Third Quarter Report
September 30, 2023 (Unaudited)
September 30, 2023 (Unaudited)
Portfolio Navigator Funds
References to “Fund” throughout this first quarter report refer to the following individual funds, singularly or collectively as the context requires:
Variable Portfolio – Conservative Portfolio
Variable Portfolio – Moderately Conservative Portfolio
Variable Portfolio – Moderate Portfolio
Variable Portfolio – Moderately Aggressive Portfolio
Variable Portfolio – Aggressive Portfolio
Please remember that you may not buy (nor will you own) shares of the Fund directly. Each Fund is available through variable annuity contracts and variable life insurance policies offered by the separate accounts of participating insurance companies. Please contact your financial advisor or insurance representative for more information.
Not FDIC or NCUA Insured • No Financial Institution Guarantee • May Lose Value
Portfolio of Investments
Variable Portfolio – Conservative Portfolio, September 30, 2023 (Unaudited)
Variable Portfolio – Conservative Portfolio, September 30, 2023 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
Alternative Strategies Funds 0.2% | ||
Shares | Value ($) | |
Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares(a) | 326,590 | 1,276,968 |
Total Alternative Strategies Funds (Cost $1,537,610) | 1,276,968 | |
Equity Funds 19.1% | ||
Global Real Estate 0.2% | ||
CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares(a) | 284,598 | 1,548,214 |
International 5.8% | ||
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(a) | 2,353,434 | 28,853,098 |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares(a) | 449,304 | 4,088,664 |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares(a) | 782,153 | 7,923,216 |
Variable Portfolio – Partners International Value Fund, Class 1 Shares(a) | 851,649 | 7,894,784 |
Total | 48,759,762 | |
U.S. Large Cap 11.9% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 348,381 | 13,499,776 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 171,997 | 14,007,426 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 231,059 | 7,504,803 |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 1,698,555 | 28,807,500 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 228,604 | 8,115,439 |
CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 117,587 | 4,129,660 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 95,013 | 3,911,674 |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares(a),(b) | 74,813 | 3,755,620 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 125,305 | 3,950,848 |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(a),(b) | 373,871 | 12,453,646 |
Total | 100,136,392 |
Equity Funds (continued) | ||
U.S. Small Cap 1.2% | ||
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares(a) | 199,388 | 2,249,102 |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares(a),(b) | 241,797 | 2,555,790 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 104,965 | 2,755,326 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 84,347 | 2,774,171 |
Total | 10,334,389 | |
Total Equity Funds (Cost $149,615,818) | 160,778,757 | |
Fixed Income Funds 72.6% | ||
Emerging Markets 0.6% | ||
Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares(a) | 693,946 | 5,038,045 |
Investment Grade 72.0% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 14,260,436 | 113,655,677 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 2,774,707 | 25,249,830 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 3,476,673 | 24,267,178 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 4,077,524 | 33,639,569 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 6,908,835 | 58,932,358 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 11,526,713 | 100,974,009 |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(a) | 27,331,291 | 248,441,439 |
Total | 605,160,060 | |
Total Fixed Income Funds (Cost $766,271,345) | 610,198,105 |
Residential Mortgage-Backed Securities - Agency 2.1% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(c) | ||||
10/18/2038 | 5.000% | 2,734,000 | 2,662,232 | |
10/12/2053 | 5.500% | 15,483,000 | 14,962,263 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $17,829,503) | 17,624,495 |
2 | Variable Portfolio – Conservative Portfolio | Third Quarter Report 2023 |
Portfolio of Investments (continued)
Variable Portfolio – Conservative Portfolio, September 30, 2023 (Unaudited)
Variable Portfolio – Conservative Portfolio, September 30, 2023 (Unaudited)
Money Market Funds 7.9% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.515%(a),(d) | 66,479,522 | 66,459,578 |
Total Money Market Funds (Cost $66,451,353) | 66,459,578 | |
Total Investments in Securities (Cost: $1,001,705,629) | 856,337,903 | |
Other Assets & Liabilities, Net | (16,302,919) | |
Net Assets | 840,034,984 |
At September 30, 2023, securities and/or cash totaling $1,400,258 were pledged as collateral.
Investments in derivatives
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
MSCI EAFE Index | 42 | 12/2023 | USD | 4,287,150 | — | (148,726) |
S&P 500 Index E-mini | 43 | 12/2023 | USD | 9,299,825 | — | (268,526) |
TOPIX Index | 14 | 12/2023 | JPY | 325,290,000 | — | (34,609) |
U.S. Treasury 10-Year Note | 178 | 12/2023 | USD | 19,235,125 | — | (371,451) |
Total | — | (823,312) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Russell 2000 Index E-mini | (37) | 12/2023 | USD | (3,327,410) | 136,253 | — |
SPI 200 Index | (13) | 12/2023 | AUD | (2,302,950) | 707 | — |
SPI 200 Index | (7) | 12/2023 | AUD | (1,240,050) | — | (168) |
Total | 136,960 | (168) |
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America Investment Grade Index, Series 41 | Morgan Stanley | 12/20/2028 | 1.000 | Quarterly | 0.730 | USD | 8,700,000 | (16,680) | — | — | — | (16,680) |
* Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
Variable Portfolio – Conservative Portfolio | Third Quarter Report 2023 | 3 |
Portfolio of Investments (continued)
Variable Portfolio – Conservative Portfolio, September 30, 2023 (Unaudited)
Variable Portfolio – Conservative Portfolio, September 30, 2023 (Unaudited)
Notes to Portfolio of Investments
(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 September 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, 5.515% | |||||||||
66,826,318 | 45,201,392 | (45,576,966) | 8,834 | 66,459,578 | — | (9,072) | 2,570,899 | 66,479,522 | |
Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares | |||||||||
1,317,827 | 273,419 | — | (314,278) | 1,276,968 | — | — | 273,419 | 326,590 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
15,118,307 | 423,282 | (2,920,344) | 878,531 | 13,499,776 | — | 1,673,043 | — | 348,381 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
14,721,497 | 810,815 | (2,307,564) | 782,678 | 14,007,426 | — | 1,154,051 | — | 171,997 | |
Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares | |||||||||
5,563,850 | 309,604 | (835,239) | (170) | 5,038,045 | — | (169,588) | 221,813 | 693,946 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
123,980,285 | 3,195,309 | (11,527,140) | (1,992,777) | 113,655,677 | — | (2,197,880) | 2,820,588 | 14,260,436 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
8,378,625 | 403,577 | (1,915,271) | 637,872 | 7,504,803 | — | 1,398,919 | — | 231,059 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
27,754,158 | 1,178,198 | (3,536,792) | (145,734) | 25,249,830 | — | (27,497) | 882,616 | 2,774,707 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
26,092,209 | 2,055,789 | (2,004,725) | (1,876,095) | 24,267,178 | — | (357,373) | 881,013 | 3,476,673 | |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares | |||||||||
31,979,674 | 1,782,736 | (5,998,736) | 1,089,424 | 28,853,098 | — | 396,864 | 616,095 | 2,353,434 | |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares | |||||||||
30,235,241 | 1,132,299 | (5,715,772) | 3,155,732 | 28,807,500 | — | 1,202,423 | — | 1,698,555 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
