Third Quarter Report
September 30, 2023 (Unaudited)
September 30, 2023 (Unaudited)
Variable Portfolio – Managed Volatility Moderate Growth Fund
Please remember that you may not buy (nor will you own) shares of the Fund directly. The Fund is available through variable annuity contracts and variable life insurance policies offered by the separate accounts of participating insurance companies as well as qualified pension and retirement plans. 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 – Managed Volatility Moderate Growth Fund, September 30, 2023 (Unaudited)
Variable Portfolio – Managed Volatility Moderate Growth Fund, September 30, 2023 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
Corporate Bonds & Notes 0.3% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Aerospace & Defense 0.0% | ||||
BAE Systems PLC(a) | ||||
02/15/2031 | 1.900% | 670,000 | 516,086 | |
Boeing Co. (The) | ||||
05/01/2034 | 3.600% | 157,000 | 126,806 | |
08/01/2059 | 3.950% | 703,000 | 461,177 | |
05/01/2060 | 5.930% | 155,000 | 139,447 | |
L3Harris Technologies, Inc. | ||||
07/31/2033 | 5.400% | 159,000 | 152,826 | |
Lockheed Martin Corp. | ||||
02/15/2055 | 5.200% | 186,000 | 172,052 | |
Northrop Grumman Corp. | ||||
06/01/2043 | 4.750% | 65,000 | 55,569 | |
10/15/2047 | 4.030% | 295,000 | 225,398 | |
03/15/2053 | 4.950% | 242,000 | 211,088 | |
United Technologies Corp. | ||||
06/01/2036 | 6.050% | 18,000 | 17,946 | |
07/15/2038 | 6.125% | 380,000 | 377,712 | |
11/01/2046 | 3.750% | 550,000 | 388,450 | |
Total | 2,844,557 | |||
Automotive 0.0% | ||||
General Motors Co. | ||||
04/01/2048 | 5.400% | 145,000 | 114,404 | |
Banking 0.1% | ||||
Bank of America Corp.(b) | ||||
10/24/2031 | 1.922% | 65,000 | 49,028 | |
02/04/2033 | 2.972% | 1,271,000 | 1,002,334 | |
Subordinated | ||||
09/21/2036 | 2.482% | 257,000 | 187,852 | |
Citigroup, Inc.(b) | ||||
06/03/2031 | 2.572% | 554,000 | 441,608 | |
01/25/2033 | 3.057% | 346,000 | 272,667 | |
Goldman Sachs Group, Inc. (The)(b) | ||||
07/21/2032 | 2.383% | 856,000 | 651,628 | |
HSBC Holdings PLC(b) | ||||
05/24/2032 | 2.804% | 337,000 | 260,974 | |
11/22/2032 | 2.871% | 538,000 | 413,579 | |
Subordinated | ||||
06/20/2034 | 6.547% | 95,000 | 90,406 | |
JPMorgan Chase & Co.(b) | ||||
04/22/2032 | 2.580% | 115,000 | 90,696 | |
11/08/2032 | 2.545% | 70,000 | 54,168 | |
11/15/2048 | 3.964% | 573,000 | 417,521 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Morgan Stanley(b) | ||||
07/21/2032 | 2.239% | 220,000 | 165,857 | |
07/21/2034 | 5.424% | 65,000 | 61,405 | |
Subordinated | ||||
09/16/2036 | 2.484% | 505,000 | 369,032 | |
US Bancorp(b) | ||||
06/12/2034 | 5.836% | 186,000 | 175,214 | |
Wells Fargo & Co.(b) | ||||
04/25/2053 | 4.611% | 1,206,000 | 944,623 | |
Total | 5,648,592 | |||
Cable and Satellite 0.0% | ||||
Charter Communications Operating LLC/Capital | ||||
05/01/2047 | 5.375% | 940,000 | 717,114 | |
06/30/2062 | 3.950% | 358,000 | 202,387 | |
Comcast Corp. | ||||
11/01/2056 | 2.937% | 575,000 | 326,734 | |
05/15/2064 | 5.500% | 105,000 | 95,181 | |
NBCUniversal Media LLC | ||||
01/15/2043 | 4.450% | 436,000 | 356,329 | |
Total | 1,697,745 | |||
Chemicals 0.0% | ||||
LYB International Finance III LLC | ||||
04/01/2051 | 3.625% | 155,000 | 98,756 | |
Construction Machinery 0.0% | ||||
Caterpillar, Inc. | ||||
09/19/2049 | 3.250% | 135,000 | 94,576 | |
United Rentals North America, Inc. | ||||
02/15/2031 | 3.875% | 190,000 | 158,064 | |
Total | 252,640 | |||
