 | ||||
07/25/2051 | 1.744% | 174,205 | 157,000 | |
Radnor Re Ltd.(a),(b) | ||||
CMO Series 2021-1 Class M2 | ||||
30-day Average SOFR + 3.150% 12/27/2033 | 8.217% | 400,000 | 392,372 | |
Stonnington Mortgage Trust(a),(c),(e),(f) | ||||
CMO Series 2020-1 Class A | ||||
07/28/2024 | 3.500% | 51,857 | 51,080 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2023 | 21 |
June 30, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Toorak Mortgage Corp., Ltd.(a),(e) | ||||
CMO Series 2021-1 Class A1 | ||||
06/25/2024 | 2.240% | 400,000 | 396,249 | |
Triangle Re Ltd.(a),(b) | ||||
CMO Series 2021-2 Class M1C | ||||
1-month USD LIBOR + 4.500% Floor 4.500% 10/25/2033 | 9.650% | 500,000 | 521,793 | |
CMO Series 2021-2 Class M2 | ||||
1-month USD LIBOR + 5.500% Floor 5.500% 10/25/2033 | 10.650% | 250,000 | 257,277 | |
VCAT Asset Securitization LLC(a),(e) | ||||
CMO Series 2021-NPL6 Class A1 | ||||
09/25/2051 | 1.917% | 355,416 | 322,036 | |
VCAT LLC(a),(e) | ||||
CMO Series 2021-NPL5 Class A1 | ||||
08/25/2051 | 1.868% | 446,235 | 404,092 | |
Vericrest Opportunity Loan Transferee(a),(e) | ||||
CMO Series 2021-NPL4 Class A1 | ||||
03/27/2051 | 2.240% | 382,472 | 358,515 | |
Vericrest Opportunity Loan Transferee XCIII LLC(a),(e) | ||||
CMO Series 2021-NPL2 Class A1 | ||||
02/27/2051 | 1.893% | 294,711 | 271,395 | |
Verus Securitization Trust(a),(e) | ||||
CMO Series 2020-1 Class M1 | ||||
01/25/2060 | 3.021% | 400,000 | 319,592 | |
CMO Series 2023-1 Class M1 | ||||
12/25/2067 | 7.001% | 1,000,000 | 971,995 | |
Subordinated CMO Series 2019-INV3 Class B1 | ||||
11/25/2059 | 3.731% | 300,000 | 247,555 | |
Visio Trust(a),(e) | ||||
CMO Series 2019-2 Class M1 | ||||
11/25/2054 | 3.260% | 200,000 | 167,455 | |
Subordinated CMO Series 2019-2 Class B1 | ||||
11/25/2054 | 3.910% | 100,000 | 84,364 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $23,455,826) | 23,320,412 | |||
Senior Loans 5.1% | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Airlines 0.3% | ||||
American Airlines, Inc.(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 1.750% 01/29/2027 | 6.510% | 479,948 | 467,272 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Cable and Satellite 0.4% | ||||
Virgin Media Bristol LLC(b),(o) | ||||
Tranche Q Term Loan | ||||
1-month USD LIBOR + 3.250% 01/31/2029 | 8.443% | 600,000 | 596,784 | |
Chemicals 0.5% | ||||
ColourOz Investment 1 GmbH(b),(o) | ||||
Tranche C 1st Lien Term Loan | ||||
3-month USD LIBOR + 4.250% Floor 1.000% 09/21/2023 | 9.523% | 46,651 | 31,360 | |
ColourOz Investment 2 LLC(b),(o) | ||||
Tranche B2 1st Lien Term Loan | ||||
3-month USD LIBOR + 4.250% Floor 1.000% 09/21/2023 | 0.000% | 282,209 | 189,706 | |
Ineos US Finance LLC(b),(o) | ||||
Term Loan | ||||
1-month Term SOFR + 3.750% 11/08/2027 | 8.952% | 484,733 | 482,581 | |
Total | 703,647 | |||
Consumer Cyclical Services 0.4% | ||||
8th Avenue Food & Provisions, Inc.(b),(o) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 3.750% 10/01/2025 | 8.967% | 33,049 | 30,275 | |
2nd Lien Term Loan | ||||
1-month USD LIBOR + 7.750% 10/01/2026 | 12.967% | 63,566 | 41,763 | |
Arches Buyer, Inc.(b),(o) | ||||
Term Loan | ||||
1-month Term SOFR + 3.250% Floor 0.500% 12/06/2027 | 8.452% | 487,500 | 469,677 | |
Total | 541,715 | |||
Diversified Manufacturing 0.3% | ||||
TK Elevator Midco GmbH(b),(o) | ||||
Tranche B1 Term Loan | ||||
6-month USD LIBOR + 3.500% Floor 0.500% 07/30/2027 | 8.602% | 487,640 | 482,827 | |
Electric 0.3% | ||||
Constellation Renewables LLC(b),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 2.500% Floor 1.000% 12/15/2027 | 8.025% | 434,973 | 431,768 |
22 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Health Care 0.3% | ||||
Medline Borrower LP(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.250% Floor 0.500% 10/23/2028 | 8.352% | 460,833 | 455,216 | |
Leisure 0.5% | ||||
NAI Entertainment Holdings LLC(b),(o) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 2.500% Floor 1.000% 05/08/2025 | 7.700% | 750,000 | 690,937 | |
Media and Entertainment 0.3% | ||||
Gray Television, Inc.(b),(o) | ||||
Tranche E Term Loan | ||||
1-month Term SOFR + 2.500% 01/02/2026 | 7.775% | 425,886 | 417,569 | |
Property & Casualty 0.3% | ||||
Asurion LLC(b),(o) | ||||
Tranche B8 Term Loan | ||||
1-month USD LIBOR + 3.250% 12/23/2026 | 8.788% | 436,066 | 419,278 | |
Technology 1.2% | ||||
Avaya, Inc.(b),(o) | ||||
Term Loan | ||||
1-month Term SOFR + 8.500% Floor 1.000% 08/01/2028 | 13.602% | 102,467 | 87,609 | |
Endurance International Group Holdings, Inc.(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.500% Floor 0.750% 02/10/2028 | 8.792% | 869,809 | 808,922 | |
GoTo Group, Inc.(b),(o) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 4.750% 08/31/2027 | 9.943% | 489,950 | 304,587 | |
Peraton Corp.(b),(o) | ||||
Tranche B 1st Lien Term Loan | ||||
1-month USD LIBOR + 3.750% Floor 0.750% 02/01/2028 | 8.952% | 559,774 | 548,881 | |
Total | 1,749,999 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Wireless 0.3% | ||||
SBA Senior Finance II LLC(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 1.750% 04/11/2025 | 6.950% | 483,461 | 483,243 | |
Total Senior Loans (Cost $7,884,885) | 7,440,255 | |||
U.S. Treasury Obligations 3.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
U.S. Treasury | ||||
04/30/2024 | 2.500% | 1,635,000 | 1,595,849 | |
05/15/2032 | 2.875% | 2,905,000 | 2,693,934 | |
Total U.S. Treasury Obligations (Cost $4,554,667) | 4,289,783 |
Call Option Contracts Purchased 0.1% | ||||
Value ($) | ||||
(Cost $196,800) | 87,082 |
Money Market Funds 9.1% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(p),(q) | 13,282,731 | 13,277,417 |
Total Money Market Funds (Cost $13,276,393) | 13,277,417 | |
Total Investments in Securities (Cost: $174,508,354) | 164,818,440 | |
Other Assets & Liabilities, Net | (19,111,717) | |
Net Assets | 145,706,723 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2023 | 23 |
June 30, 2023 (Unaudited)
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
948,000 EUR | 1,013,957 USD | Citi | 07/13/2023 | — | (20,948) |
1,030,000,000 COP | 240,360 USD | HSBC | 07/13/2023 | — | (5,835) |
5,700,000 ZAR | 294,467 USD | HSBC | 07/13/2023 | — | (8,119) |
Total | — | (34,902) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Long Bond | 18 | 09/2023 | USD | 2,284,313 | — | (5,382) |
U.S. Treasury 5-Year Note | 242 | 09/2023 | USD | 25,916,688 | — | (311,970) |
Total | — | (317,352) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
3-Month SOFR | (103) | 03/2024 | USD | (24,369,800) | 80,213 | — |
Euro-Bobl | (57) | 09/2023 | EUR | (6,595,470) | 91,995 | — |
Euro-Bund | (23) | 09/2023 | EUR | (3,076,020) | 29,737 | — |
U.S. Treasury 10-Year Note | (130) | 09/2023 | USD | (14,594,531) | 242,709 | — |
U.S. Treasury 2-Year Note | (164) | 09/2023 | USD | (33,348,375) | 261,725 | — |
U.S. Treasury Ultra Bond | (8) | 09/2023 | USD | (1,089,750) | — | (9,961) |
Total | 706,379 | (9,961) |
Call option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 6,150,000 | 6,150,000 | 3.30 | 11/14/2023 | 196,800 | 87,082 |
Cleared interest rate swap contracts | |||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
3-Month USD LIBOR | Fixed rate of 1.781% | Receives Quarterly, Pays SemiAnnually | Morgan Stanley | 08/09/2023 | USD | 2,100,000 | 10,074 | — | — | 10,074 | — |
Fixed rate of 6.361% | 28-Day MXN TIIE-Banxico | Receives Monthly, Pays Monthly | Morgan Stanley | 10/24/2025 | MXN | 17,000,000 | (67,095) | — | — | — | (67,095) |
Fixed rate of 5.985% | 28-Day MXN TIIE-Banxico | Receives Monthly, Pays Monthly | Morgan Stanley | 01/21/2026 | MXN | 8,000,000 | (36,014) | — | — | — | (36,014) |
Fixed rate of 5.960% | 28-Day MXN TIIE-Banxico | Receives Monthly, Pays Monthly | Morgan Stanley | 02/02/2026 | MXN | 20,000,000 | (88,847) | — | — | — | (88,847) |
SOFR plus 0.262% | Fixed rate of 1.781% | Receives Quarterly, Pays SemiAnnually | Morgan Stanley | 08/09/2049 | USD | 2,100,000 | 628,676 | — | — | 628,676 | — |
Total | 446,794 | — | — | 638,750 | (191,956) |
24 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Credit default swap contracts - buy protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Pay fixed rate (%) | Payment frequency | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CMBX North America Index, Series 11 BBB- | Citi | 11/18/2054 | 3.000 | Monthly | USD | 500,000 | 122,504 | (250) | 126,138 | — | — | (3,884) |
Markit CMBX North America Index, Series 12 BBB- | Citi | 08/17/2061 | 3.000 | Monthly | USD | 300,000 | 96,792 | (150) | 81,826 | — | 14,816 | — |
Markit CMBX North America Index, Series 11 BBB- | Goldman Sachs International | 11/18/2054 | 3.000 | Monthly | USD | 200,000 | 49,001 | (100) | 30,260 | — | 18,641 | — |
Markit CMBX North America Index, Series 11 BBB- | JPMorgan | 11/18/2054 | 3.000 | Monthly | USD | 200,000 | 49,001 | (100) | 6,690 | — | 42,211 | — |
Markit CMBX North America Index, Series 16 BBB- | Morgan Stanley | 04/17/2065 | 3.000 | Monthly | USD | 320,000 | 93,873 | (160) | 74,599 | — | 19,114 | — |
Total | 411,171 | (760) | 319,513 | — | 94,782 | (3,884) |
Credit default swap contracts - sell protection | |||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CMBX North America Index, Series 10 BBB- | Citi | 11/17/2059 | 3.000 | Monthly | 16.073 | USD | 500,000 | (155,330) | 250 | — | (107,617) | — | (47,463) |
Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 16.073 | USD | 500,000 | (155,329) | 250 | — | (106,573) | — | (48,506) |
Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 16.073 | USD | 500,000 | (155,329) | 250 | — | (82,555) | — | (72,524) |
Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 16.073 | USD | 500,000 | (155,330) | 250 | — | (79,496) | — | (75,584) |
Markit CMBX North America Index, Series 8 BBB- | Morgan Stanley | 10/17/2057 | 3.000 | Monthly | 22.334 | USD | 250,000 | (50,724) | 125 | — | (50,695) | 96 | — |
Total | (672,042) | 1,125 | — | (426,936) | 96 | (244,077) |
Reference index and values for swap contracts as of period end | ||
Reference index | Reference rate | |
28-Day MXN TIIE-Banxico | Interbank Equilibrium Interest Rate | 11.498% |
3-Month USD LIBOR | London Interbank Offered Rate | 5.545% |
SOFR | Secured Overnight Financing Rate | 5.090% |
(a) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At June 30, 2023, the total value of these securities amounted to $60,608,677, which represents 41.60% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of June 30, 2023. |
(c) | Valuation based on significant unobservable inputs. |
(d) | Represents a security purchased on a when-issued basis. |
(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, 2023. |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2023 | 25 |
June 30, 2023 (Unaudited)
(f) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At June 30, 2023, the total value of these securities amounted to $51,080, which represents 0.04% of total net assets. |
(g) | Non-income producing investment. |
(h) | Principal amounts are denominated in United States Dollars unless otherwise noted. |
(i) | Payment-in-kind security. Interest can be paid by issuing additional par of the security or in cash. |
(j) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of June 30, 2023. |
(k) | Represents a security in default. |
(l) | Perpetual security with no specified maturity date. |
(m) | Principal and interest may not be guaranteed by a governmental entity. |
(n) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
(o) | The stated interest rate represents the weighted average interest rate at June 30, 2023 of contracts within the senior loan facility. Interest rates on contracts are primarily determined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. These base lending rates are primarily the LIBOR and other short-term rates. Base lending rates may be subject to a floor or minimum rate. The interest rate for senior loans purchased on a when-issued or delayed delivery basis will be determined upon settlement, therefore no interest rate is disclosed. Senior loans often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay cannot be predicted with accuracy. As a result, remaining maturities of senior loans may be less than the stated maturities. Generally, the Fund is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. |
(p) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
(q) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | ||||||||
13,811,358 | 24,131,700 | (24,664,779) | (862) | 13,277,417 | (482) | 195,204 | 13,282,731 |
CMO | Collateralized Mortgage Obligation |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing Rate |
TBA | To Be Announced |
COP | Colombian Peso |
EUR | Euro |
IDR | Indonesian Rupiah |
MXN | Mexican Peso |
USD | US Dollar |
ZAR | South African Rand |
■ | 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. |
26 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Asset-Backed Securities — Non-Agency | — | 4,887,248 | 449,582 | 5,336,830 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 2,908,914 | — | 2,908,914 |
Common Stocks | ||||
Financials | — | — | —* | —* |
Information Technology | — | 54,608 | — | 54,608 |
Total Common Stocks | — | 54,608 | —* | 54,608 |
Convertible Bonds | — | 153,773 | — | 153,773 |
Corporate Bonds & Notes | — | 55,088,997 | — | 55,088,997 |
Foreign Government Obligations | — | 10,117,529 | — | 10,117,529 |
Residential Mortgage-Backed Securities - Agency | — | 42,742,840 | — | 42,742,840 |
Residential Mortgage-Backed Securities - Non-Agency | — | 21,927,433 | 1,392,979 | 23,320,412 |
Senior Loans | — | 7,440,255 | — | 7,440,255 |
U.S. Treasury Obligations | — | 4,289,783 | — | 4,289,783 |
Call Option Contracts Purchased | — | 87,082 | — | 87,082 |
Money Market Funds | 13,277,417 | — | — | 13,277,417 |
Total Investments in Securities | 13,277,417 | 149,698,462 | 1,842,561 | 164,818,440 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 706,379 | — | — | 706,379 |
Swap Contracts | — | 733,628 | — | 733,628 |
Liability | ||||
Forward Foreign Currency Exchange Contracts | — | (34,902) | — | (34,902) |
Futures Contracts | (327,313) | — | — | (327,313) |
Swap Contracts | — | (439,917) | — | (439,917) |
Total | 13,656,483 | 149,957,271 | 1,842,561 | 165,456,315 |
* | Rounds to zero. |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2023 | 27 |
June 30, 2023 (Unaudited)
The following table is a reconciliation of Level 3 assets for which significant observable and unobservable inputs were used to determine fair value:
Balance as of 12/31/2022 ($) | Increase (decrease) in accrued discounts/ premiums ($) | Realized gain (loss) ($) | Change in unrealized appreciation (depreciation)(a) ($) | Purchases ($) | Sales ($) | Transfers into Level 3 ($) | Transfers out of Level 3 ($) | Balance as of 06/30/2023 ($) | |
Asset-Backed Securities — Non-Agency | 25,751 | 1,736 | — | (117) | 593,952 | (171,740) | — | — | 449,582 |
Common Stocks | — | — | — | — | — | — | — | — | — |
Residential Mortgage-Backed Securities — Non-Agency | 1,578,158 | — | — | 3,409 | — | (188,588) | — | — | 1,392,979 |
Total | 1,603,909 | 1,736 | — | 3,292 | 593,952 | (360,328) | — | — | 1,842,561 |
28 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $161,035,161) | $151,453,941 |
Affiliated issuers (cost $13,276,393) | 13,277,417 |
Option contracts purchased (cost $196,800) | 87,082 |
Cash | 44,623 |
Foreign currency (cost $114,826) | 115,121 |
Cash collateral held at broker for: | |
Option contracts purchased | 450,000 |
TBA | 255,000 |
Margin deposits on: | |
Futures contracts | 526,362 |
Swap contracts | 177,961 |
Unrealized appreciation on swap contracts | 94,878 |
Upfront payments on swap contracts | 319,513 |
Receivable for: | |
Investments sold | 2,437 |
Investments sold on a delayed delivery basis | 8,053,462 |
Capital shares sold | 64,626 |
Dividends | 39,040 |
Interest | 1,301,316 |
Foreign tax reclaims | 886 |
Variation margin for futures contracts | 19,247 |
Variation margin for swap contracts | 255 |
Expense reimbursement due from Investment Manager | 575 |
Prepaid expenses | 656 |
Trustees’ deferred compensation plan | 105,320 |
Total assets | 176,389,718 |
Liabilities | |
Unrealized depreciation on forward foreign currency exchange contracts | 34,902 |
Unrealized depreciation on swap contracts | 247,961 |
Upfront receipts on swap contracts | 426,936 |
Payable for: | |
Investments purchased | 2,822 |
Investments purchased on a delayed delivery basis | 29,630,822 |
Capital shares redeemed | 108,324 |
Variation margin for futures contracts | 39,803 |
Variation margin for swap contracts | 16,575 |
Foreign capital gains taxes deferred | 528 |
Management services fees | 2,389 |
Distribution and/or service fees | 858 |
Service fees | 21,143 |
Compensation of board members | 14,206 |
Compensation of chief compliance officer | 13 |
Other expenses | 30,393 |
Trustees’ deferred compensation plan | 105,320 |
Total liabilities | 30,682,995 |
Net assets applicable to outstanding capital stock | $145,706,723 |
Represented by | |
Paid in capital | 156,918,288 |
Total distributable earnings (loss) | (11,211,565) |
Total - representing net assets applicable to outstanding capital stock | $145,706,723 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2023 | 29 |
June 30, 2023 (Unaudited)
Class 1 | |
Net assets | $20,188,326 |
Shares outstanding | 5,563,307 |
Net asset value per share | $3.63 |
Class 2 | |
Net assets | $125,518,397 |
Shares outstanding | 35,054,442 |
Net asset value per share | $3.58 |
30 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — affiliated issuers | $195,204 |
Interest | 4,009,669 |
Interfund lending | 340 |
Foreign taxes withheld | (2,302) |
Total income | 4,202,911 |
Expenses: | |
Management services fees | 424,084 |
Distribution and/or service fees | |
Class 2 | 152,680 |
Service fees | 80,004 |
Compensation of board members | 7,854 |
Custodian fees | 19,162 |
Printing and postage fees | 5,233 |
Accounting services fees | 25,933 |
Legal fees | 6,837 |
Interest on collateral | 12,334 |
Compensation of chief compliance officer | 14 |
Other | 3,427 |
Total expenses | 737,562 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (98,991) |
Total net expenses | 638,571 |
Net investment income | 3,564,340 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (2,633,645) |
Investments — affiliated issuers | (482) |
Foreign currency translations | (11,712) |
Forward foreign currency exchange contracts | 133 |
Futures contracts | (133,041) |
Option contracts purchased | (988,525) |
Option contracts written | 1,984 |
Swap contracts | (909,727) |
Net realized loss | (4,675,015) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 4,948,417 |
Investments — affiliated issuers | (862) |
Foreign currency translations | (159) |
Forward foreign currency exchange contracts | (21,267) |
Futures contracts | 157,457 |
Option contracts purchased | 647,532 |
Option contracts written | (87,586) |
Swap contracts | 399,597 |
Foreign capital gains tax | (528) |
Net change in unrealized appreciation (depreciation) | 6,042,601 |
Net realized and unrealized gain | 1,367,586 |
Net increase in net assets resulting from operations | $4,931,926 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2023 | 31 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment income | $3,564,340 | $5,369,318 |
Net realized loss | (4,675,015) | (5,836,327) |
Net change in unrealized appreciation (depreciation) | 6,042,601 | (17,296,147) |
Net increase (decrease) in net assets resulting from operations | 4,931,926 | (17,763,156) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | — | (1,229,058) |
Class 2 | — | (8,819,259) |
Total distributions to shareholders | — | (10,048,317) |
Increase in net assets from capital stock activity | 3,487,274 | 18,332,155 |
Total increase (decrease) in net assets | 8,419,200 | (9,479,318) |
Net assets at beginning of period | 137,287,523 | 146,766,841 |
Net assets at end of period | $145,706,723 | $137,287,523 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Shares sold | 559,093 | 2,015,819 | 1,348,582 | 4,852,596 |
Distributions reinvested | — | — | 337,653 | 1,229,058 |
Shares redeemed | (430,682) | (1,549,223) | (731,953) | (2,812,156) |
Net increase | 128,411 | 466,596 | 954,282 | 3,269,498 |
Class 2 | ||||
Shares sold | 3,397,313 | 12,079,385 | 12,016,613 | 44,656,341 |
Distributions reinvested | — | — | 2,449,794 | 8,819,259 |
Shares redeemed | (2,551,645) | (9,058,707) | (10,652,434) | (38,412,943) |
Net increase | 845,668 | 3,020,678 | 3,813,973 | 15,062,657 |
Total net increase | 974,079 | 3,487,274 | 4,768,255 | 18,332,155 |
32 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2023 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2023 | 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 | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $3.50 | 0.09 | 0.04 | 0.13 | — | — | — |
Year Ended 12/31/2022 | $4.25 | 0.15 | (0.62) | (0.47) | (0.12) | (0.16) | (0.28) |
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) |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $3.46 | 0.09 | 0.03 | 0.12 | — | — | — |
Year Ended 12/31/2022 | $4.20 | 0.14 | (0.61) | (0.47) | (0.11) | (0.16) | (0.27) |
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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interest on collateral expense. For the periods indicated below, if interest on collateral expense had been excluded, expenses would have been lower by: |
Class | 6/30/2023 | 12/31/2022 | 12/31/2021 | 12/31/2020 | 12/31/2019 | 12/31/2018 |
Class 1 | 0.02% | 0.01% | 0.01% | less than 0.01% | less than 0.01% | less than 0.01% |
Class 2 | 0.02% | 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 2023 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $3.63 | 3.71% | 0.83%(c) | 0.69%(c) | 5.26% | 136% | $20,188 |
Year Ended 12/31/2022 | $3.50 | (11.37%) | 0.83%(c) | 0.69%(c) | 4.03% | 182% | $19,019 |
Year Ended 12/31/2021 | $4.25 | 2.09% | 0.80%(c) | 0.69%(c) | 3.21% | 136% | $19,045 |
Year Ended 12/31/2020 | $4.40 | 6.82% | 0.74%(c) | 0.69%(c) | 3.58% | 166% | $118,832 |
Year Ended 12/31/2019 | $4.27 | 10.38% | 0.74%(c) | 0.69%(c) | 4.19% | 193% | $109,698 |
Year Ended 12/31/2018 | $4.02 | (0.39%) | 0.77%(c) | 0.69%(c) | 4.49% | 157% | $99,738 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $3.58 | 3.47% | 1.08%(c) | 0.94%(c) | 5.01% | 136% | $125,518 |
Year Ended 12/31/2022 | $3.46 | (11.52%) | 1.08%(c) | 0.94%(c) | 3.76% | 182% | $118,268 |
Year Ended 12/31/2021 | $4.20 | 1.63% | 1.08%(c) | 0.94%(c) | 3.04% | 136% | $127,722 |
Year Ended 12/31/2020 | $4.36 | 6.62% | 0.99%(c) | 0.94%(c) | 3.33% | 166% | $105,403 |
Year Ended 12/31/2019 | $4.23 | 10.22% | 0.99%(c) | 0.94%(c) | 3.92% | 193% | $102,773 |
Year Ended 12/31/2018 | $3.98 | (0.64%) | 1.02%(c) | 0.94%(c) | 4.24% | 157% | $68,554 |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2023 | 35 |
June 30, 2023 (Unaudited)
36 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2023 | 37 |
June 30, 2023 (Unaudited)
38 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2023 | 39 |
June 30, 2023 (Unaudited)
40 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2023 | 41 |
June 30, 2023 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 94,878* |
Credit risk | Upfront payments on swap contracts | 319,513 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 706,379* |
Interest rate risk | Investments, at value — Option contracts purchased | 87,082 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 638,750* |
Total | 1,846,602 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 247,961* |
Credit risk | Upfront receipts on swap contracts | 426,936 |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 34,902 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 327,313* |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 191,956* |
Total | 1,229,068 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin for futures and centrally cleared swaps, if any, is reported in receivables or payables in the Statement of Assets and Liabilities. |
42 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Option contracts purchased ($) | Option contracts written ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | — | — | (878,254) | (878,254) |
Foreign exchange risk | 133 | — | — | — | — | 133 |
Interest rate risk | — | (133,041) | (988,525) | 1,984 | (31,473) | (1,151,055) |
Total | 133 | (133,041) | (988,525) | 1,984 | (909,727) | (2,029,176) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Option contracts purchased ($) | Option contracts written ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | — | — | 402,763 | 402,763 |
Foreign exchange risk | (21,267) | — | — | — | — | (21,267) |
Interest rate risk | — | 157,457 | 647,532 | (87,586) | (3,166) | 714,237 |
Total | (21,267) | 157,457 | 647,532 | (87,586) | 399,597 | 1,095,733 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 23,959,094 |
Futures contracts — short | 63,764,816 |
Credit default swap contracts — buy protection | 2,683,000 |
Credit default swap contracts — sell protection | 2,562,500 |
Derivative instrument | Average value ($)* |
Option contracts purchased | 201,107 |
Option contracts written | (184,964) |
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 2,348 | (23,127) |
Interest rate swap contracts | 611,666 | (196,738) |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2023. |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2023 | 43 |
June 30, 2023 (Unaudited)
44 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Citi ($)(a) | Citi ($)(a) | Goldman Sachs International ($) | HSBC ($) | JPMorgan ($) | Morgan Stanley ($)(a) | Morgan Stanley ($)(a) | Total ($) | |
Assets | ||||||||
Centrally cleared interest rate swap contracts (b) | - | - | - | - | - | - | 255 | 255 |
Call option contracts purchased | 87,082 | - | - | - | - | - | - | 87,082 |
OTC credit default swap contracts (c) | - | 222,780 | 48,901 | - | 48,901 | 93,809 | - | 414,391 |
Total assets | 87,082 | 222,780 | 48,901 | - | 48,901 | 93,809 | 255 | 501,728 |
Liabilities | ||||||||
Centrally cleared interest rate swap contracts (b) | - | - | - | - | - | - | 16,575 | 16,575 |
Forward foreign currency exchange contracts | 20,948 | - | - | 13,954 | - | - | - | 34,902 |
OTC credit default swap contracts (c) | - | 158,964 | - | - | 465,238 | 50,695 | - | 674,897 |
Total liabilities | 20,948 | 158,964 | - | 13,954 | 465,238 | 50,695 | 16,575 | 726,374 |
Total financial and derivative net assets | 66,134 | 63,816 | 48,901 | (13,954) | (416,337) | 43,114 | (16,320) | (224,646) |
Total collateral received (pledged) (d) | 66,134 | - | - | - | (416,337) | - | (16,320) | (366,523) |
Net amount (e) | - | 63,816 | 48,901 | (13,954) | - | 43,114 | - | 141,877 |
(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 2023 | 45 |
June 30, 2023 (Unaudited)
46 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2023 | 47 |
June 30, 2023 (Unaudited)
Contractual expense cap July 1, 2023 through April 30, 2024 | Voluntary expense cap May 1, 2023 through June 30, 2023 | Contractual expense cap prior to May 1, 2023 | |
Class 1 | 0.67% | 0.67% | 0.67% |
Class 2 | 0.92 | 0.92 | 0.92 |
48 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
174,401,000 | 2,567,000 | (11,619,000) | (9,052,000) |
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
(1,831,592) | (3,805,323) | (5,636,915) |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2023 | 49 |
June 30, 2023 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 600,000 | 5.10 | 4 |
50 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2023 | 51 |
June 30, 2023 (Unaudited)
52 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2023 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2023 | 53 |
(Unaudited)
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to one or more benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | Terms of the Management Agreement; |
• | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
• | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
• | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
54 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2023 |
(Unaudited)
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2023 | 55 |
(Unaudited)
these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
56 | Columbia Variable Portfolio – Strategic Income Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 01/01/89 | 21.20 | 27.35 | 10.33 | 12.15 | |
Class 2 | 06/01/00 | 21.03 | 26.97 | 10.05 | 11.87 | |
Russell 2000 Growth Index | 13.55 | 18.53 | 4.22 | 8.83 |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2023) | |
Common Stocks | 94.7 |
Money Market Funds | 5.3 |
Total | 100.0 |
Equity sector breakdown (%) (at June 30, 2023) | |
Communication Services | 3.7 |
Consumer Discretionary | 12.7 |
Consumer Staples | 3.5 |
Energy | 6.5 |
Health Care | 25.5 |
Industrials | 27.6 |
Information Technology | 15.1 |
Materials | 5.4 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,212.00 | 1,020.64 | 4.74 | 4.33 | 0.86 |
Class 2 | 1,000.00 | 1,000.00 | 1,210.30 | 1,019.40 | 6.12 | 5.59 | 1.11 |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (Unaudited)
Common Stocks 94.0% | ||
Issuer | Shares | Value ($) |
Communication Services 3.5% | ||
Entertainment 3.5% | ||
Endeavor Group Holdings, Inc., Class A(a) | 116,809 | 2,794,071 |
World Wrestling Entertainment, Inc., Class A | 72,403 | 7,853,554 |
Total | 10,647,625 | |
Total Communication Services | 10,647,625 | |
Consumer Discretionary 11.9% | ||
Broadline Retail 1.5% | ||
Ollie’s Bargain Outlet Holdings, Inc.(a) | 80,324 | 4,653,169 |
Hotels, Restaurants & Leisure 5.4% | ||
Bowlero Corp.(a) | 362,206 | 4,216,078 |
Cava Group, Inc.(a) | 27,769 | 1,137,140 |
Churchill Downs, Inc. | 24,946 | 3,471,735 |
Kura Sushi USA, Inc., Class A(a) | 50,344 | 4,679,475 |
Texas Roadhouse, Inc. | 27,177 | 3,051,434 |
Total | 16,555,862 | |