9,212,770 | 784,212 | (1,019,998) | (861,545) | 8,115,439 | — | 628,538 | — | 228,604 | |
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares | |||||||||
2,590,882 | 563,908 | (1,511,707) | 606,019 | 2,249,102 | 161,951 | (578,650) | 16,782 | 199,388 | |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares | |||||||||
2,224,528 | — | — | 331,262 | 2,555,790 | — | — | — | 241,797 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
36,709,649 | 1,236,983 | (3,044,968) | (1,262,095) | 33,639,569 | — | (506,511) | 998,263 | 4,077,524 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
64,181,792 | 2,388,367 | (5,628,694) | (2,009,107) | 58,932,358 | — | (1,131,125) | 2,069,523 | 6,908,835 | |
CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares | |||||||||
1,705,058 | 388,296 | (471,464) | (73,676) | 1,548,214 | 112,811 | (87,130) | 34,376 | 284,598 | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
4,512,090 | 1,599,080 | (1,515,244) | (466,266) | 4,129,660 | — | 502,285 | — | 117,587 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
3,444,817 | 1,972,535 | (2,288,141) | 782,463 | 3,911,674 | — | (266,788) | — | 95,013 | |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares | |||||||||
4,329,788 | 1,595,504 | (2,511,551) | 341,879 | 3,755,620 | — | 426,488 | — | 74,813 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
4,602,426 | 1,698,263 | (1,570,468) | (779,373) | 3,950,848 | — | 839,422 | — | 125,305 |
4 | Variable Portfolio – Conservative Portfolio | Third Quarter Report 2023 |
Portfolio of Investments (continued)
Variable Portfolio – Conservative Portfolio, September 30, 2023 (Unaudited)
Variable Portfolio – Conservative Portfolio, September 30, 2023 (Unaudited)
Notes to Portfolio of Investments (continued)
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
110,197,514 | 3,151,312 | (9,826,900) | (2,547,917) | 100,974,009 | — | (1,387,103) | 2,665,047 | 11,526,713 | |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares | |||||||||
271,112,338 | 8,407,782 | (24,477,297) | (6,601,384) | 248,441,439 | — | (1,940,699) | 7,207,297 | 27,331,291 | |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares | |||||||||
14,209,954 | 493,331 | (2,141,751) | (107,888) | 12,453,646 | — | 1,795,156 | — | 373,871 | |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares | |||||||||
4,510,225 | 154,390 | (837,224) | 261,273 | 4,088,664 | — | (71,486) | 66,111 | 449,304 | |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares | |||||||||
8,393,833 | 499,278 | (913,070) | (56,825) | 7,923,216 | — | 156,884 | 41,664 | 782,153 | |
Variable Portfolio – Partners International Value Fund, Class 1 Shares | |||||||||
9,219,826 | 574,174 | (1,868,749) | (30,467) | 7,894,784 | — | 654,958 | 201,405 | 851,649 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
3,067,135 | 330,515 | (350,726) | (291,598) | 2,755,326 | — | 238,714 | — | 104,965 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
3,488,352 | 464,659 | (1,329,472) | 150,632 | 2,774,171 | — | (78,623) | — | 84,347 | |
Total | 909,680,968 | (10,390,596) | 838,713,408 | 274,762 | 2,258,220 | 21,566,911 |
(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 September 30, 2023. |
Abbreviation Legend
TBA | To Be Announced |
Currency Legend
AUD | Australian Dollar |
JPY | Japanese Yen |
USD | US Dollar |
Investments are valued using policies described in the Notes to Financial Statements in the most recent shareholder report.
Variable Portfolio – Conservative Portfolio | Third Quarter Report 2023 | 5 |
Portfolio of Investments
Variable Portfolio – Moderately Conservative Portfolio, September 30, 2023 (Unaudited)
Variable Portfolio – Moderately Conservative Portfolio, September 30, 2023 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
Alternative Strategies Funds 0.3% | ||
Shares | Value ($) | |
Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares(a) | 1,328,363 | 5,193,898 |
Total Alternative Strategies Funds (Cost $6,150,243) | 5,193,898 | |
Equity Funds 35.6% | ||
Global Real Estate 0.4% | ||
CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares(a) | 1,474,563 | 8,021,622 |
International 11.5% | ||
Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares(a) | 1,003,275 | 9,119,775 |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(a) | 7,673,122 | 94,072,471 |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares(a) | 5,834,223 | 53,091,428 |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares(a) | 3,784,632 | 38,338,327 |
Variable Portfolio – Partners International Value Fund, Class 1 Shares(a) | 4,473,125 | 41,465,867 |
Total | 236,087,868 | |
U.S. Large Cap 21.5% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 1,074,530 | 41,638,050 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 512,004 | 41,697,559 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 1,430,156 | 46,451,469 |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 4,893,528 | 82,994,240 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 1,048,114 | 37,208,030 |
CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 881,764 | 30,967,547 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 862,271 | 35,499,690 |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares(a),(b) | 721,992 | 36,243,998 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 980,109 | 30,902,850 |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(a),(b) | 1,713,582 | 57,079,419 |
Total | 440,682,852 |
Equity Funds (continued) | ||
U.S. Mid Cap 0.7% | ||
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(a),(b) | 173,137 | 7,238,865 |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(a),(b) | 184,751 | 7,260,703 |
Total | 14,499,568 | |
U.S. Small Cap 1.5% | ||
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares(a) | 644,290 | 7,267,588 |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares(a),(b) | 707,844 | 7,481,909 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 310,672 | 8,155,140 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 215,386 | 7,084,053 |
Total | 29,988,690 | |
Total Equity Funds (Cost $611,231,429) | 729,280,600 | |
Fixed Income Funds 59.6% | ||
Emerging Markets 0.6% | ||
Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares(a) | 1,727,781 | 12,543,693 |
Investment Grade 59.0% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 22,293,203 | 177,676,831 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 4,684,413 | 42,628,161 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 5,742,829 | 40,084,946 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 5,052,349 | 41,681,883 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 15,898,781 | 135,616,598 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 26,188,064 | 229,407,441 |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(a) | 59,717,907 | 542,835,770 |
Total | 1,209,931,630 | |
Total Fixed Income Funds (Cost $1,523,384,951) | 1,222,475,323 |
6 | Variable Portfolio – Moderately Conservative Portfolio | Third Quarter Report 2023 |
Portfolio of Investments (continued)
Variable Portfolio – Moderately Conservative Portfolio, September 30, 2023 (Unaudited)
Variable Portfolio – Moderately Conservative Portfolio, September 30, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency 2.1% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(c) | ||||
10/18/2038 | 5.000% | 6,637,000 | 6,462,779 | |
10/12/2053 | 5.500% | 37,589,000 | 36,324,776 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $43,285,259) | 42,787,555 |
Money Market Funds 4.4% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.515%(a),(d) | 90,637,094 | 90,609,903 |
Total Money Market Funds (Cost $90,601,982) | 90,609,903 | |
Total Investments in Securities (Cost: $2,274,653,864) | 2,090,347,279 | |
Other Assets & Liabilities, Net | (40,487,745) | |
Net Assets | 2,049,859,534 |
At September 30, 2023, securities and/or cash totaling $2,784,305 were pledged as collateral.