Diversified Manufacturing 0.0% | ||||
Carrier Global Corp. | ||||
04/05/2050 | 3.577% | 467,000 | 315,525 | |
Electric 0.1% | ||||
AEP Texas, Inc. | ||||
01/15/2050 | 3.450% | 652,000 | 420,077 | |
05/15/2052 | 5.250% | 170,000 | 145,718 | |
AES Corp. (The) | ||||
01/15/2031 | 2.450% | 100,000 | 76,809 | |
Berkshire Hathaway Energy Co. | ||||
05/01/2053 | 4.600% | 300,000 | 233,342 | |
CenterPoint Energy, Inc. | ||||
09/01/2049 | 3.700% | 203,000 | 135,644 |
2 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Third Quarter Report 2023 |
Portfolio of Investments (continued)
Variable Portfolio – Managed Volatility Moderate Growth Fund, September 30, 2023 (Unaudited)
Variable Portfolio – Managed Volatility Moderate Growth Fund, September 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Dominion Energy, Inc. | ||||
08/15/2052 | 4.850% | 40,000 | 32,272 | |
Dominion Resources, Inc. | ||||
12/01/2044 | 4.700% | 250,000 | 199,052 | |
Duke Energy Corp. | ||||
08/15/2052 | 5.000% | 1,060,000 | 879,881 | |
Emera US Finance LP | ||||
06/15/2046 | 4.750% | 354,000 | 261,403 | |
Eversource Energy | ||||
08/15/2030 | 1.650% | 342,000 | 261,690 | |
Exelon Corp. | ||||
03/15/2052 | 4.100% | 418,000 | 301,316 | |
03/15/2053 | 5.600% | 300,000 | 273,103 | |
FirstEnergy Corp. | ||||
03/01/2050 | 3.400% | 178,000 | 110,616 | |
Georgia Power Co. | ||||
03/15/2042 | 4.300% | 497,000 | 398,024 | |
Jersey Central Power & Light Co.(a) | ||||
03/01/2032 | 2.750% | 116,000 | 90,917 | |
MidAmerican Energy Co. | ||||
09/15/2054 | 5.850% | 190,000 | 187,281 | |
Pacific Gas and Electric Co. | ||||
07/01/2050 | 4.950% | 545,000 | 406,870 | |
PacifiCorp | ||||
05/15/2054 | 5.500% | 75,000 | 63,544 | |
Virginia Electric and Power Co. | ||||
08/15/2053 | 5.700% | 156,000 | 146,417 | |
Xcel Energy, Inc. | ||||
06/01/2032 | 4.600% | 155,000 | 140,588 | |
12/01/2049 | 3.500% | 90,000 | 58,608 | |
Total | 4,823,172 | |||
Environmental 0.0% | ||||
GFL Environmental, Inc.(a) | ||||
09/01/2028 | 3.500% | 280,000 | 240,877 | |
Food and Beverage 0.0% | ||||
Bacardi Ltd.(a) | ||||
05/15/2038 | 5.150% | 536,000 | 468,859 | |
05/15/2048 | 5.300% | 130,000 | 112,137 | |
Constellation Brands, Inc. | ||||
05/01/2033 | 4.900% | 979,000 | 909,363 | |
Mars, Inc.(a) | ||||
04/20/2033 | 4.750% | 665,000 | 628,014 | |
Tyson Foods, Inc. | ||||
09/28/2048 | 5.100% | 185,000 | 150,370 | |
Total | 2,268,743 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Health Care 0.0% | ||||
Cigna Corp. | ||||
03/15/2050 | 3.400% | 420,000 | 276,306 | |
CVS Health Corp. | ||||
07/20/2045 | 5.125% | 766,000 | 644,360 | |
03/25/2048 | 5.050% | 70,000 | 58,154 | |
HCA, Inc. | ||||
03/15/2052 | 4.625% | 336,000 | 252,099 | |
Total | 1,230,919 | |||
Healthcare Insurance 0.0% | ||||
Aetna, Inc. | ||||
11/15/2042 | 4.125% | 200,000 | 148,945 | |
08/15/2047 | 3.875% | 109,000 | 76,170 | |
Anthem, Inc. | ||||
08/15/2044 | 4.650% | 135,000 | 111,417 | |
Centene Corp. | ||||
02/15/2030 | 3.375% | 185,000 | 154,367 | |
03/01/2031 | 2.500% | 580,000 | 446,005 | |
UnitedHealth Group, Inc. | ||||
02/15/2053 | 5.875% | 695,000 | 697,785 | |
04/15/2053 | 5.050% | 145,000 | 129,786 | |
04/15/2063 | 5.200% | 311,000 | 277,422 | |
Total | 2,041,897 | |||
Independent Energy 0.0% | ||||
Canadian Natural Resources Ltd. | ||||
02/15/2037 | 6.500% | 105,000 | 102,497 | |
Integrated Energy 0.0% | ||||
BP Capital Markets America, Inc. | ||||
03/17/2052 | 3.001% | 85,000 | 52,209 | |