Household Durables 1.2% | ||
TopBuild Corp.(a) | 13,992 | 3,722,152 |
Specialty Retail 0.5% | ||
Floor & Decor Holdings, Inc., Class A(a) | 14,974 | 1,556,697 |
Textiles, Apparel & Luxury Goods 3.3% | ||
Crocs, Inc.(a) | 36,673 | 4,123,512 |
On Holding AG, Class A(a) | 182,965 | 6,037,845 |
Total | 10,161,357 | |
Total Consumer Discretionary | 36,649,237 | |
Consumer Staples 3.3% | ||
Beverages 3.3% | ||
Boston Beer Co., Inc. (The), Class A(a) | 8,703 | 2,684,354 |
Celsius Holdings, Inc.(a) | 49,996 | 7,458,903 |
Total | 10,143,257 | |
Total Consumer Staples | 10,143,257 | |
Energy 6.1% | ||
Energy Equipment & Services 2.4% | ||
ChampionX Corp. | 102,424 | 3,179,241 |
TechnipFMC PLC(a) | 240,459 | 3,996,429 |
Total | 7,175,670 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Oil, Gas & Consumable Fuels 3.7% | ||
Antero Resources Corp.(a) | 138,325 | 3,185,625 |
Matador Resources Co. | 57,681 | 3,017,870 |
Northern Oil and Gas, Inc. | 152,636 | 5,238,467 |
Total | 11,441,962 | |
Total Energy | 18,617,632 | |
Health Care 24.0% | ||
Biotechnology 6.4% | ||
Abcam PLC, ADR(a) | 203,567 | 4,981,285 |
ACELYRIN, Inc.(a) | 43,490 | 908,941 |
Apellis Pharmaceuticals, Inc.(a) | 13,233 | 1,205,526 |
Arcus Biosciences, Inc.(a) | 117,553 | 2,387,501 |
Natera, Inc.(a) | 124,933 | 6,079,240 |
PTC Therapeutics, Inc.(a) | 41,996 | 1,707,977 |
Revolution Medicines, Inc.(a) | 47,607 | 1,273,487 |
Syndax Pharmaceuticals, Inc.(a) | 50,608 | 1,059,226 |
Total | 19,603,183 | |
Health Care Equipment & Supplies 4.2% | ||
Glaukos Corp.(a) | 30,994 | 2,207,083 |
ICU Medical, Inc.(a) | 22,778 | 4,058,812 |
Inspire Medical Systems, Inc.(a) | 20,271 | 6,580,777 |
Total | 12,846,672 | |
Health Care Providers & Services 6.5% | ||
Addus HomeCare Corp.(a) | 39,057 | 3,620,584 |
Chemed Corp. | 16,532 | 8,954,888 |
Tenet Healthcare Corp.(a) | 48,125 | 3,916,413 |
Universal Health Services, Inc., Class B | 21,882 | 3,452,323 |
Total | 19,944,208 | |
Health Care Technology 0.7% | ||
Doximity, Inc., Class A(a) | 60,065 | 2,043,411 |
Life Sciences Tools & Services 6.0% | ||
BioLife Solutions, Inc.(a) | 108,422 | 2,396,126 |
Bio-Techne Corp. | 93,230 | 7,610,365 |
Caris Life Sciences, Inc.(a),(b),(c),(d) | 308,642 | 1,021,605 |
DNA Script(a),(b),(c),(d) | 1,585 | 452,762 |
MaxCyte, Inc.(a) | 163,923 | 752,407 |
6 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Olink Holding AB ADR(a) | 66,979 | 1,255,856 |
Repligen Corp.(a) | 35,882 | 5,075,868 |
Total | 18,564,989 | |
Pharmaceuticals 0.2% | ||
Reata Pharmaceuticals, Inc., Class A(a) | 5,497 | 560,474 |
Total Health Care | 73,562,937 | |
Industrials 26.0% | ||
Aerospace & Defense 2.0% | ||
Curtiss-Wright Corp. | 34,039 | 6,251,603 |
Building Products 1.7% | ||
Simpson Manufacturing Co., Inc. | 37,952 | 5,256,352 |
Commercial Services & Supplies 1.5% | ||
Casella Waste Systems, Inc., Class A(a) | 50,330 | 4,552,349 |
Electrical Equipment 4.6% | ||
Atkore, Inc.(a) | 23,842 | 3,717,921 |
nVent Electric PLC | 21,585 | 1,115,297 |
Vertiv Holdings Co. | 368,280 | 9,122,296 |
Total | 13,955,514 | |
Ground Transportation 3.4% | ||
Saia, Inc.(a) | 5,719 | 1,958,243 |
XPO, Inc.(a) | 144,915 | 8,549,985 |
Total | 10,508,228 | |
Machinery 1.8% | ||
RBC Bearings, Inc.(a) | 25,228 | 5,486,333 |
Professional Services 2.3% | ||
Exponent, Inc. | 20,842 | 1,944,975 |
FTI Consulting, Inc.(a) | 26,385 | 5,018,427 |
Total | 6,963,402 | |
Trading Companies & Distributors 8.7% | ||
Core & Main, Inc., Class A(a) | 163,282 | 5,117,258 |
FTAI Aviation Ltd. | 287,369 | 9,098,102 |
SiteOne Landscape Supply, Inc.(a) | 56,321 | 9,425,883 |
Xometry, Inc., Class A(a) | 143,291 | 3,034,903 |
Total | 26,676,146 | |
Total Industrials | 79,649,927 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Information Technology 14.2% | ||
Communications Equipment 1.5% | ||
Harmonic, Inc.(a) | 278,045 | 4,495,988 |
Electronic Equipment, Instruments & Components 0.6% | ||
908 Devices, Inc.(a) | 268,151 | 1,839,516 |
Semiconductors & Semiconductor Equipment 5.1% | ||
Aehr Test Systems(a) | 35,823 | 1,477,699 |
Allegro MicroSystems, Inc.(a) | 34,254 | 1,546,225 |
Axcelis Technologies, Inc.(a) | 35,582 | 6,523,248 |
Lattice Semiconductor Corp.(a) | 21,596 | 2,074,728 |
Onto Innovation, Inc.(a) | 35,967 | 4,189,076 |
Total | 15,810,976 | |
Software 7.0% | ||
LiveVox Holdings, Inc.(a) | 222,080 | 610,720 |
Procore Technologies, Inc.(a) | 101,650 | 6,614,365 |
Smartsheet, Inc., Class A(a) | 127,273 | 4,869,465 |
Tenable Holdings, Inc.(a) | 91,032 | 3,964,444 |
Workiva, Inc., Class A(a) | 52,053 | 5,291,708 |
Total | 21,350,702 | |
Total Information Technology | 43,497,182 | |
Materials 5.0% | ||
Chemicals 1.0% | ||
Balchem Corp. | 23,020 | 3,103,326 |
Construction Materials 2.1% | ||
Summit Materials, Inc., Class A(a) | 172,263 | 6,520,154 |
Metals & Mining 1.9% | ||
Alamos Gold, Inc., Class A | 161,896 | 1,929,800 |
Hecla Mining Co. | 180,845 | 931,352 |
Osisko Gold Royalties Ltd. | 120,994 | 1,859,678 |
Triple Flag Precious Metals Corp. | 85,505 | 1,178,259 |
Total | 5,899,089 | |
Total Materials | 15,522,569 | |
Total Common Stocks (Cost $254,810,848) | 288,290,366 | |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2023 | 7 |
June 30, 2023 (Unaudited)
Money Market Funds 5.2% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(e),(f) | 16,044,744 | 16,038,326 |
Total Money Market Funds (Cost $16,037,092) | 16,038,326 | |
Total Investments in Securities (Cost: $270,847,940) | 304,328,692 | |
Other Assets & Liabilities, Net | 2,476,417 | |
Net Assets | 306,805,109 |
(a) | Non-income producing investment. |
(b) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At June 30, 2023, the total value of these securities amounted to $1,474,367, which represents 0.48% of total net assets. |
(c) | Denotes a restricted security, which is subject to legal or contractual restrictions on resale under federal securities laws. Disposal of a restricted investment may involve time-consuming negotiations and expenses, and prompt sale at an acceptable price may be difficult to achieve. Private placement securities are generally considered to be restricted, although certain of those securities may be traded between qualified institutional investors under the provisions of Section 4(a)(2) and Rule 144A. The Fund will not incur any registration costs upon such a trade. These securities are valued at fair value determined in good faith under consistently applied procedures approved by the Fund’s Board of Trustees. At June 30, 2023, the total market value of these securities amounted to $1,474,367, which represents 0.48% of total net assets. Additional information on these securities is as follows: |
Security | Acquisition Dates | Shares | Cost ($) | Value ($) |
Caris Life Sciences, Inc. | 05/11/2021 | 308,642 | 2,502,312 | 1,021,605 |
DNA Script | 10/01/2021 | 1,585 | 1,382,080 | 452,762 |
3,884,392 | 1,474,367 |
(d) | Valuation based on significant unobservable inputs. |
(e) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
(f) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | ||||||||
10,573,791 | 101,677,382 | (96,214,081) | 1,234 | 16,038,326 | (762) | 240,219 | 16,044,744 |
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.). |
8 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 10,647,625 | — | — | 10,647,625 |
Consumer Discretionary | 36,649,237 | — | — | 36,649,237 |
Consumer Staples | 10,143,257 | — | — | 10,143,257 |
Energy | 18,617,632 | — | — | 18,617,632 |
Health Care | 72,088,570 | — | 1,474,367 | 73,562,937 |
Industrials | 79,649,927 | — | — | 79,649,927 |
Information Technology | 43,497,182 | — | — | 43,497,182 |
Materials | 15,522,569 | — | — | 15,522,569 |
Total Common Stocks | 286,815,999 | — | 1,474,367 | 288,290,366 |
Money Market Funds | 16,038,326 | — | — | 16,038,326 |
Total Investments in Securities | 302,854,325 | — | 1,474,367 | 304,328,692 |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2023 | 9 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $254,810,848) | $288,290,366 |
Affiliated issuers (cost $16,037,092) | 16,038,326 |
Receivable for: | |
Investments sold | 7,956,148 |
Dividends | 102,596 |
Foreign tax reclaims | 726 |
Expense reimbursement due from Investment Manager | 533 |
Prepaid expenses | 3,412 |
Trustees’ deferred compensation plan | 72,416 |
Total assets | 312,464,523 |
Liabilities | |
Payable for: | |
Investments purchased | 5,495,946 |
Capital shares redeemed | 24,709 |
Management services fees | 7,240 |
Distribution and/or service fees | 1 |
Service fees | 3,687 |
Compensation of board members | 36,405 |
Compensation of chief compliance officer | 26 |
Other expenses | 18,984 |
Trustees’ deferred compensation plan | 72,416 |
Total liabilities | 5,659,414 |
Net assets applicable to outstanding capital stock | $306,805,109 |
Represented by | |
Paid in capital | 325,412,837 |
Total distributable earnings (loss) | (18,607,728) |
Total - representing net assets applicable to outstanding capital stock | $306,805,109 |
Class 1 | |
Net assets | $306,650,409 |
Shares outstanding | 27,512,050 |
Net asset value per share | $11.15 |
Class 2 | |
Net assets | $154,700 |
Shares outstanding | 15,722 |
Net asset value per share | $9.84 |
10 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $483,099 |
Dividends — affiliated issuers | 240,219 |
Foreign taxes withheld | (2,161) |
Total income | 721,157 |
Expenses: | |
Management services fees | 1,214,571 |
Distribution and/or service fees | |
Class 2 | 177 |
Service fees | 15,610 |
Compensation of board members | 8,138 |
Custodian fees | 5,078 |
Printing and postage fees | 6,069 |
Accounting services fees | 15,045 |
Legal fees | 7,723 |
Compensation of chief compliance officer | 26 |
Other | 6,801 |
Total expenses | 1,279,238 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (74,429) |
Total net expenses | 1,204,809 |
Net investment loss | (483,652) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (6,031,477) |
Investments — affiliated issuers | (762) |
Net realized loss | (6,032,239) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 60,272,147 |
Investments — affiliated issuers | 1,234 |
Net change in unrealized appreciation (depreciation) | 60,273,381 |
Net realized and unrealized gain | 54,241,142 |
Net increase in net assets resulting from operations | $53,757,490 |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2023 | 11 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment loss | $(483,652) | $(1,746,639) |
Net realized loss | (6,032,239) | (44,658,962) |
Net change in unrealized appreciation (depreciation) | 60,273,381 | (97,472,455) |
Net increase (decrease) in net assets resulting from operations | 53,757,490 | (143,878,056) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | — | (112,900,711) |
Class 2 | — | (65,674) |
Total distributions to shareholders | — | (112,966,385) |
Increase (decrease) in net assets from capital stock activity | (1,466,756) | 107,492,039 |
Total increase (decrease) in net assets | 52,290,734 | (149,352,402) |
Net assets at beginning of period | 254,514,375 | 403,866,777 |
Net assets at end of period | $306,805,109 | $254,514,375 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Shares sold | 33,607 | 336,943 | 25 | 356 |
Distributions reinvested | — | — | 11,485,321 | 112,900,711 |
Shares redeemed | (176,973) | (1,802,167) | (356,728) | (5,050,130) |
Net increase (decrease) | (143,366) | (1,465,224) | 11,128,618 | 107,850,937 |
Class 2 | ||||
Distributions reinvested | — | — | 7,549 | 65,674 |
Shares redeemed | (171) | (1,532) | (26,973) | (424,572) |
Net decrease | (171) | (1,532) | (19,424) | (358,898) |
Total net increase (decrease) | (143,537) | (1,466,756) | 11,109,194 | 107,492,039 |
12 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2023 |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2023 | 13 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | ||||||
Six Months Ended 6/30/2023 (Unaudited) | $9.20 | (0.02) | 1.97 | 1.95 | — | — |
Year Ended 12/31/2022 | $24.39 | (0.08) | (8.20) | (8.28) | (6.91) | (6.91) |
Year Ended 12/31/2021 | $29.97 | (0.22) | (0.18)(c) | (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) |
Class 2 | ||||||
Six Months Ended 6/30/2023 (Unaudited) | $8.13 | (0.03) | 1.74 | 1.71 | — | — |
Year Ended 12/31/2022 | $22.67 | (0.14) | (7.56) | (7.70) | (6.84) | (6.84) |
Year Ended 12/31/2021 | $28.21 | (0.29) | (0.13)(c) | (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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Calculation of the net gain (loss) per share (both realized and unrealized) does not correlate to the aggregate realized and unrealized gain (loss) presented in the Statement of Operations due to the timing of the shares sold and redeemed by the Fund in relation to fluctuations in the market value of the portfolio. |
14 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2023 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $11.15 | 21.20% | 0.92% | 0.86% | (0.35%) | 76% | $306,650 |
Year Ended 12/31/2022 | $9.20 | (35.77%) | 0.92% | 0.88% | (0.61%) | 76% | $254,385 |
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 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $9.84 | 21.03% | 1.17% | 1.11% | (0.60%) | 76% | $155 |
Year Ended 12/31/2022 | $8.13 | (35.96%) | 1.15% | 1.13% | (0.93%) | 76% | $129 |
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% | $499 |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2023 | 15 |
June 30, 2023 (Unaudited)
16 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2023 | 17 |
June 30, 2023 (Unaudited)
18 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
May 1, 2023 through April 30, 2024 | Prior to May 1, 2023 | |
Class 1 | 0.85% | 0.87% |
Class 2 | 1.10 | 1.12 |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2023 | 19 |
June 30, 2023 (Unaudited)
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
270,848,000 | 46,732,000 | (13,251,000) | 33,481,000 |
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
(31,840,944) | (13,343,412) | (45,184,356) |
20 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2023 | 21 |
June 30, 2023 (Unaudited)
22 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2023 | 23 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
24 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2023 |
(Unaudited)
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to one or more benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | Terms of the Management Agreement; |
• | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
• | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
• | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2023 | 25 |
(Unaudited)
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
26 | Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2023 |
(Unaudited)
compensation to its personnel, make necessary investments in its business and earn an appropriate profit. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
Columbia Variable Portfolio – Small Company Growth Fund | Semiannual Report 2023 | 27 |
June 30, 2023 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 04/30/13 | 4.84 | -2.52 | 0.66 | 1.72 | |
Class 2 | 04/30/13 | 4.59 | -2.86 | 0.39 | 1.46 | |
Bloomberg U.S. Long Government/Credit Bond Index | 4.39 | -2.56 | 0.66 | 2.86 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2023) | |
Asset-Backed Securities — Agency | 0.7 |
Corporate Bonds & Notes | 49.8 |
Foreign Government Obligations | 0.9 |
Money Market Funds | 7.1 |
U.S. Treasury Obligations | 41.5 |
Total | 100.0 |
Quality breakdown (%) (at June 30, 2023) | |
AAA rating | 45.4 |
AA rating | 2.6 |
A rating | 15.7 |
BBB rating | 35.5 |
BB rating | 0.8 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,048.40 | 1,022.44 | 2.55 | 2.52 | 0.50 |
Class 2 | 1,000.00 | 1,000.00 | 1,045.90 | 1,021.19 | 3.83 | 3.78 | 0.75 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (Unaudited)
Asset-Backed Securities — Agency 0.6% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
United States Small Business Administration | ||||
Series 2016-20L Class 1 | ||||
12/01/2036 | 2.810% | 2,659,469 | 2,411,822 | |
Series 2017-20E Class 1 | ||||
05/01/2037 | 2.880% | 241,106 | 219,153 | |
Series 2017-20F Class 1 | ||||
06/01/2037 | 2.810% | 2,018,118 | 1,826,316 | |
Series 2017-20G Class 1 | ||||
07/01/2037 | 2.980% | 1,854,591 | 1,697,210 | |
Series 2017-20H Class 1 | ||||
08/01/2037 | 2.750% | 1,727,277 | 1,570,105 | |
Series 2017-20I Class 1 | ||||
09/01/2037 | 2.590% | 2,652,840 | 2,400,466 | |
Total Asset-Backed Securities — Agency (Cost $11,153,401) | 10,125,072 | |||
Corporate Bonds & Notes 49.2% | ||||
Aerospace & Defense 3.7% | ||||
BAE Systems PLC(a) | ||||
02/15/2031 | 1.900% | 14,330,000 | 11,508,578 | |
Boeing Co. (The) | ||||
05/01/2034 | 3.600% | 5,202,000 | 4,430,452 | |
08/01/2059 | 3.950% | 12,619,000 | 9,320,582 | |
05/01/2060 | 5.930% | 2,480,000 | 2,454,989 | |
Lockheed Martin Corp. | ||||
02/15/2055 | 5.200% | 3,290,000 | 3,396,307 | |
Northrop Grumman Corp. | ||||
06/01/2043 | 4.750% | 735,000 | 687,639 | |
10/15/2047 | 4.030% | 6,765,000 | 5,803,519 | |
03/15/2053 | 4.950% | 3,876,000 | 3,780,401 | |
United Technologies Corp. | ||||
06/01/2036 | 6.050% | 256,000 | 274,750 | |
07/15/2038 | 6.125% | 7,990,000 | 8,608,254 | |
11/01/2046 | 3.750% | 8,648,000 | 6,971,459 | |
Total | 57,236,930 | |||
Automotive 0.2% | ||||
General Motors Co. | ||||
04/01/2048 | 5.400% | 2,835,000 | 2,445,489 | |
Banking 7.3% | ||||
Bank of America Corp.(b) | ||||
07/23/2031 | 1.898% | 3,210,000 | 2,555,378 | |
10/24/2031 | 1.922% | 15,105,000 | 11,962,544 | |
02/04/2033 | 2.972% | 14,212,000 | 11,832,437 | |
Subordinated | ||||
09/21/2036 | 2.482% | 5,337,000 | 4,075,768 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Citigroup, Inc.(b) | ||||
06/03/2031 | 2.572% | 8,233,000 | 6,865,578 | |
01/25/2033 | 3.057% | 6,748,000 | 5,628,592 | |
Goldman Sachs Group, Inc. (The)(b) | ||||
07/21/2032 | 2.383% | 14,215,000 | 11,369,915 | |
HSBC Holdings PLC(b) | ||||
05/24/2032 | 2.804% | 3,799,000 | 3,075,079 | |
11/22/2032 | 2.871% | 7,818,000 | 6,315,946 | |
03/09/2034 | 6.254% | 4,447,000 | 4,556,323 | |
Subordinated | ||||
06/20/2034 | 6.547% | 2,105,000 | 2,096,540 | |
JPMorgan Chase & Co.(b) | ||||
11/15/2048 | 3.964% | 12,044,000 | 9,852,691 | |
Morgan Stanley(b) | ||||
07/21/2032 | 2.239% | 4,134,000 | 3,285,945 | |
Subordinated | ||||
09/16/2036 | 2.484% | 9,260,000 | 7,008,894 | |
US Bancorp(b) | ||||
06/12/2034 | 5.836% | 3,488,000 | 3,509,914 | |
Wells Fargo & Co.(b) | ||||
04/25/2053 | 4.611% | 21,541,000 | 18,896,276 | |
Total | 112,887,820 | |||
Cable and Satellite 2.4% | ||||
Charter Communications Operating LLC/Capital | ||||
05/01/2047 | 5.375% | 17,780,000 | 14,693,261 | |
12/01/2061 | 4.400% | 3,514,000 | 2,363,684 | |
06/30/2062 | 3.950% | 7,402,000 | 4,561,006 | |
Comcast Corp. | ||||
11/01/2056 | 2.937% | 9,750,000 | 6,351,294 | |
05/15/2064 | 5.500% | 1,760,000 | 1,783,501 | |
NBCUniversal Media LLC | ||||
01/15/2043 | 4.450% | 7,282,000 | 6,532,384 | |
Total | 36,285,130 | |||
Chemicals 0.1% | ||||
LYB International Finance III LLC | ||||
04/01/2051 | 3.625% | 2,550,000 | 1,769,588 | |
Construction Machinery 0.4% | ||||
Caterpillar, Inc. | ||||
09/19/2049 | 3.250% | 2,755,000 | 2,166,927 | |
United Rentals North America, Inc. | ||||
02/15/2031 | 3.875% | 4,075,000 | 3,531,819 | |
Total | 5,698,746 |
6 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Diversified Manufacturing 0.4% | ||||
Carrier Global Corp. | ||||
04/05/2050 | 3.577% | 9,245,000 | 6,830,093 | |
Electric 6.5% | ||||
AEP Texas, Inc. | ||||
01/15/2050 | 3.450% | 13,470,000 | 9,709,244 | |
05/15/2052 | 5.250% | 1,840,000 | 1,748,626 | |
AES Corp. (The) | ||||
01/15/2031 | 2.450% | 4,330,000 | 3,502,576 | |
Berkshire Hathaway Energy Co. | ||||
05/01/2053 | 4.600% | 5,191,000 | 4,449,124 | |
CenterPoint Energy, Inc. | ||||
09/01/2049 | 3.700% | 4,290,000 | 3,229,263 | |
Dominion Resources, Inc. | ||||
12/01/2044 | 4.700% | 5,510,000 | 4,787,179 | |
Duke Energy Corp. | ||||
08/15/2052 | 5.000% | 18,745,000 | 17,155,644 | |
Duke Energy Ohio, Inc. | ||||
04/01/2053 | 5.650% | 1,681,000 | 1,730,503 | |
Emera US Finance LP | ||||
06/15/2046 | 4.750% | 6,725,000 | 5,454,793 | |
Eversource Energy | ||||
08/15/2030 | 1.650% | 6,764,000 | 5,376,065 | |
Exelon Corp. | ||||
03/15/2052 | 4.100% | 8,365,000 | 6,758,436 | |
03/15/2053 | 5.600% | 4,950,000 | 4,993,433 | |
FirstEnergy Corp. | ||||
03/01/2050 | 3.400% | 3,370,000 | 2,321,953 | |
Georgia Power Co. | ||||
03/15/2042 | 4.300% | 8,717,000 | 7,516,363 | |
Jersey Central Power & Light Co.(a) | ||||
03/01/2032 | 2.750% | 2,179,000 | 1,795,305 | |
Pacific Gas and Electric Co. | ||||
07/01/2050 | 4.950% | 12,940,000 | 10,181,872 | |
PacifiCorp | ||||
05/15/2054 | 5.500% | 970,000 | 910,105 | |
Xcel Energy, Inc. | ||||
06/01/2032 | 4.600% | 3,345,000 | 3,165,645 | |
12/01/2049 | 3.500% | 7,527,000 | 5,461,704 | |
Total | 100,247,833 | |||
Environmental 0.3% | ||||
GFL Environmental, Inc.(a) | ||||
09/01/2028 | 3.500% | 5,905,000 | 5,251,022 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Food and Beverage 2.7% | ||||
Bacardi Ltd.(a) | ||||
05/15/2038 | 5.150% | 9,541,000 | 8,971,868 | |
05/15/2048 | 5.300% | 2,402,000 | 2,258,958 | |
Constellation Brands, Inc. | ||||
05/01/2033 | 4.900% | 18,208,000 | 17,878,177 | |
Mars, Inc.(a) | ||||
04/20/2033 | 4.750% | 12,505,000 | 12,395,341 | |
Total | 41,504,344 | |||
Health Care 1.9% | ||||
Cigna Corp. | ||||
03/15/2050 | 3.400% | 7,765,000 | 5,673,741 | |
CVS Health Corp. | ||||
07/20/2045 | 5.125% | 13,780,000 | 12,733,894 | |
HCA, Inc.(a) | ||||
03/15/2052 | 4.625% | 10,534,000 | 8,649,910 | |
New York and Presbyterian Hospital (The) | ||||
08/01/2036 | 3.563% | 3,425,000 | 2,842,101 | |
Total | 29,899,646 | |||
Healthcare Insurance 2.5% | ||||
Aetna, Inc. | ||||
11/15/2042 | 4.125% | 4,360,000 | 3,590,042 | |
08/15/2047 | 3.875% | 1,927,000 | 1,503,848 | |
Anthem, Inc. | ||||
08/15/2044 | 4.650% | 3,500,000 | 3,141,071 | |
Centene Corp. | ||||
02/15/2030 | 3.375% | 5,874,000 | 5,050,836 | |
03/01/2031 | 2.500% | 9,425,000 | 7,515,387 | |
UnitedHealth Group, Inc. | ||||
02/15/2063 | 6.050% | 10,804,000 | 12,213,005 | |
04/15/2063 | 5.200% | 5,287,000 | 5,273,940 | |
Total | 38,288,129 | |||
Independent Energy 0.2% | ||||
Canadian Natural Resources Ltd. | ||||
02/15/2037 | 6.500% | 2,580,000 | 2,626,068 | |
Integrated Energy 0.4% | ||||
BP Capital Markets America, Inc. | ||||
03/17/2052 | 3.001% | 1,780,000 | 1,230,914 | |
Cenovus Energy, Inc. | ||||
02/15/2052 | 3.750% | 6,384,000 | 4,532,180 | |
Total Capital International SA | ||||
06/29/2060 | 3.386% | 1,315,000 | 964,801 | |
Total | 6,727,895 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2023 | 7 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Life Insurance 2.1% | ||||
Five Corners Funding Trust IV(a) | ||||
02/15/2053 | 5.997% | 6,516,000 | 6,628,788 | |
MetLife, Inc. | ||||
07/15/2052 | 5.000% | 4,428,000 | 4,175,527 | |
New York Life Insurance Co.(a) | ||||
Subordinated | ||||
05/15/2050 | 3.750% | 5,359,000 | 4,084,617 | |
Northwestern Mutual Life Insurance Co. (The)(a) | ||||
Subordinated | ||||
09/30/2059 | 3.625% | 10,183,000 | 7,186,674 | |
Teachers Insurance & Annuity Association of America(a) | ||||
Subordinated | ||||
09/15/2044 | 4.900% | 1,925,000 | 1,740,457 | |
05/15/2050 | 3.300% | 8,870,000 | 6,122,310 | |
Voya Financial, Inc. | ||||
06/15/2046 | 4.800% | 2,078,000 | 1,712,799 | |
Total | 31,651,172 | |||
Media and Entertainment 1.5% | ||||
Meta Platforms, Inc. | ||||
05/15/2053 | 5.600% | 1,340,000 | 1,375,978 | |
05/15/2063 | 5.750% | 5,405,000 | 5,588,191 | |
Viacom, Inc. | ||||
03/15/2043 | 4.375% | 2,800,000 | 1,979,478 | |
Warnermedia Holdings, Inc. | ||||
03/15/2062 | 5.391% | 16,721,000 | 13,590,140 | |
Total | 22,533,787 | |||
Midstream 2.6% | ||||
Enterprise Products Operating LLC | ||||
02/15/2045 | 5.100% | 2,014,000 | 1,921,440 | |
01/31/2060 | 3.950% | 3,567,000 | 2,749,288 | |
Kinder Morgan Energy Partners LP | ||||
03/01/2043 | 5.000% | 1,345,000 | 1,159,703 | |
Kinder Morgan, Inc. | ||||
02/15/2046 | 5.050% | 4,996,000 | 4,275,310 | |
08/01/2052 | 5.450% | 4,493,000 | 4,102,791 | |
MPLX LP | ||||
04/15/2048 | 4.700% | 1,427,000 | 1,175,371 | |
03/14/2052 | 4.950% | 5,551,000 | 4,716,632 | |
Plains All American Pipeline LP/Finance Corp. | ||||
06/15/2044 | 4.700% | 8,350,000 | 6,522,263 | |
Western Gas Partners LP | ||||
08/15/2048 | 5.500% | 3,730,000 | 3,123,705 | |
Western Midstream Operating LP(b) | ||||
02/01/2050 | 5.250% | 3,885,000 | 3,226,041 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Williams Companies, Inc. (The) | ||||
06/24/2044 | 5.750% | 7,165,000 | 6,989,030 | |
Total | 39,961,574 | |||
Natural Gas 0.8% | ||||
NiSource, Inc. | ||||
02/15/2043 | 5.250% | 1,575,000 | 1,511,347 | |
02/15/2044 | 4.800% | 7,017,000 | 6,381,252 | |
05/15/2047 | 4.375% | 1,794,000 | 1,535,349 | |
Sempra Energy | ||||
02/01/2048 | 4.000% | 3,650,000 | 2,838,723 | |
Total | 12,266,671 | |||
Pharmaceuticals 4.2% | ||||
AbbVie, Inc. | ||||
06/15/2044 | 4.850% | 9,111,000 | 8,487,280 | |
Amgen, Inc. | ||||
03/02/2053 | 5.650% | 1,582,000 | 1,603,834 | |
02/22/2062 | 4.400% | 4,107,000 | 3,381,820 | |
03/02/2063 | 5.750% | 18,117,000 | 18,413,963 | |
Bristol-Myers Squibb Co. | ||||
03/15/2062 | 3.900% | 2,559,000 | 2,056,619 | |
Merck & Co., Inc. | ||||
05/17/2063 | 5.150% | 8,052,000 | 8,218,777 | |
Pfizer Investment Enterprises Pte., Ltd. | ||||
05/19/2063 | 5.340% | 22,180,000 | 22,446,483 | |
Total | 64,608,776 | |||
Property & Casualty 0.6% | ||||
Berkshire Hathaway Finance Corp. | ||||
03/15/2052 | 3.850% | 7,240,000 | 5,989,153 | |
Liberty Mutual Group, Inc.(a) | ||||
10/15/2050 | 3.951% | 4,435,000 | 3,231,054 | |
Total | 9,220,207 | |||
Retailers 1.6% | ||||
Amazon.com, Inc. | ||||
04/13/2062 | 4.100% | 9,325,000 | 8,049,934 | |
Lowe’s Companies, Inc. | ||||
04/01/2062 | 4.450% | 9,814,000 | 7,904,943 | |
09/15/2062 | 5.800% | 6,124,000 | 6,075,318 | |
04/01/2063 | 5.850% | 1,811,000 | 1,805,645 | |
Total | 23,835,840 | |||
Technology 3.0% | ||||
Broadcom, Inc.(a) | ||||
11/15/2036 | 3.187% | 13,567,000 | 10,252,420 |
8 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Fidelity National Information Services, Inc. | ||||
03/01/2041 | 3.100% | 1,670,000 | 1,150,370 | |
07/15/2052 | 5.625% | 1,672,000 | 1,578,526 | |
Intel Corp. | ||||
08/12/2051 | 3.050% | 7,075,000 | 4,742,827 | |
International Business Machines Corp. | ||||
02/06/2053 | 5.100% | 3,420,000 | 3,291,665 | |
MSCI, Inc.(a) | ||||
11/01/2031 | 3.625% | 5,850,000 | 5,009,472 | |
NXP BV/Funding LLC/USA, Inc. | ||||
05/01/2030 | 3.400% | 1,255,000 | 1,111,559 | |
01/15/2033 | 5.000% | 4,846,000 | 4,658,456 | |
02/15/2042 | 3.125% | 3,530,000 | 2,471,656 | |
Oracle Corp. | ||||
07/08/2034 | 4.300% | 8,105,000 | 7,361,358 | |
07/15/2046 | 4.000% | 2,500,000 | 1,921,763 | |
04/01/2050 | 3.600% | 2,661,000 | 1,900,076 | |
03/25/2061 | 4.100% | 1,518,000 | 1,117,016 | |
Total | 46,567,164 | |||
Tobacco 0.3% | ||||
Reynolds American, Inc. | ||||
08/15/2035 | 5.700% | 4,100,000 | 3,857,774 | |
Transportation Services 0.2% | ||||
ERAC USA Finance LLC(a) | ||||
05/01/2053 | 5.400% | 2,809,000 | 2,805,083 | |
Wireless 0.7% | ||||
American Tower Corp. | ||||
06/15/2030 | 2.100% | 2,045,000 | 1,656,209 | |
T-Mobile US, Inc. | ||||
04/15/2050 | 4.500% | 1,670,000 | 1,434,816 | |
11/15/2060 | 3.600% | 6,515,000 | 4,573,461 | |
Vodafone Group PLC | ||||
02/19/2043 | 4.375% | 3,205,000 | 2,690,119 | |
Total | 10,354,605 | |||
Wirelines 2.6% | ||||
AT&T, Inc. | ||||
12/01/2057 | 3.800% | 26,408,000 | 19,101,606 | |
Telefonica Emisiones SAU | ||||
03/06/2048 | 4.895% | 6,755,000 | 5,652,864 | |
Verizon Communications, Inc. | ||||
03/22/2041 | 3.400% | 14,500,000 | 11,184,686 | |
03/22/2051 | 3.550% | 5,830,000 | 4,353,746 | |
Total | 40,292,902 | |||
Total Corporate Bonds & Notes (Cost $862,407,408) | 755,654,288 | |||
Foreign Government Obligations(c) 0.9% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Mexico 0.9% | ||||
Mexico Government International Bond | ||||
05/04/2053 | 6.338% | 13,620,000 | 13,905,335 | |
Total Foreign Government Obligations (Cost $13,619,727) | 13,905,335 | |||
U.S. Treasury Obligations 41.0% | ||||
U.S. Treasury | ||||
07/31/2024 | 3.000% | 8,113,800 | 7,909,053 | |
05/15/2033 | 3.375% | 4,909,800 | 4,735,656 | |
02/15/2036 | 4.500% | 37,500,000 | 40,441,406 | |
05/15/2038 | 4.500% | 30,000,000 | 32,296,875 | |
02/15/2039 | 3.500% | 49,000,000 | 46,971,094 | |
08/15/2040 | 3.875% | 10,000,000 | 9,920,313 | |
02/15/2041 | 4.750% | 8,000,000 | 8,831,250 | |
05/15/2041 | 4.375% | 25,383,000 | 26,711,641 | |
05/15/2043 | 2.875% | 17,600,000 | 14,715,250 | |
05/15/2043 | 3.875% | 19,723,500 | 19,248,903 | |
08/15/2044 | 3.125% | 16,500,000 | 14,277,656 | |
11/15/2044 | 3.000% | 10,000,000 | 8,464,063 | |
11/15/2045 | 3.000% | 12,000,000 | 10,119,375 | |
11/15/2047 | 2.750% | 20,750,000 | 16,694,023 | |
02/15/2048 | 3.000% | 101,200,000 | 85,324,250 | |
08/15/2049 | 2.250% | 495,000 | 359,881 | |
02/15/2050 | 2.000% | 2,900,000 | 1,988,313 | |
05/15/2050 | 1.250% | 22,250,000 | 12,515,625 | |
11/15/2050 | 1.625% | 24,800,000 | 15,410,875 | |
02/15/2051 | 1.875% | 22,000,000 | 14,575,000 | |
05/15/2051 | 2.375% | 2,600,000 | 1,933,750 | |
05/15/2052 | 2.875% | 102,497,900 | 84,977,165 | |
02/15/2053 | 3.625% | 12,877,300 | 12,368,244 | |
U.S. Treasury(d) | ||||
05/15/2047 | 3.000% | 122,157,900 | 102,879,856 | |
U.S. Treasury(e) | ||||
STRIPS | ||||
02/15/2040 | 0.000% | 38,410,800 | 20,570,784 | |
11/15/2041 | 0.000% | 13,661,000 | 6,557,280 | |
05/15/2043 | 0.000% | 19,069,000 | 8,547,530 | |
Total U.S. Treasury Obligations (Cost $734,557,425) | 629,345,111 |
Money Market Funds 7.0% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(f),(g) | 107,827,367 | 107,784,236 |
Total Money Market Funds (Cost $107,771,718) | 107,784,236 | |