Investments in derivatives
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
MSCI EAFE Index | 66 | 12/2023 | USD | 6,736,950 | — | (233,712) |
S&P 500 Index E-mini | 2 | 12/2023 | USD | 432,550 | — | (2,209) |
TOPIX Index | 54 | 12/2023 | JPY | 1,254,690,000 | — | (133,491) |
U.S. Treasury 10-Year Note | 450 | 12/2023 | USD | 48,628,125 | 139,657 | — |
Total | 139,657 | (369,412) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
MSCI Emerging Markets Index | (115) | 12/2023 | USD | (5,494,125) | 189,400 | — |
Russell 2000 Index E-mini | (15) | 12/2023 | USD | (1,348,950) | 55,238 | — |
SPI 200 Index | (57) | 12/2023 | AUD | (10,097,550) | 3,099 | — |
SPI 200 Index | (30) | 12/2023 | AUD | (5,314,500) | — | (721) |
Total | 247,737 | (721) |
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America Investment Grade Index, Series 41 | Morgan Stanley | 12/20/2028 | 1.000 | Quarterly | 0.730 | USD | 21,300,000 | (40,838) | — | — | — | (40,838) |
Variable Portfolio – Moderately Conservative Portfolio | Third Quarter Report 2023 | 7 |
Portfolio of Investments (continued)
Variable Portfolio – Moderately Conservative Portfolio, September 30, 2023 (Unaudited)
Variable Portfolio – Moderately Conservative Portfolio, September 30, 2023 (Unaudited)
* Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
Notes to Portfolio of Investments
(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 September 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, 5.515% | |||||||||
95,077,223 | 50,676,813 | (55,147,876) | 3,743 | 90,609,903 | — | (4,118) | 3,598,384 | 90,637,094 | |
Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares | |||||||||
5,394,952 | 1,153,883 | (92,420) | (1,262,517) | 5,193,898 | — | (24,715) | 1,122,079 | 1,328,363 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
44,049,756 | — | (3,923,958) | 1,512,252 | 41,638,050 | — | 6,006,174 | — | 1,074,530 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
44,239,078 | — | (3,837,452) | 1,295,933 | 41,697,559 | — | 4,507,283 | — | 512,004 | |
Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares | |||||||||
13,923,806 | 549,816 | (1,871,582) | (58,347) | 12,543,693 | — | (371,713) | 549,816 | 1,727,781 | |
Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares | |||||||||
9,019,348 | 10,402 | — | 90,025 | 9,119,775 | — | — | 10,402 | 1,003,275 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
191,465,292 | 4,348,635 | (14,271,956) | (3,865,140) | 177,676,831 | — | (2,682,804) | 4,348,635 | 22,293,203 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
44,059,699 | — | (3,354,230) | 5,746,000 | 46,451,469 | — | 4,876,442 | — | 1,430,156 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
53,416,954 | 1,470,905 | (12,109,120) | (150,578) | 42,628,161 | — | (13,755) | 1,470,905 | 4,684,413 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
42,700,027 | 1,657,172 | (624,183) | (3,648,070) | 40,084,946 | — | (98,766) | 1,450,500 | 5,742,829 | |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares | |||||||||
105,027,505 | 2,011,968 | (19,268,749) | 6,301,747 | 94,072,471 | — | (1,617,059) | 2,011,968 | 7,673,122 | |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares | |||||||||
88,536,016 | — | (11,290,643) | 5,748,867 | 82,994,240 | — | 7,239,943 | — | 4,893,528 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
42,328,225 | 71,916 | (2,859,078) | (2,333,033) | 37,208,030 | — | 1,097,904 | — | 1,048,114 | |
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares | |||||||||
8,030,769 | 611,340 | (2,110,074) | 735,553 | 7,267,588 | 553,713 | (818,791) | 57,377 | 644,290 | |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares | |||||||||
6,512,163 | — | — | 969,746 | 7,481,909 | — | — | — | 707,844 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
45,089,654 | 1,222,370 | (2,893,098) | (1,737,043) | 41,681,883 | — | (450,473) | 1,222,370 | 5,052,349 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
146,490,749 | 4,702,565 | (10,131,480) | (5,445,236) | 135,616,598 | — | (1,724,382) | 4,702,565 | 15,898,781 | |
CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares | |||||||||
8,428,721 | 790,600 | (356,385) | (841,314) | 8,021,622 | 591,286 | (110,094) | 180,179 | 1,474,563 |
8 | Variable Portfolio – Moderately Conservative Portfolio | Third Quarter Report 2023 |
Portfolio of Investments (continued)
Variable Portfolio – Moderately Conservative Portfolio, September 30, 2023 (Unaudited)
Variable Portfolio – Moderately Conservative Portfolio, September 30, 2023 (Unaudited)
Notes to Portfolio of Investments (continued)
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® – MFS® Value Fund, Class 1 Shares | |||||||||
38,463,176 | 161,311 | (5,617,809) | (2,039,131) | 30,967,547 | — | 1,837,194 | — | 881,764 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
25,446,429 | 6,334,579 | (632,516) | 4,351,198 | 35,499,690 | — | 240,252 | — | 862,271 | |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares | |||||||||
34,640,016 | 6,094,000 | (4,534,186) | 44,168 | 36,243,998 | — | 6,614,439 | — | 721,992 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
37,974,107 | 225,724 | (2,190,922) | (5,106,059) | 30,902,850 | — | 4,958,630 | — | 980,109 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
248,935,545 | 5,997,045 | (18,729,400) | (6,795,749) | 229,407,441 | — | (2,125,108) | 5,997,045 | 26,188,064 | |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares | |||||||||
8,122,141 | 151 | (326,371) | (557,056) | 7,238,865 | — | 561,077 | — | 173,137 | |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares | |||||||||
7,566,648 | 91 | (466,210) | 160,174 | 7,260,703 | — | 653,330 | — | 184,751 | |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares | |||||||||
578,525,501 | 15,488,816 | (37,149,427) | (14,029,120) | 542,835,770 | — | (4,578,664) | 15,488,816 | 59,717,907 | |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares | |||||||||
58,116,466 | — | (2,500,310) | 1,463,263 | 57,079,419 | — | 5,207,689 | — | 1,713,582 | |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares | |||||||||
57,054,632 | 1,003,959 | (8,756,129) | 3,788,966 | 53,091,428 | — | (1,497,088) | 849,921 | 5,834,223 | |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares | |||||||||
37,160,787 | 969,891 | — | 207,649 | 38,338,327 | — | — | 194,687 | 3,784,632 | |
Variable Portfolio – Partners International Value Fund, Class 1 Shares | |||||||||
45,195,328 | 1,003,854 | (7,119,380) | 2,386,065 | 41,465,867 | — | 463,941 | 1,003,854 | 4,473,125 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
9,912,719 | 16,636 | (1,124,940) | (649,275) | 8,155,140 | — | 500,417 | — | 310,672 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
6,576,080 | 483,344 | — | 24,629 | 7,084,053 | — | — | — | 215,386 | |
Total | 2,187,479,512 | (13,687,690) | 2,047,559,724 | 1,144,999 | 28,647,185 | 44,259,503 |
(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 September 30, 2023. |
Abbreviation Legend
TBA | To Be Announced |
Currency Legend
AUD | Australian Dollar |
JPY | Japanese Yen |
USD | US Dollar |
Investments are valued using policies described in the Notes to Financial Statements in the most recent shareholder report.
