UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number811-22127
Columbia Funds Variable Series Trust II
(Exact name of registrant as specified in charter)
225 Franklin Street, Boston, MA 02110
(Address of principal executive offices) (Zip code)
Christopher O. Petersen, Esq.
c/o Columbia Management Investment Advisers, LLC
225 Franklin Street
Boston, Massachusetts 02110
Ryan C. Larrenaga, Esq.
c/o Columbia Management Investment Advisers, LLC
225 Franklin Street
Boston, MA 02110
(Name and address of agent for service)
Registrant's telephone number, including area code: (800) 345-6611
Date of fiscal year end: December 31
Date of reporting period: December 31, 2019
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
December 31, 2019
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Columbia Variable Portfolio – Global Strategic Income Fund
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1* | 05/03/10 | 10.96 | 0.70 | 1.41 | |
Class 2* | 05/03/10 | 10.75 | 0.46 | 1.17 | |
Class 3 | 05/01/96 | 10.91 | 0.58 | 1.29 | |
Bloomberg Barclays Global Aggregate Hedged USD Index | 8.22 | 3.57 | 4.08 | ||
Bloomberg Barclays Global Credit Hedged USD Index | 11.85 | 4.36 | 5.08 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
Columbia Variable Portfolio Funds | Annual Report 2019 | 3 |
Columbia Variable Portfolio – Global Strategic Income Fund
Quality breakdown (%) (at December 31, 2019) | |
AAA rating | 2.5 |
AA rating | 5.5 |
A rating | 10.8 |
BBB rating | 41.8 |
BB rating | 14.3 |
B rating | 12.9 |
CCC rating | 2.1 |
CC rating | 0.1 |
Not rated | 10.0 |
Total | 100.0 |
4 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Columbia Variable Portfolio – Global Strategic Income Fund
Country breakdown (%) (at December 31, 2019) | |
Argentina | 0.1 |
Australia | 1.3 |
Belarus | 0.2 |
Belgium | 0.4 |
Bermuda | 1.8 |
Brazil | 1.8 |
Canada | 0.6 |
Cayman Islands | 1.0 |
China | 0.5 |
Costa Rica | 0.2 |
Czech Republic | 0.2 |
Dominican Republic | 1.0 |
Egypt | 1.0 |
El Salvador | 0.5 |
Finland | 0.3 |
France | 1.9 |
Germany | 0.9 |
Honduras | 0.4 |
India | 0.3 |
Indonesia | 2.5 |
Ireland | 1.2 |
Italy | 0.5 |
Ivory Coast | 0.5 |
Kazakhstan | 0.3 |
Luxembourg | 0.8 |
Mexico | 1.2 |
Mongolia | 0.2 |
Morocco | 0.4 |
Netherlands | 3.5 |
Nigeria | 0.2 |
Norway | 0.3 |
Oman | 0.2 |
Paraguay | 0.3 |
Qatar | 1.8 |
Romania | 0.6 |
Russian Federation | 0.7 |
Saudi Arabia | 1.0 |
Senegal | 0.4 |
South Africa | 0.5 |
Spain | 0.6 |
Sri Lanka | 0.4 |
Sweden | 0.8 |
Turkey | 0.4 |
Ukraine | 0.2 |
United Kingdom | 7.7 |
United States(a) | 57.7 |
Virgin Islands | 0.7 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds. |
Market exposure through derivatives investments (% of notional exposure) (at December 31, 2019)(a) | |||
Long | Short | Net | |
Fixed Income Derivative Contracts | 1.4 | (63.2) | (61.8) |
Foreign Currency Derivative Contracts | - | (38.2) | (38.2) |
Total Notional Market Value of Derivative Contracts | 1.4 | (101.4) | (100.0) |
Columbia Variable Portfolio Funds | Annual Report 2019 | 5 |
Columbia Variable Portfolio – Global Strategic Income Fund
6 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Columbia Variable Portfolio – Global Strategic Income Fund
Columbia Variable Portfolio Funds | Annual Report 2019 | 7 |
Columbia Variable Portfolio – Intermediate Bond Fund
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1* | 05/03/10 | 9.25 | 3.65 | 4.39 | |
Class 2* | 05/03/10 | 9.03 | 3.38 | 4.15 | |
Class 3 | 10/13/81 | 9.12 | 3.51 | 4.27 | |
Bloomberg Barclays U.S. Aggregate Bond Index | 8.72 | 3.05 | 3.75 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
8 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Columbia Variable Portfolio – Intermediate Bond Fund
Portfolio breakdown (%) (at December 31, 2019) | |
Asset-Backed Securities — Agency | 0.0(a) |
Asset-Backed Securities — Non-Agency | 16.2 |
Commercial Mortgage-Backed Securities - Agency | 1.6 |
Commercial Mortgage-Backed Securities - Non-Agency | 7.0 |
Corporate Bonds & Notes | 18.5 |
Foreign Government Obligations | 1.4 |
Money Market Funds | 2.7 |
Municipal Bonds | 0.1 |
Residential Mortgage-Backed Securities - Agency | 28.6 |
Residential Mortgage-Backed Securities - Non-Agency | 23.1 |
Senior Loans | 0.1 |
U.S. Treasury Obligations | 0.7 |
Total | 100.0 |
(a) | Rounds to zero. |
Quality breakdown (%) (at December 31, 2019) | |
AAA rating | 38.6 |
AA rating | 8.3 |
A rating | 9.6 |
BBB rating | 18.7 |
BB rating | 4.2 |
B rating | 2.8 |
CCC rating | 0.6 |
CC rating | 0.0(a) |
Not rated | 17.2 |
Total | 100.0 |
(a) | Rounds to zero. |
Columbia Variable Portfolio Funds | Annual Report 2019 | 9 |
Columbia Variable Portfolio – Intermediate Bond Fund
10 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Columbia Variable Portfolio – Intermediate Bond Fund
Columbia Variable Portfolio Funds | Annual Report 2019 | 11 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1* | 05/03/10 | 7.90 | 3.43 | 3.99 | |
Class 2* | 05/03/10 | 7.63 | 3.15 | 3.74 | |
Class 3 | 09/13/04 | 7.81 | 3.29 | 3.86 | |
Bloomberg Barclays World Government Inflation-Linked Bond Index USD Hedged | 8.38 | 4.08 | 4.52 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
12 | Columbia Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund
Quality breakdown (%) (at December 31, 2019) | |
AAA rating | 48.9 |
AA rating | 34.7 |
A rating | 7.3 |
BBB rating | 8.8 |
B rating | 0.1 |
Not rated | 0.2 |
Total | 100.0 |
Country breakdown (%) (at December 31, 2019) | |
Australia | 1.3 |
Canada | 2.0 |
Denmark | 0.3 |
France | 9.5 |
Germany | 0.5 |
Greece | 0.1 |
Italy | 8.5 |
Japan | 6.9 |
New Zealand | 1.1 |
Spain | 0.7 |
Sweden | 0.9 |
United Kingdom | 23.6 |
United States(a) | 44.6 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds. |
Columbia Variable Portfolio Funds | Annual Report 2019 | 13 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund
Market exposure through derivatives investments (% of notional exposure) (at December 31, 2019)(a) | |||
Long | Short | Net | |
Fixed Income Derivative Contracts | 92.5 | (150.4) | (57.9) |
Foreign Currency Derivative Contracts | 3.3 | (45.4) | (42.1) |
Total Notional Market Value of Derivative Contracts | 95.8 | (195.8) | (100.0) |
14 | Columbia Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund
Columbia Variable Portfolio Funds | Annual Report 2019 | 15 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund
16 | Columbia Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund
Columbia Variable Portfolio Funds | Annual Report 2019 | 17 |
CTIVP® – Victory Sycamore Established Value Fund
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1* | 05/03/10 | 28.20 | 10.11 | 12.70 | |
Class 2* | 05/03/10 | 27.85 | 9.84 | 12.43 | |
Class 3 | 02/04/04 | 28.01 | 9.98 | 12.58 | |
Russell Midcap Value Index | 27.06 | 7.62 | 12.41 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
18 | Columbia Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – Victory Sycamore Established Value Fund
Portfolio breakdown (%) (at December 31, 2019) | |
Common Stocks | 96.6 |
Money Market Funds | 3.4 |
Total | 100.0 |
Equity sector breakdown (%) (at December 31, 2019) | |
Communication Services | 3.7 |
Consumer Discretionary | 7.8 |
Consumer Staples | 10.1 |
Energy | 5.1 |
Financials | 17.4 |
Health Care | 5.2 |
Industrials | 15.2 |
Information Technology | 15.1 |
Materials | 9.2 |
Real Estate | 7.7 |
Utilities | 3.5 |
Total | 100.0 |
Columbia Variable Portfolio Funds | Annual Report 2019 | 19 |
CTIVP® – Victory Sycamore Established Value Fund
20 | Columbia Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – Victory Sycamore Established Value Fund
Columbia Variable Portfolio Funds | Annual Report 2019 | 21 |
CTIVP® – Victory Sycamore Established Value Fund
22 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Core Equity Fund
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1* | 05/03/10 | 26.59 | 9.14 | 10.29 | |
Class 2* | 05/03/10 | 26.21 | 8.87 | 10.03 | |
Class 3 | 05/01/06 | 26.38 | 9.01 | 10.16 | |
S&P 500 Index | 31.49 | 11.70 | 13.56 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
Columbia Variable Portfolio Funds | Annual Report 2019 | 23 |
Variable Portfolio – Partners Core Equity Fund
Portfolio breakdown (%) (at December 31, 2019) | |
Common Stocks | 98.0 |
Money Market Funds | 2.0 |
Total | 100.0 |
Equity sector breakdown (%) (at December 31, 2019) | |
Communication Services | 8.5 |
Consumer Discretionary | 11.6 |
Consumer Staples | 5.5 |
Energy | 3.7 |
Financials | 13.7 |
Health Care | 15.0 |
Industrials | 8.2 |
Information Technology | 21.4 |
Materials | 4.8 |
Real Estate | 3.0 |
Utilities | 4.6 |
Total | 100.0 |
24 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Core Equity Fund
Columbia Variable Portfolio Funds | Annual Report 2019 | 25 |
Variable Portfolio – Partners Core Equity Fund
26 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Core Equity Fund
Columbia Variable Portfolio Funds | Annual Report 2019 | 27 |
Variable Portfolio – Partners Core Equity Fund
28 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Small Cap Value Fund
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1* | 05/03/10 | 19.80 | 4.85 | 9.01 | |
Class 2* | 05/03/10 | 19.53 | 4.58 | 8.74 | |
Class 3 | 08/14/01 | 19.66 | 4.72 | 8.87 | |
Russell 2000 Value Index | 22.39 | 6.99 | 10.56 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
Columbia Variable Portfolio Funds | Annual Report 2019 | 29 |
Variable Portfolio – Partners Small Cap Value Fund
Portfolio breakdown (%) (at December 31, 2019) | |
Common Stocks | 95.2 |
Exchange-Traded Equity Funds | 0.3 |
Money Market Funds | 4.5 |
Rights | 0.0(a) |
Total | 100.0 |
(a) | Rounds to zero. |
Equity sector breakdown (%) (at December 31, 2019) | |
Communication Services | 1.3 |
Consumer Discretionary | 8.0 |
Consumer Staples | 3.3 |
Energy | 7.5 |
Financials | 26.1 |
Health Care | 7.5 |
Industrials | 12.7 |
Information Technology | 13.3 |
Materials | 6.7 |
Real Estate | 8.9 |
Utilities | 4.7 |
Total | 100.0 |
30 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Small Cap Value Fund
Columbia Variable Portfolio Funds | Annual Report 2019 | 31 |
Variable Portfolio – Partners Small Cap Value Fund
32 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Small Cap Value Fund
Columbia Variable Portfolio Funds | Annual Report 2019 | 33 |
Variable Portfolio – Partners Small Cap Value Fund
34 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Small Cap Value Fund
Columbia Variable Portfolio Funds | Annual Report 2019 | 35 |
Variable Portfolio – Partners Small Cap Value Fund
36 | Columbia Variable Portfolio Funds | Annual Report 2019 |
(Unaudited)
July 1, 2019 — December 31, 2019 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Columbia Variable Portfolio – Global Strategic Income Fund | |||||||
Class 1 | 1,000.00 | 1,000.00 | 1,031.70 | 1,022.52 | 3.00 | 2.99 | 0.58 |
Class 2 | 1,000.00 | 1,000.00 | 1,031.10 | 1,021.25 | 4.30 | 4.27 | 0.83 |
Class 3 | 1,000.00 | 1,000.00 | 1,031.90 | 1,021.91 | 3.62 | 3.61 | 0.70 |
Columbia Variable Portfolio – Intermediate Bond Fund | |||||||
Class 1 | 1,000.00 | 1,000.00 | 1,021.10 | 1,022.98 | 2.52 | 2.53 | 0.49 |
Class 2 | 1,000.00 | 1,000.00 | 1,020.20 | 1,021.71 | 3.81 | 3.81 | 0.74 |
Class 3 | 1,000.00 | 1,000.00 | 1,020.10 | 1,022.32 | 3.19 | 3.19 | 0.62 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | |||||||
Class 1 | 1,000.00 | 1,000.00 | 1,012.50 | 1,022.42 | 3.08 | 3.09 | 0.60 |
Class 2 | 1,000.00 | 1,000.00 | 1,011.00 | 1,021.15 | 4.36 | 4.38 | 0.85 |
Class 3 | 1,000.00 | 1,000.00 | 1,012.60 | 1,021.76 | 3.74 | 3.76 | 0.73 |
Columbia Variable Portfolio Funds | Annual Report 2019 | 37 |
(Unaudited)
July 1, 2019 — December 31, 2019 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
CTIVP® – Victory Sycamore Established Value Fund | |||||||
Class 1 | 1,000.00 | 1,000.00 | 1,080.20 | 1,021.45 | 4.19 | 4.07 | 0.79 |
Class 2 | 1,000.00 | 1,000.00 | 1,078.70 | 1,020.18 | 5.51 | 5.35 | 1.04 |
Class 3 | 1,000.00 | 1,000.00 | 1,079.20 | 1,020.84 | 4.82 | 4.69 | 0.91 |
Variable Portfolio – Partners Core Equity Fund | |||||||
Class 1 | 1,000.00 | 1,000.00 | 1,089.00 | 1,021.96 | 3.67 | 3.55 | 0.69 |
Class 2 | 1,000.00 | 1,000.00 | 1,087.20 | 1,020.69 | 5.00 | 4.84 | 0.94 |
Class 3 | 1,000.00 | 1,000.00 | 1,088.20 | 1,021.35 | 4.31 | 4.17 | 0.81 |
Variable Portfolio – Partners Small Cap Value Fund | |||||||
Class 1 | 1,000.00 | 1,000.00 | 1,043.10 | 1,021.00 | 4.58 | 4.53 | 0.88 |
Class 2 | 1,000.00 | 1,000.00 | 1,041.90 | 1,019.72 | 5.88 | 5.82 | 1.13 |
Class 3 | 1,000.00 | 1,000.00 | 1,042.60 | 1,020.38 | 5.20 | 5.15 | 1.00 |
38 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Columbia Variable Portfolio – Global Strategic Income Fund, December 31, 2019
Asset-Backed Securities — Non-Agency 2.8% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Cayman Islands 0.9% | ||||
ARES XXXVII CLO Ltd.(a),(b) | ||||
Series 2015-4A Class A3R | ||||
3-month USD LIBOR + 1.500% 10/15/2030 | 3.501% | 750,000 | 744,758 | |
RR 3 Ltd.(a),(b) | ||||
Series 2014-14A Class A1R2 | ||||
3-month USD LIBOR + 1.090% Floor 1.090% 01/15/2030 | 3.091% | 250,000 | 247,877 | |
Total | 992,635 | |||
United States 1.9% | ||||
Conn’s Receivables Funding LLC(a) | ||||
Series 2019-B Class B | ||||
06/17/2024 | 3.620% | 1,000,000 | 998,975 | |
Octagon Investment Partners Ltd.(a),(b) | ||||
Series 2018-18A Class A2 | ||||
3-month USD LIBOR + 1.470% 04/16/2031 | 3.471% | 500,000 | 491,462 | |
Prosper Marketplace Issuance Trust(a) | ||||
Series 2019-1A Class B | ||||
04/15/2025 | 4.030% | 700,000 | 706,345 | |
Total | 2,196,782 | |||
Total Asset-Backed Securities — Non-Agency (Cost $3,184,831) | 3,189,417 | |||
Commercial Mortgage-Backed Securities - Non-Agency(c) 4.8% | ||||
United Kingdom 0.4% | ||||
Tesco Property Finance 3 PLC(a) | ||||
04/13/2040 | 5.744% | GBP | 285,033 | 489,521 |
United States 4.4% | ||||
CALI Mortgage Trust(a),(d) | ||||
Series 2019-101C Class F | ||||
03/10/2039 | 4.324% | 300,000 | 303,889 | |
CHT Mortgage Trust(a),(b) | ||||
Series 2017-CSMO Class A | ||||
1-month USD LIBOR + 0.930% Floor 0.880% 11/15/2036 | 2.670% | 1,000,000 | 999,062 | |
Credit Suisse Mortgage Capital Certificates OA LLC(a) | ||||
Subordinated Series 2014-USA Class E | ||||
09/15/2037 | 4.373% | 750,000 | 705,231 | |
Subordinated Series 2014-USA Class F | ||||
09/15/2037 | 4.373% | 260,000 | 234,298 |
Commercial Mortgage-Backed Securities - Non-Agency(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CSMC Trust(a),(d) | ||||
Subordinated Series 2019-UVIL Class E | ||||
12/15/2041 | 3.393% | 300,000 | 270,768 | |
Hilton U.S.A. Trust(a) | ||||
Subordinated Series 2016-SFP Class F | ||||
11/05/2035 | 6.155% | 550,000 | 551,528 | |
JPMorgan Chase Commercial Mortgage Securities Trust(a),(d) | ||||
Subordinated Series 2015-UES Class E | ||||
09/05/2032 | 3.621% | 1,150,000 | 1,150,519 | |
Progress Residential Trust(a) | ||||
Series 2019-SFR1 Class E | ||||
08/17/2035 | 4.466% | 500,000 | 509,724 | |
Subordinated Series 2019-SFR2 Class E | ||||
05/17/2036 | 4.142% | 200,000 | 202,759 | |
Total | 4,927,778 | |||
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $5,245,003) | 5,417,299 | |||
Corporate Bonds & Notes(c) 50.4% | ||||
Australia 1.2% | ||||
Aurizon Network Pty Ltd.(a) | ||||
06/01/2026 | 3.125% | EUR | 450,000 | 577,034 |
Ausgrid Finance Pty Ltd.(a) | ||||
07/30/2025 | 1.250% | EUR | 470,000 | 544,378 |
Goodman Australia Finance Pty Ltd.(a) | ||||
09/27/2025 | 1.375% | EUR | 240,000 | 277,568 |
Total | 1,398,980 | |||
Belgium 0.4% | ||||
Belfius Bank SA(a) | ||||
08/30/2023 | 0.625% | EUR | 400,000 | 457,233 |
Bermuda 0.8% | ||||
Bacardi Ltd.(a) | ||||
07/03/2023 | 2.750% | EUR | 450,000 | 543,003 |
05/15/2048 | 5.300% | 345,000 | 401,264 | |
Total | 944,267 | |||
Brazil 0.3% | ||||
Vale Overseas Ltd. | ||||
11/21/2036 | 6.875% | 250,000 | 323,992 | |
Canada 0.6% | ||||
1011778 BC ULC/New Red Finance, Inc.(a) | ||||
10/15/2025 | 5.000% | 84,000 | 87,144 | |
01/15/2028 | 3.875% | 16,000 | 16,125 |
Columbia Variable Portfolio Funds | Annual Report 2019 | 39 |
Columbia Variable Portfolio – Global Strategic Income Fund, December 31, 2019
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Bausch Health Companies, Inc.(a) | ||||
03/15/2024 | 7.000% | 15,000 | 15,649 | |
04/15/2025 | 6.125% | 71,000 | 73,470 | |
11/01/2025 | 5.500% | 22,000 | 22,993 | |
01/15/2028 | 7.000% | 6,000 | 6,634 | |
01/30/2028 | 5.000% | 19,000 | 19,493 | |
01/30/2030 | 5.250% | 20,000 | 20,717 | |
Bombardier, Inc.(a) | ||||
10/15/2022 | 6.000% | 9,000 | 8,992 | |
12/01/2024 | 7.500% | 18,000 | 18,945 | |
03/15/2025 | 7.500% | 28,000 | 28,894 | |
04/15/2027 | 7.875% | 4,000 | 4,121 | |
Canadian Natural Resources Ltd. | ||||
06/01/2047 | 4.950% | 25,000 | 30,592 | |
GFL Environmental, Inc.(a) | ||||
03/01/2023 | 5.375% | 10,000 | 10,276 | |
12/15/2026 | 5.125% | 17,000 | 17,870 | |
05/01/2027 | 8.500% | 31,000 | 33,963 | |
HudBay Minerals, Inc.(a) | ||||
01/15/2023 | 7.250% | 17,000 | 17,626 | |
01/15/2025 | 7.625% | 66,000 | 69,604 | |
Hulk Finance Corp.(a) | ||||
06/01/2026 | 7.000% | 27,000 | 28,515 | |
Panther BF Aggregator 2 LP/Finance Co., Inc.(a) | ||||
05/15/2026 | 6.250% | 13,000 | 14,049 | |
05/15/2027 | 8.500% | 22,000 | 23,376 | |
Ritchie Bros. Auctioneers, Inc.(a) | ||||
01/15/2025 | 5.375% | 14,000 | 14,578 | |
Rockpoint Gas Storage Canada Ltd.(a) | ||||
03/31/2023 | 7.000% | 50,000 | 48,962 | |
Total | 632,588 | |||
Cayman Islands 0.0% | ||||
Global Aircraft Leasing Co., Ltd.(a),(e) | ||||
09/15/2024 | 6.500% | 53,000 | 55,301 | |
China 0.5% | ||||
Lenovo Perpetual Securities Ltd.(a),(f) | ||||
12/31/2049 | 5.375% | 300,000 | 300,784 | |
Tencent Holdings Ltd.(a) | ||||
01/19/2028 | 3.595% | 250,000 | 261,141 | |
Total | 561,925 | |||
Czech Republic 0.1% | ||||
CPI Property Group SA(a) | ||||
04/14/2022 | 1.450% | EUR | 140,000 | 161,006 |
Finland 0.2% | ||||
Sampo OYJ(a) | ||||
05/30/2025 | 1.250% | EUR | 230,000 | 269,931 |
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
France 1.8% | ||||
Altice France SA(a) | ||||
05/01/2026 | 7.375% | 106,000 | 113,956 | |
02/01/2027 | 8.125% | 28,000 | 31,600 | |
01/15/2028 | 5.500% | 41,000 | 42,264 | |
Banque Federative du Credit Mutuel SA(a) | ||||
07/17/2025 | 0.750% | EUR | 400,000 | 459,708 |
BPCE SA(a) | ||||
09/26/2023 | 0.625% | EUR | 400,000 | 457,441 |
Credit Mutuel Arkea SA(a) | ||||
01/17/2025 | 1.375% | EUR | 500,000 | 590,735 |
Orange SA(a),(f) | ||||
Junior Subordinated | ||||
12/31/2049 | 5.000% | EUR | 215,000 | 293,768 |
SPCM SA(a) | ||||
09/15/2025 | 4.875% | 29,000 | 30,212 | |
Total | 2,019,684 | |||
Germany 0.8% | ||||
Commerzbank AG(a) | ||||
03/04/2026 | 1.000% | EUR | 300,000 | 347,039 |
Grand City Properties SA(a) | ||||
08/03/2026 | 1.375% | EUR | 500,000 | 579,034 |
Total | 926,073 | |||
India 0.3% | ||||
GMR Hyderabad International Airport Ltd.(a) | ||||
10/27/2027 | 4.250% | 300,000 | 283,508 | |
Indonesia 0.2% | ||||
PT Sri Rejeki Isman Tbk(a) | ||||
01/16/2025 | 7.250% | 200,000 | 208,381 | |
Ireland 1.1% | ||||
Ardagh Packaging Finance PLC/Holdings USA, Inc.(a) | ||||
02/15/2025 | 6.000% | 13,000 | 13,636 | |
08/15/2027 | 5.250% | 58,000 | 61,032 | |
GE Capital International Funding Co. Unlimited Co. | ||||
11/15/2035 | 4.418% | 745,000 | 795,541 | |
Zurich Finance Ireland Designated Activity Co.(a) | ||||
06/17/2039 | 1.625% | EUR | 330,000 | 393,942 |
Total | 1,264,151 | |||
Italy 0.5% | ||||
Assicurazioni Generali SpA(a),(f) | ||||
Subordinated | ||||
06/08/2048 | 5.000% | EUR | 380,000 | 510,066 |
40 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Columbia Variable Portfolio – Global Strategic Income Fund, December 31, 2019
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Telecom Italia Capital SA | ||||
09/30/2034 | 6.000% | 14,000 | 15,111 | |
Total | 525,177 | |||
Luxembourg 0.7% | ||||
Altice Luxembourg SA(a) | ||||
05/15/2027 | 10.500% | 40,000 | 45,884 | |
ARD Finance SA(a),(e) | ||||
06/30/2027 | 6.500% | 20,000 | 20,676 | |
Bevco Lux Sarl(a) | ||||
02/09/2023 | 1.750% | EUR | 550,000 | 641,863 |
FAGE International SA/USA Dairy Industry, Inc.(a) | ||||
08/15/2026 | 5.625% | 25,000 | 23,028 | |
INEOS Group Holdings SA(a) | ||||
08/01/2024 | 5.625% | 25,000 | 25,678 | |
Intelsat Jackson Holdings SA | ||||
08/01/2023 | 5.500% | 23,000 | 19,741 | |
Intelsat Jackson Holdings SA(a) | ||||
10/15/2024 | 8.500% | 44,000 | 40,129 | |
Intelsat Luxembourg SA | ||||
06/01/2023 | 8.125% | 30,000 | 17,725 | |
Total | 834,724 | |||
Mexico 0.4% | ||||
Cemex SAB de CV(a) | ||||
04/16/2026 | 7.750% | 400,000 | 436,307 | |
Netherlands 1.7% | ||||
ABN AMRO Bank NV(a) | ||||
04/15/2026 | 0.500% | EUR | 250,000 | 284,226 |
Alcoa Nederland Holding BV(a) | ||||
09/30/2024 | 6.750% | 4,000 | 4,203 | |
Alpha 2 BV(a),(e) | ||||
06/01/2023 | 8.750% | 37,000 | 37,500 | |
Atotech U.S.A., Inc.(a) | ||||
02/01/2025 | 6.250% | 40,000 | 41,205 | |
Braskem Netherlands Finance BV(a) | ||||
01/31/2050 | 5.875% | 200,000 | 199,294 | |
Constellium NV(a) | ||||
03/01/2025 | 6.625% | 29,000 | 30,161 | |
02/15/2026 | 5.875% | 80,000 | 84,693 | |
Innogy Finance BV(a) | ||||
06/03/2030 | 6.250% | GBP | 315,000 | 574,311 |
Sensata Technologies BV(a) | ||||
10/01/2025 | 5.000% | 47,000 | 51,110 | |
Starfruit Finco BV/US Holdco LLC(a) | ||||
10/01/2026 | 8.000% | 66,000 | 70,013 |
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Trivium Packaging Finance BV(a) | ||||
08/15/2026 | 5.500% | 20,000 | 21,175 | |
08/15/2027 | 8.500% | 14,000 | 15,575 | |
Volkswagen International Finance NV(a) | ||||
11/16/2038 | 4.125% | EUR | 200,000 | 289,226 |
Ziggo Bond Finance BV(a) | ||||
01/15/2027 | 6.000% | 62,000 | 65,566 | |
Ziggo BV(a) | ||||
01/15/2027 | 5.500% | 114,000 | 121,288 | |
Total | 1,889,546 | |||
Norway 0.3% | ||||
DNB Bank ASA(a) | ||||
04/09/2024 | 0.250% | EUR | 300,000 | 337,706 |
Spain 0.6% | ||||
CaixaBank SA(a) | ||||
05/17/2024 | 1.125% | EUR | 300,000 | 348,021 |
NorteGas Energia Distribucion SAU(a) | ||||
09/28/2027 | 2.065% | EUR | 235,000 | 280,851 |
Total | 628,872 | |||
Sweden 0.8% | ||||
Akelius Residential Property AB(a) | ||||
02/07/2025 | 1.750% | EUR | 380,000 | 446,397 |
Sagax AB(a) | ||||
01/17/2024 | 2.000% | EUR | 365,000 | 427,196 |
Total | 873,593 | |||
United Kingdom 6.5% | ||||
Barclays PLC, Subordinated(a),(f) | ||||
02/07/2028 | 2.000% | EUR | 250,000 | 285,085 |
BAT International Finance PLC(a) | ||||
03/25/2025 | 2.750% | EUR | 305,000 | 379,947 |
BP Capital Markets PLC(a) | ||||
11/08/2027 | 0.831% | EUR | 250,000 | 286,414 |
British Telecommunications PLC(a) | ||||
06/23/2027 | 1.500% | EUR | 440,000 | 513,385 |
BUPA Finance PLC(a) | ||||
Subordinated | ||||
12/08/2026 | 5.000% | GBP | 200,000 | 304,681 |
Cadent Finance PLC(a) | ||||
09/22/2024 | 0.625% | EUR | 330,000 | 374,958 |
Credit Agricole SA(a) | ||||
05/03/2027 | 1.375% | EUR | 500,000 | 601,510 |
DS Smith PLC(a) | ||||
09/12/2026 | 0.875% | EUR | 470,000 | 518,177 |
Columbia Variable Portfolio Funds | Annual Report 2019 | 41 |
Columbia Variable Portfolio – Global Strategic Income Fund, December 31, 2019
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
G4S International Finance PLC(a) | ||||
05/24/2025 | 1.875% | EUR | 280,000 | 323,215 |
GKN Holdings Ltd.(a) | ||||
09/19/2022 | 5.375% | GBP | 275,000 | 395,506 |
HBOS PLC(f) | ||||
Subordinated | ||||
03/18/2030 | 4.500% | EUR | 255,000 | 333,266 |
Imperial Brands Finance PLC(a) | ||||
02/26/2026 | 3.375% | EUR | 425,000 | 538,276 |
NGG Finance PLC(a),(f) | ||||
09/05/2082 | 2.125% | EUR | 250,000 | 285,041 |
Rolls-Royce PLC(a) | ||||
05/09/2024 | 0.875% | EUR | 285,000 | 322,482 |
Royal Bank of Scotland Group PLC(a),(f) | ||||
03/02/2026 | 1.750% | EUR | 335,000 | 394,081 |
Sky PLC(a) | ||||
09/16/2024 | 3.750% | 1,125,000 | 1,203,179 | |
Virgin Media Secured Finance PLC(a) | ||||
08/15/2026 | 5.500% | 31,000 | 32,534 | |
05/15/2029 | 5.500% | 33,000 | 34,987 | |
Western Power Distribution PLC(a) | ||||
10/16/2026 | 3.500% | GBP | 205,000 | 289,696 |
Total | 7,416,420 | |||
United States 30.6% | ||||
AbbVie, Inc.(a) | ||||
11/21/2049 | 4.250% | 175,000 | 185,602 | |
Acadia Healthcare Co., Inc. | ||||
07/01/2022 | 5.125% | 29,000 | 29,367 | |
02/15/2023 | 5.625% | 4,000 | 4,070 | |
03/01/2024 | 6.500% | 18,000 | 18,670 | |
AES Corp. (The) | ||||
03/15/2023 | 4.500% | 16,000 | 16,400 | |
05/15/2023 | 4.875% | 19,000 | 19,294 | |
05/15/2026 | 6.000% | 28,000 | 29,862 | |
09/01/2027 | 5.125% | 15,000 | 16,009 | |
Albertsons Companies LLC/Safeway, Inc./New Albertsons LP | ||||
03/15/2025 | 5.750% | 15,000 | 15,561 | |
Albertsons Companies LLC/Safeway, Inc./New Albertsons LP(a) | ||||
03/15/2026 | 7.500% | 17,000 | 19,107 | |
02/15/2028 | 5.875% | 19,000 | 20,210 | |
Albertsons Companies, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(a) | ||||
01/15/2027 | 4.625% | 31,000 | 31,001 | |
Allergan Funding SCS | ||||
06/15/2044 | 4.850% | 70,000 | 77,687 | |
Alliance Data Systems Corp.(a) | ||||
12/15/2024 | 4.750% | 38,000 | 37,930 |
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Alliant Holdings Intermediate LLC/Co-Issuer(a) | ||||
10/15/2027 | 6.750% | 31,000 | 33,254 | |
Ally Financial, Inc. | ||||
03/30/2025 | 4.625% | 100,000 | 108,896 | |
11/01/2031 | 8.000% | 56,000 | 77,757 | |
American Builders & Contractors Supply Co., Inc.(a) | ||||
05/15/2026 | 5.875% | 52,000 | 55,219 | |
01/15/2028 | 4.000% | 58,000 | 58,871 | |
Angus Chemical Co.(a) | ||||
02/15/2023 | 8.750% | 61,000 | 61,045 | |
Anheuser-Busch Companies LLC/InBev Worldwide, Inc. | ||||
02/01/2046 | 4.900% | 805,000 | 957,682 | |
Antero Midstream Partners LP/Finance Corp.(a) | ||||
03/01/2027 | 5.750% | 21,000 | 18,486 | |
Apergy Corp. | ||||
05/01/2026 | 6.375% | 45,000 | 47,432 | |
Appalachian Power Co. | ||||
05/15/2044 | 4.400% | 800,000 | 902,781 | |
APX Group, Inc. | ||||
12/01/2020 | 8.750% | 14,000 | 14,009 | |
12/01/2022 | 7.875% | 60,000 | 60,583 | |
09/01/2023 | 7.625% | 47,000 | 44,505 | |
APX Group, Inc.(a) | ||||
11/01/2024 | 8.500% | 35,000 | 36,116 | |
Archrock Partners LP/Finance Corp.(a) | ||||
04/01/2028 | 6.250% | 19,000 | 19,567 | |
Ascend Learning LLC(a) | ||||
08/01/2025 | 6.875% | 25,000 | 26,280 | |
08/01/2025 | 6.875% | 24,000 | 25,197 | |
ASGN, Inc.(a) | ||||
05/15/2028 | 4.625% | 31,000 | 31,846 | |
AT&T, Inc. | ||||
06/15/2045 | 4.350% | 700,000 | 755,841 | |
Avantor, Inc.(a) | ||||
10/01/2025 | 9.000% | 42,000 | 47,004 | |
Avis Budget Car Rental LLC/Finance, Inc. | ||||
04/01/2023 | 5.500% | 5,000 | 5,088 | |
Avis Budget Car Rental LLC/Finance, Inc.(a) | ||||
03/15/2025 | 5.250% | 52,000 | 53,617 | |
B&G Foods, Inc. | ||||
04/01/2025 | 5.250% | 36,000 | 37,104 | |
09/15/2027 | 5.250% | 12,000 | 12,096 | |
Banff Merger Sub, Inc.(a) | ||||
09/01/2026 | 9.750% | 8,000 | 8,117 | |
Bausch Health Companies, Inc.(a) | ||||
04/01/2026 | 9.250% | 35,000 | 40,222 | |
01/31/2027 | 8.500% | 55,000 | 62,714 |
42 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Columbia Variable Portfolio – Global Strategic Income Fund, December 31, 2019
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Beacon Roofing Supply, Inc.(a) | ||||
11/01/2025 | 4.875% | 73,000 | 73,328 | |
11/15/2026 | 4.500% | 21,000 | 21,653 | |
Becton Dickinson and Co. | ||||
12/15/2026 | 1.900% | EUR | 365,000 | 438,296 |
06/06/2027 | 3.700% | 333,000 | 354,458 | |
Berry Global Escrow Corp.(a) | ||||
07/15/2026 | 4.875% | 22,000 | 23,221 | |
Berry Global, Inc. | ||||
05/15/2022 | 5.500% | 58,000 | 58,768 | |
10/15/2022 | 6.000% | 13,000 | 13,253 | |
07/15/2023 | 5.125% | 63,000 | 64,663 | |
Big River Steel LLC/Finance Corp.(a) | ||||
09/01/2025 | 7.250% | 46,000 | 48,401 | |
Boyd Gaming Corp. | ||||
04/01/2026 | 6.375% | 18,000 | 19,396 | |
Boyd Gaming Corp.(a) | ||||
12/01/2027 | 4.750% | 26,000 | 27,016 | |
Broadcom Corp./Cayman Finance Ltd. | ||||
01/15/2027 | 3.875% | 150,000 | 155,834 | |
BWAY Holding Co.(a) | ||||
04/15/2024 | 5.500% | 44,000 | 45,380 | |
Caesars Resort Collection LLC/CRC Finco, Inc.(a) | ||||
10/15/2025 | 5.250% | 21,000 | 21,749 | |
Calfrac Holdings LP(a) | ||||
06/15/2026 | 8.500% | 20,000 | 8,100 | |
Callon Petroleum Co. | ||||
10/01/2024 | 6.125% | 14,000 | 14,275 | |
07/01/2026 | 6.375% | 74,000 | 75,151 | |
Calpine Corp.(a) | ||||
06/01/2026 | 5.250% | 22,000 | 22,927 | |
02/15/2028 | 4.500% | 31,000 | 31,340 | |
03/15/2028 | 5.125% | 39,000 | 39,767 | |
Camelot Finance SA(a) | ||||
11/01/2026 | 4.500% | 21,000 | 21,540 | |
Cardinal Health, Inc. | ||||
06/15/2047 | 4.368% | 150,000 | 148,452 | |
Carrizo Oil & Gas, Inc. | ||||
04/15/2023 | 6.250% | 52,000 | 52,791 | |
Catalent Pharma Solutions, Inc.(a) | ||||
01/15/2026 | 4.875% | 26,000 | 26,909 | |
07/15/2027 | 5.000% | 8,000 | 8,395 | |
CCO Holdings LLC/Capital Corp.(a) | ||||
02/15/2026 | 5.750% | 49,000 | 51,676 | |
05/01/2026 | 5.500% | 2,000 | 2,104 | |
05/01/2027 | 5.125% | 140,000 | 148,040 | |
03/01/2030 | 4.750% | 111,000 | 113,208 |
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CDK Global, Inc. | ||||
06/01/2027 | 4.875% | 49,000 | 51,839 | |
Centene Corp. | ||||
02/15/2024 | 6.125% | 69,000 | 71,553 | |
01/15/2025 | 4.750% | 30,000 | 31,117 | |
Centene Corp.(a) | ||||
01/15/2025 | 4.750% | 11,000 | 11,423 | |
06/01/2026 | 5.375% | 50,000 | 53,138 | |
12/15/2027 | 4.250% | 56,000 | 57,670 | |
12/15/2029 | 4.625% | 72,000 | 75,822 | |
Centennial Resource Production LLC(a) | ||||
01/15/2026 | 5.375% | 26,000 | 25,581 | |
04/01/2027 | 6.875% | 32,000 | 33,276 | |
CenturyLink, Inc. | ||||
03/15/2022 | 5.800% | 78,000 | 82,152 | |
04/01/2024 | 7.500% | 24,000 | 27,142 | |
04/01/2025 | 5.625% | 73,000 | 77,666 | |
CenturyLink, Inc.(a) | ||||
12/15/2026 | 5.125% | 52,000 | 52,898 | |
CF Industries, Inc. | ||||
03/15/2034 | 5.150% | 12,000 | 13,490 | |
03/15/2044 | 5.375% | 5,000 | 5,454 | |
CFX Escrow Corp.(a) | ||||
02/15/2024 | 6.000% | 9,000 | 9,588 | |
02/15/2026 | 6.375% | 11,000 | 12,010 | |
Change Healthcare Holdings LLC/Finance, Inc.(a) | ||||
03/01/2025 | 5.750% | 49,000 | 50,609 | |
Charles River Laboratories International, Inc.(a) | ||||
04/01/2026 | 5.500% | 14,000 | 15,085 | |
05/01/2028 | 4.250% | 10,000 | 10,197 | |
Charter Communications Operating LLC/Capital | ||||
07/01/2049 | 5.125% | 100,000 | 108,761 | |
03/01/2050 | 4.800% | 360,000 | 379,655 | |
Chemours Co. (The) | ||||
05/15/2023 | 6.625% | 24,000 | 24,178 | |
05/15/2027 | 5.375% | 8,000 | 7,129 | |
Cheniere Energy Partners LP | ||||
10/01/2026 | 5.625% | 39,000 | 41,246 | |
Cheniere Energy Partners LP(a) | ||||
10/01/2029 | 4.500% | 52,000 | 53,417 | |
Chesapeake Energy Corp.(a) | ||||
01/01/2025 | 11.500% | 21,000 | 19,856 | |
CHS/Community Health Systems, Inc. | ||||
03/31/2023 | 6.250% | 35,000 | 35,511 | |
Clean Harbors, Inc.(a) | ||||
07/15/2027 | 4.875% | 11,000 | 11,617 | |
07/15/2029 | 5.125% | 8,000 | 8,564 |
Columbia Variable Portfolio Funds | Annual Report 2019 | 43 |
Columbia Variable Portfolio – Global Strategic Income Fund, December 31, 2019
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Clear Channel Worldwide Holdings, Inc.(a) | ||||
02/15/2024 | 9.250% | 72,000 | 79,843 | |
08/15/2027 | 5.125% | 45,000 | 46,840 | |
Clearway Energy Operating LLC | ||||
10/15/2025 | 5.750% | 65,000 | 68,601 | |
09/15/2026 | 5.000% | 31,000 | 32,001 | |
Clearway Energy Operating LLC(a) | ||||
03/15/2028 | 4.750% | 21,000 | 21,319 | |
CMS Energy Corp. | ||||
11/15/2025 | 3.600% | 682,000 | 720,860 | |
CommScope Finance LLC(a) | ||||
03/01/2024 | 5.500% | 21,000 | 21,922 | |
03/01/2026 | 6.000% | 25,000 | 26,601 | |
CommScope Technologies LLC(a) | ||||
06/15/2025 | 6.000% | 35,000 | 35,107 | |
Core & Main LP(a) | ||||
08/15/2025 | 6.125% | 36,000 | 37,531 | |
CrownRock LP/Finance, Inc.(a) | ||||
10/15/2025 | 5.625% | 111,000 | 113,150 | |
CSC Holdings LLC(a) | ||||
10/15/2025 | 10.875% | 81,000 | 91,163 | |
02/01/2028 | 5.375% | 66,000 | 70,531 | |
04/01/2028 | 7.500% | 10,000 | 11,283 | |
02/01/2029 | 6.500% | 118,000 | 131,768 | |
01/15/2030 | 5.750% | 23,000 | 24,544 | |
CSX Corp. | ||||
09/15/2049 | 3.350% | 195,000 | 192,720 | |
CVS Health Corp. | ||||
03/25/2048 | 5.050% | 440,000 | 521,951 | |
Darling Ingredients, Inc.(a) | ||||
04/15/2027 | 5.250% | 6,000 | 6,377 | |
DCP Midstream Operating LP | ||||
05/15/2029 | 5.125% | 28,000 | 29,104 | |
04/01/2044 | 5.600% | 102,000 | 99,130 | |
Delek Logistics Partners LP/Finance Corp. | ||||
05/15/2025 | 6.750% | 32,000 | 32,261 | |
Diamond Sports Group LLC/Finance Co.(a) | ||||
08/15/2026 | 5.375% | 30,000 | 30,394 | |
08/15/2027 | 6.625% | 22,000 | 21,403 | |
Digital Stout Holding LLC(a) | ||||
07/19/2029 | 3.300% | GBP | 210,000 | 298,317 |
Discovery Communications LLC | ||||
05/15/2049 | 5.300% | 20,000 | 23,695 | |
DISH DBS Corp. | ||||
06/01/2021 | 6.750% | 31,000 | 32,622 | |
03/15/2023 | 5.000% | 76,000 | 77,883 | |
11/15/2024 | 5.875% | 25,000 | 25,588 | |
07/01/2026 | 7.750% | 57,000 | 60,413 |
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
DTE Energy Co. | ||||
06/01/2024 | 3.500% | 750,000 | 780,245 | |
10/01/2026 | 2.850% | 490,000 | 492,868 | |
Duke Energy Corp. | ||||
06/15/2049 | 4.200% | 500,000 | 552,955 | |
Eagle Holding Co. II LLC(a),(e) | ||||
05/15/2022 | 7.750% | 29,000 | 29,446 | |
Eldorado Resorts, Inc. | ||||
04/01/2025 | 6.000% | 39,000 | 40,993 | |
09/15/2026 | 6.000% | 22,000 | 24,294 | |
Emera U.S. Finance LP | ||||
06/15/2046 | 4.750% | 620,000 | 716,651 | |
Encompass Health Corp. | ||||
02/01/2028 | 4.500% | 13,000 | 13,479 | |
02/01/2030 | 4.750% | 13,000 | 13,514 | |
Endeavor Energy Resources LP/Finance, Inc.(a) | ||||
01/30/2026 | 5.500% | 7,000 | 7,213 | |
01/30/2028 | 5.750% | 23,000 | 24,193 | |
Endo Dac/Finance LLC/Finco, Inc.(a) | ||||
07/15/2023 | 6.000% | 22,000 | 15,984 | |
Endo Dac/Finance LLC/Finco, Inc.(a),(f) | ||||
02/01/2025 | 6.000% | 6,000 | 4,062 | |
Energizer Holdings, Inc.(a) | ||||
07/15/2026 | 6.375% | 14,000 | 14,953 | |
01/15/2027 | 7.750% | 29,000 | 32,430 | |
Ensemble S Merger Sub, Inc.(a) | ||||
09/30/2023 | 9.000% | 10,000 | 10,265 | |
Enterprise Products Operating LLC | ||||
01/31/2050 | 4.200% | 270,000 | 291,467 | |
ERAC U.S.A. Finance LLC(a) | ||||
11/01/2046 | 4.200% | 170,000 | 182,524 | |
FedEx Corp. | ||||
04/01/2046 | 4.550% | 350,000 | 360,739 | |
Fidelity National Information Services, Inc. | ||||
05/21/2027 | 1.500% | EUR | 650,000 | 770,947 |
Fiserv, Inc. | ||||
07/01/2027 | 1.125% | EUR | 450,000 | 519,614 |
Five Corners Funding Trust(a) | ||||
11/15/2023 | 4.419% | 1,200,000 | 1,303,008 | |
Flex Acquisition Co., Inc.(a) | ||||
07/15/2026 | 7.875% | 20,000 | 20,268 | |
Ford Motor Co. | ||||
01/15/2043 | 4.750% | 200,000 | 177,828 | |
Freeport-McMoRan, Inc. | ||||
09/01/2029 | 5.250% | 36,000 | 38,566 | |
03/15/2043 | 5.450% | 92,000 | 95,290 |
44 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Columbia Variable Portfolio – Global Strategic Income Fund, December 31, 2019
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
frontdoor, Inc.(a) | ||||
08/15/2026 | 6.750% | 12,000 | 13,121 | |
Frontier Communications Corp.(a) | ||||
04/01/2026 | 8.500% | 16,000 | 16,210 | |
Gartner, Inc.(a) | ||||
04/01/2025 | 5.125% | 52,000 | 54,191 | |
Gates Global LLC/Co.(a) | ||||
01/15/2026 | 6.250% | 75,000 | 76,251 | |
Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/U.S. Holdings I LLC(a) | ||||
11/30/2024 | 10.000% | 33,000 | 35,659 | |
Guardian Life Insurance Co. of America (The)(a) | ||||
Subordinated | ||||
06/19/2064 | 4.875% | 275,000 | 341,261 | |
H&E Equipment Services, Inc. | ||||
09/01/2025 | 5.625% | 21,000 | 22,064 | |
HCA, Inc. | ||||
05/01/2023 | 5.875% | 58,000 | 64,031 | |
02/01/2025 | 5.375% | 136,000 | 150,535 | |
09/01/2028 | 5.625% | 20,000 | 22,811 | |
02/01/2029 | 5.875% | 23,000 | 26,586 | |
Herc Holdings, Inc.(a) | ||||
07/15/2027 | 5.500% | 33,000 | 34,858 | |
Hertz Corp. (The)(a) | ||||
06/01/2022 | 7.625% | 14,000 | 14,555 | |
10/15/2024 | 5.500% | 18,000 | 18,498 | |
08/01/2026 | 7.125% | 23,000 | 24,901 | |
01/15/2028 | 6.000% | 75,000 | 75,198 | |
Hilcorp Energy I LP/Finance Co.(a) | ||||
10/01/2025 | 5.750% | 8,000 | 7,795 | |
11/01/2028 | 6.250% | 10,000 | 9,530 | |
Hill-Rom Holdings, Inc.(a) | ||||
02/15/2025 | 5.000% | 25,000 | 26,000 | |
Hilton Domestic Operating Co., Inc. | ||||
05/01/2026 | 5.125% | 20,000 | 21,088 | |
Holly Energy Partners LP/Finance Corp.(a) | ||||
08/01/2024 | 6.000% | 37,000 | 38,582 | |
Hologic, Inc.(a) | ||||
10/15/2025 | 4.375% | 38,000 | 39,294 | |
02/01/2028 | 4.625% | 12,000 | 12,720 | |
HUB International Ltd.(a) | ||||
05/01/2026 | 7.000% | 40,000 | 42,436 | |
IAA Spinco, Inc.(a) | ||||
06/15/2027 | 5.500% | 8,000 | 8,551 | |
iHeartCommunications, Inc. | ||||
05/01/2026 | 6.375% | 17,082 | 18,577 | |
05/01/2027 | 8.375% | 83,385 | 92,008 |
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
iHeartCommunications, Inc.(a) | ||||
08/15/2027 | 5.250% | 12,000 | 12,573 | |
01/15/2028 | 4.750% | 25,000 | 25,600 | |
Informatica LLC(a) | ||||
07/15/2023 | 7.125% | 38,000 | 38,635 | |
International Game Technology PLC(a) | ||||
02/15/2025 | 6.500% | 44,000 | 49,503 | |
IRB Holding Corp.(a) | ||||
02/15/2026 | 6.750% | 61,000 | 63,864 | |
Iron Mountain, Inc. | ||||
08/15/2024 | 5.750% | 60,000 | 60,654 | |
Iron Mountain, Inc.(a) | ||||
09/15/2029 | 4.875% | 37,000 | 37,622 | |
Jack Ohio Finance LLC/1 Corp.(a) | ||||
11/15/2021 | 6.750% | 4,000 | 4,075 | |
Jagged Peak Energy LLC | ||||
05/01/2026 | 5.875% | 39,000 | 40,313 | |
Jaguar Holding Co. II/Pharmaceutical Product Development LLC(a) | ||||
08/01/2023 | 6.375% | 96,000 | 99,228 | |
KAR Auction Services, Inc.(a) | ||||
06/01/2025 | 5.125% | 28,000 | 29,126 | |
Kinder Morgan Energy Partners LP | ||||
03/01/2043 | 5.000% | 105,000 | 115,018 | |
Kinder Morgan, Inc. | ||||
02/15/2046 | 5.050% | 485,000 | 545,061 | |
Kraft Heinz Foods Co. (The)(a) | ||||
05/25/2028 | 2.250% | EUR | 400,000 | 477,570 |
Kraft Heinz Foods Co. (The) | ||||
06/01/2046 | 4.375% | 505,000 | 497,681 | |
Kroger Co. (The) | ||||
01/15/2048 | 4.650% | 210,000 | 229,601 | |
L Brands, Inc. | ||||
06/15/2029 | 7.500% | 24,000 | 24,860 | |
11/01/2035 | 6.875% | 15,000 | 13,471 | |
Lamb Weston Holdings, Inc.(a) | ||||
11/01/2024 | 4.625% | 17,000 | 18,039 | |
11/01/2026 | 4.875% | 25,000 | 26,571 | |
Lennar Corp. | ||||
11/15/2024 | 5.875% | 34,000 | 38,084 | |
06/01/2026 | 5.250% | 21,000 | 23,029 | |
06/15/2027 | 5.000% | 16,000 | 17,345 | |
Live Nation Entertainment, Inc.(a) | ||||
11/01/2024 | 4.875% | 24,000 | 24,887 | |
10/15/2027 | 4.750% | 21,000 | 21,734 | |
LPL Holdings, Inc.(a) | ||||
09/15/2025 | 5.750% | 2,000 | 2,095 |
Columbia Variable Portfolio Funds | Annual Report 2019 | 45 |
Columbia Variable Portfolio – Global Strategic Income Fund, December 31, 2019
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated | ||||
11/15/2027 | 4.625% | 27,000 | 27,544 | |
Matador Resources Co. | ||||
09/15/2026 | 5.875% | 70,000 | 70,457 | |
Match Group, Inc. | ||||
06/01/2024 | 6.375% | 31,000 | 32,576 | |
Match Group, Inc.(a) | ||||
12/15/2027 | 5.000% | 2,000 | 2,087 | |
Mattel, Inc. | ||||
11/01/2041 | 5.450% | 34,000 | 28,686 | |
Meritage Homes Corp. | ||||
04/01/2022 | 7.000% | 23,000 | 25,092 | |
MGM Growth Properties Operating Partnership LP/Finance Co-Issuer, Inc. | ||||
09/01/2026 | 4.500% | 20,000 | 21,054 | |
01/15/2028 | 4.500% | 18,000 | 18,818 | |
MGM Growth Properties Operating Partnership LP/Finance Co-Issuer, Inc.(a) | ||||
02/01/2027 | 5.750% | 18,000 | 20,115 | |
Moog, Inc.(a) | ||||
12/15/2027 | 4.250% | 18,000 | 18,321 | |
MPH Acquisition Holdings LLC(a) | ||||
06/01/2024 | 7.125% | 29,000 | 28,186 | |
MSCI, Inc.(a) | ||||
11/15/2024 | 5.250% | 21,000 | 21,618 | |
08/01/2026 | 4.750% | 23,000 | 24,138 | |
MTS Systems Corp.(a) | ||||
08/15/2027 | 5.750% | 8,000 | 8,370 | |
Murphy Oil Corp. | ||||
12/01/2027 | 5.875% | 31,000 | 32,396 | |
Nabors Industries, Inc. | ||||
02/01/2025 | 5.750% | 50,000 | 45,021 | |
Navient Corp. | ||||
03/25/2021 | 5.875% | 8,000 | 8,286 | |
06/15/2022 | 6.500% | 40,000 | 43,497 | |
03/25/2024 | 6.125% | 37,000 | 40,081 | |
NCR Corp. | ||||
07/15/2022 | 5.000% | 19,000 | 19,196 | |
12/15/2023 | 6.375% | 49,000 | 50,248 | |
NCR Corp.(a) | ||||
09/01/2027 | 5.750% | 21,000 | 22,382 | |
09/01/2029 | 6.125% | 27,000 | 29,316 | |
Netflix, Inc. | ||||
04/15/2028 | 4.875% | 79,000 | 82,259 | |
11/15/2028 | 5.875% | 35,000 | 38,838 | |
05/15/2029 | 6.375% | 3,000 | 3,429 | |
Netflix, Inc.(a) | ||||
11/15/2029 | 5.375% | 24,000 | 25,577 | |
06/15/2030 | 4.875% | 32,000 | 32,539 |
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
NextEra Energy Operating Partners LP(a) | ||||
07/15/2024 | 4.250% | 21,000 | 21,848 | |
09/15/2027 | 4.500% | 92,000 | 96,033 | |
NFP Corp.(a) | ||||
07/15/2025 | 6.875% | 51,000 | 51,086 | |
NiSource, Inc. | ||||
05/15/2047 | 4.375% | 425,000 | 471,993 | |
Noble Energy, Inc. | ||||
11/15/2043 | 5.250% | 150,000 | 167,997 | |
Novelis Corp.(a) | ||||
09/30/2026 | 5.875% | 93,000 | 99,164 | |
Novolex(a) | ||||
01/15/2025 | 6.875% | 15,000 | 15,123 | |
NRG Energy, Inc. | ||||
01/15/2027 | 6.625% | 74,000 | 80,488 | |
NRG Energy, Inc.(a) | ||||
06/15/2029 | 5.250% | 32,000 | 34,703 | |
NuStar Logistics LP | ||||
06/01/2026 | 6.000% | 17,000 | 18,005 | |
04/28/2027 | 5.625% | 35,000 | 35,980 | |
Outfront Media Capital LLC/Corp.(a) | ||||
08/15/2027 | 5.000% | 11,000 | 11,499 | |
03/15/2030 | 4.625% | 37,000 | 37,658 | |
Par Pharmaceutical, Inc.(a) | ||||
04/01/2027 | 7.500% | 28,000 | 27,970 | |
Parsley Energy LLC/Finance Corp.(a) | ||||
06/01/2024 | 6.250% | 24,000 | 25,004 | |
08/15/2025 | 5.250% | 52,000 | 53,506 | |
10/15/2027 | 5.625% | 75,000 | 79,369 | |
Pattern Energy Group, Inc.(a) | ||||
02/01/2024 | 5.875% | 43,000 | 44,280 | |
Peachtree Corners Funding Trust(a) | ||||
02/15/2025 | 3.976% | 1,100,000 | 1,163,416 | |
Performance Food Group, Inc.(a) | ||||
10/15/2027 | 5.500% | 14,000 | 14,946 | |
PetSmart, Inc.(a) | ||||
03/15/2023 | 7.125% | 56,000 | 54,905 | |
06/01/2025 | 5.875% | 44,000 | 44,933 | |
Plains All American Pipeline LP/Finance Corp. | ||||
06/15/2044 | 4.700% | 975,000 | 948,400 | |
Plantronics, Inc.(a) | ||||
05/31/2023 | 5.500% | 17,000 | 16,697 | |
Platform Specialty Products Corp.(a) | ||||
12/01/2025 | 5.875% | 85,000 | 88,857 |
46 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Columbia Variable Portfolio – Global Strategic Income Fund, December 31, 2019
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Post Holdings, Inc.(a) | ||||
03/01/2025 | 5.500% | 14,000 | 14,685 | |
08/15/2026 | 5.000% | 86,000 | 91,138 | |
03/01/2027 | 5.750% | 60,000 | 64,562 | |
01/15/2028 | 5.625% | 12,000 | 12,953 | |
PPL Capital Funding, Inc. | ||||
06/01/2023 | 3.400% | 1,287,000 | 1,327,651 | |
PQ Corp.(a) | ||||
11/15/2022 | 6.750% | 101,000 | 104,597 | |
12/15/2025 | 5.750% | 38,000 | 39,944 | |
Prestige Brands, Inc.(a) | ||||
03/01/2024 | 6.375% | 66,000 | 68,637 | |
01/15/2028 | 5.125% | 14,000 | 14,667 | |
Provident Funding Associates LP/Finance Corp.(a) | ||||
06/15/2025 | 6.375% | 43,000 | 42,245 | |
QEP Resources, Inc. | ||||
03/01/2026 | 5.625% | 30,000 | 29,291 | |
Qualitytech LP/QTS Finance Corp.(a) | ||||
11/15/2025 | 4.750% | 59,000 | 61,148 | |
Quicken Loans, Inc.(a) | ||||
05/01/2025 | 5.750% | 49,000 | 50,753 | |
01/15/2028 | 5.250% | 50,000 | 51,627 | |
Radiate HoldCo LLC/Finance, Inc.(a) | ||||
02/15/2023 | 6.875% | 10,000 | 10,223 | |
02/15/2025 | 6.625% | 35,000 | 35,170 | |
Refinitiv US Holdings, Inc.(a) | ||||
05/15/2026 | 6.250% | 81,000 | 88,473 | |
11/15/2026 | 8.250% | 48,000 | 54,081 | |
Resideo Funding, Inc.(a) | ||||
11/01/2026 | 6.125% | 41,000 | 40,997 | |
Reynolds Group Issuer, Inc./LLC | ||||
10/15/2020 | 5.750% | 116,293 | 116,474 | |
Reynolds Group Issuer, Inc./LLC(a) | ||||
07/15/2024 | 7.000% | 65,000 | 67,252 | |
Rowan Companies, Inc. | ||||
01/15/2024 | 4.750% | 22,000 | 13,811 | |
SBA Communications Corp. | ||||
09/01/2024 | 4.875% | 91,000 | 94,662 | |
Scientific Games International, Inc.(a) | ||||
10/15/2025 | 5.000% | 51,000 | 53,440 | |
03/15/2026 | 8.250% | 40,000 | 44,091 | |
05/15/2028 | 7.000% | 13,000 | 13,950 | |
11/15/2029 | 7.250% | 14,000 | 15,205 | |
Scotts Miracle-Gro Co. (The)(a) | ||||
10/15/2029 | 4.500% | 19,000 | 19,394 | |
Scripps Escrow, Inc.(a) | ||||
07/15/2027 | 5.875% | 12,000 | 12,565 |
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Select Medical Corp.(a) | ||||
08/15/2026 | 6.250% | 43,000 | 46,538 | |
Sempra Energy | ||||
06/15/2024 | 3.550% | 465,000 | 486,732 | |
06/15/2027 | 3.250% | 260,000 | 268,145 | |
Sensata Technologies, Inc.(a) | ||||
02/15/2030 | 4.375% | 10,000 | 10,208 | |
SESI LLC | ||||
09/15/2024 | 7.750% | 14,000 | 9,307 | |
Sirius XM Radio, Inc.(a) | ||||
07/15/2024 | 4.625% | 17,000 | 17,811 | |
07/15/2026 | 5.375% | 46,000 | 48,938 | |
07/01/2029 | 5.500% | 20,000 | 21,643 | |
SM Energy Co. | ||||
06/01/2025 | 5.625% | 14,000 | 13,277 | |
09/15/2026 | 6.750% | 43,000 | 42,265 | |
01/15/2027 | 6.625% | 22,000 | 21,607 | |
Solera LLC/Finance, Inc.(a) | ||||
03/01/2024 | 10.500% | 25,000 | 26,564 | |
Southern Co. (The) | ||||
07/01/2046 | 4.400% | 450,000 | 499,550 | |
Spectrum Brands, Inc. | ||||
07/15/2025 | 5.750% | 48,000 | 50,234 | |
Springleaf Finance Corp. | ||||
03/15/2023 | 5.625% | 21,000 | 22,602 | |
03/15/2024 | 6.125% | 40,000 | 43,870 | |
Sprint Capital Corp. | ||||
11/15/2028 | 6.875% | 81,000 | 87,579 | |
Sprint Corp. | ||||
03/01/2026 | 7.625% | 60,000 | 66,227 | |
SPX FLOW, Inc.(a) | ||||
08/15/2024 | 5.625% | 9,000 | 9,384 | |
Standard Industries, Inc.(a) | ||||
02/15/2023 | 5.500% | 2,000 | 2,033 | |
Staples, Inc.(a) | ||||
04/15/2026 | 7.500% | 7,000 | 7,283 | |
04/15/2027 | 10.750% | 7,000 | 7,127 | |
Stars Group Holdings BV/Co-Borrower LLC(a) | ||||
07/15/2026 | 7.000% | 20,000 | 21,651 | |
Stevens Holding Co., Inc.(a) | ||||
10/01/2026 | 6.125% | 9,000 | 9,833 | |
Sunoco LP/Finance Corp. | ||||
01/15/2023 | 4.875% | 13,000 | 13,315 | |
02/15/2026 | 5.500% | 37,000 | 38,432 | |
Surgery Center Holdings, Inc.(a) | ||||
04/15/2027 | 10.000% | 15,000 | 16,439 | |
Tallgrass Energy Partners LP/Finance Corp.(a) | ||||
01/15/2028 | 5.500% | 21,000 | 20,562 |
Columbia Variable Portfolio Funds | Annual Report 2019 | 47 |
Columbia Variable Portfolio – Global Strategic Income Fund, December 31, 2019
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Targa Resources Partners LP/Finance Corp. | ||||
02/01/2027 | 5.375% | 45,000 | 46,738 | |
01/15/2028 | 5.000% | 127,000 | 129,771 | |
Targa Resources Partners LP/Finance Corp.(a) | ||||
03/01/2030 | 5.500% | 62,000 | 63,792 | |
Taylor Morrison Communities, Inc.(a) | ||||
01/15/2028 | 5.750% | 21,000 | 22,903 | |
Teachers Insurance & Annuity Association of America(a) | ||||
Subordinated | ||||
09/15/2044 | 4.900% | 700,000 | 863,966 | |
TEGNA, Inc.(a) | ||||
09/15/2029 | 5.000% | 31,000 | 31,528 | |
Teleflex, Inc. | ||||
06/01/2026 | 4.875% | 11,000 | 11,534 | |
11/15/2027 | 4.625% | 25,000 | 26,498 | |
Tempo Acquisition LLC/Finance Corp.(a) | ||||
06/01/2025 | 6.750% | 18,000 | 18,599 | |
Tenet Healthcare Corp. | ||||
06/15/2023 | 6.750% | 43,000 | 47,280 | |
08/01/2025 | 7.000% | 14,000 | 14,790 | |
Tenet Healthcare Corp.(a) | ||||
02/01/2027 | 6.250% | 54,000 | 58,274 | |
11/01/2027 | 5.125% | 85,000 | 89,752 | |
TerraForm Power Operating LLC(a) | ||||
01/31/2028 | 5.000% | 28,000 | 29,639 | |
01/15/2030 | 4.750% | 28,000 | 28,582 | |
Terrier Media Buyer, Inc.(a) | ||||
12/15/2027 | 8.875% | 7,000 | 7,392 | |
Thermo Fisher Scientific, Inc. | ||||
10/01/2049 | 1.875% | EUR | 250,000 | 260,079 |
T-Mobile U.S.A., Inc. | ||||
01/15/2026 | 6.500% | 126,000 | 135,296 | |
02/01/2026 | 4.500% | 23,000 | 23,684 | |
02/01/2028 | 4.750% | 43,000 | 45,099 | |
TransDigm, Inc. | ||||
05/15/2025 | 6.500% | 68,000 | 70,968 | |
06/15/2026 | 6.375% | 53,000 | 56,394 | |
03/15/2027 | 7.500% | 17,000 | 18,615 | |
TransDigm, Inc.(a) | ||||
03/15/2026 | 6.250% | 115,000 | 124,692 | |
11/15/2027 | 5.500% | 67,000 | 67,777 | |
TransMontaigne Partners LP/TLP Finance Corp. | ||||
02/15/2026 | 6.125% | 41,000 | 39,620 | |
Transocean Guardian Ltd.(a) | ||||
01/15/2024 | 5.875% | 18,690 | 19,094 | |
Transocean Sentry Ltd.(a) | ||||
05/15/2023 | 5.375% | 44,000 | 44,770 |
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
TRI Pointe Group, Inc./Homes | ||||
06/15/2024 | 5.875% | 15,000 | 16,334 | |
TriMas Corp.(a) | ||||
10/15/2025 | 4.875% | 5,000 | 5,140 | |
Twitter, Inc.(a) | ||||
12/15/2027 | 3.875% | 21,000 | 20,995 | |
Uber Technologies, Inc.(a) | ||||
11/01/2023 | 7.500% | 39,000 | 40,818 | |
Union Pacific Corp. | ||||
08/15/2059 | 3.950% | 200,000 | 209,688 | |
United Rentals North America, Inc. | ||||
09/15/2026 | 5.875% | 64,000 | 68,743 | |
12/15/2026 | 6.500% | 39,000 | 42,919 | |
11/15/2027 | 3.875% | 10,000 | 10,201 | |
USA Compression Partners LP/Finance Corp. | ||||
09/01/2027 | 6.875% | 12,000 | 12,540 | |
USI, Inc.(a) | ||||
05/01/2025 | 6.875% | 15,000 | 15,300 | |
Valvoline, Inc. | ||||
08/15/2025 | 4.375% | 33,000 | 34,046 | |
Verizon Communications, Inc. | ||||
10/27/2026 | 1.375% | EUR | 340,000 | 405,277 |
Verscend Escrow Corp.(a) | ||||
08/15/2026 | 9.750% | 32,000 | 35,077 | |
Viasat, Inc.(a) | ||||
04/15/2027 | 5.625% | 13,000 | 13,902 | |
VICI Properties LP/Note Co., Inc.(a) | ||||
12/01/2026 | 4.250% | 23,000 | 23,734 | |
12/01/2029 | 4.625% | 19,000 | 19,888 | |
Viking Cruises Ltd.(a) | ||||
09/15/2027 | 5.875% | 30,000 | 32,071 | |
Vistra Operations Co. LLC(a) | ||||
09/01/2026 | 5.500% | 14,000 | 14,852 | |
02/15/2027 | 5.625% | 48,000 | 50,602 | |
07/31/2027 | 5.000% | 29,000 | 30,351 | |
WellCare Health Plans, Inc. | ||||
04/01/2025 | 5.250% | 72,000 | 75,087 | |
WellCare Health Plans, Inc.(a) | ||||
08/15/2026 | 5.375% | 34,000 | 36,281 | |
Wells Fargo & Co. | ||||
10/23/2026 | 3.000% | 160,000 | 164,160 | |
WESCO Distribution, Inc. | ||||
06/15/2024 | 5.375% | 18,000 | 18,654 | |
Williams Companies, Inc. (The) | ||||
09/15/2045 | 5.100% | 365,000 | 405,786 |
48 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Columbia Variable Portfolio – Global Strategic Income Fund, December 31, 2019
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
WPX Energy, Inc. | ||||
09/15/2024 | 5.250% | 50,000 | 53,153 | |
06/01/2026 | 5.750% | 48,000 | 51,317 | |
10/15/2027 | 5.250% | 21,000 | 22,129 | |
Wynn Las Vegas LLC/Capital Corp.(a) | ||||
03/01/2025 | 5.500% | 34,000 | 36,537 | |
Wynn Resorts Finance LLC/Capital Corp.(a) | ||||
10/01/2029 | 5.125% | 13,000 | 13,974 | |
XPO Logistics, Inc.(a) | ||||
06/15/2022 | 6.500% | 20,000 | 20,379 | |
Yum! Brands, Inc.(a) | ||||
01/15/2030 | 4.750% | 16,000 | 16,820 | |
Zayo Group LLC/Capital, Inc.(a) | ||||
01/15/2027 | 5.750% | 85,000 | 86,729 | |
Zekelman Industries, Inc.(a) | ||||
06/15/2023 | 9.875% | 8,000 | 8,421 | |
Total | 34,687,962 | |||
Total Corporate Bonds & Notes (Cost $54,171,942) | 57,137,327 | |||
Foreign Government Obligations(c),(g) 17.4% | ||||
Argentina 0.1% | ||||
Argentine Republic Government International Bond | ||||
01/11/2028 | 5.875% | 200,000 | 94,232 | |
Belarus 0.2% | ||||
Republic of Belarus International Bond(a) | ||||
06/29/2027 | 7.625% | 200,000 | 227,149 | |
Brazil 1.4% | ||||
Brazilian Government International Bond | ||||
01/27/2045 | 5.000% | 1,550,000 | 1,613,144 | |
Canada 0.0% | ||||
NOVA Chemicals Corp.(a) | ||||
06/01/2027 | 5.250% | 28,000 | 28,881 | |
Costa Rica 0.2% | ||||
Costa Rica Government International Bond(a) | ||||
01/26/2023 | 4.250% | 200,000 | 201,574 | |
Dominican Republic 0.9% | ||||
Dominican Republic International Bond(a) | ||||
04/20/2027 | 8.625% | 892,000 | 1,082,269 |
Foreign Government Obligations(c),(g) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Egypt 0.9% | ||||
Egypt Government International Bond(a) | ||||
01/31/2027 | 7.500% | 400,000 | 445,900 | |
01/15/2032 | 7.053% | 200,000 | 209,525 | |
03/01/2049 | 8.700% | 355,000 | 397,167 | |
Total | 1,052,592 | |||
El Salvador 0.5% | ||||
El Salvador Government International Bond(a) | ||||
02/28/2029 | 8.625% | 250,000 | 300,836 | |
04/10/2032 | 8.250% | 200,000 | 238,586 | |
Total | 539,422 | |||
Honduras 0.4% | ||||
Honduras Government International Bond(a) | ||||
03/15/2024 | 7.500% | 400,000 | 445,159 | |
Indonesia 2.1% | ||||
Indonesia Government International Bond(a) | ||||
05/05/2021 | 4.875% | 364,000 | 377,858 | |
01/08/2027 | 4.350% | 400,000 | 437,233 | |
01/15/2045 | 5.125% | 200,000 | 239,170 | |
Indonesia Government International Bond | ||||
10/30/2049 | 3.700% | 200,000 | 206,243 | |
PT Indonesia Asahan Aluminium Persero(a) | ||||
11/15/2023 | 5.710% | 200,000 | 220,999 | |
PT Perusahaan Listrik Negara(a) | ||||
07/17/2029 | 3.875% | 200,000 | 208,937 | |
02/05/2030 | 3.375% | 200,000 | 200,245 | |
Saka Energi Indonesia PT(a) | ||||
05/05/2024 | 4.450% | 500,000 | 506,308 | |
Total | 2,396,993 | |||
Ivory Coast 0.5% | ||||
Ivory Coast Government International Bond(a) | ||||
03/03/2028 | 6.375% | 500,000 | 528,266 | |
Kazakhstan 0.3% | ||||
KazMunayGas National Co. JSC(a) | ||||
04/24/2030 | 5.375% | 300,000 | 347,892 | |
Mexico 0.7% | ||||
Petroleos Mexicanos(a) | ||||
01/23/2030 | 6.840% | 250,000 | 267,461 | |
01/23/2050 | 7.690% | 523,000 | 571,853 | |
Total | 839,314 | |||
Mongolia 0.2% | ||||
Mongolia Government International Bond(a) | ||||
05/01/2023 | 5.625% | 200,000 | 206,575 |
Columbia Variable Portfolio Funds | Annual Report 2019 | 49 |
Columbia Variable Portfolio – Global Strategic Income Fund, December 31, 2019
Foreign Government Obligations(c),(g) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Morocco 0.4% | ||||
Morocco Government International Bond(a) | ||||
06/19/2024 | 3.500% | EUR | 330,000 | 421,117 |
Netherlands 1.6% | ||||
Enexis Holding NV(a) | ||||
07/02/2031 | 0.750% | EUR | 600,000 | 682,132 |
MDGH - GMTN BV(a) | ||||
11/07/2049 | 3.700% | 250,000 | 260,136 | |
Stedin Holding NV(a),(f) | ||||
12/31/2049 | 3.250% | EUR | 270,000 | 319,050 |
Syngenta Finance NV(a) | ||||
04/24/2028 | 5.182% | 500,000 | 538,742 | |
Total | 1,800,060 | |||
Nigeria 0.2% | ||||
Nigeria Government International Bond(a) | ||||
11/28/2027 | 6.500% | 200,000 | 204,192 | |
Oman 0.2% | ||||
Oman Government International Bond(a) | ||||
01/17/2048 | 6.750% | 200,000 | 200,994 | |
Paraguay 0.3% | ||||
Paraguay Government International Bond(a) | ||||
08/11/2044 | 6.100% | 250,000 | 306,222 | |
Qatar 1.7% | ||||
Qatar Government International Bond(a) | ||||
03/14/2029 | 4.000% | 400,000 | 446,392 | |
04/23/2048 | 5.103% | 250,000 | 321,365 | |
03/14/2049 | 4.817% | 900,000 | 1,115,242 | |
Total | 1,882,999 | |||
Romania 0.6% | ||||
Romanian Government International Bond(a) | ||||
01/22/2024 | 4.875% | 232,000 | 254,729 | |
04/03/2049 | 4.625% | EUR | 300,000 | 415,568 |
Total | 670,297 | |||
Russian Federation 0.6% | ||||
Gazprom OAO Via Gaz Capital SA(a) | ||||
03/07/2022 | 6.510% | 274,000 | 297,651 | |
Russian Foreign Bond - Eurobond(a) | ||||
03/21/2029 | 4.375% | 400,000 | 445,411 | |
Total | 743,062 | |||
Saudi Arabia 0.9% | ||||
Saudi Arabian Oil Co.(a) | ||||
04/16/2029 | 3.500% | 500,000 | 519,366 |
Foreign Government Obligations(c),(g) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Saudi Government International Bond(a) | ||||
10/04/2047 | 4.625% | 450,000 | 507,124 | |
Total | 1,026,490 | |||
Senegal 0.4% | ||||
Senegal Government International Bond(a) | ||||
07/30/2024 | 6.250% | 400,000 | 443,323 | |
South Africa 0.4% | ||||
Eskom Holdings SOC Ltd.(a) | ||||
01/26/2021 | 5.750% | 500,000 | 501,177 | |
Sri Lanka 0.3% | ||||
Sri Lanka Government International Bond(a) | ||||
03/14/2029 | 7.850% | 400,000 | 404,967 | |
Turkey 0.4% | ||||
Turkey Government International Bond | ||||
11/14/2024 | 5.600% | 200,000 | 203,540 | |
03/25/2027 | 6.000% | 250,000 | 253,394 | |
Total | 456,934 | |||
Ukraine 0.2% | ||||
Ukraine Government International Bond(a) | ||||
09/01/2026 | 7.750% | 200,000 | 218,654 | |
United Kingdom 0.2% | ||||
NAK Naftogaz Ukraine via Kondor Finance PLC(a) | ||||
11/08/2026 | 7.625% | 200,000 | 203,894 | |
Virgin Islands 0.6% | ||||
Sinopec Group Overseas Development 2016 Ltd.(a) | ||||
09/29/2026 | 2.750% | 250,000 | 248,834 | |
Sinopec Group Overseas Development Ltd.(a) | ||||
09/13/2027 | 3.250% | 250,000 | 256,637 | |
State Grid Overseas Investment 2016 Ltd.(a) | ||||
05/04/2027 | 3.500% | 200,000 | 209,780 | |
Total | 715,251 | |||
Total Foreign Government Obligations (Cost $18,660,100) | 19,803,095 | |||
Residential Mortgage-Backed Securities - Agency 0.7% | ||||
United States 0.7% | ||||
Federal National Mortgage Association(b),(h) | ||||
CMO Series 2019-33 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 07/25/2049 | 4.258% | 324,573 | 64,001 |
50 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Columbia Variable Portfolio – Global Strategic Income Fund, December 31, 2019
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Government National Mortgage Association(b),(h) | ||||
CMO Series 2017-141 Class ES | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 09/20/2047 | 4.435% | 212,942 | 44,828 | |
CMO Series 2018-155 Class ES | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 11/20/2048 | 4.335% | 200,884 | 38,252 | |
CMO Series 2019-23 Class LS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 02/20/2049 | 4.285% | 687,409 | 133,522 | |
CMO Series 2019-23 Class SQ | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 02/20/2049 | 4.285% | 878,956 | 163,648 | |
CMO Series 2019-30 Class SH | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 03/20/2049 | 4.285% | 883,621 | 136,317 | |
CMO Series 2019-4 Class SJ | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 01/20/2049 | 4.285% | 1,291,297 | 218,664 | |
Total | 799,232 | |||
Total Residential Mortgage-Backed Securities - Agency (Cost $699,735) | 799,232 | |||
Residential Mortgage-Backed Securities - Non-Agency 13.5% | ||||
Bermuda 0.9% | ||||
Bellemeade Re Ltd.(a),(b) | ||||
CMO Series 2018-2A Class M1B | ||||
1-month USD LIBOR + 1.350% 08/25/2028 | 3.142% | 1,000,000 | 1,001,502 | |
United States 12.6% | ||||
Angel Oak Mortgage Trust I LLC(a),(d) | ||||
CMO Series 2019-1 Class M1 | ||||
11/25/2048 | 4.500% | 1,000,000 | 1,039,105 | |
Bayview Opportunity Master Fund Trust IVb(a) | ||||
CMO Series 2019-RN1 Class A1 | ||||
02/28/2034 | 4.090% | 295,997 | 295,557 | |
Bellemeade Re Ltd.(a),(b) | ||||
CMO Series 2019-1A Class M1B | ||||
1-month USD LIBOR + 1.750% Floor 1.750% 03/25/2029 | 3.542% | 1,000,000 | 1,000,326 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2019-3A Class M1B | ||||
1-month USD LIBOR + 1.600% Floor 1.600% 07/25/2029 | 3.392% | 200,000 | 200,448 | |
COLT Mortgage Loan Trust(a),(d) | ||||
CMO Series 2019-1 Class M1 | ||||
03/25/2049 | 4.518% | 1,000,000 | 1,014,552 | |
Eagle RE Ltd.(a),(b) | ||||
CMO Series 2019-1 Class M1B | ||||
1-month USD LIBOR + 1.800% 04/25/2029 | 3.592% | 700,000 | 700,983 | |
GCAT LLC(a) | ||||
CMO Series 2019-NQM1 Class M1 | ||||
02/25/2059 | 3.849% | 440,000 | 441,625 | |
Homeward Opportunities Fund I Trust(a),(d) | ||||
CMO Series 2019-1 Class B1 | ||||
01/25/2059 | 4.800% | 700,000 | 708,502 | |
CMO Series 2019-2 Class A3 | ||||
09/25/2059 | 3.007% | 261,752 | 260,285 | |
Legacy Mortgage Asset Trust(a) | ||||
CMO Series 2019-GS1 Class A1 | ||||
01/25/2059 | 4.000% | 856,123 | 864,165 | |
New Residential Mortgage LLC(a) | ||||
Subordinated CMO Series 2018-FNT1 Class G | ||||
05/25/2023 | 5.670% | 660,318 | 664,597 | |
New Residential Mortgage Loan Trust(a),(d) | ||||
CMO Series 2019-RPL1 Class A1 | ||||
02/26/2024 | 4.335% | 922,567 | 929,195 | |
PMT Credit Risk Transfer Trust(a),(b) | ||||
CMO Series 2019-1R Class A | ||||
1-month USD LIBOR + 2.000% Floor 2.000% 03/27/2024 | 3.700% | 362,336 | 362,031 | |
PNMAC GMSR Issuer Trust(a),(b) | ||||
CMO Series 2018-GT2 Class A | ||||
1-month USD LIBOR + 2.650% 08/25/2025 | 4.442% | 1,000,000 | 1,003,394 | |
Preston Ridge Partners Mortgage LLC(a),(d) | ||||
CMO Series 2019-1A Class A1 | ||||
01/25/2024 | 4.500% | 901,343 | 913,870 | |
Radnor Re Ltd.(a),(b) | ||||
CMO Series 2019-1 Class M1B | ||||
1-month USD LIBOR + 1.950% Floor 1.950% 02/25/2029 | 3.742% | 1,000,000 | 999,587 | |
RCO V Mortgage LLC(a),(d) | ||||
CMO Series 2019-2 Class A1 | ||||
11/25/2024 | 3.475% | 195,701 | 195,457 |
Columbia Variable Portfolio Funds | Annual Report 2019 | 51 |
Columbia Variable Portfolio – Global Strategic Income Fund, December 31, 2019
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
SG Residential Mortgage Trust(a),(d) | ||||
CMO Series 2019-3 Class M1 | ||||
09/25/2059 | 3.526% | 400,000 | 397,683 | |
Toorak Mortgage Corp., Ltd.(a),(d) | ||||
CMO Series 2019-1 Class A1 | ||||
03/25/2022 | 4.458% | 500,000 | 504,464 | |
Vericrest Opportunity Loan Transferee LXXV LLC(a) | ||||
CMO Series 2019-NPL1 Class A1B | ||||
01/25/2049 | 4.826% | 1,000,000 | 1,006,300 | |
Vericrest Opportunity Loan Trust LXXXIII LLC(a),(d) | ||||
CMO Series 2019-NPL9 Class A1B | ||||
11/26/2049 | 4.090% | 400,000 | 399,010 | |
Verus Securitization Trust(a),(d) | ||||
CMO Series 2019-1 Class A1 | ||||
02/25/2059 | 3.836% | 473,783 | 478,696 | |
Total | 14,379,832 | |||
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $15,261,611) | 15,381,334 |
Money Market Funds 3.6% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(i),(j) | 4,043,674 | 4,043,270 |
Total Money Market Funds (Cost $4,043,364) | 4,043,270 | |
Total Investments in Securities (Cost $101,266,586) | 105,770,974 | |
Other Assets & Liabilities, Net | 7,657,970 | |
Net Assets | $113,428,944 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
23,258,000 EUR | 25,855,081 USD | UBS | 01/10/2020 | — | (245,135) |
1,760,000 GBP | 2,314,206 USD | UBS | 01/10/2020 | — | (17,574) |
Total | — | (262,709) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 10-Year Note | 8 | 03/2020 | USD | 1,027,375 | — | (8,705) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Long Bond | (23) | 03/2020 | USD | (3,585,844) | 73,089 | — |
U.S. Treasury 10-Year Note | (177) | 03/2020 | USD | (22,730,672) | 192,034 | — |
U.S. Treasury 5-Year Note | (23) | 03/2020 | USD | (2,728,016) | 8,485 | — |
U.S. Ultra Treasury Bond | (9) | 03/2020 | USD | (1,634,906) | 49,264 | — |
Total | 322,872 | — |
52 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Columbia Variable Portfolio – Global Strategic Income Fund, December 31, 2019
Credit default swap contracts - buy protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Pay fixed rate (%) | Payment frequency | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Deutsche Bank AG | Citi | 12/20/2024 | 1.000 | Quarterly | EUR | 600,000 | 55,666 | (224) | 73,829 | — | — | (18,387) |
Markit iTraxx Asia ex-Japan Investment Grade Index, Series 32 | Citi | 12/20/2024 | 1.000 | Quarterly | USD | 2,783,000 | (61,343) | (927) | — | (59,724) | — | (2,547) |
Total | (5,677) | (1,151) | 73,829 | (59,724) | — | (20,934) |
Cleared credit default swap contracts - buy protection | |||||||||||
Reference entity | Counterparty | Maturity date | Pay fixed rate (%) | Payment frequency | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America High Yield Index, Series 33 | Morgan Stanley | 12/20/2024 | 5.000 | Quarterly | USD | 2,772,000 | (97,584) | — | — | — | (97,584) |
Markit CDX North America Investment Grade Index, Series 33 | Morgan Stanley | 12/20/2024 | 1.000 | Quarterly | USD | 1,658,000 | (985) | — | — | — | (985) |
Markit iTraxx Europe Crossover Index, Series 32 | Morgan Stanley | 12/20/2024 | 5.000 | Quarterly | EUR | 1,334,000 | (5,406) | — | — | — | (5,406) |
Markit iTraxx Europe Main Index, Series 32 | Morgan Stanley | 12/20/2024 | 1.000 | Quarterly | EUR | 5,787,000 | (28,759) | — | — | — | (28,759) |
Total | (132,734) | — | — | — | (132,734) |
(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. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At December 31, 2019, the total value of these securities amounted to $74,545,703, which represents 65.72% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of December 31, 2019. |
(c) | Principal amounts are denominated in United States Dollars unless otherwise noted. |
(d) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of December 31, 2019. |
(e) | Payment-in-kind security. Interest can be paid by issuing additional par of the security or in cash. |
(f) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of December 31, 2019. |
(g) | Principal and interest may not be guaranteed by a governmental entity. |
(h) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
(i) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
(j) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | ||||||||
31,849,996 | 50,135,543 | (77,941,865) | 4,043,674 | 257 | (94) | 218,389 | 4,043,270 |
CMO | Collateralized Mortgage Obligation |
Columbia Variable Portfolio Funds | Annual Report 2019 | 53 |
Columbia Variable Portfolio – Global Strategic Income Fund, December 31, 2019
EUR | Euro |
GBP | British Pound |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Asset-Backed Securities — Non-Agency | — | 3,189,417 | — | 3,189,417 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 5,417,299 | — | 5,417,299 |
Corporate Bonds & Notes | — | 57,137,327 | — | 57,137,327 |
Foreign Government Obligations | — | 19,803,095 | — | 19,803,095 |
Residential Mortgage-Backed Securities - Agency | — | 799,232 | — | 799,232 |
Residential Mortgage-Backed Securities - Non-Agency | — | 15,381,334 | — | 15,381,334 |
Money Market Funds | 4,043,270 | — | — | 4,043,270 |
Total Investments in Securities | 4,043,270 | 101,727,704 | — | 105,770,974 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 322,872 | — | — | 322,872 |
Liability | ||||
Forward Foreign Currency Exchange Contracts | — | (262,709) | — | (262,709) |
Futures Contracts | (8,705) | — | — | (8,705) |
Swap Contracts | — | (153,668) | — | (153,668) |
Total | 4,357,437 | 101,311,327 | — | 105,668,764 |
54 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Columbia Variable Portfolio – Global Strategic Income Fund, December 31, 2019
See the Portfolio of Investments for all investment classifications not indicated in the table.
Columbia Variable Portfolio Funds | Annual Report 2019 | 55 |
Columbia Variable Portfolio – Intermediate Bond Fund, December 31, 2019
Asset-Backed Securities — Agency 0.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
United States Small Business Administration | ||||
Series 2014-20I Class 1 | ||||
09/01/2034 | 2.920% | 269,252 | 275,474 | |
Total Asset-Backed Securities — Agency (Cost $274,041) | 275,474 | |||
Asset-Backed Securities — Non-Agency 19.2% | ||||
American Credit Acceptance Receivables Trust(a) | ||||
Series 2019-4 Class D | ||||
12/12/2025 | 2.970% | 9,600,000 | 9,576,348 | |
Subordinated Series 2018-3 Class C | ||||
10/15/2024 | 3.750% | 6,500,000 | 6,546,487 | |
ARES XLIV CLO Ltd.(a),(b) | ||||
Series 2017-44A Class D | ||||
3-month USD LIBOR + 6.550% 10/15/2029 | 8.551% | 8,825,000 | 8,772,182 | |
ARES XLVI CLO Ltd.(a),(b) | ||||
Series 2017-46A Class B1 | ||||
3-month USD LIBOR + 1.350% 01/15/2030 | 3.351% | 18,020,000 | 17,847,531 | |
Avant Loans Funding Trust(a) | ||||
Series 2018-B Class A | ||||
01/18/2022 | 3.420% | 6,350,455 | 6,362,366 | |
Series 2019-A Class A | ||||
07/15/2022 | 3.480% | 11,347,028 | 11,392,865 | |
Series 2019-B Class A | ||||
10/15/2026 | 2.720% | 19,131,062 | 19,146,491 | |
Subordinated Series 2018-B Class B | ||||
07/15/2022 | 4.110% | 6,500,000 | 6,549,788 | |
Bain Capital Credit CLO(a),(b) | ||||
Series 2018-1A Class B | ||||
3-month USD LIBOR + 1.400% 04/23/2031 | 3.334% | 22,300,000 | 22,014,560 | |
Carlyle Group LP(a),(b) | ||||
Series 2017-5A Class A2 | ||||
3-month USD LIBOR + 1.400% 01/20/2030 | 3.366% | 24,000,000 | 23,598,792 | |
Cent CLO Ltd.(a),(b) | ||||
Series 2018-C17A Class A2R | ||||
3-month USD LIBOR + 1.600% 04/30/2031 | 3.536% | 21,000,000 | 20,911,191 | |
CLUB Credit Trust(a) | ||||
Series 2017-P2 Class A | ||||
01/15/2024 | 2.610% | 482,251 | 482,276 | |
Series 2018-P3 Class A | ||||
01/15/2026 | 3.820% | 6,776,495 | 6,830,656 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated Series 2017-P2 Class B | ||||
01/15/2024 | 3.560% | 10,600,000 | 10,628,950 | |
Conn’s Receivables Funding LLC(a) | ||||
Series 2018-A Class A | ||||
01/15/2023 | 3.250% | 2,993,303 | 3,003,862 | |
Series 2019-B Class A | ||||
06/17/2024 | 2.660% | 17,477,055 | 17,486,610 | |
Series 2019-B Class B | ||||
06/17/2024 | 3.620% | 11,000,000 | 10,988,729 | |
Consumer Lending Receivables Trust(a) | ||||
Series 2019-A Class A | ||||
04/15/2026 | 3.520% | 13,998,200 | 14,073,083 | |
Series 2019-A Class B | ||||
04/15/2026 | 4.010% | 6,720,000 | 6,791,930 | |
Consumer Loan Underlying Bond Club Certificate Issuer Trust(a) | ||||
Series 2019-HP1 Class A | ||||
12/15/2026 | 2.590% | 10,200,000 | 10,198,772 | |
Consumer Loan Underlying Bond Credit Trust(a) | ||||
Series 2018-P1 Class A | ||||
07/15/2025 | 3.390% | 10,477,773 | 10,514,699 | |
Series 2018-P2 Class A | ||||
10/15/2025 | 3.470% | 8,075,416 | 8,115,330 | |
Subordinated Series 2017-NP2 Class C | ||||
01/16/2024 | 4.870% | 5,121,289 | 5,141,431 | |
Drive Auto Receivables Trust | ||||
Series 2018-4 Class C | ||||
11/15/2024 | 3.660% | 10,000,000 | 10,093,979 | |
Dryden 57 CLO Ltd.(a),(b) | ||||
Series 2018-57A Class B | ||||
3-month USD LIBOR + 1.350% Floor 1.350% 05/15/2031 | 3.260% | 14,617,500 | 14,359,896 | |
DT Auto Owner Trust(a) | ||||
Subordinated Series 2018-3A Class C | ||||
07/15/2024 | 3.790% | 6,900,000 | 7,008,039 | |
Subordinated Series 2018-3A Class D | ||||
07/15/2024 | 4.190% | 21,910,000 | 22,642,681 | |
ENVA LLC(a) | ||||
Series 2019-A Class A | ||||
06/22/2026 | 3.960% | 8,559,286 | 8,560,428 | |
Exeter Automobile Receivables Trust(a) | ||||
Series 2019-4A Class D | ||||
09/15/2025 | 2.580% | 9,600,000 | 9,507,655 | |
GLS Auto Receivables Issuer Trust(a) | ||||
Subordinated Series 2019-4A Class C | ||||
08/15/2025 | 3.060% | 4,225,000 | 4,211,244 |
56 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Columbia Variable Portfolio – Intermediate Bond Fund, December 31, 2019
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Goldentree Loan Opportunities XI Ltd.(a),(b) | ||||
Series 2015-11A Class BR2 | ||||
3-month USD LIBOR + 1.350% 01/18/2031 | 3.353% | 10,000,000 | 9,861,270 | |
LendingClub Receivables Trust(a) | ||||
Series 2019-1 Class A | ||||
07/17/2045 | 4.000% | 15,652,348 | 15,693,431 | |
Series 2019-2 Class A | ||||
08/15/2025 | 4.000% | 18,698,818 | 18,716,608 | |
Series 2019-3 Class A | ||||
10/15/2025 | 3.750% | 19,010,601 | 18,960,923 | |
Series 2019-7 Class A | ||||
01/15/2027 | 3.750% | 17,400,000 | 17,403,868 | |
Madison Park Funding XXIV Ltd.(a),(b) | ||||
Series 2016-24A Class BR | ||||
3-month USD LIBOR + 1.750% 10/20/2029 | 3.926% | 20,000,000 | 19,949,820 | |
Madison Park Funding XXVII Ltd.(a),(b) | ||||
Series 2018-27A Class A2 | ||||
3-month USD LIBOR + 1.350% 04/20/2030 | 3.366% | 40,300,000 | 39,841,305 | |
Madison Park Funding XXXII Ltd.(a),(b) | ||||
Series 2018-32A Class C | ||||
3-month USD LIBOR + 2.900% Floor 2.900% 01/22/2031 | 4.853% | 14,000,000 | 14,028,924 | |
Marlette Funding Trust(a) | ||||
Series 2018-1A Class B | ||||
03/15/2028 | 3.190% | 10,210,133 | 10,216,109 | |
Series 2019-1A Class B | ||||
04/16/2029 | 3.940% | 11,039,000 | 11,274,856 | |
Subordinated Series 2018-4A Class B | ||||
12/15/2028 | 4.210% | 8,700,000 | 8,883,925 | |
Octagon Investment Partners 30 Ltd.(a),(b) | ||||
Series 2017-1A Class A1 | ||||
3-month USD LIBOR + 1.320% 03/17/2030 | 3.286% | 7,000,000 | 7,016,968 | |
Octagon Investment Partners 35 Ltd.(a),(b) | ||||
Series 2018-1A Class A2 | ||||
3-month USD LIBOR + 1.400% Floor 1.400% 01/20/2031 | 3.366% | 20,375,000 | 20,086,082 | |
Octagon Investment Partners XXII Ltd.(a),(b) | ||||
Series 2014-1A Class BRR | ||||
3-month USD LIBOR + 1.450% Floor 1.450% 01/22/2030 | 3.403% | 45,625,000 | 44,987,984 | |
OneMain Financial Issuance Trust(a) | ||||
Series 2018-1A Class A | ||||
03/14/2029 | 3.300% | 23,470,000 | 23,821,261 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
OZLM Funding IV Ltd.(a),(b) | ||||
Series 2013-4A Class D2R | ||||
3-month USD LIBOR + 7.250% 10/22/2030 | 9.203% | 1,962,500 | 1,881,421 | |
OZLM XXI(a),(b) | ||||
Series 2017-21A Class A1 | ||||
3-month USD LIBOR + 1.150% 01/20/2031 | 3.116% | 31,700,000 | 31,699,620 | |
Series 2017-21A Class A2 | ||||
3-month USD LIBOR + 1.450% 01/20/2031 | 3.416% | 20,000,000 | 19,882,320 | |
Pagaya AI Debt Selection Trust(a),(c) | ||||
Series 2019-1 Class A | ||||
06/15/2026 | 3.690% | 15,479,401 | 15,561,635 | |
Pagaya AI Debt Selection Trust(a) | ||||
Series 2019-2 Class A2A | ||||
09/15/2026 | 3.929% | 9,356,685 | 9,434,565 | |
Series 2019-3 Class A | ||||
11/16/2026 | 3.821% | 22,248,839 | 22,291,868 | |
Prosper Marketplace Issuance Trust(a) | ||||
Series 2018-1A Class B | ||||
06/17/2024 | 3.900% | 10,503,281 | 10,523,871 | |
Series 2018-1A Class C | ||||
06/17/2024 | 4.870% | 12,900,000 | 13,034,542 | |
Series 2019-1A Class A | ||||
04/15/2025 | 3.540% | 4,785,044 | 4,803,965 | |
Series 2019-2A Class A | ||||
09/15/2025 | 3.200% | 2,997,244 | 3,006,527 | |
Series 2019-3A Class A | ||||
07/15/2025 | 3.190% | 27,307,545 | 27,436,197 | |
Series 2019-3A Class B | ||||
07/15/2025 | 3.590% | 5,000,000 | 5,017,653 | |
Subordinated Series 2017-1A Class C | ||||
06/15/2023 | 5.800% | 2,397,176 | 2,429,742 | |
Subordinated Series 2017-2A Class C | ||||
09/15/2023 | 5.370% | 6,021,690 | 6,080,061 | |
Prosper Pass-Through Trust(a),(c) | ||||
Series 2019-ST2 Class A | ||||
11/15/2025 | 3.750% | 14,864,493 | 14,864,493 | |
RR 3 Ltd.(a),(b) | ||||
Series 2014-14A Class A2R2 | ||||
3-month USD LIBOR + 1.400% Floor 1.400% 01/15/2030 | 3.401% | 28,000,000 | 27,368,796 | |
SoFi Consumer Loan Program LLC(a) | ||||
Series 2016-5 Class A | ||||
09/25/2028 | 3.060% | 7,703,206 | 7,735,189 |
Columbia Variable Portfolio Funds | Annual Report 2019 | 57 |
Columbia Variable Portfolio – Intermediate Bond Fund, December 31, 2019
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
SoFi Consumer Loan Program Trust(a) | ||||
Series 2018-1 Class A2 | ||||
02/25/2027 | 3.140% | 10,066,597 | 10,119,829 | |
Series 2018-2 Class A1 | ||||
04/26/2027 | 2.930% | 226,303 | 226,375 | |
SoFi Professional Loan Program LLC(a),(c),(d),(e),(f) | ||||
Series 2015-D Class RC | ||||
10/26/2037 | 0.000% | 5 | 1,233,333 | |
Series 2016-A Class RIO | ||||
01/25/2038 | 0.000% | 8 | 960,000 | |
Series 2016-A Class RPO | ||||
01/25/2038 | 0.000% | 6 | 1,705,215 | |
SoFi Professional Loan Program LLC(a),(c),(d),(f) | ||||
Series 2017-A Class R | ||||
03/26/2040 | 0.000% | 50,000 | 1,954,250 | |
Stewart Park CLO Ltd.(a),(b) | ||||
Series 2017-1A Class BR | ||||
3-month USD LIBOR + 1.370% Floor 1.370% 01/15/2030 | 3.371% | 11,171,429 | 11,079,209 | |
Upstart Securitization Trust(a) | ||||
Series 2019-3 Class A | ||||
01/21/2030 | 2.684% | 13,000,000 | 12,995,121 | |
Westlake Automobile Receivables Trust(a) | ||||
Subordinated Series 2019-3A Class D | ||||
11/15/2024 | 2.720% | 15,300,000 | 15,247,116 | |
Total Asset-Backed Securities — Non-Agency (Cost $900,241,523) | 892,675,098 | |||
Commercial Mortgage-Backed Securities - Agency 1.9% | ||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates(g) | ||||
Series 2017-K070 Class A2 | ||||
11/25/2027 | 3.303% | 5,205,000 | 5,542,143 | |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates | ||||
Series K071 Class A2 | ||||
11/25/2050 | 3.286% | 13,965,000 | 14,848,063 | |
Federal National Mortgage Association(g) | ||||
Series 2017-M15 Class ATS2 | ||||
11/25/2027 | 3.136% | 52,500,000 | 54,337,531 | |
FRESB Mortgage Trust(g) | ||||
Series 2018-SB45 Class A10F | ||||
11/25/2027 | 3.160% | 12,814,648 | 13,115,806 | |
Total Commercial Mortgage-Backed Securities - Agency (Cost $85,591,500) | 87,843,543 | |||
Commercial Mortgage-Backed Securities - Non-Agency 8.3% | ||||
American Homes 4 Rent Trust(a) | ||||
Series 2014-SFR3 Class A | ||||
12/17/2036 | 3.678% | 2,288,877 | 2,353,699 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2015-SFR2 Class A | ||||
10/17/2045 | 3.732% | 22,417,569 | 23,447,705 | |
BBCMS Trust(a),(b) | ||||
Subordinated Series 2018-BXH Class E | ||||
1-month USD LIBOR + 2.250% Floor 2.250% 10/15/2037 | 3.990% | 10,581,000 | 10,581,502 | |
Braemar Hotels & Resorts Trust(a),(b) | ||||
Series 2018-PRME Class D | ||||
1-month USD LIBOR + 1.800% Floor 1.925% 06/15/2035 | 3.540% | 6,950,000 | 6,937,361 | |
Series 2018-PRME Class E | ||||
1-month USD LIBOR + 2.400% Floor 2.400% 06/15/2035 | 4.140% | 6,310,000 | 6,321,755 | |
BX Trust(a),(b) | ||||
Series 2018-GW Class F | ||||
1-month USD LIBOR + 2.420% Floor 2.420% 05/15/2035 | 4.160% | 10,000,000 | 10,031,391 | |
CALI Mortgage Trust(a),(g) | ||||
Series 2019-101C Class E | ||||
03/10/2039 | 4.324% | 6,500,000 | 6,748,481 | |
CHT Mortgage Trust(a),(b) | ||||
Series 2017-CSMO Class C | ||||
1-month USD LIBOR + 1.500% Floor 1.350% 11/15/2036 | 3.240% | 18,000,000 | 18,005,897 | |
Series 2017-CSMO Class E | ||||
1-month USD LIBOR + 3.000% Floor 3.000% 11/15/2036 | 4.740% | 20,800,000 | 20,819,731 | |
CLNY Trust(a),(b) | ||||
Series 2019-IKPR Class A | ||||
1-month USD LIBOR + 1.129% Floor 1.129% 11/15/2038 | 2.899% | 11,400,000 | 11,282,451 | |
Series 2019-IKPR Class E | ||||
1-month USD LIBOR + 2.721% Floor 2.721% 11/15/2038 | 4.491% | 15,600,000 | 15,454,499 | |
Cosmopolitan Hotel Mortgage Trust(a),(b) | ||||
Subordinated Series 2017-CSMO Class F | ||||
1-month USD LIBOR + 3.741% Floor 3.800% 11/15/2036 | 5.481% | 3,800,000 | 3,804,585 | |
Credit Suisse Mortgage Capital Certificates OA LLC(a) | ||||
Subordinated Series 2014-USA Class D | ||||
09/15/2037 | 4.373% | 4,200,000 | 4,126,368 |
58 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Columbia Variable Portfolio – Intermediate Bond Fund, December 31, 2019
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated Series 2014-USA Class E | ||||
09/15/2037 | 4.373% | 19,065,000 | 17,926,966 | |
Subordinated Series 2014-USA Class F | ||||
09/15/2037 | 4.373% | 12,800,000 | 11,534,665 | |
Hilton U.S.A. Trust(a),(g) | ||||
Series 2016-HHV Class F | ||||
11/05/2038 | 4.194% | 4,500,000 | 4,466,755 | |
Hilton U.S.A. Trust(a) | ||||
Series 2016-SFP Class A | ||||
11/05/2035 | 2.828% | 5,400,000 | 5,398,860 | |
Subordinated Series 2016-SFP Class E | ||||
11/05/2035 | 5.519% | 10,901,000 | 10,913,971 | |
Independence Plaza Trust(a) | ||||
Series 2018-INDP Class B | ||||
07/10/2035 | 3.911% | 10,375,000 | 10,730,384 | |
Invitation Homes Trust(a),(b) | ||||
Series 2018-SFR2 Class A | ||||
1-month USD LIBOR + 0.900% Floor 0.800% 06/17/2037 | 2.640% | 31,519,927 | 31,508,341 | |
Series 2018-SFR4 Class A | ||||
1-month USD LIBOR + 1.100% Floor 1.000% 01/17/2038 | 2.814% | 23,628,159 | 23,694,531 | |
Morgan Stanley Capital I Trust(a) | ||||
Series 2019-MEAD Class E | ||||
11/10/2036 | 3.177% | 13,400,000 | 12,774,909 | |
Progress Residential Trust(a) | ||||
Series 2017-SFR1 Class A | ||||
08/17/2034 | 2.768% | 10,322,205 | 10,299,837 | |
Series 2018-SF3 Class A | ||||
10/17/2035 | 3.880% | 20,361,199 | 20,730,820 | |
Series 2018-SFR1 Class A | ||||
03/17/2035 | 3.255% | 18,941,949 | 19,037,331 | |
Series 2018-SFR2 Class A | ||||
08/17/2035 | 3.712% | 13,515,000 | 13,724,989 | |
RETL(a),(b) | ||||
Subordinated Series 2019-RVP Class C | ||||
1-month USD LIBOR + 2.100% Floor 2.100% 03/15/2036 | 3.840% | 16,200,000 | 16,230,388 | |
UBS Commercial Mortgage Trust(a),(b) | ||||
Series 2018-NYCH Class B | ||||
1-month USD LIBOR + 1.250% Floor 1.250% 02/15/2032 | 2.990% | 10,469,000 | 10,469,685 | |
Series 2018-NYCH Class E | ||||
1-month USD LIBOR + 2.900% Floor 3.200% 02/15/2032 | 4.640% | 16,259,000 | 16,326,481 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Wells Fargo Commercial Mortgage Trust(a),(b) | ||||
Subordinated Series 2017-SMP Class C | ||||
1-month USD LIBOR + 1.200% Floor 1.200% 12/15/2034 | 2.940% | 9,000,000 | 8,985,345 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $380,674,316) | 384,669,683 | |||
Corporate Bonds & Notes 21.8% | ||||
Aerospace & Defense 0.7% | ||||
Bombardier, Inc.(a) | ||||
10/15/2022 | 6.000% | 76,000 | 75,931 | |
12/01/2024 | 7.500% | 358,000 | 376,793 | |
03/15/2025 | 7.500% | 117,000 | 120,737 | |
04/15/2027 | 7.875% | 91,000 | 93,759 | |
Moog, Inc.(a) | ||||
12/15/2027 | 4.250% | 158,000 | 160,816 | |
Northrop Grumman Corp. | ||||
01/15/2025 | 2.930% | 11,960,000 | 12,325,101 | |
01/15/2028 | 3.250% | 13,230,000 | 13,801,065 | |
TransDigm, Inc.(a) | ||||
03/15/2026 | 6.250% | 1,135,000 | 1,230,658 | |
11/15/2027 | 5.500% | 598,000 | 604,935 | |
TransDigm, Inc. | ||||
06/15/2026 | 6.375% | 1,415,000 | 1,505,608 | |
03/15/2027 | 7.500% | 168,000 | 183,957 | |
Total | 30,479,360 | |||
Automotive 0.5% | ||||
Delphi Technologies PLC(a) | ||||
10/01/2025 | 5.000% | 170,000 | 157,163 | |
Ford Motor Co. | ||||
01/15/2043 | 4.750% | 12,585,000 | 11,189,795 | |
Ford Motor Credit Co. LLC | ||||
11/02/2020 | 2.343% | 9,700,000 | 9,670,011 | |
IAA Spinco, Inc.(a) | ||||
06/15/2027 | 5.500% | 75,000 | 80,170 | |
KAR Auction Services, Inc.(a) | ||||
06/01/2025 | 5.125% | 486,000 | 505,535 | |
Panther BF Aggregator 2 LP/Finance Co., Inc.(a) | ||||
05/15/2026 | 6.250% | 125,000 | 135,087 | |
05/15/2027 | 8.500% | 211,000 | 224,200 | |
Total | 21,961,961 | |||
Banking 2.0% | ||||
Ally Financial, Inc. | ||||
11/01/2031 | 8.000% | 318,000 | 441,550 | |
Bank of America Corp.(h) | ||||
01/20/2028 | 3.824% | 20,000,000 | 21,506,956 |
Columbia Variable Portfolio Funds | Annual Report 2019 | 59 |
Columbia Variable Portfolio – Intermediate Bond Fund, December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
BBVA Bancomer SA(a),(h) | ||||
Subordinated | ||||
11/12/2029 | 5.350% | 2,910,000 | 2,940,984 | |
Capital One Financial Corp. | ||||
05/12/2020 | 2.500% | 13,110,000 | 13,126,936 | |
Goldman Sachs Group, Inc. (The)(h) | ||||
05/01/2029 | 4.223% | 8,950,000 | 9,866,876 | |
JPMorgan Chase & Co.(h) | ||||
10/15/2030 | 2.739% | 19,860,000 | 19,888,658 | |
Morgan Stanley(h) | ||||
01/23/2030 | 4.431% | 7,574,000 | 8,564,212 | |
Wells Fargo & Co. | ||||
01/30/2020 | 2.150% | 9,650,000 | 9,650,934 | |
10/23/2026 | 3.000% | 9,035,000 | 9,269,913 | |
Total | 95,257,019 | |||
Brokerage/Asset Managers/Exchanges 0.0% | ||||
LPL Holdings, Inc.(a) | ||||
09/15/2025 | 5.750% | 15,000 | 15,716 | |
Subordinated | ||||
11/15/2027 | 4.625% | 230,000 | 234,635 | |
NFP Corp.(a) | ||||
07/15/2025 | 6.875% | 513,000 | 513,867 | |
Total | 764,218 | |||
Building Materials 0.2% | ||||
American Builders & Contractors Supply Co., Inc.(a) | ||||
05/15/2026 | 5.875% | 373,000 | 396,089 | |
01/15/2028 | 4.000% | 346,000 | 351,196 | |
Beacon Roofing Supply, Inc.(a) | ||||
11/01/2025 | 4.875% | 787,000 | 790,533 | |
11/15/2026 | 4.500% | 190,000 | 195,907 | |
Cemex SAB de CV(a) | ||||
04/16/2026 | 7.750% | 5,110,000 | 5,573,820 | |
Core & Main LP(a) | ||||
08/15/2025 | 6.125% | 385,000 | 401,375 | |
James Hardie International Finance DAC(a) | ||||
01/15/2025 | 4.750% | 600,000 | 622,069 | |
Total | 8,330,989 | |||
Cable and Satellite 0.8% | ||||
CCO Holdings LLC/Capital Corp.(a) | ||||
05/01/2027 | 5.125% | 1,025,000 | 1,083,867 | |
05/01/2027 | 5.875% | 901,000 | 956,729 | |
03/01/2030 | 4.750% | 687,000 | 700,668 | |
Charter Communications Operating LLC/Capital | ||||
03/01/2050 | 4.800% | 14,895,000 | 15,708,212 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Comcast Corp. | ||||
08/15/2047 | 4.000% | 8,210,000 | 9,068,927 | |
CSC Holdings LLC(a) | ||||
10/15/2025 | 6.625% | 663,000 | 706,376 | |
05/15/2026 | 5.500% | 1,078,000 | 1,141,964 | |
02/01/2028 | 5.375% | 726,000 | 775,844 | |
04/01/2028 | 7.500% | 113,000 | 127,496 | |
02/01/2029 | 6.500% | 696,000 | 777,209 | |
01/15/2030 | 5.750% | 454,000 | 484,487 | |
DISH DBS Corp. | ||||
07/01/2026 | 7.750% | 1,213,000 | 1,285,624 | |
Intelsat Jackson Holdings SA | ||||
08/01/2023 | 5.500% | 135,000 | 115,870 | |
Intelsat Jackson Holdings SA(a) | ||||
10/15/2024 | 8.500% | 394,000 | 359,336 | |
Intelsat Luxembourg SA | ||||
06/01/2023 | 8.125% | 263,000 | 155,389 | |
Radiate HoldCo LLC/Finance, Inc.(a) | ||||
02/15/2023 | 6.875% | 201,000 | 205,485 | |
02/15/2025 | 6.625% | 382,000 | 383,859 | |
Sirius XM Radio, Inc.(a) | ||||
07/15/2024 | 4.625% | 157,000 | 164,493 | |
04/15/2025 | 5.375% | 679,000 | 702,443 | |
Viasat, Inc.(a) | ||||
04/15/2027 | 5.625% | 126,000 | 134,743 | |
Virgin Media Finance PLC(a) | ||||
01/15/2025 | 5.750% | 254,000 | 261,682 | |
Virgin Media Secured Finance PLC(a) | ||||
08/15/2026 | 5.500% | 36,000 | 37,781 | |
05/15/2029 | 5.500% | 246,000 | 260,814 | |
Ziggo Bond Finance BV(a) | ||||
01/15/2027 | 6.000% | 740,000 | 782,563 | |
Ziggo BV(a) | ||||
01/15/2027 | 5.500% | 580,000 | 617,077 | |
Total | 36,998,938 | |||
Chemicals 0.2% | ||||
Alpha 2 BV(a),(i) | ||||
06/01/2023 | 8.750% | 409,000 | 414,523 | |
Angus Chemical Co.(a) | ||||
02/15/2023 | 8.750% | 340,000 | 340,248 | |
Atotech U.S.A., Inc.(a) | ||||
02/01/2025 | 6.250% | 407,000 | 419,257 | |
Axalta Coating Systems LLC(a) | ||||
08/15/2024 | 4.875% | 405,000 | 419,768 | |
CF Industries, Inc. | ||||
03/15/2034 | 5.150% | 96,000 | 107,919 | |
03/15/2044 | 5.375% | 44,000 | 47,997 |
60 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Columbia Variable Portfolio – Intermediate Bond Fund, December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Chemours Co. (The) | ||||
05/15/2023 | 6.625% | 157,000 | 158,166 | |
05/15/2025 | 7.000% | 30,000 | 30,198 | |
05/15/2027 | 5.375% | 68,000 | 60,595 | |
INEOS Group Holdings SA(a) | ||||
08/01/2024 | 5.625% | 485,000 | 498,162 | |
LYB International Finance III LLC | ||||
10/15/2049 | 4.200% | 2,960,000 | 3,088,418 | |
Phosagro OAO Via Phosagro Bond Funding DAC(a) | ||||
11/03/2021 | 3.950% | 1,419,000 | 1,455,256 | |
Platform Specialty Products Corp.(a) | ||||
12/01/2025 | 5.875% | 782,000 | 817,485 | |
PQ Corp.(a) | ||||
11/15/2022 | 6.750% | 680,000 | 704,214 | |
12/15/2025 | 5.750% | 684,000 | 718,993 | |
SPCM SA(a) | ||||
09/15/2025 | 4.875% | 185,000 | 192,732 | |
Starfruit Finco BV/US Holdco LLC(a) | ||||
10/01/2026 | 8.000% | 569,000 | 603,594 | |
Total | 10,077,525 | |||
Construction Machinery 0.1% | ||||
H&E Equipment Services, Inc. | ||||
09/01/2025 | 5.625% | 226,000 | 237,446 | |
Herc Holdings, Inc.(a) | ||||
07/15/2027 | 5.500% | 295,000 | 311,611 | |
Ritchie Bros. Auctioneers, Inc.(a) | ||||
01/15/2025 | 5.375% | 216,000 | 224,912 | |
United Rentals North America, Inc. | ||||
09/15/2026 | 5.875% | 584,000 | 627,278 | |
12/15/2026 | 6.500% | 245,000 | 269,621 | |
05/15/2027 | 5.500% | 411,000 | 440,904 | |
11/15/2027 | 3.875% | 91,000 | 92,832 | |
Total | 2,204,604 | |||
Consumer Cyclical Services 0.0% | ||||
APX Group, Inc. | ||||
12/01/2022 | 7.875% | 586,000 | 591,697 | |
09/01/2023 | 7.625% | 336,000 | 318,164 | |
APX Group, Inc.(a) | ||||
11/01/2024 | 8.500% | 277,000 | 285,832 | |
ASGN, Inc.(a) | ||||
05/15/2028 | 4.625% | 278,000 | 285,583 | |
frontdoor, Inc.(a) | ||||
08/15/2026 | 6.750% | 113,000 | 123,560 | |
Staples, Inc.(a) | ||||
04/15/2026 | 7.500% | 62,000 | 64,507 | |
04/15/2027 | 10.750% | 63,000 | 64,141 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uber Technologies, Inc.(a) | ||||
11/01/2023 | 7.500% | 350,000 | 366,314 | |
Total | 2,099,798 | |||
Consumer Products 0.1% | ||||
Energizer Holdings, Inc.(a) | ||||
07/15/2026 | 6.375% | 195,000 | 208,268 | |
01/15/2027 | 7.750% | 254,000 | 284,040 | |
Mattel, Inc.(a) | ||||
12/31/2025 | 6.750% | 212,000 | 227,690 | |
12/15/2027 | 5.875% | 40,000 | 42,185 | |
Mattel, Inc. | ||||
11/01/2041 | 5.450% | 61,000 | 51,466 | |
Prestige Brands, Inc.(a) | ||||
03/01/2024 | 6.375% | 604,000 | 628,129 | |
01/15/2028 | 5.125% | 121,000 | 126,762 | |
Scotts Miracle-Gro Co. (The) | ||||
12/15/2026 | 5.250% | 116,000 | 124,969 | |
Scotts Miracle-Gro Co. (The)(a) | ||||
10/15/2029 | 4.500% | 169,000 | 172,508 | |
Spectrum Brands, Inc. | ||||
07/15/2025 | 5.750% | 462,000 | 483,502 | |
Valvoline, Inc. | ||||
07/15/2024 | 5.500% | 256,000 | 266,241 | |
Total | 2,615,760 | |||
Diversified Manufacturing 0.0% | ||||
CFX Escrow Corp.(a) | ||||
02/15/2024 | 6.000% | 86,000 | 91,623 | |
02/15/2026 | 6.375% | 104,000 | 113,548 | |
Gates Global LLC/Co.(a) | ||||
01/15/2026 | 6.250% | 649,000 | 659,829 | |
MTS Systems Corp.(a) | ||||
08/15/2027 | 5.750% | 65,000 | 68,006 | |
Resideo Funding, Inc.(a) | ||||
11/01/2026 | 6.125% | 333,000 | 332,974 | |
SPX FLOW, Inc.(a) | ||||
08/15/2024 | 5.625% | 232,000 | 241,905 | |
Stevens Holding Co., Inc.(a) | ||||
10/01/2026 | 6.125% | 144,000 | 157,334 | |
WESCO Distribution, Inc. | ||||
06/15/2024 | 5.375% | 362,000 | 375,146 | |
Zekelman Industries, Inc.(a) | ||||
06/15/2023 | 9.875% | 154,000 | 162,100 | |
Total | 2,202,465 |
Columbia Variable Portfolio Funds | Annual Report 2019 | 61 |
Columbia Variable Portfolio – Intermediate Bond Fund, December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Electric 3.1% | ||||
AEP Texas, Inc. | ||||
01/15/2050 | 3.450% | 1,175,000 | 1,176,332 | |
AES Corp. (The) | ||||
03/15/2023 | 4.500% | 724,000 | 742,100 | |
09/01/2027 | 5.125% | 245,000 | 261,477 | |
Appalachian Power Co. | ||||
05/15/2044 | 4.400% | 10,365,000 | 11,696,660 | |
Calpine Corp.(a) | ||||
06/01/2026 | 5.250% | 443,000 | 461,671 | |
02/15/2028 | 4.500% | 268,000 | 270,937 | |
03/15/2028 | 5.125% | 295,000 | 300,804 | |
Clearway Energy Operating LLC | ||||
10/15/2025 | 5.750% | 323,000 | 340,892 | |
Clearway Energy Operating LLC(a) | ||||
03/15/2028 | 4.750% | 179,000 | 181,722 | |
CMS Energy Corp. | ||||
03/01/2024 | 3.875% | 4,145,000 | 4,350,837 | |
11/15/2025 | 3.600% | 585,000 | 618,333 | |
02/15/2027 | 2.950% | 619,000 | 625,380 | |
03/31/2043 | 4.700% | 640,000 | 721,866 | |
Consolidated Edison Co. of New York, Inc. | ||||
06/15/2047 | 3.875% | 9,180,000 | 9,986,867 | |
DTE Energy Co. | ||||
10/01/2026 | 2.850% | 17,062,000 | 17,161,853 | |
Duke Energy Corp. | ||||
09/01/2046 | 3.750% | 6,935,000 | 7,153,002 | |
06/15/2049 | 4.200% | 12,340,000 | 13,646,931 | |
Emera U.S. Finance LP | ||||
06/15/2046 | 4.750% | 17,116,000 | 19,784,190 | |
Indiana Michigan Power Co. | ||||
07/01/2047 | 3.750% | 1,322,000 | 1,398,342 | |
NextEra Energy Operating Partners LP(a) | ||||
07/15/2024 | 4.250% | 187,000 | 194,552 | |
09/15/2027 | 4.500% | 598,000 | 624,217 | |
NRG Energy, Inc. | ||||
01/15/2027 | 6.625% | 633,000 | 688,502 | |
01/15/2028 | 5.750% | 43,000 | 46,864 | |
NRG Energy, Inc.(a) | ||||
06/15/2029 | 5.250% | 181,000 | 196,290 | |
Pattern Energy Group, Inc.(a) | ||||
02/01/2024 | 5.875% | 410,000 | 422,206 | |
Southern Co. (The) | ||||
07/01/2026 | 3.250% | 13,151,000 | 13,653,567 | |
07/01/2036 | 4.250% | 2,260,000 | 2,437,038 | |
07/01/2046 | 4.400% | 12,815,000 | 14,226,070 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
TerraForm Power Operating LLC(a) | ||||
01/31/2028 | 5.000% | 322,000 | 340,850 | |
01/15/2030 | 4.750% | 232,000 | 236,825 | |
Vistra Operations Co. LLC(a) | ||||
09/01/2026 | 5.500% | 153,000 | 162,311 | |
02/15/2027 | 5.625% | 475,000 | 500,751 | |
07/31/2027 | 5.000% | 242,000 | 253,271 | |
WEC Energy Group, Inc. | ||||
06/15/2025 | 3.550% | 1,606,000 | 1,704,951 | |
Xcel Energy, Inc. | ||||
06/01/2025 | 3.300% | 6,610,000 | 6,900,598 | |
06/15/2028 | 4.000% | 10,550,000 | 11,543,845 | |
Total | 145,012,904 | |||
Environmental 0.0% | ||||
Clean Harbors, Inc.(a) | ||||
07/15/2027 | 4.875% | 103,000 | 108,780 | |
07/15/2029 | 5.125% | 72,000 | 77,077 | |
GFL Environmental, Inc.(a) | ||||
05/01/2022 | 5.625% | 204,000 | 207,694 | |
03/01/2023 | 5.375% | 89,000 | 91,457 | |
12/15/2026 | 5.125% | 145,000 | 152,419 | |
05/01/2027 | 8.500% | 408,000 | 446,991 | |
Hulk Finance Corp.(a) | ||||
06/01/2026 | 7.000% | 194,000 | 204,885 | |
Total | 1,289,303 | |||
Finance Companies 1.5% | ||||
GE Capital International Funding Co. Unlimited Co. | ||||
11/15/2020 | 2.342% | 32,380,000 | 32,391,704 | |
11/15/2035 | 4.418% | 30,980,000 | 33,081,721 | |
Global Aircraft Leasing Co., Ltd.(a),(i) | ||||
09/15/2024 | 6.500% | 455,000 | 474,755 | |
Navient Corp. | ||||
06/15/2022 | 6.500% | 1,347,000 | 1,464,758 | |
Provident Funding Associates LP/Finance Corp.(a) | ||||
06/15/2025 | 6.375% | 647,000 | 635,639 | |
Quicken Loans, Inc.(a) | ||||
05/01/2025 | 5.750% | 786,000 | 814,122 | |
Springleaf Finance Corp. | ||||
03/15/2023 | 5.625% | 148,000 | 159,290 | |
03/15/2024 | 6.125% | 241,000 | 264,318 | |
03/15/2025 | 6.875% | 285,000 | 324,401 | |
Total | 69,610,708 | |||
Food and Beverage 1.9% | ||||
Anheuser-Busch Companies LLC/InBev Worldwide, Inc. | ||||
02/01/2046 | 4.900% | 20,206,000 | 24,038,402 |
62 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Columbia Variable Portfolio – Intermediate Bond Fund, December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
B&G Foods, Inc. | ||||
04/01/2025 | 5.250% | 403,000 | 415,364 | |
09/15/2027 | 5.250% | 162,000 | 163,289 | |
Bacardi Ltd.(a) | ||||
05/15/2048 | 5.300% | 16,890,000 | 19,644,505 | |
Conagra Brands, Inc. | ||||
11/01/2048 | 5.400% | 8,300,000 | 10,153,478 | |
Darling Ingredients, Inc.(a) | ||||
04/15/2027 | 5.250% | 51,000 | 54,204 | |
FAGE International SA/USA Dairy Industry, Inc.(a) | ||||
08/15/2026 | 5.625% | 229,000 | 210,934 | |
Grupo Bimbo SAB de CV(a) | ||||
06/27/2024 | 3.875% | 2,256,000 | 2,355,049 | |
Kraft Heinz Foods Co. (The) | ||||
06/01/2046 | 4.375% | 21,423,000 | 21,112,512 | |
MHP SE(a) | ||||
05/10/2024 | 7.750% | 1,312,000 | 1,415,887 | |
Performance Food Group, Inc.(a) | ||||
10/15/2027 | 5.500% | 118,000 | 125,971 | |
Post Holdings, Inc.(a) | ||||
03/01/2027 | 5.750% | 1,238,000 | 1,332,134 | |
01/15/2028 | 5.625% | 176,000 | 189,972 | |
Tyson Foods, Inc.(b) | ||||
3-month USD LIBOR + 0.450% Floor 0.450% 08/21/2020 | 2.345% | 5,245,000 | 5,254,296 | |
Total | 86,465,997 | |||
Gaming 0.1% | ||||
Boyd Gaming Corp. | ||||
04/01/2026 | 6.375% | 25,000 | 26,938 | |
08/15/2026 | 6.000% | 131,000 | 140,519 | |
Boyd Gaming Corp.(a) | ||||
12/01/2027 | 4.750% | 224,000 | 232,754 | |
Caesars Resort Collection LLC/CRC Finco, Inc.(a) | ||||
10/15/2025 | 5.250% | 246,000 | 254,775 | |
Eldorado Resorts, Inc. | ||||
04/01/2025 | 6.000% | 386,000 | 405,727 | |
09/15/2026 | 6.000% | 227,000 | 250,671 | |
International Game Technology PLC(a) | ||||
02/15/2022 | 6.250% | 346,000 | 365,492 | |
02/15/2025 | 6.500% | 263,000 | 295,895 | |
Jack Ohio Finance LLC/1 Corp.(a) | ||||
11/15/2021 | 6.750% | 27,000 | 27,504 | |
MGM Growth Properties Operating Partnership LP/Finance Co-Issuer, Inc. | ||||
09/01/2026 | 4.500% | 505,000 | 531,603 | |
MGM Growth Properties Operating Partnership LP/Finance Co-Issuer, Inc.(a) | ||||
02/01/2027 | 5.750% | 180,000 | 201,152 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
MGM Resorts International | ||||
03/15/2023 | 6.000% | 168,000 | 184,615 | |
Scientific Games International, Inc.(a) | ||||
10/15/2025 | 5.000% | 472,000 | 494,583 | |
03/15/2026 | 8.250% | 357,000 | 393,512 | |
05/15/2028 | 7.000% | 119,000 | 127,694 | |
11/15/2029 | 7.250% | 120,000 | 130,330 | |
Stars Group Holdings BV/Co-Borrower LLC(a) | ||||
07/15/2026 | 7.000% | 177,000 | 191,609 | |
VICI Properties LP/Note Co., Inc.(a) | ||||
12/01/2026 | 4.250% | 203,000 | 209,475 | |
12/01/2029 | 4.625% | 162,000 | 169,575 | |
Wynn Las Vegas LLC/Capital Corp.(a) | ||||
03/01/2025 | 5.500% | 349,000 | 375,043 | |
Wynn Resorts Finance LLC/Capital Corp.(a) | ||||
10/01/2029 | 5.125% | 112,000 | 120,393 | |
Total | 5,129,859 | |||
Health Care 1.5% | ||||
Acadia Healthcare Co., Inc. | ||||
03/01/2024 | 6.500% | 465,000 | 482,312 | |
Avantor, Inc.(a) | ||||
10/01/2025 | 9.000% | 417,000 | 466,685 | |
Becton Dickinson and Co.(b) | ||||
3-month USD LIBOR + 1.030% 06/06/2022 | 2.917% | 10,234,000 | 10,310,265 | |
Becton Dickinson and Co. | ||||
05/15/2044 | 4.875% | 2,535,000 | 2,883,430 | |
Cardinal Health, Inc. | ||||
09/15/2045 | 4.900% | 2,275,000 | 2,372,130 | |
06/15/2047 | 4.368% | 8,490,000 | 8,402,406 | |
Change Healthcare Holdings LLC/Finance, Inc.(a) | ||||
03/01/2025 | 5.750% | 462,000 | 477,171 | |
Charles River Laboratories International, Inc.(a) | ||||
04/01/2026 | 5.500% | 216,000 | 232,744 | |
05/01/2028 | 4.250% | 91,000 | 92,796 | |
CHS/Community Health Systems, Inc. | ||||
03/31/2023 | 6.250% | 257,000 | 260,755 | |
Cigna Corp. | ||||
12/15/2048 | 4.900% | 5,645,000 | 6,742,931 | |
CVS Health Corp. | ||||
03/25/2048 | 5.050% | 14,310,000 | 16,975,274 | |
DaVita, Inc. | ||||
07/15/2024 | 5.125% | 65,000 | 66,667 | |
05/01/2025 | 5.000% | 68,000 | 69,931 | |
Encompass Health Corp. | ||||
02/01/2028 | 4.500% | 110,000 | 114,050 | |
02/01/2030 | 4.750% | 110,000 | 114,348 |
Columbia Variable Portfolio Funds | Annual Report 2019 | 63 |
Columbia Variable Portfolio – Intermediate Bond Fund, December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
HCA, Inc. | ||||
02/01/2025 | 5.375% | 189,000 | 209,200 | |
09/01/2028 | 5.625% | 501,000 | 571,427 | |
02/01/2029 | 5.875% | 214,000 | 247,361 | |
IQVIA, Inc.(a) | ||||
05/15/2027 | 5.000% | 246,000 | 260,543 | |
Memorial Sloan-Kettering Cancer Center | ||||
07/01/2052 | 4.125% | 12,885,000 | 14,662,717 | |
MPH Acquisition Holdings LLC(a) | ||||
06/01/2024 | 7.125% | 244,000 | 237,148 | |
Select Medical Corp.(a) | ||||
08/15/2026 | 6.250% | 389,000 | 421,011 | |
Tenet Healthcare Corp. | ||||
04/01/2022 | 8.125% | 140,000 | 154,776 | |
07/15/2024 | 4.625% | 482,000 | 495,258 | |
05/01/2025 | 5.125% | 257,000 | 264,546 | |
08/01/2025 | 7.000% | 376,000 | 397,209 | |
Tenet Healthcare Corp.(a) | ||||
01/01/2026 | 4.875% | 495,000 | 518,557 | |
02/01/2027 | 6.250% | 301,000 | 324,823 | |
11/01/2027 | 5.125% | 864,000 | 912,306 | |
Total | 69,740,777 | |||
Healthcare Insurance 0.1% | ||||
Centene Corp.(a) | ||||
01/15/2025 | 4.750% | 91,000 | 94,501 | |
06/01/2026 | 5.375% | 745,000 | 791,760 | |
12/15/2027 | 4.250% | 480,000 | 494,315 | |
12/15/2029 | 4.625% | 622,000 | 655,020 | |
Centene Corp. | ||||
01/15/2025 | 4.750% | 254,000 | 263,455 | |
UnitedHealth Group, Inc. | ||||
10/15/2047 | 3.750% | 3,220,000 | 3,450,561 | |
WellCare Health Plans, Inc. | ||||
04/01/2025 | 5.250% | 496,000 | 517,263 | |
WellCare Health Plans, Inc.(a) | ||||
08/15/2026 | 5.375% | 358,000 | 382,015 | |
Total | 6,648,890 | |||
Home Construction 0.1% | ||||
Lennar Corp. | ||||
11/15/2024 | 5.875% | 356,000 | 398,762 | |
06/01/2026 | 5.250% | 104,000 | 114,048 | |
Meritage Homes Corp. | ||||
04/01/2022 | 7.000% | 439,000 | 478,932 | |
06/01/2025 | 6.000% | 408,000 | 456,710 | |
Taylor Morrison Communities, Inc.(a) | ||||
01/15/2028 | 5.750% | 191,000 | 208,303 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Taylor Morrison Communities, Inc./Holdings II(a) | ||||
04/15/2023 | 5.875% | 387,000 | 417,857 | |
TRI Pointe Group, Inc./Homes | ||||
06/15/2024 | 5.875% | 142,000 | 154,630 | |
Total | 2,229,242 | |||
Independent Energy 0.5% | ||||
California Resources Corp.(a) | ||||
12/15/2022 | 8.000% | 138,000 | 61,695 | |
Callon Petroleum Co. | ||||
10/01/2024 | 6.125% | 130,000 | 132,555 | |
07/01/2026 | 6.375% | 966,000 | 981,031 | |
Canadian Natural Resources Ltd. | ||||
06/01/2027 | 3.850% | 4,485,000 | 4,782,728 | |
06/30/2033 | 6.450% | 1,795,000 | 2,301,128 | |
Carrizo Oil & Gas, Inc. | ||||
04/15/2023 | 6.250% | 384,000 | 389,843 | |
Centennial Resource Production LLC(a) | ||||
01/15/2026 | 5.375% | 229,000 | 225,308 | |
04/01/2027 | 6.875% | 279,000 | 290,127 | |
Chesapeake Energy Corp.(a) | ||||
01/01/2025 | 11.500% | 194,000 | 183,432 | |
CrownRock LP/Finance, Inc.(a) | ||||
10/15/2025 | 5.625% | 981,000 | 1,000,000 | |
Endeavor Energy Resources LP/Finance, Inc.(a) | ||||
01/30/2028 | 5.750% | 288,000 | 302,941 | |
Energuate Trust(a) | ||||
05/03/2027 | 5.875% | 3,755,000 | 3,879,786 | |
Hess Corp. | ||||
02/15/2041 | 5.600% | 1,965,000 | 2,314,344 | |
Hilcorp Energy I LP/Finance Co.(a) | ||||
10/01/2025 | 5.750% | 68,000 | 66,255 | |
11/01/2028 | 6.250% | 81,000 | 77,190 | |
Jagged Peak Energy LLC | ||||
05/01/2026 | 5.875% | 603,000 | 623,308 | |
Matador Resources Co. | ||||
09/15/2026 | 5.875% | 607,000 | 610,965 | |
Murphy Oil Corp. | ||||
12/01/2027 | 5.875% | 274,000 | 286,336 | |
Parsley Energy LLC/Finance Corp.(a) | ||||
08/15/2025 | 5.250% | 759,000 | 780,984 | |
10/15/2027 | 5.625% | 226,000 | 239,166 | |
PDC Energy, Inc. | ||||
09/15/2024 | 6.125% | 155,000 | 158,247 | |
05/15/2026 | 5.750% | 120,000 | 119,475 | |
QEP Resources, Inc. | ||||
03/01/2026 | 5.625% | 278,000 | 271,433 |
64 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Columbia Variable Portfolio – Intermediate Bond Fund, December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
SM Energy Co. | ||||
09/15/2026 | 6.750% | 550,000 | 540,594 | |
01/15/2027 | 6.625% | 167,000 | 164,020 | |
WPX Energy, Inc. | ||||
09/15/2024 | 5.250% | 350,000 | 372,070 | |
06/01/2026 | 5.750% | 408,000 | 436,191 | |
10/15/2027 | 5.250% | 238,000 | 250,790 | |
Total | 21,841,942 | |||
Integrated Energy 0.1% | ||||
Lukoil International Finance BV(a) | ||||
04/24/2023 | 4.563% | 2,256,000 | 2,394,074 | |
Leisure 0.0% | ||||
Live Nation Entertainment, Inc.(a) | ||||
11/01/2024 | 4.875% | 227,000 | 235,387 | |
03/15/2026 | 5.625% | 206,000 | 219,514 | |
10/15/2027 | 4.750% | 181,000 | 187,325 | |
Viking Cruises Ltd.(a) | ||||
09/15/2027 | 5.875% | 337,000 | 360,267 | |
Total | 1,002,493 | |||
Life Insurance 0.7% | ||||
Brighthouse Financial, Inc. | ||||
06/22/2047 | 4.700% | 85,000 | 78,682 | |
Massachusetts Mutual Life Insurance Co.(a) | ||||
Subordinated | ||||
10/15/2070 | 3.729% | 2,810,000 | 2,739,353 | |
Peachtree Corners Funding Trust(a) | ||||
02/15/2025 | 3.976% | 4,984,000 | 5,271,334 | |
Teachers Insurance & Annuity Association of America(a) | ||||
Subordinated | ||||
09/15/2044 | 4.900% | 992,000 | 1,224,364 | |
05/15/2047 | 4.270% | 10,325,000 | 11,750,217 | |
Voya Financial, Inc. | ||||
06/15/2026 | 3.650% | 6,161,000 | 6,520,786 | |
06/15/2046 | 4.800% | 4,816,000 | 5,571,342 | |
Total | 33,156,078 | |||
Media and Entertainment 0.2% | ||||
Clear Channel Worldwide Holdings, Inc.(a) | ||||
02/15/2024 | 9.250% | 660,000 | 731,890 | |
08/15/2027 | 5.125% | 426,000 | 443,418 | |
Diamond Sports Group LLC/Finance Co.(a) | ||||
08/15/2026 | 5.375% | 265,000 | 268,484 | |
08/15/2027 | 6.625% | 193,000 | 187,760 | |
Discovery Communications LLC | ||||
05/15/2049 | 5.300% | 1,732,000 | 2,052,018 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
iHeartCommunications, Inc. | ||||
05/01/2026 | 6.375% | 142,350 | 154,806 | |
05/01/2027 | 8.375% | 750,417 | 828,020 | |
iHeartCommunications, Inc.(a) | ||||
08/15/2027 | 5.250% | 112,000 | 117,351 | |
01/15/2028 | 4.750% | 213,000 | 218,111 | |
Match Group, Inc. | ||||
06/01/2024 | 6.375% | 695,000 | 730,324 | |
Match Group, Inc.(a) | ||||
12/15/2027 | 5.000% | 17,000 | 17,741 | |
Netflix, Inc. | ||||
04/15/2028 | 4.875% | 1,005,000 | 1,046,464 | |
11/15/2028 | 5.875% | 311,000 | 345,100 | |
05/15/2029 | 6.375% | 32,000 | 36,577 | |
Netflix, Inc.(a) | ||||
11/15/2029 | 5.375% | 379,000 | 403,909 | |
06/15/2030 | 4.875% | 276,000 | 280,645 | |
Outfront Media Capital LLC/Corp.(a) | ||||
08/15/2027 | 5.000% | 94,000 | 98,261 | |
03/15/2030 | 4.625% | 321,000 | 326,707 | |
Scripps Escrow, Inc.(a) | ||||
07/15/2027 | 5.875% | 105,000 | 109,946 | |
TEGNA, Inc.(a) | ||||
09/15/2029 | 5.000% | 279,000 | 283,751 | |
Terrier Media Buyer, Inc.(a) | ||||
12/15/2027 | 8.875% | 57,000 | 60,195 | |
Twitter, Inc.(a) | ||||
12/15/2027 | 3.875% | 179,000 | 178,955 | |
Total | 8,920,433 | |||
Metals and Mining 0.1% | ||||
Alcoa Nederland Holding BV(a) | ||||
09/30/2024 | 6.750% | 362,000 | 380,361 | |
Big River Steel LLC/Finance Corp.(a) | ||||
09/01/2025 | 7.250% | 703,000 | 739,695 | |
Constellium NV(a) | ||||
05/15/2024 | 5.750% | 290,000 | 298,659 | |
02/15/2026 | 5.875% | 721,000 | 763,299 | |
Freeport-McMoRan, Inc. | ||||
11/14/2024 | 4.550% | 511,000 | 541,099 | |
09/01/2029 | 5.250% | 316,000 | 338,524 | |
03/15/2043 | 5.450% | 724,000 | 749,892 | |
HudBay Minerals, Inc.(a) | ||||
01/15/2023 | 7.250% | 44,000 | 45,620 | |
01/15/2025 | 7.625% | 992,000 | 1,046,176 | |
Novelis Corp.(a) | ||||
08/15/2024 | 6.250% | 165,000 | 172,868 | |
09/30/2026 | 5.875% | 773,000 | 824,235 | |
Total | 5,900,428 |
Columbia Variable Portfolio Funds | Annual Report 2019 | 65 |
Columbia Variable Portfolio – Intermediate Bond Fund, December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Midstream 1.9% | ||||
Antero Midstream Partners LP/Finance Corp.(a) | ||||
03/01/2027 | 5.750% | 198,000 | 174,293 | |
Cheniere Energy Partners LP | ||||
10/01/2026 | 5.625% | 408,000 | 431,494 | |
Cheniere Energy Partners LP(a) | ||||
10/01/2029 | 4.500% | 460,000 | 472,531 | |
DCP Midstream Operating LP | ||||
03/15/2023 | 3.875% | 105,000 | 107,787 | |
05/15/2029 | 5.125% | 631,000 | 655,889 | |
04/01/2044 | 5.600% | 290,000 | 281,839 | |
Delek Logistics Partners LP/Finance Corp. | ||||
05/15/2025 | 6.750% | 297,000 | 299,419 | |
Enterprise Products Operating LLC | ||||
01/31/2050 | 4.200% | 3,275,000 | 3,535,382 | |
Holly Energy Partners LP/Finance Corp.(a) | ||||
08/01/2024 | 6.000% | 798,000 | 832,119 | |
Kinder Morgan, Inc. | ||||
02/15/2046 | 5.050% | 22,510,000 | 25,297,594 | |
MPLX LP | ||||
04/15/2048 | 4.700% | 6,430,000 | 6,546,898 | |
NuStar Logistics LP | ||||
06/01/2026 | 6.000% | 153,000 | 162,047 | |
04/28/2027 | 5.625% | 328,000 | 337,179 | |
Plains All American Pipeline LP/Finance Corp. | ||||
06/15/2044 | 4.700% | 21,740,000 | 21,146,888 | |
Rockpoint Gas Storage Canada Ltd.(a) | ||||
03/31/2023 | 7.000% | 618,000 | 605,167 | |
Sunoco LP/Finance Corp. | ||||
01/15/2023 | 4.875% | 228,000 | 233,525 | |
02/15/2026 | 5.500% | 361,000 | 374,974 | |
Tallgrass Energy Partners LP/Finance Corp.(a) | ||||
01/15/2028 | 5.500% | 241,000 | 235,970 | |
Targa Resources Partners LP/Finance Corp. | ||||
02/01/2027 | 5.375% | 998,000 | 1,036,538 | |
01/15/2028 | 5.000% | 283,000 | 289,174 | |
Targa Resources Partners LP/Finance Corp.(a) | ||||
07/15/2027 | 6.500% | 75,000 | 82,192 | |
01/15/2029 | 6.875% | 208,000 | 230,809 | |
03/01/2030 | 5.500% | 548,000 | 563,841 | |
TransMontaigne Partners LP/TLP Finance Corp. | ||||
02/15/2026 | 6.125% | 610,000 | 589,462 | |
Western Gas Partners LP | ||||
08/15/2048 | 5.500% | 3,440,000 | 3,037,590 | |
Williams Companies, Inc. (The) | ||||
09/15/2045 | 5.100% | 17,550,000 | 19,511,075 | |
Total | 87,071,676 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Natural Gas 0.8% | ||||
NiSource, Inc. | ||||
02/15/2023 | 3.850% | 4,755,000 | 4,948,772 | |
02/15/2043 | 5.250% | 990,000 | 1,200,609 | |
05/15/2047 | 4.375% | 12,320,000 | 13,682,248 | |
Sempra Energy | ||||
11/15/2020 | 2.850% | 10,845,000 | 10,909,036 | |
11/15/2025 | 3.750% | 7,365,000 | 7,785,243 | |
06/15/2027 | 3.250% | 637,000 | 656,956 | |
Total | 39,182,864 | |||
Oil Field Services 0.1% | ||||
Apergy Corp. | ||||
05/01/2026 | 6.375% | 715,000 | 753,649 | |
Archrock Partners LP/Finance Corp.(a) | ||||
04/01/2028 | 6.250% | 160,000 | 164,772 | |
Calfrac Holdings LP(a) | ||||
06/15/2026 | 8.500% | 207,000 | 83,835 | |
Diamond Offshore Drilling, Inc. | ||||
08/15/2025 | 7.875% | 142,000 | 123,395 | |
Nabors Industries, Inc. | ||||
02/01/2025 | 5.750% | 422,000 | 379,980 | |
Rowan Companies, Inc. | ||||
01/15/2024 | 4.750% | 163,000 | 102,327 | |
SESI LLC | ||||
09/15/2024 | 7.750% | 124,000 | 82,434 | |
Transocean Guardian Ltd.(a) | ||||
01/15/2024 | 5.875% | 166,430 | 170,028 | |
Transocean Pontus Ltd.(a) | ||||
08/01/2025 | 6.125% | 94,340 | 96,919 | |
Transocean Poseidon Ltd.(a) | ||||
02/01/2027 | 6.875% | 121,000 | 128,024 | |
Transocean Sentry Ltd.(a) | ||||
05/15/2023 | 5.375% | 168,000 | 170,940 | |
Transocean, Inc.(a) | ||||
01/15/2026 | 7.500% | 85,000 | 83,914 | |
USA Compression Partners LP/Finance Corp. | ||||
04/01/2026 | 6.875% | 540,000 | 567,853 | |
Total | 2,908,070 | |||
Packaging 0.1% | ||||
ARD Finance SA(a),(i) | ||||
06/30/2027 | 6.500% | 125,000 | 129,226 | |
Ardagh Packaging Finance PLC/Holdings USA, Inc.(a) | ||||
02/15/2025 | 6.000% | 698,000 | 732,138 | |
08/15/2026 | 4.125% | 234,000 | 240,706 | |
08/15/2027 | 5.250% | 279,000 | 293,584 |
66 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Columbia Variable Portfolio – Intermediate Bond Fund, December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Berry Global Escrow Corp.(a) | ||||
07/15/2026 | 4.875% | 144,000 | 151,990 | |
Berry Global, Inc.(a) | ||||
02/15/2026 | 4.500% | 79,000 | 81,221 | |
BWAY Holding Co.(a) | ||||
04/15/2024 | 5.500% | 440,000 | 453,803 | |
Flex Acquisition Co., Inc.(a) | ||||
07/15/2026 | 7.875% | 365,000 | 369,897 | |
Novolex(a) | ||||
01/15/2025 | 6.875% | 186,000 | 187,528 | |
Reynolds Group Issuer, Inc./LLC(a) | ||||
07/15/2023 | 5.125% | 409,000 | 419,083 | |
07/15/2024 | 7.000% | 320,000 | 331,086 | |
Trivium Packaging Finance BV(a) | ||||
08/15/2026 | 5.500% | 200,000 | 211,750 | |
08/15/2027 | 8.500% | 121,000 | 134,613 | |
Total | 3,736,625 | |||
Pharmaceuticals 0.7% | ||||
AbbVie, Inc.(a) | ||||
11/21/2049 | 4.250% | 8,500,000 | 9,014,953 | |
Allergan Funding SCS | ||||
06/15/2044 | 4.850% | 7,435,000 | 8,251,493 | |
Amgen, Inc. | ||||
06/15/2051 | 4.663% | 3,835,000 | 4,514,762 | |
Bausch Health Companies, Inc.(a) | ||||
03/15/2024 | 7.000% | 7,000 | 7,303 | |
04/15/2025 | 6.125% | 739,000 | 764,709 | |
11/01/2025 | 5.500% | 429,000 | 448,362 | |
04/01/2026 | 9.250% | 657,000 | 755,029 | |
01/31/2027 | 8.500% | 311,000 | 354,618 | |
01/30/2028 | 5.000% | 156,000 | 160,051 | |
01/30/2030 | 5.250% | 155,000 | 160,557 | |
Bristol-Myers Squibb Co.(a) | ||||
02/20/2048 | 4.550% | 1,900,000 | 2,328,952 | |
Catalent Pharma Solutions, Inc.(a) | ||||
01/15/2026 | 4.875% | 336,000 | 347,741 | |
07/15/2027 | 5.000% | 57,000 | 59,816 | |
Eagle Holding Co. II LLC(a),(i) | ||||
05/15/2022 | 7.750% | 269,000 | 273,137 | |
Endo Dac/Finance LLC/Finco, Inc.(a) | ||||
07/15/2023 | 6.000% | 189,000 | 137,315 | |
Endo Dac/Finance LLC/Finco, Inc.(a),(h) | ||||
02/01/2025 | 6.000% | 52,000 | 35,204 | |
Jaguar Holding Co. II/Pharmaceutical Product Development LLC(a) | ||||
08/01/2023 | 6.375% | 704,000 | 727,674 | |
Johnson & Johnson | ||||
12/05/2033 | 4.375% | 4,343,000 | 5,185,698 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Par Pharmaceutical, Inc.(a) | ||||
04/01/2027 | 7.500% | 267,000 | 266,717 | |
Total | 33,794,091 | |||
Property & Casualty 0.0% | ||||
Alliant Holdings Intermediate LLC/Co-Issuer(a) | ||||
10/15/2027 | 6.750% | 267,000 | 286,417 | |
HUB International Ltd.(a) | ||||
05/01/2026 | 7.000% | 618,000 | 655,643 | |
USI, Inc.(a) | ||||
05/01/2025 | 6.875% | 146,000 | 148,916 | |
Total | 1,090,976 | |||
Railroads 0.4% | ||||
Canadian National Railway Co. | ||||
02/03/2020 | 2.400% | 10,730,000 | 10,733,780 | |
CSX Corp. | ||||
09/15/2049 | 3.350% | 2,254,000 | 2,227,646 | |
11/01/2066 | 4.250% | 6,465,000 | 6,960,233 | |
Total | 19,921,659 | |||
Restaurants 0.0% | ||||
1011778 BC ULC/New Red Finance, Inc.(a) | ||||
05/15/2024 | 4.250% | 1,234,000 | 1,266,722 | |
01/15/2028 | 3.875% | 139,000 | 140,085 | |
IRB Holding Corp.(a) | ||||
02/15/2026 | 6.750% | 561,000 | 587,342 | |
Total | 1,994,149 | |||
Retailers 0.1% | ||||
L Brands, Inc. | ||||
06/15/2029 | 7.500% | 130,000 | 134,657 | |
11/01/2035 | 6.875% | 166,000 | 149,076 | |
Lowe’s Companies, Inc. | ||||
05/03/2047 | 4.050% | 4,295,000 | 4,640,112 | |
Penske Automotive Group, Inc. | ||||
08/15/2020 | 3.750% | 600,000 | 606,291 | |
PetSmart, Inc.(a) | ||||
03/15/2023 | 7.125% | 478,000 | 468,652 | |
06/01/2025 | 5.875% | 379,000 | 387,036 | |
Total | 6,385,824 | |||
Supermarkets 0.2% | ||||
Albertsons Companies LLC/Safeway, Inc./New Albertsons LP | ||||
03/15/2025 | 5.750% | 139,000 | 144,203 | |
Albertsons Companies LLC/Safeway, Inc./New Albertsons LP(a) | ||||
03/15/2026 | 7.500% | 171,000 | 192,199 | |
02/15/2028 | 5.875% | 316,000 | 336,129 |
Columbia Variable Portfolio Funds | Annual Report 2019 | 67 |
Columbia Variable Portfolio – Intermediate Bond Fund, December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Albertsons Companies, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(a) | ||||
01/15/2027 | 4.625% | 122,000 | 122,002 | |
Kroger Co. (The) | ||||
04/15/2042 | 5.000% | 3,154,000 | 3,503,652 | |
02/01/2047 | 4.450% | 5,000 | 5,307 | |
01/15/2048 | 4.650% | 6,386,000 | 6,982,051 | |
Total | 11,285,543 | |||
Technology 0.7% | ||||
Alliance Data Systems Corp.(a) | ||||
12/15/2024 | 4.750% | 298,000 | 297,453 | |
Ascend Learning LLC(a) | ||||
08/01/2025 | 6.875% | 435,000 | 456,701 | |
08/01/2025 | 6.875% | 242,000 | 254,387 | |
Banff Merger Sub, Inc.(a) | ||||
09/01/2026 | 9.750% | 66,000 | 66,968 | |
Broadcom Corp./Cayman Finance Ltd. | ||||
01/15/2027 | 3.875% | 21,230,000 | 22,055,682 | |
Camelot Finance SA(a) | ||||
11/01/2026 | 4.500% | 185,000 | 189,759 | |
CDK Global, Inc. | ||||
06/01/2027 | 4.875% | 496,000 | 524,742 | |
CommScope Finance LLC(a) | ||||
03/01/2024 | 5.500% | 204,000 | 212,952 | |
03/01/2026 | 6.000% | 245,000 | 260,694 | |
CommScope Technologies LLC(a) | ||||
06/15/2025 | 6.000% | 371,000 | 372,131 | |
Ensemble S Merger Sub, Inc.(a) | ||||
09/30/2023 | 9.000% | 100,000 | 102,652 | |
Gartner, Inc.(a) | ||||
04/01/2025 | 5.125% | 716,000 | 746,167 | |
Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/U.S. Holdings I LLC(a) | ||||
11/30/2024 | 10.000% | 306,000 | 330,657 | |
Informatica LLC(a) | ||||
07/15/2023 | 7.125% | 434,000 | 441,252 | |
Iron Mountain, Inc. | ||||
08/15/2024 | 5.750% | 481,000 | 486,240 | |
Iron Mountain, Inc.(a) | ||||
09/15/2029 | 4.875% | 345,000 | 350,799 | |
NCR Corp. | ||||
07/15/2022 | 5.000% | 233,000 | 235,406 | |
12/15/2023 | 6.375% | 485,000 | 497,356 | |
NCR Corp.(a) | ||||
09/01/2027 | 5.750% | 211,000 | 224,888 | |
09/01/2029 | 6.125% | 261,000 | 283,383 | |
Plantronics, Inc.(a) | ||||
05/31/2023 | 5.500% | 146,000 | 143,395 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
PTC, Inc. | ||||
05/15/2024 | 6.000% | 451,000 | 470,670 | |
Qualitytech LP/QTS Finance Corp.(a) | ||||
11/15/2025 | 4.750% | 740,000 | 766,945 | |
Refinitiv US Holdings, Inc.(a) | ||||
11/15/2026 | 8.250% | 480,000 | 540,808 | |
Sensata Technologies, Inc.(a) | ||||
02/15/2030 | 4.375% | 88,000 | 89,828 | |
Solera LLC/Finance, Inc.(a) | ||||
03/01/2024 | 10.500% | 225,000 | 239,072 | |
Tempo Acquisition LLC/Finance Corp.(a) | ||||
06/01/2025 | 6.750% | 159,000 | 164,287 | |
VeriSign, Inc. | ||||
05/01/2023 | 4.625% | 475,000 | 482,542 | |
Verscend Escrow Corp.(a) | ||||
08/15/2026 | 9.750% | 357,000 | 391,324 | |
Total | 31,679,140 | |||
Transportation Services 0.7% | ||||
Avis Budget Car Rental LLC/Finance, Inc. | ||||
04/01/2023 | 5.500% | 37,000 | 37,647 | |
Avis Budget Car Rental LLC/Finance, Inc.(a) | ||||
03/15/2025 | 5.250% | 215,000 | 221,687 | |
ERAC U.S.A. Finance LLC(a) | ||||
12/01/2026 | 3.300% | 7,985,000 | 8,250,722 | |
11/01/2046 | 4.200% | 3,105,000 | 3,333,755 | |
FedEx Corp. | ||||
04/01/2046 | 4.550% | 18,390,000 | 18,954,251 | |
Hertz Corp. (The)(a) | ||||
06/01/2022 | 7.625% | 163,000 | 169,463 | |
10/15/2024 | 5.500% | 176,000 | 180,868 | |
08/01/2026 | 7.125% | 212,000 | 229,526 | |
01/15/2028 | 6.000% | 669,000 | 670,763 | |
XPO Logistics, Inc.(a) | ||||
06/15/2022 | 6.500% | 212,000 | 216,015 | |
Total | 32,264,697 | |||
Wireless 0.3% | ||||
Altice France SA(a) | ||||
05/01/2026 | 7.375% | 873,000 | 938,522 | |
02/01/2027 | 8.125% | 290,000 | 327,283 | |
01/15/2028 | 5.500% | 354,000 | 364,917 | |
Altice Luxembourg SA(a) | ||||
05/15/2027 | 10.500% | 404,000 | 463,428 | |
America Movil SAB de CV | ||||
03/30/2020 | 5.000% | 4,983,000 | 5,016,123 | |
SBA Communications Corp. | ||||
09/01/2024 | 4.875% | 931,000 | 968,469 |
68 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Columbia Variable Portfolio – Intermediate Bond Fund, December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Sprint Corp. | ||||
02/15/2025 | 7.625% | 1,682,000 | 1,850,120 | |
T-Mobile U.S.A., Inc. | ||||
01/15/2026 | 6.500% | 1,084,000 | 1,163,972 | |
02/01/2026 | 4.500% | 361,000 | 371,732 | |
04/15/2027 | 5.375% | 350,000 | 373,448 | |
02/01/2028 | 4.750% | 553,000 | 579,990 | |
Total | 12,418,004 | |||
Wirelines 1.3% | ||||
AT&T, Inc. | ||||
03/01/2029 | 4.350% | 28,403,000 | 31,547,867 | |
06/15/2045 | 4.350% | 7,200,000 | 7,774,365 | |
CenturyLink, Inc. | ||||
03/15/2022 | 5.800% | 960,000 | 1,011,106 | |
12/01/2023 | 6.750% | 552,000 | 616,215 | |
CenturyLink, Inc.(a) | ||||
12/15/2026 | 5.125% | 444,000 | 451,663 | |
Frontier Communications Corp.(a) | ||||
04/01/2026 | 8.500% | 287,000 | 290,773 | |
Telecom Italia Capital SA | ||||
09/30/2034 | 6.000% | 119,000 | 128,449 | |
Telecom Italia SpA(a) | ||||
05/30/2024 | 5.303% | 274,000 | 295,589 | |
Verizon Communications, Inc. | ||||
09/21/2028 | 4.329% | 3,565,000 | 4,047,610 | |
08/10/2033 | 4.500% | 11,250,000 | 13,154,251 | |
Zayo Group LLC/Capital, Inc.(a) | ||||
01/15/2027 | 5.750% | 963,000 | 982,593 | |
Total | 60,300,481 | |||
Total Corporate Bonds & Notes (Cost $946,142,991) | 1,016,369,564 | |||
Foreign Government Obligations(j),(k) 1.7% | ||||
Belarus 0.0% | ||||
Republic of Belarus International Bond(a) | ||||
02/28/2023 | 6.875% | 1,365,000 | 1,457,760 | |
Canada 0.0% | ||||
NOVA Chemicals Corp.(a) | ||||
06/01/2027 | 5.250% | 250,000 | 257,867 | |
Dominican Republic 0.0% | ||||
Dominican Republic International Bond(a) | ||||
01/25/2027 | 5.950% | 1,630,000 | 1,800,259 | |
Egypt 0.1% | ||||
Egypt Government International Bond(a) | ||||
01/31/2047 | 8.500% | 2,105,000 | 2,340,905 |
Foreign Government Obligations(j),(k) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Honduras 0.1% | ||||
Honduras Government International Bond(a) | ||||
03/15/2024 | 7.500% | 3,545,000 | 3,945,218 | |
03/15/2024 | 7.500% | 2,256,000 | 2,510,695 | |
Total | 6,455,913 | |||
Ivory Coast 0.4% | ||||
Ivory Coast Government International Bond(a) | ||||
03/03/2028 | 6.375% | 5,205,000 | 5,499,245 | |
10/17/2031 | 5.875% | EUR | 10,000,000 | 11,671,582 |
Total | 17,170,827 | |||
Morocco 0.3% | ||||
Morocco Government International Bond(a) | ||||
06/19/2024 | 3.500% | EUR | 9,400,000 | 11,995,447 |
Netherlands 0.0% | ||||
Equate Petrochemical BV(a) | ||||
03/03/2022 | 3.000% | 2,256,000 | 2,266,946 | |
Oman 0.0% | ||||
Oman Government International Bond(a) | ||||
06/15/2021 | 3.625% | 2,256,000 | 2,267,556 | |
Romania 0.3% | ||||
Romanian Government International Bond(a) | ||||
05/26/2028 | 2.875% | EUR | 9,400,000 | 11,902,599 |
Russian Federation 0.1% | ||||
Gazprom OAO Via Gaz Capital SA(a) | ||||
02/06/2028 | 4.950% | 2,740,000 | 3,055,500 | |
Senegal 0.0% | ||||
Senegal Government International Bond(a) | ||||
05/23/2033 | 6.250% | 1,775,000 | 1,866,800 | |
Ukraine 0.3% | ||||
Ukraine Government International Bond(a) | ||||
06/20/2026 | 6.750% | EUR | 9,600,000 | 12,087,740 |
09/25/2032 | 7.375% | 1,800,000 | 1,920,581 | |
Total | 14,008,321 | |||
United Arab Emirates 0.1% | ||||
Abu Dhabi National Energy Co. PJSC(a) | ||||
01/12/2023 | 3.625% | 2,256,000 | 2,320,634 | |
Total Foreign Government Obligations (Cost $77,198,615) | 79,167,334 | |||
Columbia Variable Portfolio Funds | Annual Report 2019 | 69 |
Columbia Variable Portfolio – Intermediate Bond Fund, December 31, 2019
Municipal Bonds 0.1% | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Local General Obligation 0.1% | ||||
City of Chicago | ||||
Unlimited Tax General Obligation Bonds | ||||
Series 2011-C1 | ||||
01/01/2035 | 7.781% | 905,000 | 1,130,227 | |
Series 2015B | ||||
01/01/2033 | 7.375% | 660,000 | 790,601 | |
Unlimited Tax General Obligation Refunding Bonds | ||||
Series 2014B | ||||
01/01/2044 | 6.314% | 2,195,000 | 2,495,057 | |
Total | 4,415,885 | |||
Water & Sewer 0.0% | ||||
City of Chicago Waterworks | ||||
Revenue Bonds | ||||
Build America Bonds | ||||
Series 2010 | ||||
11/01/2040 | 6.742% | 1,510,000 | 2,100,667 | |
Total Municipal Bonds (Cost $5,503,987) | 6,516,552 | |||
Residential Mortgage-Backed Securities - Agency 33.8% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal Home Loan Mortgage Corp. | ||||
08/01/2045- 01/01/2046 | 3.500% | 34,176,018 | 36,302,718 | |
10/01/2045 | 4.000% | 18,560,594 | 19,603,556 | |
04/01/2048 | 4.500% | 38,802,408 | 40,909,289 | |
Federal Home Loan Mortgage Corp.(b),(l) | ||||
CMO Series 3922 Class SH | ||||
-1.0 x 1-month USD LIBOR + 5.900% Cap 5.900% 09/15/2041 | 4.160% | 1,076,952 | 148,822 | |
CMO Series 4097 Class ST | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 08/15/2042 | 4.310% | 2,796,254 | 522,158 | |
CMO Series 4831 Class SD | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 10/15/2048 | 4.460% | 17,669,409 | 3,448,892 | |
CMO Series 4903 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 08/25/2049 | 4.258% | 52,714,960 | 9,808,425 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO STRIPS Series 2012-278 Class S1 | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 09/15/2042 | 4.310% | 6,465,828 | 1,101,054 | |
CMO STRIPS Series 309 Class S4 | ||||
-1.0 x 1-month USD LIBOR + 5.970% Cap 5.970% 08/15/2043 | 4.230% | 2,427,704 | 419,989 | |
Federal Home Loan Mortgage Corp.(l) | ||||
CMO Series 4176 Class BI | ||||
03/15/2043 | 3.500% | 2,787,963 | 422,486 | |
CMO Series 4182 Class DI | ||||
05/15/2039 | 3.500% | 5,957,828 | 342,601 | |
Federal Home Loan Mortgage Corp.(g),(l) | ||||
CMO Series 4620 Class AS | ||||
11/15/2042 | 2.297% | 2,694,507 | 143,989 | |
Federal National Mortgage Association | ||||
02/01/2027- 08/01/2029 | 3.000% | 15,415,685 | 15,858,492 | |
08/01/2034 | 5.500% | 829,805 | 933,987 | |
08/01/2041 | 4.500% | 1,728,510 | 1,881,428 | |
08/01/2043- 09/01/2049 | 3.500% | 137,088,201 | 142,318,439 | |
05/01/2044- 06/01/2048 | 4.000% | 112,942,036 | 118,699,478 | |
CMO Series 2017-72 Class B | ||||
09/25/2047 | 3.000% | 30,487,465 | 31,130,577 | |
Federal National Mortgage Association(m) | ||||
01/16/2035 | 2.500% | 41,500,000 | 41,879,336 | |
01/16/2035- 01/14/2050 | 3.000% | 517,000,000 | 525,054,921 | |
01/16/2035- 01/14/2050 | 3.500% | 97,000,000 | 99,847,461 | |
01/14/2050 | 4.500% | 50,000,000 | 52,642,578 | |
Federal National Mortgage Association(n) | ||||
08/01/2040- 06/01/2044 | 4.500% | 16,313,142 | 17,706,606 | |
06/01/2047 | 4.000% | 21,347,510 | 22,452,424 | |
Federal National Mortgage Association(l) | ||||
CMO Series 2012-131 Class MI | ||||
01/25/2040 | 3.500% | 4,774,267 | 510,858 | |
Federal National Mortgage Association(b),(l) | ||||
CMO Series 2013-101 Class CS | ||||
-1.0 x 1-month USD LIBOR + 5.900% Cap 5.900% 10/25/2043 | 4.108% | 4,105,948 | 877,318 |
70 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Columbia Variable Portfolio – Intermediate Bond Fund, December 31, 2019
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2014-93 Class ES | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 01/25/2045 | 4.358% | 5,227,198 | 1,121,648 | |
CMO Series 2016-31 Class VS | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 06/25/2046 | 4.208% | 3,392,299 | 660,746 | |
CMO Series 2016-53 Class KS | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 08/25/2046 | 4.208% | 16,910,720 | 3,428,807 | |
CMO Series 2016-57 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 08/25/2046 | 4.208% | 43,955,627 | 9,074,951 | |
CMO Series 2017-109 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 01/25/2048 | 4.358% | 18,598,878 | 4,170,884 | |
CMO Series 2017-20 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 04/25/2047 | 4.308% | 20,314,295 | 3,936,862 | |
CMO Series 2017-54 Class NS | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 07/25/2047 | 4.358% | 15,481,916 | 3,192,597 | |
CMO Series 2018-66 Class SM | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 09/25/2048 | 4.408% | 22,180,041 | 4,547,401 | |
CMO Series 2018-67 MS Class MS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 09/25/2048 | 4.408% | 19,912,210 | 3,780,528 | |
CMO Series 2018-74 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 10/25/2048 | 4.358% | 32,003,732 | 6,579,868 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2019-33 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 07/25/2049 | 4.258% | 55,641,076 | 10,971,575 | |
CMO Series 2019-42 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 08/25/2049 | 4.258% | 49,941,029 | 9,887,375 | |
CMO Series 2019-67 Class SE | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 11/25/2049 | 4.258% | 39,330,794 | 7,995,935 | |
Government National Mortgage Association | ||||
04/20/2048 | 4.500% | 45,659,041 | 48,117,147 | |
Government National Mortgage Association(m) | ||||
01/21/2050 | 3.500% | 149,000,000 | 153,557,305 | |
Government National Mortgage Association(l) | ||||
CMO Series 2014-184 Class CI | ||||
11/16/2041 | 3.500% | 5,455,087 | 773,786 | |
Government National Mortgage Association(b),(l) | ||||
CMO Series 2017-112 Class KS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 07/20/2047 | 4.435% | 19,247,717 | 3,787,306 | |
CMO Series 2017-130 Class HS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 08/20/2047 | 4.435% | 20,698,793 | 4,412,908 | |
CMO Series 2017-149 Class BS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 10/20/2047 | 4.435% | 29,964,594 | 6,502,425 | |
CMO Series 2017-163 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 11/20/2047 | 4.435% | 17,023,487 | 3,252,991 | |
CMO Series 2017-37 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 03/20/2047 | 4.385% | 19,759,865 | 3,549,304 |
Columbia Variable Portfolio Funds | Annual Report 2019 | 71 |
Columbia Variable Portfolio – Intermediate Bond Fund, December 31, 2019
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2018-103 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 08/20/2048 | 4.435% | 22,901,431 | 4,027,622 | |
CMO Series 2018-112 Class LS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 08/20/2048 | 4.435% | 22,724,052 | 4,671,506 | |
CMO Series 2018-121 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 09/20/2048 | 4.435% | 17,664,976 | 3,660,318 | |
CMO Series 2018-125 Class SK | ||||
-1.0 x 1-month USD LIBOR + 6.250% Cap 6.250% 09/20/2048 | 4.485% | 26,191,943 | 5,238,454 | |
CMO Series 2018-134 Class KS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 10/20/2048 | 4.435% | 21,973,523 | 3,961,545 | |
CMO Series 2018-139 Class SC | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 10/20/2048 | 4.385% | 20,215,066 | 3,469,920 | |
CMO Series 2018-148 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 01/20/2048 | 4.435% | 50,930,874 | 9,816,478 | |
CMO Series 2018-151 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 11/20/2048 | 4.385% | 43,254,665 | 8,100,690 | |
CMO Series 2018-155 Class SL | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 11/20/2048 | 4.385% | 26,269,963 | 4,028,578 | |
CMO Series 2018-89 Class MS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 06/20/2048 | 4.435% | 22,670,889 | 4,745,459 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2018-91 Class DS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 07/20/2048 | 4.435% | 26,677,094 | 4,444,609 | |
CMO Series 2018-97 Class SM | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 07/20/2048 | 4.435% | 29,272,237 | 5,394,156 | |
CMO Series 2019-20 Class JS | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 02/20/2049 | 4.235% | 36,593,726 | 7,387,329 | |
CMO Series 2019-4 Class SJ | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 01/20/2049 | 4.285% | 44,649,774 | 7,560,872 | |
CMO Series 2019-5 Class SH | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 01/20/2049 | 4.385% | 27,936,454 | 5,328,795 | |
CMO Series 2019-56 Class SG | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 05/20/2049 | 4.385% | 30,174,236 | 5,622,290 | |
CMO Series 2019-59 Class KS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 05/20/2049 | 4.285% | 31,353,017 | 5,662,016 | |
CMO Series 2019-85 Class SC | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 07/20/2049 | 4.385% | 29,071,896 | 4,554,659 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $1,540,648,835) | 1,575,945,527 | |||
Residential Mortgage-Backed Securities - Non-Agency 27.2% | ||||
Ajax Mortgage Loan Trust(a) | ||||
Series 2017-B Class A | ||||
09/25/2056 | 3.163% | 16,469,603 | 16,531,540 | |
Angel Oak Mortgage Trust I LLC(a),(c),(g) | ||||
CMO Series 2018-3 Class M1 | ||||
09/25/2048 | 4.421% | 10,544,000 | 10,830,797 |
72 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Columbia Variable Portfolio – Intermediate Bond Fund, December 31, 2019
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Angel Oak Mortgage Trust I LLC(a),(g) | ||||
CMO Series 2019-1 Class A1 | ||||
11/25/2048 | 3.920% | 22,810,661 | 23,069,028 | |
CMO Series 2019-2 Class A2 | ||||
03/25/2049 | 3.782% | 7,163,039 | 7,260,992 | |
CMO Series 2019-2 Class A3 | ||||
03/25/2049 | 3.833% | 5,956,632 | 6,037,967 | |
Angel Oak Mortgage Trust LLC(a),(g) | ||||
CMO Series 2017-3 Class A3 | ||||
11/25/2047 | 2.986% | 4,846,534 | 4,843,329 | |
Arroyo Mortgage Trust(a) | ||||
CMO Series 2018-1 Class A2 | ||||
04/25/2048 | 4.016% | 5,162,627 | 5,218,435 | |
Arroyo Mortgage Trust(a),(g) | ||||
CMO Series 2019-2 Class A3 | ||||
04/25/2049 | 3.800% | 12,501,041 | 12,598,625 | |
ASG Resecuritization Trust(a),(g) | ||||
CMO Series 2009-2 Class G75 | ||||
05/24/2036 | 3.517% | 2,312,013 | 2,315,109 | |
Bayview Opportunity Master Fund IIIb Trust(a),(g) | ||||
Series 2019-LT2 Class A1 | ||||
10/28/2034 | 3.376% | 5,192,430 | 5,196,142 | |
Bayview Opportunity Master Fund IVa Trust(a),(g) | ||||
CMO Series 2019-RN2 Class A1 | ||||
03/28/2034 | 3.967% | 1,738,829 | 1,740,615 | |
Bayview Opportunity Master Fund IVa Trust(a) | ||||
Subordinated CMO Series 2016-SPL1 Class B3 | ||||
04/28/2055 | 5.500% | 1,978,200 | 2,135,403 | |
BCAP LLC Trust(a),(g) | ||||
CMO Series 2010-RR11 Class 8A1 | ||||
05/27/2037 | 4.513% | 675,168 | 677,596 | |
Bellemeade Re Ltd.(a),(b) | ||||
CMO Series 2017-1 Class M2 | ||||
1-month USD LIBOR + 3.350% 10/25/2027 | 5.495% | 8,488,000 | 8,682,838 | |
CMO Series 2018-2A Class M1A | ||||
1-month USD LIBOR + 0.950% 08/25/2028 | 2.742% | 1,808,513 | 1,808,439 | |
CMO Series 2018-2A Class M1B | ||||
1-month USD LIBOR + 1.350% 08/25/2028 | 3.142% | 15,664,000 | 15,687,531 | |
CMO Series 2018-2A Class M1C | ||||
1-month USD LIBOR + 1.600% 08/25/2028 | 3.392% | 18,740,000 | 18,780,788 | |
CMO Series 2018-3A Class M1A | ||||
1-month USD LIBOR + 1.200% Floor 1.200% 10/25/2027 | 2.992% | 2,971,476 | 2,972,119 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2019-1A Class M1A | ||||
1-month USD LIBOR + 1.300% Floor 1.300% 03/25/2029 | 3.092% | 7,312,801 | 7,318,735 | |
CMO Series 2019-3A Class M1A | ||||
1-month USD LIBOR + 1.100% Floor 1.100% 07/25/2029 | 2.892% | 6,045,593 | 6,051,933 | |
CMO Series 2019-3A Class M1B | ||||
1-month USD LIBOR + 1.600% Floor 1.600% 07/25/2029 | 3.392% | 29,000,000 | 29,064,911 | |
Series 2019-4A Class M1A | ||||
1-month USD LIBOR + 1.400% Floor 1.400% 10/25/2029 | 3.314% | 10,057,000 | 10,059,061 | |
BRAVO Residential Funding Trust(a),(g) | ||||
CMO Series 2019-NQM2 Class A1 | ||||
11/25/2059 | 2.748% | 7,973,638 | 7,959,438 | |
CMO Series 2019-NQM2 Class A3 | ||||
11/25/2059 | 3.108% | 3,578,272 | 3,572,012 | |
CMO Series 2019-NQM2 Class M1 | ||||
11/25/2059 | 3.451% | 3,750,000 | 3,730,867 | |
Bunker Hill Loan Depositary Trust(a),(g) | ||||
CMO Series 2019-2 Class A1 | ||||
07/25/2049 | 2.880% | 12,791,791 | 12,707,698 | |
CMO Series 2019-3 Class A3 | ||||
11/25/2059 | 3.135% | 11,700,000 | 11,711,753 | |
CHL GMSR Issuer Trust(a),(b) | ||||
CMO Series 2018-GT1 Class A | ||||
1-month USD LIBOR + 1.000% 05/25/2023 | 4.542% | 14,900,000 | 14,942,914 | |
CIM Trust(a),(g) | ||||
CMO Series 2018-R4 Class A1 | ||||
12/26/2057 | 4.070% | 20,171,630 | 20,361,114 | |
CIM Trust(a),(b) | ||||
CMO Series 2018-R6 Class A1 | ||||
1-month USD LIBOR + 1.076% Floor 1.080% 09/25/2058 | 2.857% | 22,261,659 | 22,134,678 | |
Citigroup Mortgage Loan Trust, Inc.(a),(g) | ||||
CMO Series 2013-11 Class 3A3 | ||||
09/25/2034 | 4.152% | 331,650 | 331,723 | |
CMO Series 2014-12 Class 3A1 | ||||
10/25/2035 | 4.417% | 2,778,686 | 2,818,905 | |
CMO Series 2014-C Class A | ||||
02/25/2054 | 3.250% | 380,745 | 381,064 | |
CMO Series 2015-A Class A4 | ||||
06/25/2058 | 4.250% | 1,613,746 | 1,672,672 |
Columbia Variable Portfolio Funds | Annual Report 2019 | 73 |
Columbia Variable Portfolio – Intermediate Bond Fund, December 31, 2019
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2015-A Class B3 | ||||
06/25/2058 | 4.500% | 885,003 | 879,249 | |
CMO Series 2018-RP2 Class A1 | ||||
02/25/2058 | 3.500% | 8,381,462 | 8,305,751 | |
CMO Series 2019-IMC1 Class A3 | ||||
07/25/2049 | 3.030% | 9,331,619 | 9,301,065 | |
Citigroup Mortgage Loan Trust, Inc.(a),(l) | ||||
CMO Series 2015-A Class A1IO | ||||
06/25/2058 | 1.000% | 4,690,030 | 64,349 | |
Citigroup Mortgage Loan Trust, Inc.(a) | ||||
CMO Series 2015-RP2 Class A | ||||
01/25/2053 | 4.250% | 5,391,178 | 5,587,976 | |
CMO Series 2015-RP2 Class B3 | ||||
01/25/2053 | 4.250% | 3,588,921 | 3,680,300 | |
Subordinated CMO Series 2014-C Class B1 | ||||
02/25/2054 | 4.250% | 6,000,000 | 6,106,629 | |
COLT Mortgage Loan Trust(a) | ||||
CMO Series 2018-1 Class A2 | ||||
02/25/2048 | 2.981% | 867,414 | 864,857 | |
Connecticut Avenue Securities Trust(a),(b) | ||||
CMO Series 2019-HRP1 Class M2 | ||||
1-month USD LIBOR + 2.150% 11/25/2039 | 3.942% | 17,185,942 | 17,257,800 | |
Credit Suisse Mortgage Capital Certificates(a),(g) | ||||
CMO Series 2009-14R Class 4A9 | ||||
10/26/2035 | 4.681% | 1,503,803 | 1,520,893 | |
CMO Series 2011-12R Class 3A1 | ||||
07/27/2036 | 3.968% | 783,216 | 786,288 | |
CMO Series 2017-RPL3 Class A1 | ||||
08/01/2057 | 4.000% | 22,940,783 | 23,920,573 | |
Credit Suisse Mortgage Trust(a) | ||||
CMO Series 2018-RPL2 Class A1 | ||||
08/25/2062 | 4.030% | 5,427,896 | 5,426,723 | |
Deephaven Residential Mortgage Trust(a),(g) | ||||
CMO Series 2017-2A Class M1 | ||||
06/25/2047 | 3.897% | 500,000 | 505,152 | |
CMO Series 2018-4A Class M1 | ||||
10/25/2058 | 4.735% | 11,655,000 | 11,972,756 | |
Deephaven Residential Mortgage Trust(a) | ||||
CMO Series 2017-3A Class M1 | ||||
10/25/2047 | 3.511% | 846,000 | 845,845 | |
CMO Series 2018-1A Class M1 | ||||
12/25/2057 | 3.939% | 5,900,000 | 5,931,620 | |
Eagle RE Ltd.(a),(b) | ||||
CMO Series 2019-1 Class M1A | ||||
1-month USD LIBOR + 1.250% 04/25/2029 | 3.042% | 7,491,555 | 7,488,846 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Ellington Financial Mortgage Trust(a),(c),(g) | ||||
CMO Series 2018-1 Class A2 | ||||
10/25/2058 | 4.293% | 4,379,582 | 4,499,145 | |
Ellington Financial Mortgage Trust(a),(g) | ||||
CMO Series 2018-1 Class A3 | ||||
10/25/2058 | 4.394% | 5,050,483 | 5,089,641 | |
CMO Series 2019-2 Class M1 | ||||
11/25/2059 | 3.469% | 5,761,000 | 5,699,980 | |
FMC GMSR Issuer Trust(a),(g) | ||||
CMO Series 2019-GT1 Class A | ||||
05/25/2024 | 5.070% | 29,000,000 | 29,678,832 | |
GCAT LLC(a),(g) | ||||
CMO Series 2019-1 Class A1 | ||||
04/26/2049 | 4.089% | 8,126,057 | 8,146,424 | |
CMO Series 2019-2 Class A1 | ||||
06/25/2024 | 3.475% | 12,308,609 | 12,311,083 | |
CMO Series 2019-3 Class A1 | ||||
10/25/2049 | 3.352% | 10,138,253 | 10,126,812 | |
GCAT LLC(a) | ||||
CMO Series 2019-NQM1 Class A3 | ||||
02/25/2059 | 3.395% | 12,768,271 | 12,853,271 | |
GCAT Trust(a),(g) | ||||
CMO Series 2019-NQM2 Class A2 | ||||
09/25/2059 | 3.060% | 5,946,462 | 5,941,337 | |
CMO Series 2019-NQM3 Class A3 | ||||
11/25/2059 | 3.043% | 8,296,963 | 8,252,974 | |
Genworth Mortgage Insurance Corp.(a),(b) | ||||
CMO Series 2019-1 Class M1 | ||||
1-month USD LIBOR + 1.900% Floor 1.900% 11/26/2029 | 3.674% | 16,100,000 | 16,099,968 | |
Grand Avenue Mortgage Loan Trust(a) | ||||
CMO Series 2017-RPL1 Class A1 | ||||
08/25/2064 | 3.250% | 39,329,773 | 38,826,128 | |
Headlands Residential LLC(a) | ||||
CMO Series 2019-RPL1 | ||||
06/25/2024 | 3.967% | 15,000,000 | 15,100,509 | |
JPMorgan Resecuritization Trust(a) | ||||
CMO Series 2014-5 Class 6A | ||||
09/27/2036 | 4.000% | 315,304 | 317,002 | |
Legacy Mortgage Asset Trust(a) | ||||
CMO Series 2017-GS1 Class A1 | ||||
01/25/2057 | 3.500% | 9,563,007 | 9,572,539 | |
CMO Series 2017-GS1 Class A2 | ||||
01/25/2057 | 3.500% | 3,000,000 | 2,987,391 | |
CMO Series 2019-GS1 Class A1 | ||||
01/25/2059 | 4.000% | 10,359,088 | 10,456,401 |
74 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Columbia Variable Portfolio – Intermediate Bond Fund, December 31, 2019
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
LVII Resecuritization Trust(a),(g) | ||||
Subordinated CMO Series 2009-3 Class B3 | ||||
11/27/2037 | 4.821% | 14,500,000 | 14,797,099 | |
New Residential Mortgage LLC(a) | ||||
CMO Series 2018-FNT2 Class E | ||||
07/25/2054 | 5.120% | 7,032,565 | 7,028,170 | |
Subordinated CMO Series 2018-FNT1 Class D | ||||
05/25/2023 | 4.690% | 14,923,196 | 14,913,869 | |
Subordinated CMO Series 2018-FNT1 Class E | ||||
05/25/2023 | 4.890% | 6,273,025 | 6,302,723 | |
New Residential Mortgage Loan Trust(a) | ||||
CMO Series 2018-RPL1 Class A1 | ||||
12/25/2057 | 3.500% | 10,621,352 | 10,878,566 | |
NRZ Excess Spread-Collateralized Notes(a) | ||||
Series 2018-PLS1 Class A | ||||
01/25/2023 | 3.193% | 21,178,970 | 21,244,805 | |
Series 2018-PLS1 Class C | ||||
01/25/2023 | 3.981% | 13,870,734 | 13,925,562 | |
Subordinated CMO Series 2018-PLS1 Class B | ||||
01/25/2023 | 3.588% | 4,772,726 | 4,795,172 | |
Subordinated CMO Series 2018-PLS2 Class C | ||||
02/25/2023 | 4.102% | 9,202,700 | 9,273,133 | |
Subordinated CMO Series 2018-PLS2 Class D | ||||
02/25/2023 | 4.593% | 12,187,359 | 12,279,983 | |
Oaktown Re II Ltd.(a),(b) | ||||
CMO Series 2018-1A Class M1 | ||||
1-month USD LIBOR + 1.550% 07/25/2028 | 3.342% | 5,609,824 | 5,618,153 | |
Oaktown Re III Ltd.(a),(b) | ||||
CMO Series 2019-1A Class M1A | ||||
1-month USD LIBOR + 1.400% Floor 1.400% 07/25/2029 | 3.192% | 4,397,378 | 4,398,092 | |
CMO Series 2019-1A Class M1B | ||||
1-month USD LIBOR + 1.950% Floor 1.950% 07/25/2029 | 3.742% | 14,000,000 | 14,007,743 | |
PMT Credit Risk Transfer Trust(a),(b) | ||||
CMO Series 2019-1R Class A | ||||
1-month USD LIBOR + 2.000% Floor 2.000% 03/27/2024 | 3.700% | 22,645,990 | 22,626,928 | |
Series 2019-2R Class A | ||||
1-month USD LIBOR + 2.750% Floor 2.750% 05/27/2023 | 4.450% | 18,649,577 | 18,782,776 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
PNMAC GMSR Issuer Trust(a),(b) | ||||
CMO Series 2018-GT1 Class A | ||||
1-month USD LIBOR + 2.850% Floor 2.850% 02/25/2023 | 4.642% | 25,950,000 | 26,103,102 | |
CMO Series 2018-GT2 Class A | ||||
1-month USD LIBOR + 2.650% 08/25/2025 | 4.442% | 17,400,000 | 17,459,054 | |
Preston Ridge Partners Mortgage LLC(a),(g) | ||||
CMO Series 2017-3A Class A1 | ||||
11/25/2022 | 3.470% | 12,793,548 | 12,801,867 | |
CMO Series 2017-3A Class A2 | ||||
11/25/2022 | 5.000% | 6,000,000 | 5,985,620 | |
CMO Series 2018-1A Class A1 | ||||
04/25/2023 | 3.750% | 15,087,523 | 15,089,719 | |
CMO Series 2018-3A Class A1 | ||||
10/25/2023 | 4.483% | 26,019,675 | 26,263,433 | |
CMO Series 2019-1A Class A1 | ||||
01/25/2024 | 4.500% | 26,220,890 | 26,585,302 | |
Preston Ridge Partners Mortgage LLC(a) | ||||
CMO Series 2018-2A Class A1 | ||||
08/25/2023 | 4.000% | 15,144,346 | 15,195,849 | |
CMO Series 2019-2A Class A1 | ||||
04/25/2024 | 3.967% | 6,652,243 | 6,668,798 | |
Preston Ridge Partners Mortgage Trust(a),(g) | ||||
CMO Series 2019-4A Class A2 | ||||
11/25/2024 | 4.654% | 10,053,000 | 10,053,135 | |
PRPM LLC(a),(g) | ||||
CMO Series 2019-3A Class A1 | ||||
07/25/2024 | 3.351% | 34,975,219 | 34,870,042 | |
Radnor Re Ltd.(a),(b) | ||||
CMO Series 2019-1 Class M1B | ||||
1-month USD LIBOR + 1.950% Floor 1.950% 02/25/2029 | 3.742% | 9,400,000 | 9,396,121 | |
Radnor RE Ltd.(a),(b) | ||||
CMO Series 2019-2 Class M1B | ||||
1-month USD LIBOR + 1.750% Floor 1.750% 06/25/2029 | 3.542% | 10,000,000 | 10,005,210 | |
RBSSP Resecuritization Trust(a),(g) | ||||
CMO Series 2010-1 Class 3A2 | ||||
08/26/2035 | 4.609% | 1,542,785 | 1,561,042 | |
RCO Trust(a),(g) | ||||
CMO Series 2018-VFS1 Class A2 | ||||
12/26/2053 | 4.472% | 6,688,434 | 6,794,183 | |
RCO V Mortgage LLC(a),(g) | ||||
CMO Series 2018-2 Class A1 | ||||
10/25/2023 | 4.458% | 14,923,882 | 14,986,532 |
Columbia Variable Portfolio Funds | Annual Report 2019 | 75 |
Columbia Variable Portfolio – Intermediate Bond Fund, December 31, 2019
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2019-2 Class A1 | ||||
11/25/2024 | 3.475% | 24,462,586 | 24,432,069 | |
RCO V Mortgage LLC(a) | ||||
CMO Series 2019-1 Class A1 | ||||
05/24/2024 | 3.721% | 13,879,963 | 13,925,769 | |
Residential Mortgage Loan Trust(a),(g) | ||||
CMO Series 2019-3 Class A3 | ||||
09/25/2059 | 3.044% | 9,332,168 | 9,306,098 | |
SG Residential Mortgage Trust(a),(g) | ||||
CMO Series 2019-3 Class M1 | ||||
09/25/2059 | 3.526% | 7,700,000 | 7,655,403 | |
Toorak Mortgage Corp., Ltd.(g) | ||||
CMO Series 2019-2 Class A1 | ||||
09/25/2022 | 3.721% | 12,200,000 | 12,171,580 | |
Towd Point Mortgage Trust(a),(b) | ||||
CMO Series 2019-HY1 Class A1 | ||||
1-month USD LIBOR + 1.000% 10/25/2048 | 2.792% | 8,441,547 | 8,459,853 | |
Vericrest Opportunity Loan Transferee LXXII LLC(a) | ||||
CMO Series 2018-NPL8 Class A1B | ||||
10/26/2048 | 4.655% | 35,000,000 | 35,136,150 | |
Vericrest Opportunity Loan Transferee LXXV LLC(a) | ||||
CMO Series 2019-NPL1 Class A1A | ||||
01/25/2049 | 4.336% | 10,093,101 | 10,150,591 | |
Vericrest Opportunity Loan Trust(a),(g) | ||||
CMO Series 2019-NPL5 Class A1A | ||||
09/25/2049 | 3.352% | 16,254,041 | 16,223,199 | |
CMO Series 2019-NPL7 Class A1A | ||||
10/25/2049 | 3.179% | 7,393,786 | 7,365,324 | |
CMO Series 2019-NPL8 Class A1A | ||||
11/25/2049 | 3.278% | 18,135,213 | 18,091,353 | |
Vericrest Opportunity Loan Trust LXXXIV LLC(a),(g) | ||||
CMO Series 2019-NP10 Class A1A | ||||
12/27/2049 | 3.426% | 6,300,000 | 6,299,998 | |
Verus Securitization Trust(a),(g) | ||||
CMO Series 2017-2A Class A3 | ||||
07/25/2047 | 2.845% | 2,621,650 | 2,613,535 | |
CMO Series 2018-3 Class A3 | ||||
10/25/2058 | 4.282% | 7,208,113 | 7,256,580 | |
CMO Series 2019-1 Class A1 | ||||
02/25/2059 | 3.836% | 4,615,795 | 4,663,660 | |
CMO Series 2019-3 Class A3 | ||||
07/25/2059 | 3.040% | 9,288,873 | 9,301,985 | |
CMO Series 2019-4 Class A3 | ||||
11/25/2059 | 3.000% | 11,746,494 | 11,698,513 | |
CMO Series 2019-INV3 Class A3 | ||||
11/25/2059 | 3.100% | 9,023,006 | 9,023,437 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Verus Securitization Trust(a) | ||||
CMO Series 2017-SG1A Class A1 | ||||
11/25/2047 | 2.690% | 3,285,799 | 3,274,529 | |
Subordinated CMO Series 2017-SG1A Class B1 | ||||
11/25/2047 | 3.615% | 6,000,000 | 5,988,896 | |
Visio Trust(a),(g) | ||||
CMO Series 2019-1 Class A1 | ||||
06/25/2054 | 3.572% | 10,393,869 | 10,390,253 | |
CMO Series 2019-2 Class A3 | ||||
11/25/2054 | 3.076% | 7,981,496 | 7,949,082 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $1,264,411,495) | 1,269,682,520 | |||
Senior Loans 0.1% | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Construction Machinery 0.0% | ||||
Vertiv Group Corp.(b),(o) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 4.000% Floor 1.000% 11/30/2023 | 5.927% | 279,000 | 278,054 | |
Finance Companies 0.0% | ||||
Ellie Mae, Inc.(b),(o) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 4.000% 04/17/2026 | 5.945% | 360,097 | 361,675 | |
Food and Beverage 0.0% | ||||
8th Avenue Food & Provisions, Inc.(b),(o) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 3.750% 10/01/2025 | 5.486% | 274,476 | 275,390 | |
2nd Lien Term Loan | ||||
3-month USD LIBOR + 7.750% 10/01/2026 | 9.486% | 76,349 | 74,822 | |
Total | 350,212 | |||
Health Care 0.0% | ||||
Avantor Funding, Inc.(b),(o) | ||||
Tranche B2 Term Loan | ||||
3-month USD LIBOR + 3.000% Floor 1.000% 11/21/2024 | 4.799% | 20,894 | 21,068 |
76 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Columbia Variable Portfolio – Intermediate Bond Fund, December 31, 2019
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Metals and Mining 0.0% | ||||
Big River Steel LLC(b),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 5.000% Floor 1.000% 08/23/2023 | 6.945% | 327,268 | 326,449 | |
Property & Casualty 0.0% | ||||
HUB International Ltd.(b),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 2.750% 04/25/2025 | 4.690% | 182,225 | 181,984 | |
Retailers 0.0% | ||||
BellRing Brands LLC(b),(o) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 5.000% Floor 1.000% 10/10/2024 | 6.799% | 225,000 | 227,111 | |
Technology 0.1% | ||||
Ascend Learning LLC(b),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.000% Floor 1.000% 07/12/2024 | 4.799% | 208,808 | 209,984 | |
Dun & Bradstreet Corp. (The)(b),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 5.000% 02/06/2026 | 6.792% | 263,000 | 265,083 | |
Greeneden US Holdings I LLC/Genesys Telecommunications Laboratories, Inc.(b),(o) | ||||
Tranche B3 Term Loan | ||||
3-month USD LIBOR + 3.250% 12/01/2023 | 5.049% | 142,820 | 143,147 | |
Project Alpha Intermediate Holding, Inc.(b),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.500% Floor 1.000% 04/26/2024 | 5.490% | 72,762 | 72,808 | |
3-month USD LIBOR + 4.250% 04/26/2024 | 6.240% | 224,327 | 225,729 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Refinitiv US Holdings, Inc.(a),(b),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.250% 10/01/2025 | 5.049% | 677,907 | 683,669 | |
Ultimate Software Group, Inc. (The)(b),(o) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 3.750% 05/04/2026 | 5.549% | 165,585 | 166,542 | |
Total | 1,766,962 | |||
Total Senior Loans (Cost $3,455,818) | 3,513,515 | |||
U.S. Treasury Obligations 0.8% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
U.S. Treasury | ||||
08/15/2027 | 2.250% | 30,048,500 | 30,907,699 | |
08/15/2048 | 3.000% | 7,560,000 | 8,538,075 | |
Total U.S. Treasury Obligations (Cost $37,272,716) | 39,445,774 |
Money Market Funds 3.3% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(p),(q) | 151,580,790 | 151,565,631 |
Total Money Market Funds (Cost $151,569,498) | 151,565,631 | |
Total Investments in Securities (Cost: $5,392,985,335) | 5,507,670,215 | |
Other Assets & Liabilities, Net | (847,627,869) | |
Net Assets | 4,660,042,346 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
47,379,000 EUR | 52,669,529 USD | UBS | 01/10/2020 | — | (499,367) |
5,622,284 USD | 5,043,000 EUR | UBS | 01/10/2020 | 36,990 | — |
Total | 36,990 | (499,367) |
Columbia Variable Portfolio Funds | Annual Report 2019 | 77 |
Columbia Variable Portfolio – Intermediate Bond Fund, December 31, 2019
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 10-Year Note | 3,659 | 03/2020 | USD | 469,895,641 | — | (1,749,167) |
U.S. Treasury 2-Year Note | 2,319 | 03/2020 | USD | 499,744,500 | — | (222,155) |
U.S. Treasury 5-Year Note | 2,714 | 03/2020 | USD | 321,905,844 | — | (1,022,103) |
U.S. Ultra Bond 10-Year Note | 179 | 03/2020 | USD | 25,185,859 | — | (302,465) |
U.S. Ultra Treasury Bond | 731 | 03/2020 | USD | 132,790,719 | — | (4,004,658) |
Total | — | (7,300,548) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Long Gilt | (2,208) | 03/2020 | GBP | (290,087,040) | 1,092,443 | — |
Put option contracts written | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Premium received ($) | Value ($) |
2-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (693,600,000) | (693,600,000) | 1.60 | 01/22/2020 | (971,040) | (1,138,406) |
Credit default swap contracts - buy protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Pay fixed rate (%) | Payment frequency | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CMBX North America Index, Series 10 BBB- | Citi | 11/17/2059 | 3.000 | Monthly | USD | 8,000,000 | 16,250 | (4,667) | 337,951 | — | — | (326,368) |
Markit CMBX North America Index, Series 10 BBB- | Citi | 11/17/2059 | 3.000 | Monthly | USD | 10,500,000 | 21,328 | (6,125) | 400,259 | — | — | (385,056) |
Markit CMBX North America Index, Series 10 BBB- | Citi | 11/17/2059 | 3.000 | Monthly | USD | 17,000,000 | 34,530 | (9,916) | 697,191 | — | — | (672,577) |
Markit CMBX North America Index, Series 11 BBB- | Citi | 11/18/2054 | 3.000 | Monthly | USD | 13,000,000 | 182,813 | (7,583) | 735,251 | — | — | (560,021) |
Markit CMBX North America Index, Series 11 BBB- | Citi | 11/18/2054 | 3.000 | Monthly | USD | 18,000,000 | 253,125 | (10,500) | 1,005,200 | — | — | (762,575) |
Markit CMBX North America Index, Series 10 BBB- | Credit Suisse | 11/17/2059 | 3.000 | Monthly | USD | 17,000,000 | 34,530 | (9,916) | 970,894 | — | — | (946,280) |
Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | USD | 17,000,000 | 34,530 | (9,917) | 748,381 | — | — | (723,768) |
Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | USD | 17,000,000 | 34,530 | (9,917) | 990,592 | — | — | (965,979) |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | USD | 17,000,000 | 34,530 | (9,916) | 1,070,553 | — | — | (1,045,939) |
Total | 646,166 | (78,457) | 6,956,272 | — | — | (6,388,563) |
Cleared credit default swap contracts - buy protection | |||||||||||
Reference entity | Counterparty | Maturity date | Pay fixed rate (%) | Payment frequency | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America High Yield Index, Series 33 | Morgan Stanley | 12/20/2024 | 5.000 | Quarterly | USD | 275,671,440 | (7,224,093) | — | — | — | (7,224,093) |
78 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Columbia Variable Portfolio – Intermediate Bond Fund, December 31, 2019
(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. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At December 31, 2019, the total value of these securities amounted to $2,778,239,537, which represents 59.62% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of December 31, 2019. |
(c) | Valuation based on significant unobservable inputs. |
(d) | Represents shares owned in the residual interest of an asset-backed securitization. |
(e) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At December 31, 2019, the total value of these securities amounted to $3,898,548, which represents 0.08% of total net assets. |
(f) | Zero coupon bond. |
(g) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of December 31, 2019. |
(h) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of December 31, 2019. |
(i) | Payment-in-kind security. Interest can be paid by issuing additional par of the security or in cash. |
(j) | Principal amounts are denominated in United States Dollars unless otherwise noted. |
(k) | Principal and interest may not be guaranteed by a governmental entity. |
(l) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
(m) | Represents a security purchased on a when-issued basis. |
(n) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(o) | The stated interest rate represents the weighted average interest rate at December 31, 2019 of contracts within the senior loan facility. Interest rates on contracts are primarily determined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. These base lending rates are primarily the London Interbank Offered Rate (“LIBOR”) and other short-term rates. Base lending rates may be subject to a floor or minimum rate. The interest rate for senior loans purchased on a when-issued or delayed delivery basis will be determined upon settlement, therefore no interest rate is disclosed. Senior loans often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, cannot be predicted with accuracy. As a result, remaining maturities of senior loans may be less than the stated maturities. |
(p) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
(q) | As defined in the Investment Company Act of 1940, 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. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | ||||||||
105,738,835 | 1,656,989,027 | (1,611,147,072) | 151,580,790 | 18,696 | (3,867) | 3,352,558 | 151,565,631 |
CMO | Collateralized Mortgage Obligation |
STRIPS | Separate Trading of Registered Interest and Principal Securities |
EUR | Euro |
GBP | British Pound |
USD | US Dollar |
Columbia Variable Portfolio Funds | Annual Report 2019 | 79 |
Columbia Variable Portfolio – Intermediate Bond Fund, December 31, 2019
pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Asset-Backed Securities — Agency | — | 275,474 | — | 275,474 |
Asset-Backed Securities — Non-Agency | — | 856,396,172 | 36,278,926 | 892,675,098 |
Commercial Mortgage-Backed Securities - Agency | — | 87,843,543 | — | 87,843,543 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 384,669,683 | — | 384,669,683 |
Corporate Bonds & Notes | — | 1,016,369,564 | — | 1,016,369,564 |
Foreign Government Obligations | — | 79,167,334 | — | 79,167,334 |
Municipal Bonds | — | 6,516,552 | — | 6,516,552 |
Residential Mortgage-Backed Securities - Agency | — | 1,575,945,527 | — | 1,575,945,527 |
Residential Mortgage-Backed Securities - Non-Agency | — | 1,254,352,578 | 15,329,942 | 1,269,682,520 |
Senior Loans | — | 3,513,515 | — | 3,513,515 |
U.S. Treasury Obligations | 39,445,774 | — | — | 39,445,774 |
Money Market Funds | 151,565,631 | — | — | 151,565,631 |
Total Investments in Securities | 191,011,405 | 5,265,049,942 | 51,608,868 | 5,507,670,215 |
Investments in Derivatives | ||||
Asset | ||||
Forward Foreign Currency Exchange Contracts | — | 36,990 | — | 36,990 |
Futures Contracts | 1,092,443 | — | — | 1,092,443 |
Liability | ||||
Forward Foreign Currency Exchange Contracts | — | (499,367) | — | (499,367) |
Futures Contracts | (7,300,548) | — | — | (7,300,548) |
Options Contracts Written | — | (1,138,406) | — | (1,138,406) |
Swap Contracts | — | (13,612,656) | — | (13,612,656) |
Total | 184,803,300 | 5,249,836,503 | 51,608,868 | 5,486,248,671 |
80 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Columbia Variable Portfolio – Intermediate Bond Fund, December 31, 2019
The Fund’s assets assigned to the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets.