Total Investments in Securities (Cost: $1,729,509,679) | 1,516,814,042 | |
Other Assets & Liabilities, Net | 19,581,785 | |
Net Assets | 1,536,395,827 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2023 | 9 |
June 30, 2023 (Unaudited)
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Long Bond | 2,022 | 09/2023 | USD | 256,604,438 | — | (624,346) |
U.S. Treasury Ultra Bond | 308 | 09/2023 | USD | 41,955,375 | 382,384 | — |
U.S. Treasury Ultra Bond | 85 | 09/2023 | USD | 11,578,594 | — | (20,198) |
Total | 382,384 | (644,544) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 10-Year Note | (896) | 09/2023 | USD | (100,590,000) | 1,860,704 | — |
U.S. Treasury 2-Year Note | (83) | 09/2023 | USD | (16,877,531) | 207,383 | — |
U.S. Treasury 5-Year Note | (18) | 09/2023 | USD | (1,927,688) | 28,519 | — |
U.S. Treasury Ultra 10-Year Note | (556) | 09/2023 | USD | (65,851,250) | 719,560 | — |
Total | 2,816,166 | — |
(a) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At June 30, 2023, the total value of these securities amounted to $97,891,857, which represents 6.37% of total net assets. |
(b) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of June 30, 2023. |
(c) | Principal and interest may not be guaranteed by a governmental entity. |
(d) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(e) | Zero coupon bond. |
(f) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
(g) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | ||||||||
70,178,871 | 254,370,781 | (216,764,954) | (462) | 107,784,236 | (18,515) | 2,195,921 | 107,827,367 |
STRIPS | Separate Trading of Registered Interest and Principal Securities |
USD | US Dollar |
10 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Asset-Backed Securities — Agency | — | 10,125,072 | — | 10,125,072 |
Corporate Bonds & Notes | — | 755,654,288 | — | 755,654,288 |
Foreign Government Obligations | — | 13,905,335 | — | 13,905,335 |
U.S. Treasury Obligations | — | 629,345,111 | — | 629,345,111 |
Money Market Funds | 107,784,236 | — | — | 107,784,236 |
Total Investments in Securities | 107,784,236 | 1,409,029,806 | — | 1,516,814,042 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 3,198,550 | — | — | 3,198,550 |
Liability | ||||
Futures Contracts | (644,544) | — | — | (644,544) |
Total | 110,338,242 | 1,409,029,806 | — | 1,519,368,048 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2023 | 11 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,621,737,961) | $1,409,029,806 |
Affiliated issuers (cost $107,771,718) | 107,784,236 |
Receivable for: | |
Investments sold | 2,925,501 |
Capital shares sold | 161,332 |
Dividends | 425,102 |
Interest | 14,939,169 |
Foreign tax reclaims | 20,069 |
Variation margin for futures contracts | 1,927,760 |
Expense reimbursement due from Investment Manager | 516 |
Prepaid expenses | 9,378 |
Trustees’ deferred compensation plan | 143,570 |
Total assets | 1,537,366,439 |
Liabilities | |
Payable for: | |
Capital shares redeemed | 461,484 |
Variation margin for futures contracts | 282,855 |
Management services fees | 20,477 |
Distribution and/or service fees | 106 |
Service fees | 528 |
Compensation of board members | 33,187 |
Compensation of chief compliance officer | 139 |
Other expenses | 28,266 |
Trustees’ deferred compensation plan | 143,570 |
Total liabilities | 970,612 |
Net assets applicable to outstanding capital stock | $1,536,395,827 |
Represented by | |
Paid in capital | 1,891,688,213 |
Total distributable earnings (loss) | (355,292,386) |
Total - representing net assets applicable to outstanding capital stock | $1,536,395,827 |
Class 1 | |
Net assets | $1,520,617,360 |
Shares outstanding | 189,877,966 |
Net asset value per share | $8.01 |
Class 2 | |
Net assets | $15,778,467 |
Shares outstanding | 1,978,754 |
Net asset value per share | $7.97 |
12 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — affiliated issuers | $2,195,921 |
Interest | 30,180,330 |
Interfund lending | 355 |
Foreign taxes withheld | (28,130) |
Total income | 32,348,476 |
Expenses: | |
Management services fees | 3,764,434 |
Distribution and/or service fees | |
Class 2 | 17,694 |
Service fees | 4,192 |
Compensation of board members | 19,269 |
Custodian fees | 5,787 |
Printing and postage fees | 4,369 |
Accounting services fees | 20,145 |
Legal fees | 16,164 |
Interest on collateral | 2,330 |
Compensation of chief compliance officer | 154 |
Other | 14,191 |
Total expenses | 3,868,729 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (33,978) |
Total net expenses | 3,834,751 |
Net investment income | 28,513,725 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (38,440,994) |
Investments — affiliated issuers | (18,515) |
Futures contracts | (2,564,956) |
Net realized loss | (41,024,465) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 80,066,099 |
Investments — affiliated issuers | (462) |
Futures contracts | 3,266,036 |
Net change in unrealized appreciation (depreciation) | 83,331,673 |
Net realized and unrealized gain | 42,307,208 |
Net increase in net assets resulting from operations | $70,820,933 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2023 | 13 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment income | $28,513,725 | $50,351,569 |
Net realized loss | (41,024,465) | (155,586,846) |
Net change in unrealized appreciation (depreciation) | 83,331,673 | (441,045,910) |
Net increase (decrease) in net assets resulting from operations | 70,820,933 | (546,281,187) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | — | (93,715,132) |
Class 2 | — | (721,980) |
Total distributions to shareholders | — | (94,437,112) |
Increase (decrease) in net assets from capital stock activity | (4,610,331) | 131,127,680 |
Total increase (decrease) in net assets | 66,210,602 | (509,590,619) |
Net assets at beginning of period | 1,470,185,225 | 1,979,775,844 |
Net assets at end of period | $1,536,395,827 | $1,470,185,225 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Shares sold | 571,875 | 4,514,726 | 5,886,038 | 49,880,640 |
Distributions reinvested | — | — | 10,948,029 | 93,715,132 |
Shares redeemed | (1,508,662) | (12,162,927) | (1,214,162) | (11,077,426) |
Net increase (decrease) | (936,787) | (7,648,201) | 15,619,905 | 132,518,346 |
Class 2 | ||||
Shares sold | 444,527 | 3,546,669 | 257,108 | 2,160,410 |
Distributions reinvested | — | — | 84,541 | 721,980 |
Shares redeemed | (63,980) | (508,799) | (463,734) | (4,273,056) |
Net increase (decrease) | 380,547 | 3,037,870 | (122,085) | (1,390,666) |
Total net increase (decrease) | (556,240) | (4,610,331) | 15,497,820 | 131,127,680 |
14 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2023 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2023 | 15 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $7.64 | 0.15 | 0.22 | 0.37 | — | — | — |
Year Ended 12/31/2022 | $11.19 | 0.27 | (3.30) | (3.03) | (0.25) | (0.27) | (0.52) |
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) |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $7.62 | 0.14 | 0.21 | 0.35 | — | — | — |
Year Ended 12/31/2022 | $11.15 | 0.25 | (3.28) | (3.03) | (0.23) | (0.27) | (0.50) |
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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interest on collateral expense which is less than 0.01%. |
16 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2023 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $8.01 | 4.84% | 0.50%(c) | 0.50%(c) | 3.72% | 29% | $1,520,617 |
Year Ended 12/31/2022 | $7.64 | (27.55%) | 0.50%(c) | 0.50%(c) | 3.13% | 53% | $1,458,011 |
Year Ended 12/31/2021 | $11.19 | (3.21%) | 0.50%(c) | 0.50%(c) | 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 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $7.97 | 4.59% | 0.75%(c) | 0.75%(c) | 3.49% | 29% | $15,778 |
Year Ended 12/31/2022 | $7.62 | (27.70%) | 0.75%(c) | 0.75%(c) | 2.85% | 53% | $12,175 |
Year Ended 12/31/2021 | $11.15 | (3.47%) | 0.75%(c) | 0.75%(c) | 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% | $12,261 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2023 | 17 |
June 30, 2023 (Unaudited)
18 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2023 | 19 |
June 30, 2023 (Unaudited)
20 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 3,198,550* |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 644,544* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin for futures and centrally cleared swaps, if any, is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Interest rate risk | (2,564,956) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Interest rate risk | 3,266,036 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 304,062,970 |
Futures contracts — short | 194,752,587 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2023. |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2023 | 21 |
June 30, 2023 (Unaudited)
22 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2023 | 23 |
June 30, 2023 (Unaudited)
May 1, 2023 through April 30, 2024 | Prior to April 30, 2023 | |
Class 1 | 0.49% | 0.54% |
Class 2 | 0.74 | 0.79 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
1,729,510,000 | 8,063,000 | (218,205,000) | (210,142,000) |
24 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
(75,161,506) | (105,688,897) | (180,850,403) |
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 866,667 | 5.02 | 3 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2023 | 25 |
June 30, 2023 (Unaudited)
26 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2023 | 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 2023 |
(Unaudited)
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to one or more benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | Terms of the Management Agreement; |
• | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
• | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
• | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2023 | 29 |
(Unaudited)
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
30 | Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2023 |
(Unaudited)
these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
Columbia Variable Portfolio – Long Government/Credit Bond Fund | Semiannual Report 2023 | 31 |
June 30, 2023 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1* | 02/20/19 | 5.41 | 3.41 | 2.27 | 3.36 | |
Class 2 | 04/12/13 | 5.30 | 3.21 | 2.04 | 3.24 | |
Blended Benchmark | 6.43 | 5.90 | 4.00 | 4.71 | ||
Bloomberg U.S. Aggregate Bond Index | 2.09 | -0.94 | 0.77 | 1.52 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share class, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Portfolio Allocation (%) (at June 30, 2023) | |
Allocations to Underlying Funds | |
Equity Funds | 31.0 |
International | 8.6 |
U.S. Large Cap | 17.9 |
U.S. Mid Cap | 1.4 |
U.S. Small Cap | 3.1 |
Exchange-Traded Fixed Income Funds | 2.3 |
Investment Grade | 2.3 |
Fixed Income Funds | 36.6 |
Investment Grade | 36.6 |
Allocations to Tactical Assets | |
Money Market Funds(a) | 21.4 |
Put Option Contracts Purchased | 0.3 |
Residential Mortgage-Backed Securities - Agency | 8.4 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds, including investing for the purpose of covering obligations relating to the Fund’s investment in derivatives. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and the derivative instruments discussion in Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,054.10 | 1,023.54 | 1.43 | 1.41 | 0.28 | 3.74 | 3.68 | 0.73 |
Class 2 | 1,000.00 | 1,000.00 | 1,053.00 | 1,022.29 | 2.71 | 2.67 | 0.53 | 5.02 | 4.94 | 0.98 |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (Unaudited)
Equity Funds 33.6% | ||
Shares | Value ($) | |
International 9.3% | ||
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(a) | 4,910,300 | 61,084,127 |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares(a) | 2,484,310 | 24,445,615 |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares(a) | 1,267,943 | 14,353,114 |
Variable Portfolio – Partners International Value Fund, Class 1 Shares(a) | 1,454,785 | 13,980,485 |
Total | 113,863,341 | |
U.S. Large Cap 19.5% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 376,132 | 15,030,238 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 564,042 | 47,029,872 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 641,146 | 21,754,071 |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 2,678,198 | 47,296,978 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 562,732 | 21,018,051 |
CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 512,358 | 18,598,590 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 422,732 | 18,701,649 |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares(a),(b) | 361,851 | 18,646,184 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 556,731 | 18,116,023 |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(a),(b) | 351,036 | 11,973,843 |
Total | 238,165,499 | |
U.S. Mid Cap 1.5% | ||
Columbia Variable Portfolio – Select Mid Cap Growth Fund, Class 1 Shares(a),(b) | 107,294 | 4,674,809 |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares(a),(b) | 130,327 | 4,545,809 |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(a),(b) | 103,964 | 4,531,790 |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(a),(b) | 112,381 | 4,659,323 |
Total | 18,411,731 |
Equity Funds (continued) | ||
Shares | Value ($) | |
U.S. Small Cap 3.3% | ||
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares(a) | 367,724 | 4,563,457 |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares(a),(b) | 415,996 | 4,638,359 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 546,180 | 16,068,597 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 462,540 | 15,707,852 |
Total | 40,978,265 | |
Total Equity Funds (Cost $259,125,048) | 411,418,836 | |
Exchange-Traded Fixed Income Funds 2.5% | ||
Investment Grade 2.5% | ||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 156,150 | 16,886,061 |
Vanguard Intermediate-Term Corporate Bond ETF | 179,500 | 14,185,885 |
Total | 31,071,946 | |
Total Exchange-Traded Fixed Income Funds (Cost $31,399,564) | 31,071,946 | |
Fixed Income Funds 39.7% | ||
Investment Grade 39.7% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 11,302,985 | 95,397,198 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 2,841,287 | 26,651,270 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 6,866,671 | 55,002,036 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 2,994,095 | 26,437,856 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 8,371,360 | 76,681,655 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 9,761,626 | 91,075,974 |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(a) | 11,848,819 | 114,341,103 |
Total | 485,587,092 | |
Total Fixed Income Funds (Cost $562,848,128) | 485,587,092 |
6 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency 9.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(c) | ||||
07/18/2038- 07/13/2053 | 3.000% | 31,393,000 | 27,917,320 | |
07/18/2038- 07/13/2053 | 3.500% | 17,800,000 | 16,496,273 | |
07/18/2038- 07/13/2053 | 4.000% | 22,846,000 | 21,707,401 | |
07/13/2053 | 4.500% | 22,000,000 | 21,150,938 | |
07/13/2053 | 5.000% | 24,000,000 | 23,516,250 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $111,415,732) | 110,788,182 |
Put Option Contracts Purchased 0.3% | ||||
Value ($) | ||||
(Cost $7,733,111) | 4,046,255 |
Money Market Funds 23.2% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(a),(d) | 283,597,243 | 283,483,804 |
Total Money Market Funds (Cost $283,471,794) | 283,483,804 | |
Total Investments in Securities (Cost: $1,255,993,377) | 1,326,396,115 | |
Other Assets & Liabilities, Net | (101,789,984) | |
Net Assets | 1,224,606,131 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
1,500,000 CHF | 1,658,527 USD | Barclays | 07/20/2023 | — | (20,176) |
250,000,000 JPY | 1,798,621 USD | Barclays | 07/20/2023 | 61,737 | — |
805,050 USD | 750,000 EUR | Barclays | 07/20/2023 | 14,014 | — |
3,087,605 USD | 5,000,000 NZD | Barclays | 07/20/2023 | — | (19,305) |
341,314 USD | 500,000 AUD | Citi | 07/20/2023 | — | (8,077) |
2,538,750 USD | 2,000,000 GBP | Citi | 07/20/2023 | 1,550 | — |
8,539,368 USD | 1,175,000,000 JPY | Citi | 07/20/2023 | — | (376,012) |
4,500,000 GBP | 5,735,790 USD | Goldman Sachs International | 07/20/2023 | 20,115 | — |
3,500,630 USD | 3,250,000 EUR | Goldman Sachs International | 07/20/2023 | 48,646 | — |
1,154,674 USD | 160,000,000 JPY | Goldman Sachs International | 07/20/2023 | — | (43,068) |
2,000,000 AUD | 1,311,950 USD | HSBC | 07/20/2023 | — | (21,000) |
7,740,729 USD | 6,250,000 GBP | HSBC | 07/20/2023 | 197,709 | — |
2,500,000 CHF | 2,793,234 USD | Morgan Stanley | 07/20/2023 | — | (4,603) |
1,945,747 USD | 1,750,000 CHF | Morgan Stanley | 07/20/2023 | 12,739 | — |
543,192 USD | 500,000 EUR | Morgan Stanley | 07/20/2023 | 2,850 | — |
1,124,506 USD | 12,000,000 SEK | Morgan Stanley | 07/20/2023 | — | (11,057) |
3,339,395 USD | 5,000,000 AUD | UBS | 07/20/2023 | — | (7,020) |
2,334,856 USD | 25,000,000 SEK | Wells Fargo Securities LLC | 07/20/2023 | — | (15,170) |
Total | 359,360 | (525,488) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Euro STOXX 50 Index | 228 | 09/2023 | EUR | 10,093,560 | 149,607 | — |
FTSE 100 Index | 10 | 09/2023 | GBP | 754,150 | 6,767 | — |
FTSE 100 Index | 36 | 09/2023 | GBP | 2,714,940 | — | (22,861) |
MSCI Singapore Index | 25 | 07/2023 | SGD | 722,250 | 1,840 | — |
OMXS30 Index | 215 | 07/2023 | SEK | 49,799,375 | 13,007 | — |
S&P 500 Index E-mini | 405 | 09/2023 | USD | 90,887,063 | 2,698,464 | — |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2023 | 7 |
June 30, 2023 (Unaudited)
Long futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
SPI 200 Index | 11 | 09/2023 | AUD | 1,969,275 | 12,130 | — |
TOPIX Index | 66 | 09/2023 | JPY | 1,510,080,000 | 339,059 | — |
TOPIX Index | 6 | 09/2023 | JPY | 137,280,000 | — | (5,480) |
U.S. Treasury 10-Year Note | 195 | 09/2023 | USD | 21,891,797 | — | (348,434) |
U.S. Treasury 2-Year Note | 111 | 09/2023 | USD | 22,571,156 | — | (283,770) |
U.S. Treasury 5-Year Note | 306 | 09/2023 | USD | 32,770,688 | — | (613,007) |
Total | 3,220,874 | (1,273,552) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Russell 2000 Index E-mini | (137) | 09/2023 | USD | (13,040,345) | — | (14,389) |
U.S. Long Bond | (14) | 09/2023 | USD | (1,776,688) | 13,053 | — |
U.S. Treasury Ultra Bond | (12) | 09/2023 | USD | (1,634,625) | 8,515 | — |
Total | 21,568 | (14,389) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 66,755,700 | 150 | 3,450.00 | 12/20/2024 | 1,667,257 | 1,191,000 |
S&P 500 Index | JPMorgan | USD | 63,195,396 | 142 | 3,400.00 | 12/20/2024 | 1,490,185 | 1,060,740 |
S&P 500 Index | JPMorgan | USD | 54,294,636 | 122 | 3,200.00 | 12/20/2024 | 2,153,475 | 705,770 |
S&P 500 Index | JPMorgan | USD | 46,728,990 | 105 | 3,300.00 | 12/20/2024 | 1,792,836 | 691,425 |
S&P 500 Index | JPMorgan | USD | 13,796,178 | 31 | 3,350.00 | 12/20/2024 | 424,857 | 217,620 |
S&P 500 Index | JPMorgan | USD | 8,900,760 | 20 | 3,550.00 | 12/20/2024 | 204,501 | 179,700 |
Total | 7,733,111 | 4,046,255 |
(a) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | |||||||||
213,788,464 | 153,850,972 | (84,138,432) | (17,200) | 283,483,804 | — | (8,988) | 6,280,828 | 283,597,243 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
19,051,676 | — | (2,880,672) | (1,140,766) | 15,030,238 | — | 4,418,005 | — | 376,132 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
47,899,780 | 22,085 | (3,685,480) | 2,793,487 | 47,029,872 | — | 4,325,694 | — | 564,042 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
95,747,596 | 54,550 | (2,939,133) | 2,534,185 | 95,397,198 | — | (547,280) | — | 11,302,985 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
21,222,410 | 31,242 | (2,411,901) | 2,912,320 | 21,754,071 | — | 2,902,095 | — | 641,146 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
26,816,211 | 34,026 | (886,828) | 687,861 | 26,651,270 | — | (77,308) | — | 2,841,287 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
53,118,597 | 266,494 | (1,419,927) | 3,036,872 | 55,002,036 | — | (445,904) | — | 6,866,671 |
8 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares | |||||||||
52,558,558 | 8,252,270 | (3,174,523) | 3,447,822 | 61,084,127 | — | (528,873) | 1,148,303 | 4,910,300 | |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares | |||||||||
48,113,883 | 23,061 | (8,419,946) | 7,579,980 | 47,296,978 | — | 910,291 | — | 2,678,198 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
22,396,696 | 395,589 | (1,694,114) | (80,120) | 21,018,051 | — | 530,451 | — | 562,732 | |
Columbia Variable Portfolio – Select Mid Cap Growth Fund, Class 1 Shares | |||||||||
4,306,450 | 716 | (322,112) | 689,755 | 4,674,809 | — | 147,647 | — | 107,294 | |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares | |||||||||
4,451,436 | 114,135 | (119,371) | 99,609 | 4,545,809 | — | 109,651 | — | 130,327 | |
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares | |||||||||
4,460,089 | 145,441 | (482,945) | 440,872 | 4,563,457 | — | (69,543) | — | 367,724 | |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares | |||||||||
3,843,889 | 90,468 | (326,412) | 1,030,414 | 4,638,359 | — | (209,238) | — | 415,996 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
26,613,565 | 28,507 | (754,636) | 550,420 | 26,437,856 | — | (114,116) | — | 2,994,095 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
77,088,441 | 59,421 | (2,375,037) | 1,908,830 | 76,681,655 | — | (432,665) | — | 8,371,360 | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
19,709,907 | 111,237 | (1,224,607) | 2,053 | 18,598,590 | — | 414,829 | — | 512,358 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
14,947,792 | — | — | 3,753,857 | 18,701,649 | — | — | — | 422,732 | |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares | |||||||||
18,499,920 | 2,127 | (1,537,969) | 1,682,106 | 18,646,184 | — | 2,078,081 | — | 361,851 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
19,207,880 | 230,050 | (1,169,242) | (152,665) | 18,116,023 | — | 529,597 | — | 556,731 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
91,547,737 | 35,134 | (3,117,071) | 2,610,174 | 91,075,974 | — | (383,254) | — | 9,761,626 | |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares | |||||||||
4,471,600 | 85,128 | (92,363) | 67,425 | 4,531,790 | — | 106,934 | — | 103,964 | |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares | |||||||||
4,367,122 | 18,464 | (202,979) | 476,716 | 4,659,323 | — | 217,821 | — | 112,381 | |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares | |||||||||
114,736,163 | 66,784 | (3,898,150) | 3,436,306 | 114,341,103 | — | (503,939) | — | 11,848,819 | |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares | |||||||||
12,309,096 | 9,487 | (839,467) | 494,727 | 11,973,843 | — | 1,136,605 | — | 351,036 | |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares | |||||||||
20,589,405 | 2,632,390 | (1,614,840) | 2,838,660 | 24,445,615 | — | (396,196) | 342,688 | 2,484,310 | |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares | |||||||||
11,965,295 | 1,310,748 | (445,319) | 1,522,390 | 14,353,114 | — | (7,865) | 65,971 | 1,267,943 | |
Variable Portfolio – Partners International Value Fund, Class 1 Shares | |||||||||
12,227,016 | 1,341,482 | (721,928) | 1,133,915 | 13,980,485 | — | 65,266 | 283,840 | 1,454,785 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
15,166,728 | 320,923 | (851,710) | 1,432,656 | 16,068,597 | — | (103,499) | — | 546,180 |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2023 | 9 |
June 30, 2023 (Unaudited)
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
15,354,062 | 482,373 | (523,912) | 395,329 | 15,707,852 | — | 261,157 | — | 462,540 | |
Total | 1,096,577,464 | 46,167,990 | 1,180,489,732 | — | 14,325,456 | 8,121,630 |
(b) | Non-income producing investment. |
(c) | Represents a security purchased on a when-issued basis. |
(d) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
TBA | To Be Announced |
AUD | Australian Dollar |
CHF | Swiss Franc |
EUR | Euro |
GBP | British Pound |
JPY | Japanese Yen |
NZD | New Zealand Dollar |
SEK | Swedish Krona |
SGD | Singapore Dollar |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
10 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
The Fund’s Board of Trustees (the Board) has designated the Investment Manager, through its Valuation Committee (the Committee), as valuation designee, responsible for determining the fair value of the assets of the Fund for which market quotations are not readily available using valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Equity Funds | — | — | — | 411,418,836 | 411,418,836 |
Exchange-Traded Fixed Income Funds | 31,071,946 | — | — | — | 31,071,946 |
Fixed Income Funds | — | — | — | 485,587,092 | 485,587,092 |
Residential Mortgage-Backed Securities - Agency | — | 110,788,182 | — | — | 110,788,182 |
Put Option Contracts Purchased | 4,046,255 | — | — | — | 4,046,255 |
Money Market Funds | 283,483,804 | — | — | — | 283,483,804 |
Total Investments in Securities | 318,602,005 | 110,788,182 | — | 897,005,928 | 1,326,396,115 |
Investments in Derivatives | |||||
Asset | |||||
Forward Foreign Currency Exchange Contracts | — | 359,360 | — | — | 359,360 |
Futures Contracts | 3,242,442 | — | — | — | 3,242,442 |
Liability | |||||
Forward Foreign Currency Exchange Contracts | — | (525,488) | — | — | (525,488) |
Futures Contracts | (1,287,941) | — | — | — | (1,287,941) |
Total | 320,556,506 | 110,622,054 | — | 897,005,928 | 1,328,184,488 |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2023 | 11 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $142,815,296) | $141,860,128 |
Affiliated issuers (cost $1,105,444,970) | 1,180,489,732 |
Option contracts purchased (cost $7,733,111) | 4,046,255 |
Cash | 322,350 |
Cash collateral held at broker for: | |
TBA | 702,000 |
Margin deposits on: | |
Futures contracts | 7,207,148 |
Unrealized appreciation on forward foreign currency exchange contracts | 359,360 |
Receivable for: | |
Investments sold | 586,196 |
Investments sold on a delayed delivery basis | 9,197,922 |
Capital shares sold | 52 |
Dividends | 1,188,216 |
Interest | 166,871 |
Variation margin for futures contracts | 1,303,995 |
Prepaid expenses | 9,263 |
Trustees’ deferred compensation plan | 114,605 |
Total assets | 1,347,554,093 |
Liabilities | |
Unrealized depreciation on forward foreign currency exchange contracts | 525,488 |
Payable for: | |
Investments purchased on a delayed delivery basis | 120,789,958 |
Capital shares redeemed | 1,297,976 |
Variation margin for futures contracts | 83,628 |
Management services fees | 6,922 |
Distribution and/or service fees | 8,336 |
Service fees | 60,680 |
Compensation of board members | 30,529 |
Compensation of chief compliance officer | 119 |
Other expenses | 29,721 |
Trustees’ deferred compensation plan | 114,605 |
Total liabilities | 122,947,962 |
Net assets applicable to outstanding capital stock | $1,224,606,131 |
Represented by | |
Trust capital | $1,224,606,131 |
Total - representing net assets applicable to outstanding capital stock | $1,224,606,131 |
Class 1 | |
Net assets | $1,073,912 |
Shares outstanding | 78,668 |
Net asset value per share | $13.65 |
Class 2 | |
Net assets | $1,223,532,219 |
Shares outstanding | 90,581,784 |
Net asset value per share | $13.51 |
12 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $838,637 |
Dividends — affiliated issuers | 8,121,630 |
Interest | 135,302 |
Total income | 9,095,569 |
Expenses: | |
Management services fees | 1,287,149 |
Distribution and/or service fees | |
Class 2 | 1,531,078 |
Service fees | 368,499 |
Compensation of board members | 17,303 |
Custodian fees | 15,041 |
Printing and postage fees | 7,624 |
Accounting services fees | 15,045 |
Legal fees | 14,104 |
Compensation of chief compliance officer | 117 |
Other | 11,482 |
Total expenses | 3,267,442 |
Net investment income | 5,828,127 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 2,834,931 |
Investments — affiliated issuers | 14,325,456 |
Foreign currency translations | 96,064 |
Forward foreign currency exchange contracts | (1,117,399) |
Futures contracts | 1,560,184 |
Option contracts purchased | (2,815,349) |
Net realized gain | 14,883,887 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 179,148 |
Investments — affiliated issuers | 46,167,990 |
Forward foreign currency exchange contracts | 257,512 |
Futures contracts | (398,654) |
Option contracts purchased | (3,402,620) |
Net change in unrealized appreciation (depreciation) | 42,803,376 |
Net realized and unrealized gain | 57,687,263 |
Net increase in net assets resulting from operations | $63,515,390 |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2023 | 13 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment income | $5,828,127 | $12,638,536 |
Net realized gain (loss) | 14,883,887 | (35,077,677) |
Net change in unrealized appreciation (depreciation) | 42,803,376 | (248,797,127) |
Net increase (decrease) in net assets resulting from operations | 63,515,390 | (271,236,268) |
Decrease in net assets from capital stock activity | (51,246,034) | (152,156,246) |
Total increase (decrease) in net assets | 12,269,356 | (423,392,514) |
Net assets at beginning of period | 1,212,336,775 | 1,635,729,289 |
Net assets at end of period | $1,224,606,131 | $1,212,336,775 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Shares sold | 9,138 | 122,358 | 22,089 | 300,328 |
Shares redeemed | (8,981) | (120,529) | (8,865) | (127,334) |
Net increase | 157 | 1,829 | 13,224 | 172,994 |
Class 2 | ||||
Shares sold | 664,638 | 8,804,634 | 1,076,283 | 14,934,932 |
Shares redeemed | (4,524,901) | (60,052,497) | (12,283,693) | (167,264,172) |
Net decrease | (3,860,263) | (51,247,863) | (11,207,410) | (152,329,240) |
Total net decrease | (3,860,106) | (51,246,034) | (11,194,186) | (152,156,246) |