Variable Portfolio – Moderately Conservative Portfolio | Third Quarter Report 2023 | 9 |
Portfolio of Investments
Variable Portfolio – Moderate Portfolio, September 30, 2023 (Unaudited)
Variable Portfolio – Moderate Portfolio, September 30, 2023 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
Alternative Strategies Funds 0.3% | ||
Shares | Value ($) | |
Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares(a) | 10,426,171 | 40,766,329 |
Total Alternative Strategies Funds (Cost $48,566,145) | 40,766,329 | |
Equity Funds 50.2% | ||
Global Real Estate 0.6% | ||
CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares(a) | 14,154,532 | 77,000,651 |
International 14.7% | ||
Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares(a) | 3,173,029 | 28,842,835 |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(a) | 68,762,905 | 843,033,216 |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares(a) | 39,977,064 | 363,791,285 |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares(a) | 30,154,736 | 305,467,480 |
Variable Portfolio – Partners International Value Fund, Class 1 Shares(a) | 43,139,242 | 399,900,768 |
Total | 1,941,035,584 | |
U.S. Large Cap 31.8% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 9,464,074 | 366,732,885 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 4,135,279 | 336,777,155 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 13,402,366 | 435,308,862 |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 41,672,697 | 706,768,935 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 10,252,576 | 363,966,435 |
CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 8,738,053 | 306,880,420 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 8,217,786 | 338,326,246 |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares(a),(b) | 7,950,153 | 399,097,667 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 9,532,984 | 300,574,978 |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(a),(b) | 19,260,116 | 641,554,480 |
Total | 4,195,988,063 |
Equity Funds (continued) | ||
U.S. Mid Cap 1.1% | ||
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(a),(b) | 1,753,679 | 73,321,327 |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(a),(b) | 1,872,389 | 73,584,883 |
Total | 146,906,210 | |
U.S. Small Cap 2.0% | ||
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares(a) | 6,532,997 | 73,692,202 |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares(a),(b) | 6,197,818 | 65,510,936 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 2,516,666 | 66,062,476 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 1,595,954 | 52,490,940 |
Total | 257,756,554 | |
Total Equity Funds (Cost $5,318,179,069) | 6,618,687,062 | |
Fixed Income Funds 43.4% | ||
Emerging Markets 0.6% | ||
Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares(a) | 11,118,558 | 80,720,729 |
Investment Grade 42.8% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 125,969,112 | 1,003,973,820 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 19,502,226 | 177,470,252 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 77,997,702 | 544,423,963 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 28,320,036 | 233,640,300 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 77,672,806 | 662,549,031 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 134,720,128 | 1,180,148,320 |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(a) | 202,098,796 | 1,837,078,060 |
Total | 5,639,283,746 | |
Total Fixed Income Funds (Cost $7,177,767,428) | 5,720,004,475 |
10 | Variable Portfolio – Moderate Portfolio | Third Quarter Report 2023 |
Portfolio of Investments (continued)
Variable Portfolio – Moderate Portfolio, September 30, 2023 (Unaudited)
Variable Portfolio – Moderate Portfolio, September 30, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency 3.1% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(c) | ||||
10/18/2038 | 5.000% | 62,601,000 | 60,957,724 | |
10/12/2053 | 5.500% | 354,550,000 | 342,625,483 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $408,277,693) | 403,583,207 |
Money Market Funds 5.9% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.515%(a),(d) | 756,728,911 | 756,501,893 |
Columbia Variable Portfolio – Government Money Market Fund, Class 1 Shares, 4.980%(a),(d) | 27,925,480 | 27,925,480 |
Total Money Market Funds (Cost $784,341,730) | 784,427,373 | |
Total Investments in Securities (Cost: $13,737,132,065) | 13,567,468,446 | |
Other Assets & Liabilities, Net | (380,371,352) | |
Net Assets | 13,187,097,094 |
At September 30, 2023, securities and/or cash totaling $28,227,889 were pledged as collateral.