Balance as of 12/31/2018 ($) | Increase (decrease) in accrued discounts/ premiums ($) | Realized gain (loss) ($) | Change in unrealized appreciation (depreciation)(a) ($) | Purchases ($) | Sales ($) | Transfers into Level 3 ($) | Transfers out of Level 3 ($) | Balance as of 12/31/2019 ($) | |
Asset-Backed Securities — Non-Agency | 20,016,259 | — | (494,996) | (2,741,231) | 35,300,000 | (15,801,106) | — | — | 36,278,926 |
Residential Mortgage-Backed Securities — Non-Agency | 16,748,630 | — | 1 | 661,523 | — | (2,080,212) | — | — | 15,329,942 |
Total | 36,764,889 | — | (494,995) | (2,079,708) | 35,300,000 | (17,881,318) | — | — | 51,608,868 |
Columbia Variable Portfolio Funds | Annual Report 2019 | 81 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, December 31, 2019
Foreign Government Obligations(a),(b) 0.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Greece 0.0% | ||||
Hellenic Republic Government Bond(c) | ||||
10/15/2042 | 0.000% | EUR | 12,871,600 | 53,612 |
Total Foreign Government Obligations (Cost $562,882) | 53,612 | |||
Inflation-Indexed Bonds(a) 97.0% | ||||
Australia 1.3% | ||||
Australia Government Bond(d) | ||||
02/21/2022 | 1.250% | AUD | 449,580 | 327,085 |
09/20/2030 | 2.500% | AUD | 356,665 | 317,141 |
08/21/2035 | 2.000% | AUD | 230,130 | 206,902 |
08/21/2040 | 1.250% | AUD | 172,344 | 144,179 |
Australia Government Index-Linked Bond(d) | ||||
09/20/2025 | 3.000% | AUD | 539,121 | 448,042 |
Total | 1,443,349 | |||
Canada 2.0% | ||||
Canadian Government Real Return Bond | ||||
12/01/2021 | 4.250% | CAD | 271,303 | 224,580 |
12/01/2026 | 4.250% | CAD | 225,526 | 220,453 |
12/01/2031 | 4.000% | CAD | 306,438 | 336,608 |
12/01/2036 | 3.000% | CAD | 285,159 | 313,346 |
12/01/2041 | 2.000% | CAD | 368,463 | 377,906 |
12/01/2044 | 1.500% | CAD | 401,764 | 389,280 |
12/01/2047 | 1.250% | CAD | 260,368 | 247,130 |
12/01/2050 | 0.500% | CAD | 84,083 | 67,719 |
Total | 2,177,022 | |||
Denmark 0.3% | ||||
Denmark Government Bond | ||||
11/15/2023 | 0.100% | DKK | 1,687,153 | 270,291 |
France 9.4% | ||||
France Government Bond OAT(d) | ||||
07/25/2023 | 2.100% | EUR | 999,548 | 1,257,779 |
03/01/2025 | 0.100% | EUR | 390,465 | 466,187 |
07/25/2027 | 1.850% | EUR | 706,854 | 980,426 |
07/25/2029 | 3.400% | EUR | 338,590 | 549,216 |
07/25/2030 | 0.700% | EUR | 294,700 | 391,701 |
07/25/2032 | 3.150% | EUR | 532,041 | 921,769 |
07/25/2047 | 0.100% | EUR | 382,348 | 511,913 |
French Republic Government Bond OAT(d) | ||||
07/25/2022 | 1.100% | EUR | 1,474,409 | 1,766,203 |
07/25/2024 | 0.250% | EUR | 186,585 | 225,372 |
03/01/2028 | 0.100% | EUR | 478,170 | 585,335 |
03/01/2029 | 0.100% | EUR | 1,045,536 | 1,293,641 |
07/25/2036 | 0.100% | EUR | 376,800 | 484,374 |
Inflation-Indexed Bonds(a) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
07/25/2040 | 1.800% | EUR | 433,938 | 752,797 |
Total | 10,186,713 | |||
Germany 0.4% | ||||
Deutsche Bundesrepublik Inflation-Linked Bond(d) | ||||
04/15/2046 | 0.100% | EUR | 309,050 | 466,244 |
Italy 8.4% | ||||
Italy Buoni Poliennali Del Tesoro(d) | ||||
09/15/2021 | 2.100% | EUR | 318,394 | 375,185 |
05/15/2022 | 0.100% | EUR | 322,705 | 366,312 |
05/22/2023 | 0.450% | EUR | 170,489 | 192,859 |
09/15/2023 | 2.600% | EUR | 1,579,333 | 1,969,862 |
09/15/2026 | 3.100% | EUR | 662,277 | 892,848 |
05/15/2028 | 1.300% | EUR | 2,668,666 | 3,211,156 |
09/15/2032 | 1.250% | EUR | 718,181 | 862,602 |
09/15/2035 | 2.350% | EUR | 489,333 | 680,568 |
09/15/2041 | 2.550% | EUR | 416,228 | 596,654 |
Total | 9,148,046 | |||
Japan 6.8% | ||||
Japanese Government CPI-Linked Bond | ||||
09/10/2023 | 0.100% | JPY | 735,700 | 6,862 |
03/10/2024 | 0.100% | JPY | 104,500 | 977 |
09/10/2024 | 0.100% | JPY | 43,324,200 | 405,509 |
03/10/2025 | 0.100% | JPY | 119,426,800 | 1,119,471 |
03/10/2026 | 0.100% | JPY | 105,544,823 | 992,745 |
03/10/2027 | 0.100% | JPY | 215,582,400 | 2,036,673 |
03/10/2028 | 0.100% | JPY | 110,571,159 | 1,047,143 |
03/10/2029 | 0.100% | JPY | 183,547,728 | 1,735,806 |
Total | 7,345,186 | |||
New Zealand 1.1% | ||||
New Zealand Government Inflation-Linked Bond(d) | ||||
09/20/2030 | 3.000% | NZD | 577,498 | 486,717 |
09/20/2035 | 2.500% | NZD | 576,020 | 485,555 |
New Zealand Government Inflation-Linked Bond | ||||
09/20/2040 | 2.500% | NZD | 297,121 | 258,565 |
Total | 1,230,837 | |||
Spain 0.7% | ||||
Spain Government Inflation-Linked Bond | ||||
11/30/2023 | 0.150% | EUR | 200,991 | 236,750 |
Spain Government Inflation-Linked Bond(d) | ||||
11/30/2024 | 1.800% | EUR | 294,277 | 377,265 |
11/30/2033 | 0.700% | EUR | 132,963 | 174,042 |
Total | 788,057 |
82 | Columbia Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, December 31, 2019
Inflation-Indexed Bonds(a) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Sweden 0.9% | ||||
Sweden Inflation-Linked Bond | ||||
12/01/2020 | 4.000% | SEK | 13,710 | 1,541 |
06/01/2022 | 0.250% | SEK | 2,688,037 | 301,808 |
06/01/2025 | 1.000% | SEK | 3,208,500 | 397,465 |
12/01/2028 | 3.500% | SEK | 1,646,083 | 264,749 |
Total | 965,563 | |||
United Kingdom 23.2% | ||||
United Kingdom Gilt Inflation-Linked Bond(d) | ||||
03/22/2024 | 0.125% | GBP | 431,251 | 632,441 |
03/22/2026 | 0.125% | GBP | 314,868 | 485,867 |
11/22/2027 | 1.250% | GBP | 14,964 | 26,154 |
11/22/2032 | 1.250% | GBP | 448,039 | 909,062 |
03/22/2034 | 0.750% | GBP | 543,963 | 1,073,557 |
01/26/2035 | 2.000% | GBP | 633,205 | 1,440,782 |
11/22/2036 | 0.125% | GBP | 435,568 | 835,899 |
11/22/2037 | 1.125% | GBP | 646,155 | 1,453,617 |
03/22/2040 | 0.625% | GBP | 865,074 | 1,884,242 |
08/10/2041 | 0.125% | GBP | 77,771 | 159,790 |
11/22/2042 | 0.625% | GBP | 621,903 | 1,429,838 |
03/22/2044 | 0.125% | GBP | 742,704 | 1,582,955 |
03/22/2046 | 0.125% | GBP | 494,534 | 1,083,946 |
11/22/2047 | 0.750% | GBP | 606,736 | 1,553,515 |
08/10/2048 | 0.125% | GBP | 317,037 | 719,599 |
03/22/2050 | 0.500% | GBP | 567,932 | 1,434,204 |
03/22/2052 | 0.250% | GBP | 509,894 | 1,261,525 |
11/22/2055 | 1.250% | GBP | 539,402 | 1,784,716 |
11/22/2056 | 0.125% | GBP | 221,239 | 571,825 |
03/22/2058 | 0.125% | GBP | 388,129 | 1,018,930 |
03/22/2062 | 0.375% | GBP | 486,403 | 1,450,549 |
11/22/2065 | 0.125% | GBP | 293,261 | 871,053 |
03/22/2068 | 0.125% | GBP | 500,875 | 1,571,446 |
Total | 25,235,512 | |||
United States 42.5% | ||||
U.S. Treasury Inflation-Indexed Bond | ||||
01/15/2022 | 0.125% | 1,995,470 | 1,994,727 | |
04/15/2022 | 0.125% | 4,978,784 | 4,972,225 | |
07/15/2022 | 0.125% | 2,087,084 | 2,096,259 | |
01/15/2023 | 0.125% | 861,825 | 861,824 | |
04/15/2023 | 0.625% | 2,461,240 | 2,499,331 | |
07/15/2023 | 0.375% | 286,521 | 290,528 | |
01/15/2025 | 0.250% | 1,646,078 | 1,661,236 | |
07/15/2025 | 0.375% | 2,631,586 | 2,685,893 | |
01/15/2026 | 0.625% | 3,054,201 | 3,148,009 | |
01/15/2026 | 2.000% | 1,238,253 | 1,376,815 |
Inflation-Indexed Bonds(a) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
07/15/2026 | 0.125% | 1,353,822 | 1,358,414 | |
01/15/2027 | 0.375% | 683,315 | 693,799 | |
01/15/2027 | 2.375% | 1,518,571 | 1,752,345 | |
07/15/2027 | 0.375% | 1,167,753 | 1,191,146 | |
01/15/2028 | 0.500% | 1,188,214 | 1,219,250 | |
01/15/2028 | 1.750% | 687,904 | 772,572 | |
04/15/2028 | 3.625% | 65,236 | 83,456 | |
07/15/2028 | 0.750% | 1,664,957 | 1,752,177 | |
01/15/2029 | 2.500% | 662,243 | 798,242 | |
07/15/2029 | 0.250% | 1,046,313 | 1,056,751 | |
04/15/2032 | 3.375% | 175,431 | 241,062 | |
02/15/2040 | 2.125% | 902,513 | 1,181,137 | |
02/15/2041 | 2.125% | 1,163,389 | 1,535,163 | |
02/15/2042 | 0.750% | 1,285,818 | 1,337,616 | |
02/15/2043 | 0.625% | 1,253,650 | 1,269,886 | |
02/15/2044 | 1.375% | 303,658 | 358,478 | |
02/15/2045 | 0.750% | 1,081,921 | 1,123,807 | |
02/15/2047 | 0.875% | 554,367 | 594,733 | |
02/15/2048 | 1.000% | 975,757 | 1,081,036 | |
02/15/2049 | 1.000% | 357,941 | 398,019 | |
U.S. Treasury Inflation-Indexed Bond(e) | ||||
01/15/2029 | 0.875% | 4,625,141 | 4,912,974 | |
Total | 46,298,910 | |||
Total Inflation-Indexed Bonds (Cost $101,437,170) | 105,555,730 |
Options Purchased Calls 0.2% | |||||
Value ($) | |||||
(Cost $230,981) | 247,148 | ||||
Options Purchased Puts 0.2% | |||||
(Cost $265,172) | 167,004 |
Money Market Funds 1.0% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(f),(g) | 1,082,724 | 1,082,616 |
Total Money Market Funds (Cost $1,082,616) | 1,082,616 | |
Total Investments in Securities (Cost $103,578,821) | 107,106,110 | |
Other Assets & Liabilities, Net | 1,712,393 | |
Net Assets | $108,818,503 |
Columbia Variable Portfolio Funds | Annual Report 2019 | 83 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, December 31, 2019
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
176,000 AUD | 119,450 USD | Citi | 02/05/2020 | — | (4,164) |
97,350 EUR | 109,498 USD | Citi | 02/05/2020 | 71 | — |
3,043,024 GBP | 3,937,123 USD | Citi | 02/05/2020 | — | (97,568) |
276,729,000 JPY | 2,541,671 USD | Citi | 02/05/2020 | — | (9,947) |
1,509,000 NZD | 971,343 USD | Citi | 02/05/2020 | — | (45,025) |
227,000 SEK | 23,805 USD | Citi | 02/05/2020 | — | (471) |
53,344 USD | 69,165 CAD | Citi | 02/05/2020 | — | (72) |
1,274,642 USD | 983,086 GBP | Citi | 02/05/2020 | 28,814 | — |
775,940 USD | 585,156 GBP | Citi | 02/05/2020 | — | (92) |
160,000 AUD | 145,311 CAD | Citi | 03/18/2020 | — | (558) |
1,205,000 USD | 1,586,313 CAD | Citi | 03/18/2020 | 16,928 | — |
118,890,000 JPY | 1,095,750 USD | Deutsche Bank | 01/06/2020 | 1,367 | — |
1,875,000 AUD | 1,274,903 USD | Deutsche Bank | 02/05/2020 | — | (42,002) |
3,067,616 CAD | 2,313,387 USD | Deutsche Bank | 02/05/2020 | — | (49,349) |
1,751,471 DKK | 259,521 USD | Deutsche Bank | 02/05/2020 | — | (3,997) |
19,328,800 EUR | 21,384,360 USD | Deutsche Bank | 02/05/2020 | — | (342,439) |
17,770,879 GBP | 22,957,043 USD | Deutsche Bank | 02/05/2020 | — | (605,044) |
13,773,000 JPY | 127,403 USD | Deutsche Bank | 02/05/2020 | 407 | — |
489,873,248 JPY | 4,509,823 USD | Deutsche Bank | 02/05/2020 | — | (7,120) |
1,609,130 NZD | 1,036,085 USD | Deutsche Bank | 02/05/2020 | — | (47,725) |
8,882,503 SEK | 929,894 USD | Deutsche Bank | 02/05/2020 | — | (20,005) |
121,966 USD | 110,059 EUR | Deutsche Bank | 02/05/2020 | 1,748 | — |
20,407 USD | 15,462 GBP | Deutsche Bank | 02/05/2020 | 93 | — |
289,674 CAD | 220,000 USD | Deutsche Bank | 03/18/2020 | — | (3,135) |
112,144 USD | 100,000 EUR | Deutsche Bank | 03/18/2020 | 557 | — |
Total | 49,985 | (1,278,713) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Canadian Government 10-Year Bond | 27 | 03/2020 | CAD | 3,711,960 | — | (44,797) |
Euro-Bobl | 9 | 03/2020 | EUR | 1,202,670 | — | (6,739) |
Euro-Schatz | 44 | 03/2020 | EUR | 4,923,820 | — | (3,744) |
Long Gilt | 23 | 03/2020 | GBP | 3,021,740 | — | (34,617) |
U.S. Treasury 2-Year Note | 15 | 03/2020 | USD | 3,232,500 | 3,662 | — |
U.S. Treasury 2-Year Note | 42 | 03/2020 | USD | 9,051,000 | — | (5,575) |
U.S. Treasury 5-Year Note | 29 | 03/2020 | USD | 3,439,672 | — | (15,069) |
U.S. Ultra Treasury Bond | 2 | 03/2020 | USD | 363,313 | — | (1,628) |
Total | 3,662 | (112,169) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Euro-BTP | (16) | 03/2020 | EUR | (2,279,360) | — | (4,948) |
Euro-Bund | (7) | 03/2020 | EUR | (1,193,430) | 13,603 | — |
Japanese 10-Year Government Bond | (1) | 03/2020 | JPY | (152,180,000) | — | (2,071) |
U.S. Ultra Bond 10-Year Note | (39) | 03/2020 | USD | (5,487,422) | 71,622 | — |
U.S. Ultra Bond 10-Year Note | (3) | 03/2020 | USD | (422,109) | — | (379) |
Total | 85,225 | (7,398) |
84 | Columbia Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, December 31, 2019
Call option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | 605,000 | 605,000 | 1.63 | 03/12/2020 | 11,858 | 1,781 |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | 470,000 | 470,000 | 1.72 | 05/19/2020 | 7,978 | 3,765 |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | 400,000 | 400,000 | 1.46 | 08/16/2021 | 14,315 | 4,964 |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | 351,500 | 351,500 | 2.98 | 03/07/2024 | 16,113 | 31,257 |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | 350,000 | 350,000 | 2.95 | 03/12/2024 | 15,697 | 30,437 |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | 100,000 | 100,000 | 3.05 | 01/10/2029 | 5,675 | 9,080 |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | 100,000 | 100,000 | 3.04 | 01/11/2029 | 5,700 | 9,025 |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | 100,000 | 100,000 | 3.08 | 01/29/2029 | 5,687 | 9,241 |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | 370,000 | 370,000 | 3.08 | 12/06/2038 | 17,228 | 34,047 |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | 95,000 | 95,000 | 2.87 | 02/22/2039 | 4,719 | 7,879 |
1-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | 2,110,000 | 2,110,000 | 1.77 | 11/05/2024 | 12,438 | 9,686 |
1-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA | Deutsche Bank | USD | 4,154,000 | 4,154,000 | 2.10 | 05/13/2020 | 10,125 | 18,000 |
20-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 6-Month JPY LIBOR BBA | Deutsche Bank | JPY | 11,600,000 | 11,600,000 | 0.78 | 04/16/2021 | 3,626 | 8,653 |
2-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | 2,857,500 | 2,857,500 | 1.50 | 06/01/2020 | 9,413 | 4,728 |
2-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | 3,940,000 | 3,940,000 | 1.25 | 08/10/2020 | 22,318 | 4,417 |
2-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA | Deutsche Bank | USD | 3,890,000 | 3,890,000 | 1.20 | 09/23/2020 | 14,540 | 4,739 |
30-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | 317,000 | 317,000 | 1.60 | 06/11/2020 | 13,666 | 2,242 |
5-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | 970,000 | 970,000 | 2.52 | 02/26/2020 | 10,670 | 37,252 |
90-Day Euro$ Future | UBS | USD | 3,443,475 | 14 | 99.00 | 01/10/2020 | 2,429 | 88 |
90-Day Euro$ Future | UBS | USD | 10,823,450 | 44 | 99.75 | 12/13/2021 | 7,772 | 2,750 |
GBP Call/USD Put | Citi | GBP | 860,000 | 860,000 | 1.35 | 05/01/2020 | 19,014 | 13,117 |
Total | 230,981 | 247,148 |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | 605,000 | 605,000 | 1.63 | 03/12/2020 | 10,744 | 16,883 |
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | 470,000 | 470,000 | 1.72 | 05/19/2020 | 7,978 | 11,757 |
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | 1,180,000 | 1,180,000 | 2.35 | 07/13/2020 | 4,417 | 5,050 |
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | 400,000 | 400,000 | 1.46 | 08/16/2021 | 14,315 | 23,801 |
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | 390,000 | 390,000 | 2.25 | 08/02/2022 | 10,530 | 10,684 |
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | 390,000 | 390,000 | 2.25 | 08/08/2022 | 9,227 | 10,736 |
Columbia Variable Portfolio Funds | Annual Report 2019 | 85 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, December 31, 2019
Put option contracts purchased (continued) | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | 351,500 | 351,500 | 2.98 | 03/07/2024 | 16,093 | 5,942 |
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | 350,000 | 350,000 | 2.95 | 03/12/2024 | 15,698 | 6,155 |
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | 380,000 | 380,000 | 2.50 | 06/13/2024 | 16,763 | 11,897 |
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | 380,000 | 380,000 | 2.50 | 06/20/2024 | 15,708 | 11,939 |
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | 100,000 | 100,000 | 3.05 | 01/10/2029 | 5,675 | 3,032 |
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | 100,000 | 100,000 | 3.04 | 01/11/2029 | 5,700 | 3,061 |
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | 100,000 | 100,000 | 3.08 | 01/29/2029 | 5,688 | 2,966 |
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | 370,000 | 370,000 | 3.08 | 12/06/2038 | 17,228 | 12,874 |
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | 95,000 | 95,000 | 2.87 | 02/22/2039 | 4,606 | 3,762 |
10-Year OTC interest rate swap with Deutsche Bank to receive 6-Month JPY LIBOR BBA and pay exercise rate | Deutsche Bank | JPY | 197,935,000 | 197,935,000 | 1.10 | 06/29/2022 | 26,925 | 1,566 |
1-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | 2,110,000 | 2,110,000 | 1.77 | 11/05/2024 | 10,492 | 12,764 |
1-Year OTC interest rate swap with Deutsche Bank to receive 3-Month USD LIBOR BBA and pay exercise rate | Deutsche Bank | USD | 4,154,000 | 4,154,000 | 2.10 | 05/13/2020 | 10,125 | 49 |
20-Year OTC interest rate swap with Deutsche Bank to receive 6-Month JPY LIBOR BBA and pay exercise rate | Deutsche Bank | JPY | 11,600,000 | 11,600,000 | 0.78 | 04/16/2021 | 3,626 | 532 |
30-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | 470,000 | 470,000 | 2.85 | 05/09/2022 | 27,754 | 10,843 |
30-Year OTC interest rate swap with Deutsche Bank to receive 3-Month USD LIBOR BBA and pay exercise rate | UBS | USD | 390,000 | 390,000 | 3.80 | 06/07/2021 | 14,896 | 521 |
5-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | 970,000 | 970,000 | 2.52 | 02/26/2020 | 10,670 | 2 |
U.S. Treasury 10-Year Note | Mizuho | USD | 128,422 | 1 | 127.50 | 01/24/2020 | 314 | 188 |
Total | 265,172 | 167,004 |
Call option contracts written | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Premium received ($) | Value ($) |
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | (510,000) | (510,000) | 2.19 | 6/11/2020 | (11,194) | (15,933) |
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | (400,000) | (400,000) | 1.56 | 8/13/2020 | (9,710) | (2,840) |
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | (500,000) | (500,000) | 1.20 | 8/17/2020 | (9,350) | (1,261) |
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | (400,000) | (400,000) | 1.42 | 8/17/2020 | (10,400) | (1,947) |
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | (500,000) | (500,000) | 1.25 | 8/19/2020 | (8,675) | (1,495) |
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | (240,000) | (240,000) | 1.61 | 9/14/2020 | (5,964) | (2,176) |
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | (480,000) | (480,000) | 1.76 | 9/16/2020 | (12,072) | (6,417) |
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | (240,000) | (240,000) | 1.63 | 11/02/2020 | (5,856) | (2,588) |
86 | Columbia Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, December 31, 2019
Call option contracts written (continued) | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Premium received ($) | Value ($) |
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | (240,000) | (240,000) | 1.64 | 11/02/2020 | (5,790) | (2,681) |
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | (527,000) | (527,000) | 2.78 | 3/08/2021 | (16,199) | (41,401) |
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | (280,000) | (280,000) | 3.05 | 3/12/2029 | (14,854) | (25,376) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (247,500) | (247,500) | 2.04 | 7/06/2020 | (5,408) | (5,611) |
1-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | (4,670,000) | (4,670,000) | 1.76 | 6/10/2020 | (13,426) | (7,757) |
1-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | (390,000) | (390,000) | 1.32 | 8/05/2020 | (1,170) | (195) |
1-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | (2,110,000) | (2,110,000) | 1.58 | 11/05/2020 | (5,664) | (3,583) |
2-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | (2,340,000) | (2,340,000) | 2.46 | 2/26/2020 | (10,314) | (37,184) |
2-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | (7,870,000) | (7,870,000) | 0.75 | 8/10/2020 | (18,318) | (1,775) |
2-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | (1,107,500) | (1,107,500) | 1.53 | 12/11/2020 | (5,385) | (3,966) |
2-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | (1,110,000) | (1,110,000) | 1.53 | 12/14/2020 | (5,328) | (3,988) |
2-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (5,715,000) | (5,715,000) | 1.00 | 6/01/2020 | (8,555) | (1,366) |
2-Year OTC interest rate swap with Deutsche Bank to receive 3-Month USD LIBOR BBA and pay exercise rate | Deutsche Bank | USD | (9,230,000) | (9,230,000) | 2.40 | 2/24/2020 | (28,152) | (135,516) |
2-Year OTC interest rate swap with Deutsche Bank to receive 3-Month USD LIBOR BBA and pay exercise rate | Deutsche Bank | USD | (1,850,000) | (1,850,000) | 2.88 | 4/14/2020 | (13,389) | (44,979) |
2-Year OTC interest rate swap with Deutsche Bank to receive 3-Month USD LIBOR BBA and pay exercise rate | Deutsche Bank | USD | (1,850,000) | (1,850,000) | 2.89 | 4/14/2020 | (13,343) | (45,342) |
2-Year OTC interest rate swap with Deutsche Bank to receive 3-Month USD LIBOR BBA and pay exercise rate | Deutsche Bank | USD | (1,820,000) | (1,820,000) | 2.94 | 4/17/2020 | (12,649) | (46,225) |
2-Year OTC interest rate swap with Deutsche Bank to receive 3-Month USD LIBOR BBA and pay exercise rate | Deutsche Bank | USD | (7,780,000) | (7,780,000) | 0.70 | 9/23/2020 | (11,540) | (2,185) |
30-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | (80,000) | (80,000) | 1.91 | 11/27/2026 | (10,500) | (7,244) |
5-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | EUR | (247,500) | (247,500) | (0.12) | 9/12/2022 | (3,683) | (1,861) |
5-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | EUR | (250,000) | (250,000) | (0.04) | 9/13/2022 | (3,974) | (2,262) |
90-Day Euro$ Future | UBS | USD | (3,443,475) | (14) | 99.38 | 1/10/2020 | (765) | (88) |
90-Day Euro$ Future | UBS | USD | (5,411,725) | (22) | 99.38 | 12/13/2021 | (9,589) | (3,849) |
GBP Call/USD Put | Deutsche Bank | GBP | (860,000) | (860,000) | 1.35 | 5/01/2020 | (10,977) | (13,116) |
Total | (302,193) | (472,207) |
Columbia Variable Portfolio Funds | Annual Report 2019 | 87 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, December 31, 2019
Put option contracts written | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Premium received ($) | Value ($) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (510,000) | (510,000) | 2.19 | 06/11/2020 | (11,194) | (3,234) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (380,000) | (380,000) | 2.30 | 06/15/2020 | (5,784) | (1,604) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (247,500) | (247,500) | 2.04 | 07/06/2020 | (5,408) | (2,920) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (270,000) | (270,000) | 2.35 | 07/10/2020 | (2,862) | (1,145) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (390,000) | (390,000) | 1.95 | 07/13/2020 | (4,184) | (6,066) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (380,000) | (380,000) | 2.30 | 07/24/2020 | (4,826) | (2,097) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (210,000) | (210,000) | 2.00 | 08/03/2020 | (3,190) | (3,035) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (190,000) | (190,000) | 1.75 | 08/07/2020 | (3,000) | (5,196) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (400,000) | (400,000) | 1.56 | 08/13/2020 | (10,196) | (16,129) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (500,000) | (500,000) | 1.60 | 08/17/2020 | (9,350) | (18,722) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (400,000) | (400,000) | 1.42 | 08/17/2020 | (10,400) | (20,269) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (500,000) | (500,000) | 1.65 | 08/19/2020 | (8,675) | (17,083) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (240,000) | (240,000) | 1.61 | 09/14/2020 | (5,964) | (9,089) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (480,000) | (480,000) | 1.76 | 09/16/2020 | (12,072) | (13,587) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (240,000) | (240,000) | 1.64 | 11/02/2020 | (5,790) | (9,093) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (240,000) | (240,000) | 1.63 | 11/02/2020 | (5,856) | (9,328) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (527,000) | (527,000) | 2.78 | 03/08/2021 | (16,357) | (2,138) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (1,020,000) | (1,020,000) | 2.75 | 05/09/2022 | (30,054) | (11,807) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (390,000) | (390,000) | 3.25 | 08/02/2022 | (2,574) | (2,252) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (390,000) | (390,000) | 2.75 | 08/02/2022 | (5,343) | (5,079) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (390,000) | (390,000) | 3.25 | 08/08/2022 | (2,309) | (2,276) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (390,000) | (390,000) | 2.75 | 08/08/2022 | (4,719) | (5,117) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (380,000) | (380,000) | 3.50 | 06/13/2024 | (6,286) | (3,661) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (380,000) | (380,000) | 3.00 | 06/13/2024 | (10,477) | (6,733) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (380,000) | (380,000) | 3.50 | 06/20/2024 | (5,680) | (3,685) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (380,000) | (380,000) | 3.00 | 06/20/2024 | (9,428) | (6,766) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (400,000) | (400,000) | 2.25 | 08/20/2024 | (12,000) | (16,653) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (280,000) | (280,000) | 3.05 | 03/12/2029 | (14,854) | (8,595) |
88 | Columbia Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, December 31, 2019
Put option contracts written (continued) | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Premium received ($) | Value ($) |
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA | Deutsche Bank | USD | (270,000) | (270,000) | 2.35 | 07/10/2020 | (2,687) | (1,145) |
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA | Deutsche Bank | USD | (820,000) | (820,000) | 3.87 | 06/07/2021 | (15,878) | (386) |
1-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (4,615,000) | (4,615,000) | 2.33 | 04/06/2020 | (9,853) | — |
1-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (4,615,000) | (4,615,000) | 2.31 | 04/06/2020 | (9,836) | — |
1-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (4,670,000) | (4,670,000) | 1.76 | 06/10/2020 | (13,426) | (2,713) |
1-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (390,000) | (390,000) | 1.32 | 08/05/2020 | (1,170) | (1,378) |
1-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (2,110,000) | (2,110,000) | 1.58 | 11/05/2020 | (4,566) | (4,115) |
1-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (4,450,000) | (4,450,000) | 2.35 | 05/17/2021 | (8,822) | (1,296) |
1-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (6,070,000) | (6,070,000) | 2.15 | 05/27/2021 | (16,996) | (3,832) |
1-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (7,510,000) | (7,510,000) | 2.40 | 06/01/2021 | (13,518) | (2,011) |
2-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (920,000) | (920,000) | 2.80 | 01/03/2020 | (2,100) | — |
2-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | EUR | (1,050,000) | (1,050,000) | 0.20 | 01/23/2020 | (1,279) | — |
2-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (2,340,000) | (2,340,000) | 2.46 | 02/26/2020 | (10,314) | — |
2-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (2,270,000) | (2,270,000) | 2.00 | 11/27/2020 | (2,850) | (3,014) |
2-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (1,107,500) | (1,107,500) | 1.53 | 12/11/2020 | (5,385) | (5,988) |
2-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (1,110,000) | (1,110,000) | 1.53 | 12/14/2020 | (5,328) | (6,016) |
2-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (1,490,000) | (1,490,000) | 3.25 | 12/29/2020 | (5,439) | (10) |
2-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | EUR | (2,790,000) | (2,790,000) | 0.12 | 04/08/2021 | (10,607) | (1,975) |
2-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | EUR | (1,400,000) | (1,400,000) | 0.16 | 04/12/2021 | (4,785) | (855) |
2-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | EUR | (908,800) | (908,800) | 0.11 | 05/28/2021 | (2,588) | (883) |
2-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | EUR | (940,000) | (940,000) | 0.05 | 06/10/2021 | (2,420) | (1,228) |
2-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | EUR | (420,000) | (420,000) | 0.00 | 06/14/2021 | (1,155) | (677) |
2-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | EUR | (420,000) | (420,000) | 0.00 | 06/18/2021 | (987) | (692) |
2-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | EUR | (610,000) | (610,000) | 0.08 | 06/28/2021 | (1,793) | (668) |
2-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | EUR | (490,000) | (490,000) | 0.00 | 07/01/2021 | (996) | (850) |
2-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | EUR | (500,000) | (500,000) | 0.00 | 07/19/2021 | (915) | (930) |
2-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | EUR | (640,000) | (640,000) | (0.15) | 08/09/2021 | (896) | (2,186) |
2-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | EUR | (1,140,000) | (1,140,000) | (0.15) | 08/09/2021 | (1,686) | (3,894) |
Columbia Variable Portfolio Funds | Annual Report 2019 | 89 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, December 31, 2019
Put option contracts written (continued) | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Premium received ($) | Value ($) |
2-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | EUR | (2,060,000) | (2,060,000) | (0.25) | 09/03/2021 | (3,502) | (10,282) |
2-Year OTC interest rate swap with Citi to receive exercise rate and pay 6-Month EURIBOR | Citi | EUR | (1,830,000) | (1,830,000) | 0.60 | 12/14/2020 | (7,018) | (105) |
2-Year OTC interest rate swap with Citi to receive exercise rate and pay 6-Month EURIBOR | Citi | EUR | (850,000) | (850,000) | 0.55 | 12/21/2020 | (3,083) | (61) |
2-Year OTC interest rate swap with Citi to receive exercise rate and pay 6-Month EURIBOR | Citi | EUR | (1,810,000) | (1,810,000) | 0.10 | 03/29/2021 | (6,703) | (1,320) |
2-Year OTC interest rate swap with Citi to receive exercise rate and pay 6-Month EURIBOR | Citi | EUR | (1,400,000) | (1,400,000) | 0.10 | 04/12/2021 | (4,670) | (1,095) |
2-Year OTC interest rate swap with Citi to receive exercise rate and pay 6-Month EURIBOR | Citi | EUR | (1,380,000) | (1,380,000) | 0.15 | 04/19/2021 | (5,021) | (916) |
2-Year OTC interest rate swap with Citi to receive exercise rate and pay 6-Month EURIBOR | Citi | EUR | (410,000) | (410,000) | 0.00 | 06/14/2021 | (1,134) | (661) |
2-Year OTC interest rate swap with Citi to receive exercise rate and pay 6-Month EURIBOR | Citi | EUR | (500,000) | (500,000) | 0.00 | 06/21/2021 | (1,218) | (828) |
2-Year OTC interest rate swap with Citi to receive exercise rate and pay 6-Month EURIBOR | Citi | EUR | (460,000) | (460,000) | 0.00 | 06/25/2021 | (1,082) | (779) |
2-Year OTC interest rate swap with Citi to receive exercise rate and pay 6-Month EURIBOR | Citi | EUR | (480,000) | (480,000) | (0.05) | 07/02/2021 | (1,002) | (1,014) |
2-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA | Deutsche Bank | USD | (12,100,000) | (12,100,000) | 3.40 | 02/24/2020 | (45,980) | (1) |
2-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA | Deutsche Bank | USD | (1,850,000) | (1,850,000) | 2.88 | 04/14/2020 | (13,389) | — |
2-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA | Deutsche Bank | USD | (1,850,000) | (1,850,000) | 2.89 | 04/14/2020 | (13,343) | — |
2-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA | Deutsche Bank | USD | (1,820,000) | (1,820,000) | 2.94 | 04/17/2020 | (12,649) | — |
2-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA | Deutsche Bank | USD | (1,000,000) | (1,000,000) | 3.15 | 05/05/2020 | (5,500) | — |
2-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA | Deutsche Bank | USD | (1,340,000) | (1,340,000) | 3.35 | 05/29/2020 | (4,874) | — |
2-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA | Deutsche Bank | USD | (950,000) | (950,000) | 2.90 | 05/29/2020 | (6,983) | — |
2-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA | Deutsche Bank | USD | (1,330,000) | (1,330,000) | 3.45 | 06/08/2020 | (5,553) | — |
2-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA | Deutsche Bank | USD | (850,000) | (850,000) | 3.50 | 06/15/2020 | (3,124) | — |
30-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (380,000) | (380,000) | 2.85 | 06/11/2020 | (4,548) | (810) |
30-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (80,000) | (80,000) | 1.91 | 11/27/2026 | (10,500) | (11,487) |
5-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | EUR | (247,500) | (247,500) | (0.12) | 09/12/2022 | (3,683) | (6,753) |
90 | Columbia Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, December 31, 2019
Put option contracts written (continued) | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Premium received ($) | Value ($) |
5-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | EUR | (250,000) | (250,000) | (0.04) | 09/13/2022 | (3,974) | (6,072) |
5-Year OTC interest rate swap with Citi to receive exercise rate and pay 6-Month EURIBOR | Citi | EUR | (700,000) | (700,000) | 0.00 | 07/27/2020 | (2,262) | (3,186) |
Total | (557,902) | (305,471) |
Cleared interest rate swap contracts | |||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Fixed rate of 1.775% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 05/19/2020 | USD | 585,000 | (429) | — | — | — | (429) |
Fixed rate of 1.528% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 11/22/2020 | USD | 1,120,000 | (2,880) | — | — | — | (2,880) |
3-Month USD LIBOR | Fixed rate of 1.560% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 03/27/2021 | USD | 2,120,000 | 2,724 | — | — | 2,724 | — |
3-Month USD LIBOR | Fixed rate of 1.560% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 03/30/2021 | USD | 450,000 | 571 | — | — | 571 | — |
3-Month USD LIBOR | Fixed rate of 1.770% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 06/15/2021 | USD | 1,820,000 | (2,151) | — | — | — | (2,151) |
Fixed rate of 2.014% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 07/02/2021 | USD | 245,000 | 2,237 | — | — | 2,237 | — |
Fixed rate of 1.926% | 3-Month CAD Canada Bankers’ Acceptances | Receives SemiAnnually, Pays SemiAnnually | Goldman Sachs | 10/18/2021 | CAD | 3,780,000 | (5,777) | — | — | — | (5,777) |
3-Month USD LIBOR | Fixed rate of 1.624% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 10/22/2021 | USD | 2,875,000 | 5,111 | — | — | 5,111 | — |
Fixed rate of 2.318% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 10/25/2021 | USD | 1,560,000 | 18,678 | — | — | 18,678 | — |
Fixed rate of 2.314% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 11/04/2021 | USD | 270,000 | 3,238 | — | — | 3,238 | — |
Fixed rate of 2.173% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 11/18/2021 | USD | 340,000 | 3,182 | — | — | 3,182 | — |
Fixed rate of 2.120% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 11/26/2021 | USD | 370,000 | 3,079 | — | — | 3,079 | — |
Fixed rate of 1.961% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 12/03/2021 | USD | 700,000 | 3,687 | — | — | 3,687 | — |
Fixed rate of 2.001% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 12/03/2021 | USD | 360,000 | 2,176 | — | — | 2,176 | — |
1-Day Overnight Fed Funds Effective Rate | Fixed rate of 1.305% | Receives Annually, Pays Annually | Goldman Sachs | 12/15/2021 | USD | 6,180,000 | 12,714 | — | — | 12,714 | — |
1-Day Overnight Fed Funds Effective Rate | Fixed rate of 1.411% | Receives Annually, Pays Annually | Goldman Sachs | 12/15/2021 | USD | 2,750,000 | 560 | — | — | 560 | — |
6-Month EURIBOR | Fixed rate of -0.450% | Receives SemiAnnually, Pays Annually | Goldman Sachs | 12/16/2021 | EUR | 495,000 | 944 | — | — | 944 | — |
Fixed rate of 1.585% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 12/24/2021 | USD | 190,000 | (395) | — | — | — | (395) |
Fixed rate of 1.632% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 01/07/2022 | USD | 300,000 | (284) | — | — | — | (284) |
Fixed rate of 2.526% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 02/07/2022 | USD | 6,090,000 | 106,711 | — | — | 106,711 | — |
Fixed rate of 1.405% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 02/10/2022 | USD | 200,000 | (998) | — | — | — | (998) |
Columbia Variable Portfolio Funds | Annual Report 2019 | 91 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, December 31, 2019
Cleared interest rate swap contracts (continued) | |||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Fixed rate of 2.460% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 03/10/2022 | USD | 280,000 | 4,446 | — | — | 4,446 | — |
Fixed rate of 2.434% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 03/23/2022 | USD | 375,000 | 5,783 | — | — | 5,783 | — |
Fixed rate of 2.431% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 03/23/2022 | USD | 375,000 | 5,761 | — | — | 5,761 | — |
Fixed rate of 2.230% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 03/24/2022 | USD | 570,000 | 6,516 | — | — | 6,516 | — |
Fixed rate of 2.247% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 03/24/2022 | USD | 360,000 | 4,239 | — | — | 4,239 | — |
Fixed rate of 2.033% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 03/30/2022 | USD | 1,890,000 | 14,391 | — | — | 14,391 | — |
Fixed rate of 2.155% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 03/30/2022 | USD | 340,000 | 3,396 | — | — | 3,396 | — |
Fixed rate of 2.187% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 03/31/2022 | USD | 310,000 | 3,295 | — | — | 3,295 | — |
Fixed rate of 2.056% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 03/31/2022 | USD | 180,000 | 1,450 | — | — | 1,450 | — |
Fixed rate of 2.244% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 04/06/2022 | USD | 320,000 | 3,762 | — | — | 3,762 | — |
Fixed rate of 2.210% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 04/15/2022 | USD | 370,000 | 4,140 | — | — | 4,140 | — |
3-Month USD LIBOR | Fixed rate of 1.870% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 06/02/2022 | USD | 2,330,000 | (6,008) | — | — | — | (6,008) |
Fixed rate of 1.744% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 06/16/2022 | USD | 750,000 | 1,670 | — | — | 1,670 | — |
Fixed rate of 1.713% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 07/13/2022 | USD | 3,750,000 | 3,589 | — | — | 3,589 | — |
3-Month USD LIBOR | Fixed rate of 1.741% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 07/14/2022 | USD | 1,260,000 | (2,842) | — | — | — | (2,842) |
3-Month USD LIBOR | Fixed rate of 1.455% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 12/01/2022 | USD | 470,000 | 1,524 | — | — | 1,524 | — |
3-Month USD LIBOR | Fixed rate of 1.656% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 12/22/2022 | USD | 265,000 | (163) | — | — | — | (163) |
3-Month USD LIBOR | Fixed rate of 1.660% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 12/22/2022 | USD | 265,000 | (184) | — | — | — | (184) |
6-Month EURIBOR | Fixed rate of 0.098% | Receives SemiAnnually, Pays Annually | Goldman Sachs | 04/12/2023 | EUR | 1,310,000 | (7,830) | — | — | — | (7,830) |
3-Month USD LIBOR | Fixed rate of 1.771% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 07/12/2023 | USD | 3,810,000 | (2,362) | — | — | — | (2,362) |
6-Month EURIBOR | Fixed rate of -0.300% | Receives SemiAnnually, Pays Annually | Goldman Sachs | 07/25/2023 | EUR | 1,340,000 | 5,217 | — | — | 5,217 | — |
Fixed rate of -0.454% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | Goldman Sachs | 08/11/2023 | EUR | 160,000 | (1,211) | — | — | — | (1,211) |
Fixed rate of -0.577% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | Goldman Sachs | 08/17/2023 | EUR | 160,000 | (1,665) | — | — | — | (1,665) |
Fixed rate of -0.433% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | Goldman Sachs | 09/14/2023 | EUR | 130,000 | (959) | — | — | — | (959) |
Fixed rate of -0.450% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | Goldman Sachs | 09/28/2023 | EUR | 280,000 | (2,205) | — | — | — | (2,205) |
Fixed rate of -0.436% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | Goldman Sachs | 10/06/2023 | EUR | 130,000 | (991) | — | — | — | (991) |
3-Month USD LIBOR | Fixed rate of 1.546% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 10/26/2023 | USD | 470,000 | 1,236 | — | — | 1,236 | — |
3-Month USD LIBOR | Fixed rate of 1.582% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 11/01/2023 | USD | 290,000 | 571 | — | — | 571 | — |
92 | Columbia Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, December 31, 2019
Cleared interest rate swap contracts (continued) | |||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
3-Month USD LIBOR | Fixed rate of 1.606% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 11/01/2023 | USD | 290,000 | 441 | — | — | 441 | — |
6-Month EURIBOR | Fixed rate of -0.167% | Receives SemiAnnually, Pays Annually | Goldman Sachs | 12/13/2023 | EUR | 460,000 | 946 | — | — | 946 | — |
6-Month EURIBOR | Fixed rate of -0.115% | Receives SemiAnnually, Pays Annually | Goldman Sachs | 12/27/2023 | EUR | 380,000 | 382 | — | — | 382 | — |
6-Month EURIBOR | Fixed rate of -0.056% | Receives SemiAnnually, Pays Annually | Goldman Sachs | 01/03/2024 | EUR | 240,000 | (65) | — | — | — | (65) |
6-Month EURIBOR | Fixed rate of -0.050% | Receives SemiAnnually, Pays Annually | Goldman Sachs | 01/03/2024 | EUR | 240,000 | (101) | — | — | — | (101) |
U.S. CPI Urban Consumers NSA | Fixed rate of 1.852% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 08/01/2024 | USD | 2,210,000 | (585) | — | — | — | (585) |
U.S. CPI Urban Consumers NSA | Fixed rate of 1.706% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 08/12/2024 | USD | 1,000,000 | 7,554 | — | — | 7,554 | — |
Eurostat Eurozone HICP ex Tobacco NSA | Fixed rate of 0.908% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 08/15/2024 | EUR | 1,285,000 | 10,838 | — | — | 10,838 | — |
Fixed rate of 3.208% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 10/29/2024 | USD | 1,025,000 | 61,258 | — | — | 61,258 | — |
Fixed rate of 2.550% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 10/31/2024 | USD | 110,000 | 5,193 | — | — | 5,193 | — |
6-Month EURIBOR | Fixed rate of -0.173% | Receives SemiAnnually, Pays Annually | Goldman Sachs | 11/11/2024 | EUR | 100,000 | 241 | — | — | 241 | — |
6-Month EURIBOR | Fixed rate of -0.216% | Receives SemiAnnually, Pays Annually | Goldman Sachs | 11/21/2024 | EUR | 160,000 | 800 | — | — | 800 | — |
Fixed rate of 0.000% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 11/29/2024 | USD | 2,000,000 | 105,800 | — | — | 105,800 | — |
3-Month USD LIBOR | Fixed rate of 2.572% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 02/07/2025 | USD | 1,720,000 | (71,932) | — | — | — | (71,932) |
3-Month USD LIBOR | Fixed rate of 2.622% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 03/06/2025 | USD | 120,000 | (5,182) | — | — | — | (5,182) |
6-Month EURIBOR | Fixed rate of -0.175% | Receives SemiAnnually, Pays Annually | Goldman Sachs | 03/18/2025 | EUR | 25,000 | 117 | — | — | 117 | — |
3-Month USD LIBOR | Fixed rate of 2.161% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 03/31/2025 | USD | 80,000 | (1,683) | — | — | — | (1,683) |
3-Month USD LIBOR | Fixed rate of 1.755% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 11/15/2026 | USD | 500,000 | 895 | — | — | 895 | — |
Fixed rate of 3.505% | UK Retail Price Index All Items Monthly | Receives at Maturity, Pays at Maturity | Goldman Sachs | 10/15/2028 | GBP | 705,000 | 24,670 | — | — | 24,670 | — |
U.S. CPI Urban Consumers NSA | Fixed rate of 2.249% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 10/30/2028 | USD | 705,000 | (22,454) | — | — | — | (22,454) |
Eurostat Eurozone HICP ex Tobacco NSA | Fixed rate of 1.296% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 01/15/2029 | EUR | 465,000 | (8,119) | — | — | — | (8,119) |
Fixed rate of 3.490% | UK Retail Price Index All Items Monthly | Receives at Maturity, Pays at Maturity | Goldman Sachs | 03/15/2029 | GBP | 640,000 | 11,366 | — | — | 11,366 | — |
Eurostat Eurozone HICP ex Tobacco NSA | Fixed rate of 1.290% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 03/15/2029 | EUR | 900,000 | (12,569) | — | — | — | (12,569) |
3-Month NZD LIBOR | Fixed rate of 2.588% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 03/20/2029 | NZD | 120,060 | (6,547) | — | — | — | (6,547) |
3-Month NZD LIBOR | Fixed rate of 2.576% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 03/20/2029 | NZD | 224,940 | (12,104) | — | — | — | (12,104) |
3-Month NZD LIBOR | Fixed rate of 2.545% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 03/20/2029 | NZD | 610,000 | (31,684) | — | — | — | (31,684) |
Columbia Variable Portfolio Funds | Annual Report 2019 | 93 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, December 31, 2019
Cleared interest rate swap contracts (continued) | |||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
3-Month NZD LIBOR | Fixed rate of 2.800% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 03/20/2029 | NZD | 600,160 | (40,169) | — | — | — | (40,169) |
3-Month USD LIBOR | Fixed rate of 1.832% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 05/15/2029 | USD | 130,000 | 453 | — | — | 453 | — |
3-Month USD LIBOR | Fixed rate of 1.670% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 08/15/2029 | USD | 1,230,000 | 22,165 | — | — | 22,165 | — |
Eurostat Eurozone HICP ex Tobacco NSA | Fixed rate of 1.093% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 08/15/2029 | EUR | 660,000 | 7,872 | — | — | 7,872 | — |
Eurostat Eurozone HICP ex Tobacco NSA | Fixed rate of 1.053% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 08/15/2029 | EUR | 455,000 | 7,671 | — | — | 7,671 | — |
3-Month USD LIBOR | Fixed rate of 1.765% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 08/15/2029 | USD | 345,000 | 3,485 | — | — | 3,485 | — |
Fixed rate of 1.867% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 08/15/2029 | USD | 345,000 | (441) | — | — | — | (441) |
Fixed rate of 1.841% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 08/15/2029 | USD | 345,000 | (1,217) | — | — | — | (1,217) |
Fixed rate of 1.273% | 3-Month NZD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 08/15/2029 | NZD | 750,000 | (20,521) | — | — | — | (20,521) |
Fixed rate of 1.750% | U.S. CPI Urban Consumers NSA | Receives at Maturity, Pays at Maturity | Goldman Sachs | 08/22/2029 | USD | 555,000 | (12,987) | — | — | — | (12,987) |
UK Retail Price Index All Items Monthly | Fixed rate of 3.750% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 09/15/2029 | GBP | 345,000 | (21,128) | — | — | — | (21,128) |
UK Retail Price Index All Items Monthly | Fixed rate of 3.715% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 09/15/2029 | GBP | 400,000 | (22,103) | — | — | — | (22,103) |
Eurostat Eurozone HICP ex Tobacco NSA | Fixed rate of 1.088% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 11/15/2029 | EUR | 445,000 | 7,218 | — | — | 7,218 | — |
UK Retail Price Index All Items Monthly | Fixed rate of 3.456% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 11/15/2029 | GBP | 165,000 | (1,277) | — | — | — | (1,277) |
Fixed rate of 1.857% | U.S. CPI Urban Consumers NSA | Receives at Maturity, Pays at Maturity | Goldman Sachs | 11/25/2029 | USD | 530,000 | (7,841) | — | — | — | (7,841) |
UK Retail Price Index All Items Monthly | Fixed rate of 3.463% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 12/15/2029 | GBP | 320,000 | (1,079) | — | — | — | (1,079) |
Fixed rate of 0.000% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 12/16/2029 | USD | 392,000 | (4,298) | — | — | — | (4,298) |
3-Month USD LIBOR | Fixed rate of 1.908% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 12/23/2029 | USD | 40,000 | (42) | — | — | — | (42) |
3-Month USD LIBOR | Fixed rate of 1.912% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 12/23/2029 | USD | 50,000 | (71) | — | — | — | (71) |
3-Month USD LIBOR | Fixed rate of 1.900% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 12/30/2029 | USD | 20,000 | (4) | — | — | — | (4) |
3-Month USD LIBOR | Fixed rate of 2.357% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 03/29/2030 | USD | 410,000 | (17,086) | — | — | — | (17,086) |
3-Month USD LIBOR | Fixed rate of 2.554% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 05/06/2030 | USD | 80,000 | (4,738) | — | — | — | (4,738) |
Fixed rate of 2.447% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 05/18/2031 | USD | 80,000 | 3,447 | — | — | 3,447 | — |
Fixed rate of 2.102% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 06/22/2031 | USD | 40,000 | 456 | — | — | 456 | — |
3-Month USD LIBOR | Fixed rate of 1.890% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 11/08/2031 | USD | 45,000 | 445 | — | — | 445 | — |
94 | Columbia Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, December 31, 2019
Cleared interest rate swap contracts (continued) | |||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
6-Month JPY BBA LIBOR | Fixed rate of 0.336% | Receives SemiAnnually, Pays SemiAnnually | Goldman Sachs | 02/08/2034 | JPY | 3,070,000 | (444) | — | — | — | (444) |
3-Month USD LIBOR | Fixed rate of 1.645% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 08/22/2034 | USD | 120,000 | 5,225 | — | — | 5,225 | — |
UK Retail Price Index All Items Monthly | Fixed rate of 3.420% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 10/15/2034 | GBP | 815,000 | (17,711) | — | — | — | (17,711) |
3-Month USD LIBOR | Fixed rate of 1.907% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 10/21/2034 | USD | 150,000 | 3,276 | — | — | 3,276 | — |
3-Month USD LIBOR | Fixed rate of 1.933% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 10/22/2034 | USD | 120,000 | 2,357 | — | — | 2,357 | — |
3-Month USD LIBOR | Fixed rate of 1.976% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 10/23/2034 | USD | 60,000 | 961 | — | — | 961 | — |
3-Month USD LIBOR | Fixed rate of 1.982% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 10/23/2034 | USD | 60,000 | 933 | — | — | 933 | — |
3-Month USD LIBOR | Fixed rate of 1.998% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 11/07/2034 | USD | 130,000 | 1,857 | — | — | 1,857 | — |
3-Month USD LIBOR | Fixed rate of 2.111% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 11/12/2034 | USD | 130,000 | 627 | — | — | 627 | — |
6-Month JPY BBA LIBOR | Fixed rate of 0.295% | Receives SemiAnnually, Pays SemiAnnually | Goldman Sachs | 06/17/2039 | JPY | 2,550,000 | 209 | — | — | 209 | — |
6-Month JPY BBA LIBOR | Fixed rate of 0.167% | Receives SemiAnnually, Pays SemiAnnually | Goldman Sachs | 08/08/2039 | JPY | 1,860,000 | 576 | — | — | 576 | — |
Fixed rate of 3.360% | UK Retail Price Index All Items Monthly | Receives at Maturity, Pays at Maturity | Goldman Sachs | 10/15/2039 | GBP | 815,000 | 13,890 | — | — | 13,890 | — |
3-Month USD LIBOR | Fixed rate of 2.098% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 10/23/2039 | USD | 70,000 | 963 | — | — | 963 | — |
6-Month JPY BBA LIBOR | Fixed rate of 0.715% | Receives SemiAnnually, Pays SemiAnnually | Goldman Sachs | 03/21/2044 | JPY | 1,800,000 | (736) | — | — | — | (736) |
6-Month JPY BBA LIBOR | Fixed rate of 0.201% | Receives SemiAnnually, Pays SemiAnnually | Goldman Sachs | 08/28/2044 | JPY | 930,000 | 499 | — | — | 499 | — |
Fixed rate of 3.270% | UK Retail Price Index All Items Monthly | Receives at Maturity, Pays at Maturity | Goldman Sachs | 10/15/2044 | GBP | 630,000 | 4,315 | — | — | 4,315 | — |
3-Month USD LIBOR | Fixed rate of 2.110% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 11/15/2044 | USD | 160,000 | 1,511 | — | — | 1,511 | — |
Fixed rate of 1.390% | Eurostat Eurozone HICP ex Tobacco NSA | Receives at Maturity, Pays at Maturity | Goldman Sachs | 06/15/2049 | EUR | 110,000 | (7,285) | — | — | — | (7,285) |
3-Month USD LIBOR | Fixed rate of 2.378% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 07/05/2049 | USD | 60,000 | (768) | — | — | — | (768) |
Fixed rate of 1.395% | Eurostat Eurozone HICP ex Tobacco NSA | Receives at Maturity, Pays at Maturity | Goldman Sachs | 08/15/2049 | EUR | 115,000 | (7,396) | — | — | — | (7,396) |
3-Month USD LIBOR | Fixed rate of 1.709% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 08/16/2049 | USD | 50,000 | 1,459 | — | — | 1,459 | — |
3-Month USD LIBOR | Fixed rate of 1.667% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 08/17/2049 | USD | 40,000 | 1,274 | — | — | 1,274 | — |
U.S. CPI Urban Consumers NSA | Fixed rate of 1.786% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 08/22/2049 | USD | 175,000 | 12,426 | — | — | 12,426 | — |
UK Retail Price Index All Items Monthly | Fixed rate of 3.160% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 10/15/2049 | GBP | 630,000 | 4,878 | — | — | 4,878 | — |
Fixed rate of 1.427% | Eurostat Eurozone HICP ex Tobacco NSA | Receives at Maturity, Pays at Maturity | Goldman Sachs | 11/15/2049 | EUR | 120,000 | (7,215) | — | — | — | (7,215) |
Columbia Variable Portfolio Funds | Annual Report 2019 | 95 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, December 31, 2019
Cleared interest rate swap contracts (continued) | |||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
U.S. CPI Urban Consumers NSA | Fixed rate of 1.948% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 11/25/2049 | USD | 165,000 | 4,120 | — | — | 4,120 | — |
U.S. CPI Urban Consumers NSA | Fixed rate of 1.960% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 12/12/2049 | USD | 385,000 | 7,956 | — | — | 7,956 | — |
Fixed rate of 1.770% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 12/12/2049 | USD | 40,000 | (3,005) | — | — | — | (3,005) |
3-Month USD LIBOR | Fixed rate of 2.350% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 06/15/2050 | USD | 150,000 | (8,582) | — | — | — | (8,582) |
Fixed rate of 1.929% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 12/01/2056 | USD | 10,000 | (501) | — | — | — | (501) |
Total | 168,619 | — | — | 589,623 | (421,004) |
Reference index and values for swap contracts as of period end | ||
Reference index | Reference rate | |
1-Day Overnight Fed Funds Effective Rate | Overnight Federal Funds Effective Rate | 1.550% |
3-Month CAD Canada Bankers’ Acceptances | Canada Bankers’ Acceptances | 2.075% |
3-Month NZD LIBOR | London Interbank Offered Rate | 1.290% |
3-Month USD LIBOR | London Interbank Offered Rate | 1.908% |
6-Month EURIBOR | Euro Interbank Offered Rate | (0.324%) |
6-Month JPY BBA LIBOR | London Interbank Offered Rate | 0.018% |
Eurostat Eurozone HICP ex-Tobacco NSA | Harmonised Index of Consumer Price Index Excluding Tobacco | 0.300% |
U.S. CPI Urban Consumers NSA | United States Consumer Price All Urban Non-Seasonally Adjusted Index | 2.285% |
UK Retail Price Index All Items Monthly | United Kingdom Retail Price Index All Items | 1.300% |
(a) | Principal amounts are denominated in United States Dollars unless otherwise noted. |
(b) | Principal and interest may not be guaranteed by a governmental entity. |
(c) | Zero coupon bond. |
(d) | 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. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At December 31, 2019, the total value of these securities amounted to $48,003,443, which represents 44.11% of total net assets. |
(e) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(f) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
(g) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | ||||||||
412,806 | 34,089,081 | (33,419,163) | 1,082,724 | (84) | — | 20,235 | 1,082,616 |
96 | Columbia Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, December 31, 2019
AUD | Australian Dollar |
CAD | Canada Dollar |
DKK | Danish Krone |
EUR | Euro |
GBP | British Pound |
JPY | Japanese Yen |
NZD | New Zealand Dollar |
SEK | Swedish Krona |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Foreign Government Obligations | — | 53,612 | — | 53,612 |
Inflation-Indexed Bonds | — | 105,555,730 | — | 105,555,730 |
Options Purchased Calls | 2,838 | 244,310 | — | 247,148 |
Options Purchased Puts | 188 | 166,816 | — | 167,004 |
Money Market Funds | 1,082,616 | — | — | 1,082,616 |
Total Investments in Securities | 1,085,642 | 106,020,468 | — | 107,106,110 |
Investments in Derivatives |
Columbia Variable Portfolio Funds | Annual Report 2019 | 97 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, December 31, 2019
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Asset | ||||
Forward Foreign Currency Exchange Contracts | — | 49,985 | — | 49,985 |
Futures Contracts | 88,887 | — | — | 88,887 |
Swap Contracts | — | 589,623 | — | 589,623 |
Liability | ||||
Forward Foreign Currency Exchange Contracts | — | (1,278,713) | — | (1,278,713) |
Futures Contracts | (119,567) | — | — | (119,567) |
Options Contracts Written | (3,937) | (773,741) | — | (777,678) |
Swap Contracts | — | (421,004) | — | (421,004) |
Total | 1,051,025 | 104,186,618 | — | 105,237,643 |
98 | Columbia Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – Victory Sycamore Established Value Fund, December 31, 2019
Common Stocks 97.2% | ||
Issuer | Shares | Value ($) |
Communication Services 3.6% | ||
Entertainment 1.4% | ||
Cinemark Holdings, Inc. | 265,825 | 8,998,176 |
Media 2.2% | ||
Interpublic Group of Companies, Inc. (The) | 326,400 | 7,539,840 |
ViacomCBS, Inc., Class B | 170,525 | 7,156,935 |
Total | 14,696,775 | |
Total Communication Services | 23,694,951 | |
Consumer Discretionary 7.5% | ||
Auto Components 1.7% | ||
BorgWarner, Inc. | 254,775 | 11,052,140 |
Hotels, Restaurants & Leisure 2.6% | ||
Darden Restaurants, Inc. | 93,550 | 10,197,885 |
Yum! Brands, Inc. | 70,500 | 7,101,465 |
Total | 17,299,350 | |
Specialty Retail 1.0% | ||
AutoNation, Inc.(a) | 141,325 | 6,872,635 |
Textiles, Apparel & Luxury Goods 2.2% | ||
Carter’s, Inc. | 130,075 | 14,222,400 |
Total Consumer Discretionary | 49,446,525 | |
Consumer Staples 9.8% | ||
Food & Staples Retailing 3.5% | ||
Kroger Co. (The) | 446,575 | 12,946,209 |
Sysco Corp. | 119,700 | 10,239,138 |
Total | 23,185,347 | |
Food Products 3.4% | ||
Archer-Daniels-Midland Co. | 355,125 | 16,460,044 |
Hormel Foods Corp. | 123,400 | 5,566,574 |
Total | 22,026,618 | |
Household Products 2.9% | ||
Clorox Co. (The) | 58,000 | 8,905,320 |
Kimberly-Clark Corp. | 74,075 | 10,189,016 |
Total | 19,094,336 | |
Total Consumer Staples | 64,306,301 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Energy 5.0% | ||
Oil, Gas & Consumable Fuels 5.0% | ||
Cimarex Energy Co. | 174,900 | 9,180,501 |
Devon Energy Corp. | 364,300 | 9,460,871 |
Parsley Energy, Inc., Class A | 367,600 | 6,951,316 |
Valero Energy Corp. | 76,200 | 7,136,130 |
Total | 32,728,818 | |
Total Energy | 32,728,818 | |
Financials 16.9% | ||
Banks 4.3% | ||
Prosperity Bancshares, Inc. | 151,300 | 10,876,957 |
TCF Financial Corp. | 141,000 | 6,598,800 |
Zions Bancorp | 205,000 | 10,643,600 |
Total | 28,119,357 | |
Capital Markets 1.6% | ||
E*TRADE Financial Corp. | 238,150 | 10,804,865 |
Insurance 11.0% | ||
Aflac, Inc. | 121,250 | 6,414,125 |
Alleghany Corp.(a) | 18,520 | 14,808,036 |
Allstate Corp. (The) | 79,975 | 8,993,189 |
American Financial Group, Inc. | 99,600 | 10,921,140 |
Arthur J Gallagher & Co. | 56,850 | 5,413,826 |
Everest Re Group Ltd. | 24,700 | 6,837,948 |
Fidelity National Financial, Inc. | 141,750 | 6,428,362 |
Old Republic International Corp. | 293,600 | 6,567,832 |
WR Berkley Corp. | 87,137 | 6,021,167 |
Total | 72,405,625 | |
Total Financials | 111,329,847 | |
Health Care 5.1% | ||
Health Care Providers & Services 4.7% | ||
AmerisourceBergen Corp. | 115,950 | 9,858,069 |
Molina Healthcare, Inc.(a) | 32,000 | 4,342,080 |
Quest Diagnostics, Inc. | 156,376 | 16,699,393 |
Total | 30,899,542 |
Columbia Variable Portfolio Funds | Annual Report 2019 | 99 |
CTIVP® – Victory Sycamore Established Value Fund, December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Life Sciences Tools & Services 0.4% | ||
QIAGEN NV(a) | 71,200 | 2,406,560 |
Total Health Care | 33,306,102 | |
Industrials 14.8% | ||
Aerospace & Defense 1.8% | ||
Textron, Inc. | 258,800 | 11,542,480 |
Airlines 1.7% | ||
Alaska Air Group, Inc. | 159,700 | 10,819,675 |
Building Products 1.2% | ||
Owens Corning | 123,165 | 8,020,505 |
Commercial Services & Supplies 1.0% | ||
Republic Services, Inc. | 70,910 | 6,355,663 |
Electrical Equipment 0.9% | ||
Hubbell, Inc. | 41,440 | 6,125,661 |
Machinery 4.0% | ||
AGCO Corp. | 127,125 | 9,820,406 |
Ingersoll-Rand PLC | 32,300 | 4,293,316 |
Parker-Hannifin Corp. | 45,170 | 9,296,889 |
Xylem, Inc. | 39,530 | 3,114,569 |
Total | 26,525,180 | |
Professional Services 1.4% | ||
ManpowerGroup, Inc. | 95,400 | 9,263,340 |
Road & Rail 2.8% | ||
JB Hunt Transport Services, Inc. | 62,400 | 7,287,072 |
Landstar System, Inc. | 98,600 | 11,227,582 |
Total | 18,514,654 | |
Total Industrials | 97,167,158 | |
Information Technology 14.6% | ||
Communications Equipment 1.2% | ||
Motorola Solutions, Inc. | 49,650 | 8,000,601 |
Electronic Equipment, Instruments & Components 2.9% | ||
Coherent, Inc.(a) | 49,125 | 8,171,944 |
Flex Ltd.(a) | 844,100 | 10,652,542 |
Total | 18,824,486 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
IT Services 5.1% | ||
DXC Technology Co. | 149,800 | 5,630,982 |
Genpact Ltd. | 163,300 | 6,886,361 |
Leidos Holdings, Inc. | 113,800 | 11,139,882 |
MAXIMUS, Inc. | 135,700 | 10,094,723 |
Total | 33,751,948 | |
Semiconductors & Semiconductor Equipment 2.0% | ||
KLA Corp. | 24,400 | 4,347,348 |
Skyworks Solutions, Inc. | 72,300 | 8,739,624 |
Total | 13,086,972 | |
Software 2.2% | ||
Nuance Communications, Inc.(a) | 656,500 | 11,705,395 |
Synopsys, Inc.(a) | 22,290 | 3,102,768 |
Total | 14,808,163 | |
Technology Hardware, Storage & Peripherals 1.2% | ||
Hewlett Packard Enterprise Co. | 478,300 | 7,585,838 |
Total Information Technology | 96,058,008 | |
Materials 9.0% | ||
Chemicals 3.3% | ||
Eastman Chemical Co. | 151,550 | 12,011,853 |
Westlake Chemical Corp. | 134,700 | 9,449,205 |
Total | 21,461,058 | |
Containers & Packaging 3.4% | ||
AptarGroup, Inc. | 57,350 | 6,630,807 |
Avery Dennison Corp. | 79,975 | 10,462,329 |
Packaging Corp. of America | 48,800 | 5,465,112 |
Total | 22,558,248 | |
Metals & Mining 2.3% | ||
Reliance Steel & Aluminum Co. | 82,097 | 9,831,937 |
Steel Dynamics, Inc. | 150,000 | 5,106,000 |
Total | 14,937,937 | |
Total Materials | 58,957,243 |
100 | Columbia Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – Victory Sycamore Established Value Fund, December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Real Estate 7.5% | ||
Equity Real Estate Investment Trusts (REITS) 7.5% | ||
Healthcare Trust of America, Inc., Class A | 341,675 | 10,345,919 |
Highwoods Properties, Inc. | 225,200 | 11,014,532 |
Lamar Advertising Co., Class A | 138,800 | 12,389,288 |
National Retail Properties, Inc. | 129,725 | 6,955,855 |
Public Storage | 38,800 | 8,262,848 |
Total | 48,968,442 | |
Total Real Estate | 48,968,442 | |
Utilities 3.4% | ||
Electric Utilities 2.4% | ||
Alliant Energy Corp. | 157,500 | 8,618,400 |
Xcel Energy, Inc. | 111,032 | 7,049,422 |
Total | 15,667,822 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Multi-Utilities 1.0% | ||
DTE Energy Co. | 50,805 | 6,598,045 |
Total Utilities | 22,265,867 | |
Total Common Stocks (Cost $563,646,667) | 638,229,262 | |
Money Market Funds 3.5% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(b),(c) | 22,716,548 | 22,714,277 |
Total Money Market Funds (Cost $22,714,815) | 22,714,277 | |
Total Investments in Securities (Cost: $586,361,482) | 660,943,539 | |
Other Assets & Liabilities, Net | (4,342,828) | |
Net Assets | 656,600,711 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | ||||||||
17,504,579 | 92,116,606 | (86,904,637) | 22,716,548 | 196 | (538) | 411,721 | 22,714,277 |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Columbia Variable Portfolio Funds | Annual Report 2019 | 101 |
CTIVP® – Victory Sycamore Established Value Fund, December 31, 2019
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 23,694,951 | — | — | 23,694,951 |
Consumer Discretionary | 49,446,525 | — | — | 49,446,525 |
Consumer Staples | 64,306,301 | — | — | 64,306,301 |
Energy | 32,728,818 | — | — | 32,728,818 |
Financials | 111,329,847 | — | — | 111,329,847 |
Health Care | 33,306,102 | — | — | 33,306,102 |
Industrials | 97,167,158 | — | — | 97,167,158 |
Information Technology | 96,058,008 | — | — | 96,058,008 |
Materials | 58,957,243 | — | — | 58,957,243 |
Real Estate | 48,968,442 | — | — | 48,968,442 |
Utilities | 22,265,867 | — | — | 22,265,867 |
Total Common Stocks | 638,229,262 | — | — | 638,229,262 |
Money Market Funds | 22,714,277 | — | — | 22,714,277 |
Total Investments in Securities | 660,943,539 | — | — | 660,943,539 |
102 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Core Equity Fund, December 31, 2019
Common Stocks 98.0% | ||
Issuer | Shares | Value ($) |
Communication Services 8.3% | ||
Diversified Telecommunication Services 1.6% | ||
AT&T, Inc. | 338,977 | 13,247,221 |
Verizon Communications, Inc. | 368,492 | 22,625,409 |
Total | 35,872,630 | |
Entertainment 1.6% | ||
Activision Blizzard, Inc. | 125,700 | 7,469,094 |
Electronic Arts, Inc.(a) | 53,800 | 5,784,038 |
Madison Square Garden Co. (The), Class A(a) | 11,630 | 3,421,430 |
Take-Two Interactive Software, Inc.(a) | 32,030 | 3,921,433 |
Walt Disney Co. (The) | 110,731 | 16,015,024 |
Total | 36,611,019 | |
Interactive Media & Services 5.0% | ||
Alphabet, Inc., Class C(a) | 68,955 | 92,194,214 |
Facebook, Inc., Class A(a) | 92,226 | 18,929,386 |
Twitter, Inc.(a) | 122,700 | 3,932,535 |
Total | 115,056,135 | |
Media 0.1% | ||
Cable One, Inc. | 931 | 1,385,766 |
Charter Communications, Inc., Class A(a) | 1,590 | 771,277 |
Total | 2,157,043 | |
Total Communication Services | 189,696,827 | |
Consumer Discretionary 11.3% | ||
Auto Components 0.5% | ||
Magna International, Inc. | 208,161 | 11,415,549 |
Automobiles 1.1% | ||
Ford Motor Co. | 1,649,200 | 15,337,560 |
General Motors Co. | 264,000 | 9,662,400 |
Total | 24,999,960 | |
Diversified Consumer Services 0.0% | ||
frontdoor, Inc.(a) | 13,840 | 656,293 |
Hotels, Restaurants & Leisure 4.6% | ||
Darden Restaurants, Inc. | 23,710 | 2,584,627 |
Domino’s Pizza, Inc. | 22,500 | 6,610,050 |
Hilton Worldwide Holdings, Inc. | 84,467 | 9,368,235 |
Marriott International, Inc., Class A | 46,600 | 7,056,638 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
McDonald’s Corp. | 86,327 | 17,059,079 |
MGM Resorts International | 360,844 | 12,005,280 |
Starbucks Corp. | 219,388 | 19,288,593 |
Wynn Resorts Ltd. | 57,100 | 7,929,477 |
Yum! Brands, Inc. | 220,981 | 22,259,416 |
Total | 104,161,395 | |
Household Durables 0.1% | ||
Whirlpool Corp. | 11,050 | 1,630,207 |
Internet & Direct Marketing Retail 4.2% | ||
Amazon.com, Inc.(a) | 49,591 | 91,636,233 |
Expedia Group, Inc. | 33,914 | 3,667,460 |
Total | 95,303,693 | |
Multiline Retail 0.4% | ||
Dollar Tree, Inc.(a) | 111,698 | 10,505,197 |
Specialty Retail 0.2% | ||
Best Buy Co., Inc. | 50,900 | 4,469,020 |
Textiles, Apparel & Luxury Goods 0.2% | ||
Nike, Inc., Class B | 58,978 | 5,975,061 |
Total Consumer Discretionary | 259,116,375 | |
Consumer Staples 5.4% | ||
Beverages 2.1% | ||
Coca-Cola Co. (The) | 455,800 | 25,228,530 |
PepsiCo, Inc. | 165,582 | 22,630,092 |
Total | 47,858,622 | |
Food & Staples Retailing 0.6% | ||
Kroger Co. (The) | 143,700 | 4,165,863 |
Sysco Corp. | 22,532 | 1,927,387 |
Walgreens Boots Alliance, Inc. | 133,463 | 7,868,979 |
Total | 13,962,229 | |
Food Products 1.5% | ||
Archer-Daniels-Midland Co. | 172,414 | 7,991,389 |
Kraft Heinz Co. (The) | 129,514 | 4,161,284 |
Mondelez International, Inc., Class A | 395,562 | 21,787,555 |
Total | 33,940,228 |
Columbia Variable Portfolio Funds | Annual Report 2019 | 103 |
Variable Portfolio – Partners Core Equity Fund, December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Household Products 0.5% | ||
Colgate-Palmolive Co. | 21,400 | 1,473,176 |
Kimberly-Clark Corp. | 71,247 | 9,800,025 |
Total | 11,273,201 | |
Tobacco 0.7% | ||
Philip Morris International, Inc. | 191,755 | 16,316,433 |
Total Consumer Staples | 123,350,713 | |
Energy 3.6% | ||
Energy Equipment & Services 0.4% | ||
Halliburton Co. | 369,400 | 9,039,218 |
Oil, Gas & Consumable Fuels 3.2% | ||
Cabot Oil & Gas Corp. | 190,000 | 3,307,900 |
Chevron Corp. | 46,720 | 5,630,227 |
Concho Resources, Inc. | 105,912 | 9,274,714 |
ConocoPhillips Co. | 179,800 | 11,692,394 |
EOG Resources, Inc. | 190,947 | 15,993,721 |
HollyFrontier Corp. | 35,500 | 1,800,205 |
PBF Energy, Inc., Class A | 24,718 | 775,404 |
Phillips 66 | 120,683 | 13,445,293 |
Pioneer Natural Resources Co. | 16,962 | 2,567,538 |
Valero Energy Corp. | 91,613 | 8,579,557 |
Total | 73,066,953 | |
Total Energy | 82,106,171 | |
Financials 13.4% | ||
Banks 3.2% | ||
JPMorgan Chase & Co. | 179,525 | 25,025,785 |
M&T Bank Corp. | 43,000 | 7,299,250 |
PNC Financial Services Group, Inc. (The) | 125,585 | 20,047,134 |
Texas Capital Bancshares, Inc.(a) | 9,265 | 525,974 |
U.S. Bancorp | 90,700 | 5,377,603 |
Wells Fargo & Co. | 288,894 | 15,542,497 |
Total | 73,818,243 | |
Capital Markets 3.5% | ||
Bank of New York Mellon Corp. (The) | 199,300 | 10,030,769 |
BlackRock, Inc. | 14,613 | 7,345,955 |
Charles Schwab Corp. (The) | 176,900 | 8,413,364 |
E*TRADE Financial Corp. | 59,300 | 2,690,441 |
Intercontinental Exchange, Inc. | 195,064 | 18,053,173 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Morgan Stanley | 297,865 | 15,226,859 |
Northern Trust Corp. | 96,500 | 10,252,160 |
Raymond James Financial, Inc. | 38,000 | 3,399,480 |
State Street Corp. | 51,625 | 4,083,538 |
Total | 79,495,739 | |
Consumer Finance 0.6% | ||
Ally Financial, Inc. | 53,295 | 1,628,695 |
Capital One Financial Corp. | 78,000 | 8,026,980 |
Synchrony Financial | 127,900 | 4,605,679 |
Total | 14,261,354 | |
Diversified Financial Services 0.2% | ||
AXA Equitable Holdings, Inc. | 182,018 | 4,510,406 |
Insurance 5.9% | ||
Allstate Corp. (The) | 105,439 | 11,856,615 |
American International Group, Inc. | 549,676 | 28,214,869 |
Brighthouse Financial, Inc.(a) | 57,353 | 2,249,958 |
Chubb Ltd. | 55,540 | 8,645,356 |
Everest Re Group Ltd. | 13,134 | 3,636,017 |
Marsh & McLennan Companies, Inc. | 185,760 | 20,695,522 |
MetLife, Inc. | 159,500 | 8,129,715 |
Progressive Corp. (The) | 99,600 | 7,210,044 |
Prudential Financial, Inc. | 112,044 | 10,503,005 |
Reinsurance Group of America, Inc. | 18,800 | 3,065,528 |
Willis Towers Watson PLC | 150,497 | 30,391,364 |
Total | 134,597,993 | |
Total Financials | 306,683,735 | |
Health Care 14.7% | ||
Biotechnology 3.5% | ||
AbbVie, Inc. | 418,304 | 37,036,636 |
Biogen, Inc.(a) | 43,880 | 13,020,512 |
Gilead Sciences, Inc. | 231,000 | 15,010,380 |
Incyte Corp.(a) | 45,100 | 3,938,132 |
Vertex Pharmaceuticals, Inc.(a) | 49,300 | 10,794,235 |
Total | 79,799,895 |
104 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Core Equity Fund, December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Health Care Equipment & Supplies 3.8% | ||
ABIOMED, Inc.(a) | 7,015 | 1,196,689 |
Align Technology, Inc.(a) | 14,550 | 4,060,032 |
Boston Scientific Corp.(a) | 354,027 | 16,009,101 |
Danaher Corp. | 152,683 | 23,433,787 |
ICU Medical, Inc.(a) | 7,310 | 1,367,847 |
Medtronic PLC | 219,320 | 24,881,854 |
Stryker Corp. | 78,032 | 16,382,038 |
Total | 87,331,348 | |
Health Care Providers & Services 2.9% | ||
AmerisourceBergen Corp. | 67,400 | 5,730,348 |
Anthem, Inc. | 49,700 | 15,010,891 |
Cigna Corp. | 95,719 | 19,573,578 |
Humana, Inc. | 33,180 | 12,161,134 |
McKesson Corp. | 91,160 | 12,609,251 |
Molina Healthcare, Inc.(a) | 13,130 | 1,781,610 |
Total | 66,866,812 | |
Health Care Technology 0.2% | ||
Cerner Corp. | 65,476 | 4,805,284 |
Pharmaceuticals 4.3% | ||
Bristol-Myers Squibb Co. | 123,289 | 7,913,921 |
Eli Lilly & Co. | 79,864 | 10,496,525 |
Johnson & Johnson | 178,906 | 26,097,018 |
Merck & Co., Inc. | 231,788 | 21,081,119 |
Mylan NV(a) | 267,400 | 5,374,740 |
Perrigo Co. PLC | 53,960 | 2,787,574 |
Pfizer, Inc. | 613,214 | 24,025,724 |
Total | 97,776,621 | |
Total Health Care | 336,579,960 | |
Industrials 8.1% | ||
Aerospace & Defense 1.8% | ||
Arconic, Inc. | 102,800 | 3,163,156 |
Boeing Co. (The) | 61,535 | 20,045,642 |
Northrop Grumman Corp. | 43,298 | 14,893,213 |
Spirit AeroSystems Holdings, Inc., Class A | 9,800 | 714,224 |
Textron, Inc. | 58,453 | 2,607,004 |
Total | 41,423,239 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Air Freight & Logistics 0.9% | ||
Expeditors International of Washington, Inc. | 77,346 | 6,034,535 |
United Parcel Service, Inc., Class B | 115,800 | 13,555,548 |
XPO Logistics, Inc.(a) | 14,250 | 1,135,725 |
Total | 20,725,808 | |
Airlines 0.2% | ||
United Airlines Holdings, Inc.(a) | 42,100 | 3,708,589 |
Building Products 0.3% | ||
Lennox International, Inc. | 18,170 | 4,432,935 |
Resideo Technologies, Inc.(a) | 123,984 | 1,479,129 |
Total | 5,912,064 | |
Commercial Services & Supplies 0.8% | ||
Waste Connections, Inc. | 195,706 | 17,768,148 |
Construction & Engineering 0.1% | ||
AECOM(a) | 42,603 | 1,837,467 |
Industrial Conglomerates 1.4% | ||
General Electric Co. | 1,776,083 | 19,821,086 |
Honeywell International, Inc. | 66,612 | 11,790,324 |
Total | 31,611,410 | |
Machinery 1.8% | ||
AGCO Corp. | 92,366 | 7,135,274 |
Cummins, Inc. | 40,020 | 7,161,979 |
Deere & Co. | 41,500 | 7,190,290 |
PACCAR, Inc. | 94,800 | 7,498,680 |
Pentair PLC | 134,716 | 6,179,423 |
Westinghouse Air Brake Technologies Corp. | 90,300 | 7,025,340 |
Total | 42,190,986 | |
Professional Services 0.1% | ||
ManpowerGroup, Inc. | 31,752 | 3,083,119 |
Road & Rail 0.6% | ||
Landstar System, Inc. | 37,000 | 4,213,190 |
Union Pacific Corp. | 54,000 | 9,762,660 |
Total | 13,975,850 | |
Trading Companies & Distributors 0.1% | ||
WESCO International, Inc.(a) | 28,369 | 1,684,835 |
Total Industrials | 183,921,515 |
Columbia Variable Portfolio Funds | Annual Report 2019 | 105 |
Variable Portfolio – Partners Core Equity Fund, December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Information Technology 21.0% | ||
Communications Equipment 1.0% | ||
Arista Networks, Inc.(a) | 8,896 | 1,809,446 |
Cisco Systems, Inc. | 274,164 | 13,148,906 |
F5 Networks, Inc.(a) | 14,191 | 1,981,773 |
Juniper Networks, Inc. | 222,400 | 5,477,712 |
Total | 22,417,837 | |
Electronic Equipment, Instruments & Components 0.9% | ||
Amphenol Corp., Class A | 111,781 | 12,098,058 |
Arrow Electronics, Inc.(a) | 72,606 | 6,152,632 |
Jabil, Inc. | 30,884 | 1,276,436 |
Total | 19,527,126 | |
IT Services 5.0% | ||
Accenture PLC, Class A | 57,000 | 12,002,490 |
DXC Technology Co. | 89,500 | 3,364,305 |
Fidelity National Information Services, Inc. | 132,944 | 18,491,181 |
Fiserv, Inc.(a) | 170,274 | 19,688,783 |
MasterCard, Inc., Class A | 87,364 | 26,086,017 |
VeriSign, Inc.(a) | 36,100 | 6,955,748 |
Visa, Inc., Class A | 143,296 | 26,925,318 |
Total | 113,513,842 | |
Semiconductors & Semiconductor Equipment 2.5% | ||
Cirrus Logic, Inc.(a) | 14,800 | 1,219,668 |
Micron Technology, Inc.(a) | 324,370 | 17,444,619 |
Qorvo, Inc.(a) | 33,900 | 3,940,197 |
QUALCOMM, Inc. | 186,300 | 16,437,249 |
Texas Instruments, Inc. | 67,600 | 8,672,404 |
Xilinx, Inc. | 84,000 | 8,212,680 |
Total | 55,926,817 | |
Software 7.4% | ||
Citrix Systems, Inc. | 68,600 | 7,607,740 |
Cornerstone OnDemand, Inc.(a) | 11,368 | 665,596 |
Dropbox, Inc., Class A(a) | 274,045 | 4,908,146 |
FireEye, Inc.(a) | 127,200 | 2,102,616 |
Fortinet, Inc.(a) | 42,600 | 4,547,976 |
Microsoft Corp. | 729,692 | 115,072,428 |
New Relic, Inc.(a) | 13,090 | 860,144 |
Nutanix, Inc., Class A(a) | 19,900 | 622,074 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Oracle Corp. | 276,906 | 14,670,480 |
Palo Alto Networks, Inc.(a) | 4,278 | 989,287 |
Salesforce.com, Inc.(a) | 85,112 | 13,842,616 |
Teradata Corp.(a) | 106,702 | 2,856,413 |
VMware, Inc., Class A | 7,066 | 1,072,548 |
Total | 169,818,064 | |
Technology Hardware, Storage & Peripherals 4.2% | ||
Apple, Inc. | 243,293 | 71,442,989 |
Dell Technologies, Inc.(a) | 57,400 | 2,949,786 |
Hewlett Packard Enterprise Co. | 302,800 | 4,802,408 |
HP, Inc. | 303,800 | 6,243,090 |
NetApp, Inc. | 57,800 | 3,598,050 |
Pure Storage, Inc., Class A(a) | 38,000 | 650,180 |
Seagate Technology PLC | 36,100 | 2,147,950 |
Western Digital Corp. | 80,900 | 5,134,723 |
Total | 96,969,176 | |
Total Information Technology | 478,172,862 | |
Materials 4.7% | ||
Chemicals 4.6% | ||
Air Products & Chemicals, Inc. | 59,245 | 13,921,983 |
Celanese Corp., Class A | 41,060 | 5,055,307 |
CF Industries Holdings, Inc. | 156,046 | 7,449,636 |
Chemours Co. LLC (The) | 24,000 | 434,160 |
Corteva, Inc. | 148,900 | 4,401,484 |
DuPont de Nemours, Inc. | 401,904 | 25,802,237 |
Eastman Chemical Co. | 109,806 | 8,703,224 |
Element Solutions, Inc.(a) | 57,900 | 676,272 |
FMC Corp. | 40,300 | 4,022,746 |
Linde PLC | 104,970 | 22,348,113 |
NewMarket Corp. | 4,697 | 2,285,184 |
PPG Industries, Inc. | 36,960 | 4,933,790 |
Valvoline, Inc. | 166,270 | 3,559,841 |
WR Grace & Co. | 24,324 | 1,699,031 |
Total | 105,293,008 | |
Containers & Packaging 0.1% | ||
O-I Glass, Inc. | 86,355 | 1,030,215 |
Total Materials | 106,323,223 |
106 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Core Equity Fund, December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Real Estate 3.0% | ||
Equity Real Estate Investment Trusts (REITS) 2.7% | ||
American Tower Corp. | 113,108 | 25,994,481 |
AvalonBay Communities, Inc. | 33,832 | 7,094,570 |
Boston Properties, Inc. | 49,239 | 6,788,088 |
Camden Property Trust | 28,900 | 3,066,290 |
Equity Residential | 16,900 | 1,367,548 |
Essex Property Trust, Inc. | 16,670 | 5,015,336 |
Invitation Homes, Inc. | 29,779 | 892,477 |
Public Storage | 17,430 | 3,711,893 |
SBA Communications Corp. | 26,600 | 6,410,334 |
SITE Centers Corp. | 55,293 | 775,208 |
Total | 61,116,225 | |
Real Estate Management & Development 0.3% | ||
CBRE Group, Inc., Class A(a) | 105,900 | 6,490,611 |
Total Real Estate | 67,606,836 | |
Utilities 4.5% | ||
Electric Utilities 2.7% | ||
American Electric Power Co., Inc. | 30,600 | 2,892,006 |
Duke Energy Corp. | 117,986 | 10,761,503 |
Exelon Corp. | 279,646 | 12,749,061 |
FirstEnergy Corp. | 78,762 | 3,827,833 |
NextEra Energy, Inc. | 82,539 | 19,987,645 |
Pinnacle West Capital Corp. | 22,400 | 2,014,432 |
Portland General Electric Co. | 33,429 | 1,865,004 |
Southern Co. (The) | 128,490 | 8,184,813 |
Total | 62,282,297 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Gas Utilities 0.0% | ||
Atmos Energy Corp. | 8,407 | 940,407 |
Independent Power and Renewable Electricity Producers 0.2% | ||
NRG Energy, Inc. | 93,858 | 3,730,855 |
Multi-Utilities 1.0% | ||
DTE Energy Co. | 14,600 | 1,896,102 |
Sempra Energy | 134,846 | 20,426,472 |
Total | 22,322,574 | |
Water Utilities 0.6% | ||
American Water Works Co., Inc. | 108,361 | 13,312,149 |
Total Utilities | 102,588,282 | |
Total Common Stocks (Cost $1,984,862,052) | 2,236,146,499 | |
Money Market Funds 2.0% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(b),(c) | 46,270,899 | 46,266,272 |
Total Money Market Funds (Cost $46,267,615) | 46,266,272 | |
Total Investments in Securities (Cost: $2,031,129,667) | 2,282,412,771 | |
Other Assets & Liabilities, Net | (1,079,491) | |
Net Assets | 2,281,333,280 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | ||||||||
20,880,731 | 452,200,913 | (426,810,745) | 46,270,899 | 151 | (1,343) | 956,318 | 46,266,272 |
Columbia Variable Portfolio Funds | Annual Report 2019 | 107 |
Variable Portfolio – Partners Core Equity Fund, December 31, 2019
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 189,696,827 | — | — | 189,696,827 |
Consumer Discretionary | 259,116,375 | — | — | 259,116,375 |
Consumer Staples | 123,350,713 | — | — | 123,350,713 |
Energy | 82,106,171 | — | — | 82,106,171 |
Financials | 306,683,735 | — | — | 306,683,735 |
Health Care | 336,579,960 | — | — | 336,579,960 |
Industrials | 183,921,515 | — | — | 183,921,515 |
Information Technology | 478,172,862 | — | — | 478,172,862 |
Materials | 106,323,223 | — | — | 106,323,223 |
Real Estate | 67,606,836 | — | — | 67,606,836 |
Utilities | 102,588,282 | — | — | 102,588,282 |
Total Common Stocks | 2,236,146,499 | — | — | 2,236,146,499 |
Money Market Funds | 46,266,272 | — | — | 46,266,272 |
Total Investments in Securities | 2,282,412,771 | — | — | 2,282,412,771 |
108 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Small Cap Value Fund, December 31, 2019
Common Stocks 95.8% | ||
Issuer | Shares | Value ($) |
Communication Services 1.3% | ||
Diversified Telecommunication Services 0.1% | ||
Vonage Holdings Corp.(a) | 122,718 | 909,340 |
Entertainment 0.1% | ||
Madison Square Garden Co. (The), Class A(a) | 1,716 | 504,830 |
Interactive Media & Services 0.2% | ||
Meet Group, Inc. (The)(a) | 109,198 | 547,082 |
TrueCar, Inc.(a) | 150,353 | 714,177 |
Total | 1,261,259 | |
Media 0.9% | ||
comScore, Inc.(a) | 183,097 | 904,499 |
John Wiley & Sons, Inc., Class A | 27,266 | 1,322,946 |
Liberty Latin America Ltd., Class C(a) | 61,063 | 1,188,286 |
Marchex, Inc.(a) | 16,192 | 61,206 |
Meredith Corp. | 34,224 | 1,111,253 |
Scholastic Corp. | 26,441 | 1,016,657 |
Tribune Publishing Co. | 10,967 | 144,326 |
Total | 5,749,173 | |
Total Communication Services | 8,424,602 | |
Consumer Discretionary 7.6% | ||
Auto Components 1.5% | ||
American Axle & Manufacturing Holdings, Inc.(a) | 200,022 | 2,152,237 |
Cooper Tire & Rubber Co. | 43,608 | 1,253,730 |
Cooper-Standard Holding, Inc.(a) | 52,113 | 1,728,067 |
Dana, Inc. | 205,929 | 3,747,908 |
Modine Manufacturing Co.(a) | 123,685 | 952,374 |
Shiloh Industries, Inc.(a) | 3,096 | 11,022 |
Total | 9,845,338 | |
Distributors 0.1% | ||
Funko, Inc., Class A(a) | 26,831 | 460,420 |
Diversified Consumer Services 0.6% | ||
Adtalem Global Education, Inc.(a) | 6,616 | 231,361 |
American Public Education, Inc.(a) | 35,222 | 964,731 |
Graham Holdings Co., Class B | 1,458 | 931,647 |
Houghton Mifflin Harcourt Co.(a) | 119,722 | 748,262 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
K12, Inc.(a) | 14,673 | 298,596 |
Regis Corp.(a) | 34,995 | 625,361 |
Total | 3,799,958 | |
Hotels, Restaurants & Leisure 2.4% | ||
Boyd Gaming Corp. | 34,921 | 1,045,535 |
Fiesta Restaurant Group, Inc.(a) | 68,560 | 678,058 |
Habit Restaurants, Inc. (The), Class A(a) | 57,146 | 596,033 |
Jack in the Box, Inc. | 124,131 | 9,685,942 |
Papa John’s International, Inc. | 49,627 | 3,133,945 |
Potbelly Corp.(a) | 37,064 | 156,410 |
Red Lion Hotels Corp.(a) | 183,237 | 683,474 |
Wingstop, Inc. | 943 | 81,315 |
Total | 16,060,712 | |
Household Durables 1.1% | ||
Bassett Furniture Industries, Inc. | 5,033 | 83,950 |
GoPro, Inc., Class A(a) | 169,693 | 736,468 |
Hooker Furniture Corp. | 23,588 | 605,976 |
La-Z-Boy, Inc. | 98,950 | 3,114,946 |
M/I Homes, Inc.(a) | 63,037 | 2,480,506 |
MDC Holdings, Inc. | 10,427 | 397,894 |
Total | 7,419,740 | |
Internet & Direct Marketing Retail 0.3% | ||
Quotient Technology, Inc.(a) | 202,506 | 1,996,709 |
Leisure Products 0.5% | ||
Brunswick Corp. | 31,557 | 1,892,789 |
Nautilus, Inc.(a) | 51,472 | 90,076 |
Vista Outdoor, Inc.(a) | 178,839 | 1,337,716 |
Total | 3,320,581 | |
Multiline Retail 0.0% | ||
JCPenney Co., Inc.(a) | 209,320 | 234,438 |
Specialty Retail 0.7% | ||
Aaron’s, Inc. | 66,572 | 3,801,927 |
American Eagle Outfitters, Inc. | 68,445 | 1,006,141 |
Haverty Furniture Companies, Inc. | 300 | 6,048 |
MarineMax, Inc.(a) | 5,355 | 89,375 |
Total | 4,903,491 |
Columbia Variable Portfolio Funds | Annual Report 2019 | 109 |
Variable Portfolio – Partners Small Cap Value Fund, December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Textiles, Apparel & Luxury Goods 0.4% | ||
Culp, Inc. | 23,301 | 317,360 |
G-III Apparel Group Ltd.(a) | 81,847 | 2,741,874 |
Total | 3,059,234 | |
Total Consumer Discretionary | 51,100,621 | |
Consumer Staples 3.2% | ||
Beverages 0.0% | ||
Primo Water Corp.(a) | 3,545 | 39,793 |
Food & Staples Retailing 0.1% | ||
SpartanNash Co. | 36,762 | 523,491 |
Food Products 3.0% | ||
Farmer Brothers Co.(a) | 18,564 | 279,574 |
Fresh Del Monte Produce, Inc. | 22,248 | 778,235 |
Hain Celestial Group, Inc. (The)(a) | 476,122 | 12,357,746 |
Hostess Brands, Inc.(a) | 196,192 | 2,852,632 |
Post Holdings, Inc.(a) | 1,687 | 184,052 |
TreeHouse Foods, Inc.(a) | 71,486 | 3,467,071 |
Total | 19,919,310 | |
Household Products 0.1% | ||
Central Garden & Pet Co., Class A(a) | 23,654 | 694,481 |
Total Consumer Staples | 21,177,075 | |
Energy 7.2% | ||
Energy Equipment & Services 1.6% | ||
Exterran Corp.(a) | 22,183 | 173,693 |
Forum Energy Technologies, Inc.(a) | 17,915 | 30,097 |
Gulf Island Fabrication, Inc.(a) | 3,295 | 16,706 |
Helix Energy Solutions Group, Inc.(a) | 178,176 | 1,715,835 |
Helmerich & Payne, Inc. | 57,144 | 2,596,052 |
Matrix Service Co.(a) | 34,345 | 785,814 |
NexTier Oilfield Solutions, Inc.(a) | 416,664 | 2,791,649 |
Oceaneering International, Inc.(a) | 13,916 | 207,487 |
Parker Drilling Co.(a) | 3,819 | 85,927 |
SEACOR Holdings, Inc.(a) | 21,970 | 948,005 |
Solaris Oilfield Infrastructure, Inc., Class A | 80,804 | 1,131,256 |
Total | 10,482,521 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Oil, Gas & Consumable Fuels 5.6% | ||
Amplify Energy Corp. | 20,592 | 136,113 |
Arch Coal, Inc. | 28,543 | 2,047,675 |
Berry Petroleum Corp. | 124,166 | 1,170,885 |
Brigham Minerals, Inc., Class A | 66,166 | 1,418,599 |
Callon Petroleum Co.(a) | 195,622 | 944,854 |
CONSOL Energy, Inc.(a) | 5,543 | 80,429 |
Delek U.S. Holdings, Inc. | 113,911 | 3,819,436 |
EnCana Corp. | 204,592 | 959,537 |
Enerplus Corp. | 289,943 | 2,067,294 |
Green Plains, Inc. | 90,180 | 1,391,477 |
Hallador Energy Co. | 2,200 | 6,534 |
Magnolia Oil & Gas Corp., Class A(a) | 161,400 | 2,030,412 |
Par Pacific Holdings, Inc.(a) | 60,604 | 1,408,437 |
Parsley Energy, Inc., Class A | 75,149 | 1,421,068 |
PBF Energy, Inc., Class A | 33,738 | 1,058,361 |
PDC Energy, Inc.(a) | 142,913 | 3,740,033 |
Peabody Energy Corp. | 64,223 | 585,714 |
Renewable Energy Group, Inc.(a) | 27,189 | 732,744 |
Scorpio Tankers, Inc. | 28,953 | 1,139,011 |
SM Energy Co. | 82,397 | 926,142 |
Talos Energy, Inc.(a) | 33,963 | 1,023,984 |
Vermilion Energy, Inc. | 78,970 | 1,291,949 |
World Fuel Services Corp. | 51,163 | 2,221,497 |
WPX Energy, Inc.(a) | 444,278 | 6,104,380 |
Total | 37,726,565 | |
Total Energy | 48,209,086 | |
Financials 25.0% | ||
Banks 15.9% | ||
1st Source Corp. | 1,420 | 73,670 |
Amalgamated Bank, Class A | 15,821 | 307,718 |
American National Bankshares, Inc. | 742 | 29,361 |
Atlantic Capital Bancshares, Inc.(a) | 18,395 | 337,548 |
Atlantic Union Bankshares Corp. | 48,712 | 1,829,136 |
BancFirst Corp. | 15,418 | 962,700 |
Bancorp, Inc. (The)(a) | 66,982 | 868,757 |
Bank of Commerce Holdings | 4,393 | 50,827 |
Bank of Marin Bancorp | 5,773 | 260,074 |
Bank of Princeton (The) | 1,636 | 51,518 |
110 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Small Cap Value Fund, December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
BankFinancial Corp. | 6,183 | 80,874 |
Banner Corp. | 83,555 | 4,728,377 |
Baycom Corp.(a) | 600 | 13,644 |
Berkshire Hills Bancorp, Inc. | 52,925 | 1,740,174 |
Bryn Mawr Bank Corp. | 8,010 | 330,332 |
Cambridge Bancorp | 500 | 40,075 |
Capital City Bank Group, Inc. | 7,392 | 225,456 |
Cathay General Bancorp | 88,496 | 3,367,273 |
CBTX, Inc. | 7,073 | 220,112 |
Central Pacific Financial Corp. | 40,767 | 1,205,888 |
Central Valley Community Bancorp | 6,884 | 149,176 |
Chemung Financial Corp. | 1,513 | 64,302 |
CIT Group, Inc. | 12,040 | 549,385 |
Coastal Financial Corp.(a) | 1,797 | 29,597 |
Community Bank System, Inc. | 45,846 | 3,252,315 |
Community Trust Bancorp, Inc. | 14,148 | 659,863 |
Cullen/Frost Bankers, Inc. | 2,370 | 231,739 |
Eagle Bancorp, Inc. | 44,741 | 2,175,755 |
Enterprise Financial Services Corp. | 85,458 | 4,119,930 |
Evans Bancorp, Inc. | 11 | 441 |
FB Financial Corp. | 9,657 | 382,321 |
Financial Institutions, Inc. | 10,745 | 344,914 |
First BanCorp | 221,336 | 2,343,948 |
First BanCorp | 16,716 | 667,136 |
First Busey Corp. | 174,492 | 4,798,530 |
First Business Financial Services, Inc. | 5,392 | 141,971 |
First Commonwealth Financial Corp. | 88,439 | 1,283,250 |
First Financial Corp. | 5,450 | 249,174 |
First Interstate Bancsystem, Inc. | 24,235 | 1,015,931 |
First Merchants Corp. | 24,467 | 1,017,582 |
First Midwest Bancorp, Inc. | 65,623 | 1,513,266 |
FNB Corp. | 132,044 | 1,676,959 |
Glacier Bancorp, Inc. | 28,215 | 1,297,608 |
Great Southern Bancorp, Inc. | 7,337 | 464,579 |
Guaranty Bancshares, Inc. | 3,147 | 103,473 |
Hancock Whitney Corp. | 23,360 | 1,025,037 |
Heartland Financial U.S.A., Inc. | 66,308 | 3,298,160 |
Heritage Financial Corp. | 17,733 | 501,844 |
HomeTrust Bancshares, Inc. | 11,200 | 300,496 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Iberiabank Corp. | 92,794 | 6,943,775 |
Independent Bank Corp. | 20,660 | 1,719,945 |
Independent Bank Corp. | 13,878 | 314,337 |
Independent Bank Group, Inc. | 15,095 | 836,867 |
Investors Bancorp, Inc. | 245,268 | 2,922,368 |
Lakeland Bancorp, Inc. | 20,330 | 353,335 |
Lakeland Financial Corp. | 69,494 | 3,400,341 |
Macatawa Bank Corp. | 5,661 | 63,007 |
Metropolitan Bank Holding Corp.(a) | 4,564 | 220,122 |
MidWestOne Financial Group, Inc. | 3,337 | 120,899 |
National Bank Holdings Corp., Class A | 89,033 | 3,135,742 |
Nicolet Bankshares, Inc.(a) | 7,700 | 568,645 |
Northrim BanCorp, Inc. | 826 | 31,636 |
Old Second Bancorp, Inc. | 3,066 | 41,299 |
Opus Bank | 21,785 | 563,578 |
Park National Corp. | 1,730 | 177,117 |
Peapack Gladstone Financial Corp. | 5,123 | 158,301 |
Peoples Bancorp, Inc. | 5,777 | 200,231 |
People’s Utah Bancorp | 4,806 | 144,757 |
Pinnacle Financial Partners, Inc. | 49,979 | 3,198,656 |
Preferred Bank | 51,479 | 3,093,373 |
QCR Holdings, Inc. | 11,375 | 498,907 |
Renasant Corp. | 129,849 | 4,599,252 |
Republic First Bancorp, Inc.(a) | 10,767 | 45,006 |
Sandy Spring Bancorp, Inc. | 20,673 | 783,093 |
Seacoast Banking Corp. of Florida(a) | 72,609 | 2,219,657 |
Shore Bancshares, Inc. | 6,927 | 120,253 |
Sierra Bancorp | 3,689 | 107,424 |
SmartFinancial, Inc. | 7,670 | 181,395 |
Texas Capital Bancshares, Inc.(a) | 3,892 | 220,949 |
UMB Financial Corp. | 20,890 | 1,433,890 |
Umpqua Holdings Corp. | 281,249 | 4,978,107 |
United Community Banks, Inc. | 105,698 | 3,263,954 |
WesBanco, Inc. | 81,353 | 3,074,330 |
Western Alliance Bancorp | 44,677 | 2,546,589 |
Wintrust Financial Corp. | 56,238 | 3,987,274 |
Total | 106,650,607 |
Columbia Variable Portfolio Funds | Annual Report 2019 | 111 |
Variable Portfolio – Partners Small Cap Value Fund, December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Capital Markets 1.2% | ||
Donnelley Financial Solutions, Inc.(a) | 41,776 | 437,395 |
Evercore, Inc., Class A | 36,362 | 2,718,423 |
Piper Jaffray Companies | 33,671 | 2,691,660 |
Waddell & Reed Financial, Inc., Class A | 122,739 | 2,052,196 |
Total | 7,899,674 | |
Consumer Finance 0.3% | ||
Elevate Credit, Inc.(a) | 17,085 | 76,028 |
Green Dot Corp., Class A(a) | 45,010 | 1,048,733 |
LendingClub Corp.(a) | 13,628 | 171,986 |
SLM Corp. | 97,368 | 867,549 |
Total | 2,164,296 | |
Diversified Financial Services 0.1% | ||
Marlin Business Services Corp. | 1,890 | 41,542 |
Voya Financial, Inc. | 9,965 | 607,666 |
Total | 649,208 | |
Insurance 3.7% | ||
American Equity Investment Life Holding Co. | 38,683 | 1,157,782 |
AMERISAFE, Inc. | 25,098 | 1,657,221 |
Argo Group International Holdings Ltd. | 47,389 | 3,115,827 |
Axis Capital Holdings Ltd. | 18,966 | 1,127,339 |
Brighthouse Financial, Inc.(a) | 4,779 | 187,480 |
BRP Group, Inc., Class A(a) | 63,967 | 1,026,670 |
CNO Financial Group, Inc. | 234,326 | 4,248,330 |
Donegal Group, Inc., Class A | 3,258 | 48,284 |
Employers Holdings, Inc. | 26,415 | 1,102,826 |
FedNat Holding Co. | 8,788 | 146,144 |
Hallmark Financial Services, Inc.(a) | 27,955 | 491,169 |
HCI Group, Inc. | 14,207 | 648,550 |
Heritage Insurance Holdings, Inc. | 17,910 | 237,307 |
Horace Mann Educators Corp. | 45,905 | 2,004,212 |
National General Holdings Corp. | 49,593 | 1,096,005 |
ProAssurance Corp. | 31,245 | 1,129,194 |
Protective Insurance Corp., Class B | 4,676 | 75,237 |
Reinsurance Group of America, Inc. | 11,759 | 1,917,423 |
Selective Insurance Group, Inc. | 14,129 | 921,070 |
State Auto Financial Corp. | 5,044 | 156,465 |
Stewart Information Services Corp. | 39,054 | 1,593,013 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Third Point Reinsurance Ltd.(a) | 36,503 | 384,012 |
United Insurance Holdings Corp. | 24,342 | 306,953 |
Total | 24,778,513 | |
Mortgage Real Estate Investment Trusts (REITS) 1.3% | ||
Chimera Investment Corp. | 72,254 | 1,485,542 |
Invesco Mortgage Capital, Inc. | 142,774 | 2,377,187 |
Ladder Capital Corp., Class A | 164,320 | 2,964,333 |
Redwood Trust, Inc. | 91,672 | 1,516,255 |
Total | 8,343,317 | |
Thrifts & Mortgage Finance 2.5% | ||
Bridgewater Bancshares, Inc.(a) | 10,377 | 142,995 |
First Defiance Financial Corp. | 18,644 | 587,100 |
Flagstar Bancorp, Inc. | 62,311 | 2,383,396 |
Home Bancorp, Inc. | 991 | 38,837 |
HomeStreet, Inc.(a) | 33,418 | 1,136,212 |
Merchants Bancorp | 10,142 | 199,899 |
Meridian Bancorp, Inc. | 16,350 | 328,471 |
OceanFirst Financial Corp. | 21,251 | 542,750 |
OP Bancorp | 6,132 | 63,589 |
Radian Group, Inc. | 194,697 | 4,898,576 |
Riverview Bancorp, Inc. | 4,320 | 35,467 |
Territorial Bancorp, Inc. | 3,167 | 97,987 |
TrustCo Bank Corp. | 103,465 | 897,042 |
United Community Financial Corp. | 1,500 | 17,490 |
Washington Federal, Inc. | 88,938 | 3,259,578 |
WSFS Financial Corp. | 45,886 | 2,018,525 |
Total | 16,647,914 | |
Total Financials | 167,133,529 | |
Health Care 7.2% | ||
Biotechnology 1.2% | ||
Acorda Therapeutics, Inc.(a) | 189,628 | 386,841 |
Adamas Pharmaceuticals, Inc.(a) | 17,571 | 66,594 |
Aduro Biotech, Inc.(a) | 3,000 | 3,540 |
AMAG Pharmaceuticals, Inc.(a) | 69,340 | 843,868 |
Applied Genetic Technologies Corp.(a) | 8,528 | 38,547 |
Aptinyx, Inc.(a) | 19,386 | 66,300 |
BeyondSpring, Inc.(a) | 8,069 | 125,070 |
BioCryst Pharmaceuticals, Inc.(a) | 108,609 | 374,701 |
112 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Small Cap Value Fund, December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Chimerix, Inc.(a) | 80,099 | 162,601 |
Cidara Therapeutics, Inc.(a) | 12,135 | 46,598 |
Coherus Biosciences, Inc.(a) | 18,750 | 337,594 |
Concert Pharmaceuticals, Inc.(a) | 31,887 | 294,158 |
Cyclerion Therapeutics, Inc.(a) | 8,520 | 23,174 |
Cytokinetics, Inc.(a) | 12,849 | 136,328 |
Five Prime Therapeutics, Inc.(a) | 34,444 | 158,098 |
Immunogen, Inc.(a) | 18,160 | 92,707 |
Intrexon Corp.(a) | 124,182 | 680,517 |
Jounce Therapeutics, Inc.(a) | 6,721 | 58,674 |
Kezar Life Sciences, Inc.(a) | 2,600 | 10,426 |
Minerva Neurosciences, Inc.(a) | 30,825 | 219,166 |
Myriad Genetics, Inc.(a) | 38,165 | 1,039,233 |
Neon Therapeutics, Inc.(a) | 5,207 | 6,144 |
NewLink Genetics Corp.(a) | 16,357 | 41,383 |
Protagonist Therapeutics, Inc.(a) | 4,481 | 31,591 |
Prothena Corp., PLC(a) | 45,509 | 720,408 |
Rigel Pharmaceuticals, Inc.(a) | 73,310 | 156,883 |
Spero Therapeutics, Inc.(a) | 4,623 | 44,450 |
Sutro Biopharma, Inc.(a) | 5,467 | 60,137 |
TG Therapeutics, Inc.(a) | 14,033 | 155,766 |
United Therapeutics Corp.(a) | 14,830 | 1,306,226 |
UNITY Biotechnology, Inc.(a) | 18,160 | 130,934 |
Total | 7,818,657 | |
Health Care Equipment & Supplies 2.9% | ||
Angiodynamics, Inc.(a) | 67,726 | 1,084,293 |
Chembio Diagnostics, Inc.(a) | 121,918 | 555,946 |
Endologix, Inc.(a) | 37,767 | 59,672 |
ICU Medical, Inc.(a) | 11,993 | 2,244,130 |
LeMaitre Vascular, Inc. | 11,183 | 402,029 |
LivaNova PLC(a) | 24,658 | 1,859,953 |
Natus Medical, Inc.(a) | 66,831 | 2,204,755 |
Orthofix Medical, Inc.(a) | 214,593 | 9,909,905 |
RTI Surgical Holdings, Inc.(a) | 6,971 | 19,101 |
Varex Imaging Corp.(a) | 40,640 | 1,211,478 |
Total | 19,551,262 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Health Care Providers & Services 2.1% | ||
AMN Healthcare Services, Inc.(a) | 31,567 | 1,966,940 |
Brookdale Senior Living, Inc.(a) | 100 | 727 |
Cross Country Healthcare, Inc.(a) | 45,790 | 532,080 |
Ensign Group, Inc. (The) | 39,127 | 1,775,192 |
Hanger, Inc.(a) | 51,931 | 1,433,815 |
Magellan Health, Inc.(a) | 81,387 | 6,368,533 |
Mednax, Inc.(a) | 31,113 | 864,630 |
Molina Healthcare, Inc.(a) | 2,511 | 340,718 |
Owens & Minor, Inc. | 115,474 | 597,000 |
Triple-S Management Corp., Class B(a) | 29,672 | 548,635 |
Total | 14,428,270 | |
Health Care Technology 0.4% | ||
Allscripts Healthcare Solutions, Inc.(a) | 211,074 | 2,071,691 |
Computer Programs & Systems, Inc. | 21,734 | 573,778 |
Total | 2,645,469 | |
Pharmaceuticals 0.6% | ||
Akorn, Inc.(a) | 36,649 | 54,973 |
Assertio Therapeutics, Inc.(a) | 220,589 | 275,736 |
Endo International PLC(a) | 103,611 | 485,936 |
Intra-Cellular Therapies, Inc.(a) | 7,901 | 271,083 |
Lannett Co., Inc.(a) | 9,588 | 84,566 |
Menlo Therapeutics, Inc.(a) | 6,834 | 31,710 |
Osmotica Pharmaceuticals PLC(a) | 7,625 | 53,299 |
Phibro Animal Health Corp., Class A | 15,938 | 395,741 |
Prestige Consumer Healthcare, Inc.(a) | 55,149 | 2,233,534 |
Total | 3,886,578 | |
Total Health Care | 48,330,236 | |
Industrials 12.2% | ||
Aerospace & Defense 0.3% | ||
Maxar Technologies, Inc. | 42,445 | 665,113 |
Parsons Corp.(a) | 30,292 | 1,250,454 |
Total | 1,915,567 |
Columbia Variable Portfolio Funds | Annual Report 2019 | 113 |
Variable Portfolio – Partners Small Cap Value Fund, December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Air Freight & Logistics 0.7% | ||
Air Transport Services Group, Inc.(a) | 106,633 | 2,501,610 |
Echo Global Logistics, Inc.(a) | 44,189 | 914,712 |
Forward Air Corp. | 14,154 | 990,073 |
XPO Logistics, Inc.(a) | 3,066 | 244,360 |
Total | 4,650,755 | |
Airlines 0.2% | ||
Allegiant Travel Co. | 7,043 | 1,225,764 |
American Airlines Group, Inc. | 8,011 | 229,755 |
Total | 1,455,519 | |
Building Products 0.8% | ||
Apogee Enterprises, Inc. | 9,385 | 305,013 |
Armstrong Flooring, Inc.(a) | 55,242 | 235,883 |
Builders FirstSource, Inc.(a) | 18,986 | 482,434 |
Gibraltar Industries, Inc.(a) | 55,495 | 2,799,168 |
Insteel Industries, Inc. | 2,358 | 50,673 |
Lennox International, Inc. | 2,724 | 664,574 |
Quanex Building Products Corp. | 44,969 | 768,071 |
Resideo Technologies, Inc.(a) | 17,888 | 213,404 |
Total | 5,519,220 | |
Commercial Services & Supplies 1.0% | ||
Brink’s Co. (The) | 16,726 | 1,516,713 |
Pitney Bowes, Inc. | 262,028 | 1,055,973 |
RR Donnelley & Sons Co. | 222,565 | 879,132 |
SP Plus Corp.(a) | 69,617 | 2,953,849 |
Total | 6,405,667 | |
Construction & Engineering 1.6% | ||
AECOM(a) | 15,578 | 671,879 |
Aegion Corp.(a) | 66,294 | 1,482,997 |
EMCOR Group, Inc. | 54,307 | 4,686,694 |
Granite Construction, Inc. | 47,618 | 1,317,590 |
HC2 Holdings, Inc.(a) | 7,917 | 17,180 |
Orion Group Holdings, Inc.(a) | 8,390 | 43,544 |
Primoris Services Corp. | 19,033 | 423,294 |
Sterling Construction Co., Inc.(a) | 151,636 | 2,135,035 |
Total | 10,778,213 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Electrical Equipment 2.3% | ||
AZZ, Inc. | 78,044 | 3,586,122 |
EnerSys | 59,238 | 4,432,779 |
Powell Industries, Inc. | 7,104 | 348,025 |
Regal Beloit Corp. | 82,847 | 7,092,532 |
Total | 15,459,458 | |
Machinery 3.5% | ||
AGCO Corp. | 13,715 | 1,059,484 |
Astec Industries, Inc. | 82,066 | 3,446,772 |
Briggs & Stratton Corp. | 140,637 | 936,642 |
Columbus McKinnon Corp. | 65,519 | 2,622,726 |
Commercial Vehicle Group, Inc.(a) | 57,590 | 365,696 |
Crane Co. | 11,036 | 953,290 |
Hyster-Yale Materials Handling, Inc. | 10,955 | 645,907 |
ITT, Inc. | 15,975 | 1,180,712 |
Kennametal, Inc. | 44,739 | 1,650,422 |
LB Foster Co., Class A(a) | 5,971 | 115,718 |
Manitowoc Co., Inc. (The)(a) | 96,227 | 1,683,972 |
Mueller Water Products, Inc., Class A | 104,441 | 1,251,203 |
Navistar International Corp.(a) | 33,775 | 977,448 |
Park-Ohio Holdings Corp. | 6,384 | 214,822 |
REV Group, Inc. | 49,337 | 603,392 |
Spartan Motors, Inc. | 6,235 | 112,729 |
SPX Corp.(a) | 68,591 | 3,489,910 |
Terex Corp. | 69,066 | 2,056,785 |
Titan International, Inc. | 51,407 | 186,093 |
Wabash National Corp. | 659 | 9,681 |
Total | 23,563,404 | |
Professional Services 1.1% | ||
CBIZ, Inc.(a) | 71,030 | 1,914,969 |
Huron Consulting Group, Inc.(a) | 10,513 | 722,453 |
Kelly Services, Inc., Class A | 11,975 | 270,396 |
Korn/Ferry International | 67,129 | 2,846,270 |
ManpowerGroup, Inc. | 7,700 | 747,670 |
TrueBlue, Inc.(a) | 37,273 | 896,788 |
Total | 7,398,546 | |
Road & Rail 0.2% | ||
ArcBest Corp. | 40,150 | 1,108,140 |
114 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Small Cap Value Fund, December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Trading Companies & Distributors 0.5% | ||
Foundation Building Materials, Inc.(a) | 27,226 | 526,823 |
Herc Holdings Inc(a) | 31,463 | 1,539,799 |
MRC Global, Inc.(a) | 5,464 | 74,529 |
Veritiv Corp.(a) | 21,714 | 427,115 |
WESCO International, Inc.(a) | 10,744 | 638,086 |
Total | 3,206,352 | |
Total Industrials | 81,460,841 | |
Information Technology 12.8% | ||
Communications Equipment 1.9% | ||
ADTRAN, Inc. | 63,701 | 630,003 |
Calix, Inc.(a) | 28,718 | 229,744 |
Casa Systems, Inc.(a) | 42,335 | 173,150 |
DASAN Zhone Solutions, Inc.(a) | 14,859 | 131,651 |
Digi International, Inc.(a) | 24,083 | 426,751 |
EMCORE Corp.(a) | 13,202 | 40,134 |
Harmonic, Inc.(a) | 53,291 | 415,670 |
Infinera Corp.(a) | 177,359 | 1,408,230 |
InterDigital, Inc. | 25,620 | 1,396,034 |
NETGEAR, Inc.(a) | 64,327 | 1,576,655 |
Netscout Systems, Inc.(a) | 44,930 | 1,081,465 |
Radware Ltd.(a) | 128,057 | 3,301,309 |
Ribbon Communications, Inc.(a) | 48,709 | 150,998 |
Sierra Wireless, Inc.(a) | 192,186 | 1,835,376 |
Total | 12,797,170 | |
Electronic Equipment, Instruments & Components 2.7% | ||
Arlo Technologies, Inc.(a) | 127,955 | 538,691 |
Arrow Electronics, Inc.(a) | 9,198 | 779,438 |
Avnet, Inc. | 65,254 | 2,769,380 |
Bel Fuse, Inc., Class B | 12,854 | 263,507 |
Belden, Inc. | 22,805 | 1,254,275 |
Benchmark Electronics, Inc. | 61,287 | 2,105,821 |
Daktronics, Inc. | 30,033 | 182,901 |
FARO Technologies, Inc.(a) | 56,602 | 2,849,911 |
Jabil, Inc. | 19,634 | 811,473 |
MTS Systems Corp. | 16,641 | 799,267 |
Scansource, Inc.(a) | 1,807 | 66,769 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
SYNNEX Corp. | 26,499 | 3,413,071 |
TTM Technologies, Inc.(a) | 129,793 | 1,953,385 |
Total | 17,787,889 | |
IT Services 1.2% | ||
Conduent, Inc.(a) | 460,230 | 2,853,426 |
EVERTEC, Inc. | 43,175 | 1,469,677 |
KBR, Inc. | 29,992 | 914,756 |
MAXIMUS, Inc. | 16,768 | 1,247,372 |
TTEC Holdings, Inc. | 21,176 | 838,993 |
Unisys Corp.(a) | 65,684 | 779,012 |
Total | 8,103,236 | |
Semiconductors & Semiconductor Equipment 2.0% | ||
Alpha & Omega Semiconductor Ltd.(a) | 23,693 | 322,699 |
Cirrus Logic, Inc.(a) | 43,556 | 3,589,450 |
Kopin Corp.(a) | 15,113 | 6,062 |
MKS Instruments, Inc. | 19,267 | 2,119,563 |
NeoPhotonics Corp.(a) | 24,764 | 218,418 |
Pixelworks, Inc.(a) | 36,375 | 142,590 |
Semtech Corp.(a) | 25,517 | 1,349,849 |
SMART Global Holdings, Inc.(a) | 7,941 | 301,282 |
Synaptics, Inc.(a) | 66,085 | 4,346,410 |
Veeco Instruments, Inc.(a) | 52,415 | 769,714 |
Total | 13,166,037 | |
Software 3.3% | ||
Alarm.com Holdings, Inc.(a) | 34,730 | 1,492,348 |
Box, Inc., Class A(a) | 73,552 | 1,234,203 |
FireEye, Inc.(a) | 382,641 | 6,325,056 |
j2 Global, Inc. | 24,989 | 2,341,719 |
Progress Software Corp. | 183,915 | 7,641,668 |
QAD, Inc., Class A | 601 | 30,609 |
Rosetta Stone, Inc.(a) | 55,092 | 999,369 |
Synchronoss Technologies, Inc.(a) | 88,305 | 419,449 |
Telenav, Inc.(a) | 41,025 | 199,381 |
TiVo Corp. | 183,688 | 1,557,674 |
Total | 22,241,476 |
Columbia Variable Portfolio Funds | Annual Report 2019 | 115 |
Variable Portfolio – Partners Small Cap Value Fund, December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Technology Hardware, Storage & Peripherals 1.7% | ||
Diebold, Inc.(a) | 23,380 | 246,893 |
Intevac, Inc.(a) | 8,288 | 58,513 |
NCR Corp.(a) | 289,076 | 10,163,912 |
Stratasys Ltd.(a) | 41,580 | 840,956 |
Total | 11,310,274 | |
Total Information Technology | 85,406,082 | |
Materials 6.4% | ||
Chemicals 3.4% | ||
AdvanSix, Inc.(a) | 37,260 | 743,710 |
Ashland Global Holdings, Inc. | 12,229 | 935,885 |
CF Industries Holdings, Inc. | 5,778 | 275,842 |
Element Solutions, Inc.(a) | 23,349 | 272,716 |
Ferro Corp.(a) | 170,917 | 2,534,699 |
Flotek Industries, Inc.(a) | 11,144 | 22,288 |
Huntsman Corp. | 61,008 | 1,473,953 |
Innophos Holdings, Inc. | 291,498 | 9,322,106 |
Kraton Performance Polymers, Inc.(a) | 25,896 | 655,687 |
Minerals Technologies, Inc. | 39,785 | 2,292,810 |
NewMarket Corp. | 986 | 479,709 |
PolyOne Corp. | 15,484 | 569,656 |
Stepan Co. | 6,228 | 637,996 |
Trinseo SA | 47,751 | 1,776,815 |
Valvoline, Inc. | 22,100 | 473,161 |
Total | 22,467,033 | |
Containers & Packaging 0.4% | ||
Graphic Packaging Holding Co. | 33,859 | 563,752 |
Silgan Holdings, Inc. | 80,112 | 2,489,881 |
Total | 3,053,633 | |
Metals & Mining 1.6% | ||
Allegheny Technologies, Inc.(a) | 94,328 | 1,948,817 |
Coeur Mining, Inc.(a) | 97,068 | 784,309 |
Compass Minerals International, Inc. | 64,692 | 3,943,624 |
Olympic Steel, Inc. | 14,750 | 264,320 |
Ryerson Holding Corp.(a) | 9,905 | 117,176 |
Schnitzer Steel Industries, Inc., Class A | 48,829 | 1,058,613 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
SunCoke Energy, Inc. | 294,144 | 1,832,517 |
Warrior Met Coal, Inc. | 41,615 | 879,325 |
Total | 10,828,701 | |
Paper & Forest Products 1.0% | ||
Boise Cascade Co. | 51,062 | 1,865,295 |
PH Glatfelter Co. | 246,822 | 4,516,843 |
Verso Corp., Class A(a) | 8,136 | 146,692 |
Total | 6,528,830 | |
Total Materials | 42,878,197 | |
Real Estate 8.5% | ||
Equity Real Estate Investment Trusts (REITS) 8.5% | ||
Alexander & Baldwin, Inc. | 2,603 | 54,559 |
Braemar Hotels & Resorts, Inc. | 20,714 | 184,976 |
Brandywine Realty Trust | 166,209 | 2,617,792 |
Camden Property Trust | 5,920 | 628,112 |
CareTrust REIT, Inc. | 33,610 | 693,374 |
Chatham Lodging Trust | 64,346 | 1,180,106 |
Columbia Property Trust, Inc. | 124,481 | 2,602,898 |
CorePoint Lodging, Inc. | 75,188 | 803,008 |
Cousins Properties, Inc. | 29,658 | 1,221,909 |
DiamondRock Hospitality Co. | 167,427 | 1,855,091 |
Empire State Realty Trust, Inc., Class A | 134,880 | 1,882,925 |
Equity Commonwealth | 238,248 | 7,821,682 |
Franklin Street Properties Corp. | 34,316 | 293,745 |
Getty Realty Corp. | 10,527 | 346,022 |
Healthcare Trust of America, Inc., Class A | 47,733 | 1,445,355 |
Investors Real Estate Trust | 18,114 | 1,313,265 |
Kite Realty Group Trust | 80,300 | 1,568,259 |
Lexington Realty Trust | 123,075 | 1,307,057 |
Outfront Media, Inc. | 51,414 | 1,378,923 |
Pebblebrook Hotel Trust | 30,603 | 820,466 |
Physicians Realty Trust | 226,067 | 4,281,709 |
Preferred Apartment Communities, Inc., Class A | 119,429 | 1,590,794 |
QTS Realty Trust Inc., Class A | 21,359 | 1,159,153 |
Rayonier, Inc. | 24,114 | 789,975 |
Retail Opportunity Investments Corp. | 73,465 | 1,297,392 |
Retail Value, Inc. | 20,543 | 755,982 |
Rexford Industrial Realty, Inc. | 15,579 | 711,493 |
RLJ Lodging Trust | 168,640 | 2,988,301 |
116 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Small Cap Value Fund, December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
SITE Centers Corp. | 46,934 | 658,015 |
SL Green Realty Corp. | 9,316 | 855,954 |
Spirit Realty Capital, Inc. | 9,216 | 453,243 |
STAG Industrial, Inc. | 128,550 | 4,058,324 |
Summit Hotel Properties, Inc. | 205,422 | 2,534,907 |
Sunstone Hotel Investors, Inc. | 166,247 | 2,314,158 |
Washington Real Estate Investment Trust | 78,089 | 2,278,637 |
Total | 56,747,561 | |
Real Estate Management & Development 0.0% | ||
Altisource Portfolio Solutions SA(a) | 4,670 | 90,271 |
Consolidated-Tomoka Land Co. | 4,366 | 263,357 |
Forestar Group, Inc.(a) | 5,705 | 118,950 |
Total | 472,578 | |
Total Real Estate | 57,220,139 | |
Utilities 4.4% | ||
Electric Utilities 1.2% | ||
Allete, Inc. | 62,125 | 5,042,686 |
Genie Energy Ltd., Class B | 5,638 | 43,582 |
PNM Resources, Inc. | 45,001 | 2,282,001 |
Portland General Electric Co. | 9,729 | 542,781 |
Total | 7,911,050 | |
Gas Utilities 1.9% | ||
New Jersey Resources Corp. | 50,631 | 2,256,624 |
Northwest Natural Holding Co. | 8,051 | 593,600 |
ONE Gas, Inc. | 21,326 | 1,995,474 |
South Jersey Industries, Inc. | 60,784 | 2,004,656 |
Southwest Gas Holdings, Inc. | 42,885 | 3,257,973 |
Spire, Inc. | 30,818 | 2,567,448 |
Total | 12,675,775 | |
Independent Power and Renewable Electricity Producers 0.1% | ||
NRG Energy, Inc. | 14,729 | 585,478 |
Multi-Utilities 0.7% | ||
Avista Corp. | 40,551 | 1,950,097 |
Black Hills Corp. | 38,090 | 2,991,589 |
Total | 4,941,686 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Water Utilities 0.5% | ||
California Water Service Group | 70,902 | 3,655,707 |
Total Utilities | 29,769,696 | |
Total Common Stocks (Cost $613,817,866) | 641,110,104 | |
Exchange-Traded Equity Funds 0.3% | ||
Shares | Value ($) | |
U.S. Small Cap 0.3% | ||
iShares S&P Small-Cap 600 Value ETF | 11,407 | 1,834,246 |
Total Exchange-Traded Equity Funds (Cost $1,568,657) | 1,834,246 | |
Rights —% | ||
Issuer | Shares | Value ($) |
Industrials —% | ||
Airlines —% | ||
American Airlines Escrow(a),(b),(c) | 185,100 | 0 |
Total Industrials | 0 | |
Total Rights (Cost $—) | 0 | |
Money Market Funds 4.5% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(d),(e) | 30,297,404 | 30,294,374 |
Total Money Market Funds (Cost $30,294,550) | 30,294,374 | |
Total Investments in Securities (Cost: $645,681,073) | 673,238,724 | |
Other Assets & Liabilities, Net | (4,027,181) | |
Net Assets | 669,211,543 |
Columbia Variable Portfolio Funds | Annual Report 2019 | 117 |
Variable Portfolio – Partners Small Cap Value Fund, December 31, 2019
(a) | Non-income producing investment. |
(b) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At December 31, 2019, the total value of these securities amounted to $0, which represents less than 0.01% of total net assets. |
(c) | Valuation based on significant unobservable inputs. |
(d) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
(e) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | ||||||||
16,443,628 | 307,462,284 | (293,608,508) | 30,297,404 | (282) | (176) | 610,754 | 30,294,374 |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 8,424,602 | — | — | 8,424,602 |
Consumer Discretionary | 51,100,621 | — | — | 51,100,621 |
Consumer Staples | 21,177,075 | — | — | 21,177,075 |
118 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Small Cap Value Fund, December 31, 2019
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Energy | 48,209,086 | — | — | 48,209,086 |
Financials | 167,133,529 | — | — | 167,133,529 |
Health Care | 48,330,236 | — | — | 48,330,236 |
Industrials | 81,460,841 | — | — | 81,460,841 |
Information Technology | 85,406,082 | — | — | 85,406,082 |
Materials | 42,878,197 | — | — | 42,878,197 |
Real Estate | 57,220,139 | — | — | 57,220,139 |
Utilities | 29,769,696 | — | — | 29,769,696 |
Total Common Stocks | 641,110,104 | — | — | 641,110,104 |
Exchange-Traded Equity Funds | 1,834,246 | — | — | 1,834,246 |
Rights | ||||
Industrials | — | — | 0* | 0* |
Total Rights | — | — | 0* | 0* |
Money Market Funds | 30,294,374 | — | — | 30,294,374 |
Total Investments in Securities | 673,238,724 | — | 0* | 673,238,724 |
* | Rounds to zero. |
Columbia Variable Portfolio Funds | Annual Report 2019 | 119 |
December 31, 2019
Columbia Variable Portfolio – Global Strategic Income Fund | Columbia Variable Portfolio – Intermediate Bond Fund | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | |
Assets | |||
Investments in securities, at value | |||
Unaffiliated issuers (cost $97,223,222, $5,241,415,837, $102,000,052, respectively) | $101,727,704 | $5,356,104,584 | $105,609,342 |
Affiliated issuers (cost $4,043,364, $151,569,498, $1,082,616, respectively) | 4,043,270 | 151,565,631 | 1,082,616 |
Options purchased (cost $—, $—, $496,153, respectively) | — | — | 414,152 |
Cash | — | 18,080 | 1,165 |
Foreign currency (cost $6,503,821, $—, $2,872,888, respectively) | 6,579,838 | — | 2,916,413 |
Cash collateral held at broker for: | |||
Options contracts written | — | 1,449,500 | — |
Margin deposits on: | |||
Futures contracts | 329,650 | — | 229,585 |
Swap contracts | 205,015 | 9,066,268 | 337,590 |
Unrealized appreciation on forward foreign currency exchange contracts | — | 36,990 | 49,985 |
Upfront payments on swap contracts | 73,829 | 6,956,272 | — |
Receivable for: | |||
Investments sold | 6,186 | 1,726 | 296,848 |
Capital shares sold | — | 38,045 | — |
Dividends | 5,215 | 150,056 | 1,599 |
Interest | 962,434 | 22,226,960 | 245,965 |
Foreign tax reclaims | 7,461 | 138,540 | 6,030 |
Variation margin for futures contracts | 38,211 | 108,701 | 27,256 |
Variation margin for swap contracts | 4,681 | 116,163 | 63,091 |
Expense reimbursement due from Investment Manager | — | — | 91 |
Prepaid expenses | 1,836 | 11,012 | 1,899 |
Total assets | 113,985,330 | 5,547,988,528 | 111,283,627 |
Liabilities | |||
Option contracts written, at value (premiums received $—, $971,040, $860,095, respectively) | — | 1,138,406 | 777,678 |
Unrealized depreciation on forward foreign currency exchange contracts | 262,709 | 499,367 | 1,278,713 |
Unrealized depreciation on swap contracts | 20,934 | 6,388,563 | — |
Upfront receipts on swap contracts | 59,724 | — | — |
Payable for: | |||
Investments purchased | — | — | 31,462 |
Investments purchased on a delayed delivery basis | — | 872,966,508 | — |
Capital shares purchased | 49,573 | 3,404,298 | 107,241 |
Variation margin for futures contracts | 875 | 3,006,887 | 14,844 |
Variation margin for swap contracts | — | — | 49,141 |
Management services fees | 2,018 | 59,983 | 1,520 |
Distribution and/or service fees | 425 | 2,191 | 440 |
Service fees | 5,756 | 29,612 | 5,563 |
Compensation of board members | 99,969 | 327,278 | 143,348 |
Compensation of chief compliance officer | 26 | 1,022 | 26 |
Other expenses | 54,377 | 122,067 | 55,148 |
Total liabilities | 556,386 | 887,946,182 | 2,465,124 |
Net assets applicable to outstanding capital stock | $113,428,944 | $4,660,042,346 | $108,818,503 |
Represented by | |||
Paid in capital | 110,029,095 | 4,357,229,084 | 106,012,702 |
Total distributable earnings (loss) | 3,399,849 | 302,813,262 | 2,805,801 |
Total - representing net assets applicable to outstanding capital stock | $113,428,944 | $4,660,042,346 | $108,818,503 |
120 | Columbia Variable Portfolio Funds | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Global Strategic Income Fund | Columbia Variable Portfolio – Intermediate Bond Fund | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | |
Class 1 | |||
Net assets | $10,167 | $4,074,588,677 | $27,568 |
Shares outstanding | 1,116 | 382,149,945 | 4,869 |
Net asset value per share | $9.11 | $10.66 | $5.66 |
Class 2 | |||
Net assets | $10,750,387 | $53,012,182 | $19,663,038 |
Shares outstanding | 1,199,937 | 4,992,568 | 3,552,773 |
Net asset value per share | $8.96 | $10.62 | $5.53 |
Class 3 | |||
Net assets | $102,668,390 | $532,441,487 | $89,127,897 |
Shares outstanding | 11,349,945 | 49,886,467 | 15,826,421 |
Net asset value per share | $9.05 | $10.67 | $5.63 |
Columbia Variable Portfolio Funds | Annual Report 2019 | 121 |
December 31, 2019
CTIVP® – Victory Sycamore Established Value Fund | Variable Portfolio – Partners Core Equity Fund | Variable Portfolio – Partners Small Cap Value Fund | |
Assets | |||
Investments in securities, at value | |||
Unaffiliated issuers (cost $563,646,667, $1,984,862,052, $615,386,523, respectively) | $638,229,262 | $2,236,146,499 | $642,944,350 |
Affiliated issuers (cost $22,714,815, $46,267,615, $30,294,550, respectively) | 22,714,277 | 46,266,272 | 30,294,374 |
Receivable for: | |||
Investments sold | 704,995 | 4,043,690 | 431,327 |
Capital shares sold | 11,370 | — | 72 |
Dividends | 796,729 | 2,502,961 | 1,038,291 |
Foreign tax reclaims | — | 47,944 | 2,382 |
Expense reimbursement due from Investment Manager | — | 184 | — |
Prepaid expenses | 2,877 | 5,845 | 3,113 |
Total assets | 662,459,510 | 2,289,013,395 | 674,713,909 |
Liabilities | |||
Payable for: | |||
Investments purchased | 5,409,161 | 4,782,092 | 5,158,057 |
Capital shares purchased | 336,030 | 2,680,960 | 165,121 |
Management services fees | 13,608 | 42,795 | 15,682 |
Distribution and/or service fees | 601 | 186 | 379 |
Service fees | 6,039 | 2,266 | 5,490 |
Compensation of board members | 61,287 | 136,674 | 110,024 |
Compensation of chief compliance officer | 137 | 461 | 165 |
Other expenses | 31,936 | 34,681 | 47,448 |
Total liabilities | 5,858,799 | 7,680,115 | 5,502,366 |
Net assets applicable to outstanding capital stock | $656,600,711 | $2,281,333,280 | $669,211,543 |
Represented by | |||
Trust capital | $656,600,711 | $2,281,333,280 | $669,211,543 |
Total - representing net assets applicable to outstanding capital stock | $656,600,711 | $2,281,333,280 | $669,211,543 |
Class 1 | |||
Net assets | $534,958,787 | $2,237,714,108 | $566,653,408 |
Shares outstanding | 17,643,754 | 93,828,260 | 19,515,168 |
Net asset value per share | $30.32 | $23.85 | $29.04 |
Class 2 | |||
Net assets | $54,158,132 | $10,759,869 | $8,276,310 |
Shares outstanding | 1,828,853 | 461,526 | 292,059 |
Net asset value per share | $29.61 | $23.31 | $28.34 |
Class 3 | |||
Net assets | $67,483,792 | $32,859,303 | $94,281,825 |
Shares outstanding | 2,250,870 | 1,394,290 | 3,289,039 |
Net asset value per share | $29.98 | $23.57 | $28.67 |
122 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Year Ended December 31, 2019
Columbia Variable Portfolio – Global Strategic Income Fund | Columbia Variable Portfolio – Intermediate Bond Fund | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | |
Net investment income | |||
Income: | |||
Dividends — unaffiliated issuers | $— | $3,654,235 | $— |
Dividends — affiliated issuers | 218,389 | 3,352,558 | 20,235 |
Interest | 4,180,032 | 174,605,924 | 1,389,282 |
Foreign taxes withheld | (259) | (56,065) | (16,247) |
Total income | 4,398,162 | 181,556,652 | 1,393,270 |
Expenses: | |||
Management services fees | 740,869 | 21,572,199 | 578,041 |
Distribution and/or service fees | |||
Class 2 | 25,397 | 112,491 | 46,750 |
Class 3 | 129,766 | 658,695 | 118,283 |
Service fees | 68,347 | 342,364 | 67,969 |
Compensation of board members | 21,681 | 102,743 | 26,194 |
Custodian fees | 54,175 | 72,900 | 35,309 |
Printing and postage fees | 62,970 | 127,096 | 25,480 |
Audit fees | 35,000 | 50,500 | 50,500 |
Legal fees | 8,405 | 50,580 | 8,405 |
Interest on collateral | — | 111,496 | 5,620 |
Compensation of chief compliance officer | 24 | 982 | 25 |
Other | 6,636 | 84,866 | 5,949 |
Total expenses | 1,153,270 | 23,286,912 | 968,525 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (321,838) | — | (113,940) |
Total net expenses | 831,432 | 23,286,912 | 854,585 |
Net investment income | 3,566,730 | 158,269,740 | 538,685 |
Realized and unrealized gain (loss) — net | |||
Net realized gain (loss) on: | |||
Investments — unaffiliated issuers | 701,188 | 15,111,688 | 1,541,765 |
Investments — affiliated issuers | 257 | 18,696 | (84) |
Foreign currency translations | 27,624 | (98,305) | (127,361) |
Forward foreign currency exchange contracts | 1,043,445 | (329,872) | 1,747,802 |
Futures contracts | (1,928,441) | 68,471,027 | (673,937) |
Options purchased | — | 5,122,002 | 56,673 |
Options contracts written | — | (8,612,785) | 14,439 |
Swap contracts | 417,260 | (1,224,932) | (873,053) |
Increase from payment by affiliate (Note 6) | 15,819 | — | — |
Net realized gain | 277,152 | 78,457,519 | 1,686,244 |
Net change in unrealized appreciation (depreciation) on: | |||
Investments — unaffiliated issuers | 7,580,710 | 212,670,580 | 6,755,747 |
Investments — affiliated issuers | (94) | (3,867) | — |
Foreign currency translations | 59,281 | 15,102 | 52,907 |
Forward foreign currency exchange contracts | (66,216) | (462,377) | (833,866) |
Futures contracts | 528,723 | (33,619,590) | 60,780 |
Options purchased | — | (819,275) | (145,434) |
Options contracts written | — | (1,074,746) | 91,985 |
Swap contracts | (141,220) | (9,827,275) | 443,207 |
Net change in unrealized appreciation (depreciation) | 7,961,184 | 166,878,552 | 6,425,326 |
Net realized and unrealized gain | 8,238,336 | 245,336,071 | 8,111,570 |
Net increase in net assets resulting from operations | $11,805,066 | $403,605,811 | $8,650,255 |
Columbia Variable Portfolio Funds | Annual Report 2019 | 123 |
Year Ended December 31, 2019
CTIVP® – Victory Sycamore Established Value Fund | Variable Portfolio – Partners Core Equity Fund | Variable Portfolio – Partners Small Cap Value Fund | |
Net investment income | |||
Income: | |||
Dividends — unaffiliated issuers | $12,192,974 | $39,668,645 | $13,069,084 |
Dividends — affiliated issuers | 411,721 | 956,318 | 610,754 |
Interfund lending | 197 | 816 | 539 |
Foreign taxes withheld | — | (32,130) | (28,876) |
Total income | 12,604,892 | 40,593,649 | 13,651,501 |
Expenses: | |||
Management services fees | 4,703,484 | 14,475,930 | 6,122,700 |
Distribution and/or service fees | |||
Class 2 | 119,213 | 25,998 | 19,407 |
Class 3 | 77,540 | 41,091 | 119,219 |
Service fees | 65,958 | 25,884 | 62,161 |
Compensation of board members | 24,242 | 50,417 | 30,715 |
Custodian fees | 12,455 | 15,739 | 34,215 |
Printing and postage fees | 23,484 | 21,376 | 30,041 |
Audit fees | 29,000 | 29,000 | 29,000 |
Legal fees | 13,053 | 26,641 | 14,019 |
Compensation of chief compliance officer | 132 | 443 | 156 |
Other | 13,406 | 35,146 | 15,786 |
Total expenses | 5,081,967 | 14,747,665 | 6,477,419 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | — | (238,968) | (36,475) |
Total net expenses | 5,081,967 | 14,508,697 | 6,440,944 |
Net investment income | 7,522,925 | 26,084,952 | 7,210,557 |
Realized and unrealized gain (loss) — net | |||
Net realized gain (loss) on: | |||
Investments — unaffiliated issuers | 61,584,312 | 277,901,147 | 4,632,655 |
Investments — affiliated issuers | 196 | 151 | (282) |
Foreign currency translations | — | — | (31) |
Net realized gain | 61,584,508 | 277,901,298 | 4,632,342 |
Net change in unrealized appreciation (depreciation) on: | |||
Investments — unaffiliated issuers | 80,514,829 | 178,418,273 | 114,910,249 |
Investments — affiliated issuers | (538) | (1,343) | (176) |
Foreign currency translations | — | — | 124 |
Net change in unrealized appreciation (depreciation) | 80,514,291 | 178,416,930 | 114,910,197 |
Net realized and unrealized gain | 142,098,799 | 456,318,228 | 119,542,539 |
Net increase in net assets resulting from operations | $149,621,724 | $482,403,180 | $126,753,096 |
124 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Columbia Variable Portfolio – Global Strategic Income Fund | Columbia Variable Portfolio – Intermediate Bond Fund | |||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||||
Net investment income | $3,566,730 | $4,182,782 | $158,269,740 | $148,801,688 |
Net realized gain (loss) | 277,152 | (3,809,151) | 78,457,519 | (37,245,670) |
Net change in unrealized appreciation (depreciation) | 7,961,184 | (7,557,585) | 166,878,552 | (99,047,205) |
Net increase (decrease) in net assets resulting from operations | 11,805,066 | (7,183,954) | 403,605,811 | 12,508,813 |
Distributions to shareholders | ||||
Net investment income and net realized gains | ||||
Class 1 | — | (400) | (129,529,414) | (125,300,658) |
Class 2 | — | (389,930) | (1,341,354) | (1,074,210) |
Class 3 | — | (5,157,224) | (16,363,714) | (16,657,620) |
Total distributions to shareholders | — | (5,547,554) | (147,234,482) | (143,032,488) |
Decrease in net assets from capital stock activity | (12,152,728) | (14,819,598) | (72,368,867) | (290,619,224) |
Total increase (decrease) in net assets | (347,662) | (27,551,106) | 184,002,462 | (421,142,899) |
Net assets at beginning of year | 113,776,606 | 141,327,712 | 4,476,039,884 | 4,897,182,783 |
Net assets at end of year | $113,428,944 | $113,776,606 | $4,660,042,346 | $4,476,039,884 |
Columbia Variable Portfolio – Global Strategic Income Fund | Columbia Variable Portfolio – Intermediate Bond Fund | |||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||
December 31, 2019 | December 31, 2018 | December 31, 2019 | December 31, 2018 | |||||
Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||||||
Class 1 | ||||||||
Subscriptions | — | — | — | — | 16,675,735 | 175,143,003 | 13,669,586 | 138,344,956 |
Distributions reinvested | — | — | 46 | 400 | 12,407,032 | 129,529,414 | 12,593,031 | 125,300,658 |
Redemptions | — | — | — | — | (35,693,824) | (374,529,744) | (46,874,750) | (473,064,862) |
Net increase (decrease) | — | — | 46 | 400 | (6,611,057) | (69,857,327) | (20,612,133) | (209,419,248) |
Class 2 | ||||||||
Subscriptions | 167,892 | 1,453,562 | 179,155 | 1,518,939 | 1,386,392 | 14,561,853 | 444,297 | 4,478,995 |
Distributions reinvested | — | — | 45,183 | 389,930 | 128,852 | 1,341,354 | 108,287 | 1,074,210 |
Redemptions | (144,045) | (1,239,293) | (139,127) | (1,169,236) | (251,956) | (2,636,071) | (491,486) | (4,931,106) |
Net increase | 23,847 | 214,269 | 85,211 | 739,633 | 1,263,288 | 13,267,136 | 61,098 | 622,099 |
Class 3 | ||||||||
Subscriptions | 283,910 | 2,483,622 | 126,665 | 1,088,121 | 943,494 | 9,998,241 | 313,134 | 3,190,660 |
Distributions reinvested | — | — | 593,466 | 5,157,224 | 1,565,906 | 16,363,714 | 1,670,774 | 16,657,620 |
Redemptions | (1,717,109) | (14,850,619) | (2,587,822) | (21,804,976) | (4,034,379) | (42,140,631) | (10,067,958) | (101,670,355) |
Net decrease | (1,433,199) | (12,366,997) | (1,867,691) | (15,559,631) | (1,524,979) | (15,778,676) | (8,084,050) | (81,822,075) |
Total net decrease | (1,409,352) | (12,152,728) | (1,782,434) | (14,819,598) | (6,872,748) | (72,368,867) | (28,635,085) | (290,619,224) |
Columbia Variable Portfolio Funds | Annual Report 2019 | 125 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | CTIVP® – Victory Sycamore Established Value Fund | |||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||||
Net investment income | $538,685 | $1,512,972 | $7,522,925 | $5,853,928 |
Net realized gain | 1,686,244 | 5,114,820 | 61,584,508 | 45,135,960 |
Net change in unrealized appreciation (depreciation) | 6,425,326 | (7,373,590) | 80,514,291 | (110,849,676) |
Net increase (decrease) in net assets resulting from operations | 8,650,255 | (745,798) | 149,621,724 | (59,859,788) |
Distributions to shareholders | ||||
Net investment income and net realized gains | ||||
Class 1 | (424) | (67) | — | — |
Class 2 | (568,883) | (91,887) | — | — |
Class 3 | (2,986,617) | (614,173) | — | — |
Total distributions to shareholders | (3,555,924) | (706,127) | — | — |
Increase (decrease) in net assets from capital stock activity | (10,218,119) | (10,431,561) | (30,020,638) | 11,191,292 |
Total increase (decrease) in net assets | (5,123,788) | (11,883,486) | 119,601,086 | (48,668,496) |
Net assets at beginning of year | 113,942,291 | 125,825,777 | 536,999,625 | 585,668,121 |
Net assets at end of year | $108,818,503 | $113,942,291 | $656,600,711 | $536,999,625 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | CTIVP® – Victory Sycamore Established Value Fund | |||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||
December 31, 2019 | December 31, 2018 | December 31, 2019 | December 31, 2018 | |||||
Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||||||
Class 1 | ||||||||
Subscriptions | 2,754 | 15,665 | — | — | 385,399 | 10,953,755 | 291,931 | 7,644,944 |
Distributions reinvested | 75 | 424 | 12 | 67 | — | — | — | — |
Redemptions | (32) | (186) | — | — | (1,469,945) | (42,232,511) | (108,252) | (2,926,905) |
Net increase (decrease) | 2,797 | 15,903 | 12 | 67 | (1,084,546) | (31,278,756) | 183,679 | 4,718,039 |
Class 2 | ||||||||
Subscriptions | 610,685 | 3,377,740 | 1,039,141 | 5,532,057 | 214,966 | 5,875,384 | 251,271 | 6,562,887 |
Distributions reinvested | 103,811 | 568,883 | 17,175 | 91,887 | — | — | — | — |
Redemptions | (420,142) | (2,319,724) | (402,687) | (2,139,265) | (134,545) | (3,580,034) | (72,287) | (1,866,168) |
Net increase | 294,354 | 1,626,899 | 653,629 | 3,484,679 | 80,421 | 2,295,350 | 178,984 | 4,696,719 |
Class 3 | ||||||||
Subscriptions | 521,418 | 2,924,918 | 902,806 | 4,897,113 | 148,859 | 4,074,904 | 231,157 | 6,156,812 |
Distributions reinvested | 536,197 | 2,986,617 | 113,108 | 614,173 | — | — | — | — |
Redemptions | (3,162,954) | (17,772,456) | (3,592,865) | (19,427,593) | (186,287) | (5,112,136) | (167,662) | (4,380,278) |
Net increase (decrease) | (2,105,339) | (11,860,921) | (2,576,951) | (13,916,307) | (37,428) | (1,037,232) | 63,495 | 1,776,534 |
Total net increase (decrease) | (1,808,188) | (10,218,119) | (1,923,310) | (10,431,561) | (1,041,553) | (30,020,638) | 426,158 | 11,191,292 |
126 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Core Equity Fund | Variable Portfolio – Partners Small Cap Value Fund | |||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||||
Net investment income | $26,084,952 | $22,647,835 | $7,210,557 | $6,945,495 |
Net realized gain | 277,901,298 | 114,135,650 | 4,632,342 | 44,563,002 |
Net change in unrealized appreciation (depreciation) | 178,416,930 | (292,241,746) | 114,910,197 | (155,302,197) |
Net increase (decrease) in net assets resulting from operations | 482,403,180 | (155,458,261) | 126,753,096 | (103,793,700) |
Decrease in net assets from capital stock activity | (17,343,111) | (15,430,584) | (127,843,282) | (39,301,587) |
Total increase (decrease) in net assets | 465,060,069 | (170,888,845) | (1,090,186) | (143,095,287) |
Net assets at beginning of year | 1,816,273,211 | 1,987,162,056 | 670,301,729 | 813,397,016 |
Net assets at end of year | $2,281,333,280 | $1,816,273,211 | $669,211,543 | $670,301,729 |
Variable Portfolio – Partners Core Equity Fund | Variable Portfolio – Partners Small Cap Value Fund | |||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||
December 31, 2019 | December 31, 2018 | December 31, 2019 | December 31, 2018 | |||||
Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||||||
Class 1 | ||||||||
Subscriptions | 8,809,618 | 189,907,794 | 9,726,045 | 201,779,375 | 758,779 | 20,858,210 | 123,697 | 3,406,689 |
Redemptions | (9,215,834) | (200,379,741) | (9,953,652) | (208,175,361) | (4,935,650) | (136,973,809) | (927,316) | (26,317,451) |
Net decrease | (406,216) | (10,471,947) | (227,607) | (6,395,986) | (4,176,871) | (116,115,599) | (803,619) | (22,910,762) |
Class 2 | ||||||||
Subscriptions | 27,500 | 567,406 | 39,040 | 792,595 | 39,350 | 1,051,309 | 56,330 | 1,568,374 |
Redemptions | (67,129) | (1,433,920) | (60,136) | (1,241,823) | (28,677) | (765,258) | (22,941) | (643,420) |
Net increase (decrease) | (39,629) | (866,514) | (21,096) | (449,228) | 10,673 | 286,051 | 33,389 | 924,954 |
Class 3 | ||||||||
Subscriptions | 28,333 | 581,034 | 25,764 | 522,069 | 50,562 | 1,359,130 | 44,199 | 1,194,627 |
Redemptions | (307,199) | (6,585,684) | (435,426) | (9,107,439) | (492,003) | (13,372,864) | (656,037) | (18,510,406) |
Net decrease | (278,866) | (6,004,650) | (409,662) | (8,585,370) | (441,441) | (12,013,734) | (611,838) | (17,315,779) |
Total net decrease | (724,711) | (17,343,111) | (658,365) | (15,430,584) | (4,607,639) | (127,843,282) | (1,382,068) | (39,301,587) |
Columbia Variable Portfolio Funds | Annual Report 2019 | 127 |
Columbia Variable Portfolio – Global Strategic Income Fund
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Increase from payment by affiliate | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | ||||||||
Year Ended 12/31/2019 | $8.21 | 0.29 | 0.61 | 0.00(c) | 0.90 | — | — | — |
Year Ended 12/31/2018 | $9.03 | 0.29 | (0.74) | — | (0.45) | (0.37) | — | (0.37) |
Year Ended 12/31/2017 | $8.53 | 0.29 | 0.21 | — | 0.50 | — | — | — |
Year Ended 12/31/2016 | $8.85 | 0.29 | (0.36) | — | (0.07) | — | (0.25) | (0.25) |
Year Ended 12/31/2015 | $10.26 | 0.30 | (0.87) | — | (0.57) | — | (0.84) | (0.84) |
Class 2 | ||||||||
Year Ended 12/31/2019 | $8.09 | 0.26 | 0.61 | 0.00(c) | 0.87 | — | — | — |
Year Ended 12/31/2018 | $8.91 | 0.26 | (0.73) | — | (0.47) | (0.35) | — | (0.35) |
Year Ended 12/31/2017 | $8.43 | 0.27 | 0.21 | — | 0.48 | — | — | — |
Year Ended 12/31/2016 | $8.78 | 0.26 | (0.36) | — | (0.10) | — | (0.25) | (0.25) |
Year Ended 12/31/2015 | $10.20 | 0.32 | (0.90) | — | (0.58) | — | (0.84) | (0.84) |
Class 3 | ||||||||
Year Ended 12/31/2019 | $8.16 | 0.27 | 0.62 | 0.00(c) | 0.89 | — | — | — |
Year Ended 12/31/2018 | $8.98 | 0.28 | (0.74) | — | (0.46) | (0.36) | — | (0.36) |
Year Ended 12/31/2017 | $8.49 | 0.28 | 0.21 | — | 0.49 | — | — | — |