Cenovus Energy, Inc. | ||||
02/15/2052 | 3.750% | 321,000 | 212,204 | |
Total Capital International SA | ||||
06/29/2060 | 3.386% | 80,000 | 51,465 | |
Total | 315,878 | |||
Life Insurance 0.0% | ||||
MetLife, Inc. | ||||
07/15/2052 | 5.000% | 239,000 | 206,384 | |
New York Life Insurance Co.(a) | ||||
Subordinated | ||||
05/15/2050 | 3.750% | 270,000 | 186,830 | |
Northwestern Mutual Life Insurance Co. (The)(a) | ||||
Subordinated | ||||
09/30/2059 | 3.625% | 534,000 | 338,150 |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Third Quarter Report 2023 | 3 |
Portfolio of Investments (continued)
Variable Portfolio – Managed Volatility Moderate Growth Fund, September 30, 2023 (Unaudited)
Variable Portfolio – Managed Volatility Moderate Growth Fund, September 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Teachers Insurance & Annuity Association of America(a) | ||||
Subordinated | ||||
09/15/2044 | 4.900% | 155,000 | 130,519 | |
05/15/2050 | 3.300% | 250,000 | 158,393 | |
Voya Financial, Inc. | ||||
06/15/2046 | 4.800% | 84,000 | 62,857 | |
Total | 1,083,133 | |||
Media and Entertainment 0.0% | ||||
Meta Platforms, Inc. | ||||
05/15/2063 | 5.750% | 315,000 | 296,698 | |
Viacom, Inc. | ||||
03/15/2043 | 4.375% | 165,000 | 106,295 | |
Warnermedia Holdings, Inc. | ||||
03/15/2062 | 5.391% | 867,000 | 639,229 | |
Total | 1,042,222 | |||
Midstream 0.0% | ||||
Kinder Morgan Energy Partners LP | ||||
11/01/2042 | 4.700% | 100,000 | 77,544 | |
03/01/2043 | 5.000% | 320,000 | 257,929 | |
Kinder Morgan, Inc. | ||||
02/15/2046 | 5.050% | 112,000 | 89,594 | |
08/01/2052 | 5.450% | 102,000 | 86,464 | |
MPLX LP | ||||
04/15/2048 | 4.700% | 70,000 | 53,049 | |
03/14/2052 | 4.950% | 311,000 | 242,067 | |
Plains All American Pipeline LP/Finance Corp. | ||||
06/15/2044 | 4.700% | 334,000 | 246,646 | |
Western Gas Partners LP | ||||
08/15/2048 | 5.500% | 120,000 | 95,221 | |
Western Midstream Operating LP(b) | ||||
02/01/2050 | 5.250% | 225,000 | 174,083 | |
Williams Companies, Inc. (The) | ||||
06/24/2044 | 5.750% | 330,000 | 298,155 | |
Total | 1,620,752 | |||
Natural Gas 0.0% | ||||
NiSource, Inc. | ||||
02/15/2043 | 5.250% | 133,000 | 117,137 | |
02/15/2044 | 4.800% | 249,000 | 204,659 | |
05/15/2047 | 4.375% | 170,000 | 130,590 | |
Sempra Energy | ||||
02/01/2048 | 4.000% | 180,000 | 129,506 | |
Southern Co Gas Capital Corp. | ||||
09/15/2033 | 5.750% | 126,000 | 123,563 | |
Total | 705,455 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Pharmaceuticals 0.1% | ||||
AbbVie, Inc. | ||||
06/15/2044 | 4.850% | 425,000 | 368,402 | |
Amgen, Inc. | ||||
03/02/2053 | 5.650% | 119,000 | 111,227 | |
02/22/2062 | 4.400% | 235,000 | 174,253 | |
03/02/2063 | 5.750% | 983,000 | 907,756 | |
Merck & Co., Inc. | ||||
05/17/2063 | 5.150% | 449,000 | 410,852 | |
Pfizer Investment Enterprises Pte., Ltd. | ||||
05/19/2043 | 5.110% | 1,480,000 | 1,358,963 | |
Total | 3,331,453 | |||
Property & Casualty 0.0% | ||||
Berkshire Hathaway Finance Corp. | ||||
03/15/2052 | 3.850% | 425,000 | 318,105 | |
Liberty Mutual Group, Inc.(a) | ||||
10/15/2050 | 3.951% | 180,000 | 120,531 | |
Total | 438,636 | |||
Railroads 0.0% | ||||
Norfolk Southern Corp. | ||||
08/01/2054 | 5.350% | 330,000 | 301,553 | |
Restaurants 0.0% | ||||
McDonald’s Corp. | ||||
08/14/2053 | 5.450% | 549,000 | 514,157 | |
Retailers 0.0% | ||||
Amazon.com, Inc. | ||||
04/13/2062 | 4.100% | 545,000 | 414,792 | |
Lowe’s Companies, Inc. | ||||