Investments in derivatives
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
MSCI EAFE Index | 854 | 12/2023 | USD | 87,172,050 | — | (3,024,094) |
Russell 2000 Index E-mini | 93 | 12/2023 | USD | 8,363,490 | — | (342,238) |
TOPIX Index | 959 | 12/2023 | JPY | 22,282,365,000 | — | (2,370,698) |
Total | — | (5,737,030) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | (347) | 12/2023 | USD | (75,047,425) | 3,222,770 | — |
SPI 200 Index | (556) | 12/2023 | AUD | (98,495,400) | 30,224 | — |
SPI 200 Index | (298) | 12/2023 | AUD | (52,790,700) | — | (7,158) |
Total | 3,252,994 | (7,158) |
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America Investment Grade Index, Series 41 | Morgan Stanley | 12/20/2028 | 1.000 | Quarterly | 0.730 | USD | 312,323,000 | (598,812) | — | — | — | (598,812) |
Variable Portfolio – Moderate Portfolio | Third Quarter Report 2023 | 11 |
Portfolio of Investments (continued)
Variable Portfolio – Moderate Portfolio, September 30, 2023 (Unaudited)
Variable Portfolio – Moderate Portfolio, September 30, 2023 (Unaudited)
* Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
Notes to Portfolio of Investments
(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 September 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, 5.515% | |||||||||
745,326,127 | 354,680,723 | (343,491,398) | (13,559) | 756,501,893 | — | 15,563 | 29,006,186 | 756,728,911 | |
Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares | |||||||||
44,271,607 | 9,159,207 | (2,931,381) | (9,733,104) | 40,766,329 | — | (773,669) | 9,159,207 | 10,426,171 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
343,745,896 | — | (12,470,312) | 35,457,301 | 366,732,885 | — | 22,965,795 | — | 9,464,074 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
345,716,005 | — | (24,947,193) | 16,008,343 | 336,777,155 | — | 29,576,331 | — | 4,135,279 | |
Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares | |||||||||
85,694,124 | 3,490,634 | (7,944,614) | (519,415) | 80,720,729 | — | (2,302,584) | 3,490,634 | 11,118,558 | |
Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares | |||||||||
28,525,217 | 32,899 | — | 284,719 | 28,842,835 | — | — | 32,899 | 3,173,029 | |
Columbia Variable Portfolio – Government Money Market Fund, Class 1 Shares, 4.980% | |||||||||
30,273,440 | 1,010,492 | (3,358,452) | — | 27,925,480 | — | — | 1,011,292 | 27,925,480 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
1,024,292,470 | 24,252,634 | (8,600,091) | (35,971,193) | 1,003,973,820 | — | (1,915,565) | 24,252,634 | 125,969,112 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
417,796,622 | — | (23,015,780) | 40,528,020 | 435,308,862 | — | 61,902,214 | — | 13,402,366 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
244,354,498 | 6,019,582 | (72,586,322) | (317,506) | 177,470,252 | — | 93,195 | 6,019,582 | 19,502,226 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
579,316,486 | 19,791,837 | (4,140,506) | (50,543,854) | 544,423,963 | — | (734,849) | 19,791,837 | 77,997,702 | |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares | |||||||||
906,703,495 | 17,801,965 | (125,260,923) | 43,788,679 | 843,033,216 | — | (3,976,147) | 17,801,965 | 68,762,905 | |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares | |||||||||
690,837,982 | — | (51,779,625) | 67,710,578 | 706,768,935 | — | 33,203,494 | — | 41,672,697 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
383,676,504 | — | (5,361,758) | (14,348,311) | 363,966,435 | — | 1,869,329 | — | 10,252,576 | |
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares | |||||||||
79,556,468 | 6,244,876 | (13,277,324) | 1,168,182 | 73,692,202 | 5,658,523 | (2,264,206) | 586,352 | 6,532,997 | |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares | |||||||||
57,019,926 | — | — | 8,491,010 | 65,510,936 | — | — | — | 6,197,818 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
244,681,647 | 6,779,645 | (6,365,337) | (11,455,655) | 233,640,300 | — | (852,394) | 6,779,645 | 28,320,036 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
676,098,346 | 22,607,555 | (1,015,794) | (35,141,076) | 662,549,031 | — | (220,813) | 22,607,555 | 77,672,806 |
12 | Variable Portfolio – Moderate Portfolio | Third Quarter Report 2023 |
Portfolio of Investments (continued)
Variable Portfolio – Moderate Portfolio, September 30, 2023 (Unaudited)
Variable Portfolio – Moderate Portfolio, September 30, 2023 (Unaudited)
Notes to Portfolio of Investments (continued)
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares | |||||||||
79,532,870 | 7,362,951 | (998,423) | (8,896,747) | 77,000,651 | 5,643,305 | (294,758) | 1,719,646 | 14,154,532 | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
384,035,812 | — | (52,827,052) | (24,328,340) | 306,880,420 | — | 22,304,242 | — | 8,738,053 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
242,615,387 | 57,034,000 | (1,063,922) | 39,740,781 | 338,326,246 | — | 3,766,442 | — | 8,217,786 | |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares | |||||||||
335,039,301 | 57,034,000 | (23,843,566) | 30,867,932 | 399,097,667 | — | 34,825,102 | — | 7,950,153 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
377,465,325 | — | (26,200,319) | (50,690,028) | 300,574,978 | — | 49,244,799 | — | 9,532,984 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
1,372,810,669 | 30,281,648 | (203,109,910) | (19,834,087) | 1,180,148,320 | — | (22,378,652) | 30,281,648 | 134,720,128 | |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares | |||||||||
81,004,603 | — | (1,576,387) | (6,106,889) | 73,321,327 | — | 6,041,787 | — | 1,753,679 | |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares | |||||||||
73,328,923 | — | (2,113,016) | 2,368,976 | 73,584,883 | — | 5,449,969 | — | 1,872,389 | |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares | |||||||||
1,900,522,345 | 51,914,722 | (57,263,525) | (58,095,482) | 1,837,078,060 | — | (5,482,899) | 51,914,722 | 202,098,796 | |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares | |||||||||
626,802,486 | — | (42,157,470) | 56,909,464 | 641,554,480 | — | 15,429,094 | — | 19,260,116 | |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares | |||||||||
394,919,281 | 5,804,387 | (53,512,302) | 16,579,919 | 363,791,285 | — | (876,148) | 5,804,387 | 39,977,064 | |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares | |||||||||
304,630,004 | 1,595,825 | (3,006,784) | 2,248,435 | 305,467,480 | — | 84,555 | 1,595,825 | 30,154,736 | |
Variable Portfolio – Partners International Value Fund, Class 1 Shares | |||||||||
386,447,388 | 9,023,816 | (18,838,621) | 23,268,185 | 399,900,768 | — | (81,133) | 9,023,816 | 43,139,242 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
78,335,746 | — | (4,539,501) | (7,733,769) | 66,062,476 | — | 6,326,914 | — | 2,516,666 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
52,171,749 | — | — | 319,191 | 52,490,940 | — | — | — | 1,595,954 | |
Total | 13,617,548,749 | 52,010,700 | 13,163,885,239 | 11,301,828 | 250,945,008 | 240,879,832 |
(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 September 30, 2023. |
Abbreviation Legend
TBA | To Be Announced |
Currency Legend
AUD | Australian Dollar |
JPY | Japanese Yen |
USD | US Dollar |
Investments are valued using policies described in the Notes to Financial Statements in the most recent shareholder report.