Year Ended 12/31/2016 | $8.83 | 0.27 | (0.36) | — | (0.09) | — | (0.25) | (0.25) |
Year Ended 12/31/2015 | $10.25 | 0.33 | (0.91) | — | (0.58) | — | (0.84) | (0.84) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Rounds to zero. |
(d) | The Fund received a payment from an affiliate. Had the Fund not received this payment, the total return would have been lower by 0.01%. |
(e) | Ratios include interest on collateral expense which is less than 0.01%. |
128 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Columbia Variable Portfolio – Global Strategic Income Fund
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019 | $9.11 | 10.96%(d) | 0.87% | 0.59% | 3.27% | 57% | $10 |
Year Ended 12/31/2018 | $8.21 | (5.20%) | 0.86%(e) | 0.64%(e) | 3.34% | 86% | $9 |
Year Ended 12/31/2017 | $9.03 | 5.86% | 0.85% | 0.68% | 3.33% | 37% | $10 |
Year Ended 12/31/2016 | $8.53 | (1.00%) | 0.79% | 0.70% | 3.17% | 162% | $9 |
Year Ended 12/31/2015 | $8.85 | (6.08%) | 0.75% | 0.75% | 2.88% | 109% | $9 |
Class 2 | |||||||
Year Ended 12/31/2019 | $8.96 | 10.75%(d) | 1.12% | 0.84% | 3.01% | 57% | $10,750 |
Year Ended 12/31/2018 | $8.09 | (5.51%) | 1.10%(e) | 0.89%(e) | 3.08% | 86% | $9,512 |
Year Ended 12/31/2017 | $8.91 | 5.69% | 1.10% | 0.93% | 3.07% | 37% | $9,719 |
Year Ended 12/31/2016 | $8.43 | (1.35%) | 1.05% | 0.95% | 2.92% | 162% | $8,812 |
Year Ended 12/31/2015 | $8.78 | (6.22%) | 1.04% | 0.98% | 3.30% | 109% | $9,004 |
Class 3 | |||||||
Year Ended 12/31/2019 | $9.05 | 10.91%(d) | 1.00% | 0.72% | 3.14% | 57% | $102,668 |
Year Ended 12/31/2018 | $8.16 | (5.34%) | 0.97%(e) | 0.76%(e) | 3.25% | 86% | $104,256 |
Year Ended 12/31/2017 | $8.98 | 5.77% | 0.98% | 0.80% | 3.18% | 37% | $131,599 |
Year Ended 12/31/2016 | $8.49 | (1.23%) | 0.92% | 0.83% | 3.03% | 162% | $146,851 |
Year Ended 12/31/2015 | $8.83 | (6.17%) | 0.91% | 0.86% | 3.42% | 109% | $179,329 |
Columbia Variable Portfolio Funds | Annual Report 2019 | 129 |
Columbia Variable Portfolio – Intermediate Bond Fund
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | |||||||
Year Ended 12/31/2019 | $10.08 | 0.36 | 0.57 | 0.93 | (0.35) | — | (0.35) |
Year Ended 12/31/2018 | $10.36 | 0.33 | (0.29) | 0.04 | (0.25) | (0.07) | (0.32) |
Year Ended 12/31/2017 | $10.35 | 0.28 | 0.12 | 0.40 | (0.30) | (0.09) | (0.39) |
Year Ended 12/31/2016 | $10.07 | 0.30 | 0.17 | 0.47 | (0.18) | (0.01) | (0.19) |
Year Ended 12/31/2015 | $10.22 | 0.25 | (0.22) | 0.03 | (0.15) | (0.03) | (0.18) |
Class 2 | |||||||
Year Ended 12/31/2019 | $10.04 | 0.33 | 0.57 | 0.90 | (0.32) | — | (0.32) |
Year Ended 12/31/2018 | $10.32 | 0.30 | (0.29) | 0.01 | (0.22) | (0.07) | (0.29) |
Year Ended 12/31/2017 | $10.31 | 0.25 | 0.12 | 0.37 | (0.27) | (0.09) | (0.36) |
Year Ended 12/31/2016 | $10.03 | 0.27 | 0.18 | 0.45 | (0.16) | (0.01) | (0.17) |
Year Ended 12/31/2015 | $10.19 | 0.22 | (0.23) | (0.01) | (0.12) | (0.03) | (0.15) |
Class 3 | |||||||
Year Ended 12/31/2019 | $10.09 | 0.35 | 0.56 | 0.91 | (0.33) | — | (0.33) |
Year Ended 12/31/2018 | $10.37 | 0.31 | (0.29) | 0.02 | (0.23) | (0.07) | (0.30) |
Year Ended 12/31/2017 | $10.36 | 0.27 | 0.11 | 0.38 | (0.28) | (0.09) | (0.37) |
Year Ended 12/31/2016 | $10.08 | 0.28 | 0.18 | 0.46 | (0.17) | (0.01) | (0.18) |
Year Ended 12/31/2015 | $10.23 | 0.24 | (0.22) | 0.02 | (0.14) | (0.03) | (0.17) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interest on collateral expense which is less than 0.01%. |
130 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Columbia Variable Portfolio – Intermediate Bond Fund
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019 | $10.66 | 9.25% | 0.49%(c) | 0.49%(c) | 3.46% | 256% | $4,074,589 |
Year Ended 12/31/2018 | $10.08 | 0.40% | 0.49%(c) | 0.49%(c) | 3.21% | 222% | $3,919,654 |
Year Ended 12/31/2017 | $10.36 | 3.86% | 0.51% | 0.51% | 2.69% | 396% | $4,242,173 |
Year Ended 12/31/2016 | $10.35 | 4.68% | 0.54% | 0.54% | 2.86% | 400% | $4,384,210 |
Year Ended 12/31/2015 | $10.07 | 0.30% | 0.54% | 0.54% | 2.42% | 477% | $4,413,919 |
Class 2 | |||||||
Year Ended 12/31/2019 | $10.62 | 9.03% | 0.74%(c) | 0.74%(c) | 3.19% | 256% | $53,012 |
Year Ended 12/31/2018 | $10.04 | 0.14% | 0.74%(c) | 0.74%(c) | 2.96% | 222% | $37,454 |
Year Ended 12/31/2017 | $10.32 | 3.61% | 0.76% | 0.76% | 2.44% | 396% | $37,866 |
Year Ended 12/31/2016 | $10.31 | 4.43% | 0.79% | 0.79% | 2.60% | 400% | $34,167 |
Year Ended 12/31/2015 | $10.03 | (0.05%) | 0.80% | 0.80% | 2.18% | 477% | $24,967 |
Class 3 | |||||||
Year Ended 12/31/2019 | $10.67 | 9.12% | 0.61%(c) | 0.61%(c) | 3.33% | 256% | $532,441 |
Year Ended 12/31/2018 | $10.09 | 0.27% | 0.61%(c) | 0.61%(c) | 3.07% | 222% | $518,931 |
Year Ended 12/31/2017 | $10.37 | 3.73% | 0.64% | 0.64% | 2.56% | 396% | $617,144 |
Year Ended 12/31/2016 | $10.36 | 4.54% | 0.66% | 0.66% | 2.74% | 400% | $688,625 |
Year Ended 12/31/2015 | $10.08 | 0.17% | 0.67% | 0.67% | 2.30% | 477% | $750,722 |
Columbia Variable Portfolio Funds | Annual Report 2019 | 131 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | |||||||
Year Ended 12/31/2019 | $5.42 | 0.03 | 0.40 | 0.43 | (0.19) | — | (0.19) |
Year Ended 12/31/2018 | $5.47 | 0.08 | (0.10) | (0.02) | — | (0.03) | (0.03) |
Year Ended 12/31/2017 | $5.51 | 0.06 | 0.08 | 0.14 | (0.13) | (0.05) | (0.18) |
Year Ended 12/31/2016 | $5.07 | 0.01 | 0.43 | 0.44 | — | — | — |
Year Ended 12/31/2015 | $9.49 | (0.07) | (0.01)(d) | (0.08) | (3.51) | (0.83) | (4.34) |
Class 2 | |||||||
Year Ended 12/31/2019 | $5.30 | 0.02 | 0.38 | 0.40 | (0.17) | — | (0.17) |
Year Ended 12/31/2018 | $5.37 | 0.06 | (0.10) | (0.04) | — | (0.03) | (0.03) |
Year Ended 12/31/2017 | $5.41 | 0.05 | 0.08 | 0.13 | (0.12) | (0.05) | (0.17) |
Year Ended 12/31/2016 | $4.99 | 0.00(e) | 0.42 | 0.42 | — | — | — |
Year Ended 12/31/2015 | $9.41 | (0.02) | (0.08)(d) | (0.10) | (3.49) | (0.83) | (4.32) |
Class 3 | |||||||
Year Ended 12/31/2019 | $5.39 | 0.03 | 0.39 | 0.42 | (0.18) | — | (0.18) |
Year Ended 12/31/2018 | $5.45 | 0.07 | (0.10) | (0.03) | — | (0.03) | (0.03) |
Year Ended 12/31/2017 | $5.49 | 0.05 | 0.08 | 0.13 | (0.12) | (0.05) | (0.17) |
Year Ended 12/31/2016 | $5.06 | 0.00(e) | 0.43 | 0.43 | — | — | — |
Year Ended 12/31/2015 | $9.48 | (0.02) | (0.07)(d) | (0.09) | (3.50) | (0.83) | (4.33) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interest on collateral expense which is less than 0.01%. |
(d) | Calculation of the net gain (loss) per share (both realized and unrealized) does not correlate to the aggregate realized and unrealized gain (loss) presented in the Statement of Operations due to the timing of subscriptions and redemptions of Fund shares in relation to fluctuations in the market value of the portfolio. |
(e) | Rounds to zero. |
132 | Columbia Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019 | $5.66 | 7.90% | 0.71%(c) | 0.61%(c) | 0.57% | 62% | $28 |
Year Ended 12/31/2018 | $5.42 | (0.33%) | 0.71%(c) | 0.61%(c) | 1.41% | 118% | $11 |
Year Ended 12/31/2017 | $5.47 | 2.66% | 0.71% | 0.62% | 1.09% | 99% | $11 |
Year Ended 12/31/2016 | $5.51 | 8.68% | 0.68% | 0.64% | 0.18% | 72% | $11 |
Year Ended 12/31/2015 | $5.07 | (1.38%) | 0.58% | 0.58% | (0.77%) | 89% | $11 |
Class 2 | |||||||
Year Ended 12/31/2019 | $5.53 | 7.63% | 0.96%(c) | 0.86%(c) | 0.38% | 62% | $19,663 |
Year Ended 12/31/2018 | $5.30 | (0.71%) | 0.95%(c) | 0.86%(c) | 1.14% | 118% | $17,272 |
Year Ended 12/31/2017 | $5.37 | 2.46% | 0.97% | 0.87% | 0.86% | 99% | $13,986 |
Year Ended 12/31/2016 | $5.41 | 8.42% | 0.93% | 0.89% | (0.07%) | 72% | $10,801 |
Year Ended 12/31/2015 | $4.99 | (1.64%) | 0.89% | 0.86% | (0.28%) | 89% | $7,898 |
Class 3 | |||||||
Year Ended 12/31/2019 | $5.63 | 7.81% | 0.83%(c) | 0.73%(c) | 0.49% | 62% | $89,128 |
Year Ended 12/31/2018 | $5.39 | (0.51%) | 0.82%(c) | 0.74%(c) | 1.28% | 118% | $96,659 |
Year Ended 12/31/2017 | $5.45 | 2.54% | 0.84% | 0.75% | 0.97% | 99% | $111,829 |
Year Ended 12/31/2016 | $5.49 | 8.50% | 0.80% | 0.77% | 0.05% | 72% | $123,299 |
Year Ended 12/31/2015 | $5.06 | (1.49%) | 0.76% | 0.74% | (0.23%) | 89% | $135,276 |
Columbia Variable Portfolio Funds | Annual Report 2019 | 133 |
CTIVP® – Victory Sycamore Established Value Fund
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2019 | $23.65 | 0.34 | 6.33 | 6.67 |
Year Ended 12/31/2018 | $26.27 | 0.27 | (2.89) | (2.62) |
Year Ended 12/31/2017 | $22.68 | 0.17 | 3.42 | 3.59 |
Year Ended 12/31/2016 | $18.78 | 0.15 | 3.75 | 3.90 |
Year Ended 12/31/2015 | $18.73 | 0.14 | (0.09)(c) | 0.05 |
Class 2 | ||||
Year Ended 12/31/2019 | $23.16 | 0.27 | 6.18 | 6.45 |
Year Ended 12/31/2018 | $25.79 | 0.20 | (2.83) | (2.63) |
Year Ended 12/31/2017 | $22.32 | 0.11 | 3.36 | 3.47 |
Year Ended 12/31/2016 | $18.52 | 0.10 | 3.70 | 3.80 |
Year Ended 12/31/2015 | $18.52 | 0.12 | (0.12)(c) | 0.00(d) |
Class 3 | ||||
Year Ended 12/31/2019 | $23.42 | 0.31 | 6.25 | 6.56 |
Year Ended 12/31/2018 | $26.05 | 0.23 | (2.86) | (2.63) |
Year Ended 12/31/2017 | $22.51 | 0.14 | 3.40 | 3.54 |
Year Ended 12/31/2016 | $18.66 | 0.12 | 3.73 | 3.85 |
Year Ended 12/31/2015 | $18.63 | 0.14 | (0.11)(c) | 0.03 |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Calculation of the net gain (loss) per share (both realized and unrealized) does not correlate to the aggregate realized and unrealized gain (loss) presented in the Statement of Operations due to the timing of subscriptions and redemptions of Fund shares in relation to fluctuations in the market value of the portfolio. |
(d) | Rounds to zero. |
134 | Columbia Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – Victory Sycamore Established Value Fund
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019 | $30.32 | 28.20% | 0.79% | 0.79% | 1.25% | 39% | $534,959 |
Year Ended 12/31/2018 | $23.65 | (9.97%) | 0.79% | 0.79% | 1.00% | 36% | $442,931 |
Year Ended 12/31/2017 | $26.27 | 15.83% | 0.82% | 0.82% | 0.69% | 41% | $487,245 |
Year Ended 12/31/2016 | $22.68 | 20.77% | 0.88% | 0.86% | 0.71% | 46% | $409,756 |
Year Ended 12/31/2015 | $18.78 | 0.27% | 0.91% | 0.89% | 0.71% | 53% | $176,428 |
Class 2 | |||||||
Year Ended 12/31/2019 | $29.61 | 27.85% | 1.04% | 1.04% | 1.00% | 39% | $54,158 |
Year Ended 12/31/2018 | $23.16 | (10.20%) | 1.04% | 1.04% | 0.76% | 36% | $40,488 |
Year Ended 12/31/2017 | $25.79 | 15.55% | 1.07% | 1.07% | 0.46% | 41% | $40,477 |
Year Ended 12/31/2016 | $22.32 | 20.52% | 1.14% | 1.11% | 0.49% | 46% | $26,182 |
Year Ended 12/31/2015 | $18.52 | 0.00%(d) | 1.18% | 1.14% | 0.63% | 53% | $14,431 |
Class 3 | |||||||
Year Ended 12/31/2019 | $29.98 | 28.01% | 0.91% | 0.91% | 1.12% | 39% | $67,484 |
Year Ended 12/31/2018 | $23.42 | (10.10%) | 0.92% | 0.92% | 0.88% | 36% | $53,581 |
Year Ended 12/31/2017 | $26.05 | 15.73% | 0.95% | 0.95% | 0.57% | 41% | $57,946 |
Year Ended 12/31/2016 | $22.51 | 20.63% | 1.01% | 0.99% | 0.61% | 46% | $44,076 |
Year Ended 12/31/2015 | $18.66 | 0.16% | 1.05% | 1.02% | 0.73% | 53% | $27,637 |
Columbia Variable Portfolio Funds | Annual Report 2019 | 135 |
Variable Portfolio – Partners Core Equity Fund
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2019 | $18.84 | 0.27 | 4.74 | 5.01 |
Year Ended 12/31/2018 | $20.48 | 0.24 | (1.88) | (1.64) |
Year Ended 12/31/2017 | $17.00 | 0.20 | 3.28 | 3.48 |
Year Ended 12/31/2016 | $15.49 | 0.22 | 1.29 | 1.51 |
Year Ended 12/31/2015 | $15.40 | 0.64(c) | (0.55) | 0.09 |
Class 2 | ||||
Year Ended 12/31/2019 | $18.47 | 0.21 | 4.63 | 4.84 |
Year Ended 12/31/2018 | $20.12 | 0.18 | (1.83) | (1.65) |
Year Ended 12/31/2017 | $16.75 | 0.15 | 3.22 | 3.37 |
Year Ended 12/31/2016 | $15.29 | 0.18 | 1.28 | 1.46 |
Year Ended 12/31/2015 | $15.24 | 0.65(d) | (0.60) | 0.05 |
Class 3 | ||||
Year Ended 12/31/2019 | $18.65 | 0.24 | 4.68 | 4.92 |
Year Ended 12/31/2018 | $20.29 | 0.21 | (1.85) | (1.64) |
Year Ended 12/31/2017 | $16.87 | 0.18 | 3.24 | 3.42 |
Year Ended 12/31/2016 | $15.38 | 0.20 | 1.29 | 1.49 |
Year Ended 12/31/2015 | $15.31 | 0.62(c) | (0.55) | 0.07 |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.39 per share. |
(d) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.43 per share. |
136 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Core Equity Fund
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019 | $23.85 | 26.59% | 0.70% | 0.69% | 1.25% | 129% | $2,237,714 |
Year Ended 12/31/2018 | $18.84 | (8.01%) | 0.70% | 0.69% | 1.13% | 55% | $1,775,821 |
Year Ended 12/31/2017 | $20.48 | 20.47% | 0.74% | 0.74% | 1.08% | 51% | $1,934,400 |
Year Ended 12/31/2016 | $17.00 | 9.75% | 0.79% | 0.77% | 1.39% | 115% | $1,670,305 |
Year Ended 12/31/2015 | $15.49 | 0.58% | 0.82% | 0.77% | 4.14% | 67% | $1,691,555 |
Class 2 | |||||||
Year Ended 12/31/2019 | $23.31 | 26.21% | 0.95% | 0.94% | 1.00% | 129% | $10,760 |
Year Ended 12/31/2018 | $18.47 | (8.20%) | 0.95% | 0.94% | 0.88% | 55% | $9,255 |
Year Ended 12/31/2017 | $20.12 | 20.12% | 0.99% | 0.99% | 0.83% | 51% | $10,507 |
Year Ended 12/31/2016 | $16.75 | 9.55% | 1.04% | 1.02% | 1.13% | 115% | $8,549 |
Year Ended 12/31/2015 | $15.29 | 0.33% | 1.07% | 1.02% | 4.22% | 67% | $8,239 |
Class 3 | |||||||
Year Ended 12/31/2019 | $23.57 | 26.38% | 0.83% | 0.81% | 1.13% | 129% | $32,859 |
Year Ended 12/31/2018 | $18.65 | (8.08%) | 0.83% | 0.82% | 1.00% | 55% | $31,196 |
Year Ended 12/31/2017 | $20.29 | 20.27% | 0.87% | 0.87% | 0.96% | 51% | $42,254 |
Year Ended 12/31/2016 | $16.87 | 9.69% | 0.92% | 0.90% | 1.27% | 115% | $42,830 |
Year Ended 12/31/2015 | $15.38 | 0.46% | 0.95% | 0.89% | 4.04% | 67% | $46,975 |
Columbia Variable Portfolio Funds | Annual Report 2019 | 137 |
Variable Portfolio – Partners Small Cap Value Fund
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Increase from payment by affiliate | Total from investment operations | |
Class 1 | |||||
Year Ended 12/31/2019 | $24.24 | 0.28 | 4.52 | — | 4.80 |
Year Ended 12/31/2018 | $28.01 | 0.25 | (4.02) | — | (3.77) |
Year Ended 12/31/2017 | $26.14 | 0.19 | 1.68 | — | 1.87 |
Year Ended 12/31/2016 | $20.81 | 0.09 | 5.24 | 0.00(c) | 5.33 |
Year Ended 12/31/2015 | $22.92 | 0.19 | (2.30) | — | (2.11) |
Class 2 | |||||
Year Ended 12/31/2019 | $23.71 | 0.22 | 4.41 | — | 4.63 |
Year Ended 12/31/2018 | $27.48 | 0.18 | (3.95) | — | (3.77) |
Year Ended 12/31/2017 | $25.71 | 0.13 | 1.64 | — | 1.77 |
Year Ended 12/31/2016 | $20.51 | 0.04 | 5.16 | 0.00(c) | 5.20 |
Year Ended 12/31/2015 | $22.65 | 0.14 | (2.28) | — | (2.14) |
Class 3 | |||||
Year Ended 12/31/2019 | $23.96 | 0.25 | 4.46 | — | 4.71 |
Year Ended 12/31/2018 | $27.73 | 0.21 | (3.98) | — | (3.77) |
Year Ended 12/31/2017 | $25.91 | 0.15 | 1.67 | — | 1.82 |
Year Ended 12/31/2016 | $20.64 | 0.06 | 5.21 | 0.00(c) | 5.27 |
Year Ended 12/31/2015 | $22.77 | 0.17 | (2.30) | — | (2.13) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Rounds to zero. |
(d) | The Fund received a payment from an affiliate. Had the Fund not received this payment, the total return would have been lower by 0.01%. |
138 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Small Cap Value Fund
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019 | $29.04 | 19.80% | 0.89% | 0.88% | 1.02% | 75% | $566,653 |
Year Ended 12/31/2018 | $24.24 | (13.46%) | 0.88% | 0.88% | 0.88% | 60% | $574,250 |
Year Ended 12/31/2017 | $28.01 | 7.16% | 0.91% | 0.91% | 0.72% | 115% | $686,191 |
Year Ended 12/31/2016 | $26.14 | 25.61%(d) | 1.02% | 0.93% | 0.40% | 60% | $712,682 |
Year Ended 12/31/2015 | $20.81 | (9.21%) | 1.07% | 0.93% | 0.84% | 48% | $985,530 |
Class 2 | |||||||
Year Ended 12/31/2019 | $28.34 | 19.53% | 1.14% | 1.13% | 0.81% | 75% | $8,276 |
Year Ended 12/31/2018 | $23.71 | (13.72%) | 1.13% | 1.13% | 0.65% | 60% | $6,673 |
Year Ended 12/31/2017 | $27.48 | 6.88% | 1.16% | 1.16% | 0.49% | 115% | $6,814 |
Year Ended 12/31/2016 | $25.71 | 25.35%(d) | 1.25% | 1.18% | 0.17% | 60% | $5,749 |
Year Ended 12/31/2015 | $20.51 | (9.45%) | 1.32% | 1.18% | 0.65% | 48% | $4,017 |
Class 3 | |||||||
Year Ended 12/31/2019 | $28.67 | 19.66% | 1.01% | 1.00% | 0.92% | 75% | $94,282 |
Year Ended 12/31/2018 | $23.96 | (13.60%) | 1.01% | 1.00% | 0.74% | 60% | $89,379 |
Year Ended 12/31/2017 | $27.73 | 7.02% | 1.04% | 1.04% | 0.59% | 115% | $120,392 |
Year Ended 12/31/2016 | $25.91 | 25.53%(d) | 1.13% | 1.05% | 0.29% | 60% | $134,434 |
Year Ended 12/31/2015 | $20.64 | (9.36%) | 1.19% | 1.05% | 0.77% | 48% | $129,360 |
Columbia Variable Portfolio Funds | Annual Report 2019 | 139 |
December 31, 2019
140 | Columbia Variable Portfolio Funds | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio Funds | Annual Report 2019 | 141 |
December 31, 2019
142 | Columbia Variable Portfolio Funds | Annual Report 2019 |
December 31, 2019
Forward foreign currency exchange contracts | Funds |
To hedge the currency exposure associated with some or all of the Fund’s securities | Columbia Variable Portfolio — Global Strategic Income Fund, Columbia Variable Portfolio — Intermediate Bond Fund and CTIVP® — BlackRock Global Inflation-Protected Securities Fund |
To shift foreign currency exposure back to U.S. dollars | Columbia Variable Portfolio — Intermediate Bond Fund and CTIVP® — BlackRock Global Inflation-Protected Securities Fund |
To generate total return through long and short currency positions versus the U.S. dollar | CTIVP® — BlackRock Global Inflation-Protected Securities Fund |
Columbia Variable Portfolio Funds | Annual Report 2019 | 143 |
December 31, 2019
Futures contracts | Funds |
To manage the duration and yield curve exposure of the Fund versus the benchmark | Columbia Variable Portfolio — Global Strategic Income Fund, Columbia Variable Portfolio — Intermediate Bond Fund and CTIVP® — BlackRock Global Inflation-Protected Securities Fund |
To manage exposure to movements in interest rates | Columbia Variable Portfolio — Intermediate Bond Fund and CTIVP® — BlackRock Global Inflation-Protected Securities Fund |
To produce incremental earnings | CTIVP® — BlackRock Global Inflation-Protected Securities Fund |
To attain desired breakeven inflation exposure | CTIVP® — BlackRock Global Inflation-Protected Securities Fund |
Options contracts | Funds |
To manage convexity risk | Columbia Variable Portfolio — Intermediate Bond Fund |
To manage exposure to fluctuations in interest rates | Columbia Variable Portfolio — Intermediate Bond Fund and CTIVP® — BlackRock Global Inflation-Protected Securities Fund |
To protect gains | CTIVP® — BlackRock Global Inflation-Protected Securities Fund |
To protect incremental earnings | CTIVP® — BlackRock Global Inflation-Protected Securities Fund |
144 | Columbia Variable Portfolio Funds | Annual Report 2019 |
December 31, 2019
Credit default swap contracts | Funds |
To manage credit risk exposure | Columbia Variable Portfolio — Intermediate Bond Fund |
To increase or decrease its credit exposure to an index | Columbia Variable Portfolio — Global Strategic Income Fund and Columbia Variable Portfolio — Intermediate Bond Fund |
Columbia Variable Portfolio Funds | Annual Report 2019 | 145 |
December 31, 2019
Interest rate swap contracts | Funds |
To gain exposure or to protect itself from market rate change | CTIVP® — BlackRock Global Inflation-Protected Securities Fund |
To attain desired breakeven inflation exposure | CTIVP® — BlackRock Global Inflation-Protected Securities Fund |
To hedge the portfolio risk associated with some or all of the Fund’s securities | CTIVP® — BlackRock Global Inflation-Protected Securities Fund |
To produce incremental earnings | CTIVP® — BlackRock Global Inflation-Protected Securities Fund |
To manage interest rate market risk exposure to produce incremental earnings | CTIVP® — BlackRock Global Inflation-Protected Securities Fund |
146 | Columbia Variable Portfolio Funds | Annual Report 2019 |
December 31, 2019
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Upfront payments on swap contracts | 73,829 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 322,872* |
Total | 396,701 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 153,668* |
Credit risk | Upfront receipts on swap contracts | 59,724 |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 262,709 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 8,705* |
Total | 484,806 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Columbia Variable Portfolio Funds | Annual Report 2019 | 147 |
December 31, 2019
Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 417,260 | 417,260 |
Foreign exchange risk | 1,043,445 | — | — | 1,043,445 |
Interest rate risk | — | (1,928,441) | — | (1,928,441) |
Total | 1,043,445 | (1,928,441) | 417,260 | (467,736) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | (141,220) | (141,220) |
Foreign exchange risk | (66,216) | — | — | (66,216) |
Interest rate risk | — | 528,723 | — | 528,723 |
Total | (66,216) | 528,723 | (141,220) | 321,287 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 517,469 |
Futures contracts — short | 30,888,801 |
Credit default swap contracts — buy protection | 7,374,166 |
Credit default swap contracts — sell protection | 5,023,202 |
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 141,105 | (68,848) |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2019. |
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Upfront payments on swap contracts | 6,956,272 |
Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 36,990 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 1,092,443* |
Total | 8,085,705 |
148 | Columbia Variable Portfolio Funds | Annual Report 2019 |
December 31, 2019
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 13,612,656* |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 499,367 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 7,300,548* |
Interest rate risk | Options contracts written, at value | 1,138,406 |
Total | 22,550,977 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts written ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | — | — | (912,417) | (912,417) |
Foreign exchange risk | (329,872) | — | — | — | — | (329,872) |
Interest rate risk | — | 68,471,027 | (8,612,785) | 5,122,002 | (312,515) | 64,667,729 |
Total | (329,872) | 68,471,027 | (8,612,785) | 5,122,002 | (1,224,932) | 63,425,440 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts written ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | — | — | (9,827,275) | (9,827,275) |
Foreign exchange risk | (462,377) | — | — | — | — | (462,377) |
Interest rate risk | — | (33,619,590) | (1,074,746) | (819,275) | — | (35,513,611) |
Total | (462,377) | (33,619,590) | (1,074,746) | (819,275) | (9,827,275) | (45,803,263) |
Derivative instrument | Average notional amounts ($) |
Futures contracts — long | 1,843,317,231* |
Futures contracts — short | 862,973,005* |
Credit default swap contracts — buy protection | 295,169,110* |
Credit default swap contracts — sell protection | 14,972,438** |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 2,449,641 |
Options contracts — written | (7,159,705) |
Columbia Variable Portfolio Funds | Annual Report 2019 | 149 |
December 31, 2019
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)** |
Forward foreign currency exchange contracts | 66,212 | (112,301) |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2019. |
** | Based on the ending daily outstanding amounts for the year ended December 31, 2019. |
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 49,985 |
Foreign exchange risk | Investments, at value — Options purchased | 13,117 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 88,887* |
Interest rate risk | Investments, at value — Options purchased | 401,035 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 589,623* |
Total | 1,142,647 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 1,278,713 |
Foreign exchange risk | Options contracts written, at value | 13,116 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 119,567* |
Interest rate risk | Options contracts written, at value | 764,562 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 421,004* |
Total | 2,596,962 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
150 | Columbia Variable Portfolio Funds | Annual Report 2019 |
December 31, 2019
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts written ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Foreign exchange risk | 1,747,802 | — | — | (6,811) | — | 1,740,991 |
Interest rate risk | — | (673,937) | 14,439 | 63,484 | (873,053) | (1,469,067) |
Total | 1,747,802 | (673,937) | 14,439 | 56,673 | (873,053) | 271,924 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts written ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Foreign exchange risk | (833,866) | — | (2,139) | (5,897) | — | (841,902) |
Interest rate risk | — | 60,780 | 94,124 | (139,537) | 443,207 | 458,574 |
Total | (833,866) | 60,780 | 91,985 | (145,434) | 443,207 | (383,328) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 26,364,568 |
Futures contracts — short | 16,491,017 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 580,539 |
Options contracts — written | (730,808) |
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 768,325 | (896,378) |
Interest rate swap contracts | 607,446 | (940,682) |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2019. |
Columbia Variable Portfolio Funds | Annual Report 2019 | 151 |
December 31, 2019
152 | Columbia Variable Portfolio Funds | Annual Report 2019 |
December 31, 2019
Citi ($) | Morgan Stanley ($) | UBS ($) | Total ($) | |
Assets | ||||
Centrally cleared credit default swap contracts (a) | - | 4,681 | - | 4,681 |
OTC credit default swap contracts (b) | 55,442 | - | - | 55,442 |
Total assets | 55,442 | 4,681 | - | 60,123 |
Liabilities | ||||
Forward foreign currency exchange contracts | - | - | 262,709 | 262,709 |
OTC credit default swap contracts (b) | 62,270 | - | - | 62,270 |
Total liabilities | 62,270 | - | 262,709 | 324,979 |
Total financial and derivative net assets | (6,828) | 4,681 | (262,709) | (264,856) |
Total collateral received (pledged) (c) | - | - | - | - |
Net amount (d) | (6,828) | 4,681 | (262,709) | (264,856) |
Columbia Variable Portfolio Funds | Annual Report 2019 | 153 |
December 31, 2019
(a) | Centrally cleared swaps are included within payable/receivable for variation margin on the Statement of Assets and Liabilities. |
(b) | Over-the-Counter (OTC) swap contracts are presented at market value plus periodic payments receivable (payable), which is comprised of unrealized appreciation, unrealized depreciation, upfront payments and upfront receipts. |
(c) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(d) | Represents the net amount due from/(to) counterparties in the event of default. |
Citi ($)(a) | Citi ($)(a) | Credit Suisse ($) | JPMorgan ($) | Morgan Stanley ($)(a) | Morgan Stanley ($)(a) | UBS ($) | Total ($) | |
Assets | ||||||||
Centrally cleared credit default swap contracts (b) | - | - | - | - | - | 116,163 | - | 116,163 |
Forward foreign currency exchange contracts | - | - | - | - | - | - | 36,990 | 36,990 |
OTC credit default swap contracts (c) | 469,255 | - | 24,614 | 49,226 | 24,614 | - | - | 567,709 |
Total assets | 469,255 | - | 24,614 | 49,226 | 24,614 | 116,163 | 36,990 | 720,862 |
Liabilities | ||||||||
Forward foreign currency exchange contracts | - | - | - | - | - | - | 499,367 | 499,367 |
Options contracts written | - | 1,138,406 | - | - | - | - | - | 1,138,406 |
Total liabilities | - | 1,138,406 | - | - | - | - | 499,367 | 1,637,773 |
Total financial and derivative net assets | 469,255 | (1,138,406) | 24,614 | 49,226 | 24,614 | 116,163 | (462,377) | (916,911) |
Total collateral received (pledged) (d) | 469,255 | (1,138,406) | 24,614 | 49,226 | 24,614 | - | - | (570,697) |
Net amount (e) | - | - | - | - | - | 116,163 | (462,377) | (346,214) |
(a) | Exposure can only be netted across transactions governed under the same master agreement with the same legal entity. |
(b) | Centrally cleared swaps are included within payable/receivable for variation margin on the Statement of Assets and Liabilities. |
(c) | Over-the-Counter (OTC) swap contracts are presented at market value plus periodic payments receivable (payable), which is comprised of unrealized appreciation, unrealized depreciation, upfront payments and upfront receipts. |
(d) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(e) | Represents the net amount due from/(to) counterparties in the event of default. |
154 | Columbia Variable Portfolio Funds | Annual Report 2019 |
December 31, 2019
Citi ($) | Deutsche Bank ($) | Goldman Sachs ($) | Mizuho ($) | UBS ($) | Total ($) | |
Assets | ||||||
Centrally cleared interest rate swap contracts (a) | - | - | 63,091 | - | - | 63,091 |
Forward foreign currency exchange contracts | 45,813 | 4,172 | - | - | - | 49,985 |
Options purchased calls | 212,918 | 31,392 | - | - | 2,838 | 247,148 |
Options purchased puts | 164,148 | 2,147 | - | 188 | 521 | 167,004 |
Total assets | 422,879 | 37,711 | 63,091 | 188 | 3,359 | 527,228 |
Liabilities | ||||||
Centrally cleared interest rate swap contracts (a) | - | - | 49,141 | - | - | 49,141 |
Forward foreign currency exchange contracts | 157,897 | 1,120,816 | - | - | - | 1,278,713 |
Options contracts written | 484,846 | 288,895 | - | - | 3,937 | 777,678 |
Total liabilities | 642,743 | 1,409,711 | 49,141 | - | 3,937 | 2,105,532 |
Total financial and derivative net assets | (219,864) | (1,372,000) | 13,950 | 188 | (578) | (1,578,304) |
Total collateral received (pledged) (b) | (159,119) | (1,115,997) | - | - | (578) | (1,275,694) |
Net amount (c) | (60,745) | (256,003) | 13,950 | 188 | - | (302,610) |
(a) | Centrally cleared swaps are included within payable/receivable for variation margin on the Statement of Assets and Liabilities. |
(b) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(c) | Represents the net amount due from/(to) counterparties in the event of default. |
Columbia Variable Portfolio Funds | Annual Report 2019 | 155 |
December 31, 2019
156 | Columbia Variable Portfolio Funds | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio Funds | Annual Report 2019 | 157 |
December 31, 2019
High (%) | Low (%) | Effective management services fee rate (%) | |
Columbia Variable Portfolio – Global Strategic Income Fund | 0.65 | 0.52 | 0.65 |
Columbia Variable Portfolio – Intermediate Bond Fund | 0.50 | 0.34 | 0.47 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | 0.51 | 0.29 | 0.51 |
CTIVP® – Victory Sycamore Established Value Fund | 0.77 | 0.57 | 0.76 |
Variable Portfolio – Partners Core Equity Fund | 0.77 | 0.57 | 0.69 |
Variable Portfolio – Partners Small Cap Value Fund | 0.87 | 0.75 | 0.85 |
Fund | Subadviser(s) |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | BlackRock Financial Management, Inc. (BlackRock) BlackRock International Limited (BIL)(a) |
CTIVP® – Victory Sycamore Established Value Fund | Victory Capital Management Inc. (Victory Capital) |
Variable Portfolio – Partners Core Equity Fund | Jacobs Levy Equity Management, Inc. (Jacobs Levy)(b) T. Rowe Price Associates, Inc. (T. Rowe Price) (b) |
Variable Portfolio – Partners Small Cap Value Fund | Jacobs Levy Equity Management, Inc. (Jacobs Levy) Nuveen Asset Management, LLC (Nuveen Asset Management) Segall Bryant & Hamill, LLC (SBH) |
(a) | BIL, an affiliate of BlackRock, assists in providing day-to-day portfolio management of the Fund pursuant to a Sub-Subadvisory Agreement between BlackRock and BIL. |
(b) | Effective May 20, 2019, the Investment Manager entered into Subadvisory Agreements with Jacobs Levy Equity Management, Inc. (Jacobs Levy) and T. Rowe Price Associates, Inc. (T. Rowe Price) to serve as subadvisers to the Fund. Prior to May 20, 2019, Massachusetts Financial Services Company (MFS) served as the subadviser to the Fund. |
158 | Columbia Variable Portfolio Funds | Annual Report 2019 |
December 31, 2019
Fund | Purchases ($) | Sales ($) | Realized gain/(loss) from sale transactions ($) |
Columbia Variable Portfolio – Global Strategic Income Fund | — | 2,646,235 | 194,125 |
Effective service fee rate (%) | |
Columbia Variable Portfolio – Global Strategic Income Fund | 0.06 |
Columbia Variable Portfolio – Intermediate Bond Fund | 0.01 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | 0.06 |
CTIVP® – Victory Sycamore Established Value Fund | 0.01 |
Variable Portfolio – Partners Core Equity Fund | 0.00 |
Variable Portfolio – Partners Small Cap Value Fund | 0.01 |
Columbia Variable Portfolio Funds | Annual Report 2019 | 159 |
December 31, 2019
May 1, 2019 through April 30, 2020 | Prior to May 1, 2019 | |||||
Class 1 (%) | Class 2 (%) | Class 3 (%) | Class 1 (%) | Class 2 (%) | Class 3 (%) | |
Columbia Variable Portfolio – Global Strategic Income Fund | 0.58 | 0.83 | 0.705 | 0.62 | 0.87 | 0.745 |
Columbia Variable Portfolio – Intermediate Bond Fund | 0.52 | 0.77 | 0.645 | 0.56 | 0.81 | 0.685 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | 0.60 | 0.85 | 0.725 | 0.61 | 0.86 | 0.735 |
CTIVP® – Victory Sycamore Established Value Fund | 0.85 | 1.10 | 0.975 | 0.86 | 1.11 | 0.985 |
Variable Portfolio – Partners Core Equity Fund | 0.69 | 0.94 | 0.815 | 0.69 | 0.94 | 0.815 |
Variable Portfolio – Partners Small Cap Value Fund | 0.88 | 1.13 | 1.005 | 0.88 | 1.13 | 1.005 |
160 | Columbia Variable Portfolio Funds | Annual Report 2019 |
December 31, 2019
Fund | Undistributed (excess of distributions over) net investment income ($) | Accumulated net realized gain (loss) ($) | Paid in capital increase ($) |
Columbia Variable Portfolio – Global Strategic Income Fund | 1,519,510 | (1,519,510) | — |
Columbia Variable Portfolio – Intermediate Bond Fund | (25,391,320) | 25,391,320 | — |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | 259,418 | (259,418) | — |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||
Fund | Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
Columbia Variable Portfolio – Global Strategic Income Fund | — | — | — | 5,547,554 | — | 5,547,554 |
Columbia Variable Portfolio – Intermediate Bond Fund | 147,234,482 | — | 147,234,482 | 109,523,618 | 33,508,870 | 143,032,488 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | 3,555,924 | — | 3,555,924 | 50,066 | 656,061 | 706,127 |
Fund | Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized appreciation ($) |
Columbia Variable Portfolio – Global Strategic Income Fund | 5,445,308 | — | (5,846,201) | 3,821,634 |
Columbia Variable Portfolio – Intermediate Bond Fund | 159,688,739 | 23,905,454 | — | 119,528,722 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | 2,411,955 | — | — | 485,945 |
Fund | Tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
Columbia Variable Portfolio – Global Strategic Income Fund | 101,847,130 | 4,005,588 | (183,954) | 3,821,634 |
Columbia Variable Portfolio – Intermediate Bond Fund | 5,367,690,888 | 135,055,411 | (15,526,689) | 119,528,722 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | 105,611,793 | 2,592,424 | (2,106,479) | 485,945 |
Fund | No expiration short-term ($) | No expiration long-term ($) | Total ($) | Utilized ($) | Expired ($) |
Columbia Variable Portfolio – Global Strategic Income Fund | (1,832,667) | (4,013,534) | (5,846,201) | — | — |
Columbia Variable Portfolio – Intermediate Bond Fund | — | — | — | 4,982,600 | — |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | — | — | — | 66,774 | — |
Columbia Variable Portfolio Funds | Annual Report 2019 | 161 |
December 31, 2019
Purchases ($) | Proceeds from sales ($) | Purchases of U.S. Government securities ($) | Proceeds from sales of U.S. Government securities ($) | |
Columbia Variable Portfolio – Global Strategic Income Fund | 71,852,312 | 57,437,356 | — | — |
Columbia Variable Portfolio – Intermediate Bond Fund | 13,637,324,357 | 13,844,899,243 | 11,497,323,263 | 11,786,799,960 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | 69,371,864 | 85,917,601 | 60,438,453 | 71,991,752 |
CTIVP® – Victory Sycamore Established Value Fund | 231,053,095 | 253,944,662 | — | — |
Variable Portfolio – Partners Core Equity Fund | 2,637,971,203 | 2,653,263,876 | — | — |
Variable Portfolio – Partners Small Cap Value Fund | 512,755,902 | 641,657,944 | — | — |
162 | Columbia Variable Portfolio Funds | Annual Report 2019 |
December 31, 2019
Fund | Borrower or Lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
CTIVP® – Victory Sycamore Established Value Fund | Lender | 2,700,000 | 2.63 | 1 |
Variable Portfolio – Partners Core Equity Fund | Lender | 2,825,000 | 2.60 | 4 |
Variable Portfolio – Partners Small Cap Value Fund | Lender | 3,000,000 | 2.43 | 3 |
Columbia Variable Portfolio Funds | Annual Report 2019 | 163 |
December 31, 2019
164 | Columbia Variable Portfolio Funds | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio Funds | Annual Report 2019 | 165 |
December 31, 2019
166 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Columbia Variable Portfolio Funds | Annual Report 2019 | 167 |
(Unaudited)
Capital gain dividend | |
Columbia Variable Portfolio – Global Strategic Income Fund | $0 |
Columbia Variable Portfolio – Intermediate Bond Fund | $25,100,727 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | $0 |
168 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1953 | Trustee since 1/17 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 121 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 1/06 for RiverSource Funds and since 6/11 for Nations Funds | Attorney; specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018 | 121 | Trustee, BlueCross BlueShield of Minnesota since 2009 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee since 2017); Chair of the Robina Foundation since August 2013; former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017 |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 7/07 for RiverSource Funds and since 6/11 for Nations Funds | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, Morgan Stanley, 1982-1991 | 121 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of Human Resources Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee) since 2019 |
Columbia Variable Portfolio Funds | Annual Report 2019 | 169 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1950 | Trustee since 11/04 for RiverSource Funds and since 6/11 for Nations Funds | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 121 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative since 2010; Board of Directors, The MA Business Roundtable 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 12/17 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 121 | Trustee, Catholic Schools Foundation since 2004 |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Chair of the Board since 1/20; Trustee since 11/04 for RiverSource Funds and since 6/11 for Nations Funds | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Managing Director, Morgan Stanley, 1982-1989; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 121 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Anthony M. Santomero c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1946 | Trustee since 6/11 for RiverSource Funds and since 1/08 for Nations Funds | Richard K. Mellon Professor Emeritus of Finance, The Wharton School, University of Pennsylvania, since 2002; Senior Advisor, McKinsey & Company (consulting), 2006-2008; President, Federal Reserve Bank of Philadelphia, 2000- 2006; Professor of Finance, The Wharton School, University of Pennsylvania, 1972-2002 | 121 | Trustee, Penn Mutual Life Insurance Company since March 2008; Director, Renaissance Reinsurance Ltd. since May 2008; former Director, Citigroup Inc. and Citibank, N.A., 2009-2019; former Trustee, BofA Funds Series Trust (11 funds), 2008-2011 |
Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1947 | Trustee since 6/11 for RiverSource Funds and since 2003 for Nations Funds | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 121 | Director, BlueCross BlueShield of South Carolina since April 2008; Trustee, Hollingsworth Funds since 2016 (previously Board Chair from 2016-2019); Advisory Board member, Duke Energy Corp. since October 2016; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018 |
170 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Sandra Yeager c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 12/17 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 119 | Director, NAPE Education Foundation since October 2016 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin St. Boston, MA 02110 1960 | Trustee since 11/01 for RiverSource Funds and since 6/11 for Nations Funds; Senior Vice President since 2002 for RiverSource Funds and since 5/10 for Nations Funds | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010 - September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006 - August 2012. | 192 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, August 2006-January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Columbia Variable Portfolio Funds | Annual Report 2019 | 171 |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously Vice President and Chief Counsel, January 2010 - December 2014); officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer, Principal Financial Officer (2009), and Senior Vice President (2019) | Vice President, Head of North American Operations, and Co-Head of Global Operations, – Accounting and Tax, Columbia Management Investment Advisers, LLC, since June 2019 (previously Vice President – Accounting and Tax, May 2010 – May 2019); senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009 – January 2019 and December 2015 – January 2019, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer, Chief Accounting Officer (Principal Accounting Officer) (2019), and Principal Financial Officer (2020) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously Vice President — Pricing and Corporate Actions, May 2010 - March 2017). |
Paul B. Goucher 485 Lexington Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since March 2015 (previously Vice President and Assistant Secretary, May 2010 – March 2015). |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 Born 1962 | Senior Vice President (2020) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); previously, Senior Vice President of Investment Product Management, Fidelity Financial Advisor Solutions, a division of Fidelity Investments (January 2012 – March 2015). |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
172 | Columbia Variable Portfolio Funds | Annual Report 2019 |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
Columbia Variable Portfolio Funds | Annual Report 2019 | 173 |
174 | Columbia Variable Portfolio Funds | Annual Report 2019 |
December 31, 2019
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315 |
Columbia Variable Portfolio – U.S. Equities Fund
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class 1 | 05/07/10 | 23.14 | 5.24 | 9.67 | |
Class 2 | 05/07/10 | 22.82 | 4.97 | 9.39 | |
Russell 2000 Index | 25.52 | 8.23 | 11.73 |
4 | Variable Portfolio Funds | Annual Report 2019 |
Columbia Variable Portfolio – U.S. Equities Fund
Portfolio breakdown (%) (at December 31, 2019) | |
Common Stocks | 96.7 |
Limited Partnerships | 0.3 |
Money Market Funds | 3.0 |
Total | 100.0 |
Equity sector breakdown (%) (at December 31, 2019) | |
Communication Services | 2.1 |
Consumer Discretionary | 11.1 |
Consumer Staples | 3.6 |
Energy | 3.3 |
Financials | 16.7 |
Health Care | 17.8 |
Industrials | 15.9 |
Information Technology | 14.9 |
Materials | 3.7 |
Real Estate | 7.9 |
Utilities | 3.0 |
Total | 100.0 |
Variable Portfolio Funds | Annual Report 2019 | 5 |
Columbia Variable Portfolio – U.S. Equities Fund
6 | Variable Portfolio Funds | Annual Report 2019 |
Columbia Variable Portfolio – U.S. Equities Fund
Variable Portfolio Funds | Annual Report 2019 | 7 |
Columbia Variable Portfolio – U.S. Equities Fund
8 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – American Century Diversified Bond Fund
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class 1 | 05/07/10 | 9.73 | 3.39 | 3.72 | |
Class 2 | 05/07/10 | 9.40 | 3.12 | 3.46 | |
Bloomberg Barclays U.S. Aggregate Bond Index | 8.72 | 3.05 | 3.53 |
Variable Portfolio Funds | Annual Report 2019 | 9 |
CTIVP® – American Century Diversified Bond Fund
Portfolio breakdown (%) (at December 31, 2019) | |
Asset-Backed Securities — Non-Agency | 6.6 |
Commercial Mortgage-Backed Securities - Non-Agency | 6.7 |
Corporate Bonds & Notes | 26.8 |
Exchange-Traded Fixed Income Funds | 3.7 |
Foreign Government Obligations | 1.8 |
Inflation-Indexed Bonds | 1.4 |
Money Market Funds | 2.6 |
Municipal Bonds | 1.3 |
Residential Mortgage-Backed Securities - Agency | 23.2 |
Residential Mortgage-Backed Securities - Non-Agency | 5.3 |
U.S. Treasury Obligations | 20.6 |
Total | 100.0 |
Quality breakdown (%) (at December 31, 2019) | |
AAA rating | 54.0 |
AA rating | 9.7 |
A rating | 12.3 |
BBB rating | 17.9 |
BB rating | 3.4 |
B rating | 1.6 |
CCC rating | 0.6 |
Not rated | 0.5 |
Total | 100.0 |
10 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – American Century Diversified Bond Fund
Market exposure through derivatives investments (% of notional exposure) (at December 31, 2019)(a) | |||
Long | Short | Net | |
Fixed Income Derivative Contracts | 87.6 | — | 87.6 |
Foreign Currency Derivative Contracts | 64.6 | (52.2) | 12.4 |
Total Notional Market Value of Derivative Contracts | 152.2 | (52.2) | 100.0 |
Variable Portfolio Funds | Annual Report 2019 | 11 |
CTIVP® – American Century Diversified Bond Fund
12 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – American Century Diversified Bond Fund
Variable Portfolio Funds | Annual Report 2019 | 13 |
CTIVP® – AQR International Core Equity Fund
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class 1 | 05/07/10 | 18.76 | 3.20 | 5.18 | |
Class 2 | 05/07/10 | 18.41 | 2.95 | 4.91 | |
MSCI EAFE Index (Net) | 22.01 | 5.67 | 6.98 |
14 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – AQR International Core Equity Fund
Equity sector breakdown (%) (at December 31, 2019) | |
Communication Services | 2.6 |
Consumer Discretionary | 9.5 |
Consumer Staples | 8.9 |
Energy | 2.3 |
Financials | 12.7 |
Health Care | 17.3 |
Industrials | 16.2 |
Information Technology | 12.6 |
Materials | 7.2 |
Real Estate | 4.4 |
Utilities | 6.3 |
Total | 100.0 |
Country breakdown (%) (at December 31, 2019) | |
Australia | 6.1 |
Belgium | 0.5 |
Denmark | 2.8 |
Finland | 1.4 |
France | 10.1 |
Germany | 9.1 |
Hong Kong | 3.9 |
Isle of Man | 0.0(a) |
Italy | 2.8 |
Japan | 22.8 |
Macau | 0.3 |
Netherlands | 4.8 |
Singapore | 0.9 |
Spain | 3.1 |
Sweden | 3.6 |
Switzerland | 10.4 |
United Kingdom | 14.8 |
United States(b) | 2.6 |
Total | 100.0 |
(a) | Rounds to zero. |
(b) | Includes investments in Money Market Funds. |
Variable Portfolio Funds | Annual Report 2019 | 15 |
CTIVP® – AQR International Core Equity Fund
16 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – AQR International Core Equity Fund
Variable Portfolio Funds | Annual Report 2019 | 17 |
CTIVP® – CenterSquare Real Estate Fund
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class 1 | 05/07/10 | 26.41 | 5.64 | 8.27 | |
Class 2 | 05/07/10 | 26.16 | 5.39 | 7.99 | |
FTSE Nareit Equity REITs Index | 26.00 | 7.21 | 11.25 |
18 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – CenterSquare Real Estate Fund
Portfolio breakdown (%) (at December 31, 2019) | |
Common Stocks | 99.5 |
Money Market Funds | 0.5 |
Total | 100.0 |
Equity sector breakdown (%) (at December 31, 2019) | |
Real Estate | 100.0 |
Equity sub-industry breakdown (%) (at December 31, 2019) | |
Real Estate | |
Diversified REITs | 5.9 |
Health Care REITs | 13.1 |
Hotel & Resort REITs | 5.2 |
Industrial REITs | 10.2 |
Office REITs | 10.9 |
Residential REITs | 20.5 |
Retail REITs | 14.1 |
Specialized REITs | 20.1 |
Total | 100.0 |
Variable Portfolio Funds | Annual Report 2019 | 19 |
CTIVP® – CenterSquare Real Estate Fund
20 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – CenterSquare Real Estate Fund
Variable Portfolio Funds | Annual Report 2019 | 21 |
CTIVP® – DFA International Value Fund
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class 1 | 05/07/10 | 13.53 | 3.39 | 3.59 | |
Class 2 | 05/07/10 | 13.20 | 3.13 | 3.33 | |
MSCI EAFE Value Index (Net) | 16.09 | 3.54 | 5.59 |
22 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – DFA International Value Fund
Equity sector breakdown (%) (at December 31, 2019) | |
Communication Services | 5.0 |
Consumer Discretionary | 17.5 |
Consumer Staples | 3.7 |
Energy | 10.6 |
Financials | 27.4 |
Health Care | 5.2 |
Industrials | 12.4 |
Information Technology | 2.0 |
Materials | 11.5 |
Real Estate | 3.1 |
Utilities | 1.6 |
Total | 100.0 |
Variable Portfolio Funds | Annual Report 2019 | 23 |
CTIVP® – DFA International Value Fund
Country breakdown (%) (at December 31, 2019) | |
Australia | 6.8 |
Austria | 0.1 |
Belgium | 1.2 |
Denmark | 1.8 |
Finland | 0.7 |
France | 11.4 |
Germany | 9.1 |
Hong Kong | 3.1 |
Ireland | 0.6 |
Israel | 0.4 |
Italy | 2.4 |
Japan | 24.7 |
Netherlands | 3.8 |
New Zealand | 0.3 |
Norway | 0.9 |
Portugal | 0.1 |
Singapore | 1.1 |
Spain | 2.6 |
Sweden | 2.9 |
Switzerland | 10.1 |
United Kingdom | 15.5 |
United States(a) | 0.4 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds. |
24 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – DFA International Value Fund
Variable Portfolio Funds | Annual Report 2019 | 25 |
CTIVP® – DFA International Value Fund
26 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class 1 | 05/07/10 | 32.61 | 12.27 | 13.81 | |
Class 2 | 05/07/10 | 32.28 | 11.99 | 13.52 | |
Russell 1000 Growth Index | 36.39 | 14.63 | 15.92 |
Variable Portfolio Funds | Annual Report 2019 | 27 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund
Portfolio breakdown (%) (at December 31, 2019) | |
Common Stocks | 99.1 |
Money Market Funds | 0.9 |
Total | 100.0 |
Equity sector breakdown (%) (at December 31, 2019) | |
Communication Services | 9.2 |
Consumer Discretionary | 14.0 |
Consumer Staples | 4.4 |
Financials | 5.0 |
Health Care | 15.7 |
Industrials | 7.4 |
Information Technology | 40.4 |
Materials | 1.9 |
Real Estate | 2.0 |
Total | 100.0 |
28 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund
Variable Portfolio Funds | Annual Report 2019 | 29 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund
30 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – MFS® Value Fund
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class 1 | 05/07/10 | 29.83 | 9.23 | 11.73 | |
Class 2 | 05/07/10 | 29.51 | 8.96 | 11.45 | |
Russell 1000 Value Index | 26.54 | 8.29 | 12.01 |
Variable Portfolio Funds | Annual Report 2019 | 31 |
CTIVP® – MFS® Value Fund
Portfolio breakdown (%) (at December 31, 2019) | |
Common Stocks | 98.9 |
Money Market Funds | 1.1 |
Total | 100.0 |
Equity sector breakdown (%) (at December 31, 2019) | |
Communication Services | 3.4 |
Consumer Discretionary | 1.3 |
Consumer Staples | 8.0 |
Energy | 3.4 |
Financials | 30.4 |
Health Care | 17.4 |
Industrials | 16.5 |
Information Technology | 9.3 |
Materials | 4.0 |
Real Estate | 0.3 |
Utilities | 6.0 |
Total | 100.0 |
32 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – MFS® Value Fund
Variable Portfolio Funds | Annual Report 2019 | 33 |
CTIVP® – MFS® Value Fund
34 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – Morgan Stanley Advantage Fund
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class 1 | 05/07/10 | 27.17 | 13.84 | 14.05 | |
Class 2 | 05/07/10 | 26.85 | 13.55 | 13.76 | |
Russell 1000 Growth Index | 36.39 | 14.63 | 15.92 |
Variable Portfolio Funds | Annual Report 2019 | 35 |
CTIVP® – Morgan Stanley Advantage Fund
Portfolio breakdown (%) (at December 31, 2019) | |
Common Stocks | 97.8 |
Money Market Funds | 2.2 |
Total | 100.0 |
Equity sector breakdown (%) (at December 31, 2019) | |
Communication Services | 16.6 |
Consumer Discretionary | 13.3 |
Consumer Staples | 1.6 |
Financials | 4.7 |
Health Care | 14.0 |
Industrials | 12.1 |
Information Technology | 30.9 |
Materials | 6.8 |
Total | 100.0 |
36 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – Morgan Stanley Advantage Fund
Variable Portfolio Funds | Annual Report 2019 | 37 |
CTIVP® – Morgan Stanley Advantage Fund
38 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – T. Rowe Price Large Cap Value Fund
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class 1 | 05/07/10 | 26.58 | 6.98 | 10.49 | |
Class 2 | 05/07/10 | 26.22 | 6.70 | 10.21 | |
Russell 1000 Value Index | 26.54 | 8.29 | 12.01 |
Variable Portfolio Funds | Annual Report 2019 | 39 |
CTIVP® – T. Rowe Price Large Cap Value Fund
Portfolio breakdown (%) (at December 31, 2019) | |
Common Stocks | 96.8 |
Convertible Preferred Stocks | 1.5 |
Money Market Funds | 1.7 |
Total | 100.0 |
Equity sector breakdown (%) (at December 31, 2019) | |
Communication Services | 5.7 |
Consumer Discretionary | 2.7 |
Consumer Staples | 9.0 |
Energy | 8.5 |
Financials | 24.3 |
Health Care | 14.6 |
Industrials | 11.4 |
Information Technology | 10.0 |
Materials | 3.7 |
Real Estate | 2.2 |
Utilities | 7.9 |
Total | 100.0 |
40 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – T. Rowe Price Large Cap Value Fund
Variable Portfolio Funds | Annual Report 2019 | 41 |
CTIVP® – T. Rowe Price Large Cap Value Fund
42 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – T. Rowe Price Large Cap Value Fund
Variable Portfolio Funds | Annual Report 2019 | 43 |
CTIVP® – TCW Core Plus Bond Fund
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class 1 | 05/07/10 | 9.01 | 2.96 | 3.02 | |
Class 2 | 05/07/10 | 8.58 | 2.70 | 2.76 | |
Bloomberg Barclays U.S. Aggregate Bond Index | 8.72 | 3.05 | 3.53 |
44 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – TCW Core Plus Bond Fund
Portfolio breakdown (%) (at December 31, 2019) | |
Asset-Backed Securities — Non-Agency | 5.8 |
Commercial Mortgage-Backed Securities - Agency | 3.3 |
Commercial Mortgage-Backed Securities - Non-Agency | 0.9 |
Commercial Paper | 0.3 |
Common Stocks | 0.0(a) |
Corporate Bonds & Notes | 21.4 |
Foreign Government Obligations | 1.4 |
Inflation-Indexed Bonds | 3.2 |
Money Market Funds | 3.2 |
Municipal Bonds | 0.4 |
Residential Mortgage-Backed Securities - Agency | 29.3 |
Residential Mortgage-Backed Securities - Non-Agency | 6.7 |
Senior Loans | 0.6 |
Treasury Bills | 1.1 |
U.S. Treasury Obligations | 22.4 |
Total | 100.0 |
(a) | Rounds to zero. |
Quality breakdown (%) (at December 31, 2019) | |
AAA rating | 67.2 |
AA rating | 1.8 |
A rating | 4.6 |
BBB rating | 18.2 |
BB rating | 1.8 |
B rating | 3.3 |
CCC rating | 1.9 |
CC rating | 0.5 |
Not rated | 0.7 |
Total | 100.0 |
Variable Portfolio Funds | Annual Report 2019 | 45 |
CTIVP® – TCW Core Plus Bond Fund
46 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – TCW Core Plus Bond Fund
Variable Portfolio Funds | Annual Report 2019 | 47 |
CTIVP® – Wells Fargo Short Duration Government Fund
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class 1 | 05/07/10 | 3.57 | 1.33 | 1.40 | |
Class 2 | 05/07/10 | 3.33 | 1.08 | 1.14 | |
Bloomberg Barclays U.S. 1-3 Year Government Bond Index | 3.59 | 1.40 | 1.17 |
48 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – Wells Fargo Short Duration Government Fund
Portfolio breakdown (%) (at December 31, 2019) | |
Asset-Backed Securities — Non-Agency | 13.4 |
Commercial Mortgage-Backed Securities - Agency | 0.1 |
Commercial Mortgage-Backed Securities - Non-Agency | 0.4 |
Money Market Funds | 1.0 |
Residential Mortgage-Backed Securities - Agency | 65.0 |
Residential Mortgage-Backed Securities - Non-Agency | 5.2 |
U.S. Treasury Obligations | 14.9 |
Total | 100.0 |
Quality breakdown (%) (at December 31, 2019) | |
AAA rating | 100.0 |
Total | 100.0 |
Variable Portfolio Funds | Annual Report 2019 | 49 |
CTIVP® – Wells Fargo Short Duration Government Fund
50 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – Wells Fargo Short Duration Government Fund
Variable Portfolio Funds | Annual Report 2019 | 51 |
CTIVP® – Westfield Mid Cap Growth Fund
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class 1 | 05/07/10 | 42.14 | 11.23 | 12.87 | |
Class 2 | 05/07/10 | 41.80 | 10.96 | 12.58 | |
Russell Midcap Growth Index | 35.47 | 11.60 | 14.49 |
52 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – Westfield Mid Cap Growth Fund
Portfolio breakdown (%) (at December 31, 2019) | |
Common Stocks | 99.1 |
Money Market Funds | 0.9 |
Total | 100.0 |
Equity sector breakdown (%) (at December 31, 2019) | |
Communication Services | 5.4 |
Consumer Discretionary | 13.3 |
Energy | 3.8 |
Financials | 6.1 |
Health Care | 16.4 |
Industrials | 19.4 |
Information Technology | 30.8 |
Materials | 1.7 |
Real Estate | 3.1 |
Total | 100.0 |
Variable Portfolio Funds | Annual Report 2019 | 53 |
CTIVP® – Westfield Mid Cap Growth Fund
54 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – Westfield Mid Cap Growth Fund
Variable Portfolio Funds | Annual Report 2019 | 55 |
CTIVP® – William Blair International Leaders Fund
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class 1 | 05/07/10 | 26.70 | 4.21 | 6.58 | |
Class 2 | 05/07/10 | 26.36 | 3.97 | 6.32 | |
MSCI EAFE Growth Index (Net) | 27.90 | 7.71 | 8.28 |
56 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – William Blair International Leaders Fund
Equity sector breakdown (%) (at December 31, 2019) | |
Communication Services | 3.9 |
Consumer Discretionary | 13.5 |
Consumer Staples | 3.3 |
Energy | 2.0 |
Financials | 17.9 |
Health Care | 12.8 |
Industrials | 22.4 |
Information Technology | 19.1 |
Materials | 1.5 |
Real Estate | 1.7 |
Utilities | 1.9 |
Total | 100.0 |
Country breakdown (%) (at December 31, 2019) | |
Australia | 5.3 |
Canada | 7.7 |
China | 9.2 |
Denmark | 6.4 |
Finland | 0.4 |
France | 9.1 |
Germany | 4.6 |
Hong Kong | 4.3 |
India | 2.5 |
Ireland | 1.8 |
Israel | 1.4 |
Italy | 0.5 |
Japan | 10.6 |
Luxembourg | 0.6 |
Netherlands | 3.1 |
Spain | 3.3 |
Sweden | 3.8 |
Switzerland | 7.2 |
Taiwan | 3.2 |
United Kingdom | 12.3 |
United States(a) | 2.7 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds. |
Variable Portfolio Funds | Annual Report 2019 | 57 |
CTIVP® – William Blair International Leaders Fund
58 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – William Blair International Leaders Fund
Variable Portfolio Funds | Annual Report 2019 | 59 |
CTIVP® – William Blair International Leaders Fund
60 | Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Columbia Wanger International Equities Fund
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class 1 | 05/07/10 | 30.11 | 6.88 | 8.18 | |
Class 2 | 05/07/10 | 29.50 | 6.59 | 7.92 | |
MSCI ACWI ex USA Small Cap Growth Index (Net) | 24.61 | 7.64 | 7.87 | ||
MSCI ACWI ex USA Small Cap Index (Net) | 22.42 | 7.04 | 7.51 |
Variable Portfolio Funds | Annual Report 2019 | 61 |
Variable Portfolio – Columbia Wanger International Equities Fund
Equity sector breakdown (%) (at December 31, 2019) | |
Communication Services | 6.8 |
Consumer Discretionary | 13.9 |
Consumer Staples | 5.8 |
Energy | 1.8 |
Financials | 11.7 |
Health Care | 9.4 |
Industrials | 22.3 |
Information Technology | 15.1 |
Materials | 6.4 |
Real Estate | 6.8 |
Total | 100.0 |
62 | Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Columbia Wanger International Equities Fund
Country breakdown (%) (at December 31, 2019) | |
Australia | 4.2 |
Belgium | 0.7 |
Brazil | 2.1 |
Cambodia | 0.9 |
Canada | 3.1 |
China | 0.8 |
Cyprus | 0.3 |
Denmark | 2.2 |
France | 2.2 |
Germany | 6.7 |
Hong Kong | 2.3 |
India | 1.6 |
Indonesia | 1.1 |
Ireland | 1.2 |
Italy | 4.2 |
Japan | 21.2 |
Malta | 0.6 |
Mexico | 1.1 |
Netherlands | 2.5 |
New Zealand | 1.2 |
Philippines | 0.5 |
Poland | 0.8 |
Russian Federation | 0.9 |
Singapore | 1.5 |
South Africa | 1.0 |
South Korea | 3.0 |
Spain | 0.8 |
Sweden | 7.7 |
Switzerland | 2.4 |
Taiwan | 4.2 |
Thailand | 0.6 |
United Kingdom | 10.3 |
United States(a) | 6.1 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds. |
Variable Portfolio Funds | Annual Report 2019 | 63 |
Variable Portfolio – Columbia Wanger International Equities Fund
64 | Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Columbia Wanger International Equities Fund
Variable Portfolio Funds | Annual Report 2019 | 65 |
Variable Portfolio – Partners Core Bond Fund
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class 1 | 05/07/10 | 8.61 | 3.05 | 3.50 | |
Class 2 | 05/07/10 | 8.39 | 2.78 | 3.24 | |
Bloomberg Barclays U.S. Aggregate Bond Index | 8.72 | 3.05 | 3.53 |
66 | Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Core Bond Fund
Portfolio breakdown (%) (at December 31, 2019) | |
Asset-Backed Securities — Agency | 0.0(a) |
Asset-Backed Securities — Non-Agency | 10.1 |
Commercial Mortgage-Backed Securities - Agency | 7.4 |
Commercial Mortgage-Backed Securities - Non-Agency | 3.3 |
Corporate Bonds & Notes | 23.6 |
Foreign Government Obligations | 0.9 |
Inflation-Indexed Bonds | 0.1 |
Money Market Funds | 3.2 |
Municipal Bonds | 0.4 |
Residential Mortgage-Backed Securities - Agency | 22.7 |
Residential Mortgage-Backed Securities - Non-Agency | 2.6 |
U.S. Government & Agency Obligations | 1.2 |
U.S. Treasury Obligations | 24.5 |
Total | 100.0 |
(a) | Rounds to zero. |
Quality breakdown (%) (at December 31, 2019) | |
AAA rating | 67.1 |
AA rating | 3.4 |
A rating | 10.8 |
BBB rating | 14.1 |
BB rating | 0.3 |
B rating | 0.3 |
CCC rating | 0.0(a) |
C rating | 0.0(a) |
D rating | 0.0(a) |
Not rated | 4.0 |
Total | 100.0 |
(a) | Rounds to zero. |
Variable Portfolio Funds | Annual Report 2019 | 67 |
Variable Portfolio – Partners Core Bond Fund
68 | Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Core Bond Fund
Variable Portfolio Funds | Annual Report 2019 | 69 |
Variable Portfolio – Partners Core Bond Fund
70 | Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Core Bond Fund
Variable Portfolio Funds | Annual Report 2019 | 71 |
Variable Portfolio – Partners Small Cap Growth Fund
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class 1 | 05/07/10 | 21.26 | 6.82 | 10.13 | |
Class 2 | 05/07/10 | 20.95 | 6.55 | 9.85 | |
Russell 2000 Growth Index | 28.48 | 9.34 | 13.21 |
72 | Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Small Cap Growth Fund
Portfolio breakdown (%) (at December 31, 2019) | |
Common Stocks | 98.7 |
Money Market Funds | 1.3 |
Total | 100.0 |
Equity sector breakdown (%) (at December 31, 2019) | |
Communication Services | 1.0 |
Consumer Discretionary | 12.6 |
Consumer Staples | 4.2 |
Energy | 0.6 |
Financials | 7.2 |
Health Care | 27.2 |
Industrials | 18.6 |
Information Technology | 24.0 |
Materials | 2.1 |
Real Estate | 1.9 |
Utilities | 0.6 |
Total | 100.0 |
Variable Portfolio Funds | Annual Report 2019 | 73 |
Variable Portfolio – Partners Small Cap Growth Fund
74 | Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Small Cap Growth Fund
Variable Portfolio Funds | Annual Report 2019 | 75 |
Variable Portfolio – Partners Small Cap Growth Fund
76 | Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Small Cap Growth Fund
Variable Portfolio Funds | Annual Report 2019 | 77 |
Variable Portfolio – Partners Small Cap Growth Fund
78 | Variable Portfolio Funds | Annual Report 2019 |
(Unaudited)
July 1, 2019 — December 31, 2019 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Columbia Variable Portfolio – U.S. Equities Fund | |||||||
Class 1 | 1,000.00 | 1,000.00 | 1,064.70 | 1,021.00 | 4.63 | 4.53 | 0.88 |
Class 2 | 1,000.00 | 1,000.00 | 1,063.50 | 1,019.72 | 5.94 | 5.82 | 1.13 |
CTIVP® – American Century Diversified Bond Fund | |||||||
Class 1 | 1,000.00 | 1,000.00 | 1,022.30 | 1,022.98 | 2.52 | 2.53 | 0.49 |
Class 2 | 1,000.00 | 1,000.00 | 1,021.40 | 1,021.71 | 3.81 | 3.81 | 0.74 |
CTIVP® – AQR International Core Equity Fund | |||||||
Class 1 | 1,000.00 | 1,000.00 | 1,050.80 | 1,021.45 | 4.13 | 4.07 | 0.79 |
Class 2 | 1,000.00 | 1,000.00 | 1,048.80 | 1,020.18 | 5.43 | 5.35 | 1.04 |
CTIVP® – CenterSquare Real Estate Fund | |||||||
Class 1 | 1,000.00 | 1,000.00 | 1,068.30 | 1,021.56 | 4.06 | 3.97 | 0.77 |
Class 2 | 1,000.00 | 1,000.00 | 1,067.60 | 1,020.28 | 5.37 | 5.25 | 1.02 |
CTIVP® – DFA International Value Fund | |||||||
Class 1 | 1,000.00 | 1,000.00 | 1,042.50 | 1,021.00 | 4.58 | 4.53 | 0.88 |
Class 2 | 1,000.00 | 1,000.00 | 1,041.40 | 1,019.72 | 5.88 | 5.82 | 1.13 |
Variable Portfolio Funds | Annual Report 2019 | 79 |
(Unaudited)
July 1, 2019 — December 31, 2019 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
CTIVP® – Los Angeles Capital Large Cap Growth Fund | |||||||
Class 1 | 1,000.00 | 1,000.00 | 1,102.90 | 1,021.96 | 3.70 | 3.55 | 0.69 |
Class 2 | 1,000.00 | 1,000.00 | 1,101.70 | 1,020.69 | 5.03 | 4.84 | 0.94 |
CTIVP® – MFS® Value Fund | |||||||
Class 1 | 1,000.00 | 1,000.00 | 1,095.80 | 1,021.91 | 3.74 | 3.61 | 0.70 |
Class 2 | 1,000.00 | 1,000.00 | 1,094.50 | 1,020.64 | 5.07 | 4.89 | 0.95 |
CTIVP® – Morgan Stanley Advantage Fund | |||||||
Class 1 | 1,000.00 | 1,000.00 | 999.40 | 1,022.12 | 3.36 | 3.40 | 0.66 |
Class 2 | 1,000.00 | 1,000.00 | 998.00 | 1,020.84 | 4.63 | 4.69 | 0.91 |
CTIVP® – T. Rowe Price Large Cap Value Fund | |||||||
Class 1 | 1,000.00 | 1,000.00 | 1,090.80 | 1,021.96 | 3.68 | 3.55 | 0.69 |
Class 2 | 1,000.00 | 1,000.00 | 1,089.10 | 1,020.69 | 5.00 | 4.84 | 0.94 |
CTIVP® – TCW Core Plus Bond Fund | |||||||
Class 1 | 1,000.00 | 1,000.00 | 1,025.10 | 1,022.98 | 2.53 | 2.53 | 0.49 |
Class 2 | 1,000.00 | 1,000.00 | 1,022.40 | 1,021.71 | 3.81 | 3.81 | 0.74 |
CTIVP® – Wells Fargo Short Duration Government Fund | |||||||
Class 1 | 1,000.00 | 1,000.00 | 1,010.80 | 1,023.24 | 2.25 | 2.27 | 0.44 |
Class 2 | 1,000.00 | 1,000.00 | 1,009.90 | 1,021.96 | 3.53 | 3.55 | 0.69 |
CTIVP® – Westfield Mid Cap Growth Fund | |||||||
Class 1 | 1,000.00 | 1,000.00 | 1,112.30 | 1,021.25 | 4.47 | 4.27 | 0.83 |
Class 2 | 1,000.00 | 1,000.00 | 1,111.20 | 1,019.98 | 5.81 | 5.56 | 1.08 |
CTIVP® – William Blair International Leaders Fund | |||||||
Class 1 | 1,000.00 | 1,000.00 | 1,090.40 | 1,020.79 | 4.90 | 4.74 | 0.92 |
Class 2 | 1,000.00 | 1,000.00 | 1,089.90 | 1,019.52 | 6.23 | 6.02 | 1.17 |
Variable Portfolio – Columbia Wanger International Equities Fund | |||||||
Class 1 | 1,000.00 | 1,000.00 | 1,113.50 | 1,019.98 | 5.82 | 5.56 | 1.08 |
Class 2 | 1,000.00 | 1,000.00 | 1,110.60 | 1,018.70 | 7.15 | 6.84 | 1.33 |
Variable Portfolio – Partners Core Bond Fund | |||||||
Class 1 | 1,000.00 | 1,000.00 | 1,022.90 | 1,023.03 | 2.47 | 2.47 | 0.48 |
Class 2 | 1,000.00 | 1,000.00 | 1,022.10 | 1,021.76 | 3.76 | 3.76 | 0.73 |
Variable Portfolio – Partners Small Cap Growth Fund | |||||||
Class 1 | 1,000.00 | 1,000.00 | 1,030.90 | 1,021.00 | 4.55 | 4.53 | 0.88 |
Class 2 | 1,000.00 | 1,000.00 | 1,029.50 | 1,019.72 | 5.84 | 5.82 | 1.13 |
80 | Variable Portfolio Funds | Annual Report 2019 |
Columbia Variable Portfolio – U.S. Equities Fund, December 31, 2019
Common Stocks 96.8% | ||
Issuer | Shares | Value ($) |
Communication Services 2.1% | ||
Diversified Telecommunication Services 0.1% | ||
Vonage Holdings Corp.(a) | 20,100 | 148,941 |
Entertainment 0.3% | ||
Take-Two Interactive Software, Inc.(a) | 2,400 | 293,832 |
Interactive Media & Services 0.5% | ||
DHI Group, Inc.(a) | 45,700 | 137,557 |
Meet Group, Inc. (The)(a) | 67,700 | 339,177 |
Total | 476,734 | |
Media 1.1% | ||
Gray Television, Inc.(a) | 7,200 | 154,368 |
National CineMedia, Inc. | 25,800 | 188,082 |
Nexstar Media Group, Inc., Class A | 3,400 | 398,650 |
TechTarget, Inc.(a) | 11,400 | 297,540 |
TEGNA, Inc. | 6,600 | 110,154 |
Total | 1,148,794 | |
Wireless Telecommunication Services 0.1% | ||
Gogo(a) | 11,300 | 72,320 |
Total Communication Services | 2,140,621 | |
Consumer Discretionary 10.4% | ||
Auto Components 0.9% | ||
Dana, Inc. | 4,900 | 89,180 |
Dorman Products, Inc.(a) | 3,031 | 229,507 |
LCI Industries | 1,908 | 204,404 |
Modine Manufacturing Co.(a) | 14,600 | 112,420 |
Visteon Corp.(a) | 2,949 | 255,354 |
Total | 890,865 | |
Distributors 0.2% | ||
Funko, Inc., Class A(a) | 14,300 | 245,388 |
Diversified Consumer Services 0.8% | ||
Collectors Universe, Inc. | 10,400 | 239,720 |
Grand Canyon Education, Inc.(a) | 2,300 | 220,317 |
K12, Inc.(a) | 10,500 | 213,675 |
Perdoceo Education Corp.(a) | 10,800 | 198,612 |
Total | 872,324 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Hotels, Restaurants & Leisure 2.8% | ||
Boyd Gaming Corp. | 1,500 | 44,910 |
Brinker International, Inc. | 4,600 | 193,200 |
Churchill Downs, Inc. | 2,249 | 308,563 |
Dave & Buster’s Entertainment, Inc. | 6,008 | 241,341 |
Dine Brands Global, Inc. | 6,425 | 536,616 |
Everi Holdings, Inc.(a) | 26,900 | 361,267 |
Extended Stay America, Inc. | 12,663 | 188,172 |
Marriott Vacations Worldwide Corp. | 1,825 | 234,987 |
Red Rock Resorts, Inc., Class A | 12,438 | 297,890 |
SeaWorld Entertainment, Inc.(a) | 10,800 | 342,468 |
Wendy’s Co. (The) | 9,698 | 215,393 |
Total | 2,964,807 | |
Household Durables 1.4% | ||
D.R. Horton, Inc. | 5,300 | 279,575 |
Helen of Troy Ltd.(a) | 1,700 | 305,643 |
KB Home | 4,100 | 140,507 |
M/I Homes, Inc.(a) | 5,050 | 198,717 |
Skyline Champion Corp.(a) | 6,105 | 193,529 |
Taylor Morrison Home Corp., Class A(a) | 15,100 | 330,086 |
Total | 1,448,057 | |
Internet & Direct Marketing Retail 0.2% | ||
Stamps.com, Inc.(a) | 2,600 | 217,152 |
Leisure Products 0.7% | ||
Brunswick Corp. | 2,410 | 144,552 |
Malibu Boats, Inc., Class A(a) | 8,850 | 362,407 |
MasterCraft Boat Holdings, Inc.(a) | 6,600 | 103,950 |
Sturm Ruger & Co., Inc. | 3,250 | 152,848 |
Total | 763,757 | |
Specialty Retail 2.8% | ||
Aaron’s, Inc. | 3,800 | 217,018 |
Boot Barn Holdings, Inc.(a) | 6,001 | 267,224 |
Children’s Place, Inc. (The) | 1,700 | 106,284 |
Foot Locker, Inc. | 5,700 | 222,243 |
Genesco, Inc.(a) | 5,500 | 263,560 |
GNC Holdings, Inc., Class A(a) | 48,000 | 129,600 |
Variable Portfolio Funds | Annual Report 2019 | 81 |
Columbia Variable Portfolio – U.S. Equities Fund, December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Hibbett Sports, Inc.(a) | 9,800 | 274,792 |
Lithia Motors, Inc., Class A | 2,080 | 305,760 |
Office Depot, Inc. | 19,400 | 53,156 |
Rent-A-Center, Inc. | 9,720 | 280,325 |
Shoe Carnival, Inc. | 1,400 | 52,192 |
Sleep Number Corp.(a) | 4,800 | 236,352 |
Sportsman’s Warehouse Holdings, Inc.(a) | 30,500 | 244,915 |
Tilly’s, Inc. | 4,700 | 57,575 |
Zumiez, Inc.(a) | 5,500 | 189,970 |
Total | 2,900,966 | |
Textiles, Apparel & Luxury Goods 0.6% | ||
Deckers Outdoor Corp.(a) | 2,115 | 357,139 |
Levi Strauss & Co., Class A | 11,400 | 219,906 |
Total | 577,045 | |
Total Consumer Discretionary | 10,880,361 | |
Consumer Staples 3.5% | ||
Beverages 0.1% | ||
Cott Corp. | 12,351 | 168,962 |
Food & Staples Retailing 0.9% | ||
BJ’s Wholesale Club Holdings, Inc.(a) | 18,321 | 416,619 |
Ingles Markets, Inc., Class A | 6,800 | 323,068 |
SpartanNash Co. | 18,300 | 260,592 |
Total | 1,000,279 | |
Food Products 0.9% | ||
Calavo Growers, Inc. | 1,423 | 128,910 |
John B. Sanfilippo & Son, Inc. | 3,225 | 294,378 |
Post Holdings, Inc.(a) | 2,200 | 240,020 |
TreeHouse Foods, Inc.(a) | 5,200 | 252,200 |
Total | 915,508 | |
Household Products 0.3% | ||
WD-40 Co. | 1,537 | 298,393 |
Personal Products 1.1% | ||
BellRing Brands, Inc., Class A(a) | 10,400 | 221,416 |
Edgewell Personal Care Co.(a) | 5,650 | 174,924 |
Inter Parfums, Inc. | 2,302 | 167,378 |
Lifevantage Corp.(a) | 1,200 | 18,732 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Medifast, Inc. | 2,625 | 287,648 |
Usana Health Sciences, Inc.(a) | 3,120 | 245,076 |
Total | 1,115,174 | |
Tobacco 0.2% | ||
Universal Corp. | 1,700 | 97,002 |
Vector Group Ltd. | 6,220 | 83,286 |
Total | 180,288 | |
Total Consumer Staples | 3,678,604 | |
Energy 3.2% | ||
Energy Equipment & Services 1.4% | ||
Core Laboratories NV | 3,507 | 132,109 |
DMC Global Inc | 2,150 | 96,621 |
Helmerich & Payne, Inc. | 4,700 | 213,521 |
Liberty Oilfield Services, Inc., Class A | 8,500 | 94,520 |
Matrix Service Co.(a) | 14,200 | 324,896 |
NexTier Oilfield Solutions, Inc.(a) | 54,700 | 366,490 |
TechnipFMC PLC | 10,000 | 214,400 |
Total | 1,442,557 | |
Oil, Gas & Consumable Fuels 1.8% | ||
Arch Coal, Inc. | 3,000 | 215,220 |
California Resources Corp.(a) | 12,300 | 111,069 |
Callon Petroleum Co.(a) | 25,000 | 120,750 |
CVR Energy, Inc. | 7,750 | 313,333 |
Delek U.S. Holdings, Inc. | 13,650 | 457,684 |
Denbury Resources, Inc.(a) | 16,200 | 22,842 |
Dorian LPG Ltd.(a) | 2,800 | 43,344 |
Southwestern Energy Co.(a) | 29,800 | 72,116 |
W&T Offshore, Inc.(a) | 12,100 | 67,276 |
World Fuel Services Corp. | 4,550 | 197,561 |
WPX Energy, Inc.(a) | 22,100 | 303,654 |
Total | 1,924,849 | |
Total Energy | 3,367,406 | |
Financials 16.3% | ||
Banks 7.7% | ||
Bancorp, Inc. (The)(a) | 28,200 | 365,754 |
Bank of NT Butterfield & Son Ltd. (The) | 4,518 | 167,256 |
Cathay General Bancorp | 10,200 | 388,110 |
ConnectOne Bancorp, Inc. | 12,200 | 313,784 |
82 | Variable Portfolio Funds | Annual Report 2019 |
Columbia Variable Portfolio – U.S. Equities Fund, December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Customers Bancorp, Inc.(a) | 13,510 | 321,673 |
East West Bancorp, Inc. | 6,400 | 311,680 |
First BanCorp | 32,500 | 344,175 |
Fulton Financial Corp. | 14,600 | 254,478 |
Great Southern Bancorp, Inc. | 4,550 | 288,106 |
Hancock Whitney Corp. | 15,950 | 699,886 |
Hilltop Holdings, Inc. | 13,400 | 334,062 |
Huntington Bancshares, Inc. | 21,000 | 316,680 |
International Bancshares Corp. | 8,715 | 375,355 |
Investors Bancorp, Inc. | 4,500 | 53,618 |
Lakeland Financial Corp. | 4,346 | 212,650 |
Metropolitan Bank Holding Corp.(a) | 1,000 | 48,230 |
Midland States Bancorp, Inc. | 4,000 | 115,840 |
Nicolet Bankshares, Inc.(a) | 1,275 | 94,159 |
OFG Bancorp | 19,950 | 471,019 |
Popular, Inc. | 7,400 | 434,750 |
Preferred Bank | 4,100 | 246,369 |
Prosperity Bancshares, Inc. | 4,200 | 301,938 |
Sandy Spring Bancorp, Inc. | 4,200 | 159,096 |
TCF Financial Corp. | 6,258 | 292,874 |
Trico Bancshares | 4,375 | 178,544 |
United Community Banks, Inc. | 6,200 | 191,456 |
Western Alliance Bancorp | 5,800 | 330,600 |
Zions Bancorp | 7,200 | 373,824 |
Total | 7,985,966 | |
Capital Markets 1.3% | ||
Cohen & Steers, Inc. | 5,300 | 332,628 |
Federated Investors, Inc., Class B | 11,400 | 371,526 |
Houlihan Lokey, Inc. | 11,716 | 572,561 |
Waddell & Reed Financial, Inc., Class A | 5,900 | 98,648 |
Total | 1,375,363 | |
Consumer Finance 1.3% | ||
Encore Capital Group, Inc.(a) | 8,800 | 311,168 |
Enova International, Inc.(a) | 11,700 | 281,502 |
FirstCash, Inc. | 3,188 | 257,048 |
Nelnet, Inc., Class A | 2,015 | 117,354 |
Regional Management Corp.(a) | 9,500 | 285,285 |
SLM Corp. | 12,300 | 109,593 |
Total | 1,361,950 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Diversified Financial Services 0.4% | ||
Voya Financial, Inc. | 5,700 | 347,586 |
Insurance 1.1% | ||
American Equity Investment Life Holding Co. | 9,300 | 278,349 |
Employers Holdings, Inc. | 7,650 | 319,387 |
Genworth Financial, Inc., Class A(a) | 34,100 | 150,040 |
MBIA, Inc.(a) | 12,000 | 111,600 |
Palomar Holdings, Inc.(a) | 2,538 | 128,144 |
Selective Insurance Group, Inc. | 875 | 57,041 |
Universal Insurance Holdings, Inc. | 4,648 | 130,098 |
Total | 1,174,659 | |
Mortgage Real Estate Investment Trusts (REITS) 1.0% | ||
Ares Commercial Real Estate Corp. | 7,800 | 123,552 |
Ellington Financial, Inc. | 15,100 | 276,783 |
New Residential Investment Corp. | 11,800 | 190,098 |
PennyMac Mortgage Investment Trust | 13,600 | 303,144 |
Starwood Property Trust, Inc. | 7,000 | 174,020 |
Total | 1,067,597 | |
Thrifts & Mortgage Finance 3.5% | ||
Axos Financial, Inc.(a) | 6,800 | 205,904 |
Essent Group Ltd. | 8,650 | 449,713 |
Federal Agricultural Mortgage Corp. | 3,875 | 323,563 |
Flagstar Bancorp, Inc. | 16,850 | 644,512 |
Merchants Bancorp | 16,667 | 328,507 |
Meta Financial Group, Inc. | 4,000 | 146,040 |
MGIC Investment Corp. | 16,200 | 229,554 |
NMI Holdings, Inc., Class A(a) | 11,500 | 381,570 |
Radian Group, Inc. | 18,100 | 455,396 |
Walker & Dunlop, Inc. | 7,366 | 476,433 |
Total | 3,641,192 | |
Total Financials | 16,954,313 | |
Health Care 17.2% | ||
Biotechnology 6.5% | ||
ACADIA Pharmaceuticals, Inc.(a) | 6,860 | 293,471 |
Agios Pharmaceuticals, Inc.(a) | 4,873 | 232,686 |
Anika Therapeutics, Inc.(a) | 5,000 | 259,250 |
Apellis Pharmaceuticals, Inc.(a) | 4,440 | 135,953 |
Arena Pharmaceuticals, Inc.(a) | 6,270 | 284,783 |
Variable Portfolio Funds | Annual Report 2019 | 83 |
Columbia Variable Portfolio – U.S. Equities Fund, December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Argenx SE, ADR(a) | 1,722 | 276,415 |
Arrowhead Pharmaceuticals, Inc.(a) | 2,630 | 166,821 |
Atara Biotherapeutics, Inc.(a) | 5,120 | 84,326 |
bluebird bio, Inc.(a) | 1,950 | 171,113 |
Blueprint Medicines Corp.(a) | 2,290 | 183,452 |
Dynavax Technologies Corp.(a) | 23,685 | 135,478 |
Fate Therapeutics, Inc.(a) | 17,753 | 347,426 |
FibroGen, Inc.(a) | 2,110 | 90,498 |
Global Blood Therapeutics, Inc.(a) | 1,575 | 125,197 |
Gossamer Bio, Inc.(a) | 4,918 | 76,868 |
Immunomedics, Inc.(a) | 40,031 | 847,056 |
Insmed, Inc.(a) | 18,027 | 430,485 |
Intercept Pharmaceuticals, Inc.(a) | 2,217 | 274,731 |
Kiniksa Pharmaceuticals Ltd., Class A(a) | 21,841 | 241,561 |
MacroGenics, Inc.(a) | 21,143 | 230,036 |
Mirati Therapeutics, Inc.(a) | 2,125 | 273,828 |
Natera, Inc.(a) | 3,625 | 122,126 |
Precision BioSciences, Inc.(a) | 9,399 | 130,552 |
Rubius Therapeutics, Inc.(a) | 7,480 | 71,060 |
Sage Therapeutics, Inc.(a) | 3,255 | 234,978 |
Sarepta Therapeutics, Inc.(a) | 1,335 | 172,268 |
SpringWorks Therapeutics, Inc.(a) | 7,904 | 304,225 |
TCR2 Therapeutics, Inc.(a) | 9,310 | 132,947 |
Turning Point Therapeutics, Inc.(a) | 3,608 | 224,742 |
Ultragenyx Pharmaceutical, Inc.(a) | 1,560 | 66,628 |
uniQure NV(a) | 2,750 | 197,065 |
Total | 6,818,025 | |
Health Care Equipment & Supplies 4.0% | ||
Angiodynamics, Inc.(a) | 15,600 | 249,756 |
Atrion Corp. | 412 | 309,618 |
AxoGen, Inc.(a) | 20,425 | 365,403 |
CryoLife, Inc.(a) | 5,800 | 157,122 |
Integer Holdings Corp.(a) | 4,475 | 359,924 |
Lantheus Holdings, Inc.(a) | 14,700 | 301,497 |
Meridian Bioscience, Inc. | 24,000 | 234,480 |
Natus Medical, Inc.(a) | 9,400 | 310,106 |
NuVasive, Inc.(a) | 2,250 | 174,015 |
Penumbra, Inc.(a) | 1,332 | 218,808 |
Quidel Corp.(a) | 2,875 | 215,711 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
SI-BONE, Inc.(a) | 12,733 | 273,760 |
Tactile Systems Technology, Inc.(a) | 6,773 | 457,245 |
Teleflex, Inc. | 700 | 263,508 |
Varex Imaging Corp.(a) | 9,200 | 274,252 |
Total | 4,165,205 | |
Health Care Providers & Services 2.5% | ||
Chemed Corp. | 312 | 137,049 |
Corvel Corp.(a) | 3,065 | 267,758 |
Cross Country Healthcare, Inc.(a) | 15,000 | 174,300 |
Hanger, Inc.(a) | 8,224 | 227,065 |
HealthEquity, Inc.(a) | 6,166 | 456,716 |
LHC Group, Inc.(a) | 2,600 | 358,176 |
Magellan Health, Inc.(a) | 4,700 | 367,775 |
National Research Corp., Class A | 4,441 | 292,839 |
Owens & Minor, Inc. | 8,200 | 42,394 |
Tenet Healthcare Corp.(a) | 3,100 | 117,893 |
Tivity Health, Inc.(a) | 9,321 | 189,636 |
Total | 2,631,601 | |
Health Care Technology 0.7% | ||
HealthStream, Inc.(a) | 11,100 | 301,920 |
Omnicell, Inc.(a) | 4,625 | 377,955 |
Total | 679,875 | |
Life Sciences Tools & Services 1.1% | ||
Medpace Holdings, Inc.(a) | 4,300 | 361,458 |
NanoString Technologies, Inc.(a) | 9,835 | 273,610 |
Syneos Health, Inc.(a) | 9,350 | 556,091 |
Total | 1,191,159 | |
Pharmaceuticals 2.4% | ||
Aerie Pharmaceuticals, Inc.(a) | 4,600 | 111,182 |
Amphastar Pharmaceuticals, Inc.(a) | 13,200 | 254,628 |
GW Pharmaceuticals PLC, ADR(a) | 2,195 | 229,509 |
Horizon Therapeutics PLC(a) | 13,260 | 480,012 |
Menlo Therapeutics, Inc.(a) | 19,689 | 91,357 |
Odonate Therapeutics, Inc.(a) | 5,750 | 186,588 |
Optinose, Inc.(a) | 19,523 | 180,002 |
Prestige Consumer Healthcare, Inc.(a) | 6,950 | 281,475 |
Reata Pharmaceuticals, Inc., Class A(a) | 1,870 | 382,284 |
84 | Variable Portfolio Funds | Annual Report 2019 |
Columbia Variable Portfolio – U.S. Equities Fund, December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Supernus Pharmaceuticals, Inc.(a) | 3,835 | 90,966 |
Theravance Biopharma, Inc.(a) | 8,120 | 210,227 |
Total | 2,498,230 | |
Total Health Care | 17,984,095 | |
Industrials 15.4% | ||
Aerospace & Defense 0.7% | ||
BWX Technologies, Inc. | 6,028 | 374,218 |
Curtiss-Wright Corp. | 2,050 | 288,825 |
Vectrus, Inc.(a) | 900 | 46,134 |
Total | 709,177 | |
Air Freight & Logistics 0.3% | ||
Echo Global Logistics, Inc.(a) | 8,100 | 167,670 |
Radiant Logistics, Inc.(a) | 31,600 | 176,012 |
Total | 343,682 | |
Airlines 0.5% | ||
Skywest, Inc. | 7,400 | 478,262 |
Building Products 2.1% | ||
American Woodmark Corp.(a) | 3,675 | 384,074 |
Armstrong World Industries, Inc. | 3,000 | 281,910 |
Builders FirstSource, Inc.(a) | 16,400 | 416,724 |
Caesarstone Ltd. | 11,000 | 165,770 |
CSW Industrials, Inc. | 4,450 | 342,650 |
Gibraltar Industries, Inc.(a) | 6,800 | 342,992 |
Quanex Building Products Corp. | 17,600 | 300,608 |
Total | 2,234,728 | |
Commercial Services & Supplies 1.8% | ||
Brady Corp., Class A | 3,950 | 226,177 |
Brink’s Co. (The) | 2,263 | 205,209 |
Deluxe Corp. | 3,500 | 174,720 |
Herman Miller, Inc. | 7,650 | 318,622 |
HNI Corp. | 7,950 | 297,807 |
Knoll, Inc. | 10,284 | 259,774 |
Unifirst Corp. | 1,889 | 381,540 |
Total | 1,863,849 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Construction & Engineering 1.6% | ||
Comfort Systems U.S.A., Inc. | 4,616 | 230,108 |
EMCOR Group, Inc. | 4,575 | 394,822 |
Great Lakes Dredge & Dock Corp.(a) | 29,010 | 328,683 |
MasTec, Inc.(a) | 10,775 | 691,324 |
Total | 1,644,937 | |
Electrical Equipment 1.0% | ||
Atkore International Group, Inc.(a) | 14,177 | 573,601 |
GrafTech International Ltd. | 19,700 | 228,914 |
Sunrun, Inc.(a) | 14,000 | 193,340 |
Total | 995,855 | |
Machinery 2.5% | ||
Gardner Denver Holdings, Inc.(a) | 7,300 | 267,764 |
ITT, Inc. | 5,978 | 441,834 |
Lydall, Inc.(a) | 10,100 | 207,252 |
Mueller Industries, Inc. | 10,700 | 339,725 |
Navistar International Corp.(a) | 6,000 | 173,640 |
Oshkosh Corp. | 3,600 | 340,740 |
Rexnord Corp.(a) | 6,000 | 195,720 |
SPX Corp.(a) | 10,851 | 552,099 |
Wabash National Corp. | 5,400 | 79,326 |
Total | 2,598,100 | |
Marine 0.3% | ||
Costamare, Inc. | 35,200 | 335,456 |
Professional Services 1.8% | ||
Barrett Business Services, Inc. | 3,275 | 296,257 |
Exponent, Inc. | 4,816 | 332,352 |
FTI Consulting, Inc.(a) | 1,400 | 154,924 |
Heidrick & Struggles International, Inc. | 9,000 | 292,500 |
ICF International, Inc. | 3,326 | 304,728 |
Kforce, Inc. | 8,550 | 339,435 |
Korn/Ferry International | 4,300 | 182,320 |
Total | 1,902,516 | |
Road & Rail 0.5% | ||
ArcBest Corp. | 5,230 | 144,348 |
Hertz Global Holdings, Inc.(a) | 12,500 | 196,875 |
Saia, Inc.(a) | 2,489 | 231,776 |
Total | 572,999 |
Variable Portfolio Funds | Annual Report 2019 | 85 |
Columbia Variable Portfolio – U.S. Equities Fund, December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Trading Companies & Distributors 2.3% | ||
Air Lease Corp. | 6,715 | 319,097 |
BMC Stock Holdings, Inc.(a) | 12,800 | 367,232 |
Foundation Building Materials, Inc.(a) | 13,900 | 268,965 |
GMS, Inc.(a) | 11,700 | 316,836 |
MRC Global, Inc.(a) | 23,700 | 323,268 |
SiteOne Landscape Supply, Inc.(a) | 3,023 | 274,035 |
Triton International Ltd. | 6,000 | 241,200 |
Veritiv Corp.(a) | 16,200 | 318,654 |
Total | 2,429,287 | |
Total Industrials | 16,108,848 | |
Information Technology 14.5% | ||
Communications Equipment 1.1% | ||
ADTRAN, Inc. | 13,500 | 133,515 |
Ciena Corp.(a) | 7,700 | 328,713 |
Comtech Telecommunications Corp. | 4,200 | 149,058 |
Lumentum Holdings, Inc.(a) | 3,000 | 237,900 |
Viavi Solutions, Inc.(a) | 15,500 | 232,500 |
Total | 1,081,686 | |
Electronic Equipment, Instruments & Components 2.8% | ||
Badger Meter, Inc. | 2,796 | 181,544 |
Belden, Inc. | 2,650 | 145,750 |
Benchmark Electronics, Inc. | 10,600 | 364,216 |
ePlus, Inc.(a) | 2,937 | 247,560 |
Methode Electronics, Inc. | 4,800 | 188,880 |
Rogers Corp.(a) | 2,750 | 343,008 |
Sanmina Corp.(a) | 10,900 | 373,216 |
SYNNEX Corp. | 3,000 | 386,400 |
Vishay Intertechnology, Inc. | 18,400 | 391,736 |
Vishay Precision Group, Inc.(a) | 8,750 | 297,500 |
Total | 2,919,810 | |
IT Services 3.3% | ||
Booz Allen Hamilton Holdings Corp. | 3,700 | 263,181 |
Cardtronics PLC, Class A(a) | 8,900 | 397,385 |
Cass Information Systems, Inc. | 1,260 | 72,752 |
Endava PLC, ADR(a) | 7,170 | 334,122 |
EVERTEC, Inc. | 10,150 | 345,506 |
Hackett Group | 4,700 | 75,858 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
KBR, Inc. | 11,400 | 347,700 |
Leidos Holdings, Inc. | 2,500 | 244,725 |
LiveRamp Holdings, Inc.(a) | 3,900 | 187,473 |
MAXIMUS, Inc. | 3,100 | 230,609 |
NIC, Inc. | 14,300 | 319,605 |
Perspecta, Inc. | 14,000 | 370,160 |
TTEC Holdings, Inc. | 6,300 | 249,606 |
Total | 3,438,682 | |
Semiconductors & Semiconductor Equipment 3.9% | ||
Advanced Energy Industries, Inc.(a) | 5,665 | 403,348 |
Amkor Technology, Inc.(a) | 26,170 | 340,210 |
Cirrus Logic, Inc.(a) | 4,575 | 377,026 |
Cypress Semiconductor Corp. | 9,400 | 219,302 |
Impinj, Inc.(a) | 3,754 | 97,078 |
Inphi Corp.(a) | 3,461 | 256,183 |
Kulicke & Soffa Industries, Inc. | 6,600 | 179,520 |
Marvell Technology Group Ltd. | 10,500 | 278,880 |
MKS Instruments, Inc. | 1,692 | 186,137 |
ON Semiconductor Corp.(a) | 17,000 | 414,460 |
Onto Innovation, Inc.(a) | 6,064 | 221,579 |
Semtech Corp.(a) | 6,835 | 361,571 |
Synaptics, Inc.(a) | 6,100 | 401,197 |
Ultra Clean Holdings, Inc.(a) | 13,400 | 314,498 |
Total | 4,050,989 | |
Software 3.4% | ||
Avaya Holdings Corp.(a) | 16,700 | 225,450 |
Bill.com Holdings, Inc.(a) | 3,108 | 118,259 |
Blackline, Inc.(a) | 4,066 | 209,643 |
CommVault Systems, Inc.(a) | 7,550 | 337,032 |
CyberArk Software Ltd.(a) | 2,643 | 308,121 |
j2 Global, Inc. | 8,007 | 750,336 |
Manhattan Associates, Inc.(a) | 3,903 | 311,264 |
Mimecast Ltd.(a) | 2,796 | 121,291 |
Progress Software Corp. | 8,300 | 344,865 |
Qualys, Inc.(a) | 6,362 | 530,400 |
SPS Commerce, Inc.(a) | 5,800 | 321,436 |
Total | 3,578,097 | |
Total Information Technology | 15,069,264 |
86 | Variable Portfolio Funds | Annual Report 2019 |
Columbia Variable Portfolio – U.S. Equities Fund, December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Materials 3.6% | ||
Chemicals 1.7% | ||
CF Industries Holdings, Inc. | 5,200 | 248,248 |
Chase Corp. | 1,050 | 124,404 |
Huntsman Corp. | 10,700 | 258,512 |
Ingevity Corp.(a) | 3,608 | 315,267 |
Koppers Holdings, Inc.(a) | 2,150 | 82,173 |
Orion Engineered Carbons SA | 9,500 | 183,350 |
PolyOne Corp. | 8,525 | 313,635 |
Stepan Co. | 2,450 | 250,978 |
Trinseo SA | 1,100 | 40,931 |
Total | 1,817,498 | |
Construction Materials 0.3% | ||
U.S. Concrete, Inc.(a) | 7,300 | 304,118 |
Metals & Mining 1.1% | ||
Cleveland-Cliffs, Inc. | 30,500 | 256,200 |
Materion Corp. | 5,180 | 307,951 |
Schnitzer Steel Industries, Inc., Class A | 13,100 | 284,008 |
Steel Dynamics, Inc. | 7,100 | 241,684 |
Total | 1,089,843 | |
Paper & Forest Products 0.5% | ||
Schweitzer-Mauduit International, Inc. | 5,500 | 230,945 |
Verso Corp., Class A(a) | 18,700 | 337,161 |
Total | 568,106 | |
Total Materials | 3,779,565 | |
Real Estate 7.7% | ||
Equity Real Estate Investment Trusts (REITS) 7.0% | ||
Alexander’s, Inc. | 120 | 39,642 |
Alexandria Real Estate Equities, Inc. | 2,300 | 371,634 |
American Assets Trust, Inc. | 11,200 | 514,080 |
Ashford Hospitality Trust, Inc. | 76,800 | 214,272 |
Braemar Hotels & Resorts, Inc. | 7,100 | 63,403 |
CareTrust REIT, Inc. | 1,700 | 35,071 |
CoreCivic, Inc. | 16,400 | 285,032 |
CorEnergy Infrastructure Trust, Inc. | 6,644 | 297,053 |
Coresite Realty Corp. | 1,407 | 157,753 |
Duke Realty Corp. | 7,600 | 263,492 |
EastGroup Properties, Inc. | 2,825 | 374,793 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
First Industrial Realty Trust, Inc. | 9,300 | 386,043 |
GEO Group, Inc. (The) | 16,100 | 267,421 |
Highwoods Properties, Inc. | 4,300 | 210,313 |
Hudson Pacific Properties, Inc. | 6,500 | 244,725 |
Investors Real Estate Trust | 4,473 | 324,293 |
Lexington Realty Trust | 32,100 | 340,902 |
Mack-Cali Realty Corp. | 11,500 | 265,995 |
Mid-America Apartment Communities, Inc. | 1,800 | 237,348 |
PS Business Parks, Inc. | 3,920 | 646,290 |
Retail Value, Inc. | 8,500 | 312,800 |
Ryman Hospitality Properties, Inc. | 915 | 79,294 |
Sun Communities, Inc. | 2,350 | 352,735 |
UMH Properties, Inc. | 21,442 | 337,283 |
Uniti Group, Inc. | 36,800 | 302,128 |
Washington Prime Group, Inc. | 22,600 | 82,264 |
Xenia Hotels & Resorts, Inc. | 11,200 | 242,032 |
Total | 7,248,091 | |
Real Estate Management & Development 0.7% | ||
Colliers International Group, Inc. | 2,620 | 204,281 |
FirstService Corp. | 2,266 | 210,829 |
RE/MAX Holdings, Inc., Class A | 1,300 | 50,037 |
RMR Group, Inc. (The), Class A | 6,100 | 278,404 |
Total | 743,551 | |
Total Real Estate | 7,991,642 | |
Utilities 2.9% | ||
Electric Utilities 0.9% | ||
Alliant Energy Corp. | 5,100 | 279,072 |
Otter Tail Corp. | 750 | 38,468 |
Pinnacle West Capital Corp. | 2,100 | 188,853 |
Portland General Electric Co. | 7,550 | 421,214 |
Total | 927,607 | |
Gas Utilities 1.0% | ||
Chesapeake Utilities Corp. | 3,380 | 323,905 |
New Jersey Resources Corp. | 4,800 | 213,936 |
South Jersey Industries, Inc. | 5,900 | 194,582 |
Southwest Gas Holdings, Inc. | 4,575 | 347,563 |
Total | 1,079,986 |
Variable Portfolio Funds | Annual Report 2019 | 87 |
Columbia Variable Portfolio – U.S. Equities Fund, December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Multi-Utilities 1.0% | ||
Avista Corp. | 6,950 | 334,225 |
CMS Energy Corp. | 4,300 | 270,212 |
NorthWestern Corp. | 4,350 | 311,765 |
Unitil Corp. | 2,350 | 145,277 |
Total | 1,061,479 | |
Total Utilities | 3,069,072 | |
Total Common Stocks (Cost $91,611,694) | 101,023,791 | |
Limited Partnerships 0.3% | ||
Consumer Discretionary 0.3% | ||
Hotels, Restaurants & Leisure 0.3% | ||
Cedar Fair LP | 6,263 | 347,221 |
Total Consumer Discretionary | 347,221 | |
Total Limited Partnerships (Cost $315,033) | 347,221 | |
Money Market Funds 3.0% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(b),(c) | 3,104,722 | 3,104,411 |
Total Money Market Funds (Cost $3,104,458) | 3,104,411 | |
Total Investments in Securities (Cost: $95,031,185) | 104,475,423 | |
Other Assets & Liabilities, Net | (132,876) | |
Net Assets | 104,342,547 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Russell 2000 Index E-mini | 20 | 03/2020 | USD | 1,670,600 | — | (935) |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | ||||||||
20,062,546 | 294,611,907 | (311,569,731) | 3,104,722 | 27 | (47) | 350,910 | 3,104,411 |
ADR | American Depositary Receipt |
88 | Variable Portfolio Funds | Annual Report 2019 |
Columbia Variable Portfolio – U.S. Equities Fund, December 31, 2019
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 2,140,621 | — | — | 2,140,621 |
Consumer Discretionary | 10,880,361 | — | — | 10,880,361 |
Consumer Staples | 3,678,604 | — | — | 3,678,604 |
Energy | 3,367,406 | — | — | 3,367,406 |
Financials | 16,954,313 | — | — | 16,954,313 |
Health Care | 17,984,095 | — | — | 17,984,095 |
Industrials | 16,108,848 | — | — | 16,108,848 |
Information Technology | 15,069,264 | — | — | 15,069,264 |
Materials | 3,779,565 | — | — | 3,779,565 |
Real Estate | 7,991,642 | — | — | 7,991,642 |
Utilities | 3,069,072 | — | — | 3,069,072 |
Total Common Stocks | 101,023,791 | — | — | 101,023,791 |
Limited Partnerships | ||||
Consumer Discretionary | 347,221 | — | — | 347,221 |
Total Limited Partnerships | 347,221 | — | — | 347,221 |
Money Market Funds | 3,104,411 | — | — | 3,104,411 |
Total Investments in Securities | 104,475,423 | — | — | 104,475,423 |
Variable Portfolio Funds | Annual Report 2019 | 89 |
Columbia Variable Portfolio – U.S. Equities Fund, December 31, 2019
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Derivatives | ||||
Liability | ||||
Futures Contracts | (935) | — | — | (935) |
Total | 104,474,488 | — | — | 104,474,488 |
90 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – American Century Diversified Bond Fund, December 31, 2019
Asset-Backed Securities — Non-Agency 7.2% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Allegany Park CLO Ltd.(a),(b),(c) | ||||
Series 2019-1A Class C | ||||
3-month USD LIBOR + 2.550% Floor 2.550% 01/20/2033 | 3.400% | 9,625,000 | 9,625,000 | |
Ares XLI CLO Ltd.(a),(b) | ||||
Series 2019-41A Class AR | ||||
3-month USD LIBOR + 1.200% Floor 1.200% 01/15/2029 | 3.201% | 10,300,000 | 10,296,343 | |
Ares XXXIIR CLO Ltd.(a),(b) | ||||
Series 2014-32RA Class A2A | ||||
3-month USD LIBOR + 1.550% 05/15/2030 | 3.460% | 2,500,000 | 2,476,735 | |
Atrium XIII(a),(b) | ||||
Series 2013A Class B | ||||
3-month USD LIBOR + 1.500% 11/21/2030 | 3.434% | 15,000,000 | 14,898,660 | |
Bean Creek CLO Ltd.(a),(b) | ||||
Series 2015-1A Class BR | ||||
3-month USD LIBOR + 1.450% Floor 1.450% 04/20/2031 | 3.416% | 3,200,000 | 3,149,146 | |
BRE Grand Islander Timeshare Issuer LLC(a) | ||||
Series 2017-1A Class A | ||||
05/25/2029 | 2.940% | 3,463,072 | 3,465,394 | |
Carlyle Global Market Strategies CLO Ltd.(a),(b) | ||||
Series 2014-2RA Class A3 | ||||
3-month USD LIBOR + 1.500% 05/15/2031 | 3.410% | 3,000,000 | 2,968,098 | |
CBAM Ltd.(a),(b) | ||||
Series 2018-5A Class B1 | ||||
3-month USD LIBOR + 1.400% Floor 1.400% 04/17/2031 | 3.402% | 2,755,000 | 2,712,223 | |
CIFC Funding Ltd.(a),(b) | ||||
Series 2013-2A Class A2LR | ||||
3-month USD LIBOR + 1.600% Floor 1.600% 10/18/2030 | 3.603% | 12,000,000 | 11,912,328 | |
Series 2016-1A Class BR | ||||
3-month USD LIBOR + 1.950% 10/21/2031 | 3.000% | 10,725,000 | 10,736,905 | |
Dryden Senior Loan Fund(a),(b) | ||||
Series 2018-64A Class B | ||||
3-month USD LIBOR + 1.400% Floor 1.400% 04/18/2031 | 3.403% | 4,000,000 | 3,924,976 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Gilbert Park CLO Ltd.(a),(b) | ||||
Series 2017-1A Class B | ||||
3-month USD LIBOR + 1.600% 10/15/2030 | 3.601% | 7,650,000 | 7,667,212 | |
Goldentree Loan Management US CLO 5 Ltd.(a),(b) | ||||
Series 2019-5A Class A | ||||
3-month USD LIBOR + 1.300% Floor 1.300% 10/20/2032 | 3.488% | 4,250,000 | 4,249,885 | |
Goldentree Loan Management US CLO Ltd.(a),(b) | ||||
Series 2018-3A Class B1 | ||||
3-month USD LIBOR + 1.550% 04/20/2030 | 3.516% | 4,000,000 | 3,952,372 | |
Goodgreen(a),(d) | ||||
Series 2018-1A Class A | ||||
10/15/2053 | 3.930% | 6,873,525 | 7,171,212 | |
Hilton Grand Vacations Trust(a) | ||||
Series 2014-AA Class A | ||||
11/25/2026 | 1.770% | 1,752,591 | 1,747,073 | |
Series 2014-AA Class B | ||||
11/25/2026 | 2.070% | 897,222 | 893,469 | |
Series 2017-AA Class A | ||||
12/26/2028 | 2.660% | 3,021,079 | 3,030,855 | |
Invitation Homes Trust(a),(b) | ||||
Series 2018-SFR1 Class B | ||||
1-month USD LIBOR + 0.950% 03/17/2037 | 2.690% | 9,425,000 | 9,420,742 | |
KKR CLO Ltd.(a),(b) | ||||
Series 2022A Class B | ||||
3-month USD LIBOR + 1.600% Floor 1.600% 07/20/2031 | 3.566% | 2,250,000 | 2,202,921 | |
LCM XIV LP(a),(b) | ||||
Series 2014A Class BR | ||||
3-month USD LIBOR + 1.580% 07/20/2031 | 3.546% | 6,750,000 | 6,666,577 | |
Madison Park Funding XIII Ltd.(a),(b) | ||||
Series 2014-13A Class BR2 | ||||
3-month USD LIBOR + 1.500% 04/19/2030 | 3.466% | 4,500,000 | 4,497,813 | |
Magnetite VIII Ltd.(a),(b) | ||||
Series 2014-8A Class BR2 | ||||
3-month USD LIBOR + 1.500% Floor 1.500% 04/15/2031 | 3.501% | 4,500,000 | 4,477,667 |
Variable Portfolio Funds | Annual Report 2019 | 91 |
CTIVP® – American Century Diversified Bond Fund, December 31, 2019
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Magnetite XXIV Ltd.(a),(b) | ||||
Series 2019-24A Class B | ||||
3-month USD LIBOR + 1.850% Floor 1.850% 01/15/2033 | 3.757% | 7,800,000 | 7,799,813 | |
Series 2019-24A Class C | ||||
3-month USD LIBOR + 2.550% Floor 2.550% 01/15/2033 | 4.457% | 11,500,000 | 11,499,620 | |
MVW Owner Trust(a) | ||||
Series 2015-1A Class A | ||||
12/20/2032 | 2.520% | 1,711,362 | 1,710,691 | |
Octagon Investment Partners 45 Ltd.(a),(b) | ||||
Series 2019-1A Class B1 | ||||
3-month USD LIBOR + 1.850% Floor 1.850% 10/15/2032 | 3.679% | 7,650,000 | 7,656,327 | |
Sierra Receivables Funding Co., LLC(a) | ||||
Series 2017-1A Class A | ||||
03/20/2034 | 2.910% | 2,498,780 | 2,522,195 | |
Sierra Timeshare Receivables Funding LLC(a) | ||||
Series 2015-2A Class A | ||||
06/20/2032 | 2.430% | 1,781,603 | 1,780,880 | |
Series 2016-2A Class A | ||||
07/20/2033 | 2.330% | 2,330,226 | 2,323,710 | |
Series 2018-2A Class B | ||||
06/20/2035 | 3.650% | 4,795,253 | 4,890,668 | |
Series 2019-2A Class C | ||||
05/20/2036 | 3.120% | 5,850,058 | 5,884,626 | |
Subordinated Series 2018-3A Class B | ||||
09/20/2035 | 3.870% | 4,124,027 | 4,254,875 | |
Sounds Point CLO Ltd.(a),(b) | ||||
Series 2013-3RA Class A | ||||
3-month USD LIBOR + 1.150% Floor 1.150% 04/18/2031 | 3.153% | 2,500,000 | 2,476,075 | |
Sounds Point IV-R CLO Ltd.(a),(b) | ||||
Series 2013-3RA Class B | ||||
3-month USD LIBOR + 1.750% Floor 1.750% 04/18/2031 | 3.753% | 3,190,000 | 3,116,445 | |
Treman Park CLO Ltd.(a),(b) | ||||
Series 2015-1A Class ARR | ||||
3-month USD LIBOR + 1.070% Floor 1.070% 10/20/2028 | 3.036% | 2,000,000 | 2,000,286 | |
U.S. Airways Pass-Through Trust | ||||
Series 2013-1 Class A | ||||
11/15/2025 | 3.950% | 1,102,488 | 1,158,517 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Voya CLO Ltd.(a),(b) | ||||
Series 2013-2A Class A2AR | ||||
3-month USD LIBOR + 1.400% Floor 1.400% 04/25/2031 | 3.340% | 5,550,000 | 5,442,213 | |
Series 2013-3A Class A2RR | ||||
3-month USD LIBOR + 1.700% Floor 1.700% 10/18/2031 | 3.703% | 2,500,000 | 2,460,598 | |
VSE Mortgage LLC(a) | ||||
Subordinated, Series 2017-A Class B | ||||
03/20/2035 | 2.630% | 6,142,909 | 6,130,849 | |
VSE VOI Mortgage LLC(a) | ||||
Series 2016-A Class A | ||||
07/20/2033 | 2.540% | 4,125,307 | 4,108,316 | |
Total Asset-Backed Securities — Non-Agency (Cost $209,079,111) | 209,360,310 | |||
Commercial Mortgage-Backed Securities - Non-Agency 7.2% | ||||
Banc of America Merrill Lynch Commercial Mortgage Securities Trust(a) | ||||
Subordinated, Series 2015-200P Class B | ||||
04/14/2033 | 3.490% | 5,000,000 | 5,175,021 | |
BB-UBS Trust(a) | ||||
Series 2012-SHOW Class A | ||||
11/05/2036 | 3.430% | 5,000,000 | 5,181,814 | |
Benchmark Mortgage Trust | ||||
Series 2018-B6 Class AS | ||||
10/10/2051 | 4.441% | 10,168,000 | 11,345,947 | |
Cantor Commercial Real Estate Lending | ||||
Series 2019-CF3 Class AS | ||||
01/15/2053 | 3.298% | 15,000,000 | 15,388,120 | |
Commercial Mortgage Pass-Through Certificates(d) | ||||
Series 2016-CR28 Class B | ||||
02/10/2049 | 4.646% | 5,230,000 | 5,720,115 | |
Commercial Mortgage Trust | ||||
Series 2014-LC17 Class B | ||||
10/10/2047 | 4.490% | 9,400,000 | 10,037,967 | |
Series 2015-CR22 Class B | ||||
03/10/2048 | 3.926% | 10,000,000 | 10,481,232 | |
Subordinated, Series 2015-LC21 Class AM | ||||
07/10/2048 | 4.043% | 10,000,000 | 10,633,027 | |
Invitation Homes Trust(a),(b) | ||||
Series 2017-SFR2 Class B | ||||
1-month USD LIBOR + 1.150% Floor 1.150% 12/17/2036 | 2.890% | 17,475,000 | 17,475,000 | |
Series 2018-SFR2 Class C | ||||
1-month USD LIBOR + 1.280% Floor 1.350% 06/17/2037 | 3.020% | 11,325,000 | 11,321,354 |
92 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – American Century Diversified Bond Fund, December 31, 2019
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2018-SFR3 Class B | ||||
1-month USD LIBOR + 1.150% Floor 1.200% 07/17/2037 | 2.914% | 14,475,000 | 14,472,635 | |
Subordinated Series 2018-SFR4 Class B | ||||
1-month USD LIBOR + 1.250% Floor 1.100% 01/17/2038 | 3.014% | 16,000,000 | 15,991,669 | |
JPMorgan Chase Commercial Mortgage Securities Trust | ||||
Series 2016-JP2 Class B | ||||
08/15/2049 | 3.460% | 9,200,000 | 9,378,277 | |
Series 2016-JP3 Class AS | ||||
08/15/2049 | 3.144% | 7,575,000 | 7,692,756 | |
JPMorgan Chase Commercial Mortgage Securities Trust(d) | ||||
Subordinated, Series 2013-C16 Class C | ||||
12/15/2046 | 5.027% | 5,440,000 | 5,845,785 | |
Morgan Stanley Bank of America Merrill Lynch Trust | ||||
Series 2017-C34 Class A3 | ||||
11/15/2052 | 3.276% | 8,000,000 | 8,351,312 | |
Morgan Stanley Capital I Trust(a),(d) | ||||
Series 2014-CPT Class C | ||||
07/13/2029 | 3.446% | 5,000,000 | 5,049,289 | |
Progress Residential Trust(a) | ||||
Series 2017-SFR1 Class A | ||||
08/17/2034 | 2.768% | 11,956,222 | 11,930,313 | |
Series 2019-SRF4 Class A | ||||
10/17/2036 | 2.687% | 21,600,000 | 21,528,018 | |
UBS Commercial Mortgage Trust | ||||
Series 2017-C1 Class A3 | ||||
06/15/2050 | 3.196% | 6,700,000 | 6,950,611 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $208,617,114) | 209,950,262 | |||
Corporate Bonds & Notes 29.0% | ||||
Aerospace & Defense 0.1% | ||||
Lockheed Martin Corp. | ||||
03/01/2045 | 3.800% | 1,920,000 | 2,124,712 | |
Airlines 0.1% | ||||
United Airlines, Inc. Pass-Through Trust | ||||
09/03/2022 | 4.625% | 1,879,880 | 1,927,911 | |
Apartment REIT 0.2% | ||||
AvalonBay Communities, Inc. | ||||
01/15/2028 | 3.200% | 60,000 | 62,605 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Essex Portfolio LP | ||||
08/15/2022 | 3.625% | 1,590,000 | 1,643,641 | |
05/01/2023 | 3.250% | 2,805,000 | 2,871,662 | |
01/15/2030 | 3.000% | 1,230,000 | 1,243,534 | |
Total | 5,821,442 | |||
Automotive 0.8% | ||||
Ford Motor Credit Co. LLC | ||||
01/15/2020 | 8.125% | 1,600,000 | 1,603,045 | |
08/02/2021 | 5.875% | 6,650,000 | 6,960,932 | |
08/03/2022 | 2.979% | 3,300,000 | 3,302,837 | |
11/01/2022 | 3.350% | 1,720,000 | 1,739,389 | |
General Motors Co. | ||||
04/01/2038 | 5.150% | 1,970,000 | 2,034,619 | |
General Motors Financial Co., Inc. | ||||
07/06/2021 | 3.200% | 1,970,000 | 1,995,751 | |
03/01/2026 | 5.250% | 2,360,000 | 2,618,102 | |
ZF North America Capital, Inc.(a) | ||||
04/29/2020 | 4.000% | 3,637,000 | 3,647,582 | |
Total | 23,902,257 | |||
Banking 7.7% | ||||
Banco Santander SA | ||||
04/11/2022 | 3.500% | 3,600,000 | 3,695,339 | |
Bank of America Corp.(e) | ||||
12/20/2023 | 3.004% | 2,897,000 | 2,964,466 | |
12/20/2028 | 3.419% | 2,292,000 | 2,407,268 | |
01/20/2048 | 4.443% | 2,230,000 | 2,726,478 | |
Bank of America Corp. | ||||
01/21/2044 | 5.000% | 2,130,000 | 2,779,274 | |
Subordinated | ||||
08/26/2024 | 4.200% | 7,074,000 | 7,599,869 | |
01/22/2025 | 4.000% | 5,050,000 | 5,388,449 | |
Bank of Montreal | ||||
02/05/2024 | 3.300% | 2,993,000 | 3,119,745 | |
Barclays Bank PLC | ||||
Subordinated | ||||
10/14/2020 | 5.140% | 1,230,000 | 1,255,431 | |
BNP Paribas SA(a),(e) | ||||
11/19/2025 | 2.819% | 6,870,000 | 6,953,519 | |
BPCE SA(a) | ||||
Subordinated | ||||
07/21/2024 | 5.150% | 3,930,000 | 4,317,436 | |
Capital One Bank U.S.A. NA | ||||
Subordinated | ||||
02/15/2023 | 3.375% | 3,180,000 | 3,287,062 | |
Capital One Financial Corp. | ||||
01/31/2028 | 3.800% | 4,520,000 | 4,854,950 |
Variable Portfolio Funds | Annual Report 2019 | 93 |
CTIVP® – American Century Diversified Bond Fund, December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Citigroup, Inc. | ||||
12/08/2021 | 2.900% | 5,000,000 | 5,080,290 | |
04/25/2022 | 2.750% | 4,200,000 | 4,266,420 | |
Citigroup, Inc.(e) | ||||
10/27/2028 | 3.520% | 2,990,000 | 3,151,731 | |
Cooperatieve Rabobank UA | ||||
Subordinated | ||||
11/09/2022 | 3.950% | 3,610,000 | 3,773,295 | |
Credit Suisse Group AG(a),(e) | ||||
09/11/2025 | 2.593% | 2,500,000 | 2,507,335 | |
Credit Suisse Group Funding Guernsey Ltd. | ||||
04/16/2021 | 3.450% | 4,420,000 | 4,494,789 | |
Discover Bank | ||||
07/27/2026 | 3.450% | 6,010,000 | 6,254,553 | |
Fifth Third Bancorp | ||||
01/28/2025 | 2.375% | 4,200,000 | 4,215,179 | |
Fifth Third Bank | ||||
10/01/2021 | 2.875% | 2,230,000 | 2,262,776 | |
Goldman Sachs Group, Inc. (The) | ||||
01/23/2025 | 3.500% | 6,510,000 | 6,832,732 | |
11/16/2026 | 3.500% | 5,450,000 | 5,736,067 | |
Goldman Sachs Group, Inc. (The)(e) | ||||
04/23/2029 | 3.814% | 2,250,000 | 2,411,808 | |
12/31/2049 | 4.950% | 2,040,000 | 2,103,361 | |
HSBC Holdings PLC(e) | ||||
03/13/2023 | 3.262% | 2,450,000 | 2,507,131 | |
Subordinated | ||||
11/07/2025 | 2.633% | 5,100,000 | 5,108,275 | |
HSBC Holdings PLC | ||||
03/08/2026 | 4.300% | 2,440,000 | 2,658,200 | |
Subordinated | ||||
11/23/2026 | 4.375% | 4,890,000 | 5,290,100 | |
JPMorgan Chase & Co. | ||||
03/01/2021 | 2.550% | 3,770,000 | 3,798,233 | |
05/10/2021 | 4.625% | 2,600,000 | 2,693,857 | |
01/23/2025 | 3.125% | 3,900,000 | 4,071,709 | |
Subordinated | ||||
09/10/2024 | 3.875% | 7,370,000 | 7,890,538 | |
JPMorgan Chase & Co.(e) | ||||
12/05/2024 | 4.023% | 3,280,000 | 3,498,346 | |
05/01/2028 | 3.540% | 130,000 | 137,886 | |
05/06/2030 | 3.702% | 3,200,000 | 3,448,594 | |
11/15/2048 | 3.964% | 2,100,000 | 2,376,182 | |
Morgan Stanley | ||||
05/19/2022 | 2.750% | 2,900,000 | 2,950,126 | |
10/23/2024 | 3.700% | 2,710,000 | 2,878,205 | |
07/23/2025 | 4.000% | 9,530,000 | 10,315,169 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated | ||||
11/24/2025 | 5.000% | 3,870,000 | 4,359,967 | |
Morgan Stanley(e) | ||||
01/24/2029 | 3.772% | 1,900,000 | 2,044,189 | |
PNC Bank NA(e) | ||||
12/09/2022 | 2.028% | 5,820,000 | 5,826,379 | |
PNC Bank NA | ||||
Subordinated | ||||
07/25/2023 | 3.800% | 2,500,000 | 2,626,907 | |
10/22/2029 | 2.700% | 4,300,000 | 4,293,094 | |
Regions Financial Corp. | ||||
08/14/2022 | 2.750% | 3,110,000 | 3,164,209 | |
Royal Bank of Scotland Group PLC(e) | ||||
Subordinated | ||||
11/01/2029 | 3.754% | 4,240,000 | 4,328,865 | |
Synchrony Financial | ||||
07/25/2022 | 2.850% | 3,560,000 | 3,607,366 | |
U.S. Bancorp | ||||
Subordinated | ||||
09/11/2024 | 3.600% | 630,000 | 670,318 | |
U.S. Bank NA | ||||
01/27/2025 | 2.800% | 2,390,000 | 2,471,645 | |
UBS Group Funding Switzerland AG(a) | ||||
05/23/2023 | 3.491% | 4,300,000 | 4,425,638 | |
09/24/2025 | 4.125% | 3,500,000 | 3,808,343 | |
UniCredit SpA(a),(e) | ||||
Subordinated | ||||
06/19/2032 | 5.861% | 2,520,000 | 2,628,239 | |
Wells Fargo & Co. | ||||
01/24/2023 | 3.069% | 2,850,000 | 2,908,497 | |
Subordinated | ||||
08/15/2023 | 4.125% | 2,510,000 | 2,664,258 | |
01/15/2044 | 5.606% | 3,131,000 | 4,121,877 | |
11/04/2044 | 4.650% | 2,295,000 | 2,705,514 | |
Wells Fargo & Co.(e) | ||||
10/30/2030 | 2.879% | 3,850,000 | 3,879,435 | |
Total | 224,596,913 | |||
Brokerage/Asset Managers/Exchanges 0.1% | ||||
Apollo Management Holdings LP(a),(e) | ||||
01/14/2050 | 4.950% | 3,120,000 | 3,151,955 | |
Banco BTG Pactual SA(a) | ||||
01/10/2025 | 4.500% | 1,200,000 | 1,215,753 | |
Total | 4,367,708 | |||
Building Materials 0.1% | ||||
Masco Corp. | ||||
04/01/2025 | 4.450% | 1,250,000 | 1,359,212 |
94 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – American Century Diversified Bond Fund, December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Standard Industries, Inc.(a) | ||||
01/15/2028 | 4.750% | 945,000 | 969,104 | |
Total | 2,328,316 | |||
Cable and Satellite 1.0% | ||||
Cable Onda SA(a) | ||||
01/30/2030 | 4.500% | 2,800,000 | 2,950,284 | |
Charter Communications Operating LLC/Capital | ||||
07/23/2025 | 4.908% | 3,810,000 | 4,199,317 | |
03/15/2028 | 4.200% | 720,000 | 767,641 | |
10/23/2045 | 6.484% | 3,650,000 | 4,545,048 | |
03/01/2050 | 4.800% | 450,000 | 474,568 | |
Comcast Corp. | ||||
08/15/2035 | 4.400% | 2,660,000 | 3,114,455 | |
05/15/2038 | 6.400% | 3,172,000 | 4,461,301 | |
10/15/2038 | 4.600% | 5,260,000 | 6,273,396 | |
Globo Comunicacao e Participacoes SA(a) | ||||
06/08/2025 | 4.843% | 3,077,000 | 3,174,542 | |
Total | 29,960,552 | |||
Chemicals 0.1% | ||||
CF Industries, Inc.(a) | ||||
12/01/2026 | 4.500% | 2,080,000 | 2,266,982 | |
CF Industries, Inc. | ||||
03/15/2034 | 5.150% | 1,750,000 | 1,967,266 | |
Total | 4,234,248 | |||
Construction Machinery 0.1% | ||||
Ashtead Capital, Inc.(a) | ||||
08/15/2025 | 4.125% | 3,050,000 | 3,135,807 | |
Consumer Cyclical Services 0.1% | ||||
Mastercard, Inc. | ||||
06/01/2049 | 3.650% | 1,280,000 | 1,422,689 | |
Western Union Co. (The) | ||||
01/10/2025 | 2.850% | 2,760,000 | 2,773,653 | |
Total | 4,196,342 | |||
Diversified Manufacturing 0.1% | ||||
United Technologies Corp. | ||||
04/15/2040 | 5.700% | 1,770,000 | 2,388,354 | |
Electric 1.8% | ||||
AEP Transmission Co. LLC | ||||
12/01/2047 | 3.750% | 1,820,000 | 1,947,436 | |
Berkshire Hathaway Energy Co. | ||||
07/15/2048 | 3.800% | 3,390,000 | 3,664,143 | |
CenterPoint Energy, Inc. | ||||
11/01/2028 | 4.250% | 2,430,000 | 2,637,707 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Cometa Energia SA de CV(a) | ||||
04/24/2035 | 6.375% | 3,270,375 | 3,563,833 | |
Commonwealth Edison Co. | ||||
11/15/2049 | 3.200% | 850,000 | 837,447 | |
Consolidated Edison Co. of New York, Inc. | ||||
03/01/2043 | 3.950% | 2,790,000 | 3,024,040 | |
Dominion Energy, Inc. | ||||
10/01/2025 | 3.900% | 750,000 | 806,851 | |
08/01/2041 | 4.900% | 2,650,000 | 3,120,802 | |
Duke Energy Corp. | ||||
09/15/2021 | 3.550% | 1,800,000 | 1,840,941 | |
Duke Energy Florida LLC | ||||
09/15/2037 | 6.350% | 1,170,000 | 1,633,114 | |
11/15/2042 | 3.850% | 1,610,000 | 1,740,765 | |
Duke Energy Progress LLC | ||||
12/01/2044 | 4.150% | 3,385,000 | 3,819,884 | |
Exelon Corp. | ||||
12/01/2020 | 5.150% | 2,520,000 | 2,570,312 | |
04/15/2046 | 4.450% | 960,000 | 1,079,012 | |
Exelon Generation Co. LLC | ||||
06/15/2042 | 5.600% | 970,000 | 1,089,581 | |
FirstEnergy Corp. | ||||
03/15/2023 | 4.250% | 1,080,000 | 1,138,588 | |
FirstEnergy Transmission LLC(a) | ||||
04/01/2049 | 4.550% | 1,540,000 | 1,768,415 | |
Florida Power & Light Co. | ||||
02/01/2042 | 4.125% | 1,840,000 | 2,104,981 | |
10/01/2049 | 3.150% | 1,150,000 | 1,158,358 | |
IPALCO Enterprises, Inc. | ||||
07/15/2020 | 3.450% | 3,270,000 | 3,288,886 | |
MidAmerican Energy Co. | ||||
10/15/2044 | 4.400% | 1,090,000 | 1,285,594 | |
NextEra Energy Operating Partners LP(a) | ||||
09/15/2027 | 4.500% | 4,400,000 | 4,592,899 | |
Oncor Electric Delivery Co. LLC | ||||
09/15/2049 | 3.100% | 1,420,000 | 1,396,239 | |
Potomac Electric Power Co. | ||||
03/15/2024 | 3.600% | 2,050,000 | 2,161,809 | |
Xcel Energy, Inc. | ||||
12/01/2026 | 3.350% | 1,210,000 | 1,264,639 | |
Total | 53,536,276 | |||
Environmental 0.1% | ||||
Waste Connections, Inc. | ||||
05/01/2029 | 3.500% | 140,000 | 148,310 |
Variable Portfolio Funds | Annual Report 2019 | 95 |
CTIVP® – American Century Diversified Bond Fund, December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Waste Management, Inc. | ||||
07/15/2049 | 4.150% | 2,260,000 | 2,583,123 | |
Total | 2,731,433 | |||
Finance Companies 0.1% | ||||
International Lease Finance Corp. | ||||
08/15/2022 | 5.875% | 3,000,000 | 3,269,202 | |
Springleaf Finance Corp. | ||||
11/15/2029 | 5.375% | 400,000 | 417,661 | |
Total | 3,686,863 | |||
Food and Beverage 0.6% | ||||
Anheuser-Busch Companies LLC/InBev Worldwide, Inc. | ||||
02/01/2046 | 4.900% | 4,980,000 | 5,924,539 | |
Anheuser-Busch InBev Worldwide, Inc. | ||||
01/23/2029 | 4.750% | 4,690,000 | 5,442,513 | |
Constellation Brands, Inc. | ||||
12/01/2025 | 4.750% | 1,470,000 | 1,639,751 | |
Lamb Weston Holdings, Inc.(a) | ||||
11/01/2024 | 4.625% | 2,920,000 | 3,098,400 | |
Total | 16,105,203 | |||
Gaming 0.1% | ||||
GLP Capital LP/Financing II, Inc. | ||||
06/01/2028 | 5.750% | 1,900,000 | 2,158,350 | |
VICI Properties LP/Note Co., Inc.(a) | ||||
12/01/2026 | 4.250% | 1,010,000 | 1,042,216 | |
Total | 3,200,566 | |||
Health Care 1.2% | ||||
Acadia Healthcare Co., Inc. | ||||
07/01/2022 | 5.125% | 2,500,000 | 2,531,623 | |
Becton Dickinson and Co. | ||||
12/15/2024 | 3.734% | 1,880,000 | 1,996,647 | |
Catholic Health Initiatives | ||||
11/01/2022 | 2.950% | 1,425,000 | 1,452,012 | |
CVS Health Corp. | ||||
12/01/2022 | 2.750% | 3,840,000 | 3,902,606 | |
03/25/2028 | 4.300% | 2,510,000 | 2,746,112 | |
03/25/2038 | 4.780% | 3,080,000 | 3,504,346 | |
DH Europe Finance II Sarl | ||||
11/15/2049 | 3.400% | 1,840,000 | 1,886,316 | |
Fresenius Medical Care U.S. Finance II, Inc.(a) | ||||
10/15/2020 | 4.125% | 1,200,000 | 1,211,287 | |
HCA, Inc. | ||||
03/15/2024 | 5.000% | 2,880,000 | 3,149,626 | |
02/01/2025 | 5.375% | 1,100,000 | 1,217,566 | |
06/15/2029 | 4.125% | 5,380,000 | 5,714,700 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
IQVIA, Inc.(a) | ||||
05/15/2027 | 5.000% | 2,100,000 | 2,224,145 | |
Northwell Healthcare, Inc. | ||||
11/01/2047 | 4.260% | 1,370,000 | 1,474,192 | |
Tenet Healthcare Corp.(a) | ||||
01/01/2026 | 4.875% | 2,070,000 | 2,168,512 | |
Total | 35,179,690 | |||
Healthcare Insurance 0.6% | ||||
Aetna, Inc. | ||||
11/15/2022 | 2.750% | 890,000 | 904,366 | |
Anthem, Inc. | ||||
12/01/2027 | 3.650% | 2,610,000 | 2,762,962 | |
01/15/2043 | 4.650% | 1,410,000 | 1,594,901 | |
Centene Corp.(a) | ||||
12/15/2029 | 4.625% | 3,860,000 | 4,064,917 | |
UnitedHealth Group, Inc. | ||||
03/15/2022 | 2.875% | 3,480,000 | 3,549,076 | |
07/15/2025 | 3.750% | 3,920,000 | 4,233,670 | |
07/15/2045 | 4.750% | 510,000 | 627,306 | |
Total | 17,737,198 | |||
Healthcare REIT 0.1% | ||||
MPT Operating Partnership LP/Finance Corp. | ||||
10/15/2027 | 5.000% | 960,000 | 1,020,205 | |
08/01/2029 | 4.625% | 1,760,000 | 1,815,646 | |
Ventas Realty LP | ||||
01/15/2026 | 4.125% | 50,000 | 53,711 | |
Total | 2,889,562 | |||
Home Construction 0.5% | ||||
D.R. Horton, Inc. | ||||
08/15/2023 | 5.750% | 1,350,000 | 1,493,254 | |
DR Horton, Inc. | ||||
10/15/2024 | 2.500% | 3,030,000 | 3,030,256 | |
Lennar Corp. | ||||
04/01/2021 | 4.750% | 1,705,000 | 1,747,433 | |
11/29/2027 | 4.750% | 2,000,000 | 2,156,928 | |
Toll Brothers Finance Corp. | ||||
02/15/2028 | 4.350% | 2,280,000 | 2,380,901 | |
11/01/2029 | 3.800% | 3,845,000 | 3,834,913 | |
Total | 14,643,685 | |||
Independent Energy 0.8% | ||||
Cimarex Energy Co. | ||||
06/01/2024 | 4.375% | 2,620,000 | 2,766,012 | |
Concho Resources, Inc. | ||||
01/15/2025 | 4.375% | 2,570,000 | 2,656,616 |
96 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – American Century Diversified Bond Fund, December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Continental Resources, Inc. | ||||
06/01/2024 | 3.800% | 2,240,000 | 2,317,464 | |
01/15/2028 | 4.375% | 1,850,000 | 1,967,922 | |
Diamondback Energy, Inc. | ||||
05/31/2025 | 5.375% | 2,770,000 | 2,909,772 | |
12/01/2029 | 3.500% | 4,790,000 | 4,878,060 | |
Encana Corp. | ||||
02/01/2038 | 6.500% | 2,630,000 | 3,085,087 | |
Hess Corp. | ||||
01/15/2040 | 6.000% | 1,410,000 | 1,664,216 | |
Newfield Exploration Co. | ||||
01/30/2022 | 5.750% | 930,000 | 988,463 | |
01/01/2026 | 5.375% | 500,000 | 542,336 | |
Tullow Oil PLC(a) | ||||
03/01/2025 | 7.000% | 650,000 | 548,140 | |
Total | 24,324,088 | |||
Life Insurance 0.8% | ||||
American International Group, Inc. | ||||
02/15/2024 | 4.125% | 8,340,000 | 8,966,884 | |
07/16/2044 | 4.500% | 970,000 | 1,118,668 | |
MetLife, Inc. | ||||
08/13/2042 | 4.125% | 1,300,000 | 1,481,787 | |
11/13/2043 | 4.875% | 2,540,000 | 3,172,146 | |
Prudential Financial, Inc. | ||||
12/07/2049 | 3.935% | 1,085,000 | 1,184,215 | |
Prudential Financial, Inc.(e) | ||||
Junior Subordinated | ||||
09/15/2042 | 5.875% | 3,800,000 | 4,098,395 | |
Voya Financial, Inc. | ||||
07/15/2043 | 5.700% | 1,940,000 | 2,454,157 | |
Total | 22,476,252 | |||
Media and Entertainment 0.5% | ||||
Interpublic Group of Companies, Inc. (The) | ||||
03/15/2022 | 4.000% | 1,395,000 | 1,442,480 | |
Nielsen Finance LLC/Co.(a) | ||||
04/15/2022 | 5.000% | 1,406,000 | 1,413,392 | |
TEGNA, Inc.(a) | ||||
09/15/2029 | 5.000% | 1,900,000 | 1,932,357 | |
Viacom, Inc. | ||||
06/15/2022 | 3.125% | 3,500,000 | 3,556,689 | |
09/01/2023 | 4.250% | 3,640,000 | 3,881,568 | |
03/15/2043 | 4.375% | 1,830,000 | 1,938,231 | |
Total | 14,164,717 | |||
Metals and Mining 0.3% | ||||
Industrias Penoles SAB de CV(a) | ||||
09/12/2049 | 5.650% | 1,750,000 | 1,864,715 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Minera Mexico SA de CV(a) | ||||
01/26/2050 | 4.500% | 4,900,000 | 4,978,892 | |
Steel Dynamics, Inc. | ||||
04/15/2030 | 3.450% | 1,820,000 | 1,839,291 | |
Total | 8,682,898 | |||
Midstream 2.7% | ||||
Dominion Energy Gas Holdings LLC | ||||
11/15/2029 | 3.000% | 4,230,000 | 4,217,805 | |
Enbridge, Inc. | ||||
10/01/2023 | 4.000% | 2,050,000 | 2,167,067 | |
11/15/2029 | 3.125% | 3,530,000 | 3,579,612 | |
Energy Transfer Operating LP | ||||
03/15/2023 | 4.250% | 2,400,000 | 2,504,094 | |
04/15/2029 | 5.250% | 2,200,000 | 2,474,523 | |
Energy Transfer Partners LP | ||||
02/01/2023 | 3.600% | 4,370,000 | 4,480,988 | |
03/15/2035 | 4.900% | 1,500,000 | 1,569,422 | |
02/01/2042 | 6.500% | 2,471,000 | 2,938,239 | |
06/15/2048 | 6.000% | 730,000 | 851,604 | |
EnLink Midstream LLC | ||||
06/01/2029 | 5.375% | 2,030,000 | 1,910,208 | |
EnLink Midstream Partners LP | ||||
07/15/2026 | 4.850% | 1,890,000 | 1,773,854 | |
Enterprise Products Operating LLC | ||||
03/15/2044 | 4.850% | 3,890,000 | 4,500,845 | |
Kinder Morgan Energy Partners LP | ||||
09/15/2020 | 5.300% | 1,600,000 | 1,636,482 | |
09/01/2039 | 6.500% | 3,256,000 | 4,118,599 | |
MPLX LP | ||||
06/01/2025 | 4.875% | 1,960,000 | 2,140,956 | |
04/15/2038 | 4.500% | 1,320,000 | 1,346,045 | |
03/01/2047 | 5.200% | 2,590,000 | 2,798,525 | |
MPLX LP(a) | ||||
12/01/2027 | 4.250% | 1,950,000 | 2,053,363 | |
ONEOK, Inc. | ||||
09/01/2029 | 3.400% | 2,430,000 | 2,470,572 | |
Plains All American Pipeline LP/Finance Corp. | ||||
06/01/2022 | 3.650% | 5,040,000 | 5,174,657 | |
Sabine Pass Liquefaction LLC | ||||
03/01/2025 | 5.625% | 6,080,000 | 6,834,995 | |
Sunoco Logistics Partners Operations LP | ||||
01/15/2023 | 3.450% | 4,665,000 | 4,747,987 | |
Targa Resources Partners LP/Finance Corp. | ||||
01/15/2028 | 5.000% | 3,315,000 | 3,387,322 |
Variable Portfolio Funds | Annual Report 2019 | 97 |
CTIVP® – American Century Diversified Bond Fund, December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Williams Companies, Inc. (The) | ||||
11/15/2020 | 4.125% | 4,280,000 | 4,331,269 | |
06/24/2024 | 4.550% | 4,040,000 | 4,359,182 | |
Total | 78,368,215 | |||
Natural Gas 0.4% | ||||
NiSource Finance Corp. | ||||
02/01/2045 | 5.650% | 3,010,000 | 3,831,527 | |
Sempra Energy | ||||
10/01/2022 | 2.875% | 1,830,000 | 1,863,219 | |
06/15/2027 | 3.250% | 3,400,000 | 3,506,517 | |
02/01/2048 | 4.000% | 1,680,000 | 1,759,224 | |
Southern Co. Gas Capital Corp. | ||||
10/01/2046 | 3.950% | 140,000 | 144,594 | |
Total | 11,105,081 | |||
Office REIT 0.3% | ||||
Boston Properties LP | ||||
02/01/2026 | 3.650% | 4,200,000 | 4,448,787 | |
Kilroy Realty LP | ||||
01/15/2023 | 3.800% | 2,890,000 | 3,003,097 | |
Total | 7,451,884 | |||
Oil Field Services 0.1% | ||||
Baker Hughes, a GE Co., LLC/Obligor, Inc. | ||||
11/07/2029 | 3.138% | 2,124,000 | 2,183,939 | |
Other Financial Institutions 0.2% | ||||
Icahn Enterprises LP/Finance Corp.(a) | ||||
05/15/2027 | 5.250% | 5,830,000 | 5,973,143 | |
Other Industry 0.2% | ||||
CK Hutchison International 17 II Ltd.(a) | ||||
09/29/2020 | 2.250% | 6,140,000 | 6,138,763 | |
Other REIT 0.1% | ||||
Hospitality Properties Trust | ||||
03/15/2024 | 4.650% | 1,927,000 | 2,002,299 | |
Packaging 0.3% | ||||
Ardagh Packaging Finance PLC/Holdings USA, Inc.(a) | ||||
08/15/2027 | 5.250% | 1,575,000 | 1,657,331 | |
Berry Global Escrow Corp.(a) | ||||
07/15/2026 | 4.875% | 2,130,000 | 2,248,187 | |
Crown Americas LLC/Capital Corp. V | ||||
09/30/2026 | 4.250% | 1,500,000 | 1,571,161 | |
Reynolds Group Issuer, Inc./LLC(a) | ||||
07/15/2023 | 5.125% | 1,780,000 | 1,823,884 | |
Total | 7,300,563 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Pharmaceuticals 1.6% | ||||
AbbVie, Inc. | ||||
05/14/2025 | 3.600% | 5,730,000 | 6,052,697 | |
11/06/2042 | 4.400% | 2,870,000 | 3,107,825 | |
AbbVie, Inc.(a) | ||||
11/21/2029 | 3.200% | 6,130,000 | 6,255,650 | |
11/21/2049 | 4.250% | 2,270,000 | 2,407,523 | |
Allergan Finance LLC | ||||
10/01/2022 | 3.250% | 4,780,000 | 4,887,913 | |
Allergan Funding SCS | ||||
06/15/2024 | 3.850% | 1,260,000 | 1,324,058 | |
Amgen, Inc. | ||||
06/15/2051 | 4.663% | 2,576,000 | 3,032,601 | |
Bausch Health Companies, Inc.(a) | ||||
03/15/2024 | 7.000% | 2,200,000 | 2,295,125 | |
Bristol-Myers Squibb Co.(a) | ||||
08/15/2025 | 3.875% | 2,740,000 | 2,964,327 | |
10/26/2049 | 4.250% | 900,000 | 1,069,410 | |
Catalent Pharma Solutions, Inc.(a) | ||||
07/15/2027 | 5.000% | 1,520,000 | 1,595,086 | |
Gilead Sciences, Inc. | ||||
03/01/2026 | 3.650% | 6,830,000 | 7,348,209 | |
Shire Acquisitions Investments Ireland DAC | ||||
09/23/2021 | 2.400% | 2,400,000 | 2,413,871 | |
Teva Pharmaceutical Finance III BV | ||||
07/21/2021 | 2.200% | 1,300,000 | 1,262,443 | |
Total | 46,016,738 | |||
Property & Casualty 0.6% | ||||
Allstate Corp. (The)(e) | ||||
08/15/2053 | 5.750% | 1,594,000 | 1,715,988 | |
Berkshire Hathaway Finance Corp. | ||||
05/15/2022 | 3.000% | 990,000 | 1,017,910 | |
08/15/2048 | 4.200% | 640,000 | 755,222 | |
Berkshire Hathaway, Inc. | ||||
03/15/2023 | 2.750% | 790,000 | 811,955 | |
Chubb INA Holdings, Inc. | ||||
03/15/2025 | 3.150% | 2,350,000 | 2,472,973 | |
Hartford Financial Services Group, Inc. (The) | ||||
10/15/2036 | 5.950% | 550,000 | 718,607 | |
08/19/2049 | 3.600% | 1,596,000 | 1,649,528 | |
Liberty Mutual Group, Inc.(a) | ||||
06/15/2049 | 4.500% | 1,610,000 | 1,829,149 | |
Markel Corp. | ||||
07/01/2022 | 4.900% | 2,840,000 | 3,026,031 |
98 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – American Century Diversified Bond Fund, December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
WR Berkley Corp. | ||||
03/15/2022 | 4.625% | 2,820,000 | 2,977,354 | |
Total | 16,974,717 | |||
Railroads 0.5% | ||||
Burlington Northern Santa Fe LLC | ||||
09/15/2041 | 4.950% | 2,350,000 | 2,884,668 | |
04/01/2045 | 4.150% | 3,065,000 | 3,513,216 | |
CSX Corp. | ||||
06/01/2027 | 3.250% | 3,400,000 | 3,570,942 | |
Union Pacific Corp. | ||||
08/15/2039 | 3.550% | 2,390,000 | 2,478,325 | |
Union Pacific Corp.(a) | ||||
03/20/2060 | 3.839% | 2,670,000 | 2,710,754 | |
Total | 15,157,905 | |||
Restaurants 0.2% | ||||
McDonald’s Corp. | ||||
05/26/2025 | 3.375% | 3,480,000 | 3,678,078 | |
09/01/2049 | 3.625% | 1,450,000 | 1,482,105 | |
Total | 5,160,183 | |||
Retail REIT 0.1% | ||||
Kimco Realty Corp. | ||||
10/01/2026 | 2.800% | 2,160,000 | 2,170,590 | |
Simon Property Group LP | ||||
09/13/2029 | 2.450% | 1,940,000 | 1,913,075 | |
Total | 4,083,665 | |||
Retailers 0.3% | ||||
Home Depot, Inc. (The) | ||||
02/15/2024 | 3.750% | 1,860,000 | 1,988,832 | |
04/01/2041 | 5.950% | 3,810,000 | 5,372,831 | |
06/15/2047 | 3.900% | 240,000 | 271,730 | |
Walmart, Inc. | ||||
06/29/2048 | 4.050% | 120,000 | 142,542 | |
Total | 7,775,935 | |||
Supermarkets 0.0% | ||||
Kroger Co. (The) | ||||
10/15/2046 | 3.875% | 1,210,000 | 1,180,351 | |
Technology 2.0% | ||||
Apple, Inc. | ||||
01/13/2025 | 2.750% | 4,770,000 | 4,929,597 | |
08/04/2026 | 2.450% | 3,400,000 | 3,452,052 | |
05/11/2027 | 3.200% | 2,740,000 | 2,899,850 | |
Dell International LLC/EMC Corp.(a) | ||||
06/15/2023 | 5.450% | 4,090,000 | 4,436,923 | |
06/15/2026 | 6.020% | 5,600,000 | 6,465,452 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Fidelity National Information Services, Inc. | ||||
08/15/2026 | 3.000% | 4,070,000 | 4,207,952 | |
Fiserv, Inc. | ||||
07/01/2029 | 3.500% | 1,788,000 | 1,882,149 | |
Global Payments, Inc. | ||||
08/15/2029 | 3.200% | 3,100,000 | 3,160,934 | |
Microsoft Corp. | ||||
08/08/2036 | 3.450% | 3,740,000 | 4,100,735 | |
02/06/2047 | 4.250% | 4,470,000 | 5,488,647 | |
Motorola Solutions, Inc. | ||||
05/23/2029 | 4.600% | 3,350,000 | 3,688,455 | |
MSCI, Inc.(a) | ||||
11/15/2029 | 4.000% | 3,835,000 | 3,895,971 | |
NXP BV/Funding LLC(a) | ||||
09/01/2022 | 3.875% | 2,800,000 | 2,907,561 | |
Oracle Corp. | ||||
10/15/2022 | 2.500% | 2,910,000 | 2,963,238 | |
07/15/2026 | 2.650% | 970,000 | 992,869 | |
Sensata Technologies BV(a) | ||||
10/01/2025 | 5.000% | 2,030,000 | 2,207,510 | |
Sensata Technologies UK Financing Co. PLC(a) | ||||
02/15/2026 | 6.250% | 430,000 | 464,432 | |
Total | 58,144,327 | |||
Transportation Services 0.0% | ||||
United Parcel Service, Inc. | ||||
11/15/2024 | 2.800% | 140,000 | 144,578 | |
Treasury 0.1% | ||||
Jordan Government International Bond(a) | ||||
10/10/2047 | 7.375% | 3,000,000 | 3,197,860 | |
Wireless 0.4% | ||||
America Movil SAB de CV | ||||
07/16/2022 | 3.125% | 1,745,000 | 1,787,500 | |
American Tower Corp. | ||||
10/15/2026 | 3.375% | 3,420,000 | 3,557,321 | |
Crown Castle International Corp. | ||||
01/15/2023 | 5.250% | 4,970,000 | 5,400,561 | |
Rogers Communications, Inc. | ||||
11/15/2049 | 3.700% | 1,640,000 | 1,663,588 | |
Total | 12,408,970 | |||
Wirelines 0.9% | ||||
AT&T, Inc. | ||||
08/15/2021 | 3.875% | 3,880,000 | 3,999,339 | |
07/15/2026 | 2.950% | 6,730,000 | 6,870,890 | |
11/15/2046 | 5.150% | 5,095,000 | 6,086,441 |
Variable Portfolio Funds | Annual Report 2019 | 99 |
CTIVP® – American Century Diversified Bond Fund, December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Telefonica Emisiones SAU | ||||
02/16/2021 | 5.462% | 3,310,000 | 3,436,079 | |
Verizon Communications, Inc. | ||||
11/01/2041 | 4.750% | 3,410,000 | 4,134,325 | |
08/21/2054 | 5.012% | 1,870,000 | 2,422,388 | |
Total | 26,949,462 | |||
Total Corporate Bonds & Notes (Cost $811,235,989) | 846,061,571 |
Exchange-Traded Fixed Income Funds 4.0% | ||
Shares | Value ($) | |
High Yield 4.0% | ||
iShares iBoxx $ High Yield Corporate Bond ETF | 671,400 | 59,042,916 |
SPDR Bloomberg Barclays High Yield Bond ETF | 539,000 | 59,042,060 |
Total | 118,084,976 | |
Total Exchange-Traded Fixed Income Funds (Cost $117,034,600) | 118,084,976 |
Foreign Government Obligations(f) 2.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Canada 0.1% | ||||
CNOOC Nexen Finance ULC | ||||
04/30/2024 | 4.250% | 2,170,000 | 2,326,221 | |
Chile 0.1% | ||||
Chile Government International Bond | ||||
09/14/2021 | 3.250% | 2,300,000 | 2,343,422 | |
Colombia 0.1% | ||||
Ecopetrol SA | ||||
05/28/2045 | 5.875% | 1,750,000 | 2,060,467 | |
Dominican Republic 0.1% | ||||
Dominican Republic International Bond(a) | ||||
01/25/2027 | 5.950% | 2,400,000 | 2,650,689 | |
Egypt 0.2% | ||||
Egypt Government International Bond(a) | ||||
01/31/2027 | 7.500% | 1,000,000 | 1,114,750 | |
01/31/2047 | 8.500% | 4,000,000 | 4,448,275 | |
Total | 5,563,025 | |||
Jordan 0.1% | ||||
Jordan Government International Bond(a) | ||||
10/10/2047 | 7.375% | 2,500,000 | 2,664,884 |
Foreign Government Obligations(f) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Mexico 0.7% | ||||
Petroleos Mexicanos | ||||
03/05/2020 | 6.000% | 1,041,000 | 1,048,225 | |
01/24/2022 | 4.875% | 9,259,000 | 9,591,152 | |
03/13/2027 | 6.500% | 9,400,000 | 9,957,475 | |
Total | 20,596,852 | |||
Namibia 0.1% | ||||
Namibia International Bonds(a) | ||||
10/29/2025 | 5.250% | 2,200,000 | 2,289,690 | |
Nigeria 0.1% | ||||
Nigeria Government International Bond(a) | ||||
11/21/2025 | 7.625% | 2,400,000 | 2,648,524 | |
Norway 0.0% | ||||
Equinor ASA | ||||
11/18/2049 | 3.250% | 1,590,000 | 1,604,371 | |
Russian Federation 0.1% | ||||
Russian Foreign Bond - Eurobond(a) | ||||
06/23/2047 | 5.250% | 3,200,000 | 4,010,277 | |
Serbia 0.0% | ||||
Serbia International Bond(a) | ||||
09/28/2021 | 7.250% | 200,000 | 218,038 | |
Tunisia 0.1% | ||||
Banque Centrale de Tunisie International Bond(a) | ||||
01/30/2025 | 5.750% | 3,600,000 | 3,364,913 | |
Turkey 0.1% | ||||
Turkey Government International Bond | ||||
03/17/2036 | 6.875% | 3,000,000 | 3,096,283 | |
Virgin Islands 0.1% | ||||
Sinopec Group Overseas Development 2015 Ltd.(a) | ||||
04/28/2020 | 2.500% | 2,000,000 | 2,001,566 | |
Total Foreign Government Obligations (Cost $56,071,538) | 57,439,222 | |||
Inflation-Indexed Bonds 1.4% | ||||
United States 1.4% | ||||
U.S. Treasury Inflation-Indexed Bond | ||||
04/15/2024 | 0.500% | 19,897,215 | 20,223,977 | |
07/15/2029 | 0.250% | 22,133,540 | 22,354,337 | |
Total | 42,578,314 | |||
Total Inflation-Indexed Bonds (Cost $42,442,304) | 42,578,314 | |||
100 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – American Century Diversified Bond Fund, December 31, 2019
Municipal Bonds 1.4% | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Higher Education 0.1% | ||||
Los Angeles Community College District | ||||
Unlimited General Obligation Bonds | ||||
Build America Bonds | ||||
Series 2010 | ||||
08/01/2049 | 6.750% | 800,000 | 1,313,400 | |
Rutgers, The State University of New Jersey | ||||
Revenue Bonds | ||||
Build America Bonds | ||||
Series 2010 | ||||
05/01/2040 | 5.665% | 525,000 | 684,605 | |
Total | 1,998,005 | |||
Local General Obligation 0.1% | ||||
City of Chicago | ||||
Unlimited General Obligation Bonds | ||||
Taxable | ||||
01/01/2029 | 7.045% | 1,000,000 | 1,097,520 | |
City of Houston | ||||
Limited General Obligation Bonds | ||||
Taxable | ||||
Series 2017 | ||||
03/01/2047 | 3.961% | 800,000 | 884,512 | |
Total | 1,982,032 | |||
Municipal Power 0.0% | ||||
Sacramento Municipal Utility District | ||||
Revenue Bonds | ||||
Build America Bonds | ||||
Series 2010 | ||||
05/15/2036 | 6.156% | 900,000 | 1,202,634 | |
Other Bond Issue 0.1% | ||||
City of San Francisco Public Utilities Commission Water | ||||
Revenue Bonds | ||||
Build America Bonds | ||||
Series 2010 | ||||
11/01/2040 | 6.000% | 1,050,000 | 1,363,036 | |
San Diego County Regional Airport Authority | ||||
Revenue Bonds | ||||
Taxable Senior Consolidated Rental Car Facility | ||||
Series 2014 | ||||
07/01/2043 | 5.594% | 935,000 | 1,058,701 | |
Total | 2,421,737 | |||
Ports 0.1% | ||||
Port Authority of New York & New Jersey | ||||
Revenue Bonds | ||||
Consolidated 168th | ||||
Series 2011 | ||||
10/01/2051 | 4.926% | 2,000,000 | 2,590,900 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Sales Tax 0.1% | ||||
Santa Clara Valley Transportation Authority | ||||
Revenue Bonds | ||||
Build America Bonds | ||||
Series 2010 | ||||
04/01/2032 | 5.876% | 2,220,000 | 2,715,060 | |
Special Non Property Tax 0.2% | ||||
Missouri Highway & Transportation Commission | ||||
Revenue Bonds | ||||
Build America Bonds | ||||
Series 2009 | ||||
05/01/2033 | 5.445% | 1,700,000 | 2,078,726 | |
New York State Dormitory Authority(c) | ||||
Refunding Revenue Bonds | ||||
Taxable | ||||
Series 2020F | ||||
02/15/2043 | 3.190% | 3,015,000 | 3,026,005 | |
Total | 5,104,731 | |||
State Appropriated 0.1% | ||||
Kentucky Turnpike Authority | ||||
Revenue Bonds | ||||
Build America Bonds | ||||
Series 2010B | ||||
07/01/2030 | 5.722% | 2,050,000 | 2,467,154 | |
State General Obligation 0.3% | ||||
State of California | ||||
Unlimited General Obligation Bonds | ||||
Build America Bonds | ||||
Series 2009 | ||||
10/01/2039 | 7.300% | 3,445,000 | 5,260,584 | |
Taxable | ||||
Series 2018 | ||||
04/01/2038 | 4.600% | 2,335,000 | 2,587,180 | |
State of Illinois | ||||
Unlimited General Obligation Bonds | ||||
Taxable Pension | ||||
Series 2003 | ||||
06/01/2033 | 5.100% | 2,220,000 | 2,393,226 | |
Total | 10,240,990 | |||
Transportation 0.1% | ||||
Metropolitan Transportation Authority | ||||
Revenue Bonds | ||||
Taxable Build America Bonds | ||||
Series 2010 | ||||
11/15/2040 | 6.687% | 1,650,000 | 2,321,930 |
Variable Portfolio Funds | Annual Report 2019 | 101 |
CTIVP® – American Century Diversified Bond Fund, December 31, 2019
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Turnpike / Bridge / Toll Road 0.2% | ||||
Bay Area Toll Authority | ||||
Revenue Bonds | ||||
Build America Bonds | ||||
Subordinated Series 2010-S1 | ||||
04/01/2040 | 6.918% | 1,265,000 | 1,852,200 | |
Foothill-Eastern Transportation Corridor Agency | ||||
Refunding Revenue Bonds | ||||
Taxable Toll Road | ||||
Series 2019A | ||||
01/15/2049 | 4.094% | 2,285,000 | 2,281,230 | |
New Jersey Turnpike Authority | ||||
Revenue Bonds | ||||
Taxable Build America Bonds | ||||
Series 2009 | ||||
01/01/2040 | 7.414% | 1,275,000 | 2,000,042 | |
Total | 6,133,472 | |||
Water & Sewer 0.0% | ||||
Ohio Water Development Authority Water Pollution Control | ||||
Revenue Bonds | ||||
Taxable Loan Fund-Water Quality | ||||
Series 2010B-2 | ||||
12/01/2034 | 4.879% | 1,160,000 | 1,353,813 | |
Total Municipal Bonds (Cost $35,153,886) | 40,532,458 | |||
Residential Mortgage-Backed Securities - Agency 25.1% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal Home Loan Mortgage Corp. | ||||
11/01/2022- 06/01/2033 | 5.000% | 591,292 | 635,217 | |
03/01/2034- 08/01/2038 | 5.500% | 1,832,155 | 2,062,511 | |
02/01/2038 | 6.000% | 574,257 | 658,918 | |
02/01/2043- 08/01/2049 | 3.000% | 33,201,722 | 33,895,270 | |
10/01/2048 | 4.000% | 8,802,943 | 9,149,569 | |
07/01/2049 | 3.500% | 16,730,006 | 17,241,365 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal Home Loan Mortgage Corp.(b) | ||||
12-month USD LIBOR + 1.863% Cap 9.982% 07/01/2036 | 4.498% | 1,329,194 | 1,397,660 | |