04/01/2062 | 4.450% | 513,000 | 373,561 | |
09/15/2062 | 5.800% | 310,000 | 281,289 | |
04/01/2063 | 5.850% | 113,000 | 103,262 | |
Total | 1,172,904 | |||
Technology 0.0% | ||||
Broadcom, Inc.(a) | ||||
11/15/2036 | 3.187% | 703,000 | 504,165 | |
Intel Corp. | ||||
08/12/2051 | 3.050% | 425,000 | 256,627 | |
International Business Machines Corp. | ||||
02/06/2053 | 5.100% | 200,000 | 175,630 | |
MSCI, Inc.(a) | ||||
11/01/2031 | 3.625% | 260,000 | 212,639 |
4 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Third Quarter Report 2023 |
Portfolio of Investments (continued)
Variable Portfolio – Managed Volatility Moderate Growth Fund, September 30, 2023 (Unaudited)
Variable Portfolio – Managed Volatility Moderate Growth Fund, September 30, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
NXP BV/Funding LLC/USA, Inc. | ||||
05/01/2030 | 3.400% | 65,000 | 55,551 | |
01/15/2033 | 5.000% | 229,000 | 210,195 | |
02/15/2042 | 3.125% | 169,000 | 109,990 | |
Oracle Corp. | ||||
07/15/2046 | 4.000% | 385,000 | 271,684 | |
04/01/2050 | 3.600% | 319,000 | 206,172 | |
03/25/2061 | 4.100% | 62,000 | 41,225 | |
Total | 2,043,878 | |||
Tobacco 0.0% | ||||
BAT Capital Corp. | ||||
08/02/2043 | 7.079% | 138,000 | 132,331 | |
Reynolds American, Inc. | ||||
08/15/2035 | 5.700% | 155,000 | 138,187 | |
Total | 270,518 | |||
Transportation Services 0.0% | ||||
ERAC USA Finance LLC(a) | ||||
05/01/2053 | 5.400% | 149,000 | 136,970 | |
Wireless 0.0% | ||||
T-Mobile US, Inc. | ||||
04/15/2050 | 4.500% | 70,000 | 53,672 | |
11/15/2060 | 3.600% | 380,000 | 235,360 | |
Total | 289,032 | |||
Wirelines 0.0% | ||||
AT&T, Inc. | ||||
12/01/2057 | 3.800% | 1,451,000 | 918,881 | |
Telefonica Emisiones SAU | ||||
03/06/2048 | 4.895% | 300,000 | 226,558 | |
Verizon Communications, Inc. | ||||
03/15/2032 | 2.355% | 665,000 | 506,923 | |
03/22/2041 | 3.400% | 855,000 | 602,897 | |
Total | 2,255,259 | |||
Total Corporate Bonds & Notes (Cost $45,169,152) | 37,202,124 |
Equity Funds 47.0% | ||
Shares | Value ($) | |
International 13.1% | ||
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(c) | 56,687,475 | 694,988,444 |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares(c) | 39,871,632 | 362,831,848 |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares(c) | 22,742,029 | 230,376,757 |
Variable Portfolio – Partners International Value Fund, Class 1 Shares(c) | 25,717,661 | 238,402,721 |
Total | 1,526,599,770 | |
U.S. Large Cap 28.0% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(c),(d) | 4,865,534 | 188,539,458 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(c),(d) | 7,216,486 | 587,710,603 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(c),(d) | 9,203,409 | 298,926,731 |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(c),(d) | 34,489,991 | 584,950,245 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(c),(d) | 8,408,898 | 298,515,872 |
CTIVP® – MFS® Value Fund, Class 1 Shares(c),(d) | 7,446,706 | 261,528,301 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(c),(d) | 5,327,140 | 219,318,351 |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares(c),(d) | 5,170,183 | 259,543,196 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(c),(d) | 8,292,793 | 261,471,749 |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(c),(d) | 8,763,223 | 291,902,963 |
Total | 3,252,407,469 | |
U.S. Mid Cap 2.2% | ||