Variable Portfolio – Moderate Portfolio | Third Quarter Report 2023 | 13 |
Portfolio of Investments
Variable Portfolio – Moderately Aggressive Portfolio, September 30, 2023 (Unaudited)
Variable Portfolio – Moderately Aggressive Portfolio, September 30, 2023 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
Alternative Strategies Funds 0.3% | ||
Shares | Value ($) | |
Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares(a) | 4,569,079 | 17,865,098 |
Total Alternative Strategies Funds (Cost $21,125,914) | 17,865,098 | |
Equity Funds 66.0% | ||
Global Real Estate 0.8% | ||
CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares(a) | 7,666,906 | 41,707,970 |
International 18.9% | ||
Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares(a) | 1,309,868 | 11,906,698 |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(a) | 33,881,788 | 415,390,718 |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares(a) | 22,919,907 | 208,571,154 |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares(a) | 17,879,001 | 181,114,280 |
Variable Portfolio – Partners International Value Fund, Class 1 Shares(a) | 24,220,579 | 224,524,769 |
Total | 1,041,507,619 | |
U.S. Large Cap 42.2% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 4,464,270 | 172,990,464 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 2,113,969 | 172,161,604 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 7,534,588 | 244,723,428 |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 20,850,271 | 353,620,605 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 5,565,270 | 197,567,098 |
CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 5,591,553 | 196,375,336 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 5,014,035 | 206,427,807 |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares(a),(b) | 4,811,017 | 241,513,043 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 6,177,861 | 194,787,952 |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(a),(b) | 10,175,416 | 338,943,107 |
Total | 2,319,110,444 |
Equity Funds (continued) | ||
U.S. Mid Cap 1.5% | ||
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(a),(b) | 1,009,398 | 42,202,952 |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(a),(b) | 1,085,468 | 42,658,883 |
Total | 84,861,835 | |
U.S. Small Cap 2.6% | ||
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares(a) | 3,801,598 | 42,882,031 |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares(a),(b) | 3,620,358 | 38,267,183 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 1,356,752 | 35,614,730 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 769,666 | 25,314,309 |
Total | 142,078,253 | |
Total Equity Funds (Cost $2,982,899,369) | 3,629,266,121 | |
Fixed Income Funds 27.9% | ||
Emerging Markets 0.5% | ||
Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares(a) | 3,907,801 | 28,370,636 |
Investment Grade 27.4% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 45,589,130 | 363,345,362 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 6,138,030 | 55,856,075 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 11,085,560 | 77,377,211 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 10,102,422 | 83,344,985 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 32,658,350 | 278,575,723 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 25,526,920 | 223,615,818 |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(a) | 46,418,862 | 421,947,455 |
Total | 1,504,062,629 | |
Total Fixed Income Funds (Cost $1,934,553,157) | 1,532,433,265 |
14 | Variable Portfolio – Moderately Aggressive Portfolio | Third Quarter Report 2023 |
Portfolio of Investments (continued)
Variable Portfolio – Moderately Aggressive Portfolio, September 30, 2023 (Unaudited)
Variable Portfolio – Moderately Aggressive Portfolio, September 30, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency 2.3% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(c) | ||||
10/18/2038 | 5.000% | 19,500,000 | 18,988,125 | |
10/12/2053 | 5.500% | 110,443,000 | 106,728,490 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $127,178,954) | 125,716,615 |
Money Market Funds 5.6% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.515%(a),(d) | 306,055,020 | 305,963,204 |
Total Money Market Funds (Cost $305,934,319) | 305,963,204 | |
Total Investments in Securities (Cost: $5,371,691,713) | 5,611,244,303 | |
Other Assets & Liabilities, Net | (113,385,877) | |
Net Assets | 5,497,858,426 |
At September 30, 2023, securities and/or cash totaling $13,819,574 were pledged as collateral.
Investments in derivatives
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
MSCI EAFE Index | 177 | 12/2023 | USD | 18,067,275 | — | (626,774) |
Russell 2000 Index E-mini | 63 | 12/2023 | USD | 5,665,590 | — | (231,839) |
TOPIX Index | 562 | 12/2023 | JPY | 13,058,070,000 | — | (1,389,293) |
U.S. Treasury 10-Year Note | 1,493 | 12/2023 | USD | 161,337,313 | — | (3,115,595) |
Total | — | (5,363,501) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | (306) | 12/2023 | USD | (66,180,150) | 2,841,981 | — |
SPI 200 Index | (288) | 12/2023 | AUD | (51,019,200) | 15,656 | — |
SPI 200 Index | (154) | 12/2023 | AUD | (27,281,100) | — | (3,699) |
Total | 2,857,637 | (3,699) |
Variable Portfolio – Moderately Aggressive Portfolio | Third Quarter Report 2023 | 15 |
Portfolio of Investments (continued)
Variable Portfolio – Moderately Aggressive Portfolio, September 30, 2023 (Unaudited)
Variable Portfolio – Moderately Aggressive Portfolio, September 30, 2023 (Unaudited)
Notes to Portfolio of Investments
(a) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended September 30, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | 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, 5.515% | |||||||||
318,715,176 | 201,086,422 | (213,816,966) | (21,428) | 305,963,204 | — | 19,038 | 12,045,009 | 306,055,020 | |
Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares | |||||||||
20,189,894 | 4,045,005 | (2,166,804) | (4,202,997) | 17,865,098 | — | (472,160) | 4,045,005 | 4,569,079 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
169,937,192 | — | (10,026,668) | 13,079,940 | 172,990,464 | — | 15,635,595 | — | 4,464,270 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
170,874,472 | — | (9,697,100) | 10,984,232 | 172,161,604 | — | 11,136,890 | — | 2,113,969 | |
Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares | |||||||||
30,161,052 | 1,216,280 | (2,677,608) | (329,088) | 28,370,636 | — | (656,770) | 1,216,280 | 3,907,801 | |
Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares | |||||||||
11,775,267 | 13,924 | — | 117,507 | 11,906,698 | — | — | 13,581 | 1,309,868 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
379,561,492 | 8,742,329 | (14,117,575) | (10,840,884) | 363,345,362 | — | (2,521,417) | 8,741,421 | 45,589,130 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
235,966,126 | — | (19,517,419) | 28,274,721 | 244,723,428 | — | 28,345,263 | — | 7,534,588 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
82,071,941 | 1,841,016 | (28,029,101) | (27,781) | 55,856,075 | — | 93,056 | 1,840,442 | 6,138,030 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
82,256,131 | 2,813,476 | (503,691) | (7,188,705) | 77,377,211 | — | (96,407) | 2,812,950 | 11,085,560 | |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares | |||||||||
443,746,187 | 8,588,268 | (58,935,472) | 21,991,735 | 415,390,718 | — | (2,712,986) | 8,588,268 | 33,881,788 | |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares | |||||||||
341,335,829 | — | (22,874,803) | 35,159,579 | 353,620,605 | — | 13,870,906 | — | 20,850,271 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
215,562,674 | — | (5,628,273) | (12,367,303) | 197,567,098 | — | 5,628,490 | — | 5,565,270 | |
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares | |||||||||
45,634,649 | 3,581,378 | (9,329,416) | 2,995,420 | 42,882,031 | 3,245,111 | (3,683,244) | 336,268 | 3,801,598 | |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares | |||||||||