1-year CMT + 2.250% Cap 10.827% 07/01/2036 | 4.639% | 1,412,099 | 1,496,286 | |
1-year CMT + 2.135% Cap 10.728% 10/01/2036 | 4.178% | 1,058,419 | 1,118,121 | |
1-year CMT + 2.254% Cap 10.146% 04/01/2037 | 4.710% | 1,153,508 | 1,217,906 | |
12-month USD LIBOR + 1.797% Cap 10.958% 02/01/2038 | 4.436% | 520,750 | 548,014 | |
12-month USD LIBOR + 1.843% Cap 10.848% 06/01/2038 | 4.886% | 443,714 | 467,248 | |
12-month USD LIBOR + 1.880% Cap 8.610% 07/01/2040 | 4.528% | 212,378 | 223,878 | |
12-month USD LIBOR + 1.779% Cap 9.111% 09/01/2040 | 3.888% | 393,770 | 412,971 | |
12-month USD LIBOR + 1.776% Cap 8.908% 02/01/2041 | 3.907% | 340,245 | 350,693 | |
12-month USD LIBOR + 1.880% Cap 7.543% 05/01/2041 | 4.765% | 133,715 | 140,140 | |
12-month USD LIBOR + 1.890% Cap 8.689% 07/01/2041 | 3.688% | 822,131 | 846,180 | |
12-month USD LIBOR + 1.867% Cap 9.307% 07/01/2041 | 4.041% | 829,661 | 873,694 | |
12-month USD LIBOR + 1.650% Cap 7.066% 12/01/2042 | 2.730% | 1,671,726 | 1,724,272 | |
12-month USD LIBOR + 1.640% Cap 6.931% 02/01/2043 | 4.725% | 244,632 | 251,931 | |
12-month USD LIBOR + 1.650% Cap 6.812% 06/01/2043 | 4.432% | 218,990 | 226,142 | |
Federal National Mortgage Association | ||||
09/01/2022- 05/01/2039 | 6.500% | 532,955 | 622,744 | |
07/01/2031- 01/01/2042 | 5.000% | 15,859,550 | 17,366,003 | |
04/01/2033- 01/01/2039 | 5.500% | 7,382,075 | 8,282,403 | |
07/01/2033- 09/01/2049 | 4.500% | 49,038,193 | 52,217,606 | |
12/01/2033- 09/01/2037 | 6.000% | 3,415,737 | 3,900,127 |
102 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – American Century Diversified Bond Fund, December 31, 2019
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
03/01/2034- 09/01/2049 | 3.500% | 112,633,171 | 117,378,791 | |
10/01/2040- 07/01/2049 | 4.000% | 53,108,157 | 55,814,081 | |
11/01/2046- 10/01/2049 | 3.000% | 65,750,761 | 67,257,166 | |
Federal National Mortgage Association(b) | ||||
6-month USD LIBOR + 1.565% Floor 1.565%, Cap 11.203% 06/01/2035 | 3.489% | 811,941 | 839,936 | |
6-month USD LIBOR + 1.565% Floor 1.565%, Cap 11.219% 06/01/2035 | 3.496% | 850,334 | 879,737 | |
6-month USD LIBOR + 1.565% Floor 1.565%, Cap 11.144% 06/01/2035 | 3.512% | 676,690 | 700,403 | |
6-month USD LIBOR + 1.565% Floor 1.565%, Cap 11.210% 06/01/2035 | 3.526% | 1,654,860 | 1,712,459 | |
1-year CMT + 2.160% Floor 2.160%, Cap 9.667% 03/01/2038 | 4.250% | 1,474,743 | 1,553,171 | |
12-month USD LIBOR + 1.810% Floor 1.810%, Cap 9.036% 03/01/2040 | 3.850% | 441,138 | 464,178 | |
12-month USD LIBOR + 1.790% Floor 1.790%, Cap 8.611% 08/01/2040 | 3.611% | 558,234 | 584,456 | |
12-month USD LIBOR + 1.766% Floor 1.766%, Cap 8.866% 10/01/2040 | 3.866% | 935,616 | 979,115 | |
12-month USD LIBOR + 1.750% Floor 1.750%, Cap 8.199% 08/01/2041 | 4.274% | 732,177 | 763,667 | |
12-month USD LIBOR + 1.818% Floor 1.818%, Cap 8.323% 09/01/2041 | 3.323% | 515,323 | 525,259 | |
12-month USD LIBOR + 1.610% Floor 1.610%, Cap 8.175% 03/01/2047 | 3.175% | 5,234,657 | 5,334,721 | |
12-month USD LIBOR + 1.610% Floor 1.610%, Cap 8.170% 04/01/2047 | 3.170% | 5,063,531 | 5,158,989 | |
CMO Series 2005-106 Class UF | ||||
1-month USD LIBOR + 0.300% Floor 0.300%, Cap 7.000% 11/25/2035 | 2.092% | 874,076 | 870,513 | |
Federal National Mortgage Association(g) | ||||
08/01/2049 | 3.500% | 42,567,696 | 43,806,208 | |
Federal National Mortgage Association(c) | ||||
01/14/2050 | 3.500% | 116,800,000 | 120,153,437 | |
Freddie Mac Structured Agency Credit Risk Debt Notes(b) | ||||
CMO Series 2015-HQ2 Class M3 | ||||
1-month USD LIBOR + 3.250% 05/25/2025 | 5.042% | 1,972,000 | 2,075,365 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Government National Mortgage Association | ||||
07/20/2039- 10/20/2040 | 5.000% | 6,912,922 | 7,645,435 | |
02/15/2040- 06/15/2041 | 4.500% | 15,924,690 | 17,423,331 | |
07/15/2040- 11/20/2040 | 4.000% | 7,754,253 | 8,231,221 | |
04/20/2042- 03/20/2043 | 3.500% | 21,536,717 | 22,712,327 | |
07/20/2046- 02/20/2047 | 2.500% | 20,788,703 | 20,879,813 | |
Government National Mortgage Association(c) | ||||
01/21/2044 | 2.500% | 22,500,000 | 22,595,801 | |
01/21/2050 | 3.000% | 48,800,000 | 50,136,281 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $724,763,511) | 733,802,730 | |||
Residential Mortgage-Backed Securities - Non-Agency 5.8% | ||||
Bear Stearns Adjustable Rate Mortgage Trust(d) | ||||
CMO Series 2005-6 Class 1A1 | ||||
08/25/2035 | 4.313% | 1,795,554 | 1,638,136 | |
Bear Stearns Adjustable Rate Mortgage Trust(b) | ||||
CMO Series 2006-1 Class A1 | ||||
1-year CMT + 2.250% Floor 2.250%, Cap 9.895% 02/25/2036 | 3.840% | 1,949,872 | 1,994,902 | |
Citicorp Mortgage Securities Trust | ||||
CMO Series 2007-8 Class 1A3 | ||||
09/25/2037 | 6.000% | 1,300,205 | 1,338,965 | |
Citigroup Mortgage Loan Trust, Inc.(d) | ||||
CMO Series 2004-UST1 Class A4 | ||||
08/25/2034 | 4.148% | 324,467 | 316,471 | |
CMO Series 2005-4 Class A | ||||
08/25/2035 | 4.609% | 1,604,741 | 1,627,833 | |
Citigroup Mortgage Loan Trust, Inc.(b) | ||||
CMO Series 2005-6 Class A2 | ||||
1-year CMT + 2.150% Floor 2.150%, Cap 9.682% 09/25/2035 | 4.550% | 1,166,685 | 1,170,953 | |
Countrywide Home Loan Mortgage Pass-Through Trust | ||||
CMO Series 2004-4 Class A19 | ||||
05/25/2034 | 5.250% | 403,228 | 411,738 | |
CMO Series 2004-5 Class 2A4 | ||||
05/25/2034 | 5.500% | 125,768 | 128,571 | |
Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates(d) | ||||
CMO Series 2005-3 Class 1A1 | ||||
07/25/2035 | 5.497% | 1,935,771 | 2,052,293 | |
Credit Suisse First Boston Mortgage-Backed Trust(d) | ||||
CMO Series 2004-AR6 Class 2A1 | ||||
10/25/2034 | 4.103% | 383,999 | 385,803 |
Variable Portfolio Funds | Annual Report 2019 | 103 |
CTIVP® – American Century Diversified Bond Fund, December 31, 2019
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Fannie Mae Connecticut Avenue Securities(b) | ||||
CMO Series 14-C02 Class 1M2 | ||||
1-month USD LIBOR + 2.600% Floor 2.600% 05/25/2024 | 4.392% | 5,084,891 | 5,294,982 | |
CMO Series 2014-C02 Class 2M2 | ||||
1-month USD LIBOR + 2.600% Floor 2.600% 05/25/2024 | 4.392% | 4,380,111 | 4,539,486 | |
CMO Series 2016-C03 Class 2M2 | ||||
1-month USD LIBOR + 5.900% 10/25/2028 | 7.692% | 4,549,637 | 4,913,636 | |
CMO Series 2017-C03 Class 1M2 | ||||
1-month USD LIBOR + 3.000% 10/25/2029 | 4.792% | 2,755,000 | 2,877,869 | |
CMO Series 2017-C05 Class 1M2 | ||||
1-month USD LIBOR + 2.200% 01/25/2030 | 3.992% | 5,400,000 | 5,492,980 | |
CMO Series 2017-C06 Class 2M2 | ||||
1-month USD LIBOR + 2.800% Floor 2.800% 02/25/2030 | 4.592% | 13,239,997 | 13,597,695 | |
CMO Series 2017-C07 Class 1M2 | ||||
1-month USD LIBOR + 2.400% Floor 2.400% 05/25/2030 | 4.192% | 2,500,000 | 2,546,208 | |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes(b) | ||||
CMO Series 2018-DNA1 Class M2 | ||||
1-month USD LIBOR + 1.800% 07/25/2030 | 3.592% | 3,500,000 | 3,506,913 | |
First Horizon Mortgage Pass-Through Trust(d) | ||||
CMO Series 2005-AR3 Class 4A1 | ||||
08/25/2035 | 5.010% | 404,464 | 420,624 | |
CMO Series 2006-AR4 Class 1A2 | ||||
01/25/2037 | 4.362% | 2,028,931 | 1,736,504 | |
Flagstar Mortgage Trust(a) | ||||
CMO Series 2017-1 Class 1A5 | ||||
03/25/2047 | 3.500% | 1,176,152 | 1,193,155 | |
GSR Mortgage Loan Trust(d) | ||||
CMO Series 2005-AR6 Class 2A1 | ||||
09/25/2035 | 4.269% | 1,118,209 | 1,146,198 | |
GSR Mortgage Loan Trust | ||||
Series 2005-6F Class 1A5 | ||||
07/25/2035 | 5.250% | 1,071,973 | 1,122,052 | |
JPMorgan Mortgage Trust(d) | ||||
CMO Series 2005-A4 Class 1A1 | ||||
07/25/2035 | 4.107% | 540,381 | 546,504 | |
CMO Series 2005-A4 Class 2A1 | ||||
07/25/2035 | 4.289% | 443,025 | 444,782 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2005-S2 Class 3A1 | ||||
02/25/2032 | 7.165% | 227,162 | 232,683 | |
CMO Series 2006-A3 Class 7A1 | ||||
04/25/2035 | 4.449% | 643,057 | 648,188 | |
CMO Series 2006-A4 Class 3A1 | ||||
06/25/2036 | 4.389% | 2,039,106 | 1,812,592 | |
JPMorgan Mortgage Trust | ||||
CMO Series 2006-S1 Class 1A2 | ||||
04/25/2036 | 6.500% | 3,558,622 | 3,877,096 | |
MASTR Adjustable Rate Mortgages Trust(d) | ||||
CMO Series 2004-13 Class 3A7 | ||||
11/21/2034 | 4.696% | 707,035 | 723,919 | |
Merrill Lynch Mortgage Investors Trust(d) | ||||
CMO Series 2005-A2 Class A2 | ||||
02/25/2035 | 4.359% | 1,356,900 | 1,340,857 | |
New Residential Mortgage Loan Trust(a),(d) | ||||
CMO Series 2017-2A Class A3 | ||||
03/25/2057 | 4.000% | 4,259,209 | 4,443,030 | |
New Residential Mortgage Loan Trust(a),(b) | ||||
CMO Series 2017-5A Class A1 | ||||
1-month USD LIBOR + 1.500% Floor 1.500% 06/25/2057 | 3.292% | 5,763,998 | 5,822,218 | |
Sequoia Mortgage Trust(a) | ||||
CMO Series 2017-CH1 Class A1 | ||||
10/25/2047 | 4.000% | 3,024,057 | 3,082,740 | |
Sequoia Mortgage Trust(a),(d) | ||||
CMO Series 2017-CH2 Class A10 | ||||
12/25/2047 | 4.000% | 5,116,242 | 5,145,462 | |
CMO Series 2018-CH2 Class A12 | ||||
06/25/2048 | 4.000% | 1,611,164 | 1,622,079 | |
Structured Adjustable Rate Mortgage Loan Trust(d) | ||||
CMO Series 2004-8 Class 2A1 | ||||
07/25/2034 | 4.163% | 1,568,694 | 1,589,980 | |
Thornburg Mortgage Securities Trust(d) | ||||
CMO Series 2006-4 Class A2B | ||||
07/25/2036 | 4.273% | 1,850,694 | 1,781,168 | |
Towd Point Mortgage Trust(a),(d) | ||||
CMO Series 2017-3 Class M1 | ||||
07/25/2057 | 3.500% | 5,500,000 | 5,595,632 | |
CMO Series 2017-6 Class A1 | ||||
10/25/2057 | 2.750% | 8,440,536 | 8,468,161 | |
CMO Series 2018-4 Class A1 | ||||
06/25/2058 | 3.000% | 8,167,969 | 8,246,523 | |
CMO Series 2019-2 Class M1 | ||||
12/25/2058 | 3.750% | 15,000,000 | 15,554,263 | |
Verus Securitization Trust(a),(d) | ||||
CMO Series 2019-3 Class A1 | ||||
07/25/2059 | 2.784% | 12,976,510 | 12,995,138 |
104 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – American Century Diversified Bond Fund, December 31, 2019
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
WaMu Mortgage Pass-Through Certificates Trust | ||||
CMO Series 2003-S11 Class 3A5 | ||||
11/25/2033 | 5.950% | 156,251 | 159,502 | |
WaMu Mortgage Pass-Through Certificates Trust(d) | ||||
CMO Series 2005-AR7 Class A3 | ||||
08/25/2035 | 4.280% | 2,171,551 | 2,182,778 | |
Wells Fargo Mortgage Backed Securities(a),(d) | ||||
CMO Series 2018-1 Class A3 | ||||
07/25/2047 | 3.500% | 11,234,242 | 11,375,828 | |
Wells Fargo Mortgage-Backed Securities Trust | ||||
CMO Series 2006-7 Class 3A1 | ||||
06/25/2036 | 6.000% | 646,081 | 644,286 | |
CMO Series 2007-15 Class A1 | ||||
11/25/2037 | 6.000% | 668,765 | 667,809 | |
CMO Series 2007-7 Class A1 | ||||
06/25/2037 | 6.000% | 939,943 | 936,462 | |
Wells Fargo Mortgage-Backed Securities Trust(d) | ||||
CMO Series 2006-AR12 Class 1A1 | ||||
09/25/2036 | 4.716% | 1,035,060 | 1,014,950 | |
CMO Series 2006-AR14 Class 2A1 | ||||
10/25/2036 | 4.556% | 1,256,553 | 1,214,148 | |
CMO Series 2006-AR16 Class A1 | ||||
10/25/2036 | 4.506% | 1,887,462 | 1,863,876 | |
CMO Series 2006-AR19 Class A1 | ||||
12/25/2036 | 4.346% | 2,768,118 | 2,679,128 | |
CMO Series 2006-AR5 Class 2A1 | ||||
04/25/2036 | 5.188% | 1,404,300 | 1,377,391 | |
CMO Series 2007-AR10 Class 1A1 | ||||
01/25/2038 | 4.263% | 307,888 | 302,443 | |
CMO Series 2007-AR7 Class A1 | ||||
12/28/2037 | 4.354% | 464,766 | 446,451 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $167,680,982) | 168,292,034 | |||
U.S. Treasury Obligations 22.3% | ||||
U.S. Treasury(h) | ||||
05/31/2020 | 2.500% | 2,000,000 | 2,006,875 | |
11/15/2028 | 3.125% | 16,000,000 | 17,607,500 |
U.S. Treasury Obligations (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
U.S. Treasury | ||||
08/31/2021 | 1.500% | 12,000,000 | 11,980,781 | |
03/15/2022 | 2.375% | 46,000,000 | 46,797,812 | |
06/15/2022 | 1.750% | 27,000,000 | 27,111,797 | |
09/15/2022 | 1.500% | 100,000,000 | 99,781,250 | |
09/30/2022 | 1.875% | 40,000,000 | 40,309,375 | |
11/15/2022 | 1.625% | 90,000,000 | 90,063,282 | |
11/30/2024 | 1.500% | 51,000,000 | 50,589,610 | |
11/30/2024 | 2.125% | 3,000,000 | 3,061,406 | |
09/30/2026 | 1.625% | 39,000,000 | 38,536,875 | |
10/31/2026 | 1.625% | 3,800,000 | 3,753,094 | |
11/30/2026 | 1.625% | 40,500,000 | 39,993,750 | |
05/15/2038 | 4.500% | 9,000,000 | 12,176,719 | |
02/15/2039 | 3.500% | 5,500,000 | 6,601,719 | |
11/15/2041 | 3.125% | 9,000,000 | 10,227,656 | |
05/15/2042 | 3.000% | 16,000,000 | 17,832,500 | |
11/15/2044 | 3.000% | 15,000,000 | 16,760,156 | |
02/15/2045 | 2.500% | 22,000,000 | 22,505,313 | |
05/15/2045 | 3.000% | 6,900,000 | 7,722,609 | |
11/15/2045 | 3.000% | 4,500,000 | 5,045,625 | |
11/15/2048 | 3.375% | 19,000,000 | 22,981,094 | |
08/15/2049 | 2.250% | 46,000,000 | 44,763,750 | |
11/15/2049 | 2.375% | 12,000,000 | 11,998,125 | |
Total U.S. Treasury Obligations (Cost $643,750,568) | 650,208,673 |
Money Market Funds 2.8% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(i),(j) | 81,290,412 | 81,282,283 |
Total Money Market Funds (Cost $81,282,283) | 81,282,283 | |
Total Investments in Securities (Cost: $3,097,111,886) | 3,157,592,833 | |
Other Assets & Liabilities, Net | (238,216,916) | |
Net Assets | 2,919,375,917 |
Variable Portfolio Funds | Annual Report 2019 | 105 |
CTIVP® – American Century Diversified Bond Fund, December 31, 2019
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
33,030,494 BRL | 8,050,328 USD | Goldman Sachs | 03/18/2020 | — | (135,319) |
4,720,616,407 CLP | 6,238,013 USD | Goldman Sachs | 03/18/2020 | — | (45,255) |
103,199,990,629 IDR | 7,306,194 USD | Goldman Sachs | 03/18/2020 | — | (108,106) |
216,908,014 INR | 3,025,427 USD | Goldman Sachs | 03/18/2020 | 3,570 | — |
95,246,711 NOK | 10,471,850 USD | Goldman Sachs | 03/18/2020 | — | (379,607) |
33,420,446 PEN | 9,814,532 USD | Goldman Sachs | 03/18/2020 | — | (246,794) |
252,072,865 PHP | 4,967,149 USD | Goldman Sachs | 03/18/2020 | 7,133 | — |
36,929,178 SEK | 3,964,655 USD | Goldman Sachs | 03/18/2020 | 7,587 | — |
231,170,133 THB | 7,659,713 USD | Goldman Sachs | 03/18/2020 | — | (71,666) |
8,026,461 USD | 33,030,494 BRL | Goldman Sachs | 03/18/2020 | 159,186 | — |
6,148,638 USD | 4,720,616,407 CLP | Goldman Sachs | 03/18/2020 | 134,630 | — |
3,015,380 USD | 42,471,624,748 IDR | Goldman Sachs | 03/18/2020 | 35,952 | — |
7,365,872 USD | 524,818,389 INR | Goldman Sachs | 03/18/2020 | — | (54,357) |
16,145,226 USD | 66,876,052 MYR | Goldman Sachs | 03/18/2020 | 229,409 | — |
15,885,491 USD | 144,019,040 NOK | Goldman Sachs | 03/18/2020 | 522,597 | — |
5,307,041 USD | 17,810,429 PEN | Goldman Sachs | 03/18/2020 | 54,843 | — |
2,076,892 USD | 105,339,957 PHP | Goldman Sachs | 03/18/2020 | — | (4,127) |
13,251,265 USD | 124,010,639 SEK | Goldman Sachs | 03/18/2020 | 36,833 | — |
2,878,909 USD | 55,232,017 MXN | JPMorgan | 03/18/2020 | 9,756 | — |
15,032,928 AUD | 10,376,264 USD | UBS | 03/18/2020 | — | (192,786) |
17,503,032 ILS | 5,053,407 USD | UBS | 03/18/2020 | — | (35,798) |
18,985,292 PLN | 4,927,201 USD | UBS | 03/18/2020 | — | (77,899) |
16,219,712 USD | 23,462,833 AUD | UBS | 03/18/2020 | 276,066 | — |
4,981,138 USD | 6,565,289 CAD | UBS | 03/18/2020 | 76,067 | — |
Total | 1,553,629 | (1,351,714) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Long Bond | 216 | 03/2020 | USD | 33,675,750 | — | (454,515) |
U.S. Treasury 2-Year Note | 291 | 03/2020 | USD | 62,710,500 | — | (6,223) |
U.S. Treasury 5-Year Note | 173 | 03/2020 | USD | 20,519,422 | — | (4,392) |
U.S. Ultra Bond 10-Year Note | 4 | 03/2020 | USD | 562,813 | — | (5,199) |
U.S. Ultra Treasury Bond | 109 | 03/2020 | USD | 19,800,531 | — | (281,424) |
Total | — | (751,753) |
(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. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At December 31, 2019, the total value of these securities amounted to $569,504,784, which represents 19.51% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of December 31, 2019. |
(c) | Represents a security purchased on a when-issued basis. |
(d) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of December 31, 2019. |
(e) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of December 31, 2019. |
(f) | Principal and interest may not be guaranteed by a governmental entity. |
(g) | Represents a security purchased on a forward commitment basis. |
(h) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(i) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
106 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – American Century Diversified Bond Fund, December 31, 2019
(j) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | ||||||||
80,454,518 | 1,390,030,824 | (1,389,194,930) | 81,290,412 | (13,323) | — | 1,578,361 | 81,282,283 |
CMO | Collateralized Mortgage Obligation |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canada Dollar |
CLP | Chilean Peso |
IDR | Indonesian Rupiah |
ILS | New Israeli Sheqel |
INR | Indian Rupee |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
NOK | Norwegian Krone |
PEN | Peruvian New Sol |
PHP | Philippine Peso |
PLN | Polish Zloty |
SEK | Swedish Krona |
THB | Thailand Baht |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Variable Portfolio Funds | Annual Report 2019 | 107 |
CTIVP® – American Century Diversified Bond Fund, December 31, 2019
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Asset-Backed Securities — Non-Agency | — | 209,360,310 | — | 209,360,310 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 209,950,262 | — | 209,950,262 |
Corporate Bonds & Notes | — | 846,061,571 | — | 846,061,571 |
Exchange-Traded Fixed Income Funds | 118,084,976 | — | — | 118,084,976 |
Foreign Government Obligations | — | 57,439,222 | — | 57,439,222 |
Inflation-Indexed Bonds | — | 42,578,314 | — | 42,578,314 |
Municipal Bonds | — | 40,532,458 | — | 40,532,458 |
Residential Mortgage-Backed Securities - Agency | — | 733,802,730 | — | 733,802,730 |
Residential Mortgage-Backed Securities - Non-Agency | — | 168,292,034 | — | 168,292,034 |
U.S. Treasury Obligations | 650,208,673 | — | — | 650,208,673 |
Money Market Funds | 81,282,283 | — | — | 81,282,283 |
Total Investments in Securities | 849,575,932 | 2,308,016,901 | — | 3,157,592,833 |
Investments in Derivatives | ||||
Asset | ||||
Forward Foreign Currency Exchange Contracts | — | 1,553,629 | — | 1,553,629 |
Liability | ||||
Forward Foreign Currency Exchange Contracts | — | (1,351,714) | — | (1,351,714) |
Futures Contracts | (751,753) | — | — | (751,753) |
Total | 848,824,179 | 2,308,218,816 | — | 3,157,042,995 |
108 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – AQR International Core Equity Fund, December 31, 2019
Common Stocks 96.7% | ||
Issuer | Shares | Value ($) |
Australia 6.0% | ||
Aurizon Holdings Ltd. | 5,458,477 | 20,032,212 |
BHP Group Ltd. | 548,813 | 15,027,767 |
BlueScope Steel Ltd. | 2,283,866 | 24,189,796 |
Brambles Ltd. | 1,045,381 | 8,604,227 |
CIMIC Group Ltd. | 341,617 | 7,942,466 |
Dexus Property Group | 315,714 | 2,598,891 |
Fortescue Metals Group Ltd. | 3,467,681 | 26,140,623 |
Goodman Group | 233,344 | 2,192,778 |
GPT Group (The) | 224,713 | 885,155 |
LendLease Group | 268,581 | 3,320,607 |
Mirvac Group | 6,290,752 | 14,080,579 |
Newcrest Mining Ltd. | 852,705 | 18,008,254 |
QBE Insurance Group Ltd. | 96,533 | 872,317 |
Rio Tinto Ltd. | 68,654 | 4,857,274 |
Scentre Group | 745,361 | 2,005,957 |
South32 Ltd. | 11,484,974 | 21,684,969 |
Stockland | 403,495 | 1,309,165 |
Vicinity Centres | 656,722 | 1,148,647 |
Washington H Soul Pattinson & Co., Ltd. | 55,181 | 832,463 |
Total | 175,734,147 | |
Belgium 0.5% | ||
Ageas | 183,955 | 10,877,737 |
KBC Group NV | 46,342 | 3,493,939 |
Total | 14,371,676 | |
Denmark 2.8% | ||
Carlsberg A/S, Class B | 16,494 | 2,461,498 |
Danske Bank A/S | 198,827 | 3,216,683 |
H Lundbeck A/S | 263,883 | 10,088,384 |
Novo Nordisk A/S, Class B | 753,809 | 43,682,352 |
Pandora A/S | 448,075 | 19,491,903 |
Vestas Wind Systems A/S | 15,151 | 1,530,350 |
Total | 80,471,170 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Finland 1.4% | ||
Fortum OYJ | 821,521 | 20,277,962 |
KONE OYJ, Class B | 101,403 | 6,630,523 |
Nokia OYJ | 683,789 | 2,529,246 |
Orion Oyj, Class B | 101,971 | 4,722,446 |
Sampo OYJ, Class A | 136,801 | 5,973,160 |
Total | 40,133,337 | |
France 10.0% | ||
AtoS | 190,108 | 15,885,987 |
AXA SA | 499,221 | 14,106,113 |
BNP Paribas SA | 250,393 | 14,882,883 |
Bouygues SA | 65,161 | 2,777,615 |
Capgemini SE | 108,625 | 13,285,369 |
Carrefour SA | 115,270 | 1,938,687 |
Cie de Saint-Gobain | 284,986 | 11,674,698 |
CNP Assurances | 106,157 | 2,115,195 |
Credit Agricole SA | 190,766 | 2,775,902 |
Dassault Aviation SA | 1,494 | 1,960,709 |
Dassault Systemes | 56,173 | 9,264,355 |
Eiffage SA | 57,180 | 6,560,082 |
Electricite de France SA | 1,127,939 | 12,585,856 |
Engie SA | 1,467,493 | 23,770,938 |
Gecina SA | 7,424 | 1,329,069 |
Hermes International | 2,583 | 1,934,947 |
Ingenico Group SA | 33,291 | 3,621,339 |
Ipsen SA | 51,230 | 4,547,523 |
Kering SA | 5,589 | 3,682,677 |
Natixis SA | 878,159 | 3,911,774 |
Orange SA | 415,696 | 6,109,157 |
Peugeot SA | 942,232 | 22,686,274 |
Publicis Groupe SA | 113,415 | 5,142,398 |
Sanofi | 235,921 | 23,692,947 |
Sartorius Stedim Biotech | 5,629 | 934,345 |
Schneider Electric SE | 244,357 | 25,105,173 |
SES SA FDR | 189,132 | 2,651,867 |
Societe BIC SA | 12,956 | 901,030 |
Societe Generale SA | 182,453 | 6,367,242 |
Variable Portfolio Funds | Annual Report 2019 | 109 |
CTIVP® – AQR International Core Equity Fund, December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
STMicroelectronics NV | 648,811 | 17,505,324 |
Total SA | 101,198 | 5,615,529 |
Unibail-Rodamco-Westfield | 30,682 | 4,840,610 |
VINCI SA | 151,170 | 16,836,351 |
Total | 290,999,965 | |
Germany 9.0% | ||
Adidas AG | 97,746 | 31,774,160 |
Allianz SE, Registered Shares | 146,260 | 35,837,763 |
Bayer AG, Registered Shares | 418,095 | 33,989,720 |
Covestro AG | 155,413 | 7,231,385 |
Deutsche Boerse AG | 32,456 | 5,089,511 |
Deutsche Lufthansa AG, Registered Shares | 251,323 | 4,626,127 |
Deutsche Wohnen SE | 59,493 | 2,419,986 |
E.ON SE | 1,581,682 | 16,903,242 |
Fresenius Medical Care AG & Co. KGaA | 355,185 | 26,151,502 |
Fresenius SE & Co. KGaA | 70,575 | 3,971,501 |
Hochtief AG | 40,724 | 5,184,813 |
Infineon Technologies AG | 871,401 | 19,688,747 |
KION Group AG | 154,307 | 10,611,284 |
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen, Registered Shares | 25,419 | 7,500,968 |
SAP SE | 176,573 | 23,766,418 |
Siemens AG, Registered Shares | 162,217 | 21,184,172 |
Siemens Healthineers AG | 26,701 | 1,279,967 |
Vonovia SE | 81,628 | 4,384,188 |
Total | 261,595,454 | |
Hong Kong 3.8% | ||
CK Asset Holdings Ltd. | 4,320,000 | 31,174,094 |
CK Hutchison Holdings Ltd. | 120,000 | 1,144,258 |
CLP Holdings Ltd. | 593,000 | 6,224,972 |
Henderson Land Development Co., Ltd. | 2,328,900 | 11,428,040 |
HKT Trust & HKT Ltd. | 3,442,000 | 4,850,768 |
Hong Kong Exchanges and Clearing Ltd. | 198,500 | 6,448,815 |
Kerry Properties Ltd. | 1,799,500 | 5,715,358 |
Link REIT (The) | 152,500 | 1,615,582 |
New World Development Co., Ltd. | 4,110,000 | 5,633,753 |
Sino Land Co., Ltd. | 623,336 | 904,778 |
Sun Hung Kai Properties Ltd. | 641,500 | 9,824,497 |
Swire Properties Ltd. | 293,200 | 971,327 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
WH Group Ltd. | 21,370,500 | 22,096,542 |
Yue Yuen Industrial Holdings Ltd. | 1,064,000 | 3,140,177 |
Total | 111,172,961 | |
Isle of Man 0.0% | ||
GVC Holdings PLC | 76,187 | 892,310 |
Italy 2.8% | ||
Assicurazioni Generali SpA | 544,123 | 11,233,309 |
Enel SpA | 2,850,217 | 22,641,626 |
Fiat Chrysler Automobiles NV | 1,943,952 | 28,822,070 |
Intesa Sanpaolo SpA | 2,878,357 | 7,582,140 |
Leonardo-Finmeccanica SpA | 751,834 | 8,817,010 |
Poste Italiane SpA | 224,067 | 2,546,045 |
Total | 81,642,200 | |
Japan 22.7% | ||
Advantest Corp. | 31,900 | 1,799,100 |
Alfresa Holdings Corp. | 211,800 | 4,302,725 |
Alps Electric Co., Ltd. | 422,400 | 9,588,200 |
Amada Holdings Co., Ltd. | 133,800 | 1,521,808 |
Astellas Pharma, Inc. | 2,324,200 | 39,674,065 |
Brother Industries Ltd. | 329,800 | 6,811,438 |
Dai-ichi Life Holdings, Inc. | 308,600 | 5,085,814 |
Dainippon Sumitomo Pharma Co., Ltd. | 96,600 | 1,871,638 |
Daiwa House Industry Co., Ltd. | 96,000 | 2,971,859 |
Fuji Electric Co., Ltd. | 247,300 | 7,512,306 |
FUJIFILM Holdings Corp. | 190,000 | 9,073,621 |
Fujitsu Ltd. | 252,200 | 23,720,880 |
Hitachi High-Technologies Corp. | 263,800 | 18,682,192 |
Hitachi Ltd. | 773,900 | 32,655,290 |
Hoshizaki Corp. | 23,500 | 2,095,264 |
Hoya Corp. | 132,000 | 12,600,990 |
ITOCHU Corp. | 705,800 | 16,358,104 |
Japan Airlines Co., Ltd. | 1,127,600 | 35,108,820 |
JTEKT Corp. | 65,800 | 777,303 |
Kajima Corp. | 138,700 | 1,844,043 |
Kamigumi Co., Ltd. | 458,200 | 10,072,095 |
KDDI Corp. | 59,700 | 1,781,231 |
Koito Manufacturing Co., Ltd. | 50,700 | 2,347,711 |
Konica Minolta, Inc. | 389,400 | 2,536,586 |
110 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – AQR International Core Equity Fund, December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Kyocera Corp. | 46,600 | 3,176,056 |
Kyushu Railway Co. | 56,900 | 1,904,876 |
Marubeni Corp. | 2,006,500 | 14,824,776 |
Mazda Motor Corp. | 1,759,400 | 14,992,619 |
MinebeaMitsumi, Inc. | 75,800 | 1,565,736 |
Mitsubishi Corp. | 540,800 | 14,326,532 |
Mitsubishi Estate Co., Ltd. | 210,500 | 4,027,892 |
Mitsubishi Heavy Industries Ltd. | 189,900 | 7,363,726 |
Mitsui & Co., Ltd. | 167,700 | 2,980,956 |
Mitsui Fudosan Co., Ltd. | 150,500 | 3,678,209 |
MS&AD Insurance Group Holdings, Inc. | 259,200 | 8,555,854 |
Nikon Corp. | 1,033,500 | 12,639,354 |
Nintendo Co., Ltd. | 64,200 | 25,677,442 |
Nippon Express Co., Ltd. | 87,900 | 5,152,610 |
Nippon Prologis REIT, Inc. | 602 | 1,533,240 |
Nippon Telegraph & Telephone Corp. | 138,600 | 3,502,934 |
Nitto Denko Corp. | 26,400 | 1,484,414 |
NTT DoCoMo, Inc. | 226,800 | 6,317,772 |
Obayashi Corp. | 465,300 | 5,167,931 |
Olympus Corp. | 294,700 | 4,542,124 |
ORIX Corp. | 250,100 | 4,144,499 |
Otsuka Corp. | 32,800 | 1,309,866 |
Persol Holdings Co., Ltd. | 190,800 | 3,575,812 |
Pola Orbis Holdings, Inc. | 157,300 | 3,746,739 |
Renesas Electronics Corp.(a) | 1,184,300 | 8,091,079 |
Resona Holdings, Inc. | 4,711,900 | 20,536,964 |
Rohm Co., Ltd. | 114,700 | 9,151,809 |
Sekisui House Ltd. | 333,000 | 7,111,167 |
Seven & I Holdings Co., Ltd. | 65,600 | 2,404,597 |
Shimamura Co., Ltd. | 32,200 | 2,447,969 |
Shimizu Corp. | 525,100 | 5,349,099 |
Shinsei Bank Ltd. | 856,600 | 13,069,313 |
Shionogi & Co., Ltd. | 459,600 | 28,431,555 |
Showa Denko KK | 29,700 | 782,759 |
SoftBank Group Corp. | 44,300 | 1,923,375 |
Sompo Holdings, Inc. | 79,200 | 3,110,153 |
Sony Corp. | 462,100 | 31,375,535 |
Sumco Corp. | 754,800 | 12,506,116 |
Sumitomo Corp. | 1,275,600 | 18,946,926 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Sumitomo Heavy Industries Ltd. | 414,400 | 11,770,952 |
Sumitomo Mitsui Financial Group, Inc. | 83,000 | 3,065,636 |
Sumitomo Mitsui Trust Holdings, Inc. | 121,900 | 4,818,824 |
Sumitomo Realty & Development Co., Ltd. | 59,500 | 2,075,925 |
Sundrug Co., Ltd. | 78,300 | 2,833,048 |
Suzuken Co., Ltd. | 71,800 | 2,926,418 |
Sysmex Corp. | 25,300 | 1,722,549 |
Taiheiyo Cement Corp. | 107,500 | 3,155,460 |
Taisei Corp. | 163,300 | 6,764,057 |
Taisho Pharmaceutical Holdings Co., Ltd. | 11,500 | 848,644 |
Teijin Ltd. | 110,200 | 2,058,773 |
Tokyo Electron Ltd. | 179,600 | 39,212,078 |
Toshiba Corp. | 101,400 | 3,441,693 |
Toyota Tsusho Corp. | 57,900 | 2,033,890 |
Total | 658,951,415 | |
Macau 0.3% | ||
Wynn Macau Ltd. | 3,208,800 | 7,906,886 |
Netherlands 4.8% | ||
ASML Holding NV | 121,817 | 36,064,723 |
ING Groep NV | 655,105 | 7,875,942 |
Koninklijke Ahold Delhaize NV | 1,505,044 | 37,735,060 |
Koninklijke Philips NV | 769,825 | 37,631,902 |
Prosus NV(a) | 60,108 | 4,498,578 |
Randstad NV | 39,368 | 2,412,280 |
Unilever NV(a) | 43,773 | 2,512,164 |
Wolters Kluwer NV | 143,615 | 10,486,123 |
Total | 139,216,772 | |
Singapore 0.9% | ||
Ascendas Real Estate Investment Trust | 668,600 | 1,477,174 |
ComfortDelGro Corp., Ltd. | 5,728,900 | 10,136,764 |
Genting Singapore Ltd. | 1,357,400 | 929,533 |
Yangzijiang Shipbuilding Holdings Ltd. | 14,818,100 | 12,351,891 |
Total | 24,895,362 | |
Spain 3.1% | ||
ACS Actividades de Construccion y Servicios SA | 154,520 | 6,198,440 |
Banco Bilbao Vizcaya Argentaria SA | 2,941,649 | 16,515,383 |
Enagas SA | 382,349 | 9,752,751 |
Endesa SA | 697,403 | 18,623,961 |
Variable Portfolio Funds | Annual Report 2019 | 111 |
CTIVP® – AQR International Core Equity Fund, December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Iberdrola SA | 1,573,597 | 16,216,812 |
Naturgy Energy Group SA | 184,398 | 4,643,330 |
Red Electrica Corp. SA | 870,683 | 17,544,056 |
Total | 89,494,733 | |
Sweden 3.6% | ||
Essity AB, Class B | 168,299 | 5,420,277 |
Investor AB, Class B | 77,651 | 4,239,265 |
Lundin Petroleum AB | 39,752 | 1,349,757 |
Sandvik AB | 828,412 | 16,135,285 |
Skandinaviska Enskilda Banken AB, Class A | 532,605 | 5,008,552 |
Skanska AB, Class B | 122,651 | 2,774,564 |
Swedish Match AB | 654,278 | 33,706,257 |
Telefonaktiebolaget LM Ericsson, Class B | 2,994,241 | 26,163,126 |
Volvo AB, B Shares | 557,031 | 9,325,363 |
Total | 104,122,446 | |
Switzerland 10.3% | ||
Adecco Group AG, Registered Shares | 241,188 | 15,248,447 |
Coca-Cola HBC AG | 233,623 | 7,940,845 |
LafargeHolcim Ltd., Registered Shares(a) | 52,316 | 2,902,360 |
Nestlé SA, Registered Shares | 775,240 | 83,931,569 |
Novartis AG, Registered Shares | 460,258 | 43,581,650 |
Roche Holding AG, Genusschein Shares | 243,733 | 79,213,911 |
Sonova Holding AG | 159,807 | 36,533,247 |
Swiss Life Holding AG, Registered Shares | 2,966 | 1,487,954 |
UBS AG(a) | 1,480,211 | 18,679,357 |
Zurich Insurance Group AG | 22,019 | 9,032,185 |
Total | 298,551,525 | |
United Kingdom 14.7% | ||
3i Group PLC | 110,213 | 1,603,789 |
Anglo American PLC | 445,471 | 12,797,464 |
Antofagasta PLC | 261,808 | 3,169,903 |
Ashtead Group PLC | 57,108 | 1,826,012 |
Associated British Foods PLC | 195,712 | 6,732,670 |
AstraZeneca PLC | 174,827 | 17,498,773 |
Auto Trader Group PLC | 118,487 | 935,710 |
Aviva PLC | 2,023,045 | 11,229,010 |
BAE Systems PLC | 1,549,914 | 11,604,700 |
Barclays Bank PLC | 6,301,007 | 15,024,598 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Barratt Developments PLC | 945,191 | 9,358,750 |
Berkeley Group Holdings PLC | 128,838 | 8,292,311 |
BHP Group PLC | 702,395 | 16,459,863 |
BP PLC | 2,749,812 | 17,298,535 |
British American Tobacco PLC | 259,892 | 11,045,952 |
BT Group PLC | 4,235,349 | 10,792,478 |
Burberry Group PLC | 306,280 | 8,942,033 |
Carnival PLC | 116,237 | 5,571,654 |
Centrica PLC | 5,774,350 | 6,830,292 |
Compass Group PLC | 56,971 | 1,427,794 |
Diageo PLC | 288,510 | 12,156,857 |
Direct Line Insurance Group PLC | 1,983,755 | 8,207,886 |
Evraz PLC | 1,559,243 | 8,349,464 |
Experian PLC | 65,390 | 2,216,687 |
GlaxoSmithKline PLC | 750,853 | 17,642,825 |
Glencore PLC(a) | 4,453,401 | 13,866,642 |
HSBC Holdings PLC | 2,887,012 | 22,600,809 |
Kingfisher PLC | 1,727,943 | 4,974,279 |
Legal & General Group PLC | 252,490 | 1,014,267 |
Lloyds Banking Group PLC | 5,429,694 | 4,498,078 |
London Stock Exchange Group PLC | 52,786 | 5,424,926 |
M&G PLC(a) | 157,349 | 494,383 |
Marks & Spencer Group PLC | 1,210,445 | 3,432,168 |
Meggitt PLC | 466,465 | 4,062,895 |
Melrose Industries PLC | 729,704 | 2,324,273 |
Micro Focus International PLC | 250,391 | 3,514,395 |
National Grid PLC | 80,540 | 1,006,522 |
Next PLC | 67,949 | 6,331,673 |
Persimmon PLC | 253,257 | 9,046,112 |
Prudential PLC | 112,356 | 2,152,812 |
Reckitt Benckiser Group PLC | 45,932 | 3,730,987 |
RELX PLC | 212,828 | 5,372,491 |
Rio Tinto PLC | 334,844 | 19,821,079 |
Royal Bank of Scotland Group PLC | 536,712 | 1,721,742 |
Royal Dutch Shell PLC, Class A | 568,397 | 16,832,636 |
Royal Dutch Shell PLC, Class B | 789,013 | 23,420,806 |
Sage Group PLC (The) | 530,084 | 5,258,799 |
Smith & Nephew PLC | 106,193 | 2,559,329 |
Standard Chartered PLC | 351,474 | 3,311,971 |
112 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – AQR International Core Equity Fund, December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Standard Life Aberdeen PLC | 2,149,567 | 9,351,964 |
Taylor Wimpey PLC | 3,424,988 | 8,781,919 |
Unilever PLC | 169,581 | 9,707,267 |
Vodafone Group PLC | 1,616,677 | 3,138,576 |
Whitbread PLC | 27,383 | 1,757,404 |
Total | 426,527,214 | |
Total Common Stocks (Cost $2,617,228,737) | 2,806,679,573 |
Preferred Stocks 0.1% | |||
Issuer | Shares | Value ($) | |
Germany 0.1% | |||
Porsche Automobil Holding SE | 25,531 | 1,894,356 | |
Total Preferred Stocks (Cost $2,357,376) | 1,894,356 |
Money Market Funds 2.6% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(b),(c) | 75,242,165 | 75,234,641 |
Total Money Market Funds (Cost $75,238,931) | 75,234,641 | |
Total Investments in Securities (Cost $2,694,825,044) | 2,883,808,570 | |
Other Assets & Liabilities, Net | 18,325,218 | |
Net Assets | $2,902,133,788 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
MSCI EAFE Index Future | 585 | 03/2020 | USD | 59,567,625 | — | (136,875) |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | ||||||||
68,812,009 | 231,080,485 | (224,650,329) | 75,242,165 | 847 | (4,290) | 1,589,631 | 75,234,641 |
USD | US Dollar |
Variable Portfolio Funds | Annual Report 2019 | 113 |
CTIVP® – AQR International Core Equity Fund, December 31, 2019
pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | — | 72,823,708 | — | 72,823,708 |
Consumer Discretionary | — | 264,589,967 | — | 264,589,967 |
Consumer Staples | — | 250,101,016 | — | 250,101,016 |
Energy | — | 65,349,726 | — | 65,349,726 |
Financials | — | 356,693,426 | — | 356,693,426 |
Health Care | — | 484,643,032 | — | 484,643,032 |
Industrials | — | 455,058,630 | — | 455,058,630 |
Information Technology | — | 354,862,139 | — | 354,862,139 |
Materials | — | 201,988,249 | — | 201,988,249 |
Real Estate | — | 123,547,360 | — | 123,547,360 |
Utilities | — | 177,022,320 | — | 177,022,320 |
Total Common Stocks | — | 2,806,679,573 | — | 2,806,679,573 |
Preferred Stocks | ||||
Consumer Discretionary | — | 1,894,356 | — | 1,894,356 |
Total Preferred Stocks | — | 1,894,356 | — | 1,894,356 |
Money Market Funds | 75,234,641 | — | — | 75,234,641 |
Total Investments in Securities | 75,234,641 | 2,808,573,929 | — | 2,883,808,570 |
Investments in Derivatives | ||||
Liability | ||||
Futures Contracts | (136,875) | — | — | (136,875) |
Total | 75,097,766 | 2,808,573,929 | — | 2,883,671,695 |
114 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – AQR International Core Equity Fund, December 31, 2019
See the Portfolio of Investments for all investment classifications not indicated in the table.
Variable Portfolio Funds | Annual Report 2019 | 115 |
CTIVP® – CenterSquare Real Estate Fund, December 31, 2019
Common Stocks 99.1% | ||
Issuer | Shares | Value ($) |
Real Estate 99.1% | ||
Diversified REITs 5.9% | ||
Empire State Realty Trust, Inc., Class A | 446,100 | 6,227,556 |
Liberty Property Trust | 139,000 | 8,346,950 |
STORE Capital Corp. | 166,970 | 6,217,963 |
VEREIT, Inc. | 1,174,020 | 10,847,944 |
Total Diversified REITs | 31,640,413 | |
Health Care REITs 13.0% | ||
CareTrust REIT, Inc. | 282,270 | 5,823,230 |
Diversified Healthcare Trust | 368,750 | 3,112,250 |
Healthcare Trust of America, Inc., Class A | 238,210 | 7,212,999 |
Healthpeak Properties, Inc. | 654,440 | 22,558,547 |
Medical Properties Trust, Inc. | 250,569 | 5,289,511 |
Omega Healthcare Investors, Inc. | 172,900 | 7,322,315 |
Ventas, Inc. | 322,390 | 18,614,799 |
Total Health Care REITs | 69,933,651 | |
Hotel & Resort REITs 5.1% | ||
DiamondRock Hospitality Co. | 344,250 | 3,814,290 |
Host Hotels & Resorts, Inc. | 863,590 | 16,019,594 |
Park Hotels & Resorts, Inc. | 302,250 | 7,819,208 |
Total Hotel & Resort REITs | 27,653,092 | |
Industrial REITs 10.1% | ||
Americold Realty Trust | 204,960 | 7,185,898 |
Industrial Logistics Properties Trust | 150,750 | 3,379,815 |
ProLogis, Inc. | 424,100 | 37,804,274 |
Rexford Industrial Realty, Inc. | 136,042 | 6,213,038 |
Total Industrial REITs | 54,583,025 | |
Office REITs 10.8% | ||
Boston Properties, Inc. | 69,360 | 9,561,970 |
Brandywine Realty Trust | 281,130 | 4,427,797 |
Columbia Property Trust, Inc. | 359,400 | 7,515,054 |
Cousins Properties, Inc. | 132,690 | 5,466,828 |
Hudson Pacific Properties, Inc. | 147,140 | 5,539,821 |
JBG SMITH Properties | 340,000 | 13,562,600 |
Kilroy Realty Corp. | 142,670 | 11,970,013 |
Total Office REITs | 58,044,083 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Residential REITs 20.3% | ||
American Homes 4 Rent, Class A | 367,170 | 9,623,526 |
Apartment Investment & Management Co., Class A | 186,510 | 9,633,242 |
AvalonBay Communities, Inc. | 58,660 | 12,301,002 |
Equity Residential | 264,530 | 21,405,768 |
Invitation Homes, Inc. | 457,770 | 13,719,367 |
Mid-America Apartment Communities, Inc. | 81,620 | 10,762,413 |
Sun Communities, Inc. | 108,320 | 16,258,832 |
UDR, Inc. | 338,822 | 15,822,987 |
Total Residential REITs | 109,527,137 | |
Retail REITs 14.0% | ||
Brixmor Property Group, Inc. | 237,610 | 5,134,752 |
National Retail Properties, Inc. | 141,285 | 7,575,702 |
Realty Income Corp. | 279,370 | 20,570,013 |
Regency Centers Corp. | 119,990 | 7,570,169 |
Retail Opportunity Investments Corp. | 366,620 | 6,474,509 |
Retail Properties of America, Inc., Class A | 534,309 | 7,159,741 |
Simon Property Group, Inc. | 115,004 | 17,130,996 |
Taubman Centers, Inc. | 127,934 | 3,977,468 |
Total Retail REITs | 75,593,350 | |
Specialized REITs 19.9% | ||
CyrusOne, Inc. | 120,959 | 7,914,347 |
Digital Realty Trust, Inc. | 98,310 | 11,771,639 |
Equinix, Inc. | 55,860 | 32,605,482 |
Extra Space Storage, Inc. | 103,420 | 10,923,220 |
Iron Mountain, Inc. | 320,990 | 10,229,951 |
Life Storage, Inc. | 52,259 | 5,658,605 |
Public Storage | 59,563 | 12,684,537 |
SBA Communications Corp. | 30,170 | 7,270,668 |
VICI Properties, Inc. | 325,090 | 8,306,050 |
Total Specialized REITs | 107,364,499 | |
Total Real Estate | 534,339,250 | |
Total Common Stocks (Cost: $486,068,487) | 534,339,250 | |
116 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – CenterSquare Real Estate Fund, December 31, 2019
Money Market Funds 0.5% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(a),(b) | 2,584,339 | 2,584,081 |
Total Money Market Funds (Cost: $2,584,113) | 2,584,081 | |
Total Investments in Securities (Cost $488,652,600) | 536,923,331 | |
Other Assets & Liabilities, Net | 2,241,621 | |
Net Assets | $539,164,952 |
(a) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
(b) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | ||||||||
2,630,396 | 54,013,326 | (54,059,383) | 2,584,339 | (38) | (32) | 56,557 | 2,584,081 |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Variable Portfolio Funds | Annual Report 2019 | 117 |
CTIVP® – CenterSquare Real Estate Fund, December 31, 2019
additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Real Estate | 534,339,250 | — | — | 534,339,250 |
Total Common Stocks | 534,339,250 | — | — | 534,339,250 |
Money Market Funds | 2,584,081 | — | — | 2,584,081 |
Total Investments in Securities | 536,923,331 | — | — | 536,923,331 |
118 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – DFA International Value Fund, December 31, 2019
Common Stocks 97.5% | ||
Issuer | Shares | Value ($) |
Australia 6.8% | ||
AMP Ltd. | 418,618 | 563,124 |
Aurizon Holdings Ltd. | 64,744 | 237,606 |
Australia & New Zealand Banking Group Ltd. | 725,887 | 12,518,638 |
Bank of Queensland Ltd. | 103,992 | 529,338 |
Bendigo & Adelaide Bank Ltd. | 120,339 | 825,748 |
BlueScope Steel Ltd. | 222,487 | 2,356,493 |
Boral Ltd. | 287,870 | 905,663 |
Cleanaway Waste Management Ltd. | 532,242 | 751,214 |
Crown Resorts Ltd. | 54,441 | 459,003 |
Downer EDI Ltd. | 233,646 | 1,337,952 |
Fortescue Metals Group Ltd. | 398,213 | 3,001,872 |
Harvey Norman Holdings Ltd. | 245,286 | 700,563 |
Incitec Pivot Ltd. | 415,740 | 928,799 |
LendLease Group | 100,070 | 1,237,218 |
National Australia Bank Ltd. | 314,705 | 5,445,688 |
Newcrest Mining Ltd. | 34,800 | 734,940 |
Oil Search Ltd. | 433,161 | 2,208,706 |
Origin Energy Ltd. | 310,579 | 1,841,498 |
QBE Insurance Group Ltd. | 166,758 | 1,506,903 |
Qube Holdings Ltd. | 81,490 | 188,134 |
Santos Ltd. | 867,375 | 4,989,975 |
South32 Ltd. | 1,978,874 | 3,736,345 |
Star Entertainment Group Ltd. (The) | 215,065 | 693,800 |
Suncorp Group Ltd. | 210,446 | 1,911,656 |
Tabcorp Holdings Ltd | 335,046 | 1,065,147 |
Westpac Banking Corp. | 785,529 | 13,414,282 |
Woodside Petroleum Ltd. | 275,105 | 6,651,655 |
Worley Ltd. | 55,297 | 597,349 |
Total | 71,339,309 | |
Austria 0.1% | ||
Raiffeisen Bank International AG | 36,844 | 922,185 |
Belgium 1.2% | ||
Ageas | 34,046 | 2,013,229 |
KBC Group NV | 38,425 | 2,897,039 |
Solvay SA | 35,165 | 4,092,957 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
UCB SA | 40,193 | 3,198,341 |
Total | 12,201,566 | |
Denmark 1.8% | ||
AP Moller - Maersk A/S, Class A | 790 | 1,070,828 |
AP Moller - Maersk A/S, Class B | 1,376 | 1,984,525 |
Carlsberg A/S, Class B | 20,665 | 3,083,961 |
Danske Bank A/S | 60,801 | 983,657 |
Demant A/S(a) | 11,569 | 364,340 |
DSV PANALPINA A/S | 26,852 | 3,094,781 |
H Lundbeck A/S | 25,273 | 966,200 |
ISS A/S | 65,130 | 1,562,784 |
Novozymes AS, Class B | 3,346 | 163,738 |
Rockwool International A/S, Class B | 1,734 | 411,179 |
Tryg AS | 12,169 | 360,767 |
Vestas Wind Systems A/S | 47,355 | 4,783,163 |
Total | 18,829,923 | |
Finland 0.7% | ||
Fortum OYJ | 54,270 | 1,339,570 |
Nordea Bank | 256,504 | 2,084,586 |
Stora Enso OYJ, Class R | 69,658 | 1,013,579 |
UPM-Kymmene OYJ | 98,241 | 3,408,422 |
Total | 7,846,157 | |
France 11.4% | ||
Amundi SA(b) | 6,871 | 540,312 |
Arkema SA | 28,261 | 3,021,879 |
AtoS | 39,437 | 3,295,472 |
AXA SA | 159,186 | 4,497,999 |
BNP Paribas SA | 153,655 | 9,132,960 |
Bollore SA | 164,194 | 717,513 |
Bouygues SA | 103,371 | 4,406,391 |
Carrefour SA | 279,515 | 4,701,069 |
Cie de Saint-Gobain | 179,246 | 7,342,967 |
Cie Generale des Etablissements Michelin CSA | 68,463 | 8,424,997 |
CNP Assurances | 37,551 | 748,210 |
Credit Agricole SA | 109,345 | 1,591,117 |
Electricite de France SA | 132,766 | 1,481,440 |
Engie SA | 296,321 | 4,799,906 |
Variable Portfolio Funds | Annual Report 2019 | 119 |
CTIVP® – DFA International Value Fund, December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Faurecia SE | 24,718 | 1,341,882 |
Iliad SA | 971 | 126,300 |
Natixis SA | 140,783 | 627,120 |
Orange SA | 493,840 | 7,257,578 |
Peugeot SA | 271,256 | 6,531,075 |
Publicis Groupe SA | 17,955 | 814,105 |
Renault SA | 96,311 | 4,573,564 |
Sanofi | 2,196 | 220,539 |
SCOR SE | 24,523 | 1,032,316 |
SES SA FDR | 20,760 | 291,081 |
Societe Generale SA | 249,565 | 8,709,315 |
Total SA | 584,209 | 32,418,058 |
Valeo SA | 33,353 | 1,182,140 |
Total | 119,827,305 | |
Germany 7.3% | ||
Allianz SE, Registered Shares | 4,856 | 1,189,855 |
BASF SE | 2,489 | 187,513 |
Bayer AG, Registered Shares | 106,285 | 8,640,614 |
Bayerische Motoren Werke AG | 148,903 | 12,196,008 |
Commerzbank AG | 269,653 | 1,665,382 |
Continental AG | 16,908 | 2,185,025 |
Covestro AG | 33,160 | 1,542,939 |
Daimler AG, Registered Shares | 348,339 | 19,257,680 |
Deutsche Bank AG, Registered Shares | 376,460 | 2,917,008 |
Deutsche Bank AG, Registered Shares | 82,065 | 638,466 |
Deutsche Lufthansa AG, Registered Shares | 148,505 | 2,733,546 |
Evonik Industries AG | 43,510 | 1,328,897 |
Fraport AG Frankfurt Airport Services Worldwide | 8,197 | 695,803 |
Hapag-Lloyd AG(b) | 5,457 | 468,265 |
HeidelbergCement AG | 69,472 | 5,048,175 |
Metro AG | 21,106 | 339,621 |
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen, Registered Shares | 12,684 | 3,742,959 |
RWE AG | 136,354 | 4,178,157 |
Talanx AG | 20,062 | 992,907 |
Telefonica Deutschland Holding AG | 479,071 | 1,388,574 |
Uniper SE | 86,051 | 2,844,126 |
Volkswagen AG | 14,852 | 2,876,609 |
Total | 77,058,129 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Hong Kong 3.0% | ||
Bank of East Asia Ltd. (The) | 51,800 | 115,650 |
BOC Aviation Ltd.(b) | 79,000 | 803,449 |
Cathay Pacific Airways Ltd. | 479,000 | 708,143 |
CK Asset Holdings Ltd. | 146,500 | 1,057,177 |
CK Hutchison Holdings Ltd. | 702,768 | 6,701,236 |
CK Infrastructure Holdings Ltd. | 89,500 | 636,943 |
Guoco Group Ltd. | 2,000 | 33,877 |
Hang Lung Group Ltd. | 149,000 | 368,595 |
Hang Lung Properties Ltd. | 378,000 | 829,992 |
Henderson Land Development Co., Ltd. | 217,748 | 1,068,499 |
Kerry Properties Ltd. | 264,500 | 840,074 |
MTR Corp. | 238,342 | 1,408,486 |
New World Development Co., Ltd. | 2,357,638 | 3,231,715 |
NWS Holdings Ltd. | 381,296 | 534,410 |
PCCW Ltd. | 250,000 | 147,924 |
Shangri-La Asia Ltd. | 312,000 | 325,913 |
Sino Land Co., Ltd. | 520,266 | 755,171 |
SJM Holdings Ltd. | 796,000 | 906,376 |
Sun Hung Kai Properties Ltd. | 281,976 | 4,318,430 |
Swire Pacific Ltd., Class A | 251,000 | 2,331,713 |
Swire Pacific Ltd., Class B | 460,000 | 688,670 |
WH Group Ltd. | 1,857,000 | 1,920,090 |
Wharf Holdings Ltd. (The) | 227,000 | 576,964 |
Wheelock & Co., Ltd. | 164,000 | 1,093,271 |
Yue Yuen Industrial Holdings Ltd. | 207,500 | 612,394 |
Total | 32,015,162 | |
Ireland 0.6% | ||
AIB Group PLC | 51,649 | 179,945 |
Bank of Ireland Group PLC | 49,246 | 271,030 |
CRH PLC | 66,293 | 2,658,941 |
CRH PLC, ADR | 50,405 | 2,032,834 |
Flutter Entertainment PLC | 6,369 | 774,064 |
Total | 5,916,814 | |
Israel 0.4% | ||
Bank Hapoalim BM | 165,574 | 1,375,058 |
Teva Pharmaceutical Industries Ltd., ADR(a) | 301,949 | 2,959,100 |
Total | 4,334,158 |
120 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – DFA International Value Fund, December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Italy 2.4% | ||
ENI SpA | 215,740 | 3,350,707 |
Fiat Chrysler Automobiles NV | 685,584 | 10,164,834 |
Fiat Chrysler Automobiles NV | 3,688 | 54,177 |
Intesa Sanpaolo SpA | 925,831 | 2,438,815 |
Mediobanca Banca di Credito Finanziario SpA | 50,757 | 558,862 |
Telecom Italia SpA(a) | 6,288,644 | 3,927,320 |
UniCredit SpA | 319,785 | 4,674,288 |
Total | 25,169,003 | |
Japan 24.6% | ||
Aeon Credit Service Co., Ltd. | 30,000 | 472,699 |
AGC, Inc. | 89,600 | 3,203,913 |
Air Water, Inc. | 24,000 | 350,199 |
Aisin Seiki Co., Ltd. | 58,600 | 2,170,526 |
Alfresa Holdings Corp. | 33,500 | 680,554 |
Alps Electric Co., Ltd. | 7,700 | 174,785 |
Amada Holdings Co., Ltd. | 91,000 | 1,035,011 |
Aozora Bank Ltd. | 18,400 | 486,105 |
Asahi Kasei Corp. | 238,300 | 2,675,731 |
Bank of Kyoto Ltd. (The) | 12,800 | 545,804 |
Brother Industries Ltd. | 10,100 | 208,598 |
Canon Marketing Japan, Inc. | 11,100 | 256,840 |
Chiba Bank Ltd. (The) | 104,700 | 602,019 |
Chugoku Bank Ltd. (The) | 39,900 | 404,377 |
Citizen Watch Co., Ltd. | 45,300 | 246,708 |
Coca-Cola Bottlers Japan Holdings, Inc. | 23,725 | 606,181 |
Concordia Financial Group Ltd. | 209,000 | 858,299 |
Credit Saison Co., Ltd. | 45,400 | 787,407 |
Dai Nippon Printing Co., Ltd. | 51,100 | 1,382,130 |
Daicel Corp. | 86,700 | 828,883 |
Daido Steel Co., Ltd. | 5,600 | 244,645 |
Dai-ichi Life Holdings, Inc. | 179,900 | 2,964,802 |
Daio Paper Corp. | 12,800 | 174,492 |
Daiwa Securities Group, Inc. | 210,700 | 1,063,700 |
DeNA Co., Ltd. | 12,000 | 193,407 |
Denka Co., Ltd. | 25,800 | 766,973 |
Denso Corp. | 92,900 | 4,195,581 |
Dentsu Group, Inc. | 49,700 | 1,712,456 |
DIC Corp. | 19,400 | 535,409 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Dowa Holdings | 19,100 | 709,025 |
Ebara Corp. | 28,900 | 872,639 |
Fuji Media Holdings, Inc. | 11,100 | 157,602 |
FUJIFILM Holdings Corp. | 3,100 | 148,043 |
Fukuoka Financial Group, Inc. | 37,800 | 722,209 |
Fukuyama Transporting Co., Ltd. | 4,900 | 177,964 |
Furukawa Electric Co., Ltd. | 17,000 | 435,189 |
Fuyo General Lease Co., Ltd. | 2,600 | 174,888 |
Glory Ltd. | 9,800 | 296,147 |
Hachijuni Bank Ltd. (The) | 73,000 | 317,525 |
Hankyu Hanshin Holdings, Inc. | 29,700 | 1,270,438 |
Haseko Corp. | 50,600 | 679,247 |
Heiwa Corp. | 8,600 | 180,094 |
Hino Motors Ltd. | 118,400 | 1,252,139 |
Hitachi Capital Corp. | 22,100 | 580,245 |
Hitachi Ltd. | 161,300 | 6,806,174 |
Hitachi Metals Ltd. | 58,100 | 855,216 |
Honda Motor Co., Ltd. | 494,500 | 13,995,111 |
Ibiden Co., Ltd. | 17,700 | 421,397 |
Idemitsu Kosan Co., Ltd. | 54,100 | 1,494,876 |
IHI Corp. | 49,600 | 1,160,689 |
Iida Group Holdings Co., Ltd. | 36,800 | 644,939 |
Inpex Corp. | 296,800 | 3,074,768 |
Isetan Mitsukoshi Holdings Ltd. | 77,900 | 699,520 |
Isuzu Motors Ltd. | 227,600 | 2,690,407 |
ITOCHU Corp. | 55,600 | 1,288,624 |
Itoham Yonekyu Holdings, Inc. | 20,000 | 128,901 |
Iyo Bank Ltd. (The) | 45,000 | 253,845 |
J. Front Retailing Co., Ltd. | 74,400 | 1,037,677 |
Japan Post Holdings Co., Ltd. | 131,400 | 1,235,747 |
JFE Holdings, Inc. | 202,900 | 2,603,499 |
JGC Holdings Corp. | 26,500 | 421,775 |
JSR Corp. | 66,900 | 1,223,777 |
JTEKT Corp. | 101,000 | 1,193,124 |
JXTG Holdings, Inc. | 767,600 | 3,483,813 |
Kajima Corp. | 148,900 | 1,979,654 |
Kamigumi Co., Ltd. | 27,100 | 595,709 |
Kandenko Co., Ltd. | 21,400 | 205,126 |
Kaneka Corp. | 22,400 | 717,391 |
Variable Portfolio Funds | Annual Report 2019 | 121 |
CTIVP® – DFA International Value Fund, December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Kawasaki Heavy Industries Ltd. | 50,900 | 1,112,507 |
Kinden Corp. | 31,300 | 486,322 |
Kobe Steel Ltd. | 119,700 | 641,371 |
Kokuyo Co., Ltd. | 6,100 | 91,005 |
Konica Minolta, Inc. | 281,400 | 1,833,065 |
K’s Holdings Corp. | 46,800 | 611,859 |
Kuraray Co., Ltd. | 149,800 | 1,815,255 |
Kyocera Corp. | 25,900 | 1,765,233 |
Kyushu Financial Group, Inc. | 52,800 | 227,063 |
LIXIL Group Corp. | 52,000 | 897,357 |
Mabuchi Motor Co., Ltd. | 3,500 | 132,144 |
Maeda Corp. | 10,000 | 97,353 |
Maeda Road Construction Co., Ltd. | 11,700 | 285,640 |
Marubeni Corp. | 260,900 | 1,927,627 |
Maruichi Steel Tube Ltd. | 8,000 | 224,820 |
Mazda Motor Corp. | 265,500 | 2,262,442 |
Mebuki Financial Group, Inc. | 71,250 | 181,656 |
Medipal Holdings Corp. | 27,200 | 600,314 |
Mitsubishi Chemical Holdings Corp. | 317,300 | 2,364,261 |
Mitsubishi Corp. | 225,400 | 5,971,154 |
Mitsubishi Gas Chemical Co., Inc. | 42,600 | 648,976 |
Mitsubishi Heavy Industries Ltd. | 80,200 | 3,109,904 |
Mitsubishi Logistics Corp. | 12,000 | 312,141 |
Mitsubishi Materials Corp. | 53,000 | 1,438,404 |
Mitsubishi Motors Corp. | 240,600 | 1,002,886 |
Mitsubishi Tanabe Pharma Corp. | 20,100 | 368,736 |
Mitsubishi UFJ Financial Group, Inc. | 998,600 | 5,398,768 |
Mitsubishi UFJ Lease & Finance Co., Ltd. | 288,900 | 1,859,849 |
Mitsui & Co., Ltd. | 136,400 | 2,424,582 |
Mitsui Chemicals, Inc. | 75,600 | 1,841,565 |
Mitsui Fudosan Co., Ltd. | 136,700 | 3,340,938 |
Mitsui OSK Lines Ltd. | 39,900 | 1,097,268 |
Mizuho Financial Group, Inc. | 1,940,200 | 2,988,722 |
MS&AD Insurance Group Holdings, Inc. | 79,200 | 2,614,289 |
Nagase & Co., Ltd. | 19,500 | 289,183 |
NEC Corp. | 27,900 | 1,154,627 |
NGK Insulators Ltd. | 79,400 | 1,381,244 |
NGK Spark Plug Co., Ltd. | 39,100 | 757,915 |
NH Foods Ltd. | 18,600 | 770,476 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
NHK Spring Co., Ltd. | 96,800 | 876,076 |
Nikkon Holdings Co., Ltd. | 8,100 | 202,516 |
Nikon Corp. | 132,400 | 1,619,207 |
Nippo Corp. | 27,200 | 584,477 |
Nippon Electric Glass Co., Ltd. | 18,100 | 401,819 |
Nippon Express Co., Ltd. | 31,600 | 1,852,361 |
Nippon Kayaku Co., Ltd. | 16,400 | 203,102 |
Nippon Paper Industries Co., Ltd. | 66,000 | 1,113,847 |
Nippon Shokubai Co., Ltd. | 10,200 | 632,079 |
Nippon Steel Corp. | 207,000 | 3,120,096 |
Nippon Yusen KK | 73,800 | 1,330,147 |
Nipro Corp. | 14,800 | 178,038 |
Nissan Motor Co., Ltd. | 697,900 | 4,044,148 |
NOK Corp. | 39,200 | 584,700 |
Nomura Holdings, Inc. | 278,600 | 1,433,617 |
Nomura Real Estate Holdings, Inc. | 51,800 | 1,242,438 |
NSK Ltd. | 147,600 | 1,395,293 |
Obayashi Corp. | 255,300 | 2,835,531 |
Oji Holdings Corp. | 355,100 | 1,920,376 |
ORIX Corp. | 325,200 | 5,389,009 |
Panasonic Corp. | 72,800 | 682,805 |
Rengo Co., Ltd. | 55,900 | 425,879 |
Resona Holdings, Inc. | 288,150 | 1,255,911 |
Ricoh Co., Ltd. | 273,600 | 2,977,180 |
Rohm Co., Ltd. | 11,300 | 901,617 |
Sankyo Co., Ltd. | 5,000 | 166,064 |
Sega Sammy Holdings, Inc. | 9,700 | 140,453 |
Seiko Epson Corp. | 23,400 | 353,313 |
Seino Holdings Corp. | 36,000 | 486,380 |
Sekisui House Ltd. | 70,600 | 1,507,653 |
Shimamura Co., Ltd. | 3,600 | 273,686 |
Shimizu Corp. | 234,400 | 2,387,790 |
Shinsei Bank Ltd. | 33,400 | 509,590 |
Shizuoka Bank Ltd. (The) | 80,000 | 595,060 |
Showa Denko KK | 40,100 | 1,056,856 |
SoftBank Group Corp. | 88,600 | 3,846,750 |
Sojitz Corp. | 278,700 | 898,277 |
Sompo Holdings, Inc. | 36,400 | 1,429,414 |
Subaru Corp. | 4,800 | 118,895 |
122 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – DFA International Value Fund, December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Sumitomo Chemical Co., Ltd. | 613,500 | 2,785,637 |
Sumitomo Corp. | 198,200 | 2,943,933 |
Sumitomo Electric Industries Ltd. | 259,900 | 3,903,219 |
Sumitomo Forestry Co., Ltd. | 47,000 | 692,124 |
Sumitomo Heavy Industries Ltd. | 33,300 | 945,880 |
Sumitomo Metal Mining Co., Ltd. | 33,400 | 1,075,480 |
Sumitomo Mitsui Financial Group, Inc. | 257,700 | 9,518,245 |
Sumitomo Mitsui Trust Holdings, Inc. | 49,800 | 1,968,642 |
Sumitomo Osaka Cement Co., Ltd. | 13,000 | 566,257 |
Sumitomo Rubber Industries Ltd. | 92,600 | 1,129,141 |
Suzuken Co., Ltd. | 17,200 | 701,036 |
T&D Holdings, Inc. | 148,300 | 1,875,358 |
Taiheiyo Cement Corp. | 42,100 | 1,235,766 |
Taisho Pharmaceutical Holdings Co., Ltd. | 4,700 | 346,837 |
Takashimaya Co., Ltd. | 33,000 | 370,167 |
Takeda Pharmaceutical Co., Ltd. | 4,727 | 186,963 |
Teijin Ltd. | 67,900 | 1,268,518 |
THK Co., Ltd. | 11,300 | 303,385 |
Toda Corp. | 55,100 | 363,705 |
Toho Holdings Co., Ltd. | 13,000 | 288,027 |
Tokai Carbon Co., Ltd. | 50,500 | 503,790 |
Tokio Marine Holdings, Inc. | 3,900 | 218,356 |
Tokyo Broadcasting System Holdings, Inc. | 6,900 | 117,147 |
Tokyo Tatemono Co., Ltd. | 45,300 | 707,079 |
Tokyu Fudosan Holdings Corp | 249,200 | 1,720,804 |
Toppan Printing Co., Ltd. | 50,400 | 1,041,176 |
Toray Industries, Inc. | 218,900 | 1,483,162 |
Tosoh Corp. | 107,100 | 1,649,960 |
Toyo Seikan Group Holdings Ltd. | 34,200 | 588,726 |
Toyo Tire Corp. | 16,400 | 235,227 |
Toyoda Gosei Co., Ltd. | 29,600 | 739,094 |
Toyota Boshoku Corp. | 22,000 | 353,254 |
Toyota Industries Corp. | 24,500 | 1,409,732 |
Toyota Motor Corp. | 214,174 | 15,091,023 |
Toyota Tsusho Corp. | 43,600 | 1,531,565 |
TS Tech Co., Ltd. | 9,500 | 294,870 |
Tsumura & Co. | 3,600 | 105,293 |
Ube Industries Ltd. | 35,100 | 760,205 |
Universal Entertainment Corp.(a) | 2,800 | 95,230 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Wacoal Holdings Corp. | 2,500 | 67,039 |
Yamada Denki Co., Ltd. | 172,900 | 917,413 |
Yamaguchi Financial Group, Inc. | 49,100 | 332,062 |
Yamaha Motor Co., Ltd. | 74,300 | 1,488,451 |
Yokohama Rubber Co., Ltd. (The) | 52,600 | 1,020,174 |
Zeon Corp. | 44,400 | 552,539 |
Total | 258,806,449 | |
Netherlands 3.8% | ||
ABN AMRO Bank NV | 54,075 | 985,589 |
Aegon NV | 344,828 | 1,578,488 |
Akzo Nobel NV | 4,501 | 459,660 |
ArcelorMittal SA | 149,147 | 2,627,922 |
ING Groep NV | 492,061 | 5,915,760 |
Koninklijke Ahold Delhaize NV | 451,298 | 11,315,123 |
Koninklijke DSM NV | 68,403 | 8,943,394 |
Koninklijke Philips NV | 74,332 | 3,633,624 |
Koninklijke Vopak NV | 6,435 | 349,680 |
NN Group NV | 40,312 | 1,532,775 |
Randstad NV | 43,485 | 2,664,550 |
Total | 40,006,565 | |
New Zealand 0.3% | ||
Air New Zealand Ltd. | 217,789 | 429,583 |
Auckland International Airport Ltd. | 152,420 | 898,422 |
EBOS Group Ltd. | 21,714 | 354,670 |
Fletcher Building Ltd. | 284,274 | 974,402 |
Fonterra Co-operative Group Ltd.(a) | 28,970 | 78,986 |
Ryman Healthcare Ltd. | 12,292 | 135,096 |
Total | 2,871,159 | |
Norway 0.9% | ||
DNB ASA | 176,873 | 3,309,807 |
Equinor ASA | 25,844 | 515,388 |
Norsk Hydro ASA | 394,406 | 1,466,643 |
SpareBank 1 SR-Bank ASA | 22,923 | 261,103 |
Storebrand ASA | 119,453 | 941,060 |
Subsea 7 SA | 63,896 | 764,396 |
Yara International ASA | 53,395 | 2,224,638 |
Total | 9,483,035 |
Variable Portfolio Funds | Annual Report 2019 | 123 |
CTIVP® – DFA International Value Fund, December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Portugal 0.1% | ||
Banco Espirito Santo SA, Registered Shares(a),(c),(d) | 533,756 | 1 |
EDP Renovaveis SA | 110,634 | 1,303,031 |
Total | 1,303,032 | |
Singapore 1.1% | ||
CapitaLand Ltd. | 686,900 | 1,916,807 |
City Developments Ltd. | 171,000 | 1,391,741 |
Frasers Property Ltd. | 88,900 | 111,707 |
Hongkong Land Holdings Ltd. | 228,500 | 1,314,345 |
Keppel Corp., Ltd. | 525,500 | 2,647,768 |
Olam International Ltd. | 146,000 | 196,491 |
Oversea-Chinese Banking Corp., Ltd. | 74,200 | 606,998 |
Singapore Airlines Ltd. | 314,500 | 2,114,478 |
UOL Group Ltd. | 110,589 | 684,436 |
Wilmar International Ltd. | 158,600 | 485,903 |
Total | 11,470,674 | |
Spain 2.6% | ||
Banco Bilbao Vizcaya Argentaria SA | 99,225 | 557,082 |
Banco de Sabadell SA | 1,258,541 | 1,473,637 |
Banco Santander SA | 5,794,934 | 24,296,701 |
Bankia SA | 218,026 | 466,826 |
Repsol SA | 24,972 | 392,314 |
Total | 27,186,560 | |
Sweden 2.9% | ||
Billerudkorsnas AB | 68,291 | 806,962 |
Boliden AB | 121,841 | 3,235,935 |
Dometic Group AB(b) | 78,183 | 788,581 |
Getinge AB, Series CPO | 67,989 | 1,264,403 |
Holmen AB, Class B | 21,821 | 664,324 |
ICA Gruppen AB | 12,916 | 603,332 |
Intrum Justitia AB | 12,516 | 373,355 |
Millicom International Cellular SA, SDR | 12,641 | 607,070 |
Pandox AB | 8,462 | 191,531 |
Peab AB, Class B | 27,086 | 270,858 |
Saab AB, Class B | 21,781 | 730,433 |
Skandinaviska Enskilda Banken AB, Class A | 316,379 | 2,975,189 |
SKF AB, Class B | 59,810 | 1,210,933 |
SSAB AB, Class A | 55,958 | 196,622 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
SSAB AB, Class B | 93,035 | 304,015 |
Svenska Cellulosa AB SCA, Class A | 12,348 | 131,650 |
Svenska Cellulosa AB, Class B | 115,131 | 1,167,499 |
Svenska Handelsbanken AB, Class A | 142,930 | 1,539,393 |
Svenska Handelsbanken AB, Class B | 6,408 | 70,729 |
Swedbank AB, Class A | 112,226 | 1,668,350 |
Telia Co. AB | 858,802 | 3,689,865 |
Trelleborg AB, Class B | 72,040 | 1,296,858 |
Volvo AB | 29,808 | 503,324 |
Volvo AB, B Shares | 362,598 | 6,070,323 |
Total | 30,361,534 | |
Switzerland 10.0% | ||
ABB Ltd. | 326,435 | 7,874,639 |
Adecco Group AG, Registered Shares | 77,206 | 4,881,137 |
Alcon, Inc.(a) | 36,402 | 2,061,868 |
Baloise Holding AG, Registered Shares | 10,046 | 1,818,180 |
Banque Cantonale Vaudoise, Registered Shares | 251 | 204,887 |
Chocoladefabriken Lindt & Spruengli AG, Registered Shares | 1 | 88,345 |
Cie Financiere Richemont SA, Class A, Registered Shares | 111,611 | 8,722,503 |
Clariant AG, Registered Shares(a) | 9,546 | 213,338 |
Credit Suisse Group AG, Registered Shares(a) | 200,945 | 2,716,310 |
Helvetia Holding AG, Registered Shares, ADR | 3,600 | 508,497 |
Julius Baer Group Ltd.(a) | 60,341 | 3,110,755 |
LafargeHolcim Ltd., Registered Shares(a) | 85,157 | 4,724,296 |
Lonza Group AG, Registered Shares(a) | 31,663 | 11,550,897 |
Novartis AG, Registered Shares | 140,882 | 13,340,061 |
Swatch Group AG (The) | 14,518 | 4,053,504 |
Swatch Group AG (The), Registered Shares | 20,398 | 1,079,050 |
Swiss Life Holding AG, Registered Shares | 9,404 | 4,717,708 |
Swiss Prime Site AG(a) | 9,545 | 1,104,301 |
Swiss Re AG | 24,007 | 2,697,007 |
Swisscom AG | 11,009 | 5,827,899 |
UBS AG(a) | 564,863 | 7,128,225 |
UBS Group AG, Registered Shares(a) | 62,395 | 784,929 |
Vifor Pharma AG | 11,190 | 2,042,235 |
Zurich Insurance Group AG | 34,606 | 14,195,367 |
Total | 105,445,938 |
124 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – DFA International Value Fund, December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
United Kingdom 15.5% | ||
3i Group PLC | 8,266 | 120,285 |
Anglo American PLC | 189,686 | 5,449,288 |
Antofagasta PLC | 87,027 | 1,053,700 |
Aviva PLC | 1,700,794 | 9,440,340 |
Barclays Bank PLC | 1,597,813 | 3,809,946 |
Barclays Bank PLC, ADR | 48,683 | 463,462 |
Barratt Developments PLC | 344,717 | 3,413,194 |
BP PLC, ADR | 320,967 | 12,113,295 |
British American Tobacco PLC | 210,063 | 8,928,116 |
British American Tobacco, ADR | 44,030 | 1,869,514 |
Carnival PLC | 23,594 | 1,130,945 |
Glencore PLC(a) | 2,394,334 | 7,455,285 |
HSBC Holdings PLC, ADR | 402,185 | 15,721,412 |
Investec PLC | 242,867 | 1,427,274 |
J. Sainsbury PLC | 1,039,414 | 3,169,434 |
Kingfisher PLC | 853,016 | 2,455,602 |
Lloyds Banking Group PLC | 17,838,277 | 14,777,620 |
Melrose Industries PLC | 244,270 | 778,055 |
Micro Focus International PLC, ADR | 26,899 | 377,393 |
Pearson PLC, ADR | 105,480 | 889,196 |
Phoenix Group Holdings PLC | 86,603 | 860,373 |
Royal Bank of Scotland Group PLC | 530,151 | 1,700,695 |
Royal Bank of Scotland Group PLC, ADR | 226,371 | 1,457,829 |
Royal Dutch Shell PLC, ADR, Class A | 205,825 | 12,139,558 |
Royal Dutch Shell PLC, ADR, Class B | 282,991 | 16,970,970 |
Royal Dutch Shell PLC, Class B | 241,675 | 7,173,802 |
Standard Chartered PLC | 553,688 | 5,217,452 |
Standard Life Aberdeen PLC | 477,536 | 2,077,581 |
Vodafone Group PLC | 8,704,888 | 16,899,448 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
WPP PLC | 192,576 | 2,709,980 |
WPP PLC, ADR | 6,362 | 447,185 |
Total | 162,498,229 | |
Total Common Stocks (Cost $1,035,370,977) | 1,024,892,886 |
Preferred Stocks 1.7% | |||
Issuer | Shares | Value ($) | |
Germany 1.7% | |||
BMW AG | 19,402 | 1,194,427 | |
Porsche Automobil Holding SE | 35,735 | 2,651,475 | |
Volkswagen AG | 71,907 | 14,154,054 | |
Total | 17,999,956 | ||
Total Preferred Stocks (Cost $20,252,911) | 17,999,956 |
Rights 0.0% | ||
Issuer | Shares | Value ($) |
Spain 0.0% | ||
Repsol SA(a) | 24,972 | 11,849 |
Total Rights (Cost $11,801) | 11,849 | |
Money Market Funds 0.4% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(e),(f) | 4,382,833 | 4,382,395 |
Total Money Market Funds (Cost $4,382,395) | 4,382,395 | |
Total Investments in Securities (Cost $1,060,018,084) | 1,047,287,086 | |
Other Assets & Liabilities, Net | 4,518,848 | |
Net Assets | $1,051,805,934 |
(a) | Non-income producing investment. |
(b) | 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. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At December 31, 2019, the total value of these securities amounted to $2,600,607, which represents 0.25% of total net assets. |
(c) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At December 31, 2019, the total value of these securities amounted to $1, which represents less than 0.01% of total net assets. |
(d) | Valuation based on significant unobservable inputs. |
(e) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
Variable Portfolio Funds | Annual Report 2019 | 125 |
CTIVP® – DFA International Value Fund, December 31, 2019
(f) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | ||||||||
3,104,302 | 299,191,259 | (297,912,728) | 4,382,833 | (11,263) | — | 95,012 | 4,382,395 |
ADR | American Depositary Receipt |
SDR | Swedish Depositary Receipt |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
126 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – DFA International Value Fund, December 31, 2019
The following table is a summary of the inputs used to value the Fund’s investments at December 31, 2019:
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Australia | — | 71,339,309 | — | 71,339,309 |
Austria | — | 922,185 | — | 922,185 |
Belgium | — | 12,201,566 | — | 12,201,566 |
Denmark | — | 18,829,923 | — | 18,829,923 |
Finland | — | 7,846,157 | — | 7,846,157 |
France | — | 119,827,305 | — | 119,827,305 |
Germany | 638,466 | 76,419,663 | — | 77,058,129 |
Hong Kong | — | 32,015,162 | — | 32,015,162 |
Ireland | 2,032,834 | 3,883,980 | — | 5,916,814 |
Israel | 2,959,100 | 1,375,058 | — | 4,334,158 |
Italy | 54,177 | 25,114,826 | — | 25,169,003 |
Japan | — | 258,806,449 | — | 258,806,449 |
Netherlands | — | 40,006,565 | — | 40,006,565 |
New Zealand | — | 2,871,159 | — | 2,871,159 |
Norway | — | 9,483,035 | — | 9,483,035 |
Portugal | — | 1,303,031 | 1 | 1,303,032 |
Singapore | — | 11,470,674 | — | 11,470,674 |
Spain | — | 27,186,560 | — | 27,186,560 |
Sweden | — | 30,361,534 | — | 30,361,534 |
Switzerland | 784,929 | 104,661,009 | — | 105,445,938 |
United Kingdom | 62,449,814 | 100,048,415 | — | 162,498,229 |
Total Common Stocks | 68,919,320 | 955,973,565 | 1 | 1,024,892,886 |
Preferred Stocks | ||||
Germany | — | 17,999,956 | — | 17,999,956 |
Total Preferred Stocks | — | 17,999,956 | — | 17,999,956 |
Rights | ||||
Spain | — | 11,849 | — | 11,849 |
Total Rights | — | 11,849 | — | 11,849 |
Money Market Funds | 4,382,395 | — | — | 4,382,395 |
Total Investments in Securities | 73,301,715 | 973,985,370 | 1 | 1,047,287,086 |
Variable Portfolio Funds | Annual Report 2019 | 127 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, December 31, 2019
Common Stocks 99.2% | ||
Issuer | Shares | Value ($) |
Communication Services 9.1% | ||
Entertainment 0.6% | ||
Netflix, Inc.(a) | 12,642 | 4,090,572 |
Spotify Technology SA(a) | 17,190 | 2,570,764 |
Take-Two Interactive Software, Inc.(a) | 48,032 | 5,880,558 |
Total | 12,541,894 | |
Interactive Media & Services 7.4% | ||
Alphabet, Inc., Class A(a) | 24,984 | 33,463,320 |
Alphabet, Inc., Class C(a) | 25,661 | 34,309,270 |
Facebook, Inc., Class A(a) | 401,955 | 82,501,264 |
IAC/InterActiveCorp(a) | 100 | 24,911 |
Total | 150,298,765 | |
Media 1.1% | ||
Cable One, Inc. | 1,553 | 2,311,594 |
Charter Communications, Inc., Class A(a) | 8,110 | 3,933,999 |
Comcast Corp., Class A | 190,460 | 8,564,986 |
Interpublic Group of Companies, Inc. (The) | 7,580 | 175,098 |
Nexstar Media Group, Inc., Class A | 16,370 | 1,919,383 |
Sinclair Broadcast Group, Inc., Class A | 133,589 | 4,453,857 |
Total | 21,358,917 | |
Total Communication Services | 184,199,576 | |
Consumer Discretionary 13.9% | ||
Automobiles 0.0% | ||
Tesla Motors, Inc.(a) | 100 | 41,833 |
Distributors 0.4% | ||
Pool Corp. | 39,413 | 8,370,533 |
Diversified Consumer Services 0.3% | ||
Grand Canyon Education, Inc.(a) | 15,100 | 1,446,429 |
H&R Block, Inc. | 237,869 | 5,585,164 |
Total | 7,031,593 | |
Hotels, Restaurants & Leisure 2.8% | ||
Chipotle Mexican Grill, Inc.(a) | 1,441 | 1,206,276 |
Darden Restaurants, Inc. | 5,530 | 602,825 |
Domino’s Pizza, Inc. | 10,024 | 2,944,851 |
Dunkin’ Brands Group, Inc. | 13,310 | 1,005,437 |
Hilton Worldwide Holdings, Inc. | 70,754 | 7,847,326 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Planet Fitness, Inc., Class A(a) | 25,530 | 1,906,580 |
Starbucks Corp. | 226,931 | 19,951,774 |
Yum China Holdings, Inc. | 227,850 | 10,939,079 |
Yum! Brands, Inc. | 97,341 | 9,805,159 |
Total | 56,209,307 | |
Household Durables 0.9% | ||
Lennar Corp., Class A | 9,170 | 511,594 |
Lennar Corp., Class B | 2,470 | 110,409 |
NVR, Inc.(a) | 4,435 | 16,890,299 |
Tempur Sealy International, Inc.(a) | 10,870 | 946,342 |
Total | 18,458,644 | |
Internet & Direct Marketing Retail 3.7% | ||
Amazon.com, Inc.(a) | 40,518 | 74,870,781 |
Multiline Retail 0.9% | ||
Dollar General Corp. | 12,810 | 1,998,104 |
Nordstrom, Inc. | 14,850 | 607,810 |
Ollie’s Bargain Outlet Holdings, Inc.(a) | 520 | 33,961 |
Target Corp. | 125,990 | 16,153,178 |
Total | 18,793,053 | |
Specialty Retail 3.6% | ||
AutoZone, Inc.(a) | 15,930 | 18,977,568 |
Best Buy Co., Inc. | 100 | 8,780 |
Burlington Stores, Inc.(a) | 7,420 | 1,691,983 |
Five Below, Inc.(a) | 4,310 | 551,077 |
Home Depot, Inc. (The) | 73,480 | 16,046,562 |
Lowe’s Companies, Inc. | 146,690 | 17,567,595 |
TJX Companies, Inc. (The) | 192,704 | 11,766,506 |
Tractor Supply Co. | 45,510 | 4,252,454 |
Williams-Sonoma, Inc. | 15,830 | 1,162,555 |
Total | 72,025,080 |
128 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Textiles, Apparel & Luxury Goods 1.3% | ||
Carter’s, Inc. | 2,975 | 325,286 |
lululemon athletica, Inc.(a) | 27,240 | 6,310,691 |
Nike, Inc., Class B | 178,260 | 18,059,521 |
Skechers U.S.A., Inc., Class A(a) | 23,434 | 1,012,114 |
Total | 25,707,612 | |
Total Consumer Discretionary | 281,508,436 | |
Consumer Staples 4.4% | ||
Beverages 2.1% | ||
Coca-Cola Co. (The) | 270,381 | 14,965,588 |
Monster Beverage Corp.(a) | 168,180 | 10,687,839 |
PepsiCo, Inc. | 127,152 | 17,377,864 |
Total | 43,031,291 | |
Food & Staples Retailing 1.3% | ||
Costco Wholesale Corp. | 64,438 | 18,939,617 |
Sprouts Farmers Market, Inc.(a) | 389,170 | 7,530,440 |
Total | 26,470,057 | |
Household Products 0.4% | ||
Kimberly-Clark Corp. | 2,140 | 294,357 |
Procter & Gamble Co. (The) | 51,647 | 6,450,710 |
Total | 6,745,067 | |
Personal Products 0.6% | ||
Estee Lauder Companies, Inc. (The), Class A | 55,939 | 11,553,641 |
Herbalife Nutrition Ltd.(a) | 25,010 | 1,192,227 |
Total | 12,745,868 | |
Total Consumer Staples | 88,992,283 | |
Financials 5.0% | ||
Banks 0.8% | ||
Prosperity Bancshares, Inc. | 7,010 | 503,949 |
Western Alliance Bancorp | 272,120 | 15,510,840 |
Total | 16,014,789 | |
Capital Markets 3.4% | ||
Artisan Partners Asset Management, Inc., Class A | 52,956 | 1,711,538 |
Eaton Vance Corp. | 107,780 | 5,032,248 |
Evercore, Inc., Class A | 160,966 | 12,033,818 |
LPL Financial Holdings, Inc. | 81,620 | 7,529,445 |
Moody’s Corp. | 45,690 | 10,847,263 |
MSCI, Inc. | 30,485 | 7,870,617 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
S&P Global, Inc. | 72,780 | 19,872,579 |
SEI Investments Co. | 51,850 | 3,395,138 |
Total | 68,292,646 | |
Consumer Finance 0.6% | ||
OneMain Holdings, Inc. | 35,870 | 1,511,921 |
Synchrony Financial | 294,347 | 10,599,435 |
Total | 12,111,356 | |
Insurance 0.2% | ||
Aon PLC | 5,540 | 1,153,927 |
Erie Indemnity Co., Class A | 6,000 | 996,000 |
Kemper Corp. | 31,850 | 2,468,375 |
Total | 4,618,302 | |
Total Financials | 101,037,093 | |
Health Care 15.6% | ||
Biotechnology 4.7% | ||
AbbVie, Inc. | 482,169 | 42,691,243 |
Amgen, Inc. | 82,138 | 19,801,008 |
Biogen, Inc.(a) | 34,740 | 10,308,400 |
Incyte Corp.(a) | 163,688 | 14,293,236 |
Ionis Pharmaceuticals, Inc.(a) | 590 | 35,642 |
Neurocrine Biosciences, Inc.(a) | 960 | 103,191 |
Regeneron Pharmaceuticals, Inc.(a) | 540 | 202,759 |
Vertex Pharmaceuticals, Inc.(a) | 40,680 | 8,906,886 |
Total | 96,342,365 | |
Health Care Equipment & Supplies 4.2% | ||
Abbott Laboratories | 112,840 | 9,801,282 |
Align Technology, Inc.(a) | 16,030 | 4,473,011 |
Boston Scientific Corp.(a) | 199,542 | 9,023,289 |
DexCom, Inc.(a) | 24,600 | 5,381,004 |
Edwards Lifesciences Corp.(a) | 50,189 | 11,708,592 |
IDEXX Laboratories, Inc.(a) | 4,662 | 1,217,388 |
Intuitive Surgical, Inc.(a) | 27,652 | 16,346,480 |
ResMed, Inc. | 8,830 | 1,368,385 |
Stryker Corp. | 36,900 | 7,746,786 |
Varian Medical Systems, Inc.(a) | 99,370 | 14,111,534 |
West Pharmaceutical Services, Inc. | 30,873 | 4,641,138 |
Total | 85,818,889 |
Variable Portfolio Funds | Annual Report 2019 | 129 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Health Care Providers & Services 2.5% | ||
Anthem, Inc. | 6,100 | 1,842,383 |
Chemed Corp. | 24,813 | 10,899,358 |
HCA Healthcare, Inc. | 77,380 | 11,437,538 |
UnitedHealth Group, Inc. | 87,252 | 25,650,343 |
Total | 49,829,622 | |
Health Care Technology 0.3% | ||
Veeva Systems Inc., Class A(a) | 38,331 | 5,391,638 |
Life Sciences Tools & Services 0.9% | ||
Bruker Corp. | 156,137 | 7,958,303 |
Thermo Fisher Scientific, Inc. | 30,563 | 9,929,002 |
Total | 17,887,305 | |
Pharmaceuticals 3.0% | ||
Bristol-Myers Squibb Co. | 29,290 | 1,880,125 |
Eli Lilly & Co. | 99,816 | 13,118,817 |
Jazz Pharmaceuticals PLC(a) | 640 | 95,539 |
Johnson & Johnson | 108,747 | 15,862,925 |
Merck & Co., Inc. | 329,947 | 30,008,680 |
Total | 60,966,086 | |
Total Health Care | 316,235,905 | |
Industrials 7.4% | ||
Aerospace & Defense 2.8% | ||
Boeing Co. (The) | 18,220 | 5,935,347 |
Curtiss-Wright Corp. | 67,880 | 9,563,613 |
HEICO Corp. | 68,432 | 7,811,513 |
HEICO Corp., Class A | 20,000 | 1,790,600 |
Hexcel Corp. | 177,190 | 12,989,799 |
Huntington Ingalls Industries, Inc. | 540 | 135,475 |
L3 Harris Technologies, Inc. | 20,410 | 4,038,527 |
Lockheed Martin Corp. | 36,760 | 14,313,609 |
TransDigm Group, Inc. | 750 | 420,000 |
Total | 56,998,483 | |
Airlines 0.1% | ||
United Airlines Holdings, Inc.(a) | 30,920 | 2,723,743 |
Building Products 0.2% | ||
Allegion PLC | 16,370 | 2,038,720 |
Armstrong World Industries, Inc. | 21,150 | 1,987,465 |
Total | 4,026,185 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Commercial Services & Supplies 0.3% | ||
Cintas Corp. | 470 | 126,468 |
Copart, Inc.(a) | 33,480 | 3,044,671 |
Rollins, Inc. | 86,898 | 2,881,538 |
Total | 6,052,677 | |
Construction & Engineering 0.2% | ||
Quanta Services, Inc. | 76,020 | 3,094,774 |
Electrical Equipment 1.2% | ||
AMETEK, Inc. | 28,059 | 2,798,605 |
Rockwell Automation, Inc. | 108,690 | 22,028,202 |
Total | 24,826,807 | |
Industrial Conglomerates 0.7% | ||
Honeywell International, Inc. | 78,640 | 13,919,280 |
Roper Technologies, Inc. | 2,589 | 917,101 |
Total | 14,836,381 | |
Machinery 0.4% | ||
Dover Corp. | 100 | 11,526 |
Illinois Tool Works, Inc. | 34,734 | 6,239,269 |
Woodward, Inc. | 16,560 | 1,961,366 |
Total | 8,212,161 | |
Professional Services 0.1% | ||
Robert Half International, Inc. | 26,560 | 1,677,264 |
Road & Rail 0.8% | ||
Landstar System, Inc. | 49,400 | 5,625,178 |
Union Pacific Corp. | 61,020 | 11,031,806 |
Total | 16,656,984 | |
Trading Companies & Distributors 0.6% | ||
MSC Industrial Direct Co., Inc., Class A | 95,641 | 7,504,949 |
W.W. Grainger, Inc. | 5,480 | 1,855,090 |
Watsco, Inc. | 8,270 | 1,489,840 |
Total | 10,849,879 | |
Total Industrials | 149,955,338 | |
Information Technology 40.0% | ||
Communications Equipment 1.0% | ||
Cisco Systems, Inc. | 375,690 | 18,018,092 |
Motorola Solutions, Inc. | 18,170 | 2,927,914 |
Total | 20,946,006 |
130 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Electronic Equipment, Instruments & Components 1.5% | ||
CDW Corp. | 40,650 | 5,806,446 |
Jabil, Inc. | 514,172 | 21,250,729 |
Keysight Technologies, Inc.(a) | 34,760 | 3,567,419 |
Zebra Technologies Corp., Class A(a) | 290 | 74,077 |
Total | 30,698,671 | |
IT Services 8.1% | ||
Accenture PLC, Class A | 63,181 | 13,304,023 |
Akamai Technologies, Inc.(a) | 41,545 | 3,588,657 |
Automatic Data Processing, Inc. | 35,180 | 5,998,190 |
Booz Allen Hamilton Holdings Corp. | 18,618 | 1,324,298 |
Euronet Worldwide, Inc.(a) | 15,197 | 2,394,439 |
Fidelity National Information Services, Inc. | 22,205 | 3,088,494 |
Fiserv, Inc.(a) | 36,375 | 4,206,041 |
FleetCor Technologies, Inc.(a) | 12,440 | 3,579,237 |
Genpact Ltd. | 1,360 | 57,351 |
Global Payments, Inc. | 16,010 | 2,922,786 |
GoDaddy, Inc., Class A(a) | 104,954 | 7,128,476 |
MasterCard, Inc., Class A | 126,903 | 37,891,967 |
Paychex, Inc. | 37,510 | 3,190,601 |
PayPal Holdings, Inc.(a) | 173,520 | 18,769,658 |
Sabre Corp. | 31,970 | 717,407 |
VeriSign, Inc.(a) | 59,440 | 11,452,899 |
Visa, Inc., Class A | 243,876 | 45,824,300 |
Total | 165,438,824 | |
Semiconductors & Semiconductor Equipment 5.8% | ||
Analog Devices, Inc. | 13,598 | 1,615,986 |
Applied Materials, Inc. | 41,570 | 2,537,433 |
Broadcom, Inc. | 49,464 | 15,631,613 |
Entegris, Inc. | 29,640 | 1,484,668 |
Lam Research Corp. | 51,210 | 14,973,804 |
Monolithic Power Systems, Inc. | 17,231 | 3,067,463 |
NVIDIA Corp. | 107,689 | 25,339,222 |
QUALCOMM, Inc. | 261,137 | 23,040,117 |
Teradyne, Inc. | 176,488 | 12,034,717 |
Texas Instruments, Inc. | 72,761 | 9,334,509 |
Universal Display Corp. | 37,790 | 7,787,385 |
Total | 116,846,917 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Software 14.1% | ||
Adobe, Inc.(a) | 51,589 | 17,014,568 |
Alteryx, Inc., Class A(a) | 2,930 | 293,205 |
ANSYS, Inc.(a) | 23,460 | 6,038,839 |
Aspen Technology, Inc.(a) | 450 | 54,419 |
Atlassian Corp. PLC, Class A(a) | 12,370 | 1,488,606 |
Autodesk, Inc.(a) | 18,880 | 3,463,725 |
Cadence Design Systems, Inc.(a) | 153,446 | 10,643,015 |
Dropbox, Inc., Class A(a) | 38,500 | 689,535 |
Fair Isaac Corp.(a) | 8,480 | 3,177,286 |
Fortinet, Inc.(a) | 92,750 | 9,901,990 |
Intuit, Inc. | 43,707 | 11,448,175 |
Manhattan Associates, Inc.(a) | 71,670 | 5,715,682 |
Microsoft Corp. | 1,012,631 | 159,691,909 |
Oracle Corp. | 540,040 | 28,611,319 |
Paycom Software, Inc.(a) | 11,270 | 2,983,845 |
Proofpoint, Inc.(a) | 10,090 | 1,158,130 |
RingCentral, Inc., Class A(a) | 10,840 | 1,828,383 |
Salesforce.com, Inc.(a) | 77,841 | 12,660,060 |
ServiceNow, Inc.(a) | 29,591 | 8,354,131 |
Total | 285,216,822 | |
Technology Hardware, Storage & Peripherals 9.5% | ||
Apple, Inc. | 626,374 | 183,934,725 |
NCR Corp.(a) | 101,647 | 3,573,909 |
NetApp, Inc. | 89,890 | 5,595,652 |
Total | 193,104,286 | |
Total Information Technology | 812,251,526 | |
Materials 1.8% | ||
Chemicals 1.4% | ||
CF Industries Holdings, Inc. | 570 | 27,212 |
NewMarket Corp. | 15,276 | 7,432,079 |
Scotts Miracle-Gro Co. (The), Class A | 164,281 | 17,443,357 |
Sherwin-Williams Co. (The) | 5,150 | 3,005,231 |
Total | 27,907,879 | |
Construction Materials 0.4% | ||
Eagle Materials, Inc. | 75,110 | 6,809,473 |
Vulcan Materials Co. | 18,380 | 2,646,536 |
Total | 9,456,009 |
Variable Portfolio Funds | Annual Report 2019 | 131 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Metals & Mining 0.0% | ||
Southern Copper Corp. | 10,620 | 451,137 |
Total Materials | 37,815,025 | |
Real Estate 2.0% | ||
Equity Real Estate Investment Trusts (REITS) 1.9% | ||
American Tower Corp. | 90,420 | 20,780,324 |
Brookfield Property REIT, Inc. | 72,230 | 1,332,282 |
Crown Castle International Corp. | 38,980 | 5,541,007 |
CubeSmart | 21,770 | 685,320 |
Equinix, Inc. | 3,190 | 1,862,003 |
Life Storage, Inc. | 13,440 | 1,455,283 |
Public Storage | 4,950 | 1,054,152 |
Simon Property Group, Inc. | 25,570 | 3,808,907 |
Taubman Centers, Inc. | 77,084 | 2,396,542 |
Total | 38,915,820 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Real Estate Management & Development 0.1% | ||
CBRE Group, Inc., Class A(a) | 34,960 | 2,142,699 |
Total Real Estate | 41,058,519 | |
Total Common Stocks (Cost $1,568,362,071) | 2,013,053,701 | |
Money Market Funds 0.8% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(b),(c) | 17,374,858 | 17,373,120 |
Total Money Market Funds (Cost $17,373,723) | 17,373,120 | |
Total Investments in Securities (Cost: $1,585,735,794) | 2,030,426,821 | |
Other Assets & Liabilities, Net | (960,512) | |
Net Assets | 2,029,466,309 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | ||||||||
16,951,255 | 104,122,701 | (103,699,098) | 17,374,858 | 70 | (603) | 400,763 | 17,373,120 |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
132 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, December 31, 2019
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 184,199,576 | — | — | 184,199,576 |
Consumer Discretionary | 281,508,436 | — | — | 281,508,436 |
Consumer Staples | 88,992,283 | — | — | 88,992,283 |
Financials | 101,037,093 | — | — | 101,037,093 |
Health Care | 316,235,905 | — | — | 316,235,905 |
Industrials | 149,955,338 | — | — | 149,955,338 |
Information Technology | 812,251,526 | — | — | 812,251,526 |
Materials | 37,815,025 | — | — | 37,815,025 |
Real Estate | 41,058,519 | — | — | 41,058,519 |
Total Common Stocks | 2,013,053,701 | — | — | 2,013,053,701 |
Money Market Funds | 17,373,120 | — | — | 17,373,120 |
Total Investments in Securities | 2,030,426,821 | — | — | 2,030,426,821 |
Variable Portfolio Funds | Annual Report 2019 | 133 |
CTIVP® – MFS® Value Fund, December 31, 2019
Common Stocks 99.0% | ||
Issuer | Shares | Value ($) |
Communication Services 3.4% | ||
Diversified Telecommunication Services 0.5% | ||
Verizon Communications, Inc. | 119,120 | 7,313,968 |
Media 2.9% | ||
Comcast Corp., Class A | 959,916 | 43,167,423 |
Omnicom Group, Inc. | 28,267 | 2,290,192 |
Total | 45,457,615 | |
Total Communication Services | 52,771,583 | |
Consumer Discretionary 1.2% | ||
Auto Components 1.0% | ||
Aptiv PLC | 145,009 | 13,771,505 |
Lear Corp. | 20,020 | 2,746,744 |
Total | 16,518,249 | |
Automobiles 0.1% | ||
Harley-Davidson, Inc. | 44,032 | 1,637,550 |
Textiles, Apparel & Luxury Goods 0.1% | ||
Hanesbrands, Inc. | 76,283 | 1,132,802 |
Total Consumer Discretionary | 19,288,601 | |
Consumer Staples 7.9% | ||
Beverages 1.9% | ||
Diageo PLC | 523,357 | 22,052,533 |
PepsiCo, Inc. | 60,235 | 8,232,318 |
Total | 30,284,851 | |
Food Products 3.0% | ||
Archer-Daniels-Midland Co. | 201,783 | 9,352,642 |
Danone SA | 81,725 | 6,786,931 |
JM Smucker Co. (The) | 49,688 | 5,174,011 |
Nestlé SA, Registered Shares | 239,656 | 25,946,422 |
Total | 47,260,006 | |
Household Products 1.2% | ||
Colgate-Palmolive Co. | 41,731 | 2,872,762 |
Kimberly-Clark Corp. | 38,036 | 5,231,852 |
Procter & Gamble Co. (The) | 27,060 | 3,379,794 |
Reckitt Benckiser Group PLC | 81,111 | 6,588,523 |
Total | 18,072,931 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Tobacco 1.8% | ||
Altria Group, Inc. | 143,943 | 7,184,195 |
Philip Morris International, Inc. | 246,986 | 21,016,039 |
Total | 28,200,234 | |
Total Consumer Staples | 123,818,022 | |
Energy 3.3% | ||
Oil, Gas & Consumable Fuels 3.3% | ||
Chevron Corp. | 98,964 | 11,926,152 |
EOG Resources, Inc. | 132,880 | 11,130,029 |
Exxon Mobil Corp. | 143,887 | 10,040,435 |
Pioneer Natural Resources Co. | 40,079 | 6,066,758 |
Suncor Energy, Inc. | 390,965 | 12,813,885 |
Total | 51,977,259 | |
Total Energy | 51,977,259 | |
Financials 30.1% | ||
Banks 14.9% | ||
Citigroup, Inc. | 497,925 | 39,779,228 |
JPMorgan Chase & Co. | 554,848 | 77,345,811 |
PNC Financial Services Group, Inc. (The) | 144,528 | 23,071,005 |
Truist Financial Corp. | 412,692 | 23,242,813 |
U.S. Bancorp | 571,259 | 33,869,946 |
Wells Fargo & Co. | 637,100 | 34,275,980 |
Total | 231,584,783 | |
Capital Markets 6.8% | ||
Bank of New York Mellon Corp. (The) | 265,706 | 13,372,983 |
BlackRock, Inc. | 30,019 | 15,090,551 |
Goldman Sachs Group, Inc. (The) | 112,583 | 25,886,209 |
Moody’s Corp. | 52,167 | 12,384,968 |
Nasdaq, Inc. | 169,343 | 18,136,635 |
State Street Corp. | 164,615 | 13,021,047 |
T. Rowe Price Group, Inc. | 63,930 | 7,789,231 |
Total | 105,681,624 | |
Consumer Finance 0.7% | ||
American Express Co. | 93,312 | 11,616,411 |
134 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – MFS® Value Fund, December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Insurance 7.7% | ||
Aon PLC | 174,140 | 36,271,621 |
Chubb Ltd. | 208,167 | 32,403,275 |
Marsh & McLennan Companies, Inc. | 208,010 | 23,174,394 |
Travelers Companies, Inc. (The) | 201,680 | 27,620,076 |
Total | 119,469,366 | |
Total Financials | 468,352,184 | |
Health Care 17.3% | ||
Health Care Equipment & Supplies 6.0% | ||
Abbott Laboratories | 231,600 | 20,116,776 |
Danaher Corp. | 183,491 | 28,162,199 |
Medtronic PLC | 396,181 | 44,946,734 |
Total | 93,225,709 | |
Health Care Providers & Services 2.7% | ||
Cigna Corp. | 156,135 | 31,928,046 |
McKesson Corp. | 74,159 | 10,257,673 |
Total | 42,185,719 | |
Life Sciences Tools & Services 1.4% | ||
Thermo Fisher Scientific, Inc. | 67,899 | 22,058,348 |
Pharmaceuticals 7.2% | ||
Johnson & Johnson | 359,712 | 52,471,190 |
Merck & Co., Inc. | 194,315 | 17,672,949 |
Novartis AG, Registered Shares | 37,432 | 3,544,421 |
Pfizer, Inc. | 780,323 | 30,573,055 |
Roche Holding AG, Genusschein Shares | 21,619 | 7,026,236 |
Total | 111,287,851 | |
Total Health Care | 268,757,627 | |
Industrials 16.3% | ||
Aerospace & Defense 4.5% | ||
Lockheed Martin Corp. | 43,682 | 17,008,897 |
Northrop Grumman Corp. | 89,049 | 30,630,185 |
United Technologies Corp. | 151,319 | 22,661,533 |
Total | 70,300,615 | |
Building Products 1.2% | ||
Johnson Controls International PLC | 443,367 | 18,049,471 |
Electrical Equipment 1.2% | ||
Eaton Corp. PLC | 198,740 | 18,824,653 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Industrial Conglomerates 2.9% | ||
3M Co. | 78,334 | 13,819,684 |
Honeywell International, Inc. | 176,369 | 31,217,313 |
Total | 45,036,997 | |
Machinery 3.9% | ||
Illinois Tool Works, Inc. | 147,067 | 26,417,645 |
Ingersoll-Rand PLC | 122,060 | 16,224,215 |
Stanley Black & Decker, Inc. | 106,823 | 17,704,844 |
Total | 60,346,704 | |
Professional Services 0.8% | ||
Equifax, Inc. | 93,716 | 13,131,486 |
Road & Rail 1.8% | ||
Canadian National Railway Co. | 95,585 | 8,645,663 |
Union Pacific Corp. | 111,777 | 20,208,164 |
Total | 28,853,827 | |
Total Industrials | 254,543,753 | |
Information Technology 9.2% | ||
IT Services 5.9% | ||
Accenture PLC, Class A | 201,949 | 42,524,401 |
Cognizant Technology Solutions Corp., Class A | 96,193 | 5,965,890 |
Fidelity National Information Services, Inc. | 147,129 | 20,464,173 |
Fiserv, Inc.(a) | 203,064 | 23,480,290 |
Total | 92,434,754 | |
Semiconductors & Semiconductor Equipment 3.3% | ||
Analog Devices, Inc. | 83,893 | 9,969,844 |
NXP Semiconductors NV | 56,334 | 7,169,065 |
Texas Instruments, Inc. | 260,625 | 33,435,581 |
Total | 50,574,490 | |
Total Information Technology | 143,009,244 | |
Materials 4.0% | ||
Chemicals 4.0% | ||
Corteva, Inc. | 60,820 | 1,797,839 |
DuPont de Nemours, Inc. | 190,295 | 12,216,939 |
PPG Industries, Inc. | 228,713 | 30,530,898 |
Sherwin-Williams Co. (The) | 29,777 | 17,376,071 |
Total | 61,921,747 | |
Total Materials | 61,921,747 |
Variable Portfolio Funds | Annual Report 2019 | 135 |
CTIVP® – MFS® Value Fund, December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Real Estate 0.3% | ||
Equity Real Estate Investment Trusts (REITS) 0.3% | ||
Public Storage | 24,649 | 5,249,251 |
Total Real Estate | 5,249,251 | |
Utilities 6.0% | ||
Electric Utilities 6.0% | ||
Duke Energy Corp. | 382,839 | 34,918,745 |
FirstEnergy Corp. | 439,879 | 21,378,119 |
Southern Co. (The) | 454,118 | 28,927,317 |
Xcel Energy, Inc. | 117,418 | 7,454,869 |
Total | 92,679,050 | |
Total Utilities | 92,679,050 | |
Total Common Stocks (Cost $1,048,407,545) | 1,542,368,321 | |
Money Market Funds 1.1% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(b),(c) | 16,906,901 | 16,905,211 |
Total Money Market Funds (Cost $16,905,492) | 16,905,211 | |
Total Investments in Securities (Cost: $1,065,313,037) | 1,559,273,532 | |
Other Assets & Liabilities, Net | (1,698,193) | |
Net Assets | 1,557,575,339 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | ||||||||
17,817,869 | 450,890,444 | (451,801,412) | 16,906,901 | (2,930) | (281) | 271,933 | 16,905,211 |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
136 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – MFS® Value Fund, December 31, 2019
Foreign equity securities actively traded in markets where there is a significant delay in the local close relative to the New York Stock Exchange are classified as Level 2. The values of these securities may include an adjustment to reflect the impact of significant market movements following the close of local trading, as described in Note 2 to the financial statements – Security valuation.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 52,771,583 | — | — | 52,771,583 |
Consumer Discretionary | 19,288,601 | — | — | 19,288,601 |
Consumer Staples | 62,443,613 | 61,374,409 | — | 123,818,022 |
Energy | 51,977,259 | — | — | 51,977,259 |
Financials | 468,352,184 | — | — | 468,352,184 |
Health Care | 258,186,970 | 10,570,657 | — | 268,757,627 |
Industrials | 254,543,753 | — | — | 254,543,753 |
Information Technology | 143,009,244 | — | — | 143,009,244 |
Materials | 61,921,747 | — | — | 61,921,747 |
Real Estate | 5,249,251 | — | — | 5,249,251 |
Utilities | 92,679,050 | — | — | 92,679,050 |
Total Common Stocks | 1,470,423,255 | 71,945,066 | — | 1,542,368,321 |
Money Market Funds | 16,905,211 | — | — | 16,905,211 |
Total Investments in Securities | 1,487,328,466 | 71,945,066 | — | 1,559,273,532 |
Variable Portfolio Funds | Annual Report 2019 | 137 |
CTIVP® – Morgan Stanley Advantage Fund, December 31, 2019
Common Stocks 97.7% | ||
Issuer | Shares | Value ($) |
Communication Services 16.2% | ||
Entertainment 7.7% | ||
Spotify Technology SA(a) | 614,725 | 91,932,124 |
Walt Disney Co. (The) | 621,816 | 89,933,248 |
Total | 181,865,372 | |
Interactive Media & Services 8.5% | ||
Alphabet, Inc., Class C(a) | 49,906 | 66,725,320 |
Facebook, Inc., Class A(a) | 183,532 | 37,669,943 |
Twitter, Inc.(a) | 3,021,985 | 96,854,619 |
Total | 201,249,882 | |
Total Communication Services | 383,115,254 | |
Consumer Discretionary 13.0% | ||
Hotels, Restaurants & Leisure 2.0% | ||
Starbucks Corp. | 546,520 | 48,050,038 |
Internet & Direct Marketing Retail 9.4% | ||
Amazon.com, Inc.(a) | 89,486 | 165,355,811 |
MercadoLibre, Inc.(a) | 100,696 | 57,592,070 |
Total | 222,947,881 | |
Textiles, Apparel & Luxury Goods 1.6% | ||
LVMH Moet Hennessy Louis Vuitton SE | 78,777 | 36,706,451 |
Total Consumer Discretionary | 307,704,370 | |
Consumer Staples 1.6% | ||
Personal Products 1.6% | ||
Estee Lauder Companies, Inc. (The), Class A | 180,848 | 37,352,346 |
Total Consumer Staples | 37,352,346 | |
Financials 4.5% | ||
Capital Markets 4.5% | ||
CME Group, Inc. | 172,449 | 34,613,963 |
Intercontinental Exchange, Inc. | 377,770 | 34,962,613 |
S&P Global, Inc. | 138,155 | 37,723,223 |
Total | 107,299,799 | |
Total Financials | 107,299,799 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Health Care 13.7% | ||
Health Care Equipment & Supplies 7.3% | ||
Danaher Corp. | 267,878 | 41,113,915 |
Intuitive Surgical, Inc.(a) | 222,998 | 131,825,268 |
Total | 172,939,183 | |
Health Care Technology 3.6% | ||
Veeva Systems Inc., Class A(a) | 594,814 | 83,666,537 |
Pharmaceuticals 2.8% | ||
Zoetis, Inc. | 502,018 | 66,442,083 |
Total Health Care | 323,047,803 | |
Industrials 11.8% | ||
Aerospace & Defense 1.3% | ||
HEICO Corp., Class A | 353,640 | 31,661,389 |
Commercial Services & Supplies 4.7% | ||
Copart, Inc.(a) | 432,626 | 39,343,008 |
Rollins, Inc. | 1,033,042 | 34,255,673 |
Waste Management, Inc. | 316,983 | 36,123,383 |
Total | 109,722,064 | |
Industrial Conglomerates 1.5% | ||
Roper Technologies, Inc. | 102,194 | 36,200,181 |
Professional Services 1.6% | ||
Verisk Analytics, Inc. | 257,585 | 38,467,744 |
Road & Rail 2.7% | ||
Union Pacific Corp. | 354,265 | 64,047,569 |
Total Industrials | 280,098,947 | |
Information Technology 30.2% | ||
Electronic Equipment, Instruments & Components 1.6% | ||
Adyen NV(a) | 45,940 | 37,790,059 |
IT Services 11.1% | ||
Broadridge Financial Solutions, Inc. | 287,633 | 35,534,181 |
Gartner, Inc.(a) | 379,067 | 58,414,225 |
Okta, Inc.(a) | 515,430 | 59,465,159 |
Shopify, Inc., Class A(a) | 216,149 | 85,936,519 |
Twilio, Inc., Class A(a) | 239,373 | 23,525,579 |
Total | 262,875,663 |
138 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – Morgan Stanley Advantage Fund, December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Software 17.5% | ||
Atlassian Corp. PLC, Class A(a) | 288,170 | 34,678,378 |
Autodesk, Inc.(a) | 218,267 | 40,043,264 |
Coupa Software, Inc.(a) | 424,357 | 62,062,211 |
Intuit, Inc. | 140,221 | 36,728,086 |
ServiceNow, Inc.(a) | 466,909 | 131,817,749 |
Workday, Inc., Class A(a) | 654,693 | 107,664,264 |
Total | 412,993,952 | |
Total Information Technology | 713,659,674 | |
Materials 6.7% | ||
Chemicals 5.2% | ||
Ecolab, Inc. | 631,783 | 121,927,801 |
Containers & Packaging 1.5% | ||
Ball Corp. | 556,753 | 36,005,217 |
Total Materials | 157,933,018 | |
Total Common Stocks (Cost $1,920,441,406) | 2,310,211,211 | |
Money Market Funds 2.2% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(b),(c) | 50,987,032 | 50,981,933 |
Total Money Market Funds (Cost $50,982,496) | 50,981,933 | |
Total Investments in Securities (Cost: $1,971,423,902) | 2,361,193,144 | |
Other Assets & Liabilities, Net | 3,194,009 | |
Net Assets | 2,364,387,153 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | ||||||||
48,921,503 | 836,175,843 | (834,110,314) | 50,987,032 | 2,954 | (563) | 1,370,659 | 50,981,933 |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Variable Portfolio Funds | Annual Report 2019 | 139 |
CTIVP® – Morgan Stanley Advantage Fund, December 31, 2019
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 383,115,254 | — | — | 383,115,254 |
Consumer Discretionary | 270,997,919 | 36,706,451 | — | 307,704,370 |
Consumer Staples | 37,352,346 | — | — | 37,352,346 |
Financials | 107,299,799 | — | — | 107,299,799 |
Health Care | 323,047,803 | — | — | 323,047,803 |
Industrials | 280,098,947 | — | — | 280,098,947 |
Information Technology | 675,869,615 | 37,790,059 | — | 713,659,674 |
Materials | 157,933,018 | — | — | 157,933,018 |
Total Common Stocks | 2,235,714,701 | 74,496,510 | — | 2,310,211,211 |
Money Market Funds | 50,981,933 | — | — | 50,981,933 |
Total Investments in Securities | 2,286,696,634 | 74,496,510 | — | 2,361,193,144 |
140 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – T. Rowe Price Large Cap Value Fund, December 31, 2019
Common Stocks 96.6% | ||
Issuer | Shares | Value ($) |
Communication Services 5.6% | ||
Diversified Telecommunication Services 1.9% | ||
Verizon Communications, Inc. | 641,011 | 39,358,076 |
Entertainment 0.8% | ||
Walt Disney Co. (The) | 108,186 | 15,646,941 |
Media 2.9% | ||
Comcast Corp., Class A | 557,345 | 25,063,805 |
Fox Corp., Class B | 555,720 | 20,228,208 |
News Corp., Class A | 936,925 | 13,248,119 |
Total | 58,540,132 | |
Total Communication Services | 113,545,149 | |
Consumer Discretionary 2.6% | ||
Auto Components 0.7% | ||
Magna International, Inc. | 249,799 | 13,698,977 |
Hotels, Restaurants & Leisure 1.5% | ||
Carnival Corp. | 331,177 | 16,833,727 |
Las Vegas Sands Corp. | 193,199 | 13,338,459 |
Total | 30,172,186 | |
Leisure Products 0.2% | ||
Mattel, Inc.(a) | 278,785 | 3,777,537 |
Multiline Retail 0.2% | ||
Kohl’s Corp. | 108,056 | 5,505,453 |
Total Consumer Discretionary | 53,154,153 | |
Consumer Staples 8.8% | ||
Beverages 0.7% | ||
PepsiCo, Inc. | 94,764 | 12,951,396 |
Food & Staples Retailing 1.2% | ||
Walmart, Inc. | 207,598 | 24,670,946 |
Food Products 4.1% | ||
Bunge Ltd. | 295,963 | 17,032,671 |
ConAgra Foods, Inc. | 520,250 | 17,813,360 |
Tyson Foods, Inc., Class A | 523,328 | 47,643,781 |
Total | 82,489,812 | |
Household Products 1.4% | ||
Kimberly-Clark Corp. | 209,648 | 28,837,082 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Tobacco 1.4% | ||
Philip Morris International, Inc. | 340,594 | 28,981,144 |
Total Consumer Staples | 177,930,380 | |
Energy 8.4% | ||
Oil, Gas & Consumable Fuels 8.4% | ||
EQT Corp. | 269,233 | 2,934,640 |
Equitrans Midstream Corp. | 188,387 | 2,516,850 |
Exxon Mobil Corp. | 458,045 | 31,962,380 |
Occidental Petroleum Corp. | 588,013 | 24,232,016 |
Pioneer Natural Resources Co. | 114,498 | 17,331,562 |
TC Energy Corp. | 697,010 | 37,157,603 |
Total SA, ADR | 949,866 | 52,527,590 |
Total | 168,662,641 | |
Total Energy | 168,662,641 | |
Financials 23.8% | ||
Banks 11.6% | ||
Citigroup, Inc. | 148,510 | 11,864,464 |
Fifth Third Bancorp | 1,097,929 | 33,750,338 |
JPMorgan Chase & Co. | 555,186 | 77,392,928 |
Signature Bank | 87,486 | 11,951,462 |
U.S. Bancorp | 397,145 | 23,546,727 |
Wells Fargo & Co. | 1,408,284 | 75,765,679 |
Total | 234,271,598 | |
Capital Markets 4.4% | ||
Charles Schwab Corp. (The) | 265,000 | 12,603,400 |
Franklin Resources, Inc. | 309,831 | 8,049,409 |
Morgan Stanley | 919,349 | 46,997,121 |
State Street Corp. | 260,000 | 20,566,000 |
Total | 88,215,930 | |
Diversified Financial Services 0.7% | ||
AXA Equitable Holdings, Inc. | 546,425 | 13,540,412 |
Insurance 7.1% | ||
American International Group, Inc. | 887,301 | 45,545,160 |
Chubb Ltd. | 277,540 | 43,201,877 |
Loews Corp. | 86,841 | 4,558,284 |
Variable Portfolio Funds | Annual Report 2019 | 141 |
CTIVP® – T. Rowe Price Large Cap Value Fund, December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Marsh & McLennan Companies, Inc. | 238,681 | 26,591,450 |
MetLife, Inc. | 471,018 | 24,007,788 |
Total | 143,904,559 | |
Total Financials | 479,932,499 | |
Health Care 14.1% | ||
Biotechnology 1.8% | ||
AbbVie, Inc. | 233,900 | 20,709,506 |
Gilead Sciences, Inc. | 224,033 | 14,557,665 |
Total | 35,267,171 | |
Health Care Equipment & Supplies 4.9% | ||
Becton Dickinson and Co. | 66,362 | 18,048,473 |
Hologic, Inc.(a) | 348,838 | 18,212,832 |
Medtronic PLC | 412,884 | 46,841,690 |
Zimmer Biomet Holdings, Inc. | 109,522 | 16,393,253 |
Total | 99,496,248 | |
Health Care Providers & Services 1.8% | ||
CVS Health Corp. | 480,142 | 35,669,749 |
Life Sciences Tools & Services 0.5% | ||
Thermo Fisher Scientific, Inc. | 33,223 | 10,793,156 |
Pharmaceuticals 5.1% | ||
Johnson & Johnson | 310,528 | 45,296,719 |
Merck & Co., Inc. | 126,413 | 11,497,262 |
Perrigo Co. PLC | 274,897 | 14,201,179 |
Pfizer, Inc. | 785,986 | 30,794,932 |
Total | 101,790,092 | |
Total Health Care | 283,016,416 | |
Industrials 11.2% | ||
Aerospace & Defense 2.4% | ||
Boeing Co. (The) | 86,694 | 28,241,437 |
Raytheon Co. | 94,248 | 20,710,056 |
Total | 48,951,493 | |
Air Freight & Logistics 1.8% | ||
United Parcel Service, Inc., Class B | 307,675 | 36,016,435 |
Airlines 1.1% | ||
Southwest Airlines Co. | 421,402 | 22,747,280 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Building Products 1.4% | ||
Fortune Brands Home & Security, Inc. | 215,735 | 14,096,125 |
Johnson Controls International PLC | 340,420 | 13,858,498 |
Total | 27,954,623 | |
Commercial Services & Supplies 0.5% | ||
Stericycle, Inc.(a) | 160,591 | 10,247,312 |
Industrial Conglomerates 2.5% | ||
General Electric Co. | 4,558,331 | 50,870,974 |
Machinery 0.9% | ||
Illinois Tool Works, Inc. | 96,033 | 17,250,408 |
Professional Services 0.6% | ||
Nielsen Holdings PLC | 564,751 | 11,464,445 |
Total Industrials | 225,502,970 | |
Information Technology 9.8% | ||
Communications Equipment 1.4% | ||
Cisco Systems, Inc. | 599,442 | 28,749,238 |
Electronic Equipment, Instruments & Components 0.7% | ||
TE Connectivity Ltd. | 146,123 | 14,004,428 |
IT Services 0.5% | ||
Cognizant Technology Solutions Corp., Class A | 146,229 | 9,069,123 |
Semiconductors & Semiconductor Equipment 5.1% | ||
Applied Materials, Inc. | 491,513 | 30,001,954 |
NXP Semiconductors NV | 56,000 | 7,126,560 |
QUALCOMM, Inc. | 472,608 | 41,698,204 |
Texas Instruments, Inc. | 180,877 | 23,204,710 |
Total | 102,031,428 | |
Software 2.1% | ||
Microsoft Corp. | 272,280 | 42,938,556 |
Total Information Technology | 196,792,773 | |
Materials 3.6% | ||
Chemicals 2.4% | ||
CF Industries Holdings, Inc. | 407,135 | 19,436,625 |
Dow, Inc. | 192,563 | 10,538,973 |
DuPont de Nemours, Inc. | 283,451 | 18,197,554 |
Total | 48,173,152 |
142 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – T. Rowe Price Large Cap Value Fund, December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Containers & Packaging 1.2% | ||
International Paper Co. | 528,788 | 24,350,687 |
Total Materials | 72,523,839 | |
Real Estate 2.2% | ||
Equity Real Estate Investment Trusts (REITS) 2.2% | ||
SL Green Realty Corp. | 181,450 | 16,671,626 |
Weyerhaeuser Co. | 879,793 | 26,569,748 |
Total | 43,241,374 | |
Total Real Estate | 43,241,374 | |
Utilities 6.5% | ||
Electric Utilities 5.5% | ||
Edison International | 314,913 | 23,747,589 |
Evergy, Inc. | 161,207 | 10,492,964 |
NextEra Energy, Inc. | 110,034 | 26,645,834 |
Southern Co. (The) | 778,099 | 49,564,906 |
Total | 110,451,293 | |
Multi-Utilities 1.0% | ||
CenterPoint Energy, Inc. | 432,750 | 11,801,092 |
Sempra Energy | 58,937 | 8,927,777 |
Total | 20,728,869 | |
Total Utilities | 131,180,162 | |
Total Common Stocks (Cost $1,648,919,510) | 1,945,482,356 |
Convertible Preferred Stocks 1.5% | |||
Issuer | Shares | Value ($) | |
Health Care 0.2% | |||
Health Care Equipment & Supplies 0.2% | |||
Becton Dickinson and Co. | 6.125% | 74,448 | 4,871,364 |
Total Health Care | 4,871,364 | ||
Utilities 1.3% | |||
Electric Utilities 0.4% | |||
Southern Co. (The) | 6.750% | 158,711 | 8,545,001 |
Multi-Utilities 0.9% | |||
Sempra Energy | 6.000% | 116,592 | 13,996,363 |
Sempra Energy | 6.750% | 29,654 | 3,535,350 |
Total | 17,531,713 | ||
Total Utilities | 26,076,714 | ||
Total Convertible Preferred Stocks (Cost $26,337,062) | 30,948,078 |
Money Market Funds 1.7% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(b),(c) | 33,927,495 | 33,924,102 |
Total Money Market Funds (Cost $33,926,183) | 33,924,102 | |
Total Investments in Securities (Cost: $1,709,182,755) | 2,010,354,536 | |
Other Assets & Liabilities, Net | 4,883,355 | |
Net Assets | 2,015,237,891 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | ||||||||
46,627,223 | 364,174,303 | (376,874,031) | 33,927,495 | (965) | (2,081) | 936,655 | 33,924,102 |
ADR | American Depositary Receipt |
Variable Portfolio Funds | Annual Report 2019 | 143 |
CTIVP® – T. Rowe Price Large Cap Value Fund, December 31, 2019
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 113,545,149 | — | — | 113,545,149 |
Consumer Discretionary | 53,154,153 | — | — | 53,154,153 |
Consumer Staples | 177,930,380 | — | — | 177,930,380 |
Energy | 168,662,641 | — | — | 168,662,641 |
Financials | 479,932,499 | — | — | 479,932,499 |
Health Care | 283,016,416 | — | — | 283,016,416 |
Industrials | 225,502,970 | — | — | 225,502,970 |
Information Technology | 196,792,773 | — | — | 196,792,773 |
Materials | 72,523,839 | — | — | 72,523,839 |
Real Estate | 43,241,374 | — | — | 43,241,374 |
Utilities | 131,180,162 | — | — | 131,180,162 |
Total Common Stocks | 1,945,482,356 | — | — | 1,945,482,356 |
Convertible Preferred Stocks | ||||
Health Care | — | 4,871,364 | — | 4,871,364 |
Utilities | — | 26,076,714 | — | 26,076,714 |
Total Convertible Preferred Stocks | — | 30,948,078 | — | 30,948,078 |
Money Market Funds | 33,924,102 | — | — | 33,924,102 |
Total Investments in Securities | 1,979,406,458 | 30,948,078 | — | 2,010,354,536 |
144 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – TCW Core Plus Bond Fund, December 31, 2019
Asset-Backed Securities — Non-Agency 5.9% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
AIMCO CLO(a),(b) | ||||
Series 2015-AA Class AR | ||||
3-month USD LIBOR + 0.850% Floor 0.850% 01/15/2028 | 2.851% | 6,750,000 | 6,749,946 | |
BlueMountain CLO Ltd.(a),(b) | ||||
Series 2015-2A Class A1R | ||||
3-month USD LIBOR + 0.930% Floor 0.930% 07/18/2027 | 2.933% | 7,250,000 | 7,251,465 | |
Dryden CLO Ltd.(a),(b) | ||||
Series 2018-71A Class A | ||||
3-month USD LIBOR + 1.150% Floor 1.150% 01/15/2029 | 3.136% | 5,700,000 | 5,700,046 | |
Education Loan Asset-Backed Trust I(a),(b) | ||||
Series 2013-1 Class A2 | ||||
1-month USD LIBOR + 0.800% Floor 0.800% 04/26/2032 | 2.592% | 3,090,000 | 3,065,497 | |
Global SC Finance II SRL(a) | ||||
Series 2014-1A Class A2 | ||||
07/17/2029 | 3.090% | 2,527,709 | 2,540,375 | |
Henderson Receivables LLC(a) | ||||
Series 2014-2A Class A | ||||
01/17/2073 | 3.610% | 2,739,411 | 2,846,582 | |
Higher Education Funding I(a),(b) | ||||
Series 2014-1 Class A | ||||
3-month USD LIBOR + 1.050% Floor 1.050% 05/25/2034 | 2.960% | 2,758,655 | 2,758,646 | |
LCM(a),(b) | ||||
Series 2019A Class AR | ||||
3-month USD LIBOR + 1.240% Floor 1.240% 07/15/2027 | 3.241% | 8,000,000 | 8,001,856 | |
Magnetite XXI Ltd.(a),(b) | ||||
Series 2019-21A Class A | ||||
3-month USD LIBOR + 1.280% Floor 1.280% 04/20/2030 | 3.909% | 6,400,000 | 6,402,330 | |
Navient Student Loan Trust(b) | ||||
Series 2014-1 Class A3 | ||||
1-month USD LIBOR + 0.510% Floor 0.510% 06/25/2031 | 2.302% | 5,827,207 | 5,724,464 | |
Series 2014-2 Class A | ||||
1-month USD LIBOR + 0.640% Floor 0.640% 03/25/2083 | 2.432% | 5,380,812 | 5,306,724 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2014-3 Class A | ||||
1-month USD LIBOR + 0.620% Floor 0.620% 03/25/2083 | 2.412% | 5,673,282 | 5,573,651 | |
Series 2014-4 Class A | ||||
1-month USD LIBOR + 0.620% Floor 0.620% 03/25/2083 | 2.412% | 4,160,462 | 4,060,068 | |
Series 2015-2 Class A3 | ||||
1-month USD LIBOR + 0.570% Floor 0.570% 11/26/2040 | 2.362% | 10,709,763 | 10,542,814 | |
Navient Student Loan Trust(a),(b) | ||||
Series 2016-2 Class A3 | ||||
1-month USD LIBOR + 1.500% 06/25/2065 | 3.292% | 7,950,000 | 8,114,298 | |
Series 2017-3A Class A3 | ||||
1-month USD LIBOR + 1.050% 07/26/2066 | 2.842% | 7,900,000 | 7,875,676 | |
Nelnet Student Loan Trust(a),(b) | ||||
Series 2014-4A Class A2 | ||||
1-month USD LIBOR + 0.950% Floor 0.950% 11/25/2048 | 2.742% | 4,345,000 | 4,259,950 | |
Series 2019-4A Class A | ||||
1-month USD LIBOR + 0.870% Floor 0.870% 09/26/2067 | 2.662% | 6,796,365 | 6,800,223 | |
SLC Student Loan Trust(b) | ||||
Series 2006-1 Class B | ||||
3-month USD LIBOR + 0.210% Floor 0.210% 03/15/2055 | 2.104% | 397,650 | 363,042 | |
SLM Student Loan Trust(a),(b) | ||||
Series 2004-3 Class A6A | ||||
3-month USD LIBOR + 0.550% Floor 0.550% 10/25/2064 | 2.490% | 7,800,000 | 7,663,371 | |
Series 2009-3 Class A | ||||
1-month USD LIBOR + 0.750% Floor 0.750% 01/25/2045 | 2.542% | 5,104,482 | 5,008,423 | |
SLM Student Loan Trust(b) | ||||
Series 2007-3 Class A4 | ||||
3-month USD LIBOR + 0.060% Floor 0.060% 01/25/2022 | 2.000% | 11,753,289 | 11,415,172 |
Variable Portfolio Funds | Annual Report 2019 | 145 |
CTIVP® – TCW Core Plus Bond Fund, December 31, 2019
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2007-7 Class A4 | ||||
3-month USD LIBOR + 0.330% 01/25/2022 | 2.270% | 5,703,332 | 5,539,015 | |
Series 2007-7 Class B | ||||
3-month USD LIBOR + 0.750% Floor 0.750% 10/27/2070 | 2.690% | 1,990,000 | 1,785,965 | |
Series 2008-4 Class A4 | ||||
3-month USD LIBOR + 1.650% Floor 1.650% 07/25/2022 | 3.590% | 1,641,603 | 1,651,629 | |
Series 2008-5 Class B | ||||
3-month USD LIBOR + 1.850% Floor 1.850% 07/25/2073 | 3.790% | 5,860,000 | 5,756,332 | |
Series 2008-6 Class A4 | ||||
3-month USD LIBOR + 1.100% 07/25/2023 | 3.040% | 5,747,755 | 5,708,707 | |
Series 2008-8 Class A4 | ||||
3-month USD LIBOR + 1.500% Floor 1.500% 04/25/2023 | 3.440% | 1,454,026 | 1,459,049 | |
Series 2008-9 Class B | ||||
3-month USD LIBOR + 2.250% Floor 2.250% 10/25/2083 | 4.190% | 5,775,000 | 5,714,126 | |
Wachovia Student Loan Trust(a),(b) | ||||
Series 2006-1 Class A6 | ||||
3-month USD LIBOR + 0.170% Floor 0.170% 04/25/2040 | 2.110% | 12,087,509 | 11,559,422 | |
Total Asset-Backed Securities — Non-Agency (Cost $168,406,865) | 167,198,864 | |||
Commercial Mortgage-Backed Securities - Agency 3.3% | ||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates | ||||
CMO Series K151 Class A3 | ||||
04/25/2030 | 3.511% | 7,010,000 | 7,485,705 | |
Series K155 Class A2 | ||||
11/25/2032 | 3.750% | 14,500,000 | 15,925,447 | |
Series K155 Class A3 | ||||
04/25/2033 | 3.750% | 6,990,000 | 7,709,571 | |
Series S8FX Class A2 | ||||
03/25/2027 | 3.291% | 13,225,000 | 13,788,421 | |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates(c) | ||||
Series K084 Class A2 | ||||
NO INDEX + 0% 10/25/2028 | 3.780% | 7,320,000 | 8,010,881 |
Commercial Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal National Mortgage Association | ||||
08/01/2026 | 2.330% | 6,215,000 | 6,213,532 | |
05/01/2030 | 3.690% | 12,741,000 | 13,838,212 | |
07/01/2032 | 3.270% | 5,615,000 | 5,979,361 | |
11/01/2037 | 3.210% | 7,052,338 | 7,312,019 | |
Series 2001-M2 Class Z2 | ||||
06/25/2031 | 6.300% | 28,138 | 28,170 | |
Federal National Mortgage Association(c) | ||||
Series 2018-M14 Class A2 | ||||
08/25/2028 | 3.578% | 7,000,000 | 7,582,100 | |
Government National Mortgage Association(c),(d) | ||||
CMO Series 2011-121 Class | ||||
06/16/2043 | 0.122% | 4,512,360 | 21,710 | |
CMO Series 2011-78 Class IX | ||||
08/16/2046 | 0.103% | 5,345,025 | 58,958 | |
CMO Series 2012-55 Class | ||||
04/16/2052 | 0.321% | 1,599,174 | 12,324 | |
Government National Mortgage Association(d) | ||||
CMO Series 2012-125 Class IK | ||||
08/16/2052 | 0.561% | 10,426,612 | 72,782 | |
Government National Mortgage Association(b),(d) | ||||
CMO Series 2013-124 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 10/20/2041 | 4.385% | 989,668 | 44,399 | |
Total Commercial Mortgage-Backed Securities - Agency (Cost $92,617,037) | 94,083,592 | |||
Commercial Mortgage-Backed Securities - Non-Agency 0.9% | ||||
BBCMS Mortgage Trust(a) | ||||
Series 2013-TYSN Class A2 | ||||
09/05/2032 | 3.756% | 3,000,000 | 3,016,198 | |
BB-UBS Trust(a) | ||||
Series 2012-SHOW Class A | ||||
11/05/2036 | 3.430% | 2,620,000 | 2,715,271 | |
BX Trust(a) | ||||
Series 2019-OC11 Class A | ||||
12/09/2041 | 3.202% | 1,355,000 | 1,390,777 | |
Commercial Mortgage Trust(a) | ||||
Series 2016-787S Class A | ||||
02/10/2036 | 3.545% | 3,095,000 | 3,244,402 | |
DBJPM Mortgage Trust(a) | ||||
Series 2016-SFC Class A | ||||
08/10/2036 | 2.833% | 3,800,000 | 3,821,520 | |
Hudson Yards Mortgage Trust(a) | ||||
Series 2019-30HY Class A | ||||
07/10/2039 | 3.228% | 2,770,000 | 2,867,815 |
146 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – TCW Core Plus Bond Fund, December 31, 2019
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
JPMorgan Chase Commercial Mortgage Securities Trust(a) | ||||
Series 2019-OSB Class A | ||||
06/05/2039 | 3.397% | 2,720,000 | 2,846,051 | |
RBS Commercial Funding, Inc., Trust(a),(c) | ||||
Series 2013-GSP Class A | ||||
01/15/2032 | 3.834% | 3,035,000 | 3,165,870 | |
VNDO Mortgage Trust(a) | ||||
Series 2012-6AVE Class A | ||||
11/15/2030 | 2.996% | 3,100,000 | 3,155,050 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $26,069,700) | 26,222,954 | |||
Commercial Paper 0.3% | ||||
Issuer | Effective Yield | Principal Amount ($) | Value ($) | |
Automotive 0.3% | ||||
Ford Motor Credit Co. LLC(a) | ||||
10/08/2020 | 3.060% | 8,490,000 | 8,294,034 | |
Total Commercial Paper (Cost $8,284,566) | 8,294,034 |
Common Stocks 0.0% | ||
Issuer | Shares | Value ($) |
Utilities 0.0% | ||
Electric Utilities 0.0% | ||
Homer City Holdings(e) | 32,056 | 203,011 |
Total Utilities | 203,011 | |
Total Common Stocks (Cost $1,930,228) | 203,011 |
Corporate Bonds & Notes 21.9% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Airlines 0.4% | ||||
America West Airlines Pass-Through Trust | ||||
04/02/2021 | 7.100% | 971,630 | 995,935 | |
American Airlines Pass-Through Trust | ||||
01/31/2021 | 5.250% | 1,149,800 | 1,175,641 | |
01/15/2023 | 4.950% | 972,361 | 1,015,684 | |
Continental Airlines Pass-Through Trust | ||||
06/15/2021 | 6.703% | 123,454 | 130,071 | |
04/19/2022 | 5.983% | 7,774,927 | 8,182,811 | |
Total | 11,500,142 | |||
Apartment REIT 0.1% | ||||
Post Apartment Homes LP | ||||
12/01/2022 | 3.375% | 2,315,000 | 2,378,328 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Automotive 1.7% | ||||
Daimler Finance North America LLC(a) | ||||
10/30/2021 | 2.200% | 4,235,000 | 4,239,680 | |
Daimler Finance North America LLC(a),(b) | ||||
3-month USD LIBOR + 0.900% 02/15/2022 | 2.810% | 3,000,000 | 3,022,772 | |
Ford Motor Credit Co. LLC | ||||
01/15/2020 | 8.125% | 1,500,000 | 1,502,854 | |
11/02/2020 | 2.343% | 3,000,000 | 2,990,725 | |
01/15/2021 | 3.200% | 2,850,000 | 2,864,649 | |
03/18/2021 | 3.336% | 1,420,000 | 1,429,919 | |
08/02/2021 | 5.875% | 1,250,000 | 1,308,446 | |
10/12/2021 | 3.813% | 1,955,000 | 1,988,824 | |
01/07/2022 | 5.596% | 6,232,000 | 6,560,672 | |
03/28/2022 | 3.339% | 1,790,000 | 1,805,430 | |
Ford Motor Credit Co. LLC(b) | ||||
3-month USD LIBOR + 0.810% 04/05/2021 | 2.853% | 2,000,000 | 1,990,197 | |
3-month USD LIBOR + 0.880% 10/12/2021 | 2.881% | 2,095,000 | 2,079,030 | |
3-month USD LIBOR + 1.270% 03/28/2022 | 3.231% | 6,300,000 | 6,253,792 | |
3-month USD LIBOR + 1.080% 08/03/2022 | 2.982% | 1,940,000 | 1,911,061 | |
General Motors Co. | ||||
10/02/2023 | 4.875% | 1,320,000 | 1,421,393 | |
General Motors Financial Co., Inc. | ||||
09/25/2021 | 4.375% | 1,000,000 | 1,035,609 | |
11/06/2021 | 4.200% | 5,934,000 | 6,146,597 | |
Total | 48,551,650 | |||
Banking 2.7% | ||||
Bank of America Corp. | ||||
10/19/2020 | 2.625% | 2,000,000 | 2,010,799 | |
Bank of America Corp.(f) | ||||
07/21/2021 | 2.369% | 14,195,000 | 14,224,258 | |
12/20/2023 | 3.004% | 8,937,000 | 9,145,126 | |
Bank of America Corp.(b) | ||||
Subordinated | ||||
3-month USD LIBOR + 0.650% 12/01/2026 | 2.557% | 1,000,000 | 962,762 | |
Global Bank Corp.(a) | ||||
10/20/2021 | 4.500% | 300,000 | 310,222 | |
Goldman Sachs Group, Inc. (The)(f) | ||||
09/29/2025 | 3.272% | 6,325,000 | 6,551,912 | |
JPMorgan Chase & Co.(f) | ||||
06/18/2022 | 3.514% | 3,000,000 | 3,064,306 | |
12/05/2024 | 4.023% | 6,015,000 | 6,415,413 |
Variable Portfolio Funds | Annual Report 2019 | 147 |
CTIVP® – TCW Core Plus Bond Fund, December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Lloyds Banking Group PLC(f) | ||||
03/17/2023 | 2.858% | 4,200,000 | 4,252,777 | |
11/07/2023 | 2.907% | 4,119,000 | 4,179,796 | |
Nationwide Building Society(a),(f) | ||||
04/26/2023 | 3.622% | 1,915,000 | 1,967,729 | |
03/08/2024 | 3.766% | 1,000,000 | 1,035,498 | |
Santander UK Group Holdings PLC | ||||
08/05/2021 | 2.875% | 9,573,000 | 9,672,379 | |
Santander UK Group Holdings PLC(f) | ||||
11/15/2024 | 4.796% | 1,500,000 | 1,616,684 | |
Wells Fargo & Co. | ||||
07/22/2020 | 2.600% | 4,065,000 | 4,080,673 | |
Wells Fargo Bank NA(f) | ||||
09/09/2022 | 2.082% | 5,739,000 | 5,746,116 | |
Total | 75,236,450 | |||
Brokerage/Asset Managers/Exchanges 0.1% | ||||
Raymond James Financial, Inc. | ||||
07/15/2046 | 4.950% | 2,180,000 | 2,578,442 | |
Cable and Satellite 0.5% | ||||
CCO Holdings LLC/Capital Corp.(a) | ||||
06/01/2029 | 5.375% | 1,068,000 | 1,145,591 | |
Charter Communications Operating LLC/Capital | ||||
10/23/2045 | 6.484% | 1,385,000 | 1,724,628 | |
CSC Holdings LLC(a) | ||||
02/01/2028 | 5.375% | 855,000 | 913,700 | |
02/01/2029 | 6.500% | 229,000 | 255,719 | |
Intelsat Jackson Holdings SA(a) | ||||
10/15/2024 | 8.500% | 3,372,000 | 3,075,331 | |
07/15/2025 | 9.750% | 2,323,000 | 2,149,964 | |
Time Warner Cable LLC | ||||
11/15/2040 | 5.875% | 2,480,000 | 2,885,644 | |
09/01/2041 | 5.500% | 850,000 | 954,816 | |
Virgin Media Secured Finance PLC(a) | ||||
08/15/2026 | 5.500% | 1,000,000 | 1,049,467 | |
05/15/2029 | 5.500% | 500,000 | 530,110 | |
Total | 14,684,970 | |||
Chemicals 0.2% | ||||
International Flavors & Fragrances, Inc. | ||||
09/26/2048 | 5.000% | 4,005,000 | 4,517,137 | |
Sasol Financing USA LLC | ||||
03/27/2024 | 5.875% | 925,000 | 1,001,555 | |
Total | 5,518,692 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Consumer Cyclical Services 0.2% | ||||
IHS Markit Ltd.(a) | ||||
11/01/2022 | 5.000% | 1,335,000 | 1,423,807 | |
02/15/2025 | 4.750% | 1,565,000 | 1,712,012 | |
IHS Markit Ltd. | ||||
08/01/2028 | 4.750% | 2,500,000 | 2,788,711 | |
Matthews International Corp.(a) | ||||
12/01/2025 | 5.250% | 706,000 | 707,086 | |
Total | 6,631,616 | |||
Diversified Manufacturing 0.3% | ||||
General Electric Co. | ||||
01/08/2020 | 5.500% | 5,535,000 | 5,538,535 | |
03/15/2032 | 6.750% | 1,725,000 | 2,214,275 | |
01/14/2038 | 5.875% | 517,000 | 625,307 | |
Total | 8,378,117 | |||
Electric 1.8% | ||||
Appalachian Power Co. | ||||
05/15/2033 | 5.950% | 3,225,000 | 4,029,669 | |
Duke Energy Carolinas LLC | ||||
12/15/2041 | 4.250% | 900,000 | 1,028,640 | |
Duquesne Light Holdings, Inc.(a) | ||||
09/15/2020 | 6.400% | 5,350,000 | 5,494,676 | |
Entergy Louisiana LLC | ||||
04/01/2025 | 3.780% | 5,900,000 | 6,219,707 | |
ITC Holdings Corp. | ||||
07/01/2023 | 4.050% | 1,740,000 | 1,820,942 | |
11/15/2027 | 3.350% | 1,000,000 | 1,040,756 | |
Metropolitan Edison Co.(a) | ||||
04/15/2025 | 4.000% | 3,000,000 | 3,152,754 | |
NextEra Energy Capital Holdings, Inc.(b) | ||||
3-month USD LIBOR + 0.480% 05/04/2021 | 2.382% | 14,250,000 | 14,270,959 | |
Northern States Power Co. | ||||
08/15/2045 | 4.000% | 2,250,000 | 2,538,031 | |
PacifiCorp | ||||
07/01/2025 | 3.350% | 2,000,000 | 2,091,112 | |
Pennsylvania Electric Co.(a) | ||||
03/15/2028 | 3.250% | 6,950,000 | 7,135,352 | |
Public Service Co. of Oklahoma | ||||
02/01/2021 | 4.400% | 2,256,000 | 2,311,004 | |
Total | 51,133,602 |
148 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – TCW Core Plus Bond Fund, December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Finance Companies 1.9% | ||||
AerCap Ireland Capital DAC/Global Aviation Trust | ||||
07/01/2020 | 4.250% | 1,780,000 | 1,796,748 | |
05/15/2021 | 4.500% | 3,735,000 | 3,856,552 | |
10/01/2021 | 5.000% | 1,000,000 | 1,046,969 | |
AerCap Ireland Capital Ltd./Global Aviation Trust | ||||
02/01/2022 | 3.950% | 2,000,000 | 2,066,325 | |
Air Lease Corp. | ||||
03/01/2020 | 4.750% | 4,935,000 | 4,955,350 | |
GE Capital International Funding Co. Unlimited Co. | ||||
11/15/2020 | 2.342% | 14,307,000 | 14,312,172 | |
11/15/2035 | 4.418% | 18,107,000 | 19,335,401 | |
Park Aerospace Holdings Ltd.(a) | ||||
03/15/2023 | 4.500% | 4,775,000 | 5,009,762 | |
02/15/2024 | 5.500% | 1,725,000 | 1,896,826 | |
Total | 54,276,105 | |||
Food and Beverage 1.0% | ||||
Anheuser-Busch Companies LLC/InBev Worldwide, Inc. | ||||
02/01/2046 | 4.900% | 2,779,000 | 3,306,083 | |
Bacardi Ltd.(a) | ||||
05/15/2028 | 4.700% | 1,250,000 | 1,363,890 | |
05/15/2048 | 5.300% | 1,500,000 | 1,744,627 | |
Kraft Heinz Foods Co. (The)(a) | ||||
08/01/2039 | 7.125% | 2,284,000 | 2,937,574 | |
10/01/2049 | 4.875% | 3,265,000 | 3,438,648 | |
Kraft Heinz Foods Co. (The) | ||||
06/04/2042 | 5.000% | 4,354,000 | 4,662,259 | |
07/15/2045 | 5.200% | 7,145,000 | 7,785,126 | |
Lamb Weston Holdings, Inc.(a) | ||||
11/01/2024 | 4.625% | 926,000 | 982,575 | |
Post Holdings, Inc.(a) | ||||
12/15/2029 | 5.500% | 1,664,000 | 1,776,415 | |
Total | 27,997,197 | |||
Gaming 0.5% | ||||
Churchill Downs, Inc.(a) | ||||
04/01/2027 | 5.500% | 1,214,000 | 1,286,899 | |
GLP Capital LP/Financing II, Inc. | ||||
11/01/2023 | 5.375% | 2,120,000 | 2,312,166 | |
06/01/2025 | 5.250% | 2,185,000 | 2,400,852 | |
06/01/2028 | 5.750% | 870,000 | 988,297 | |
01/15/2029 | 5.300% | 2,325,000 | 2,584,454 | |
01/15/2030 | 4.000% | 2,120,000 | 2,171,204 | |
MGM Growth Properties Operating Partnership LP/Finance Co-Issuer, Inc. | ||||
05/01/2024 | 5.625% | 1,036,000 | 1,132,342 | |
Total | 12,876,214 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Health Care 2.0% | ||||
Becton Dickinson and Co.(b) | ||||
3-month USD LIBOR + 0.875% 12/29/2020 | 2.836% | 2,998,000 | 2,999,017 | |
Becton Dickinson and Co. | ||||
06/06/2022 | 2.894% | 2,000,000 | 2,033,052 | |
06/06/2024 | 3.363% | 1,380,000 | 1,437,057 | |
CHS/Community Health Systems, Inc.(a) | ||||
01/15/2024 | 8.625% | 402,000 | 426,681 | |
03/15/2026 | 8.000% | 578,000 | 599,488 | |
Cigna Corp. | ||||
07/15/2023 | 3.750% | 4,000,000 | 4,199,053 | |
08/15/2038 | 4.800% | 5,000,000 | 5,829,260 | |
12/15/2048 | 4.900% | 535,000 | 639,055 | |
Cigna Corp.(a) | ||||
10/15/2047 | 3.875% | 1,190,000 | 1,217,642 | |
CVS Health Corp. | ||||
07/20/2045 | 5.125% | 2,090,000 | 2,476,446 | |
03/25/2048 | 5.050% | 9,070,000 | 10,759,311 | |
Encompass Health Corp. | ||||
02/01/2030 | 4.750% | 1,241,000 | 1,290,051 | |
Hartford HealthCare Corp. | ||||
04/01/2044 | 5.746% | 3,000,000 | 3,829,435 | |
HCA, Inc. | ||||
05/01/2023 | 4.750% | 625,000 | 669,483 | |
04/15/2025 | 5.250% | 2,188,000 | 2,451,682 | |
06/15/2039 | 5.125% | 2,000,000 | 2,211,863 | |
06/15/2049 | 5.250% | 3,250,000 | 3,636,779 | |
IQVIA, Inc.(a) | ||||
05/15/2027 | 5.000% | 821,000 | 869,535 | |
NYU Langone Hospitals | ||||
07/01/2042 | 4.428% | 5,936,000 | 6,570,811 | |
Teleflex, Inc. | ||||
11/15/2027 | 4.625% | 752,000 | 797,069 | |
Tenet Healthcare Corp. | ||||
07/15/2024 | 4.625% | 850,000 | 873,379 | |
Tenet Healthcare Corp.(a) | ||||
11/01/2027 | 5.125% | 776,000 | 819,386 | |
Total | 56,635,535 | |||
Healthcare Insurance 0.5% | ||||
Anthem, Inc. | ||||
08/15/2021 | 3.700% | 2,355,000 | 2,409,951 | |
05/15/2022 | 3.125% | 3,000,000 | 3,076,221 | |
12/01/2047 | 4.375% | 1,500,000 | 1,647,293 | |
Humana, Inc. | ||||
08/15/2029 | 3.125% | 2,520,000 | 2,567,997 | |
10/01/2044 | 4.950% | 1,365,000 | 1,606,792 |
Variable Portfolio Funds | Annual Report 2019 | 149 |
CTIVP® – TCW Core Plus Bond Fund, December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Molina Healthcare, Inc. | ||||
11/15/2022 | 5.375% | 1,677,000 | 1,785,064 | |
UnitedHealth Group, Inc. | ||||
01/15/2047 | 4.200% | 1,500,000 | 1,724,087 | |
WellCare Health Plans, Inc. | ||||
04/01/2025 | 5.250% | 530,000 | 552,721 | |
Total | 15,370,126 | |||
Healthcare REIT 0.4% | ||||
HCP, Inc. | ||||
11/15/2023 | 4.250% | 3,354,000 | 3,576,869 | |
08/15/2024 | 3.875% | 2,000,000 | 2,127,154 | |
Ventas Realty LP | ||||
10/15/2026 | 3.250% | 4,095,000 | 4,206,783 | |
Total | 9,910,806 | |||
Independent Energy 0.5% | ||||
Antero Resources Corp. | ||||
12/01/2022 | 5.125% | 1,192,000 | 1,066,760 | |
03/01/2025 | 5.000% | 2,918,000 | 2,198,660 | |
Canadian Natural Resources Ltd. | ||||
06/01/2027 | 3.850% | 1,200,000 | 1,279,660 | |
EQT Corp. | ||||
10/01/2027 | 3.900% | 2,125,000 | 1,977,267 | |
Hess Corp. | ||||
02/15/2041 | 5.600% | 2,000,000 | 2,355,566 | |
Marathon Oil Corp. | ||||
07/15/2023 | 8.125% | 2,000,000 | 2,305,380 | |
Matador Resources Co. | ||||
09/15/2026 | 5.875% | 550,000 | 553,593 | |
Parsley Energy LLC/Finance Corp.(a) | ||||
01/15/2025 | 5.375% | 1,500,000 | 1,545,448 | |
Range Resources Corp. | ||||
05/15/2025 | 4.875% | 1,096,000 | 942,709 | |
Total | 14,225,043 | |||
Life Insurance 0.1% | ||||
Teachers Insurance & Annuity Association of America(a),(f) | ||||
Subordinated | ||||
09/15/2054 | 4.375% | 3,920,000 | 4,076,776 | |
Metals and Mining 0.0% | ||||
Volcan Cia Minera SAA(a) | ||||
02/02/2022 | 5.375% | 150,000 | 156,872 | |
Midstream 1.2% | ||||
Enbridge Energy Partners LP | ||||
10/15/2025 | 5.875% | 2,500,000 | 2,920,344 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Energy Transfer Operating LP | ||||
06/01/2027 | 5.500% | 341,000 | 383,813 | |
Energy Transfer Partners LP | ||||
02/01/2042 | 6.500% | 1,525,000 | 1,813,361 | |
03/15/2045 | 5.150% | 3,048,000 | 3,201,153 | |
EQT Midstream Partners LP | ||||
07/15/2028 | 5.500% | 2,300,000 | 2,259,392 | |
Kinder Morgan Energy Partners LP | ||||
03/15/2035 | 5.800% | 1,000,000 | 1,198,366 | |
Peru LNG Srl(a) | ||||
03/22/2030 | 5.375% | 1,350,000 | 1,332,347 | |
Plains All American Pipeline LP/Finance Corp. | ||||
10/15/2025 | 4.650% | 3,973,000 | 4,256,766 | |
Rockies Express Pipeline LLC(a) | ||||
04/15/2020 | 5.625% | 2,611,000 | 2,631,008 | |
07/15/2029 | 4.950% | 910,000 | 906,626 | |
04/15/2040 | 6.875% | 1,890,000 | 1,974,354 | |
TC PipeLines LP | ||||
05/25/2027 | 3.900% | 4,500,000 | 4,692,151 | |
Williams Companies, Inc. (The) | ||||
11/15/2023 | 4.500% | 2,200,000 | 2,350,053 | |
09/15/2025 | 4.000% | 2,350,000 | 2,491,629 | |
04/15/2040 | 6.300% | 1,000,000 | 1,238,328 | |
Total | 33,649,691 | |||
Office REIT 0.4% | ||||
Boston Properties LP | ||||
05/15/2021 | 4.125% | 1,351,000 | 1,383,026 | |
Piedmont Operating Partnership LP | ||||
06/01/2023 | 3.400% | 4,815,000 | 4,938,736 | |
SL Green Operating Partnership LP | ||||
10/15/2022 | 3.250% | 4,000,000 | 4,099,528 | |
Total | 10,421,290 | |||
Oil Field Services 0.1% | ||||
Transocean Phoenix 2 Ltd.(a) | ||||
10/15/2024 | 7.750% | 499,800 | 529,570 | |
Transocean Pontus Ltd.(a) | ||||
08/01/2025 | 6.125% | 1,119,620 | 1,150,224 | |
Transocean Poseidon Ltd.(a) | ||||
02/01/2027 | 6.875% | 1,227,000 | 1,298,226 | |
Transocean Proteus Ltd.(a) | ||||
12/01/2024 | 6.250% | 392,000 | 404,929 | |
USA Compression Partners LP/Finance Corp. | ||||
09/01/2027 | 6.875% | 684,000 | 714,763 | |
Total | 4,097,712 |
150 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – TCW Core Plus Bond Fund, December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Other REIT 0.1% | ||||
American Campus Communities Operating Partnership LP | ||||
10/01/2020 | 3.350% | 805,000 | 811,301 | |
07/01/2024 | 4.125% | 1,000,000 | 1,068,199 | |
Total | 1,879,500 | |||
Packaging 0.2% | ||||
Berry Global Escrow Corp.(a) | ||||
07/15/2026 | 4.875% | 582,000 | 614,293 | |
OI European Group BV(a) | ||||
03/15/2023 | 4.000% | 135,000 | 136,706 | |
Reynolds Group Issuer, Inc./LLC | ||||
10/15/2020 | 5.750% | 2,907,323 | 2,911,853 | |
Sealed Air Corp.(a) | ||||
12/01/2022 | 4.875% | 1,022,000 | 1,082,278 | |
09/15/2025 | 5.500% | 591,000 | 651,330 | |
Total | 5,396,460 | |||
Paper 0.1% | ||||
WRKCo, Inc. | ||||
03/15/2029 | 4.900% | 1,460,000 | 1,661,415 | |
Pharmaceuticals 1.5% | ||||
AbbVie, Inc. | ||||
11/06/2042 | 4.400% | 1,500,000 | 1,624,299 | |
05/14/2046 | 4.450% | 1,425,000 | 1,537,099 | |
11/14/2048 | 4.875% | 2,100,000 | 2,422,607 | |
AbbVie, Inc.(a) | ||||
11/21/2049 | 4.250% | 6,930,000 | 7,349,838 | |
Allergan Finance LLC | ||||
10/01/2022 | 3.250% | 2,000,000 | 2,045,152 | |
Allergan Funding SCS | ||||
06/15/2024 | 3.850% | 3,057,000 | 3,212,418 | |
03/15/2025 | 3.800% | 1,450,000 | 1,523,323 | |
03/15/2035 | 4.550% | 530,000 | 572,628 | |
Bausch Health Companies, Inc.(a) | ||||
04/01/2026 | 9.250% | 252,000 | 289,600 | |
Bayer US Finance II LLC(a) | ||||
12/15/2028 | 4.375% | 9,405,000 | 10,274,929 | |
06/25/2038 | 4.625% | 2,925,000 | 3,209,942 | |
06/25/2048 | 4.875% | 2,725,000 | 3,129,118 | |
Bayer US Finance LLC(a) | ||||
10/08/2024 | 3.375% | 3,000,000 | 3,087,348 | |
Biogen, Inc. | ||||
09/15/2045 | 5.200% | 2,406,000 | 2,903,407 | |
Total | 43,181,708 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Property & Casualty 0.4% | ||||
Farmers Exchange Capital(a) | ||||
Subordinated | ||||
07/15/2028 | 7.050% | 3,225,000 | 3,949,300 | |
Farmers Exchange Capital II(a),(f) | ||||
Subordinated | ||||
11/01/2053 | 6.151% | 3,810,000 | 4,643,415 | |
Nationwide Mutual Insurance Co.(a),(b) | ||||
Subordinated | ||||
3-month USD LIBOR + 2.290% 12/15/2024 | 4.184% | 2,815,000 | 2,802,529 | |
Total | 11,395,244 | |||
Retailers 0.3% | ||||
Alimentation Couche-Tard, Inc.(a) | ||||
07/26/2022 | 2.700% | 1,365,000 | 1,380,825 | |
Rite Aid Corp.(a) | ||||
04/01/2023 | 6.125% | 2,732,000 | 2,512,122 | |
Walgreens Boots Alliance, Inc. | ||||
06/01/2026 | 3.450% | 1,400,000 | 1,423,732 | |
11/18/2044 | 4.800% | 2,500,000 | 2,541,274 | |
Total | 7,857,953 | |||
Supermarkets 0.1% | ||||
Kroger Co. (The) | ||||
01/15/2049 | 5.400% | 2,750,000 | 3,347,743 | |
Technology 0.4% | ||||
Broadcom Corp./Cayman Finance Ltd. | ||||
01/15/2020 | 2.375% | 3,000,000 | 3,000,141 | |
01/15/2022 | 3.000% | 3,000,000 | 3,044,790 | |
Broadcom, Inc.(a) | ||||
10/15/2022 | 3.125% | 1,500,000 | 1,529,987 | |
NXP BV/Funding LLC(a) | ||||
06/01/2021 | 4.125% | 1,500,000 | 1,537,780 | |
SS&C Technologies, Inc.(a) | ||||
09/30/2027 | 5.500% | 1,067,000 | 1,138,006 | |
Total | 10,250,704 | |||
Tobacco 0.4% | ||||
BAT Capital Corp. | ||||
08/15/2037 | 4.390% | 860,000 | 873,188 | |
08/15/2047 | 4.540% | 6,792,000 | 6,819,459 | |
Reynolds American, Inc. | ||||
05/01/2020 | 6.875% | 1,450,000 | 1,473,016 | |
08/15/2045 | 5.850% | 1,970,000 | 2,255,419 | |
Total | 11,421,082 |
Variable Portfolio Funds | Annual Report 2019 | 151 |
CTIVP® – TCW Core Plus Bond Fund, December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Wireless 1.0% | ||||
Sprint Spectrum Co. I/II/III LLC(a) | ||||
09/20/2021 | 3.360% | 2,894,063 | 2,922,909 | |
03/20/2025 | 4.738% | 7,795,000 | 8,266,428 | |
03/20/2028 | 5.152% | 780,000 | 849,122 | |
T-Mobile U.S.A., Inc. | ||||
03/01/2023 | 6.000% | 2,196,000 | 2,233,593 | |
04/15/2024 | 6.000% | 1,894,000 | 1,962,430 | |
Vodafone Group PLC | ||||
05/30/2048 | 5.250% | 4,000,000 | 4,811,715 | |
06/19/2049 | 4.875% | 4,000,000 | 4,610,693 | |
09/17/2050 | 4.250% | 1,000,000 | 1,049,804 | |
Total | 26,706,694 | |||
Wirelines 0.8% | ||||
AT&T, Inc. | ||||
03/01/2037 | 5.250% | 6,180,000 | 7,395,886 | |
03/01/2039 | 4.850% | 2,796,000 | 3,230,033 | |
06/15/2044 | 4.800% | 4,275,000 | 4,877,526 | |
03/09/2049 | 4.550% | 2,000,000 | 2,221,036 | |
C&W Senior Financing DAC(a) | ||||
09/15/2027 | 6.875% | 480,000 | 513,777 | |
Koninklijke KPN NV | ||||
10/01/2030 | 8.375% | 1,300,000 | 1,805,810 | |
Level 3 Financing, Inc. | ||||
05/01/2025 | 5.375% | 2,500,000 | 2,585,955 | |
Level 3 Financing, Inc.(a) | ||||
09/15/2027 | 4.625% | 496,000 | 508,347 | |
Total | 23,138,370 | |||
Total Corporate Bonds & Notes (Cost $585,151,341) | 616,522,249 | |||
Foreign Government Obligations(g) 1.4% | ||||
Bahrain 0.0% | ||||
Bahrain Government International Bond(a) | ||||
10/12/2028 | 7.000% | 900,000 | 1,064,211 | |
Brazil 0.0% | ||||
Brazilian Government International Bond | ||||
01/13/2028 | 4.625% | 800,000 | 860,571 | |
Chile 0.1% | ||||
Corporación Nacional del Cobre de Chile(a) | ||||
08/01/2027 | 3.625% | 1,200,000 | 1,251,515 | |
Colombia 0.0% | ||||
Colombia Government International Bond | ||||
01/28/2026 | 4.500% | 1,000,000 | 1,089,126 |
Foreign Government Obligations(g) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Croatia 0.0% | ||||
Croatia Government International Bond(a) | ||||
01/26/2024 | 6.000% | 1,025,000 | 1,174,729 | |
Dominican Republic 0.1% | ||||
Dominican Republic International Bond(a) | ||||
07/19/2028 | 6.000% | 1,200,000 | 1,334,675 | |
Egypt 0.0% | ||||
Egypt Government International Bond(a) | ||||
02/21/2023 | 5.577% | 750,000 | 784,472 | |
Indonesia 0.1% | ||||
PT Indonesia Asahan Aluminium Persero(a) | ||||
11/15/2028 | 6.530% | 1,200,000 | 1,474,066 | |
PT Perusahaan Gas Negara Persero Tbk(a) | ||||
05/16/2024 | 5.125% | 1,100,000 | 1,197,318 | |
Total | 2,671,384 | |||
Kazakhstan 0.1% | ||||
KazMunayGas National Co. JSC(a) | ||||
04/24/2030 | 5.375% | 1,600,000 | 1,855,426 | |
Mexico 0.6% | ||||
Banco Nacional de Comercio Exterior SNC(a),(f) | ||||
Subordinated | ||||
08/11/2026 | 3.800% | 300,000 | 303,930 | |
Mexico Government International Bond | ||||
01/11/2028 | 3.750% | 1,250,000 | 1,300,205 | |
Petroleos Mexicanos | ||||
03/13/2027 | 6.500% | 2,715,000 | 2,876,015 | |
09/21/2047 | 6.750% | 3,348,000 | 3,373,628 | |
Petroleos Mexicanos(a) | ||||
01/23/2050 | 7.690% | 8,635,000 | 9,441,591 | |
Total | 17,295,369 | |||
Netherlands 0.0% | ||||
Petrobras Global Finance BV(a) | ||||
01/15/2030 | 5.093% | 529,000 | 567,336 | |
Oman 0.1% | ||||
Oman Government International Bond(a) | ||||
01/17/2028 | 5.625% | 1,350,000 | 1,397,805 | |
Paraguay 0.0% | ||||
Paraguay Government International Bond(a) | ||||
01/25/2023 | 4.625% | 200,000 | 211,512 | |
Peru 0.0% | ||||
Fondo MIVIVIENDA SA(a) | ||||
01/31/2023 | 3.500% | 500,000 | 511,437 |
152 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – TCW Core Plus Bond Fund, December 31, 2019
Foreign Government Obligations(g) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Petroleos del Peru SA(a) | ||||
06/19/2032 | 4.750% | 300,000 | 327,988 | |
Total | 839,425 | |||
Qatar 0.1% | ||||
Qatar Government International Bond(a) | ||||
04/23/2028 | 4.500% | 1,225,000 | 1,403,848 | |
Russian Federation 0.1% | ||||
Russian Foreign Bond - Eurobond(a) | ||||
03/21/2029 | 4.375% | 1,600,000 | 1,781,644 | |
Saudi Arabia 0.1% | ||||
Saudi Arabia Government International Bond(a) | ||||
04/17/2025 | 4.000% | 820,000 | 884,758 | |
Saudi Government International Bond(a) | ||||
10/26/2046 | 4.500% | 540,000 | 599,416 | |
Total | 1,484,174 | |||
South Africa 0.0% | ||||
South Africa Government International Bond | ||||
01/17/2024 | 4.665% | 850,000 | 887,062 | |
Turkey 0.0% | ||||
Turkey Government International Bond | ||||
03/23/2023 | 3.250% | 1,070,000 | 1,027,324 | |
United Arab Emirates 0.0% | ||||
DP World Crescent Ltd.(a) | ||||
09/26/2028 | 4.848% | 740,000 | 812,401 | |
Uruguay 0.0% | ||||
Uruguay Government International Bond | ||||
01/23/2031 | 4.375% | 600,000 | 670,749 | |
Total Foreign Government Obligations (Cost $37,585,403) | 40,464,758 | |||
Inflation-Indexed Bonds 3.3% | ||||
United States 3.3% | ||||
U.S. Treasury Inflation-Indexed Bond | ||||
07/15/2024 | 0.125% | 4,270,211 | 4,296,408 | |
10/15/2024 | 0.125% | 23,466,121 | 23,607,131 | |
07/15/2029 | 0.250% | 30,512,091 | 30,816,470 | |
02/15/2049 | 1.000% | 29,670,282 | 32,992,362 | |
Total | 91,712,371 | |||
Total Inflation-Indexed Bonds (Cost $90,758,242) | 91,712,371 | |||
Municipal Bonds 0.4% | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Local General Obligation 0.3% | ||||
City of New York | ||||
Unlimited General Obligation Bonds | ||||
Build America Bonds | ||||
Series 2009 | ||||
10/01/2031 | 5.206% | 2,400,000 | 2,843,064 | |
Series 2010 | ||||
10/01/2024 | 5.047% | 5,000,000 | 5,486,550 | |
Total | 8,329,614 | |||
Special Non Property Tax 0.1% | ||||
New York City Transitional Finance Authority Future Tax | ||||
Secured Revenue Bonds | ||||
Build America Bonds | ||||
Series 2010 | ||||
08/01/2037 | 5.508% | 2,110,000 | 2,676,809 | |
Total Municipal Bonds (Cost $10,467,843) | 11,006,423 | |||
Residential Mortgage-Backed Securities - Agency 29.9% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal Home Loan Mortgage Corp. | ||||
04/01/2031- 03/01/2047 | 3.000% | 82,849,842 | 84,906,844 | |