14 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2023 |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2023 | 15 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $12.95 | 0.08 | 0.62 | 0.70 |
Year Ended 12/31/2022 | $15.58 | 0.17 | (2.80) | (2.63) |
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(d) | $12.36 | 0.16 | 0.95 | 1.11 |
Class 2 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $12.83 | 0.06 | 0.62 | 0.68 |
Year Ended 12/31/2022 | $15.47 | 0.13 | (2.77) | (2.64) |
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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interest on collateral expense which is less than 0.01%. |
(d) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
16 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2023 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $13.65 | 5.41% | 0.28% | 0.28% | 1.19% | 83% | $1,074 |
Year Ended 12/31/2022 | $12.95 | (16.88%) | 0.28%(c) | 0.28%(c) | 1.23% | 138% | $1,016 |
Year Ended 12/31/2021 | $15.58 | 5.77% | 0.28%(c) | 0.28%(c) | 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(d) | $13.47 | 8.98% | 0.29% | 0.29% | 1.46% | 137% | $207 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $13.51 | 5.30% | 0.53% | 0.53% | 0.95% | 83% | $1,223,532 |
Year Ended 12/31/2022 | $12.83 | (17.07%) | 0.53%(c) | 0.53%(c) | 0.93% | 138% | $1,211,320 |
Year Ended 12/31/2021 | $15.47 | 5.45% | 0.53%(c) | 0.53%(c) | 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% | $1,300,981 |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2023 | 17 |
June 30, 2023 (Unaudited)
18 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2023 | 19 |
June 30, 2023 (Unaudited)
20 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2023 | 21 |
June 30, 2023 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 3,220,874* |
Equity risk | Investments, at value — Option contracts purchased | 4,046,255 |
Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 359,360 |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 21,568* |
Total | 7,648,057 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 42,730* |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 525,488 |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 1,245,211* |
Total | 1,813,429 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin for futures and centrally cleared swaps, if any, is reported in receivables or payables in the Statement of Assets and Liabilities. |
22 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Option contracts purchased ($) | Total ($) |
Equity risk | — | 2,112,838 | (2,815,349) | (702,511) |
Foreign exchange risk | (1,117,399) | — | — | (1,117,399) |
Interest rate risk | — | (552,654) | — | (552,654) |
Total | (1,117,399) | 1,560,184 | (2,815,349) | (2,372,564) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Option contracts purchased ($) | Total ($) |
Equity risk | — | 677,659 | (3,402,620) | (2,724,961) |
Foreign exchange risk | 257,512 | — | — | 257,512 |
Interest rate risk | — | (1,076,313) | — | (1,076,313) |
Total | 257,512 | (398,654) | (3,402,620) | (3,543,762) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 189,167,397 |
Futures contracts — short | 15,434,492 |
Derivative instrument | Average value ($)* |
Option contracts purchased | 4,367,295 |
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 189,730 | (289,645) |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2023. |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2023 | 23 |
June 30, 2023 (Unaudited)
Barclays ($) | Citi ($) | Goldman Sachs International ($) | HSBC ($) | JPMorgan ($) | Morgan Stanley ($) | UBS ($) | Wells Fargo Securities LLC ($) | Total ($) | |
Assets | |||||||||
Forward foreign currency exchange contracts | 75,751 | 1,550 | 68,761 | 197,709 | - | 15,589 | - | - | 359,360 |
Put option contracts purchased | - | - | - | - | 4,046,255 | - | - | - | 4,046,255 |
Total assets | 75,751 | 1,550 | 68,761 | 197,709 | 4,046,255 | 15,589 | - | - | 4,405,615 |
Liabilities | |||||||||
Forward foreign currency exchange contracts | 39,481 | 384,089 | 43,068 | 21,000 | - | 15,660 | 7,020 | 15,170 | 525,488 |
Total financial and derivative net assets | 36,270 | (382,539) | 25,693 | 176,709 | 4,046,255 | (71) | (7,020) | (15,170) | 3,880,127 |
Total collateral received (pledged) (a) | - | - | - | - | - | - | - | - | - |
Net amount (b) | 36,270 | (382,539) | 25,693 | 176,709 | 4,046,255 | (71) | (7,020) | (15,170) | 3,880,127 |
(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 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2023 | 25 |
June 30, 2023 (Unaudited)
26 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
May 1, 2023 through April 30, 2024 | Prior to May 1, 2023 | |
Class 1 | 0.78% | 0.79% |
Class 2 | 1.03 | 1.04 |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2023 | 27 |
June 30, 2023 (Unaudited)
28 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2023 | 29 |
June 30, 2023 (Unaudited)
30 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2023 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2023 | 31 |
(Unaudited)
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to one or more benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, 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 2023 |
(Unaudited)
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2023 | 33 |
(Unaudited)
these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
34 | Variable Portfolio – Managed Volatility Conservative Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1* | 02/20/19 | 8.66 | 8.44 | 3.82 | 5.19 | |
Class 2 | 04/12/13 | 8.59 | 8.16 | 3.60 | 5.08 | |
Blended Benchmark | 10.30 | 11.90 | 6.64 | 7.42 | ||
Russell 3000 Index | 16.17 | 18.95 | 11.39 | 12.34 |
* | 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 2023 | 3 |
(Unaudited)
Portfolio Allocation (%) (at June 30, 2023) | |
Allocations to Underlying Funds | |
Equity Funds | 61.0 |
International | 16.6 |
U.S. Large Cap | 36.7 |
U.S. Mid Cap | 2.9 |
U.S. Small Cap | 4.8 |
Exchange-Traded Fixed Income Funds | 2.5 |
Investment Grade | 2.5 |
Fixed Income Funds | 10.3 |
Investment Grade | 10.3 |
Allocations to Tactical Assets | |
Money Market Funds(a) | 20.8 |
Put Option Contracts Purchased | 0.6 |
Residential Mortgage-Backed Securities - Agency | 4.8 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds, including investing for the purpose of covering obligations relating to the Fund’s investment in derivatives. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and the derivative instruments discussion in Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,086.60 | 1,023.68 | 1.30 | 1.26 | 0.25 | 4.01 | 3.88 | 0.77 |
Class 2 | 1,000.00 | 1,000.00 | 1,085.90 | 1,022.44 | 2.60 | 2.52 | 0.50 | 5.30 | 5.14 | 1.02 |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (Unaudited)
Equity Funds 63.3% | ||
Shares | Value ($) | |
International 17.2% | ||
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(a) | 60,457,848 | 752,095,627 |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares(a) | 56,245,575 | 553,456,459 |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares(a) | 25,638,855 | 290,231,836 |
Variable Portfolio – Partners International Value Fund, Class 1 Shares(a) | 30,774,248 | 295,740,530 |
Total | 1,891,524,452 | |
U.S. Large Cap 38.1% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 7,131,322 | 284,967,619 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 8,012,226 | 668,059,386 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 12,803,545 | 434,424,278 |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 37,860,502 | 668,616,468 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 10,153,108 | 379,218,584 |
CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 9,818,660 | 356,417,378 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 6,969,605 | 308,335,331 |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares(a),(b) | 7,495,843 | 386,260,774 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 10,758,152 | 350,070,259 |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(a),(b) | 10,552,442 | 359,943,785 |
Total | 4,196,313,862 | |
U.S. Mid Cap 3.0% | ||
Columbia Variable Portfolio – Select Mid Cap Growth Fund, Class 1 Shares(a),(b) | 1,983,356 | 86,414,842 |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares(a),(b) | 2,282,471 | 79,612,582 |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(a),(b) | 1,836,413 | 80,049,228 |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(a),(b) | 2,069,200 | 85,789,031 |
Total | 331,865,683 |
Equity Funds (continued) | ||
Shares | Value ($) | |
U.S. Small Cap 5.0% | ||
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares(a) | 6,485,526 | 80,485,381 |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares(a),(b) | 6,619,131 | 73,803,314 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 6,826,419 | 200,833,247 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 5,795,428 | 196,812,724 |
Total | 551,934,666 | |
Total Equity Funds (Cost $4,595,509,976) | 6,971,638,663 | |
Exchange-Traded Fixed Income Funds 2.6% | ||
Investment Grade 2.6% | ||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 1,228,000 | 132,795,920 |
Vanguard Intermediate-Term Corporate Bond ETF | 1,933,500 | 152,804,505 |
Total | 285,600,425 | |
Total Exchange-Traded Fixed Income Funds (Cost $280,435,621) | 285,600,425 | |
Fixed Income Funds 10.6% | ||
Investment Grade 10.6% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 18,651,247 | 157,416,523 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 8,447,345 | 79,236,099 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 19,068,440 | 152,738,204 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 8,809,370 | 77,786,733 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 17,033,318 | 156,025,194 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 21,027,933 | 196,190,611 |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(a) | 36,719,031 | 354,338,653 |
Total | 1,173,732,017 | |
Total Fixed Income Funds (Cost $1,366,214,613) | 1,173,732,017 |
6 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency 5.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(c) | ||||
07/18/2038- 07/13/2053 | 3.000% | 162,500,000 | 144,167,363 | |
07/18/2038- 07/13/2053 | 3.500% | 102,500,000 | 95,178,028 | |
07/18/2038- 07/13/2053 | 4.000% | 129,550,000 | 123,182,018 | |
07/13/2053 | 4.500% | 53,000,000 | 50,954,531 | |
07/13/2053 | 5.000% | 135,000,000 | 132,278,906 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $548,808,555) | 545,760,846 |
Put Option Contracts Purchased 0.6% | ||||
Value ($) | ||||
(Cost $128,740,288) | 67,301,825 |
Money Market Funds 21.6% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(a),(d) | 2,383,772,804 | 2,382,819,295 |
Total Money Market Funds (Cost $2,382,655,448) | 2,382,819,295 | |
Total Investments in Securities (Cost: $9,302,364,501) | 11,426,853,071 | |
Other Assets & Liabilities, Net | (404,266,010) | |
Net Assets | 11,022,587,061 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
21,468,000 USD | 20,000,000 EUR | Barclays | 07/20/2023 | 373,700 | — |
30,876,050 USD | 50,000,000 NZD | Barclays | 07/20/2023 | — | (193,050) |
5,119,713 USD | 7,500,000 AUD | Citi | 07/20/2023 | — | (121,150) |
25,387,500 USD | 20,000,000 GBP | Citi | 07/20/2023 | 15,500 | — |
114,463,873 USD | 15,750,000,000 JPY | Citi | 07/20/2023 | — | (5,040,165) |
40,000,000 GBP | 50,984,800 USD | Goldman Sachs International | 07/20/2023 | 178,800 | — |
99,247,450 USD | 92,000,000 EUR | Goldman Sachs International | 07/20/2023 | 1,224,370 | — |
21,645,992 USD | 3,000,000,000 JPY | Goldman Sachs International | 07/20/2023 | — | (803,381) |
5,000,000 AUD | 3,279,874 USD | HSBC | 07/20/2023 | — | (52,501) |
92,888,745 USD | 75,000,000 GBP | HSBC | 07/20/2023 | 2,372,505 | — |
25,000,000 CHF | 27,932,337 USD | Morgan Stanley | 07/20/2023 | — | (46,031) |
33,385,404 USD | 30,000,000 CHF | Morgan Stanley | 07/20/2023 | 188,637 | — |
16,295,775 USD | 15,000,000 EUR | Morgan Stanley | 07/20/2023 | 85,500 | — |
12,474,157 USD | 10,000,000 GBP | Morgan Stanley | 07/20/2023 | 227,343 | — |
18,741,771 USD | 200,000,000 SEK | Morgan Stanley | 07/20/2023 | — | (184,289) |
40,072,740 USD | 60,000,000 AUD | UBS | 07/20/2023 | — | (84,240) |
20,546,730 USD | 220,000,000 SEK | Wells Fargo Securities LLC | 07/20/2023 | — | (133,499) |
Total | 4,666,355 | (6,658,306) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Euro STOXX 50 Index | 4,194 | 09/2023 | EUR | 185,668,380 | 2,602,431 | — |
FTSE 100 Index | 195 | 09/2023 | GBP | 14,705,925 | 76,162 | — |
FTSE 100 Index | 705 | 09/2023 | GBP | 53,167,575 | — | (447,684) |
MSCI Singapore Index | 500 | 07/2023 | SGD | 14,445,000 | 36,802 | — |
OMXS30 Index | 400 | 07/2023 | SEK | 92,650,000 | 176,957 | — |
OMXS30 Index | 3,526 | 07/2023 | SEK | 816,709,750 | — | (106,868) |
S&P 500 Index E-mini | 6,307 | 09/2023 | USD | 1,415,369,638 | 40,489,346 | — |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2023 | 7 |
June 30, 2023 (Unaudited)
Long futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
SPI 200 Index | 257 | 09/2023 | AUD | 46,009,425 | 282,639 | — |
TOPIX Index | 1,238 | 09/2023 | JPY | 28,325,440,000 | 6,250,936 | — |
TOPIX Index | 100 | 09/2023 | JPY | 2,288,000,000 | — | (91,336) |
U.S. Long Bond | 373 | 09/2023 | USD | 47,336,031 | 5,785 | — |
U.S. Treasury 10-Year Note | 463 | 09/2023 | USD | 51,978,984 | — | (704,483) |
U.S. Treasury 2-Year Note | 731 | 09/2023 | USD | 148,644,281 | — | (1,761,559) |
U.S. Treasury 5-Year Note | 1,696 | 09/2023 | USD | 181,631,000 | — | (3,213,593) |
U.S. Treasury Ultra Bond | 359 | 09/2023 | USD | 48,902,531 | 612,123 | — |
Total | 50,533,181 | (6,325,523) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Russell 2000 Index E-mini | (795) | 09/2023 | USD | (75,672,075) | — | (83,501) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 1,068,091,200 | 2,400 | 3,450.00 | 12/20/2024 | 26,676,118 | 19,056,000 |
S&P 500 Index | JPMorgan | USD | 1,045,839,300 | 2,350 | 3,400.00 | 12/20/2024 | 24,679,765 | 17,554,500 |
S&P 500 Index | JPMorgan | USD | 963,507,270 | 2,165 | 3,200.00 | 12/20/2024 | 38,250,858 | 12,524,525 |
S&P 500 Index | JPMorgan | USD | 747,663,840 | 1,680 | 3,300.00 | 12/20/2024 | 28,191,003 | 11,062,800 |
S&P 500 Index | JPMorgan | USD | 178,015,200 | 400 | 3,550.00 | 12/20/2024 | 4,090,020 | 3,594,000 |
S&P 500 Index | JPMorgan | USD | 222,519,000 | 500 | 3,350.00 | 12/20/2024 | 6,852,524 | 3,510,000 |
Total | 128,740,288 | 67,301,825 |
(a) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | |||||||||
1,531,523,227 | 2,066,340,324 | (1,214,912,443) | (131,813) | 2,382,819,295 | — | (73,134) | 49,901,755 | 2,383,772,804 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
279,558,542 | — | (18,893,308) | 24,302,385 | 284,967,619 | — | 29,210,340 | — | 7,131,322 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
688,410,889 | — | (56,423,247) | 36,071,744 | 668,059,386 | — | 64,351,815 | — | 8,012,226 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
160,911,341 | — | (9,261,333) | 5,766,515 | 157,416,523 | — | (2,340,362) | — | 18,651,247 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
365,480,375 | — | (36,307,452) | 105,251,355 | 434,424,278 | — | 1,378,566 | — | 12,803,545 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
79,345,806 | — | (2,106,643) | 1,996,936 | 79,236,099 | — | (187,295) | — | 8,447,345 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
145,795,471 | — | (174,632) | 7,117,365 | 152,738,204 | — | (55,651) | — | 19,068,440 | |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares | |||||||||
712,946,095 | 14,165,325 | (20,096,499) | 45,080,706 | 752,095,627 | — | (4,230,169) | 14,165,325 | 60,457,848 |
8 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares | |||||||||
620,404,929 | — | (64,930,470) | 113,142,009 | 668,616,468 | — | 349,900 | — | 37,860,502 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
404,475,800 | — | (27,506,115) | 2,248,899 | 379,218,584 | — | 5,320,620 | — | 10,153,108 | |
Columbia Variable Portfolio – Select Mid Cap Growth Fund, Class 1 Shares | |||||||||
75,240,537 | — | (3,193,525) | 14,367,830 | 86,414,842 | — | 523,071 | — | 1,983,356 | |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares | |||||||||
79,700,465 | — | (1,932,461) | 1,844,578 | 79,612,582 | — | 1,788,499 | — | 2,282,471 | |
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares | |||||||||
79,772,875 | — | (6,664,896) | 7,377,402 | 80,485,381 | — | (870,969) | — | 6,485,526 | |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares | |||||||||
60,896,008 | — | — | 12,907,306 | 73,803,314 | — | — | — | 6,619,131 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
77,187,720 | — | (795,611) | 1,394,624 | 77,786,733 | — | (141,951) | — | 8,809,370 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
154,828,244 | — | (2,150,318) | 3,347,268 | 156,025,194 | — | (397,591) | — | 17,033,318 | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
370,881,091 | — | (18,894,731) | 4,431,018 | 356,417,378 | — | 3,418,764 | — | 9,818,660 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
246,445,238 | — | — | 61,890,093 | 308,335,331 | — | — | — | 6,969,605 | |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares | |||||||||
343,539,561 | — | (31,090,694) | 73,811,907 | 386,260,774 | — | (1,204,944) | — | 7,495,843 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
367,913,102 | — | (19,711,450) | 1,868,607 | 350,070,259 | — | 4,992,793 | — | 10,758,152 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
194,519,340 | — | (3,512,765) | 5,184,036 | 196,190,611 | — | (461,603) | — | 21,027,933 | |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares | |||||||||
80,433,712 | — | (1,602,721) | 1,218,237 | 80,049,228 | — | 1,865,179 | — | 1,836,413 | |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares | |||||||||
77,178,263 | — | (2,526,768) | 11,137,536 | 85,789,031 | — | 1,258,568 | — | 2,069,200 | |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares | |||||||||
351,475,038 | — | (7,124,835) | 9,988,450 | 354,338,653 | — | (1,001,122) | — | 36,719,031 | |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares | |||||||||
343,663,784 | — | (13,844,863) | 30,124,864 | 359,943,785 | — | 16,642,167 | — | 10,552,442 | |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares | |||||||||
501,896,065 | 7,774,598 | (18,671,713) | 62,457,509 | 553,456,459 | — | (3,412,586) | 7,774,598 | 56,245,575 | |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares | |||||||||
257,842,160 | 1,344,672 | (1,673,987) | 32,718,991 | 290,231,836 | — | (427,902) | 1,344,672 | 25,638,855 | |
Variable Portfolio – Partners International Value Fund, Class 1 Shares | |||||||||
273,642,375 | 6,200,175 | (11,711,932) | 27,609,912 | 295,740,530 | — | (1,033,976) | 6,200,175 | 30,774,248 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
185,770,658 | — | (1,193,882) | 16,256,471 | 200,833,247 | — | (283,981) | — | 6,826,419 |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2023 | 9 |
June 30, 2023 (Unaudited)
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
196,658,758 | — | (6,025,548) | 6,179,514 | 196,812,724 | — | 1,833,188 | — | 5,795,428 | |
Total | 9,308,337,469 | 726,962,254 | 10,528,189,975 | — | 116,810,234 | 79,386,525 |
(b) | Non-income producing investment. |
(c) | Represents a security purchased on a when-issued basis. |
(d) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
TBA | To Be Announced |
AUD | Australian Dollar |
CHF | Swiss Franc |
EUR | Euro |
GBP | British Pound |
JPY | Japanese Yen |
NZD | New Zealand Dollar |
SEK | Swedish Krona |
SGD | Singapore Dollar |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
10 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
The Fund’s Board of Trustees (the Board) has designated the Investment Manager, through its Valuation Committee (the Committee), as valuation designee, responsible for determining the fair value of the assets of the Fund for which market quotations are not readily available using valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Equity Funds | — | — | — | 6,971,638,663 | 6,971,638,663 |
Exchange-Traded Fixed Income Funds | 285,600,425 | — | — | — | 285,600,425 |
Fixed Income Funds | — | — | — | 1,173,732,017 | 1,173,732,017 |
Residential Mortgage-Backed Securities - Agency | — | 545,760,846 | — | — | 545,760,846 |
Put Option Contracts Purchased | 67,301,825 | — | — | — | 67,301,825 |
Money Market Funds | 2,382,819,295 | — | — | — | 2,382,819,295 |
Total Investments in Securities | 2,735,721,545 | 545,760,846 | — | 8,145,370,680 | 11,426,853,071 |
Investments in Derivatives | |||||
Asset | |||||
Forward Foreign Currency Exchange Contracts | — | 4,666,355 | — | — | 4,666,355 |
Futures Contracts | 50,533,181 | — | — | — | 50,533,181 |
Liability | |||||
Forward Foreign Currency Exchange Contracts | — | (6,658,306) | — | — | (6,658,306) |
Futures Contracts | (6,409,024) | — | — | — | (6,409,024) |
Total | 2,779,845,702 | 543,768,895 | — | 8,145,370,680 | 11,468,985,277 |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2023 | 11 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $829,244,176) | $831,361,271 |
Affiliated issuers (cost $8,344,380,037) | 10,528,189,975 |
Option contracts purchased (cost $128,740,288) | 67,301,825 |
Cash | 2,683,971 |
Cash collateral held at broker for: | |
TBA | 4,189,000 |
Margin deposits on: | |
Futures contracts | 116,240,232 |
Unrealized appreciation on forward foreign currency exchange contracts | 4,666,355 |
Receivable for: | |
Investments sold | 5,343,339 |
Investments sold on a delayed delivery basis | 184,574,738 |
Capital shares sold | 33,319 |
Dividends | 9,846,289 |
Interest | 823,692 |
Variation margin for futures contracts | 21,336,871 |
Prepaid expenses | 69,297 |
Trustees’ deferred compensation plan | 547,502 |
Total assets | 11,777,207,676 |
Liabilities | |
Unrealized depreciation on forward foreign currency exchange contracts | 6,658,306 |
Payable for: | |
Investments purchased on a delayed delivery basis | 734,447,922 |
Capital shares redeemed | 11,500,905 |
Variation margin for futures contracts | 551,553 |
Management services fees | 53,136 |
Distribution and/or service fees | 74,733 |
Service fees | 541,109 |
Compensation of board members | 157,500 |
Compensation of chief compliance officer | 1,023 |
Other expenses | 86,926 |
Trustees’ deferred compensation plan | 547,502 |
Total liabilities | 754,620,615 |
Net assets applicable to outstanding capital stock | $11,022,587,061 |
Represented by | |
Trust capital | $11,022,587,061 |
Total - representing net assets applicable to outstanding capital stock | $11,022,587,061 |
Class 1 | |
Net assets | $22,094,465 |
Shares outstanding | 1,343,853 |
Net asset value per share | $16.44 |
Class 2 | |
Net assets | $11,000,492,596 |
Shares outstanding | 675,009,597 |
Net asset value per share | $16.30 |
12 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $9,143,836 |
Dividends — affiliated issuers | 79,386,525 |
Interest | 1,751,689 |
Total income | 90,282,050 |
Expenses: | |
Management services fees | 9,758,624 |
Distribution and/or service fees | |
Class 2 | 13,461,435 |
Service fees | 3,244,092 |
Compensation of board members | 94,274 |
Custodian fees | 21,418 |
Printing and postage fees | 26,048 |
Accounting services fees | 15,045 |
Legal fees | 77,917 |
Interest on collateral | 494 |
Compensation of chief compliance officer | 1,048 |
Other | 77,581 |
Total expenses | 26,777,976 |
Net investment income | 63,504,074 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (112,385,047) |
Investments — affiliated issuers | 116,810,234 |
Foreign currency translations | 1,148,126 |
Forward foreign currency exchange contracts | (18,335,214) |
Futures contracts | 38,116,782 |
Option contracts purchased | (44,826,521) |
Swap contracts | 1,919,319 |
Net realized loss | (17,552,321) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 153,252,824 |
Investments — affiliated issuers | 726,962,254 |
Forward foreign currency exchange contracts | 2,739,520 |
Futures contracts | 15,893,165 |
Option contracts purchased | (56,868,061) |
Swap contracts | (1,074,338) |
Net change in unrealized appreciation (depreciation) | 840,905,364 |
Net realized and unrealized gain | 823,353,043 |
Net increase in net assets resulting from operations | $886,857,117 |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2023 | 13 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment income | $63,504,074 | $52,281,268 |
Net realized loss | (17,552,321) | (388,740,469) |
Net change in unrealized appreciation (depreciation) | 840,905,364 | (2,352,151,659) |
Net increase (decrease) in net assets resulting from operations | 886,857,117 | (2,688,610,860) |
Decrease in net assets from capital stock activity | (409,036,475) | (788,930,941) |
Total increase (decrease) in net assets | 477,820,642 | (3,477,541,801) |
Net assets at beginning of period | 10,544,766,419 | 14,022,308,220 |
Net assets at end of period | $11,022,587,061 | $10,544,766,419 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Shares sold | 248,332 | 3,912,184 | 489,034 | 7,781,582 |
Shares redeemed | (77,128) | (1,196,631) | (119,217) | (1,808,536) |
Net increase | 171,204 | 2,715,553 | 369,817 | 5,973,046 |
Class 2 | ||||
Shares sold | 41,056 | 647,777 | 428,250 | 6,701,801 |
Shares redeemed | (26,281,051) | (412,399,805) | (50,861,787) | (801,605,788) |
Net decrease | (26,239,995) | (411,752,028) | (50,433,537) | (794,903,987) |
Total net decrease | (26,068,791) | (409,036,475) | (50,063,720) | (788,930,941) |
14 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2023 |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2023 | 15 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $15.13 | 0.11 | 1.20 | 1.31 |
Year Ended 12/31/2022 | $18.73 | 0.12 | (3.72) | (3.60) |
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(d) | $13.62 | 0.11 | 1.23 | 1.34 |
Class 2 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $15.01 | 0.09 | 1.20 | 1.29 |
Year Ended 12/31/2022 | $18.63 | 0.07 | (3.69) | (3.62) |
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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interest on collateral expense which is less than 0.01%. |
(d) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
16 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2023 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $16.44 | 8.66% | 0.25%(c) | 0.25%(c) | 1.43% | 86% | $22,094 |
Year Ended 12/31/2022 | $15.13 | (19.22%) | 0.25%(c) | 0.25%(c) | 0.73% | 151% | $17,737 |
Year Ended 12/31/2021 | $18.73 | 12.22% | 0.25%(c) | 0.25%(c) | 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(d) | $14.96 | 9.84% | 0.25% | 0.25% | 0.88% | 128% | $1,985 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $16.30 | 8.59% | 0.50%(c) | 0.50%(c) | 1.18% | 86% | $11,000,493 |
Year Ended 12/31/2022 | $15.01 | (19.43%) | 0.50%(c) | 0.50%(c) | 0.45% | 151% | $10,527,029 |
Year Ended 12/31/2021 | $18.63 | 11.89% | 0.50%(c) | 0.50%(c) | 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% | $9,820,308 |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2023 | 17 |
June 30, 2023 (Unaudited)
18 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2023 | 19 |
June 30, 2023 (Unaudited)
20 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2023 | 21 |
June 30, 2023 (Unaudited)
22 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 49,915,273* |
Equity risk | Investments, at value — Option contracts purchased | 67,301,825 |
Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 4,666,355 |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 617,908* |
Total | 122,501,361 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 729,389* |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 6,658,306 |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 5,679,635* |
Total | 13,067,330 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin for futures and centrally cleared swaps, if any, is reported in receivables or payables in the Statement of Assets and Liabilities. |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2023 | 23 |
June 30, 2023 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | |||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Option contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | — | 1,919,319 | 1,919,319 |
Equity risk | — | 34,993,171 | (44,826,521) | — | (9,833,350) |
Foreign exchange risk | (18,335,214) | — | — | — | (18,335,214) |
Interest rate risk | — | 3,123,611 | — | — | 3,123,611 |
Total | (18,335,214) | 38,116,782 | (44,826,521) | 1,919,319 | (23,125,634) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Option contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | — | (1,074,338) | (1,074,338) |
Equity risk | — | 17,754,347 | (56,868,061) | — | (39,113,714) |
Foreign exchange risk | 2,739,520 | — | — | — | 2,739,520 |
Interest rate risk | — | (1,861,182) | — | — | (1,861,182) |
Total | 2,739,520 | 15,893,165 | (56,868,061) | (1,074,338) | (39,309,714) |
Derivative instrument | Average notional amounts ($) |
Futures contracts — long | 2,118,409,725* |
Futures contracts — short | 102,215,288* |
Credit default swap contracts — sell protection | 23,489,011** |
Derivative instrument | Average value ($)* |
Option contracts purchased | 72,134,838 |
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 2,431,774 | (3,569,825) |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2023. |
** | Based on the ending daily outstanding amounts for the six months ended June 30, 2023. |
24 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Barclays ($) | Citi ($) | Goldman Sachs International ($) | HSBC ($) | JPMorgan ($) | Morgan Stanley ($) | UBS ($) | Wells Fargo Securities LLC ($) | Total ($) | |
Assets | |||||||||