33,307,293 | — | — | 4,959,890 | 38,267,183 | — | — | — | 3,620,358 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
88,054,356 | 2,409,750 | (3,205,233) | (3,913,888) | 83,344,985 | — | (431,509) | 2,409,573 | 10,102,422 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
293,668,586 | 9,512,558 | (11,816,670) | (12,788,751) | 278,575,723 | — | (1,824,260) | 9,511,910 | 32,658,350 | |
CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares | |||||||||
45,957,672 | 4,091,638 | (5,030,120) | (3,311,220) | 41,707,970 | 3,136,020 | (1,620,300) | 955,618 | 7,666,906 | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
236,752,233 | 181 | (30,057,957) | (10,319,121) | 196,375,336 | — | 8,792,332 | — | 5,591,553 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
153,254,557 | 30,456,000 | (2,255,141) | 24,972,391 | 206,427,807 | — | 2,263,741 | — | 5,014,035 | |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares | |||||||||
207,951,964 | 30,456,000 | (15,135,737) | 18,240,816 | 241,513,043 | — | 21,471,473 | — | 4,811,017 |
16 | Variable Portfolio – Moderately Aggressive Portfolio | Third Quarter Report 2023 |
Portfolio of Investments (continued)
Variable Portfolio – Moderately Aggressive Portfolio, September 30, 2023 (Unaudited)
Variable Portfolio – Moderately Aggressive Portfolio, September 30, 2023 (Unaudited)
Notes to Portfolio of Investments (continued)
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
232,621,303 | 762 | (20,338,477) | (17,495,636) | 194,787,952 | — | 16,144,619 | — | 6,177,861 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
236,249,331 | 5,756,821 | (10,920,604) | (7,469,730) | 223,615,818 | — | (1,207,557) | 5,756,528 | 25,526,920 | |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares | |||||||||
46,685,717 | — | (1,182,040) | (3,300,725) | 42,202,952 | — | 3,247,539 | — | 1,009,398 | |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares | |||||||||
42,303,631 | — | (1,212,047) | 1,567,299 | 42,658,883 | — | 2,874,341 | — | 1,085,468 | |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares | |||||||||
445,027,292 | 11,938,002 | (23,759,319) | (11,258,520) | 421,947,455 | — | (3,118,806) | 11,937,635 | 46,418,862 | |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares | |||||||||
328,439,887 | — | (10,334,957) | 20,838,177 | 338,943,107 | — | 16,363,194 | — | 10,175,416 | |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares | |||||||||
234,180,190 | 3,361,312 | (39,287,997) | 10,317,649 | 208,571,154 | — | (668,863) | 3,360,202 | 22,919,907 | |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares | |||||||||
178,998,034 | 937,784 | — | 1,178,462 | 181,114,280 | — | — | 937,693 | 17,879,001 | |
Variable Portfolio – Partners International Value Fund, Class 1 Shares | |||||||||
214,833,718 | 5,012,365 | (8,901,399) | 13,580,085 | 224,524,769 | — | (819,681) | 5,012,365 | 24,220,579 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
41,766,885 | — | (3,728,370) | (2,423,785) | 35,614,730 | — | 1,595,441 | — | 1,356,752 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
25,158,518 | 1,935 | — | 153,856 | 25,314,309 | — | — | — | 769,666 | |
Total | 5,632,999,249 | 101,152,197 | 5,485,527,688 | 6,381,131 | 127,647,958 | 79,520,748 |
(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 September 30, 2023. |
Abbreviation Legend
TBA | To Be Announced |
Currency Legend
AUD | Australian Dollar |
JPY | Japanese Yen |
USD | US Dollar |
Investments are valued using policies described in the Notes to Financial Statements in the most recent shareholder report.
Variable Portfolio – Moderately Aggressive Portfolio | Third Quarter Report 2023 | 17 |
Portfolio of Investments
Variable Portfolio – Aggressive Portfolio, September 30, 2023 (Unaudited)
Variable Portfolio – Aggressive Portfolio, September 30, 2023 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
Alternative Strategies Funds 0.4% | ||
Shares | Value ($) | |
Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares(a) | 2,381,771 | 9,312,726 |
Total Alternative Strategies Funds (Cost $11,253,703) | 9,312,726 | |
Equity Funds 82.5% | ||
Global Real Estate 1.0% | ||
CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares(a) | 3,720,185 | 20,237,807 |
International 24.5% | ||
Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares(a) | 548,922 | 4,989,705 |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(a) | 14,688,471 | 180,080,658 |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares(a) | 14,450,875 | 131,502,958 |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares(a) | 8,769,140 | 88,831,384 |
Variable Portfolio – Partners International Value Fund, Class 1 Shares(a) | 11,349,177 | 105,206,874 |
Total | 510,611,579 | |
U.S. Large Cap 51.8% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 2,057,195 | 79,716,284 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 967,883 | 78,824,379 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 3,862,969 | 125,469,240 |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 9,600,442 | 162,823,489 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 2,607,566 | 92,568,599 |
CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 2,614,464 | 91,819,962 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 2,270,585 | 93,479,997 |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares(a),(b) | 2,275,558 | 114,233,020 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 2,889,810 | 91,115,695 |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(a),(b) | 4,418,414 | 147,177,384 |
Total | 1,077,228,049 |
Equity Funds (continued) | ||
U.S. Mid Cap 1.8% | ||
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(a),(b) | 455,128 | 19,028,887 |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(a),(b) | 481,659 | 18,929,224 |
Total | 37,958,111 | |
U.S. Small Cap 3.4% | ||
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares(a) | 1,772,842 | 19,997,662 |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares(a),(b) | 1,530,790 | 16,180,451 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 688,111 | 18,062,914 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 512,237 | 16,847,457 |
Total | 71,088,484 | |
Total Equity Funds (Cost $1,395,638,702) | 1,717,124,030 | |
Fixed Income Funds 14.3% | ||
Emerging Markets 0.5% | ||
Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares(a) | 1,458,744 | 10,590,480 |
Investment Grade 13.8% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 7,845,249 | 62,526,632 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 713,708 | 6,494,742 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 5,526,274 | 38,573,395 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 7,330,380 | 62,528,137 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 4,776,986 | 41,846,402 |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(a) | 8,308,068 | 75,520,337 |
Total | 287,489,645 | |
Total Fixed Income Funds (Cost $381,988,259) | 298,080,125 |
18 | Variable Portfolio – Aggressive Portfolio | Third Quarter Report 2023 |
Portfolio of Investments (continued)
Variable Portfolio – Aggressive Portfolio, September 30, 2023 (Unaudited)
Variable Portfolio – Aggressive Portfolio, September 30, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency 3.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(c) | ||||
10/18/2038 | 5.000% | 9,551,000 | 9,300,286 | |
10/12/2053 | 5.500% | 54,123,000 | 52,302,691 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $62,319,559) | 61,602,977 |
Money Market Funds 2.5% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.515%(a),(d) | 51,242,131 | 51,226,759 |
Total Money Market Funds (Cost $51,223,206) | 51,226,759 | |
Total Investments in Securities (Cost: $1,902,423,429) | 2,137,346,617 | |
Other Assets & Liabilities, Net | (56,839,867) | |
Net Assets | 2,080,506,750 |
At September 30, 2023, securities and/or cash totaling $5,885,193 were pledged as collateral.