12/01/2031- 07/01/2032 | 2.500% | 9,739,943 | 9,870,471 | |
09/01/2032- 03/01/2048 | 3.500% | 144,818,558 | 152,941,281 | |
07/01/2035- 10/01/2048 | 5.000% | 8,711,631 | 9,357,610 | |
04/01/2036- 09/01/2039 | 6.000% | 181,821 | 203,177 | |
06/01/2038- 01/01/2040 | 5.500% | 783,710 | 878,679 | |
03/01/2039- 10/01/2048 | 4.500% | 15,525,895 | 16,582,760 | |
08/01/2044- 01/01/2049 | 4.000% | 32,003,309 | 34,280,398 | |
Federal Home Loan Mortgage Corp.(b) | ||||
CMO Series 2863 Class FM | ||||
1-month USD LIBOR + 0.500% Floor 0.500%, Cap 7.000% 10/15/2031 | 2.240% | 1,258,010 | 1,262,176 | |
Federal Home Loan Mortgage Corp.(b),(d) | ||||
CMO Series 2980 Class SL | ||||
-1.0 x 1-month USD LIBOR + 6.700% Cap 6.700% 11/15/2034 | 4.960% | 290,304 | 61,100 |
Variable Portfolio Funds | Annual Report 2019 | 153 |
CTIVP® – TCW Core Plus Bond Fund, December 31, 2019
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal Home Loan Mortgage Corp.(d) | ||||
CMO Series 4037 Class PI | ||||
04/15/2027 | 3.000% | 559,745 | 31,322 | |
CMO Series 4090 Class EI | ||||
08/15/2022 | 2.500% | 396,217 | 8,212 | |
CMO Series 4093 Class IA | ||||
03/15/2042 | 4.000% | 2,157,500 | 655,958 | |
Federal National Mortgage Association | ||||
12/01/2025- 02/01/2048 | 3.500% | 49,120,054 | 51,245,804 | |
06/01/2032- 11/01/2049 | 3.000% | 41,359,161 | 42,093,813 | |
05/01/2033- 08/01/2039 | 5.000% | 294,611 | 323,148 | |
12/01/2034- 01/01/2035 | 2.500% | 70,590,048 | 71,237,160 | |
11/01/2038- 11/01/2040 | 6.000% | 3,077,382 | 3,529,554 | |
08/01/2043- 07/01/2047 | 4.000% | 52,186,509 | 55,369,944 | |
02/01/2046- 08/01/2048 | 4.500% | 25,473,912 | 26,934,279 | |
CMO Series 2013-13 Class PH | ||||
04/25/2042 | 2.500% | 4,976,741 | 5,073,065 | |
CMO Series 2018-54 Class KA | ||||
01/25/2047 | 3.500% | 6,549,603 | 6,722,049 | |
CMO Series 2018-86 Class JA | ||||
05/25/2047 | 4.000% | 5,165,543 | 5,544,548 | |
CMO Series 2018-94D Class KD | ||||
12/25/2048 | 3.500% | 4,794,153 | 4,861,297 | |
CMO Series 2019-1 Class KP | ||||
02/25/2049 | 3.250% | 9,284,310 | 9,597,793 | |
Federal National Mortgage Association(h) | ||||
01/16/2035- 01/14/2050 | 3.000% | 27,535,000 | 27,928,752 | |
01/13/2044 | 2.500% | 14,100,000 | 13,944,680 | |
01/14/2050 | 5.000% | 2,150,000 | 2,298,484 | |
Federal National Mortgage Association(b),(d) | ||||
CMO Series 2004-94 Class HJ | ||||
-1.0 x 1-month USD LIBOR + 6.700% Cap 6.700% 10/25/2034 | 4.908% | 57,265 | 2,207 | |
CMO Series 2006-8 Class HL | ||||
-1.0 x 1-month USD LIBOR + 6.700% Cap 6.700% 03/25/2036 | 4.908% | 1,279,698 | 232,247 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2013-81 Class NS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 10/25/2042 | 4.408% | 468,801 | 48,762 | |
Federal National Mortgage Association(d) | ||||
CMO Series 2013-45 Class IK | ||||
02/25/2043 | 3.000% | 364,302 | 43,249 | |
Federal National Mortgage Association(b) | ||||
CMO Series 2019-67 Class FE | ||||
1-month USD LIBOR + 0.450% Floor 0.450%, Cap 6.500% 11/25/2049 | 2.242% | 2,015,703 | 2,008,277 | |
Government National Mortgage Association | ||||
08/15/2033- 08/20/2048 | 4.500% | 20,986,601 | 22,198,559 | |
04/15/2035- 10/20/2047 | 5.000% | 10,019,067 | 10,743,339 | |
07/15/2040- 10/20/2048 | 4.000% | 30,562,744 | 31,884,308 | |
04/20/2046- 07/20/2049 | 3.500% | 72,402,622 | 75,015,734 | |
12/20/2046- 10/20/2049 | 3.000% | 40,613,319 | 41,640,198 | |
Government National Mortgage Association(h) | ||||
01/21/2050 | 3.000% | 20,825,000 | 21,395,247 | |
Government National Mortgage Association(i) | ||||
CMO Series 2006-26 Class | ||||
06/20/2036 | 0.000% | 35,209 | 31,485 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $828,653,499) | 842,987,970 | |||
Residential Mortgage-Backed Securities - Non-Agency 6.9% | ||||
Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-Through Certificates(b) | ||||
CMO Series 2005-R8 Class M3 | ||||
1-month USD LIBOR + 0.765% Floor 0.770% 10/25/2035 | 2.557% | 15,086,309 | 14,855,585 | |
Angel Oak Mortgage Trust(a),(c) | ||||
CMO Series 2019-6 Class A1 | ||||
11/25/2059 | 2.620% | 10,578,498 | 10,555,102 | |
Asset-Backed Funding Certificates Trust(b) | ||||
CMO Series 2005-HE1 Class M1 | ||||
1-month USD LIBOR + 0.630% Floor 0.630% 03/25/2035 | 2.422% | 3,341,726 | 3,342,974 | |
Banc of America Funding Trust(b) | ||||
CMO Series 2006-G Class 2A1 | ||||
1-month USD LIBOR + 0.220% Floor 0.220%, Cap 10.500% 07/20/2036 | 2.205% | 1,484,943 | 1,484,387 |
154 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – TCW Core Plus Bond Fund, December 31, 2019
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
BCAP LLC Trust(b) | ||||
CMO Series 2007-AA1 Class 2A1 | ||||
1-month USD LIBOR + 0.180% Floor 0.180% 03/25/2037 | 1.972% | 6,821,823 | 6,507,829 | |
BCAP LLC Trust(a),(c) | ||||
CMO Series 2013-RR5 Class 2A1 | ||||
03/26/2037 | 3.699% | 899,295 | 907,955 | |
CMO Series 2014-RR2 Class 11A1 | ||||
05/26/2037 | 1.965% | 752,794 | 752,887 | |
CIT Mortgage Loan Trust(a),(b) | ||||
CMO Series 2007-1 Class 2A3 | ||||
1-month USD LIBOR + 1.450% Floor 1.450% 10/25/2037 | 3.342% | 4,817,430 | 4,830,943 | |
Citigroup Mortgage Loan Trust, Inc.(a),(b) | ||||
CMO Series 2015-6 Class 1A1 | ||||
1-month USD LIBOR + 0.210% Floor 0.210% 05/20/2047 | 1.934% | 198,589 | 198,363 | |
Citigroup Mortgage Loan Trust, Inc.(a),(c) | ||||
CMO Series 2015-6 Class 2A1 | ||||
12/25/2035 | 2.253% | 1,683,555 | 1,677,067 | |
CitiMortgage Alternative Loan Trust | ||||
CMO Series 2006-A5 Class 1A12 | ||||
10/25/2036 | 6.000% | 1,923,454 | 1,893,404 | |
Countrywide Alternative Loan Trust(b) | ||||
CMO Series 2005-76 Class 1A1 | ||||
1-year MTA + 1.480% Floor 1.480% 01/25/2036 | 3.626% | 4,419,389 | 4,396,075 | |
Countrywide Alternative Loan Trust(c) | ||||
CMO Series 2006-HY12 Class A5 | ||||
08/25/2036 | 3.955% | 7,049,390 | 7,349,510 | |
Credit Suisse First Boston Mortgage Securities Corp.(c) | ||||
CMO Series 2004-AR8 Class 7A1 | ||||
09/25/2034 | 4.307% | 14,156 | 14,085 | |
Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates(c) | ||||
CMO Series 2004-AR5 Class 2A1 | ||||
06/25/2034 | 4.433% | 857,270 | 874,155 | |
Credit Suisse Mortgage Capital Certificates(a),(b) | ||||
CMO Series 2014-6R Class 5A1 | ||||
1-month USD LIBOR + 0.120% Floor 0.120% 07/27/2036 | 1.828% | 274,997 | 274,674 | |
CMO Series 2015-5R Class 2A1 | ||||
1-month USD LIBOR + 0.280% Floor 0.280% 04/27/2047 | 1.924% | 2,489,440 | 2,459,798 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Credit Suisse Mortgage Capital Certificates(a) | ||||
CMO Series 2015-5R Class 1A1 | ||||
09/27/2046 | 3.315% | 3,662,993 | 3,623,670 | |
CSMC Trust(a),(c) | ||||
CMO Series 2018-RPL9 Class A | ||||
09/25/2057 | 3.850% | 11,246,113 | 11,718,431 | |
CWABS Asset-Backed Certificates Trust(b) | ||||
CMO Series 2006-14 Class 2A3 | ||||
1-month USD LIBOR + 0.240% Floor 0.240% 02/25/2037 | 2.032% | 6,328,000 | 6,071,674 | |
First Horizon Alternative Mortgage Securities Trust(c) | ||||
CMO Series 2005-AA10 Class 2A1 | ||||
12/25/2035 | 3.420% | 2,303,257 | 2,074,581 | |
CMO Series 2005-AA7 Class 2A1 | ||||
09/25/2035 | 4.063% | 1,664,765 | 1,604,509 | |
CMO Series 2005-AA8 Class 2A1 | ||||
10/25/2035 | 3.960% | 3,284,736 | 2,709,990 | |
First Horizon Alternative Mortgage Securities Trust | ||||
CMO Series 2006-FA8 Class 1A11 | ||||
02/25/2037 | 6.000% | 1,075,255 | 755,840 | |
GMAC Mortgage Loan Trust(c) | ||||
CMO Series 2005-AR6 Class 2A1 | ||||
11/19/2035 | 3.957% | 1,873,510 | 1,809,635 | |
GS Mortgage-Backed Securities Trust(a) | ||||
CMO Series 2018-RPL1 Class A1A | ||||
10/25/2057 | 3.750% | 11,014,299 | 11,246,513 | |
GSR Mortgage Loan Trust(c) | ||||
CMO Series 2005-AR6 Class 4A5 | ||||
09/25/2035 | 4.520% | 522,597 | 533,564 | |
HarborView Mortgage Loan Trust(b) | ||||
CMO Series 2006-10 Class 1A1A | ||||
1-month USD LIBOR + 0.200% Floor 0.200% 11/19/2036 | 1.964% | 12,809,577 | 11,854,089 | |
IndyMac Index Mortgage Loan Trust(b) | ||||
CMO Series 2006-AR27 Class 1A3 | ||||
1-month USD LIBOR + 0.270% Floor 0.270%, Cap 10.500% 10/25/2036 | 2.062% | 4,944,868 | 3,058,878 | |
JPMorgan Mortgage Acquisition Trust(b) | ||||
CMO Series 2006-FRE1 Class M1 | ||||
1-month USD LIBOR + 0.390% Floor 0.390% 05/25/2035 | 2.182% | 10,000,000 | 9,975,022 | |
Long Beach Mortgage Loan Trust(b) | ||||
CMO Series 2006-10 Class 1A | ||||
1-month USD LIBOR + 0.150% Floor 0.150% 11/25/2036 | 1.942% | 6,085,752 | 4,519,402 |
Variable Portfolio Funds | Annual Report 2019 | 155 |
CTIVP® – TCW Core Plus Bond Fund, December 31, 2019
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Merrill Lynch First Franklin Mortgage Loan Trust(b) | ||||
CMO Series 2007-2 Class A2C | ||||
1-month USD LIBOR + 0.240% Floor 0.240% 05/25/2037 | 2.032% | 4,258,506 | 3,166,111 | |
Merrill Lynch Mortgage-Backed Securities Trust(b) | ||||
CMO Series 2007-2 Class 1A1 | ||||
1-year CMT + 2.400% Floor 2.400% 08/25/2036 | 4.546% | 1,659,494 | 1,640,923 | |
Morgan Stanley Mortgage Loan Trust(b) | ||||
CMO Series 2005-2AR Class A | ||||
1-month USD LIBOR + 0.260% Floor 0.260%, Cap 11.000% 04/25/2035 | 2.052% | 1,278,024 | 1,269,785 | |
MortgageIT Trust(b) | ||||
CMO Series 2005-4 Class A1 | ||||
1-month USD LIBOR + 0.280% Floor 0.280%, Cap 11.500% 10/25/2035 | 2.352% | 3,465,550 | 3,467,478 | |
Nationstar Home Equity Loan Trust(b) | ||||
CMO Series 2006-B Class AV4 | ||||
1-month USD LIBOR + 0.280% Floor 0.280% 09/25/2036 | 2.072% | 4,167,368 | 4,138,752 | |
New Century Home Equity Loan Trust(b) | ||||
CMO Series 2005-1 Class M1 | ||||
1-month USD LIBOR + 0.675% Floor 0.675%, Cap 12.500% 03/25/2035 | 2.467% | 9,738,276 | 9,652,375 | |
Option One Mortgage Loan Trust(b) | ||||
CMO Series 2006-1 Class 1A1 | ||||
1-month USD LIBOR + 0.220% Floor 0.220% 01/25/2036 | 2.012% | 8,076,654 | 7,994,296 | |
RALI Trust(c) | ||||
CMO Series 2005-QA8 Class CB21 | ||||
07/25/2035 | 4.525% | 1,562,192 | 1,202,297 | |
Saxon Asset Securities Trust(b) | ||||
CMO Series 2006-2 Class A2 | ||||
1-month USD LIBOR + 0.130% Floor 0.130% 09/25/2036 | 1.922% | 991,443 | 988,558 | |
Structured Asset Mortgage Investments II Trust(b) | ||||
CMO Series 2006-AR3 Class 12A1 | ||||
1-month USD LIBOR + 0.220% Floor 0.220%, Cap 10.500% 05/25/2036 | 2.232% | 8,782,360 | 8,427,117 | |
WaMu Mortgage Pass-Through Certificates Trust(c) | ||||
CMO Series 2003-AR10 Class A7 | ||||
10/25/2033 | 4.190% | 767,592 | 771,188 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2003-AR9 Class 1A6 | ||||
09/25/2033 | 4.322% | 581,533 | 591,572 | |
CMO Series 2005-AR4 Class A5 | ||||
04/25/2035 | 4.216% | 921,025 | 911,572 | |
CMO Series 2007-HY2 Class 1A1 | ||||
12/25/2036 | 3.804% | 3,203,604 | 3,202,185 | |
WaMu Mortgage Pass-Through Certificates Trust(b) | ||||
CMO Series 2005-AR15 Class A1A1 | ||||
1-month USD LIBOR + 0.260% 11/25/2045 | 2.312% | 3,059,739 | 2,981,554 | |
CMO Series 2006-AR11 Class 1A | ||||
1-year MTA + 0.960% Floor 0.960% 09/25/2046 | 3.106% | 5,587,275 | 5,146,189 | |
CMO Series 2006-AR4 Class 1A1A | ||||
1-year MTA + 0.940% Floor 0.940% 05/25/2046 | 3.086% | 3,873,850 | 3,893,761 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $189,188,245) | 193,376,304 | |||
Senior Loans 0.6% | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Aerospace & Defense 0.0% | ||||
TransDigm, Inc.(b),(j) | ||||
Tranche E Term Loan | ||||
3-month USD LIBOR + 2.500% 05/30/2025 | 4.299% | 692,947 | 694,444 | |
Automotive 0.0% | ||||
Panther BF Aggregator 2 LP(b),(j) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 3.500% 04/30/2026 | 5.305% | 598,500 | 599,625 | |
Cable and Satellite 0.1% | ||||
CSC Holdings LLC(b),(j) | ||||
Term Loan | ||||
3-month USD LIBOR + 2.250% 01/15/2026 | 3.990% | 1,389,500 | 1,389,500 | |
Telenet Financing LLC(b),(j) | ||||
Term Loan | ||||
3-month USD LIBOR + 2.250% 08/15/2026 | 3.990% | 750,000 | 753,593 | |
Total | 2,143,093 |
156 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – TCW Core Plus Bond Fund, December 31, 2019
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Electric 0.0% | ||||
Homer City Generation LP(b),(j) | ||||
Term Loan | ||||
3-month USD LIBOR + 11.000% Floor 1.000% 04/05/2023 | 12.950% | 379,625 | 358,271 | |
Vistra Operations Co., LLC(b),(j) | ||||
Term Loan | ||||
3-month USD LIBOR + 1.750% 12/31/2025 | 3.537% | 100,000 | 100,545 | |
Total | 458,816 | |||
Environmental 0.0% | ||||
Clean Harbors, Inc.(b),(j) | ||||
Term Loan | ||||
3-month USD LIBOR + 1.750% 06/28/2024 | 3.549% | 344,697 | 346,765 | |
Finance Companies 0.1% | ||||
Avolon Borrower 1 LLC(b),(j) | ||||
Tranche B3 Term Loan | ||||
3-month USD LIBOR + 1.750% Floor 0.750% 01/15/2025 | 3.515% | 317,025 | 318,873 | |
Delos Finance SARL(b),(j) | ||||
Term Loan | ||||
3-month USD LIBOR + 1.750% 10/06/2023 | 3.695% | 1,375,500 | 1,380,081 | |
Total | 1,698,954 | |||
Gaming 0.0% | ||||
Caesars Entertainment Operating Co., LLC(b),(j) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 2.000% 10/07/2024 | 3.799% | 326,968 | 328,662 | |
Churchill Downs, Inc.(b),(j) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 2.000% 12/27/2024 | 3.800% | 393,970 | 395,447 | |
Total | 724,109 | |||
Health Care 0.0% | ||||
Gentiva Health Services, Inc.(b),(j) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 3.750% 07/02/2025 | 5.563% | 276,500 | 277,711 | |
IQVIA, Inc./Quintiles IMS(b),(j) | ||||
Tranche B2 Term Loan | ||||
3-month USD LIBOR + 1.750% 01/17/2025 | 3.695% | 443,199 | 444,972 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
MPH Acquisition Holdings LLC(b),(j) | ||||
Term Loan | ||||
3-month USD LIBOR + 2.750% Floor 1.000% 06/07/2023 | 4.695% | 460,553 | 453,396 | |
Total | 1,176,079 | |||
Integrated Energy 0.0% | ||||
PowerTeam Services, LLC(b),(j) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 3.250% Floor 1.000% 03/06/2025 | 5.195% | 1,458,435 | 1,300,924 | |
Packaging 0.1% | ||||
Berry Global, Inc.(b),(j) | ||||
Tranche U Term Loan | ||||
3-month USD LIBOR + 2.500% 07/01/2026 | 4.215% | 746,250 | 747,496 | |
Reynolds Group Holdings, Inc.(b),(j) | ||||
Term Loan | ||||
3-month USD LIBOR + 2.750% Floor 1.000% 02/05/2023 | 4.549% | 1,064,333 | 1,066,834 | |
Total | 1,814,330 | |||
Pharmaceuticals 0.1% | ||||
Bausch Health Companies, Inc.(b),(j) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.000% 06/02/2025 | 4.740% | 1,786,699 | 1,795,632 | |
Restaurants 0.0% | ||||
New Red Finance, Inc./Burger King/Tim Hortons(b),(j) | ||||
Tranche B4 Term Loan | ||||
3-month USD LIBOR + 1.750% 11/19/2026 | 3.549% | 543,492 | 544,031 | |
Technology 0.0% | ||||
SS&C Technologies Holdings, Inc.(b),(j) | ||||
Tranche B3 Term Loan | ||||
3-month USD LIBOR + 2.250% 04/16/2025 | 4.049% | 297,665 | 299,582 | |
Tranche B4 Term Loan | ||||
3-month USD LIBOR + 2.250% 04/16/2025 | 4.049% | 206,386 | 207,715 | |
Total | 507,297 |
Variable Portfolio Funds | Annual Report 2019 | 157 |
CTIVP® – TCW Core Plus Bond Fund, December 31, 2019
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Transportation Services 0.0% | ||||
PODS LLC(b),(j) | ||||
Tranche B4 Term Loan | ||||
3-month USD LIBOR + 2.750% Floor 1.000% 12/06/2024 | 4.490% | 443,201 | 445,002 | |
Wireless 0.1% | ||||
SBA Senior Finance II LLC(b),(j) | ||||
Term Loan | ||||
3-month USD LIBOR + 1.750% 04/11/2025 | 3.550% | 1,433,175 | 1,437,360 | |
Sprint Communications, Inc.(b),(j) | ||||
Term Loan | ||||
3-month USD LIBOR + 2.500% Floor 0.750% 02/02/2024 | 4.313% | 462,861 | 458,348 | |
3-month USD LIBOR + 3.000% Floor 0.750% 02/02/2024 | 4.813% | 247,500 | 246,262 | |
Total | 2,141,970 | |||
Wirelines 0.1% | ||||
Frontier Communications Corp.(b),(j) | ||||
Tranche B1 Term Loan | ||||
3-month USD LIBOR + 3.750% Floor 0.750% 06/15/2024 | 5.550% | 1,745,524 | 1,751,581 | |
Total Senior Loans (Cost $18,207,856) | 18,142,652 | |||
Treasury Bills(k) 1.1% | ||||
Issuer | Effective Yield | Principal Amount ($) | Value ($) | |
Japan 1.0% | ||||
Japan Treasury Discount Bills | ||||
01/14/2020 | (0.140%) | JPY | 3,020,000,000 | 27,795,934 |
Treasury Bills(k) (continued) | ||||
Issuer | Effective Yield | Principal Amount ($) | Value ($) | |
United States 0.1% | ||||
U.S. Treasury Bills | ||||
02/11/2020 | 1.560% | 180,000 | 179,676 | |
U.S. Treasury Bills(l) | ||||
03/19/2020 | 1.460% | 3,356,000 | 3,345,436 | |
Total | 3,525,112 | |||
Total Treasury Bills (Cost $31,584,381) | 31,321,046 | |||
U.S. Treasury Obligations 22.8% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
U.S. Treasury | ||||
10/31/2021 | 1.500% | 40,871,000 | 40,815,122 | |
11/30/2021 | 1.500% | 40,440,000 | 40,386,291 | |
10/31/2024 | 1.500% | 155,380,000 | 154,093,259 | |
11/30/2024 | 1.500% | 178,175,000 | 176,741,249 | |
12/31/2024 | 1.750% | 20,515,000 | 20,582,315 | |
11/15/2029 | 1.750% | 74,616,000 | 73,555,054 | |
11/15/2049 | 2.375% | 137,034,000 | 137,012,588 | |
Total U.S. Treasury Obligations (Cost $646,436,711) | 643,185,878 |
Money Market Funds 3.3% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(m),(n) | 91,952,503 | 91,943,308 |
Total Money Market Funds (Cost $91,944,711) | 91,943,308 | |
Total Investments in Securities (Cost: $2,827,286,628) | 2,876,665,414 | |
Other Assets & Liabilities, Net | (55,776,472) | |
Net Assets | 2,820,888,942 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
3,020,000,000 JPY | 28,265,388 USD | Goldman Sachs | 01/14/2020 | 453,691 | — |
158 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – TCW Core Plus Bond Fund, December 31, 2019
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 2-Year Note | 1,083 | 03/2020 | USD | 233,386,500 | — | (116,555) |
U.S. Treasury 5-Year Note | 2,364 | 03/2020 | USD | 280,392,563 | — | (603,721) |
U.S. Ultra Bond 10-Year Note | 83 | 03/2020 | USD | 11,678,359 | — | (143,083) |
U.S. Ultra Treasury Bond | 147 | 03/2020 | USD | 26,703,469 | — | (818,139) |
Total | — | (1,681,498) |
(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. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At December 31, 2019, the total value of these securities amounted to $349,818,302, which represents 12.40% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of December 31, 2019. |
(c) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of December 31, 2019. |
(d) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
(e) | Non-income producing investment. |
(f) | 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 December 31, 2019. |
(g) | Principal and interest may not be guaranteed by a governmental entity. |
(h) | Represents a security purchased on a when-issued basis. |
(i) | Represents principal only securities which have the right to receive the principal portion only on an underlying pool of mortgage loans. |
(j) | The stated interest rate represents the weighted average interest rate at December 31, 2019 of contracts within the senior loan facility. Interest rates on contracts are primarily determined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. These base lending rates are primarily the London Interbank Offered Rate (“LIBOR”) and other short-term rates. Base lending rates may be subject to a floor or minimum rate. The interest rate for senior loans purchased on a when-issued or delayed delivery basis will be determined upon settlement, therefore no interest rate is disclosed. Senior loans often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, cannot be predicted with accuracy. As a result, remaining maturities of senior loans may be less than the stated maturities. |
(k) | Principal amounts are denominated in United States Dollars unless otherwise noted. |
(l) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(m) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
(n) | As defined in the Investment Company Act of 1940, 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. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | ||||||||
54,660,794 | 2,376,211,650 | (2,338,919,941) | 91,952,503 | 4,870 | (1,403) | 2,251,782 | 91,943,308 |
CMO | Collateralized Mortgage Obligation |
JPY | Japanese Yen |
USD | US Dollar |
Variable Portfolio Funds | Annual Report 2019 | 159 |
CTIVP® – TCW Core Plus Bond Fund, December 31, 2019
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Asset-Backed Securities — Non-Agency | — | 167,198,864 | — | 167,198,864 |
Commercial Mortgage-Backed Securities - Agency | — | 94,083,592 | — | 94,083,592 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 26,222,954 | — | 26,222,954 |
Commercial Paper | — | 8,294,034 | — | 8,294,034 |
Common Stocks | ||||
Utilities | — | 203,011 | — | 203,011 |
Total Common Stocks | — | 203,011 | — | 203,011 |
Corporate Bonds & Notes | — | 616,522,249 | — | 616,522,249 |
Foreign Government Obligations | — | 40,464,758 | — | 40,464,758 |
Inflation-Indexed Bonds | — | 91,712,371 | — | 91,712,371 |
Municipal Bonds | — | 11,006,423 | — | 11,006,423 |
Residential Mortgage-Backed Securities - Agency | — | 842,987,970 | — | 842,987,970 |
Residential Mortgage-Backed Securities - Non-Agency | — | 193,376,304 | — | 193,376,304 |
Senior Loans | — | 18,142,652 | — | 18,142,652 |
Treasury Bills | 3,525,112 | 27,795,934 | — | 31,321,046 |
U.S. Treasury Obligations | 643,185,878 | — | — | 643,185,878 |
Money Market Funds | 91,943,308 | — | — | 91,943,308 |
Total Investments in Securities | 738,654,298 | 2,138,011,116 | — | 2,876,665,414 |
Investments in Derivatives | ||||
Asset | ||||
Forward Foreign Currency Exchange Contracts | — | 453,691 | — | 453,691 |
160 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – TCW Core Plus Bond Fund, December 31, 2019
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Liability | ||||
Futures Contracts | (1,681,498) | — | — | (1,681,498) |
Total | 736,972,800 | 2,138,464,807 | — | 2,875,437,607 |
Variable Portfolio Funds | Annual Report 2019 | 161 |
CTIVP® – Wells Fargo Short Duration Government Fund, December 31, 2019
Asset-Backed Securities — Non-Agency 13.4% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Ford Credit Auto Owner Trust(a) | ||||
Series 2017-1 Class A | ||||
08/15/2028 | 2.620% | 16,831,000 | 17,023,703 | |
Hertz Vehicle Financing II LP(a) | ||||
Series 2016-4A Class A | ||||
07/25/2022 | 2.650% | 6,602,000 | 6,636,923 | |
Series 2019-1A Class A | ||||
03/25/2023 | 3.710% | 20,430,000 | 20,973,622 | |
Navient Private Education Loan Trust(a),(b) | ||||
Series 2014-CTA Class A | ||||
1-month USD LIBOR + 0.700% Floor 0.700% 09/16/2024 | 2.440% | 761,613 | 761,496 | |
Navient Private Education Loan Trust(a) | ||||
Series 2017-A Class A2A | ||||
12/16/2058 | 2.880% | 3,518,000 | 3,556,023 | |
Navient Private Education Refi Loan Trust(a) | ||||
Series 2019-GA Class A | ||||
10/15/2068 | 2.400% | 21,983,000 | 21,879,234 | |
Nelnet Student Loan Trust(b) | ||||
Series 2004-4 Class A5 | ||||
3-month USD LIBOR + 0.160% Floor 0.160% 01/25/2037 | 2.100% | 12,482,849 | 12,194,898 | |
Nelnet Student Loan Trust(a),(b) | ||||
Series 2012-1A Class A | ||||
1-month USD LIBOR + 0.800% Floor 0.800% 12/27/2039 | 2.592% | 7,714,367 | 7,677,062 | |
Series 2016-1A Class A | ||||
1-month USD LIBOR + 0.800% 09/25/2065 | 2.592% | 6,847,101 | 6,866,107 | |
SLC Student Loan Trust(b) | ||||
Series 2010-1 Class A | ||||
3-month USD LIBOR + 0.875% Floor 0.875% 11/25/2042 | 2.785% | 2,606,881 | 2,610,373 | |
SLM Student Loan Trust(a),(b) | ||||
Series 2004-10 Class A7A | ||||
3-month USD LIBOR + 0.750% Floor 0.750% 10/25/2029 | 2.540% | 5,357,000 | 5,329,147 | |
Series 2004-10 Class A7B | ||||
3-month USD LIBOR + 0.750% Floor 0.750% 10/25/2029 | 2.540% | 28,537,000 | 28,420,033 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
SLM Student Loan Trust(b) | ||||
Series 2005-6 Class A6 | ||||
3-month USD LIBOR + 0.140% 10/27/2031 | 2.080% | 2,840,322 | 2,792,844 | |
Series 2012-3 Class A | ||||
1-month USD LIBOR + 0.650% 12/27/2038 | 2.442% | 18,107,067 | 17,803,940 | |
Series 2013-4 Class A | ||||
1-month USD LIBOR + 0.550% 06/25/2043 | 2.342% | 17,802,852 | 17,598,042 | |
SMB Private Education Loan Trust(a) | ||||
Series 2015-A Class A2A | ||||
06/15/2027 | 2.490% | 2,183,549 | 2,187,021 | |
Series 2016-B Class A2A | ||||
02/17/2032 | 2.430% | 116,930 | 116,282 | |
SMB Private Education Loan Trust(a),(b) | ||||
Series 2016-B Class A2B | ||||
1-month USD LIBOR + 1.450% 02/17/2032 | 3.190% | 2,548,202 | 2,567,612 | |
Series 2017-A Class A2B | ||||
1-month USD LIBOR + 0.900% 09/15/2034 | 2.640% | 6,396,071 | 6,390,229 | |
Series 2017-B Class A2B | ||||
1-month USD LIBOR + 0.750% Floor 0.750% 10/15/2035 | 2.490% | 8,359,818 | 8,368,929 | |
SoFi Professional Loan Program LLC(a),(b) | ||||
Series 2016-C Class A1 | ||||
1-month USD LIBOR + 1.100% 10/27/2036 | 2.892% | 877,716 | 881,813 | |
Series 2016-D Class A1 | ||||
1-month USD LIBOR + 0.950% 01/25/2039 | 2.742% | 1,910,760 | 1,919,237 | |
Series 2016-E Class A1 | ||||
1-month USD LIBOR + 0.850% 07/25/2039 | 2.642% | 2,412,876 | 2,416,637 | |
Series 2017-A Class A1 | ||||
1-month USD LIBOR + 0.700% Floor 0.700% 03/26/2040 | 2.492% | 1,220,166 | 1,221,350 | |
Series 2017-C Class A1 | ||||
1-month USD LIBOR + 0.600% 07/25/2040 | 2.392% | 1,447,723 | 1,443,908 | |
SoFi Professional Loan Program LLC(a) | ||||
Series 2017-E Class A2B | ||||
11/26/2040 | 2.720% | 4,104,000 | 4,135,391 |
162 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – Wells Fargo Short Duration Government Fund, December 31, 2019
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
World Financial Network Credit Card Master Trust | ||||
Series 2019-C Class A | ||||
07/15/2026 | 2.210% | 2,690,000 | 2,694,736 | |
Total Asset-Backed Securities — Non-Agency (Cost $206,349,740) | 206,466,592 | |||
Commercial Mortgage-Backed Securities - Agency 0.1% | ||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates(b) | ||||
Series KI02 Class A | ||||
1-month USD LIBOR + 0.200% Floor 0.200% 02/25/2023 | 1.897% | 1,710,170 | 1,709,185 | |
Total Commercial Mortgage-Backed Securities - Agency (Cost $1,710,170) | 1,709,185 | |||
Commercial Mortgage-Backed Securities - Non-Agency 0.4% | ||||
COMM Mortgage Trust | ||||
Series 2013-LC6 Class A3 | ||||
01/10/2046 | 2.666% | 3,481,672 | 3,520,359 | |
DBUBS Mortgage Trust(a) | ||||
Series 2011-LC2A Class A1 | ||||
07/10/2044 | 3.527% | 106,569 | 107,319 | |
GS Mortgage Securities Corp. Trust(a) | ||||
Series 2010-C2 Class A1 | ||||
12/10/2043 | 3.849% | 275,704 | 276,976 | |
GS Mortgage Securities Trust(a) | ||||
Series 2010-C1 Class A1 | ||||
08/10/2043 | 3.679% | 49,998 | 49,961 | |
GS Mortgage Securities Trust | ||||
Series 2012-GCJ7 Class AAB | ||||
05/10/2045 | 2.935% | 1,404,415 | 1,406,811 | |
JPMorgan Chase Commercial Mortgage Securities Trust(a) | ||||
Series 2010-C1 Class A2 | ||||
06/15/2043 | 4.608% | 716,474 | 716,445 | |
Morgan Stanley Capital I Trust(a) | ||||
Series 2011-C2 Class A3 | ||||
06/15/2044 | 4.210% | 81,830 | 81,954 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $6,113,684) | 6,159,825 | |||
Residential Mortgage-Backed Securities - Agency 65.1% | ||||
Federal Home Loan Mortgage Corp. | ||||
11/01/2028 | 2.500% | 48,718,235 | 49,440,607 | |
04/01/2031 | 4.500% | 2,320,409 | 2,494,952 | |
10/01/2033- 01/01/2034 | 4.000% | 1,427,768 | 1,538,292 | |
CMO Series 2010-3653 Class AU | ||||
04/15/2040 | 4.000% | 1,453,767 | 1,557,660 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 3738 Class BP | ||||
12/15/2038 | 4.000% | 4,343,866 | 4,422,721 | |
CMO Series 4239 Class AB | ||||
12/15/2039 | 4.000% | 3,266,016 | 3,328,312 | |
CMO Series 4332 Class GL | ||||
05/15/2039 | 4.000% | 3,819,454 | 3,886,109 | |
CMO Series 4425 Class LA | ||||
07/15/2039 | 4.000% | 4,163,313 | 4,256,401 | |
CMO Series 4426 Class QC | ||||
07/15/2037 | 1.750% | 19,873,808 | 19,636,358 | |
CMO Series 4891 Class PA | ||||
07/15/2048 | 3.500% | 19,586,775 | 19,930,725 | |
Federal Home Loan Mortgage Corp.(b) | ||||
12-month USD LIBOR + 1.842% Cap 8.412% 05/01/2042 | 3.409% | 2,485,068 | 2,554,468 | |
12-month USD LIBOR + 1.650% Cap 7.348% 03/01/2043 | 2.347% | 5,328,517 | 5,370,229 | |
12-month USD LIBOR + 1.569% Floor 1.569%, Cap 7.757% 03/01/2045 | 2.757% | 5,888,743 | 6,008,026 | |
12-month USD LIBOR + 1.638% Floor 1.638%, Cap 7.890% 07/01/2047 | 2.889% | 21,456,531 | 21,720,576 | |
CMO Series 3107 Class FC | ||||
1-month USD LIBOR + 0.300% Floor 0.300%, Cap 7.000% 06/15/2035 | 2.040% | 4,417,156 | 4,419,529 | |
CMO Series 4853 Class FG | ||||
1-month USD LIBOR + 0.400% Floor 0.400%, Cap 6.500% 04/15/2038 | 2.140% | 6,094,351 | 6,091,285 | |
CMO Series 4897 Class F | ||||
1-month USD LIBOR + 0.400% Floor 0.400%, Cap 6.500% 07/15/2049 | 2.140% | 10,933,283 | 10,915,567 | |
Federal Home Loan Mortgage Corp. Structured Pass-Through Securities | ||||
Series T-11 Class A8 | ||||
01/25/2028 | 6.500% | 745,197 | 807,251 | |
Federal National Mortgage Association | ||||
05/01/2028- 11/01/2031 | 2.500% | 107,856,702 | 109,225,250 | |
04/01/2032- 02/01/2034 | 4.000% | 17,672,616 | 18,832,177 | |
10/01/2040- 08/01/2049 | 5.000% | 104,633,703 | 114,754,299 | |
03/01/2049 | 4.500% | 13,982,105 | 14,973,023 | |
06/01/2049 | 5.500% | 24,673,047 | 27,656,284 | |
CMO Series 2009-20 Class DT | ||||
04/25/2039 | 4.500% | 1,931,664 | 2,118,084 |
Variable Portfolio Funds | Annual Report 2019 | 163 |
CTIVP® – Wells Fargo Short Duration Government Fund, December 31, 2019
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2011-14 Class GD | ||||
04/25/2040 | 4.000% | 13,003,507 | 13,403,773 | |
CMO Series 2013-103 Class H | ||||
03/25/2038 | 4.500% | 3,321,033 | 3,418,745 | |
CMO Series 2013-17 Class DC | ||||
03/25/2028 | 2.000% | 2,398,220 | 2,386,150 | |
CMO Series 2013-90 Class A | ||||
11/25/2038 | 4.000% | 3,157,899 | 3,202,607 | |
CMO Series 2015-40 Class TC | ||||
05/25/2037 | 1.750% | 14,240,566 | 14,031,783 | |
CMO Series 2015-57 Class AB | ||||
08/25/2045 | 3.000% | 4,058,157 | 4,165,592 | |
CMO Series 2019-33 Class MA | ||||
07/25/2055 | 3.500% | 17,864,876 | 18,463,603 | |
Federal National Mortgage Association(b) | ||||
12-month USD LIBOR + 1.685% Floor 1.685%, Cap 7.415% 11/01/2042 | 2.415% | 9,932,383 | 10,043,950 | |
12-month USD LIBOR + 1.600% Floor 1.600%, Cap 7.715% 01/01/2045 | 2.715% | 5,115,747 | 5,204,519 | |
12-month USD LIBOR + 1.570% Floor 1.570%, Cap 7.697% 03/01/2045 | 2.697% | 8,631,770 | 8,794,953 | |
12-month USD LIBOR + 1.579% Floor 1.579%, Cap 7.743% 06/01/2045 | 2.743% | 9,339,714 | 9,526,398 | |
12-month USD LIBOR + 1.566% Floor 1.566%, Cap 7.470% 09/01/2045 | 2.470% | 8,597,679 | 8,702,421 | |
12-month USD LIBOR + 1.585% Floor 1.585%, Cap 7.658% 01/01/2046 | 2.658% | 11,110,478 | 11,311,844 | |
12-month USD LIBOR + 1.610% Floor 1.610%, Cap 7.658% 02/01/2046 | 2.658% | 10,056,333 | 10,220,982 | |
12-month USD LIBOR + 1.579% Floor 1.579%, Cap 7.685% 02/01/2046 | 2.685% | 16,104,098 | 16,362,197 | |
12-month USD LIBOR + 1.600% Floor 1.600%, Cap 7.858% 04/01/2046 | 2.858% | 9,754,831 | 9,924,672 | |
12-month USD LIBOR + 1.600% Floor 1.600%, Cap 7.893% 07/01/2046 | 2.893% | 27,893,073 | 28,354,980 | |
12-month USD LIBOR + 1.600% Floor 1.600%, Cap 7.544% 10/01/2046 | 2.544% | 15,828,497 | 16,019,395 | |
12-month USD LIBOR + 1.610% Floor 1.610%, Cap 8.065% 06/01/2047 | 3.065% | 12,738,934 | 12,977,483 | |
12-month USD LIBOR + 1.599% Floor 1.605%, Cap 7.958% 08/01/2047 | 2.958% | 4,934,942 | 5,008,787 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
1-year CMT + 2.042% Floor 2.042%, Cap 9.967% 03/01/2049 | 3.967% | 9,416,739 | 9,785,787 | |
12-month USD LIBOR + 1.620% Floor 1.620%, Cap 7.910% 12/01/2049 | 2.910% | 16,224,000 | 16,442,549 | |
CMO Series 2018-86 Class MF | ||||
1-month USD LIBOR + 0.300% Floor 0.300%, Cap 6.500% 12/25/2048 | 2.092% | 22,727,324 | 22,575,307 | |
CMO Series 2019-13 Class FG | ||||
1-month USD LIBOR + 0.400% Floor 0.400%, Cap 6.500% 04/25/2049 | 2.192% | 9,577,203 | 9,555,721 | |
CMO Series 2019-18 Class FA | ||||
1-month USD LIBOR + 0.450% Floor 0.450%, Cap 6.500% 05/25/2049 | 2.242% | 9,008,210 | 8,990,716 | |
CMO Series 2019-18 Class FB | ||||
1-month USD LIBOR + 0.450% Floor 0.450%, Cap 6.500% 05/25/2049 | 2.242% | 10,684,452 | 10,655,774 | |
CMO Series 2019-18 Class FE | ||||
1-month USD LIBOR + 0.350% Floor 0.350%, Cap 6.500% 05/25/2049 | 2.142% | 18,007,735 | 17,930,406 | |
CMO Series 2019-35 Class FE | ||||
1-month USD LIBOR + 0.350% Floor 0.350%, Cap 6.500% 07/25/2049 | 2.142% | 16,043,294 | 15,967,851 | |
CMO Series 2019-6 Class FA | ||||
1-month USD LIBOR + 0.400% Floor 0.400%, Cap 6.500% 03/25/2049 | 2.192% | 25,167,362 | 25,131,005 | |
CMO Series 2019-60 Class BF | ||||
1-month USD LIBOR + 0.450% Floor 0.450%, Cap 6.500% 10/25/2049 | 2.242% | 18,739,941 | 18,651,792 | |
Government National Mortgage Association | ||||
03/20/2048- 05/20/2049 | 5.000% | 68,728,569 | 74,465,724 | |
02/20/2049- 04/20/2049 | 4.500% | 18,238,776 | 19,410,449 | |
08/20/2049- 10/20/2049 | 5.500% | 23,957,736 | 25,331,073 | |
CMO Series 2017-99 Class DE | ||||
07/20/2045 | 2.500% | 12,217,221 | 12,286,694 | |
CMO Series 2018-154 Class WP | ||||
11/20/2048 | 3.500% | 2,613,857 | 2,695,810 | |
CMO Series 2018-36 Class KC | ||||
02/20/2046 | 3.000% | 9,192,549 | 9,343,823 |
164 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – Wells Fargo Short Duration Government Fund, December 31, 2019
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2019-132 Class NA | ||||
09/20/2049 | 3.500% | 4,170,272 | 4,244,903 | |
Government National Mortgage Association(c) | ||||
CMO Series 2011-137 Class WA | ||||
07/20/2040 | 5.566% | 2,666,033 | 3,025,965 | |
Government National Mortgage Association(b) | ||||
CMO Series 2018-153 Class FQ | ||||
1-month USD LIBOR + 0.300% Floor 0.300%, Cap 6.500% 11/20/2048 | 2.065% | 4,130,754 | 4,113,788 | |
CMO Series 2019-111 Class FK | ||||
1-month USD LIBOR + 0.400% Floor 0.400%, Cap 6.500% 09/20/2036 | 2.165% | 20,471,664 | 20,419,160 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $994,035,267) | 998,487,316 | |||
Residential Mortgage-Backed Securities - Non-Agency 5.2% | ||||
Angel Oak Mortgage Trust I LLC(a),(c) | ||||
CMO Series 2019-2 Class A1 | ||||
03/25/2049 | 3.628% | 5,621,854 | 5,698,982 | |
Bunker Hill Loan Depositary Trust(a),(c) | ||||
CMO Series 2019-1 Class A1 | ||||
10/26/2048 | 3.613% | 5,899,552 | 5,904,668 | |
CMO Series 2019-2 Class A1 | ||||
07/25/2049 | 2.880% | 6,844,522 | 6,799,526 | |
COLT Mortgage Loan Trust(a),(c) | ||||
CMO Series 2018-4 Class A1 | ||||
12/28/2048 | 4.006% | 10,036,981 | 10,077,860 | |
CMO Series 2019-1 Class A1 | ||||
03/25/2049 | 3.705% | 2,442,904 | 2,454,943 | |
GCAT LLC(a) | ||||
CMO Series 2019-NQM1 Class A1 | ||||
02/25/2059 | 2.985% | 6,332,098 | 6,365,749 | |
Verus Securitization Trust(a),(c) | ||||
CMO Series 2018-2 Class A1 | ||||
06/01/2058 | 3.677% | 2,986,876 | 2,993,505 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2019-1 Class A1 | ||||
02/25/2059 | 3.836% | 6,851,907 | 6,922,961 | |
CMO Series 2019-2 Class A1 | ||||
04/25/2059 | 3.211% | 8,303,184 | 8,313,717 | |
CMO Series 2019-4 Class A1 | ||||
11/25/2059 | 2.642% | 6,873,657 | 6,845,621 | |
CMO Series 2019-INV2 Class A1 | ||||
07/25/2059 | 2.913% | 9,815,025 | 9,870,995 | |
CMO Series 2019-INV3 Class A1 | ||||
11/25/2059 | 2.692% | 7,471,867 | 7,472,420 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $79,479,395) | 79,720,947 | |||
U.S. Treasury Obligations 14.9% | ||||
U.S. Treasury | ||||
09/15/2021 | 2.750% | 43,471,000 | 44,304,760 | |
09/30/2021 | 1.125% | 27,407,000 | 27,185,389 | |
11/30/2021 | 1.500% | 26,933,000 | 26,897,230 | |
04/15/2022 | 2.250% | 22,378,000 | 22,708,425 | |
05/15/2022 | 2.125% | 10,783,000 | 10,916,945 | |
10/15/2022 | 1.375% | 33,500,000 | 33,298,477 | |
11/15/2022 | 1.625% | 21,480,000 | 21,495,103 | |
12/15/2022 | 1.625% | 41,374,000 | 41,416,021 | |
Total U.S. Treasury Obligations (Cost $228,088,296) | 228,222,350 |
Money Market Funds 1.0% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(d),(e) | 14,743,485 | 14,742,010 |
Total Money Market Funds (Cost $14,742,010) | 14,742,010 | |
Total Investments in Securities (Cost: $1,530,518,562) | 1,535,508,225 | |
Other Assets & Liabilities, Net | (1,095,341) | |
Net Assets | 1,534,412,884 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 2-Year Note | 2,029 | 03/2020 | USD | 437,249,500 | — | (413,100) |
Variable Portfolio Funds | Annual Report 2019 | 165 |
CTIVP® – Wells Fargo Short Duration Government Fund, December 31, 2019
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 5-Year Note | (999) | 03/2020 | USD | (118,490,766) | 552,235 | — |
(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. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At December 31, 2019, the total value of these securities amounted to $231,725,361, which represents 15.10% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of December 31, 2019. |
(c) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of December 31, 2019. |
(d) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
(e) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | ||||||||
98,752,022 | 2,297,994,457 | (2,382,002,994) | 14,743,485 | 13,206 | — | 906,701 | 14,742,010 |
CMO | Collateralized Mortgage Obligation |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
166 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – Wells Fargo Short Duration Government Fund, December 31, 2019
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Asset-Backed Securities — Non-Agency | — | 206,466,592 | — | 206,466,592 |
Commercial Mortgage-Backed Securities - Agency | — | 1,709,185 | — | 1,709,185 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 6,159,825 | — | 6,159,825 |
Residential Mortgage-Backed Securities - Agency | — | 998,487,316 | — | 998,487,316 |
Residential Mortgage-Backed Securities - Non-Agency | — | 79,720,947 | — | 79,720,947 |
U.S. Treasury Obligations | 228,222,350 | — | — | 228,222,350 |
Money Market Funds | 14,742,010 | — | — | 14,742,010 |
Total Investments in Securities | 242,964,360 | 1,292,543,865 | — | 1,535,508,225 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 552,235 | — | — | 552,235 |
Liability | ||||
Futures Contracts | (413,100) | — | — | (413,100) |
Total | 243,103,495 | 1,292,543,865 | — | 1,535,647,360 |
Variable Portfolio Funds | Annual Report 2019 | 167 |
CTIVP® – Westfield Mid Cap Growth Fund, December 31, 2019
Common Stocks 99.1% | ||
Issuer | Shares | Value ($) |
Communication Services 5.3% | ||
Entertainment 1.7% | ||
Take-Two Interactive Software, Inc.(a) | 79,930 | 9,785,830 |
Interactive Media & Services 1.7% | ||
IAC/InterActiveCorp(a) | 38,880 | 9,685,397 |
Media 1.9% | ||
Altice U.S.A., Inc., Class A(a) | 416,537 | 11,388,121 |
Total Communication Services | 30,859,348 | |
Consumer Discretionary 13.2% | ||
Hotels, Restaurants & Leisure 5.6% | ||
Eldorado Resorts, Inc.(a) | 151,738 | 9,049,654 |
Hilton Worldwide Holdings, Inc. | 143,550 | 15,921,131 |
Yum China Holdings, Inc. | 155,920 | 7,485,719 |
Total | 32,456,504 | |
Household Durables 1.0% | ||
D.R. Horton, Inc. | 111,350 | 5,873,712 |
Multiline Retail 0.4% | ||
Dollar Tree, Inc.(a) | 25,660 | 2,413,323 |
Specialty Retail 3.4% | ||
Ross Stores, Inc. | 88,360 | 10,286,871 |
Ulta Beauty, Inc.(a) | 38,238 | 9,679,568 |
Total | 19,966,439 | |
Textiles, Apparel & Luxury Goods 2.8% | ||
Carter’s, Inc. | 76,978 | 8,416,774 |
VF Corp. | 76,260 | 7,600,072 |
Total | 16,016,846 | |
Total Consumer Discretionary | 76,726,824 | |
Energy 3.8% | ||
Oil, Gas & Consumable Fuels 3.8% | ||
Marathon Petroleum Corp. | 197,454 | 11,896,604 |
Pioneer Natural Resources Co. | 65,930 | 9,979,824 |
Total | 21,876,428 | |
Total Energy | 21,876,428 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Financials 6.1% | ||
Banks 1.7% | ||
Signature Bank | 73,510 | 10,042,201 |
Capital Markets 2.7% | ||
MSCI, Inc. | 27,053 | 6,984,544 |
Tradeweb Markets, Inc., Class A | 186,980 | 8,666,523 |
Total | 15,651,067 | |
Insurance 1.7% | ||
Arthur J Gallagher & Co. | 101,950 | 9,708,698 |
Total Financials | 35,401,966 | |
Health Care 16.3% | ||
Biotechnology 4.6% | ||
Ascendis Pharma A/S ADR(a) | 96,270 | 13,393,082 |
BioMarin Pharmaceutical, Inc.(a) | 89,100 | 7,533,405 |
Medicines Co. (The)(a) | 67,519 | 5,735,064 |
Total | 26,661,551 | |
Health Care Equipment & Supplies 8.5% | ||
Cooper Companies, Inc. (The) | 33,439 | 10,743,616 |
DexCom, Inc.(a) | 61,030 | 13,349,702 |
IDEXX Laboratories, Inc.(a) | 47,505 | 12,404,981 |
Masimo Corp.(a) | 37,040 | 5,854,543 |
STERIS PLC | 47,760 | 7,279,579 |
Total | 49,632,421 | |
Life Sciences Tools & Services 3.2% | ||
ICON PLC(a) | 59,180 | 10,192,572 |
Mettler-Toledo International, Inc.(a) | 10,532 | 8,354,825 |
Total | 18,547,397 | |
Total Health Care | 94,841,369 | |
Industrials 19.2% | ||
Aerospace & Defense 8.4% | ||
L3 Harris Technologies, Inc. | 54,501 | 10,784,113 |
Teledyne Technologies, Inc.(a) | 53,225 | 18,444,591 |
TransDigm Group, Inc. | 35,260 | 19,745,600 |
Total | 48,974,304 |
168 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – Westfield Mid Cap Growth Fund, December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Electrical Equipment 3.2% | ||
AMETEK, Inc. | 115,820 | 11,551,887 |
Rockwell Automation, Inc. | 35,135 | 7,120,810 |
Total | 18,672,697 | |
Machinery 1.8% | ||
Ingersoll-Rand PLC | 79,980 | 10,630,942 |
Professional Services 4.0% | ||
IHS Markit Ltd.(a) | 118,129 | 8,901,020 |
TransUnion | 165,434 | 14,162,805 |
Total | 23,063,825 | |
Road & Rail 1.8% | ||
JB Hunt Transport Services, Inc. | 88,837 | 10,374,385 |
Total Industrials | 111,716,153 | |
Information Technology 30.5% | ||
IT Services 11.2% | ||
Cognizant Technology Solutions Corp., Class A | 157,690 | 9,779,934 |
Fidelity National Information Services, Inc. | 95,322 | 13,258,337 |
Fiserv, Inc.(a) | 93,800 | 10,846,094 |
FleetCor Technologies, Inc.(a) | 29,589 | 8,513,347 |
Global Payments, Inc. | 95,560 | 17,445,434 |
Twilio, Inc., Class A(a) | 53,080 | 5,216,702 |
Total | 65,059,848 | |
Semiconductors & Semiconductor Equipment 4.7% | ||
Applied Materials, Inc. | 148,000 | 9,033,920 |
Microchip Technology, Inc. | 99,640 | 10,434,301 |
Xilinx, Inc. | 83,750 | 8,188,237 |
Total | 27,656,458 | |
Software 12.5% | ||
Fortinet, Inc.(a) | 99,370 | 10,608,741 |
NiCE Ltd., ADR(a) | 57,900 | 8,983,185 |
Palo Alto Networks, Inc.(a) | 47,926 | 11,082,887 |
ServiceNow, Inc.(a) | 33,783 | 9,537,617 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Splunk, Inc.(a) | 88,767 | 13,294,634 |
SS&C Technologies Holdings, Inc. | 131,040 | 8,045,856 |
Zendesk, Inc.(a) | 143,820 | 11,020,927 |
Total | 72,573,847 | |
Technology Hardware, Storage & Peripherals 2.1% | ||
NCR Corp.(a) | 353,490 | 12,428,708 |
Total Information Technology | 177,718,861 | |
Materials 1.6% | ||
Chemicals 1.6% | ||
RPM International, Inc. | 125,470 | 9,631,077 |
Total Materials | 9,631,077 | |
Real Estate 3.1% | ||
Equity Real Estate Investment Trusts (REITS) 3.1% | ||
Alexandria Real Estate Equities, Inc. | 52,880 | 8,544,350 |
SBA Communications Corp. | 38,610 | 9,304,624 |
Total | 17,848,974 | |
Total Real Estate | 17,848,974 | |
Total Common Stocks (Cost $454,961,320) | 576,621,000 | |
Money Market Funds 0.9% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(b),(c) | 4,978,586 | 4,978,088 |
Total Money Market Funds (Cost $4,978,088) | 4,978,088 | |
Total Investments in Securities (Cost: $459,939,408) | 581,599,088 | |
Other Assets & Liabilities, Net | 267,457 | |
Net Assets | 581,866,545 |
Variable Portfolio Funds | Annual Report 2019 | 169 |
CTIVP® – Westfield Mid Cap Growth Fund, December 31, 2019
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | ||||||||
4,575,841 | 217,160,609 | (216,757,864) | 4,978,586 | (317) | — | 308,438 | 4,978,088 |
ADR | American Depositary Receipt |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
170 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – Westfield Mid Cap Growth Fund, December 31, 2019
The following table is a summary of the inputs used to value the Fund’s investments at December 31, 2019:
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 30,859,348 | — | — | 30,859,348 |
Consumer Discretionary | 76,726,824 | — | — | 76,726,824 |
Energy | 21,876,428 | — | — | 21,876,428 |
Financials | 35,401,966 | — | — | 35,401,966 |
Health Care | 94,841,369 | — | — | 94,841,369 |
Industrials | 111,716,153 | — | — | 111,716,153 |
Information Technology | 177,718,861 | — | — | 177,718,861 |
Materials | 9,631,077 | — | — | 9,631,077 |
Real Estate | 17,848,974 | — | — | 17,848,974 |
Total Common Stocks | 576,621,000 | — | — | 576,621,000 |
Money Market Funds | 4,978,088 | — | — | 4,978,088 |
Total Investments in Securities | 581,599,088 | — | — | 581,599,088 |
Variable Portfolio Funds | Annual Report 2019 | 171 |
CTIVP® – William Blair International Leaders Fund, December 31, 2019
Common Stocks 97.6% | ||
Issuer | Shares | Value ($) |
Australia 5.2% | ||
Aristocrat Leisure Ltd. | 505,776 | 11,951,057 |
CSL Ltd. | 120,048 | 23,275,155 |
Macquarie Group Ltd. | 227,836 | 22,064,614 |
Total | 57,290,826 | |
Canada 7.7% | ||
Brookfield Asset Management, Inc., Class A | 443,599 | 25,640,022 |
Canadian National Railway Co. | 279,631 | 25,296,102 |
Dollarama, Inc. | 337,438 | 11,597,442 |
Toronto-Dominion Bank (The) | 375,982 | 21,087,189 |
Total | 83,620,755 | |
China 9.2% | ||
Alibaba Group Holding Ltd., ADR(a) | 160,828 | 34,111,619 |
China Merchants Bank Co., Ltd., Class H | 4,137,500 | 21,271,420 |
NetEase, Inc., ADR | 57,260 | 17,558,206 |
TAL Education Group, ADR(a) | 73,628 | 3,548,870 |
Tencent Holdings Ltd. | 506,600 | 24,406,042 |
Total | 100,896,157 | |
Denmark 6.4% | ||
Coloplast A/S, Class B | 154,463 | 19,162,844 |
DSV PANALPINA A/S | 81,584 | 9,402,823 |
Novo Nordisk A/S, Class B | 365,474 | 21,178,792 |
Ørsted A/S | 192,136 | 19,871,613 |
Total | 69,616,072 | |
Finland 0.4% | ||
Neste OYJ | 134,886 | 4,693,376 |
France 9.1% | ||
Airbus Group SE | 174,034 | 25,542,144 |
Capgemini SE | 152,349 | 18,633,027 |
LVMH Moet Hennessy Louis Vuitton SE | 63,151 | 29,425,455 |
Safran SA | 164,792 | 25,453,667 |
Total | 99,054,293 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Germany 4.6% | ||
Infineon Technologies AG | 781,508 | 17,657,673 |
Rational AG | 16,192 | 12,971,682 |
SAP SE | 146,046 | 19,657,536 |
Total | 50,286,891 | |
Hong Kong 4.3% | ||
AIA Group Ltd. | 3,077,800 | 32,372,197 |
Galaxy Entertainment Group Ltd. | 1,935,000 | 14,244,724 |
Total | 46,616,921 | |
India 2.5% | ||
Housing Development Finance Corp., Ltd. | 510,620 | 17,265,315 |
Reliance Industries Ltd. | 472,289 | 10,018,248 |
Total | 27,283,563 | |
Ireland 1.8% | ||
Kingspan Group PLC | 330,072 | 20,159,663 |
Israel 1.4% | ||
Check Point Software Technologies Ltd.(a) | 137,631 | 15,271,536 |
Italy 0.5% | ||
Ferrari NV | 35,564 | 5,904,892 |
Japan 10.5% | ||
Asahi Intecc Co., Ltd. | 197,900 | 5,794,758 |
Daikin Industries Ltd. | 125,700 | 17,734,992 |
Hoya Corp. | 186,500 | 17,803,671 |
Keyence Corp. | 81,840 | 28,737,181 |
Nitori Co., Ltd. | 60,200 | 9,502,652 |
Shiseido Co., Ltd. | 241,600 | 17,156,014 |
SMC Corp. | 40,300 | 18,429,812 |
Total | 115,159,080 | |
Luxembourg 0.6% | ||
Tenaris SA | 583,354 | 6,609,362 |
Netherlands 3.1% | ||
Adyen NV(a) | 15,909 | 13,086,679 |
Koninklijke Philips NV | 416,024 | 20,336,797 |
Total | 33,423,476 |
172 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – William Blair International Leaders Fund, December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Spain 3.3% | ||
ACS Actividades de Construccion y Servicios SA | 400,032 | 16,046,947 |
Amadeus IT Group SA, Class A | 247,353 | 20,257,411 |
Total | 36,304,358 | |
Sweden 3.8% | ||
Atlas Copco AB, Class A | 580,107 | 23,155,360 |
Hexagon AB, Class B | 332,251 | 18,623,103 |
Total | 41,778,463 | |
Switzerland 7.2% | ||
Lonza Group AG, Registered Shares(a) | 68,154 | 24,863,086 |
Partners Group Holding AG | 21,731 | 19,917,055 |
Sika AG | 87,105 | 16,357,929 |
Temenos AG(a) | 108,685 | 17,192,808 |
Total | 78,330,878 | |
Taiwan 3.2% | ||
Taiwan Semiconductor Manufacturing Co., Ltd. | 3,118,000 | 34,509,493 |
United Kingdom 12.3% | ||
Abcam PLC | 246,544 | 4,415,255 |
Compass Group PLC | 707,686 | 17,735,867 |
Diageo PLC | 420,702 | 17,726,991 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Experian PLC | 707,535 | 23,985,065 |
London Stock Exchange Group PLC | 212,025 | 21,790,247 |
RELX PLC | 822,012 | 20,750,336 |
Segro PLC | 1,571,328 | 18,710,543 |
St. James’s Place PLC | 604,429 | 9,317,118 |
Total | 134,431,422 | |
United States 0.5% | ||
lululemon athletica, Inc.(a) | 24,270 | 5,622,631 |
Total Common Stocks (Cost $902,606,399) | 1,066,864,108 | |
Money Market Funds 2.2% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(b),(c) | 23,671,108 | 23,668,741 |
Total Money Market Funds (Cost $23,668,741) | 23,668,741 | |
Total Investments in Securities (Cost $926,275,140) | 1,090,532,849 | |
Other Assets & Liabilities, Net | 2,689,418 | |
Net Assets | $1,093,222,267 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | ||||||||
23,136,908 | 892,544,992 | (892,010,792) | 23,671,108 | (574) | — | 630,912 | 23,668,741 |
ADR | American Depositary Receipt |
Variable Portfolio Funds | Annual Report 2019 | 173 |
CTIVP® – William Blair International Leaders Fund, December 31, 2019
pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Australia | — | 57,290,826 | — | 57,290,826 |
Canada | 83,620,755 | — | — | 83,620,755 |
China | 55,218,695 | 45,677,462 | — | 100,896,157 |
Denmark | — | 69,616,072 | — | 69,616,072 |
Finland | — | 4,693,376 | — | 4,693,376 |
France | — | 99,054,293 | — | 99,054,293 |
Germany | — | 50,286,891 | — | 50,286,891 |
Hong Kong | — | 46,616,921 | — | 46,616,921 |
India | — | 27,283,563 | — | 27,283,563 |
Ireland | — | 20,159,663 | — | 20,159,663 |
Israel | 15,271,536 | — | — | 15,271,536 |
Italy | — | 5,904,892 | — | 5,904,892 |
Japan | — | 115,159,080 | — | 115,159,080 |
Luxembourg | — | 6,609,362 | — | 6,609,362 |
Netherlands | — | 33,423,476 | — | 33,423,476 |
Spain | — | 36,304,358 | — | 36,304,358 |
Sweden | — | 41,778,463 | — | 41,778,463 |
Switzerland | — | 78,330,878 | — | 78,330,878 |
Taiwan | — | 34,509,493 | — | 34,509,493 |
174 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – William Blair International Leaders Fund, December 31, 2019
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
United Kingdom | — | 134,431,422 | — | 134,431,422 |
United States | 5,622,631 | — | — | 5,622,631 |
Total Common Stocks | 159,733,617 | 907,130,491 | — | 1,066,864,108 |
Money Market Funds | 23,668,741 | — | — | 23,668,741 |
Total Investments in Securities | 183,402,358 | 907,130,491 | — | 1,090,532,849 |
Variable Portfolio Funds | Annual Report 2019 | 175 |
Variable Portfolio – Columbia Wanger International Equities Fund, December 31, 2019
Common Stocks 94.6% | ||
Issuer | Shares | Value ($) |
Australia 4.2% | ||
carsales.com Ltd. | 133,803 | 1,560,381 |
Cleanaway Waste Management Ltd. | 516,953 | 729,635 |
Evolution Mining Ltd. | 389,495 | 1,035,447 |
National Storage REIT | 864,376 | 1,112,885 |
Star Entertainment Group Ltd. (The) | 367,232 | 1,184,692 |
Total | 5,623,040 | |
Belgium 0.7% | ||
Melexis NV | 11,722 | 884,223 |
Brazil 2.1% | ||
Sul America SA | 97,700 | 1,455,287 |
TOTVS SA | 82,000 | 1,315,808 |
Total | 2,771,095 | |
Cambodia 0.9% | ||
NagaCorp Ltd. | 735,000 | 1,283,673 |
Canada 3.1% | ||
AG Growth International, Inc. | 19,816 | 708,679 |
CES Energy Solutions Corp. | 293,706 | 526,999 |
Osisko Gold Royalties Ltd. | 56,293 | 547,085 |
Parex Resources, Inc.(a) | 43,035 | 800,351 |
Pason Systems, Inc. | 16,272 | 164,280 |
Seven Generations Energy Ltd.(a) | 126,162 | 822,912 |
Winpak Ltd. | 17,062 | 617,283 |
Total | 4,187,589 | |
China 0.8% | ||
Minth Group Ltd. | 183,000 | 646,188 |
Xiabuxiabu Catering Management China Holdings Co., Ltd.(a) | 334,500 | 437,999 |
Total | 1,084,187 | |
Cyprus 0.3% | ||
TCS Group Holding PLC, GDR(b) | 17,999 | 386,978 |
Denmark 2.2% | ||
SimCorp AS | 25,544 | 2,904,536 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
France 2.2% | ||
Akka Technologies | 28,291 | 2,086,918 |
Robertet SA | 890 | 921,443 |
Total | 3,008,361 | |
Germany 6.7% | ||
Corestate Capital Holding SA(a) | 22,479 | 945,551 |
Deutsche Beteiligungs AG | 15,220 | 673,501 |
Eckert & Ziegler Strahlen- und Medizintechnik AG | 4,540 | 964,304 |
Hypoport AG(a) | 4,029 | 1,421,343 |
Stroeer SE & Co. KGaA | 14,897 | 1,200,191 |
Varta AG(a) | 18,866 | 2,557,606 |
Washtec AG | 20,607 | 1,241,269 |
Total | 9,003,765 | |
Hong Kong 2.3% | ||
ASM Pacific Technology Ltd. | 61,200 | 849,479 |
Stella International Holdings Ltd. | 449,500 | 721,064 |
Value Partners Group Ltd. | 781,000 | 481,401 |
Vitasoy International Holdings Ltd. | 280,000 | 1,015,733 |
Total | 3,067,677 | |
India 1.6% | ||
Cholamandalam Investment and Finance Co., Ltd. | 155,917 | 667,425 |
PI Industries Ltd. | 29,673 | 601,083 |
Zee Entertainment Enterprises Ltd. | 211,235 | 864,731 |
Total | 2,133,239 | |
Indonesia 1.1% | ||
PT Link Net Tbk | 2,015,600 | 574,952 |
PT Tower Bersama Infrastructure Tbk | 9,629,500 | 852,536 |
Total | 1,427,488 | |
Ireland 1.2% | ||
UDG Healthcare PLC | 148,338 | 1,585,951 |
Italy 4.2% | ||
Amplifon SpA | 32,657 | 939,844 |
Carel Industries SpA | 102,741 | 1,597,290 |
Freni Brembo SpA | 116,180 | 1,442,451 |
Industria Macchine Automatiche SpA | 22,508 | 1,618,749 |
Total | 5,598,334 |
176 | Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Columbia Wanger International Equities Fund, December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Japan 21.1% | ||
Aeon Credit Service Co., Ltd. | 33,800 | 532,574 |
Aeon Mall Co., Ltd. | 83,000 | 1,472,215 |
Aica Kogyo Co., Ltd. | 18,800 | 620,355 |
Aruhi Corp. | 33,700 | 691,970 |
Azbil Corp. | 39,384 | 1,109,279 |
CyberAgent, Inc. | 46,500 | 1,619,864 |
Daiseki Co., Ltd. | 26,300 | 756,644 |
Fuji Oil Holdings, Inc. | 43,600 | 1,172,811 |
Fuso Chemical Co., Ltd. | 40,800 | 1,205,794 |
Glory Ltd. | 32,100 | 970,031 |
Invesco Office J-REIT, Inc. | 3,712 | 768,896 |
KH Neochem Co., Ltd. | 59,700 | 1,272,992 |
Koei Tecmo Holdings Co., Ltd. | 27,200 | 710,177 |
Mandom Corp. | 46,300 | 1,265,743 |
Milbon Co., Ltd. | 17,300 | 980,963 |
Miura Co., Ltd. | 25,300 | 874,182 |
Nihon Unisys Ltd. | 22,400 | 702,666 |
NSD Co., Ltd. | 74,800 | 1,231,674 |
Persol Holdings Co., Ltd. | 30,600 | 573,479 |
SCSK Corp. | 12,200 | 632,623 |
Seiren Co., Ltd. | 137,500 | 1,976,530 |
Seria Co., Ltd. | 38,100 | 1,037,978 |
Sohgo Security Services Co., Ltd. | 11,400 | 617,024 |
Solasto Corp. | 130,000 | 1,520,775 |
TechnoPro Holdings, Inc. | 14,100 | 984,054 |
Ushio, Inc. | 49,600 | 735,472 |
Valqua Ltd. | 61,700 | 1,477,869 |
Yokogawa Electric Corp. | 51,200 | 899,127 |
Total | 28,413,761 | |
Malta 0.6% | ||
Kindred Group PLC | 127,845 | 782,929 |
Mexico 1.1% | ||
Corporación Inmobiliaria Vesta SAB de CV | 425,500 | 767,847 |
Qualitas Controladora SAB de CV | 180,974 | 762,278 |
Total | 1,530,125 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Netherlands 2.5% | ||
Aalberts NV | 22,403 | 1,008,311 |
Argenx SE, ADR(a) | 7,238 | 1,161,844 |
IMCD NV | 13,500 | 1,182,020 |
Total | 3,352,175 | |
New Zealand 1.2% | ||
Restaurant Brands New Zealand Ltd.(a) | 175,812 | 1,651,075 |
Philippines 0.5% | ||
Security Bank Corp. | 165,660 | 637,354 |
Poland 0.8% | ||
KRUK SA | 24,604 | 1,086,262 |
Russian Federation 0.9% | ||
TCS Group Holding PLC, GDR | 54,714 | 1,176,351 |
Singapore 1.5% | ||
Mapletree Commercial Trust | 1,144,878 | 2,035,883 |
South Africa 1.0% | ||
Clicks Group Ltd. | 43,802 | 802,453 |
PSG Group Ltd. | 34,095 | 570,019 |
Total | 1,372,472 | |
South Korea 3.0% | ||
DoubleUGames Co., Ltd.(a) | 20,217 | 868,746 |
Koh Young Technology, Inc.(a) | 19,387 | 1,766,669 |
Korea Investment Holdings Co., Ltd.(a) | 22,989 | 1,435,697 |
Total | 4,071,112 | |
Spain 0.8% | ||
Befesa SA | 26,979 | 1,146,918 |
Sweden 7.6% | ||
AddTech AB, Class B | 50,688 | 1,639,749 |
Dometic Group AB(b) | 141,903 | 1,431,283 |
Dustin Group AB | 121,511 | 974,932 |
Sectra AB, Class B(a) | 31,969 | 1,342,933 |
Sweco AB, Class B | 91,100 | 3,512,155 |
Trelleborg AB, Class B | 76,648 | 1,379,811 |
Total | 10,280,863 |
Variable Portfolio Funds | Annual Report 2019 | 177 |
Variable Portfolio – Columbia Wanger International Equities Fund, December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Switzerland 2.3% | ||
Belimo Holding AG, Registered Shares | 148 | 1,114,817 |
Inficon Holding AG | 1,391 | 1,104,550 |
Kardex AG | 5,613 | 945,360 |
Total | 3,164,727 | |
Taiwan 4.1% | ||
Basso Industry Corp. | 235,000 | 385,590 |
Getac Technology Corp. | 389,000 | 606,588 |
Grape King Bio Ltd. | 90,000 | 585,520 |
Parade Technologies Ltd. | 51,000 | 1,048,356 |
Silergy Corp. | 12,500 | 398,004 |
Sinbon Electronics Co., Ltd. | 268,000 | 1,107,854 |
Voltronic Power Technology Corp. | 61,375 | 1,465,116 |
Total | 5,597,028 | |
Thailand 0.6% | ||
Muangthai Capital PCL, Foreign Registered Shares | 402,900 | 856,293 |
United Kingdom 10.3% | ||
Abcam PLC | 59,251 | 1,061,102 |
Dechra Pharmaceuticals PLC | 56,808 | 2,184,269 |
Genus PLC | 28,517 | 1,201,153 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Intermediate Capital Group PLC | 97,238 | 2,073,984 |
Rightmove PLC | 154,304 | 1,294,788 |
Safestore Holdings PLC | 150,248 | 1,604,089 |
Spectris PLC | 29,486 | 1,136,321 |
Vivo Energy PLC | 285,727 | 467,794 |
WH Smith PLC | 69,338 | 2,389,650 |
Zotefoams PLC | 75,861 | 447,160 |
Total | 13,860,310 | |
United States 1.1% | ||
Inter Parfums, Inc. | 20,852 | 1,516,149 |
Total Common Stocks (Cost $109,028,159) | 127,481,923 | |
Money Market Funds 5.0% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(c),(d) | 6,716,402 | 6,715,730 |
Total Money Market Funds (Cost $6,715,944) | 6,715,730 | |
Total Investments in Securities (Cost $115,744,103) | 134,197,653 | |
Other Assets & Liabilities, Net | 533,618 | |
Net Assets | $134,731,271 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
MSCI EAFE Index Future | 44 | 03/2020 | USD | 4,480,300 | 1,789 | — |
MSCI Emerging Markets Index | 21 | 03/2020 | USD | 1,176,210 | 16,791 | — |
Total | 18,580 | — |
(a) | Non-income producing investment. |
(b) | 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. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At December 31, 2019, the total value of these securities amounted to $1,818,261, which represents 1.35% of total net assets. |
(c) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
178 | Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Columbia Wanger International Equities Fund, December 31, 2019
(d) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | ||||||||
4,079,789 | 32,861,011 | (30,224,398) | 6,716,402 | 103 | (214) | 97,111 | 6,715,730 |
ADR | American Depositary Receipt |
GDR | Global Depositary Receipt |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Variable Portfolio Funds | Annual Report 2019 | 179 |
Variable Portfolio – Columbia Wanger International Equities Fund, December 31, 2019
The following table is a summary of the inputs used to value the Fund’s investments at December 31, 2019:
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Australia | — | 5,623,040 | — | 5,623,040 |
Belgium | — | 884,223 | — | 884,223 |
Brazil | 2,771,095 | — | — | 2,771,095 |
Cambodia | — | 1,283,673 | — | 1,283,673 |
Canada | 4,187,589 | — | — | 4,187,589 |
China | — | 1,084,187 | — | 1,084,187 |
Cyprus | — | 386,978 | — | 386,978 |
Denmark | — | 2,904,536 | — | 2,904,536 |
France | — | 3,008,361 | — | 3,008,361 |
Germany | — | 9,003,765 | — | 9,003,765 |
Hong Kong | — | 3,067,677 | — | 3,067,677 |
India | — | 2,133,239 | — | 2,133,239 |
Indonesia | — | 1,427,488 | — | 1,427,488 |
Ireland | — | 1,585,951 | — | 1,585,951 |
Italy | — | 5,598,334 | — | 5,598,334 |
Japan | — | 28,413,761 | — | 28,413,761 |
Malta | — | 782,929 | — | 782,929 |
Mexico | 1,530,125 | — | — | 1,530,125 |
Netherlands | 1,161,844 | 2,190,331 | — | 3,352,175 |
New Zealand | — | 1,651,075 | — | 1,651,075 |
Philippines | — | 637,354 | — | 637,354 |
Poland | — | 1,086,262 | — | 1,086,262 |
Russian Federation | — | 1,176,351 | — | 1,176,351 |
Singapore | — | 2,035,883 | — | 2,035,883 |
South Africa | — | 1,372,472 | — | 1,372,472 |
South Korea | — | 4,071,112 | — | 4,071,112 |
Spain | — | 1,146,918 | — | 1,146,918 |
Sweden | — | 10,280,863 | — | 10,280,863 |
Switzerland | — | 3,164,727 | — | 3,164,727 |
Taiwan | — | 5,597,028 | — | 5,597,028 |
Thailand | — | 856,293 | — | 856,293 |
United Kingdom | — | 13,860,310 | — | 13,860,310 |
United States | 1,516,149 | — | — | 1,516,149 |
Total Common Stocks | 11,166,802 | 116,315,121 | — | 127,481,923 |
Money Market Funds | 6,715,730 | — | — | 6,715,730 |
Total Investments in Securities | 17,882,532 | 116,315,121 | — | 134,197,653 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 18,580 | — | — | 18,580 |
Total | 17,901,112 | 116,315,121 | — | 134,216,233 |
180 | Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Core Bond Fund, December 31, 2019
Asset-Backed Securities — Agency 0.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
COLT Mortgage Loan Trust | ||||
Series 2019 | ||||
11/25/2049 | 2.579% | 1,862,334 | 1,862,403 | |
Total Asset-Backed Securities — Agency (Cost $1,862,320) | 1,862,403 | |||
Asset-Backed Securities — Non-Agency 10.3% | ||||
Academic Loan Funding Trust(a),(b) | ||||
Series 2013-1A Class A | ||||
1-month USD LIBOR + 0.800% Floor 0.800% 12/26/2044 | 2.592% | 862,454 | 861,980 | |
American Credit Acceptance Receivables Trust(a) | ||||
Series 2016-4 | ||||
02/13/2023 | 2.910% | 41,290 | 41,295 | |
American Tower Trust I(a) | ||||
Series 13 Class 2A | ||||
03/15/2023 | 3.070% | 1,900,000 | 1,924,907 | |
AmeriCredit Automobile Receivables Trust | ||||
Series 2017-1 Class B | ||||
02/18/2022 | 2.300% | 1,107,000 | 1,107,823 | |
Series 2017-1 Class C | ||||
08/18/2022 | 2.710% | 594,000 | 597,607 | |
Series 2017-1 Class D | ||||
01/18/2023 | 3.130% | 1,332,000 | 1,347,893 | |
Avis Budget Rental Car Funding AESOP LLC(a) | ||||
Series 2017-1A Class A | ||||
09/20/2023 | 3.070% | 613,000 | 623,494 | |
Series 2019-2A Class A | ||||
09/22/2025 | 3.350% | 2,496,000 | 2,571,169 | |
Series 2019-3A Class A | ||||
03/20/2026 | 2.360% | 3,718,000 | 3,676,848 | |
Business Jet Securities LLC(a) | ||||
Series 2018-1 Class A | ||||
02/15/2033 | 4.335% | 1,260,628 | 1,274,573 | |
Series 2018-2 Class A | ||||
06/15/2033 | 4.447% | 1,748,162 | 1,774,382 | |
Series 2019-1 Class A | ||||
07/15/2034 | 4.212% | 4,101,187 | 4,209,952 | |
BXG Receivables Note Trust(a) | ||||
Series 2012-A Class A | ||||
12/02/2027 | 2.660% | 98,045 | 98,035 | |
Cabela’s Credit Card Master Note Trust | ||||
Series 2015-2 Class A1 | ||||
07/17/2023 | 2.250% | 926,000 | 926,988 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Capital Auto Receivables Asset Trust(a) | ||||
Series 2018-1 Class A3 | ||||
01/20/2022 | 2.790% | 2,260,611 | 2,265,880 | |
Carvana Auto Receivables Trust(a) | ||||
Series 2019-2A Class A3 | ||||
03/15/2023 | 2.580% | 3,373,000 | 3,386,457 | |
Series 2019-2A Class C | ||||
06/17/2024 | 3.000% | 4,000,000 | 4,008,965 | |
Subordinated Series 2019-3A Class D | ||||
04/15/2025 | 3.040% | 4,440,000 | 4,435,927 | |
Chase Funding Trust(b) | ||||
Series 2003-2 Class 2A2 | ||||
1-month USD LIBOR + 0.560% Floor 0.560% 02/25/2033 | 2.352% | 629,361 | 605,257 | |
Chase Funding Trust(c) | ||||
Series 2003-4 Class 1A5 | ||||
05/25/2033 | 5.916% | 336,573 | 344,137 | |
Series 2003-6 Class 1A5 | ||||
11/25/2034 | 5.850% | 294,676 | 307,397 | |
College Ave Student Loans LLC(a),(b) | ||||
Series 2017-A Class A1 | ||||
1-month USD LIBOR + 1.650% Floor 1.650% 11/26/2046 | 3.442% | 954,337 | 958,487 | |
College Ave. Student Loans LLC(a) | ||||
Series 2018-A Class A2 | ||||
12/26/2047 | 4.130% | 777,869 | 810,112 | |
Series 2019-A Class A2 | ||||
12/28/2048 | 3.280% | 761,754 | 761,774 | |
Conix Mortgage Asset Trust(a),(d),(e),(f) | ||||
Series 2013-1 Class A | ||||
12/25/2047 | 4.704% | 1,078,519 | 36,670 | |
COOF Securitization Trust Ltd.(a),(c),(f),(g) | ||||
CMO Series 2014-1 Class A | ||||
06/25/2040 | 2.831% | 672,615 | 54,549 | |
CPS Auto Receivables Trust(a) | ||||
Series 2015-A Class C | ||||
02/16/2021 | 4.000% | 65,735 | 65,835 | |
Series 2015-C Class D | ||||
08/16/2021 | 4.630% | 1,101,600 | 1,110,258 | |
Subordinated, Series 2015-B Class C | ||||
05/17/2021 | 4.200% | 829,172 | 831,815 | |
Subordinated, Series 2016-C Class C | ||||
06/15/2022 | 3.270% | 271,059 | 271,219 |
Variable Portfolio Funds | Annual Report 2019 | 181 |
Variable Portfolio – Partners Core Bond Fund, December 31, 2019
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Credit Acceptance Auto Loan Trust(a) | ||||
Series 2017-1A Class A | ||||
10/15/2025 | 2.560% | 49,673 | 49,670 | |
Series 2018-1A Class A | ||||
02/16/2027 | 3.010% | 1,138,000 | 1,142,167 | |
Subordinated, Series 2017-1A Class B | ||||
12/15/2025 | 3.040% | 740,000 | 741,330 | |
Subordinated, Series 2017-1A Class C | ||||
02/17/2026 | 3.480% | 620,000 | 619,811 | |
Subordinated, Series 2017-2A Class C | ||||
06/15/2026 | 3.350% | 344,000 | 345,203 | |
Diamond Resorts Owner Trust(a) | ||||
Series 2017-1A Class A | ||||
10/22/2029 | 3.270% | 599,042 | 608,442 | |
Series 2018-1 Class A | ||||
01/21/2031 | 3.700% | 1,130,466 | 1,156,587 | |
Drive Auto Receivables Trust(a) | ||||
Series 2017-AA Class C | ||||
01/18/2022 | 2.980% | 79,643 | 80,402 | |
Subordinated, Series 2015-DA Class D | ||||
01/17/2023 | 4.590% | 746,196 | 746,121 | |
Subordinated, Series 2016-CA Class D | ||||
03/15/2024 | 4.180% | 2,761,677 | 2,796,010 | |
Subordinated, Series 2017-3 Class D | ||||
12/15/2023 | 3.530% | 3,600,000 | 3,633,126 | |
Subordinated, Series 2017-AA Class D | ||||
05/15/2024 | 4.160% | 1,677,000 | 1,697,519 | |
Drive Auto Receivables Trust | ||||
Series 2018-4 Class C | ||||
11/15/2024 | 3.660% | 2,518,000 | 2,541,664 | |
Subordinated Series 2018-3 Class C | ||||
09/16/2024 | 3.720% | 2,182,000 | 2,199,928 | |
Subordinated Series 2019-1 Class D | ||||
06/15/2026 | 4.090% | 970,000 | 998,914 | |
Subordinated, Series 2017-1 Class C | ||||
04/15/2022 | 2.840% | 46,139 | 46,134 | |
Subordinated, Series 2017-1 Class D | ||||
03/15/2023 | 3.840% | 1,710,000 | 1,728,293 | |
Subordinated, Series 2017-2 Class C | ||||
09/15/2023 | 2.750% | 181,803 | 181,900 | |
DT Asset Trust(a),(f) | ||||
Series 2017-B Class A | ||||
12/16/2022 | 5.840% | 1,500,000 | 1,501,225 | |
DT Auto Owner Trust(a) | ||||
Series 2017-3A Class D | ||||
05/15/2023 | 3.580% | 724,000 | 728,203 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated Series 2019-4A Class C | ||||
07/15/2025 | 2.730% | 2,895,000 | 2,889,863 | |
Subordinated, Series 2016-4A | ||||
10/17/2022 | 3.770% | 873,182 | 877,153 | |
Subordinated, Series 2017-1A Class D | ||||
11/15/2022 | 3.550% | 1,206,473 | 1,212,874 | |
ENGS Commercial Finance Trust(a) | ||||
Series 2016-1A Class A2 | ||||
02/22/2022 | 2.630% | 114,847 | 114,904 | |
Exeter Automobile Receivables Trust(a) | ||||
Series 2017-1A Class C | ||||
12/15/2022 | 3.950% | 810,000 | 815,677 | |
Series 2018-4A Class B | ||||
11/15/2022 | 3.640% | 979,000 | 983,831 | |
Subordinated, Series 2016-1A Class C | ||||
10/15/2021 | 5.520% | 471,654 | 472,945 | |
Subordinated, Series 2016-3A Class B | ||||
08/16/2021 | 2.840% | 15,571 | 15,570 | |
First Investors Auto Owner Trust(a) | ||||
Series 2015-2A Class D | ||||
12/15/2021 | 4.220% | 280,000 | 281,245 | |
Flagship Credit Auto Trust(a) | ||||
Series 2016-1 Class C | ||||
06/15/2022 | 6.220% | 3,000,000 | 3,074,768 | |
Series 2019-2 Class A | ||||
10/16/2023 | 2.830% | 3,538,856 | 3,560,110 | |
Series 2019-4 Class D | ||||
01/15/2026 | 3.120% | 3,600,000 | 3,584,368 | |
Subordinated, Series 2015-3 Class C | ||||
03/15/2022 | 4.650% | 688,622 | 694,148 | |
Subordinated, Series 2016-4 Class C | ||||
11/15/2022 | 2.710% | 1,312,000 | 1,313,299 | |
Ford Credit Auto Owner Trust(a) | ||||
Series 2017-1 Class A | ||||
08/15/2028 | 2.620% | 1,719,000 | 1,738,681 | |
Series 2017-2 Class A | ||||
03/15/2029 | 2.360% | 3,567,000 | 3,589,452 | |
Series 2018-1 Class A | ||||
07/15/2031 | 3.190% | 4,638,000 | 4,816,880 | |
Series 2018-2 Class A | ||||
01/15/2030 | 3.470% | 1,956,000 | 2,042,890 | |
Series 2019-1 Class A | ||||
07/15/2030 | 3.520% | 2,093,000 | 2,194,382 | |
Ford Credit Floorplan Master Owner Trust A(b) | ||||
Series 2019-3 Class A2 | ||||
1-month USD LIBOR + 0.600% 09/15/2024 | 2.340% | 778,000 | 780,926 |
182 | Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Core Bond Fund, December 31, 2019
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Ford Credit Floorplan Master Owner Trust A | ||||
Series 2019-4 Class A | ||||
09/15/2026 | 2.440% | 1,285,000 | 1,288,271 | |
FORT CRE LLC(a),(b) | ||||
Series 2018-1A Class D | ||||
1-month USD LIBOR + 3.430% Floor 3.430% 11/21/2035 | 5.215% | 6,025,000 | 6,019,370 | |
Foundation Finance Trust(a) | ||||
Series 2019-1A Class A | ||||
11/15/2034 | 3.860% | 1,357,565 | 1,377,665 | |
Franklin Limited Duration Income Trust(a),(c),(f) | ||||
Series 2019-1 Class A | ||||
08/15/2020 | 5.500% | 3,936,000 | 3,937,337 | |
FREED ABS Trust(a) | ||||
Series 2018-1 Class A | ||||
07/18/2024 | 3.610% | 419,141 | 420,901 | |
Series 2018-2 Class A | ||||
10/20/2025 | 3.990% | 1,055,305 | 1,062,919 | |
Series 2019-2 Class A | ||||
11/18/2026 | 2.620% | 1,650,318 | 1,650,050 | |
GLS Auto Receivables Issuer Trust(a) | ||||
Series 2019-1A Class A | ||||
01/17/2023 | 3.370% | 659,077 | 662,880 | |
GMAT Trust(a),(c) | ||||
Series 2013-1A Class A | ||||
11/25/2043 | 6.967% | 11,540 | 11,590 | |
Gold Key Resorts(a) | ||||
Series 2014-A Class A | ||||
03/17/2031 | 3.220% | 170,618 | 170,707 | |
Goodgreen(a) | ||||
Series 2019-2A Class A | ||||
04/15/2055 | 2.760% | 2,171,107 | 2,152,492 | |
Goodgreen Trust(a) | ||||
Series 2017-1A Class A | ||||
10/15/2052 | 3.740% | 329,770 | 339,899 | |
Series 2017-2A Class A | ||||
10/15/2053 | 3.260% | 1,652,509 | 1,676,015 | |
Series 2017-R1A Class R | ||||
10/20/2052 | 5.000% | 2,685,173 | 2,649,219 | |
Hero Funding(a) | ||||
Series 2017-3A Class A2 | ||||
09/20/2048 | 3.950% | 1,437,814 | 1,468,570 | |
HERO Funding Trust(a) | ||||
Series 2016-3A Class A1 | ||||
09/20/2042 | 3.080% | 780,605 | 783,938 | |
Series 2017-1A Class A2 | ||||
09/20/2047 | 4.460% | 1,055,933 | 1,102,243 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Hertz Vehicle Financing II LP(a) | ||||
Series 2015-3A Class A | ||||
09/25/2021 | 2.670% | 1,750,000 | 1,754,733 | |
Series 2016-2A Class A | ||||
03/25/2022 | 2.950% | 2,059,000 | 2,074,325 | |
Series 2016-4A Class A | ||||
07/25/2022 | 2.650% | 7,023,000 | 7,060,150 | |
Series 2017-1A Class A | ||||
10/25/2021 | 2.960% | 2,802,000 | 2,816,332 | |
Series 2017-2A Class A | ||||
10/25/2023 | 3.290% | 1,598,000 | 1,634,504 | |
Series 2018-1A Class A | ||||
02/25/2024 | 3.290% | 644,000 | 658,186 | |
Series 2019-1A Class A | ||||
03/25/2023 | 3.710% | 2,775,000 | 2,848,840 | |
Series 2019-2A Class A | ||||
05/25/2025 | 3.420% | 2,525,000 | 2,601,097 | |
Series 2019-3A Class A | ||||
12/26/2025 | 2.670% | 3,028,000 | 3,018,816 | |
Hertz Vehicle Financing LLC(a) | ||||
Series 2018-2A Class A | ||||
06/27/2022 | 3.650% | 1,415,000 | 1,438,012 | |
Series 2018-3A Class A | ||||
07/25/2024 | 4.030% | 1,833,000 | 1,917,990 | |
Hilton Grand Vacations Trust(a) | ||||
Series 2017-AA Class A | ||||
12/26/2028 | 2.660% | 552,377 | 554,165 | |
Kabbage Funding LLC(a) | ||||
Series 2019-1 Class A | ||||
03/15/2024 | 3.825% | 5,428,000 | 5,499,510 | |
LendingPoint Asset Securitization Trust(a) | ||||
Series 2019-2 Class A | ||||
11/10/2025 | 3.071% | 4,411,749 | 4,412,294 | |
Lendmark Funding Trust(a) | ||||
Subordinated Series 2019-1A Class C | ||||
12/20/2027 | 3.900% | 3,600,000 | 3,610,082 | |
LL ABS Trust(a) | ||||
Series 2019-1A Class A | ||||
03/15/2027 | 2.870% | 2,350,000 | 2,350,097 | |
LV Tower 52 Issuer(a),(f) | ||||
Series 2013-1 Class A | ||||
02/15/2023 | 5.750% | 3,193,908 | 3,209,878 | |
Series 2013-1 Class M | ||||
02/15/2023 | 7.750% | 1,213,600 | 1,225,700 | |
Mariner Finance Issuance Trust(a) | ||||
Series 2019-AA Class B | ||||
07/20/2032 | 3.510% | 2,115,000 | 2,115,365 |
Variable Portfolio Funds | Annual Report 2019 | 183 |
Variable Portfolio – Partners Core Bond Fund, December 31, 2019
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2019-AA Class C | ||||
07/20/2032 | 4.010% | 5,560,000 | 5,562,004 | |
Mid-State Capital Corp. Trust(a) | ||||
Series 2006-1 Class M1 | ||||
10/15/2040 | 6.083% | 996,505 | 1,102,409 | |
Series 2010-1 Class M | ||||
12/15/2045 | 5.250% | 499,501 | 518,477 | |
Navient Private Education Loan Trust(a),(b) | ||||
Series 2014-AA Class A3 | ||||
1-month USD LIBOR + 1.600% 10/15/2031 | 3.340% | 2,731,000 | 2,784,583 | |
Series 2016-AA Class A2B | ||||
1-month USD LIBOR + 2.150% 12/15/2045 | 3.890% | 3,267,537 | 3,377,969 | |
Navient Private Education Loan Trust(a) | ||||
Series 2018-BA Class A2A | ||||
12/15/2059 | 3.610% | 1,444,000 | 1,479,707 | |
Navient Private Education Refi Loan Trust(a) | ||||
Series 2018-A Class A2 | ||||
02/18/2042 | 3.190% | 604,000 | 616,738 | |
Series 2018-CA Class A2 | ||||
06/16/2042 | 3.520% | 649,000 | 673,036 | |
Series 2018-DA Class A2A | ||||
12/15/2059 | 4.000% | 3,395,000 | 3,501,323 | |
Series 2019-A Class A2A | ||||
01/15/2043 | 3.420% | 3,873,000 | 3,958,727 | |
Series 2019-CA Class A2 | ||||
02/15/2068 | 3.130% | 3,916,000 | 3,943,028 | |
Series 2019-D Class A2A | ||||
12/15/2059 | 3.010% | 3,183,000 | 3,177,884 | |
Series 2019-FA Class A2 | ||||
08/15/2068 | 2.600% | 3,711,000 | 3,714,501 | |
Series 2019-GA Class A | ||||
10/15/2068 | 2.400% | 3,617,000 | 3,599,927 | |
Navient Student Loan Trust(b) | ||||
Series 2014-1 Class A3 | ||||
1-month USD LIBOR + 0.510% Floor 0.510% 06/25/2031 | 2.302% | 1,359,934 | 1,335,956 | |
Series 2015-1 Class A2 | ||||
1-month USD LIBOR + 0.600% Floor 0.600% 04/25/2040 | 2.392% | 1,160,137 | 1,136,876 | |
Navient Student Loan Trust(a),(b) | ||||
Series 2016-1A Class A | ||||
1-month USD LIBOR + 0.700% 02/25/2070 | 2.492% | 10,017,099 | 9,866,493 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2016-3A Class A2 | ||||
1-month USD LIBOR + 0.850% 06/25/2065 | 2.642% | 297,254 | 297,592 | |
Series 2017-5A Class A | ||||
1-month USD LIBOR + 0.800% 07/26/2066 | 2.592% | 1,904,543 | 1,875,518 | |
Series 2019-3A Class A | ||||
1-month USD LIBOR + 0.830% Floor 0.830% 07/25/2068 | 2.538% | 7,424,892 | 7,424,885 | |
Series 2019-4A Class A2 | ||||
1-month USD LIBOR + 0.810% Floor 0.810% 07/25/2068 | 2.899% | 3,709,000 | 3,708,996 | |
Navient Student Loan Trust(a) | ||||
Series 2018-EA Class A2 | ||||
12/15/2059 | 4.000% | 1,791,000 | 1,853,575 | |
Series 2019-BA Class A2A | ||||
12/15/2059 | 3.390% | 2,597,000 | 2,684,574 | |
NCUA Guaranteed Notes(b) | ||||
CMO Series 2010-A1 Class A | ||||
1-month USD LIBOR + 0.350% Floor 0.350% 12/07/2020 | 2.068% | 64,600 | 64,580 | |
Nelnet Student Loan Trust(b) | ||||
Series 2004-3 Class A5 | ||||
3-month USD LIBOR + 0.180% 10/27/2036 | 2.120% | 424,758 | 411,785 | |
Series 2004-4 Class A5 | ||||
3-month USD LIBOR + 0.160% Floor 0.160% 01/25/2037 | 2.100% | 3,036,511 | 2,966,465 | |
Series 2005-1 Class A5 | ||||
3-month USD LIBOR + 0.110% Floor 0.110% 10/25/2033 | 2.050% | 2,695,891 | 2,622,262 | |
Series 2005-2 Class A5 | ||||
3-month USD LIBOR + 0.100% Floor 0.100% 03/23/2037 | 2.028% | 6,345,243 | 6,153,433 | |
Series 2005-3 Class A5 | ||||
3-month USD LIBOR + 0.120% Floor 0.120% 12/24/2035 | 2.048% | 8,133,027 | 7,973,673 | |
Series 2005-4 Class A4 | ||||
3-month USD LIBOR + 0.180% Floor 0.180% 03/22/2032 | 2.108% | 614,046 | 588,810 |
184 | Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Core Bond Fund, December 31, 2019
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Nelnet Student Loan Trust(a),(b) | ||||
Series 2012-2A Class A | ||||
1-month USD LIBOR + 0.800% 12/26/2033 | 2.592% | 829,244 | 823,339 | |
Series 2016-1A Class A | ||||
1-month USD LIBOR + 0.800% 09/25/2065 | 2.592% | 1,880,449 | 1,885,669 | |
Series 2017-2A Class A | ||||
1-month USD LIBOR + 0.770% Floor 0.770% 09/25/2065 | 2.562% | 2,166,132 | 2,133,748 | |
OnDeck Asset Securitization Trust LLC(a) | ||||
Series 2018-1A Class A | ||||
04/18/2022 | 3.500% | 1,826,000 | 1,828,094 | |
OneMain Financial Issuance Trust(a) | ||||
Series 2016-1A Class A | ||||
02/20/2029 | 3.660% | 380,563 | 381,319 | |
Oportun Funding VI LLC(a) | ||||
Series 2017-A Class A | ||||
06/08/2023 | 3.230% | 838,000 | 838,365 | |
Oportun Funding VIII LLC(a) | ||||
Series 2018-A Class A | ||||
03/08/2024 | 3.610% | 2,978,000 | 3,019,806 | |
Oportun Funding X LLC(a) | ||||
Series 2018-C Class A | ||||
10/08/2024 | 4.100% | 4,604,000 | 4,692,731 | |
Progress Residential Trust(a) | ||||
Series 2015-SFR3 Class A | ||||
11/12/2032 | 3.067% | 5,384,769 | 5,369,856 | |
Series 2015-SFR3 Class D | ||||
11/12/2032 | 4.673% | 1,295,000 | 1,293,100 | |
Series 2015-SFR3 Class E | ||||
11/12/2032 | 5.660% | 1,000,000 | 998,614 | |
Purchasing Power Funding LLC(a) | ||||
Series 2018-A Class A | ||||
08/15/2022 | 3.340% | 4,260,000 | 4,266,257 | |
Renew(a) | ||||
Series 2017-1A Class A | ||||
09/20/2052 | 3.670% | 424,377 | 435,396 | |
Santander Drive Auto Receivables Trust(a) | ||||
Subordinated Series 2015-5 Class E | ||||
02/15/2023 | 4.670% | 3,200,000 | 3,208,877 | |
Santander Retail Auto Lease Trust(a) | ||||
Series 2018-A Class A3 | ||||
05/20/2021 | 2.930% | 1,581,631 | 1,586,161 | |
Santander Revolving Auto Loan Trust(a) | ||||
Series 2019-A Class A | ||||
01/26/2032 | 2.510% | 5,876,000 | 5,849,406 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
SART(f) | ||||
Series 2017-1 Class X | ||||
11/17/2025 | 4.750% | 2,889,284 | 2,947,070 | |
SART(a),(f) | ||||
Series 2018-1 Class A | ||||
06/15/2025 | 4.750% | 3,568,251 | 3,639,617 | |
SLM Student Loan Trust(a),(b) | ||||
Series 2003-1 Class A5C | ||||
3-month USD LIBOR + 0.750% Floor 0.750% 12/15/2032 | 2.644% | 627,678 | 609,397 | |
SLM Student Loan Trust(b) | ||||
Series 2007-2 Class A4 | ||||
3-month USD LIBOR + 0.060% 07/25/2022 | 2.000% | 2,212,012 | 2,149,751 | |
Series 2012-1 Class A3 | ||||
1-month USD LIBOR + 0.950% Floor 0.950% 09/25/2028 | 2.742% | 3,137,790 | 3,081,664 | |
Series 2012-2 Class A | ||||
1-month USD LIBOR + 0.700% Floor 0.700% 01/25/2029 | 2.492% | 6,649,033 | 6,477,008 | |
SMB Private Education Loan Trust(a) | ||||
Series 2015-B Class A2A | ||||
07/15/2027 | 2.980% | 2,564,344 | 2,576,907 | |
Series 2016-A Class A2A | ||||
05/15/2031 | 2.700% | 2,123,998 | 2,129,033 | |
Series 2018-C Class A2A | ||||
11/15/2035 | 3.630% | 1,704,000 | 1,760,115 | |
Series 2019-A Class A2A | ||||
07/15/2036 | 3.440% | 5,028,000 | 5,117,326 | |
SMB Private Education Loan Trust(a),(b) | ||||
Series 2015-C Class A2B | ||||
1-month USD LIBOR + 1.400% Floor 1.400% 07/15/2027 | 3.140% | 142,112 | 143,101 | |
Series 2016-A Class A2B | ||||
1-month USD LIBOR + 1.500% 05/15/2031 | 3.240% | 1,264,730 | 1,276,264 | |
Series 2016-B Class A2B | ||||
1-month USD LIBOR + 1.450% 02/17/2032 | 3.190% | 2,664,510 | 2,684,805 | |
Series 2016-C Class A2B | ||||
1-month USD LIBOR + 1.100% Floor 1.100% 09/15/2034 | 2.840% | 460,382 | 461,326 | |
Series 2017-A Class A2B | ||||
1-month USD LIBOR + 0.900% 09/15/2034 | 2.640% | 3,790,727 | 3,787,265 |
Variable Portfolio Funds | Annual Report 2019 | 185 |
Variable Portfolio – Partners Core Bond Fund, December 31, 2019
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2017-B Class A2B | ||||
1-month USD LIBOR + 0.750% Floor 0.750% 10/15/2035 | 2.490% | 2,002,309 | 2,004,491 | |
SoFi Consumer Loan Program LLC(a) | ||||
Series 2016-2A Class A | ||||
10/27/2025 | 3.090% | 183,358 | 183,745 | |
SoFi Professional Loan Program LLC(a),(b) | ||||
Series 2017-C Class A1 | ||||
1-month USD LIBOR + 0.600% 07/25/2040 | 2.392% | 819,245 | 817,086 | |
Series 2017-E Class A1 | ||||
1-month USD LIBOR + 0.500% 11/26/2040 | 2.292% | 157,645 | 157,645 | |
SoFi Professional Loan Program LLC(a) | ||||
Series 2017-D Class A2FX | ||||
09/25/2040 | 2.650% | 652,306 | 655,546 | |
Series 2017-E Class A2B | ||||
11/26/2040 | 2.720% | 2,807,000 | 2,828,470 | |
Series 2018-A Class A2B | ||||
02/25/2042 | 2.950% | 945,000 | 955,399 | |
SoFi Professional Loan Program Trust(a) | ||||
Series 2018-B Class A2FX | ||||
08/25/2047 | 3.340% | 2,400,000 | 2,451,924 | |
Synchrony Card Funding LLC | ||||
Series 2019-A1 Class A | ||||
03/17/2025 | 2.950% | 4,541,000 | 4,624,889 | |
Series 2019-A2 Class A | ||||
06/16/2025 | 2.340% | 4,550,000 | 4,591,707 | |
Synchrony Card Issuance Trust | ||||
Series 2018-A1 Class A1 | ||||
09/15/2024 | 3.380% | 2,000,000 | 2,044,757 | |
Tricolor Auto Securitization Trust(a) | ||||
Series 2018-1A Class A | ||||
12/15/2020 | 5.050% | 641,755 | 646,015 | |
Series 2018-2A Class A | ||||
10/15/2021 | 3.960% | 1,535,359 | 1,541,265 | |
Subordinated Series 2018-2A Class B | ||||
02/15/2022 | 4.760% | 1,927,905 | 1,950,629 | |
Tricon American Homes Trust(a) | ||||
Series 2016-SFR1 Class A | ||||
11/17/2033 | 2.589% | 1,661,773 | 1,657,767 | |
Upgrade Receivables Trust(a) | ||||
Series 2018-1A Class A | ||||
11/15/2024 | 3.760% | 237,615 | 238,120 | |
US Auto Funding LLC(a) | ||||
Series 2018-1A Class A | ||||
07/15/2023 | 5.500% | 1,273,559 | 1,297,935 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
USASF Receivables LLC(a),(f) | ||||
Series 2017-1 Class A | ||||
09/15/2030 | 5.750% | 331,769 | 333,428 | |
Verizon Owner Trust | ||||
Series 2019-C Class A1A | ||||
04/22/2024 | 1.940% | 4,976,000 | 4,969,887 | |
VM Debt LLC(a),(f) | ||||
Series 2019-1 Class A1A | ||||
06/17/2024 | 7.500% | 2,800,000 | 2,800,000 | |
VSE Voi Mortgage LLC(a) | ||||
Series 2018-A Class A | ||||
02/20/2036 | 3.560% | 819,570 | 842,082 | |
Westgate Resorts LLC(a) | ||||
Series 2017-1A Class B | ||||
12/20/2030 | 3.050% | 427,053 | 428,570 | |
Westlake Automobile Receivables Trust(a) | ||||
Series 2017-1A Class C | ||||
10/17/2022 | 2.700% | 100,212 | 100,243 | |
World Financial Network Credit Card Master Trust | ||||
Series 2018-B Class A | ||||
07/15/2025 | 3.460% | 896,000 | 916,488 | |
Series 2019-A Class A | ||||
12/15/2025 | 3.140% | 2,546,000 | 2,600,407 | |
Series 2019-C Class A | ||||
07/15/2026 | 2.210% | 3,636,000 | 3,642,402 | |
Total Asset-Backed Securities — Non-Agency (Cost $387,661,136) | 389,170,512 | |||
Commercial Mortgage-Backed Securities - Agency 7.5% | ||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates | ||||
CMO Series KJ02 Class A2 | ||||
09/25/2020 | 2.597% | 32,124 | 32,119 | |
Series 2017 K065 Class A2 | ||||
04/25/2027 | 3.243% | 1,408,000 | 1,493,286 | |
Series 2017 K065 Class AM | ||||
05/25/2027 | 3.326% | 755,000 | 795,979 | |
Series 2017 K066 Class A2 | ||||
06/25/2027 | 3.117% | 1,858,000 | 1,954,605 | |
Series K077 Class A2 | ||||
05/25/2028 | 3.850% | 2,115,000 | 2,329,278 | |
Series KJ07 Class A2 | ||||
12/25/2022 | 2.312% | 4,108,030 | 4,143,918 | |
Series KPLB Class A | ||||
05/25/2025 | 2.770% | 7,500,000 | 7,713,223 | |
Series KS07 Class A2 | ||||
09/25/2025 | 2.735% | 3,600,000 | 3,703,337 |
186 | Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Core Bond Fund, December 31, 2019
Commercial Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates(c) | ||||
Series 2017-K070 Class A2 | ||||
11/25/2027 | 3.303% | 1,311,000 | 1,395,917 | |
Series K081 Class A2 | ||||
08/25/2028 | 3.900% | 2,245,000 | 2,485,125 | |
Series W5FX Class AFX | ||||
04/25/2028 | 3.214% | 1,256,000 | 1,316,679 | |
Federal National Mortgage Association | ||||
04/01/2020 | 4.376% | 1,075,953 | 1,079,896 | |
07/01/2020 | 4.066% | 2,193,505 | 2,203,698 | |
01/01/2021 | 4.307% | 696,904 | 712,846 | |
09/01/2021 | 2.120% | 2,800,000 | 2,795,741 | |
06/01/2022 | 2.790% | 2,389,398 | 2,432,203 | |
07/01/2022 | 2.670% | 5,000,000 | 5,088,399 | |
08/01/2022 | 2.650% | 7,000,000 | 7,124,927 | |
11/01/2022 | 2.450% | 5,990,172 | 6,059,655 | |
02/01/2023 | 2.460% | 2,524,526 | 2,544,875 | |
04/01/2023 | 2.500% | 6,000,000 | 6,077,582 | |
04/01/2023 | 2.640% | 2,678,930 | 2,709,766 | |
05/01/2023 | 2.520% | 3,000,000 | 3,041,592 | |
06/01/2023 | 2.420% | 2,624,336 | 2,647,485 | |
06/01/2023 | 2.510% | 1,740,327 | 1,760,635 | |
07/01/2023 | 3.670% | 6,000,000 | 6,308,213 | |
08/01/2023 | 3.590% | 2,500,000 | 2,619,130 | |
11/01/2023 | 3.690% | 1,182,481 | 1,241,237 | |
07/01/2025 | 3.070% | 9,596,625 | 9,976,574 | |
09/01/2025 | 3.100% | 2,453,951 | 2,549,568 | |
12/01/2025 | 3.765% | 6,891,498 | 7,434,992 | |
07/01/2026 | 4.450% | 2,621,799 | 2,958,972 | |
10/01/2026 | 3.235% | 1,362,700 | 1,435,587 | |
12/01/2026 | 3.240% | 1,500,000 | 1,579,093 | |
01/01/2027 | 3.710% | 2,996,000 | 3,224,344 | |
02/01/2027 | 3.340% | 1,000,000 | 1,054,625 | |
03/01/2027 | 2.910% | 3,476,359 | 3,602,457 | |
06/01/2027 | 3.000% | 2,000,000 | 2,087,402 | |
07/01/2027 | 3.210% | 927,989 | 974,518 | |
08/01/2027 | 2.900% | 3,500,000 | 3,620,451 | |
06/01/2028 | 3.570% | 2,787,000 | 3,001,667 | |
07/01/2028 | 3.570% | 3,337,350 | 3,603,936 | |
10/01/2028 | 3.890% | 1,342,000 | 1,473,540 | |
11/01/2028 | 4.250% | 987,247 | 1,108,701 | |
12/01/2028 | 3.890% | 4,284,127 | 4,713,541 | |
12/01/2028 | 3.930% | 8,530,000 | 9,415,757 | |
01/01/2029 | 3.940% | 3,998,736 | 4,400,444 | |
01/01/2029 | 4.070% | 5,120,000 | 5,609,484 | |
02/01/2029 | 3.740% | 1,515,000 | 1,657,231 | |
10/01/2029 | 3.200% | 8,516,993 | 8,886,755 | |
02/01/2030 | 2.920% | 2,856,178 | 2,952,760 | |
02/01/2030 | 3.550% | 1,000,000 | 1,091,854 | |
06/01/2030 | 3.130% | 4,812,000 | 5,055,185 | |
06/01/2030 | 3.670% | 6,600,000 | 7,156,890 | |
06/01/2030 | 3.800% | 5,000,000 | 5,503,604 | |
07/01/2030 | 3.210% | 4,205,000 | 4,435,302 | |
07/01/2030 | 3.300% | 4,022,000 | 4,281,688 | |
07/01/2030 | 3.340% | 2,500,000 | 2,665,555 | |
07/01/2030 | 3.850% | 4,500,000 | 4,979,438 |
Commercial Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
09/01/2030 | 3.390% | 5,563,016 | 5,943,708 | |
09/01/2030 | 3.410% | 7,500,000 | 8,051,619 | |
05/01/2033 | 3.530% | 2,594,000 | 2,802,760 | |
04/01/2035 | 3.330% | 2,500,000 | 2,614,148 | |
06/01/2036 | 3.150% | 2,799,837 | 2,920,915 | |
06/01/2037 | 5.900% | 639,111 | 737,224 | |
Series 2010-M3 Class A3 | ||||
03/25/2020 | 4.332% | 525,541 | 526,145 | |
Series 2011-M1 Class A3 | ||||
06/25/2021 | 3.763% | 732,015 | 742,694 | |
Series 2015-M10 Class A2 | ||||
04/25/2027 | 3.092% | 11,666,000 | 12,158,852 | |
Series 2017-M5 Class A2 | ||||
04/25/2029 | 3.176% | 1,929,000 | 2,030,333 | |
Series 2017-T1 Class A | ||||
06/25/2027 | 2.898% | 2,774,586 | 2,845,361 | |
Federal National Mortgage Association(c) | ||||
CMO Series 2013-M13 Class A2 | ||||
04/25/2023 | 2.546% | 2,041,321 | 2,066,956 | |
CMO Series 2014-M3 Class A2 | ||||
01/25/2024 | 3.480% | 1,548,712 | 1,619,995 | |
CMO Series 2015-M11 Class A2 | ||||
04/25/2025 | 2.829% | 2,000,000 | 2,057,303 | |
Series 2017-M12 Class A2 | ||||
06/25/2027 | 3.079% | 2,402,000 | 2,514,637 | |
Series 2017-M7 Class A2 | ||||
02/25/2027 | 2.961% | 546,000 | 566,775 | |
Series 2018-M10 Class A2 | ||||
07/25/2028 | 3.384% | 2,683,000 | 2,865,519 | |
Series 2018-M3 Class A2 | ||||
02/25/2030 | 3.090% | 1,057,000 | 1,111,560 | |
Series 2018-M4 Class A2 | ||||
03/25/2028 | 3.045% | 1,473,000 | 1,541,359 | |
FREMF Mortgage Trust(a),(c) | ||||
Subordinated, Series 2015-K44 Class B | ||||
01/25/2048 | 3.681% | 3,410,000 | 3,502,886 | |
Subordinated, Series 2016-K59 Class B | ||||
11/25/2049 | 3.576% | 2,383,000 | 2,411,586 | |
Subordinated, Series 2016-K722 Class B | ||||
07/25/2049 | 3.843% | 1,400,000 | 1,447,170 | |
Government National Mortgage Association(b) | ||||
CMO Series 2013-H08 Class FA | ||||
1-month USD LIBOR + 0.350% Floor 0.350%, Cap 10.550% 03/20/2063 | 2.124% | 2,221,114 | 2,212,622 |
Variable Portfolio Funds | Annual Report 2019 | 187 |
Variable Portfolio – Partners Core Bond Fund, December 31, 2019
Commercial Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2015-H15 Class FJ | ||||
1-month USD LIBOR + 0.440% Floor 0.440%, Cap 11.000% 06/20/2065 | 2.214% | 3,094,814 | 3,082,538 | |
CMO Series 2015-H16 Class FG | ||||
1-month USD LIBOR + 0.440% Floor 0.440%, Cap 11.000% 07/20/2065 | 2.214% | 3,010,328 | 2,998,176 | |
CMO Series 2015-H16 Class FL | ||||
1-month USD LIBOR + 0.440% Floor 0.440%, Cap 11.000% 07/20/2065 | 2.214% | 1,664,229 | 1,657,348 | |
CMO Series 2015-H18 Class FA | ||||
1-month USD LIBOR + 0.450% Floor 0.450%, Cap 11.000% 06/20/2065 | 2.224% | 1,039,386 | 1,036,562 | |
Government National Mortgage Association(c) | ||||
CMO Series 2014-168 Class VB | ||||
06/16/2047 | 3.400% | 3,223,281 | 3,350,666 | |
Total Commercial Mortgage-Backed Securities - Agency (Cost $270,327,487) | 283,720,678 | |||
Commercial Mortgage-Backed Securities - Non-Agency 3.3% | ||||
American Homes 4 Rent Trust(a) | ||||
Series 2014-SFR2 Class A | ||||
10/17/2036 | 3.786% | 2,377,037 | 2,483,763 | |
Series 2014-SFR2 Class E | ||||
10/17/2036 | 6.231% | 500,000 | 546,507 | |
Series 2014-SFR3 Class A | ||||
12/17/2036 | 3.678% | 1,051,991 | 1,081,784 | |
Series 2014-SFR3 Class E | ||||
12/17/2036 | 6.418% | 1,000,000 | 1,119,191 | |
Series 2015-SFR1 Class A | ||||
04/17/2052 | 3.467% | 1,143,437 | 1,166,198 | |
Series 2015-SFR1 Class E | ||||
04/17/2052 | 5.639% | 1,150,000 | 1,231,631 | |
Subordinated, Series 2014-SFR3 Class C | ||||
12/17/2036 | 4.596% | 200,000 | 211,630 | |
Subordinated, Series 2015-SFR2 Class D | ||||
10/17/2045 | 5.036% | 2,000,000 | 2,150,766 | |
Subordinated, Series 2015-SFR2 Class E | ||||
10/17/2045 | 6.070% | 1,820,000 | 2,005,241 | |
Americold 2010 LLC Trust(a),(f) | ||||
Series 2017-TL Class A | ||||
12/26/2037 | 3.000% | 2,840,000 | 2,840,000 | |
B2R Mortgage Trust(a) | ||||
Series 2015-2 Class A | ||||
11/15/2048 | 3.336% | 691,844 | 693,830 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Barclays Commercial Mortgage Trust | ||||
Series 2019-C5 Class A4 | ||||
11/15/2052 | 3.063% | 1,292,000 | 1,334,037 | |
BBCMS Mortgage Trust | ||||
Series 2018-C2 Class A5 | ||||
12/15/2051 | 4.314% | 2,250,000 | 2,531,118 | |
Series 2018-C2 Class ASB | ||||
12/15/2051 | 4.236% | 3,294,000 | 3,615,442 | |
BB-UBS Trust(a) | ||||
Series 2012-SHOW Class A | ||||
11/05/2036 | 3.430% | 3,700,000 | 3,834,542 | |
Series 2012-TFT Class A | ||||
06/05/2030 | 2.892% | 386,000 | 385,957 | |
Bear Stearns Commercial Mortgage Securities Trust(a),(c),(g) | ||||
CMO Series 2007-T26 Class X1 | ||||
01/12/2045 | 0.006% | 12,858,390 | 5,632 | |
Benchmark Mortgage Trust | ||||
Series 2018-B1 Class ASB | ||||
01/15/2051 | 3.602% | 449,000 | 474,954 | |
Series 2019-B13 Class A4 | ||||
08/15/2057 | 2.952% | 842,000 | 862,456 | |
Series 2019-B14 Class A5 | ||||
12/15/2061 | 3.049% | 613,000 | 632,979 | |
Camden Property Trust(a),(d),(f) | ||||
Series 2016-SFR1 Class A | ||||
12/05/2026 | 5.000% | 4,840,406 | 4,829,818 | |
CD Mortgage Trust(c) | ||||
Series 2017-CD4 Class A4 | ||||
05/10/2050 | 3.514% | 961,000 | 1,022,125 | |
CD Mortgage Trust | ||||
Series 2017-CD6 Class ASB | ||||
11/13/2050 | 3.332% | 1,499,000 | 1,565,863 | |
CFCRE Commercial Mortgage Trust | ||||
Series 2017-C8 Class A1 | ||||
06/15/2050 | 1.965% | 221,701 | 221,266 | |
Series 2017-C8 Class ASB | ||||
06/15/2050 | 3.367% | 1,040,000 | 1,077,687 | |
Citigroup Commercial Mortgage Trust | ||||
Series 2019-GC43 Class A4 | ||||
11/10/2052 | 3.038% | 1,612,000 | 1,660,912 | |
Citigroup/Deutsche Bank Commercial Mortgage Trust(a),(c),(g) | ||||
CMO Series 2006-CD2 Class X | ||||
01/15/2046 | 0.023% | 4,581,319 | 32 | |
CMO Series 2007-CD4 Class XC | ||||
12/11/2049 | 1.302% | 51,354 | 2,107 | |
COBALT CMBS Commercial Mortgage Trust(c),(g) | ||||
CMO Series 2006-C1 Class | ||||
08/15/2048 | 0.875% | 387,227 | 2,433 |
188 | Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Core Bond Fund, December 31, 2019
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Colony American Finance Ltd.(a) | ||||
Series 2016-2 Class A | ||||
11/15/2048 | 2.554% | 852,206 | 852,070 | |
COMM Mortgage Trust | ||||
Series 2018-COR3 Class A3 | ||||
05/10/2051 | 4.228% | 1,988,000 | 2,216,485 | |
Series 2019-GC44 Class A5 | ||||
08/15/2057 | 2.950% | 956,000 | 977,323 | |
COMM Mortgage Trust(a) | ||||
Series 2018-HOME Class A | ||||
04/10/2033 | 3.815% | 3,125,000 | 3,357,944 | |
Commercial Mortgage Trust(c),(g) | ||||
CMO Series 2012-CR2 Class XA | ||||
08/15/2045 | 1.635% | 2,047,467 | 68,580 | |
Commercial Mortgage Trust | ||||
Series 2012-LC4 Class A4 | ||||
12/10/2044 | 3.288% | 4,770,419 | 4,846,030 | |
Series 2014-CR19 Class ASB | ||||
08/10/2047 | 3.499% | 1,033,880 | 1,064,436 | |
Series 2014-UBS2 Class A5 | ||||
03/10/2047 | 3.961% | 1,396,375 | 1,481,278 | |
Series 2015-CR25 Class A4 | ||||
08/10/2048 | 3.759% | 2,187,000 | 2,333,903 | |
Commercial Mortgage Trust(a) | ||||
Series 2013-300P Class A1 | ||||
08/10/2030 | 4.353% | 2,000,000 | 2,117,050 | |
Commercial Mortgage Trust(c) | ||||
Series 2013-CR9 Class A4 | ||||
07/10/2045 | 4.222% | 1,775,000 | 1,885,357 | |
Commercial Mortgage Trust(a),(c) | ||||
Series 2013-SFS Class A2 | ||||
04/12/2035 | 2.987% | 624,000 | 636,229 | |
Corevest American Finance Trust(a) | ||||
Subordinated Series 2019-1 Class B | ||||
03/15/2052 | 3.880% | 1,960,000 | 2,084,246 | |
CoreVest American Finance Trust(a) | ||||
Series 2019-3 Class A | ||||
10/15/2052 | 2.705% | 2,197,268 | 2,187,509 | |
Credit Suisse Commercial Mortgage Trust(d),(f) | ||||
Series 2019-SFR Class A1 | ||||
07/25/2023 | 3.500% | 2,584,712 | 2,584,634 | |
Credit Suisse Mortgage Capital Certificates Trust | ||||
Series 2016-NXSR Class A4 | ||||
12/15/2049 | 3.795% | 2,744,000 | 2,930,460 | |
CSAIL Commercial Mortgage Trust | ||||
Series 2015-C2 Class A4 | ||||
06/15/2057 | 3.504% | 931,000 | 974,975 | |
Series 2015-C3 Class A4 | ||||
08/15/2048 | 3.718% | 1,156,000 | 1,222,449 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2015-C4 Class A4 | ||||
11/15/2048 | 3.808% | 1,279,000 | 1,363,674 | |
Series 2019-C17 Class A5 | ||||
09/15/2052 | 3.016% | 973,000 | 994,490 | |
Series 2019-C18 Class A4 | ||||
12/15/2052 | 2.968% | 637,000 | 647,800 | |
DBJPM Mortgage Trust | ||||
Series 2017-C6 Class ASB | ||||
06/10/2050 | 3.121% | 347,000 | 358,138 | |
Greenwich Capital Commercial Funding Corp.(c) | ||||
Series 2006-GG7 Class AM | ||||
07/10/2038 | 5.619% | 46,433 | 46,691 | |
GS Mortgage Securities Corp. II(a) | ||||
Series 2012-ALOH Class A | ||||
04/10/2034 | 3.551% | 2,000,000 | 2,044,738 | |
GS Mortgage Securities Corp. Trust(a),(c),(g) | ||||
CMO Series 2006-GG8 Class X | ||||
11/10/2039 | 1.047% | 1,744,861 | 8,636 | |
GS Mortgage Securities Trust | ||||
Series 2015-GC28 Class A5 | ||||
02/10/2048 | 3.396% | 422,000 | 441,082 | |
Series 2015-GC32 Class AAB | ||||
07/10/2048 | 3.513% | 7,000,000 | 7,261,516 | |
Series 2015-GC34 Class A4 | ||||
10/10/2048 | 3.506% | 1,030,000 | 1,086,867 | |
Series 2017-GS6 Class A3 | ||||
05/10/2050 | 3.433% | 3,300,000 | 3,485,242 | |
Series 2017-GS7 Class A4 | ||||
08/10/2050 | 3.430% | 1,633,000 | 1,728,159 | |
Series 2019-GSA1 Class A4 | ||||
11/10/2052 | 3.048% | 903,000 | 924,189 | |
Independence Plaza Trust(a) | ||||
Series 2018-INDP Class A | ||||
07/10/2035 | 3.763% | 2,060,000 | 2,150,092 | |
JPMBB Commercial Mortgage Securities Trust | ||||
Series 2014-C23 Class A4 | ||||
09/15/2047 | 3.670% | 708,000 | 746,048 | |
Series 2015-C28 Class A3 | ||||
10/15/2048 | 2.912% | 3,279,000 | 3,344,754 | |
Series 2015-C33 Class A4 | ||||
12/15/2048 | 3.770% | 500,000 | 535,269 | |
JPMCC Commercial Mortgage Securities Trust | ||||
Series 2017-JP6 Class ASB | ||||
07/15/2050 | 3.283% | 2,855,000 | 2,969,342 | |
JPMDB Commercial Mortgage Securities Trust | ||||
Series 2017-C5 Class A5 | ||||
03/15/2050 | 3.694% | 522,000 | 559,381 |
Variable Portfolio Funds | Annual Report 2019 | 189 |
Variable Portfolio – Partners Core Bond Fund, December 31, 2019
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2018-C8 Class ASB | ||||
06/15/2051 | 4.145% | 722,000 | 784,121 | |
Series 2019-COR6 Class A4 | ||||
11/13/2052 | 3.057% | 1,275,000 | 1,314,282 | |
JPMorgan Chase Commercial Mortgage Securities Trust(c),(g) | ||||
CMO Series 2006-CB15 Class X1 | ||||
06/12/2043 | 0.152% | 4,300,614 | 14,992 | |
JPMorgan Chase Commercial Mortgage Securities Trust(a),(c),(g) | ||||
CMO Series 2010-C2 Class XA | ||||
11/15/2043 | 1.530% | 3,758,012 | 19,607 | |
JPMorgan Chase Commercial Mortgage Securities Trust | ||||
Series 2016-JP2 Class A1 | ||||
08/15/2049 | 1.324% | 365,911 | 363,962 | |
KGS-Alpha SBA COOF Trust(a),(c),(f),(g) | ||||
CMO Series 2012-2 Class A | ||||
08/25/2038 | 0.828% | 2,132,869 | 38,658 | |
CMO Series 2013-2 Class A | ||||
03/25/2039 | 1.700% | 3,136,848 | 122,533 | |
CMO Series 2014-2 Class A | ||||
04/25/2040 | 2.918% | 773,026 | 57,252 | |
Ladder Capital Commercial Mortgage Trust(a) | ||||
Series 2013-GCP Class A2 | ||||
02/15/2036 | 3.985% | 1,535,000 | 1,663,885 | |
LB-UBS Commercial Mortgage Trust(a),(c),(g) | ||||
CMO Series 2006-C1 Class XCL | ||||
02/15/2041 | 0.380% | 1,915,924 | 207 | |
Merrill Lynch/Countrywide Commercial Mortgage Trust(a),(c),(g) | ||||
CMO Series 2006-4 Class XC | ||||
12/12/2049 | 0.559% | 304,513 | 3 | |
Morgan Stanley Bank of America Merrill Lynch Trust(c) | ||||
Series 2013-C10 Class A4 | ||||
07/15/2046 | 4.081% | 167,000 | 176,702 | |
Morgan Stanley Bank of America Merrill Lynch Trust | ||||
Series 2015-C25 Class ASB | ||||
10/15/2048 | 3.383% | 711,000 | 735,216 | |
Morgan Stanley Capital I Trust(a),(c),(g) | ||||
CMO Series 2006-IQ12 Class X1 | ||||
12/15/2043 | 0.713% | 656,111 | 7 | |
CMO Series 2006-T21 Class X | ||||
10/12/2052 | 0.077% | 3,727,433 | 2,523 | |
CMO Series 2007-HQ11 Class X | ||||
02/12/2044 | 0.217% | 480,163 | 580 | |
Morgan Stanley Capital I Trust | ||||
Series 2018-L1 Class A4 | ||||
10/15/2051 | 4.407% | 888,000 | 1,003,378 | |
Series 2019-L3 Class A4 | ||||
11/15/2029 | 3.127% | 765,000 | 789,783 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
MRCD MARK Mortgage Trust(a) | ||||
Series 2019-PARK Class D | ||||
12/15/2036 | 2.718% | 2,375,000 | 2,291,854 | |
RBS Commercial Funding, Inc., Trust(a) | ||||
Series 2013-SMV Class A | ||||
03/11/2031 | 3.260% | 797,000 | 813,604 | |
Starwood Waypoint Homes Trust(d),(f) | ||||
Series 2019-STL Class A | ||||
10/11/2026 | 7.250% | 2,300,000 | 2,300,000 | |
UBS-Barclays Commercial Mortgage Trust | ||||
Series 2013-C6 Class A4 | ||||
04/10/2046 | 3.244% | 857,000 | 881,722 | |
VNDO Mortgage Trust(a) | ||||
Series 2012-6AVE Class A | ||||
11/15/2030 | 2.996% | 1,165,409 | 1,186,104 | |
Series 2013-PENN Class A | ||||
12/13/2029 | 3.808% | 3,000,000 | 3,029,816 | |
Wachovia Bank Commercial Mortgage Trust(a),(c),(g) | ||||
CMO Series 2004-C12 Class | ||||
07/15/2041 | 0.224% | 2,791,938 | 28 | |
CMO Series 2006-C24 Class XC | ||||
03/15/2045 | 0.073% | 530,595 | 5 | |
Wells Fargo Commercial Mortgage Trust(a),(c) | ||||
Series 2013-120B Class A | ||||
03/18/2028 | 2.710% | 2,000,000 | 1,997,689 | |
Wells Fargo Commercial Mortgage Trust | ||||
Series 2014-LC16 | ||||
08/15/2050 | 2.819% | 55,226 | 55,171 | |
WF-RBS Commercial Mortgage Trust(a) | ||||
Series 2011-C3 Class A4 | ||||
03/15/2044 | 4.375% | 1,200,000 | 1,226,280 | |
WF-RBS Commercial Mortgage Trust | ||||
Series 2012-C6 Class A4 | ||||
04/15/2045 | 3.440% | 960,000 | 977,485 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $124,073,066) | 125,954,416 | |||
Corporate Bonds & Notes 24.1% | ||||
Aerospace & Defense 0.5% | ||||
Airbus Finance BV(a) | ||||
04/17/2023 | 2.700% | 589,000 | 599,192 | |
Airbus Group SE(a) | ||||
04/10/2027 | 3.150% | 409,000 | 425,048 | |
04/10/2047 | 3.950% | 150,000 | 165,556 | |
Boeing Co. (The) | ||||
05/01/2022 | 2.700% | 1,326,000 | 1,346,264 | |
05/01/2026 | 3.100% | 1,696,000 | 1,751,234 | |
02/01/2027 | 2.700% | 1,693,000 | 1,713,733 | |
02/01/2030 | 2.950% | 1,112,000 | 1,134,849 |
190 | Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Core Bond Fund, December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
03/01/2039 | 3.500% | 652,000 | 671,729 | |
05/01/2049 | 3.900% | 820,000 | 887,545 | |
02/01/2050 | 3.750% | 234,000 | 248,812 | |
08/01/2059 | 3.950% | 685,000 | 733,652 | |
Harris Corp. | ||||
04/27/2035 | 4.854% | 310,000 | 365,769 | |
Lockheed Martin Corp. | ||||
05/15/2036 | 4.500% | 400,000 | 474,999 | |
12/15/2042 | 4.070% | 639,000 | 730,560 | |
Northrop Grumman Corp. | ||||
10/15/2022 | 2.550% | 1,977,000 | 2,006,705 | |
08/01/2023 | 3.250% | 1,824,000 | 1,897,187 | |
01/15/2025 | 2.930% | 88,000 | 90,686 | |
01/15/2028 | 3.250% | 1,295,000 | 1,350,898 | |
10/15/2047 | 4.030% | 649,000 | 724,424 | |
Rockwell Collins, Inc. | ||||
03/15/2024 | 3.200% | 175,000 | 182,078 | |
04/15/2047 | 4.350% | 66,000 | 77,275 | |
Total | 17,578,195 | |||
Agencies 0.1% | ||||
Crowley Conro LLC | ||||
08/15/2043 | 4.181% | 742,080 | 815,667 | |
Israel Government AID Bond(h) | ||||
11/01/2024 | 0.000% | 5,000,000 | 4,496,052 | |
Total | 5,311,719 | |||
Airlines 0.4% | ||||
Air Canada Pass-Through Trust(a) | ||||
05/15/2025 | 4.125% | 1,711,060 | 1,812,224 | |
Series 2017-1 Class A | ||||
01/15/2030 | 3.550% | 516,147 | 523,481 | |
Series 2017-1 Class AA | ||||
01/15/2030 | 3.300% | 364,339 | 371,958 | |
American Airlines Pass-Through Trust | ||||
01/15/2023 | 4.950% | 416,159 | 434,700 | |
Series 2015-1 Class A | ||||
05/01/2027 | 3.375% | 505,383 | 523,200 | |
Series 2016-2 Class A | ||||
06/15/2028 | 3.650% | 187,990 | 194,922 | |
Series 2016-3 Class AA | ||||
10/15/2028 | 3.000% | 1,964,301 | 1,992,946 | |
Series 2017-1 Class AA | ||||
02/15/2029 | 3.650% | 601,107 | 632,004 | |
Series 2017-2 Class B | ||||
10/15/2025 | 3.700% | 191,725 | 192,709 | |
British Airways Pass-Through Trust(a) | ||||
Series 2018-1 Class A | ||||
09/20/2031 | 4.125% | 620,889 | 650,902 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2018-1 Class AA | ||||
09/20/2031 | 3.800% | 449,506 | 472,640 | |
Series 2019-1 Class AA | ||||
12/15/2032 | 3.300% | 654,918 | 679,105 | |
Continental Airlines Pass-Through Trust | ||||
04/19/2022 | 5.983% | 550,128 | 578,989 | |
10/29/2024 | 4.000% | 126,593 | 133,334 | |
Spirit Airlines Pass-Through Trust | ||||
02/15/2030 | 3.375% | 282,852 | 289,201 | |
U.S. Airways Pass-Through Trust | ||||
10/01/2024 | 5.900% | 292,511 | 324,549 | |
United Airlines, Inc. Pass-Through Trust | ||||
08/15/2025 | 4.300% | 228,052 | 244,344 | |
03/01/2026 | 4.600% | 234,302 | 241,654 | |
Series 2016-1 Class A | ||||
07/07/2028 | 3.450% | 498,220 | 513,322 | |
Series 2016-1 Class B | ||||
01/07/2026 | 3.650% | 114,170 | 115,151 | |
Series 2018-1 Class A | ||||
03/01/2030 | 3.700% | 445,381 | 456,019 | |
Series 2018-1 Class AA | ||||
03/01/2030 | 3.500% | 785,404 | 814,040 | |
Series 2019-1 Class A | ||||
08/25/2031 | 4.550% | 907,835 | 990,953 | |
Series 2019-1 Class AA | ||||
08/25/2031 | 4.150% | 1,016,773 | 1,097,145 | |
Total | 14,279,492 | |||
Apartment REIT 0.2% | ||||
ERP Operating LP | ||||
12/01/2028 | 4.150% | 480,000 | 538,560 | |
Mid-America Apartments LP | ||||
10/15/2023 | 4.300% | 642,000 | 684,797 | |
06/15/2024 | 3.750% | 1,497,000 | 1,578,452 | |
11/15/2025 | 4.000% | 767,000 | 831,767 | |
06/01/2027 | 3.600% | 425,000 | 452,619 | |
03/15/2029 | 3.950% | 626,000 | 683,192 | |
UDR, Inc. | ||||
09/01/2026 | 2.950% | 363,000 | 368,213 | |
01/15/2030 | 3.200% | 550,000 | 561,872 | |
08/15/2031 | 3.000% | 115,000 | 114,953 | |
Total | 5,814,425 | |||
Automotive 0.2% | ||||
BMW U.S. Capital LLC(a) | ||||
09/15/2023 | 2.250% | 720,000 | 719,967 | |
Ford Motor Co. | ||||
01/15/2043 | 4.750% | 2,987,000 | 2,655,854 |
Variable Portfolio Funds | Annual Report 2019 | 191 |
Variable Portfolio – Partners Core Bond Fund, December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Ford Motor Credit Co. LLC | ||||
11/01/2024 | 4.063% | 1,051,000 | 1,073,217 | |
General Motors Co. | ||||
04/01/2038 | 5.150% | 250,000 | 258,200 | |
04/01/2048 | 5.400% | 454,000 | 469,561 | |
04/01/2049 | 5.950% | 991,000 | 1,102,283 | |
General Motors Financial Co., Inc. | ||||
04/13/2024 | 3.950% | 600,000 | 626,815 | |
01/15/2025 | 4.000% | 335,000 | 351,677 | |
04/09/2025 | 4.350% | 515,000 | 550,223 | |
07/13/2025 | 4.300% | 1,525,000 | 1,628,358 | |
Total | 9,436,155 | |||
Banking 6.3% | ||||
ABN AMRO Bank NV(a) | ||||
06/04/2020 | 2.450% | 1,195,000 | 1,197,566 | |
Subordinated | ||||
07/28/2025 | 4.750% | 431,000 | 469,311 | |
AIB Group PLC(a) | ||||
10/12/2023 | 4.750% | 875,000 | 940,819 | |
American Express Co. | ||||
Subordinated | ||||
12/05/2024 | 3.625% | 170,000 | 180,188 | |
American Express Credit Corp. | ||||
05/05/2021 | 2.250% | 331,000 | 332,616 | |
ANZ New Zealand International Ltd.(a) | ||||
08/06/2020 | 2.850% | 478,000 | 480,474 | |
ASB Bank Ltd.(a) | ||||
05/23/2024 | 3.125% | 860,000 | 882,583 | |
Australia & New Zealand Banking Group Ltd.(a) | ||||
Subordinated | ||||
05/19/2026 | 4.400% | 226,000 | 241,197 | |
Banco Santander SA | ||||
06/27/2024 | 2.706% | 2,000,000 | 2,027,460 | |
06/27/2029 | 3.306% | 1,000,000 | 1,031,959 | |
Bank of America Corp. | ||||
10/19/2020 | 2.625% | 225,000 | 226,215 | |
01/11/2023 | 3.300% | 3,287,000 | 3,402,126 | |
Subordinated | ||||
11/25/2027 | 4.183% | 1,781,000 | 1,933,524 | |
Bank of America Corp.(i) | ||||
01/20/2023 | 3.124% | 2,184,000 | 2,227,334 | |
04/24/2023 | 2.881% | 575,000 | 584,757 | |
12/20/2023 | 3.004% | 53,000 | 54,234 | |
07/23/2024 | 3.864% | 250,000 | 263,116 | |
10/01/2025 | 3.093% | 5,124,000 | 5,297,597 | |
10/22/2025 | 2.456% | 5,422,000 | 5,455,601 | |
04/23/2027 | 3.559% | 1,425,000 | 1,506,229 | |
04/24/2028 | 3.705% | 1,800,000 | 1,923,393 | |
12/20/2028 | 3.419% | 5,249,000 | 5,512,980 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
07/23/2029 | 4.271% | 3,123,000 | 3,471,671 | |
02/07/2030 | 3.974% | 1,718,000 | 1,886,258 | |
04/23/2040 | 4.078% | 455,000 | 517,266 | |
03/15/2050 | 4.330% | 973,000 | 1,168,875 | |
Bank of America NA | ||||
Subordinated | ||||
10/15/2036 | 6.000% | 700,000 | 963,044 | |
Bank of Montreal | ||||
02/05/2024 | 3.300% | 700,000 | 729,643 | |
Bank of Montreal(i) | ||||
Subordinated | ||||
12/15/2032 | 3.803% | 583,000 | 611,184 | |
Bank of New York Mellon Corp. (The)(i) | ||||
05/16/2023 | 2.661% | 200,000 | 203,025 | |
Bank of New York Mellon Corp. (The) | ||||
08/16/2023 | 2.200% | 1,100,000 | 1,111,358 | |
11/18/2025 | 3.950% | 575,000 | 629,797 | |
Bank of Nova Scotia (The) | ||||
Subordinated | ||||
12/16/2025 | 4.500% | 490,000 | 539,860 | |
Banque Federative du Credit Mutuel SA(a) | ||||
07/20/2023 | 3.750% | 500,000 | 524,599 | |
11/21/2024 | 2.375% | 1,515,000 | 1,512,038 | |
Barclays PLC | ||||
03/16/2025 | 3.650% | 1,100,000 | 1,150,377 | |
Barclays PLC(i) | ||||
06/20/2030 | 5.088% | 949,000 | 1,057,854 | |
BB&T Corp. | ||||
08/01/2024 | 2.500% | 3,696,000 | 3,743,816 | |
BNP Paribas SA(a) | ||||
03/01/2023 | 3.500% | 1,000,000 | 1,035,693 | |
BNP Paribas SA(a),(i) | ||||
11/19/2025 | 2.819% | 5,071,000 | 5,132,648 | |
BNZ International Funding Ltd.(a) | ||||
09/14/2021 | 2.100% | 450,000 | 450,728 | |
02/21/2022 | 2.900% | 800,000 | 813,353 | |
11/03/2022 | 2.650% | 600,000 | 607,701 | |
BPCE SA | ||||
12/02/2026 | 3.375% | 700,000 | 735,507 | |
BPCE SA(a) | ||||
Subordinated | ||||
07/11/2024 | 4.625% | 500,000 | 538,130 | |
Capital One Financial Corp. | ||||
01/29/2024 | 3.900% | 1,075,000 | 1,141,213 | |
Subordinated | ||||
10/29/2025 | 4.200% | 700,000 | 755,441 | |
Citibank NA | ||||
01/23/2024 | 3.650% | 2,000,000 | 2,117,146 |
192 | Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Core Bond Fund, December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Citigroup, Inc. | ||||
04/25/2022 | 2.750% | 900,000 | 914,233 | |
12/01/2025 | 7.000% | 765,000 | 928,266 | |
10/21/2026 | 3.200% | 1,616,000 | 1,676,445 | |
01/15/2028 | 6.625% | 215,000 | 272,642 | |
07/23/2048 | 4.650% | 600,000 | 750,238 | |
Citigroup, Inc.(i) | ||||
01/24/2023 | 3.142% | 500,000 | 510,023 | |
04/24/2025 | 3.352% | 645,000 | 671,265 | |
07/24/2028 | 3.668% | 600,000 | 638,776 | |
03/20/2030 | 3.980% | 2,501,000 | 2,733,321 | |
11/05/2030 | 2.976% | 1,771,000 | 1,798,261 | |
01/24/2039 | 3.878% | 100,000 | 110,279 | |
Citizens Bank NA | ||||
03/29/2023 | 3.700% | 250,000 | 261,382 | |
Citizens Financial Group, Inc. | ||||
Subordinated | ||||
12/03/2025 | 4.300% | 386,000 | 416,244 | |
Comerica, Inc. | ||||
02/01/2029 | 4.000% | 700,000 | 764,595 | |
Commonwealth Bank of Australia(a) | ||||
09/06/2021 | 2.000% | 500,000 | 501,109 | |
03/16/2023 | 3.450% | 540,000 | 562,659 | |
05/18/2026 | 2.850% | 540,000 | 551,468 | |
Subordinated | ||||
12/09/2025 | 4.500% | 703,000 | 762,803 | |
09/12/2039 | 3.743% | 512,000 | 512,491 | |
Commonwealth Bank of Australia(a),(i) | ||||
Subordinated | ||||
09/12/2034 | 3.610% | 1,281,000 | 1,295,673 | |
Compass Bank | ||||
06/11/2021 | 3.500% | 450,000 | 457,892 | |
Cooperatieve Rabobank UA(a) | ||||
09/30/2110 | 5.800% | 500,000 | 730,019 | |
Cooperatieve Rabobank UA | ||||
Subordinated | ||||
08/04/2025 | 4.375% | 589,000 | 640,051 | |
07/21/2026 | 3.750% | 712,000 | 743,128 | |
Credit Agricole SA(a) | ||||
04/24/2023 | 3.750% | 250,000 | 261,385 | |
01/22/2025 | 2.375% | 2,332,000 | 2,329,207 | |
Subordinated | ||||
03/17/2025 | 4.375% | 340,000 | 365,399 | |
Credit Suisse Group AG(a) | ||||
01/09/2023 | 3.574% | 1,225,000 | 1,257,696 | |
Credit Suisse Group AG(a),(i) | ||||
09/11/2025 | 2.593% | 770,000 | 772,259 | |
01/12/2029 | 3.869% | 250,000 | 267,136 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Credit Suisse Group Funding Guernsey Ltd. | ||||
06/09/2023 | 3.800% | 650,000 | 680,765 | |
03/26/2025 | 3.750% | 500,000 | 529,967 | |
Danske Bank A/S(a) | ||||
03/02/2022 | 2.700% | 542,000 | 545,721 | |
Danske Bank A/S(a),(i) | ||||
12/20/2025 | 3.244% | 3,041,000 | 3,076,036 | |
Danske Bank AS(a),(i) | ||||
09/20/2022 | 3.001% | 3,153,000 | 3,180,741 | |
Discover Bank | ||||
07/27/2026 | 3.450% | 633,000 | 658,757 | |
Fifth Third Bancorp | ||||
01/25/2024 | 3.650% | 525,000 | 553,868 | |
03/14/2028 | 3.950% | 400,000 | 440,488 | |
Goldman Sachs Group, Inc. (The)(i) | ||||
06/05/2023 | 2.908% | 900,000 | 914,625 | |
07/24/2023 | 2.905% | 652,000 | 663,464 | |
09/29/2025 | 3.272% | 887,000 | 918,822 | |
06/05/2028 | 3.691% | 1,744,000 | 1,853,035 | |
Goldman Sachs Group, Inc. (The) | ||||
01/23/2025 | 3.500% | 578,000 | 606,654 | |
05/22/2025 | 3.750% | 4,028,000 | 4,275,836 | |
11/16/2026 | 3.500% | 900,000 | 947,240 | |
01/26/2027 | 3.850% | 2,122,000 | 2,258,931 | |
07/08/2044 | 4.800% | 615,000 | 741,628 | |
Subordinated | ||||
10/21/2025 | 4.250% | 531,000 | 577,300 | |
HSBC Holdings PLC | ||||
04/05/2021 | 5.100% | 1,700,000 | 1,762,693 | |
03/30/2022 | 4.000% | 306,000 | 319,015 | |
03/08/2026 | 4.300% | 855,000 | 931,459 | |
Subordinated | ||||
03/14/2024 | 4.250% | 2,500,000 | 2,656,169 | |
HSBC Holdings PLC(i) | ||||
11/22/2023 | 3.033% | 288,000 | 294,676 | |
05/18/2024 | 3.950% | 657,000 | 690,331 | |
03/11/2025 | 3.803% | 1,691,000 | 1,775,572 | |
03/13/2028 | 4.041% | 1,304,000 | 1,394,860 | |
05/22/2030 | 3.973% | 1,324,000 | 1,426,792 | |
Subordinated | ||||
11/07/2025 | 2.633% | 2,288,000 | 2,291,713 | |
Huntington Bancshares, Inc. | ||||
03/14/2021 | 3.150% | 141,000 | 142,861 | |
01/14/2022 | 2.300% | 352,000 | 353,809 | |
ING Groep NV | ||||
04/09/2024 | 3.550% | 875,000 | 916,966 |
Variable Portfolio Funds | Annual Report 2019 | 193 |
Variable Portfolio – Partners Core Bond Fund, December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
JPMorgan Chase & Co.(i) | ||||
04/23/2024 | 3.559% | 614,000 | 639,917 | |
07/23/2024 | 3.797% | 307,000 | 323,618 | |
12/05/2024 | 4.023% | 596,000 | 635,675 | |
03/01/2025 | 3.220% | 355,000 | 367,969 | |
10/15/2025 | 2.301% | 2,760,000 | 2,756,856 | |
04/23/2029 | 4.005% | 803,000 | 881,388 | |
05/06/2030 | 3.702% | 307,000 | 330,849 | |
10/15/2030 | 2.739% | 3,910,000 | 3,915,642 | |
07/24/2038 | 3.882% | 916,000 | 1,013,756 | |
01/23/2049 | 3.897% | 1,130,000 | 1,269,726 | |
JPMorgan Chase & Co. | ||||
10/01/2026 | 2.950% | 1,130,000 | 1,165,662 | |
KeyBank NA | ||||
05/22/2022 | 3.180% | 1,373,000 | 1,399,760 | |
KeyCorp | ||||
10/01/2029 | 2.550% | 2,340,000 | 2,290,262 | |
Lloyds Banking Group PLC | ||||
03/22/2028 | 4.375% | 392,000 | 432,828 | |
Subordinated | ||||
12/10/2025 | 4.582% | 500,000 | 542,225 | |
Macquarie Bank Ltd.(a) | ||||
07/29/2025 | 4.000% | 960,000 | 1,028,221 | |
01/15/2026 | 3.900% | 370,000 | 392,271 | |
Macquarie Group Ltd.(a) | ||||
01/14/2020 | 6.000% | 600,000 | 600,804 | |
01/14/2021 | 6.250% | 926,000 | 964,099 | |
Macquarie Group Ltd.(a),(i) | ||||
11/28/2028 | 3.763% | 340,000 | 355,497 | |
01/15/2030 | 5.033% | 1,145,000 | 1,306,137 | |
Mitsubishi UFJ Financial Group, Inc. | ||||
03/01/2021 | 2.950% | 382,000 | 386,389 | |
02/22/2022 | 2.998% | 177,000 | 180,368 | |
07/26/2023 | 3.761% | 775,000 | 815,543 | |
09/13/2023 | 2.527% | 384,000 | 387,885 | |
03/07/2024 | 3.407% | 755,000 | 787,649 | |
07/18/2039 | 3.751% | 710,000 | 778,011 | |
Mizuho Financial Group, Inc. | ||||
02/28/2022 | 2.953% | 435,000 | 442,798 | |
Mizuho Financial Group, Inc.(i) | ||||
07/16/2023 | 2.721% | 1,605,000 | 1,622,816 | |
07/16/2030 | 3.153% | 967,000 | 986,890 | |
09/13/2030 | 2.869% | 642,000 | 640,971 | |
Morgan Stanley | ||||
01/26/2020 | 5.500% | 600,000 | 601,404 | |
07/24/2020 | 5.500% | 324,000 | 330,431 | |
01/25/2021 | 5.750% | 372,000 | 386,474 | |
07/28/2021 | 5.500% | 4,335,000 | 4,566,003 | |
11/17/2021 | 2.625% | 2,448,000 | 2,476,363 | |
10/23/2024 | 3.700% | 800,000 | 849,655 | |
07/23/2025 | 4.000% | 2,053,000 | 2,222,145 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
01/20/2027 | 3.625% | 1,547,000 | 1,648,316 | |
01/27/2045 | 4.300% | 500,000 | 590,881 | |
Morgan Stanley(i) | ||||
04/24/2024 | 3.737% | 130,000 | 135,828 | |
07/22/2028 | 3.591% | 889,000 | 944,269 | |
01/24/2029 | 3.772% | 333,000 | 358,271 | |
07/22/2038 | 3.971% | 295,000 | 328,601 | |
04/22/2039 | 4.457% | 1,206,000 | 1,420,854 | |
National Australia Bank Ltd.(a),(i) | ||||
Subordinated | ||||
08/02/2034 | 3.933% | 935,000 | 971,394 | |
Nationwide Building Society(a),(i) | ||||
08/01/2024 | 4.363% | 1,502,000 | 1,590,684 | |
NatWest Markets PLC(a) | ||||
09/29/2022 | 3.625% | 1,225,000 | 1,268,946 | |
Nordea Bank Abp(a) | ||||
01/27/2020 | 4.875% | 300,000 | 300,588 | |
09/17/2020 | 2.500% | 3,500,000 | 3,511,727 | |
Subordinated | ||||
09/21/2022 | 4.250% | 910,000 | 953,590 | |
Northern Trust Corp.(i) | ||||
Junior Subordinated | ||||
05/08/2032 | 3.375% | 231,000 | 238,102 | |
PNC Bank NA | ||||
Subordinated | ||||
01/30/2023 | 2.950% | 570,000 | 582,936 | |
Rabobank Nederland NY | ||||
01/10/2022 | 2.750% | 620,000 | 629,891 | |
Regions Financial Corp. | ||||
08/14/2023 | 3.800% | 385,000 | 407,653 | |
Royal Bank of Canada | ||||
10/05/2023 | 3.700% | 1,000,000 | 1,058,099 | |
11/01/2024 | 2.250% | 2,669,000 | 2,679,711 | |
Royal Bank of Scotland Group PLC(i) | ||||
03/22/2025 | 4.269% | 540,000 | 573,447 | |
05/08/2030 | 4.445% | 1,011,000 | 1,117,782 | |
Subordinated | ||||
11/01/2029 | 3.754% | 800,000 | 816,767 | |
Santander UK Group Holdings PLC(a) | ||||
Subordinated | ||||
09/15/2025 | 4.750% | 640,000 | 689,733 | |
Societe Generale SA(a) | ||||
03/28/2024 | 3.875% | 725,000 | 761,811 | |
10/16/2024 | 2.625% | 1,804,000 | 1,804,031 | |
Subordinated | ||||
04/14/2025 | 4.250% | 900,000 | 940,500 | |
SouthTrust Bank | ||||
Subordinated | ||||
05/15/2025 | 7.690% | 500,000 | 616,204 |
194 | Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Core Bond Fund, December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Standard Chartered PLC(a),(i) | ||||
01/20/2023 | 4.247% | 600,000 | 621,459 | |
05/21/2030 | 4.305% | 350,000 | 381,882 | |
Subordinated | ||||
03/15/2033 | 4.866% | 700,000 | 761,316 | |
State Street Corp.(i) | ||||
05/15/2023 | 2.653% | 250,000 | 253,943 | |
12/03/2024 | 3.776% | 300,000 | 317,346 | |
11/01/2025 | 2.354% | 2,310,000 | 2,314,955 | |
State Street Corp. | ||||
05/15/2023 | 3.100% | 630,000 | 650,196 | |
Sumitomo Mitsui Financial Group, Inc. | ||||
01/11/2022 | 2.846% | 1,200,000 | 1,219,467 | |
10/18/2022 | 2.778% | 452,000 | 460,740 | |
07/16/2024 | 2.696% | 3,114,000 | 3,158,522 | |
07/14/2026 | 2.632% | 590,000 | 590,978 | |
10/19/2026 | 3.010% | 297,000 | 304,171 | |
07/16/2029 | 3.040% | 4,328,000 | 4,421,883 | |
SunTrust Bank | ||||
Subordinated | ||||
05/15/2026 | 3.300% | 500,000 | 522,027 | |
SunTrust Banks, Inc. | ||||
01/27/2022 | 2.700% | 355,000 | 359,802 | |
05/01/2025 | 4.000% | 191,000 | 207,000 | |
Svenska Handelsbanken AB | ||||
10/01/2020 | 2.400% | 1,500,000 | 1,505,391 | |
Synchrony Financial | ||||
08/04/2026 | 3.700% | 300,000 | 310,616 | |
Truist Bank | ||||
12/06/2024 | 2.150% | 2,358,000 | 2,355,631 | |
U.S. Bancorp | ||||
01/24/2022 | 2.625% | 309,000 | 314,221 | |
Subordinated | ||||
04/27/2026 | 3.100% | 735,000 | 766,103 | |
UBS Group AG(a),(i) | ||||
08/13/2030 | 3.126% | 2,060,000 | 2,104,500 | |
UBS Group Funding Switzerland AG(a) | ||||
05/23/2023 | 3.491% | 960,000 | 988,049 | |
09/24/2025 | 4.125% | 200,000 | 217,620 | |
UBS Group Funding Switzerland AG(a),(i) | ||||
08/15/2023 | 2.859% | 200,000 | 203,022 | |
Wells Fargo & Co. | ||||
03/04/2021 | 2.500% | 460,000 | 463,146 | |
01/24/2023 | 3.069% | 796,000 | 812,338 | |
01/24/2024 | 3.750% | 600,000 | 634,576 | |
09/09/2024 | 3.300% | 750,000 | 786,711 | |
09/29/2025 | 3.550% | 2,000,000 | 2,119,324 | |
12/07/2046 | 4.750% | 752,000 | 905,395 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated | ||||
06/03/2026 | 4.100% | 777,000 | 836,888 | |
06/14/2046 | 4.400% | 698,000 | 801,520 | |
Wells Fargo & Co.(i) | ||||
06/17/2027 | 3.196% | 1,270,000 | 1,317,280 | |
Westpac Banking Corp. | ||||
05/13/2026 | 2.850% | 500,000 | 511,782 | |
Subordinated | ||||
07/24/2039 | 4.421% | 525,000 | 576,158 | |
Westpac Banking Corp.(i) | ||||
11/23/2031 | 4.322% | 600,000 | 633,846 | |
Subordinated | ||||
07/24/2034 | 4.110% | 737,000 | 774,437 | |
Total | 236,656,457 | |||
Brokerage/Asset Managers/Exchanges 0.1% | ||||
Brookfield Finance, Inc. | ||||
03/29/2029 | 4.850% | 840,000 | 967,663 | |
09/20/2047 | 4.700% | 369,000 | 426,072 | |
Charles Schwab Corp. (The) | ||||
05/22/2029 | 3.250% | 2,722,000 | 2,880,208 | |
Daiwa Securities Group, Inc.(a) | ||||
04/19/2022 | 3.129% | 305,000 | 310,305 | |
Invesco Finance PLC | ||||
01/15/2026 | 3.750% | 567,000 | 605,231 | |
Total | 5,189,479 | |||
Building Materials 0.0% | ||||
CRH America Finance, Inc.(a) | ||||
05/09/2027 | 3.400% | 311,000 | 323,542 | |
Martin Marietta Materials, Inc. | ||||
06/01/2027 | 3.450% | 395,000 | 410,554 | |
Masco Corp. | ||||
08/15/2032 | 6.500% | 540,000 | 661,722 | |
Total | 1,395,818 | |||
Cable and Satellite 0.8% | ||||
Charter Communications Operating LLC/Capital | ||||
07/23/2022 | 4.464% | 591,000 | 621,233 | |
04/01/2038 | 5.375% | 286,000 | 326,530 | |
05/01/2047 | 5.375% | 520,000 | 584,578 | |
03/01/2050 | 4.800% | 3,599,000 | 3,795,492 | |
Comcast Corp. | ||||
10/01/2021 | 3.450% | 1,519,000 | 1,563,301 | |
04/15/2024 | 3.700% | 1,210,000 | 1,290,534 | |
10/15/2025 | 3.950% | 1,678,000 | 1,831,080 | |
03/01/2026 | 3.150% | 622,000 | 652,163 | |
10/15/2028 | 4.150% | 616,000 | 693,525 | |
02/01/2030 | 2.650% | 2,376,000 | 2,387,115 |
Variable Portfolio Funds | Annual Report 2019 | 195 |
Variable Portfolio – Partners Core Bond Fund, December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
08/15/2034 | 4.200% | 400,000 | 460,874 | |
11/15/2035 | 6.500% | 1,378,000 | 1,945,481 | |
10/15/2038 | 4.600% | 2,242,000 | 2,673,946 | |
11/01/2039 | 3.250% | 640,000 | 649,645 | |
03/01/2048 | 4.000% | 918,000 | 1,017,203 | |
10/15/2048 | 4.700% | 307,000 | 378,790 | |
11/01/2049 | 3.999% | 500,000 | 555,193 | |
02/01/2050 | 3.450% | 795,000 | 816,264 | |
11/01/2052 | 4.049% | 800,000 | 898,655 | |
10/15/2058 | 4.950% | 1,343,000 | 1,748,447 | |
Cox Communications, Inc.(a) | ||||
08/15/2047 | 4.600% | 274,000 | 305,429 | |
TCI Communications, Inc. | ||||
02/15/2028 | 7.125% | 415,000 | 544,524 | |
Time Warner Cable LLC | ||||
05/01/2037 | 6.550% | 1,028,000 | 1,272,162 | |
06/15/2039 | 6.750% | 1,400,000 | 1,766,627 | |
Total | 28,778,791 | |||
Chemicals 0.4% | ||||
Air Liquide Finance SA(a) | ||||
09/27/2023 | 2.250% | 515,000 | 516,022 | |
Albemarle Corp. | ||||
12/01/2044 | 5.450% | 270,000 | 309,424 | |
Dow Chemical Co. (The) | ||||
10/01/2034 | 4.250% | 423,000 | 466,962 | |
DowDuPont, Inc. | ||||
11/15/2023 | 4.205% | 1,697,000 | 1,814,989 | |
11/15/2025 | 4.493% | 1,809,000 | 1,992,566 | |
11/15/2038 | 5.319% | 290,000 | 345,702 | |
Huntsman International LLC | ||||
11/15/2022 | 5.125% | 506,000 | 539,212 | |
05/01/2029 | 4.500% | 774,000 | 824,473 | |
International Flavors & Fragrances, Inc. | ||||
09/26/2028 | 4.450% | 210,000 | 229,796 | |
09/26/2048 | 5.000% | 261,000 | 294,375 | |
Mosaic Co. (The) | ||||
11/15/2027 | 4.050% | 704,000 | 733,220 | |
11/15/2033 | 5.450% | 1,036,000 | 1,179,520 | |
11/15/2043 | 5.625% | 438,000 | 518,239 | |
Nutrien Ltd. | ||||
04/01/2029 | 4.200% | 155,000 | 170,883 | |
03/15/2035 | 4.125% | 700,000 | 732,094 | |
04/01/2049 | 5.000% | 220,000 | 261,050 | |
Sherwin-Williams Co. (The) | ||||
06/01/2024 | 3.125% | 165,000 | 170,498 | |
Union Carbide Corp. | ||||
06/01/2025 | 7.500% | 300,000 | 366,264 | |
10/01/2096 | 7.750% | 920,000 | 1,293,658 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Westlake Chemical Corp. | ||||
08/15/2026 | 3.600% | 119,000 | 123,380 | |
11/15/2047 | 4.375% | 790,000 | 796,715 | |
Total | 13,679,042 | |||
Construction Machinery 0.1% | ||||
Caterpillar Financial Services Corp. | ||||
11/08/2024 | 2.150% | 1,646,000 | 1,651,627 | |
Caterpillar, Inc. | ||||
09/19/2029 | 2.600% | 751,000 | 756,221 | |
09/19/2049 | 3.250% | 871,000 | 874,546 | |
John Deere Capital Corp. | ||||
01/10/2024 | 3.450% | 180,000 | 189,758 | |
09/14/2026 | 2.250% | 385,000 | 384,951 | |
09/08/2027 | 2.800% | 700,000 | 720,386 | |
Total | 4,577,489 | |||
Consumer Cyclical Services 0.0% | ||||
Amazon.com, Inc. | ||||
08/22/2037 | 3.875% | 550,000 | 624,372 | |
Booking Holdings, Inc. | ||||
03/15/2023 | 2.750% | 321,000 | 327,917 | |
Total | 952,289 | |||
Consumer Products 0.1% | ||||
Estee Lauder Companies, Inc. (The) | ||||
12/01/2029 | 2.375% | 589,000 | 588,836 | |
Estee Lauder Cos, Inc. (The) | ||||
12/01/2049 | 3.125% | 1,121,000 | 1,122,814 | |
Mead Johnson Nutrition Co. | ||||
06/01/2044 | 4.600% | 350,000 | 417,244 | |
Unilever Capital Corp. | ||||
03/22/2025 | 3.375% | 230,000 | 243,525 | |
Total | 2,372,419 | |||
Diversified Manufacturing 0.5% | ||||
Eaton Corp. | ||||
04/01/2024 | 7.625% | 500,000 | 584,120 | |
General Electric Co. | ||||
09/16/2020 | 4.375% | 2,500,000 | 2,538,473 | |
10/09/2022 | 2.700% | 300,000 | 303,924 | |
01/09/2023 | 3.100% | 219,000 | 223,792 | |
01/05/2026 | 5.550% | 1,700,000 | 1,935,446 | |
01/14/2038 | 5.875% | 1,114,000 | 1,347,374 | |
Nvent Finance Sarl | ||||
04/15/2028 | 4.550% | 450,000 | 467,379 |
196 | Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Core Bond Fund, December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
United Technologies Corp. | ||||
06/01/2022 | 3.100% | 1,142,000 | 1,172,179 | |
08/16/2023 | 3.650% | 3,392,000 | 3,577,135 | |
05/04/2024 | 2.800% | 841,000 | 864,436 | |
08/16/2025 | 3.950% | 1,036,000 | 1,130,468 | |
11/16/2028 | 4.125% | 538,000 | 605,661 | |
07/15/2038 | 6.125% | 1,300,000 | 1,811,192 | |
11/16/2038 | 4.450% | 993,000 | 1,173,671 | |
06/01/2042 | 4.500% | 450,000 | 540,131 | |
11/01/2046 | 3.750% | 450,000 | 489,859 | |
11/16/2048 | 4.625% | 891,000 | 1,114,847 | |
WW Grainger, Inc. | ||||
06/15/2045 | 4.600% | 200,000 | 239,201 | |
Total | 20,119,288 | |||
Electric 1.9% | ||||
AEP Transmission Co., LLC | ||||
09/15/2049 | 3.150% | 440,000 | 429,201 | |
Alabama Power Co. | ||||
02/15/2033 | 5.700% | 467,000 | 595,186 | |
05/15/2038 | 6.125% | 70,000 | 96,178 | |
10/01/2049 | 3.450% | 1,532,000 | 1,569,649 | |
Appalachian Power Co. | ||||
03/01/2049 | 4.500% | 215,000 | 250,100 | |
Ausgrid Finance Pty Ltd.(a) | ||||
05/01/2023 | 3.850% | 850,000 | 884,699 | |
Baltimore Gas & Electric Co. | ||||
08/15/2046 | 3.500% | 376,000 | 383,846 | |
Berkshire Hathaway Energy Co. | ||||
11/15/2023 | 3.750% | 976,000 | 1,034,740 | |
02/01/2025 | 3.500% | 529,000 | 559,266 | |
Black Hills Corp. | ||||
10/15/2029 | 3.050% | 1,671,000 | 1,664,846 | |
10/15/2049 | 3.875% | 562,000 | 560,937 | |
CenterPoint Energy, Inc. | ||||
09/01/2022 | 2.500% | 126,000 | 127,116 | |
09/01/2024 | 2.500% | 1,358,000 | 1,360,163 | |
11/01/2028 | 4.250% | 911,000 | 988,869 | |
China Southern Power Grid International Finance BVI Co., Ltd.(a) | ||||
05/08/2027 | 3.500% | 720,000 | 752,093 | |
CMS Energy Corp. | ||||
08/15/2027 | 3.450% | 300,000 | 314,606 | |
Commonwealth Edison Co. | ||||
06/15/2046 | 3.650% | 243,000 | 256,556 | |
Connecticut Light & Power Co. (The) | ||||
04/01/2048 | 4.000% | 236,000 | 271,722 | |
Consolidated Edison Co. of New York, Inc. | ||||
06/15/2047 | 3.875% | 554,000 | 602,693 | |
Consumers Energy Co. | ||||
08/31/2064 | 4.350% | 547,000 | 634,270 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Dominion Energy, Inc. | ||||
08/15/2021 | 2.000% | 881,000 | 880,552 | |
08/01/2033 | 5.250% | 1,315,000 | 1,586,563 | |
DTE Electric Co. | ||||
06/15/2042 | 3.950% | 364,000 | 391,373 | |
DTE Energy Co. | ||||
10/01/2024 | 2.529% | 1,383,000 | 1,386,869 | |
Duke Energy Carolinas LLC | ||||
12/01/2028 | 6.000% | 600,000 | 748,615 | |
01/15/2038 | 6.000% | 226,000 | 306,249 | |
12/15/2041 | 4.250% | 313,000 | 357,738 | |
Duke Energy Corp. | ||||
09/01/2021 | 1.800% | 1,321,000 | 1,318,664 | |
09/01/2026 | 2.650% | 213,000 | 214,298 | |
Duke Energy Indiana LLC | ||||
05/15/2046 | 3.750% | 550,000 | 585,050 | |
Duke Energy Ohio, Inc. | ||||
02/01/2049 | 4.300% | 295,000 | 345,677 | |
Duke Energy Progress LLC | ||||
04/01/2035 | 5.700% | 300,000 | 377,373 | |
10/15/2046 | 3.700% | 323,000 | 343,424 | |
09/15/2047 | 3.600% | 300,000 | 314,395 | |
Duquesne Light Holdings, Inc.(a) | ||||
08/01/2027 | 3.616% | 700,000 | 700,525 | |
Edison International | ||||
06/15/2027 | 5.750% | 1,132,000 | 1,272,938 | |
03/15/2028 | 4.125% | 1,493,000 | 1,541,718 | |
Emera U.S. Finance LP | ||||
06/15/2046 | 4.750% | 600,000 | 693,533 | |
Enel Finance International NV(a) | ||||
09/14/2025 | 4.625% | 2,198,000 | 2,398,294 | |
05/25/2027 | 3.625% | 380,000 | 394,207 | |
04/06/2028 | 3.500% | 907,000 | 927,214 | |
06/14/2029 | 4.875% | 509,000 | 573,554 | |
10/07/2039 | 6.000% | 804,000 | 1,016,382 | |
05/25/2047 | 4.750% | 513,000 | 577,735 | |
Entergy Arkansas, Inc. | ||||
04/01/2026 | 3.500% | 307,000 | 324,194 | |
Entergy Corp. | ||||
09/01/2026 | 2.950% | 336,000 | 341,494 | |
Entergy Louisiana LLC | ||||
06/01/2031 | 3.050% | 472,000 | 487,089 | |
Eversource Energy | ||||
01/15/2025 | 3.150% | 304,000 | 313,660 | |
Exelon Generation Co. LLC | ||||
06/15/2022 | 4.250% | 384,000 | 401,647 | |
10/01/2039 | 6.250% | 300,000 | 360,434 |
Variable Portfolio Funds | Annual Report 2019 | 197 |
Variable Portfolio – Partners Core Bond Fund, December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
FirstEnergy Corp. | ||||
07/15/2022 | 2.850% | 278,000 | 282,430 | |
03/15/2023 | 4.250% | 1,590,000 | 1,676,254 | |
07/15/2027 | 3.900% | 1,179,000 | 1,262,024 | |
07/15/2047 | 4.850% | 558,000 | 658,896 | |
FirstEnergy Transmission LLC(a) | ||||
04/01/2049 | 4.550% | 325,000 | 373,205 | |
Florida Power & Light Co. | ||||
09/01/2035 | 5.400% | 600,000 | 752,108 | |
Fortis, Inc. | ||||
10/04/2026 | 3.055% | 620,000 | 633,212 | |
Interstate Power & Light Co. | ||||
09/30/2049 | 3.500% | 596,000 | 582,610 | |
ITC Holdings Corp. | ||||
11/15/2022 | 2.700% | 1,256,000 | 1,272,324 | |
Jersey Central Power & Light Co.(a) | ||||
01/15/2026 | 4.300% | 805,000 | 871,727 | |
Jersey Central Power & Light Co. | ||||
06/01/2037 | 6.150% | 150,000 | 193,704 | |
Kansas City Power & Light Co. | ||||
10/01/2041 | 5.300% | 750,000 | 946,429 | |
06/15/2047 | 4.200% | 400,000 | 461,420 | |
Metropolitan Edison Co.(a) | ||||
01/15/2029 | 4.300% | 989,000 | 1,107,743 | |
MidAmerican Energy Co. | ||||
11/01/2035 | 5.750% | 600,000 | 784,992 | |
Mid-Atlantic Interstate Transmission LLC(a) | ||||
05/15/2028 | 4.100% | 1,485,000 | 1,616,227 | |
Mississippi Power Co. | ||||
03/30/2028 | 3.950% | 1,537,000 | 1,675,898 | |
03/15/2042 | 4.250% | 923,000 | 988,573 | |
National Rural Utilities Cooperative Finance Corp. | ||||
03/15/2029 | 3.700% | 270,000 | 294,211 | |
Nevada Power Co. | ||||
04/01/2036 | 6.650% | 225,000 | 312,956 | |
09/15/2040 | 5.375% | 546,000 | 675,971 | |
New England Power Co.(a) | ||||
12/05/2047 | 3.800% | 168,000 | 176,306 | |
Niagara Mohawk Power Corp.(a) | ||||
10/01/2034 | 4.278% | 753,000 | 856,948 | |
Northern States Power Co. | ||||
06/01/2036 | 6.250% | 150,000 | 207,868 | |
03/01/2050 | 2.900% | 625,000 | 596,792 | |
NRG Energy, Inc.(a) | ||||
06/15/2029 | 4.450% | 585,000 | 614,835 | |
Oncor Electric Delivery Co. LLC | ||||
03/15/2029 | 5.750% | 155,000 | 194,459 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
PacifiCorp | ||||
10/15/2037 | 6.250% | 200,000 | 279,847 | |
Pennsylvania Electric Co.(a) | ||||
03/15/2028 | 3.250% | 677,000 | 695,055 | |
Potomac Electric Power Co. | ||||
12/15/2038 | 7.900% | 160,000 | 246,740 | |
03/15/2043 | 4.150% | 250,000 | 280,631 | |
PPL Capital Funding, Inc. | ||||
06/15/2022 | 4.200% | 313,000 | 326,506 | |
06/01/2023 | 3.400% | 181,000 | 186,717 | |
05/15/2026 | 3.100% | 1,667,000 | 1,697,848 | |
06/01/2043 | 4.700% | 181,000 | 202,065 | |
03/15/2044 | 5.000% | 832,000 | 961,239 | |
09/15/2047 | 4.000% | 219,000 | 223,818 | |
Progress Energy, Inc. | ||||
01/15/2021 | 4.400% | 187,000 | 190,690 | |
Public Service Co. of New Hampshire | ||||
11/01/2023 | 3.500% | 303,000 | 318,165 | |
Public Service Co. of Oklahoma | ||||
02/01/2021 | 4.400% | 231,000 | 236,632 | |
San Diego Gas & Electric Co. | ||||
06/01/2026 | 6.000% | 525,000 | 619,252 | |
Southern California Edison Co. | ||||
03/01/2028 | 3.650% | 200,000 | 213,487 | |
08/01/2029 | 2.850% | 636,000 | 638,013 | |
01/15/2034 | 6.000% | 91,000 | 113,797 | |
01/15/2036 | 5.550% | 130,000 | 153,495 | |
01/15/2037 | 5.550% | 176,000 | 213,217 | |
02/01/2038 | 5.950% | 548,000 | 692,930 | |
10/01/2043 | 4.650% | 299,000 | 337,770 | |
04/01/2047 | 4.000% | 573,000 | 602,700 | |
03/01/2048 | 4.125% | 1,050,000 | 1,123,657 | |
Southern Co. (The) | ||||
07/01/2026 | 3.250% | 250,000 | 259,554 | |
Southern Power Co. | ||||
09/15/2041 | 5.150% | 1,166,000 | 1,321,858 | |
Southwestern Electric Power Co. | ||||
04/01/2045 | 3.900% | 428,000 | 443,950 | |
Southwestern Public Service Co. | ||||
08/15/2041 | 4.500% | 338,000 | 388,731 | |
Toledo Edison Co. (The) | ||||
05/15/2037 | 6.150% | 600,000 | 816,213 | |
Union Electric Co. | ||||
06/15/2027 | 2.950% | 286,000 | 294,862 | |
Virginia Electric & Power Co. | ||||
12/01/2049 | 3.300% | 941,000 | 957,068 | |
Virginia Electric and Power Co. | ||||
03/15/2023 | 2.750% | 127,000 | 129,821 |
198 | Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Core Bond Fund, December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Wisconsin Electric Power Co. | ||||
06/01/2025 | 3.100% | 192,000 | 199,854 | |
Xcel Energy, Inc. | ||||
07/01/2036 | 6.500% | 112,000 | 151,993 | |
09/15/2041 | 4.800% | 90,000 | 101,969 | |
Total | 70,508,460 | |||
Environmental 0.0% | ||||
Republic Services, Inc. | ||||
07/01/2026 | 2.900% | 174,000 | 178,069 | |
Waste Management, Inc. | ||||
06/15/2029 | 3.450% | 390,000 | 416,706 | |
Total | 594,775 | |||
Finance Companies 0.4% | ||||
AerCap Ireland Capital DAC/Global Aviation Trust | ||||
01/23/2023 | 3.300% | 935,000 | 958,034 | |
01/15/2025 | 3.500% | 400,000 | 412,684 | |
04/03/2026 | 4.450% | 550,000 | 590,259 | |
Air Lease Corp. | ||||
09/15/2023 | 3.000% | 520,000 | 531,651 | |
03/01/2025 | 3.250% | 645,000 | 664,792 | |
10/01/2029 | 3.250% | 659,000 | 656,494 | |
Aircastle Ltd. | ||||
09/25/2023 | 4.400% | 485,000 | 513,812 | |
Aviation Capital Group LLC(a) | ||||
05/01/2023 | 3.875% | 350,000 | 361,811 | |
08/01/2025 | 4.125% | 500,000 | 523,429 | |
11/01/2027 | 3.500% | 600,000 | 605,004 | |
Avolon Holdings Funding Ltd.(a) | ||||
05/01/2026 | 4.375% | 790,000 | 838,336 | |