Columbia Variable Portfolio – Select Mid Cap Growth Fund, Class 1 Shares(c),(d) | 1,554,966 | 62,867,268 |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares(c),(d) | 1,920,843 | 62,696,331 |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(c),(d) | 1,522,386 | 63,650,961 |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(c),(d) | 1,621,462 | 63,723,460 |
Total | 252,938,020 |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Third Quarter Report 2023 | 5 |
Portfolio of Investments (continued)
Variable Portfolio – Managed Volatility Moderate Growth Fund, September 30, 2023 (Unaudited)
Variable Portfolio – Managed Volatility Moderate Growth Fund, September 30, 2023 (Unaudited)
Equity Funds (continued) | ||
Shares | Value ($) | |
U.S. Small Cap 3.7% | ||
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares(c) | 5,332,152 | 60,146,677 |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares(c),(d) | 5,597,855 | 59,169,325 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(c),(d) | 5,877,036 | 154,272,197 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(c),(d) | 4,887,858 | 160,761,634 |
Total | 434,349,833 | |
Total Equity Funds (Cost $4,291,845,544) | 5,466,295,092 | |
Exchange-Traded Fixed Income Funds 2.8% | ||
Investment Grade 2.8% | ||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 1,744,290 | 177,952,466 |
Vanguard Intermediate-Term Corporate Bond ETF | 1,996,500 | 151,694,070 |
Total | 329,646,536 | |
Total Exchange-Traded Fixed Income Funds (Cost $338,079,957) | 329,646,536 | |
Fixed Income Funds 25.7% | ||
Investment Grade 25.7% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(c) | 73,373,194 | 584,784,355 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(c) | 20,154,612 | 183,406,969 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(c) | 48,616,733 | 339,344,798 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(c) | 21,821,845 | 180,030,221 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(c) | 52,332,297 | 446,394,496 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(c) | 66,645,908 | 583,818,156 |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(c) | 73,886,228 | 671,625,807 |
Total | 2,989,404,802 | |
Total Fixed Income Funds (Cost $3,754,359,324) | 2,989,404,802 |
Residential Mortgage-Backed Securities - Agency 8.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(e) | ||||
10/18/2038- 10/12/2053 | 3.000% | 439,802,000 | 364,930,559 | |
10/18/2038- 10/12/2053 | 3.500% | 114,500,000 | 100,173,622 | |
10/18/2038- 10/12/2053 | 4.000% | 187,630,000 | 169,072,722 | |
10/12/2053 | 4.500% | 98,100,000 | 90,068,063 | |
10/12/2053 | 5.000% | 217,000,000 | 204,725,937 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $947,819,959) | 928,970,903 | |||
U.S. Treasury Obligations 0.0% | ||||
U.S. Treasury | ||||
05/15/2033 | 3.375% | 276,600 | 250,885 | |
05/15/2043 | 3.875% | 231,000 | 200,898 | |
02/15/2053 | 3.625% | 228,800 | 189,367 | |
Total U.S. Treasury Obligations (Cost $694,917) | 641,150 |
Put Option Contracts Purchased 0.7% | ||||
Value ($) | ||||
(Cost $75,942,026) | 87,296,350 |
Money Market Funds 22.8% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.515%(c),(f) | 2,650,923,592 | 2,650,128,315 |
Total Money Market Funds (Cost $2,649,941,205) | 2,650,128,315 | |
Total Investments in Securities (Cost: $12,103,852,084) | 12,489,585,272 | |
Other Assets & Liabilities, Net | (848,720,076) | |
Net Assets | 11,640,865,196 |
At September 30, 2023, securities and/or cash totaling $95,108,022 were pledged as collateral.