Forward foreign currency exchange contracts | 373,700 | 15,500 | 1,403,170 | 2,372,505 | - | 501,480 | - | - | 4,666,355 |
Put option contracts purchased | - | - | - | - | 67,301,825 | - | - | - | 67,301,825 |
Total assets | 373,700 | 15,500 | 1,403,170 | 2,372,505 | 67,301,825 | 501,480 | - | - | 71,968,180 |
Liabilities | |||||||||
Forward foreign currency exchange contracts | 193,050 | 5,161,315 | 803,381 | 52,501 | - | 230,320 | 84,240 | 133,499 | 6,658,306 |
Total financial and derivative net assets | 180,650 | (5,145,815) | 599,789 | 2,320,004 | 67,301,825 | 271,160 | (84,240) | (133,499) | 65,309,874 |
Total collateral received (pledged) (a) | - | - | - | - | - | - | - | - | - |
Net amount (b) | 180,650 | (5,145,815) | 599,789 | 2,320,004 | 67,301,825 | 271,160 | (84,240) | (133,499) | 65,309,874 |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2023 | 25 |
June 30, 2023 (Unaudited)
(a) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Represents the net amount due from/(to) counterparties in the event of default. |
26 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2023 | 27 |
June 30, 2023 (Unaudited)
May 1, 2023 through April 30, 2024 | Prior to May 1, 2023 | |
Class 1 | 0.78% | 0.79% |
Class 2 | 1.03 | 1.04 |
28 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2023 | 29 |
June 30, 2023 (Unaudited)
30 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2023 | 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 2023 |
(Unaudited)
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to one or more benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | Terms of the Management Agreement; |
• | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
• | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
• | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2023 | 33 |
(Unaudited)
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
34 | Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2023 |
(Unaudited)
these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
Variable Portfolio – Managed Volatility Growth Fund | Semiannual Report 2023 | 35 |
June 30, 2023 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1* | 02/20/19 | 3.94 | 1.14 | 1.55 | 2.43 | |
Class 2 | 04/12/13 | 3.81 | 0.82 | 1.32 | 2.32 | |
Blended Benchmark | 4.57 | 2.95 | 2.66 | 3.38 | ||
Bloomberg U.S. Aggregate Bond Index | 2.09 | -0.94 | 0.77 | 1.52 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share class, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Portfolio Allocation (%) (at June 30, 2023) | |
Allocations to Underlying Funds | |
Equity Funds | 16.6 |
International | 4.6 |
U.S. Large Cap | 9.4 |
U.S. Mid Cap | 0.3 |
U.S. Small Cap | 2.3 |
Exchange-Traded Fixed Income Funds | 2.3 |
Investment Grade | 2.3 |
Fixed Income Funds | 49.7 |
Investment Grade | 49.7 |
Allocations to Tactical Assets | |
Money Market Funds(a) | 21.4 |
Put Option Contracts Purchased | 0.2 |
Residential Mortgage-Backed Securities - Agency | 9.8 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds, including investing for the purpose of covering obligations relating to the Fund’s investment in derivatives. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and the derivative instruments discussion in Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,039.40 | 1,023.49 | 1.47 | 1.46 | 0.29 | 3.56 | 3.53 | 0.70 |
Class 2 | 1,000.00 | 1,000.00 | 1,038.10 | 1,022.24 | 2.74 | 2.72 | 0.54 | 4.83 | 4.79 | 0.95 |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (Unaudited)
Equity Funds 18.3% | ||
Shares | Value ($) | |
International 5.1% | ||
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(a) | 1,627,786 | 20,249,661 |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares(a) | 359,126 | 3,533,801 |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares(a) | 312,528 | 3,537,818 |
Variable Portfolio – Partners International Value Fund, Class 1 Shares(a) | 369,880 | 3,554,545 |
Total | 30,875,825 | |
U.S. Large Cap 10.3% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 151,242 | 6,043,608 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 177,077 | 14,764,700 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 164,950 | 5,596,768 |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 912,329 | 16,111,727 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 149,672 | 5,590,253 |
CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 73,922 | 2,683,352 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 66,713 | 2,951,391 |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares(a),(b) | 52,162 | 2,687,921 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 82,321 | 2,678,737 |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(a),(b) | 111,491 | 3,802,940 |
Total | 62,911,397 | |
U.S. Mid Cap 0.4% | ||
Columbia Variable Portfolio – Select Mid Cap Growth Fund, Class 1 Shares(a),(b) | 25,728 | 1,120,963 |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares(a),(b) | 32,083 | 1,119,069 |
Total | 2,240,032 |
Equity Funds (continued) | ||
Shares | Value ($) | |
U.S. Small Cap 2.5% | ||
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares(a) | 89,941 | 1,116,169 |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares(a),(b) | 100,576 | 1,121,419 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 228,281 | 6,716,036 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 196,492 | 6,672,864 |
Total | 15,626,488 | |
Total Equity Funds (Cost $71,802,712) | 111,653,742 | |
Exchange-Traded Fixed Income Funds 2.6% | ||
Investment Grade 2.6% | ||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 85,850 | 9,283,819 |
Vanguard Intermediate-Term Corporate Bond ETF | 82,000 | 6,480,460 |
Total | 15,764,279 | |
Total Exchange-Traded Fixed Income Funds (Cost $16,296,987) | 15,764,279 | |
Fixed Income Funds 54.8% | ||
Investment Grade 54.8% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 7,063,234 | 59,613,691 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 2,417,416 | 22,675,360 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 4,567,040 | 36,581,994 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 2,565,042 | 22,649,324 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 6,749,394 | 61,824,445 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 6,387,934 | 59,599,428 |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(a) | 7,328,862 | 70,723,517 |
Total | 333,667,759 | |
Total Fixed Income Funds (Cost $383,142,627) | 333,667,759 |
6 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency 10.8% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(c) | ||||
07/18/2038- 07/13/2053 | 3.000% | 15,900,000 | 14,177,328 | |
07/18/2038- 07/13/2053 | 3.500% | 9,500,000 | 8,834,395 | |
07/18/2038- 07/13/2053 | 4.000% | 11,527,000 | 10,951,294 | |
07/13/2053 | 4.500% | 16,750,000 | 16,103,555 | |
07/13/2053 | 5.000% | 16,000,000 | 15,677,500 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $66,113,436) | 65,744,072 |
Put Option Contracts Purchased 0.2% | ||||
Value ($) | ||||
(Cost $2,259,088) | 1,153,955 |
Money Market Funds 23.6% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(a),(d) | 143,757,797 | 143,700,293 |
Total Money Market Funds (Cost $143,699,790) | 143,700,293 | |
Total Investments in Securities (Cost: $683,314,640) | 671,684,100 | |
Other Assets & Liabilities, Net | (62,729,513) | |
Net Assets | 608,954,587 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
750,000 CHF | 829,263 USD | Barclays | 07/20/2023 | �� | (10,088) |
150,000,000 JPY | 1,079,173 USD | Barclays | 07/20/2023 | 37,042 | — |
536,700 USD | 500,000 EUR | Barclays | 07/20/2023 | 9,343 | — |
1,543,803 USD | 2,500,000 NZD | Barclays | 07/20/2023 | — | (9,652) |
952,031 USD | 750,000 GBP | Citi | 07/20/2023 | 581 | — |
3,270,396 USD | 450,000,000 JPY | Citi | 07/20/2023 | — | (144,004) |
500,000 EUR | 540,663 USD | Goldman Sachs International | 07/20/2023 | — | (5,380) |
2,000,000 GBP | 2,549,240 USD | Goldman Sachs International | 07/20/2023 | 8,940 | — |
322,053 USD | 300,000 EUR | Goldman Sachs International | 07/20/2023 | 5,573 | — |
360,215 USD | 50,000,000 JPY | Goldman Sachs International | 07/20/2023 | — | (12,838) |
1,500,000 AUD | 983,962 USD | HSBC | 07/20/2023 | — | (15,750) |
3,220,143 USD | 2,600,000 GBP | HSBC | 07/20/2023 | 82,246 | — |
1,800,000 CHF | 2,011,282 USD | Morgan Stanley | 07/20/2023 | — | (3,161) |
833,891 USD | 750,000 CHF | Morgan Stanley | 07/20/2023 | 5,460 | — |
108,639 USD | 100,000 EUR | Morgan Stanley | 07/20/2023 | 570 | — |
374,835 USD | 4,000,000 SEK | Morgan Stanley | 07/20/2023 | — | (3,686) |
1,669,698 USD | 2,500,000 AUD | UBS | 07/20/2023 | — | (3,510) |
1,120,731 USD | 12,000,000 SEK | Wells Fargo Securities LLC | 07/20/2023 | — | (7,282) |
Total | 149,755 | (215,351) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Euro STOXX 50 Index | 70 | 09/2023 | EUR | 3,098,900 | 46,263 | — |
FTSE 100 Index | 3 | 09/2023 | GBP | 226,245 | 1,881 | — |
FTSE 100 Index | 12 | 09/2023 | GBP | 904,980 | — | (7,620) |
MSCI Singapore Index | 7 | 07/2023 | SGD | 202,230 | 515 | — |
OMXS30 Index | 10 | 07/2023 | SEK | 2,316,250 | 4,424 | — |
OMXS30 Index | 58 | 07/2023 | SEK | 13,434,250 | — | (4,294) |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2023 | 7 |
June 30, 2023 (Unaudited)
Long futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | 131 | 09/2023 | USD | 29,398,038 | 872,526 | — |
SPI 200 Index | 4 | 09/2023 | AUD | 716,100 | 4,615 | — |
TOPIX Index | 20 | 09/2023 | JPY | 457,600,000 | 104,282 | — |
TOPIX Index | 2 | 09/2023 | JPY | 45,760,000 | — | (1,827) |
U.S. Treasury 10-Year Note | 144 | 09/2023 | USD | 16,166,250 | — | (270,994) |
U.S. Treasury 2-Year Note | 52 | 09/2023 | USD | 10,573,875 | — | (132,937) |
U.S. Treasury 5-Year Note | 169 | 09/2023 | USD | 18,098,844 | — | (330,338) |
Total | 1,034,506 | (748,010) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Russell 2000 Index E-mini | (82) | 09/2023 | USD | (7,805,170) | — | (8,613) |
U.S. Long Bond | (16) | 09/2023 | USD | (2,030,500) | — | (2,720) |
U.S. Treasury Ultra Bond | (16) | 09/2023 | USD | (2,179,500) | — | (26,596) |
Total | — | (37,929) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 20,471,748 | 46 | 3,450.00 | 12/20/2024 | 511,292 | 365,240 |
S&P 500 Index | JPMorgan | USD | 18,246,558 | 41 | 3,300.00 | 12/20/2024 | 707,049 | 269,985 |
S&P 500 Index | JPMorgan | USD | 14,241,216 | 32 | 3,400.00 | 12/20/2024 | 338,786 | 239,040 |
S&P 500 Index | JPMorgan | USD | 13,351,140 | 30 | 3,200.00 | 12/20/2024 | 524,011 | 173,550 |
S&P 500 Index | JPMorgan | USD | 4,450,380 | 10 | 3,350.00 | 12/20/2024 | 137,050 | 70,200 |
S&P 500 Index | JPMorgan | USD | 1,780,152 | 4 | 3,550.00 | 12/20/2024 | 40,900 | 35,940 |
Total | 2,259,088 | 1,153,955 |
(a) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | |||||||||
113,478,981 | 70,697,727 | (40,466,125) | (10,290) | 143,700,293 | — | (3,633) | 3,256,671 | 143,757,797 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
5,915,448 | 157,671 | (804,484) | 774,973 | 6,043,608 | — | 391,009 | — | 151,242 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
14,446,491 | 510,658 | (1,671,278) | 1,478,829 | 14,764,700 | — | 738,627 | — | 177,077 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
58,751,972 | 919,952 | (1,562,178) | 1,503,945 | 59,613,691 | — | (293,574) | — | 7,063,234 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
5,446,525 | 119,310 | (1,142,055) | 1,172,988 | 5,596,768 | — | 346,872 | — | 164,950 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
22,436,050 | 595,125 | (915,505) | 559,690 | 22,675,360 | — | (47,464) | — | 2,417,416 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
35,519,784 | 1,231,018 | (2,710,743) | 2,541,935 | 36,581,994 | — | (787,049) | — | 4,567,040 |
8 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares | |||||||||
20,358,331 | 1,224,048 | (2,885,203) | 1,552,485 | 20,249,661 | — | (353,610) | 406,755 | 1,627,786 | |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares | |||||||||
15,752,251 | 472,087 | (2,672,065) | 2,559,454 | 16,111,727 | — | 339,593 | — | 912,329 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
5,499,908 | 477,983 | (483,375) | 95,737 | 5,590,253 | — | 15,371 | — | 149,672 | |
Columbia Variable Portfolio – Select Mid Cap Growth Fund, Class 1 Shares | |||||||||
1,093,571 | 43,427 | (198,663) | 182,628 | 1,120,963 | — | 28,997 | — | 25,728 | |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares | |||||||||
1,100,151 | 120,318 | (134,393) | 32,993 | 1,119,069 | — | 22,899 | — | 32,083 | |
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares | |||||||||
1,101,266 | 135,115 | (202,851) | 82,639 | 1,116,169 | — | 14,032 | — | 89,941 | |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares | |||||||||
930,475 | 136,718 | (384,233) | 438,459 | 1,121,419 | — | (231,190) | — | 100,576 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
22,371,948 | 497,312 | (707,462) | 487,526 | 22,649,324 | — | (118,235) | — | 2,565,042 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
60,851,444 | 1,026,844 | (1,500,782) | 1,446,939 | 61,824,445 | — | (294,197) | — | 6,749,394 | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
2,640,698 | 189,368 | (200,743) | 54,029 | 2,683,352 | — | 6,306 | — | 73,922 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
2,358,978 | — | — | 592,413 | 2,951,391 | — | — | — | 66,713 | |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares | |||||||||
2,630,456 | 94,379 | (453,284) | 416,370 | 2,687,921 | — | 130,695 | — | 52,162 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
2,640,241 | 238,401 | (237,563) | 37,658 | 2,678,737 | — | 16,105 | — | 82,321 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
58,781,109 | 776,241 | (1,624,158) | 1,666,236 | 59,599,428 | — | (238,991) | — | 6,387,934 | |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares | |||||||||
69,723,227 | 1,034,027 | (2,149,294) | 2,115,557 | 70,723,517 | — | (339,246) | — | 7,328,862 | |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares | |||||||||
3,722,826 | 133,189 | (367,137) | 314,062 | 3,802,940 | — | 202,970 | — | 111,491 | |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares | |||||||||
3,512,756 | 149,325 | (490,557) | 362,277 | 3,533,801 | — | 49,415 | 53,203 | 359,126 | |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares | |||||||||
3,505,079 | 123,189 | (497,097) | 406,647 | 3,537,818 | — | 28,803 | 17,909 | 312,528 | |
Variable Portfolio – Partners International Value Fund, Class 1 Shares | |||||||||
3,539,253 | 254,876 | (527,366) | 287,782 | 3,554,545 | — | 57,640 | 80,099 | 369,880 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
6,567,972 | 648,044 | (1,240,000) | 740,020 | 6,716,036 | — | (141,189) | — | 228,281 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
6,583,967 | 814,281 | (964,218) | 238,834 | 6,672,864 | — | 70,961 | — | 196,492 | |
Total | 551,261,158 | 22,132,815 | 589,021,794 | — | (388,083) | 3,814,637 |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2023 | 9 |
June 30, 2023 (Unaudited)
(b) | Non-income producing investment. |
(c) | Represents a security purchased on a when-issued basis. |
(d) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
TBA | To Be Announced |
AUD | Australian Dollar |
CHF | Swiss Franc |
EUR | Euro |
GBP | British Pound |
JPY | Japanese Yen |
NZD | New Zealand Dollar |
SEK | Swedish Krona |
SGD | Singapore Dollar |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
10 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. Representatives of Columbia Management Investment Advisers, LLC report to the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Equity Funds | — | — | — | 111,653,742 | 111,653,742 |
Exchange-Traded Fixed Income Funds | 15,764,279 | — | — | — | 15,764,279 |
Fixed Income Funds | — | — | — | 333,667,759 | 333,667,759 |
Residential Mortgage-Backed Securities - Agency | — | 65,744,072 | — | — | 65,744,072 |
Put Option Contracts Purchased | 1,153,955 | — | — | — | 1,153,955 |
Money Market Funds | 143,700,293 | — | — | — | 143,700,293 |
Total Investments in Securities | 160,618,527 | 65,744,072 | — | 445,321,501 | 671,684,100 |
Investments in Derivatives | |||||
Asset | |||||
Forward Foreign Currency Exchange Contracts | — | 149,755 | — | — | 149,755 |
Futures Contracts | 1,034,506 | — | — | — | 1,034,506 |
Liability | |||||
Forward Foreign Currency Exchange Contracts | — | (215,351) | — | — | (215,351) |
Futures Contracts | (785,939) | — | — | — | (785,939) |
Total | 160,867,094 | 65,678,476 | — | 445,321,501 | 671,867,071 |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2023 | 11 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $82,410,423) | $81,508,351 |
Affiliated issuers (cost $598,645,129) | 589,021,794 |
Option contracts purchased (cost $2,259,088) | 1,153,955 |
Cash | 161,923 |
Cash collateral held at broker for: | |
TBA | 336,000 |
Margin deposits on: | |
Futures contracts | 2,460,363 |
Unrealized appreciation on forward foreign currency exchange contracts | 149,755 |
Receivable for: | |
Investments sold | 408,518 |
Investments sold on a delayed delivery basis | 1,693,582 |
Dividends | 606,191 |
Interest | 100,568 |
Variation margin for futures contracts | 436,389 |
Prepaid expenses | 4,956 |
Trustees’ deferred compensation plan | 68,948 |
Total assets | 678,111,293 |
Liabilities | |
Unrealized depreciation on forward foreign currency exchange contracts | 215,351 |
Payable for: | |
Investments purchased on a delayed delivery basis | 67,909,470 |
Capital shares redeemed | 814,916 |
Variation margin for futures contracts | 62,489 |
Management services fees | 3,463 |
Distribution and/or service fees | 4,154 |
Service fees | 30,461 |
Compensation of board members | 22,353 |
Compensation of chief compliance officer | 60 |
Other expenses | 25,041 |
Trustees’ deferred compensation plan | 68,948 |
Total liabilities | 69,156,706 |
Net assets applicable to outstanding capital stock | $608,954,587 |
Represented by | |
Trust capital | $608,954,587 |
Total - representing net assets applicable to outstanding capital stock | $608,954,587 |
Class 1 | |
Net assets | $503,131 |
Shares outstanding | 40,585 |
Net asset value per share | $12.40 |
Class 2 | |
Net assets | $608,451,456 |
Shares outstanding | 49,591,619 |
Net asset value per share | $12.27 |
12 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $376,588 |
Dividends — affiliated issuers | 3,814,637 |
Interest | 45,761 |
Total income | 4,236,986 |
Expenses: | |
Management services fees | 649,663 |
Distribution and/or service fees | |
Class 2 | 771,329 |
Service fees | 185,687 |
Compensation of board members | 13,053 |
Custodian fees | 15,096 |
Printing and postage fees | 5,215 |
Accounting services fees | 15,045 |
Legal fees | 10,009 |
Compensation of chief compliance officer | 59 |
Other | 7,028 |
Total expenses | 1,672,184 |
Net investment income | 2,564,802 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 3,792,248 |
Investments — affiliated issuers | (388,083) |
Foreign currency translations | 52,672 |
Forward foreign currency exchange contracts | (563,879) |
Futures contracts | 406,357 |
Option contracts purchased | (767,119) |
Swap contracts | 1,356 |
Net realized gain | 2,533,552 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (2,680,278) |
Investments — affiliated issuers | 22,132,815 |
Forward foreign currency exchange contracts | 218,057 |
Futures contracts | (854,082) |
Option contracts purchased | (1,049,697) |
Net change in unrealized appreciation (depreciation) | 17,766,815 |
Net realized and unrealized gain | 20,300,367 |
Net increase in net assets resulting from operations | $22,865,169 |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2023 | 13 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment income | $2,564,802 | $7,850,999 |
Net realized gain (loss) | 2,533,552 | (17,425,562) |
Net change in unrealized appreciation (depreciation) | 17,766,815 | (106,181,533) |
Net increase (decrease) in net assets resulting from operations | 22,865,169 | (115,756,096) |
Decrease in net assets from capital stock activity | (19,446,290) | (23,485,279) |
Total increase (decrease) in net assets | 3,418,879 | (139,241,375) |
Net assets at beginning of period | 605,535,708 | 744,777,083 |
Net assets at end of period | $608,954,587 | $605,535,708 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Shares sold | 7,315 | 89,302 | 10,507 | 133,359 |
Shares redeemed | (2,102) | (25,800) | (4,883) | (64,059) |
Net increase | 5,213 | 63,502 | 5,624 | 69,300 |
Class 2 | ||||
Shares sold | 1,473,001 | 17,853,843 | 5,599,945 | 69,257,663 |
Shares redeemed | (3,064,468) | (37,363,635) | (7,336,956) | (92,812,242) |
Net decrease | (1,591,467) | (19,509,792) | (1,737,011) | (23,554,579) |
Total net decrease | (1,586,254) | (19,446,290) | (1,731,387) | (23,485,279) |
14 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2023 |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2023 | 15 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $11.93 | 0.07 | 0.40 | 0.47 |
Year Ended 12/31/2022 | $14.16 | 0.20 | (2.43) | (2.23) |
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(d) | $11.70 | 0.17 | 0.83 | 1.00 |
Class 2 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $11.82 | 0.05 | 0.40 | 0.45 |
Year Ended 12/31/2022 | $14.07 | 0.15 | (2.40) | (2.25) |
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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interest on collateral expense which is less than 0.01%. |
(d) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
16 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2023 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $12.40 | 3.94% | 0.29% | 0.29% | 1.09% | 90% | $503 |
Year Ended 12/31/2022 | $11.93 | (15.75%) | 0.29%(c) | 0.29%(c) | 1.56% | 147% | $422 |
Year Ended 12/31/2021 | $14.16 | 2.91% | 0.29%(c) | 0.29%(c) | 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(d) | $12.70 | 8.55% | 0.31% | 0.31% | 1.57% | 139% | $53 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $12.27 | 3.81% | 0.54% | 0.54% | 0.83% | 90% | $608,451 |
Year Ended 12/31/2022 | $11.82 | (15.99%) | 0.54%(c) | 0.54%(c) | 1.22% | 147% | $605,114 |
Year Ended 12/31/2021 | $14.07 | 2.63% | 0.54%(c) | 0.54%(c) | 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% | $426,294 |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2023 | 17 |
June 30, 2023 (Unaudited)
18 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2023 | 19 |
June 30, 2023 (Unaudited)
20 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2023 | 21 |
June 30, 2023 (Unaudited)
22 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 1,034,506* |
Equity risk | Investments, at value — Option contracts purchased | 1,153,955 |
Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 149,755 |
Total | 2,338,216 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 22,354* |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 215,351 |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 763,585* |
Total | 1,001,290 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin for futures and centrally cleared swaps, if any, is reported in receivables or payables in the Statement of Assets and Liabilities. |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2023 | 23 |
June 30, 2023 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | |||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Option contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | — | 1,356 | 1,356 |
Equity risk | — | 655,156 | (767,119) | — | (111,963) |
Foreign exchange risk | (563,879) | — | — | — | (563,879) |
Interest rate risk | — | (248,799) | — | — | (248,799) |
Total | (563,879) | 406,357 | (767,119) | 1,356 | (923,285) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Option contracts purchased ($) | Total ($) |
Equity risk | — | (169,202) | (1,049,697) | (1,218,899) |
Foreign exchange risk | 218,057 | — | — | 218,057 |
Interest rate risk | — | (684,880) | — | (684,880) |
Total | 218,057 | (854,082) | (1,049,697) | (1,685,722) |
Derivative instrument | Average notional amounts ($) |
Futures contracts — long | 82,689,326* |
Futures contracts — short | 10,586,673* |
Credit default swap contracts — sell protection | 285,714** |
Derivative instrument | Average value ($)* |
Option contracts purchased | 1,275,733 |
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 79,134 | (122,038) |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2023. |
** | Based on the ending daily outstanding amounts for the six months ended June 30, 2023. |
24 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Barclays ($) | Citi ($) | Goldman Sachs International ($) | HSBC ($) | JPMorgan ($) | Morgan Stanley ($) | UBS ($) | Wells Fargo Securities LLC($) | Total ($) | |
Assets | |||||||||
Forward foreign currency exchange contracts | 46,385 | 581 | 14,513 | 82,246 | - | 6,030 | - | - | 149,755 |
Put option contracts purchased | - | - | - | - | 1,153,955 | - | - | - | 1,153,955 |
Total assets | 46,385 | 581 | 14,513 | 82,246 | 1,153,955 | 6,030 | - | - | 1,303,710 |
Liabilities | |||||||||
Forward foreign currency exchange contracts | 19,740 | 144,004 | 18,218 | 15,750 | - | 6,847 | 3,510 | 7,282 | 215,351 |
Total financial and derivative net assets | 26,645 | (143,423) | (3,705) | 66,496 | 1,153,955 | (817) | (3,510) | (7,282) | 1,088,359 |
Total collateral received (pledged) (a) | - | - | - | - | - | - | - | - | - |
Net amount (b) | 26,645 | (143,423) | (3,705) | 66,496 | 1,153,955 | (817) | (3,510) | (7,282) | 1,088,359 |
(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 – Managed Volatility Conservative Fund | Semiannual Report 2023 | 25 |
June 30, 2023 (Unaudited)
26 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2023 | 27 |
June 30, 2023 (Unaudited)
May 1, 2023 through April 30, 2024 | Prior to May 1, 2023 | |
Class 1 | 0.78% | 0.79% |
Class 2 | 1.03 | 1.04 |
28 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2023 | 29 |
June 30, 2023 (Unaudited)
30 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2023 | 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 Conservative Fund | Semiannual Report 2023 |
(Unaudited)
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to one or more benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | Terms of the Management Agreement; |
• | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
• | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
• | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2023 | 33 |
(Unaudited)
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
34 | Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2023 |
(Unaudited)
these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
Variable Portfolio – Managed Volatility Conservative Fund | Semiannual Report 2023 | 35 |
June 30, 2023 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | Life | ||
Class 1* | 02/20/19 | 6.14 | 3.81 | 2.62 | 3.78 | |
Class 2 | 11/02/16 | 6.03 | 3.60 | 2.39 | 3.61 | |
Blended Benchmark | 7.12 | 6.11 | 5.03 | 5.34 | ||
Bloomberg U.S. Aggregate Bond Index | 2.09 | -0.94 | 0.77 | 0.50 | ||
S&P 500 Index | 16.89 | 19.59 | 12.31 | 14.01 |
* | 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 2023 | 3 |
(Unaudited)
Portfolio Allocation (%) (at June 30, 2023) | |
Allocations to Underlying Funds | |
Equity Funds | 32.1 |
U.S. Large Cap | 32.1 |
Exchange-Traded Fixed Income Funds | 3.0 |
Investment Grade | 3.0 |
Fixed Income Funds | 37.2 |
Investment Grade | 37.2 |
Allocations to Tactical Assets | |
Money Market Funds(a) | 20.6 |
Put Option Contracts Purchased | 0.3 |
Residential Mortgage-Backed Securities - Agency | 6.8 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds, including investing for the purpose of covering obligations relating to the Fund’s investment in derivatives. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and the derivative instruments discussion in Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,061.40 | 1,023.44 | 1.54 | 1.51 | 0.30 | 3.60 | 3.53 | 0.70 |
Class 2 | 1,000.00 | 1,000.00 | 1,060.30 | 1,022.19 | 2.83 | 2.77 | 0.55 | 4.88 | 4.79 | 0.95 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (Unaudited)
Equity Funds 34.1% | ||
Shares | Value ($) | |
U.S. Large Cap 34.1% | ||
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 156,106 | 13,016,159 |
Columbia Variable Portfolio – Large Cap Index Fund, Class 1 Shares(a),(b) | 657,608 | 24,607,686 |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 738,757 | 13,046,440 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 268,296 | 10,020,852 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 244,592 | 10,820,747 |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares(a),(b) | 196,960 | 10,149,349 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 305,136 | 9,929,115 |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(a),(b) | 574,565 | 19,598,429 |
Total | 111,188,777 | |
Total Equity Funds (Cost $65,113,394) | 111,188,777 | |
Exchange-Traded Fixed Income Funds 3.2% | ||
Investment Grade 3.2% | ||
iShares Core U.S. Aggregate Bond ETF | 22,610 | 2,214,650 |
iShares iBoxx $ Investment Grade Corporate Bond ETF | 35,327 | 3,820,262 |
Vanguard Intermediate-Term Corporate Bond ETF | 56,080 | 4,432,002 |
Total | 10,466,914 | |
Total Exchange-Traded Fixed Income Funds (Cost $10,634,956) | 10,466,914 | |
Fixed Income Funds 39.6% | ||
Investment Grade 39.6% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 3,609,200 | 30,461,645 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 777,526 | 7,293,199 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 1,243,491 | 9,960,361 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 819,918 | 7,239,878 |
Fixed Income Funds (continued) | ||