GE Capital International Funding Co. Unlimited Co. | ||||
11/15/2020 | 2.342% | 1,325,000 | 1,325,479 | |
11/15/2035 | 4.418% | 5,218,000 | 5,571,995 | |
International Lease Finance Corp. | ||||
01/15/2022 | 8.625% | 1,000,000 | 1,125,980 | |
SMBC Aviation Capital Finance DAC(a) | ||||
07/15/2022 | 3.000% | 693,000 | 705,649 | |
Total | 15,385,409 | |||
Food and Beverage 0.9% | ||||
Anheuser-Busch Companies LLC/InBev Worldwide, Inc. | ||||
02/01/2036 | 4.700% | 6,382,000 | 7,384,106 | |
02/01/2046 | 4.900% | 3,182,000 | 3,785,519 | |
Anheuser-Busch InBev Finance, Inc. | ||||
02/01/2044 | 4.625% | 30,000 | 34,125 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Anheuser-Busch InBev Worldwide, Inc. | ||||
01/23/2025 | 4.150% | 1,327,000 | 1,444,781 | |
01/23/2029 | 4.750% | 480,000 | 557,016 | |
01/23/2031 | 4.900% | 1,077,000 | 1,283,403 | |
04/15/2048 | 4.600% | 245,000 | 279,393 | |
10/06/2048 | 4.439% | 690,000 | 772,226 | |
01/23/2049 | 5.550% | 511,000 | 663,938 | |
04/15/2058 | 4.750% | 100,000 | 116,810 | |
Bunge Ltd. Finance Corp. | ||||
11/24/2020 | 3.500% | 141,000 | 142,784 | |
Campbell Soup Co. | ||||
03/15/2048 | 4.800% | 265,000 | 307,422 | |
Cargill, Inc.(a) | ||||
03/01/2023 | 3.250% | 140,000 | 144,558 | |
11/01/2036 | 7.250% | 300,000 | 436,444 | |
Conagra Brands, Inc. | ||||
11/01/2025 | 4.600% | 235,000 | 259,633 | |
11/01/2038 | 5.300% | 180,000 | 213,753 | |
Constellation Brands, Inc. | ||||
02/15/2023 | 3.200% | 304,000 | 312,120 | |
11/15/2025 | 4.400% | 344,000 | 375,997 | |
12/06/2026 | 3.700% | 513,000 | 544,941 | |
05/09/2027 | 3.500% | 435,000 | 454,290 | |
02/15/2028 | 3.600% | 961,000 | 1,011,744 | |
08/01/2029 | 3.150% | 1,192,000 | 1,207,385 | |
11/15/2048 | 5.250% | 144,000 | 175,636 | |
Danone SA(a) | ||||
11/02/2026 | 2.947% | 4,266,000 | 4,371,847 | |
General Mills, Inc. | ||||
04/17/2025 | 4.000% | 400,000 | 432,500 | |
04/17/2038 | 4.550% | 100,000 | 115,930 | |
Hershey Co. (The) | ||||
11/15/2024 | 2.050% | 1,270,000 | 1,272,995 | |
Kellogg Co. | ||||
11/15/2027 | 3.400% | 262,000 | 274,416 | |
Keurig Dr Pepper, Inc. | ||||
05/25/2025 | 4.417% | 250,000 | 273,280 | |
05/25/2038 | 4.985% | 323,000 | 379,501 | |
Keurig Dr. Pepper, Inc. | ||||
06/15/2027 | 3.430% | 135,000 | 140,844 | |
Kraft Heinz Foods Co. (The) | ||||
07/02/2020 | 2.800% | 246,000 | 246,482 | |
07/15/2035 | 5.000% | 1,170,000 | 1,301,474 | |
06/01/2046 | 4.375% | 926,000 | 912,579 | |
McCormick & Co., Inc. | ||||
08/15/2024 | 3.150% | 209,000 | 216,961 | |
08/15/2027 | 3.400% | 198,000 | 206,695 | |
Tyson Foods, Inc. | ||||
08/15/2034 | 4.875% | 200,000 | 239,413 | |
Total | 32,292,941 |
Variable Portfolio Funds | Annual Report 2019 | 199 |
Variable Portfolio – Partners Core Bond Fund, December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Gaming 0.1% | ||||
GLP Capital LP/Financing II, Inc. | ||||
01/15/2029 | 5.300% | 634,000 | 704,750 | |
01/15/2030 | 4.000% | 1,172,000 | 1,200,307 | |
Total | 1,905,057 | |||
Health Care 1.1% | ||||
Abbott Laboratories | ||||
11/30/2026 | 3.750% | 837,000 | 914,904 | |
11/30/2046 | 4.900% | 2,395,000 | 3,140,331 | |
Becton Dickinson and Co. | ||||
06/05/2020 | 2.404% | 2,038,000 | 2,040,316 | |
06/06/2024 | 3.363% | 687,000 | 715,405 | |
12/15/2024 | 3.734% | 1,783,000 | 1,893,628 | |
06/06/2027 | 3.700% | 669,000 | 712,109 | |
12/15/2044 | 4.685% | 757,000 | 880,842 | |
Boston Scientific Corp. | ||||
03/01/2026 | 3.750% | 1,536,000 | 1,647,604 | |
03/01/2029 | 4.000% | 1,333,000 | 1,475,550 | |
03/01/2039 | 4.550% | 500,000 | 587,340 | |
03/01/2049 | 4.700% | 1,130,000 | 1,372,591 | |
Cigna Corp. | ||||
09/17/2021 | 3.400% | 1,376,000 | 1,408,383 | |
07/15/2023 | 3.750% | 1,698,000 | 1,782,498 | |
08/15/2038 | 4.800% | 133,000 | 155,058 | |
12/15/2048 | 4.900% | 776,000 | 926,929 | |
Cigna Corp.(a) | ||||
02/25/2026 | 4.500% | 577,000 | 634,483 | |
03/01/2027 | 3.400% | 1,514,000 | 1,572,282 | |
07/15/2046 | 4.800% | 218,000 | 252,333 | |
CVS Health Corp. | ||||
03/09/2023 | 3.700% | 621,000 | 646,575 | |
12/05/2023 | 4.000% | 911,000 | 964,933 | |
08/15/2024 | 2.625% | 813,000 | 821,627 | |
03/25/2025 | 4.100% | 1,346,000 | 1,447,542 | |
08/15/2026 | 3.000% | 677,000 | 691,044 | |
03/25/2028 | 4.300% | 500,000 | 547,034 | |
08/15/2029 | 3.250% | 810,000 | 826,313 | |
03/25/2038 | 4.780% | 1,827,000 | 2,078,714 | |
03/25/2048 | 5.050% | 1,509,000 | 1,790,055 | |
CVS Pass-Through Trust(a) | ||||
10/10/2025 | 6.204% | 157,618 | 170,022 | |
01/10/2032 | 7.507% | 108,213 | 134,281 | |
01/10/2034 | 5.926% | 742,222 | 853,810 | |
01/10/2036 | 4.704% | 658,407 | 705,136 | |
Danaher Corp. | ||||
09/15/2025 | 3.350% | 1,255,000 | 1,334,571 | |
DH Europe Finance II Sarl | ||||
11/15/2022 | 2.050% | 995,000 | 997,118 | |
11/15/2024 | 2.200% | 1,701,000 | 1,704,376 | |
11/15/2029 | 2.600% | 669,000 | 667,798 | |
11/15/2049 | 3.400% | 1,262,000 | 1,293,767 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
HCA, Inc. | ||||
06/15/2026 | 5.250% | 700,000 | 784,783 | |
06/15/2039 | 5.125% | 660,000 | 729,915 | |
Memorial Health Services | ||||
11/01/2049 | 3.447% | 1,230,000 | 1,211,534 | |
Providence St Joseph Health Obligated Group | ||||
10/01/2026 | 2.746% | 307,000 | 314,503 | |
Zimmer Biomet Holdings, Inc. | ||||
03/19/2023 | 3.700% | 174,000 | 181,193 | |
Total | 43,009,230 | |||
Healthcare Insurance 0.3% | ||||
Aetna, Inc. | ||||
12/15/2037 | 6.750% | 590,000 | 794,242 | |
08/15/2047 | 3.875% | 491,000 | 497,613 | |
Anthem, Inc. | ||||
12/01/2024 | 3.350% | 350,000 | 365,538 | |
03/01/2028 | 4.101% | 565,000 | 614,207 | |
12/01/2047 | 4.375% | 94,000 | 103,230 | |
Magellan Health, Inc. | ||||
09/22/2024 | 4.400% | 105,000 | 108,364 | |
UnitedHealth Group, Inc. | ||||
08/15/2024 | 2.375% | 1,701,000 | 1,722,490 | |
12/15/2025 | 3.700% | 677,000 | 731,319 | |
03/15/2026 | 3.100% | 642,000 | 671,134 | |
08/15/2029 | 2.875% | 1,118,000 | 1,150,398 | |
07/15/2035 | 4.625% | 658,000 | 798,490 | |
08/15/2039 | 3.500% | 1,692,000 | 1,780,937 | |
08/15/2059 | 3.875% | 677,000 | 732,523 | |
Total | 10,070,485 | |||
Healthcare REIT 0.1% | ||||
HCP, Inc. | ||||
03/01/2024 | 4.200% | 81,000 | 86,522 | |
08/15/2024 | 3.875% | 694,000 | 738,122 | |
07/15/2029 | 3.500% | 703,000 | 731,771 | |
Healthcare Trust of America Holdings LP | ||||
04/15/2023 | 3.700% | 720,000 | 745,080 | |
Senior Housing Properties Trust | ||||
04/15/2020 | 6.750% | 400,000 | 401,061 | |
02/15/2028 | 4.750% | 500,000 | 507,169 | |
Ventas Realty LP | ||||
01/15/2026 | 4.125% | 258,000 | 277,147 | |
04/01/2027 | 3.850% | 246,000 | 260,281 | |
Welltower, Inc. | ||||
02/15/2027 | 2.700% | 294,000 | 295,398 | |
01/15/2030 | 3.100% | 520,000 | 527,327 | |
Total | 4,569,878 |
200 | Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Core Bond Fund, December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Independent Energy 0.4% | ||||
Apache Corp. | ||||
09/01/2040 | 5.100% | 290,000 | 294,976 | |
04/15/2043 | 4.750% | 268,000 | 258,618 | |
Canadian Natural Resources Ltd. | ||||
02/01/2025 | 3.900% | 426,000 | 455,109 | |
Cimarex Energy Co. | ||||
03/15/2029 | 4.375% | 1,677,000 | 1,772,894 | |
Devon Energy Corp. | ||||
07/15/2041 | 5.600% | 999,000 | 1,217,839 | |
Encana Corp. | ||||
11/01/2031 | 7.375% | 695,000 | 851,084 | |
08/15/2037 | 6.625% | 566,000 | 671,609 | |
02/01/2038 | 6.500% | 626,000 | 734,321 | |
EQT Corp. | ||||
10/01/2027 | 3.900% | 302,000 | 281,004 | |
Hess Corp. | ||||
07/15/2024 | 3.500% | 264,000 | 271,769 | |
03/15/2033 | 7.125% | 220,000 | 278,728 | |
01/15/2040 | 6.000% | 901,000 | 1,063,446 | |
02/15/2041 | 5.600% | 72,000 | 84,800 | |
04/01/2047 | 5.800% | 111,000 | 135,896 | |
Marathon Oil Corp. | ||||
10/01/2037 | 6.600% | 150,000 | 191,345 | |
Noble Energy, Inc. | ||||
10/15/2029 | 3.250% | 1,488,000 | 1,505,957 | |
03/01/2041 | 6.000% | 400,000 | 479,911 | |
11/15/2044 | 5.050% | 1,125,000 | 1,244,763 | |
08/15/2047 | 4.950% | 1,057,000 | 1,170,743 | |
10/15/2049 | 4.200% | 468,000 | 475,258 | |
Occidental Petroleum Corp. | ||||
05/15/2028 | 7.150% | 570,000 | 694,693 | |
05/01/2031 | 7.500% | 321,000 | 419,071 | |
08/15/2039 | 4.300% | 605,000 | 614,676 | |
03/15/2048 | 4.200% | 200,000 | 198,779 | |
Total | 15,367,289 | |||
Integrated Energy 0.4% | ||||
BP Capital Markets America, Inc. | ||||
04/14/2024 | 3.224% | 1,500,000 | 1,564,180 | |
09/21/2025 | 3.796% | 1,215,000 | 1,315,034 | |
02/11/2026 | 3.410% | 520,000 | 553,695 | |
09/21/2028 | 3.937% | 1,305,000 | 1,442,659 | |
BP Capital Markets PLC | ||||
02/10/2024 | 3.814% | 1,621,000 | 1,728,833 | |
Cenovus Energy, Inc. | ||||
09/15/2023 | 3.800% | 100,000 | 103,518 | |
04/15/2027 | 4.250% | 300,000 | 317,537 | |
11/15/2039 | 6.750% | 463,000 | 589,321 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
ENI SpA(a) | ||||
09/12/2023 | 4.000% | 510,000 | 538,270 | |
Exxon Mobil Corp. | ||||
08/16/2039 | 2.995% | 815,000 | 816,002 | |
08/16/2049 | 3.095% | 1,015,000 | 1,013,593 | |
Husky Energy, Inc. | ||||
04/15/2022 | 3.950% | 750,000 | 776,167 | |
Petro-Canada | ||||
05/15/2035 | 5.950% | 250,000 | 324,907 | |
Shell International Finance BV | ||||
11/07/2024 | 2.000% | 2,504,000 | 2,499,723 | |
11/07/2049 | 3.125% | 927,000 | 914,221 | |
Total Capital International SA | ||||
01/10/2030 | 2.829% | 1,136,000 | 1,167,861 | |
Total | 15,665,521 | |||
Life Insurance 0.8% | ||||
AIA Group Ltd.(a) | ||||
04/06/2028 | 3.900% | 500,000 | 534,999 | |
04/09/2029 | 3.600% | 320,000 | 336,975 | |
AIG SunAmerica Global Financing X(a) | ||||
03/15/2032 | 6.900% | 585,000 | 815,932 | |
American International Group, Inc. | ||||
07/10/2025 | 3.750% | 1,561,000 | 1,671,319 | |
04/01/2028 | 4.200% | 1,050,000 | 1,157,086 | |
03/15/2029 | 4.250% | 611,000 | 680,203 | |
07/16/2044 | 4.500% | 516,000 | 595,085 | |
Athene Global Funding(a) | ||||
04/20/2020 | 2.750% | 703,000 | 704,260 | |
11/12/2026 | 2.950% | 3,060,000 | 3,046,925 | |
Dai-ichi Life Insurance Co. Ltd. (The)(a),(i) | ||||
Junior Subordinated | ||||
12/31/2049 | 4.000% | 1,062,000 | 1,104,868 | |
Guardian Life Insurance Co. of America (The)(a) | ||||
Subordinated | ||||
01/24/2077 | 4.850% | 208,000 | 256,540 | |
Harborwalk Funding Trust(a),(i) | ||||
Subordinated | ||||
02/15/2069 | 5.077% | 800,000 | 944,956 | |
Jackson National Life Global Funding(a) | ||||
06/11/2025 | 3.875% | 279,000 | 300,512 | |
04/29/2026 | 3.050% | 1,073,000 | 1,108,848 | |
John Hancock Life Insurance Co.(a) | ||||
Subordinated | ||||
02/15/2024 | 7.375% | 250,000 | 292,318 | |
Lincoln National Corp. | ||||
01/15/2030 | 3.050% | 2,630,000 | 2,660,721 |
Variable Portfolio Funds | Annual Report 2019 | 201 |
Variable Portfolio – Partners Core Bond Fund, December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Manulife Financial Corp.(i) | ||||
Subordinated | ||||
02/24/2032 | 4.061% | 1,400,000 | 1,449,433 | |
MetLife, Inc. | ||||
09/15/2023 | 4.368% | 600,000 | 650,498 | |
11/13/2043 | 4.875% | 490,000 | 611,949 | |
Metropolitan Life Global Funding I(a) | ||||
01/11/2024 | 3.600% | 800,000 | 844,682 | |
09/19/2027 | 3.000% | 500,000 | 518,843 | |
Nationwide Financial Services, Inc.(a) | ||||
11/30/2049 | 3.900% | 1,492,000 | 1,558,090 | |
New York Life Global Funding(a) | ||||
01/10/2028 | 3.000% | 404,000 | 421,206 | |
New York Life Insurance Co.(a) | ||||
Subordinated | ||||
05/15/2069 | 4.450% | 750,000 | 862,635 | |
Prudential Financial, Inc. | ||||
02/25/2050 | 4.350% | 1,054,000 | 1,214,909 | |
03/13/2051 | 3.700% | 385,000 | 405,368 | |
Prudential Insurance Co. of America (The)(a) | ||||
Subordinated | ||||
07/01/2025 | 8.300% | 2,060,000 | 2,638,023 | |
Reliance Standard Life Global Funding II(a) | ||||
09/19/2023 | 3.850% | 520,000 | 545,252 | |
Teachers Insurance & Annuity Association of America(a) | ||||
Subordinated | ||||
09/15/2044 | 4.900% | 450,000 | 555,407 | |
05/15/2047 | 4.270% | 300,000 | 341,411 | |
Total | 28,829,253 | |||
Media and Entertainment 0.2% | ||||
CBS Corp. | ||||
08/15/2024 | 3.700% | 1,019,000 | 1,078,502 | |
Discovery Communications LLC | ||||
03/20/2028 | 3.950% | 158,000 | 168,906 | |
06/01/2040 | 6.350% | 490,000 | 626,841 | |
Fox Corp.(a) | ||||
01/25/2029 | 4.709% | 385,000 | 439,350 | |
Grupo Televisa SAB | ||||
01/31/2046 | 6.125% | 356,000 | 429,508 | |
Viacom, Inc. | ||||
03/15/2043 | 4.375% | 269,000 | 284,909 | |
ViacomCBS, Inc. | ||||
06/01/2029 | 4.200% | 350,000 | 381,270 | |
Walt Disney Co. (The) | ||||
07/15/2024 | 9.500% | 407,000 | 533,905 | |
08/30/2024 | 1.750% | 1,839,000 | 1,821,833 | |
04/30/2028 | 7.300% | 350,000 | 472,382 | |
09/01/2029 | 2.000% | 1,225,000 | 1,189,928 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
09/01/2049 | 2.750% | 278,000 | 262,430 | |
Total | 7,689,764 | |||
Metals and Mining 0.3% | ||||
Anglo American Capital PLC(a) | ||||
09/11/2024 | 3.625% | 245,000 | 254,494 | |
09/11/2027 | 4.000% | 400,000 | 419,173 | |
Barrick Gold Corp. | ||||
04/01/2022 | 3.850% | 129,000 | 134,538 | |
10/15/2035 | 6.450% | 780,000 | 1,014,257 | |
Barrick North America Finance LLC | ||||
05/30/2041 | 5.700% | 1,246,000 | 1,539,954 | |
05/01/2043 | 5.750% | 292,000 | 374,013 | |
BHP Billiton Finance U.S.A. Ltd. | ||||
03/01/2026 | 6.420% | 1,372,000 | 1,668,765 | |
Minera Mexico SA de CV(a) | ||||
01/26/2050 | 4.500% | 592,000 | 601,531 | |
Newmont Goldcorp Corp. | ||||
03/15/2022 | 3.500% | 877,000 | 899,704 | |
Nucor Corp. | ||||
12/01/2037 | 6.400% | 1,000,000 | 1,362,530 | |
Steel Dynamics, Inc. | ||||
12/15/2024 | 2.800% | 649,000 | 654,213 | |
04/15/2030 | 3.450% | 1,176,000 | 1,188,465 | |
Teck Resources Ltd. | ||||
07/15/2041 | 6.250% | 1,284,000 | 1,474,036 | |
Total | 11,585,673 | |||
Midstream 1.0% | ||||
APT Pipelines Ltd.(a) | ||||
07/15/2027 | 4.250% | 569,000 | 610,728 | |
Boardwalk Pipelines LP | ||||
05/03/2029 | 4.800% | 395,000 | 420,753 | |
Buckeye Partners LP | ||||
11/15/2043 | 5.850% | 770,000 | 691,993 | |
Cameron LNG LLC(a) | ||||
01/15/2039 | 3.701% | 885,000 | 904,293 | |
Enbridge, Inc. | ||||
07/15/2022 | 2.900% | 1,298,000 | 1,322,994 | |
01/15/2025 | 2.500% | 3,209,000 | 3,232,918 | |
11/15/2029 | 3.125% | 1,977,000 | 2,004,786 | |
06/10/2044 | 4.500% | 500,000 | 551,843 | |
Enbridge, Inc.(i) | ||||
Subordinated | ||||
03/01/2078 | 6.250% | 350,000 | 378,283 |
202 | Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Core Bond Fund, December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Energy Transfer Operating LP | ||||
01/15/2024 | 5.875% | 1,167,000 | 1,291,490 | |
06/01/2027 | 5.500% | 767,000 | 863,299 | |
04/15/2047 | 5.300% | 303,000 | 324,078 | |
04/15/2049 | 6.250% | 303,000 | 367,329 | |
Energy Transfer Partners LP | ||||
01/15/2026 | 4.750% | 449,000 | 485,258 | |
06/01/2041 | 6.050% | 877,000 | 989,464 | |
12/15/2045 | 6.125% | 665,000 | 771,232 | |
Enterprise Products Operating LLC | ||||
07/31/2029 | 3.125% | 870,000 | 894,990 | |
04/15/2038 | 7.550% | 600,000 | 858,990 | |
01/31/2050 | 4.200% | 1,169,000 | 1,261,943 | |
EQT Midstream Partners LP | ||||
07/15/2028 | 5.500% | 700,000 | 687,641 | |
Kinder Morgan Energy Partners LP | ||||
08/15/2033 | 7.300% | 96,000 | 127,063 | |
03/01/2043 | 5.000% | 710,000 | 777,742 | |
Kinder Morgan, Inc. | ||||
03/01/2028 | 4.300% | 900,000 | 981,133 | |
Magellan Midstream Partners LP | ||||
02/01/2021 | 4.250% | 730,000 | 747,573 | |
12/01/2042 | 4.200% | 404,000 | 408,071 | |
MPLX LP(a) | ||||
01/15/2025 | 5.250% | 253,000 | 265,614 | |
12/01/2027 | 4.250% | 607,000 | 639,175 | |
12/01/2047 | 5.200% | 879,000 | 945,204 | |
MPLX LP | ||||
03/15/2028 | 4.000% | 280,000 | 290,484 | |
02/15/2029 | 4.800% | 606,000 | 664,923 | |
04/15/2038 | 4.500% | 764,000 | 779,074 | |
02/15/2049 | 5.500% | 820,000 | 930,277 | |
ONEOK Partners LP | ||||
10/01/2036 | 6.650% | 1,240,000 | 1,553,956 | |
ONEOK, Inc. | ||||
07/15/2048 | 5.200% | 400,000 | 456,106 | |
Phillips 66 Partners LP | ||||
10/01/2026 | 3.550% | 171,000 | 178,763 | |
12/15/2029 | 3.150% | 770,000 | 767,126 | |
Plains All American Pipeline LP/Finance Corp. | ||||
12/15/2029 | 3.550% | 1,932,000 | 1,903,979 | |
06/15/2044 | 4.700% | 680,000 | 661,448 | |
02/15/2045 | 4.900% | 1,145,000 | 1,140,553 | |
Southern Natural Gas Co. LLC | ||||
03/01/2032 | 8.000% | 360,000 | 511,292 | |
Sunoco Logistics Partners Operations LP | ||||
02/15/2040 | 6.850% | 652,000 | 767,208 | |
04/01/2044 | 5.300% | 1,125,000 | 1,190,706 | |
05/15/2045 | 5.350% | 81,000 | 86,725 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
TC PipeLines LP | ||||
05/25/2027 | 3.900% | 247,000 | 257,547 | |
Texas Eastern Transmission LP(a) | ||||
10/15/2022 | 2.800% | 660,000 | 667,429 | |
TransCanada PipeLines Ltd. | ||||
10/15/2037 | 6.200% | 500,000 | 652,562 | |
05/15/2048 | 4.875% | 466,000 | 553,197 | |
Western Gas Partners LP | ||||
08/15/2048 | 5.500% | 636,000 | 561,601 | |
Williams Companies, Inc. (The) | ||||
01/15/2025 | 3.900% | 657,000 | 690,720 | |
03/01/2048 | 4.850% | 320,000 | 350,894 | |
Total | 39,422,450 | |||
Natural Gas 0.1% | ||||
Brooklyn Union Gas Co. (The)(a) | ||||
03/15/2048 | 4.273% | 360,000 | 397,980 | |
CenterPoint Energy Resources Corp. | ||||
01/15/2021 | 4.500% | 395,000 | 402,791 | |
09/01/2047 | 4.100% | 897,000 | 941,662 | |
NiSource Finance Corp. | ||||
02/01/2042 | 5.800% | 381,000 | 468,890 | |
NiSource, Inc. | ||||
02/15/2023 | 3.850% | 237,000 | 246,658 | |
09/01/2029 | 2.950% | 1,620,000 | 1,620,956 | |
05/15/2047 | 4.375% | 218,000 | 242,105 | |
Southern Co. Gas Capital Corp. | ||||
10/01/2023 | 2.450% | 201,000 | 202,494 | |
06/15/2026 | 3.250% | 169,000 | 174,342 | |
10/01/2046 | 3.950% | 247,000 | 255,104 | |
Total | 4,952,982 | |||
Office REIT 0.1% | ||||
Alexandria Real Estate Equities, Inc. | ||||
04/15/2026 | 3.800% | 122,000 | 130,283 | |
02/01/2050 | 4.000% | 661,000 | 725,715 | |
Boston Properties LP | ||||
12/01/2028 | 4.500% | 350,000 | 397,638 | |
Government Properties Income Trust | ||||
07/15/2022 | 4.000% | 471,000 | 479,738 | |
Office Properties Income Trust | ||||
02/01/2022 | 4.150% | 2,095,000 | 2,145,900 | |
Select Income REIT | ||||
02/01/2020 | 3.600% | 600,000 | 600,216 | |
Total | 4,479,490 | |||
Oil Field Services 0.1% | ||||
Baker Hughes, Inc. | ||||
09/15/2040 | 5.125% | 300,000 | 352,824 |
Variable Portfolio Funds | Annual Report 2019 | 203 |
Variable Portfolio – Partners Core Bond Fund, December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Halliburton Co. | ||||
11/15/2035 | 4.850% | 497,000 | 559,821 | |
08/01/2043 | 4.750% | 260,000 | 288,567 | |
National Oilwell Varco, Inc. | ||||
12/01/2029 | 3.600% | 1,646,000 | 1,653,120 | |
Schlumberger Finance Canada Ltd.(a) | ||||
11/20/2022 | 2.650% | 648,000 | 658,804 | |
Schlumberger Holdings Corp.(a) | ||||
05/01/2024 | 3.750% | 184,000 | 194,126 | |
05/17/2028 | 3.900% | 1,029,000 | 1,094,927 | |
Total | 4,802,189 | |||
Other Financial Institutions 0.0% | ||||
Mitsubishi UFJ Lease & Finance Co., Ltd.(a) | ||||
09/19/2022 | 2.652% | 335,000 | 337,084 | |
ORIX Corp. | ||||
07/18/2022 | 2.900% | 252,000 | 256,555 | |
01/16/2024 | 4.050% | 300,000 | 319,221 | |
Total | 912,860 | |||
Other Industry 0.1% | ||||
CK Hutchison International 16 Ltd.(a) | ||||
10/03/2021 | 1.875% | 335,000 | 332,349 | |
CK Hutchison International Ltd.(a) | ||||
04/11/2029 | 3.625% | 730,000 | 768,335 | |
President and Fellows of Harvard College | ||||
07/15/2056 | 3.300% | 1,071,000 | 1,112,300 | |
Trustees of the University of Pennsylvania (The) | ||||
02/15/2119 | 3.610% | 815,000 | 827,826 | |
Total | 3,040,810 | |||
Other REIT 0.1% | ||||
Digital Realty Trust LP | ||||
08/15/2027 | 3.700% | 231,000 | 245,435 | |
Duke Realty LP | ||||
06/30/2026 | 3.250% | 203,000 | 210,307 | |
Goodman Australia Industrial Fund Bond Issuer Pty Ltd.(a) | ||||
09/30/2026 | 3.400% | 921,000 | 932,956 | |
Liberty Property LP | ||||
10/01/2026 | 3.250% | 279,000 | 291,552 | |
Life Storage LP | ||||
06/15/2029 | 4.000% | 820,000 | 876,912 | |
Public Storage | ||||
05/01/2029 | 3.385% | 360,000 | 382,738 | |
Trust F/1401(a) | ||||
01/15/2050 | 6.390% | 507,000 | 545,858 | |
Total | 3,485,758 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Other Utility 0.0% | ||||
American Water Capital Corp. | ||||
10/15/2037 | 6.593% | 300,000 | 425,333 | |
12/01/2046 | 4.000% | 431,000 | 469,223 | |
Total | 894,556 | |||
Paper 0.1% | ||||
Celulosa Arauco y Constitucion SA(a) | ||||
01/29/2030 | 4.200% | 709,000 | 712,177 | |
01/29/2050 | 5.150% | 809,000 | 801,875 | |
Packaging Corp. of America | ||||
12/15/2029 | 3.000% | 1,002,000 | 1,010,331 | |
12/15/2049 | 4.050% | 785,000 | 818,089 | |
WRKCo, Inc. | ||||
03/15/2025 | 3.750% | 350,000 | 368,542 | |
06/01/2028 | 3.900% | 170,000 | 180,055 | |
Total | 3,891,069 | |||
Pharmaceuticals 1.3% | ||||
AbbVie, Inc. | ||||
05/14/2020 | 2.500% | 2,327,000 | 2,330,564 | |
11/06/2042 | 4.400% | 280,000 | 303,202 | |
05/14/2046 | 4.450% | 600,000 | 647,200 | |
AbbVie, Inc.(a) | ||||
11/21/2022 | 2.300% | 5,478,000 | 5,504,498 | |
11/21/2024 | 2.600% | 3,695,000 | 3,727,324 | |
11/21/2026 | 2.950% | 686,000 | 697,534 | |
11/21/2029 | 3.200% | 4,813,000 | 4,911,655 | |
11/21/2039 | 4.050% | 3,148,000 | 3,305,080 | |
11/21/2049 | 4.250% | 1,005,000 | 1,065,886 | |
Allergan Funding SCS | ||||
03/15/2035 | 4.550% | 1,000,000 | 1,080,431 | |
AstraZeneca PLC | ||||
09/15/2037 | 6.450% | 290,000 | 410,279 | |
Bristol-Myers Squibb Co.(a) | ||||
02/19/2021 | 2.875% | 623,000 | 630,235 | |
05/16/2022 | 2.600% | 2,649,000 | 2,692,937 | |
02/15/2023 | 2.750% | 2,247,000 | 2,293,722 | |
07/26/2024 | 2.900% | 1,444,000 | 1,490,361 | |
06/15/2026 | 3.200% | 1,972,000 | 2,071,912 | |
02/20/2028 | 3.900% | 1,232,000 | 1,350,818 | |
07/26/2029 | 3.400% | 2,323,000 | 2,488,449 | |
06/15/2039 | 4.125% | 629,000 | 725,158 | |
08/15/2045 | 5.000% | 605,000 | 775,610 | |
11/15/2047 | 4.350% | 309,000 | 366,968 | |
02/20/2048 | 4.550% | 400,000 | 490,306 | |
10/26/2049 | 4.250% | 1,093,000 | 1,298,739 | |
Eli Lilly & Co. | ||||
03/15/2059 | 4.150% | 460,000 | 541,811 |
204 | Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Core Bond Fund, December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Gilead Sciences, Inc. | ||||
03/01/2026 | 3.650% | 616,000 | 662,737 | |
09/01/2036 | 4.000% | 286,000 | 320,494 | |
Merck & Co., Inc. | ||||
03/07/2029 | 3.400% | 1,082,000 | 1,172,222 | |
02/10/2045 | 3.700% | 433,000 | 478,796 | |
03/07/2049 | 4.000% | 390,000 | 456,508 | |
Mylan NV | ||||
06/15/2026 | 3.950% | 200,000 | 207,914 | |
Pfizer, Inc. | ||||
03/11/2022 | 2.800% | 601,000 | 614,443 | |
12/15/2026 | 3.000% | 314,000 | 329,544 | |
09/15/2038 | 4.100% | 345,000 | 394,791 | |
03/15/2039 | 3.900% | 900,000 | 1,014,639 | |
Shire Acquisitions Investments Ireland DAC | ||||
09/23/2023 | 2.875% | 612,000 | 624,163 | |
09/23/2026 | 3.200% | 1,480,000 | 1,525,325 | |
Total | 49,002,255 | |||
Property & Casualty 0.3% | ||||
American Financial Group, Inc. | ||||
08/15/2026 | 3.500% | 555,000 | 572,499 | |
Assurant, Inc. | ||||
09/27/2023 | 4.200% | 545,000 | 572,502 | |
Chubb INA Holdings, Inc. | ||||
05/15/2024 | 3.350% | 750,000 | 790,558 | |
Cincinnati Financial Corp. | ||||
11/01/2034 | 6.125% | 1,000,000 | 1,367,808 | |
CNA Financial Corp. | ||||
08/15/2027 | 3.450% | 500,000 | 520,046 | |
Hartford Financial Services Group, Inc. (The) | ||||
10/01/2041 | 6.100% | 265,000 | 363,629 | |
04/15/2043 | 4.300% | 430,000 | 479,835 | |
Liberty Mutual Group, Inc.(a) | ||||
02/01/2029 | 4.569% | 1,706,000 | 1,916,926 | |
10/15/2050 | 3.951% | 835,000 | 876,176 | |
Markel Corp. | ||||
11/01/2027 | 3.500% | 306,000 | 316,635 | |
OneBeacon US Holdings, Inc. | ||||
11/09/2022 | 4.600% | 600,000 | 629,390 | |
Progressive Corp. (The)(i) | ||||
12/31/2049 | 5.375% | 320,000 | 335,145 | |
Travelers Property Casualty Corp. | ||||
04/15/2026 | 7.750% | 605,000 | 784,657 | |
Total | 9,525,806 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Railroads 0.3% | ||||
Burlington Northern Santa Fe LLC | ||||
08/15/2030 | 7.950% | 500,000 | 723,356 | |
05/01/2040 | 5.750% | 790,000 | 1,064,946 | |
04/01/2044 | 4.900% | 345,000 | 427,703 | |
02/15/2050 | 3.550% | 1,240,000 | 1,299,751 | |
Canadian Pacific Railway Co. | ||||
09/15/2115 | 6.125% | 450,000 | 660,807 | |
CSX Corp. | ||||
02/15/2030 | 2.400% | 735,000 | 718,527 | |
10/01/2036 | 6.000% | 450,000 | 583,564 | |
03/01/2048 | 4.300% | 80,000 | 91,004 | |
11/15/2048 | 4.750% | 850,000 | 1,028,060 | |
09/15/2049 | 3.350% | 1,319,000 | 1,303,578 | |
Norfolk Southern Corp. | ||||
08/15/2052 | 4.050% | 600,000 | 659,288 | |
Union Pacific Corp. | ||||
03/01/2022 | 2.950% | 1,107,000 | 1,131,003 | |
03/01/2024 | 3.150% | 525,000 | 546,352 | |
03/01/2049 | 4.300% | 163,000 | 188,466 | |
09/15/2067 | 4.100% | 200,000 | 206,429 | |
Total | 10,632,834 | |||
Refining 0.1% | ||||
Marathon Petroleum Corp. | ||||
12/15/2023 | 4.750% | 499,000 | 541,749 | |
09/15/2024 | 3.625% | 1,640,000 | 1,721,191 | |
04/01/2048 | 4.500% | 593,000 | 630,980 | |
Phillips 66 | ||||
11/15/2044 | 4.875% | 40,000 | 48,273 | |
Valero Energy Corp. | ||||
04/15/2032 | 7.500% | 181,000 | 251,386 | |
Total | 3,193,579 | |||
Restaurants 0.1% | ||||
McDonald’s Corp. | ||||
09/01/2029 | 2.625% | 994,000 | 994,916 | |
12/09/2035 | 4.700% | 283,000 | 336,514 | |
10/15/2037 | 6.300% | 268,000 | 364,614 | |
09/01/2048 | 4.450% | 725,000 | 834,711 | |
Starbucks Corp. | ||||
08/15/2025 | 3.800% | 65,000 | 70,170 | |
12/01/2047 | 3.750% | 872,000 | 897,675 | |
Total | 3,498,600 | |||
Retail REIT 0.3% | ||||
Brixmor Operating Partnership LP | ||||
02/01/2025 | 3.850% | 1,000,000 | 1,051,267 |
Variable Portfolio Funds | Annual Report 2019 | 205 |
Variable Portfolio – Partners Core Bond Fund, December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
DDR Corp. | ||||
07/15/2022 | 4.625% | 533,000 | 553,835 | |
02/01/2025 | 3.625% | 482,000 | 497,934 | |
National Retail Properties, Inc. | ||||
11/15/2025 | 4.000% | 728,000 | 781,883 | |
12/15/2026 | 3.600% | 618,000 | 648,940 | |
Realty Income Corp. | ||||
07/15/2024 | 3.875% | 642,000 | 684,503 | |
04/15/2025 | 3.875% | 255,000 | 275,197 | |
Regency Centers LP | ||||
09/15/2029 | 2.950% | 2,016,000 | 2,013,884 | |
Scentre Group Trust 1 / 2(a) | ||||
02/12/2025 | 3.500% | 1,040,000 | 1,079,469 | |
Spirit Realty LP | ||||
01/15/2030 | 3.400% | 755,000 | 758,159 | |
STORE Capital Corp. | ||||
03/15/2028 | 4.500% | 2,357,000 | 2,574,519 | |
03/15/2029 | 4.625% | 458,000 | 507,254 | |
Total | 11,426,844 | |||
Retailers 0.4% | ||||
Costco Wholesale Corp. | ||||
05/18/2027 | 3.000% | 608,000 | 641,976 | |
Dollar General Corp. | ||||
05/01/2028 | 4.125% | 365,000 | 401,847 | |
Home Depot, Inc. (The) | ||||
12/06/2048 | 4.500% | 612,000 | 756,155 | |
Lowe’s Companies, Inc. | ||||
04/05/2029 | 3.650% | 3,567,000 | 3,811,131 | |
04/05/2049 | 4.550% | 717,000 | 844,357 | |
O’Reilly Automotive, Inc. | ||||
03/15/2026 | 3.550% | 480,000 | 508,179 | |
09/01/2027 | 3.600% | 432,000 | 461,888 | |
Walmart, Inc. | ||||
06/26/2025 | 3.550% | 1,307,000 | 1,402,580 | |
06/26/2028 | 3.700% | 2,834,000 | 3,123,747 | |
09/24/2029 | 2.375% | 867,000 | 870,372 | |
06/29/2048 | 4.050% | 14,000 | 16,630 | |
09/24/2049 | 2.950% | 1,074,000 | 1,063,563 | |
Total | 13,902,425 | |||
Technology 1.6% | ||||
Analog Devices, Inc. | ||||
12/05/2023 | 3.125% | 244,000 | 251,985 | |
12/05/2036 | 4.500% | 198,000 | 213,601 | |
Apple, Inc. | ||||
09/11/2024 | 1.800% | 1,670,000 | 1,657,942 | |
05/13/2025 | 3.200% | 370,000 | 391,095 | |
09/11/2026 | 2.050% | 2,005,000 | 1,986,533 | |
02/09/2027 | 3.350% | 1,619,000 | 1,727,332 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
05/11/2027 | 3.200% | 2,863,000 | 3,030,026 | |
06/20/2027 | 3.000% | 562,000 | 588,767 | |
09/12/2027 | 2.900% | 1,244,000 | 1,295,903 | |
09/11/2029 | 2.200% | 3,007,000 | 2,955,157 | |
08/04/2046 | 3.850% | 672,000 | 757,569 | |
02/09/2047 | 4.250% | 549,000 | 654,948 | |
11/13/2047 | 3.750% | 495,000 | 552,043 | |
09/11/2049 | 2.950% | 2,609,000 | 2,547,713 | |
Arrow Electronics, Inc. | ||||
09/08/2024 | 3.250% | 219,000 | 225,671 | |
01/12/2028 | 3.875% | 376,000 | 385,676 | |
Broadcom Corp./Cayman Finance Ltd. | ||||
01/15/2024 | 3.625% | 1,687,000 | 1,747,184 | |
01/15/2027 | 3.875% | 1,507,000 | 1,565,611 | |
Broadcom, Inc.(a) | ||||
04/15/2026 | 4.250% | 1,101,000 | 1,172,088 | |
04/15/2029 | 4.750% | 1,265,000 | 1,383,288 | |
Dell International LLC/EMC Corp.(a) | ||||
06/15/2026 | 6.020% | 1,068,000 | 1,233,054 | |
DXC Technology Co. | ||||
04/15/2024 | 4.250% | 302,000 | 320,258 | |
Equinix, Inc. | ||||
11/18/2024 | 2.625% | 1,748,000 | 1,755,225 | |
11/18/2026 | 2.900% | 1,748,000 | 1,753,956 | |
11/18/2029 | 3.200% | 1,609,000 | 1,616,140 | |
Fiserv, Inc. | ||||
07/01/2026 | 3.200% | 1,434,000 | 1,489,185 | |
10/01/2028 | 4.200% | 107,000 | 118,348 | |
07/01/2029 | 3.500% | 1,119,000 | 1,177,922 | |
07/01/2049 | 4.400% | 914,000 | 1,039,553 | |
Global Payments, Inc. | ||||
08/15/2029 | 3.200% | 714,000 | 728,034 | |
08/15/2049 | 4.150% | 385,000 | 411,264 | |
Intel Corp. | ||||
11/15/2029 | 2.450% | 1,925,000 | 1,922,424 | |
11/15/2049 | 3.250% | 642,000 | 650,324 | |
International Business Machines Corp. | ||||
05/15/2026 | 3.300% | 2,487,000 | 2,622,318 | |
05/15/2029 | 3.500% | 2,715,000 | 2,917,985 | |
05/15/2039 | 4.150% | 468,000 | 527,262 | |
05/15/2049 | 4.250% | 608,000 | 695,521 | |
Micron Technology, Inc. | ||||
02/15/2030 | 4.663% | 839,000 | 924,192 | |
Microsoft Corp. | ||||
02/12/2035 | 3.500% | 300,000 | 331,124 | |
11/03/2035 | 4.200% | 462,000 | 548,631 | |
02/06/2037 | 4.100% | 1,004,000 | 1,185,651 | |
08/08/2046 | 3.700% | 304,000 | 343,060 | |
02/06/2047 | 4.250% | 406,000 | 498,521 | |
02/12/2055 | 4.000% | 1,460,000 | 1,726,507 | |
08/08/2056 | 3.950% | 380,000 | 448,859 |
206 | Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Core Bond Fund, December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
02/06/2057 | 4.500% | 740,000 | 959,229 | |
NXP BV/Funding LLC/USA, Inc.(a) | ||||
06/18/2026 | 3.875% | 1,873,000 | 1,983,906 | |
06/18/2029 | 4.300% | 209,000 | 225,623 | |
Oracle Corp. | ||||
02/15/2023 | 2.625% | 828,000 | 845,558 | |
11/15/2024 | 2.950% | 443,000 | 460,577 | |
07/08/2034 | 4.300% | 1,400,000 | 1,639,473 | |
05/15/2035 | 3.900% | 735,000 | 819,660 | |
07/15/2036 | 3.850% | 835,000 | 917,957 | |
11/15/2037 | 3.800% | 453,000 | 494,371 | |
11/15/2047 | 4.000% | 1,298,000 | 1,448,781 | |
Total | 61,870,585 | |||
Tobacco 0.2% | ||||
Altria Group, Inc. | ||||
02/14/2029 | 4.800% | 1,301,000 | 1,448,404 | |
02/14/2049 | 5.950% | 317,000 | 383,990 | |
BAT Capital Corp. | ||||
08/15/2024 | 3.222% | 1,638,000 | 1,675,467 | |
09/06/2026 | 3.215% | 651,000 | 655,604 | |
08/15/2027 | 3.557% | 332,000 | 339,338 | |
08/15/2037 | 4.390% | 548,000 | 556,404 | |
08/15/2047 | 4.540% | 98,000 | 98,396 | |
Reynolds American, Inc. | ||||
08/15/2045 | 5.850% | 702,000 | 803,707 | |
Total | 5,961,310 | |||
Transportation Services 0.1% | ||||
Brambles U.S.A., Inc.(a) | ||||
10/23/2025 | 4.125% | 300,000 | 319,439 | |
JB Hunt Transport Services, Inc. | ||||
03/01/2026 | 3.875% | 495,000 | 531,600 | |
Penske Truck Leasing Co. LP/Finance Corp.(a) | ||||
03/14/2023 | 2.700% | 350,000 | 352,990 | |
Ryder System, Inc. | ||||
09/01/2021 | 2.250% | 700,000 | 701,933 | |
Total | 1,905,962 | |||
Wireless 0.2% | ||||
America Movil SAB de CV | ||||
04/22/2029 | 3.625% | 795,000 | 842,341 | |
04/22/2049 | 4.375% | 662,000 | 756,570 | |
American Tower Corp. | ||||
10/15/2026 | 3.375% | 425,000 | 442,065 | |
10/15/2049 | 3.700% | 800,000 | 800,576 | |
Crown Castle International Corp. | ||||
03/01/2027 | 4.000% | 236,000 | 254,444 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Rogers Communications, Inc. | ||||
05/01/2049 | 4.350% | 550,000 | 614,599 | |
11/15/2049 | 3.700% | 985,000 | 999,167 | |
Vodafone Group PLC | ||||
05/30/2048 | 5.250% | 400,000 | 481,172 | |
06/19/2049 | 4.875% | 1,070,000 | 1,233,360 | |
09/17/2050 | 4.250% | 2,352,000 | 2,469,138 | |
Total | 8,893,432 | |||
Wirelines 1.0% | ||||
AT&T, Inc. | ||||
02/15/2022 | 3.000% | 955,000 | 975,339 | |
06/30/2022 | 3.000% | 1,523,000 | 1,556,291 | |
03/11/2024 | 3.900% | 581,000 | 617,415 | |
01/15/2025 | 3.950% | 843,000 | 903,499 | |
05/15/2025 | 3.400% | 1,230,000 | 1,289,884 | |
02/15/2027 | 3.800% | 491,000 | 525,619 | |
02/15/2030 | 4.300% | 976,000 | 1,084,359 | |
05/15/2035 | 4.500% | 695,000 | 774,636 | |
03/01/2037 | 5.250% | 360,000 | 430,828 | |
08/15/2037 | 4.900% | 842,000 | 970,885 | |
03/01/2039 | 4.850% | 604,000 | 697,761 | |
08/15/2040 | 6.000% | 875,000 | 1,126,136 | |
09/01/2040 | 5.350% | 2,321,000 | 2,798,507 | |
10/15/2041 | 5.375% | 483,000 | 570,443 | |
12/15/2043 | 5.350% | 302,000 | 355,515 | |
03/01/2047 | 5.450% | 435,000 | 538,772 | |
03/09/2048 | 4.500% | 572,000 | 632,129 | |
02/15/2050 | 5.150% | 1,340,000 | 1,620,686 | |
03/01/2057 | 5.700% | 360,000 | 467,335 | |
British Telecommunications PLC(i) | ||||
12/15/2030 | 9.125% | 350,000 | 538,034 | |
Deutsche Telekom International Finance BV(a) | ||||
01/19/2027 | 3.600% | 402,000 | 423,748 | |
Qwest Corp. | ||||
12/01/2021 | 6.750% | 1,063,000 | 1,143,972 | |
Telefonica Emisiones SA | ||||
03/01/2049 | 5.520% | 1,254,000 | 1,567,566 | |
Telefonica Emisiones SAU | ||||
04/27/2020 | 5.134% | 1,021,000 | 1,030,651 | |
02/16/2021 | 5.462% | 120,000 | 124,571 | |
Verizon Communications, Inc. | ||||
08/15/2026 | 2.625% | 75,000 | 76,260 | |
09/21/2028 | 4.329% | 1,059,000 | 1,202,362 | |
02/08/2029 | 3.875% | 235,000 | 259,237 | |
12/03/2029 | 4.016% | 846,000 | 946,134 | |
11/01/2034 | 4.400% | 4,811,000 | 5,595,702 | |
01/15/2036 | 4.272% | 1,069,000 | 1,210,232 | |
03/16/2037 | 5.250% | 457,000 | 573,560 | |
08/15/2046 | 4.125% | 1,464,000 | 1,649,998 | |
08/21/2046 | 4.862% | 1,087,000 | 1,349,775 | |
03/16/2047 | 5.500% | 584,000 | 791,377 | |
09/15/2048 | 4.522% | 299,000 | 358,074 |
Variable Portfolio Funds | Annual Report 2019 | 207 |
Variable Portfolio – Partners Core Bond Fund, December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
04/15/2049 | 5.012% | 299,000 | 382,701 | |
03/15/2055 | 4.672% | 736,000 | 908,542 | |
Total | 38,068,535 | |||
Total Corporate Bonds & Notes (Cost $862,138,772) | 907,379,124 | |||
Foreign Government Obligations(j) 0.9% | ||||
Australia 0.0% | ||||
Westpac Banking Corp.(a) | ||||
03/03/2020 | 2.000% | 405,000 | 405,045 | |
Canada 0.1% | ||||
Hydro-Quebec | ||||
02/01/2021 | 9.400% | 750,000 | 810,132 | |
Ontario Teachers’ Cadillac Fairview Properties Trust(a) | ||||
03/20/2027 | 3.875% | 804,000 | 862,557 | |
Total | 1,672,689 | |||
Colombia 0.1% | ||||
Colombia Government International Bond | ||||
02/26/2024 | 4.000% | 893,000 | 940,886 | |
09/18/2037 | 7.375% | 150,000 | 213,103 | |
05/15/2049 | 5.200% | 200,000 | 241,073 | |
Ecopetrol SA | ||||
01/16/2025 | 4.125% | 300,000 | 316,016 | |
06/26/2026 | 5.375% | 580,000 | 650,997 | |
05/28/2045 | 5.875% | 471,000 | 554,560 | |
Total | 2,916,635 | |||
Japan 0.1% | ||||
Japan Bank for International Cooperation | ||||
10/17/2024 | 1.750% | 1,704,000 | 1,681,307 | |
Mexico 0.5% | ||||
Mexico City Airport Trust(a) | ||||
07/31/2047 | 5.500% | 200,000 | 206,723 | |
Mexico Government International Bond | ||||
01/30/2025 | 3.600% | 757,000 | 792,181 | |
01/21/2026 | 4.125% | 1,673,000 | 1,787,328 | |
04/22/2029 | 4.500% | 3,876,000 | 4,258,989 | |
03/08/2044 | 4.750% | 1,090,000 | 1,205,457 | |
01/15/2047 | 4.350% | 479,000 | 505,790 | |
02/10/2048 | 4.600% | 942,000 | 1,031,849 | |
10/12/2110 | 5.750% | 458,000 | 542,025 | |
Petroleos Mexicanos | ||||
03/13/2027 | 6.500% | 2,883,000 | 3,053,979 | |
02/12/2028 | 5.350% | 141,000 | 140,286 | |
06/15/2035 | 6.625% | 550,000 | 561,872 | |
09/21/2047 | 6.750% | 606,000 | 610,639 |
Foreign Government Obligations(j) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
02/12/2048 | 6.350% | 4,200,000 | 4,055,057 | |
Total | 18,752,175 | |||
Netherlands 0.0% | ||||
MDGH - GMTN BV(a) | ||||
11/07/2029 | 2.875% | 1,453,000 | 1,466,199 | |
Norway 0.0% | ||||
Equinor ASA | ||||
09/23/2027 | 7.250% | 400,000 | 530,047 | |
11/18/2049 | 3.250% | 884,000 | 891,990 | |
Total | 1,422,037 | |||
Panama 0.0% | ||||
Panama Government International Bond | ||||
04/16/2050 | 4.500% | 275,000 | 326,028 | |
Paraguay 0.0% | ||||
Paraguay Government International Bond(a) | ||||
03/30/2050 | 5.400% | 912,000 | 1,046,966 | |
Peru 0.0% | ||||
Peruvian Government International Bond | ||||
11/18/2050 | 5.625% | 98,000 | 143,303 | |
Singapore 0.0% | ||||
BOC Aviation Ltd.(a) | ||||
09/18/2022 | 2.750% | 400,000 | 401,118 | |
10/10/2024 | 3.500% | 310,000 | 320,054 | |
Total | 721,172 | |||
United Arab Emirates 0.1% | ||||
Abu Dhabi Government International Bond(a) | ||||
09/30/2024 | 2.125% | 974,000 | 971,215 | |
09/30/2029 | 2.500% | 1,266,000 | 1,261,592 | |
09/30/2049 | 3.125% | 775,000 | 754,869 | |
Total | 2,987,676 | |||
Total Foreign Government Obligations (Cost $31,696,343) | 33,541,232 | |||
Inflation-Indexed Bonds 0.1% | ||||
United States 0.1% | ||||
U.S. Treasury Inflation-Indexed Bond | ||||
01/15/2022 | 0.125% | 1,137,020 | 1,136,597 | |
01/15/2029 | 2.500% | 1,198,630 | 1,444,781 | |
Total | 2,581,378 | |||
Total Inflation-Indexed Bonds (Cost $2,489,824) | 2,581,378 | |||
208 | Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Core Bond Fund, December 31, 2019
Municipal Bonds 0.4% | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Airport 0.0% | ||||
City of Los Angeles Department of Airports | ||||
Revenue Bonds | ||||
Build America Bonds | ||||
Series 2009 | ||||
05/15/2039 | 6.582% | 420,000 | 557,310 | |
Higher Education 0.1% | ||||
Los Angeles Community College District | ||||
Unlimited General Obligation Bonds | ||||
Build America Bonds | ||||
Series 2010 | ||||
08/01/2049 | 6.750% | 1,455,000 | 2,388,746 | |
Ohio State University (The) | ||||
Revenue Bonds | ||||
Taxable | ||||
Series 2011A | ||||
06/01/2111 | 4.800% | 2,014,000 | 2,552,967 | |
Total | 4,941,713 | |||
Joint Power Authority 0.1% | ||||
American Municipal Power, Inc. | ||||
Revenue Bonds | ||||
Build America Bonds | ||||
Series 2010 | ||||
02/15/2050 | 7.499% | 1,265,000 | 1,953,426 | |
Ports 0.1% | ||||
Port Authority of New York & New Jersey | ||||
Revenue Bonds | ||||
Consolidated 174th | ||||
Series 2012 | ||||
10/01/2062 | 4.458% | 1,850,000 | 2,267,360 | |
Taxable Consolidated 160th | ||||
Series 2010 | ||||
11/01/2040 | 5.647% | 835,000 | 1,114,600 | |
Total | 3,381,960 | |||
Special Non Property Tax 0.0% | ||||
New York State Dormitory Authority | ||||
Revenue Bonds | ||||
Build America Bonds | ||||
Series 2010 | ||||
03/15/2040 | 5.600% | 415,000 | 525,270 | |
State General Obligation 0.0% | ||||
State of California | ||||
Unlimited General Obligation Bonds | ||||
Build America Bonds | ||||
Series 2009 | ||||
10/01/2039 | 7.300% | 295,000 | 450,471 | |
Series 2010 | ||||
11/01/2040 | 7.600% | 260,000 | 429,185 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
State of Illinois | ||||
Unlimited General Obligation Bonds | ||||
Taxable Pension | ||||
Series 2003 | ||||
06/01/2033 | 5.100% | 205,000 | 220,996 | |
Total | 1,100,652 | |||
Turnpike / Bridge / Toll Road 0.1% | ||||
North Texas Tollway Authority | ||||
Revenue Bonds | ||||
Series 2009 (BAM) | ||||
01/01/2049 | 6.718% | 1,164,000 | 1,826,234 | |
Water & Sewer 0.0% | ||||
District of Columbia Water & Sewer Authority | ||||
Taxable Revenue Bonds | ||||
Senior Lien | ||||
Series 2014-A | ||||
10/01/2114 | 4.814% | 411,000 | 539,996 | |
Total Municipal Bonds (Cost $12,184,784) | 14,826,561 | |||
Residential Mortgage-Backed Securities - Agency 23.2% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal Home Loan Mortgage Corp. | ||||
11/01/2022- 10/17/2038 | 6.500% | 1,303,226 | 1,447,047 | |
06/01/2028- 11/01/2028 | 2.500% | 17,229,566 | 17,469,882 | |
12/01/2032- 09/01/2049 | 4.000% | 59,296,287 | 63,071,289 | |
03/01/2033- 12/01/2049 | 3.000% | 6,380,267 | 6,501,206 | |
06/01/2035- 04/01/2036 | 5.500% | 107,301 | 118,598 | |
09/01/2037 | 6.000% | 983,883 | 1,114,684 | |
02/01/2048- 11/01/2049 | 3.500% | 17,241,442 | 18,021,140 | |
05/01/2048- 12/01/2048 | 5.000% | 6,662,366 | 7,235,350 | |
03/01/2049 | 4.500% | 1,013,425 | 1,118,198 | |
CMO Series 2017-4742 Class PA | ||||
10/15/2047 | 3.000% | 5,555,965 | 5,691,585 | |
CMO Series 2127 Class PG | ||||
02/15/2029 | 6.250% | 216,533 | 233,658 | |
CMO Series 2165 Class PE | ||||
06/15/2029 | 6.000% | 80,561 | 89,185 | |
CMO Series 2326 Class ZQ | ||||
06/15/2031 | 6.500% | 414,851 | 459,368 | |
CMO Series 2399 Class TH | ||||
01/15/2032 | 6.500% | 202,008 | 229,865 |
Variable Portfolio Funds | Annual Report 2019 | 209 |
Variable Portfolio – Partners Core Bond Fund, December 31, 2019
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2517 Class Z | ||||
10/15/2032 | 5.500% | 183,968 | 196,612 | |
CMO Series 2557 Class HL | ||||
01/15/2033 | 5.300% | 350,394 | 390,799 | |
CMO Series 262 Class 35 | ||||
07/15/2042 | 3.500% | 4,982,436 | 5,213,952 | |
CMO Series 2752 Class EZ | ||||
02/15/2034 | 5.500% | 942,534 | 1,080,709 | |
CMO Series 2764 Class ZG | ||||
03/15/2034 | 5.500% | 622,556 | 690,055 | |
CMO Series 2953 Class PG | ||||
03/15/2035 | 5.500% | 3,320,071 | 3,706,671 | |
CMO Series 2986 Class CH | ||||
06/15/2025 | 5.000% | 358,175 | 374,662 | |
CMO Series 2989 Class TG | ||||
06/15/2025 | 5.000% | 281,499 | 296,617 | |
CMO Series 299 Class 300 | ||||
01/15/2043 | 3.000% | 822,187 | 835,286 | |
CMO Series 2990 Class UZ | ||||
06/15/2035 | 5.750% | 1,091,638 | 1,249,661 | |
CMO Series 3101 Class UZ | ||||
01/15/2036 | 6.000% | 334,368 | 381,751 | |
CMO Series 3123 Class AZ | ||||
03/15/2036 | 6.000% | 418,120 | 475,375 | |
CMO Series 3143 Class BC | ||||
02/15/2036 | 5.500% | 415,305 | 461,577 | |
CMO Series 3164 Class MG | ||||
06/15/2036 | 6.000% | 157,405 | 175,033 | |
CMO Series 3195 Class PD | ||||
07/15/2036 | 6.500% | 297,892 | 335,565 | |
CMO Series 3200 Class AY | ||||
08/15/2036 | 5.500% | 283,163 | 318,153 | |
CMO Series 3213 Class JE | ||||
09/15/2036 | 6.000% | 459,282 | 518,449 | |
CMO Series 3229 Class HE | ||||
10/15/2026 | 5.000% | 659,316 | 697,002 | |
CMO Series 3402 Class NC | ||||
12/15/2022 | 5.000% | 99,940 | 102,972 | |
CMO Series 3423 Class PB | ||||
03/15/2038 | 5.500% | 886,817 | 991,744 | |
CMO Series 3453 Class B | ||||
05/15/2038 | 5.500% | 35,270 | 38,530 | |
CMO Series 3461 Class Z | ||||
06/15/2038 | 6.000% | 1,694,707 | 1,884,505 | |
CMO Series 3501 Class CB | ||||
01/15/2039 | 5.500% | 393,463 | 440,087 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 3684 Class CY | ||||
06/15/2025 | 4.500% | 1,589,510 | 1,661,876 | |
CMO Series 3704 Class CT | ||||
12/15/2036 | 7.000% | 594,975 | 697,516 | |
CMO Series 3704 Class DT | ||||
11/15/2036 | 7.500% | 567,761 | 670,882 | |
CMO Series 3704 Class ET | ||||
12/15/2036 | 7.500% | 418,296 | 501,601 | |
CMO Series 3707 Class B | ||||
08/15/2025 | 4.500% | 1,302,146 | 1,367,774 | |
CMO Series 3819 Class ZQ | ||||
04/15/2036 | 6.000% | 637,282 | 728,703 | |
CMO Series 3827 Class BM | ||||
08/15/2039 | 5.500% | 161,783 | 165,571 | |
CMO Series 3890 Class ME | ||||
07/15/2041 | 5.000% | 1,000,000 | 1,194,931 | |
CMO Series 4015 Class MY | ||||
03/15/2042 | 3.500% | 2,000,000 | 2,102,921 | |
CMO Series 4177 Class MQ | ||||
03/15/2043 | 2.500% | 1,000,000 | 977,321 | |
CMO Series 4217 Class KY | ||||
06/15/2043 | 3.000% | 1,200,000 | 1,233,583 | |
CMO Series 4240 Class B | ||||
08/15/2033 | 3.000% | 2,000,000 | 2,050,798 | |
CMO Series 4426 Class QC | ||||
07/15/2037 | 1.750% | 2,060,968 | 2,036,344 | |
CMO Series 4705 Class A | ||||
09/15/2042 | 4.500% | 1,778,627 | 1,863,151 | |
CMO Series 4763 Class CA | ||||
09/15/2038 | 3.000% | 487,574 | 501,699 | |
CMO Series 4767 Class KA | ||||
03/15/2048 | 3.000% | 2,249,185 | 2,310,430 | |
CMO Series 4786 Class DP | ||||
07/15/2042 | 4.500% | 1,020,314 | 1,040,243 | |
CMO Series 4796 Class AK | ||||
05/15/2048 | 3.000% | 4,269,008 | 4,341,781 | |
CMO Series 4802 Class A | ||||
06/15/2048 | 3.000% | 4,219,774 | 4,289,907 | |
CMO Series 4874 Class AT | ||||
09/15/2048 | 3.000% | 20,420,991 | 20,742,154 | |
CMO Series 4880 Class DA | ||||
05/15/2050 | 3.000% | 2,732,445 | 2,786,283 | |
CMO Series R006 Class ZA | ||||
04/15/2036 | 6.000% | 484,683 | 557,808 | |
CMO Series R007 Class ZA | ||||
05/15/2036 | 6.000% | 932,465 | 1,068,924 |
210 | Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Core Bond Fund, December 31, 2019
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO STRIPS Series 264 Class 30 | ||||
07/15/2042 | 3.000% | 175,521 | 179,200 | |
Federal Home Loan Mortgage Corp.(b) | ||||
1-year CMT + 2.250% Cap 10.179% 07/01/2036 | 4.641% | 70,305 | 74,297 | |
12-month USD LIBOR + 1.846% Cap 9.023% 07/01/2040 | 4.367% | 252,779 | 267,082 | |
CMO Series 2551 Class NS | ||||
-1.8 x 1-month USD LIBOR + 14.483% Cap 14.483% 01/15/2033 | 11.294% | 135,661 | 170,632 | |
CMO Series 343 Class F4 | ||||
1-month USD LIBOR + 0.350% Floor 0.350%, Cap 9,999.000% 10/15/2037 | 2.041% | 1,531,345 | 1,518,681 | |
CMO Series 3852 Class QN | ||||
-3.6 x 1-month USD LIBOR + 27.211% Cap 5.500% 05/15/2041 | 5.500% | 469,595 | 492,003 | |
CMO Series 3966 Class BF | ||||
1-month USD LIBOR + 0.500% Floor 0.500%, Cap 7.000% 10/15/2040 | 2.240% | 654,528 | 655,187 | |
CMO Series 4048 Class FJ | ||||
1-month USD LIBOR + 0.400% Floor 0.400%, Cap 9,999.000% 07/15/2037 | 2.091% | 808,748 | 808,173 | |
CMO Series 4087 Class FA | ||||
1-month USD LIBOR + 0.450% Floor 0.450%, Cap 6.500% 05/15/2039 | 2.190% | 516,648 | 517,572 | |
CMO Series 4846 Class PF | ||||
1-month USD LIBOR + 0.350% Floor 0.350%, Cap 6.500% 12/15/2048 | 2.090% | 662,494 | 660,143 | |
CMO Series 4856 Class FD | ||||
1-month USD LIBOR + 0.300% Floor 0.300%, Cap 6.500% 08/15/2040 | 2.040% | 2,138,801 | 2,124,282 | |
CMO Series 4897 Class F | ||||
1-month USD LIBOR + 0.400% Floor 0.400%, Cap 6.500% 07/15/2049 | 2.140% | 758,041 | 756,813 | |
Structured Pass-Through Securities | ||||
1-year MTA + 1.200% Floor 1.200% 10/25/2044 | 3.365% | 654,427 | 663,595 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal Home Loan Mortgage Corp.(k) | ||||
09/01/2049 | 4.000% | 13,599,898 | 14,548,945 | |
Federal Home Loan Mortgage Corp.(l) | ||||
CMO Series 2967 Class EA | ||||
04/15/2020 | 0.000% | 1,217 | 1,214 | |
CMO Series 3077 Class TO | ||||
04/15/2035 | 0.000% | 125,639 | 118,297 | |
CMO Series 3100 Class | ||||
01/15/2036 | 0.000% | 191,515 | 173,811 | |
CMO Series 3117 Class OG | ||||
02/15/2036 | 0.000% | 98,745 | 90,563 | |
CMO Series 3181 Class OH | ||||
07/15/2036 | 0.000% | 368,251 | 324,766 | |
CMO Series 3316 Class JO | ||||
05/15/2037 | 0.000% | 15,188 | 13,703 | |
CMO Series 3607 Class TO | ||||
10/15/2039 | 0.000% | 287,865 | 253,745 | |
CMO STRIPS Series 197 Class | ||||
04/01/2028 | 0.000% | 156,287 | 145,832 | |
CMO STRIPS Series 310 Class | ||||
09/15/2043 | 0.000% | 1,891,352 | 1,595,094 | |
Federal Home Loan Mortgage Corp.(b),(g) | ||||
CMO Series 3380 Class SI | ||||
-1.0 x 1-month USD LIBOR + 6.370% Cap 6.370% 10/15/2037 | 4.630% | 2,386,619 | 451,033 | |
CMO Series 3385 Class SN | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 11/15/2037 | 4.260% | 62,344 | 8,481 | |
CMO Series 3451 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 05/15/2038 | 4.310% | 134,497 | 17,798 | |
CMO Series 3531 Class SM | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 05/15/2039 | 4.360% | 72,394 | 4,696 | |
CMO Series 3608 Class SC | ||||
-1.0 x 1-month USD LIBOR + 6.250% Cap 6.250% 12/15/2039 | 4.510% | 314,882 | 52,715 |
Variable Portfolio Funds | Annual Report 2019 | 211 |
Variable Portfolio – Partners Core Bond Fund, December 31, 2019
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 3740 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 10/15/2040 | 4.260% | 554,403 | 84,077 | |
CMO Series 3740 Class SC | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 10/15/2040 | 4.260% | 661,613 | 90,105 | |
CMO STRIPS Series 239 Class S30 | ||||
-1.0 x 1-month USD LIBOR + 7.700% Cap 7.700% 08/15/2036 | 5.960% | 377,707 | 85,183 | |
Federal Home Loan Mortgage Corp.(c) | ||||
CMO Series 3688 Class CU | ||||
11/15/2021 | 7.019% | 26,329 | 26,693 | |
CMO Series 3688 Class GT | ||||
11/15/2046 | 7.345% | 412,629 | 485,000 | |
CMO Series 4272 Class W | ||||
04/15/2040 | 5.650% | 2,087,815 | 2,289,951 | |
Federal Home Loan Mortgage Corp.(g) | ||||
CMO Series 3688 Class NI | ||||
04/15/2032 | 5.000% | 8,304 | 3 | |
CMO Series 3714 Class IP | ||||
08/15/2040 | 5.000% | 612,764 | 76,738 | |
CMO Series 3800 Class AI | ||||
11/15/2029 | 4.000% | 313,056 | 8,968 | |
Federal Home Loan Mortgage Corp.(c),(g) | ||||
CMO Series 3802 Class LS | ||||
01/15/2040 | 2.390% | 735,668 | 40,112 | |
Federal National Mortgage Association | ||||
05/01/2022 | 7.500% | 12,015 | 12,073 | |
01/01/2023- 11/01/2048 | 6.000% | 921,626 | 1,011,227 | |
02/01/2024- 10/01/2038 | 6.500% | 2,424,710 | 2,777,709 | |
08/01/2031 | 2.500% | 1,436,414 | 1,453,871 | |
05/01/2033- 12/01/2049 | 3.500% | 47,214,114 | 49,462,806 | |
07/01/2033- 12/01/2049 | 4.000% | 99,708,591 | 106,339,815 | |
11/01/2033- 06/01/2049 | 5.500% | 8,215,383 | 9,155,158 | |
05/01/2034- 08/01/2049 | 4.500% | 21,859,263 | 23,817,099 | |
12/01/2034- 12/01/2049 | 3.000% | 7,731,106 | 7,935,170 | |
01/01/2036- 08/01/2049 | 5.000% | 60,767,111 | 67,410,180 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
11/01/2037- 01/01/2039 | 7.000% | 656,774 | 785,896 | |
CMO Series 1999-7 Class AB | ||||
03/25/2029 | 6.000% | 166,152 | 183,389 | |
CMO Series 2001-60 Class PX | ||||
11/25/2031 | 6.000% | 233,701 | 262,501 | |
CMO Series 2002-50 Class ZA | ||||
05/25/2031 | 6.000% | 802,639 | 885,927 | |
CMO Series 2002-78 Class Z | ||||
12/25/2032 | 5.500% | 283,884 | 317,610 | |
CMO Series 2003-W19 Class 1A7 | ||||
11/25/2033 | 5.620% | 2,958,962 | 3,270,585 | |
CMO Series 2004-50 Class VZ | ||||
07/25/2034 | 5.500% | 1,190,629 | 1,309,637 | |
CMO Series 2004-65 Class LT | ||||
08/25/2024 | 4.500% | 153,647 | 159,262 | |
CMO Series 2004-W10 Class A6 | ||||
08/25/2034 | 5.750% | 2,508,043 | 2,783,677 | |
CMO Series 2005-121 Class DX | ||||
01/25/2026 | 5.500% | 362,511 | 384,397 | |
CMO Series 2006-105 Class ME | ||||
11/25/2036 | 5.500% | 756,661 | 848,178 | |
CMO Series 2006-16 Class HZ | ||||
03/25/2036 | 5.500% | 1,039,418 | 1,153,398 | |
CMO Series 2006-W3 Class 2A | ||||
09/25/2046 | 6.000% | 226,494 | 248,291 | |
CMO Series 2007-104 Class ZE | ||||
08/25/2037 | 6.000% | 211,210 | 232,139 | |
CMO Series 2007-116 Class PB | ||||
08/25/2035 | 5.500% | 233,985 | 263,390 | |
CMO Series 2007-18 Class MZ | ||||
03/25/2037 | 6.000% | 326,499 | 358,787 | |
CMO Series 2007-42 Class B | ||||
05/25/2037 | 6.000% | 234,908 | 263,470 | |
CMO Series 2007-76 Class ZG | ||||
08/25/2037 | 6.000% | 509,762 | 573,099 | |
CMO Series 2008-80 Class GP | ||||
09/25/2038 | 6.250% | 37,499 | 41,915 | |
CMO Series 2009-59 Class HB | ||||
08/25/2039 | 5.000% | 491,764 | 538,814 | |
CMO Series 2009-60 Class HT | ||||
08/25/2039 | 6.000% | 484,924 | 552,352 | |
CMO Series 2009-79 Class UA | ||||
03/25/2038 | 7.000% | 47,744 | 53,802 | |
CMO Series 2009-W1 Class A | ||||
12/25/2049 | 6.000% | 1,082,791 | 1,236,254 |
212 | Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Core Bond Fund, December 31, 2019
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2010-111 Class AM | ||||
10/25/2040 | 5.500% | 2,023,557 | 2,308,163 | |
CMO Series 2010-148 Class MA | ||||
02/25/2039 | 4.000% | 82,937 | 83,906 | |
CMO Series 2010-2 Class LC | ||||
02/25/2040 | 5.000% | 1,200,000 | 1,367,633 | |
CMO Series 2010-83 Class DN | ||||
12/25/2020 | 4.500% | 175,009 | 175,599 | |
CMO Series 2011-118 Class MT | ||||
11/25/2041 | 7.000% | 764,800 | 899,004 | |
CMO Series 2011-118 Class NT | ||||
11/25/2041 | 7.000% | 872,582 | 1,013,649 | |
CMO Series 2011-31 Class DB | ||||
04/25/2031 | 3.500% | 3,530,551 | 3,696,368 | |
CMO Series 2011-39 Class ZA | ||||
11/25/2032 | 6.000% | 352,544 | 400,956 | |
CMO Series 2011-44 Class EB | ||||
05/25/2026 | 3.000% | 2,134,569 | 2,170,628 | |
CMO Series 2011-46 Class B | ||||
05/25/2026 | 3.000% | 4,614,242 | 4,695,016 | |
CMO Series 2011-59 Class NZ | ||||
07/25/2041 | 5.500% | 1,695,052 | 1,897,377 | |
CMO Series 2012-151 Class NX | ||||
01/25/2043 | 1.500% | 1,723,599 | 1,650,743 | |
CMO Series 2012-66 Class CB | ||||
06/25/2032 | 3.000% | 3,000,000 | 3,100,462 | |
CMO Series 2013-100 Class WB | ||||
10/25/2033 | 3.000% | 3,000,000 | 3,049,542 | |
CMO Series 2013-101 Class E | ||||
10/25/2033 | 3.000% | 3,000,000 | 3,110,809 | |
CMO Series 2013-108 Class GU | ||||
10/25/2033 | 3.000% | 2,575,000 | 2,645,386 | |
CMO Series 2013-30 Class CA | ||||
04/25/2043 | 1.500% | 499,845 | 479,786 | |
CMO Series 2013-59 Class PY | ||||
06/25/2043 | 2.500% | 1,000,000 | 977,781 | |
CMO Series 2013-81 Class TA | ||||
02/25/2043 | 3.000% | 2,500,000 | 2,527,910 | |
CMO Series 2013-90 Class DL | ||||
09/25/2033 | 3.500% | 1,500,000 | 1,601,108 | |
CMO Series 2015-84 Class PA | ||||
08/25/2033 | 1.700% | 5,003,089 | 4,911,286 | |
CMO Series 2016-48 Class MA | ||||
06/25/2038 | 2.000% | 6,628,773 | 6,555,339 | |
CMO Series 2017-13 Class PA | ||||
08/25/2046 | 3.000% | 67,373 | 69,440 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2017-42 Class H | ||||
11/25/2043 | 3.000% | 1,308,917 | 1,335,119 | |
CMO Series 2018-14 Class KC | ||||
03/25/2048 | 3.000% | 144,621 | 148,336 | |
CMO Series 2018-15 Class AB | ||||
03/25/2048 | 3.000% | 78,341 | 80,534 | |
CMO Series 2018-43 Class CT | ||||
06/25/2048 | 3.000% | 4,188,756 | 4,249,594 | |
CMO Series 2018-45 Class GA | ||||
06/25/2048 | 3.000% | 681,172 | 690,377 | |
CMO Series 2018-8 Class KL | ||||
03/25/2047 | 2.500% | 1,910,852 | 1,906,342 | |
CMO Series 2019-35 Class A | ||||
07/25/2049 | 3.000% | 1,712,900 | 1,770,729 | |
CMO Series 2019-35 Class MB | ||||
07/25/2049 | 3.000% | 2,263,427 | 2,350,407 | |
CMO Series 2019-8 Class GA | ||||
03/25/2049 | 3.000% | 9,331,496 | 9,456,257 | |
CMO Series G94-8 Class K | ||||
07/17/2024 | 8.000% | 122,805 | 134,222 | |
CMO STRIPS Series 414 Class A35 | ||||
10/25/2042 | 3.500% | 358,222 | 375,862 | |
Series 2012-M5 Class A2 | ||||
02/25/2022 | 2.715% | 1,574,814 | 1,592,266 | |
Series 2013-M9 Class A2 | ||||
01/25/2023 | 2.389% | 1,754,901 | 1,768,800 | |
Federal National Mortgage Association(f),(m) | ||||
02/28/2030 | 3.500% | 2,560,000 | 2,577,613 | |
01/31/2032 | 2.730% | 1,825,000 | 1,840,969 | |
01/31/2032 | 2.950% | 3,000,000 | 3,103,140 | |
Federal National Mortgage Association(b) | ||||
6-month USD LIBOR + 2.500% Floor 2.500%, Cap 11.256% 03/01/2036 | 4.701% | 272,221 | 291,081 | |
12-month USD LIBOR + 1.583% Floor 1.583%, Cap 7.620% 05/01/2045 | 2.620% | 1,273,547 | 1,295,919 | |
12-month USD LIBOR + 1.579% Floor 1.579%, Cap 7.743% 06/01/2045 | 2.743% | 1,620,447 | 1,652,837 | |
12-month USD LIBOR + 1.587% Floor 1.587%, Cap 7.619% 11/01/2045 | 2.619% | 537,704 | 545,797 | |
12-month USD LIBOR + 1.585% Floor 1.585%, Cap 7.658% 01/01/2046 | 2.658% | 6,023,587 | 6,132,758 | |
12-month USD LIBOR + 1.620% Floor 1.620%, Cap 8.096% 03/01/2047 | 3.096% | 86,986 | 88,646 |
Variable Portfolio Funds | Annual Report 2019 | 213 |
Variable Portfolio – Partners Core Bond Fund, December 31, 2019
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
12-month USD LIBOR + 1.599% Floor 1.605%, Cap 7.958% 08/01/2047 | 2.958% | 893,434 | 906,803 | |
CMO Series 2003-130 Class CS | ||||
-2.0 x 1-month USD LIBOR + 14.100% Cap 14.100% 12/25/2033 | 10.516% | 11,615 | 11,969 | |
CMO Series 2003-W8 Class 3F1 | ||||
1-month USD LIBOR + 0.400% Floor 0.400%, Cap 8.000% 05/25/2042 | 2.192% | 187,878 | 187,469 | |
CMO Series 2005-SV Class 75 | ||||
-4.0 x 1-month USD LIBOR + 24.200% Cap 24.200% 09/25/2035 | 17.032% | 69,210 | 98,906 | |
CMO Series 2005-W3 Class 2AF | ||||
1-month USD LIBOR + 0.220% Floor 0.220%, Cap 9.500% 03/25/2045 | 2.012% | 399,273 | 397,744 | |
CMO Series 2007-101 Class A2 | ||||
1-month USD LIBOR + 0.250% Floor 0.250% 06/27/2036 | 2.042% | 252,286 | 244,823 | |
CMO Series 2010-28 Class BS | ||||
-2.2 x 1-month USD LIBOR + 11.588% Cap 11.588% 04/25/2040 | 7.556% | 72,159 | 82,766 | |
CMO Series 2010-35 Class SJ | ||||
-3.3 x 1-month USD LIBOR + 17.667% Cap 17.667% 04/25/2040 | 11.693% | 441,248 | 556,995 | |
CMO Series 2010-49 Class SC | ||||
-2.0 x 1-month USD LIBOR + 12.660% Cap 12.660% 03/25/2040 | 9.076% | 372,765 | 443,780 | |
CMO Series 2011-75 Class FA | ||||
1-month USD LIBOR + 0.550% Floor 0.550%, Cap 6.500% 08/25/2041 | 2.342% | 206,891 | 208,709 | |
CMO Series 2018-79 Class FA | ||||
1-month USD LIBOR + 0.250% Floor 0.250%, Cap 6.500% 11/25/2048 | 2.042% | 3,422,151 | 3,398,618 | |
CMO Series 2019-14 Class FB | ||||
1-month USD LIBOR + 0.400% Floor 0.400% 04/25/2059 | 2.181% | 1,245,348 | 1,244,026 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2019-18 Class FH | ||||
1-month USD LIBOR + 0.350% Floor 0.350%, Cap 6.500% 05/25/2049 | 2.142% | 2,101,295 | 2,085,620 | |
CMO Series 2019-25 Class YF | ||||
1-month USD LIBOR + 0.450% Floor 0.450%, Cap 6.500% 10/25/2046 | 2.242% | 4,161,086 | 4,167,217 | |
CMO Series 2019-35 Class FH | ||||
1-month USD LIBOR + 0.350% Floor 0.350%, Cap 6.500% 07/25/2049 | 2.142% | 948,987 | 945,086 | |
CMO Series 2019-42 Class FK | ||||
1-month USD LIBOR + 0.450% Floor 0.450%, Cap 6.500% 08/25/2049 | 2.242% | 5,587,082 | 5,570,484 | |
CMO Series 2019-60 Class BF | ||||
1-month USD LIBOR + 0.450% Floor 0.450%, Cap 6.500% 10/25/2049 | 2.242% | 1,719,101 | 1,711,015 | |
CMO Series 2019-60 Class FW | ||||
1-month USD LIBOR + 0.450% Floor 0.450%, Cap 6.500% 10/25/2049 | 2.242% | 1,333,497 | 1,331,178 | |
CMO Series 2019-67 Class FB | ||||
1-month USD LIBOR + 0.450% Floor 0.450%, Cap 6.500% 11/25/2049 | 2.242% | 1,518,726 | 1,510,477 | |
CMO Series 2019-70 Class FL | ||||
1-month USD LIBOR + 0.400% Floor 0.400%, Cap 6.500% 12/25/2049 | 2.192% | 3,069,191 | 3,062,514 | |
Federal National Mortgage Association(m) | ||||
01/13/2044 | 2.500% | 16,600,000 | 16,417,141 | |
03/13/2049- 01/14/2050 | 3.500% | 17,900,000 | 18,400,138 | |
01/14/2050 | 3.000% | 29,000,000 | 29,412,344 | |
Federal National Mortgage Association(b),(g) | ||||
CMO Series 1996-4 Class SA | ||||
-1.0 x 1-month USD LIBOR + 8.500% Cap 8.500% 02/25/2024 | 6.708% | 47,004 | 4,954 | |
CMO Series 2006-117 Class GS | ||||
-1.0 x 1-month USD LIBOR + 6.650% Cap 6.650% 12/25/2036 | 4.858% | 193,545 | 28,793 |
214 | Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Core Bond Fund, December 31, 2019
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2006-43 Class SI | ||||
-1.0 x 1-month USD LIBOR + 6.600% Cap 6.600% 06/25/2036 | 4.808% | 960,338 | 162,321 | |
CMO Series 2006-58 Class IG | ||||
-1.0 x 1-month USD LIBOR + 6.520% Cap 6.520% 07/25/2036 | 4.728% | 349,964 | 54,112 | |
CMO Series 2006-8 Class WN | ||||
-1.0 x 1-month USD LIBOR + 6.700% Cap 6.700% 03/25/2036 | 4.908% | 979,202 | 194,732 | |
CMO Series 2006-94 Class GI | ||||
-1.0 x 1-month USD LIBOR + 6.650% Cap 6.650% 10/25/2026 | 4.858% | 460,040 | 41,180 | |
CMO Series 2007-109 Class PI | ||||
-1.0 x 1-month USD LIBOR + 6.350% Cap 6.350% 12/25/2037 | 4.558% | 554,505 | 80,195 | |
CMO Series 2007-65 Class KI | ||||
-1.0 x 1-month USD LIBOR + 6.620% Cap 6.620% 07/25/2037 | 4.828% | 166,826 | 22,319 | |
CMO Series 2007-72 Class EK | ||||
-1.0 x 1-month USD LIBOR + 6.400% Cap 6.400% 07/25/2037 | 4.608% | 874,093 | 155,906 | |
CMO Series 2007-W7 Class 2A2 | ||||
-1.0 x 1-month USD LIBOR + 6.530% Cap 6.530% 07/25/2037 | 4.738% | 314,084 | 41,391 | |
CMO Series 2009-112 Class ST | ||||
-1.0 x 1-month USD LIBOR + 6.250% Cap 6.250% 01/25/2040 | 4.458% | 296,591 | 55,868 | |
CMO Series 2009-17 Class QS | ||||
-1.0 x 1-month USD LIBOR + 6.650% Cap 6.650% 03/25/2039 | 4.858% | 98,271 | 12,489 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2009-37 Class KI | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 06/25/2039 | 4.208% | 607,494 | 59,008 | |
CMO Series 2009-68 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.750% Cap 6.750% 09/25/2039 | 4.958% | 402,813 | 60,942 | |
CMO Series 2010-125 Class SA | ||||
-1.0 x 1-month USD LIBOR + 4.440% Cap 4.440% 11/25/2040 | 2.648% | 1,366,753 | 126,785 | |
CMO Series 2010-147 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.530% Cap 6.530% 01/25/2041 | 4.738% | 1,778,610 | 363,822 | |
CMO Series 2010-35 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.420% Cap 6.420% 04/25/2040 | 4.628% | 176,200 | 24,014 | |
CMO Series 2010-42 Class S | ||||
-1.0 x 1-month USD LIBOR + 6.400% Cap 6.400% 05/25/2040 | 4.608% | 153,870 | 24,779 | |
CMO Series 2010-68 Class SA | ||||
-1.0 x 1-month USD LIBOR + 5.000% Cap 5.000% 07/25/2040 | 3.208% | 1,026,258 | 118,957 | |
Federal National Mortgage Association(c) | ||||
CMO Series 2003-W16 Class AF5 | ||||
11/25/2033 | 4.535% | 520,953 | 567,080 | |
CMO Series 2010-61 Class WA | ||||
06/25/2040 | 5.987% | 141,250 | 159,150 | |
CMO Series 2011-2 Class WA | ||||
02/25/2051 | 5.858% | 143,306 | 157,146 | |
CMO Series 2011-43 Class WA | ||||
05/25/2051 | 5.768% | 240,740 | 272,107 | |
Federal National Mortgage Association(l) | ||||
CMO Series 2006-113 Class | ||||
07/25/2036 | 0.000% | 22,175 | 21,827 | |
CMO Series 2006-15 Class OP | ||||
03/25/2036 | 0.000% | 162,600 | 145,369 | |
CMO Series 2006-8 Class WQ | ||||
03/25/2036 | 0.000% | 267,055 | 229,935 |
Variable Portfolio Funds | Annual Report 2019 | 215 |
Variable Portfolio – Partners Core Bond Fund, December 31, 2019
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2009-86 Class BO | ||||
03/25/2037 | 0.000% | 82,859 | 75,829 | |
CMO Series 2013-101 Class DO | ||||
10/25/2043 | 0.000% | 2,045,126 | 1,731,509 | |
CMO Series 2013-128 Class | ||||
12/25/2043 | 0.000% | 1,457,355 | 1,275,464 | |
CMO Series 2013-92 Class | ||||
09/25/2043 | 0.000% | 1,520,908 | 1,297,646 | |
CMO STRIPS Series 293 Class 1 | ||||
12/25/2024 | 0.000% | 100,500 | 96,896 | |
Federal National Mortgage Association(g) | ||||
CMO Series 2009-71 Class BI | ||||
08/25/2024 | 4.500% | 14,730 | 192 | |
CMO Series 2009-86 Class IP | ||||
10/25/2039 | 5.500% | 128,369 | 22,657 | |
CMO Series 2010-155 Class KI | ||||
01/25/2021 | 3.000% | 115,960 | 1,354 | |
Federal National Mortgage Association(c),(g) | ||||
CMO Series 2011-30 Class LS | ||||
04/25/2041 | 2.372% | 540,012 | 30,422 | |
Government National Mortgage Association | ||||
09/20/2038 | 7.000% | 79,697 | 93,638 | |
08/20/2039 | 6.000% | 369,150 | 416,800 | |
05/20/2045- 08/20/2049 | 4.000% | 18,935,613 | 19,786,180 | |
08/15/2047- 11/20/2049 | 4.500% | 22,718,382 | 24,424,810 | |
01/20/2048- 09/20/2049 | 3.500% | 10,271,379 | 10,659,391 | |
03/20/2048- 09/20/2049 | 5.000% | 27,535,042 | 29,389,035 | |
04/20/2063 | 4.383% | 972,767 | 985,126 | |
05/20/2063 | 4.375% | 1,311,029 | 1,327,173 | |
05/20/2063 | 4.427% | 1,308,807 | 1,321,465 | |
06/20/2063 | 4.291% | 2,327,419 | 2,356,450 | |
CMO Series 2003-75 Class ZX | ||||
09/16/2033 | 6.000% | 610,358 | 678,173 | |
CMO Series 2005-26 Class XY | ||||
03/20/2035 | 5.500% | 581,407 | 655,454 | |
CMO Series 2005-72 Class AZ | ||||
09/20/2035 | 5.500% | 736,754 | 801,797 | |
CMO Series 2006-17 Class JN | ||||
04/20/2036 | 6.000% | 265,660 | 295,562 | |
CMO Series 2006-33 Class NA | ||||
01/20/2036 | 5.000% | 85,659 | 87,653 | |
CMO Series 2006-38 Class ZK | ||||
08/20/2036 | 6.500% | 874,028 | 977,498 | |
CMO Series 2006-69 Class MB | ||||
12/20/2036 | 5.500% | 1,008,045 | 1,106,939 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2008-23 Class PH | ||||
03/20/2038 | 5.000% | 851,245 | 912,351 | |
CMO Series 2009-104 Class AB | ||||
08/16/2039 | 7.000% | 865,950 | 953,668 | |
CMO Series 2010-130 Class CP | ||||
10/16/2040 | 7.000% | 471,278 | 551,032 | |
CMO Series 2013-H01 Class FA | ||||
01/20/2063 | 1.650% | 1,070,947 | 1,066,691 | |
CMO Series 2013-H04 Class BA | ||||
02/20/2063 | 1.650% | 708,302 | 705,287 | |
CMO Series 2013-H07 Class JA | ||||
03/20/2063 | 1.750% | 1,353,475 | 1,349,299 | |
CMO Series 2013-H09 Class HA | ||||
04/20/2063 | 1.650% | 2,205,512 | 2,191,931 | |
CMO Series 2017-167 Class BQ | ||||
08/20/2044 | 2.500% | 1,978,114 | 1,993,544 | |
CMO Series 2019-132 Class NA | ||||
09/20/2049 | 3.500% | 3,806,499 | 3,874,620 | |
CMO Series 2019-31 Class JC | ||||
03/20/2049 | 3.500% | 2,236,340 | 2,276,897 | |
Government National Mortgage Association(m) | ||||
03/21/2049- 01/21/2050 | 3.000% | 12,900,000 | 13,233,832 | |
01/21/2050 | 3.500% | 8,900,000 | 9,172,215 | |
Government National Mortgage Association(b),(g) | ||||
CMO Series 2005-3 Class SE | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 01/20/2035 | 4.335% | 792,252 | 137,784 | |
CMO Series 2007-40 Class SN | ||||
-1.0 x 1-month USD LIBOR + 6.680% Cap 6.680% 07/20/2037 | 4.915% | 564,929 | 99,266 | |
CMO Series 2008-62 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 07/20/2038 | 4.385% | 533,349 | 73,077 | |
CMO Series 2008-76 Class US | ||||
-1.0 x 1-month USD LIBOR + 5.900% Cap 5.900% 09/20/2038 | 4.135% | 635,874 | 103,470 | |
CMO Series 2008-95 Class DS | ||||
-1.0 x 1-month USD LIBOR + 7.300% Cap 7.300% 12/20/2038 | 5.535% | 539,068 | 106,269 |
216 | Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Core Bond Fund, December 31, 2019
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2009-102 Class SM | ||||
-1.0 x 1-month USD LIBOR + 6.400% Cap 6.400% 06/16/2039 | 4.660% | 85,603 | 1,757 | |
CMO Series 2009-106 Class ST | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 02/20/2038 | 4.235% | 901,340 | 116,119 | |
CMO Series 2009-64 Class SN | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 07/16/2039 | 4.360% | 395,505 | 49,739 | |
CMO Series 2009-67 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 08/16/2039 | 4.310% | 257,155 | 31,213 | |
CMO Series 2009-72 Class SM | ||||
-1.0 x 1-month USD LIBOR + 6.250% Cap 6.250% 08/16/2039 | 4.510% | 680,916 | 124,012 | |
CMO Series 2009-81 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.090% Cap 6.090% 09/20/2039 | 4.325% | 859,175 | 161,007 | |
CMO Series 2010-47 Class PX | ||||
-1.0 x 1-month USD LIBOR + 6.700% Cap 6.700% 06/20/2037 | 4.935% | 1,036,913 | 158,389 | |
CMO Series 2011-75 Class SM | ||||
-1.0 x 1-month USD LIBOR + 6.600% Cap 6.600% 05/20/2041 | 4.835% | 512,054 | 84,532 | |
Government National Mortgage Association(b) | ||||
CMO Series 2007-16 Class NS | ||||
-3.5 x 1-month USD LIBOR + 23.275% Cap 23.275% 04/20/2037 | 17.099% | 92,483 | 133,079 | |
CMO Series 2012-H10 Class FA | ||||
1-month USD LIBOR + 0.550% Floor 0.550%, Cap 10.500% 12/20/2061 | 2.324% | 1,499,166 | 1,499,109 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2012-H21 Class CF | ||||
1-month USD LIBOR + 0.700% Floor 0.700% 05/20/2061 | 2.474% | 35,236 | 35,319 | |
CMO Series 2012-H21 Class DF | ||||
1-month USD LIBOR + 0.650% Floor 0.650% 05/20/2061 | 2.424% | 31,443 | 31,492 | |
CMO Series 2012-H26 Class MA | ||||
1-month USD LIBOR + 0.550% Floor 0.550% 07/20/2062 | 2.324% | 32,827 | 32,826 | |
CMO Series 2012-H28 Class FA | ||||
1-month USD LIBOR + 0.580% Floor 0.580% 09/20/2062 | 2.354% | 151,694 | 151,710 | |
CMO Series 2012-H29 Class FA | ||||
1-month USD LIBOR + 0.515% Floor 0.515%, Cap 11.500% 10/20/2062 | 2.289% | 1,456,083 | 1,455,076 | |
CMO Series 2013-H01 Class TA | ||||
1-month USD LIBOR + 0.500% Floor 0.500%, Cap 10.500% 01/20/2063 | 2.274% | 30,660 | 30,639 | |
CMO Series 2013-H05 Class FB | ||||
1-month USD LIBOR + 0.400% Floor 0.400% 02/20/2062 | 2.174% | 126,564 | 126,191 | |
CMO Series 2013-H07 Class GA | ||||
1-month USD LIBOR + 0.470% Floor 0.470%, Cap 10.500% 03/20/2063 | 2.244% | 1,567,787 | 1,565,017 | |
CMO Series 2013-H07 Class HA | ||||
1-month USD LIBOR + 0.410% Floor 0.410%, Cap 11.000% 03/20/2063 | 2.184% | 1,130,828 | 1,127,148 | |
CMO Series 2013-H09 Class GA | ||||
1-month USD LIBOR + 0.480% Floor 0.480%, Cap 11.000% 04/20/2063 | 2.254% | 1,925,696 | 1,922,930 | |
CMO Series 2013-H09 Class SA | ||||
1-month USD LIBOR + 0.500% Floor 0.500%, Cap 10.500% 04/20/2063 | 2.274% | 2,333,095 | 2,329,130 | |
CMO Series 2013-H21 Class FA | ||||
1-month USD LIBOR + 0.750% Floor 0.750% 09/20/2063 | 2.524% | 3,528,390 | 3,541,823 |
Variable Portfolio Funds | Annual Report 2019 | 217 |
Variable Portfolio – Partners Core Bond Fund, December 31, 2019
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2013-H21 Class FB | ||||
1-month USD LIBOR + 0.700% Floor 0.700% 09/20/2063 | 2.474% | 3,473,538 | 3,483,946 | |
CMO Series 2015-H23 Class FB | ||||
1-month USD LIBOR + 0.520% Floor 0.520%, Cap 11.000% 09/20/2065 | 2.294% | 1,506,860 | 1,505,104 | |
CMO Series 2015-H26 Class FG | ||||
1-month USD LIBOR + 0.520% Floor 0.520%, Cap 11.000% 10/20/2065 | 2.294% | 780,033 | 779,088 | |
CMO Series 2015-H30 Class FE | ||||
1-month USD LIBOR + 0.600% Floor 0.600%, Cap 11.000% 11/20/2065 | 2.374% | 6,276,564 | 6,287,883 | |
Government National Mortgage Association(l) | ||||
CMO Series 2008-1 Class PO | ||||
01/20/2038 | 0.000% | 94,170 | 84,515 | |
CMO Series 2010-14 Class AO | ||||
12/20/2032 | 0.000% | 40,113 | 39,742 | |
CMO Series 2010-157 Class OP | ||||
12/20/2040 | 0.000% | 630,682 | 561,489 | |
Government National Mortgage Association(g) | ||||
CMO Series 2010-107 Class IL | ||||
07/20/2039 | 6.000% | 685,200 | 165,172 | |
Government National Mortgage Association(c) | ||||
CMO Series 2010-H17 Class XQ | ||||
07/20/2060 | 5.255% | 121,070 | 130,530 | |
CMO Series 2011-137 Class WA | ||||
07/20/2040 | 5.566% | 893,093 | 1,013,666 | |
CMO Series 2012-141 Class WC | ||||
01/20/2042 | 3.689% | 679,930 | 724,878 | |
CMO Series 2013-54 Class WA | ||||
11/20/2042 | 4.777% | 1,493,565 | 1,638,879 | |
CMO Series 2013-75 Class WA | ||||
06/20/2040 | 5.156% | 481,550 | 532,037 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $856,320,799) | 873,214,115 | |||
Residential Mortgage-Backed Securities - Non-Agency 2.7% | ||||
Angel Oak Mortgage Trust I LLC(a),(c) | ||||
CMO Series 2019-2 Class A1 | ||||
03/25/2049 | 3.628% | 934,211 | 947,028 | |
Asset-Backed Funding Certificates Trust(c) | ||||
CMO Series 2005-AG1 Class A4 | ||||
01/25/2034 | 5.010% | 175,668 | 178,134 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Banc of America Funding Trust | ||||
CMO Series 2004-3 Class 1A1 | ||||
10/25/2034 | 5.500% | 66,587 | 69,097 | |
Bear Stearns Adjustable Rate Mortgage Trust(c) | ||||
CMO Series 2003-4 Class 3A1 | ||||
07/25/2033 | 4.399% | 46,218 | 47,389 | |
CMO Series 2003-7 Class 6A | ||||
10/25/2033 | 4.224% | 219,320 | 223,903 | |
Bear Stearns Alt-A Trust(b) | ||||
CMO Series 2004-6 Class 1A | ||||
1-month USD LIBOR + 0.640% Floor 0.640%, Cap 11.500% 07/25/2034 | 2.432% | 102,502 | 102,608 | |
Bear Stearns Asset-Backed Securities Trust(b) | ||||
CMO Series 2003-SD1 Class A | ||||
1-month USD LIBOR + 0.900% Floor 0.900%, Cap 11.000% 12/25/2033 | 2.692% | 257,186 | 253,675 | |
Bunker Hill Loan Depositary Trust(a),(c) | ||||
CMO Series 2019-1 Class A1 | ||||
10/26/2048 | 3.613% | 650,843 | 651,407 | |
CMO Series 2019-2 Class A1 | ||||
07/25/2049 | 2.880% | 1,779,886 | 1,768,185 | |
CMO Series 2019-3 Class A1 | ||||
11/25/2059 | 2.724% | 2,077,273 | 2,075,150 | |
Chase Mortgage Finance Corp.(c) | ||||
CMO Series 2007-A1 Class 1A3 | ||||
02/25/2037 | 4.574% | 373,457 | 380,385 | |
CMO Series 2007-A1 Class 2A1 | ||||
02/25/2037 | 4.690% | 128,982 | 133,591 | |
CMO Series 2007-A1 Class 7A1 | ||||
02/25/2037 | 4.525% | 86,334 | 88,402 | |
Citigroup Mortgage Loan Trust, Inc. | ||||
CMO Series 2003-1 Class 3A4 | ||||
09/25/2033 | 5.250% | 76,912 | 77,935 | |
CMO Series 2005-2 Class 2A11 | ||||
05/25/2035 | 5.500% | 172,886 | 177,160 | |
Citigroup Mortgage Loan Trust, Inc.(a),(c) | ||||
CMO Series 2009-10 Class 1A1 | ||||
09/25/2033 | 4.322% | 226,802 | 224,895 | |
COLT Mortgage Loan Trust(a),(c) | ||||
CMO Series 2019-1 Class A1 | ||||
03/25/2049 | 3.705% | 872,704 | 877,004 | |
CMO Series 2019-2 Class A1 | ||||
05/25/2049 | 3.337% | 1,585,119 | 1,590,167 | |
Countrywide Home Loan Mortgage Pass-Through Trust | ||||
CMO Series 2004-13 Class 1A4 | ||||
08/25/2034 | 5.500% | 198,024 | 202,506 |
218 | Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Core Bond Fund, December 31, 2019
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2004-3 Class A26 | ||||
04/25/2034 | 5.500% | 103,120 | 105,685 | |
CMO Series 2004-5 Class 1A4 | ||||
06/25/2034 | 5.500% | 251,775 | 257,855 | |
Credit Suisse First Boston Mortgage Securities Corp. | ||||
CMO Series 2003-21 Class 1A4 | ||||
09/25/2033 | 5.250% | 84,109 | 85,870 | |
CMO Series 2004-5 Class 3A1 | ||||
09/25/2034 | 5.250% | 27,288 | 25,068 | |
Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates | ||||
CMO Series 2003-27 Class 5A4 | ||||
11/25/2033 | 5.250% | 159,741 | 163,096 | |
CMO Series 2004-4 Class 2A4 | ||||
09/25/2034 | 5.500% | 163,604 | 168,871 | |
CMO Series 2004-8 Class 1A4 | ||||
12/25/2034 | 5.500% | 186,195 | 191,679 | |
Credit Suisse Mortgage Capital Certificates(a),(c) | ||||
CMO Series 2010-17R Class 1A1 | ||||
06/26/2036 | 4.254% | 12,984 | 12,998 | |
DBRR Trust(a),(c) | ||||
CMO Series 2015-LCM Class A2 | ||||
06/10/2034 | 3.421% | 3,152,000 | 3,194,171 | |
DBRR Trust(a) | ||||
Series 2015-LCM Class A1 | ||||
06/10/2034 | 2.998% | 2,608,920 | 2,592,906 | |
GCAT LLC(a) | ||||
CMO Series 2019-NQM1 Class A1 | ||||
02/25/2059 | 2.985% | 693,790 | 697,477 | |
GSMPS Mortgage Loan Trust(a),(b) | ||||
CMO Series 2005-RP3 Class 1AF | ||||
1-month USD LIBOR + 0.350% Floor 0.350%, Cap 10.000% 09/25/2035 | 2.142% | 669,412 | 592,187 | |
GSMPS Mortgage Loan Trust(a),(c),(g) | ||||
CMO Series 2005-RP3 Class 1AS | ||||
09/25/2035 | 2.772% | 518,794 | 60,418 | |
GSR Mortgage Loan Trust | ||||
CMO Series 2003-7F Class 1A4 | ||||
06/25/2033 | 5.250% | 197,785 | 201,888 | |
GSR Mortgage Loan Trust(b) | ||||
CMO Series 2005-5F Class 8A3 | ||||
1-month USD LIBOR + 0.500% Floor 0.500%, Cap 5.500% 06/25/2035 | 2.292% | 13,703 | 12,983 | |
HarborView Mortgage Loan Trust(c) | ||||
CMO Series 2004-3 Class 1A | ||||
05/19/2034 | 4.231% | 796,813 | 822,673 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Headlands Residential(a) | ||||
CMO Series 2018-RPL1 Class A | ||||
06/25/2023 | 4.250% | 3,125,000 | 3,151,204 | |
Headlands Residential LLC(a),(c) | ||||
CMO Series 2017-RPL1 Class A | ||||
08/25/2022 | 3.875% | 2,690,000 | 2,688,849 | |
Headlands Residential LLC(a) | ||||
CMO Series 2019-RPL1 | ||||
06/25/2024 | 3.967% | 3,600,000 | 3,624,122 | |
Impac CMB Trust(b) | ||||
CMO Series 2005-4 Class 2A1 | ||||
1-month USD LIBOR + 0.600% Floor 0.600%, Cap 10.250% 05/25/2035 | 2.392% | 196,144 | 191,038 | |
Impac Secured Assets CMN Owner Trust(c) | ||||
CMO Series 2003-3 Class A1 | ||||
08/25/2033 | 4.879% | 109,436 | 112,402 | |
Impac Secured Assets Trust(b) | ||||
CMO Series 2006-1 Class 2A1 | ||||
1-month USD LIBOR + 0.350% Floor 0.350%, Cap 11.500% 05/25/2036 | 2.142% | 113,613 | 110,310 | |
CMO Series 2006-2 Class 2A1 | ||||
1-month USD LIBOR + 0.350% Floor 0.350%, Cap 11.500% 08/25/2036 | 2.142% | 101,137 | 101,026 | |
JPMorgan Mortgage Trust(c) | ||||
CMO Series 2006-A2 Class 5A3 | ||||
11/25/2033 | 4.091% | 273,625 | 282,567 | |
CMO Series 2007-A1 Class 5A5 | ||||
07/25/2035 | 4.305% | 221,908 | 227,045 | |
LHOME Mortgage Trust(a) | ||||
CMO Series 2019-RTL3 Class A1 | ||||
07/25/2024 | 3.868% | 3,640,000 | 3,637,490 | |
MASTR Adjustable Rate Mortgages Trust(c) | ||||
CMO Series 2004-13 Class 2A1 | ||||
04/21/2034 | 4.606% | 147,426 | 150,364 | |
CMO Series 2004-13 Class 3A7 | ||||
11/21/2034 | 4.696% | 269,090 | 275,516 | |
MASTR Asset Securitization Trust(a) | ||||
CMO Series 2004-P7 Class A6 | ||||
12/27/2033 | 5.500% | 50,109 | 51,391 | |
MASTR Seasoned Securities Trust | ||||
CMO Series 2004-2 Class A1 | ||||
08/25/2032 | 6.500% | 150,524 | 156,420 | |
CMO Series 2004-2 Class A2 | ||||
08/25/2032 | 6.500% | 237,076 | 246,676 |
Variable Portfolio Funds | Annual Report 2019 | 219 |
Variable Portfolio – Partners Core Bond Fund, December 31, 2019
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Merrill Lynch Mortgage Investors Trust(b) | ||||
CMO Series 2003-A Class 2A1 | ||||
1-month USD LIBOR + 0.780% Floor 0.780%, Cap 11.750% 03/25/2028 | 2.572% | 109,231 | 108,172 | |
CMO Series 2003-E Class A1 | ||||
1-month USD LIBOR + 0.620% Floor 0.620%, Cap 11.750% 10/25/2028 | 2.412% | 376,354 | 379,473 | |
CMO Series 2004-A Class A1 | ||||
1-month USD LIBOR + 0.460% Floor 0.460%, Cap 11.750% 04/25/2029 | 2.252% | 305,201 | 297,976 | |
CMO Series 2004-G Class A2 | ||||
6-month USD LIBOR + 0.600% Floor 0.600%, Cap 11.750% 01/25/2030 | 2.524% | 78,728 | 77,798 | |
Merrill Lynch Mortgage Investors Trust(c) | ||||
CMO Series 2004-1 Class 2A1 | ||||
12/25/2034 | 3.944% | 216,474 | 218,498 | |
CMO Series 2004-A4 Class A2 | ||||
08/25/2034 | 4.348% | 245,972 | 253,526 | |
Morgan Stanley Mortgage Loan Trust(c) | ||||
CMO Series 2004-3 Class 4A | ||||
04/25/2034 | 5.611% | 239,352 | 258,634 | |
NACC Reperforming Loan Remic Trust(a) | ||||
CMO Series 2004-R2 Class A1 | ||||
10/25/2034 | 6.500% | 141,845 | 141,304 | |
NCUA Guaranteed Notes(b) | ||||
CMO Series 2010-R3 Class 1A | ||||
1-month USD LIBOR + 0.560% Floor 0.560%, Cap 8.000% 12/08/2020 | 2.273% | 474,414 | 474,820 | |
NCUA Guaranteed Notes | ||||
CMO Series 2010-R3 Class 3A | ||||
12/08/2020 | 2.400% | 35,461 | 35,749 | |
New Residential Mortgage Loan Trust(a),(c) | ||||
CMO Series 2019-NQM2 Class A1 | ||||
04/25/2049 | 3.600% | 960,439 | 973,627 | |
CMO Series 2019-NQM4 Class A1 | ||||
09/25/2059 | 2.492% | 1,429,755 | 1,423,965 | |
Onslow Bay Financial LLC(a),(f),(m) | ||||
CMO Series BRO-HA Class A | ||||
01/30/2032 | 2.970% | 1,650,000 | 1,701,562 | |
CMO Series NOR-HA Class A | ||||
01/30/2032 | 2.730% | 2,664,900 | 2,691,549 | |
CMO Series PRO-HA Class A | ||||
01/30/2032 | 2.780% | 2,274,000 | 2,308,110 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Oportun Funding VII LLC(a) | ||||
CMO Series 2017-B Class A | ||||
10/10/2023 | 3.220% | 736,000 | 739,802 | |
Pretium Mortgage Credit Partners I LLC(a) | ||||
CMO Series 2018-NPL4 Class A1 | ||||
09/25/2058 | 4.826% | 1,661,065 | 1,686,534 | |
Prime Mortgage Trust | ||||
CMO Series 2004-2 Class A2 | ||||
11/25/2034 | 4.750% | 14,676 | 14,810 | |
RALI Trust | ||||
CMO Series 2004-QS3 Class CB | ||||
03/25/2020 | 5.000% | 1,073 | 1,017 | |
RBSSP Resecuritization Trust(a) | ||||
CMO Series 2009-1 Class 1A1 | ||||
02/26/2036 | 6.500% | 210,445 | 217,919 | |
Residential Asset Mortgage Products Trust | ||||
CMO Series 2004-SL2 Class A3 | ||||
10/25/2031 | 7.000% | 263,049 | 276,324 | |
Residential Asset Securitization Trust(c) | ||||
CMO Series 2004-IP2 Class 1A1 | ||||
12/25/2034 | 4.166% | 299,210 | 310,781 | |
Seasoned Credit Risk Transfer Trust | ||||
CMO Series 2019-3 Class MB (FHLMC) | ||||
10/25/2058 | 3.500% | 1,570,000 | 1,657,037 | |
CMO Series 2019-4 Class M55D (FHLMC) | ||||
02/25/2059 | 4.000% | 3,324,329 | 3,465,907 | |
Seasoned Loans Structured Transaction | ||||
CMO Series 2018-2 Class A1 | ||||
11/25/2028 | 3.500% | 5,817,793 | 5,951,399 | |
Sequoia Mortgage Trust(b) | ||||
CMO Series 2003-1 Class 1A | ||||
1-month USD LIBOR + 0.760% Floor 0.760%, Cap 12.500% 04/20/2033 | 2.525% | 614,322 | 608,638 | |
CMO Series 2003-8 Class A1 | ||||
1-month USD LIBOR + 0.640% Floor 0.640%, Cap 11.500% 01/20/2034 | 2.405% | 530,139 | 530,932 | |
CMO Series 2004-11 Class A1 | ||||
1-month USD LIBOR + 0.600% Floor 0.600%, Cap 11.500% 12/20/2034 | 2.365% | 530,494 | 531,437 | |
CMO Series 2004-12 Class A3 | ||||
6-month USD LIBOR + 0.320% Floor 0.320%, Cap 11.500% 01/20/2035 | 2.225% | 236,421 | 224,904 | |
SG Residential Mortgage Trust(a),(c) | ||||
CMO Series 2019-3 Class A1 | ||||
09/25/2059 | 2.703% | 1,804,029 | 1,798,899 |
220 | Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Core Bond Fund, December 31, 2019
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Starwood Mortgage Residential Trust(a),(c) | ||||
CMO Series 2019-INV1 Class A1 | ||||
08/25/2049 | 2.610% | 1,696,881 | 1,685,457 | |
Structured Adjustable Rate Mortgage Loan Trust(c) | ||||
CMO Series 2004-4 Class 5A | ||||
04/25/2034 | 4.060% | 102,910 | 101,201 | |
Structured Asset Mortgage Investments II Trust(b) | ||||
CMO Series 2004-AR5 Class 1A1 | ||||
1-month USD LIBOR + 0.660% Floor 0.660%, Cap 11.000% 10/19/2034 | 2.424% | 369,853 | 371,220 | |
CMO Series 2005-AR5 Class A3 | ||||
1-month USD LIBOR + 0.250% Floor 0.250%, Cap 11.000% 07/19/2035 | 2.264% | 201,060 | 199,861 | |
Structured Asset Securities Corp.(c) | ||||
CMO Series 2004-4XS Class 1A5 | ||||
02/25/2034 | 5.490% | 355,969 | 366,393 | |
Structured Asset Securities Corp. Mortgage Pass-Through Certificates(c) | ||||
CMO Series 2003-34A Class 3A3 | ||||
11/25/2033 | 4.008% | 374,421 | 379,711 | |
CMO Series 2003-40A Class 3A2 | ||||
01/25/2034 | 4.043% | 214,199 | 218,317 | |
CMO Series 2004-6XS Class A5A | ||||
03/25/2034 | 6.030% | 180,375 | 184,193 | |
CMO Series 2004-6XS Class A5B (AMBAC) | ||||
03/25/2034 | 6.050% | 216,449 | 221,028 | |
Thornburg Mortgage Securities Trust(c) | ||||
CMO Series 2004-4 Class 3A | ||||
12/25/2044 | 3.649% | 193,951 | 198,001 | |
Toorak Mortgage Corp., Ltd.(c) | ||||
CMO Series 2019-2 Class A1 | ||||
09/25/2022 | 3.721% | 2,494,000 | 2,488,190 | |
Vendee Mortgage Trust | ||||
CMO Series 1998-2 Class 1G | ||||
06/15/2028 | 6.750% | 210,052 | 236,063 | |
Vericrest Opportunity Loan Transferee(a),(c),(f) | ||||
CMO Series 2018-FT1 Class A1 | ||||
03/29/2021 | 5.900% | 294,506 | 293,181 | |
Vericrest Opportunity Loan Transferee LXIV LLC(a) | ||||
Series 2017-NP11 Class A1 | ||||
10/25/2047 | 3.375% | 1,307,915 | 1,308,712 | |
Vericrest Opportunity Loan Transferee LXXII LLC(a) | ||||
CMO Series 2018-NPL8 Class A1A | ||||
10/26/2048 | 4.213% | 2,906,137 | 2,903,209 | |
Vericrest Opportunity Loan Transferee LXXV LLC(a) | ||||
CMO Series 2019-NPL1 Class A1A | ||||
01/25/2049 | 4.336% | 2,597,033 | 2,611,825 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Vericrest Opportunity Loan Transferee LXXXIII LLC(a),(c) | ||||
CMO Series 2019-NPL9 Class A1A | ||||
11/26/2049 | 3.327% | 3,050,960 | 3,049,456 | |
Vericrest Opportunity Loan Trust(a),(c) | ||||
CMO Series 2019-NPL8 Class A1A | ||||
11/25/2049 | 3.278% | 2,819,978 | 2,813,158 | |
Verus Securitization Trust(a),(c) | ||||
CMO Series 2019-1 Class A1 | ||||
02/25/2059 | 3.836% | 784,613 | 792,750 | |
CMO Series 2019-2 Class A1 | ||||
04/25/2059 | 3.211% | 3,297,539 | 3,301,722 | |
CMO Series 2019-3 Class A1 | ||||
07/25/2059 | 2.784% | 3,401,732 | 3,406,615 | |
CMO Series 2019-4 Class A1 | ||||
11/25/2059 | 2.642% | 4,421,576 | 4,403,542 | |
CMO Series 2019-INV1 Class A1 | ||||
12/25/2059 | 3.402% | 1,299,613 | 1,307,755 | |
CMO Series 2019-INV2 Class A1 | ||||
07/25/2059 | 2.913% | 1,571,135 | 1,580,094 | |
CMO Series 2019-INV3 Class A1 | ||||
11/25/2059 | 2.692% | 948,745 | 948,816 | |
Visio Trust(a),(c) | ||||
CMO Series 2019-1 Class A1 | ||||
06/25/2054 | 3.572% | 801,813 | 801,534 | |
WaMu Mortgage Pass-Through Certificates Trust(c) | ||||
CMO Series 2003-AR11 Class A6 | ||||
10/25/2033 | 4.128% | 355,037 | 360,906 | |
CMO Series 2003-AR5 Class A7 | ||||
06/25/2033 | 4.666% | 125,576 | 127,751 | |
CMO Series 2003-AR6 Class A1 | ||||
06/25/2033 | 4.699% | 154,741 | 157,428 | |
CMO Series 2003-AR7 Class A7 | ||||
08/25/2033 | 4.434% | 196,793 | 198,707 | |
CMO Series 2004-AR3 Class A2 | ||||
06/25/2034 | 4.498% | 118,890 | 120,611 | |
WaMu Mortgage Pass-Through Certificates Trust | ||||
CMO Series 2004-S3 Class 1A5 | ||||
07/25/2034 | 5.000% | 53,163 | 54,081 | |
Wells Fargo Mortgage-Backed Securities Trust(c) | ||||
CMO Series 2004-U Class A1 | ||||
10/25/2034 | 4.623% | 354,637 | 354,444 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $100,328,784) | 101,167,901 | |||
U.S. Government & Agency Obligations 1.2% | ||||
Federal Home Loan Banks | ||||
10/24/2029 | 4.000% | 1,600,000 | 1,844,495 |
Variable Portfolio Funds | Annual Report 2019 | 221 |
Variable Portfolio – Partners Core Bond Fund, December 31, 2019
U.S. Government & Agency Obligations (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal National Mortgage Association(h) | ||||
STRIPS | ||||
05/15/2030 | 0.000% | 3,750,000 | 2,928,759 | |
Israel Government AID Bond(h) | ||||
11/01/2024 | 0.000% | 10,385,000 | 9,355,623 | |
11/15/2026 | 0.000% | 1,500,000 | 1,274,765 | |
Israel Government AID Bond | ||||
09/18/2033 | 5.500% | 1,000,000 | 1,369,198 | |
Private Export Funding Corp. | ||||
05/15/2022 | 2.800% | 1,500,000 | 1,533,334 | |
Residual Funding Corp.(h) | ||||
STRIPS | ||||
10/15/2020 | 0.000% | 7,500,000 | 7,397,808 | |
Resolution Funding Corp.(h) | ||||
01/15/2026 | 0.000% | 358,000 | 313,056 | |
10/15/2027 | 0.000% | 470,000 | 395,040 | |
Tennessee Valley Authority | ||||
04/01/2036 | 5.880% | 4,870,000 | 6,908,271 | |
09/15/2060 | 4.625% | 835,000 | 1,142,982 | |
09/15/2065 | 4.250% | 1,423,000 | 1,850,207 | |
Tennessee Valley Authority(h) | ||||
STRIPS | ||||
11/01/2025 | 0.000% | 8,500,000 | 7,520,167 | |
06/15/2035 | 0.000% | 750,000 | 472,191 | |
Total U.S. Government & Agency Obligations (Cost $41,577,833) | 44,305,896 | |||
U.S. Treasury Obligations 25.0% | ||||
U.S. Treasury | ||||
06/30/2020 | 2.500% | 1,667,000 | 1,674,163 | |
08/31/2020 | 1.375% | 4,701,000 | 4,693,287 | |
10/31/2020 | 2.875% | 1,000,000 | 1,010,000 | |
11/15/2020 | 2.625% | 3,357,000 | 3,385,194 | |
02/15/2021 | 3.625% | 6,600,000 | 6,743,859 | |
02/28/2021 | 1.125% | 2,500,000 | 2,485,449 | |
05/15/2021 | 2.625% | 3,975,100 | 4,029,913 | |
05/15/2021 | 3.125% | 7,000,000 | 7,142,188 | |
05/31/2021 | 2.000% | 2,000,000 | 2,011,172 | |
06/15/2021 | 2.625% | 2,190,000 | 2,221,909 | |
07/15/2021 | 2.625% | 184,000 | 186,853 | |
09/30/2021 | 1.125% | 5,620,000 | 5,574,557 | |
10/31/2021 | 1.250% | 7,000,000 | 6,957,891 | |
10/31/2021 | 2.000% | 12,287,000 | 12,378,673 | |
11/15/2021 | 2.875% | 10,630,000 | 10,880,802 | |
11/30/2021 | 1.500% | 13,135,000 | 13,117,555 | |
11/30/2021 | 1.875% | 4,500,000 | 4,526,191 | |
01/15/2022 | 2.500% | 12,321,000 | 12,544,318 | |
02/28/2022 | 1.750% | 11,000,000 | 11,040,391 | |
04/15/2022 | 2.250% | 17,123,000 | 17,375,832 | |
07/15/2022 | 1.750% | 6,000,000 | 6,023,906 | |
08/31/2022 | 1.625% | 6,000,000 | 6,006,094 | |
09/30/2022 | 1.750% | 5,000,000 | 5,020,703 | |
10/15/2022 | 1.375% | 14,243,000 | 14,157,320 |
U.S. Treasury Obligations (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
11/15/2022 | 1.625% | 22,689,000 | 22,704,953 | |
12/15/2022 | 1.625% | 19,059,117 | 19,086,615 | |
02/28/2023 | 2.625% | 10,908,000 | 11,246,318 | |
04/30/2023 | 2.750% | 10,727,000 | 11,116,692 | |
05/15/2023 | 1.750% | 5,474,000 | 5,495,383 | |
05/31/2023 | 2.750% | 26,142,000 | 27,108,029 | |
06/30/2023 | 1.375% | 4,000,000 | 3,965,625 | |
07/31/2023 | 2.750% | 127,000 | 131,901 | |
08/15/2023 | 2.500% | 7,350,000 | 7,571,074 | |
10/31/2023 | 1.625% | 8,000,000 | 7,993,750 | |
02/29/2024 | 2.125% | 5,136,000 | 5,231,096 | |
02/29/2024 | 2.375% | 1,299,000 | 1,336,143 | |
05/15/2024 | 2.500% | 640,000 | 662,300 | |
06/30/2024 | 2.000% | 565,000 | 572,813 | |
08/31/2024 | 1.875% | 742,000 | 748,435 | |
11/15/2024 | 2.250% | 9,180,000 | 9,420,975 | |
11/30/2024 | 1.500% | 9,256,000 | 9,181,518 | |
12/31/2024 | 1.750% | 14,649,000 | 14,697,067 | |
04/30/2025 | 2.875% | 525,000 | 555,926 | |
05/31/2025 | 2.875% | 45,336,000 | 48,027,825 | |
11/15/2025 | 2.250% | 1,283,000 | 1,318,082 | |
11/30/2025 | 2.875% | 282,000 | 299,603 | |
01/31/2026 | 2.625% | 31,311,000 | 32,844,750 | |
02/15/2026 | 1.625% | 11,408,000 | 11,306,398 | |
04/30/2026 | 2.375% | 13,453,000 | 13,927,008 | |
05/15/2026 | 1.625% | 16,322,000 | 16,156,230 | |
06/30/2026 | 1.875% | 41,145,000 | 41,347,511 | |
08/15/2026 | 1.500% | 284,000 | 278,498 | |
08/31/2026 | 1.375% | 4,847,000 | 4,715,222 | |
09/30/2026 | 1.625% | 863,000 | 852,752 | |
11/15/2026 | 2.000% | 1,085,000 | 1,097,545 | |
11/30/2026 | 1.625% | 1,702,000 | 1,680,725 | |
02/15/2027 | 2.250% | 502,000 | 516,197 | |
11/15/2029 | 1.750% | 18,371,000 | 18,109,787 | |
02/15/2031 | 5.375% | 66,900 | 89,845 | |
05/15/2040 | 4.375% | 1,000,000 | 1,344,844 | |
11/15/2040 | 4.250% | 5,074,000 | 6,727,014 | |
11/15/2041 | 3.125% | 4,640,000 | 5,272,925 | |
08/15/2042 | 2.750% | 4,500,000 | 4,815,703 | |
02/15/2043 | 3.125% | 25,464,000 | 28,937,449 | |
08/15/2043 | 3.625% | 1,500,000 | 1,843,359 | |
11/15/2043 | 3.750% | 7,932,000 | 9,939,788 | |
02/15/2044 | 3.625% | 16,518,000 | 20,342,949 | |
05/15/2044 | 3.375% | 5,000,000 | 5,930,469 | |
08/15/2044 | 3.125% | 21,621,000 | 24,654,697 | |
11/15/2044 | 3.000% | 25,624,000 | 28,630,816 | |
02/15/2045 | 2.500% | 11,825,000 | 12,096,605 | |
08/15/2045 | 2.875% | 20,600,000 | 22,573,094 | |
05/15/2046 | 2.500% | 15,339,000 | 15,698,508 | |
08/15/2046 | 2.250% | 16,327,200 | 15,908,816 | |
05/15/2049 | 2.875% | 7,032,000 | 7,772,558 | |
08/15/2049 | 2.250% | 4,661,000 | 4,535,736 | |
11/15/2049 | 2.375% | 16,976,000 | 16,973,347 |
222 | Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Core Bond Fund, December 31, 2019
U.S. Treasury Obligations (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
U.S. Treasury(h) | ||||
STRIPS | ||||
02/15/2021 | 0.000% | 30,520,000 | 29,965,633 | |
05/15/2021 | 0.000% | 18,630,000 | 18,233,385 | |
08/15/2021 | 0.000% | 11,045,000 | 10,766,718 | |
11/15/2021 | 0.000% | 6,245,000 | 6,060,089 | |
02/15/2022 | 0.000% | 3,790,000 | 3,662,088 | |
05/15/2022 | 0.000% | 9,005,000 | 8,666,257 | |
08/15/2022 | 0.000% | 1,700,000 | 1,629,477 | |
11/15/2022 | 0.000% | 3,750,000 | 3,578,027 | |
02/15/2023 | 0.000% | 20,665,000 | 19,651,931 | |
05/15/2023 | 0.000% | 8,680,000 | 8,208,703 | |
08/15/2023 | 0.000% | 2,320,000 | 2,182,431 | |
11/15/2023 | 0.000% | 449,000 | 420,183 | |
02/15/2024 | 0.000% | 2,201,000 | 2,050,111 | |
08/15/2024 | 0.000% | 1,000,000 | 921,953 | |
11/15/2024 | 0.000% | 4,500,000 | 4,126,113 | |
02/15/2025 | 0.000% | 1,000,000 | 912,656 | |
05/15/2025 | 0.000% | 2,500,000 | 2,268,750 | |
02/15/2026 | 0.000% | 500,000 | 445,605 | |
11/15/2030 | 0.000% | 2,415,000 | 1,925,113 | |
02/15/2031 | 0.000% | 4,185,000 | 3,308,602 | |
11/15/2031 | 0.000% | 6,640,000 | 5,153,781 | |
02/15/2032 | 0.000% | 6,875,000 | 5,291,064 | |
08/15/2032 | 0.000% | 1,500,000 | 1,139,473 | |
11/15/2032 | 0.000% | 10,450,000 | 7,895,057 |
U.S. Treasury Obligations (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
02/15/2033 | 0.000% | 9,850,000 | 7,391,732 | |
08/15/2033 | 0.000% | 4,000,000 | 2,951,719 | |
11/15/2033 | 0.000% | 7,400,000 | 5,425,414 | |
02/15/2034 | 0.000% | 4,400,000 | 3,204,953 | |
05/15/2034 | 0.000% | 2,400,000 | 1,738,594 | |
08/15/2034 | 0.000% | 8,375,000 | 6,004,155 | |
11/15/2034 | 0.000% | 1,850,000 | 1,321,955 | |
02/15/2035 | 0.000% | 4,210,000 | 2,985,646 | |
02/15/2041 | 0.000% | 15,000,000 | 8,967,773 | |
11/15/2041 | 0.000% | 13,100,000 | 7,647,637 | |
Total U.S. Treasury Obligations (Cost $918,571,397) | 942,684,266 |
Money Market Funds 3.2% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(n),(o) | 122,317,749 | 122,305,518 |
Total Money Market Funds (Cost $122,307,880) | 122,305,518 | |
Total Investments in Securities (Cost: $3,731,540,425) | 3,842,714,000 | |
Other Assets & Liabilities, Net | (71,369,630) | |
Net Assets | 3,771,344,370 |
(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. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At December 31, 2019, the total value of these securities amounted to $620,617,795, which represents 16.46% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of December 31, 2019. |
(c) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of December 31, 2019. |
(d) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At December 31, 2019, the total value of these securities amounted to $9,751,122, which represents 0.26% of total net assets. |
(e) | Represents securities that have defaulted on payment of interest. The Fund has stopped accruing interest on these securities. At December 31, 2019, the total value of these securities amounted to $36,670, which represents less than 0.01% of total net assets. |
(f) | Valuation based on significant unobservable inputs. |
(g) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
(h) | Zero coupon bond. |
(i) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of December 31, 2019. |
(j) | Principal and interest may not be guaranteed by a governmental entity. |
(k) | Represents a security purchased on a forward commitment basis. |
(l) | Represents principal only securities which have the right to receive the principal portion only on an underlying pool of mortgage loans. |
(m) | Represents a security purchased on a when-issued basis. |
(n) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
Variable Portfolio Funds | Annual Report 2019 | 223 |
Variable Portfolio – Partners Core Bond Fund, December 31, 2019
(o) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | ||||||||
132,331,417 | 1,529,578,412 | (1,539,592,080) | 122,317,749 | (728) | (2,362) | 1,685,481 | 122,305,518 |
AID | Agency for International Development |
AMBAC | Ambac Assurance Corporation |
BAM | Build America Mutual Assurance Co. |
CMO | Collateralized Mortgage Obligation |
FHLMC | Federal Home Loan Mortgage Corporation |
STRIPS | Separate Trading of Registered Interest and Principal Securities |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
224 | Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Core Bond Fund, December 31, 2019
The following table is a summary of the inputs used to value the Fund’s investments at December 31, 2019:
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Asset-Backed Securities — Agency | — | 1,862,403 | — | 1,862,403 |
Asset-Backed Securities — Non-Agency | — | 369,485,038 | 19,685,474 | 389,170,512 |
Commercial Mortgage-Backed Securities - Agency | — | 283,720,678 | — | 283,720,678 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 113,181,521 | 12,772,895 | 125,954,416 |
Corporate Bonds & Notes | — | 907,379,124 | — | 907,379,124 |
Foreign Government Obligations | — | 33,541,232 | — | 33,541,232 |
Inflation-Indexed Bonds | — | 2,581,378 | — | 2,581,378 |
Municipal Bonds | — | 14,826,561 | — | 14,826,561 |
Residential Mortgage-Backed Securities - Agency | — | 865,692,393 | 7,521,722 | 873,214,115 |
Residential Mortgage-Backed Securities - Non-Agency | — | 94,173,499 | 6,994,402 | 101,167,901 |
U.S. Government & Agency Obligations | — | 44,305,896 | — | 44,305,896 |
U.S. Treasury Obligations | 746,581,488 | 196,102,778 | — | 942,684,266 |
Money Market Funds | 122,305,518 | — | — | 122,305,518 |
Total Investments in Securities | 868,887,006 | 2,926,852,501 | 46,974,493 | 3,842,714,000 |
Balance as of 12/31/2018 ($) | Increase (decrease) in accrued discounts/ premiums ($) | Realized gain (loss) ($) | Change in unrealized appreciation (depreciation)(a) ($) | Purchases ($) | Sales ($) | Transfers into Level 3 ($) | Transfers out of Level 3 ($) | Balance as of 12/31/2019 ($) | |
Asset-Backed Securities — Non-Agency | 42,117,891 | (24,586) | 36,930 | 29,945 | 8,037,502 | (20,382,031) | — | (10,130,177) | 19,685,474 |
Commercial Mortgage-Backed Securities — Non-Agency | 8,057,547 | (112,651) | 29,765 | 27,258 | 4,933,726 | (162,750) | — | — | 12,772,895 |
Corporate Bonds & Notes | 66,563 | 178 | — | 72 | — | (66,813) | — | — | — |
Residential Mortgage-Backed Securities — Agency | 15,917,235 | — | — | (125,886) | (8,269,627) | — | — | — | 7,521,722 |
Residential Mortgage-Backed Securities — Non-Agency | 842,375 | 20,187 | — | (40,161) | 6,734,485 | (562,484) | — | — | 6,994,402 |
Total | 67,001,611 | (116,872) | 66,695 | (108,772) | 11,436,086 | (21,174,078) | — | (10,130,177) | 46,974,493 |
Variable Portfolio Funds | Annual Report 2019 | 225 |
Variable Portfolio – Partners Small Cap Growth Fund, December 31, 2019
Common Stocks 98.7% | ||
Issuer | Shares | Value ($) |
Communication Services 1.0% | ||
Diversified Telecommunication Services 0.4% | ||
Cogent Communications Holdings, Inc. | 34,798 | 2,290,056 |
Interactive Media & Services 0.4% | ||
TrueCar, Inc.(a) | 171,276 | 813,561 |
Yelp, Inc.(a) | 40,427 | 1,408,072 |
Total | 2,221,633 | |
Media 0.2% | ||
Nexstar Media Group, Inc., Class A | 10,750 | 1,260,438 |
Total Communication Services | 5,772,127 | |
Consumer Discretionary 12.4% | ||
Auto Components 0.7% | ||
Fox Factory Holding Corp.(a) | 29,580 | 2,057,881 |
Stoneridge, Inc.(a) | 70,806 | 2,076,032 |
Total | 4,133,913 | |
Automobiles 0.4% | ||
Thor Industries, Inc. | 30,593 | 2,272,754 |
Diversified Consumer Services 0.4% | ||
Chegg, Inc.(a) | 48,580 | 1,841,668 |
Grand Canyon Education, Inc.(a) | 5,120 | 490,445 |
Total | 2,332,113 | |
Hotels, Restaurants & Leisure 3.5% | ||
Cheesecake Factory, Inc. (The) | 40,610 | 1,578,105 |
Chuy’s Holdings, Inc.(a) | 50,232 | 1,302,014 |
Cracker Barrel Old Country Store, Inc. | 13,589 | 2,089,173 |
Dave & Buster’s Entertainment, Inc. | 46,927 | 1,885,058 |
Eldorado Resorts, Inc.(a) | 43,210 | 2,577,044 |
Everi Holdings, Inc.(a) | 201,233 | 2,702,559 |
Lindblad Expeditions Holdings, Inc.(a) | 201,731 | 3,298,302 |
Planet Fitness, Inc., Class A(a) | 18,871 | 1,409,286 |
Wingstop, Inc. | 40,710 | 3,510,423 |
Total | 20,351,964 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Household Durables 1.7% | ||
Installed Building Products, Inc.(a) | 41,797 | 2,878,559 |
iRobot Corp.(a) | 21,830 | 1,105,253 |
LGI Homes, Inc.(a) | 33,503 | 2,366,987 |
Skyline Champion Corp.(a) | 58,796 | 1,863,833 |
Sonos, Inc.(a) | 119,114 | 1,860,561 |
Total | 10,075,193 | |
Internet & Direct Marketing Retail 0.8% | ||
1-800-Flowers.com, Inc., Class A(a) | 99,225 | 1,438,762 |
Fiverr International Ltd.(a) | 35,900 | 843,650 |
PetMed Express, Inc. | 42,275 | 994,308 |
Shutterstock, Inc.(a) | 40,642 | 1,742,729 |
Total | 5,019,449 | |
Leisure Products 0.4% | ||
YETI Holdings, Inc.(a) | 64,890 | 2,256,874 |
Multiline Retail 0.2% | ||
Ollie’s Bargain Outlet Holdings, Inc.(a) | 15,920 | 1,039,735 |
Specialty Retail 2.9% | ||
America’s Car-Mart, Inc.(a) | 11,220 | 1,230,385 |
Boot Barn Holdings, Inc.(a) | 127,538 | 5,679,267 |
Five Below, Inc.(a) | 8,806 | 1,125,935 |
Lithia Motors, Inc., Class A | 19,170 | 2,817,990 |
Monro, Inc. | 52,216 | 4,083,291 |
Sleep Number Corp.(a) | 42,551 | 2,095,212 |
Total | 17,032,080 | |
Textiles, Apparel & Luxury Goods 1.4% | ||
Crocs, Inc.(a) | 60,475 | 2,533,298 |
Deckers Outdoor Corp.(a) | 10,830 | 1,828,754 |
G-III Apparel Group Ltd.(a) | 53,463 | 1,791,010 |
Steven Madden Ltd. | 51,942 | 2,234,025 |
Total | 8,387,087 | |
Total Consumer Discretionary | 72,901,162 | |
Consumer Staples 4.2% | ||
Beverages 0.3% | ||
Boston Beer Co., Inc. (The), Class A(a) | 4,690 | 1,772,117 |
226 | Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Small Cap Growth Fund, December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Food & Staples Retailing 2.3% | ||
BJ’s Wholesale Club Holdings, Inc.(a) | 65,340 | 1,485,832 |
Grocery Outlet Holding Corp.(a) | 34,530 | 1,120,499 |
Performance Food Group Co.(a) | 130,742 | 6,730,598 |
Sprouts Farmers Market, Inc.(a) | 87,167 | 1,686,681 |
The Chefs’ Warehouse(a) | 63,930 | 2,436,372 |
Total | 13,459,982 | |
Food Products 0.9% | ||
Freshpet, Inc.(a) | 56,289 | 3,326,117 |
Simply Good Foods Co. (The)(a) | 59,835 | 1,707,691 |
Total | 5,033,808 | |
Household Products 0.4% | ||
Central Garden & Pet Co., Class A(a) | 73,739 | 2,164,977 |
Personal Products 0.3% | ||
Inter Parfums, Inc. | 26,430 | 1,921,725 |
Total Consumer Staples | 24,352,609 | |
Energy 0.6% | ||
Energy Equipment & Services 0.4% | ||
Cactus, Inc., Class A | 18,570 | 637,323 |
Core Laboratories NV | 25,827 | 972,903 |
ProPetro Holding Corp.(a) | 80,653 | 907,346 |
Total | 2,517,572 | |
Oil, Gas & Consumable Fuels 0.2% | ||
GasLog Ltd. | 78,205 | 765,627 |
Total Energy | 3,283,199 | |
Financials 7.1% | ||
Banks 0.6% | ||
Great Western Bancorp, Inc. | 51,325 | 1,783,031 |
Hilltop Holdings, Inc. | 73,356 | 1,828,765 |
Total | 3,611,796 | |
Capital Markets 1.8% | ||
Assetmark Financial Holdings, Inc.(a) | 38,164 | 1,107,519 |
Blucora, Inc.(a) | 70,559 | 1,844,412 |
Cohen & Steers, Inc. | 62,366 | 3,914,090 |
Houlihan Lokey, Inc. | 35,265 | 1,723,401 |
Stifel Financial Corp. | 30,300 | 1,837,695 |
Total | 10,427,117 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Consumer Finance 0.4% | ||
Green Dot Corp., Class A(a) | 34,030 | 792,899 |
PRA Group, Inc.(a) | 46,167 | 1,675,862 |
Total | 2,468,761 | |
Insurance 2.5% | ||
AMERISAFE, Inc. | 24,671 | 1,629,026 |
CNO Financial Group, Inc. | 87,011 | 1,577,509 |
eHealth, Inc.(a) | 13,900 | 1,335,512 |
Goosehead Insurance, Inc., Class A | 15,543 | 659,023 |
Kinsale Capital Group, Inc. | 67,119 | 6,823,318 |
Primerica, Inc. | 13,794 | 1,800,945 |
Trupanion, Inc.(a) | 19,720 | 738,711 |
Total | 14,564,044 | |
Thrifts & Mortgage Finance 1.8% | ||
Axos Financial, Inc.(a) | 67,007 | 2,028,972 |
Essent Group Ltd. | 32,874 | 1,709,119 |
LendingTree, Inc.(a) | 21,665 | 6,574,028 |
Total | 10,312,119 | |
Total Financials | 41,383,837 | |
Health Care 26.9% | ||
Biotechnology 4.6% | ||
ACADIA Pharmaceuticals, Inc.(a) | 48,905 | 2,092,156 |
BioSpecifics Technologies Corp.(a) | 17,570 | 1,000,436 |
CareDx, Inc.(a) | 69,671 | 1,502,803 |
Castle Biosciences, Inc.(a) | 400 | 13,748 |
Coherus Biosciences, Inc.(a) | 72,827 | 1,311,250 |
Eagle Pharmaceuticals, Inc.(a) | 31,198 | 1,874,376 |
Fate Therapeutics, Inc.(a) | 53,700 | 1,050,909 |
Halozyme Therapeutics, Inc.(a) | 147,804 | 2,620,565 |
Invitae Corp.(a) | 70,160 | 1,131,681 |
Natera, Inc.(a) | 83,178 | 2,802,267 |
PTC Therapeutics, Inc.(a) | 40,290 | 1,935,129 |
Radius Health, Inc.(a) | 68,556 | 1,382,089 |
REGENXBIO, Inc.(a) | 24,723 | 1,012,901 |
Retrophin, Inc.(a) | 83,108 | 1,180,134 |
Vanda Pharmaceuticals, Inc.(a) | 80,092 | 1,314,310 |
Veracyte, Inc.(a) | 67,125 | 1,874,130 |
Variable Portfolio Funds | Annual Report 2019 | 227 |
Variable Portfolio – Partners Small Cap Growth Fund, December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Vericel Corp.(a) | 86,900 | 1,512,060 |
Voyager Therapeutics, Inc.(a) | 94,628 | 1,320,060 |
Total | 26,931,004 | |
Health Care Equipment & Supplies 7.6% | ||
AtriCure, Inc.(a) | 51,724 | 1,681,547 |
AxoGen, Inc.(a) | 93,228 | 1,667,849 |
Cantel Medical Corp. | 37,144 | 2,633,510 |
Cardiovascular Systems, Inc.(a) | 41,161 | 2,000,013 |
CONMED Corp. | 26,040 | 2,912,053 |
Glaukos Corp.(a) | 67,569 | 3,680,483 |
ICU Medical, Inc.(a) | 17,267 | 3,231,001 |
Integer Holdings Corp.(a) | 47,684 | 3,835,224 |
iRhythm Technologies, Inc.(a) | 39,791 | 2,709,369 |
Lantheus Holdings, Inc.(a) | 74,256 | 1,522,991 |
Novocure Ltd.(a) | 25,753 | 2,170,205 |
Orthofix Medical, Inc.(a) | 32,317 | 1,492,399 |
OrthoPediatrics Corp.(a) | 36,520 | 1,716,075 |
Quidel Corp.(a) | 32,600 | 2,445,978 |
Shockwave Medical, Inc.(a) | 35,681 | 1,567,110 |
SI-BONE, Inc.(a) | 57,590 | 1,238,185 |
Silk Road Medical, Inc.(a) | 16,590 | 669,904 |
Tactile Systems Technology, Inc.(a) | 30,817 | 2,080,456 |
Tandem Diabetes Care, Inc.(a) | 46,192 | 2,753,505 |
Vapotherm, Inc.(a) | 59,800 | 727,168 |
Varex Imaging Corp.(a) | 52,668 | 1,570,033 |
Total | 44,305,058 | |
Health Care Providers & Services 5.4% | ||
Amedisys, Inc.(a) | 44,728 | 7,465,998 |
AMN Healthcare Services, Inc.(a) | 53,979 | 3,363,431 |
BioTelemetry, Inc.(a) | 66,565 | 3,081,959 |
HealthEquity, Inc.(a) | 51,628 | 3,824,086 |
LHC Group, Inc.(a) | 31,607 | 4,354,180 |
Molina Healthcare, Inc.(a) | 27,672 | 3,754,814 |
R1 RCM, Inc.(a) | 164,650 | 2,137,157 |
U.S. Physical Therapy, Inc. | 33,348 | 3,813,344 |
Total | 31,794,969 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Health Care Technology 3.4% | ||
Health Catalyst, Inc.(a) | 23,009 | 798,412 |
HMS Holdings Corp.(a) | 118,455 | 3,506,268 |
Inspire Medical Systems, Inc.(a) | 29,266 | 2,171,830 |
Omnicell, Inc.(a) | 80,722 | 6,596,602 |
Phreesia, Inc.(a) | 62,369 | 1,661,510 |
Teladoc Health, Inc.(a) | 64,022 | 5,359,922 |
Total | 20,094,544 | |
Life Sciences Tools & Services 4.8% | ||
Adaptive Biotechnologies Corp.(a) | 15,370 | 459,870 |
Bruker Corp. | 84,390 | 4,301,358 |
Codexis, Inc.(a) | 271,646 | 4,343,620 |
Medpace Holdings, Inc.(a) | 56,074 | 4,713,580 |
NeoGenomics, Inc.(a) | 142,858 | 4,178,597 |
Pra Health Sciences, Inc.(a) | 32,089 | 3,566,692 |
Repligen Corp.(a) | 71,925 | 6,653,063 |
Total | 28,216,780 | |
Pharmaceuticals 1.1% | ||
Amphastar Pharmaceuticals, Inc.(a) | 61,297 | 1,182,419 |
Collegium Pharmaceutical, Inc.(a) | 84,154 | 1,731,889 |
MyoKardia, Inc.(a) | 17,510 | 1,276,217 |
Supernus Pharmaceuticals, Inc.(a) | 84,857 | 2,012,808 |
Total | 6,203,333 | |
Total Health Care | 157,545,688 | |
Industrials 18.4% | ||
Aerospace & Defense 1.8% | ||
Astronics Corp.(a) | 76,197 | 2,129,706 |
Kratos Defense & Security Solutions, Inc.(a) | 227,858 | 4,103,723 |
Mercury Systems, Inc.(a) | 64,939 | 4,487,934 |
Total | 10,721,363 | |
Air Freight & Logistics 1.1% | ||
Echo Global Logistics, Inc.(a) | 61,390 | 1,270,773 |
Forward Air Corp. | 32,483 | 2,272,186 |
HUB Group, Inc., Class A(a) | 36,735 | 1,884,138 |
Radiant Logistics, Inc.(a) | 175,153 | 975,602 |
Total | 6,402,699 |
228 | Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Small Cap Growth Fund, December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Airlines 0.7% | ||
Skywest, Inc. | 36,610 | 2,366,104 |
Spirit Airlines, Inc.(a) | 44,823 | 1,806,815 |
Total | 4,172,919 | |
Building Products 0.7% | ||
Builders FirstSource, Inc.(a) | 99,084 | 2,517,725 |
CSW Industrials, Inc. | 22,240 | 1,712,480 |
Total | 4,230,205 | |
Commercial Services & Supplies 2.5% | ||
Casella Waste Systems, Inc., Class A(a) | 129,910 | 5,979,757 |
Cimpress PLC(a) | 12,535 | 1,576,527 |
Covanta Holding Corp. | 108,598 | 1,611,594 |
Healthcare Services Group, Inc. | 58,788 | 1,429,724 |
Herman Miller, Inc. | 46,423 | 1,933,518 |
Steelcase, Inc., Class A | 90,558 | 1,852,817 |
Total | 14,383,937 | |
Construction & Engineering 1.4% | ||
Dycom Industries, Inc.(a) | 40,432 | 1,906,369 |
MasTec, Inc.(a) | 93,310 | 5,986,769 |
Total | 7,893,138 | |
Electrical Equipment 1.1% | ||
Atkore International Group, Inc.(a) | 65,702 | 2,658,303 |
Generac Holdings, Inc.(a) | 17,855 | 1,796,034 |
TPI Composites, Inc.(a) | 105,233 | 1,947,863 |
Total | 6,402,200 | |
Machinery 5.0% | ||
Albany International Corp., Class A | 37,132 | 2,819,062 |
Chart Industries, Inc.(a) | 40,982 | 2,765,875 |
EnPro Industries, Inc. | 27,207 | 1,819,604 |
Mueller Industries, Inc. | 53,684 | 1,704,467 |
Mueller Water Products, Inc., Class A | 135,553 | 1,623,925 |
Proto Labs, Inc.(a) | 32,462 | 3,296,516 |
Rexnord Corp.(a) | 159,420 | 5,200,280 |
SPX Corp.(a) | 41,603 | 2,116,761 |
SPX FLOW, Inc.(a) | 42,559 | 2,079,858 |
Standex International Corp. | 22,751 | 1,805,292 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Tennant Co. | 25,140 | 1,958,909 |
Watts Water Technologies, Inc., Class A | 21,572 | 2,152,023 |
Total | 29,342,572 | |
Professional Services 2.9% | ||
ASGN, Inc.(a) | 135,123 | 9,589,679 |
Insperity, Inc. | 68,264 | 5,873,435 |
Korn/Ferry International | 41,874 | 1,775,458 |
Total | 17,238,572 | |
Road & Rail 0.2% | ||
Saia, Inc.(a) | 12,700 | 1,182,624 |
Trading Companies & Distributors 1.0% | ||
Applied Industrial Technologies, Inc. | 28,055 | 1,870,988 |
SiteOne Landscape Supply, Inc.(a) | 18,740 | 1,698,781 |
Systemax, Inc. | 88,503 | 2,226,736 |
Total | 5,796,505 | |
Total Industrials | 107,766,734 | |
Information Technology 23.7% | ||
Communications Equipment 1.1% | ||
Ciena Corp.(a) | 38,440 | 1,641,004 |
Extreme Networks, Inc.(a) | 215,464 | 1,587,970 |
Netscout Systems, Inc.(a) | 60,261 | 1,450,482 |
Viavi Solutions, Inc.(a) | 112,561 | 1,688,415 |
Total | 6,367,871 | |
Electronic Equipment, Instruments & Components 2.5% | ||
ePlus, Inc.(a) | 27,243 | 2,296,312 |
Fabrinet(a) | 48,249 | 3,128,465 |
II-VI, Inc.(a) | 83,448 | 2,809,694 |
Novanta, Inc.(a) | 46,090 | 4,076,200 |
Plexus Corp.(a) | 33,133 | 2,549,253 |
Total | 14,859,924 | |
IT Services 1.9% | ||
Endava PLC, ADR(a) | 47,278 | 2,203,155 |
Evo Payments, Inc., Class A(a) | 60,200 | 1,589,882 |
ExlService Holdings, Inc.(a) | 23,924 | 1,661,761 |
InterXion Holding NV(a) | 9,690 | 812,119 |
LiveRamp Holdings, Inc.(a) | 19,200 | 922,944 |
Virtusa Corp.(a) | 86,168 | 3,905,995 |
Total | 11,095,856 |
Variable Portfolio Funds | Annual Report 2019 | 229 |
Variable Portfolio – Partners Small Cap Growth Fund, December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Semiconductors & Semiconductor Equipment 5.2% | ||
Ambarella, Inc.(a) | 37,694 | 2,282,749 |
Diodes, Inc.(a) | 45,570 | 2,568,781 |
Entegris, Inc. | 59,494 | 2,980,054 |
Formfactor, Inc.(a) | 92,589 | 2,404,536 |
Impinj, Inc.(a) | 46,330 | 1,198,094 |
Inphi Corp.(a) | 30,193 | 2,234,886 |
Onto Innovation, Inc.(a) | 45,025 | 1,645,214 |
Photronics, Inc.(a) | 142,174 | 2,240,662 |
Power Integrations, Inc. | 30,104 | 2,977,587 |
Semtech Corp.(a) | 120,785 | 6,389,526 |
Silicon Laboratories, Inc.(a) | 32,049 | 3,717,043 |
Total | 30,639,132 | |
Software 12.7% | ||
Altair Engineering, Inc., Class A(a) | 12,848 | 461,372 |
Anaplan, Inc.(a) | 7,385 | 386,974 |
Bill.com Holdings, Inc.(a) | 2,900 | 110,345 |
Blackline, Inc.(a) | 35,189 | 1,814,345 |
Bottomline Technologies de, Inc.(a) | 35,276 | 1,890,794 |
Box, Inc., Class A(a) | 91,067 | 1,528,104 |
CommVault Systems, Inc.(a) | 36,905 | 1,647,439 |
Cornerstone OnDemand, Inc.(a) | 33,556 | 1,964,704 |
Descartes Systems Group, Inc. (The)(a) | 64,194 | 2,742,368 |
Envestnet, Inc.(a) | 122,122 | 8,503,355 |
Everbridge, Inc.(a) | 26,340 | 2,056,627 |
Five9, Inc.(a) | 72,735 | 4,769,961 |
Globant SA(a) | 18,770 | 1,990,558 |
j2 Global, Inc. | 40,553 | 3,800,222 |
Mimecast Ltd.(a) | 40,340 | 1,749,949 |
New Relic, Inc.(a) | 43,411 | 2,852,537 |
Paylocity Holding Corp.(a) | 13,463 | 1,626,600 |
Pegasystems, Inc. | 49,155 | 3,915,196 |
PROS Holdings, Inc.(a) | 22,300 | 1,336,216 |
Q2 Holdings, Inc.(a) | 61,068 | 4,951,393 |
Qualys, Inc.(a) | 25,771 | 2,148,528 |
Rapid7, Inc.(a) | 96,910 | 5,428,898 |
Sprout Social, Inc., Class A(a) | 37,592 | 603,352 |
SPS Commerce, Inc.(a) | 95,230 | 5,277,647 |
Talend SA, ADR(a) | 88,575 | 3,464,168 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Telaria, Inc.(a) | 209,698 | 1,847,439 |
Varonis Systems, Inc.(a) | 26,640 | 2,070,194 |
Verint Systems, Inc.(a) | 36,883 | 2,041,843 |
Workiva, Inc.(a) | 35,806 | 1,505,642 |
Total | 74,486,770 | |
Technology Hardware, Storage & Peripherals 0.3% | ||
Stratasys Ltd.(a) | 74,765 | 1,512,122 |
Total Information Technology | 138,961,675 | |
Materials 2.1% | ||
Chemicals 1.5% | ||
Balchem Corp. | 29,730 | 3,021,460 |
Ingevity Corp.(a) | 7,430 | 649,233 |
Innospec, Inc. | 22,340 | 2,310,850 |
Kraton Performance Polymers, Inc.(a) | 44,619 | 1,129,753 |
PQ Group Holdings, Inc.(a) | 98,290 | 1,688,622 |
Total | 8,799,918 | |
Metals & Mining 0.3% | ||
Carpenter Technology Corp. | 19,704 | 980,865 |
Mayville Engineering Co., Inc.(a) | 61,375 | 575,698 |
Total | 1,556,563 | |
Paper & Forest Products 0.3% | ||
Boise Cascade Co. | 48,244 | 1,762,353 |
Total Materials | 12,118,834 | |
Real Estate 1.8% | ||
Equity Real Estate Investment Trusts (REITS) 1.5% | ||
CareTrust REIT, Inc. | 142,886 | 2,947,738 |
EastGroup Properties, Inc. | 17,926 | 2,378,242 |
QTS Realty Trust Inc., Class A | 68,910 | 3,739,746 |
Total | 9,065,726 | |
Real Estate Management & Development 0.3% | ||
Kennedy-Wilson Holdings, Inc. | 77,519 | 1,728,674 |
Total Real Estate | 10,794,400 |
230 | Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Small Cap Growth Fund, December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Utilities 0.5% | ||
Independent Power and Renewable Electricity Producers 0.5% | ||
Ormat Technologies, Inc. | 21,846 | 1,627,964 |
TerraForm Power, Inc., Class A | 104,241 | 1,604,269 |
Total | 3,232,233 | |
Total Utilities | 3,232,233 | |
Total Common Stocks (Cost $504,553,349) | 578,112,498 | |
Money Market Funds 1.2% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(b),(c) | 7,335,152 | 7,334,418 |
Total Money Market Funds (Cost $7,334,620) | 7,334,418 | |
Total Investments in Securities (Cost: $511,887,969) | 585,446,916 | |
Other Assets & Liabilities, Net | 337,201 | |
Net Assets | 585,784,117 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | ||||||||
10,216,185 | 139,289,481 | (142,170,514) | 7,335,152 | (249) | (202) | 210,467 | 7,334,418 |
ADR | American Depositary Receipt |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Variable Portfolio Funds | Annual Report 2019 | 231 |
Variable Portfolio – Partners Small Cap Growth Fund, December 31, 2019
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 5,772,127 | — | — | 5,772,127 |
Consumer Discretionary | 72,901,162 | — | — | 72,901,162 |
Consumer Staples | 24,352,609 | — | — | 24,352,609 |
Energy | 3,283,199 | — | — | 3,283,199 |
Financials | 41,383,837 | — | — | 41,383,837 |
Health Care | 157,545,688 | — | — | 157,545,688 |
Industrials | 107,766,734 | — | — | 107,766,734 |
Information Technology | 138,961,675 | — | — | 138,961,675 |
Materials | 12,118,834 | — | — | 12,118,834 |
Real Estate | 10,794,400 | — | — | 10,794,400 |
Utilities | 3,232,233 | — | — | 3,232,233 |
Total Common Stocks | 578,112,498 | — | — | 578,112,498 |
Money Market Funds | 7,334,418 | — | — | 7,334,418 |
Total Investments in Securities | 585,446,916 | — | — | 585,446,916 |
232 | Variable Portfolio Funds | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – U.S. Equities Fund | CTIVP® – American Century Diversified Bond Fund | CTIVP® – AQR International Core Equity Fund | CTIVP® – CenterSquare Real Estate Fund | |
Assets | ||||
Investments in securities, at value | ||||
Unaffiliated issuers (cost $91,926,727, $3,015,829,603, $2,619,586,113, $486,068,487, respectively) | $101,371,012 | $3,076,310,550 | $2,808,573,929 | $534,339,250 |
Affiliated issuers (cost $3,104,458, $81,282,283, $75,238,931, $2,584,113, respectively) | 3,104,411 | 81,282,283 | 75,234,641 | 2,584,081 |
Cash | — | 1 | — | — |
Foreign currency (cost $—, $4, $4,518,059, $4,585, respectively) | — | 4 | 4,579,750 | 4,643 |
Margin deposits on: | ||||
Futures contracts | 60,000 | — | 2,895,750 | — |
Unrealized appreciation on forward foreign currency exchange contracts | — | 1,553,629 | — | — |
Receivable for: | ||||
Investments sold | 1,737,122 | 5,503,032 | 1,918 | 340,421 |
Capital shares sold | — | 930 | 57 | 57 |
Dividends | 123,518 | 165,983 | 2,141,436 | 2,446,063 |
Interest | — | 16,390,653 | �� | — |
Foreign tax reclaims | 47 | 24,888 | 9,527,412 | 3,147 |
Variation margin for futures contracts | 2,200 | 12,094 | 298,350 | — |
Expense reimbursement due from Investment Manager | 36 | — | — | — |
Prepaid expenses | 3,496 | 5,701 | 7,817 | 2,644 |
Total assets | 106,401,842 | 3,181,249,748 | 2,903,261,060 | 539,720,306 |
Liabilities | ||||
Due to custodian | 1,609 | — | — | — |
Unrealized depreciation on forward foreign currency exchange contracts | — | 1,351,714 | — | — |
Payable for: | ||||
Investments purchased | 1,751,265 | 7,952,256 | — | 449,902 |
Investments purchased on a delayed delivery basis | — | 249,259,909 | — | — |
Capital shares purchased | 200,648 | 2,856,286 | 703,239 | 21,170 |
Variation margin for futures contracts | — | 206,406 | — | — |
Management services fees | 2,491 | 38,451 | 61,093 | 10,986 |
Distribution and/or service fees | 114 | 129 | 57 | 206 |
Service fees | 853 | 960 | 394 | 1,529 |
Compensation of board members | 62,483 | 161,443 | 105,865 | 44,614 |
Compensation of chief compliance officer | 167 | 456 | 670 | 111 |
Custodian fees | 22,239 | 21,679 | 233,364 | 7,727 |
Other expenses | 17,426 | 24,142 | 22,590 | 19,109 |
Total liabilities | 2,059,295 | 261,873,831 | 1,127,272 | 555,354 |
Net assets applicable to outstanding capital stock | $104,342,547 | $2,919,375,917 | $2,902,133,788 | $539,164,952 |
Represented by | ||||
Paid in capital | — | 2,840,139,096 | 2,719,011,419 | 456,811,891 |
Total distributable earnings (loss) | — | 79,236,821 | 183,122,369 | 82,353,061 |
Trust capital | $104,342,547 | $— | $— | $— |
Total - representing net assets applicable to outstanding capital stock | $104,342,547 | $2,919,375,917 | $2,902,133,788 | $539,164,952 |
Class 1 | ||||
Net assets | $87,724,389 | $2,900,664,369 | $2,893,855,001 | $508,862,910 |
Shares outstanding | 3,600,343 | 263,543,101 | 262,390,730 | 51,676,360 |
Net asset value per share | $24.37 | $11.01 | $11.03 | $9.85 |
Class 2 | ||||
Net assets | $16,618,158 | $18,711,548 | $8,278,787 | $30,302,042 |
Shares outstanding | 698,461 | 1,707,147 | 755,195 | 3,095,669 |
Net asset value per share | $23.79 | $10.96 | $10.96 | $9.79 |
Variable Portfolio Funds | Annual Report 2019 | 233 |
December 31, 2019
CTIVP® – DFA International Value Fund | CTIVP® – Los Angeles Capital Large Cap Growth Fund | CTIVP® – MFS® Value Fund | CTIVP® – Morgan Stanley Advantage Fund | |
Assets | ||||
Investments in securities, at value | ||||
Unaffiliated issuers (cost $1,055,635,689, $1,568,362,071, $1,048,407,545, $1,920,441,406, respectively) | $1,042,904,691 | $2,013,053,701 | $1,542,368,321 | $2,310,211,211 |
Affiliated issuers (cost $4,382,395, $17,373,723, $16,905,492, $50,982,496, respectively) | 4,382,395 | 17,373,120 | 16,905,211 | 50,981,933 |
Foreign currency (cost $428,692, $—, $29,965, $—, respectively) | 430,609 | — | 29,995 | 1,666 |
Receivable for: | ||||
Investments sold | — | — | — | 7,965,524 |
Capital shares sold | 84 | 6,216 | 47 | 16,562 |
Dividends | 1,051,292 | 816,776 | 1,756,901 | 1,608,392 |
Foreign tax reclaims | 4,838,021 | — | 92,601 | 33,348 |
Prepaid expenses | 3,295 | 5,348 | 4,855 | 6,433 |
Total assets | 1,053,610,387 | 2,031,255,161 | 1,561,157,931 | 2,370,825,069 |
Liabilities | ||||
Due to custodian | 264,480 | — | 47,022 | — |
Payable for: | ||||
Investments purchased | — | — | — | 5,490,585 |
Capital shares purchased | 1,333,150 | 1,618,324 | 3,347,212 | 762,473 |
Management services fees | 24,121 | 37,618 | 29,346 | 41,944 |
Distribution and/or service fees | 161 | 100 | 438 | 131 |
Service fees | 1,446 | 729 | 2,975 | 989 |
Compensation of board members | 91,265 | 94,126 | 112,457 | 98,225 |
Compensation of chief compliance officer | 189 | 405 | 365 | 509 |
Other expenses | 89,641 | 37,550 | 42,777 | 43,060 |
Total liabilities | 1,804,453 | 1,788,852 | 3,582,592 | 6,437,916 |
Net assets applicable to outstanding capital stock | $1,051,805,934 | $2,029,466,309 | $1,557,575,339 | $2,364,387,153 |
Represented by | ||||
Paid in capital | 1,064,180,914 | — | — | — |
Total distributable earnings (loss) | (12,374,980) | — | — | — |
Trust capital | $— | $2,029,466,309 | $1,557,575,339 | $2,364,387,153 |
Total - representing net assets applicable to outstanding capital stock | $1,051,805,934 | $2,029,466,309 | $1,557,575,339 | $2,364,387,153 |
Class 1 | ||||
Net assets | $1,028,138,885 | $2,014,780,277 | $1,493,599,487 | $2,345,237,195 |
Shares outstanding | 105,872,969 | 57,806,267 | 51,215,446 | 65,941,296 |
Net asset value per share | $9.71 | $34.85 | $29.16 | $35.57 |
Class 2 | ||||
Net assets | $23,667,049 | $14,686,032 | $63,975,852 | $19,149,958 |
Shares outstanding | 2,442,213 | 431,877 | 2,246,022 | 551,568 |
Net asset value per share | $9.69 | $34.01 | $28.48 | $34.72 |
234 | Variable Portfolio Funds | Annual Report 2019 |
December 31, 2019
CTIVP® – T. Rowe Price Large Cap Value Fund | CTIVP® – TCW Core Plus Bond Fund | CTIVP® – Wells Fargo Short Duration Government Fund | CTIVP® – Westfield Mid Cap Growth Fund | |
Assets | ||||
Investments in securities, at value | ||||
Unaffiliated issuers (cost $1,675,256,572, $2,735,341,917, $1,515,776,552, $454,961,320, respectively) | $1,976,430,434 | $2,784,722,106 | $1,520,766,215 | $576,621,000 |
Affiliated issuers (cost $33,926,183, $91,944,711, $14,742,010, $4,978,088, respectively) | 33,924,102 | 91,943,308 | 14,742,010 | 4,978,088 |
Cash | — | 167,041 | 91,463 | — |
Margin deposits on: | ||||
Futures contracts | — | — | 1,630,000 | — |
Unrealized appreciation on forward foreign currency exchange contracts | — | 453,691 | — | — |
Receivable for: | ||||
Investments sold | 5,451,205 | — | 1,899,093 | — |
Investments sold on a delayed delivery basis | — | 34,471,477 | — | — |
Capital shares sold | 241 | 953 | 7,454 | — |
Dividends | 3,849,009 | 181,834 | 34,240 | 1,246,884 |
Interest | — | 12,075,400 | 3,868,600 | — |
Foreign tax reclaims | 103,074 | 49,346 | — | — |
Variation margin for futures contracts | — | 50,764 | 118,522 | — |
Prepaid expenses | 5,623 | 7,266 | 5,679 | 2,876 |
Total assets | 2,019,763,688 | 2,924,123,186 | 1,543,163,276 | 582,848,848 |
Liabilities | ||||
Payable for: | ||||
Investments purchased | 1,207,277 | — | 7,879,054 | — |
Investments purchased on a delayed delivery basis | — | 100,337,922 | — | — |
Capital shares purchased | 3,128,374 | 2,448,247 | 707,406 | 881,658 |
Variation margin for futures contracts | — | 239,642 | — | — |
Management services fees | 37,380 | 37,204 | 17,801 | 12,895 |
Distribution and/or service fees | 187 | 83 | 203 | 178 |
Service fees | 1,288 | 557 | 1,320 | 1,285 |
Compensation of board members | 113,510 | 118,035 | 105,777 | 60,175 |
Compensation of chief compliance officer | 449 | 617 | 443 | 135 |
Other expenses | 37,332 | 51,937 | 38,388 | 25,977 |
Total liabilities | 4,525,797 | 103,234,244 | 8,750,392 | 982,303 |
Net assets applicable to outstanding capital stock | $2,015,237,891 | $2,820,888,942 | $1,534,412,884 | $581,866,545 |
Represented by | ||||
Paid in capital | — | 2,647,957,390 | 1,479,841,860 | — |
Total distributable earnings (loss) | — | 172,931,552 | 54,571,024 | — |
Trust capital | $2,015,237,891 | $— | $— | $581,866,545 |
Total - representing net assets applicable to outstanding capital stock | $2,015,237,891 | $2,820,888,942 | $1,534,412,884 | $581,866,545 |
Class 1 | ||||
Net assets | $1,987,788,600 | $2,808,763,676 | $1,504,777,863 | $555,819,021 |
Shares outstanding | 75,908,823 | 255,170,606 | 146,384,277 | 17,269,513 |
Net asset value per share | $26.19 | $11.01 | $10.28 | $32.18 |
Class 2 | ||||
Net assets | $27,449,291 | $12,125,266 | $29,635,021 | $26,047,524 |
Shares outstanding | 1,073,763 | 1,105,913 | 2,895,216 | 830,021 |
Net asset value per share | $25.56 | $10.96 | $10.24 | $31.38 |
Variable Portfolio Funds | Annual Report 2019 | 235 |
December 31, 2019
CTIVP® – William Blair International Leaders Fund | Variable Portfolio – Columbia Wanger International Equities Fund | Variable Portfolio – Partners Core Bond Fund | Variable Portfolio – Partners Small Cap Growth Fund | |
Assets | ||||
Investments in securities, at value | ||||
Unaffiliated issuers (cost $902,606,399, $109,028,159, $3,609,232,545, $504,553,349, respectively) | $1,066,864,108 | $127,481,923 | $3,720,408,482 | $578,112,498 |
Affiliated issuers (cost $23,668,741, $6,715,944, $122,307,880, $7,334,620, respectively) | 23,668,741 | 6,715,730 | 122,305,518 | 7,334,418 |
Cash | — | — | 28,665 | — |
Cash collateral held at broker for: | ||||
TBA | — | — | 30,000 | — |
Margin deposits on: | ||||
Futures contracts | — | 252,600 | — | — |
Receivable for: | ||||
Investments sold | 647,896 | 108,990 | 13,002,363 | 406,638 |
Investments sold on a delayed delivery basis | — | — | 155,080,291 | — |
Capital shares sold | — | 145 | 173,775 | — |
Dividends | 324,961 | 152,902 | 142,005 | 213,474 |
Interest | — | — | 17,297,537 | — |
Foreign tax reclaims | 3,554,921 | 219,276 | 56,902 | — |
Variation margin for futures contracts | — | 25,695 | — | — |
Expense reimbursement due from Investment Manager | — | 45 | — | 10 |
Prepaid expenses | 3,327 | 1,845 | 9,017 | 2,941 |
Total assets | 1,095,063,954 | 134,959,151 | 4,028,534,555 | 586,069,979 |
Liabilities | ||||
Due to custodian | 5,656 | — | — | — |
Payable for: | ||||
Investments purchased | — | 27,547 | 22,605,088 | 95,766 |
Investments purchased on a delayed delivery basis | — | — | 231,788,319 | — |
Capital shares purchased | 1,599,211 | 72,815 | 2,480,855 | 89,160 |
Management services fees | 26,616 | 3,564 | 48,875 | 13,832 |
Distribution and/or service fees | 242 | 315 | 79 | 77 |
Service fees | 2,141 | 2,315 | 584 | 587 |
Compensation of board members | 106,332 | 46,095 | 156,529 | 52,748 |
Compensation of chief compliance officer | 192 | 26 | 806 | 146 |
Audit fees | 13,530 | 14,500 | 37,500 | 14,500 |
Custodian fees | 81,910 | 56,642 | 59,231 | 15,348 |
Other expenses | 5,857 | 4,061 | 12,319 | 3,698 |
Total liabilities | 1,841,687 | 227,880 | 257,190,185 | 285,862 |
Net assets applicable to outstanding capital stock | $1,093,222,267 | $134,731,271 | $3,771,344,370 | $585,784,117 |
Represented by | ||||
Paid in capital | 916,661,883 | 117,232,542 | 3,537,347,655 | — |
Total distributable earnings (loss) | 176,560,384 | 17,498,729 | 233,996,715 | — |
Trust capital | $— | $— | $— | $585,784,117 |
Total - representing net assets applicable to outstanding capital stock | $1,093,222,267 | $134,731,271 | $3,771,344,370 | $585,784,117 |
Class 1 | ||||
Net assets | $1,057,916,224 | $88,670,306 | $3,759,623,429 | $574,507,308 |
Shares outstanding | 92,274,502 | 16,555,899 | 337,149,001 | 22,634,328 |
Net asset value per share | $11.46 | $5.36 | $11.15 | $25.38 |
Class 2 | ||||
Net assets | $35,306,043 | $46,060,965 | $11,720,941 | $11,276,809 |
Shares outstanding | 3,096,914 | 8,641,534 | 1,056,088 | 455,207 |
Net asset value per share | $11.40 | $5.33 | $11.10 | $24.77 |
236 | Variable Portfolio Funds | Annual Report 2019 |
Year Ended December 31, 2019
Columbia Variable Portfolio – U.S. Equities Fund | CTIVP® – American Century Diversified Bond Fund | CTIVP® – AQR International Core Equity Fund | CTIVP® – CenterSquare Real Estate Fund | |
Net investment income | ||||
Income: | ||||
Dividends — unaffiliated issuers | $9,258,925 | $466,189 | $113,985,401 | $14,310,904 |
Dividends — affiliated issuers | 350,910 | 1,578,361 | 1,589,631 | 56,557 |
Interest | — | 70,764,456 | 311,299 | — |
Interfund lending | — | — | 1,391 | — |
Foreign taxes withheld | (29,874) | — | (9,863,069) | — |
Total income | 9,579,961 | 72,809,006 | 106,024,653 | 14,367,461 |
Expenses: | ||||
Management services fees | 5,856,099 | 10,606,832 | 23,133,876 | 3,811,958 |
Distribution and/or service fees | ||||
Class 2 | 39,483 | 39,574 | 19,314 | 70,486 |
Service fees | 9,536 | 9,877 | 4,580 | 16,961 |
Compensation of board members | 26,823 | 54,922 | 58,663 | 21,065 |
Custodian fees | 36,074 | 28,825 | 365,305 | 11,416 |
Printing and postage fees | 7,763 | 9,369 | 6,947 | 10,425 |
Audit fees | 29,000 | 29,000 | 90,874 | 29,000 |
Legal fees | 14,114 | 26,315 | 35,487 | 12,108 |
Interest on collateral | — | 3,713 | — | — |
Compensation of chief compliance officer | 154 | 393 | 645 | 108 |
Other | 12,395 | 54,917 | 47,246 | 11,327 |
Total expenses | 6,031,441 | 10,863,737 | 23,762,937 | 3,994,854 |
Net investment income | 3,548,520 | 61,945,269 | 82,261,716 | 10,372,607 |
Realized and unrealized gain (loss) — net | ||||
Net realized gain (loss) on: | ||||
Investments — unaffiliated issuers | 35,876,404 | 13,557,976 | (7,299,289) | 32,779,532 |
Investments — affiliated issuers | 27 | (13,323) | 847 | (38) |
Foreign currency translations | — | (22,067) | (357,019) | (117) |
Forward foreign currency exchange contracts | — | (4,127,740) | — | — |
Futures contracts | 4,176,731 | 14,443,964 | 12,555,305 | — |
Swap contracts | — | 475,341 | — | — |
Net realized gain | 40,053,162 | 24,314,151 | 4,899,844 | 32,779,377 |
Net change in unrealized appreciation (depreciation) on: | ||||
Investments — unaffiliated issuers | 88,363,105 | 106,407,966 | 419,231,908 | 69,340,408 |
Investments — affiliated issuers | (47) | — | (4,290) | (32) |
Foreign currency translations | — | 73,349 | (21,763) | 113 |
Forward foreign currency exchange contracts | — | 1,457,741 | — | — |
Futures contracts | 44,733 | (4,024,404) | 641,668 | — |
Swap contracts | — | 160,530 | — | — |
Net change in unrealized appreciation (depreciation) | 88,407,791 | 104,075,182 | 419,847,523 | 69,340,489 |
Net realized and unrealized gain | 128,460,953 | 128,389,333 | 424,747,367 | 102,119,866 |
Net increase in net assets resulting from operations | $132,009,473 | $190,334,602 | $507,009,083 | $112,492,473 |
Variable Portfolio Funds | Annual Report 2019 | 237 |
Year Ended December 31, 2019
CTIVP® – DFA International Value Fund | CTIVP® – Los Angeles Capital Large Cap Growth Fund | CTIVP® – MFS® Value Fund | CTIVP® – Morgan Stanley Advantage Fund | |
Net investment income | ||||
Income: | ||||
Dividends — unaffiliated issuers | $37,134,325 | $20,802,399 | $37,559,631 | $13,253,906 |
Dividends — affiliated issuers | 95,012 | 400,763 | 271,933 | 1,370,659 |
Interest | 261,875 | — | — | — |
Interfund lending | 2,626 | — | — | 59 |
Foreign taxes withheld | (3,094,558) | — | (485,848) | (699,726) |
Total income | 34,399,280 | 21,203,162 | 37,345,716 | 13,924,898 |
Expenses: | ||||
Management services fees | 7,210,107 | 12,558,137 | 11,038,713 | 14,940,238 |
Distribution and/or service fees | ||||
Class 2 | 54,655 | 33,223 | 136,163 | 44,373 |
Service fees | 13,594 | 7,984 | 32,730 | 10,740 |
Compensation of board members | 31,223 | 43,026 | 43,028 | 49,171 |
Custodian fees | 104,332 | 22,730 | 29,473 | 29,401 |
Printing and postage fees | 10,074 | 7,466 | 17,883 | 8,014 |
Audit fees | 65,764 | 29,000 | 29,000 | 42,480 |
Legal fees | 15,042 | 24,278 | 22,445 | 28,585 |
Interest on interfund lending | 153 | — | 1,221 | — |
Compensation of chief compliance officer | 165 | 390 | 340 | 493 |
Other | 32,955 | 31,139 | 30,677 | 37,468 |
Total expenses | 7,538,064 | 12,757,373 | 11,381,673 | 15,190,963 |
Net investment income (loss) | 26,861,216 | 8,445,789 | 25,964,043 | (1,266,065) |
Realized and unrealized gain (loss) — net | ||||
Net realized gain (loss) on: | ||||
Investments — unaffiliated issuers | (743,815) | 122,386,388 | 182,646,360 | 282,273,029 |
Investments — affiliated issuers | (11,263) | 70 | (2,930) | 2,954 |
Foreign currency translations | 155,889 | — | (12,166) | 21,600 |
Net realized gain (loss) | (599,189) | 122,386,458 | 182,631,264 | 282,297,583 |
Net change in unrealized appreciation (depreciation) on: | ||||
Investments — unaffiliated issuers | 83,658,937 | 377,748,942 | 217,733,320 | 234,646,155 |
Investments — affiliated issuers | — | (603) | (281) | (563) |
Foreign currency translations | (57,968) | — | 176 | (236) |
Net change in unrealized appreciation (depreciation) | 83,600,969 | 377,748,339 | 217,733,215 | 234,645,356 |
Net realized and unrealized gain | 83,001,780 | 500,134,797 | 400,364,479 | 516,942,939 |
Net increase in net assets resulting from operations | $109,862,996 | $508,580,586 | $426,328,522 | $515,676,874 |
238 | Variable Portfolio Funds | Annual Report 2019 |
Year Ended December 31, 2019
CTIVP® – T. Rowe Price Large Cap Value Fund | CTIVP® – TCW Core Plus Bond Fund | CTIVP® – Wells Fargo Short Duration Government Fund | CTIVP® – Westfield Mid Cap Growth Fund | |
Net investment income | ||||
Income: | ||||
Dividends — unaffiliated issuers | $57,260,575 | $— | $— | $6,082,750 |
Dividends — affiliated issuers | 936,655 | 2,251,782 | 906,701 | 308,438 |
Interest | — | 84,573,454 | 52,745,459 | — |
Interfund lending | — | — | — | 477 |
Foreign taxes withheld | (930,929) | — | — | (2,081) |
Total income | 57,266,301 | 86,825,236 | 53,652,160 | 6,389,584 |
Expenses: | ||||
Management services fees | 13,532,956 | 13,305,463 | 8,257,971 | 4,789,091 |
Distribution and/or service fees | ||||
Class 2 | 59,626 | 24,290 | 70,586 | 56,838 |
Service fees | 14,407 | 5,829 | 15,724 | 13,642 |
Compensation of board members | 47,892 | 58,083 | 46,286 | 23,855 |
Custodian fees | 21,369 | 39,003 | 23,596 | 9,664 |
Printing and postage fees | 9,295 | 6,188 | 10,451 | 9,169 |
Audit fees | 29,000 | 36,711 | 29,000 | 29,000 |
Legal fees | 25,983 | 33,362 | 26,799 | 12,822 |
Compensation of chief compliance officer | 422 | 592 | 456 | 130 |
Other | 176,211 | 57,238 | 29,767 | 16,774 |
Total expenses | 13,917,161 | 13,566,759 | 8,510,636 | 4,960,985 |
Net investment income | 43,349,140 | 73,258,477 | 45,141,524 | 1,428,599 |
Realized and unrealized gain (loss) — net | ||||
Net realized gain (loss) on: | ||||
Investments — unaffiliated issuers | 113,602,128 | 82,164,707 | 21,446,201 | 85,891,114 |