6 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Third Quarter Report 2023 |
Portfolio of Investments (continued)
Variable Portfolio – Managed Volatility Moderate Growth Fund, September 30, 2023 (Unaudited)
Variable Portfolio – Managed Volatility Moderate Growth Fund, September 30, 2023 (Unaudited)
Investments in derivatives
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
53,077,500 USD | 90,000,000 NZD | Barclays | 11/10/2023 | 864,480 | — |
9,936,557 USD | 110,000,000 SEK | Barclays | 11/10/2023 | 147,718 | — |
20,000,000 GBP | 24,302,480 USD | Citi | 11/10/2023 | — | (105,080) |
77,778,887 USD | 62,500,000 GBP | Citi | 11/10/2023 | — | (1,505,263) |
10,000,000 CHF | 10,946,076 USD | Goldman Sachs International | 11/10/2023 | — | (24,369) |
12,500,000 CHF | 14,088,839 USD | HSBC | 11/10/2023 | 375,783 | — |
50,000,000 EUR | 53,660,500 USD | Morgan Stanley | 11/10/2023 | 711,567 | — |
50,000,000 EUR | 52,817,300 USD | Morgan Stanley | 11/10/2023 | — | (131,633) |
45,000,000 NZD | 26,641,125 USD | Morgan Stanley | 11/10/2023 | — | (329,865) |
112,756,203 USD | 105,000,000 EUR | Morgan Stanley | 11/10/2023 | — | (1,563,443) |
37,411,411 USD | 400,000,000 NOK | Morgan Stanley | 11/10/2023 | 23,824 | — |
20,000,000 AUD | 12,776,620 USD | UBS | 11/10/2023 | — | (99,980) |
43,360,650 USD | 67,500,000 AUD | UBS | 11/10/2023 | 97,875 | — |
29,490,239 USD | 40,000,000 CAD | UBS | 11/10/2023 | — | (24,641) |
5,000,000,000 JPY | 33,734,550 USD | Wells Fargo | 11/10/2023 | 53,995 | — |
125,204,959 USD | 18,250,000,000 JPY | Wells Fargo | 11/10/2023 | — | (2,270,933) |
Total | 2,275,242 | (6,055,207) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Euro STOXX 50 Index | 2,108 | 12/2023 | EUR | 88,620,320 | — | (1,879,511) |
FTSE 100 Index | 395 | 12/2023 | GBP | 30,300,450 | 439,070 | — |
MSCI Singapore Index | 250 | 10/2023 | SGD | 7,141,250 | 102,828 | — |
OMXS30 Index | 2,315 | 10/2023 | SEK | 500,040,000 | — | (669,174) |
S&P 500 Index E-mini | 5,233 | 12/2023 | USD | 1,131,767,075 | — | (38,896,722) |
SPI 200 Index | 71 | 12/2023 | AUD | 12,577,650 | — | (249,845) |
TOPIX Index | 686 | 12/2023 | JPY | 15,939,210,000 | — | (1,742,423) |
U.S. Long Bond | 63 | 12/2023 | USD | 7,168,219 | — | (403,526) |
U.S. Treasury 10-Year Note | 993 | 12/2023 | USD | 107,306,063 | — | (2,131,651) |
U.S. Treasury 2-Year Note | 1,286 | 12/2023 | USD | 260,686,266 | — | (924,083) |
U.S. Treasury 5-Year Note | 2,908 | 12/2023 | USD | 306,385,063 | — | (3,219,980) |
U.S. Treasury Ultra Bond | 10 | 12/2023 | USD | 1,186,875 | — | (59,513) |
Total | 541,898 | (50,176,428) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Russell 2000 Index E-mini | (1,665) | 12/2023 | USD | (149,733,450) | 6,105,784 | — |
Russell 2000 Index E-mini | (400) | 12/2023 | USD | (35,972,000) | — | (109,342) |
U.S. Long Bond | (348) | 12/2023 | USD | (39,595,875) | 2,441,945 | — |
U.S. Treasury 10-Year Note | (50) | 12/2023 | USD | (5,403,126) | 101,947 | — |
U.S. Treasury Ultra 10-Year Note | (11) | 12/2023 | USD | (1,227,188) | 35,437 | — |
U.S. Treasury Ultra Bond | (337) | 12/2023 | USD | (39,997,688) | 3,331,518 | — |
Total | 12,016,631 | (109,342) |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Third Quarter Report 2023 | 7 |
Portfolio of Investments (continued)
Variable Portfolio – Managed Volatility Moderate Growth Fund, September 30, 2023 (Unaudited)
Variable Portfolio – Managed Volatility Moderate Growth Fund, September 30, 2023 (Unaudited)
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 891,914,400 | 2,080 | 3,700.00 | 12/20/2024 | 19,543,782 | 24,304,800 |