Shares | Value ($) | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 2,910,595 | 26,661,053 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 2,587,176 | 24,138,348 |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(a) | 2,410,490 | 23,261,230 |
Total | 129,015,714 | |
Total Fixed Income Funds (Cost $148,771,540) | 129,015,714 |
Residential Mortgage-Backed Securities - Agency 7.3% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(c) | ||||
07/18/2038- 07/13/2053 | 3.000% | 6,677,500 | 5,923,957 | |
07/18/2038- 07/13/2053 | 3.500% | 4,100,000 | 3,815,027 | |
07/18/2038- 07/13/2053 | 4.000% | 6,692,500 | 6,387,732 | |
07/13/2053 | 4.500% | 1,500,000 | 1,442,109 | |
07/13/2053 | 5.000% | 6,250,000 | 6,124,024 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $23,822,945) | 23,692,849 |
Put Option Contracts Purchased 0.4% | ||||
Value ($) | ||||
(Cost $2,239,336) | 1,159,360 |
Money Market Funds 21.9% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(a),(d) | 71,398,878 | 71,370,318 |
Total Money Market Funds (Cost $71,366,451) | 71,370,318 | |
Total Investments in Securities (Cost: $321,948,622) | 346,893,932 | |
Other Assets & Liabilities, Net | (21,030,288) | |
Net Assets | 325,863,644 |
6 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | 176 | 09/2023 | USD | 39,496,600 | 1,052,301 | — |
U.S. Long Bond | 2 | 09/2023 | USD | 253,813 | 53 | — |
U.S. Treasury 10-Year Note | 17 | 09/2023 | USD | 1,908,516 | — | (30,321) |
U.S. Treasury 2-Year Note | 15 | 09/2023 | USD | 3,050,156 | — | (37,364) |
U.S. Treasury 5-Year Note | 49 | 09/2023 | USD | 5,247,594 | — | (93,561) |
Total | 1,052,354 | (161,246) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 14,686,254 | 33 | 3,450.00 | 12/20/2024 | 345,721 | 262,020 |
S&P 500 Index | JPMorgan | USD | 15,576,330 | 35 | 3,400.00 | 12/20/2024 | 384,263 | 261,450 |
S&P 500 Index | JPMorgan | USD | 15,131,292 | 34 | 3,300.00 | 12/20/2024 | 576,015 | 223,890 |
S&P 500 Index | JPMorgan | USD | 16,466,406 | 37 | 3,200.00 | 12/20/2024 | 656,616 | 214,045 |
S&P 500 Index | JPMorgan | USD | 6,675,570 | 15 | 3,550.00 | 12/20/2024 | 153,376 | 134,775 |
S&P 500 Index | JPMorgan | USD | 4,005,342 | 9 | 3,350.00 | 12/20/2024 | 123,345 | 63,180 |
Total | 2,239,336 | 1,159,360 |
(a) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | |||||||||
54,051,707 | 36,646,477 | (19,322,856) | (5,010) | 71,370,318 | — | (1,638) | 1,497,224 | 71,398,878 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
11,741,069 | 385,519 | (802,041) | 1,691,612 | 13,016,159 | — | 150,835 | — | 156,106 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
29,013,810 | 1,247,350 | (497,726) | 698,211 | 30,461,645 | — | (106,668) | — | 3,609,200 | |
Columbia Variable Portfolio – Large Cap Index Fund, Class 1 Shares | |||||||||
22,204,402 | 557,203 | (1,398,177) | 3,244,258 | 24,607,686 | — | 441,698 | — | 657,608 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
6,993,105 | 323,743 | (190,486) | 166,837 | 7,293,199 | — | (7,216) | — | 777,526 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
9,322,310 | 513,593 | (502,122) | 626,580 | 9,960,361 | — | (162,063) | — | 1,243,491 | |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares | |||||||||
11,731,441 | 325,900 | (1,101,038) | 2,090,137 | 13,046,440 | — | 131,459 | — | 738,757 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
9,201,605 | 851,958 | (215,522) | 182,811 | 10,020,852 | — | 11,545 | — | 268,296 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
6,912,700 | 360,273 | (172,985) | 139,890 | 7,239,878 | — | (28,170) | — | 819,918 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
25,425,414 | 1,122,314 | (440,438) | 553,763 | 26,661,053 | — | (78,942) | — | 2,910,595 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
8,648,770 | — | — | 2,171,977 | 10,820,747 | — | — | — | 244,592 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2023 | 7 |
June 30, 2023 (Unaudited)
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares | |||||||||
9,102,264 | 228,760 | (994,812) | 1,813,137 | 10,149,349 | — | 122,734 | — | 196,960 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
9,195,248 | 876,828 | (315,295) | 172,334 | 9,929,115 | — | 16,267 | — | 305,136 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
22,980,149 | 1,026,712 | (507,848) | 639,335 | 24,138,348 | — | (84,646) | — | 2,587,176 | |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares | |||||||||
22,119,629 | 950,330 | (437,672) | 628,943 | 23,261,230 | — | (67,371) | — | 2,410,490 | |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares | |||||||||
17,749,506 | 628,868 | (1,060,264) | 2,280,319 | 19,598,429 | — | 244,170 | — | 574,565 | |
Total | 276,393,129 | 17,095,134 | 311,574,809 | — | 581,994 | 1,497,224 |
(b) | Non-income producing investment. |
(c) | Represents a security purchased on a when-issued basis. |
(d) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
TBA | To Be Announced |
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 2023 |
June 30, 2023 (Unaudited)
The Fund’s Board of Trustees (the Board) has designated the Investment Manager, through its Valuation Committee (the Committee), as valuation designee, responsible for determining the fair value of the assets of the Fund for which market quotations are not readily available using valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Equity Funds | — | — | — | 111,188,777 | 111,188,777 |
Exchange-Traded Fixed Income Funds | 10,466,914 | — | — | — | 10,466,914 |
Fixed Income Funds | — | — | — | 129,015,714 | 129,015,714 |
Residential Mortgage-Backed Securities - Agency | — | 23,692,849 | — | — | 23,692,849 |
Put Option Contracts Purchased | 1,159,360 | — | — | — | 1,159,360 |
Money Market Funds | 71,370,318 | — | — | — | 71,370,318 |
Total Investments in Securities | 82,996,592 | 23,692,849 | — | 240,204,491 | 346,893,932 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 1,052,354 | — | — | — | 1,052,354 |
Liability | |||||
Futures Contracts | (161,246) | — | — | — | (161,246) |
Total | 83,887,700 | 23,692,849 | — | 240,204,491 | 347,785,040 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2023 | 9 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $34,457,901) | $34,159,763 |
Affiliated issuers (cost $285,251,385) | 311,574,809 |
Option contracts purchased (cost $2,239,336) | 1,159,360 |
Cash | 84,854 |
Margin deposits on: | |
Futures contracts | 2,135,500 |
Receivable for: | |
Investments sold | 13,200 |
Investments sold on a delayed delivery basis | 15,768,194 |
Dividends | 293,420 |
Interest | 36,620 |
Variation margin for futures contracts | 473,851 |
Prepaid expenses | 2,259 |
Trustees’ deferred compensation plan | 29,477 |
Total assets | 365,731,307 |
Liabilities | |
Payable for: | |
Investments purchased on a delayed delivery basis | 39,637,934 |
Capital shares redeemed | 140,078 |
Variation margin for futures contracts | 1,799 |
Management services fees | 1,808 |
Distribution and/or service fees | 2,213 |
Service fees | 16,120 |
Compensation of board members | 16,654 |
Compensation of chief compliance officer | 30 |
Other expenses | 21,550 |
Trustees’ deferred compensation plan | 29,477 |
Total liabilities | 39,867,663 |
Net assets applicable to outstanding capital stock | $325,863,644 |
Represented by | |
Trust capital | $325,863,644 |
Total - representing net assets applicable to outstanding capital stock | $325,863,644 |
Class 1 | |
Net assets | $397,479 |
Shares outstanding | 31,042 |
Net asset value per share | $12.80 |
Class 2 | |
Net assets | $325,466,165 |
Shares outstanding | 25,701,508 |
Net asset value per share | $12.66 |
10 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $317,636 |
Dividends — affiliated issuers | 1,497,224 |
Interest | 33,454 |
Total income | 1,848,314 |
Expenses: | |
Management services fees | 330,805 |
Distribution and/or service fees | |
Class 2 | 397,876 |
Service fees | 95,870 |
Compensation of board members | 9,295 |
Custodian fees | 11,180 |
Printing and postage fees | 4,340 |
Accounting services fees | 15,045 |
Legal fees | 8,006 |
Compensation of chief compliance officer | 30 |
Other | 4,689 |
Total expenses | 877,136 |
Net investment income | 971,178 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (2,045,406) |
Investments — affiliated issuers | 581,994 |
Futures contracts | 929,194 |
Option contracts purchased | (513,892) |
Net realized loss | (1,048,110) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 2,533,925 |
Investments — affiliated issuers | 17,095,134 |
Futures contracts | 104,770 |
Option contracts purchased | (1,036,005) |
Net change in unrealized appreciation (depreciation) | 18,697,824 |
Net realized and unrealized gain | 17,649,714 |
Net increase in net assets resulting from operations | $18,620,892 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2023 | 11 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment income | $971,178 | $2,867,098 |
Net realized loss | (1,048,110) | (12,296,175) |
Net change in unrealized appreciation (depreciation) | 18,697,824 | (52,535,882) |
Net increase (decrease) in net assets resulting from operations | 18,620,892 | (61,964,959) |
Increase (decrease) in net assets from capital stock activity | 1,129,021 | (6,592,349) |
Total increase (decrease) in net assets | 19,749,913 | (68,557,308) |
Net assets at beginning of period | 306,113,731 | 374,671,039 |
Net assets at end of period | $325,863,644 | $306,113,731 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Shares sold | 6,292 | 77,690 | 15,736 | 208,051 |
Shares redeemed | (611) | (7,639) | (374) | (4,650) |
Net increase | 5,681 | 70,051 | 15,362 | 203,401 |
Class 2 | ||||
Shares sold | 1,158,042 | 14,221,233 | 2,667,069 | 33,325,540 |
Shares redeemed | (1,062,605) | (13,162,263) | (3,172,580) | (40,121,290) |
Net increase (decrease) | 95,437 | 1,058,970 | (505,511) | (6,795,750) |
Total net increase (decrease) | 101,118 | 1,129,021 | (490,149) | (6,592,349) |
12 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2023 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2023 | 13 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $12.06 | 0.05 | 0.69 | 0.74 |
Year Ended 12/31/2022 | $14.45 | 0.16 | (2.55) | (2.39) |
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(c) | $11.47 | 0.20 | 0.96 | 1.16 |
Class 2 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $11.94 | 0.04 | 0.68 | 0.72 |
Year Ended 12/31/2022 | $14.34 | 0.11 | (2.51) | (2.40) |
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) |
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) | 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 2023 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $12.80 | 6.14% | 0.30% | 0.30% | 0.86% | 91% | $397 |
Year Ended 12/31/2022 | $12.06 | (16.54%) | 0.30% | 0.30% | 1.29% | 149% | $306 |
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(c) | $12.63 | 10.11% | 0.32% | 0.32% | 1.98% | 156% | $3 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $12.66 | 6.03% | 0.55% | 0.55% | 0.61% | 91% | $325,466 |
Year Ended 12/31/2022 | $11.94 | (16.74%) | 0.55% | 0.55% | 0.88% | 149% | $305,808 |
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% | $139,061 |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2023 | 15 |
June 30, 2023 (Unaudited)
16 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2023 | 17 |
June 30, 2023 (Unaudited)
18 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 1,052,301* |
Equity risk | Investments, at value — Option contracts purchased | 1,159,360 |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 53* |
Total | 2,211,714 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 161,246* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin for futures and centrally cleared swaps, if any, is reported in receivables or payables in the Statement of Assets and Liabilities. |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2023 | 19 |
June 30, 2023 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Option contracts purchased ($) | Total ($) |
Equity risk | 1,026,875 | (513,892) | 512,983 |
Interest rate risk | (97,681) | — | (97,681) |
Total | 929,194 | (513,892) | 415,302 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Option contracts purchased ($) | Total ($) |
Equity risk | 197,376 | (1,036,005) | (838,629) |
Interest rate risk | (92,606) | — | (92,606) |
Total | 104,770 | (1,036,005) | (931,235) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 43,104,450 |
Futures contracts — short | 2,172,319 |
Derivative instrument | Average value ($)* |
Option contracts purchased | 1,196,138 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2023. |
20 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
JPMorgan ($) | |
Assets | |
Put option contracts purchased | 1,159,360 |
Total financial and derivative net assets | 1,159,360 |
Total collateral received (pledged) (a) | - |
Net amount (b) | 1,159,360 |
(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 2023 | 21 |
June 30, 2023 (Unaudited)
22 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2023 | 23 |
June 30, 2023 (Unaudited)
May 1, 2023 through April 30, 2024 | Prior to May 1, 2023 | |
Class 1 | 0.78% | 0.79% |
Class 2 | 1.03 | 1.04 |
24 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2023 | 25 |
June 30, 2023 (Unaudited)
26 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2023 | 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 Conservative Growth Fund | Semiannual Report 2023 |
(Unaudited)
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to one or more benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | Terms of the Management Agreement; |
• | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
• | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
• | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2023 | 29 |
(Unaudited)
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
30 | Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2023 |
(Unaudited)
these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
Variable Portfolio – U.S. Flexible Conservative Growth Fund | Semiannual Report 2023 | 31 |
June 30, 2023 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | Life | ||
Class 1* | 02/20/19 | 9.89 | 8.80 | 4.46 | 6.77 | |
Class 2 | 11/02/16 | 9.69 | 8.52 | 4.22 | 6.58 | |
Blended Benchmark | 11.56 | 12.28 | 8.51 | 9.41 | ||
S&P 500 Index | 16.89 | 19.59 | 12.31 | 14.01 | ||
Bloomberg U.S. Aggregate Bond Index | 2.09 | -0.94 | 0.77 | 0.50 |
* | 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 2023 | 3 |
(Unaudited)
Portfolio Allocation (%) (at June 30, 2023) | |
Allocations to Underlying Funds | |
Equity Funds | 63.0 |
U.S. Large Cap | 63.0 |
Exchange-Traded Fixed Income Funds | 0.9 |
Investment Grade | 0.9 |
Fixed Income Funds | 10.4 |
Investment Grade | 10.4 |
Allocations to Tactical Assets | |
Money Market Funds(a) | 22.5 |
Put Option Contracts Purchased | 0.7 |
Residential Mortgage-Backed Securities - Agency | 2.5 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds, including investing for the purpose of covering obligations relating to the Fund’s investment in derivatives. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and the derivative instruments discussion in Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,098.90 | 1,023.59 | 1.41 | 1.36 | 0.27 | 3.61 | 3.48 | 0.69 |
Class 2 | 1,000.00 | 1,000.00 | 1,096.90 | 1,022.34 | 2.72 | 2.62 | 0.52 | 4.91 | 4.74 | 0.94 |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (Unaudited)
Equity Funds 63.6% | ||
Shares | Value ($) | |
U.S. Large Cap 63.6% | ||
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 2,734,080 | 227,967,640 |
Columbia Variable Portfolio – Large Cap Index Fund, Class 1 Shares(a),(b) | 15,461,927 | 578,585,294 |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 13,179,058 | 232,742,160 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 5,956,606 | 222,479,233 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 4,597,370 | 203,387,672 |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares(a),(b) | 4,680,167 | 241,169,012 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 6,727,319 | 218,906,967 |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(a),(b) | 13,869,340 | 473,083,185 |
Total | 2,398,321,163 | |
Total Equity Funds (Cost $1,442,425,519) | 2,398,321,163 | |
Exchange-Traded Fixed Income Funds 0.9% | ||
Investment Grade 0.9% | ||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 161,850 | 17,502,459 |
Vanguard Intermediate-Term Corporate Bond ETF | 212,000 | 16,754,360 |
Total | 34,256,819 | |
Total Exchange-Traded Fixed Income Funds (Cost $33,124,081) | 34,256,819 | |
Fixed Income Funds 10.5% | ||
Investment Grade 10.5% | ||
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 4,262,266 | 39,980,053 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 5,321,173 | 42,622,598 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 2,967,072 | 26,199,246 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 7,452,612 | 68,265,921 |
Fixed Income Funds (continued) | ||
Shares | Value ($) | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 8,751,993 | 81,656,096 |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(a) | 14,238,870 | 137,405,095 |
Total | 396,129,009 | |
Total Fixed Income Funds (Cost $455,380,275) | 396,129,009 |
Residential Mortgage-Backed Securities - Agency 2.5% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(c) | ||||
07/18/2038- 07/13/2053 | 3.500% | 21,000,000 | 19,570,273 | |
07/18/2038- 07/13/2053 | 4.000% | 19,200,000 | 18,151,625 | |
07/13/2053 | 3.000% | 30,000,000 | 26,401,172 | |
07/13/2053 | 4.500% | 3,625,000 | 3,485,098 | |
07/13/2053 | 5.000% | 28,250,000 | 27,680,586 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $95,825,152) | 95,288,754 |
Put Option Contracts Purchased 0.7% | ||||
Value ($) | ||||
(Cost $47,969,854) | 24,752,900 |
Money Market Funds 22.8% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(a),(d) | 857,598,767 | 857,255,728 |
Total Money Market Funds (Cost $857,190,040) | 857,255,728 | |
Total Investments in Securities (Cost: $2,931,914,921) | 3,806,004,373 | |
Other Assets & Liabilities, Net | (36,127,435) | |
Net Assets | 3,769,876,938 |
6 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | 4,043 | 09/2023 | USD | 907,299,738 | 24,747,718 | — |
U.S. Long Bond | 36 | 09/2023 | USD | 4,568,625 | 954 | — |
U.S. Treasury 10-Year Note | 170 | 09/2023 | USD | 19,085,156 | — | (311,050) |
U.S. Treasury 2-Year Note | 96 | 09/2023 | USD | 19,521,000 | — | (189,866) |
U.S. Treasury 5-Year Note | 270 | 09/2023 | USD | 28,915,313 | — | (482,342) |
U.S. Treasury Ultra Bond | 17 | 09/2023 | USD | 2,315,719 | 28,987 | — |
Total | 24,777,659 | (983,258) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 356,030,400 | 800 | 3,450.00 | 12/20/2024 | 8,537,076 | 6,352,000 |
S&P 500 Index | JPMorgan | USD | 293,725,080 | 660 | 3,400.00 | 12/20/2024 | 7,378,412 | 4,930,200 |
S&P 500 Index | JPMorgan | USD | 331,553,310 | 745 | 3,300.00 | 12/20/2024 | 12,820,612 | 4,905,825 |
S&P 500 Index | JPMorgan | USD | 338,228,880 | 760 | 3,200.00 | 12/20/2024 | 13,547,029 | 4,396,600 |
S&P 500 Index | JPMorgan | USD | 149,087,730 | 335 | 3,550.00 | 12/20/2024 | 3,425,392 | 3,009,975 |
S&P 500 Index | JPMorgan | USD | 73,431,270 | 165 | 3,350.00 | 12/20/2024 | 2,261,333 | 1,158,300 |
Total | 47,969,854 | 24,752,900 |
(a) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | |||||||||
546,764,868 | 701,170,131 | (390,645,400) | (33,871) | 857,255,728 | — | (34,941) | 16,531,616 | 857,598,767 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
204,363,567 | 446 | (5,465,529) | 29,069,156 | 227,967,640 | — | 2,520,250 | — | 2,734,080 | |
Columbia Variable Portfolio – Large Cap Index Fund, Class 1 Shares | |||||||||
516,432,302 | — | (16,394,978) | 78,547,970 | 578,585,294 | — | 6,160,538 | — | 15,461,927 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
40,098,999 | 110,464 | (1,229,843) | 1,000,433 | 39,980,053 | — | (88,914) | — | 4,262,266 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
42,224,564 | 46,998 | (2,552,662) | 2,903,698 | 42,622,598 | — | (843,227) | — | 5,321,173 | |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares | |||||||||
204,244,742 | 11,718 | (9,363,054) | 37,848,754 | 232,742,160 | — | 603,514 | — | 13,179,058 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
226,349,031 | 361,513 | (5,249,756) | 1,018,445 | 222,479,233 | — | 2,873,207 | — | 5,956,606 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
26,092,953 | 89,991 | (499,004) | 515,306 | 26,199,246 | — | (91,724) | — | 2,967,072 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
68,080,721 | 195,395 | (1,596,308) | 1,586,113 | 68,265,921 | — | (290,085) | — | 7,452,612 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
162,563,022 | — | — | 40,824,650 | 203,387,672 | — | — | — | 4,597,370 |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2023 | 7 |
June 30, 2023 (Unaudited)
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares | |||||||||
210,584,710 | — | (13,133,450) | 43,717,752 | 241,169,012 | — | 908,191 | — | 4,680,167 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
219,934,402 | 470,197 | (3,572,185) | 2,074,553 | 218,906,967 | — | 1,590,787 | — | 6,727,319 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
80,912,841 | 248,835 | (1,774,205) | 2,268,625 | 81,656,096 | — | (309,238) | — | 8,751,993 | |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares | |||||||||
135,983,224 | 461,319 | (3,021,141) | 3,981,693 | 137,405,095 | — | (513,436) | — | 14,238,870 | |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares | |||||||||
427,770,847 | — | (14,619,138) | 59,931,476 | 473,083,185 | — | (241,114) | — | 13,869,340 | |
Total | 3,112,400,793 | 305,254,753 | 3,651,705,900 | — | 12,243,808 | 16,531,616 |
(b) | Non-income producing investment. |
(c) | Represents a security purchased on a when-issued basis. |
(d) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
TBA | To Be Announced |
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 2023 |
June 30, 2023 (Unaudited)
The Fund’s Board of Trustees (the Board) has designated the Investment Manager, through its Valuation Committee (the Committee), as valuation designee, responsible for determining the fair value of the assets of the Fund for which market quotations are not readily available using valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Equity Funds | — | — | — | 2,398,321,163 | 2,398,321,163 |
Exchange-Traded Fixed Income Funds | 34,256,819 | — | — | — | 34,256,819 |
Fixed Income Funds | — | — | — | 396,129,009 | 396,129,009 |
Residential Mortgage-Backed Securities - Agency | — | 95,288,754 | — | — | 95,288,754 |
Put Option Contracts Purchased | 24,752,900 | — | — | — | 24,752,900 |
Money Market Funds | 857,255,728 | — | — | — | 857,255,728 |
Total Investments in Securities | 916,265,447 | 95,288,754 | — | 2,794,450,172 | 3,806,004,373 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 24,777,659 | — | — | — | 24,777,659 |
Liability | |||||
Futures Contracts | (983,258) | — | — | — | (983,258) |
Total | 940,059,848 | 95,288,754 | — | 2,794,450,172 | 3,829,798,774 |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2023 | 9 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $128,949,233) | $129,545,573 |
Affiliated issuers (cost $2,754,995,834) | 3,651,705,900 |
Option contracts purchased (cost $47,969,854) | 24,752,900 |
Cash | 949,455 |
Cash collateral held at broker for: | |
TBA | 472,000 |
Margin deposits on: | |
Futures contracts | 46,628,700 |
Receivable for: | |
Investments sold | 1,594,856 |
Investments sold on a delayed delivery basis | 247,967,474 |
Capital shares sold | 9,585 |
Dividends | 3,378,240 |
Interest | 140,746 |
Variation margin for futures contracts | 10,740,751 |
Prepaid expenses | 19,925 |
Trustees’ deferred compensation plan | 79,504 |
Total assets | 4,117,985,609 |
Liabilities | |
Payable for: | |
Investments purchased on a delayed delivery basis | 344,044,065 |
Capital shares redeemed | 3,644,314 |
Variation margin for futures contracts | 12,310 |
Management services fees | 19,935 |
Distribution and/or service fees | 25,536 |
Service fees | 184,061 |
Compensation of board members | 55,151 |
Compensation of chief compliance officer | 342 |
Other expenses | 43,453 |
Trustees’ deferred compensation plan | 79,504 |
Total liabilities | 348,108,671 |
Net assets applicable to outstanding capital stock | $3,769,876,938 |
Represented by | |
Trust capital | $3,769,876,938 |
Total - representing net assets applicable to outstanding capital stock | $3,769,876,938 |
Class 1 | |
Net assets | $8,146,926 |
Shares outstanding | 527,303 |
Net asset value per share | $15.45 |
Class 2 | |
Net assets | $3,761,730,012 |
Shares outstanding | 246,141,236 |
Net asset value per share | $15.28 |
10 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $3,653,762 |
Dividends — affiliated issuers | 16,531,616 |
Interest | 688,927 |
Total income | 20,874,305 |
Expenses: | |
Management services fees | 3,647,455 |
Distribution and/or service fees | |
Class 2 | 4,525,370 |
Service fees | 1,090,781 |
Compensation of board members | 33,518 |
Custodian fees | 14,065 |
Printing and postage fees | 12,047 |
Accounting services fees | 15,045 |
Legal fees | 30,024 |
Compensation of chief compliance officer | 352 |
Other | 27,042 |
Total expenses | 9,395,699 |
Net investment income | 11,478,606 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (58,483,038) |
Investments — affiliated issuers | 12,243,808 |
Futures contracts | 22,344,015 |
Option contracts purchased | (10,313,673) |
Swap contracts | 310,573 |
Net realized loss | (33,898,315) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 68,353,994 |
Investments — affiliated issuers | 305,254,753 |
Futures contracts | 9,936,199 |
Option contracts purchased | (22,425,895) |
Swap contracts | 159,271 |
Net change in unrealized appreciation (depreciation) | 361,278,322 |
Net realized and unrealized gain | 327,380,007 |
Net increase in net assets resulting from operations | $338,858,613 |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2023 | 11 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment income | $11,478,606 | $8,116,751 |
Net realized loss | (33,898,315) | (208,890,668) |
Net change in unrealized appreciation (depreciation) | 361,278,322 | (618,452,650) |
Net increase (decrease) in net assets resulting from operations | 338,858,613 | (819,226,567) |
Increase (decrease) in net assets from capital stock activity | (117,426,204) | 8,722,844 |
Total increase (decrease) in net assets | 221,432,409 | (810,503,723) |
Net assets at beginning of period | 3,548,444,529 | 4,358,948,252 |
Net assets at end of period | $3,769,876,938 | $3,548,444,529 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Shares sold | 140,917 | 2,046,530 | 175,555 | 2,638,081 |
Shares redeemed | (65,862) | (937,277) | (6,226) | (88,448) |
Net increase | 75,055 | 1,109,253 | 169,329 | 2,549,633 |
Class 2 | ||||
Shares sold | 335,779 | 4,906,182 | 7,223,908 | 107,961,086 |
Shares redeemed | (8,510,559) | (123,441,639) | (6,933,243) | (101,787,875) |
Net increase (decrease) | (8,174,780) | (118,535,457) | 290,665 | 6,173,211 |
Total net increase (decrease) | (8,099,725) | (117,426,204) | 459,994 | 8,722,844 |
12 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2023 |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2023 | 13 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $14.06 | 0.06 | 1.33 | 1.39 |
Year Ended 12/31/2022 | $17.26 | 0.08 | (3.28) | (3.20) |
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(d) | $12.62 | 0.06 | 1.51 | 1.57 |
Class 2 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $13.93 | 0.05 | 1.30 | 1.35 |
Year Ended 12/31/2022 | $17.14 | 0.03 | (3.24) | (3.21) |
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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interest on collateral expense which is less than 0.01%. |
(d) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
14 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2023 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $15.45 | 9.89% | 0.27% | 0.27% | 0.89% | 99% | $8,147 |
Year Ended 12/31/2022 | $14.06 | (18.54%) | 0.27% | 0.27% | 0.51% | 173% | $6,360 |
Year Ended 12/31/2021 | $17.26 | 15.76% | 0.27%(c) | 0.27%(c) | 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(d) | $14.19 | 12.44% | 0.30% | 0.30% | 0.52% | 132% | $132 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $15.28 | 9.69% | 0.52% | 0.52% | 0.63% | 99% | $3,761,730 |
Year Ended 12/31/2022 | $13.93 | (18.73%) | 0.52% | 0.52% | 0.22% | 173% | $3,542,085 |
Year Ended 12/31/2021 | $17.14 | 15.50% | 0.52%(c) | 0.52%(c) | (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% | $1,705,527 |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2023 | 15 |
June 30, 2023 (Unaudited)
16 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2023 | 17 |
June 30, 2023 (Unaudited)
18 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2023 | 19 |
June 30, 2023 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 24,747,718* |
Equity risk | Investments, at value — Option contracts purchased | 24,752,900 |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 29,941* |
Total | 49,530,559 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 983,258* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin for futures and centrally cleared swaps, if any, is reported in receivables or payables in the Statement of Assets and Liabilities. |
20 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Futures contracts ($) | Option contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 310,573 | 310,573 |
Equity risk | 20,450,382 | (10,313,673) | — | 10,136,709 |
Interest rate risk | 1,893,633 | — | — | 1,893,633 |
Total | 22,344,015 | (10,313,673) | 310,573 | 12,340,915 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||