Investments — affiliated issuers | (965) | 4,870 | 13,206 | (317) |
Foreign currency translations | 12,257 | (22,593) | — | — |
Forward foreign currency exchange contracts | — | (1,175,814) | — | — |
Futures contracts | — | 17,265,724 | (1,683,947) | — |
Net realized gain | 113,613,420 | 98,236,894 | 19,775,460 | 85,890,797 |
Net change in unrealized appreciation (depreciation) on: | ||||
Investments — unaffiliated issuers | 317,453,747 | 72,912,956 | 3,287,667 | 113,670,885 |
Investments — affiliated issuers | (2,081) | (1,403) | — | — |
Foreign currency translations | 4,747 | — | — | — |
Forward foreign currency exchange contracts | — | 1,221,393 | — | — |
Futures contracts | — | (9,458,881) | 935,660 | — |
Net change in unrealized appreciation (depreciation) | 317,456,413 | 64,674,065 | 4,223,327 | 113,670,885 |
Net realized and unrealized gain | 431,069,833 | 162,910,959 | 23,998,787 | 199,561,682 |
Net increase in net assets resulting from operations | $474,418,973 | $236,169,436 | $69,140,311 | $200,990,281 |
Variable Portfolio Funds | Annual Report 2019 | 239 |
Year Ended December 31, 2019
CTIVP® – William Blair International Leaders Fund | Variable Portfolio – Columbia Wanger International Equities Fund | Variable Portfolio – Partners Core Bond Fund | Variable Portfolio – Partners Small Cap Growth Fund | |
Net investment income | ||||
Income: | ||||
Dividends — unaffiliated issuers | $16,959,548 | $2,730,684 | $— | $2,887,432 |
Dividends — affiliated issuers | 630,912 | 97,111 | 1,685,481 | 210,467 |
Interest | — | 2,399 | 113,185,569 | — |
Interfund lending | 613 | — | 9,313 | — |
Foreign taxes withheld | (1,726,836) | (92,775) | (10,775) | (4,670) |
Total income | 15,864,237 | 2,737,419 | 114,869,588 | 3,093,229 |
Expenses: | ||||
Management services fees | 7,761,679 | 1,160,250 | 17,140,949 | 5,404,251 |
Distribution and/or service fees | ||||
Class 2 | 82,433 | 103,810 | 25,629 | 25,189 |
Service fees | 20,504 | 25,009 | 6,072 | 6,112 |
Compensation of board members | 32,810 | 16,309 | 72,036 | 23,673 |
Custodian fees | 108,561 | 75,937 | 88,401 | 22,514 |
Printing and postage fees | 19,471 | 13,917 | 6,991 | 15,965 |
Audit fees | 86,565 | 75,516 | 51,500 | 29,000 |
Legal fees | 15,146 | 8,435 | 41,700 | 13,155 |
Compensation of chief compliance officer | 166 | 25 | 788 | 138 |
Other | 21,787 | 6,420 | 56,899 | 15,933 |
Total expenses | 8,149,122 | 1,485,628 | 17,490,965 | 5,555,930 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (117,879) | (89,773) | — | (63,773) |
Total net expenses | 8,031,243 | 1,395,855 | 17,490,965 | 5,492,157 |
Net investment income (loss) | 7,832,994 | 1,341,564 | 97,378,623 | (2,398,928) |
Realized and unrealized gain (loss) — net | ||||
Net realized gain (loss) on: | ||||
Investments — unaffiliated issuers | 15,783,173 | (364,593) | 87,187,490 | 29,613,239 |
Investments — affiliated issuers | (574) | 103 | (728) | (249) |
Foreign currency translations | (973,143) | (9,042) | — | — |
Futures contracts | — | 29,754 | — | — |
Net realized gain (loss) | 14,809,456 | (343,778) | 87,186,762 | 29,612,990 |
Net change in unrealized appreciation (depreciation) on: | ||||
Investments — unaffiliated issuers | 185,508,268 | 30,118,074 | 113,222,640 | 90,219,275 |
Investments — affiliated issuers | — | (214) | (2,362) | (202) |
Foreign currency translations | (64,971) | (3,344) | — | — |
Futures contracts | — | 18,580 | — | — |
Net change in unrealized appreciation (depreciation) | 185,443,297 | 30,133,096 | 113,220,278 | 90,219,073 |
Net realized and unrealized gain | 200,252,753 | 29,789,318 | 200,407,040 | 119,832,063 |
Net increase in net assets resulting from operations | $208,085,747 | $31,130,882 | $297,785,663 | $117,433,135 |
240 | Variable Portfolio Funds | Annual Report 2019 |
Columbia Variable Portfolio – U.S. Equities Fund | CTIVP® – American Century Diversified Bond Fund | |||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||||
Net investment income | $3,548,520 | $4,781,924 | $61,945,269 | $123,286,223 |
Net realized gain (loss) | 40,053,162 | 81,483,669 | 24,314,151 | (67,232,965) |
Net change in unrealized appreciation (depreciation) | 88,407,791 | (222,402,200) | 104,075,182 | (113,898,325) |
Net increase (decrease) in net assets resulting from operations | 132,009,473 | (136,136,607) | 190,334,602 | (57,845,067) |
Distributions to shareholders | ||||
Net investment income and net realized gains | ||||
Class 1 | — | — | (115,409,086) | (129,065,016) |
Class 2 | — | — | (878,027) | (401,024) |
Total distributions to shareholders | — | — | (116,287,113) | (129,466,040) |
Increase (decrease) in net assets from capital stock activity | (872,829,988) | (75,793,930) | 839,918,857 | (1,752,570,976) |
Total increase (decrease) in net assets | (740,820,515) | (211,930,537) | 913,966,346 | (1,939,882,083) |
Net assets at beginning of year | 845,163,062 | 1,057,093,599 | 2,005,409,571 | 3,945,291,654 |
Net assets at end of year | $104,342,547 | $845,163,062 | $2,919,375,917 | $2,005,409,571 |
Columbia Variable Portfolio – U.S. Equities Fund | CTIVP® – American Century Diversified Bond Fund | |||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||
December 31, 2019 | December 31, 2018 | December 31, 2019 | December 31, 2018 | |||||
Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||||||
Class 1 | ||||||||
Subscriptions | 596,727 | 13,451,689 | 93,876 | 2,146,622 | 97,039,092 | 1,062,030,439 | 11,136,403 | 120,583,296 |
Distributions reinvested | — | — | — | — | 10,725,752 | 115,409,086 | 12,198,962 | 129,065,016 |
Redemptions | (38,999,436) | (885,819,274) | (3,274,729) | (77,168,526) | (31,217,452) | (342,673,000) | (189,191,879) | (2,004,161,848) |
Net increase (decrease) | (38,402,709) | (872,367,585) | (3,180,853) | (75,021,904) | 76,547,392 | 834,766,525 | (165,856,514) | (1,754,513,536) |
Class 2 | ||||||||
Subscriptions | 59,620 | 1,299,234 | 57,139 | 1,322,264 | 519,107 | 5,672,160 | 378,301 | 4,046,469 |
Distributions reinvested | — | — | — | — | 81,829 | 878,027 | 38,012 | 401,024 |
Redemptions | (79,277) | (1,761,637) | (90,225) | (2,094,290) | (128,195) | (1,397,855) | (235,547) | (2,504,933) |
Net increase (decrease) | (19,657) | (462,403) | (33,086) | (772,026) | 472,741 | 5,152,332 | 180,766 | 1,942,560 |
Total net increase (decrease) | (38,422,366) | (872,829,988) | (3,213,939) | (75,793,930) | 77,020,133 | 839,918,857 | (165,675,748) | (1,752,570,976) |
Variable Portfolio Funds | Annual Report 2019 | 241 |
CTIVP® – AQR International Core Equity Fund | CTIVP® – CenterSquare Real Estate Fund | |||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||||
Net investment income | $82,261,716 | $56,637,018 | $10,372,607 | $8,891,659 |
Net realized gain (loss) | 4,899,844 | 42,319,088 | 32,779,377 | (7,115,869) |
Net change in unrealized appreciation (depreciation) | 419,847,523 | (529,795,617) | 69,340,489 | (27,323,692) |
Net increase (decrease) in net assets resulting from operations | 507,009,083 | (430,839,511) | 112,492,473 | (25,547,902) |
Distributions to shareholders | ||||
Net investment income and net realized gains | ||||
Class 1 | (131,224,072) | (63,019,788) | (8,795,167) | (11,454,907) |
Class 2 | (316,961) | (192,053) | (452,916) | (642,414) |
Total distributions to shareholders | (131,541,033) | (63,211,841) | (9,248,083) | (12,097,321) |
Increase (decrease) in net assets from capital stock activity | (247,041,245) | 652,839,079 | 9,402,580 | 10,523,008 |
Total increase (decrease) in net assets | 128,426,805 | 158,787,727 | 112,646,970 | (27,122,215) |
Net assets at beginning of year | 2,773,706,983 | 2,614,919,256 | 426,517,982 | 453,640,197 |
Net assets at end of year | $2,902,133,788 | $2,773,706,983 | $539,164,952 | $426,517,982 |
CTIVP® – AQR International Core Equity Fund | CTIVP® – CenterSquare Real Estate Fund | |||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||
December 31, 2019 | December 31, 2018 | December 31, 2019 | December 31, 2018 | |||||
Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||||||
Class 1 | ||||||||
Subscriptions | 2,298,808 | 23,828,550 | 68,643,973 | 677,614,949 | 24,062 | 231,848 | — | — |
Distributions reinvested | 12,465,920 | 131,224,072 | 5,615,382 | 63,019,788 | 960,171 | 8,795,167 | 1,355,610 | 11,454,907 |
Redemptions | (37,595,492) | (402,477,631) | (7,759,808) | (87,796,356) | (1,927) | (18,282) | — | — |
Net increase (decrease) | (22,830,764) | (247,425,009) | 66,499,547 | 652,838,381 | 982,306 | 9,008,733 | 1,355,610 | 11,454,907 |
Class 2 | ||||||||
Subscriptions | 113,775 | 1,184,063 | 106,266 | 1,202,268 | 282,522 | 2,688,188 | 261,573 | 2,171,537 |
Distributions reinvested | 30,286 | 316,961 | 17,236 | 192,053 | 49,662 | 452,916 | 76,387 | 642,414 |
Redemptions | (107,299) | (1,117,260) | (127,366) | (1,393,623) | (298,192) | (2,747,257) | (459,420) | (3,745,850) |
Net increase (decrease) | 36,762 | 383,764 | (3,864) | 698 | 33,992 | 393,847 | (121,460) | (931,899) |
Total net increase (decrease) | (22,794,002) | (247,041,245) | 66,495,683 | 652,839,079 | 1,016,298 | 9,402,580 | 1,234,150 | 10,523,008 |
242 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – DFA International Value Fund | CTIVP® – Los Angeles Capital Large Cap Growth Fund | |||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||||
Net investment income | $26,861,216 | $43,703,557 | $8,445,789 | $6,163,953 |
Net realized gain (loss) | (599,189) | 25,840,276 | 122,386,458 | 108,015,143 |
Net change in unrealized appreciation (depreciation) | 83,600,969 | (356,031,536) | 377,748,339 | (131,628,708) |
Net increase (decrease) in net assets resulting from operations | 109,862,996 | (286,487,703) | 508,580,586 | (17,449,612) |
Distributions to shareholders | ||||
Net investment income and net realized gains | ||||
Class 1 | (57,034,764) | (53,751,149) | — | — |
Class 2 | (1,437,725) | (665,320) | — | — |
Total distributions to shareholders | (58,472,489) | (54,416,469) | — | — |
Increase (decrease) in net assets from capital stock activity | 159,159,980 | (598,064,148) | (59,644,246) | (4,916,348) |
Total increase (decrease) in net assets | 210,550,487 | (938,968,320) | 448,936,340 | (22,365,960) |
Net assets at beginning of year | 841,255,447 | 1,780,223,767 | 1,580,529,969 | 1,602,895,929 |
Net assets at end of year | $1,051,805,934 | $841,255,447 | $2,029,466,309 | $1,580,529,969 |
CTIVP® – DFA International Value Fund | CTIVP® – Los Angeles Capital Large Cap Growth Fund | |||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||
December 31, 2019 | December 31, 2018 | December 31, 2019 | December 31, 2018 | |||||
Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||||||
Class 1 | ||||||||
Subscriptions | 27,322,528 | 261,667,235 | 3,634,006 | 38,186,881 | 367,160 | 11,380,219 | 1,113,960 | 33,472,282 |
Distributions reinvested | 6,053,916 | 57,034,764 | 5,052,917 | 53,751,149 | — | — | — | — |
Redemptions | (17,097,348) | (162,424,783) | (72,431,442) | (693,644,413) | (2,266,904) | (70,741,772) | (1,400,681) | (40,214,494) |
Net increase (decrease) | 16,279,096 | 156,277,216 | (63,744,519) | (601,706,383) | (1,899,744) | (59,361,553) | (286,721) | (6,742,212) |
Class 2 | ||||||||
Subscriptions | 404,643 | 3,800,109 | 480,516 | 5,250,354 | 37,214 | 1,122,836 | 109,837 | 3,110,797 |
Distributions reinvested | 152,938 | 1,437,725 | 62,750 | 665,320 | — | — | — | — |
Redemptions | (251,063) | (2,355,070) | (213,337) | (2,273,439) | (46,086) | (1,405,529) | (46,576) | (1,284,933) |
Net increase (decrease) | 306,518 | 2,882,764 | 329,929 | 3,642,235 | (8,872) | (282,693) | 63,261 | 1,825,864 |
Total net increase (decrease) | 16,585,614 | 159,159,980 | (63,414,590) | (598,064,148) | (1,908,616) | (59,644,246) | (223,460) | (4,916,348) |
Variable Portfolio Funds | Annual Report 2019 | 243 |
CTIVP® – MFS® Value Fund | CTIVP® – Morgan Stanley Advantage Fund | |||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||||
Net investment income (loss) | $25,964,043 | $40,616,391 | $(1,266,065) | $1,314,917 |
Net realized gain | 182,631,264 | 183,818,484 | 282,297,583 | 181,427,111 |
Net change in unrealized appreciation (depreciation) | 217,733,215 | (410,215,875) | 234,645,356 | (134,603,497) |
Net increase (decrease) in net assets resulting from operations | 426,328,522 | (185,781,000) | 515,676,874 | 48,138,531 |
Increase (decrease) in net assets from capital stock activity | (502,000,293) | (434,366,982) | (58,339,863) | 45,076,826 |
Total increase (decrease) in net assets | (75,671,771) | (620,147,982) | 457,337,011 | 93,215,357 |
Net assets at beginning of year | 1,633,247,110 | 2,253,395,092 | 1,907,050,142 | 1,813,834,785 |
Net assets at end of year | $1,557,575,339 | $1,633,247,110 | $2,364,387,153 | $1,907,050,142 |
CTIVP® – MFS® Value Fund | CTIVP® – Morgan Stanley Advantage Fund | |||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||
December 31, 2019 | December 31, 2018 | December 31, 2019 | December 31, 2018 | |||||
Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||||||
Class 1 | ||||||||
Subscriptions | 238,495 | 6,302,198 | 996,433 | 24,464,195 | 2,551,930 | 87,028,483 | 3,053,897 | 93,075,308 |
Redemptions | (19,731,939) | (513,539,610) | (18,593,764) | (459,620,546) | (4,321,445) | (147,525,817) | (1,736,641) | (52,193,641) |
Net increase (decrease) | (19,493,444) | (507,237,412) | (17,597,331) | (435,156,351) | (1,769,515) | (60,497,334) | 1,317,256 | 40,881,667 |
Class 2 | ||||||||
Subscriptions | 326,349 | 8,502,301 | 283,265 | 6,881,028 | 158,829 | 5,227,126 | 246,028 | 7,367,038 |
Redemptions | (127,957) | (3,265,182) | (252,418) | (6,091,659) | (91,493) | (3,069,655) | (109,375) | (3,171,879) |
Net increase | 198,392 | 5,237,119 | 30,847 | 789,369 | 67,336 | 2,157,471 | 136,653 | 4,195,159 |
Total net increase (decrease) | (19,295,052) | (502,000,293) | (17,566,484) | (434,366,982) | (1,702,179) | (58,339,863) | 1,453,909 | 45,076,826 |
244 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – T. Rowe Price Large Cap Value Fund | CTIVP® – TCW Core Plus Bond Fund | |||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||||
Net investment income | $43,349,140 | $44,598,690 | $73,258,477 | $74,275,706 |
Net realized gain (loss) | 113,613,420 | 170,683,366 | 98,236,894 | (42,877,705) |
Net change in unrealized appreciation (depreciation) | 317,456,413 | (414,915,500) | 64,674,065 | (31,556,407) |
Net increase (decrease) in net assets resulting from operations | 474,418,973 | (199,633,444) | 236,169,436 | (158,406) |
Distributions to shareholders | ||||
Net investment income and net realized gains | ||||
Class 1 | — | — | (74,637,337) | (65,516,551) |
Class 2 | — | — | (232,202) | (152,735) |
Total distributions to shareholders | — | — | (74,869,539) | (65,669,286) |
Decrease in net assets from capital stock activity | (419,205,872) | (338,951,627) | (63,281,170) | (198,295,114) |
Total increase (decrease) in net assets | 55,213,101 | (538,585,071) | 98,018,727 | (264,122,806) |
Net assets at beginning of year | 1,960,024,790 | 2,498,609,861 | 2,722,870,215 | 2,986,993,021 |
Net assets at end of year | $2,015,237,891 | $1,960,024,790 | $2,820,888,942 | $2,722,870,215 |
CTIVP® – T. Rowe Price Large Cap Value Fund | CTIVP® – TCW Core Plus Bond Fund | |||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||
December 31, 2019 | December 31, 2018 | December 31, 2019 | December 31, 2018 | |||||
Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||||||
Class 1 | ||||||||
Subscriptions | 4,033,809 | 94,788,787 | 4,902,380 | 111,383,275 | 14,400,724 | 156,536,197 | 11,737,585 | 121,708,320 |
Distributions reinvested | — | — | — | — | 6,949,472 | 74,637,337 | 6,404,355 | 65,516,551 |
Redemptions | (21,894,664) | (515,929,463) | (19,936,485) | (455,495,640) | (27,617,067) | (298,097,553) | (37,394,682) | (386,559,343) |
Net decrease | (17,860,855) | (421,140,676) | (15,034,105) | (344,112,365) | (6,266,871) | (66,924,019) | (19,252,742) | (199,334,472) |
Class 2 | ||||||||
Subscriptions | 193,911 | 4,511,698 | 291,263 | 6,520,633 | 393,355 | 4,259,003 | 175,831 | 1,812,898 |
Distributions reinvested | — | — | — | — | 21,681 | 232,202 | 14,959 | 152,735 |
Redemptions | (112,132) | (2,576,894) | (61,237) | (1,359,895) | (78,593) | (848,356) | (89,800) | (926,275) |
Net increase | 81,779 | 1,934,804 | 230,026 | 5,160,738 | 336,443 | 3,642,849 | 100,990 | 1,039,358 |
Total net decrease | (17,779,076) | (419,205,872) | (14,804,079) | (338,951,627) | (5,930,428) | (63,281,170) | (19,151,752) | (198,295,114) |
Variable Portfolio Funds | Annual Report 2019 | 245 |
CTIVP® – Wells Fargo Short Duration Government Fund | CTIVP® – Westfield Mid Cap Growth Fund | |||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||||
Net investment income | $45,141,524 | $20,477,671 | $1,428,599 | $256,582 |
Net realized gain (loss) | 19,775,460 | (11,329,044) | 85,890,797 | 26,669,535 |
Net change in unrealized appreciation (depreciation) | 4,223,327 | 6,142,496 | 113,670,885 | (44,043,546) |
Net increase (decrease) in net assets resulting from operations | 69,140,311 | 15,291,123 | 200,990,281 | (17,117,429) |
Distributions to shareholders | ||||
Net investment income and net realized gains | ||||
Class 1 | (20,494,923) | (11,431,546) | — | — |
Class 2 | (226,890) | (208,374) | — | — |
Total distributions to shareholders | (20,721,813) | (11,639,920) | — | — |
Increase (decrease) in net assets from capital stock activity | (483,703,277) | 987,473,482 | (129,185,647) | (7,531,818) |
Total increase (decrease) in net assets | (435,284,779) | 991,124,685 | 71,804,634 | (24,649,247) |
Net assets at beginning of year | 1,969,697,663 | 978,572,978 | 510,061,911 | 534,711,158 |
Net assets at end of year | $1,534,412,884 | $1,969,697,663 | $581,866,545 | $510,061,911 |
CTIVP® – Wells Fargo Short Duration Government Fund | CTIVP® – Westfield Mid Cap Growth Fund | |||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||
December 31, 2019 | December 31, 2018 | December 31, 2019 | December 31, 2018 | |||||
Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||||||
Class 1 | ||||||||
Subscriptions | 2,240,976 | 22,814,492 | 108,266,713 | 1,079,149,798 | 67,451 | 1,920,149 | 108,074 | 2,570,901 |
Distributions reinvested | 2,015,233 | 20,494,923 | 1,152,374 | 11,431,546 | — | — | — | — |
Redemptions | (51,749,834) | (530,609,050) | (10,649,931) | (106,293,927) | (4,524,809) | (131,362,216) | (381,712) | (9,685,858) |
Net increase (decrease) | (47,493,625) | (487,299,635) | 98,769,156 | 984,287,417 | (4,457,358) | (129,442,067) | (273,638) | (7,114,957) |
Class 2 | ||||||||
Subscriptions | 917,755 | 9,297,102 | 931,278 | 9,246,239 | 84,358 | 2,341,547 | 81,004 | 2,010,849 |
Distributions reinvested | 22,376 | 226,890 | 21,069 | 208,374 | — | — | — | — |
Redemptions | (584,391) | (5,927,634) | (630,224) | (6,268,548) | (75,897) | (2,085,127) | (100,284) | (2,427,710) |
Net increase (decrease) | 355,740 | 3,596,358 | 322,123 | 3,186,065 | 8,461 | 256,420 | (19,280) | (416,861) |
Total net increase (decrease) | (47,137,885) | (483,703,277) | 99,091,279 | 987,473,482 | (4,448,897) | (129,185,647) | (292,918) | (7,531,818) |
246 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – William Blair International Leaders Fund | Variable Portfolio – Columbia Wanger International Equities Fund | |||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||||
Net investment income | $7,832,994 | $14,179,774 | $1,341,564 | $1,125,282 |
Net realized gain (loss) | 14,809,456 | 25,327,542 | (343,778) | 8,517,089 |
Net change in unrealized appreciation (depreciation) | 185,443,297 | (340,702,264) | 30,133,096 | (31,903,024) |
Net increase (decrease) in net assets resulting from operations | 208,085,747 | (301,194,948) | 31,130,882 | (22,260,653) |
Distributions to shareholders | ||||
Net investment income and net realized gains | ||||
Class 1 | (36,558,331) | (77,324,767) | (5,898,613) | (6,625,802) |
Class 2 | (1,423,605) | (1,669,481) | (3,048,708) | (3,320,776) |
Total distributions to shareholders | (37,981,936) | (78,994,248) | (8,947,321) | (9,946,578) |
Increase (decrease) in net assets from capital stock activity | 99,811,028 | (512,055,355) | 7,130,987 | 16,171,875 |
Total increase (decrease) in net assets | 269,914,839 | (892,244,551) | 29,314,548 | (16,035,356) |
Net assets at beginning of year | 823,307,428 | 1,715,551,979 | 105,416,723 | 121,452,079 |
Net assets at end of year | $1,093,222,267 | $823,307,428 | $134,731,271 | $105,416,723 |
CTIVP® – William Blair International Leaders Fund | Variable Portfolio – Columbia Wanger International Equities Fund | |||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||
December 31, 2019 | December 31, 2018 | December 31, 2019 | December 31, 2018 | |||||
Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||||||
Class 1 | ||||||||
Subscriptions | 23,141,178 | 255,960,862 | 3,907,448 | 43,711,405 | 34,488 | 174,527 | — | — |
Distributions reinvested | 3,502,691 | 36,558,331 | 6,845,339 | 77,324,767 | 1,227,496 | 5,898,613 | 1,231,259 | 6,625,802 |
Redemptions | (18,245,663) | (192,110,566) | (63,768,582) | (638,056,327) | (4,825) | (24,860) | — | — |
Net increase (decrease) | 8,398,206 | 100,408,627 | (53,015,795) | (517,020,155) | 1,257,159 | 6,048,280 | 1,231,259 | 6,625,802 |
Class 2 | ||||||||
Subscriptions | 218,143 | 2,265,279 | 524,654 | 6,095,538 | 630,361 | 3,082,329 | 1,607,088 | 8,922,063 |
Distributions reinvested | 136,919 | 1,423,605 | 148,606 | 1,669,481 | 639,516 | 3,048,708 | 620,297 | 3,320,776 |
Redemptions | (411,469) | (4,286,483) | (245,776) | (2,800,219) | (1,028,912) | (5,048,330) | (513,591) | (2,696,766) |
Net increase (decrease) | (56,407) | (597,599) | 427,484 | 4,964,800 | 240,965 | 1,082,707 | 1,713,794 | 9,546,073 |
Total net increase (decrease) | 8,341,799 | 99,811,028 | (52,588,311) | (512,055,355) | 1,498,124 | 7,130,987 | 2,945,053 | 16,171,875 |
Variable Portfolio Funds | Annual Report 2019 | 247 |
Variable Portfolio – Partners Core Bond Fund | Variable Portfolio – Partners Small Cap Growth Fund | |||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||||
Net investment income (loss) | $97,378,623 | $87,922,086 | $(2,398,928) | $(3,250,292) |
Net realized gain (loss) | 87,186,762 | (44,630,075) | 29,612,990 | 99,512,024 |
Net change in unrealized appreciation (depreciation) | 113,220,278 | (41,958,024) | 90,219,073 | (120,953,431) |
Net increase (decrease) in net assets resulting from operations | 297,785,663 | 1,333,987 | 117,433,135 | (24,691,699) |
Distributions to shareholders | ||||
Net investment income and net realized gains | ||||
Class 1 | (87,417,075) | (117,628,688) | — | — |
Class 2 | (218,895) | (357,201) | — | — |
Total distributions to shareholders | (87,635,970) | (117,985,889) | — | — |
Increase (decrease) in net assets from capital stock activity | 16,601,795 | 366,265,678 | (119,412,576) | (39,391,540) |
Total increase (decrease) in net assets | 226,751,488 | 249,613,776 | (1,979,441) | (64,083,239) |
Net assets at beginning of year | 3,544,592,882 | 3,294,979,106 | 587,763,558 | 651,846,797 |
Net assets at end of year | $3,771,344,370 | $3,544,592,882 | $585,784,117 | $587,763,558 |
Variable Portfolio – Partners Core Bond Fund | Variable Portfolio – Partners Small Cap Growth Fund | |||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||
December 31, 2019 | December 31, 2018 | December 31, 2019 | December 31, 2018 | |||||
Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||||||
Class 1 | ||||||||
Subscriptions | 22,532,382 | 249,021,037 | 61,764,406 | 642,967,339 | 979,564 | 23,356,226 | 177,037 | 4,222,034 |
Distributions reinvested | 8,027,279 | 87,417,075 | 11,354,120 | 117,628,688 | — | — | — | — |
Redemptions | (29,429,770) | (321,681,520) | (37,276,382) | (393,374,947) | (6,021,481) | (143,855,339) | (1,876,121) | (45,485,581) |
Net increase (decrease) | 1,129,891 | 14,756,592 | 35,842,144 | 367,221,080 | (5,041,917) | (120,499,113) | (1,699,084) | (41,263,547) |
Class 2 | ||||||||
Subscriptions | 241,827 | 2,654,205 | 104,763 | 1,109,840 | 78,530 | 1,836,824 | 119,580 | 2,831,930 |
Distributions reinvested | 20,175 | 218,895 | 34,579 | 357,201 | — | — | — | — |
Redemptions | (94,160) | (1,027,897) | (230,570) | (2,422,443) | (32,190) | (750,287) | (40,563) | (959,923) |
Net increase (decrease) | 167,842 | 1,845,203 | (91,228) | (955,402) | 46,340 | 1,086,537 | 79,017 | 1,872,007 |
Total net increase (decrease) | 1,297,733 | 16,601,795 | 35,750,916 | 366,265,678 | (4,995,577) | (119,412,576) | (1,620,067) | (39,391,540) |
248 | Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio Funds | Annual Report 2019 | 249 |
Columbia Variable Portfolio – U.S. Equities Fund
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2019 | $19.79 | 0.12 | 4.46 | 4.58 |
Year Ended 12/31/2018 | $23.02 | 0.11 | (3.34) | (3.23) |
Year Ended 12/31/2017 | $20.81 | 0.11 | 2.10 | 2.21 |
Year Ended 12/31/2016 | $17.69 | 0.07 | 3.05 | 3.12 |
Year Ended 12/31/2015 | $18.88 | 0.08 | (1.27) | (1.19) |
Class 2 | ||||
Year Ended 12/31/2019 | $19.37 | 0.07 | 4.35 | 4.42 |
Year Ended 12/31/2018 | $22.58 | 0.05 | (3.26) | (3.21) |
Year Ended 12/31/2017 | $20.46 | 0.06 | 2.06 | 2.12 |
Year Ended 12/31/2016 | $17.44 | 0.03 | 2.99 | 3.02 |
Year Ended 12/31/2015 | $18.67 | (0.01) | (1.22) | (1.23) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
250 | Variable Portfolio Funds | Annual Report 2019 |
Columbia Variable Portfolio – U.S. Equities Fund
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019 | $24.37 | 23.14% | 0.87% | 0.87% | 0.52% | 86% | $87,724 |
Year Ended 12/31/2018 | $19.79 | (14.03%) | 0.86% | 0.86% | 0.46% | 80% | $831,256 |
Year Ended 12/31/2017 | $23.02 | 10.62% | 0.89% | 0.89% | 0.53% | 87% | $1,040,129 |
Year Ended 12/31/2016 | $20.81 | 17.64% | 0.91% | 0.91% | 0.40% | 103% | $1,110,559 |
Year Ended 12/31/2015 | $17.69 | (6.30%) | 0.92% | 0.92% | 0.43% | 98% | $1,393,433 |
Class 2 | |||||||
Year Ended 12/31/2019 | $23.79 | 22.82% | 1.12% | 1.12% | 0.32% | 86% | $16,618 |
Year Ended 12/31/2018 | $19.37 | (14.22%) | 1.11% | 1.11% | 0.21% | 80% | $13,907 |
Year Ended 12/31/2017 | $22.58 | 10.36% | 1.14% | 1.14% | 0.30% | 87% | $16,964 |
Year Ended 12/31/2016 | $20.46 | 17.32% | 1.16% | 1.16% | 0.16% | 103% | $14,888 |
Year Ended 12/31/2015 | $17.44 | (6.59%) | 1.20% | 1.20% | (0.08%) | 98% | $13,465 |
Variable Portfolio Funds | Annual Report 2019 | 251 |
CTIVP® – American Century Diversified Bond Fund
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | |||||||
Year Ended 12/31/2019 | $10.65 | 0.31 | 0.71 | 1.02 | (0.66) | — | (0.66) |
Year Ended 12/31/2018 | $11.15 | 0.37 | (0.49) | (0.12) | (0.31) | (0.07) | (0.38) |
Year Ended 12/31/2017 | $10.95 | 0.30 | 0.23 | 0.53 | (0.26) | (0.07) | (0.33) |
Year Ended 12/31/2016 | $10.76 | 0.27 | 0.13 | 0.40 | (0.20) | (0.01) | (0.21) |
Year Ended 12/31/2015 | $11.05 | 0.23 | (0.23) | 0.00(d) | (0.24) | (0.05) | (0.29) |
Class 2 | |||||||
Year Ended 12/31/2019 | $10.61 | 0.28 | 0.70 | 0.98 | (0.63) | — | (0.63) |
Year Ended 12/31/2018 | $11.11 | 0.34 | (0.49) | (0.15) | (0.28) | (0.07) | (0.35) |
Year Ended 12/31/2017 | $10.91 | 0.27 | 0.23 | 0.50 | (0.23) | (0.07) | (0.30) |
Year Ended 12/31/2016 | $10.72 | 0.24 | 0.13 | 0.37 | (0.17) | (0.01) | (0.18) |
Year Ended 12/31/2015 | $11.01 | 0.20 | (0.22) | (0.02) | (0.22) | (0.05) | (0.27) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interest on collateral expense which is less than 0.01%. |
(d) | Rounds to zero. |
252 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – American Century Diversified Bond Fund
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019 | $11.01 | 9.73% | 0.50%(c) | 0.50%(c) | 2.84% | 94% | $2,900,664 |
Year Ended 12/31/2018 | $10.65 | (1.05%) | 0.48%(c) | 0.48%(c) | 3.42% | 136% | $1,992,309 |
Year Ended 12/31/2017 | $11.15 | 4.89% | 0.52% | 0.52% | 2.74% | 142% | $3,933,591 |
Year Ended 12/31/2016 | $10.95 | 3.66% | 0.55% | 0.55% | 2.42% | 170% | $4,086,952 |
Year Ended 12/31/2015 | $10.76 | 0.05% | 0.55% | 0.55% | 2.07% | 223% | $4,256,477 |
Class 2 | |||||||
Year Ended 12/31/2019 | $10.96 | 9.40% | 0.75%(c) | 0.75%(c) | 2.58% | 94% | $18,712 |
Year Ended 12/31/2018 | $10.61 | (1.31%) | 0.73%(c) | 0.73%(c) | 3.17% | 136% | $13,100 |
Year Ended 12/31/2017 | $11.11 | 4.65% | 0.77% | 0.77% | 2.50% | 142% | $11,701 |
Year Ended 12/31/2016 | $10.91 | 3.42% | 0.80% | 0.80% | 2.18% | 170% | $10,346 |
Year Ended 12/31/2015 | $10.72 | (0.20%) | 0.80% | 0.80% | 1.83% | 223% | $7,924 |
Variable Portfolio Funds | Annual Report 2019 | 253 |
CTIVP® – AQR International Core Equity Fund
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | |||||||
Year Ended 12/31/2019 | $9.70 | 0.29 | 1.50 | 1.79 | (0.30) | (0.16) | (0.46) |
Year Ended 12/31/2018 | $11.92 | 0.25 | (2.18) | (1.93) | (0.26) | (0.03) | (0.29) |
Year Ended 12/31/2017 | $9.91 | 0.20 | 2.02 | 2.22 | (0.21) | — | (0.21) |
Year Ended 12/31/2016 | $10.48 | 0.20 | (0.54) | (0.34) | (0.23) | — | (0.23) |
Year Ended 12/31/2015 | $10.99 | 0.15 | (0.16) | (0.01) | (0.16) | (0.34) | (0.50) |
Class 2 | |||||||
Year Ended 12/31/2019 | $9.64 | 0.25 | 1.50 | 1.75 | (0.27) | (0.16) | (0.43) |
Year Ended 12/31/2018 | $11.84 | 0.22 | (2.16) | (1.94) | (0.23) | (0.03) | (0.26) |
Year Ended 12/31/2017 | $9.86 | 0.17 | 2.00 | 2.17 | (0.19) | — | (0.19) |
Year Ended 12/31/2016 | $10.43 | 0.18 | (0.54) | (0.36) | (0.21) | — | (0.21) |
Year Ended 12/31/2015 | $10.94 | 0.13 | (0.16) | (0.03) | (0.14) | (0.34) | (0.48) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
254 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – AQR International Core Equity Fund
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019 | $11.03 | 18.76% | 0.79% | 0.79% | 2.74% | 94% | $2,893,855 |
Year Ended 12/31/2018 | $9.70 | (16.53%) | 0.83% | 0.83% | 2.23% | 105% | $2,766,782 |
Year Ended 12/31/2017 | $11.92 | 22.56% | 0.92% | 0.92% | 1.79% | 68% | $2,606,365 |
Year Ended 12/31/2016 | $9.91 | (3.24%) | 0.97% | 0.96% | 2.04% | 50% | $2,317,135 |
Year Ended 12/31/2015 | $10.48 | (0.41%) | 0.97% | 0.97% | 1.37% | 52% | $2,317,553 |
Class 2 | |||||||
Year Ended 12/31/2019 | $10.96 | 18.41% | 1.04% | 1.04% | 2.45% | 94% | $8,279 |
Year Ended 12/31/2018 | $9.64 | (16.69%) | 1.08% | 1.08% | 1.99% | 105% | $6,925 |
Year Ended 12/31/2017 | $11.84 | 22.14% | 1.17% | 1.17% | 1.50% | 68% | $8,554 |
Year Ended 12/31/2016 | $9.86 | (3.44%) | 1.22% | 1.21% | 1.85% | 50% | $6,722 |
Year Ended 12/31/2015 | $10.43 | (0.60%) | 1.22% | 1.22% | 1.13% | 52% | $7,749 |
Variable Portfolio Funds | Annual Report 2019 | 255 |
CTIVP® – CenterSquare Real Estate Fund
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | |||||||
Year Ended 12/31/2019 | $7.94 | 0.19 | 1.89 | 2.08 | (0.17) | — | (0.17) |
Year Ended 12/31/2018 | $8.64 | 0.17 | (0.64) | (0.47) | (0.16) | (0.07) | (0.23) |
Year Ended 12/31/2017 | $8.59 | 0.17 | 0.33 | 0.50 | (0.19) | (0.26) | (0.45) |
Year Ended 12/31/2016 | $8.83 | 0.19 | 0.28(c) | 0.47 | (0.17) | (0.54) | (0.71) |
Year Ended 12/31/2015 | $11.26 | 0.17 | (0.31) | (0.14) | (0.76) | (1.53) | (2.29) |
Class 2 | |||||||
Year Ended 12/31/2019 | $7.89 | 0.17 | 1.88 | 2.05 | (0.15) | — | (0.15) |
Year Ended 12/31/2018 | $8.59 | 0.15 | (0.64) | (0.49) | (0.14) | (0.07) | (0.21) |
Year Ended 12/31/2017 | $8.54 | 0.15 | 0.32 | 0.47 | (0.16) | (0.26) | (0.42) |
Year Ended 12/31/2016 | $8.78 | 0.16 | 0.29(c) | 0.45 | (0.15) | (0.54) | (0.69) |
Year Ended 12/31/2015 | $11.20 | 0.15 | (0.31) | (0.16) | (0.73) | (1.53) | (2.26) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Calculation of the net gain (loss) per share (both realized and unrealized) does not correlate to the aggregate realized and unrealized gain (loss) presented in the Statement of Operations due to the timing of subscriptions and redemptions of Fund shares in relation to fluctuations in the market value of the portfolio. |
256 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – CenterSquare Real Estate Fund
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019 | $9.85 | 26.41% | 0.77% | 0.77% | 2.05% | 70% | $508,863 |
Year Ended 12/31/2018 | $7.94 | (5.58%) | 0.77% | 0.77% | 2.03% | 51% | $402,354 |
Year Ended 12/31/2017 | $8.64 | 6.01% | 0.81% | 0.81% | 2.00% | 72% | $426,287 |
Year Ended 12/31/2016 | $8.59 | 5.02% | 0.89% | 0.88% | 2.16% | 83% | $402,023 |
Year Ended 12/31/2015 | $8.83 | (0.99%) | 1.07% | 1.01% | 1.72% | 27% | $188,580 |
Class 2 | |||||||
Year Ended 12/31/2019 | $9.79 | 26.16% | 1.02% | 1.02% | 1.81% | 70% | $30,302 |
Year Ended 12/31/2018 | $7.89 | (5.85%) | 1.02% | 1.02% | 1.76% | 51% | $24,164 |
Year Ended 12/31/2017 | $8.59 | 5.74% | 1.06% | 1.06% | 1.76% | 72% | $27,353 |
Year Ended 12/31/2016 | $8.54 | 4.76% | 1.17% | 1.15% | 1.82% | 83% | $25,298 |
Year Ended 12/31/2015 | $8.78 | (1.21%) | 1.32% | 1.26% | 1.53% | 27% | $22,032 |
Variable Portfolio Funds | Annual Report 2019 | 257 |
CTIVP® – DFA International Value Fund
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | |||||||
Year Ended 12/31/2019 | $9.17 | 0.30 | 0.91 | 1.21 | (0.38) | (0.29) | (0.67) |
Year Ended 12/31/2018 | $11.47 | 0.29 | (2.23) | (1.94) | (0.31) | (0.05) | (0.36) |
Year Ended 12/31/2017 | $9.34 | 0.26 | 2.09 | 2.35 | (0.22) | — | (0.22) |
Year Ended 12/31/2016 | $8.91 | 0.25 | 0.46 | 0.71 | (0.24) | (0.04) | (0.28) |
Year Ended 12/31/2015 | $10.03 | 0.22 | (0.92) | (0.70) | (0.21) | (0.21) | (0.42) |
Class 2 | |||||||
Year Ended 12/31/2019 | $9.15 | 0.28 | 0.90 | 1.18 | (0.35) | (0.29) | (0.64) |
Year Ended 12/31/2018 | $11.44 | 0.26 | (2.22) | (1.96) | (0.28) | (0.05) | (0.33) |
Year Ended 12/31/2017 | $9.33 | 0.23 | 2.08 | 2.31 | (0.20) | — | (0.20) |
Year Ended 12/31/2016 | $8.90 | 0.22 | 0.47 | 0.69 | (0.22) | (0.04) | (0.26) |
Year Ended 12/31/2015 | $10.01 | 0.20 | (0.92) | (0.72) | (0.18) | (0.21) | (0.39) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interfund lending expense which is less than 0.01%. |
(d) | Ratios include line of credit interest expense which is less than 0.01%. |
258 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – DFA International Value Fund
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019 | $9.71 | 13.53% | 0.88%(c) | 0.88%(c) | 3.17% | 22% | $1,028,139 |
Year Ended 12/31/2018 | $9.17 | (17.30%) | 0.83% | 0.83% | 2.70% | 16% | $821,718 |
Year Ended 12/31/2017 | $11.47 | 25.44% | 0.86% | 0.86% | 2.48% | 9% | $1,759,557 |
Year Ended 12/31/2016 | $9.34 | 8.33% | 0.91%(d) | 0.91%(d) | 2.89% | 17% | $2,000,961 |
Year Ended 12/31/2015 | $8.91 | (7.40%) | 0.98% | 0.98% | 2.25% | 12% | $1,987,543 |
Class 2 | |||||||
Year Ended 12/31/2019 | $9.69 | 13.20% | 1.13%(c) | 1.13%(c) | 2.93% | 22% | $23,667 |
Year Ended 12/31/2018 | $9.15 | (17.48%) | 1.09% | 1.09% | 2.41% | 16% | $19,537 |
Year Ended 12/31/2017 | $11.44 | 25.02% | 1.11% | 1.11% | 2.18% | 9% | $20,666 |
Year Ended 12/31/2016 | $9.33 | 8.08% | 1.16%(d) | 1.16%(d) | 2.52% | 17% | $12,345 |
Year Ended 12/31/2015 | $8.90 | (7.56%) | 1.23% | 1.23% | 2.06% | 12% | $10,494 |
Variable Portfolio Funds | Annual Report 2019 | 259 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2019 | $26.28 | 0.14 | 8.43 | 8.57 |
Year Ended 12/31/2018 | $26.55 | 0.10 | (0.37) | (0.27) |
Year Ended 12/31/2017 | $20.25 | 0.11 | 6.19 | 6.30 |
Year Ended 12/31/2016 | $20.75 | 0.02 | (0.52) | (0.50) |
Year Ended 12/31/2015 | $19.54 | (0.00)(c) | 1.21 | 1.21 |
Class 2 | ||||
Year Ended 12/31/2019 | $25.71 | 0.06 | 8.24 | 8.30 |
Year Ended 12/31/2018 | $26.04 | 0.03 | (0.36) | (0.33) |
Year Ended 12/31/2017 | $19.91 | 0.04 | 6.09 | 6.13 |
Year Ended 12/31/2016 | $20.44 | (0.03) | (0.50) | (0.53) |
Year Ended 12/31/2015 | $19.31 | (0.05) | 1.18 | 1.13 |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Rounds to zero. |
260 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019 | $34.85 | 32.61% | 0.69% | 0.69% | 0.46% | 72% | $2,014,780 |
Year Ended 12/31/2018 | $26.28 | (1.02%) | 0.69% | 0.69% | 0.36% | 95% | $1,569,200 |
Year Ended 12/31/2017 | $26.55 | 31.11% | 0.73% | 0.73% | 0.44% | 145% | $1,593,067 |
Year Ended 12/31/2016 | $20.25 | (2.41%) | 0.77% | 0.77% | 0.10% | 91% | $972,895 |
Year Ended 12/31/2015 | $20.75 | 6.19% | 0.76% | 0.76% | (0.01%) | 64% | $1,453,564 |
Class 2 | |||||||
Year Ended 12/31/2019 | $34.01 | 32.28% | 0.94% | 0.94% | 0.21% | 72% | $14,686 |
Year Ended 12/31/2018 | $25.71 | (1.27%) | 0.94% | 0.94% | 0.12% | 95% | $11,330 |
Year Ended 12/31/2017 | $26.04 | 30.79% | 0.98% | 0.98% | 0.17% | 145% | $9,829 |
Year Ended 12/31/2016 | $19.91 | (2.59%) | 1.02% | 1.02% | (0.15%) | 91% | $7,076 |
Year Ended 12/31/2015 | $20.44 | 5.85% | 1.01% | 1.01% | (0.26%) | 64% | $6,258 |
Variable Portfolio Funds | Annual Report 2019 | 261 |
CTIVP® – MFS® Value Fund
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2019 | $22.46 | 0.42 | 6.28 | 6.70 |
Year Ended 12/31/2018 | $24.96 | 0.50 | (3.00) | (2.50) |
Year Ended 12/31/2017 | $21.22 | 0.42 | 3.32 | 3.74 |
Year Ended 12/31/2016 | $18.61 | 0.37 | 2.24 | 2.61 |
Year Ended 12/31/2015 | $18.75 | 0.59(d) | (0.73) | (0.14) |
Class 2 | ||||
Year Ended 12/31/2019 | $21.99 | 0.35 | 6.14 | 6.49 |
Year Ended 12/31/2018 | $24.50 | 0.44 | (2.95) | (2.51) |
Year Ended 12/31/2017 | $20.88 | 0.35 | 3.27 | 3.62 |
Year Ended 12/31/2016 | $18.36 | 0.33 | 2.19 | 2.52 |
Year Ended 12/31/2015 | $18.54 | 0.59(e) | (0.77) | (0.18) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interfund lending expense which is less than 0.01%. |
(d) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.28 per share. |
(e) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.33 per share. |
262 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – MFS® Value Fund
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019 | $29.16 | 29.83% | 0.70%(c) | 0.70%(c) | 1.62% | 12% | $1,493,599 |
Year Ended 12/31/2018 | $22.46 | (10.02%) | 0.69%(c) | 0.69%(c) | 2.00% | 8% | $1,588,214 |
Year Ended 12/31/2017 | $24.96 | 17.62% | 0.71% | 0.71% | 1.84% | 13% | $2,203,985 |
Year Ended 12/31/2016 | $21.22 | 14.03% | 0.74% | 0.74% | 1.89% | 23% | $1,995,300 |
Year Ended 12/31/2015 | $18.61 | (0.75%) | 0.73% | 0.73% | 3.14% | 16% | $1,925,986 |
Class 2 | |||||||
Year Ended 12/31/2019 | $28.48 | 29.51% | 0.95%(c) | 0.95%(c) | 1.36% | 12% | $63,976 |
Year Ended 12/31/2018 | $21.99 | (10.25%) | 0.94%(c) | 0.94%(c) | 1.80% | 8% | $45,033 |
Year Ended 12/31/2017 | $24.50 | 17.34% | 0.96% | 0.96% | 1.57% | 13% | $49,410 |
Year Ended 12/31/2016 | $20.88 | 13.73% | 1.00% | 1.00% | 1.71% | 23% | $33,917 |
Year Ended 12/31/2015 | $18.36 | (0.97%) | 0.99% | 0.99% | 3.15% | 16% | $19,747 |
Variable Portfolio Funds | Annual Report 2019 | 263 |
CTIVP® – Morgan Stanley Advantage Fund
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2019 | $27.97 | (0.02) | 7.62 | 7.60 |
Year Ended 12/31/2018 | $27.18 | 0.02 | 0.77 | 0.79 |
Year Ended 12/31/2017 | $20.50 | (0.01) | 6.69 | 6.68 |
Year Ended 12/31/2016 | $19.85 | 0.08 | 0.57 | 0.65 |
Year Ended 12/31/2015 | $18.60 | 0.71(c) | 0.54 | 1.25 |
Class 2 | ||||
Year Ended 12/31/2019 | $27.37 | (0.10) | 7.45 | 7.35 |
Year Ended 12/31/2018 | $26.67 | (0.06) | 0.76 | 0.70 |
Year Ended 12/31/2017 | $20.17 | (0.06) | 6.56 | 6.50 |
Year Ended 12/31/2016 | $19.57 | 0.03 | 0.57 | 0.60 |
Year Ended 12/31/2015 | $18.39 | 0.59(d) | 0.59 | 1.18 |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.64 per share. |
(d) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.57 per share. |
264 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – Morgan Stanley Advantage Fund
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019 | $35.57 | 27.17% | 0.66% | 0.66% | (0.05%) | 80% | $2,345,237 |
Year Ended 12/31/2018 | $27.97 | 2.91% | 0.67% | 0.67% | 0.07% | 71% | $1,893,796 |
Year Ended 12/31/2017 | $27.18 | 32.58% | 0.72% | 0.72% | (0.03%) | 68% | $1,804,566 |
Year Ended 12/31/2016 | $20.50 | 3.27% | 0.78% | 0.78% | 0.42% | 130% | $1,063,778 |
Year Ended 12/31/2015 | $19.85 | 6.72% | 0.76% | 0.76% | 3.63% | 27% | $1,209,405 |
Class 2 | |||||||
Year Ended 12/31/2019 | $34.72 | 26.85% | 0.91% | 0.91% | (0.30%) | 80% | $19,150 |
Year Ended 12/31/2018 | $27.37 | 2.62% | 0.92% | 0.92% | (0.19%) | 71% | $13,254 |
Year Ended 12/31/2017 | $26.67 | 32.23% | 0.97% | 0.97% | (0.28%) | 68% | $9,269 |
Year Ended 12/31/2016 | $20.17 | 3.07% | 1.03% | 1.03% | 0.16% | 130% | $6,769 |
Year Ended 12/31/2015 | $19.57 | 6.42% | 1.01% | 1.01% | 3.08% | 27% | $7,758 |
Variable Portfolio Funds | Annual Report 2019 | 265 |
CTIVP® – T. Rowe Price Large Cap Value Fund
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2019 | $20.69 | 0.52 | 4.98 | 5.50 |
Year Ended 12/31/2018 | $22.81 | 0.44 | (2.56) | (2.12) |
Year Ended 12/31/2017 | $19.62 | 0.37 | 2.82 | 3.19 |
Year Ended 12/31/2016 | $17.16 | 0.41 | 2.05 | 2.46 |
Year Ended 12/31/2015 | $18.69 | 0.42 | (1.95) | (1.53) |
Class 2 | ||||
Year Ended 12/31/2019 | $20.25 | 0.45 | 4.86 | 5.31 |
Year Ended 12/31/2018 | $22.38 | 0.38 | (2.51) | (2.13) |
Year Ended 12/31/2017 | $19.30 | 0.31 | 2.77 | 3.08 |
Year Ended 12/31/2016 | $16.92 | 0.36 | 2.02 | 2.38 |
Year Ended 12/31/2015 | $18.48 | 0.37 | (1.93) | (1.56) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
266 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – T. Rowe Price Large Cap Value Fund
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019 | $26.19 | 26.58% | 0.69% | 0.69% | 2.17% | 28% | $1,987,789 |
Year Ended 12/31/2018 | $20.69 | (9.30%) | 0.67% | 0.67% | 1.91% | 20% | $1,939,941 |
Year Ended 12/31/2017 | $22.81 | 16.26% | 0.70% | 0.70% | 1.75% | 32% | $2,481,560 |
Year Ended 12/31/2016 | $19.62 | 14.34% | 0.75% | 0.75% | 2.30% | 108% | $2,168,289 |
Year Ended 12/31/2015 | $17.16 | (8.19%) | 0.75% | 0.75% | 2.32% | 59% | $1,894,441 |
Class 2 | |||||||
Year Ended 12/31/2019 | $25.56 | 26.22% | 0.94% | 0.94% | 1.94% | 28% | $27,449 |
Year Ended 12/31/2018 | $20.25 | (9.52%) | 0.92% | 0.92% | 1.70% | 20% | $20,084 |
Year Ended 12/31/2017 | $22.38 | 15.96% | 0.94% | 0.94% | 1.52% | 32% | $17,050 |
Year Ended 12/31/2016 | $19.30 | 14.07% | 1.00% | 1.00% | 2.05% | 108% | $10,555 |
Year Ended 12/31/2015 | $16.92 | (8.44%) | 1.00% | 1.00% | 2.06% | 59% | $8,459 |
Variable Portfolio Funds | Annual Report 2019 | 267 |
CTIVP® – TCW Core Plus Bond Fund
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | |||||||
Year Ended 12/31/2019 | $10.38 | 0.29 | 0.64 | 0.93 | (0.30) | — | (0.30) |
Year Ended 12/31/2018 | $10.62 | 0.27 | (0.27) | 0.00 | (0.22) | (0.02) | (0.24) |
Year Ended 12/31/2017 | $10.48 | 0.21 | 0.14 | 0.35 | (0.17) | (0.04) | (0.21) |
Year Ended 12/31/2016 | $10.40 | 0.17 | 0.08 | 0.25 | (0.13) | (0.04) | (0.17) |
Year Ended 12/31/2015 | $10.47 | 0.14 | (0.12) | 0.02 | (0.09) | (0.00)(c) | (0.09) |
Class 2 | |||||||
Year Ended 12/31/2019 | $10.35 | 0.25 | 0.63 | 0.88 | (0.27) | — | (0.27) |
Year Ended 12/31/2018 | $10.58 | 0.25 | (0.26) | (0.01) | (0.20) | (0.02) | (0.22) |
Year Ended 12/31/2017 | $10.44 | 0.18 | 0.15 | 0.33 | (0.15) | (0.04) | (0.19) |
Year Ended 12/31/2016 | $10.36 | 0.15 | 0.08 | 0.23 | (0.11) | (0.04) | (0.15) |
Year Ended 12/31/2015 | $10.43 | 0.12 | (0.13) | (0.01) | (0.06) | (0.00)(c) | (0.06) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Rounds to zero. |
268 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – TCW Core Plus Bond Fund
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019 | $11.01 | 9.01% | 0.49% | 0.49% | 2.65% | 209% | $2,808,764 |
Year Ended 12/31/2018 | $10.38 | 0.06% | 0.49% | 0.49% | 2.61% | 178% | $2,714,909 |
Year Ended 12/31/2017 | $10.62 | 3.40% | 0.52% | 0.52% | 1.97% | 281% | $2,979,922 |
Year Ended 12/31/2016 | $10.48 | 2.41% | 0.56% | 0.55% | 1.61% | 276% | $3,079,179 |
Year Ended 12/31/2015 | $10.40 | 0.19% | 0.58% | 0.56% | 1.35% | 351% | $3,154,641 |
Class 2 | |||||||
Year Ended 12/31/2019 | $10.96 | 8.58% | 0.74% | 0.74% | 2.37% | 209% | $12,125 |
Year Ended 12/31/2018 | $10.35 | (0.10%) | 0.74% | 0.74% | 2.38% | 178% | $7,961 |
Year Ended 12/31/2017 | $10.58 | 3.15% | 0.77% | 0.77% | 1.73% | 281% | $7,071 |
Year Ended 12/31/2016 | $10.44 | 2.17% | 0.81% | 0.80% | 1.38% | 276% | $6,052 |
Year Ended 12/31/2015 | $10.36 | (0.06%) | 0.83% | 0.81% | 1.10% | 351% | $4,137 |
Variable Portfolio Funds | Annual Report 2019 | 269 |
CTIVP® – Wells Fargo Short Duration Government Fund
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | |||||||
Year Ended 12/31/2019 | $10.03 | 0.24 | 0.12 | 0.36 | (0.11) | — | (0.11) |
Year Ended 12/31/2018 | $10.06 | 0.20 | (0.10) | 0.10 | (0.13) | — | (0.13) |
Year Ended 12/31/2017 | $10.08 | 0.12 | (0.04) | 0.08 | (0.10) | (0.00)(c) | (0.10) |
Year Ended 12/31/2016 | $10.11 | 0.09 | 0.02 | 0.11 | (0.10) | (0.04) | (0.14) |
Year Ended 12/31/2015 | $10.18 | 0.07 | (0.04) | 0.03 | (0.10) | — | (0.10) |
Class 2 | |||||||
Year Ended 12/31/2019 | $9.99 | 0.21 | 0.12 | 0.33 | (0.08) | — | (0.08) |
Year Ended 12/31/2018 | $10.01 | 0.17 | (0.09) | 0.08 | (0.10) | — | (0.10) |
Year Ended 12/31/2017 | $10.04 | 0.09 | (0.05) | 0.04 | (0.07) | (0.00)(c) | (0.07) |
Year Ended 12/31/2016 | $10.07 | 0.06 | 0.02 | 0.08 | (0.07) | (0.04) | (0.11) |
Year Ended 12/31/2015 | $10.14 | 0.04 | (0.03) | 0.01 | (0.08) | — | (0.08) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Rounds to zero. |
270 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – Wells Fargo Short Duration Government Fund
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019 | $10.28 | 3.57% | 0.43% | 0.43% | 2.31% | 632% | $1,504,778 |
Year Ended 12/31/2018 | $10.03 | 0.96% | 0.44% | 0.44% | 1.97% | 414% | $1,944,337 |
Year Ended 12/31/2017 | $10.06 | 0.80% | 0.47% | 0.47% | 1.15% | 290% | $956,370 |
Year Ended 12/31/2016 | $10.08 | 1.03% | 0.56% | 0.55% | 0.86% | 343% | $1,056,643 |
Year Ended 12/31/2015 | $10.11 | 0.32% | 0.60% | 0.60% | 0.64% | 375% | $1,197,705 |
Class 2 | |||||||
Year Ended 12/31/2019 | $10.24 | 3.33% | 0.68% | 0.68% | 2.04% | 632% | $29,635 |
Year Ended 12/31/2018 | $9.99 | 0.81% | 0.69% | 0.69% | 1.68% | 414% | $25,361 |
Year Ended 12/31/2017 | $10.01 | 0.45% | 0.72% | 0.72% | 0.91% | 290% | $22,203 |
Year Ended 12/31/2016 | $10.04 | 0.78% | 0.80% | 0.80% | 0.63% | 343% | $22,083 |
Year Ended 12/31/2015 | $10.07 | 0.07% | 0.86% | 0.85% | 0.40% | 375% | $13,574 |
Variable Portfolio Funds | Annual Report 2019 | 271 |
CTIVP® – Westfield Mid Cap Growth Fund
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2019 | $22.64 | 0.07 | 9.47 | 9.54 |
Year Ended 12/31/2018 | $23.43 | 0.01 | (0.80) | (0.79) |
Year Ended 12/31/2017 | $19.06 | 0.01 | 4.36 | 4.37 |
Year Ended 12/31/2016 | $18.38 | (0.02) | 0.70 | 0.68 |
Year Ended 12/31/2015 | $18.90 | (0.04) | (0.48)(c) | (0.52) |
Class 2 | ||||
Year Ended 12/31/2019 | $22.13 | 0.01 | 9.24 | 9.25 |
Year Ended 12/31/2018 | $22.96 | (0.05) | (0.78) | (0.83) |
Year Ended 12/31/2017 | $18.72 | (0.04) | 4.28 | 4.24 |
Year Ended 12/31/2016 | $18.10 | (0.07) | 0.69 | 0.62 |
Year Ended 12/31/2015 | $18.66 | (0.08) | (0.48)(c) | (0.56) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Calculation of the net gain (loss) per share (both realized and unrealized) does not correlate to the aggregate realized and unrealized gain (loss) presented in the Statement of Operations due to the timing of subscriptions and redemptions of Fund shares in relation to fluctuations in the market value of the portfolio. |
272 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – Westfield Mid Cap Growth Fund
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019 | $32.18 | 42.14% | 0.83% | 0.83% | 0.25% | 70% | $555,819 |
Year Ended 12/31/2018 | $22.64 | (3.37%) | 0.84% | 0.84% | 0.05% | 72% | $491,881 |
Year Ended 12/31/2017 | $23.43 | 22.93% | 0.87% | 0.87% | 0.04% | 121% | $515,408 |
Year Ended 12/31/2016 | $19.06 | 3.70% | 0.90% | 0.88% | (0.11%) | 36% | $411,066 |
Year Ended 12/31/2015 | $18.38 | (2.75%) | 0.89% | 0.88% | (0.20%) | 34% | $217,012 |
Class 2 | |||||||
Year Ended 12/31/2019 | $31.38 | 41.80% | 1.08% | 1.08% | 0.02% | 70% | $26,048 |
Year Ended 12/31/2018 | $22.13 | (3.61%) | 1.09% | 1.09% | (0.20%) | 72% | $18,181 |
Year Ended 12/31/2017 | $22.96 | 22.65% | 1.12% | 1.12% | (0.21%) | 121% | $19,303 |
Year Ended 12/31/2016 | $18.72 | 3.43% | 1.15% | 1.13% | (0.38%) | 36% | $13,635 |
Year Ended 12/31/2015 | $18.10 | (3.00%) | 1.15% | 1.13% | (0.42%) | 34% | $12,750 |
Variable Portfolio Funds | Annual Report 2019 | 273 |
CTIVP® – William Blair International Leaders Fund
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | |||||||
Year Ended 12/31/2019 | $9.46 | 0.10 | 2.38 | 2.48 | (0.12) | (0.36) | (0.48) |
Year Ended 12/31/2018 | $12.29 | 0.11 | (2.35) | (2.24) | (0.12) | (0.47) | (0.59) |
Year Ended 12/31/2017 | $10.70 | 0.11 | 2.65 | 2.76 | (0.09) | (1.08) | (1.17) |
Year Ended 12/31/2016 | $11.36 | 0.15 | (0.54) | (0.39) | (0.15) | (0.12) | (0.27) |
Year Ended 12/31/2015 | $12.46 | 0.17 | (0.41) | (0.24) | (0.17) | (0.69) | (0.86) |
Class 2 | |||||||
Year Ended 12/31/2019 | $9.42 | 0.07 | 2.37 | 2.44 | (0.10) | (0.36) | (0.46) |
Year Ended 12/31/2018 | $12.24 | 0.07 | (2.32) | (2.25) | (0.10) | (0.47) | (0.57) |
Year Ended 12/31/2017 | $10.66 | 0.08 | 2.64 | 2.72 | (0.06) | (1.08) | (1.14) |
Year Ended 12/31/2016 | $11.32 | 0.12 | (0.53) | (0.41) | (0.13) | (0.12) | (0.25) |
Year Ended 12/31/2015 | $12.42 | 0.13 | (0.40) | (0.27) | (0.14) | (0.69) | (0.83) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
274 | Variable Portfolio Funds | Annual Report 2019 |
CTIVP® – William Blair International Leaders Fund
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019 | $11.46 | 26.70% | 0.93% | 0.92% | 0.92% | 113% | $1,057,916 |
Year Ended 12/31/2018 | $9.46 | (18.95%) | 0.91% | 0.91% | 0.92% | 19% | $793,614 |
Year Ended 12/31/2017 | $12.29 | 26.87% | 0.95% | 0.95% | 0.93% | 22% | $1,682,196 |
Year Ended 12/31/2016 | $10.70 | (3.47%) | 0.96% | 0.96% | 1.37% | 94% | $2,270,612 |
Year Ended 12/31/2015 | $11.36 | (2.27%) | 0.97% | 0.97% | 1.38% | 19% | $2,299,811 |
Class 2 | |||||||
Year Ended 12/31/2019 | $11.40 | 26.36% | 1.18% | 1.17% | 0.67% | 113% | $35,306 |
Year Ended 12/31/2018 | $9.42 | (19.10%) | 1.17% | 1.17% | 0.64% | 19% | $29,694 |
Year Ended 12/31/2017 | $12.24 | 26.56% | 1.20% | 1.20% | 0.67% | 22% | $33,356 |
Year Ended 12/31/2016 | $10.66 | (3.66%) | 1.21% | 1.21% | 1.11% | 94% | $21,570 |
Year Ended 12/31/2015 | $11.32 | (2.54%) | 1.22% | 1.22% | 1.09% | 19% | $20,973 |
Variable Portfolio Funds | Annual Report 2019 | 275 |
Variable Portfolio – Columbia Wanger International Equities Fund
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | |||||||
Year Ended 12/31/2019 | $4.45 | 0.06 | 1.23 | 1.29 | (0.03) | (0.35) | (0.38) |
Year Ended 12/31/2018 | $5.86 | 0.05 | (1.00) | (0.95) | (0.13) | (0.33) | (0.46) |
Year Ended 12/31/2017 | $4.91 | 0.05 | 1.47 | 1.52 | (0.05) | (0.52) | (0.57) |
Year Ended 12/31/2016 | $11.06 | 0.07 | 0.15 | 0.22 | (0.15) | (6.22) | (6.37) |
Year Ended 12/31/2015 | $12.41 | 0.14 | (0.25)(c) | (0.11) | (0.20) | (1.04) | (1.24) |
Class 2 | |||||||
Year Ended 12/31/2019 | $4.44 | 0.05 | 1.21 | 1.26 | (0.02) | (0.35) | (0.37) |
Year Ended 12/31/2018 | $5.83 | 0.04 | (0.99) | (0.95) | (0.11) | (0.33) | (0.44) |
Year Ended 12/31/2017 | $4.90 | 0.03 | 1.47 | 1.50 | (0.05) | (0.52) | (0.57) |
Year Ended 12/31/2016 | $11.05 | 0.05 | 0.15 | 0.20 | (0.13) | (6.22) | (6.35) |
Year Ended 12/31/2015 | $12.40 | 0.09 | (0.23)(c) | (0.14) | (0.17) | (1.04) | (1.21) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Calculation of the net gain (loss) per share (both realized and unrealized) does not correlate to the aggregate realized and unrealized gain (loss) presented in the Statement of Operations due to the timing of subscriptions and redemptions of Fund shares in relation to fluctuations in the market value of the portfolio. |
276 | Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Columbia Wanger International Equities Fund
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019 | $5.36 | 30.11% | 1.16% | 1.08% | 1.21% | 47% | $88,670 |
Year Ended 12/31/2018 | $4.45 | (17.42%) | 1.22% | 1.11% | 1.00% | 56% | $68,137 |
Year Ended 12/31/2017 | $5.86 | 32.36% | 1.29% | 1.15% | 0.84% | 65% | $82,442 |
Year Ended 12/31/2016 | $4.91 | (0.57%) | 1.24% | 1.11% | 0.81% | 92% | $62,245 |
Year Ended 12/31/2015 | $11.06 | (1.39%) | 1.14% | 1.11% | 1.15% | 59% | $259,889 |
Class 2 | |||||||
Year Ended 12/31/2019 | $5.33 | 29.50% | 1.40% | 1.33% | 0.96% | 47% | $46,061 |
Year Ended 12/31/2018 | $4.44 | (17.46%) | 1.47% | 1.36% | 0.75% | 56% | $37,280 |
Year Ended 12/31/2017 | $5.83 | 31.93% | 1.54% | 1.40% | 0.59% | 65% | $39,010 |
Year Ended 12/31/2016 | $4.90 | (0.78%) | 1.54% | 1.36% | 0.72% | 92% | $24,465 |
Year Ended 12/31/2015 | $11.05 | (1.64%) | 1.42% | 1.36% | 0.76% | 59% | $22,960 |
Variable Portfolio Funds | Annual Report 2019 | 277 |
Variable Portfolio – Partners Core Bond Fund
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | |||||||
Year Ended 12/31/2019 | $10.52 | 0.29 | 0.61 | 0.90 | (0.27) | — | (0.27) |
Year Ended 12/31/2018 | $10.94 | 0.29 | (0.31) | (0.02) | (0.27) | (0.13) | (0.40) |
Year Ended 12/31/2017 | $10.82 | 0.26 | 0.12 | 0.38 | (0.25) | (0.01) | (0.26) |
Year Ended 12/31/2016 | $10.80 | 0.25 | 0.02 | 0.27 | (0.23) | (0.02) | (0.25) |
Year Ended 12/31/2015 | $10.94 | 0.24 | (0.14) | 0.10 | (0.21) | (0.03) | (0.24) |
Class 2 | |||||||
Year Ended 12/31/2019 | $10.47 | 0.26 | 0.61 | 0.87 | (0.24) | — | (0.24) |
Year Ended 12/31/2018 | $10.89 | 0.26 | (0.30) | (0.04) | (0.25) | (0.13) | (0.38) |
Year Ended 12/31/2017 | $10.77 | 0.23 | 0.13 | 0.36 | (0.23) | (0.01) | (0.24) |
Year Ended 12/31/2016 | $10.75 | 0.22 | 0.03 | 0.25 | (0.21) | (0.02) | (0.23) |
Year Ended 12/31/2015 | $10.90 | 0.21 | (0.15) | 0.06 | (0.18) | (0.03) | (0.21) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
278 | Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Core Bond Fund
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019 | $11.15 | 8.61% | 0.48% | 0.48% | 2.69% | 321% | $3,759,623 |
Year Ended 12/31/2018 | $10.52 | (0.09%) | 0.49% | 0.49% | 2.75% | 309% | $3,535,290 |
Year Ended 12/31/2017 | $10.94 | 3.58% | 0.52% | 0.52% | 2.39% | 240% | $3,284,310 |
Year Ended 12/31/2016 | $10.82 | 2.48% | 0.56% | 0.56% | 2.27% | 17% | $3,343,966 |
Year Ended 12/31/2015 | $10.80 | 0.88% | 0.57% | 0.56% | 2.18% | 20% | $3,363,421 |
Class 2 | |||||||
Year Ended 12/31/2019 | $11.10 | 8.39% | 0.73% | 0.73% | 2.43% | 321% | $11,721 |
Year Ended 12/31/2018 | $10.47 | (0.35%) | 0.74% | 0.74% | 2.50% | 309% | $9,303 |
Year Ended 12/31/2017 | $10.89 | 3.34% | 0.77% | 0.77% | 2.15% | 240% | $10,669 |
Year Ended 12/31/2016 | $10.77 | 2.23% | 0.82% | 0.81% | 2.03% | 17% | $10,146 |
Year Ended 12/31/2015 | $10.75 | 0.54% | 0.82% | 0.81% | 1.94% | 20% | $6,999 |
Variable Portfolio Funds | Annual Report 2019 | 279 |
Variable Portfolio – Partners Small Cap Growth Fund
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2019 | $20.93 | (0.09) | 4.54 | 4.45 |
Year Ended 12/31/2018 | $21.95 | (0.11) | (0.91) | (1.02) |
Year Ended 12/31/2017 | $18.48 | (0.08) | 3.55 | 3.47 |
Year Ended 12/31/2016 | $17.33 | (0.04) | 1.19 | 1.15 |
Year Ended 12/31/2015 | $18.25 | (0.04) | (0.88) | (0.92) |
Class 2 | ||||
Year Ended 12/31/2019 | $20.48 | (0.14) | 4.43 | 4.29 |
Year Ended 12/31/2018 | $21.53 | (0.17) | (0.88) | (1.05) |
Year Ended 12/31/2017 | $18.17 | (0.13) | 3.49 | 3.36 |
Year Ended 12/31/2016 | $17.08 | (0.08) | 1.17 | 1.09 |
Year Ended 12/31/2015 | $18.04 | (0.08) | (0.88) | (0.96) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
280 | Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio – Partners Small Cap Growth Fund
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019 | $25.38 | 21.26% | 0.88% | 0.87% | (0.38%) | 90% | $574,507 |
Year Ended 12/31/2018 | $20.93 | (4.65%) | 0.87% | 0.86% | (0.46%) | 113% | $579,389 |
Year Ended 12/31/2017 | $21.95 | 18.78% | 0.91% | 0.91% | (0.42%) | 114% | $644,746 |
Year Ended 12/31/2016 | $18.48 | 6.64% | 0.98% | 0.94% | (0.25%) | 90% | $611,339 |
Year Ended 12/31/2015 | $17.33 | (5.04%) | 1.02% | 0.96% | (0.20%) | 63% | $609,772 |
Class 2 | |||||||
Year Ended 12/31/2019 | $24.77 | 20.95% | 1.13% | 1.12% | (0.62%) | 90% | $11,277 |
Year Ended 12/31/2018 | $20.48 | (4.88%) | 1.12% | 1.11% | (0.70%) | 113% | $8,375 |
Year Ended 12/31/2017 | $21.53 | 18.49% | 1.16% | 1.16% | (0.67%) | 114% | $7,101 |
Year Ended 12/31/2016 | $18.17 | 6.38% | 1.23% | 1.19% | (0.50%) | 90% | $5,031 |
Year Ended 12/31/2015 | $17.08 | (5.32%) | 1.27% | 1.21% | (0.46%) | 63% | $4,734 |
Variable Portfolio Funds | Annual Report 2019 | 281 |
December 31, 2019
282 | Variable Portfolio Funds | Annual Report 2019 |
December 31, 2019
Variable Portfolio Funds | Annual Report 2019 | 283 |
December 31, 2019
284 | Variable Portfolio Funds | Annual Report 2019 |
December 31, 2019
Forward foreign currency exchange contracts | Funds |
To hedge the currency exposure associated with some or all of the Fund’s securities | CTIVP® — American Century Diversified Bond Fund and CTIVP® — TCW Core Plus Bond Fund |
To shift foreign currency exposure back to U.S. dollars | CTIVP® — American Century Diversified Bond Fund and CTIVP® — TCW Core Plus Bond Fund |
To shift investment exposure from one currency to another | CTIVP® — American Century Diversified Bond Fund |
To generate total return through long and short currency positions versus the U.S. dollar | CTIVP® — American Century Diversified Bond Fund |
To generate interest rate differential yield | CTIVP® — American Century Diversified Bond Fund |
Variable Portfolio Funds | Annual Report 2019 | 285 |
December 31, 2019
Futures contracts | Funds |
To produce incremental earnings | CTIVP® — TCW Core Plus Bond Fund |
To manage the duration and yield curve exposure of the Fund versus the benchmark | CTIVP® — American Century Diversified Bond Fund, CTIVP® — TCW Core Plus Bond Fund and CTIVP® — Wells Fargo Short Duration Government Fund |
To maintain appropriate equity market exposure while keeping sufficient cash to accommodate daily redemptions | Columbia Variable Portfolio — U.S. Equities Fund, CTIVP® — AQR International Core Equity Fund and Variable Portfolio - Columbia Wanger International Equities Fund |
To manage exposure to movements in interest rates | CTIVP® — American Century Diversified Bond Fund, CTIVP® — TCW Core Plus Bond Fund and CTIVP® — Wells Fargo Short Duration Government Fund |
286 | Variable Portfolio Funds | Annual Report 2019 |
December 31, 2019
Credit default swap contracts | Funds |
To manage credit risk exposure | CTIVP® — American Century Diversified Bond Fund |
To increase or decrease its credit exposure to a specific debt security or a basket of debt securities as a protection buyer or seller to reduce or increase overall credit exposure | CTIVP® — American Century Diversified Bond Fund |
To increase or decrease its credit exposure to a credit sector | CTIVP® — American Century Diversified Bond Fund |
Variable Portfolio Funds | Annual Report 2019 | 287 |
December 31, 2019
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 935* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Equity risk | 4,176,731 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Equity risk | 44,733 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 4,583,870 |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2019. |
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 1,553,629 |
288 | Variable Portfolio Funds | Annual Report 2019 |
December 31, 2019
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 1,351,714 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 751,753* |
Total | 2,103,467 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 475,341 | 475,341 |
Foreign exchange risk | (4,127,740) | — | — | (4,127,740) |
Interest rate risk | — | 14,443,964 | — | 14,443,964 |
Total | (4,127,740) | 14,443,964 | 475,341 | 10,791,565 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 160,530 | 160,530 |
Foreign exchange risk | 1,457,741 | — | — | 1,457,741 |
Interest rate risk | — | (4,024,404) | — | (4,024,404) |
Total | 1,457,741 | (4,024,404) | 160,530 | (2,406,133) |
Derivative instrument | Average notional amounts ($) |
Futures contracts — long | 310,557,012* |
Futures contracts — short | 12,760,852** |
Credit default swap contracts — buy protection | 8,903,562** |
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 2,608,357 | (2,152,125) |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2019. |
** | Based on the ending daily outstanding amounts for the year ended December 31, 2019. |
Variable Portfolio Funds | Annual Report 2019 | 289 |
December 31, 2019
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 136,875* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Equity risk | 12,555,305 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Equity risk | 641,668 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 59,024,171 |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2019. |
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 453,691 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 1,681,498* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
290 | Variable Portfolio Funds | Annual Report 2019 |
December 31, 2019
Amount of realized gain (loss) on derivatives recognized in income | |||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Total ($) |
Foreign exchange risk | (1,175,814) | — | (1,175,814) |
Interest rate risk | — | 17,265,724 | 17,265,724 |
Total | (1,175,814) | 17,265,724 | 16,089,910 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Total ($) |
Foreign exchange risk | 1,221,393 | — | 1,221,393 |
Interest rate risk | — | (9,458,881) | (9,458,881) |
Total | 1,221,393 | (9,458,881) | (8,237,488) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 516,104,709 |
Derivative instrument | Average unrealized appreciation ($)** | Average unrealized depreciation ($)** |
Forward foreign currency exchange contracts | 96,819 | (20,154) |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2019. |
** | Based on the ending daily outstanding amounts for the year ended December 31, 2019. |
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 552,235* |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 413,100* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Variable Portfolio Funds | Annual Report 2019 | 291 |
December 31, 2019
Amount of realized gain (loss) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Interest rate risk | (1,683,947) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Interest rate risk | 935,660 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 517,862,565 |
Futures contracts — short | 134,654,979 |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2019. |
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 18,580* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Equity risk | 29,754 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Equity risk | 18,580 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 2,618,173 |
292 | Variable Portfolio Funds | Annual Report 2019 |
December 31, 2019
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2019. |
Variable Portfolio Funds | Annual Report 2019 | 293 |
December 31, 2019
Goldman Sachs ($) | JPMorgan ($) | UBS ($) | Total ($) | |
Assets | ||||
Forward foreign currency exchange contracts | 1,191,740 | 9,756 | 352,133 | 1,553,629 |
Liabilities | ||||
Forward foreign currency exchange contracts | 1,045,231 | - | 306,483 | 1,351,714 |
Total financial and derivative net assets | 146,509 | 9,756 | 45,650 | 201,915 |
Total collateral received (pledged) (a) | - | - | - | - |
Net amount (b) | 146,509 | 9,756 | 45,650 | 201,915 |
(a) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Represents the net amount due from/(to) counterparties in the event of default. |
294 | Variable Portfolio Funds | Annual Report 2019 |
December 31, 2019
Goldman Sachs ($) | |
Assets | |
Forward foreign currency exchange contracts | 453,691 |
Total financial and derivative net assets | 453,691 |
Total collateral received (pledged) (a) | - |
Net amount (b) | 453,691 |
(a) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Represents the net amount due from/(to) counterparties in the event of default. |
Variable Portfolio Funds | Annual Report 2019 | 295 |
December 31, 2019
296 | Variable Portfolio Funds | Annual Report 2019 |
December 31, 2019
Variable Portfolio Funds | Annual Report 2019 | 297 |
December 31, 2019
High (%) | Low (%) | Effective management services fee rate (%) | |
Columbia Variable Portfolio – U.S. Equities Fund | 0.87 | 0.75 | 0.85 |
CTIVP® – American Century Diversified Bond Fund | 0.50 | 0.34 | 0.49 |
CTIVP® – AQR International Core Equity Fund | 0.87 | 0.67 | 0.77 |
CTIVP® – CenterSquare Real Estate Fund | 0.75 | 0.66 | 0.75 |
CTIVP® – DFA International Value Fund | 0.87 | 0.67 | 0.85 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund | 0.71 | 0.53 | 0.68 |
CTIVP® – MFS® Value Fund | 0.71 | 0.53 | 0.69 |
CTIVP® – Morgan Stanley Advantage Fund | 0.71 | 0.53 | 0.65 |
CTIVP® – T. Rowe Price Large Cap Value Fund | 0.71 | 0.53 | 0.68 |
CTIVP® – TCW Core Plus Bond Fund | 0.50 | 0.34 | 0.48 |
CTIVP® – Wells Fargo Short Duration Government Fund | 0.43 | 0.28 | 0.42 |
CTIVP® – Westfield Mid Cap Growth Fund | 0.81 | 0.68 | 0.81 |
CTIVP® – William Blair International Leaders Fund | 0.92 | 0.75 | 0.90 |
Variable Portfolio – Columbia Wanger International Equities Fund | 0.97 | 0.77 | 0.97 |
Variable Portfolio – Partners Core Bond Fund | 0.50 | 0.34 | 0.47 |
Variable Portfolio – Partners Small Cap Growth Fund | 0.87 | 0.75 | 0.86 |
Fund | Subadviser(s) |
Columbia Variable Portfolio — U.S. Equities Fund | Columbia Wanger Asset Management, LLC(a) |
CTIVP® — American Century Diversified Bond Fund | American Century Investment Management, Inc. |
CTIVP® — AQR International Core Equity Fund | AQR Capital Management, LLC |
CTIVP® — CenterSquare Real Estate Fund | CenterSquare Investment Management LLC |
CTIVP® — DFA International Value Fund | Dimensional Fund Advisors LP |
CTIVP® — Los Angeles Capital Large Cap Growth Fund | Los Angeles Capital Management and Equity Research, Inc. |
CTIVP® — MFS® Value Fund | Massachusetts Financial Services Company |
CTIVP® — Morgan Stanley Advantage Fund | Morgan Stanley Investment Management Inc. |
CTIVP® — T. Rowe Price Large Cap Value Fund | T. Rowe Price Associates, Inc. |
CTIVP® — TCW Core Plus Bond Fund | TCW Investment Management Company LLC |
CTIVP® — Wells Fargo Short Duration Government Fund | Wells Capital Management Incorporated |
CTIVP® — Westfield Mid Cap Growth Fund | Westfield Capital Management Company, L.P. |
CTIVP® — William Blair International Leaders Fund | William Blair Investment Management, LLC(b) |
Variable Portfolio — Columbia Wanger International Equities Fund | Columbia Wanger Asset Management, LLC(a) |
Variable Portfolio — Partners Core Bond Fund | J.P. Morgan Investment Management Inc. Wells Capital Management Incorporated |
Variable Portfolio — Partners Small Cap Growth Fund | BMO Asset Management Corp. Scout Investments, Inc. (c) Wells Capital Management Incorporated |
(a) | A wholly-owned subsidiary of the Investment Manager. |
(b) | Effective May 20, 2019, the Investment Manager entered into a Subadvisory Agreement with William Blair Investment Management, LLC to serve as the subadviser to the Fund. Prior to May 20, 2019, OppenheimerFunds, Inc. served as the subadviser to the Fund. |
298 | Variable Portfolio Funds | Annual Report 2019 |
December 31, 2019
(c) | Effective May 20, 2019, the Investment Manager entered into a Subadvisory Agreement with Scout Investments, Inc. to serve as a subadviser to the Fund. |
Fund | Purchases ($) | Sales ($) | Realized gain/(loss) from sale transactions ($) |
Columbia Variable Portfolio – U.S. Equities Fund | — | 115,130,741 | 5,208,707 |
CTIVP® – William Blair International Leaders Fund | — | 2,289,735 | (366,925) |
Variable Portfolio – Columbia Wanger International Equities Fund | 126,617 | 230,549 | 57,471 |
Variable Portfolio Funds | Annual Report 2019 | 299 |
December 31, 2019
Effective service fee rate (%) | |
Columbia Variable Portfolio – U.S. Equities Fund | 0.00 |
CTIVP® – American Century Diversified Bond Fund | 0.00 |
CTIVP® – AQR International Core Equity Fund | 0.00 |
CTIVP® – CenterSquare Real Estate Fund | 0.00 |
CTIVP® – DFA International Value Fund | 0.00 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund | 0.00 |
CTIVP® – MFS® Value Fund | 0.00 |
CTIVP® – Morgan Stanley Advantage Fund | 0.00 |
CTIVP® – T. Rowe Price Large Cap Value Fund | 0.00 |
CTIVP® – TCW Core Plus Bond Fund | 0.00 |
CTIVP® – Wells Fargo Short Duration Government Fund | 0.00 |
CTIVP® – Westfield Mid Cap Growth Fund | 0.00 |
CTIVP® – William Blair International Leaders Fund | 0.00 |
Variable Portfolio – Columbia Wanger International Equities Fund | 0.02 |
Variable Portfolio – Partners Core Bond Fund | 0.00 |
Variable Portfolio – Partners Small Cap Growth Fund | 0.00 |
Contractual expense cap May 1, 2019 through April 30, 2020 | Contractual expense cap prior to May 1, 2019 | |||
Class 1 (%) | Class 2 (%) | Class 1 (%) | Class 2 (%) | |
CTIVP® – American Century Diversified Bond Fund | 0.56 | 0.81 | 0.56 | 0.81 |
CTIVP® – AQR International Core Equity Fund | 0.88 | 1.13 | 0.88 | 1.13 |
CTIVP® – DFA International Value Fund | 0.88 | 1.13 | 0.92 | 1.17 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund | 0.73 | 0.98 | 0.75 | 1.00 |
CTIVP® – T. Rowe Price Large Cap Value Fund | 0.71 | 0.96 | 0.71 | 0.96 |
CTIVP® – Wells Fargo Short Duration Government Fund | 0.46 | 0.71 | 0.48 | 0.73 |
CTIVP® – Westfield Mid Cap Growth Fund | 0.84 | 1.09 | 0.84 | 1.09 |
Variable Portfolio – Columbia Wanger International Equities Fund | 1.08 | 1.33 | 1.08 | 1.33 |
300 | Variable Portfolio Funds | Annual Report 2019 |
December 31, 2019
Contractual expense cap July 1, 2019 through April 30, 2020 | Voluntary expense cap May 1, 2019 through June 30, 2019 | Contractual expense cap prior to May 1, 2019 | ||||
Class 1 (%) | Class 2 (%) | Class 1 (%) | Class 2 (%) | Class 1 (%) | Class 2 (%) | |
Columbia Variable Portfolio – U.S. Equities Fund | 0.88 | 1.13 | 0.88 | 1.13 | 0.88 | 1.13 |
CTIVP® – CenterSquare Real Estate Fund | 0.91 | 1.16 | 0.91 | 1.16 | 0.91 | 1.16 |
CTIVP® – MFS® Value Fund | 0.73 | 0.98 | 0.72 | 0.97 | 0.72 | 0.97 |
CTIVP® – Morgan Stanley Advantage Fund | 0.78 | 1.03 | 0.75 | 1.00 | 0.75 | 1.00 |
CTIVP® – TCW Core Plus Bond Fund | 0.56 | 0.81 | 0.56 | 0.81 | 0.56 | 0.81 |
CTIVP® – William Blair International Leaders Fund | 0.92 | 1.17 | 0.92 | 1.17 | 0.92 | 1.17 |
Variable Portfolio – Partners Core Bond Fund | 0.56 | 0.81 | 0.52 | 0.77 | 0.52 | 0.77 |
Variable Portfolio – Partners Small Cap Growth Fund | 0.88 | 1.13 | 0.86 | 1.11 | 0.86 | 1.11 |
Fund | Undistributed (excess of distributions over) net investment income ($) | Accumulated net realized gain (loss) ($) | Paid in capital increase ($) |
CTIVP® – American Century Diversified Bond Fund | (2,854,176) | 2,854,176 | — |
CTIVP® – AQR International Core Equity Fund | 1,579,487 | (1,797,088) | 217,601 |
CTIVP® – CenterSquare Real Estate Fund | (117) | 117 | — |
CTIVP® – DFA International Value Fund | 802,157 | (1,048,355) | 246,198 |
CTIVP® – TCW Core Plus Bond Fund | 516,246 | (516,246) | — |
CTIVP® – Wells Fargo Short Duration Government Fund | — | — | — |
CTIVP® – William Blair International Leaders Fund | (973,143) | 973,143 | — |
Variable Portfolio – Columbia Wanger International Equities Fund | (171,326) | 28,660 | 142,666 |
Variable Portfolio – Partners Core Bond Fund | 134,470 | (134,472) | 2 |
Variable Portfolio Funds | Annual Report 2019 | 301 |
December 31, 2019
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||
Fund | Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
CTIVP® – American Century Diversified Bond Fund | 116,287,113 | — | 116,287,113 | 123,121,198 | 6,344,842 | 129,466,040 |
CTIVP® – AQR International Core Equity Fund | 85,710,009 | 45,831,024 | 131,541,033 | 56,806,807 | 6,405,034 | 63,211,841 |
CTIVP® – CenterSquare Real Estate Fund | 9,248,083 | — | 9,248,083 | 8,555,075 | 3,542,246 | 12,097,321 |
CTIVP® – DFA International Value Fund | 33,766,689 | 24,705,800 | 58,472,489 | 48,509,895 | 5,906,574 | 54,416,469 |
CTIVP® – TCW Core Plus Bond Fund | 74,869,539 | — | 74,869,539 | 64,479,058 | 1,190,228 | 65,669,286 |
CTIVP® – Wells Fargo Short Duration Government Fund | 20,721,813 | — | 20,721,813 | 11,639,920 | — | 11,639,920 |
CTIVP® – William Blair International Leaders Fund | 9,505,949 | 28,475,987 | 37,981,936 | 16,410,432 | 62,583,816 | 78,994,248 |
Variable Portfolio – Columbia Wanger International Equities Fund | 937,156 | 8,010,165 | 8,947,321 | 3,471,871 | 6,474,707 | 9,946,578 |
Variable Portfolio – Partners Core Bond Fund | 87,635,970 | — | 87,635,970 | 83,441,510 | 34,544,379 | 117,985,889 |
Fund | Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized appreciation (depreciation) ($) |
CTIVP® – American Century Diversified Bond Fund | 58,881,029 | — | (38,307,572) | 58,823,350 |
CTIVP® – AQR International Core Equity Fund | 4,965,108 | 8,181,273 | — | 170,096,383 |
CTIVP® – CenterSquare Real Estate Fund | 16,381,949 | 18,732,545 | — | 47,283,165 |
CTIVP® – DFA International Value Fund | 5,793,893 | — | (2,016,658) | (16,018,539) |
CTIVP® – TCW Core Plus Bond Fund | 111,310,443 | 12,956,249 | — | 48,781,314 |
CTIVP® – Wells Fargo Short Duration Government Fund | 49,569,980 | — | — | 5,105,594 |
CTIVP® – William Blair International Leaders Fund | 1,950,491 | 11,202,802 | — | 163,601,211 |
Variable Portfolio – Columbia Wanger International Equities Fund | 1,892,084 | — | (528,091) | 16,188,337 |
Variable Portfolio – Partners Core Bond Fund | 138,708,873 | — | — | 95,442,775 |
Fund | Tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation (depreciation) ($) |
CTIVP® – American Century Diversified Bond Fund | 3,098,219,645 | 65,558,770 | (6,735,420) | 58,823,350 |
CTIVP® – AQR International Core Equity Fund | 2,713,575,312 | 260,032,625 | (89,936,242) | 170,096,383 |
CTIVP® – CenterSquare Real Estate Fund | 489,640,166 | 59,483,597 | (12,200,432) | 47,283,165 |
CTIVP® – DFA International Value Fund | 1,063,305,625 | 92,336,648 | (108,355,187) | (16,018,539) |
CTIVP® – TCW Core Plus Bond Fund | 2,826,656,293 | 63,910,687 | (15,129,373) | 48,781,314 |
CTIVP® – Wells Fargo Short Duration Government Fund | 1,530,541,766 | 8,196,202 | (3,090,608) | 5,105,594 |
CTIVP® – William Blair International Leaders Fund | 926,931,638 | 168,492,691 | (4,891,480) | 163,601,211 |
Variable Portfolio – Columbia Wanger International Equities Fund | 118,027,896 | 21,213,842 | (5,025,505) | 16,188,337 |
Variable Portfolio – Partners Core Bond Fund | 3,747,271,225 | 104,695,345 | (9,252,570) | 95,442,775 |
302 | Variable Portfolio Funds | Annual Report 2019 |
December 31, 2019
Fund | No expiration short-term ($) | No expiration long-term ($) | Total ($) | Utilized ($) | Expired ($) |
CTIVP® – American Century Diversified Bond Fund | — | (38,307,572) | (38,307,572) | 24,133,359 | — |
CTIVP® – CenterSquare Real Estate Fund | — | — | — | 7,540,138 | — |
CTIVP® – DFA International Value Fund | — | (2,016,658) | (2,016,658) | — | — |
CTIVP® – TCW Core Plus Bond Fund | — | — | — | 36,902,236 | — |
CTIVP® – Wells Fargo Short Duration Government Fund | — | — | — | 12,604,425 | — |
Variable Portfolio – Columbia Wanger International Equities Fund | (462,453) | (65,638) | (528,091) | — | — |
Variable Portfolio – Partners Core Bond Fund | — | — | — | 44,172,243 | — |
Purchases ($) | Proceeds from sales ($) | Purchases of U.S. Government securities ($) | Proceeds from sales of U.S. Government securities ($) | |
Columbia Variable Portfolio – U.S. Equities Fund | 570,515,991 | 1,412,774,374 | — | — |
CTIVP® – American Century Diversified Bond Fund | 2,949,908,855 | 2,040,052,233 | 2,095,704,792 | 1,285,494,240 |
CTIVP® – AQR International Core Equity Fund | 2,729,677,698 | 3,017,833,168 | — | — |
CTIVP® – CenterSquare Real Estate Fund | 370,321,080 | 354,877,914 | — | — |
CTIVP® – DFA International Value Fund | 309,798,086 | 181,777,287 | — | — |
CTIVP® – Los Angeles Capital Large Cap Growth Fund | 1,311,060,119 | 1,362,466,332 | — | — |
CTIVP® – MFS® Value Fund | 190,140,009 | 663,110,295 | — | — |
CTIVP® – Morgan Stanley Advantage Fund | 1,774,122,098 | 1,840,576,232 | — | — |
CTIVP® – T. Rowe Price Large Cap Value Fund | 551,088,763 | 923,016,303 | — | — |
CTIVP® – TCW Core Plus Bond Fund | 5,642,410,880 | 5,707,601,637 | 5,185,318,881 | 4,901,147,733 |
CTIVP® – Wells Fargo Short Duration Government Fund | 12,453,224,429 | 12,991,162,905 | 12,117,441,953 | 12,678,569,846 |
CTIVP® – Westfield Mid Cap Growth Fund | 403,149,432 | 532,838,350 | — | — |
CTIVP® – William Blair International Leaders Fund | 1,012,507,692 | 943,403,419 | — | — |
Variable Portfolio – Columbia Wanger International Equities Fund | 53,798,094 | 57,057,150 | — | — |
Variable Portfolio – Partners Core Bond Fund | 11,690,657,420 | 11,720,214,376 | 10,119,240,018 | 10,265,763,152 |
Variable Portfolio – Partners Small Cap Growth Fund | 553,494,715 | 671,375,328 | — | — |
Variable Portfolio Funds | Annual Report 2019 | 303 |
December 31, 2019
Fund | Borrower or Lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
CTIVP® – AQR International Core Equity Fund | Lender | 6,266,667 | 2.56 | 3 |
CTIVP® – DFA International Value Fund | Borrower | 350,000 | 2.57 | 6 |
CTIVP® – DFA International Value Fund | Lender | 14,900,000 | 2.12 | 3 |
CTIVP® – MFS® Value Fund | Borrower | (1,844,444) | 2.66 | 9 |
CTIVP® – Morgan Stanley Advantage Fund | Lender | 450,000 | 2.38 | 2 |
CTIVP® – Westfield Mid Cap Growth Fund | Lender | 1,533,333 | 3.24 | 3 |
CTIVP® – William Blair International Leaders Fund | Lender | 8,400,000 | 2.63 | 1 |
Variable Portfolio – Partners Core Bond Fund | Lender | 16,550,000 | 3.26 | 2 |
304 | Variable Portfolio Funds | Annual Report 2019 |
December 31, 2019
Variable Portfolio Funds | Annual Report 2019 | 305 |
December 31, 2019
306 | Variable Portfolio Funds | Annual Report 2019 |
December 31, 2019
Variable Portfolio Funds | Annual Report 2019 | 307 |
December 31, 2019
308 | Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio Funds | Annual Report 2019 | 309 |
(Unaudited)
Dividends received deduction | Capital gain dividend | Foreign taxes paid to foreign countries | Foreign taxes paid per share to foreign countries | Foreign source income | Foreign source income per share | |
CTIVP® – American Century Diversified Bond Fund | 0.00% | $0 | $0 | $0.0000 | $0 | $0.00 |
CTIVP® – AQR International Core Equity Fund | 0.00% | $8,801,550 | $9,577,341 | $0.0364 | $113,699,837 | $0.43 |
CTIVP® – CenterSquare Real Estate Fund | 0.46% | $19,669,172 | $0 | $0.0000 | $0 | $0.00 |
CTIVP® – DFA International Value Fund | 0.00% | $0 | $2,978,743 | $0.0275 | $37,018,635 | $0.34 |
CTIVP® – TCW Core Plus Bond Fund | 0.00% | $13,604,061 | $0 | $0.0000 | $0 | $0.00 |
CTIVP® – Wells Fargo Short Duration Government Fund | 0.00% | $0 | $0 | $0.0000 | $0 | $0.00 |
CTIVP® – William Blair International Leaders Fund | 0.11% | $11,920,374 | $1,663,882 | $0.0174 | $16,940,381 | $0.18 |
Variable Portfolio – Columbia Wanger International Equities Fund | 0.65% | $0 | $221,117 | $0.0100 | $2,736,383 | $0.11 |
Variable Portfolio – Partners Core Bond Fund | 0.00% | $0 | $0 | $0.0000 | $0 | $0.00 |
310 | Variable Portfolio Funds | Annual Report 2019 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1953 | Trustee since 1/17 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 121 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 1/06 for RiverSource Funds and since 6/11 for Nations Funds | Attorney; specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018 | 121 | Trustee, BlueCross BlueShield of Minnesota since 2009 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee since 2017); Chair of the Robina Foundation since August 2013; former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017 |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 7/07 for RiverSource Funds and since 6/11 for Nations Funds | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, Morgan Stanley, 1982-1991 | 121 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of Human Resources Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee) since 2019 |
Variable Portfolio Funds | Annual Report 2019 | 311 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1950 | Trustee since 11/04 for RiverSource Funds and since 6/11 for Nations Funds | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 121 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative since 2010; Board of Directors, The MA Business Roundtable 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 12/17 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 121 | Trustee, Catholic Schools Foundation since 2004 |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Chair of the Board since 1/20; Trustee since 11/04 for RiverSource Funds and since 6/11 for Nations Funds | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Managing Director, Morgan Stanley, 1982-1989; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 121 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Anthony M. Santomero c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1946 | Trustee since 6/11 for RiverSource Funds and since 1/08 for Nations Funds | Richard K. Mellon Professor Emeritus of Finance, The Wharton School, University of Pennsylvania, since 2002; Senior Advisor, McKinsey & Company (consulting), 2006-2008; President, Federal Reserve Bank of Philadelphia, 2000- 2006; Professor of Finance, The Wharton School, University of Pennsylvania, 1972-2002 | 121 | Trustee, Penn Mutual Life Insurance Company since March 2008; Director, Renaissance Reinsurance Ltd. since May 2008; former Director, Citigroup Inc. and Citibank, N.A., 2009-2019; former Trustee, BofA Funds Series Trust (11 funds), 2008-2011 |
Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1947 | Trustee since 6/11 for RiverSource Funds and since 2003 for Nations Funds | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 121 | Director, BlueCross BlueShield of South Carolina since April 2008; Trustee, Hollingsworth Funds since 2016 (previously Board Chair from 2016-2019); Advisory Board member, Duke Energy Corp. since October 2016; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018 |
312 | Variable Portfolio Funds | Annual Report 2019 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Sandra Yeager c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 12/17 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 119 | Director, NAPE Education Foundation since October 2016 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin St. Boston, MA 02110 1960 | Trustee since 11/01 for RiverSource Funds and since 6/11 for Nations Funds; Senior Vice President since 2002 for RiverSource Funds and since 5/10 for Nations Funds | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010 - September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006 - August 2012. | 192 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, August 2006-January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Variable Portfolio Funds | Annual Report 2019 | 313 |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously Vice President and Chief Counsel, January 2010 - December 2014); officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer, Principal Financial Officer (2009), and Senior Vice President (2019) | Vice President, Head of North American Operations, and Co-Head of Global Operations, – Accounting and Tax, Columbia Management Investment Advisers, LLC, since June 2019 (previously Vice President – Accounting and Tax, May 2010 – May 2019); senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009 – January 2019 and December 2015 – January 2019, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer, Chief Accounting Officer (Principal Accounting Officer) (2019), and Principal Financial Officer (2020) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously Vice President — Pricing and Corporate Actions, May 2010 - March 2017). |
Paul B. Goucher 485 Lexington Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since March 2015 (previously Vice President and Assistant Secretary, May 2010 – March 2015). |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 Born 1962 | Senior Vice President (2020) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); previously, Senior Vice President of Investment Product Management, Fidelity Financial Advisor Solutions, a division of Fidelity Investments (January 2012 – March 2015). |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
314 | Variable Portfolio Funds | Annual Report 2019 |
Variable Portfolio Funds | Annual Report 2019 | 315 |
December 31, 2019
3 | |
5 | |
7 | |
8 | |
11 | |
12 | |
13 | |
14 | |
16 | |
22 | |
23 |
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class 1 | 05/07/10 | 31.76 | 14.89 | 14.69 | |
Class 2 | 05/07/10 | 31.43 | 14.60 | 14.41 | |
Russell 1000 Growth Index | 36.39 | 14.63 | 15.92 |
CTIVP® – Loomis Sayles Growth Fund | Annual Report 2019 | 3 |
Portfolio breakdown (%) (at December 31, 2019) | |
Common Stocks | 98.9 |
Money Market Funds | 1.1 |
Total | 100.0 |
Equity sector breakdown (%) (at December 31, 2019) | |
Communication Services | 11.9 |
Consumer Discretionary | 17.6 |
Consumer Staples | 12.7 |
Energy | 1.7 |
Financials | 4.1 |
Health Care | 17.3 |
Industrials | 5.2 |
Information Technology | 29.5 |
Total | 100.0 |
4 | CTIVP® – Loomis Sayles Growth Fund | Annual Report 2019 |
CTIVP® – Loomis Sayles Growth Fund | Annual Report 2019 | 5 |
6 | CTIVP® – Loomis Sayles Growth Fund | Annual Report 2019 |
(Unaudited)
July 1, 2019 — December 31, 2019 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,080.60 | 1,022.01 | 3.60 | 3.50 | 0.68 |
Class 2 | 1,000.00 | 1,000.00 | 1,079.20 | 1,020.74 | 4.93 | 4.79 | 0.93 |
CTIVP® – Loomis Sayles Growth Fund | Annual Report 2019 | 7 |
December 31, 2019
Common Stocks 99.0% | ||
Issuer | Shares | Value ($) |
Communication Services 11.8% | ||
Interactive Media & Services 11.8% | ||
Alphabet, Inc., Class A(a) | 55,984 | 74,984,410 |
Alphabet, Inc., Class C(a) | 56,132 | 75,049,606 |
Facebook, Inc., Class A(a) | 742,840 | 152,467,910 |
Total | 302,501,926 | |
Total Communication Services | 302,501,926 | |
Consumer Discretionary 17.4% | ||
Hotels, Restaurants & Leisure 5.3% | ||
Starbucks Corp. | 664,383 | 58,412,554 |
Yum China Holdings, Inc. | 708,526 | 34,016,333 |
Yum! Brands, Inc. | 420,977 | 42,405,013 |
Total | 134,833,900 | |
Internet & Direct Marketing Retail 12.1% | ||
Alibaba Group Holding Ltd., ADR(a) | 721,544 | 153,039,482 |
Amazon.com, Inc.(a) | 84,821 | 156,735,637 |
Total | 309,775,119 | |
Total Consumer Discretionary | 444,609,019 | |
Consumer Staples 12.6% | ||
Beverages 5.9% | ||
Coca-Cola Co. (The) | 1,146,103 | 63,436,801 |
Monster Beverage Corp.(a) | 1,368,957 | 86,997,218 |
Total | 150,434,019 | |
Food Products 2.2% | ||
Danone SA, ADR | 3,495,483 | 57,657,992 |
Household Products 4.5% | ||
Colgate-Palmolive Co. | 628,161 | 43,242,603 |
Procter & Gamble Co. (The) | 569,641 | 71,148,161 |
Total | 114,390,764 | |
Total Consumer Staples | 322,482,775 | |
Energy 1.7% | ||
Energy Equipment & Services 1.7% | ||
Schlumberger Ltd. | 1,087,485 | 43,716,897 |
Total Energy | 43,716,897 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Financials 4.0% | ||
Capital Markets 4.0% | ||
Factset Research Systems, Inc. | 159,874 | 42,894,194 |
SEI Investments Co. | 895,249 | 58,620,905 |
Total | 101,515,099 | |
Consumer Finance 0.0% | ||
American Express Co. | 10,002 | 1,245,149 |
Total Financials | 102,760,248 | |
Health Care 17.1% | ||
Biotechnology 4.9% | ||
Amgen, Inc. | 198,093 | 47,754,280 |
Regeneron Pharmaceuticals, Inc.(a) | 204,323 | 76,719,200 |
Total | 124,473,480 | |
Health Care Equipment & Supplies 1.0% | ||
Alcon, Inc.(a) | 6,531 | 369,458 |
Varian Medical Systems, Inc.(a) | 181,582 | 25,786,460 |
Total | 26,155,918 | |
Health Care Technology 2.1% | ||
Cerner Corp. | 728,348 | 53,453,460 |
Pharmaceuticals 9.1% | ||
Merck & Co., Inc. | 339,422 | 30,870,431 |
Novartis AG, ADR | 592,437 | 56,097,860 |
Novo Nordisk A/S, ADR | 1,232,198 | 71,319,620 |
Roche Holding AG, ADR | 1,873,373 | 76,236,914 |
Total | 234,524,825 | |
Total Health Care | 438,607,683 | |
Industrials 5.2% | ||
Air Freight & Logistics 2.7% | ||
Expeditors International of Washington, Inc. | 863,187 | 67,345,850 |
Machinery 2.5% | ||
Deere & Co. | 371,031 | 64,284,831 |
Total Industrials | 131,630,681 | |
Information Technology 29.2% | ||
Communications Equipment 2.5% | ||
Cisco Systems, Inc. | 1,321,021 | 63,356,167 |
8 | CTIVP® – Loomis Sayles Growth Fund | Annual Report 2019 |
December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
IT Services 7.9% | ||
Automatic Data Processing, Inc. | 143,691 | 24,499,316 |
Visa, Inc., Class A | 938,985 | 176,435,281 |
Total | 200,934,597 | |
Semiconductors & Semiconductor Equipment 5.9% | ||
NVIDIA Corp. | 319,145 | 75,094,818 |
QUALCOMM, Inc. | 874,205 | 77,131,107 |
Total | 152,225,925 | |
Software 12.9% | ||
Autodesk, Inc.(a) | 615,566 | 112,931,738 |
Microsoft Corp. | 656,975 | 103,604,958 |
Oracle Corp. | 2,165,404 | 114,723,104 |
Total | 331,259,800 | |
Total Information Technology | 747,776,489 | |
Total Common Stocks (Cost $1,506,966,077) | 2,534,085,718 | |
Money Market Funds 1.1% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(b),(c) | 28,227,472 | 28,224,649 |
Total Money Market Funds (Cost $28,224,972) | 28,224,649 | |
Total Investments in Securities (Cost: $1,535,191,049) | 2,562,310,367 | |
Other Assets & Liabilities, Net | (2,156,742) | |
Net Assets | 2,560,153,625 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | ||||||||
48,043,577 | 100,190,354 | (120,006,459) | 28,227,472 | (1,384) | (323) | 520,103 | 28,224,649 |
ADR | American Depositary Receipt |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
CTIVP® – Loomis Sayles Growth Fund | Annual Report 2019 | 9 |
December 31, 2019
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 302,501,926 | — | — | 302,501,926 |
Consumer Discretionary | 444,609,019 | — | — | 444,609,019 |
Consumer Staples | 264,824,783 | 57,657,992 | — | 322,482,775 |
Energy | 43,716,897 | — | — | 43,716,897 |
Financials | 102,760,248 | — | — | 102,760,248 |
Health Care | 362,370,769 | 76,236,914 | — | 438,607,683 |
Industrials | 131,630,681 | — | — | 131,630,681 |
Information Technology | 747,776,489 | — | — | 747,776,489 |
Total Common Stocks | 2,400,190,812 | 133,894,906 | — | 2,534,085,718 |
Money Market Funds | 28,224,649 | — | — | 28,224,649 |
Total Investments in Securities | 2,428,415,461 | 133,894,906 | — | 2,562,310,367 |
10 | CTIVP® – Loomis Sayles Growth Fund | Annual Report 2019 |
December 31, 2019
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,506,966,077) | $2,534,085,718 |
Affiliated issuers (cost $28,224,972) | 28,224,649 |
Receivable for: | |
Investments sold | 13,420,239 |
Capital shares sold | 2,038 |
Dividends | 1,559,534 |
Prepaid expenses | 6,344 |
Total assets | 2,577,298,522 |
Liabilities | |
Payable for: | |
Investments purchased | 14,862,143 |
Capital shares purchased | 1,944,171 |
Management services fees | 45,613 |
Distribution and/or service fees | 378 |
Service fees | 38,913 |
Compensation of board members | 202,667 |
Compensation of chief compliance officer | 512 |
Other expenses | 50,500 |
Total liabilities | 17,144,897 |
Net assets applicable to outstanding capital stock | $2,560,153,625 |
Represented by | |
Trust capital | $2,560,153,625 |
Total - representing net assets applicable to outstanding capital stock | $2,560,153,625 |
Class 1 | |
Net assets | $2,504,947,873 |
Shares outstanding | 66,708,368 |
Net asset value per share | $37.55 |
Class 2 | |
Net assets | $55,205,752 |
Shares outstanding | 1,505,375 |
Net asset value per share | $36.67 |
CTIVP® – Loomis Sayles Growth Fund | Annual Report 2019 | 11 |
Year Ended December 31, 2019
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $28,427,674 |
Dividends — affiliated issuers | 520,103 |
Foreign taxes withheld | (1,346,678) |
Total income | 27,601,099 |
Expenses: | |
Management services fees | 15,370,205 |
Distribution and/or service fees | |
Class 2 | 128,323 |
Service fees | 244,231 |
Compensation of board members | 60,542 |
Custodian fees | 16,257 |
Printing and postage fees | 65,934 |
Audit fees | 29,000 |
Legal fees | 28,822 |
Compensation of chief compliance officer | 494 |
Other | 198,444 |
Total expenses | 16,142,252 |
Net investment income | 11,458,847 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 44,866,325 |
Investments — affiliated issuers | (1,384) |
Net realized gain | 44,864,941 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 567,291,340 |
Investments — affiliated issuers | (323) |
Net change in unrealized appreciation (depreciation) | 567,291,017 |
Net realized and unrealized gain | 612,155,958 |
Net increase in net assets resulting from operations | $623,614,805 |
12 | CTIVP® – Loomis Sayles Growth Fund | Annual Report 2019 |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $11,458,847 | $11,905,038 |
Net realized gain | 44,864,941 | 83,380,562 |
Net change in unrealized appreciation (depreciation) | 567,291,017 | (142,221,414) |
Net increase (decrease) in net assets resulting from operations | 623,614,805 | (46,935,814) |
Decrease in net assets from capital stock activity | (38,178,785) | (13,196,425) |
Total increase (decrease) in net assets | 585,436,020 | (60,132,239) |
Net assets at beginning of year | 1,974,717,605 | 2,034,849,844 |
Net assets at end of year | $2,560,153,625 | $1,974,717,605 |
Year Ended | Year Ended | |||
December 31, 2019 | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 2,304,915 | 77,196,903 | 2,734,629 | 82,914,436 |
Redemptions | (3,305,733) | (111,892,459) | (3,158,188) | (97,231,562) |
Net decrease | (1,000,818) | (34,695,556) | (423,559) | (14,317,126) |
Class 2 | ||||
Subscriptions | 158,822 | 5,246,133 | 393,347 | 11,819,679 |
Redemptions | (263,845) | (8,729,362) | (356,357) | (10,698,978) |
Net increase (decrease) | (105,023) | (3,483,229) | 36,990 | 1,120,701 |
Total net decrease | (1,105,841) | (38,178,785) | (386,569) | (13,196,425) |
CTIVP® – Loomis Sayles Growth Fund | Annual Report 2019 | 13 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2019 | $28.50 | 0.17 | 8.88 | 9.05 |
Year Ended 12/31/2018 | $29.20 | 0.17 | (0.87) | (0.70) |
Year Ended 12/31/2017 | $21.95 | 0.10 | 7.15 | 7.25 |
Year Ended 12/31/2016 | $20.75 | 0.15 | 1.05 | 1.20 |
Year Ended 12/31/2015 | $18.76 | 0.12 | 1.87 | 1.99 |
Class 2 | ||||
Year Ended 12/31/2019 | $27.90 | 0.08 | 8.69 | 8.77 |
Year Ended 12/31/2018 | $28.66 | 0.10 | (0.86) | (0.76) |
Year Ended 12/31/2017 | $21.60 | 0.03 | 7.03 | 7.06 |
Year Ended 12/31/2016 | $20.46 | 0.09 | 1.05 | 1.14 |
Year Ended 12/31/2015 | $18.55 | 0.07 | 1.84 | 1.91 |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
14 | CTIVP® – Loomis Sayles Growth Fund | Annual Report 2019 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019 | $37.55 | 31.76% | 0.69% | 0.69% | 0.50% | 7% | $2,504,948 |
Year Ended 12/31/2018 | $28.50 | (2.40%) | 0.70% | 0.70% | 0.57% | 8% | $1,929,781 |
Year Ended 12/31/2017 | $29.20 | 33.03% | 0.72% | 0.72% | 0.39% | 5% | $1,989,749 |
Year Ended 12/31/2016 | $21.95 | 5.78% | 0.73% | 0.73% | 0.72% | 19% | $2,398,329 |
Year Ended 12/31/2015 | $20.75 | 10.61% | 0.75% | 0.75% | 0.60% | 14% | $2,206,011 |
Class 2 | |||||||
Year Ended 12/31/2019 | $36.67 | 31.43% | 0.94% | 0.94% | 0.25% | 7% | $55,206 |
Year Ended 12/31/2018 | $27.90 | (2.65%) | 0.95% | 0.95% | 0.32% | 8% | $44,937 |
Year Ended 12/31/2017 | $28.66 | 32.68% | 0.97% | 0.97% | 0.10% | 5% | $45,101 |
Year Ended 12/31/2016 | $21.60 | 5.57% | 0.98% | 0.98% | 0.41% | 19% | $34,617 |
Year Ended 12/31/2015 | $20.46 | 10.30% | 1.00% | 1.00% | 0.38% | 14% | $6,399 |
CTIVP® – Loomis Sayles Growth Fund | Annual Report 2019 | 15 |
December 31, 2019
16 | CTIVP® – Loomis Sayles Growth Fund | Annual Report 2019 |
December 31, 2019
CTIVP® – Loomis Sayles Growth Fund | Annual Report 2019 | 17 |
December 31, 2019
18 | CTIVP® – Loomis Sayles Growth Fund | Annual Report 2019 |
December 31, 2019
Fee rate(s) contractual through April 30, 2020 | |
Class 1 | 0.77% |
Class 2 | 1.02 |
CTIVP® – Loomis Sayles Growth Fund | Annual Report 2019 | 19 |
December 31, 2019
20 | CTIVP® – Loomis Sayles Growth Fund | Annual Report 2019 |
December 31, 2019
CTIVP® – Loomis Sayles Growth Fund | Annual Report 2019 | 21 |
22 | CTIVP® – Loomis Sayles Growth Fund | Annual Report 2019 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1953 | Trustee since 1/17 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 121 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 1/06 for RiverSource Funds and since 6/11 for Nations Funds | Attorney; specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018 | 121 | Trustee, BlueCross BlueShield of Minnesota since 2009 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee since 2017); Chair of the Robina Foundation since August 2013; former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017 |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 7/07 for RiverSource Funds and since 6/11 for Nations Funds | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, Morgan Stanley, 1982-1991 | 121 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of Human Resources Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee) since 2019 |
CTIVP® – Loomis Sayles Growth Fund | Annual Report 2019 | 23 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1950 | Trustee since 11/04 for RiverSource Funds and since 6/11 for Nations Funds | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 121 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative since 2010; Board of Directors, The MA Business Roundtable 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 12/17 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 121 | Trustee, Catholic Schools Foundation since 2004 |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Chair of the Board since 1/20; Trustee since 11/04 for RiverSource Funds and since 6/11 for Nations Funds | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Managing Director, Morgan Stanley, 1982-1989; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 121 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Anthony M. Santomero c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1946 | Trustee since 6/11 for RiverSource Funds and since 1/08 for Nations Funds | Richard K. Mellon Professor Emeritus of Finance, The Wharton School, University of Pennsylvania, since 2002; Senior Advisor, McKinsey & Company (consulting), 2006-2008; President, Federal Reserve Bank of Philadelphia, 2000- 2006; Professor of Finance, The Wharton School, University of Pennsylvania, 1972-2002 | 121 | Trustee, Penn Mutual Life Insurance Company since March 2008; Director, Renaissance Reinsurance Ltd. since May 2008; former Director, Citigroup Inc. and Citibank, N.A., 2009-2019; former Trustee, BofA Funds Series Trust (11 funds), 2008-2011 |
Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1947 | Trustee since 6/11 for RiverSource Funds and since 2003 for Nations Funds | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 121 | Director, BlueCross BlueShield of South Carolina since April 2008; Trustee, Hollingsworth Funds since 2016 (previously Board Chair from 2016-2019); Advisory Board member, Duke Energy Corp. since October 2016; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018 |
24 | CTIVP® – Loomis Sayles Growth Fund | Annual Report 2019 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Sandra Yeager c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 12/17 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 119 | Director, NAPE Education Foundation since October 2016 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin St. Boston, MA 02110 1960 | Trustee since 11/01 for RiverSource Funds and since 6/11 for Nations Funds; Senior Vice President since 2002 for RiverSource Funds and since 5/10 for Nations Funds | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010 - September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006 - August 2012. | 192 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, August 2006-January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
CTIVP® – Loomis Sayles Growth Fund | Annual Report 2019 | 25 |
The Board has appointed officers who are responsible for day-to-day business decisions based on policies it has established. The officers serve at the pleasure of the Board. The following table provides basic information about the Officers of the Fund, including principal occupations during the past five years, although their specific titles may have varied over the period. In addition to Mr. Truscott, who is Senior Vice President, the Fund’s other officers are:
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously Vice President and Chief Counsel, January 2010 - December 2014); officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer, Principal Financial Officer (2009), and Senior Vice President (2019) | Vice President, Head of North American Operations, and Co-Head of Global Operations, – Accounting and Tax, Columbia Management Investment Advisers, LLC, since June 2019 (previously Vice President – Accounting and Tax, May 2010 – May 2019); senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009 – January 2019 and December 2015 – January 2019, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer, Chief Accounting Officer (Principal Accounting Officer) (2019), and Principal Financial Officer (2020) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously Vice President — Pricing and Corporate Actions, May 2010 - March 2017). |
Paul B. Goucher 485 Lexington Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since March 2015 (previously Vice President and Assistant Secretary, May 2010 – March 2015). |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 Born 1962 | Senior Vice President (2020) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); previously, Senior Vice President of Investment Product Management, Fidelity Financial Advisor Solutions, a division of Fidelity Investments (January 2012 – March 2015). |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
26 | CTIVP® – Loomis Sayles Growth Fund | Annual Report 2019 |
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
CTIVP® – Loomis Sayles Growth Fund | Annual Report 2019 | 27 |
December 31, 2019
3 | |
5 | |
6 | |
8 | |
9 | |
10 | |
12 | |
14 | |
21 | |
22 |
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1* | 05/03/10 | 1.89 | 0.77 | 0.39 | |
Class 2* | 05/03/10 | 1.64 | 0.62 | 0.31 | |
Class 3 | 10/13/81 | 1.77 | 0.69 | 0.35 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
Columbia Variable Portfolio - Government Money Market Fund | Annual Report 2019 | 3 |
Portfolio breakdown (%) (at December 31, 2019) | |
Repurchase Agreements | 12.5 |
U.S. Government & Agency Obligations | 80.9 |
U.S. Treasury Obligations | 6.6 |
Total | 100.0 |
4 | Columbia Variable Portfolio - Government Money Market Fund | Annual Report 2019 |
(Unaudited)
July 1, 2019 — December 31, 2019 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,008.10 | 1,023.44 | 2.05 | 2.06 | 0.40 |
Class 2 | 1,000.00 | 1,000.00 | 1,006.90 | 1,022.17 | 3.32 | 3.35 | 0.65 |
Class 3 | 1,000.00 | 1,000.00 | 1,007.50 | 1,022.83 | 2.66 | 2.68 | 0.52 |
Columbia Variable Portfolio - Government Money Market Fund | Annual Report 2019 | 5 |
December 31, 2019
Repurchase Agreements 12.1% | ||||
Issuer | Effective Yield | Principal Amount ($) | Value ($) | |
Tri-party Royal Bank of Canada | ||||
dated 12/31/2019, matures 01/02/2020 | ||||
repurchase price $20,001,700 (collateralized by U.S. Treasury Securities, Market Value $20,400,066) | ||||
1.530% | 20,000,000 | 20,000,000 | ||
Tri-party TD Securities (USA) LLC | ||||
dated 12/31/2019, matures 01/02/2020 | ||||
repurchase price $20,001,722 (collateralized by U.S. Treasury Securities, Market Value $20,400,067) | ||||
1.550% | 20,000,000 | 20,000,000 | ||
Total Repurchase Agreements (Cost $40,000,000) | 40,000,000 | |||
U.S. Government & Agency Obligations 78.1% | ||||
Federal Agricultural Mortgage Corp. Discount Notes | ||||
01/23/2020 | 1.520% | 16,000,000 | 15,984,692 | |
01/24/2020 | 1.500% | 6,000,000 | 5,994,096 | |
Federal Farm Credit Banks(a) | ||||
1-month USD LIBOR + 0.000% 05/26/2020 | 1.790% | 7,750,000 | 7,747,571 | |
SOFR + 0.080% 06/10/2021 | 1.610% | 2,000,000 | 2,000,000 | |
Federal Farm Credit Banks Discount Notes | ||||
01/09/2020 | 1.410% | 8,000,000 | 7,997,227 | |
01/16/2020 | 1.560% | 10,000,000 | 9,993,167 | |
01/28/2020 | 1.510% | 6,000,000 | 5,993,070 | |
Federal Home Loan Banks(a) | ||||
SOFR + 0.003% 03/06/2020 | 1.560% | 2,000,000 | 2,000,000 | |
SOFR + 0.025% 04/22/2020 | 1.550% | 3,000,000 | 3,000,000 | |
SOFR + 0.035% 05/08/2020 | 1.570% | 7,000,000 | 6,999,890 | |
SOFR + 0.035% 06/19/2020 | 1.560% | 3,000,000 | 3,000,000 | |
SOFR + 0.030% 07/17/2020 | 1.560% | 3,000,000 | 3,000,000 | |
SOFR + 0.050% 01/28/2021 | 1.580% | 3,000,000 | 3,000,000 | |
SOFR + 0.075% 07/08/2021 | 1.600% | 2,000,000 | 2,000,000 | |
Federal Home Loan Banks | ||||
06/16/2020 | 1.970% | 4,000,000 | 4,000,000 | |
07/30/2020 | 2.150% | 3,000,000 | 3,000,000 |
U.S. Government & Agency Obligations (continued) | ||||
Issuer | Effective Yield | Principal Amount ($) | Value ($) | |
Federal Home Loan Banks Discount Notes | ||||
01/03/2020 | 1.120% | 24,000,000 | 23,997,800 | |
01/06/2020 | 1.310% | 10,000,000 | 9,997,847 | |
01/13/2020 | 1.570% | 12,000,000 | 11,993,280 | |
01/14/2020 | 1.480% | 8,000,000 | 7,995,508 | |
01/15/2020 | 1.590% | 12,000,000 | 11,992,183 | |
01/22/2020 | 1.510% | 9,000,000 | 8,991,810 | |
02/03/2020 | 1.550% | 7,000,000 | 6,989,926 | |
02/05/2020 | 1.550% | 7,000,000 | 6,989,315 | |
02/07/2020 | 1.520% | 11,000,000 | 10,982,589 | |
02/26/2020 | 1.580% | 9,000,000 | 8,977,880 | |
03/06/2020 | 1.580% | 6,000,000 | 5,982,883 | |
Federal Home Loan Mortgage Corp. Discount Notes | ||||
01/02/2020 | 0.920% | 20,000,000 | 19,998,990 | |
01/21/2020 | 1.790% | 6,000,000 | 5,993,817 | |
01/22/2020 | 1.490% | 4,000,000 | 3,996,407 | |
Federal National Mortgage Association Discount Notes | ||||
01/17/2020 | 1.410% | 10,000,000 | 9,993,422 | |
01/23/2020 | 1.480% | 10,000,000 | 9,990,711 | |
01/29/2020 | 1.560% | 7,026,000 | 7,017,311 | |
Total U.S. Government & Agency Obligations (Cost $257,591,392) | 257,591,392 | |||
U.S. Treasury Obligations 6.4% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
U.S. Treasury(a) | ||||
3-month U.S. Treasury index + 0.045% 10/31/2020 | 1.606% | 10,000,000 | 9,992,888 | |
3-month U.S. Treasury index + 0.115% 01/31/2021 | 1.676% | 5,000,000 | 4,998,503 | |
3-month U.S. Treasury index + 0.220% 07/31/2021 | 1.746% | 6,000,000 | 5,993,385 | |
Total U.S. Treasury Obligations (Cost $20,984,776) | 20,984,776 |
Total Investments in Securities (Cost: $318,576,168) | 318,576,168 | |
Other Assets & Liabilities, Net | 11,317,321 | |
Net Assets | 329,893,489 |
(a) | Variable rate security. The interest rate shown was the current rate as of December 31, 2019. |
6 | Columbia Variable Portfolio - Government Money Market Fund | Annual Report 2019 |
December 31, 2019
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Repurchase Agreements | — | 40,000,000 | — | 40,000,000 |
U.S. Government & Agency Obligations | — | 257,591,392 | — | 257,591,392 |
U.S. Treasury Obligations | — | 20,984,776 | — | 20,984,776 |
Total Investments in Securities | — | 318,576,168 | — | 318,576,168 |
Columbia Variable Portfolio - Government Money Market Fund | Annual Report 2019 | 7 |
December 31, 2019
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $278,576,168) | $278,576,168 |
Repurchase agreements (cost $40,000,000) | 40,000,000 |
Cash | 11,359,124 |
Receivable for: | |
Capital shares sold | 67,682 |
Interest | 169,335 |
Expense reimbursement due from Investment Manager | 309 |
Prepaid expenses | 2,396 |
Trustees’ deferred compensation plan | 8,383 |
Total assets | 330,183,397 |
Liabilities | |
Payable for: | |
Capital shares purchased | 140,232 |
Distributions to shareholders | 10,449 |
Management services fees | 3,513 |
Distribution and/or service fees | 1,039 |
Service fees | 13,763 |
Compensation of board members | 73,752 |
Compensation of chief compliance officer | 91 |
Audit fees | 14,500 |
Printing and postage fees | 15,194 |
Other expenses | 8,992 |
Trustees’ deferred compensation plan | 8,383 |
Total liabilities | 289,908 |
Net assets applicable to outstanding capital stock | $329,893,489 |
Represented by | |
Paid in capital | 329,782,645 |
Total distributable earnings (loss) | 110,844 |
Total - representing net assets applicable to outstanding capital stock | $329,893,489 |
Class 1 | |
Net assets | $86,840,719 |
Shares outstanding | 86,711,320 |
Net asset value per share | $1.00 |
Class 2 | |
Net assets | $61,082,742 |
Shares outstanding | 61,058,016 |
Net asset value per share | $1.00 |
Class 3 | |
Net assets | $181,970,028 |
Shares outstanding | 181,786,191 |
Net asset value per share | $1.00 |
8 | Columbia Variable Portfolio - Government Money Market Fund | Annual Report 2019 |
Year Ended December 31, 2019
Net investment income | |
Income: | |
Interest | $8,814,121 |
Total income | 8,814,121 |
Expenses: | |
Management services fees | 1,549,508 |
Distribution and/or service fees | |
Class 2 | 158,941 |
Class 3 | 243,578 |
Service fees | 180,003 |
Compensation of board members | 23,063 |
Custodian fees | 9,687 |
Printing and postage fees | 56,587 |
Audit fees | 29,000 |
Legal fees | 11,171 |
Compensation of chief compliance officer | 96 |
Other | 9,905 |
Total expenses | 2,271,539 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (422,904) |
Total net expenses | 1,848,635 |
Net investment income | 6,965,486 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 190,524 |
Net realized gain | 190,524 |
Net realized and unrealized gain | 190,524 |
Net increase in net assets resulting from operations | $7,156,010 |
Columbia Variable Portfolio - Government Money Market Fund | Annual Report 2019 | 9 |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $6,965,486 | $6,002,146 |
Net realized gain | 190,524 | 159,764 |
Net increase in net assets resulting from operations | 7,156,010 | 6,161,910 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (2,641,138) | (2,515,678) |
Class 2 | (1,041,346) | (584,839) |
Class 3 | (3,437,347) | (2,901,629) |
Total distributions to shareholders | (7,119,831) | (6,002,146) |
Increase (decrease) in net assets from capital stock activity | (248,581,487) | 276,042,345 |
Total increase (decrease) in net assets | (248,545,308) | 276,202,109 |
Net assets at beginning of year | 578,438,797 | 302,236,688 |
Net assets at end of year | $329,893,489 | $578,438,797 |
Year Ended | Year Ended | |||
December 31, 2019 | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 9,336,975 | 9,336,974 | 272,756,786 | 272,756,785 |
Distributions reinvested | 2,546,724 | 2,546,724 | 2,465,137 | 2,465,137 |
Redemptions | (226,197,463) | (226,228,529) | (18,720,570) | (18,720,570) |
Net increase (decrease) | (214,313,764) | (214,344,831) | 256,501,353 | 256,501,352 |
Class 2 | ||||
Subscriptions | 16,424,522 | 16,424,522 | 56,858,572 | 56,858,573 |
Distributions reinvested | 1,049,800 | 1,049,800 | 575,190 | 575,190 |
Redemptions | (23,736,162) | (23,736,162) | (22,969,380) | (22,969,380) |
Net increase (decrease) | (6,261,840) | (6,261,840) | 34,464,382 | 34,464,383 |
Class 3 | ||||
Subscriptions | 17,537,745 | 17,537,746 | 27,692,013 | 27,692,013 |
Distributions reinvested | 3,465,476 | 3,465,476 | 2,872,104 | 2,872,104 |
Redemptions | (49,009,104) | (48,978,038) | (45,487,507) | (45,487,507) |
Net decrease | (28,005,883) | (27,974,816) | (14,923,390) | (14,923,390) |
Total net increase (decrease) | (248,581,487) | (248,581,487) | 276,042,345 | 276,042,345 |
10 | Columbia Variable Portfolio - Government Money Market Fund | Annual Report 2019 |
Columbia Variable Portfolio - Government Money Market Fund | Annual Report 2019 | 11 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | |||||||
Year Ended 12/31/2019 | $1.00 | 0.02 | 0.00(b) | 0.02 | (0.02) | (0.00)(b) | (0.02) |
Year Ended 12/31/2018 | $1.00 | 0.02 | 0.00(b) | 0.02 | (0.02) | — | (0.02) |
Year Ended 12/31/2017 | $1.00 | 0.00(b) | 0.00 | 0.00(b) | (0.00)(b) | — | (0.00)(b) |
Year Ended 12/31/2016 | $1.00 | 0.00(b) | 0.00(b) | 0.00(b) | (0.00)(b) | — | (0.00)(b) |
Year Ended 12/31/2015 | $1.00 | 0.00(b) | 0.00(b) | 0.00(b) | (0.00)(b) | — | (0.00)(b) |
Class 2 | |||||||
Year Ended 12/31/2019 | $1.00 | 0.02 | 0.00(b) | 0.02 | (0.02) | (0.00)(b) | (0.02) |
Year Ended 12/31/2018 | $1.00 | 0.01 | 0.00(b) | 0.01 | (0.01) | — | (0.01) |
Year Ended 12/31/2017 | $1.00 | 0.00(b) | 0.00 | 0.00(b) | (0.00)(b) | — | (0.00)(b) |
Year Ended 12/31/2016 | $1.00 | 0.00(b) | 0.00(b) | 0.00(b) | (0.00)(b) | — | (0.00)(b) |
Year Ended 12/31/2015 | $1.00 | 0.00(b) | 0.00(b) | 0.00(b) | (0.00)(b) | — | (0.00)(b) |
Class 3 | |||||||
Year Ended 12/31/2019 | $1.00 | 0.02 | 0.00(b) | 0.02 | (0.02) | (0.00)(b) | (0.02) |
Year Ended 12/31/2018 | $1.00 | 0.01 | 0.00(b) | 0.01 | (0.01) | — | (0.01) |
Year Ended 12/31/2017 | $1.00 | 0.00(b) | 0.00 | 0.00(b) | (0.00)(b) | — | (0.00)(b) |
Year Ended 12/31/2016 | $1.00 | 0.00(b) | 0.00(b) | 0.00(b) | (0.00)(b) | — | (0.00)(b) |
Year Ended 12/31/2015 | $1.00 | 0.00(b) | 0.00(b) | 0.00(b) | (0.00)(b) | — | (0.00)(b) |
Notes to Financial Highlights | |
(a) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(b) | Rounds to zero. |
12 | Columbia Variable Portfolio - Government Money Market Fund | Annual Report 2019 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets | Total net expense ratio to average net assets(a) | Net investment income ratio to average net assets | Net assets, end of period (000’s) | |
Class 1 | ||||||
Year Ended 12/31/2019 | $1.00 | 1.89% | 0.47% | 0.36% | 1.87% | $86,841 |
Year Ended 12/31/2018 | $1.00 | 1.51% | 0.46% | 0.32% | 1.77% | $301,167 |
Year Ended 12/31/2017 | $1.00 | 0.43% | 0.50% | 0.45% | 0.42% | $44,578 |
Year Ended 12/31/2016 | $1.00 | 0.01% | 0.49% | 0.36% | 0.01% | $48,310 |
Year Ended 12/31/2015 | $1.00 | 0.01% | 0.49% | 0.13% | 0.01% | $149,749 |
Class 2 | ||||||
Year Ended 12/31/2019 | $1.00 | 1.64% | 0.72% | 0.62% | 1.60% | $61,083 |
Year Ended 12/31/2018 | $1.00 | 1.26% | 0.72% | 0.59% | 1.36% | $67,341 |
Year Ended 12/31/2017 | $1.00 | 0.18% | 0.75% | 0.70% | 0.17% | $32,860 |
Year Ended 12/31/2016 | $1.00 | 0.01% | 0.74% | 0.36% | 0.01% | $35,914 |
Year Ended 12/31/2015 | $1.00 | 0.01% | 0.75% | 0.13% | 0.01% | $29,276 |
Class 3 | ||||||
Year Ended 12/31/2019 | $1.00 | 1.77% | 0.60% | 0.49% | 1.72% | $181,970 |
Year Ended 12/31/2018 | $1.00 | 1.38% | 0.60% | 0.48% | 1.36% | $209,931 |
Year Ended 12/31/2017 | $1.00 | 0.30% | 0.62% | 0.57% | 0.29% | $224,799 |
Year Ended 12/31/2016 | $1.00 | 0.01% | 0.62% | 0.36% | 0.01% | $269,488 |
Year Ended 12/31/2015 | $1.00 | 0.01% | 0.62% | 0.13% | 0.01% | $266,420 |
Columbia Variable Portfolio - Government Money Market Fund | Annual Report 2019 | 13 |
December 31, 2019
14 | Columbia Variable Portfolio - Government Money Market Fund | Annual Report 2019 |
December 31, 2019
Royal Bank of Canada ($) | TD Securities ($) | Total ($) | |
Assets | |||
Repurchase agreements | 20,000,000 | 20,000,000 | 40,000,000 |
Total financial and derivative net assets | 20,000,000 | 20,000,000 | 40,000,000 |
Total collateral received (pledged) (a) | 20,000,000 | 20,000,000 | 40,000,000 |
Net amount (b) | - | - | - |
(a) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Represents the net amount due from/(to) counterparties in the event of default. |
Columbia Variable Portfolio - Government Money Market Fund | Annual Report 2019 | 15 |
December 31, 2019
16 | Columbia Variable Portfolio - Government Money Market Fund | Annual Report 2019 |
December 31, 2019
May 1, 2019 through April 30, 2020 | Prior to May 1, 2019 | |
Class 1 | 0.40% | 0.30% |
Class 2 | 0.65 | 0.55 |
Class 3 | 0.525 | 0.425 |
Columbia Variable Portfolio - Government Money Market Fund | Annual Report 2019 | 17 |
December 31, 2019
Year Ended December 31, 2019 | Year Ended December 31, 2018 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
7,119,831 | — | 7,119,831 | 6,002,146 | — | 6,002,146 |
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized appreciation ($) |
191,995 | — | — | — |
18 | Columbia Variable Portfolio - Government Money Market Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio - Government Money Market Fund | Annual Report 2019 | 19 |
December 31, 2019
20 | Columbia Variable Portfolio - Government Money Market Fund | Annual Report 2019 |
Columbia Variable Portfolio - Government Money Market Fund | Annual Report 2019 | 21 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1953 | Trustee since 1/17 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 121 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 1/06 for RiverSource Funds and since 6/11 for Nations Funds | Attorney; specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018 | 121 | Trustee, BlueCross BlueShield of Minnesota since 2009 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee since 2017); Chair of the Robina Foundation since August 2013; former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017 |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 7/07 for RiverSource Funds and since 6/11 for Nations Funds | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, Morgan Stanley, 1982-1991 | 121 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of Human Resources Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee) since 2019 |
22 | Columbia Variable Portfolio - Government Money Market Fund | Annual Report 2019 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1950 | Trustee since 11/04 for RiverSource Funds and since 6/11 for Nations Funds | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 121 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative since 2010; Board of Directors, The MA Business Roundtable 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 12/17 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 121 | Trustee, Catholic Schools Foundation since 2004 |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Chair of the Board since 1/20; Trustee since 11/04 for RiverSource Funds and since 6/11 for Nations Funds | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Managing Director, Morgan Stanley, 1982-1989; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 121 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Anthony M. Santomero c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1946 | Trustee since 6/11 for RiverSource Funds and since 1/08 for Nations Funds | Richard K. Mellon Professor Emeritus of Finance, The Wharton School, University of Pennsylvania, since 2002; Senior Advisor, McKinsey & Company (consulting), 2006-2008; President, Federal Reserve Bank of Philadelphia, 2000- 2006; Professor of Finance, The Wharton School, University of Pennsylvania, 1972-2002 | 121 | Trustee, Penn Mutual Life Insurance Company since March 2008; Director, Renaissance Reinsurance Ltd. since May 2008; former Director, Citigroup Inc. and Citibank, N.A., 2009-2019; former Trustee, BofA Funds Series Trust (11 funds), 2008-2011 |
Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1947 | Trustee since 6/11 for RiverSource Funds and since 2003 for Nations Funds | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 121 | Director, BlueCross BlueShield of South Carolina since April 2008; Trustee, Hollingsworth Funds since 2016 (previously Board Chair from 2016-2019); Advisory Board member, Duke Energy Corp. since October 2016; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018 |
Columbia Variable Portfolio - Government Money Market Fund | Annual Report 2019 | 23 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Sandra Yeager c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 12/17 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 119 | Director, NAPE Education Foundation since October 2016 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin St. Boston, MA 02110 1960 | Trustee since 11/01 for RiverSource Funds and since 6/11 for Nations Funds; Senior Vice President since 2002 for RiverSource Funds and since 5/10 for Nations Funds | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010 - September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006 - August 2012. | 192 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, August 2006-January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
24 | Columbia Variable Portfolio - Government Money Market Fund | Annual Report 2019 |
The Board has appointed officers who are responsible for day-to-day business decisions based on policies it has established. The officers serve at the pleasure of the Board. The following table provides basic information about the Officers of the Fund, including principal occupations during the past five years, although their specific titles may have varied over the period. In addition to Mr. Truscott, who is Senior Vice President, the Fund’s other officers are:
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously Vice President and Chief Counsel, January 2010 - December 2014); officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer, Principal Financial Officer (2009), and Senior Vice President (2019) | Vice President, Head of North American Operations, and Co-Head of Global Operations, – Accounting and Tax, Columbia Management Investment Advisers, LLC, since June 2019 (previously Vice President – Accounting and Tax, May 2010 – May 2019); senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009 – January 2019 and December 2015 – January 2019, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer, Chief Accounting Officer (Principal Accounting Officer) (2019), and Principal Financial Officer (2020) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously Vice President — Pricing and Corporate Actions, May 2010 - March 2017). |
Paul B. Goucher 485 Lexington Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since March 2015 (previously Vice President and Assistant Secretary, May 2010 – March 2015). |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 Born 1962 | Senior Vice President (2020) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); previously, Senior Vice President of Investment Product Management, Fidelity Financial Advisor Solutions, a division of Fidelity Investments (January 2012 – March 2015). |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Columbia Variable Portfolio - Government Money Market Fund | Annual Report 2019 | 25 |
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
26 | Columbia Variable Portfolio - Government Money Market Fund | Annual Report 2019 |
December 31, 2019
3 | |
5 | |
7 | |
8 | |
19 | |
20 | |
21 | |
22 | |
24 | |
34 | |
35 |
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1* | 05/03/10 | 17.00 | 5.79 | 7.41 | |
Class 2* | 05/03/10 | 16.52 | 5.51 | 7.13 | |
Class 3 | 05/01/96 | 16.72 | 5.66 | 7.26 | |
ICE BofAML US Cash Pay High Yield Constrained Index | 14.40 | 6.13 | 7.47 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2019 | 3 |
Portfolio breakdown (%) (at December 31, 2019) | |
Corporate Bonds & Notes | 94.2 |
Foreign Government Obligations | 0.2 |
Money Market Funds | 2.6 |
Senior Loans | 3.0 |
Total | 100.0 |
Quality breakdown (%) (at December 31, 2019) | |
BBB rating | 0.8 |
BB rating | 39.0 |
B rating | 48.4 |
CCC rating | 11.4 |
CC rating | 0.1 |
Not rated | 0.3 |
Total | 100.0 |
4 | Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2019 |
Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2019 | 5 |
6 | Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2019 |
(Unaudited)
July 1, 2019 — December 31, 2019 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,051.30 | 1,022.07 | 3.50 | 3.45 | 0.67 |
Class 2 | 1,000.00 | 1,000.00 | 1,050.70 | 1,020.79 | 4.81 | 4.74 | 0.92 |
Class 3 | 1,000.00 | 1,000.00 | 1,050.10 | 1,021.45 | 4.13 | 4.07 | 0.79 |
Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2019 | 7 |
December 31, 2019
Corporate Bonds & Notes 92.3% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Aerospace & Defense 2.8% | ||||
Bombardier, Inc.(a) | ||||
10/15/2022 | 6.000% | 209,000 | 208,809 | |
12/01/2024 | 7.500% | 501,000 | 527,300 | |
03/15/2025 | 7.500% | 602,000 | 621,226 | |
04/15/2027 | 7.875% | 96,000 | 98,911 | |
Moog, Inc.(a) | ||||
12/15/2027 | 4.250% | 440,000 | 447,841 | |
TransDigm, Inc. | ||||
05/15/2025 | 6.500% | 1,682,000 | 1,755,413 | |
06/15/2026 | 6.375% | 1,161,000 | 1,235,343 | |
03/15/2027 | 7.500% | 407,000 | 445,659 | |
TransDigm, Inc.(a) | ||||
03/15/2026 | 6.250% | 2,811,000 | 3,047,912 | |
11/15/2027 | 5.500% | 1,622,000 | 1,640,811 | |
Total | 10,029,225 | |||
Automotive 0.5% | ||||
IAA Spinco, Inc.(a) | ||||
06/15/2027 | 5.500% | 182,000 | 194,545 | |
KAR Auction Services, Inc.(a) | ||||
06/01/2025 | 5.125% | 658,000 | 684,449 | |
Panther BF Aggregator 2 LP/Finance Co., Inc.(a) | ||||
05/15/2026 | 6.250% | 321,000 | 346,905 | |
05/15/2027 | 8.500% | 532,000 | 565,281 | |
Total | 1,791,180 | |||
Banking 0.5% | ||||
Ally Financial, Inc. | ||||
11/01/2031 | 8.000% | 1,329,000 | 1,845,346 | |
Brokerage/Asset Managers/Exchanges 0.6% | ||||
LPL Holdings, Inc.(a) | ||||
09/15/2025 | 5.750% | 43,000 | 45,052 | |
Subordinated | ||||
11/15/2027 | 4.625% | 647,000 | 660,037 | |
NFP Corp.(a) | ||||
07/15/2025 | 6.875% | 1,360,000 | 1,362,300 | |
Total | 2,067,389 | |||
Building Materials 1.7% | ||||
American Builders & Contractors Supply Co., Inc.(a) | ||||
05/15/2026 | 5.875% | 647,000 | 687,049 | |
01/15/2028 | 4.000% | 1,372,000 | 1,392,605 | |
Beacon Roofing Supply, Inc.(a) | ||||
11/01/2025 | 4.875% | 1,938,000 | 1,946,700 | |
11/15/2026 | 4.500% | 514,000 | 529,979 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Core & Main LP(a) | ||||
08/15/2025 | 6.125% | 985,000 | 1,026,894 | |
James Hardie International Finance DAC(a) | ||||
01/15/2025 | 4.750% | 79,000 | 81,906 | |
01/15/2028 | 5.000% | 420,000 | 440,874 | |
Total | 6,106,007 | |||
Cable and Satellite 8.9% | ||||
CCO Holdings LLC/Capital Corp.(a) | ||||
05/01/2025 | 5.375% | 1,696,000 | 1,760,567 | |
02/15/2026 | 5.750% | 885,000 | 933,328 | |
05/01/2026 | 5.500% | 397,000 | 417,627 | |
05/01/2027 | 5.875% | 621,000 | 659,411 | |
02/01/2028 | 5.000% | 666,000 | 698,403 | |
06/01/2029 | 5.375% | 1,240,000 | 1,330,087 | |
03/01/2030 | 4.750% | 1,876,000 | 1,913,324 | |
CSC Holdings LLC(a) | ||||
10/15/2025 | 6.625% | 189,000 | 201,365 | |
10/15/2025 | 10.875% | 1,866,000 | 2,100,114 | |
02/01/2028 | 5.375% | 1,186,000 | 1,267,425 | |
04/01/2028 | 7.500% | 265,000 | 298,996 | |
02/01/2029 | 6.500% | 3,333,000 | 3,721,891 | |
01/15/2030 | 5.750% | 338,000 | 360,697 | |
DISH DBS Corp. | ||||
07/01/2026 | 7.750% | 3,765,000 | 3,990,415 | |
Intelsat Jackson Holdings SA | ||||
08/01/2023 | 5.500% | 555,000 | 476,354 | |
Intelsat Jackson Holdings SA(a) | ||||
10/15/2024 | 8.500% | 1,033,000 | 942,117 | |
Intelsat Luxembourg SA | ||||
06/01/2023 | 8.125% | 732,000 | 432,489 | |
Radiate HoldCo LLC/Finance, Inc.(a) | ||||
02/15/2023 | 6.875% | 317,000 | 324,073 | |
02/15/2025 | 6.625% | 536,000 | 538,609 | |
Sirius XM Radio, Inc.(a) | ||||
07/15/2024 | 4.625% | 396,000 | 414,899 | |
04/15/2025 | 5.375% | 1,086,000 | 1,123,495 | |
07/01/2029 | 5.500% | 439,000 | 475,063 | |
Viasat, Inc.(a) | ||||
04/15/2027 | 5.625% | 317,000 | 338,997 | |
Virgin Media Secured Finance PLC(a) | ||||
08/15/2026 | 5.500% | 1,856,000 | 1,947,811 | |
Ziggo Bond Finance BV(a) | ||||
01/15/2027 | 6.000% | 2,597,000 | 2,746,374 |
8 | Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2019 |
December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Ziggo BV(a) | ||||
01/15/2027 | 5.500% | 1,724,000 | 1,834,209 | |
01/15/2030 | 4.875% | 337,000 | 348,016 | |
Total | 31,596,156 | |||
Chemicals 3.4% | ||||
Alpha 2 BV(a),(b) | ||||
06/01/2023 | 8.750% | 980,000 | 993,234 | |
Angus Chemical Co.(a) | ||||
02/15/2023 | 8.750% | 1,194,000 | 1,194,871 | |
Atotech U.S.A., Inc.(a) | ||||
02/01/2025 | 6.250% | 983,000 | 1,012,604 | |
Axalta Coating Systems LLC(a) | ||||
08/15/2024 | 4.875% | 805,000 | 834,353 | |
CF Industries, Inc. | ||||
03/15/2034 | 5.150% | 251,000 | 282,162 | |
03/15/2044 | 5.375% | 133,000 | 145,082 | |
Chemours Co. (The) | ||||
05/15/2027 | 5.375% | 199,000 | 177,331 | |
INEOS Group Holdings SA(a) | ||||
08/01/2024 | 5.625% | 433,000 | 444,751 | |
Platform Specialty Products Corp.(a) | ||||
12/01/2025 | 5.875% | 2,187,000 | 2,286,239 | |
PQ Corp.(a) | ||||
11/15/2022 | 6.750% | 1,147,000 | 1,187,844 | |
12/15/2025 | 5.750% | 975,000 | 1,024,881 | |
SPCM SA(a) | ||||
09/15/2025 | 4.875% | 721,000 | 751,134 | |
Starfruit Finco BV/US Holdco LLC(a) | ||||
10/01/2026 | 8.000% | 1,585,000 | 1,681,365 | |
Total | 12,015,851 | |||
Construction Machinery 1.4% | ||||
H&E Equipment Services, Inc. | ||||
09/01/2025 | 5.625% | 993,000 | 1,043,291 | |
Herc Holdings, Inc.(a) | ||||
07/15/2027 | 5.500% | 782,000 | 826,033 | |
Ritchie Bros. Auctioneers, Inc.(a) | ||||
01/15/2025 | 5.375% | 364,000 | 379,018 | |
United Rentals North America, Inc. | ||||
09/15/2026 | 5.875% | 1,778,000 | 1,909,762 | |
12/15/2026 | 6.500% | 379,000 | 417,087 | |
11/15/2027 | 3.875% | 249,000 | 254,014 | |
Total | 4,829,205 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Consumer Cyclical Services 1.8% | ||||
APX Group, Inc. | ||||
12/01/2020 | 8.750% | 337,000 | 337,220 | |
12/01/2022 | 7.875% | 1,408,000 | 1,421,689 | |
09/01/2023 | 7.625% | 1,265,000 | 1,197,851 | |
APX Group, Inc.(a) | ||||
11/01/2024 | 8.500% | 805,000 | 830,666 | |
frontdoor, Inc.(a) | ||||
08/15/2026 | 6.750% | 317,000 | 346,624 | |
Prime Security Services Borrower LLC/Finance, Inc.(a) | ||||
04/15/2026 | 5.750% | 708,000 | 770,079 | |
Staples, Inc.(a) | ||||
04/15/2026 | 7.500% | 174,000 | 181,035 | |
04/15/2027 | 10.750% | 176,000 | 179,188 | |
Uber Technologies, Inc.(a) | ||||
11/01/2023 | 7.500% | 959,000 | 1,003,701 | |
Total | 6,268,053 | |||
Consumer Products 1.4% | ||||
Energizer Holdings, Inc.(a) | ||||
07/15/2026 | 6.375% | 370,000 | 395,174 | |
01/15/2027 | 7.750% | 680,000 | 760,421 | |
Mattel, Inc. | ||||
11/01/2041 | 5.450% | 802,000 | 676,651 | |
Prestige Brands, Inc.(a) | ||||
03/01/2024 | 6.375% | 1,041,000 | 1,082,587 | |
01/15/2028 | 5.125% | 335,000 | 350,954 | |
Scotts Miracle-Gro Co. (The)(a) | ||||
10/15/2029 | 4.500% | 456,000 | 465,467 | |
Spectrum Brands, Inc. | ||||
07/15/2025 | 5.750% | 1,140,000 | 1,193,058 | |
Total | 4,924,312 | |||
Diversified Manufacturing 1.4% | ||||
CFX Escrow Corp.(a) | ||||
02/15/2024 | 6.000% | 216,000 | 230,123 | |
02/15/2026 | 6.375% | 259,000 | 282,777 | |
Gates Global LLC/Co.(a) | ||||
01/15/2026 | 6.250% | 1,797,000 | 1,826,984 | |
MTS Systems Corp.(a) | ||||
08/15/2027 | 5.750% | 183,000 | 191,463 | |
Resideo Funding, Inc.(a) | ||||
11/01/2026 | 6.125% | 949,000 | 948,927 | |
SPX FLOW, Inc.(a) | ||||
08/15/2024 | 5.625% | 204,000 | 212,709 | |
Stevens Holding Co., Inc.(a) | ||||
10/01/2026 | 6.125% | 234,000 | 255,668 |
Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2019 | 9 |
December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
TriMas Corp.(a) | ||||
10/15/2025 | 4.875% | 147,000 | 151,110 | |
Welbilt, Inc. | ||||
02/15/2024 | 9.500% | 308,000 | 326,082 | |
WESCO Distribution, Inc. | ||||
06/15/2024 | 5.375% | 427,000 | 442,507 | |
Zekelman Industries, Inc.(a) | ||||
06/15/2023 | 9.875% | 230,000 | 242,098 | |
Total | 5,110,448 | |||
Electric 4.7% | ||||
AES Corp. (The) | ||||
03/15/2023 | 4.500% | 558,000 | 571,950 | |
05/15/2026 | 6.000% | 1,048,000 | 1,117,688 | |
09/01/2027 | 5.125% | 524,000 | 559,241 | |
Calpine Corp. | ||||
02/01/2024 | 5.500% | 685,000 | 694,237 | |