S&P 500 Index | JPMorgan | USD | 997,829,235 | 2,327 | 3,550.00 | 12/20/2024 | 21,083,525 | 22,176,310 |
S&P 500 Index | JPMorgan | USD | 836,169,750 | 1,950 | 3,650.00 | 12/20/2024 | 17,269,296 | 21,245,250 |
S&P 500 Index | JPMorgan | USD | 820,303,965 | 1,913 | 3,600.00 | 12/20/2024 | 18,045,423 | 19,569,990 |
Total | 75,942,026 | 87,296,350 |
Notes to Portfolio of Investments
(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 September 30, 2023, the total value of these securities amounted to $3,845,087, which represents 0.03% of total net assets. |
(b) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of September 30, 2023. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended September 30, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | 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% | |||||||||
1,816,587,221 | 2,840,368,744 | (2,006,761,094) | (66,556) | 2,650,128,315 | — | 112,594 | 95,184,858 | 2,650,923,592 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
196,544,525 | — | (16,567,229) | 8,562,162 | 188,539,458 | — | 25,000,117 | — | 4,865,534 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
612,605,565 | — | (46,824,516) | 21,929,554 | 587,710,603 | — | 58,981,674 | — | 7,216,486 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
606,809,046 | 14,247,553 | (17,389,258) | (18,882,986) | 584,784,355 | — | (3,148,911) | 14,247,553 | 73,373,194 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
303,543,743 | — | (31,918,950) | 27,301,938 | 298,926,731 | — | 47,703,489 | — | 9,203,409 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
191,795,483 | 6,329,590 | (15,348,254) | 630,150 | 183,406,969 | — | (1,986,926) | 6,329,590 | 20,154,612 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
359,596,930 | 12,336,446 | (701,635) | (31,886,943) | 339,344,798 | — | (134,891) | 12,336,446 | 48,616,733 | |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares | |||||||||
760,181,744 | 14,603,208 | (104,320,319) | 24,523,811 | 694,988,444 | — | 9,191,873 | 14,603,208 | 56,687,475 | |
Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares | |||||||||
614,041,050 | — | (76,027,956) | 46,937,151 | 584,950,245 | — | 43,113,187 | — | 34,489,991 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
325,660,340 | — | (7,858,599) | (19,285,869) | 298,515,872 | — | 9,334,725 | — | 8,408,898 | |
Columbia Variable Portfolio – Select Mid Cap Growth Fund, Class 1 Shares | |||||||||
66,571,948 | — | (5,756,670) | 2,051,990 | 62,867,268 | — | 6,041,121 | — | 1,554,966 | |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares | |||||||||
68,868,202 | — | (2,591,323) | (3,580,548) | 62,696,331 | — | 2,395,182 | — | 1,920,843 | |
Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares | |||||||||
68,984,214 | 5,471,080 | (16,494,689) | 2,186,072 | 60,146,677 | 4,957,382 | (2,770,221) | 513,698 | 5,332,152 | |
Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares | |||||||||
55,581,221 | — | (7,558,641) | 11,146,745 | 59,169,325 | — | (2,521,485) | — | 5,597,855 |
8 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Third Quarter Report 2023 |
Portfolio of Investments (continued)
Variable Portfolio – Managed Volatility Moderate Growth Fund, September 30, 2023 (Unaudited)
Variable Portfolio – Managed Volatility Moderate Growth Fund, 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 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
187,743,146 | 5,246,169 | (4,141,608) | (8,817,486) | 180,030,221 | — | (735,506) | 5,246,169 | 21,821,845 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