Risk exposure category | Futures contracts ($) | Option contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 159,271 | 159,271 |
Equity risk | 8,728,137 | (22,425,895) | — | (13,697,758) |
Interest rate risk | 1,208,062 | — | — | 1,208,062 |
Total | 9,936,199 | (22,425,895) | 159,271 | (12,330,425) |
Derivative instrument | Average notional amounts ($) |
Futures contracts — long | 753,018,562* |
Futures contracts — short | 27,722,925* |
Credit default swap contracts — sell protection | 14,505,495** |
Derivative instrument | Average value ($)* |
Option contracts purchased | 25,261,373 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2023. |
** | Based on the ending daily outstanding amounts for the six months ended June 30, 2023. |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2023 | 21 |
June 30, 2023 (Unaudited)
JPMorgan ($) | |
Assets | |
Put option contracts purchased | 24,752,900 |
Total financial and derivative net assets | 24,752,900 |
Total collateral received (pledged) (a) | - |
Net amount (b) | 24,752,900 |
(a) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Represents the net amount due from/(to) counterparties in the event of default. |
22 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2023 | 23 |
June 30, 2023 (Unaudited)
24 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
May 1, 2023 through April 30, 2024 | Prior to May 1, 2023 | |
Class 1 | 0.78% | 0.79% |
Class 2 | 1.03 | 1.04 |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2023 | 25 |
June 30, 2023 (Unaudited)
26 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2023 | 27 |
June 30, 2023 (Unaudited)
28 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2023 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2023 | 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 one or more benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | Terms of the Management Agreement; |
• | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
• | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
• | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
30 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2023 |
(Unaudited)
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2023 | 31 |
(Unaudited)
these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
32 | Variable Portfolio – U.S. Flexible Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | Life | ||
Class 1* | 02/20/19 | 7.94 | 6.24 | 3.60 | 5.33 | |
Class 2 | 11/02/16 | 7.78 | 5.99 | 3.39 | 5.17 | |
Blended Benchmark | 9.32 | 9.18 | 6.79 | 7.39 | ||
S&P 500 Index | 16.89 | 19.59 | 12.31 | 14.01 | ||
Bloomberg U.S. Aggregate Bond Index | 2.09 | -0.94 | 0.77 | 0.50 |
* | 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 2023 | 3 |
(Unaudited)
Portfolio Allocation (%) (at June 30, 2023) | |
Allocations to Underlying Funds | |
Equity Funds | 47.8 |
U.S. Large Cap | 47.8 |
Exchange-Traded Fixed Income Funds | 1.6 |
Investment Grade | 1.6 |
Fixed Income Funds | 24.2 |
Investment Grade | 24.2 |
Allocations to Tactical Assets | |
Money Market Funds(a) | 21.2 |
Put Option Contracts Purchased | 0.5 |
Residential Mortgage-Backed Securities - Agency | 4.7 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds, including investing for the purpose of covering obligations relating to the Fund’s investment in derivatives. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and the derivative instruments discussion in Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,079.40 | 1,023.59 | 1.40 | 1.36 | 0.27 | 3.53 | 3.43 | 0.68 |
Class 2 | 1,000.00 | 1,000.00 | 1,077.80 | 1,022.34 | 2.69 | 2.62 | 0.52 | 4.82 | 4.69 | 0.93 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (Unaudited)
Equity Funds 49.5% | ||
Shares | Value ($) | |
U.S. Large Cap 49.5% | ||
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 1,234,573 | 102,938,671 |
Columbia Variable Portfolio – Large Cap Index Fund, Class 1 Shares(a),(b) | 6,114,418 | 228,801,524 |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 5,933,961 | 104,793,746 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 2,373,519 | 88,650,923 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 1,713,911 | 75,823,442 |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares(a),(b) | 1,841,727 | 94,904,183 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 2,680,749 | 87,231,580 |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(a),(b) | 5,319,824 | 181,459,203 |
Total | 964,603,272 | |
Total Equity Funds (Cost $560,667,715) | 964,603,272 | |
Exchange-Traded Fixed Income Funds 1.7% | ||
Investment Grade 1.7% | ||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 152,813 | 16,525,198 |
Vanguard Intermediate-Term Corporate Bond ETF | 204,900 | 16,193,247 |
Total | 32,718,445 | |
Total Exchange-Traded Fixed Income Funds (Cost $31,067,868) | 32,718,445 | |
Fixed Income Funds 25.1% | ||
Investment Grade 25.1% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 10,227,202 | 86,317,588 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 3,012,961 | 28,261,578 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 5,452,380 | 43,673,564 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 3,147,603 | 27,793,335 |
Fixed Income Funds (continued) | ||
Shares | Value ($) | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 13,348,542 | 122,272,640 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 10,781,038 | 100,587,088 |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(a) | 8,274,327 | 79,847,252 |
Total | 488,753,045 | |
Total Fixed Income Funds (Cost $571,567,811) | 488,753,045 |
Residential Mortgage-Backed Securities - Agency 4.9% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(c) | ||||
07/18/2038- 07/13/2053 | 3.500% | 17,220,000 | 15,996,234 | |
07/18/2038- 07/13/2053 | 4.000% | 22,250,000 | 21,181,709 | |
07/13/2053 | 3.000% | 28,600,000 | 25,169,117 | |
07/13/2053 | 4.500% | 7,000,000 | 6,729,844 | |
07/13/2053 | 5.000% | 26,500,000 | 25,965,859 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $95,576,262) | 95,042,763 |
Put Option Contracts Purchased 0.5% | ||||
Value ($) | ||||
(Cost $19,257,440) | 9,764,050 |
Money Market Funds 22.0% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(a),(d) | 428,898,058 | 428,726,499 |
Total Money Market Funds (Cost $428,697,511) | 428,726,499 | |
Total Investments in Securities (Cost: $1,706,834,607) | 2,019,608,074 | |
Other Assets & Liabilities, Net | (72,598,005) | |
Net Assets | 1,947,010,069 |
6 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | 1,503 | 09/2023 | USD | 337,291,988 | 9,205,731 | — |
U.S. Treasury 10-Year Note | 100 | 09/2023 | USD | 11,226,563 | — | (187,932) |
U.S. Treasury 2-Year Note | 92 | 09/2023 | USD | 18,707,625 | — | (206,763) |
U.S. Treasury 5-Year Note | 232 | 09/2023 | USD | 24,845,750 | — | (425,559) |
Total | 9,205,731 | (820,254) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Long Bond | (4) | 09/2023 | USD | (507,625) | 4,992 | — |
U.S. Treasury Ultra Bond | (4) | 09/2023 | USD | (544,875) | 4,742 | — |
Total | 9,734 | — |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 131,286,210 | 295 | 3,450.00 | 12/20/2024 | 3,140,282 | 2,342,300 |
S&P 500 Index | JPMorgan | USD | 137,961,780 | 310 | 3,300.00 | 12/20/2024 | 5,327,823 | 2,041,350 |
S&P 500 Index | JPMorgan | USD | 113,484,690 | 255 | 3,400.00 | 12/20/2024 | 2,846,038 | 1,904,850 |
S&P 500 Index | JPMorgan | USD | 142,412,160 | 320 | 3,200.00 | 12/20/2024 | 5,723,213 | 1,851,200 |
S&P 500 Index | JPMorgan | USD | 57,854,940 | 130 | 3,550.00 | 12/20/2024 | 1,329,256 | 1,168,050 |
S&P 500 Index | JPMorgan | USD | 28,927,470 | 65 | 3,350.00 | 12/20/2024 | 890,828 | 456,300 |
Total | 19,257,440 | 9,764,050 |
(a) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | |||||||||
296,140,598 | 277,865,342 | (145,254,741) | (24,700) | 428,726,499 | — | (12,165) | 8,623,756 | 428,898,058 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
93,766,141 | 7,165 | (3,458,300) | 12,623,665 | 102,938,671 | — | 1,781,554 | — | 1,234,573 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
85,031,624 | 301,732 | (1,035,314) | 2,019,546 | 86,317,588 | — | (267,253) | — | 10,227,202 | |
Columbia Variable Portfolio – Large Cap Index Fund, Class 1 Shares | |||||||||
207,948,461 | 15,805 | (8,357,015) | 29,194,273 | 228,801,524 | — | 4,650,459 | — | 6,114,418 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
28,367,683 | 25,916 | (826,006) | 693,985 | 28,261,578 | — | (48,438) | — | 3,012,961 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
42,693,642 | 31,341 | (1,668,965) | 2,617,546 | 43,673,564 | — | (537,444) | — | 5,452,380 | |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares | |||||||||
93,676,075 | 7,165 | (6,149,820) | 17,260,326 | 104,793,746 | — | 239,246 | — | 5,933,961 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
89,922,855 | 263,515 | (1,951,298) | 415,851 | 88,650,923 | — | 1,122,970 | — | 2,373,519 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2023 | 7 |
June 30, 2023 (Unaudited)
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
27,538,896 | 98,274 | (350,034) | 506,199 | 27,793,335 | — | (59,619) | — | 3,147,603 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
120,414,202 | 580,476 | (1,253,447) | 2,531,409 | 122,272,640 | — | (248,581) | — | 13,348,542 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
60,603,908 | — | — | 15,219,534 | 75,823,442 | — | — | — | 1,713,911 | |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares | |||||||||
84,235,324 | 6,427 | (6,592,318) | 17,254,750 | 94,904,183 | — | 488,615 | — | 1,841,727 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
87,774,625 | 158,582 | (1,462,547) | 760,920 | 87,231,580 | — | 691,377 | — | 2,680,749 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
99,046,020 | 334,776 | (1,450,455) | 2,656,747 | 100,587,088 | — | (256,863) | — | 10,781,038 | |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares | |||||||||
78,431,206 | 303,340 | (1,052,192) | 2,164,898 | 79,847,252 | — | (161,686) | — | 8,274,327 | |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares | |||||||||
166,770,972 | 12,644 | (5,443,517) | 20,119,104 | 181,459,203 | — | 2,986,738 | — | 5,319,824 | |
Total | 1,662,362,232 | 126,014,053 | 1,882,082,816 | — | 10,368,910 | 8,623,756 |
(b) | Non-income producing investment. |
(c) | Represents a security purchased on a when-issued basis. |
(d) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
TBA | To Be Announced |
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 2023 |
June 30, 2023 (Unaudited)
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Variable Portfolios serve as investment vehicles for variable annuity contracts and variable life insurance policies. Principal investment strategies within these Variable Portfolios vary based on the Portfolios investment objective. Investments in the Variable Portfolios may be redeemed on a daily basis without restriction.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Equity Funds | — | — | — | 964,603,272 | 964,603,272 |
Exchange-Traded Fixed Income Funds | 32,718,445 | — | — | — | 32,718,445 |
Fixed Income Funds | — | — | — | 488,753,045 | 488,753,045 |
Residential Mortgage-Backed Securities - Agency | — | 95,042,763 | — | — | 95,042,763 |
Put Option Contracts Purchased | 9,764,050 | — | — | — | 9,764,050 |
Money Market Funds | 428,726,499 | — | — | — | 428,726,499 |
Total Investments in Securities | 471,208,994 | 95,042,763 | — | 1,453,356,317 | 2,019,608,074 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 9,215,465 | — | — | — | 9,215,465 |
Liability | |||||
Futures Contracts | (820,254) | — | — | — | (820,254) |
Total | 479,604,205 | 95,042,763 | — | 1,453,356,317 | 2,028,003,285 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2023 | 9 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $126,644,130) | $127,761,208 |
Affiliated issuers (cost $1,560,933,037) | 1,882,082,816 |
Option contracts purchased (cost $19,257,440) | 9,764,050 |
Cash | 496,250 |
Cash collateral held at broker for: | |
TBA | 525,039 |
Margin deposits on: | |
Futures contracts | 17,551,780 |
Receivable for: | |
Investments sold | 770,424 |
Investments sold on a delayed delivery basis | 101,815,636 |
Capital shares sold | 537 |
Dividends | 1,728,750 |
Interest | 143,026 |
Variation margin for futures contracts | 3,983,318 |
Prepaid expenses | 11,348 |
Trustees’ deferred compensation plan | 59,254 |
Total assets | 2,146,693,436 |
Liabilities | |
Payable for: | |
Investments purchased on a delayed delivery basis | 197,609,503 |
Capital shares redeemed | 1,810,071 |
Variation margin for futures contracts | 14,865 |
Management services fees | 10,462 |
Distribution and/or service fees | 13,217 |
Service fees | 95,622 |
Compensation of board members | 36,700 |
Compensation of chief compliance officer | 181 |
Other expenses | 33,492 |
Trustees’ deferred compensation plan | 59,254 |
Total liabilities | 199,683,367 |
Net assets applicable to outstanding capital stock | $1,947,010,069 |
Represented by | |
Trust capital | $1,947,010,069 |
Total - representing net assets applicable to outstanding capital stock | $1,947,010,069 |
Class 1 | |
Net assets | $3,998,501 |
Shares outstanding | 282,895 |
Net asset value per share | $14.13 |
Class 2 | |
Net assets | $1,943,011,568 |
Shares outstanding | 138,902,311 |
Net asset value per share | $13.99 |
10 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $1,832,700 |
Dividends — affiliated issuers | 8,623,756 |
Interest | 290,992 |
Total income | 10,747,448 |
Expenses: | |
Management services fees | 1,930,860 |
Distribution and/or service fees | |
Class 2 | 2,375,644 |
Service fees | 572,535 |
Compensation of board members | 21,843 |
Custodian fees | 12,651 |
Printing and postage fees | 8,974 |
Accounting services fees | 15,045 |
Legal fees | 18,592 |
Compensation of chief compliance officer | 184 |
Other | 15,664 |
Total expenses | 4,971,992 |
Net investment income | 5,775,456 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (17,797,642) |
Investments — affiliated issuers | 10,368,910 |
Futures contracts | 7,656,316 |
Option contracts purchased | (3,858,130) |
Net realized loss | (3,630,546) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 22,460,431 |
Investments — affiliated issuers | 126,014,053 |
Futures contracts | 2,044,628 |
Option contracts purchased | (9,232,542) |
Net change in unrealized appreciation (depreciation) | 141,286,570 |
Net realized and unrealized gain | 137,656,024 |
Net increase in net assets resulting from operations | $143,431,480 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2023 | 11 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment income | $5,775,456 | $11,356,453 |
Net realized loss | (3,630,546) | (90,886,717) |
Net change in unrealized appreciation (depreciation) | 141,286,570 | (327,631,215) |
Net increase (decrease) in net assets resulting from operations | 143,431,480 | (407,161,479) |
Decrease in net assets from capital stock activity | (65,452,137) | (57,597,370) |
Total increase (decrease) in net assets | 77,979,343 | (464,758,849) |
Net assets at beginning of period | 1,869,030,726 | 2,333,789,575 |
Net assets at end of period | $1,947,010,069 | $1,869,030,726 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Shares sold | 24,825 | 337,373 | 87,876 | 1,216,328 |
Shares redeemed | (3,306) | (45,026) | (13,254) | (187,764) |
Net increase | 21,519 | 292,347 | 74,622 | 1,028,564 |
Class 2 | ||||
Shares sold | 347,270 | 4,678,980 | 3,179,908 | 43,866,401 |
Shares redeemed | (5,225,841) | (70,423,464) | (7,492,766) | (102,492,335) |
Net decrease | (4,878,571) | (65,744,484) | (4,312,858) | (58,625,934) |
Total net decrease | (4,857,052) | (65,452,137) | (4,238,236) | (57,597,370) |
12 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2023 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2023 | 13 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $13.09 | 0.06 | 0.98 | 1.04 |
Year Ended 12/31/2022 | $15.84 | 0.12 | (2.87) | (2.75) |
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(d) | $12.05 | 0.20 | 1.16 | 1.36 |
Class 2 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $12.98 | 0.04 | 0.97 | 1.01 |
Year Ended 12/31/2022 | $15.74 | 0.08 | (2.84) | (2.76) |
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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interest on collateral expense which is less than 0.01%. |
(d) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
14 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2023 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $14.13 | 7.94% | 0.27% | 0.27% | 0.86% | 88% | $3,999 |
Year Ended 12/31/2022 | $13.09 | (17.36%) | 0.28% | 0.28% | 0.87% | 151% | $3,423 |
Year Ended 12/31/2021 | $15.84 | 11.71% | 0.28%(c) | 0.28%(c) | 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(d) | $13.41 | 11.29% | 0.30% | 0.30% | 1.84% | 125% | $299 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $13.99 | 7.78% | 0.52% | 0.52% | 0.61% | 88% | $1,943,012 |
Year Ended 12/31/2022 | $12.98 | (17.54%) | 0.53% | 0.53% | 0.57% | 151% | $1,865,608 |
Year Ended 12/31/2021 | $15.74 | 11.47% | 0.53%(c) | 0.53%(c) | 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% | $1,142,028 |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2023 | 15 |
June 30, 2023 (Unaudited)
16 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2023 | 17 |
June 30, 2023 (Unaudited)
18 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 9,205,731* |
Equity risk | Investments, at value — Option contracts purchased | 9,764,050 |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 9,734* |
Total | 18,979,515 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 820,254* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin for futures and centrally cleared swaps, if any, is reported in receivables or payables in the Statement of Assets and Liabilities. |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2023 | 19 |
June 30, 2023 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Option contracts purchased ($) | Total ($) |
Equity risk | 7,412,436 | (3,858,130) | 3,554,306 |
Interest rate risk | 243,880 | — | 243,880 |
Total | 7,656,316 | (3,858,130) | 3,798,186 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Option contracts purchased ($) | Total ($) |
Equity risk | 2,373,631 | (9,232,542) | (6,858,911) |
Interest rate risk | (329,003) | — | (329,003) |
Total | 2,044,628 | (9,232,542) | (7,187,914) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 323,565,395 |
Futures contracts — short | 20,180,563 |
Derivative instrument | Average value ($)* |
Option contracts purchased | 10,081,818 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2023. |
20 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
JPMorgan ($) | |
Assets | |
Put option contracts purchased | 9,764,050 |
Total financial and derivative net assets | 9,764,050 |
Total collateral received (pledged) (a) | - |
Net amount (b) | 9,764,050 |
(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 2023 | 21 |
June 30, 2023 (Unaudited)
22 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2023 | 23 |
June 30, 2023 (Unaudited)
May 1, 2023 through April 30, 2024 | Prior to May 1, 2023 | |
Class 1 | 0.78% | 0.79% |
Class 2 | 1.03 | 1.04 |
24 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2023 | 25 |
June 30, 2023 (Unaudited)
26 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2023 | 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 2023 |
(Unaudited)
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to one or more benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | Terms of the Management Agreement; |
• | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
• | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
• | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2023 | 29 |
(Unaudited)
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
30 | Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2023 |
(Unaudited)
these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
Variable Portfolio – U.S. Flexible Moderate Growth Fund | Semiannual Report 2023 | 31 |
June 30, 2023 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | Life | ||
Class 1* | 02/20/19 | 7.31 | 5.82 | 3.33 | 3.49 | |
Class 2 | 09/12/17 | 7.10 | 5.51 | 3.09 | 3.28 | |
Blended Benchmark | 8.35 | 8.88 | 5.35 | 5.20 | ||
Bloomberg U.S. Aggregate Bond Index | 2.09 | -0.94 | 0.77 | 0.39 | ||
Russell 3000 Index | 16.17 | 18.95 | 11.39 | 11.79 | ||
MSCI EAFE Index (Net) | 11.67 | 18.77 | 4.39 | 4.08 |
* | 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 2023 | 3 |
(Unaudited)
Portfolio Allocation (%) (at June 30, 2023) | |
Allocations to Underlying Funds | |
Equity Funds | 52.5 |
International | 14.9 |
U.S. Large Cap | 31.1 |
U.S. Small Cap | 6.5 |
Exchange-Traded Equity Funds | 2.6 |
U.S. Mid Cap | 2.6 |
Exchange-Traded Fixed Income Funds | 3.4 |
Investment Grade | 3.4 |
Fixed Income Funds | 26.8 |
Investment Grade | 26.8 |
Allocations to Tactical Assets | |
Money Market Funds | 7.7 |
Put Option Contracts Purchased | 0.4 |
Residential Mortgage-Backed Securities - Agency | 6.6 |
Total | 100.0 |
4 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,073.10 | 1,023.83 | 1.14 | 1.11 | 0.22 | 3.98 | 3.89 | 0.77 |
Class 2 | 1,000.00 | 1,000.00 | 1,071.00 | 1,022.49 | 2.53 | 2.47 | 0.49 | 5.37 | 5.24 | 1.04 |
Variable Portfolio – Managed Risk Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (Unaudited)
Equity Funds 55.9% | ||
Shares | Value ($) | |
International 15.8% | ||
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(a) | 1,435,896 | 17,862,542 |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares(a) | 2,018,817 | 19,865,163 |
Total | 37,727,705 | |
U.S. Large Cap 33.1% | ||
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 178,106 | 14,850,501 |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 842,275 | 14,874,571 |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(a),(b) | 1,439,700 | 49,108,167 |
Total | 78,833,239 | |
U.S. Small Cap 7.0% | ||
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 283,066 | 8,327,786 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 241,820 | 8,212,217 |
Total | 16,540,003 | |
Total Equity Funds (Cost $110,667,517) | 133,100,947 | |
Exchange-Traded Equity Funds 2.7% | ||
U.S. Mid Cap 2.7% | ||
iShares Core S&P Mid-Cap ETF | 25,000 | 6,537,000 |
Total Exchange-Traded Equity Funds (Cost $6,633,247) | 6,537,000 | |
Exchange-Traded Fixed Income Funds 3.6% | ||
Investment Grade 3.6% | ||
iShares Core U.S. Aggregate Bond ETF | 5,750 | 563,212 |
iShares iBoxx $ Investment Grade Corporate Bond ETF | 32,820 | 3,549,155 |
Vanguard Intermediate-Term Corporate Bond ETF | 52,800 | 4,172,784 |
Vanguard Total Bond Market ETF | 5,000 | 363,450 |
Total | 8,648,601 | |
Total Exchange-Traded Fixed Income Funds (Cost $8,523,297) | 8,648,601 | |
Fixed Income Funds 28.5% | ||
Shares | Value ($) | |
Investment Grade 28.5% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 3,879,638 | 32,744,142 |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(a) | 3,646,457 | 35,188,313 |
Total | 67,932,455 | |
Total Fixed Income Funds (Cost $77,884,261) | 67,932,455 |
Residential Mortgage-Backed Securities - Agency 7.1% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(c) | ||||
07/18/2038- 07/13/2053 | 3.000% | 2,351,000 | 2,132,300 | |
07/18/2038- 07/13/2053 | 3.500% | 4,300,000 | 3,977,504 | |
07/18/2038- 07/13/2053 | 4.000% | 4,158,000 | 3,931,424 | |
07/13/2053 | 4.500% | 4,050,000 | 3,893,695 | |
07/13/2053 | 5.000% | 3,000,000 | 2,939,531 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $16,972,165) | 16,874,454 |
Put Option Contracts Purchased 0.4% | ||||
Value ($) | ||||
(Cost $2,319,833) | 1,052,560 |
Money Market Funds 8.2% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(a),(d) | 19,489,630 | 19,481,834 |
Total Money Market Funds (Cost $19,479,457) | 19,481,834 | |
Total Investments in Securities (Cost: $242,479,777) | 253,627,851 | |
Other Assets & Liabilities, Net | (15,332,938) | |
Net Assets | 238,294,913 |
6 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
80,000,000 JPY | 575,559 USD | Barclays | 07/20/2023 | 19,757 | — |
268,350 USD | 250,000 EUR | Barclays | 07/20/2023 | 4,671 | — |
219,351 USD | 200,000 EUR | Barclays | 07/20/2023 | — | (935) |
617,521 USD | 1,000,000 NZD | Barclays | 07/20/2023 | — | (3,861) |
253,875 USD | 200,000 GBP | Citi | 07/20/2023 | 155 | — |
726,755 USD | 100,000,000 JPY | Citi | 07/20/2023 | — | (32,001) |
1,200,000 EUR | 1,296,027 USD | Goldman Sachs International | 07/20/2023 | — | (14,475) |
900,000 GBP | 1,147,158 USD | Goldman Sachs International | 07/20/2023 | 4,023 | — |
1,000,000 AUD | 655,975 USD | HSBC | 07/20/2023 | — | (10,500) |
866,961 USD | 700,000 GBP | HSBC | 07/20/2023 | 22,143 | — |
900,000 CHF | 1,005,820 USD | Morgan Stanley | 07/20/2023 | — | (1,401) |
667,879 USD | 1,000,000 AUD | UBS | 07/20/2023 | — | (1,404) |
466,971 USD | 5,000,000 SEK | Wells Fargo Securities LLC | 07/20/2023 | — | (3,034) |
Total | 50,749 | (67,611) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | 22 | 09/2023 | USD | 4,937,075 | 160,694 | — |
TOPIX Index | 5 | 09/2023 | JPY | 114,400,000 | 21,453 | — |
U.S. Long Bond | 20 | 09/2023 | USD | 2,538,125 | 530 | — |
U.S. Long Bond | 2 | 09/2023 | USD | 253,813 | — | (2,254) |
U.S. Treasury 2-Year Note | 15 | 09/2023 | USD | 3,050,156 | — | (33,752) |
U.S. Treasury 5-Year Note | 36 | 09/2023 | USD | 3,855,375 | — | (67,519) |
U.S. Treasury Ultra Bond | 18 | 09/2023 | USD | 2,451,938 | 30,692 | — |
U.S. Treasury Ultra Bond | 2 | 09/2023 | USD | 272,438 | — | (2,566) |
Total | 213,369 | (106,091) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Euro STOXX 50 Index | (3) | 09/2023 | EUR | (132,810) | — | (2,011) |
OMXS30 Index | (18) | 07/2023 | SEK | (4,169,250) | 1,907 | — |
Russell 2000 Index E-mini | (103) | 09/2023 | USD | (9,804,055) | — | (13,973) |
S&P 500 Index E-mini | (11) | 09/2023 | USD | (2,468,538) | — | (57,012) |
SPI 200 Index | (2) | 09/2023 | AUD | (358,050) | — | (1,874) |
Total | 1,907 | (74,870) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 27,147,318 | 61 | 3,300.00 | 12/20/2024 | 1,133,308 | 401,685 |
S&P 500 Index | JPMorgan | USD | 10,680,912 | 24 | 3,450.00 | 12/20/2024 | 251,232 | 190,560 |
S&P 500 Index | JPMorgan | USD | 10,680,912 | 24 | 3,400.00 | 12/20/2024 | 260,137 | 179,280 |
S&P 500 Index | JPMorgan | USD | 12,461,064 | 28 | 3,200.00 | 12/20/2024 | 493,941 | 161,980 |
S&P 500 Index | JPMorgan | USD | 3,115,266 | 7 | 3,550.00 | 12/20/2024 | 71,575 | 62,895 |
S&P 500 Index | JPMorgan | USD | 3,560,304 | 8 | 3,350.00 | 12/20/2024 | 109,640 | 56,160 |
Total | 2,319,833 | 1,052,560 |
Variable Portfolio – Managed Risk Fund | Semiannual Report 2023 | 7 |
June 30, 2023 (Unaudited)
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America Investment Grade Index, Series 40 | Morgan Stanley | 06/20/2028 | 1.000 | Quarterly | 0.658 | USD | 6,000,000 | 63,716 | — | — | 63,716 | — |
(a) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | |||||||||
13,357,020 | 25,085,292 | (18,959,654) | (824) | 19,481,834 | — | (1,375) | 511,639 | 19,489,630 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
12,982,782 | 219,113 | (321,138) | 1,969,744 | 14,850,501 | — | 71,325 | — | 178,106 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
29,714,142 | 2,434,479 | (1,812) | 597,333 | 32,744,142 | — | (472) | — | 3,879,638 | |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares | |||||||||
17,495,143 | 460,294 | (1,344,213) | 1,251,318 | 17,862,542 | — | (252,261) | 339,106 | 1,435,896 | |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares | |||||||||
12,903,391 | 43,881 | (479,042) | 2,406,341 | 14,874,571 | — | 46,524 | — | 842,275 | |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares | |||||||||
33,433,974 | 1,113,864 | (249,486) | 889,961 | 35,188,313 | — | (40,807) | — | 3,646,457 | |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares | |||||||||
43,420,738 | 513,058 | (926,049) | 6,100,420 | 49,108,167 | — | 60,479 | — | 1,439,700 | |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares | |||||||||
19,021,326 | 305,346 | (2,221,626) | 2,760,117 | 19,865,163 | — | (558,281) | 285,174 | 2,018,817 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
6,001,350 | 1,764,203 | (77,938) | 640,171 | 8,327,786 | — | (17,999) | — | 283,066 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
6,236,945 | 1,726,199 | (65,312) | 314,385 | 8,212,217 | — | (5,399) | — | 241,820 | |
Total | 194,566,811 | 16,928,966 | 220,515,236 | — | (698,266) | 1,135,919 |
(b) | Non-income producing investment. |
(c) | Represents a security purchased on a when-issued basis. |
(d) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
TBA | To Be Announced |
8 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
AUD | Australian Dollar |
CHF | Swiss Franc |
EUR | Euro |
GBP | British Pound |
JPY | Japanese Yen |
NZD | New Zealand Dollar |
SEK | Swedish Krona |
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 ($) | |
Investments in Securities | |||||
Equity Funds | — | — | — | 133,100,947 | 133,100,947 |
Exchange-Traded Equity Funds | 6,537,000 | — | — | — | 6,537,000 |
Exchange-Traded Fixed Income Funds | 8,648,601 | — | — | — | 8,648,601 |
Fixed Income Funds | — | — | — | 67,932,455 | 67,932,455 |
Residential Mortgage-Backed Securities - Agency | — | 16,874,454 | — | — | 16,874,454 |
Variable Portfolio – Managed Risk Fund | Semiannual Report 2023 | 9 |
June 30, 2023 (Unaudited)
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Put Option Contracts Purchased | 1,052,560 | — | — | — | 1,052,560 |
Money Market Funds | 19,481,834 | — | — | — | 19,481,834 |
Total Investments in Securities | 35,719,995 | 16,874,454 | — | 201,033,402 | 253,627,851 |
Investments in Derivatives | |||||
Asset | |||||
Forward Foreign Currency Exchange Contracts | — | 50,749 | — | — | 50,749 |