Investments in derivatives
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
MSCI EAFE Index | 50 | 12/2023 | USD | 5,103,750 | — | (177,055) |
TOPIX Index | 239 | 12/2023 | JPY | 5,553,165,000 | — | (590,820) |
Total | — | (767,875) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Russell 2000 Index E-mini | (34) | 12/2023 | USD | (3,057,620) | 125,206 | — |
S&P 500 Index E-mini | (182) | 12/2023 | USD | (39,362,050) | 1,690,329 | — |
SPI 200 Index | (151) | 12/2023 | AUD | (26,749,650) | 8,208 | — |
SPI 200 Index | (81) | 12/2023 | AUD | (14,349,150) | — | (1,946) |
Total | 1,823,743 | (1,946) |
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America Investment Grade Index, Series 41 | Morgan Stanley | 12/20/2028 | 1.000 | Quarterly | 0.730 | USD | 10,308,000 | (19,763) | — | — | — | (19,763) |
* Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
Variable Portfolio – Aggressive Portfolio | Third Quarter Report 2023 | 19 |
Portfolio of Investments (continued)
Variable Portfolio – Aggressive Portfolio, September 30, 2023 (Unaudited)
Variable Portfolio – Aggressive Portfolio, September 30, 2023 (Unaudited)
Notes to Portfolio of Investments
(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 September 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, 5.515% | |||||||||
58,959,080 | 52,130,554 | (59,861,353) | (1,522) | 51,226,759 | — | 1,209 | 2,110,310 | 51,242,131 | |
Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares | |||||||||
10,678,091 | 2,044,477 | (1,205,298) | (2,204,544) | 9,312,726 | — | (175,939) | 2,044,477 | 2,381,771 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
75,176,851 | — | (2,897,689) | 7,437,122 | 79,716,284 | — | 5,332,890 | — | 2,057,195 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
76,140,903 | — | (3,347,108) | 6,030,584 | 78,824,379 | — | 3,851,481 | — | 967,883 | |
Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares | |||||||||
10,576,187 | 469,296 | (116,240) | (338,763) | 10,590,480 | — | (34,953) | 444,320 | 1,458,744 | |
Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares | |||||||||
4,682,441 | 266,831 | — | 40,433 | 4,989,705 | — | — | 5,433 | 548,922 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
63,329,334 | 2,214,804 | (838,366) | (2,179,140) | 62,526,632 | — | (146,043) | 1,491,546 | 7,845,249 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
112,966,837 | — | (4,659,135) | 17,161,538 | 125,469,240 | — | 9,788,399 | — | 3,862,969 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
12,996,330 | 232,709 | (6,779,901) | 45,604 | 6,494,742 | — | 23,279 | 214,137 | 713,708 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
38,953,929 | 3,246,795 | (1,626) | (3,625,703) | 38,573,395 | — | (316) | 1,366,346 | 5,526,274 | |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares | |||||||||
180,440,894 | 3,570,066 | (12,085,438) | 8,155,136 | 180,080,658 | — | (471,715) | 3,570,066 | 14,688,471 | |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares | |||||||||
151,481,465 | — | (6,536,246) | 17,878,270 | 162,823,489 | — | 3,918,711 | — | 9,600,442 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
97,970,431 | 1,359,621 | (1,793,939) | (4,967,514) | 92,568,599 | — | 1,835,756 | — | 2,607,566 | |
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares | |||||||||
20,830,102 | 1,636,922 | (2,620,763) | 151,401 | 19,997,662 | 1,483,226 | (501,055) | 153,696 | 1,772,842 | |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares | |||||||||
14,083,268 | — | — | 2,097,183 | 16,180,451 | — | — | — | 1,530,790 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
64,341,197 | 2,668,872 | (1,401,830) | (3,080,102) | 62,528,137 | — | (213,566) | 2,120,343 | 7,330,380 | |
CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares | |||||||||
20,735,462 | 2,173,267 | (371,824) | (2,299,098) | 20,237,807 | 1,476,193 | (105,080) | 449,830 | 3,720,185 | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
109,578,874 | 748,734 | (14,218,213) | (4,289,433) | 91,819,962 | — | 3,574,300 | — | 2,614,464 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
71,616,704 | 14,751,739 | (2,966,592) | 10,078,146 | 93,479,997 | — | 2,923,937 | — | 2,270,585 | |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares | |||||||||
91,657,482 | 13,792,995 | (3,751,783) | 12,534,326 | 114,233,020 | — | 5,299,772 | — | 2,275,558 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
108,270,745 | 836,965 | (9,693,061) | (8,298,954) | 91,115,695 | — | 7,666,857 | — | 2,889,810 |
20 | Variable Portfolio – Aggressive Portfolio | Third Quarter Report 2023 |
Portfolio of Investments (continued)
Variable Portfolio – Aggressive Portfolio, September 30, 2023 (Unaudited)
Variable Portfolio – Aggressive Portfolio, September 30, 2023 (Unaudited)
Notes to Portfolio of Investments (continued)
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
43,167,075 | 1,292,880 | (1,071,606) | (1,541,947) | 41,846,402 | — | (97,821) | 1,070,423 | 4,776,986 | |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares | |||||||||
21,585,681 | — | (687,637) | (1,869,157) | 19,028,887 | — | 1,857,920 | — | 455,128 | |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares | |||||||||
18,230,784 | 3,334 | (363,650) | 1,058,756 | 18,929,224 | — | 862,657 | — | 481,659 | |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares | |||||||||
81,576,193 | 2,134,567 | (6,759,846) | (1,430,577) | 75,520,337 | — | (1,090,065) | 2,134,567 | 8,308,068 | |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares | |||||||||
137,084,228 | 6,765 | (2,329,523) | 12,415,914 | 147,177,384 | — | 3,380,228 | — | 4,418,414 | |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares | |||||||||
141,504,410 | 3,949,894 | (20,968,213) | 7,016,867 | 131,502,958 | — | (1,477,185) | 2,064,625 | 14,450,875 | |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares | |||||||||
84,556,118 | 3,941,601 | — | 333,665 | 88,831,384 | — | — | 447,670 | 8,769,140 | |
Variable Portfolio – Partners International Value Fund, Class 1 Shares | |||||||||
97,462,527 | 2,549,145 | (483,548) | 5,678,750 | 105,206,874 | — | 7,611 | 2,278,279 | 11,349,177 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
18,824,382 | 268,128 | (331,696) | (697,900) | 18,062,914 | — | 149,904 | — | 688,111 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
14,815,005 | 1,973,882 | — | 58,570 | 16,847,457 | — | — | — | 512,237 | |
Total | 2,054,273,010 | 71,347,911 | 2,075,743,640 | 2,959,419 | 46,161,173 | 21,966,068 |
(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 September 30, 2023. |
Abbreviation Legend
TBA | To Be Announced |
Currency Legend
AUD | Australian Dollar |
JPY | Japanese Yen |
USD | US Dollar |
Investments are valued using policies described in the Notes to Financial Statements in the most recent shareholder report.
Variable Portfolio – Aggressive Portfolio | Third Quarter Report 2023 | 21 |
You may at any time request, free of charge, to receive a paper copy of this report by calling 800.345.6611.
3QT7069_12_B01_(11/23)