465,921,345 | 15,401,962 | (13,774,036) | (21,154,775) | 446,394,496 | — | (2,719,017) | 15,401,962 | 52,332,297 | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
283,014,178 | — | (9,427,849) | (12,058,028) | 261,528,301 | — | 9,130,251 | — | 7,446,706 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
188,367,668 | — | — | 30,950,683 | 219,318,351 | — | — | — | 5,327,140 | |
CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares | |||||||||
269,617,274 | — | (25,280,707) | 15,206,629 | 259,543,196 | — | 35,495,365 | — | 5,170,183 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
280,930,908 | — | (8,959,974) | (10,499,185) | 261,471,749 | — | 6,916,531 | — | 8,292,793 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
611,702,171 | 15,230,862 | (22,866,178) | (20,248,699) | 583,818,156 | — | (2,976,008) | 15,230,862 | 66,645,908 | |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares | |||||||||
69,412,523 | — | (2,669,128) | (3,092,434) | 63,650,961 | — | 3,065,874 | — | 1,522,386 | |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares | |||||||||
67,261,811 | — | (4,949,274) | 1,410,923 | 63,723,460 | — | 5,806,904 | — | 1,621,462 | |
Variable Portfolio – Partners Core Bond Fund, Class 1 Shares | |||||||||
703,625,071 | 19,320,463 | (31,633,505) | (19,686,222) | 671,625,807 | — | (3,875,455) | 19,320,463 | 73,886,228 | |
Variable Portfolio – Partners Core Equity Fund, Class 1 Shares | |||||||||
306,605,925 | — | (20,178,354) | 5,475,392 | 291,902,963 | — | 30,327,306 | — | 8,763,223 | |
Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares | |||||||||
398,042,512 | 5,896,938 | (61,149,469) | 20,041,867 | 362,831,848 | — | (3,802,960) | 5,896,938 | 39,871,632 | |
Variable Portfolio – Partners International Growth Fund, Class 1 Shares | |||||||||
255,136,579 | 1,280,687 | (30,861,373) | 4,820,864 | 230,376,757 | — | (895,937) | 1,280,687 | 22,742,029 | |
Variable Portfolio – Partners International Value Fund, Class 1 Shares | |||||||||
264,051,256 | 5,723,977 | (42,234,832) | 10,862,320 | 238,402,721 | — | 5,814,172 | 5,723,977 | 25,717,661 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
177,666,143 | — | (12,130,571) | (11,263,375) | 154,272,197 | — | 7,474,309 | — | 5,877,036 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
181,482,290 | — | (15,372,546) | (5,348,110) | 160,761,634 | — | 7,968,225 | — | 4,887,858 | |
Total | 10,757,952,032 | 48,167,035 | 11,105,828,209 | 4,957,382 | 288,305,582 | 211,316,411 |
(d) | Non-income producing investment. |
(e) | Represents a security purchased on a when-issued basis. |
(f) | The rate shown is the seven-day current annualized yield at September 30, 2023. |
Abbreviation Legend
TBA | To Be Announced |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Third Quarter Report 2023 | 9 |
Portfolio of Investments (continued)
Variable Portfolio – Managed Volatility Moderate Growth Fund, September 30, 2023 (Unaudited)
Variable Portfolio – Managed Volatility Moderate Growth Fund, September 30, 2023 (Unaudited)
Currency Legend
AUD | Australian Dollar |
CAD | Canada Dollar |
CHF | Swiss Franc |
EUR | Euro |
GBP | British Pound |
JPY | Japanese Yen |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
SEK | Swedish Krona |
SGD | Singapore Dollar |
USD | US Dollar |
Investments are valued using policies described in the Notes to Financial Statements in the most recent shareholder report.
10 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Third Quarter Report 2023 |
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You may at any time request, free of charge, to receive a paper copy of this report by calling 800.345.6611.
3QT7048_12_B01_(11/23)