Futures Contracts | 215,276 | — | — | — | 215,276 |
Swap Contracts | — | 63,716 | — | — | 63,716 |
Liability | |||||
Forward Foreign Currency Exchange Contracts | — | (67,611) | — | — | (67,611) |
Futures Contracts | (180,961) | — | — | — | (180,961) |
Total | 35,754,310 | 16,921,308 | — | 201,033,402 | 253,709,020 |
10 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $32,128,709) | $32,060,055 |
Affiliated issuers (cost $208,031,235) | 220,515,236 |
Option contracts purchased (cost $2,319,833) | 1,052,560 |
Cash | 66,748 |
Margin deposits on: | |
Futures contracts | 1,425,514 |
Swap contracts | 164,715 |
Unrealized appreciation on forward foreign currency exchange contracts | 50,749 |
Receivable for: | |
Investments sold | 69,274 |
Capital shares sold | 40,212 |
Dividends | 89,297 |
Interest | 25,827 |
Variation margin for futures contracts | 107,210 |
Variation margin for swap contracts | 7,751 |
Expense reimbursement due from Investment Manager | 58 |
Prepaid expenses | 1,280 |
Trustees’ deferred compensation plan | 23,560 |
Total assets | 255,700,046 |
Liabilities | |
Unrealized depreciation on forward foreign currency exchange contracts | 67,611 |
Payable for: | |
Investments purchased on a delayed delivery basis | 16,997,992 |
Capital shares redeemed | 200,239 |
Variation margin for futures contracts | 66,706 |
Management services fees | 841 |
Distribution and/or service fees | 1,620 |
Service fees | 11,747 |
Compensation of board members | 15,419 |
Compensation of chief compliance officer | 22 |
Other expenses | 19,376 |
Trustees’ deferred compensation plan | 23,560 |
Total liabilities | 17,405,133 |
Net assets applicable to outstanding capital stock | $238,294,913 |
Represented by | |
Trust capital | $238,294,913 |
Total - representing net assets applicable to outstanding capital stock | $238,294,913 |
Class 1 | |
Net assets | $2,908 |
Shares outstanding | 239 |
Net asset value per share(a) | $12.19 |
Class 2 | |
Net assets | $238,292,005 |
Shares outstanding | 19,761,625 |
Net asset value per share | $12.06 |
(a) | Net asset value per share rounds to this amount due to fractional shares outstanding. |
Variable Portfolio – Managed Risk Fund | Semiannual Report 2023 | 11 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $157,356 |
Dividends — affiliated issuers | 1,135,919 |
Interest | 34,779 |
Total income | 1,328,054 |
Expenses: | |
Management services fees | 153,771 |
Distribution and/or service fees | |
Class 2 | 285,616 |
Service fees | 68,734 |
Compensation of board members | 8,569 |
Custodian fees | 12,824 |
Printing and postage fees | 8,322 |
Accounting services fees | 15,045 |
Legal fees | 7,404 |
Compensation of chief compliance officer | 22 |
Other | 4,070 |
Total expenses | 564,377 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (6,075) |
Total net expenses | 558,302 |
Net investment income | 769,752 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (615,686) |
Investments — affiliated issuers | (698,266) |
Foreign currency translations | 11,255 |
Forward foreign currency exchange contracts | (246,045) |
Futures contracts | 668,418 |
Option contracts purchased | (420,506) |
Swap contracts | 58,408 |
Net realized loss | (1,242,422) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 1,303,362 |
Investments — affiliated issuers | 16,928,966 |
Forward foreign currency exchange contracts | 181,630 |
Futures contracts | (986,302) |
Option contracts purchased | (1,302,345) |
Swap contracts | 20,742 |
Net change in unrealized appreciation (depreciation) | 16,146,053 |
Net realized and unrealized gain | 14,903,631 |
Net increase in net assets resulting from operations | $15,673,383 |
12 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2023 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment income | $769,752 | $1,877,106 |
Net realized loss | (1,242,422) | (7,160,901) |
Net change in unrealized appreciation (depreciation) | 16,146,053 | (43,229,771) |
Net increase (decrease) in net assets resulting from operations | 15,673,383 | (48,513,566) |
Increase (decrease) in net assets from capital stock activity | 4,041,620 | (10,618,003) |
Total increase (decrease) in net assets | 19,715,003 | (59,131,569) |
Net assets at beginning of period | 218,579,910 | 277,711,479 |
Net assets at end of period | $238,294,913 | $218,579,910 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 2 | ||||
Shares sold | 841,518 | 9,875,216 | 665,562 | 8,267,656 |
Shares redeemed | (497,645) | (5,833,596) | (1,615,433) | (18,885,659) |
Net increase (decrease) | 343,873 | 4,041,620 | (949,871) | (10,618,003) |
Total net increase (decrease) | 343,873 | 4,041,620 | (949,871) | (10,618,003) |
Variable Portfolio – Managed Risk Fund | Semiannual Report 2023 | 13 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $11.36 | 0.06 | 0.77 | 0.83 |
Year Ended 12/31/2022 | $13.73 | 0.13 | (2.50) | (2.37) |
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(d) | $10.48 | 0.15 | 0.81 | 0.96 |
Class 2 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $11.26 | 0.04 | 0.76 | 0.80 |
Year Ended 12/31/2022 | $13.63 | 0.09 | (2.46) | (2.37) |
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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interest on collateral expense. For the periods indicated below, if interest on collateral expense had been excluded, expenses would have been lower by: |
Class | 12/31/2022 | 12/31/2021 | 12/31/2020 |
Class 1 | less than 0.01% | 0.01% | 0.01% |
Class 2 | less than 0.01% | 0.01% | 0.01% |
(d) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
14 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2023 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $12.19 | 7.31% | 0.23% | 0.22% | 0.97% | 58% | $3 |
Year Ended 12/31/2022 | $11.36 | (17.26%) | 0.27%(c) | 0.25%(c) | 1.06% | 113% | $3 |
Year Ended 12/31/2021 | $13.73 | 10.99% | 0.25%(c) | 0.25%(c) | 0.88% | 116% | $3 |
Year Ended 12/31/2020 | $12.37 | 8.13% | 0.25%(c) | 0.25%(c) | 0.75% | 89% | $3 |
Year Ended 12/31/2019(d) | $11.44 | 9.16% | 0.25% | 0.25% | 1.57% | 37% | $3 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $12.06 | 7.10% | 0.49% | 0.49% | 0.67% | 58% | $238,292 |
Year Ended 12/31/2022 | $11.26 | (17.39%) | 0.52%(c) | 0.50%(c) | 0.78% | 113% | $218,577 |
Year Ended 12/31/2021 | $13.63 | 10.72% | 0.50%(c) | 0.50%(c) | 0.63% | 116% | $277,708 |
Year Ended 12/31/2020 | $12.31 | 7.79% | 0.50%(c) | 0.50%(c) | 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% | $97,370 |
Variable Portfolio – Managed Risk Fund | Semiannual Report 2023 | 15 |
June 30, 2023 (Unaudited)
16 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – Managed Risk Fund | Semiannual Report 2023 | 17 |
June 30, 2023 (Unaudited)
18 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – Managed Risk Fund | Semiannual Report 2023 | 19 |
June 30, 2023 (Unaudited)
20 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of trust capital — unrealized appreciation on swap contracts | 63,716* |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 184,054* |
Equity risk | Investments, at value — Option contracts purchased | 1,052,560 |
Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 50,749 |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 31,222* |
Total | 1,382,301 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 74,870* |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 67,611 |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 106,091* |
Total | 248,572 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin for futures and centrally cleared swaps, if any, is reported in receivables or payables in the Statement of Assets and Liabilities. |
Variable Portfolio – Managed Risk Fund | Semiannual Report 2023 | 21 |
June 30, 2023 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | |||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Option contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | — | 58,408 | 58,408 |
Equity risk | — | 700,487 | (420,506) | — | 279,981 |
Foreign exchange risk | (246,045) | — | — | — | (246,045) |
Interest rate risk | — | (32,069) | — | — | (32,069) |
Total | (246,045) | 668,418 | (420,506) | 58,408 | 60,275 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Option contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | — | 20,742 | 20,742 |
Equity risk | — | (960,347) | (1,302,345) | — | (2,262,692) |
Foreign exchange risk | 181,630 | — | — | — | 181,630 |
Interest rate risk | — | (25,955) | — | — | (25,955) |
Total | 181,630 | (986,302) | (1,302,345) | 20,742 | (2,086,275) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 19,650,615 |
Futures contracts — short | 11,038,226 |
Credit default swap contracts — sell protection | 6,000,000 |
Derivative instrument | Average value ($)* |
Option contracts purchased | 1,254,980 |
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 26,608 | (39,031) |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2023. |
22 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – Managed Risk Fund | Semiannual Report 2023 | 23 |
June 30, 2023 (Unaudited)
Barclays ($) | Citi ($) | Goldman Sachs International ($) | HSBC ($) | JPMorgan ($) | Morgan Stanley ($) (a) | Morgan Stanley ($) (a) | UBS ($) | Wells Fargo Securities LLC ($) | Total ($) | |
Assets | ||||||||||
Centrally cleared credit default swap contracts (b) | - | - | - | - | - | - | 7,751 | - | - | 7,751 |
Forward foreign currency exchange contracts | 24,428 | 155 | 4,023 | 22,143 | - | - | - | - | - | 50,749 |
Put option contracts purchased | - | - | - | - | 1,052,560 | - | - | - | - | 1,052,560 |
Total assets | 24,428 | 155 | 4,023 | 22,143 | 1,052,560 | - | 7,751 | - | - | 1,111,060 |
Liabilities | ||||||||||
Forward foreign currency exchange contracts | 4,796 | 32,001 | 14,475 | 10,500 | - | 1,401 | - | 1,404 | 3,034 | 67,611 |
Total financial and derivative net assets | 19,632 | (31,846) | (10,452) | 11,643 | 1,052,560 | (1,401) | 7,751 | (1,404) | (3,034) | 1,043,449 |
Total collateral received (pledged) (c) | - | - | - | - | - | - | - | - | - | - |
Net amount (d) | 19,632 | (31,846) | (10,452) | 11,643 | 1,052,560 | (1,401) | 7,751 | (1,404) | (3,034) | 1,043,449 |
(a) | Exposure can only be netted across transactions governed under the same master agreement with the same legal entity. |
(b) | Centrally cleared swaps are included within payable/receivable for variation margin in the Statement of Assets and Liabilities. |
(c) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(d) | Represents the net amount due from/(to) counterparties in the event of default. |
24 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – Managed Risk Fund | Semiannual Report 2023 | 25 |
June 30, 2023 (Unaudited)
26 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
May 1, 2023 through April 30, 2024 | Prior to May 1, 2023 | |
Class 1 | 0.78% | 0.79% |
Class 2 | 1.03 | 1.04 |
Variable Portfolio – Managed Risk Fund | Semiannual Report 2023 | 27 |
June 30, 2023 (Unaudited)
28 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – Managed Risk Fund | Semiannual Report 2023 | 29 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
30 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2023 |
(Unaudited)
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to one or more benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | Terms of the Management Agreement; |
• | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
• | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
• | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Variable Portfolio – Managed Risk Fund | Semiannual Report 2023 | 31 |
(Unaudited)
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
32 | Variable Portfolio – Managed Risk Fund | Semiannual Report 2023 |
(Unaudited)
these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
Variable Portfolio – Managed Risk Fund | Semiannual Report 2023 | 33 |
June 30, 2023 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | Life | ||
Class 1* | 02/20/19 | 8.05 | 5.92 | 5.01 | 5.22 | |
Class 2 | 09/12/17 | 7.96 | 5.73 | 4.79 | 5.03 | |
Blended Benchmark | 9.32 | 9.18 | 6.79 | 6.63 | ||
Bloomberg U.S. Aggregate Bond Index | 2.09 | -0.94 | 0.77 | 0.39 | ||
S&P 500 Index | 16.89 | 19.59 | 12.31 | 12.46 |
* | 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 2023 | 3 |
(Unaudited)
Portfolio Allocation (%) (at June 30, 2023) | |
Allocations to Underlying Funds | |
Equity Funds | 52.3 |
U.S. Large Cap | 52.3 |
Exchange-Traded Fixed Income Funds | 3.1 |
Investment Grade | 3.1 |
Fixed Income Funds | 26.4 |
Investment Grade | 26.4 |
Allocations to Tactical Assets | |
Money Market Funds(a) | 10.9 |
Put Option Contracts Purchased | 0.4 |
Residential Mortgage-Backed Securities - Agency | 6.9 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds, including investing for the purpose of covering obligations relating to the Fund’s investment in derivatives. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and the derivative instruments discussion in Note 2 to the Notes to Financial Statements. |
4 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2023 |
(Unaudited)
January 1, 2023 — June 30, 2023 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,080.50 | 1,023.73 | 1.24 | 1.21 | 0.24 | 3.89 | 3.78 | 0.75 |
Class 2 | 1,000.00 | 1,000.00 | 1,079.60 | 1,022.54 | 2.49 | 2.42 | 0.48 | 5.13 | 4.99 | 0.99 |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2023 | 5 |
June 30, 2023 (Unaudited)
Equity Funds 55.9% | ||
Shares | Value ($) | |
U.S. Large Cap 55.9% | ||
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 475,870 | 39,678,047 |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 2,260,723 | 39,924,367 |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares(a),(b) | 649,837 | 33,486,108 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 986,689 | 32,106,859 |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(a),(b) | 2,029,701 | 69,233,101 |
Total | 214,428,482 | |
Total Equity Funds (Cost $158,065,320) | 214,428,482 | |
Exchange-Traded Fixed Income Funds 3.3% | ||
Investment Grade 3.3% | ||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 56,935 | 6,156,951 |
Vanguard Intermediate-Term Corporate Bond ETF | 83,100 | 6,567,393 |
Total | 12,724,344 | |
Total Exchange-Traded Fixed Income Funds (Cost $12,404,725) | 12,724,344 | |
Fixed Income Funds 28.2% | ||
Investment Grade 28.2% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 6,175,973 | 52,125,211 |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(a) | 5,811,379 | 56,079,800 |
Total | 108,205,011 | |
Total Fixed Income Funds (Cost $124,108,571) | 108,205,011 |
Residential Mortgage-Backed Securities - Agency 7.4% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(c) | ||||
07/18/2038- 07/13/2053 | 3.000% | 2,920,000 | 2,663,123 | |
07/18/2038- 07/13/2053 | 3.500% | 8,650,000 | 8,049,982 | |
07/18/2038- 07/13/2053 | 4.000% | 7,650,000 | 7,253,998 | |
07/13/2053 | 4.500% | 6,650,000 | 6,393,352 | |
07/13/2053 | 5.000% | 4,000,000 | 3,919,375 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $28,450,307) | 28,279,830 |
Put Option Contracts Purchased 0.4% | ||||
Value ($) | ||||
(Cost $3,864,781) | 1,669,680 |
Money Market Funds 11.7% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.323%(a),(d) | 44,932,553 | 44,914,580 |
Total Money Market Funds (Cost $44,910,005) | 44,914,580 | |
Total Investments in Securities (Cost: $371,803,709) | 410,221,927 | |
Other Assets & Liabilities, Net | (26,475,050) | |
Net Assets | 383,746,877 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | 44 | 09/2023 | USD | 9,874,150 | 321,280 | — |
U.S. Long Bond | 43 | 09/2023 | USD | 5,456,969 | 1,140 | — |
U.S. Long Bond | 3 | 09/2023 | USD | 380,719 | — | (3,381) |
U.S. Treasury 10-Year Note | 3 | 09/2023 | USD | 336,797 | — | (5,646) |
6 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Long futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 2-Year Note | 23 | 09/2023 | USD | 4,676,906 | — | (52,671) |
U.S. Treasury 5-Year Note | 59 | 09/2023 | USD | 6,318,531 | — | (110,145) |
U.S. Treasury Ultra Bond | 26 | 09/2023 | USD | 3,541,688 | 44,332 | — |
U.S. Treasury Ultra Bond | 4 | 09/2023 | USD | 544,875 | — | (5,133) |
Total | 366,752 | (176,976) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | (41) | 09/2023 | USD | (9,200,913) | — | (243,389) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 52,069,446 | 117 | 3,300.00 | 12/20/2024 | 2,168,575 | 770,445 |
S&P 500 Index | JPMorgan | USD | 15,576,330 | 35 | 3,450.00 | 12/20/2024 | 372,388 | 277,900 |
S&P 500 Index | JPMorgan | USD | 19,581,672 | 44 | 3,200.00 | 12/20/2024 | 775,543 | 254,540 |
S&P 500 Index | JPMorgan | USD | 12,016,026 | 27 | 3,400.00 | 12/20/2024 | 291,790 | 201,690 |
S&P 500 Index | JPMorgan | USD | 5,340,456 | 12 | 3,350.00 | 12/20/2024 | 164,460 | 84,240 |
S&P 500 Index | JPMorgan | USD | 4,005,342 | 9 | 3,550.00 | 12/20/2024 | 92,025 | 80,865 |
Total | 3,864,781 | 1,669,680 |
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America Investment Grade Index, Series 40 | Morgan Stanley | 06/20/2028 | 1.000 | Quarterly | 0.658 | USD | 11,000,000 | 116,813 | — | — | 116,813 | — |
(a) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Short-Term Cash Fund, 5.323% | |||||||||
31,415,032 | 39,528,387 | (26,026,340) | (2,499) | 44,914,580 | — | (1,133) | 1,072,288 | 44,932,553 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
36,164,245 | 218,726 | (2,151,437) | 5,446,513 | 39,678,047 | — | 129,677 | — | 475,870 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
51,602,314 | 1,096,735 | (2,231,165) | 1,657,327 | 52,125,211 | — | (587,033) | — | 6,175,973 |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2023 | 7 |
June 30, 2023 (Unaudited)
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares | |||||||||
36,134,958 | 236,427 | (2,963,392) | 6,516,374 | 39,924,367 | — | 212,701 | — | 2,260,723 | |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares | |||||||||
30,190,056 | 141,621 | (3,444,156) | 6,598,587 | 33,486,108 | — | (269,943) | — | 649,837 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
30,532,920 | 1,385,381 | (347,090) | 535,648 | 32,106,859 | — | 1,787 | — | 986,689 | |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares | |||||||||
55,325,569 | 1,172,313 | (2,212,732) | 1,794,650 | 56,079,800 | — | (379,476) | — | 5,811,379 | |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares | |||||||||
63,362,654 | 643,429 | (3,463,137) | 8,690,155 | 69,233,101 | — | 153,365 | — | 2,029,701 | |
Total | 334,727,748 | 31,236,755 | 367,548,073 | — | (740,055) | 1,072,288 |
(b) | Non-income producing investment. |
(c) | Represents a security purchased on a when-issued basis. |
(d) | The rate shown is the seven-day current annualized yield at June 30, 2023. |
TBA | To Be Announced |
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 2023 |
June 30, 2023 (Unaudited)
The Fund’s Board of Trustees (the Board) has designated the Investment Manager, through its Valuation Committee (the Committee), as valuation designee, responsible for determining the fair value of the assets of the Fund for which market quotations are not readily available using valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Equity Funds | — | — | — | 214,428,482 | 214,428,482 |
Exchange-Traded Fixed Income Funds | 12,724,344 | — | — | — | 12,724,344 |
Fixed Income Funds | — | — | — | 108,205,011 | 108,205,011 |
Residential Mortgage-Backed Securities - Agency | — | 28,279,830 | — | — | 28,279,830 |
Put Option Contracts Purchased | 1,669,680 | — | — | — | 1,669,680 |
Money Market Funds | 44,914,580 | — | — | — | 44,914,580 |
Total Investments in Securities | 59,308,604 | 28,279,830 | — | 322,633,493 | 410,221,927 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 366,752 | — | — | — | 366,752 |
Swap Contracts | — | 116,813 | — | — | 116,813 |
Liability | |||||
Futures Contracts | (420,365) | — | — | — | (420,365) |
Total | 59,254,991 | 28,396,643 | — | 322,633,493 | 410,285,127 |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2023 | 9 |
June 30, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $40,855,032) | $41,004,174 |
Affiliated issuers (cost $327,083,896) | 367,548,073 |
Option contracts purchased (cost $3,864,781) | 1,669,680 |
Cash | 102,159 |
Margin deposits on: | |
Futures contracts | 1,490,300 |
Swap contracts | 301,977 |
Receivable for: | |
Investments sold | 200,189 |
Dividends | 196,204 |
Interest | 44,212 |
Variation margin for futures contracts | 195,882 |
Variation margin for swap contracts | 14,210 |
Prepaid expenses | 1,586 |
Trustees’ deferred compensation plan | 23,372 |
Total assets | 412,792,018 |
Liabilities | |
Payable for: | |
Investments purchased on a delayed delivery basis | 28,494,519 |
Capital shares redeemed | 355,703 |
Variation margin for futures contracts | 109,674 |
Management services fees | 1,379 |
Distribution and/or service fees | 2,615 |
Service fees | 18,935 |
Compensation of board members | 16,692 |
Compensation of chief compliance officer | 35 |
Other expenses | 22,217 |
Trustees’ deferred compensation plan | 23,372 |
Total liabilities | 29,045,141 |
Net assets applicable to outstanding capital stock | $383,746,877 |
Represented by | |
Trust capital | $383,746,877 |
Total - representing net assets applicable to outstanding capital stock | $383,746,877 |
Class 1 | |
Net assets | $3,122 |
Shares outstanding | 233 |
Net asset value per share(a) | $13.42 |
Class 2 | |
Net assets | $383,743,755 |
Shares outstanding | 28,872,426 |
Net asset value per share | $13.29 |
(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 2023 |
Six Months Ended June 30, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $205,955 |
Dividends — affiliated issuers | 1,072,288 |
Interest | 51,233 |
Total income | 1,329,476 |
Expenses: | |
Management services fees | 259,207 |
Distribution and/or service fees | |
Class 2 | 471,035 |
Service fees | 113,355 |
Compensation of board members | 9,742 |
Custodian fees | 11,513 |
Printing and postage fees | 4,726 |
Accounting services fees | 15,045 |
Legal fees | 8,406 |
Interest on collateral | 160 |
Compensation of chief compliance officer | 37 |
Other | 4,894 |
Total expenses | 898,120 |
Net investment income | 431,356 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (1,147,757) |
Investments — affiliated issuers | (740,055) |
Futures contracts | 1,499,321 |
Option contracts purchased | (493,531) |
Swap contracts | 107,081 |
Net realized loss | (774,941) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 1,838,511 |
Investments — affiliated issuers | 31,236,755 |
Futures contracts | (1,526,093) |
Option contracts purchased | (2,287,155) |
Swap contracts | 38,028 |
Net change in unrealized appreciation (depreciation) | 29,300,046 |
Net realized and unrealized gain | 28,525,105 |
Net increase in net assets resulting from operations | $28,956,461 |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2023 | 11 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Operations | ||
Net investment income | $431,356 | $2,150,362 |
Net realized loss | (774,941) | (17,016,542) |
Net change in unrealized appreciation (depreciation) | 29,300,046 | (53,719,591) |
Net increase (decrease) in net assets resulting from operations | 28,956,461 | (68,585,771) |
Increase (decrease) in net assets from capital stock activity | (12,257,494) | 47,809,432 |
Total increase (decrease) in net assets | 16,698,967 | (20,776,339) |
Net assets at beginning of period | 367,047,910 | 387,824,249 |
Net assets at end of period | $383,746,877 | $367,047,910 |
Six Months Ended | Year Ended | |||
June 30, 2023 (Unaudited) | December 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 2 | ||||
Shares sold | 502,324 | 6,386,876 | 4,809,296 | 61,661,766 |
Shares redeemed | (1,454,427) | (18,644,370) | (1,070,788) | (13,852,334) |
Net increase (decrease) | (952,103) | (12,257,494) | 3,738,508 | 47,809,432 |
Total net increase (decrease) | (952,103) | (12,257,494) | 3,738,508 | 47,809,432 |
12 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2023 |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2023 | 13 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $12.42 | 0.03 | 0.97 | 1.00 |
Year Ended 12/31/2022 | $14.96 | 0.11 | (2.65) | (2.54) |
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(d) | $10.75 | 0.10 | 1.12 | 1.22 |
Class 2 | ||||
Six Months Ended 6/30/2023 (Unaudited) | $12.31 | 0.01 | 0.97 | 0.98 |
Year Ended 12/31/2022 | $14.87 | 0.08 | (2.64) | (2.56) |
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) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interest on collateral expense which is less than 0.01%. |
(d) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
14 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2023 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $13.42 | 8.05% | 0.24%(c) | 0.24%(c) | 0.49% | 59% | $3 |
Year Ended 12/31/2022 | $12.42 | (16.98%) | 0.24%(c) | 0.24%(c) | 0.84% | 114% | $3 |
Year Ended 12/31/2021 | $14.96 | 13.51% | 0.23%(c) | 0.23%(c) | 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(d) | $11.97 | 11.35% | 0.25% | 0.25% | 1.02% | 24% | $3 |
Class 2 | |||||||
Six Months Ended 6/30/2023 (Unaudited) | $13.29 | 7.96% | 0.48%(c) | 0.48%(c) | 0.23% | 59% | $383,744 |
Year Ended 12/31/2022 | $12.31 | (17.22%) | 0.48%(c) | 0.48%(c) | 0.59% | 114% | $367,045 |
Year Ended 12/31/2021 | $14.87 | 13.34% | 0.48%(c) | 0.48%(c) | 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% | $80,119 |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2023 | 15 |
June 30, 2023 (Unaudited)
16 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2023 | 17 |
June 30, 2023 (Unaudited)
18 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2023 | 19 |
June 30, 2023 (Unaudited)
20 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of trust capital — unrealized appreciation on swap contracts | 116,813* |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 321,280* |
Equity risk | Investments, at value — Option contracts purchased | 1,669,680 |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 45,472* |
Total | 2,153,245 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 243,389* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 176,976* |
Total | 420,365 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin for futures and centrally cleared swaps, if any, is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Futures contracts ($) | Option contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 107,081 | 107,081 |
Equity risk | 1,499,165 | (493,531) | — | 1,005,634 |
Interest rate risk | 156 | — | — | 156 |
Total | 1,499,321 | (493,531) | 107,081 | 1,112,871 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||
Risk exposure category | Futures contracts ($) | Option contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 38,028 | 38,028 |
Equity risk | (1,479,674) | (2,287,155) | — | (3,766,829) |
Interest rate risk | (46,419) | — | — | (46,419) |
Total | (1,526,093) | (2,287,155) | 38,028 | (3,775,220) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 32,853,649 |
Futures contracts — short | 6,876,219 |
Credit default swap contracts — sell protection | 11,000,000 |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2023 | 21 |
June 30, 2023 (Unaudited)
Derivative instrument | Average value ($)* |
Option contracts purchased | 2,064,385 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2023. |
22 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
JPMorgan ($) | Morgan Stanley ($) | Total ($) | |
Assets | |||
Centrally cleared credit default swap contracts (a) | - | 14,210 | 14,210 |
Put option contracts purchased | 1,669,680 | - | 1,669,680 |
Total assets | 1,669,680 | 14,210 | 1,683,890 |
Total financial and derivative net assets | 1,669,680 | 14,210 | 1,683,890 |
Total collateral received (pledged) (b) | - | - | - |
Net amount (c) | 1,669,680 | 14,210 | 1,683,890 |
(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 2023 | 23 |
June 30, 2023 (Unaudited)
24 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2023 | 25 |
June 30, 2023 (Unaudited)
May 1, 2023 through April 30, 2024 | Prior to May 1, 2023 | |
Class 1 | 0.78% | 0.79% |
Class 2 | 1.03 | 1.04 |
26 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2023 |
June 30, 2023 (Unaudited)
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2023 | 27 |
June 30, 2023 (Unaudited)
28 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2023 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2023 | 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 one or more benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | Terms of the Management Agreement; |
• | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
• | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
• | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
30 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2023 |
(Unaudited)
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2023 | 31 |
(Unaudited)
these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
32 | Variable Portfolio – Managed Risk U.S. Fund | Semiannual Report 2023 |
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, 2023 |
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|
|
|
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title) | /s/ Daniel J. Beckman |
| Daniel J. Beckman, President and Principal Executive Officer |
|
|
Date | August 22, 2023 |
By (Signature and Title) | /s/ Michael G. Clarke |
| Michael G. Clarke, Chief Financial Officer, |
| Principal Financial Officer and Senior Vice President |
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|
Date | August 22, 2023 |
By (Signature and Title) | /s/ Joseph Beranek |
| Joseph Beranek, Treasurer, Chief Accounting |
| Officer and Principal Financial Officer |
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|
Date | August 22, 2023 |