Calpine Corp.(a) | ||||
06/01/2026 | 5.250% | 590,000 | 614,867 | |
02/15/2028 | 4.500% | 745,000 | 753,165 | |
03/15/2028 | 5.125% | 926,000 | 944,220 | |
Clearway Energy Operating LLC | ||||
10/15/2025 | 5.750% | 824,000 | 869,643 | |
09/15/2026 | 5.000% | 866,000 | 893,970 | |
Clearway Energy Operating LLC(a) | ||||
03/15/2028 | 4.750% | 498,000 | 505,573 | |
NextEra Energy Operating Partners LP(a) | ||||
07/15/2024 | 4.250% | 495,000 | 514,990 | |
09/15/2027 | 4.500% | 2,263,000 | 2,362,212 | |
NRG Energy, Inc. | ||||
01/15/2027 | 6.625% | 659,000 | 716,782 | |
01/15/2028 | 5.750% | 42,000 | 45,774 | |
NRG Energy, Inc.(a) | ||||
06/15/2029 | 5.250% | 1,513,000 | 1,640,807 | |
Pattern Energy Group, Inc.(a) | ||||
02/01/2024 | 5.875% | 489,000 | 503,559 | |
TerraForm Power Operating LLC(a) | ||||
01/31/2028 | 5.000% | 706,000 | 747,330 | |
01/15/2030 | 4.750% | 624,000 | 636,977 | |
Vistra Operations Co. LLC(a) | ||||
02/15/2027 | 5.625% | 1,168,000 | 1,231,320 | |
07/31/2027 | 5.000% | 822,000 | 860,284 | |
Total | 16,784,589 | |||
Environmental 0.8% | ||||
Clean Harbors, Inc.(a) | ||||
07/15/2027 | 4.875% | 261,000 | 275,646 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
GFL Environmental, Inc.(a) | ||||
05/01/2022 | 5.625% | 517,000 | 526,363 | |
03/01/2023 | 5.375% | 242,000 | 248,680 | |
12/15/2026 | 5.125% | 405,000 | 425,721 | |
05/01/2027 | 8.500% | 732,000 | 801,955 | |
Hulk Finance Corp.(a) | ||||
06/01/2026 | 7.000% | 648,000 | 684,357 | |
Total | 2,962,722 | |||
Finance Companies 2.5% | ||||
Global Aircraft Leasing Co., Ltd.(a),(b) | ||||
09/15/2024 | 6.500% | 1,261,000 | 1,315,749 | |
Navient Corp. | ||||
03/25/2020 | 8.000% | 50,000 | 50,625 | |
03/25/2021 | 5.875% | 84,000 | 87,000 | |
07/26/2021 | 6.625% | 649,000 | 686,345 | |
01/25/2022 | 7.250% | 618,000 | 671,935 | |
06/15/2022 | 6.500% | 750,000 | 815,567 | |
01/25/2023 | 5.500% | 168,000 | 178,991 | |
Provident Funding Associates LP/Finance Corp.(a) | ||||
06/15/2025 | 6.375% | 1,140,000 | 1,119,982 | |
Quicken Loans, Inc.(a) | ||||
05/01/2025 | 5.750% | 2,186,000 | 2,264,211 | |
Springleaf Finance Corp. | ||||
03/15/2023 | 5.625% | 635,000 | 683,442 | |
03/15/2024 | 6.125% | 974,000 | 1,068,239 | |
Total | 8,942,086 | |||
Food and Beverage 2.2% | ||||
B&G Foods, Inc. | ||||
04/01/2025 | 5.250% | 1,031,000 | 1,062,631 | |
09/15/2027 | 5.250% | 285,000 | 287,268 | |
Darling Ingredients, Inc.(a) | ||||
04/15/2027 | 5.250% | 132,000 | 140,292 | |
FAGE International SA/USA Dairy Industry, Inc.(a) | ||||
08/15/2026 | 5.625% | 583,000 | 537,007 | |
Lamb Weston Holdings, Inc.(a) | ||||
11/01/2024 | 4.625% | 433,000 | 459,454 | |
11/01/2026 | 4.875% | 586,000 | 622,821 | |
Performance Food Group, Inc.(a) | ||||
10/15/2027 | 5.500% | 328,000 | 350,158 | |
Post Holdings, Inc.(a) | ||||
03/01/2025 | 5.500% | 463,000 | 485,640 | |
08/15/2026 | 5.000% | 1,562,000 | 1,655,325 | |
03/01/2027 | 5.750% | 1,716,000 | 1,846,479 | |
01/15/2028 | 5.625% | 440,000 | 474,930 | |
Total | 7,922,005 |
10 | Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2019 |
December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Gaming 3.5% | ||||
Boyd Gaming Corp. | ||||
08/15/2026 | 6.000% | 418,000 | 448,373 | |
Boyd Gaming Corp.(a) | ||||
12/01/2027 | 4.750% | 622,000 | 646,309 | |
Caesars Resort Collection LLC/CRC Finco, Inc.(a) | ||||
10/15/2025 | 5.250% | 589,000 | 610,010 | |
Eldorado Resorts, Inc. | ||||
04/01/2025 | 6.000% | 1,117,000 | 1,174,086 | |
09/15/2026 | 6.000% | 586,000 | 647,106 | |
International Game Technology PLC(a) | ||||
02/15/2025 | 6.500% | 1,139,000 | 1,281,460 | |
Jack Ohio Finance LLC/1 Corp.(a) | ||||
11/15/2021 | 6.750% | 110,000 | 112,051 | |
MGM Growth Properties Operating Partnership LP/Finance Co-Issuer, Inc. | ||||
05/01/2024 | 5.625% | 480,000 | 524,637 | |
09/01/2026 | 4.500% | 472,000 | 496,864 | |
MGM Growth Properties Operating Partnership LP/Finance Co-Issuer, Inc.(a) | ||||
02/01/2027 | 5.750% | 436,000 | 487,234 | |
Scientific Games International, Inc.(a) | ||||
10/15/2025 | 5.000% | 1,287,000 | 1,348,577 | |
03/15/2026 | 8.250% | 964,000 | 1,062,594 | |
05/15/2028 | 7.000% | 314,000 | 336,940 | |
11/15/2029 | 7.250% | 314,000 | 341,030 | |
Stars Group Holdings BV/Co-Borrower LLC(a) | ||||
07/15/2026 | 7.000% | 478,000 | 517,454 | |
VICI Properties LP/Note Co., Inc.(a) | ||||
12/01/2026 | 4.250% | 561,000 | 578,894 | |
12/01/2029 | 4.625% | 448,000 | 468,947 | |
Wynn Las Vegas LLC/Capital Corp.(a) | ||||
03/01/2025 | 5.500% | 1,008,000 | 1,083,219 | |
Wynn Resorts Finance LLC/Capital Corp.(a) | ||||
10/01/2029 | 5.125% | 305,000 | 327,857 | |
Total | 12,493,642 | |||
Health Care 4.8% | ||||
Acadia Healthcare Co., Inc. | ||||
07/01/2022 | 5.125% | 705,000 | 713,918 | |
02/15/2023 | 5.625% | 415,000 | 422,223 | |
03/01/2024 | 6.500% | 93,000 | 96,462 | |
Avantor, Inc.(a) | ||||
10/01/2025 | 9.000% | 1,023,000 | 1,144,890 | |
Change Healthcare Holdings LLC/Finance, Inc.(a) | ||||
03/01/2025 | 5.750% | 1,171,000 | 1,209,454 | |
Charles River Laboratories International, Inc.(a) | ||||
04/01/2026 | 5.500% | 362,000 | 390,062 | |
05/01/2028 | 4.250% | 249,000 | 253,914 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CHS/Community Health Systems, Inc. | ||||
03/31/2023 | 6.250% | 903,000 | 916,195 | |
Encompass Health Corp. | ||||
02/01/2028 | 4.500% | 301,000 | 312,083 | |
02/01/2030 | 4.750% | 301,000 | 312,897 | |
HCA, Inc. | ||||
02/01/2025 | 5.375% | 2,459,000 | 2,721,813 | |
09/01/2028 | 5.625% | 530,000 | 604,503 | |
02/01/2029 | 5.875% | 527,000 | 609,157 | |
Hologic, Inc.(a) | ||||
10/15/2025 | 4.375% | 235,000 | 243,004 | |
MPH Acquisition Holdings LLC(a) | ||||
06/01/2024 | 7.125% | 686,000 | 666,734 | |
Select Medical Corp.(a) | ||||
08/15/2026 | 6.250% | 1,017,000 | 1,100,689 | |
Surgery Center Holdings, Inc.(a) | ||||
04/15/2027 | 10.000% | 349,000 | 382,480 | |
Teleflex, Inc. | ||||
11/15/2027 | 4.625% | 693,000 | 734,533 | |
Tenet Healthcare Corp. | ||||
08/01/2025 | 7.000% | 913,000 | 964,500 | |
Tenet Healthcare Corp.(a) | ||||
02/01/2027 | 6.250% | 1,162,000 | 1,253,969 | |
11/01/2027 | 5.125% | 2,049,000 | 2,163,559 | |
Total | 17,217,039 | |||
Healthcare Insurance 2.2% | ||||
Centene Corp.(a) | ||||
06/01/2026 | 5.375% | 1,499,000 | 1,593,085 | |
12/15/2027 | 4.250% | 1,328,000 | 1,367,604 | |
12/15/2029 | 4.625% | 1,726,000 | 1,817,629 | |
WellCare Health Plans, Inc. | ||||
04/01/2025 | 5.250% | 1,973,000 | 2,057,581 | |
WellCare Health Plans, Inc.(a) | ||||
08/15/2026 | 5.375% | 942,000 | 1,005,189 | |
Total | 7,841,088 | |||
Home Construction 1.3% | ||||
Lennar Corp. | ||||
11/15/2024 | 5.875% | 114,000 | 127,693 | |
06/01/2026 | 5.250% | 1,071,000 | 1,174,471 | |
Meritage Homes Corp. | ||||
04/01/2022 | 7.000% | 928,000 | 1,012,413 | |
Taylor Morrison Communities, Inc.(a) | ||||
01/15/2028 | 5.750% | 522,000 | 569,290 | |
Taylor Morrison Communities, Inc./Holdings II(a) | ||||
04/15/2023 | 5.875% | 513,000 | 553,904 | |
03/01/2024 | 5.625% | 848,000 | 916,928 |
Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2019 | 11 |
December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
TRI Pointe Group, Inc./Homes | ||||
06/15/2024 | 5.875% | 343,000 | 373,507 | |
Total | 4,728,206 | |||
Independent Energy 6.0% | ||||
Callon Petroleum Co. | ||||
10/01/2024 | 6.125% | 378,000 | 385,430 | |
07/01/2026 | 6.375% | 2,003,000 | 2,034,166 | |
Carrizo Oil & Gas, Inc. | ||||
04/15/2023 | 6.250% | 1,262,000 | 1,281,204 | |
Centennial Resource Production LLC(a) | ||||
01/15/2026 | 5.375% | 621,000 | 610,989 | |
04/01/2027 | 6.875% | 751,000 | 780,950 | |
Chesapeake Energy Corp.(a) | ||||
01/01/2025 | 11.500% | 535,000 | 505,857 | |
CrownRock LP/Finance, Inc.(a) | ||||
10/15/2025 | 5.625% | 2,279,000 | 2,323,140 | |
Endeavor Energy Resources LP/Finance, Inc.(a) | ||||
01/30/2028 | 5.750% | 604,000 | 635,334 | |
Hilcorp Energy I LP/Finance Co.(a) | ||||
10/01/2025 | 5.750% | 190,000 | 185,125 | |
11/01/2028 | 6.250% | 224,000 | 213,463 | |
Jagged Peak Energy LLC | ||||
05/01/2026 | 5.875% | 963,000 | 995,432 | |
Matador Resources Co. | ||||
09/15/2026 | 5.875% | 1,639,000 | 1,649,707 | |
Murphy Oil Corp. | ||||
12/01/2027 | 5.875% | 745,000 | 778,542 | |
Parsley Energy LLC/Finance Corp.(a) | ||||
01/15/2025 | 5.375% | 793,000 | 817,027 | |
08/15/2025 | 5.250% | 1,301,000 | 1,338,682 | |
10/15/2027 | 5.625% | 1,356,000 | 1,434,995 | |
QEP Resources, Inc. | ||||
03/01/2026 | 5.625% | 689,000 | 672,725 | |
SM Energy Co. | ||||
06/01/2025 | 5.625% | 329,000 | 312,013 | |
09/15/2026 | 6.750% | 1,106,000 | 1,087,085 | |
01/15/2027 | 6.625% | 555,000 | 545,097 | |
WPX Energy, Inc. | ||||
09/15/2024 | 5.250% | 1,336,000 | 1,420,245 | |
06/01/2026 | 5.750% | 634,000 | 677,806 | |
10/15/2027 | 5.250% | 513,000 | 540,568 | |
Total | 21,225,582 | |||
Leisure 0.6% | ||||
Live Nation Entertainment, Inc.(a) | ||||
11/01/2024 | 4.875% | 660,000 | 684,384 | |
10/15/2027 | 4.750% | 501,000 | 518,506 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Viking Cruises Ltd.(a) | ||||
09/15/2027 | 5.875% | 754,000 | 806,059 | |
Total | 2,008,949 | |||
Media and Entertainment 4.4% | ||||
Clear Channel Worldwide Holdings, Inc.(a) | ||||
02/15/2024 | 9.250% | 1,697,000 | 1,881,846 | |
08/15/2027 | 5.125% | 1,039,000 | 1,081,482 | |
Diamond Sports Group LLC/Finance Co.(a) | ||||
08/15/2026 | 5.375% | 725,000 | 734,531 | |
08/15/2027 | 6.625% | 529,000 | 514,636 | |
iHeartCommunications, Inc. | ||||
05/01/2026 | 6.375% | 484,136 | 526,498 | |
05/01/2027 | 8.375% | 1,950,672 | 2,152,397 | |
iHeartCommunications, Inc.(a) | ||||
08/15/2027 | 5.250% | 261,000 | 273,470 | |
01/15/2028 | 4.750% | 591,000 | 605,181 | |
Match Group, Inc. | ||||
06/01/2024 | 6.375% | 863,000 | 906,862 | |
Match Group, Inc.(a) | ||||
12/15/2027 | 5.000% | 48,000 | 50,093 | |
Netflix, Inc. | ||||
04/15/2028 | 4.875% | 1,956,000 | 2,036,701 | |
11/15/2028 | 5.875% | 477,000 | 529,301 | |
05/15/2029 | 6.375% | 124,000 | 141,737 | |
Netflix, Inc.(a) | ||||
11/15/2029 | 5.375% | 567,000 | 604,265 | |
06/15/2030 | 4.875% | 756,000 | 768,723 | |
Outfront Media Capital LLC/Corp.(a) | ||||
08/15/2027 | 5.000% | 239,000 | 249,834 | |
03/15/2030 | 4.625% | 877,000 | 892,591 | |
Scripps Escrow, Inc.(a) | ||||
07/15/2027 | 5.875% | 298,000 | 312,039 | |
TEGNA, Inc.(a) | ||||
09/15/2029 | 5.000% | 763,000 | 775,994 | |
Terrier Media Buyer, Inc.(a) | ||||
12/15/2027 | 8.875% | 159,000 | 167,913 | |
Twitter, Inc.(a) | ||||
12/15/2027 | 3.875% | 498,000 | 497,874 | |
Total | 15,703,968 | |||
Metals and Mining 3.6% | ||||
Alcoa Nederland Holding BV(a) | ||||
09/30/2024 | 6.750% | 561,000 | 589,455 | |
09/30/2026 | 7.000% | 366,000 | 399,522 | |
Big River Steel LLC/Finance Corp.(a) | ||||
09/01/2025 | 7.250% | 464,000 | 488,220 |
12 | Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2019 |
December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Constellium NV(a) | ||||
03/01/2025 | 6.625% | 830,000 | 863,245 | |
02/15/2026 | 5.875% | 2,038,000 | 2,157,563 | |
Freeport-McMoRan, Inc. | ||||
09/01/2029 | 5.250% | 861,000 | 922,370 | |
03/15/2043 | 5.450% | 2,190,000 | 2,268,318 | |
HudBay Minerals, Inc.(a) | ||||
01/15/2023 | 7.250% | 478,000 | 495,598 | |
01/15/2025 | 7.625% | 1,760,000 | 1,856,119 | |
Novelis Corp.(a) | ||||
08/15/2024 | 6.250% | 457,000 | 478,793 | |
09/30/2026 | 5.875% | 2,013,000 | 2,146,424 | |
Total | 12,665,627 | |||
Midstream 5.4% | ||||
Antero Midstream Partners LP/Finance Corp.(a) | ||||
03/01/2027 | 5.750% | 503,000 | 442,774 | |
Cheniere Energy Partners LP | ||||
10/01/2026 | 5.625% | 1,076,000 | 1,137,960 | |
Cheniere Energy Partners LP(a) | ||||
10/01/2029 | 4.500% | 1,253,000 | 1,287,133 | |
DCP Midstream Operating LP | ||||
05/15/2029 | 5.125% | 655,000 | 680,836 | |
04/01/2044 | 5.600% | 2,711,000 | 2,634,712 | |
Delek Logistics Partners LP/Finance Corp. | ||||
05/15/2025 | 6.750% | 885,000 | 892,207 | |
Holly Energy Partners LP/Finance Corp.(a) | ||||
08/01/2024 | 6.000% | 1,050,000 | 1,094,894 | |
NuStar Logistics LP | ||||
06/01/2026 | 6.000% | 397,000 | 420,476 | |
Rockpoint Gas Storage Canada Ltd.(a) | ||||
03/31/2023 | 7.000% | 1,242,000 | 1,216,209 | |
Sunoco LP/Finance Corp. | ||||
01/15/2023 | 4.875% | 401,000 | 410,717 | |
02/15/2026 | 5.500% | 1,052,000 | 1,092,721 | |
Tallgrass Energy Partners LP/Finance Corp.(a) | ||||
01/15/2028 | 5.500% | 499,000 | 488,585 | |
Targa Resources Partners LP/Finance Corp. | ||||
02/01/2027 | 5.375% | 1,050,000 | 1,090,546 | |
01/15/2028 | 5.000% | 2,956,000 | 3,020,490 | |
Targa Resources Partners LP/Finance Corp.(a) | ||||
03/01/2030 | 5.500% | 1,490,000 | 1,533,071 | |
TransMontaigne Partners LP/TLP Finance Corp. | ||||
02/15/2026 | 6.125% | 1,096,000 | 1,059,099 | |
Western Gas Partners LP | ||||
08/15/2028 | 4.750% | 196,000 | 195,179 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Western Midstream Operating LP | ||||
03/01/2028 | 4.500% | 657,000 | 640,615 | |
Total | 19,338,224 | |||
Oil Field Services 1.4% | ||||
Apergy Corp. | ||||
05/01/2026 | 6.375% | 1,201,000 | 1,265,919 | |
Archrock Partners LP/Finance Corp.(a) | ||||
04/01/2028 | 6.250% | 460,000 | 473,720 | |
Calfrac Holdings LP(a) | ||||
06/15/2026 | 8.500% | 527,000 | 213,436 | |
Nabors Industries, Inc. | ||||
02/01/2025 | 5.750% | 1,183,000 | 1,065,205 | |
SESI LLC | ||||
09/15/2024 | 7.750% | 318,000 | 211,404 | |
Transocean Guardian Ltd.(a) | ||||
01/15/2024 | 5.875% | 507,300 | 518,267 | |
Transocean Sentry Ltd.(a) | ||||
05/15/2023 | 5.375% | 998,000 | 1,015,465 | |
USA Compression Partners LP/Finance Corp. | ||||
09/01/2027 | 6.875% | 274,000 | 286,323 | |
Total | 5,049,739 | |||
Packaging 3.9% | ||||
ARD Finance SA(a),(b) | ||||
06/30/2027 | 6.500% | 427,000 | 441,435 | |
Ardagh Packaging Finance PLC/Holdings USA, Inc.(a) | ||||
02/15/2025 | 6.000% | 2,177,000 | 2,283,472 | |
08/15/2026 | 4.125% | 641,000 | 659,369 | |
08/15/2027 | 5.250% | 764,000 | 803,937 | |
Berry Global Escrow Corp.(a) | ||||
07/15/2026 | 4.875% | 249,000 | 262,816 | |
Berry Global, Inc. | ||||
07/15/2023 | 5.125% | 1,925,000 | 1,975,818 | |
BWAY Holding Co.(a) | ||||
04/15/2024 | 5.500% | 1,038,000 | 1,070,562 | |
Flex Acquisition Co., Inc.(a) | ||||
07/15/2026 | 7.875% | 575,000 | 582,715 | |
Novolex(a) | ||||
01/15/2025 | 6.875% | 387,000 | 390,179 | |
Owens-Brockway Glass Container, Inc.(a) | ||||
08/15/2023 | 5.875% | 1,012,000 | 1,082,225 | |
Reynolds Group Issuer, Inc./LLC | ||||
10/15/2020 | 5.750% | 1,734,703 | 1,737,405 | |
Reynolds Group Issuer, Inc./LLC(a) | ||||
07/15/2024 | 7.000% | 1,521,000 | 1,573,693 |
Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2019 | 13 |
December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Trivium Packaging Finance BV(a) | ||||
08/15/2026 | 5.500% | 539,000 | 570,667 | |
08/15/2027 | 8.500% | 326,000 | 362,675 | |
Total | 13,796,968 | |||
Pharmaceuticals 3.1% | ||||
Bausch Health Companies, Inc.(a) | ||||
03/01/2023 | 5.500% | 321,000 | 322,845 | |
04/15/2025 | 6.125% | 1,788,000 | 1,850,202 | |
11/01/2025 | 5.500% | 730,000 | 762,947 | |
12/15/2025 | 9.000% | 196,000 | 222,830 | |
04/01/2026 | 9.250% | 1,148,000 | 1,319,291 | |
01/31/2027 | 8.500% | 1,094,000 | 1,247,433 | |
01/30/2028 | 5.000% | 466,000 | 478,101 | |
Catalent Pharma Solutions, Inc.(a) | ||||
01/15/2026 | 4.875% | 652,000 | 674,783 | |
07/15/2027 | 5.000% | 178,000 | 186,793 | |
Eagle Holding Co. II LLC(a),(b) | ||||
05/15/2022 | 7.750% | 680,000 | 690,458 | |
Endo Dac/Finance LLC/Finco, Inc.(a) | ||||
07/15/2023 | 6.000% | 520,000 | 377,797 | |
Endo Dac/Finance LLC/Finco, Inc.(a),(c) | ||||
02/01/2025 | 6.000% | 143,000 | 96,810 | |
Jaguar Holding Co. II/Pharmaceutical Product Development LLC(a) | ||||
08/01/2023 | 6.375% | 2,084,000 | 2,154,081 | |
Par Pharmaceutical, Inc.(a) | ||||
04/01/2027 | 7.500% | 676,000 | 675,283 | |
Total | 11,059,654 | |||
Property & Casualty 0.6% | ||||
Alliant Holdings Intermediate LLC/Co-Issuer(a) | ||||
10/15/2027 | 6.750% | 739,000 | 792,742 | |
HUB International Ltd.(a) | ||||
05/01/2026 | 7.000% | 1,074,000 | 1,139,418 | |
USI, Inc.(a) | ||||
05/01/2025 | 6.875% | 347,000 | 353,931 | |
Total | 2,286,091 | |||
Restaurants 0.6% | ||||
1011778 BC ULC/New Red Finance, Inc.(a) | ||||
01/15/2028 | 3.875% | 378,000 | 380,950 | |
IRB Holding Corp.(a) | ||||
02/15/2026 | 6.750% | 1,456,000 | 1,524,365 | |
Yum! Brands, Inc.(a) | ||||
01/15/2030 | 4.750% | 387,000 | 406,822 | |
Total | 2,312,137 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Retailers 0.9% | ||||
L Brands, Inc. | ||||
06/15/2029 | 7.500% | 486,000 | 503,411 | |
11/01/2035 | 6.875% | 431,000 | 387,058 | |
PetSmart, Inc.(a) | ||||
03/15/2023 | 7.125% | 1,326,000 | 1,300,067 | |
06/01/2025 | 5.875% | 1,051,000 | 1,073,286 | |
Total | 3,263,822 | |||
Supermarkets 0.6% | ||||
Albertsons Companies LLC/Safeway, Inc./New Albertsons LP | ||||
03/15/2025 | 5.750% | 358,000 | 371,401 | |
Albertsons Companies LLC/Safeway, Inc./New Albertsons LP(a) | ||||
03/15/2026 | 7.500% | 420,000 | 472,067 | |
02/15/2028 | 5.875% | 473,000 | 503,130 | |
Albertsons Companies, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(a) | ||||
01/15/2027 | 4.625% | 708,000 | 708,011 | |
Total | 2,054,609 | |||
Technology 5.9% | ||||
Alliance Data Systems Corp.(a) | ||||
12/15/2024 | 4.750% | 892,000 | 890,362 | |
Ascend Learning LLC(a) | ||||
08/01/2025 | 6.875% | 641,000 | 672,978 | |
08/01/2025 | 6.875% | 604,000 | 634,916 | |
Banff Merger Sub, Inc.(a) | ||||
09/01/2026 | 9.750% | 184,000 | 186,699 | |
Camelot Finance SA(a) | ||||
11/01/2026 | 4.500% | 501,000 | 513,887 | |
CDK Global, Inc. | ||||
06/01/2027 | 4.875% | 1,205,000 | 1,274,827 | |
CommScope Finance LLC(a) | ||||
03/01/2026 | 6.000% | 605,000 | 643,754 | |
CommScope Technologies LLC(a) | ||||
06/15/2025 | 6.000% | 902,000 | 904,751 | |
Ensemble S Merger Sub, Inc.(a) | ||||
09/30/2023 | 9.000% | 246,000 | 252,524 | |
Gartner, Inc.(a) | ||||
04/01/2025 | 5.125% | 1,589,000 | 1,655,949 | |
Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/U.S. Holdings I LLC(a) | ||||
11/30/2024 | 10.000% | 779,000 | 841,770 | |
Informatica LLC(a) | ||||
07/15/2023 | 7.125% | 955,000 | 970,957 | |
Iron Mountain, Inc. | ||||
08/15/2024 | 5.750% | 1,956,000 | 1,977,308 |
14 | Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2019 |
December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
MSCI, Inc.(a) | ||||
11/15/2024 | 5.250% | 528,000 | 543,540 | |
NCR Corp. | ||||
07/15/2022 | 5.000% | 607,000 | 613,269 | |
12/15/2023 | 6.375% | 1,269,000 | 1,301,330 | |
NCR Corp.(a) | ||||
09/01/2027 | 5.750% | 507,000 | 540,370 | |
09/01/2029 | 6.125% | 636,000 | 690,543 | |
Plantronics, Inc.(a) | ||||
05/31/2023 | 5.500% | 406,000 | 398,757 | |
Qualitytech LP/QTS Finance Corp.(a) | ||||
11/15/2025 | 4.750% | 1,589,000 | 1,646,858 | |
Refinitiv US Holdings, Inc.(a) | ||||
11/15/2026 | 8.250% | 1,265,000 | 1,425,255 | |
Sensata Technologies, Inc.(a) | ||||
02/15/2030 | 4.375% | 241,000 | 246,007 | |
Solera LLC/Finance, Inc.(a) | ||||
03/01/2024 | 10.500% | 610,000 | 648,151 | |
Tempo Acquisition LLC/Finance Corp.(a) | ||||
06/01/2025 | 6.750% | 438,000 | 452,564 | |
Verscend Escrow Corp.(a) | ||||
08/15/2026 | 9.750% | 880,000 | 964,609 | |
Total | 20,891,935 | |||
Transportation Services 1.6% | ||||
Avis Budget Car Rental LLC/Finance, Inc. | ||||
04/01/2023 | 5.500% | 96,000 | 97,680 | |
Avis Budget Car Rental LLC/Finance, Inc.(a) | ||||
03/15/2025 | 5.250% | 1,525,000 | 1,572,432 | |
Hertz Corp. (The)(a) | ||||
06/01/2022 | 7.625% | 450,000 | 467,844 | |
10/15/2024 | 5.500% | 445,000 | 457,308 | |
08/01/2026 | 7.125% | 577,000 | 624,700 | |
01/15/2028 | 6.000% | 1,777,000 | 1,781,682 | |
XPO Logistics, Inc.(a) | ||||
06/15/2022 | 6.500% | 517,000 | 526,792 | |
Total | 5,528,438 | |||
Wireless 4.9% | ||||
Altice France SA(a) | ||||
05/01/2026 | 7.375% | 2,433,000 | 2,615,605 | |
02/01/2027 | 8.125% | 775,000 | 874,636 | |
01/15/2028 | 5.500% | 975,000 | 1,005,067 | |
Altice Luxembourg SA(a) | ||||
05/15/2027 | 10.500% | 954,000 | 1,094,333 | |
SBA Communications Corp. | ||||
09/01/2024 | 4.875% | 2,468,000 | 2,567,328 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Sprint Capital Corp. | ||||
11/15/2028 | 6.875% | 1,937,000 | 2,094,332 | |
Sprint Corp. | ||||
03/01/2026 | 7.625% | 1,598,000 | 1,763,858 | |
T-Mobile U.S.A., Inc. | ||||
01/15/2026 | 6.500% | 3,053,000 | 3,278,236 | |
02/01/2026 | 4.500% | 746,000 | 768,177 | |
02/01/2028 | 4.750% | 1,149,000 | 1,205,078 | |
Total | 17,266,650 | |||
Wirelines 2.4% | ||||
CenturyLink, Inc. | ||||
03/15/2022 | 5.800% | 1,724,000 | 1,815,778 | |
04/01/2024 | 7.500% | 1,020,000 | 1,153,554 | |
04/01/2025 | 5.625% | 1,358,000 | 1,444,797 | |
CenturyLink, Inc.(a) | ||||
12/15/2026 | 5.125% | 1,240,000 | 1,261,401 | |
Frontier Communications Corp.(a) | ||||
04/01/2026 | 8.500% | 375,000 | 379,930 | |
Telecom Italia Capital SA | ||||
09/30/2034 | 6.000% | 336,000 | 362,679 | |
Zayo Group LLC/Capital, Inc. | ||||
05/15/2025 | 6.375% | 1,705,000 | 1,761,941 | |
Zayo Group LLC/Capital, Inc.(a) | ||||
01/15/2027 | 5.750% | 529,000 | 539,763 | |
Total | 8,719,843 | |||
Total Corporate Bonds & Notes (Cost $314,467,607) | 328,646,785 | |||
Foreign Government Obligations(d) 0.2% | ||||
Canada 0.2% | ||||
NOVA Chemicals Corp.(a) | ||||
06/01/2027 | 5.250% | 674,000 | 695,210 | |
Total Foreign Government Obligations (Cost $699,024) | 695,210 | |||
Senior Loans 3.0% | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Construction Machinery 0.2% | ||||
Vertiv Group Corp.(e),(f) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 4.000% Floor 1.000% 11/30/2023 | 5.927% | 751,000 | 748,454 |
Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2019 | 15 |
December 31, 2019
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Finance Companies 0.3% | ||||
Ellie Mae, Inc.(e),(f) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 4.000% 04/17/2026 | 5.945% | 962,587 | 966,804 | |
Food and Beverage 0.4% | ||||
8th Avenue Food & Provisions, Inc.(e),(f) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 3.750% 10/01/2025 | 5.486% | 708,854 | 711,215 | |
2nd Lien Term Loan | ||||
3-month USD LIBOR + 7.750% 10/01/2026 | 9.486% | 752,935 | 737,876 | |
Total | 1,449,091 | |||
Health Care 0.0% | ||||
Avantor Funding, Inc.(e),(f) | ||||
Tranche B2 Term Loan | ||||
3-month USD LIBOR + 3.000% Floor 1.000% 11/21/2024 | 4.799% | 136,121 | 137,255 | |
Metals and Mining 0.5% | ||||
Big River Steel LLC(e),(f) | ||||
Term Loan | ||||
3-month USD LIBOR + 5.000% Floor 1.000% 08/23/2023 | 6.945% | 1,638,805 | 1,634,707 | |
Restaurants 0.3% | ||||
IRB Holding Corp./Arby’s/Buffalo Wild Wings(e),(f) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 3.250% Floor 1.000% 02/05/2025 | 5.216% | 1,054,947 | 1,060,517 | |
Retailers 0.2% | ||||
BellRing Brands LLC(e),(f) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 5.000% Floor 1.000% 10/10/2024 | 6.799% | 608,000 | 613,703 | |
Technology 1.1% | ||||
Applied Systems, Inc.(e),(f) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 3.250% Floor 1.000% 09/19/2024 | 5.195% | 386,221 | 387,391 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Ascend Learning LLC(e),(f) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.000% Floor 1.000% 07/12/2024 | 4.799% | 521,107 | 524,040 | |
Dun & Bradstreet Corp. (The)(e),(f) | ||||
Term Loan | ||||
3-month USD LIBOR + 5.000% 02/06/2026 | 6.792% | 1,110,000 | 1,118,791 | |
Greeneden US Holdings I LLC/Genesys Telecommunications Laboratories, Inc.(e),(f) | ||||
Tranche B3 Term Loan | ||||
3-month USD LIBOR + 3.250% 12/01/2023 | 5.049% | 708,219 | 709,841 | |
Project Alpha Intermediate Holding, Inc.(e),(f) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.500% Floor 1.000% 04/26/2024 | 5.490% | 195,589 | 195,713 | |
3-month USD LIBOR + 4.250% 04/26/2024 | 6.240% | 586,613 | 590,280 | |
Ultimate Software Group, Inc. (The)(e),(f) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 3.750% 05/04/2026 | 5.549% | 436,905 | 439,430 | |
Total | 3,965,486 | |||
Total Senior Loans (Cost $10,458,889) | 10,576,017 |
Money Market Funds 2.6% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(g),(h) | 9,199,165 | 9,198,245 |
Total Money Market Funds (Cost $9,198,245) | 9,198,245 | |
Total Investments in Securities (Cost: $334,823,765) | 349,116,257 | |
Other Assets & Liabilities, Net | 6,749,591 | |
Net Assets | 355,865,848 |
16 | Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2019 |
December 31, 2019
(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. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At December 31, 2019, the total value of these securities amounted to $215,406,968, which represents 60.53% of total net assets. |
(b) | Payment-in-kind security. Interest can be paid by issuing additional par of the security or in cash. |
(c) | 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 December 31, 2019. |
(d) | Principal and interest may not be guaranteed by a governmental entity. |
(e) | The stated interest rate represents the weighted average interest rate at December 31, 2019 of contracts within the senior loan facility. Interest rates on contracts are primarily determined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. These base lending rates are primarily the London Interbank Offered Rate (“LIBOR”) and other short-term rates. Base lending rates may be subject to a floor or minimum rate. The interest rate for senior loans purchased on a when-issued or delayed delivery basis will be determined upon settlement, therefore no interest rate is disclosed. Senior loans often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, cannot be predicted with accuracy. As a result, remaining maturities of senior loans may be less than the stated maturities. |
(f) | Variable rate security. The interest rate shown was the current rate as of December 31, 2019. |
(g) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
(h) | As defined in the Investment Company Act of 1940, 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. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | ||||||||
4,489,982 | 112,465,134 | (107,755,951) | 9,199,165 | 711 | — | 293,530 | 9,198,245 |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2019 | 17 |
December 31, 2019
additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Corporate Bonds & Notes | — | 328,646,785 | — | 328,646,785 |
Foreign Government Obligations | — | 695,210 | — | 695,210 |
Senior Loans | — | 10,576,017 | — | 10,576,017 |
Money Market Funds | 9,198,245 | — | — | 9,198,245 |
Total Investments in Securities | 9,198,245 | 339,918,012 | — | 349,116,257 |
18 | Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2019 |
December 31, 2019
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $325,625,520) | $339,918,012 |
Affiliated issuers (cost $9,198,245) | 9,198,245 |
Cash | 85,081 |
Receivable for: | |
Investments sold | 1,488,462 |
Capital shares sold | 150,271 |
Dividends | 14,333 |
Interest | 5,360,754 |
Foreign tax reclaims | 17,471 |
Expense reimbursement due from Investment Manager | 1,611 |
Prepaid expenses | 2,311 |
Total assets | 356,236,551 |
Liabilities | |
Payable for: | |
Capital shares purchased | 218,920 |
Management services fees | 6,396 |
Distribution and/or service fees | 1,475 |
Service fees | 26,343 |
Compensation of board members | 65,865 |
Compensation of chief compliance officer | 78 |
Printing and postage fees | 20,534 |
Other expenses | 31,092 |
Total liabilities | 370,703 |
Net assets applicable to outstanding capital stock | $355,865,848 |
Represented by | |
Paid in capital | 328,378,162 |
Total distributable earnings (loss) | 27,487,686 |
Total - representing net assets applicable to outstanding capital stock | $355,865,848 |
Class 1 | |
Net assets | $227,229 |
Shares outstanding | 33,258 |
Net asset value per share | $6.83 |
Class 2 | |
Net assets | $74,824,890 |
Shares outstanding | 11,061,380 |
Net asset value per share | $6.76 |
Class 3 | |
Net assets | $280,813,729 |
Shares outstanding | 41,215,083 |
Net asset value per share | $6.81 |
Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2019 | 19 |
Year Ended December 31, 2019
Net investment income | |
Income: | |
Dividends — affiliated issuers | $293,530 |
Interest | 20,582,909 |
Interfund lending | 563 |
Total income | 20,877,002 |
Expenses: | |
Management services fees | 2,287,706 |
Distribution and/or service fees | |
Class 2 | 160,152 |
Class 3 | 355,953 |
Service fees | 226,396 |
Compensation of board members | 21,258 |
Custodian fees | 16,747 |
Printing and postage fees | 67,872 |
Audit fees | 35,000 |
Legal fees | 10,595 |
Compensation of chief compliance officer | 74 |
Other | 18,537 |
Total expenses | 3,200,290 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (289,812) |
Total net expenses | 2,910,478 |
Net investment income | 17,966,524 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (2,694,510) |
Investments — affiliated issuers | 711 |
Futures contracts | (637,186) |
Net realized loss | (3,330,985) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 38,463,012 |
Futures contracts | 582,375 |
Net change in unrealized appreciation (depreciation) | 39,045,387 |
Net realized and unrealized gain | 35,714,402 |
Net increase in net assets resulting from operations | $53,680,926 |
20 | Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2019 |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $17,966,524 | $19,925,811 |
Net realized gain (loss) | (3,330,985) | 2,186,071 |
Net change in unrealized appreciation (depreciation) | 39,045,387 | (36,729,644) |
Net increase (decrease) in net assets resulting from operations | 53,680,926 | (14,617,762) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (2,053) | (659) |
Class 2 | (3,646,317) | (3,298,623) |
Class 3 | (16,398,732) | (17,874,444) |
Total distributions to shareholders | (20,047,102) | (21,173,726) |
Decrease in net assets from capital stock activity | (11,468,179) | (54,351,251) |
Total increase (decrease) in net assets | 22,165,645 | (90,142,739) |
Net assets at beginning of year | 333,700,203 | 423,842,942 |
Net assets at end of year | $355,865,848 | $333,700,203 |
Year Ended | Year Ended | |||
December 31, 2019 | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 33,742 | 227,316 | — | — |
Distributions reinvested | 314 | 2,053 | 103 | 659 |
Redemptions | (2,594) | (17,422) | — | — |
Net increase | 31,462 | 211,947 | 103 | 659 |
Class 2 | ||||
Subscriptions | 3,664,334 | 24,222,455 | 1,068,570 | 7,084,174 |
Distributions reinvested | 562,634 | 3,646,317 | 517,837 | 3,298,623 |
Redemptions | (2,036,314) | (13,399,642) | (1,426,237) | (9,248,188) |
Net increase | 2,190,654 | 14,469,130 | 160,170 | 1,134,609 |
Class 3 | ||||
Subscriptions | 111,269 | 745,528 | 44,320 | 294,793 |
Distributions reinvested | 2,514,868 | 16,398,732 | 2,788,525 | 17,874,444 |
Redemptions | (6,513,875) | (43,293,516) | (11,142,291) | (73,655,756) |
Net decrease | (3,887,738) | (26,149,256) | (8,309,446) | (55,486,519) |
Total net decrease | (1,665,622) | (11,468,179) | (8,149,173) | (54,351,251) |
Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2019 | 21 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Total distributions to shareholders | |
Class 1 | ||||||
Year Ended 12/31/2019 | $6.20 | 0.34 | 0.70 | 1.04 | (0.41) | (0.41) |
Year Ended 12/31/2018 | $6.84 | 0.35 | (0.60) | (0.25) | (0.39) | (0.39) |
Year Ended 12/31/2017 | $6.79 | 0.36 | 0.08 | 0.44 | (0.39) | (0.39) |
Year Ended 12/31/2016 | $6.46 | 0.35 | 0.40 | 0.75 | (0.42) | (0.42) |
Year Ended 12/31/2015 | $6.96 | 0.36 | (0.42) | (0.06) | (0.44) | (0.44) |
Class 2 | ||||||
Year Ended 12/31/2019 | $6.15 | 0.33 | 0.67 | 1.00 | (0.39) | (0.39) |
Year Ended 12/31/2018 | $6.78 | 0.33 | (0.59) | (0.26) | (0.37) | (0.37) |
Year Ended 12/31/2017 | $6.74 | 0.32 | 0.09 | 0.41 | (0.37) | (0.37) |
Year Ended 12/31/2016 | $6.41 | 0.34 | 0.39 | 0.73 | (0.40) | (0.40) |
Year Ended 12/31/2015 | $6.91 | 0.35 | (0.43) | (0.08) | (0.42) | (0.42) |
Class 3 | ||||||
Year Ended 12/31/2019 | $6.19 | 0.34 | 0.68 | 1.02 | (0.40) | (0.40) |
Year Ended 12/31/2018 | $6.83 | 0.34 | (0.60) | (0.26) | (0.38) | (0.38) |
Year Ended 12/31/2017 | $6.78 | 0.34 | 0.09 | 0.43 | (0.38) | (0.38) |
Year Ended 12/31/2016 | $6.45 | 0.35 | 0.39 | 0.74 | (0.41) | (0.41) |
Year Ended 12/31/2015 | $6.94 | 0.36 | (0.42) | (0.06) | (0.43) | (0.43) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
22 | Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2019 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019 | $6.83 | 17.00% | 0.80% | 0.67% | 5.21% | 49% | $227 |
Year Ended 12/31/2018 | $6.20 | (3.86%) | 0.77% | 0.73% | 5.31% | 39% | $11 |
Year Ended 12/31/2017 | $6.84 | 6.53% | 0.75% | 0.75% | 5.12% | 51% | $12 |
Year Ended 12/31/2016 | $6.79 | 11.84% | 0.75% | 0.75% | 5.32% | 51% | $3,135 |
Year Ended 12/31/2015 | $6.46 | (1.15%) | 0.78% | 0.75% | 5.35% | 47% | $1,934 |
Class 2 | |||||||
Year Ended 12/31/2019 | $6.76 | 16.52% | 1.02% | 0.94% | 5.04% | 49% | $74,825 |
Year Ended 12/31/2018 | $6.15 | (4.00%) | 1.01% | 0.98% | 5.06% | 39% | $54,532 |
Year Ended 12/31/2017 | $6.78 | 6.17% | 1.01% | 1.01% | 4.76% | 51% | $59,098 |
Year Ended 12/31/2016 | $6.74 | 11.65% | 1.00% | 1.00% | 5.07% | 51% | $48,310 |
Year Ended 12/31/2015 | $6.41 | (1.41%) | 1.02% | 1.00% | 5.06% | 47% | $38,807 |
Class 3 | |||||||
Year Ended 12/31/2019 | $6.81 | 16.72% | 0.89% | 0.81% | 5.18% | 49% | $280,814 |
Year Ended 12/31/2018 | $6.19 | (4.00%) | 0.89% | 0.86% | 5.18% | 39% | $279,157 |
Year Ended 12/31/2017 | $6.83 | 6.41% | 0.89% | 0.89% | 4.89% | 51% | $364,733 |
Year Ended 12/31/2016 | $6.78 | 11.72% | 0.88% | 0.88% | 5.20% | 51% | $400,844 |
Year Ended 12/31/2015 | $6.45 | (1.14%) | 0.90% | 0.87% | 5.17% | 47% | $420,576 |
Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2019 | 23 |
December 31, 2019
24 | Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2019 | 25 |
December 31, 2019
Amount of realized gain (loss) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Interest rate risk | (637,186) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Interest rate risk | 582,375 |
26 | Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2019 |
December 31, 2019
Derivative instrument | Average notional amounts ($)* |
Futures contracts — short | 3,767,544 |
* | Based on the ending daily outstanding amounts for the year ended December 31, 2019. |
Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2019 | 27 |
December 31, 2019
28 | Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2019 | 29 |
December 31, 2019
May 1, 2019 through April 30, 2020 | Prior to May 1, 2019 | |
Class 1 | 0.67% | 0.72% |
Class 2 | 0.92 | 0.97 |
Class 3 | 0.795 | 0.845 |
Undistributed net investment income ($) | Accumulated net realized (loss) ($) | Paid in capital ($) |
240,093 | (240,093) | — |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
20,047,102 | — | 20,047,102 | 21,173,726 | — | 21,173,726 |
30 | Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2019 |
December 31, 2019
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized appreciation ($) |
17,600,989 | — | (4,414,700) | 14,366,766 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
334,749,491 | 15,427,812 | (1,061,046) | 14,366,766 |
No expiration short-term ($) | No expiration long-term ($) | Total ($) | Utilized ($) | Expired ($) |
(954,578) | (3,460,122) | (4,414,700) | — | — |
Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2019 | 31 |
December 31, 2019
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 7,700,000 | 2.63 | 1 |
32 | Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2019 | 33 |
34 | Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2019 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1953 | Trustee since 1/17 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 121 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 1/06 for RiverSource Funds and since 6/11 for Nations Funds | Attorney; specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018 | 121 | Trustee, BlueCross BlueShield of Minnesota since 2009 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee since 2017); Chair of the Robina Foundation since August 2013; former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017 |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 7/07 for RiverSource Funds and since 6/11 for Nations Funds | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, Morgan Stanley, 1982-1991 | 121 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of Human Resources Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee) since 2019 |
Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2019 | 35 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1950 | Trustee since 11/04 for RiverSource Funds and since 6/11 for Nations Funds | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 121 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative since 2010; Board of Directors, The MA Business Roundtable 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 12/17 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 121 | Trustee, Catholic Schools Foundation since 2004 |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Chair of the Board since 1/20; Trustee since 11/04 for RiverSource Funds and since 6/11 for Nations Funds | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Managing Director, Morgan Stanley, 1982-1989; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 121 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Anthony M. Santomero c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1946 | Trustee since 6/11 for RiverSource Funds and since 1/08 for Nations Funds | Richard K. Mellon Professor Emeritus of Finance, The Wharton School, University of Pennsylvania, since 2002; Senior Advisor, McKinsey & Company (consulting), 2006-2008; President, Federal Reserve Bank of Philadelphia, 2000- 2006; Professor of Finance, The Wharton School, University of Pennsylvania, 1972-2002 | 121 | Trustee, Penn Mutual Life Insurance Company since March 2008; Director, Renaissance Reinsurance Ltd. since May 2008; former Director, Citigroup Inc. and Citibank, N.A., 2009-2019; former Trustee, BofA Funds Series Trust (11 funds), 2008-2011 |
Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1947 | Trustee since 6/11 for RiverSource Funds and since 2003 for Nations Funds | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 121 | Director, BlueCross BlueShield of South Carolina since April 2008; Trustee, Hollingsworth Funds since 2016 (previously Board Chair from 2016-2019); Advisory Board member, Duke Energy Corp. since October 2016; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018 |
36 | Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2019 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Sandra Yeager c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 12/17 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 119 | Director, NAPE Education Foundation since October 2016 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin St. Boston, MA 02110 1960 | Trustee since 11/01 for RiverSource Funds and since 6/11 for Nations Funds; Senior Vice President since 2002 for RiverSource Funds and since 5/10 for Nations Funds | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010 - September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006 - August 2012. | 192 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, August 2006-January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2019 | 37 |
The Board has appointed officers who are responsible for day-to-day business decisions based on policies it has established. The officers serve at the pleasure of the Board. The following table provides basic information about the Officers of the Fund, including principal occupations during the past five years, although their specific titles may have varied over the period. In addition to Mr. Truscott, who is Senior Vice President, the Fund’s other officers are:
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously Vice President and Chief Counsel, January 2010 - December 2014); officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer, Principal Financial Officer (2009), and Senior Vice President (2019) | Vice President, Head of North American Operations, and Co-Head of Global Operations, – Accounting and Tax, Columbia Management Investment Advisers, LLC, since June 2019 (previously Vice President – Accounting and Tax, May 2010 – May 2019); senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009 – January 2019 and December 2015 – January 2019, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer, Chief Accounting Officer (Principal Accounting Officer) (2019), and Principal Financial Officer (2020) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously Vice President — Pricing and Corporate Actions, May 2010 - March 2017). |
Paul B. Goucher 485 Lexington Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since March 2015 (previously Vice President and Assistant Secretary, May 2010 – March 2015). |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 Born 1962 | Senior Vice President (2020) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); previously, Senior Vice President of Investment Product Management, Fidelity Financial Advisor Solutions, a division of Fidelity Investments (January 2012 – March 2015). |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
38 | Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2019 |
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
Columbia Variable Portfolio – High Yield Bond Fund | Annual Report 2019 | 39 |
December 31, 2019
3 | |
5 | |
7 | |
8 | |
12 | |
13 | |
14 | |
16 | |
18 | |
24 | |
25 |
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1* | 05/03/10 | 35.90 | 13.07 | 14.16 | |
Class 2* | 05/03/10 | 35.53 | 12.79 | 13.88 | |
Class 3 | 09/15/99 | 35.76 | 12.93 | 14.03 | |
Russell 1000 Growth Index | 36.39 | 14.63 | 15.22 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2019 | 3 |
Portfolio breakdown (%) (at December 31, 2019) | |
Common Stocks | 98.3 |
Money Market Funds | 1.7 |
Total | 100.0 |
Equity sector breakdown (%) (at December 31, 2019) | |
Communication Services | 15.2 |
Consumer Discretionary | 13.7 |
Consumer Staples | 2.7 |
Financials | 2.4 |
Health Care | 15.8 |
Industrials | 8.4 |
Information Technology | 38.5 |
Real Estate | 3.3 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2019 |
Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2019 | 5 |
6 | Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2019 |
(Unaudited)
July 1, 2019 — December 31, 2019 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,112.40 | 1,021.76 | 3.93 | 3.76 | 0.73 |
Class 2 | 1,000.00 | 1,000.00 | 1,110.80 | 1,020.49 | 5.27 | 5.05 | 0.98 |
Class 3 | 1,000.00 | 1,000.00 | 1,111.50 | 1,021.10 | 4.63 | 4.43 | 0.86 |
Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2019 | 7 |
December 31, 2019
Common Stocks 98.4% | ||
Issuer | Shares | Value ($) |
Communication Services 15.0% | ||
Entertainment 2.9% | ||
Electronic Arts, Inc.(a) | 266,909 | 28,695,386 |
Walt Disney Co. (The) | 222,122 | 32,125,505 |
Total | 60,820,891 | |
Interactive Media & Services 10.4% | ||
Alphabet, Inc., Class A(a) | 46,318 | 62,037,866 |
Alphabet, Inc., Class C(a) | 48,921 | 65,408,355 |
Facebook, Inc., Class A(a) | 419,735 | 86,150,609 |
Total | 213,596,830 | |
Media 0.6% | ||
DISH Network Corp., Class A(a) | 334,374 | 11,860,246 |
Wireless Telecommunication Services 1.1% | ||
T-Mobile U.S.A., Inc.(a) | 290,364 | 22,770,345 |
Total Communication Services | 309,048,312 | |
Consumer Discretionary 13.5% | ||
Internet & Direct Marketing Retail 8.8% | ||
Alibaba Group Holding Ltd., ADR(a) | 98,086 | 20,804,041 |
Amazon.com, Inc.(a) | 67,447 | 124,631,264 |
Booking Holdings, Inc.(a) | 16,760 | 34,420,515 |
Chewy, Inc., Class A(a) | 32,035 | 929,015 |
Total | 180,784,835 | |
Multiline Retail 1.5% | ||
Target Corp. | 237,372 | 30,433,464 |
Textiles, Apparel & Luxury Goods 3.2% | ||
Nike, Inc., Class B | 384,312 | 38,934,649 |
VF Corp. | 274,057 | 27,312,520 |
Total | 66,247,169 | |
Total Consumer Discretionary | 277,465,468 | |
Consumer Staples 2.6% | ||
Food & Staples Retailing 1.5% | ||
Costco Wholesale Corp. | 107,000 | 31,449,440 |
Food Products 1.1% | ||
Mondelez International, Inc., Class A | 404,361 | 22,272,204 |
Total Consumer Staples | 53,721,644 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Financials 2.3% | ||
Banks 1.2% | ||
Citigroup, Inc. | 305,735 | 24,425,169 |
Insurance 1.1% | ||
Allstate Corp. (The) | 209,831 | 23,595,496 |
Total Financials | 48,020,665 | |
Health Care 15.6% | ||
Biotechnology 3.5% | ||
Alexion Pharmaceuticals, Inc.(a) | 177,985 | 19,249,078 |
BioMarin Pharmaceutical, Inc.(a) | 213,292 | 18,033,838 |
Exact Sciences Corp.(a) | 106,610 | 9,859,293 |
Vertex Pharmaceuticals, Inc.(a) | 112,042 | 24,531,596 |
Total | 71,673,805 | |
Health Care Equipment & Supplies 6.9% | ||
Abbott Laboratories | 428,320 | 37,203,875 |
Baxter International, Inc. | 349,313 | 29,209,553 |
Danaher Corp. | 187,049 | 28,708,281 |
Edwards Lifesciences Corp.(a) | 103,694 | 24,190,773 |
Medtronic PLC | 205,727 | 23,339,728 |
Total | 142,652,210 | |
Health Care Providers & Services 2.0% | ||
Guardant Health, Inc.(a) | 105,573 | 8,249,475 |
Humana, Inc. | 89,035 | 32,633,108 |
Total | 40,882,583 | |
Life Sciences Tools & Services 0.7% | ||
Bio-Techne Corp. | 68,634 | 15,065,849 |
Pharmaceuticals 2.5% | ||
Allergan PLC | 61,121 | 11,684,502 |
Bristol-Myers Squibb Co. | 612,900 | 39,342,051 |
Total | 51,026,553 | |
Total Health Care | 321,301,000 |
8 | Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2019 |
December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Industrials 8.3% | ||
Aerospace & Defense 2.8% | ||
L3 Harris Technologies, Inc. | 97,486 | 19,289,555 |
Northrop Grumman Corp. | 67,831 | 23,331,829 |
Spirit AeroSystems Holdings, Inc., Class A | 209,660 | 15,280,021 |
Total | 57,901,405 | |
Electrical Equipment 1.1% | ||
AMETEK, Inc. | 240,735 | 24,010,909 |
Industrial Conglomerates 1.6% | ||
Honeywell International, Inc. | 184,549 | 32,665,173 |
Machinery 1.3% | ||
Ingersoll-Rand PLC | 196,897 | 26,171,549 |
Road & Rail 1.5% | ||
Norfolk Southern Corp. | 155,647 | 30,215,752 |
Total Industrials | 170,964,788 | |
Information Technology 37.9% | ||
Electronic Equipment, Instruments & Components 1.1% | ||
Zebra Technologies Corp., Class A(a) | 87,132 | 22,256,998 |
IT Services 9.0% | ||
Fidelity National Information Services, Inc. | 208,498 | 28,999,987 |
Fiserv, Inc.(a) | 265,839 | 30,738,964 |
PayPal Holdings, Inc.(a) | 446,577 | 48,306,234 |
Visa, Inc., Class A | 408,767 | 76,807,319 |
Total | 184,852,504 | |
Semiconductors & Semiconductor Equipment 8.0% | ||
Broadcom, Inc. | 115,464 | 36,488,933 |
Lam Research Corp. | 73,429 | 21,470,640 |
NVIDIA Corp. | 194,701 | 45,813,145 |
NXP Semiconductors NV | 277,664 | 35,335,521 |
Qorvo, Inc.(a) | 141,858 | 16,488,155 |
Teradyne, Inc. | 146,162 | 9,966,787 |
Total | 165,563,181 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Software 13.7% | ||
Adobe, Inc.(a) | 165,265 | 54,506,050 |
Microsoft Corp. | 890,251 | 140,392,583 |
Palo Alto Networks, Inc.(a) | 98,025 | 22,668,281 |
Salesforce.com, Inc.(a) | 192,567 | 31,319,097 |
ServiceNow, Inc.(a) | 58,366 | 16,477,889 |
VMware, Inc., Class A | 114,494 | 17,379,044 |
Total | 282,742,944 | |
Technology Hardware, Storage & Peripherals 6.1% | ||
Apple, Inc. | 428,942 | 125,958,818 |
Total Information Technology | 781,374,445 | |
Real Estate 3.2% | ||
Equity Real Estate Investment Trusts (REITS) 3.2% | ||
American Tower Corp. | 162,450 | 37,334,259 |
Equinix, Inc. | 50,428 | 29,434,824 |
Total | 66,769,083 | |
Total Real Estate | 66,769,083 | |
Total Common Stocks (Cost $1,358,223,981) | 2,028,665,405 | |
Money Market Funds 1.7% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(b),(c) | 35,359,382 | 35,355,846 |
Total Money Market Funds (Cost $35,357,697) | 35,355,846 | |
Total Investments in Securities (Cost: $1,393,581,678) | 2,064,021,251 | |
Other Assets & Liabilities, Net | (1,863,824) | |
Net Assets | 2,062,157,427 |
Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2019 | 9 |
December 31, 2019
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | ||||||||
38,465,083 | 386,412,503 | (389,518,204) | 35,359,382 | (1,977) | (1,851) | 904,615 | 35,355,846 |
ADR | American Depositary Receipt |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
10 | Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2019 |
December 31, 2019
The following table is a summary of the inputs used to value the Fund’s investments at December 31, 2019:
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 309,048,312 | — | — | 309,048,312 |
Consumer Discretionary | 277,465,468 | — | — | 277,465,468 |
Consumer Staples | 53,721,644 | — | — | 53,721,644 |
Financials | 48,020,665 | — | — | 48,020,665 |
Health Care | 321,301,000 | — | — | 321,301,000 |
Industrials | 170,964,788 | — | — | 170,964,788 |
Information Technology | 781,374,445 | — | — | 781,374,445 |
Real Estate | 66,769,083 | — | — | 66,769,083 |
Total Common Stocks | 2,028,665,405 | — | — | 2,028,665,405 |
Money Market Funds | 35,355,846 | — | — | 35,355,846 |
Total Investments in Securities | 2,064,021,251 | — | — | 2,064,021,251 |
Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2019 | 11 |
December 31, 2019
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,358,223,981) | $2,028,665,405 |
Affiliated issuers (cost $35,357,697) | 35,355,846 |
Receivable for: | |
Capital shares sold | 29,379 |
Dividends | 1,177,400 |
Foreign tax reclaims | 22,219 |
Prepaid expenses | 5,426 |
Total assets | 2,065,255,675 |
Liabilities | |
Payable for: | |
Capital shares purchased | 2,722,329 |
Management services fees | 39,129 |
Distribution and/or service fees | 1,686 |
Service fees | 49,478 |
Compensation of board members | 230,362 |
Compensation of chief compliance officer | 415 |
Other expenses | 54,849 |
Total liabilities | 3,098,248 |
Net assets applicable to outstanding capital stock | $2,062,157,427 |
Represented by | |
Trust capital | $2,062,157,427 |
Total - representing net assets applicable to outstanding capital stock | $2,062,157,427 |
Class 1 | |
Net assets | $1,700,173,879 |
Shares outstanding | 77,700,101 |
Net asset value per share | $21.88 |
Class 2 | |
Net assets | $131,133,100 |
Shares outstanding | 6,140,179 |
Net asset value per share | $21.36 |
Class 3 | |
Net assets | $230,850,448 |
Shares outstanding | 10,668,321 |
Net asset value per share | $21.64 |
12 | Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2019 |
Year Ended December 31, 2019
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $16,561,184 |
Dividends — affiliated issuers | 904,615 |
Interfund lending | 59 |
Foreign taxes withheld | (20,044) |
Total income | 17,445,814 |
Expenses: | |
Management services fees | 13,196,923 |
Distribution and/or service fees | |
Class 2 | 308,917 |
Class 3 | 275,465 |
Service fees | 436,590 |
Compensation of board members | 57,984 |
Custodian fees | 17,621 |
Printing and postage fees | 57,959 |
Audit fees | 30,681 |
Legal fees | 24,657 |
Compensation of chief compliance officer | 397 |
Other | 35,494 |
Total expenses | 14,442,688 |
Net investment income | 3,003,126 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 168,393,201 |
Investments — affiliated issuers | (1,977) |
Net realized gain | 168,391,224 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 393,982,588 |
Investments — affiliated issuers | (1,851) |
Net change in unrealized appreciation (depreciation) | 393,980,737 |
Net realized and unrealized gain | 562,371,961 |
Net increase in net assets resulting from operations | $565,375,087 |
Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2019 | 13 |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $3,003,126 | $2,414,682 |
Net realized gain | 168,391,224 | 115,295,129 |
Net change in unrealized appreciation (depreciation) | 393,980,737 | (178,594,543) |
Net increase (decrease) in net assets resulting from operations | 565,375,087 | (60,884,732) |
Decrease in net assets from capital stock activity | (121,387,167) | (82,618,750) |
Total increase (decrease) in net assets | 443,987,920 | (143,503,482) |
Net assets at beginning of year | 1,618,169,507 | 1,761,672,989 |
Net assets at end of year | $2,062,157,427 | $1,618,169,507 |
Year Ended | Year Ended | |||
December 31, 2019 | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 282,595 | 5,422,445 | 358,414 | 6,311,350 |
Redemptions | (4,095,180) | (79,930,505) | (2,852,198) | (51,531,781) |
Net decrease | (3,812,585) | (74,508,060) | (2,493,784) | (45,220,431) |
Class 2 | ||||
Subscriptions | 382,032 | 7,219,651 | 828,438 | 14,456,375 |
Redemptions | (1,146,409) | (21,781,555) | (1,320,347) | (23,343,749) |
Net decrease | (764,377) | (14,561,904) | (491,909) | (8,887,374) |
Class 3 | ||||
Subscriptions | 72,567 | 1,366,805 | 112,368 | 2,030,639 |
Redemptions | (1,752,447) | (33,684,008) | (1,726,243) | (30,541,584) |
Net decrease | (1,679,880) | (32,317,203) | (1,613,875) | (28,510,945) |
Total net decrease | (6,256,842) | (121,387,167) | (4,599,568) | (82,618,750) |
14 | Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2019 |
Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2019 | 15 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2019 | $16.10 | 0.04 | 5.74 | 5.78 |
Year Ended 12/31/2018 | $16.76 | 0.03 | (0.69) | (0.66) |
Year Ended 12/31/2017 | $13.08 | 0.05 | 3.63 | 3.68 |
Year Ended 12/31/2016 | $12.92 | 0.09 | 0.07 | 0.16 |
Year Ended 12/31/2015 | $11.84 | 0.03 | 1.05 | 1.08 |
Class 2 | ||||
Year Ended 12/31/2019 | $15.76 | (0.01) | 5.61 | 5.60 |
Year Ended 12/31/2018 | $16.44 | (0.02) | (0.66) | (0.68) |
Year Ended 12/31/2017 | $12.86 | 0.02 | 3.56 | 3.58 |
Year Ended 12/31/2016 | $12.73 | 0.04 | 0.09 | 0.13 |
Year Ended 12/31/2015 | $11.70 | 0.00(c) | 1.03 | 1.03 |
Class 3 | ||||
Year Ended 12/31/2019 | $15.94 | 0.01 | 5.69 | 5.70 |
Year Ended 12/31/2018 | $16.62 | 0.01 | (0.69) | (0.68) |
Year Ended 12/31/2017 | $12.99 | 0.04 | 3.59 | 3.63 |
Year Ended 12/31/2016 | $12.84 | 0.07 | 0.08 | 0.15 |
Year Ended 12/31/2015 | $11.78 | 0.01 | 1.05 | 1.06 |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Rounds to zero. |
16 | Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2019 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019 | $21.88 | 35.90% | 0.73% | 0.73% | 0.19% | 39% | $1,700,174 |
Year Ended 12/31/2018 | $16.10 | (3.94%) | 0.74% | 0.74% | 0.16% | 27% | $1,312,513 |
Year Ended 12/31/2017 | $16.76 | 28.14% | 0.77% | 0.76% | 0.36% | 35% | $1,408,054 |
Year Ended 12/31/2016 | $13.08 | 1.24% | 0.80% | 0.77% | 0.69% | 54% | $1,267,016 |
Year Ended 12/31/2015 | $12.92 | 9.12% | 0.80% | 0.79% | 0.23% | 56% | $1,198,464 |
Class 2 | |||||||
Year Ended 12/31/2019 | $21.36 | 35.53% | 0.98% | 0.98% | (0.06%) | 39% | $131,133 |
Year Ended 12/31/2018 | $15.76 | (4.14%) | 0.99% | 0.99% | (0.09%) | 27% | $108,782 |
Year Ended 12/31/2017 | $16.44 | 27.84% | 1.02% | 1.01% | 0.11% | 35% | $121,608 |
Year Ended 12/31/2016 | $12.86 | 1.02% | 1.05% | 1.01% | 0.35% | 54% | $108,824 |
Year Ended 12/31/2015 | $12.73 | 8.80% | 1.05% | 1.04% | (0.02%) | 56% | $32,835 |
Class 3 | |||||||
Year Ended 12/31/2019 | $21.64 | 35.76% | 0.86% | 0.86% | 0.06% | 39% | $230,850 |
Year Ended 12/31/2018 | $15.94 | (4.09%) | 0.86% | 0.86% | 0.04% | 27% | $196,874 |
Year Ended 12/31/2017 | $16.62 | 27.94% | 0.89% | 0.88% | 0.23% | 35% | $232,010 |
Year Ended 12/31/2016 | $12.99 | 1.17% | 0.92% | 0.89% | 0.55% | 54% | $207,757 |
Year Ended 12/31/2015 | $12.84 | 9.00% | 0.92% | 0.92% | 0.10% | 56% | $252,250 |
Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2019 | 17 |
December 31, 2019
18 | Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2019 | 19 |
December 31, 2019
20 | Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2019 |
December 31, 2019
Fee rate(s) contractual through April 30, 2020 | |
Class 1 | 0.75% |
Class 2 | 1.00 |
Class 3 | 0.875 |
Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2019 | 21 |
December 31, 2019
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 200,000 | 2.67 | 4 |
22 | Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2019 | 23 |
24 | Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2019 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1953 | Trustee since 1/17 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 121 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 1/06 for RiverSource Funds and since 6/11 for Nations Funds | Attorney; specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018 | 121 | Trustee, BlueCross BlueShield of Minnesota since 2009 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee since 2017); Chair of the Robina Foundation since August 2013; former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017 |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 7/07 for RiverSource Funds and since 6/11 for Nations Funds | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, Morgan Stanley, 1982-1991 | 121 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of Human Resources Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee) since 2019 |
Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2019 | 25 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1950 | Trustee since 11/04 for RiverSource Funds and since 6/11 for Nations Funds | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 121 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative since 2010; Board of Directors, The MA Business Roundtable 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 12/17 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 121 | Trustee, Catholic Schools Foundation since 2004 |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Chair of the Board since 1/20; Trustee since 11/04 for RiverSource Funds and since 6/11 for Nations Funds | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Managing Director, Morgan Stanley, 1982-1989; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 121 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Anthony M. Santomero c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1946 | Trustee since 6/11 for RiverSource Funds and since 1/08 for Nations Funds | Richard K. Mellon Professor Emeritus of Finance, The Wharton School, University of Pennsylvania, since 2002; Senior Advisor, McKinsey & Company (consulting), 2006-2008; President, Federal Reserve Bank of Philadelphia, 2000- 2006; Professor of Finance, The Wharton School, University of Pennsylvania, 1972-2002 | 121 | Trustee, Penn Mutual Life Insurance Company since March 2008; Director, Renaissance Reinsurance Ltd. since May 2008; former Director, Citigroup Inc. and Citibank, N.A., 2009-2019; former Trustee, BofA Funds Series Trust (11 funds), 2008-2011 |
Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1947 | Trustee since 6/11 for RiverSource Funds and since 2003 for Nations Funds | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 121 | Director, BlueCross BlueShield of South Carolina since April 2008; Trustee, Hollingsworth Funds since 2016 (previously Board Chair from 2016-2019); Advisory Board member, Duke Energy Corp. since October 2016; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018 |
26 | Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2019 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Sandra Yeager c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 12/17 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 119 | Director, NAPE Education Foundation since October 2016 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin St. Boston, MA 02110 1960 | Trustee since 11/01 for RiverSource Funds and since 6/11 for Nations Funds; Senior Vice President since 2002 for RiverSource Funds and since 5/10 for Nations Funds | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010 - September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006 - August 2012. | 192 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, August 2006-January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2019 | 27 |
The Board has appointed officers who are responsible for day-to-day business decisions based on policies it has established. The officers serve at the pleasure of the Board. The following table provides basic information about the Officers of the Fund, including principal occupations during the past five years, although their specific titles may have varied over the period. In addition to Mr. Truscott, who is Senior Vice President, the Fund’s other officers are:
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously Vice President and Chief Counsel, January 2010 - December 2014); officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer, Principal Financial Officer (2009), and Senior Vice President (2019) | Vice President, Head of North American Operations, and Co-Head of Global Operations, – Accounting and Tax, Columbia Management Investment Advisers, LLC, since June 2019 (previously Vice President – Accounting and Tax, May 2010 – May 2019); senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009 – January 2019 and December 2015 – January 2019, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer, Chief Accounting Officer (Principal Accounting Officer) (2019), and Principal Financial Officer (2020) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously Vice President — Pricing and Corporate Actions, May 2010 - March 2017). |
Paul B. Goucher 485 Lexington Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since March 2015 (previously Vice President and Assistant Secretary, May 2010 – March 2015). |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 Born 1962 | Senior Vice President (2020) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); previously, Senior Vice President of Investment Product Management, Fidelity Financial Advisor Solutions, a division of Fidelity Investments (January 2012 – March 2015). |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
28 | Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2019 |
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
Columbia Variable Portfolio – Large Cap Growth Fund | Annual Report 2019 | 29 |
December 31, 2019
3 | |
5 | |
7 | |
8 | |
13 | |
14 | |
15 | |
16 | |
18 | |
24 | |
25 |
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1* | 05/03/10 | 24.07 | 8.16 | 10.13 | |
Class 2* | 05/03/10 | 23.76 | 7.89 | 9.85 | |
Class 3 | 09/15/99 | 23.92 | 8.03 | 10.00 | |
MSCI USA High Dividend Yield Index (Net) | 21.26 | 9.78 | 12.65 | ||
Russell 1000 Value Index | 26.54 | 8.29 | 11.80 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2019 | 3 |
Portfolio breakdown (%) (at December 31, 2019) | |
Common Stocks | 89.1 |
Convertible Bonds | 0.8 |
Convertible Preferred Stocks | 9.1 |
Money Market Funds | 1.0 |
Total | 100.0 |
Equity sector breakdown (%) (at December 31, 2019) | |
Communication Services | 7.2 |
Consumer Discretionary | 4.4 |
Consumer Staples | 12.3 |
Energy | 10.2 |
Financials | 15.9 |
Health Care | 16.2 |
Industrials | 6.7 |
Information Technology | 12.6 |
Materials | 2.5 |
Real Estate | 4.1 |
Utilities | 7.9 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2019 |
Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2019 | 5 |
6 | Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2019 |
(Unaudited)
July 1, 2019 — December 31, 2019 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,074.40 | 1,021.81 | 3.81 | 3.71 | 0.72 |
Class 2 | 1,000.00 | 1,000.00 | 1,072.90 | 1,020.54 | 5.12 | 4.99 | 0.97 |
Class 3 | 1,000.00 | 1,000.00 | 1,073.90 | 1,021.20 | 4.44 | 4.33 | 0.84 |
Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2019 | 7 |
December 31, 2019
Common Stocks 89.1% | ||
Issuer | Shares | Value ($) |
Communication Services 7.1% | ||
Diversified Telecommunication Services 7.1% | ||
AT&T, Inc. | 1,065,000 | 41,620,200 |
BCE, Inc. | 315,000 | 14,600,250 |
Verizon Communications, Inc. | 850,000 | 52,190,000 |
Total | 108,410,450 | |
Total Communication Services | 108,410,450 | |
Consumer Discretionary 4.4% | ||
Automobiles 0.8% | ||
General Motors Co. | 315,000 | 11,529,000 |
Hotels, Restaurants & Leisure 1.7% | ||
Extended Stay America, Inc. | 500,000 | 7,430,000 |
Las Vegas Sands Corp. | 165,000 | 11,391,600 |
Six Flags Entertainment Corp. | 170,000 | 7,668,700 |
Total | 26,490,300 | |
Household Durables 0.5% | ||
Newell Brands, Inc. | 400,000 | 7,688,000 |
Multiline Retail 0.9% | ||
Target Corp. | 102,500 | 13,141,525 |
Specialty Retail 0.5% | ||
Home Depot, Inc. (The) | 35,000 | 7,643,300 |
Total Consumer Discretionary | 66,492,125 | |
Consumer Staples 12.0% | ||
Beverages 4.0% | ||
Coca-Cola Co. (The) | 425,000 | 23,523,750 |
PepsiCo, Inc. | 275,000 | 37,584,250 |
Total | 61,108,000 | |
Food Products 2.1% | ||
ConAgra Foods, Inc. | 500,000 | 17,120,000 |
General Mills, Inc. | 275,000 | 14,729,000 |
Total | 31,849,000 | |
Household Products 2.9% | ||
Kimberly-Clark Corp. | 110,000 | 15,130,500 |
Procter & Gamble Co. (The) | 240,000 | 29,976,000 |
Total | 45,106,500 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Tobacco 3.0% | ||
Philip Morris International, Inc. | 535,000 | 45,523,150 |
Total Consumer Staples | 183,586,650 | |
Energy 10.0% | ||
Oil, Gas & Consumable Fuels 10.0% | ||
BP PLC, ADR | 1,350,000 | 50,949,000 |
Chevron Corp. | 435,000 | 52,421,850 |
ConocoPhillips Co. | 185,000 | 12,030,550 |
Suncor Energy, Inc. | 360,000 | 11,808,000 |
Valero Energy Corp. | 147,500 | 13,813,375 |
Williams Companies, Inc. (The) | 485,000 | 11,504,200 |
Total | 152,526,975 | |
Total Energy | 152,526,975 | |
Financials 15.6% | ||
Banks 12.3% | ||
Citigroup, Inc. | 510,000 | 40,743,900 |
JPMorgan Chase & Co. | 500,000 | 69,700,000 |
KeyCorp | 590,000 | 11,941,600 |
PNC Financial Services Group, Inc. (The) | 72,500 | 11,573,175 |
Truist Financial Corp. | 275,000 | 15,488,000 |
Wells Fargo & Co. | 710,000 | 38,198,000 |
Total | 187,644,675 | |
Capital Markets 1.3% | ||
Ares Capital Corp. | 400,000 | 7,460,000 |
Morgan Stanley | 245,000 | 12,524,400 |
Total | 19,984,400 | |
Insurance 2.0% | ||
MetLife, Inc. | 300,000 | 15,291,000 |
Principal Financial Group, Inc. | 275,000 | 15,125,000 |
Total | 30,416,000 | |
Total Financials | 238,045,075 |
8 | Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2019 |
December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Health Care 13.9% | ||
Biotechnology 4.9% | ||
AbbVie, Inc. | 425,000 | 37,629,500 |
Amgen, Inc. | 92,500 | 22,298,975 |
Gilead Sciences, Inc. | 225,000 | 14,620,500 |
Total | 74,548,975 | |
Pharmaceuticals 9.0% | ||
Bristol-Myers Squibb Co. | 325,000 | 20,861,750 |
Eli Lilly & Co. | 125,000 | 16,428,750 |
Johnson & Johnson | 340,000 | 49,595,800 |
Merck & Co., Inc. | 335,000 | 30,468,250 |
Pfizer, Inc. | 500,000 | 19,590,000 |
Total | 136,944,550 | |
Total Health Care | 211,493,525 | |
Industrials 5.9% | ||
Aerospace & Defense 0.8% | ||
Lockheed Martin Corp. | 30,000 | 11,681,400 |
Air Freight & Logistics 0.9% | ||
United Parcel Service, Inc., Class B | 122,500 | 14,339,850 |
Airlines 0.7% | ||
Delta Air Lines, Inc. | 180,000 | 10,526,400 |
Electrical Equipment 0.5% | ||
Eaton Corp. PLC | 82,500 | 7,814,400 |
Industrial Conglomerates 0.8% | ||
3M Co. | 67,500 | 11,908,350 |
Machinery 1.2% | ||
Caterpillar, Inc. | 127,500 | 18,829,200 |
Road & Rail 1.0% | ||
Union Pacific Corp. | 85,000 | 15,367,150 |
Total Industrials | 90,466,750 | |
Information Technology 11.2% | ||
Communications Equipment 3.1% | ||
Cisco Systems, Inc. | 975,000 | 46,761,000 |
Electronic Equipment, Instruments & Components 0.7% | ||
Corning, Inc. | 385,000 | 11,207,350 |
IT Services 1.9% | ||
International Business Machines Corp. | 215,000 | 28,818,600 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Semiconductors & Semiconductor Equipment 3.5% | ||
Broadcom, Inc. | 65,000 | 20,541,300 |
Maxim Integrated Products, Inc. | 135,000 | 8,303,850 |
Texas Instruments, Inc. | 192,500 | 24,695,825 |
Total | 53,540,975 | |
Software 0.5% | ||
Symantec Corp. | 300,000 | 7,656,000 |
Technology Hardware, Storage & Peripherals 1.5% | ||
Seagate Technology PLC | 195,000 | 11,602,500 |
Western Digital Corp. | 185,000 | 11,741,950 |
Total | 23,344,450 | |
Total Information Technology | 171,328,375 | |
Materials 2.5% | ||
Chemicals 2.0% | ||
Dow, Inc. | 275,000 | 15,050,750 |
Nutrien Ltd. | 315,000 | 15,091,650 |
Total | 30,142,400 | |
Metals & Mining 0.5% | ||
Steel Dynamics, Inc. | 220,000 | 7,488,800 |
Total Materials | 37,631,200 | |
Real Estate 3.0% | ||
Equity Real Estate Investment Trusts (REITS) 3.0% | ||
Alexandria Real Estate Equities, Inc. | 72,500 | 11,714,550 |
Duke Realty Corp. | 425,000 | 14,734,750 |
Equinix, Inc. | 13,500 | 7,879,950 |
Medical Properties Trust, Inc. | 535,000 | 11,293,850 |
Total | 45,623,100 | |
Total Real Estate | 45,623,100 | |
Utilities 3.5% | ||
Electric Utilities 1.8% | ||
Edison International | 155,000 | 11,688,550 |
Xcel Energy, Inc. | 240,000 | 15,237,600 |
Total | 26,926,150 |
Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2019 | 9 |
December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Multi-Utilities 1.7% | ||
Ameren Corp. | 200,000 | 15,360,000 |
NiSource, Inc. | 375,000 | 10,440,000 |
Total | 25,800,000 | |
Total Utilities | 52,726,150 | |
Total Common Stocks (Cost $1,216,245,758) | 1,358,330,375 |
Convertible Bonds 0.8% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Life Insurance 0.8% | ||||
AXA SA(a) | ||||
05/15/2021 | 7.250% | 10,500,000 | 12,120,045 | |
Total Convertible Bonds (Cost $10,754,919) | 12,120,045 |
Convertible Preferred Stocks 9.0% | |||
Issuer | Shares | Value ($) | |
Health Care 2.0% | |||
Health Care Equipment & Supplies 2.0% | |||
Becton Dickinson and Co. | 6.125% | 240,000 | 15,703,947 |
Danaher Corp. | 4.750% | 13,000 | 15,286,570 |
Total | 30,990,517 | ||
Total Health Care | 30,990,517 | ||
Industrials 0.6% | |||
Machinery 0.6% | |||
Stanley Black & Decker, Inc. | 5.250% | 83,000 | 9,020,938 |
Total Industrials | 9,020,938 | ||
Information Technology 1.1% | |||
Semiconductors & Semiconductor Equipment 1.1% | |||
Broadcom, Inc. | 8.000% | 14,700 | 17,174,892 |
Total Information Technology | 17,174,892 |
Convertible Preferred Stocks (continued) | |||
Issuer | Shares | Value ($) | |
Real Estate 1.0% | |||
Equity Real Estate Investment Trusts (REITS) 1.0% | |||
Crown Castle International Corp. | 6.875% | 12,000 | 15,379,754 |
Total Real Estate | 15,379,754 | ||
Utilities 4.3% | |||
Electric Utilities 2.0% | |||
American Electric Power Co., Inc. | 6.125% | 425,000 | 22,940,225 |
Southern Co. (The) | 6.750% | 145,000 | 7,806,800 |
Total | 30,747,025 | ||
Multi-Utilities 1.8% | |||
Dominion Energy, Inc. | 7.250% | 107,500 | 11,482,075 |
DTE Energy Co. | 6.250% | 300,000 | 15,339,600 |
Total | 26,821,675 | ||
Water Utilities 0.5% | |||
Aqua America, Inc. | 6.000% | 125,000 | 7,791,075 |
Total Utilities | 65,359,775 | ||
Total Convertible Preferred Stocks (Cost $124,990,455) | 137,925,876 |
Money Market Funds 1.0% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(b),(c) | 15,299,635 | 15,298,105 |
Total Money Market Funds (Cost $15,298,577) | 15,298,105 | |
Total Investments in Securities (Cost: $1,367,289,709) | 1,523,674,401 | |
Other Assets & Liabilities, Net | 1,302,674 | |
Net Assets | 1,524,977,075 |
10 | Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2019 |
December 31, 2019
(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. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At December 31, 2019, the total value of these securities amounted to $12,120,045, which represents 0.79% of total net assets. |
(b) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | ||||||||
10,177,410 | 336,381,079 | (331,258,854) | 15,299,635 | (1,704) | (472) | 436,582 | 15,298,105 |
ADR | American Depositary Receipt |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2019 | 11 |
December 31, 2019
The following table is a summary of the inputs used to value the Fund’s investments at December 31, 2019:
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 108,410,450 | — | — | 108,410,450 |
Consumer Discretionary | 66,492,125 | — | — | 66,492,125 |
Consumer Staples | 183,586,650 | — | — | 183,586,650 |
Energy | 152,526,975 | — | — | 152,526,975 |
Financials | 238,045,075 | — | — | 238,045,075 |
Health Care | 211,493,525 | — | — | 211,493,525 |
Industrials | 90,466,750 | — | — | 90,466,750 |
Information Technology | 171,328,375 | — | — | 171,328,375 |
Materials | 37,631,200 | — | — | 37,631,200 |
Real Estate | 45,623,100 | — | — | 45,623,100 |
Utilities | 52,726,150 | — | — | 52,726,150 |
Total Common Stocks | 1,358,330,375 | — | — | 1,358,330,375 |
Convertible Bonds | — | 12,120,045 | — | 12,120,045 |
Convertible Preferred Stocks | ||||
Health Care | — | 30,990,517 | — | 30,990,517 |
Industrials | — | 9,020,938 | — | 9,020,938 |
Information Technology | — | 17,174,892 | — | 17,174,892 |
Real Estate | — | 15,379,754 | — | 15,379,754 |
Utilities | — | 65,359,775 | — | 65,359,775 |
Total Convertible Preferred Stocks | — | 137,925,876 | — | 137,925,876 |
Money Market Funds | 15,298,105 | — | — | 15,298,105 |
Total Investments in Securities | 1,373,628,480 | 150,045,921 | — | 1,523,674,401 |
12 | Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2019 |
December 31, 2019
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,351,991,132) | $1,508,376,296 |
Affiliated issuers (cost $15,298,577) | 15,298,105 |
Receivable for: | |
Investments sold | 1,516,181 |
Capital shares sold | 673 |
Dividends | 2,405,472 |
Interest | 97,271 |
Foreign tax reclaims | 429,377 |
Prepaid expenses | 4,602 |
Total assets | 1,528,127,977 |
Liabilities | |
Payable for: | |
Investments purchased | 711,378 |
Capital shares purchased | 2,035,762 |
Management services fees | 27,881 |
Distribution and/or service fees | 3,329 |
Service fees | 55,327 |
Compensation of board members | 236,427 |
Compensation of chief compliance officer | 327 |
Other expenses | 80,471 |
Total liabilities | 3,150,902 |
Net assets applicable to outstanding capital stock | $1,524,977,075 |
Represented by | |
Trust capital | $1,524,977,075 |
Total - representing net assets applicable to outstanding capital stock | $1,524,977,075 |
Class 1 | |
Net assets | $632,897,763 |
Shares outstanding | 21,392,349 |
Net asset value per share | $29.59 |
Class 2 | |
Net assets | $81,504,402 |
Shares outstanding | 2,824,268 |
Net asset value per share | $28.86 |
Class 3 | |
Net assets | $810,574,910 |
Shares outstanding | 27,744,508 |
Net asset value per share | $29.22 |
Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2019 | 13 |
Year Ended December 31, 2019
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $56,266,672 |
Dividends — affiliated issuers | 436,582 |
Interest | 541,129 |
Foreign taxes withheld | (741,395) |
Total income | 56,502,988 |
Expenses: | |
Management services fees | 9,854,871 |
Distribution and/or service fees | |
Class 2 | 183,981 |
Class 3 | 997,702 |
Service fees | 596,862 |
Compensation of board members | 53,146 |
Custodian fees | 11,034 |
Printing and postage fees | 186,376 |
Audit fees | 47,531 |
Legal fees | 21,030 |
Compensation of chief compliance officer | 306 |
Other | 53,096 |
Total expenses | 12,005,935 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (248,805) |
Total net expenses | 11,757,130 |
Net investment income | 44,745,858 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 67,451,467 |
Investments — affiliated issuers | (1,704) |
Foreign currency translations | 14,149 |
Net realized gain | 67,463,912 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 199,017,345 |
Investments — affiliated issuers | (472) |
Foreign currency translations | (14,068) |
Net change in unrealized appreciation (depreciation) | 199,002,805 |
Net realized and unrealized gain | 266,466,717 |
Net increase in net assets resulting from operations | $311,212,575 |
14 | Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2019 |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $44,745,858 | $52,790,360 |
Net realized gain | 67,463,912 | 162,445,574 |
Net change in unrealized appreciation (depreciation) | 199,002,805 | (300,424,389) |
Net increase (decrease) in net assets resulting from operations | 311,212,575 | (85,188,455) |
Decrease in net assets from capital stock activity | (134,334,224) | (408,447,805) |
Total increase (decrease) in net assets | 176,878,351 | (493,636,260) |
Net assets at beginning of year | 1,348,098,724 | 1,841,734,984 |
Net assets at end of year | $1,524,977,075 | $1,348,098,724 |
Year Ended | Year Ended | |||
December 31, 2019 | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 133,595 | 3,631,958 | 643,362 | 16,199,937 |
Redemptions | (1,258,925) | (34,291,641) | (11,028,572) | (276,248,610) |
Net decrease | (1,125,330) | (30,659,683) | (10,385,210) | (260,048,673) |
Class 2 | ||||
Subscriptions | 379,689 | 10,008,585 | 253,800 | 6,328,719 |
Redemptions | (203,625) | (5,446,331) | (401,740) | (10,006,252) |
Net increase (decrease) | 176,064 | 4,562,254 | (147,940) | (3,677,533) |
Class 3 | ||||
Subscriptions | 32,858 | 903,929 | 18,538 | 464,509 |
Redemptions | (4,061,075) | (109,140,724) | (5,758,018) | (145,186,108) |
Net decrease | (4,028,217) | (108,236,795) | (5,739,480) | (144,721,599) |
Total net decrease | (4,977,483) | (134,334,224) | (16,272,630) | (408,447,805) |
Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2019 | 15 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2019 | $23.85 | 0.85 | 4.89 | 5.74 |
Year Ended 12/31/2018 | $25.30 | 0.85 | (2.30) | (1.45) |
Year Ended 12/31/2017 | $22.12 | 0.89 | 2.29 | 3.18 |
Year Ended 12/31/2016 | $19.46 | 0.78 | 1.88 | 2.66 |
Year Ended 12/31/2015 | $19.99 | 0.73 | (1.26) | (0.53) |
Class 2 | ||||
Year Ended 12/31/2019 | $23.32 | 0.77 | 4.77 | 5.54 |
Year Ended 12/31/2018 | $24.81 | 0.75 | (2.24) | (1.49) |
Year Ended 12/31/2017 | $21.74 | 0.82 | 2.25 | 3.07 |
Year Ended 12/31/2016 | $19.17 | 0.72 | 1.85 | 2.57 |
Year Ended 12/31/2015 | $19.74 | 0.65 | (1.22) | (0.57) |
Class 3 | ||||
Year Ended 12/31/2019 | $23.58 | 0.81 | 4.83 | 5.64 |
Year Ended 12/31/2018 | $25.05 | 0.79 | (2.26) | (1.47) |
Year Ended 12/31/2017 | $21.92 | 0.86 | 2.27 | 3.13 |
Year Ended 12/31/2016 | $19.31 | 0.75 | 1.86 | 2.61 |
Year Ended 12/31/2015 | $19.86 | 0.68 | (1.23) | (0.55) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
16 | Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2019 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019 | $29.59 | 24.07% | 0.74% | 0.72% | 3.13% | 46% | $632,898 |
Year Ended 12/31/2018 | $23.85 | (5.73%) | 0.72% | 0.72% | 3.31% | 87% | $537,062 |
Year Ended 12/31/2017 | $25.30 | 14.38% | 0.73% | 0.73% | 3.82% | 62% | $832,599 |
Year Ended 12/31/2016 | $22.12 | 13.67% | 0.74% | 0.74% | 3.78% | 64% | $742,337 |
Year Ended 12/31/2015 | $19.46 | (2.65%) | 0.71% | 0.71% | 3.65% | 93% | $657,752 |
Class 2 | |||||||
Year Ended 12/31/2019 | $28.86 | 23.76% | 0.99% | 0.97% | 2.88% | 46% | $81,504 |
Year Ended 12/31/2018 | $23.32 | (6.01%) | 0.97% | 0.97% | 2.99% | 87% | $61,764 |
Year Ended 12/31/2017 | $24.81 | 14.12% | 0.98% | 0.98% | 3.58% | 62% | $69,367 |
Year Ended 12/31/2016 | $21.74 | 13.41% | 0.99% | 0.99% | 3.52% | 64% | $59,186 |
Year Ended 12/31/2015 | $19.17 | (2.89%) | 0.98% | 0.98% | 3.33% | 93% | $46,304 |
Class 3 | |||||||
Year Ended 12/31/2019 | $29.22 | 23.92% | 0.86% | 0.84% | 3.00% | 46% | $810,575 |
Year Ended 12/31/2018 | $23.58 | (5.87%) | 0.85% | 0.84% | 3.11% | 87% | $749,273 |
Year Ended 12/31/2017 | $25.05 | 14.28% | 0.86% | 0.86% | 3.71% | 62% | $939,770 |
Year Ended 12/31/2016 | $21.92 | 13.52% | 0.87% | 0.87% | 3.66% | 64% | $967,557 |
Year Ended 12/31/2015 | $19.31 | (2.77%) | 0.86% | 0.86% | 3.45% | 93% | $982,852 |
Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2019 | 17 |
December 31, 2019
18 | Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2019 | 19 |
December 31, 2019
20 | Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2019 |
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Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2019 | 21 |
December 31, 2019
Fee rate(s) contractual through April 30, 2020 | |
Class 1 | 0.72% |
Class 2 | 0.97 |
Class 3 | 0.845 |
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Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2019 | 23 |
24 | Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2019 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1953 | Trustee since 1/17 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 121 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 1/06 for RiverSource Funds and since 6/11 for Nations Funds | Attorney; specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018 | 121 | Trustee, BlueCross BlueShield of Minnesota since 2009 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee since 2017); Chair of the Robina Foundation since August 2013; former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017 |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 7/07 for RiverSource Funds and since 6/11 for Nations Funds | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, Morgan Stanley, 1982-1991 | 121 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of Human Resources Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee) since 2019 |
Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2019 | 25 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1950 | Trustee since 11/04 for RiverSource Funds and since 6/11 for Nations Funds | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 121 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative since 2010; Board of Directors, The MA Business Roundtable 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 12/17 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 121 | Trustee, Catholic Schools Foundation since 2004 |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Chair of the Board since 1/20; Trustee since 11/04 for RiverSource Funds and since 6/11 for Nations Funds | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Managing Director, Morgan Stanley, 1982-1989; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 121 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Anthony M. Santomero c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1946 | Trustee since 6/11 for RiverSource Funds and since 1/08 for Nations Funds | Richard K. Mellon Professor Emeritus of Finance, The Wharton School, University of Pennsylvania, since 2002; Senior Advisor, McKinsey & Company (consulting), 2006-2008; President, Federal Reserve Bank of Philadelphia, 2000- 2006; Professor of Finance, The Wharton School, University of Pennsylvania, 1972-2002 | 121 | Trustee, Penn Mutual Life Insurance Company since March 2008; Director, Renaissance Reinsurance Ltd. since May 2008; former Director, Citigroup Inc. and Citibank, N.A., 2009-2019; former Trustee, BofA Funds Series Trust (11 funds), 2008-2011 |
Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1947 | Trustee since 6/11 for RiverSource Funds and since 2003 for Nations Funds | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 121 | Director, BlueCross BlueShield of South Carolina since April 2008; Trustee, Hollingsworth Funds since 2016 (previously Board Chair from 2016-2019); Advisory Board member, Duke Energy Corp. since October 2016; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018 |
26 | Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2019 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Sandra Yeager c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 12/17 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 119 | Director, NAPE Education Foundation since October 2016 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin St. Boston, MA 02110 1960 | Trustee since 11/01 for RiverSource Funds and since 6/11 for Nations Funds; Senior Vice President since 2002 for RiverSource Funds and since 5/10 for Nations Funds | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010 - September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006 - August 2012. | 192 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, August 2006-January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2019 | 27 |
The Board has appointed officers who are responsible for day-to-day business decisions based on policies it has established. The officers serve at the pleasure of the Board. The following table provides basic information about the Officers of the Fund, including principal occupations during the past five years, although their specific titles may have varied over the period. In addition to Mr. Truscott, who is Senior Vice President, the Fund’s other officers are:
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously Vice President and Chief Counsel, January 2010 - December 2014); officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer, Principal Financial Officer (2009), and Senior Vice President (2019) | Vice President, Head of North American Operations, and Co-Head of Global Operations, – Accounting and Tax, Columbia Management Investment Advisers, LLC, since June 2019 (previously Vice President – Accounting and Tax, May 2010 – May 2019); senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009 – January 2019 and December 2015 – January 2019, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer, Chief Accounting Officer (Principal Accounting Officer) (2019), and Principal Financial Officer (2020) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously Vice President — Pricing and Corporate Actions, May 2010 - March 2017). |
Paul B. Goucher 485 Lexington Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since March 2015 (previously Vice President and Assistant Secretary, May 2010 – March 2015). |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 Born 1962 | Senior Vice President (2020) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); previously, Senior Vice President of Investment Product Management, Fidelity Financial Advisor Solutions, a division of Fidelity Investments (January 2012 – March 2015). |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
28 | Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2019 |
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
Columbia Variable Portfolio – Dividend Opportunity Fund | Annual Report 2019 | 29 |
December 31, 2019
3 | |
5 | |
7 | |
8 | |
18 | |
19 | |
20 | |
22 | |
24 | |
39 | |
40 |
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1* | 05/03/10 | 6.73 | 3.18 | 2.61 | |
Class 2* | 05/03/10 | 6.50 | 2.93 | 2.36 | |
Class 3 | 09/15/99 | 6.61 | 3.05 | 2.49 | |
Bloomberg Barclays U.S. Mortgage-Backed Securities Index | 6.35 | 2.58 | 3.15 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2019 | 3 |
Portfolio breakdown (%) (at December 31, 2019) | |
Asset-Backed Securities — Agency | 0.0(a) |
Asset-Backed Securities — Non-Agency | 5.9 |
Commercial Mortgage-Backed Securities - Agency | 4.2 |
Commercial Mortgage-Backed Securities - Non-Agency | 4.2 |
Money Market Funds | 3.3 |
Options Purchased Calls | 0.0(a) |
Residential Mortgage-Backed Securities - Agency | 74.6 |
Residential Mortgage-Backed Securities - Non-Agency | 7.8 |
Total | 100.0 |
(a) | Rounds to zero. |
Quality breakdown (%) (at December 31, 2019) | |
AAA rating | 81.5 |
AA rating | 2.8 |
A rating | 2.6 |
BBB rating | 6.0 |
BB rating | 1.2 |
B rating | 0.8 |
Not rated | 5.1 |
Total | 100.0 |
4 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2019 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2019 | 5 |
6 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2019 |
(Unaudited)
July 1, 2019 — December 31, 2019 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,020.20 | 1,023.14 | 2.37 | 2.37 | 0.46 |
Class 2 | 1,000.00 | 1,000.00 | 1,018.30 | 1,021.86 | 3.65 | 3.66 | 0.71 |
Class 3 | 1,000.00 | 1,000.00 | 1,019.20 | 1,022.47 | 3.04 | 3.04 | 0.59 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2019 | 7 |
December 31, 2019
Asset-Backed Securities — Agency 0.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
United States Small Business Administration | ||||
Series 2001-20H Class 1 | ||||
08/01/2021 | 6.340% | 3,018 | 3,070 | |
Total Asset-Backed Securities — Agency (Cost $3,018) | 3,070 | |||
Asset-Backed Securities — Non-Agency 7.6% | ||||
Apidos CLO XXVIII(a),(b) | ||||
Series 2017-28A Class B | ||||
3-month USD LIBOR + 1.700% Floor 1.700% 01/20/2031 | 3.666% | 4,125,000 | 4,001,514 | |
Avant Loans Funding Trust(a) | ||||
Subordinated Series 2018-B Class B | ||||
07/15/2022 | 4.110% | 5,430,000 | 5,471,592 | |
Carlyle Global Market Strategies CLO Ltd.(a),(b) | ||||
Series 2013-1A Class BR | ||||
3-month USD LIBOR + 2.350% 08/14/2030 | 4.259% | 1,900,000 | 1,856,399 | |
Series 2013-3A Class BR | ||||
3-month USD LIBOR + 1.700% 10/15/2030 | 3.701% | 2,750,000 | 2,597,158 | |
Series 2013-4A Class BRR | ||||
3-month USD LIBOR + 1.420% Floor 1.420% 01/15/2031 | 3.421% | 6,500,000 | 6,399,581 | |
Conn’s Receivables Funding LLC(a) | ||||
Series 2019-B Class A | ||||
06/17/2024 | 2.660% | 5,519,070 | 5,522,087 | |
LendingClub Receivables Trust(a) | ||||
Series 2019-5 Class A | ||||
12/15/2045 | 3.750% | 5,375,554 | 5,361,954 | |
Madison Park Funding Ltd.(a),(b) | ||||
Series 2015-18A Class CR | ||||
3-month USD LIBOR + 1.950% 10/21/2030 | 3.916% | 6,000,000 | 5,890,476 | |
OZLM Funding IV Ltd.(a),(b) | ||||
Series 2013-4A Class D2R | ||||
3-month USD LIBOR + 7.250% 10/22/2030 | 9.203% | 2,000,000 | 1,917,372 | |
OZLM Funding Ltd.(a),(b) | ||||
Series 2012-1A Class DR2 | ||||
3-month USD LIBOR + 6.670% 07/22/2029 | 8.623% | 3,000,000 | 2,897,367 | |
OZLM XI Ltd.(a),(b) | ||||
Series 2015-11A Class A2R | ||||
3-month USD LIBOR + 1.750% 10/30/2030 | 3.686% | 3,000,000 | 2,931,942 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Pagaya AI Debt Selection Trust(a) | ||||
Series 2019-3 Class A | ||||
11/16/2026 | 3.821% | 4,754,025 | 4,763,220 | |
Prosper Marketplace Issuance Trust(a) | ||||
Series 2018-1A Class B | ||||
06/17/2024 | 3.900% | 1,633,844 | 1,637,047 | |
Series 2019-3A Class B | ||||
07/15/2025 | 3.590% | 2,000,000 | 2,007,061 | |
Subordinated Series 2017-1A Class C | ||||
06/15/2023 | 5.800% | 2,070,289 | 2,098,414 | |
Subordinated Series 2017-2A Class C | ||||
09/15/2023 | 5.370% | 2,676,307 | 2,702,249 | |
RR 3 Ltd.(a),(b) | ||||
Series 2014-14A Class A2R2 | ||||
3-month USD LIBOR + 1.400% Floor 1.400% 01/15/2030 | 3.401% | 3,750,000 | 3,665,464 | |
SCF Equipment Leasing LLC(a) | ||||
Series 2017-2A Class A | ||||
12/20/2023 | 3.410% | 2,283,849 | 2,285,446 | |
SoFi Consumer Loan Program Trust(a) | ||||
Series 2018-3 Class B | ||||
08/25/2027 | 4.020% | 4,500,000 | 4,621,994 | |
SoFi Professional Loan Program LLC(a),(c),(d),(e),(f) | ||||
Series 2015-D Class RC | ||||
10/26/2037 | 0.000% | 3 | 740,000 | |
Series 2016-A Class RIO | ||||
01/25/2038 | 0.000% | 3 | 360,000 | |
Series 2016-A Class RPO | ||||
01/25/2038 | 0.000% | 4 | 1,136,810 | |
SoFi Professional Loan Program LLC(a),(c),(e),(f) | ||||
Series 2017-A Class R | ||||
03/26/2040 | 0.000% | 30,000 | 1,172,550 | |
Sounds Point IV-R CLO Ltd.(a),(b) | ||||
Series 2013-3RA Class B | ||||
3-month USD LIBOR + 1.750% Floor 1.750% 04/18/2031 | 3.753% | 5,000,000 | 4,884,710 | |
Total Asset-Backed Securities — Non-Agency (Cost $81,530,643) | 76,922,407 | |||
Commercial Mortgage-Backed Securities - Agency 5.4% | ||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates | ||||
Series K063 Class A2 | ||||
01/25/2027 | 3.430% | 4,395,000 | 4,704,908 |
8 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2019 |
December 31, 2019
Commercial Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal National Mortgage Association(g) | ||||
Series 2017-M15 Class ATS2 | ||||
11/25/2027 | 3.136% | 7,000,000 | 7,245,004 | |
Series 2018-M7 Class A2 | ||||
03/25/2028 | 3.052% | 25,000,000 | 26,224,112 | |
Federal National Mortgage Association | ||||
Series 2017-T1 Class A | ||||
06/25/2027 | 2.898% | 3,992,210 | 4,094,045 | |
FRESB Mortgage Trust(g) | ||||
Series 2018-SB45 Class A10F | ||||
11/25/2027 | 3.160% | 6,509,028 | 6,661,997 | |
Government National Mortgage Association | ||||
Series 2017-190 Class AD | ||||
03/16/2060 | 2.600% | 3,613,572 | 3,604,219 | |
Government National Mortgage Association(g),(h) | ||||
Series 2019-118 Class IO | ||||
06/16/2061 | 0.845% | 22,956,535 | 1,677,847 | |
Total Commercial Mortgage-Backed Securities - Agency (Cost $51,247,178) | 54,212,132 | |||
Commercial Mortgage-Backed Securities - Non-Agency 5.5% | ||||
Braemar Hotels & Resorts Trust(a),(b) | ||||
Series 2018-PRME Class D | ||||
1-month USD LIBOR + 1.800% Floor 1.925% 06/15/2035 | 3.540% | 3,500,000 | 3,493,635 | |
CHT 2017-COSMO Mortgage Trust(a),(b) | ||||
Series 2017-CSMO Class D | ||||
1-month USD LIBOR + 2.250% Floor 2.100% 11/15/2036 | 3.990% | 8,000,000 | 8,005,132 | |
Credit Suisse Mortgage Capital Certificates OA LLC(a) | ||||
Subordinated Series 2014-USA Class D | ||||
09/15/2037 | 4.373% | 3,120,000 | 3,065,302 | |
Subordinated Series 2014-USA Class E | ||||
09/15/2037 | 4.373% | 4,200,000 | 3,949,292 | |
Subordinated Series 2014-USA Class F | ||||
09/15/2037 | 4.373% | 1,000,000 | 901,146 | |
Hilton U.S.A. Trust(a),(g) | ||||
Series 2016-HHV Class F | ||||
11/05/2038 | 4.194% | 7,500,000 | 7,444,592 | |
Hilton U.S.A. Trust(a) | ||||
Subordinated Series 2016-SFP Class E | ||||
11/05/2035 | 5.519% | 1,000,000 | 1,001,190 | |
Subordinated Series 2016-SFP Class F | ||||
11/05/2035 | 6.155% | 2,000,000 | 2,005,555 | |
JPMorgan Chase Commercial Mortgage Securities Trust(a) | ||||
Series 2011-C3 Class A4 | ||||
02/15/2046 | 4.717% | 150,887 | 153,959 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Morgan Stanley Capital I Trust(a) | ||||
Series 2019-MEAD Class D | ||||
11/10/2036 | 3.177% | 2,917,500 | 2,847,295 | |
Progress Residential Trust(a) | ||||
Series 2017-SFR1 Class E | ||||
08/17/2034 | 4.261% | 2,000,000 | 2,029,353 | |
Series 2018-SF3 Class B | ||||
10/17/2035 | 4.079% | 8,500,000 | 8,611,356 | |
Subordinated Series 2019-SFR2 Class E | ||||
05/17/2036 | 4.142% | 6,000,000 | 6,082,772 | |
UBS Commercial Mortgage Trust(a),(b) | ||||
Series 2018-NYCH Class C | ||||
1-month USD LIBOR + 1.500% Floor 1.500% 02/15/2032 | 3.240% | 2,500,000 | 2,502,588 | |
Series 2018-NYCH Class D | ||||
1-month USD LIBOR + 2.100% Floor 2.100% 02/15/2032 | 3.840% | 3,050,000 | 3,056,334 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $53,109,515) | 55,149,501 | |||
Residential Mortgage-Backed Securities - Agency 96.3% | ||||
Federal Home Loan Mortgage Corp. | ||||
06/01/2021- 04/01/2047 | 3.500% | 74,512,856 | 78,826,412 | |
03/01/2022 | 6.000% | 1,143 | 1,258 | |
10/01/2023- 10/01/2040 | 5.000% | 5,372,605 | 5,924,146 | |
08/01/2041- 06/01/2048 | 4.500% | 20,443,367 | 21,717,939 | |
10/01/2041- 03/01/2046 | 4.000% | 47,330,021 | 50,634,049 | |
11/01/2042- 10/01/2049 | 3.000% | 51,015,443 | 52,156,895 | |
Federal Home Loan Mortgage Corp.(b) | ||||
12-month USD LIBOR + 1.617% Cap 10.997% 01/01/2037 | 4.238% | 64,270 | 67,274 | |
12-month USD LIBOR + 1.910% Cap 10.450% 09/01/2037 | 4.358% | 63,878 | 66,909 | |
Federal Home Loan Mortgage Corp.(b),(h) | ||||
CMO Series 264 Class S1 | ||||
-1.0 x 1-month USD LIBOR + 5.950% Cap 5.950% 07/15/2042 | 4.210% | 9,826,839 | 1,617,430 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2019 | 9 |
December 31, 2019
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 318 Class S1 | ||||
-1.0 x 1-month USD LIBOR + 5.950% Cap 5.950% 11/15/2043 | 4.210% | 15,491,998 | 3,378,067 | |
CMO Series 4083 Class CS | ||||
-1.0 x 1-month USD LIBOR + 6.650% Cap 6.650% 12/15/2038 | 4.910% | 2,725,331 | 137,973 | |
CMO Series 4174 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 05/15/2039 | 4.460% | 7,045,247 | 559,836 | |
CMO Series 4183 Class AS | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 04/15/2039 | 4.410% | 3,478,541 | 291,626 | |
CMO Series 4223 Class DS | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 12/15/2038 | 4.360% | 1,997,687 | 120,813 | |
CMO Series 4286 Class NS | ||||
-1.0 x 1-month USD LIBOR + 5.900% Cap 5.900% 12/15/2043 | 4.160% | 4,921,679 | 1,000,703 | |
CMO Series 4594 Class SA | ||||
-1.0 x 1-month USD LIBOR + 5.950% Cap 5.950% 06/15/2046 | 4.210% | 12,800,926 | 2,658,121 | |
CMO STRIPS Series 309 Class S4 | ||||
-1.0 x 1-month USD LIBOR + 5.970% Cap 5.970% 08/15/2043 | 4.230% | 4,855,407 | 839,978 | |
CMO STRIPS Series 326 Class S1 | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 03/15/2044 | 4.260% | 2,393,872 | 414,530 | |
Federal Home Loan Mortgage Corp.(h) | ||||
CMO Series 266 | ||||
07/15/2042 | 4.000% | 5,701,077 | 923,692 | |
CMO Series 267 | ||||
08/15/2042 | 4.000% | 4,776,646 | 787,747 | |
CMO Series 4120 Class AI | ||||
11/15/2039 | 3.500% | 2,870,472 | 188,994 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 4121 Class IA | ||||
01/15/2041 | 3.500% | 3,252,052 | 304,002 | |
CMO Series 4122 Class JI | ||||
12/15/2040 | 4.000% | 4,264,923 | 339,239 | |
CMO Series 4139 Class CI | ||||
05/15/2042 | 3.500% | 2,274,662 | 261,992 | |
CMO Series 4147 Class CI | ||||
01/15/2041 | 3.500% | 7,747,860 | 796,195 | |
CMO Series 4148 Class BI | ||||
02/15/2041 | 4.000% | 2,316,791 | 201,780 | |
CMO Series 4177 Class IY | ||||
03/15/2043 | 4.000% | 9,649,306 | 1,665,258 | |
CMO Series 4182 Class DI | ||||
05/15/2039 | 3.500% | 7,920,834 | 455,483 | |
CMO Series 4213 Class DI | ||||
06/15/2038 | 3.500% | 6,294,747 | 330,963 | |
Federal Home Loan Mortgage Corp.(g),(h) | ||||
CMO Series 4068 Class GI | ||||
09/15/2036 | 2.360% | 4,146,108 | 211,233 | |
Federal National Mortgage Association | ||||
02/01/2022- 12/01/2037 | 5.000% | 11,954,721 | 13,178,527 | |
08/01/2022 | 6.000% | 623 | 685 | |
09/01/2023- 11/01/2023 | 5.500% | 1,298,516 | 1,355,410 | |
03/01/2027- 03/01/2028 | 2.500% | 16,934,762 | 17,169,718 | |
03/01/2027- 07/01/2048 | 3.500% | 154,126,324 | 161,428,519 | |
05/01/2027- 11/01/2042 | 3.000% | 30,851,078 | 31,825,167 | |
11/01/2043- 06/01/2048 | 4.000% | 47,483,350 | 50,480,470 | |
08/01/2047 | 4.500% | 6,441,122 | 6,797,352 | |
CMO Series 2017-72 Class B | ||||
09/25/2047 | 3.000% | 6,663,927 | 6,804,498 | |
Series 6008 Class GEO | ||||
07/01/2049 | 3.500% | 18,956,009 | 19,496,944 | |
Federal National Mortgage Association(b) | ||||
6-month USD LIBOR + 1.383% Floor 1.383%, Cap 9.383% 02/01/2033 | 3.633% | 16,279 | 16,756 | |
6-month USD LIBOR + 1.413% Floor 1.413%, Cap 10.038% 07/01/2033 | 3.413% | 3,042 | 3,057 | |
12-month USD LIBOR + 1.715% Floor 1.715%, Cap 9.167% 12/01/2033 | 3.715% | 2,720 | 2,840 | |
12-month USD LIBOR + 1.588% Floor 1.588%, Cap 9.160% 06/01/2034 | 4.463% | 19,594 | 20,466 |
10 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2019 |
December 31, 2019
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal National Mortgage Association(i) | ||||
01/16/2035 | 2.500% | 40,000,000 | 40,365,625 | |
01/14/2050 | 3.000% | 61,810,000 | 62,688,861 | |
01/14/2050 | 3.500% | 17,000,000 | 17,488,086 | |
01/14/2050 | 4.000% | 86,000,000 | 89,446,719 | |
01/14/2050 | 4.500% | 35,000,000 | 36,849,805 | |
Federal National Mortgage Association(j) | ||||
05/01/2039 | 4.500% | 3,677,840 | 4,022,260 | |
Federal National Mortgage Association(g) | ||||
CMO Series 2003-W11 Class A1 | ||||
06/25/2033 | 4.959% | 871 | 909 | |
Federal National Mortgage Association(g),(h) | ||||
CMO Series 2006-5 Class N1 | ||||
08/25/2034 | 0.000% | 3,823,663 | 0 | |
Federal National Mortgage Association(h) | ||||
CMO Series 2012-118 Class BI | ||||
12/25/2039 | 3.500% | 8,506,980 | 659,402 | |
CMO Series 2012-121 Class GI | ||||
08/25/2039 | 3.500% | 4,655,767 | 225,561 | |
CMO Series 2012-129 Class IC | ||||
01/25/2041 | 3.500% | 5,387,684 | 583,107 | |
CMO Series 2012-133 Class EI | ||||
07/25/2031 | 3.500% | 1,664,173 | 121,035 | |
CMO Series 2012-134 Class AI | ||||
07/25/2040 | 3.500% | 8,185,605 | 775,504 | |
CMO Series 2012-144 Class HI | ||||
07/25/2042 | 3.500% | 2,060,881 | 239,695 | |
CMO Series 2012-40 Class IP | ||||
09/25/2040 | 4.000% | 8,798,199 | 739,599 | |
CMO Series 2013-1 Class AI | ||||
02/25/2043 | 3.500% | 2,375,994 | 445,897 | |
CMO Series 2013-1 Class BI | ||||
02/25/2040 | 3.500% | 5,556,023 | 403,950 | |
CMO Series 2013-10 Class AI | ||||
11/25/2041 | 3.500% | 8,580,434 | 732,884 | |
CMO Series 2013-16 | ||||
01/25/2040 | 3.500% | 5,095,229 | 412,337 | |
CMO Series 2013-41 Class IY | ||||
05/25/2040 | 3.500% | 10,520,461 | 779,315 | |
CMO Series 2013-6 Class MI | ||||
02/25/2040 | 3.500% | 5,433,583 | 368,729 | |
Federal National Mortgage Association(b),(h) | ||||
CMO Series 2012-80 Class DS | ||||
-1.0 x 1-month USD LIBOR + 6.650% Cap 6.650% 06/25/2039 | 4.858% | 1,633,780 | 111,325 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2012-99 Class SL | ||||
-1.0 x 1-month USD LIBOR + 6.620% Cap 6.620% 09/25/2042 | 4.828% | 8,891,638 | 1,941,566 | |
CMO Series 2014-93 Class ES | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 01/25/2045 | 4.358% | 5,227,198 | 1,121,648 | |
CMO Series 2016-37 Class SA | ||||
-1.0 x 1-month USD LIBOR + 5.850% Cap 5.850% 06/25/2046 | 4.058% | 6,520,346 | 1,316,790 | |
CMO Series 2016-42 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 07/25/2046 | 4.208% | 15,575,210 | 3,237,515 | |
CMO Series 2017-3 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 02/25/2047 | 4.208% | 11,885,982 | 2,443,702 | |
CMO Series 2017-51 Class SC | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 07/25/2047 | 4.358% | 14,123,517 | 2,981,873 | |
CMO Series 2017-72 Class S | ||||
-1.0 x 1-month USD LIBOR + 3.950% Cap 2.750% 09/25/2047 | 2.158% | 45,486,646 | 3,622,898 | |
CMO Series 2017-90 Class SP | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 11/25/2047 | 4.358% | 6,999,418 | 1,462,274 | |
CMO Series 2019-33 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 07/25/2049 | 4.258% | 12,055,567 | 2,377,174 | |
CMO Series 2019-34 Class SM | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 07/25/2049 | 4.258% | 19,101,013 | 3,754,447 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2019 | 11 |
December 31, 2019
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Government National Mortgage Association | ||||
08/20/2040 | 5.000% | 4,166,598 | 4,600,479 | |
07/20/2041- 04/20/2048 | 4.500% | 29,078,807 | 30,796,558 | |
08/20/2049 | 3.500% | 34,598,225 | 35,713,601 | |
Government National Mortgage Association(i) | ||||
01/21/2050 | 3.000% | 35,000,000 | 35,958,398 | |
01/21/2050 | 3.500% | 15,000,000 | 15,458,789 | |
Government National Mortgage Association(h) | ||||
CMO Series 2012-121 Class PI | ||||
09/16/2042 | 4.500% | 3,598,183 | 615,330 | |
CMO Series 2012-129 Class AI | ||||
08/20/2037 | 3.000% | 3,608,797 | 243,570 | |
CMO Series 2014-131 Class EI | ||||
09/16/2039 | 4.000% | 4,988,691 | 622,627 | |
Government National Mortgage Association(b),(h) | ||||
CMO Series 2014-131 Class BS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 09/16/2044 | 4.460% | 3,039,764 | 810,662 | |
CMO Series 2017-101 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 07/20/2047 | 4.435% | 6,832,150 | 1,270,230 | |
CMO Series 2017-170 Class QS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 11/20/2047 | 4.435% | 8,060,769 | 1,605,558 | |
CMO Series 2018-1 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 01/20/2048 | 4.435% | 6,276,102 | 1,154,330 | |
CMO Series 2018-105 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 08/20/2048 | 4.435% | 9,009,536 | 1,527,903 | |
CMO Series 2018-139 Class KS | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 10/20/2048 | 4.385% | 11,360,760 | 2,363,928 | |
CMO Series 2018-155 Class LS | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 11/20/2048 | 4.385% | 10,361,695 | 1,727,451 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2018-21 Class WS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 02/20/2048 | 4.435% | 8,016,408 | 1,760,401 | |
CMO Series 2018-40 Class SC | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 03/20/2048 | 4.435% | 5,037,306 | 1,002,309 | |
CMO Series 2018-63 Class HS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 04/20/2048 | 4.435% | 6,088,280 | 1,251,382 | |
CMO Series 2018-94 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 05/20/2048 | 4.435% | 8,991,613 | 1,903,979 | |
CMO Series 2018-97 Class MS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 07/20/2048 | 4.435% | 8,687,298 | 1,739,249 | |
CMO Series 2019-23 Class SQ | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 02/20/2049 | 4.285% | 9,668,512 | 1,800,130 | |
CMO Series 2019-43 Class SE | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 04/20/2049 | 4.335% | 15,359,813 | 2,584,020 | |
CMO Series 2019-45 Class SE | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 04/20/2049 | 4.235% | 13,642,096 | 2,402,042 | |
CMO Series 2019-52 Class AS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 04/16/2049 | 4.310% | 13,326,460 | 3,433,095 |
12 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2019 |
December 31, 2019
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2019-92 Class SD | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 07/20/2049 | 4.335% | 9,784,143 | 2,043,758 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $967,364,815) | 971,571,217 | |||
Residential Mortgage-Backed Securities - Non-Agency 10.1% | ||||
American Mortgage Trust(d),(e),(g) | ||||
CMO Series 2093-3 Class 3A | ||||
07/27/2023 | 8.188% | 270 | 164 | |
Angel Oak Mortgage Trust I LLC(a),(g) | ||||
CMO Series 2017-2 Class M1 | ||||
07/25/2047 | 3.737% | 5,700,000 | 5,740,768 | |
Angel Oak Mortgage Trust LLC(a),(g) | ||||
CMO Series 2017-3 Class M1 | ||||
11/25/2047 | 3.900% | 2,500,000 | 2,525,978 | |
ASG Resecuritization Trust(a),(g) | ||||
CMO Series 2013-2 Class 2A70 | ||||
11/28/2035 | 3.677% | 279,924 | 281,354 | |
BCAP LLC Trust(a),(g) | ||||
CMO Series 2013-RR5 Class 4A1 | ||||
09/26/2036 | 3.000% | 588,101 | 577,694 | |
Bellemeade Re Ltd.(a),(b) | ||||
CMO Series 2017-1 Class M1 | ||||
1-month USD LIBOR + 1.700% 10/25/2027 | 4.130% | 1,112,627 | 1,115,059 | |
CMO Series 2018-2A Class M1B | ||||
1-month USD LIBOR + 1.350% 08/25/2028 | 3.142% | 6,000,000 | 6,009,013 | |
CMO Series 2018-2A Class M1C | ||||
1-month USD LIBOR + 1.600% 08/25/2028 | 3.392% | 4,157,000 | 4,166,048 | |
CMO Series 2018-3A Class M1B | ||||
1-month USD LIBOR + 1.850% Floor 1.850% 10/25/2027 | 3.642% | 8,500,000 | 8,516,113 | |
Citigroup Mortgage Loan Trust, Inc.(a),(g) | ||||
CMO Series 2014-A Class B2 | ||||
01/25/2035 | 5.497% | 1,957,225 | 2,095,278 | |
CMO Series 2014-C Class A | ||||
02/25/2054 | 3.250% | 380,744 | 381,064 | |
CMO Series 2015-A Class B3 | ||||
06/25/2058 | 4.500% | 2,655,009 | 2,637,745 | |
Citigroup Mortgage Loan Trust, Inc.(a) | ||||
CMO Series 2015-RP2 Class B2 | ||||
01/25/2053 | 4.250% | 3,412,939 | 3,512,530 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Credit Suisse Mortgage Capital Certificates(a),(g) | ||||
CMO Series 2013-7R Class 3A1 | ||||
02/26/2035 | 4.007% | 298,834 | 298,324 | |
CMO Series 2014-2R Class 17A2 | ||||
04/27/2037 | 5.193% | 1,304,675 | 1,295,579 | |
Ellington Financial Mortgage Trust(a),(g) | ||||
CMO Series 2019-2 Class M1 | ||||
11/25/2059 | 3.469% | 1,200,000 | 1,187,290 | |
GCAT Trust(a),(g) | ||||
CMO Series 2019-NQM2 Class A3 | ||||
09/25/2059 | 3.162% | 1,919,896 | 1,915,476 | |
Homeward Opportunities Fund I Trust(a),(d),(e) | ||||
CMO Series 2018-2 Class M1 | ||||
11/25/2058 | 4.747% | 3,875,000 | 4,010,625 | |
Homeward Opportunities Fund I Trust(a),(g) | ||||
CMO Series 2019-3 Class M1 | ||||
11/25/2059 | 3.518% | 3,100,000 | 3,096,985 | |
New Residential Mortgage Loan Trust(a),(g),(h) | ||||
CMO Series 2014-1A Class AIO | ||||
01/25/2054 | 2.315% | 20,477,996 | 824,948 | |
NRZ Excess Spread-Collateralized Notes(a) | ||||
Series 2018-PLS1 Class C | ||||
01/25/2023 | 3.981% | 2,386,363 | 2,395,796 | |
Subordinated CMO Series 2018-PLS2 Class B | ||||
02/25/2023 | 3.709% | 3,109,020 | 3,123,376 | |
PMT Credit Risk Transfer Trust(a),(b) | ||||
CMO Series 2019-1R Class A | ||||
1-month USD LIBOR + 2.000% Floor 2.000% 03/27/2024 | 3.700% | 6,069,125 | 6,064,017 | |
PNMAC GMSR Issuer Trust(a),(b) | ||||
CMO Series 2018-GT1 Class A | ||||
1-month USD LIBOR + 2.850% Floor 2.850% 02/25/2023 | 4.642% | 10,000,000 | 10,058,999 | |
CMO Series 2018-GT2 Class A | ||||
1-month USD LIBOR + 2.650% 08/25/2025 | 4.442% | 8,000,000 | 8,027,151 | |
Preston Ridge Partners Mortgage LLC(a),(g) | ||||
CMO Series 2017-3A Class A1 | ||||
11/25/2022 | 3.470% | 2,580,211 | 2,581,889 | |
Radnor Re Ltd.(a),(b) | ||||
CMO Series 2019-1 Class M1A | ||||
1-month USD LIBOR + 1.250% Floor 1.250% 02/25/2029 | 3.042% | 3,959,371 | 3,958,698 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2019 | 13 |
December 31, 2019
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Radnor RE Ltd.(a),(b) | ||||
CMO Series 2019-2 Class M1B | ||||
1-month USD LIBOR + 1.750% Floor 1.750% 06/25/2029 | 3.542% | 3,000,000 | 3,001,563 | |
RBSSP Resecuritization Trust(a),(g) | ||||
CMO Series 2012-1 Class 5A2 | ||||
12/27/2035 | 3.916% | 1,666,571 | 1,689,322 | |
RCO V Mortgage LLC(a),(g) | ||||
CMO Series 2019-2 Class A1 | ||||
11/25/2024 | 3.475% | 8,806,531 | 8,795,545 | |
Verus Securitization Trust(a),(g) | ||||
CMO Series 2018-INV1 Class A2 | ||||
03/25/2058 | 3.857% | 761,588 | 760,770 | |
CMO Series 2018-INV1 Class A3 | ||||
03/25/2058 | 4.059% | 995,923 | 997,984 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $99,829,529) | 101,643,145 |
Options Purchased Calls 0.0% | ||||
Value ($) | ||||
(Cost $964,000) | 143,280 |
Money Market Funds 4.2% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(k),(l) | 42,307,885 | 42,303,654 |
Total Money Market Funds (Cost $42,305,709) | 42,303,654 | |
Total Investments in Securities (Cost: $1,296,354,407) | 1,301,948,406 | |
Other Assets & Liabilities, Net | (293,409,102) | |
Net Assets | 1,008,539,304 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 2-Year Note | 25 | 03/2020 | USD | 5,387,500 | — | (2,395) |
U.S. Treasury 5-Year Note | 53 | 03/2020 | USD | 6,286,297 | — | (19,960) |
Total | — | (22,355) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Long Bond | (14) | 03/2020 | USD | (2,182,688) | 44,489 | — |
U.S. Treasury 10-Year Note | (719) | 03/2020 | USD | (92,335,328) | 36,583 | — |
Total | 81,072 | — |
Call option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | 80,000,000 | 80,000,000 | 1.50 | 03/16/2020 | 964,000 | 143,280 |
14 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2019 |
December 31, 2019
Credit default swap contracts - buy protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Pay fixed rate (%) | Payment frequency | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CMBX North America Index, Series 10 BBB- | Citi | 11/17/2059 | 3.000 | Monthly | USD | 3,500,000 | 7,109 | (2,042) | 151,780 | — | — | (146,713) |
Markit CMBX North America Index, Series 10 BBB- | Citi | 11/17/2059 | 3.000 | Monthly | USD | 3,000,000 | 6,094 | (1,750) | 162,529 | — | — | (158,185) |
Markit CMBX North America Index, Series 10 BBB- | Citi | 11/17/2059 | 3.000 | Monthly | USD | 4,000,000 | 8,125 | (2,333) | 249,589 | — | — | (243,797) |
Markit CMBX North America Index, Series 11 BBB- | Citi | 11/18/2054 | 3.000 | Monthly | USD | 2,000,000 | 28,125 | (1,167) | 98,699 | — | — | (71,741) |
Markit CMBX North America Index, Series 11 BBB- | Citi | 11/18/2054 | 3.000 | Monthly | USD | 4,000,000 | 56,250 | (2,333) | 259,647 | — | — | (205,730) |
Markit CMBX North America Index, Series 11 BBB- | Citi | 11/18/2054 | 3.000 | Monthly | USD | 5,000,000 | 70,313 | (2,917) | 282,789 | — | — | (215,393) |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | USD | 3,000,000 | 6,094 | (1,750) | 188,921 | — | — | (184,577) |
Markit CMBX North America Index, Series 11 BBB- | Morgan Stanley | 11/18/2054 | 3.000 | Monthly | USD | 8,000,000 | 112,500 | (4,667) | 422,857 | — | — | (315,024) |
Total | 294,610 | (18,959) | 1,816,811 | — | — | (1,541,160) |
Cleared credit default swap contracts - buy protection | |||||||||||
Reference entity | Counterparty | Maturity date | Pay fixed rate (%) | Payment frequency | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America High Yield Index, Series 32 | Morgan Stanley | 06/20/2024 | 5.000 | Quarterly | USD | 19,600,000 | (740,381) | — | — | — | (740,381) |
Credit default swap contracts - sell protection | |||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CMBX North America Index, Series 7 BBB- | Morgan Stanley | 01/17/2047 | 3.000 | Monthly | 2.854 | USD | 2,500,000 | 12,666 | 1,458 | — | (150,301) | 164,425 | — |
* | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(a) | 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. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At December 31, 2019, the total value of these securities amounted to $233,714,889, which represents 23.17% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of December 31, 2019. |
(c) | Represents shares owned in the residual interest of an asset-backed securitization. |
(d) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At December 31, 2019, the total value of these securities amounted to $6,247,599, which represents 0.62% of total net assets. |
(e) | Valuation based on significant unobservable inputs. |
(f) | Zero coupon bond. |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2019 | 15 |
December 31, 2019
(g) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of December 31, 2019. |
(h) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
(i) | Represents a security purchased on a when-issued basis. |
(j) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(k) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
(l) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | ||||||||
30,524,096 | 359,386,172 | (347,602,383) | 42,307,885 | 4,656 | (2,055) | 850,003 | 42,303,654 |
CMO | Collateralized Mortgage Obligation |
STRIPS | Separate Trading of Registered Interest and Principal Securities |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
16 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2019 |
December 31, 2019
additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Asset-Backed Securities — Agency | — | 3,070 | — | 3,070 |
Asset-Backed Securities — Non-Agency | — | 73,513,047 | 3,409,360 | 76,922,407 |
Commercial Mortgage-Backed Securities - Agency | — | 54,212,132 | — | 54,212,132 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 55,149,501 | — | 55,149,501 |
Residential Mortgage-Backed Securities - Agency | — | 971,571,217 | — | 971,571,217 |
Residential Mortgage-Backed Securities - Non-Agency | — | 97,632,356 | 4,010,789 | 101,643,145 |
Options Purchased Calls | — | 143,280 | — | 143,280 |
Money Market Funds | 42,303,654 | — | — | 42,303,654 |
Total Investments in Securities | 42,303,654 | 1,252,224,603 | 7,420,149 | 1,301,948,406 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 81,072 | — | — | 81,072 |
Swap Contracts | — | 164,425 | — | 164,425 |
Liability | ||||
Futures Contracts | (22,355) | — | — | (22,355) |
Swap Contracts | — | (2,281,541) | — | (2,281,541) |
Total | 42,362,371 | 1,250,107,487 | 7,420,149 | 1,299,890,007 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2019 | 17 |
December 31, 2019
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,253,084,698) | $1,259,501,472 |
Affiliated issuers (cost $42,305,709) | 42,303,654 |
Options purchased (cost $964,000) | 143,280 |
Margin deposits on: | |
Swap contracts | 613,002 |
Unrealized appreciation on swap contracts | 164,425 |
Upfront payments on swap contracts | 1,816,811 |
Receivable for: | |
Investments sold | 544,675 |
Capital shares sold | 25,934 |
Dividends | 46,071 |
Interest | 3,916,914 |
Variation margin for futures contracts | 84,625 |
Variation margin for swap contracts | 7,609 |
Prepaid expenses | 3,619 |
Total assets | 1,309,172,091 |
Liabilities | |
Due to custodian | 27,163 |
Unrealized depreciation on swap contracts | 1,541,160 |
Upfront receipts on swap contracts | 150,301 |
Payable for: | |
Investments purchased on a delayed delivery basis | 298,100,655 |
Capital shares purchased | 636,868 |
Variation margin for futures contracts | 1,242 |
Management services fees | 11,818 |
Distribution and/or service fees | 499 |
Service fees | 9,168 |
Compensation of board members | 99,378 |
Compensation of chief compliance officer | 220 |
Other expenses | 54,315 |
Total liabilities | 300,632,787 |
Net assets applicable to outstanding capital stock | $1,008,539,304 |
Represented by | |
Paid in capital | 973,682,324 |
Total distributable earnings (loss) | 34,856,980 |
Total - representing net assets applicable to outstanding capital stock | $1,008,539,304 |
Class 1 | |
Net assets | $888,047,256 |
Shares outstanding | 83,646,692 |
Net asset value per share | $10.62 |
Class 2 | |
Net assets | $25,616,363 |
Shares outstanding | 2,419,632 |
Net asset value per share | $10.59 |
Class 3 | |
Net assets | $94,875,685 |
Shares outstanding | 8,937,487 |
Net asset value per share | $10.62 |
18 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2019 |
Year Ended December 31, 2019
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $2,125,348 |
Dividends — affiliated issuers | 850,003 |
Interest | 29,549,440 |
Total income | 32,524,791 |
Expenses: | |
Management services fees | 4,226,983 |
Distribution and/or service fees | |
Class 2 | 60,770 |
Class 3 | 122,615 |
Service fees | 105,099 |
Compensation of board members | 33,099 |
Custodian fees | 38,831 |
Printing and postage fees | 34,362 |
Audit fees | 36,500 |
Legal fees | 16,638 |
Interest on collateral | 55,633 |
Compensation of chief compliance officer | 211 |
Other | 19,255 |
Total expenses | 4,749,996 |
Net investment income | 27,774,795 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 10,939,896 |
Investments — affiliated issuers | 4,656 |
Futures contracts | 4,898,610 |
Options purchased | 5,897,379 |
Options contracts written | (11,555,953) |
Swap contracts | (730,833) |
Net realized gain | 9,453,755 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 30,159,624 |
Investments — affiliated issuers | (2,055) |
Futures contracts | (711,853) |
Options purchased | (1,082,888) |
Options contracts written | (191,558) |
Swap contracts | (1,518,133) |
Net change in unrealized appreciation (depreciation) | 26,653,137 |
Net realized and unrealized gain | 36,106,892 |
Net increase in net assets resulting from operations | $63,881,687 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2019 | 19 |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $27,774,795 | $28,900,417 |
Net realized gain (loss) | 9,453,755 | (5,296,330) |
Net change in unrealized appreciation (depreciation) | 26,653,137 | (6,495,005) |
Net increase in net assets resulting from operations | 63,881,687 | 17,109,082 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (23,636,118) | (25,694,747) |
Class 2 | (604,874) | (628,580) |
Class 3 | (2,620,808) | (3,051,285) |
Total distributions to shareholders | (26,861,800) | (29,374,612) |
Increase (decrease) in net assets from capital stock activity | 1,631,490 | (61,630,729) |
Total increase (decrease) in net assets | 38,651,377 | (73,896,259) |
Net assets at beginning of year | 969,887,927 | 1,043,784,186 |
Net assets at end of year | $1,008,539,304 | $969,887,927 |
Year Ended | Year Ended | |||
December 31, 2019 | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 4,878,952 | 51,162,168 | 3,556,707 | 36,139,197 |
Distributions reinvested | 2,270,520 | 23,636,118 | 2,564,346 | 25,694,747 |
Redemptions | (6,388,213) | (66,958,432) | (10,115,204) | (102,502,928) |
Net increase (decrease) | 761,259 | 7,839,854 | (3,994,151) | (40,668,984) |
Class 2 | ||||
Subscriptions | 490,076 | 5,121,551 | 318,150 | 3,215,006 |
Distributions reinvested | 58,217 | 604,874 | 62,795 | 628,580 |
Redemptions | (376,669) | (3,939,660) | (534,380) | (5,423,566) |
Net increase (decrease) | 171,624 | 1,786,765 | (153,435) | (1,579,980) |
Class 3 | ||||
Subscriptions | 435,002 | 4,560,324 | 117,314 | 1,187,260 |
Distributions reinvested | 251,759 | 2,620,808 | 304,216 | 3,051,285 |
Redemptions | (1,448,402) | (15,176,261) | (2,328,745) | (23,620,310) |
Net decrease | (761,641) | (7,995,129) | (1,907,215) | (19,381,765) |
Total net increase (decrease) | 171,242 | 1,631,490 | (6,054,801) | (61,630,729) |
20 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2019 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2019 | 21 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | |||||||
Year Ended 12/31/2019 | $10.23 | 0.30 | 0.38 | 0.68 | (0.29) | — | (0.29) |
Year Ended 12/31/2018 | $10.35 | 0.30 | (0.11) | 0.19 | (0.30) | (0.01) | (0.31) |
Year Ended 12/31/2017 | $10.32 | 0.29 | 0.05 | 0.34 | (0.30) | (0.01) | (0.31) |
Year Ended 12/31/2016 | $10.42 | 0.25 | 0.03 | 0.28 | (0.30) | (0.08) | (0.38) |
Year Ended 12/31/2015 | $10.62 | 0.26 | (0.12) | 0.14 | (0.32) | (0.02) | (0.34) |
Class 2 | |||||||
Year Ended 12/31/2019 | $10.20 | 0.27 | 0.39 | 0.66 | (0.27) | — | (0.27) |
Year Ended 12/31/2018 | $10.32 | 0.27 | (0.11) | 0.16 | (0.27) | (0.01) | (0.28) |
Year Ended 12/31/2017 | $10.30 | 0.26 | 0.05 | 0.31 | (0.28) | (0.01) | (0.29) |
Year Ended 12/31/2016 | $10.40 | 0.22 | 0.04 | 0.26 | (0.28) | (0.08) | (0.36) |
Year Ended 12/31/2015 | $10.59 | 0.23 | (0.10) | 0.13 | (0.30) | (0.02) | (0.32) |
Class 3 | |||||||
Year Ended 12/31/2019 | $10.23 | 0.28 | 0.39 | 0.67 | (0.28) | — | (0.28) |
Year Ended 12/31/2018 | $10.35 | 0.28 | (0.11) | 0.17 | (0.28) | (0.01) | (0.29) |
Year Ended 12/31/2017 | $10.32 | 0.27 | 0.06 | 0.33 | (0.29) | (0.01) | (0.30) |
Year Ended 12/31/2016 | $10.42 | 0.24 | 0.03 | 0.27 | (0.29) | (0.08) | (0.37) |
Year Ended 12/31/2015 | $10.62 | 0.25 | (0.12) | 0.13 | (0.31) | (0.02) | (0.33) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interest on collateral expense which is less than 0.01%. |
22 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2019 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019 | $10.62 | 6.73% | 0.46%(c) | 0.46%(c) | 2.83% | 335% | $888,047 |
Year Ended 12/31/2018 | $10.23 | 1.85% | 0.46%(c) | 0.46%(c) | 2.91% | 286% | $847,752 |
Year Ended 12/31/2017 | $10.35 | 3.34% | 0.48% | 0.48% | 2.77% | 320% | $898,922 |
Year Ended 12/31/2016 | $10.32 | 2.71% | 0.50% | 0.50% | 2.38% | 333% | $1,031,382 |
Year Ended 12/31/2015 | $10.42 | 1.34% | 0.50% | 0.50% | 2.45% | 356% | $1,247,913 |
Class 2 | |||||||
Year Ended 12/31/2019 | $10.59 | 6.50% | 0.71%(c) | 0.71%(c) | 2.57% | 335% | $25,616 |
Year Ended 12/31/2018 | $10.20 | 1.60% | 0.71%(c) | 0.71%(c) | 2.66% | 286% | $22,932 |
Year Ended 12/31/2017 | $10.32 | 2.99% | 0.73% | 0.73% | 2.52% | 320% | $24,782 |
Year Ended 12/31/2016 | $10.30 | 2.45% | 0.75% | 0.75% | 2.13% | 333% | $25,112 |
Year Ended 12/31/2015 | $10.40 | 1.19% | 0.75% | 0.75% | 2.20% | 356% | $24,470 |
Class 3 | |||||||
Year Ended 12/31/2019 | $10.62 | 6.61% | 0.59%(c) | 0.59%(c) | 2.71% | 335% | $94,876 |
Year Ended 12/31/2018 | $10.23 | 1.72% | 0.58%(c) | 0.58%(c) | 2.78% | 286% | $99,204 |
Year Ended 12/31/2017 | $10.35 | 3.22% | 0.61% | 0.61% | 2.65% | 320% | $120,079 |
Year Ended 12/31/2016 | $10.32 | 2.58% | 0.62% | 0.62% | 2.25% | 333% | $139,813 |
Year Ended 12/31/2015 | $10.42 | 1.21% | 0.62% | 0.62% | 2.33% | 356% | $151,492 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2019 | 23 |
December 31, 2019
24 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2019 | 25 |
December 31, 2019
26 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2019 | 27 |
December 31, 2019
28 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2019 |
December 31, 2019
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 164,425* |
Credit risk | Upfront payments on swap contracts | 1,816,811 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 81,072* |
Interest rate risk | Investments, at value — Options purchased | 143,280 |
Total | 2,205,588 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 2,281,541* |
Credit risk | Upfront receipts on swap contracts | 150,301 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 22,355* |
Total | 2,454,197 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |||||
Risk exposure category | Futures contracts ($) | Options contracts written ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | — | (730,833) | (730,833) |
Interest rate risk | 4,898,610 | (11,555,953) | 5,897,379 | — | (759,964) |
Total | 4,898,610 | (11,555,953) | 5,897,379 | (730,833) | (1,490,797) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||||
Risk exposure category | Futures contracts ($) | Options contracts written ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | — | (1,518,133) | (1,518,133) |
Interest rate risk | (711,853) | (191,558) | (1,082,888) | — | (1,986,299) |
Total | (711,853) | (191,558) | (1,082,888) | (1,518,133) | (3,504,432) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 130,626,884 |
Futures contracts — short | 168,407,302 |
Credit default swap contracts — buy protection | 48,700,000 |
Credit default swap contracts — sell protection | 2,500,000 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2019 | 29 |
December 31, 2019
Derivative instrument | Average value ($)* |
Options contracts — purchased | 3,273,876 |
Options contracts — written | (3,305,188) |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2019. |
30 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2019 |
December 31, 2019
Citi ($) (a) | Citi ($) (a) | Morgan Stanley ($) (a) | Morgan Stanley ($) (a) | Total ($) | |
Assets | |||||
Centrally cleared credit default swap contracts (b) | - | - | - | 7,609 | 7,609 |
Options purchased calls | 143,280 | - | - | - | 143,280 |
OTC credit default swap contracts (c) | - | 163,474 | 126,301 | - | 289,775 |
Total assets | 143,280 | 163,474 | 126,301 | 7,609 | 440,664 |
Total financial and derivative net assets | 143,280 | 163,474 | 126,301 | 7,609 | 440,664 |
Total collateral received (pledged) (d) | 143,280 | 163,474 | 126,301 | - | 433,055 |
Net amount (e) | - | - | - | 7,609 | 7,609 |
(a) | Exposure can only be netted across transactions governed under the same master agreement with the same legal entity. |
(b) | Centrally cleared swaps are included within payable/receivable for variation margin on the Statement of Assets and Liabilities. |
(c) | Over-the-Counter (OTC) swap contracts are presented at market value plus periodic payments receivable (payable), which is comprised of unrealized appreciation, unrealized depreciation, upfront payments and upfront receipts. |
(d) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(e) | Represents the net amount due from/(to) counterparties in the event of default. |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2019 | 31 |
December 31, 2019
32 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2019 | 33 |
December 31, 2019
May 1, 2019 through April 30, 2020 | Prior to May 1, 2019 | |
Class 1 | 0.58% | 0.59% |
Class 2 | 0.83 | 0.84 |
Class 3 | 0.705 | 0.715 |
Undistributed net investment income ($) | Accumulated net realized gain ($) | Paid in capital ($) |
(3,675,828) | 3,675,830 | (2) |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
26,861,800 | — | 26,861,800 | 29,374,612 | — | 29,374,612 |
34 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2019 |
December 31, 2019
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized appreciation ($) |
29,573,982 | — | — | 5,381,589 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
1,294,508,418 | 23,712,934 | (18,331,345) | 5,381,589 |
No expiration short-term ($) | No expiration long-term ($) | Total ($) | Utilized ($) | Expired ($) |
— | — | — | 4,923,497 | — |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2019 | 35 |
December 31, 2019
36 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2019 | 37 |
December 31, 2019
38 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2019 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2019 | 39 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1953 | Trustee since 1/17 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 121 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 1/06 for RiverSource Funds and since 6/11 for Nations Funds | Attorney; specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018 | 121 | Trustee, BlueCross BlueShield of Minnesota since 2009 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee since 2017); Chair of the Robina Foundation since August 2013; former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017 |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 7/07 for RiverSource Funds and since 6/11 for Nations Funds | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, Morgan Stanley, 1982-1991 | 121 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of Human Resources Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee) since 2019 |
40 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2019 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1950 | Trustee since 11/04 for RiverSource Funds and since 6/11 for Nations Funds | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 121 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative since 2010; Board of Directors, The MA Business Roundtable 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 12/17 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 121 | Trustee, Catholic Schools Foundation since 2004 |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Chair of the Board since 1/20; Trustee since 11/04 for RiverSource Funds and since 6/11 for Nations Funds | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Managing Director, Morgan Stanley, 1982-1989; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 121 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Anthony M. Santomero c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1946 | Trustee since 6/11 for RiverSource Funds and since 1/08 for Nations Funds | Richard K. Mellon Professor Emeritus of Finance, The Wharton School, University of Pennsylvania, since 2002; Senior Advisor, McKinsey & Company (consulting), 2006-2008; President, Federal Reserve Bank of Philadelphia, 2000- 2006; Professor of Finance, The Wharton School, University of Pennsylvania, 1972-2002 | 121 | Trustee, Penn Mutual Life Insurance Company since March 2008; Director, Renaissance Reinsurance Ltd. since May 2008; former Director, Citigroup Inc. and Citibank, N.A., 2009-2019; former Trustee, BofA Funds Series Trust (11 funds), 2008-2011 |
Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1947 | Trustee since 6/11 for RiverSource Funds and since 2003 for Nations Funds | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 121 | Director, BlueCross BlueShield of South Carolina since April 2008; Trustee, Hollingsworth Funds since 2016 (previously Board Chair from 2016-2019); Advisory Board member, Duke Energy Corp. since October 2016; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2019 | 41 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Sandra Yeager c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 12/17 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 119 | Director, NAPE Education Foundation since October 2016 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin St. Boston, MA 02110 1960 | Trustee since 11/01 for RiverSource Funds and since 6/11 for Nations Funds; Senior Vice President since 2002 for RiverSource Funds and since 5/10 for Nations Funds | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010 - September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006 - August 2012. | 192 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, August 2006-January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
42 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2019 |
The Board has appointed officers who are responsible for day-to-day business decisions based on policies it has established. The officers serve at the pleasure of the Board. The following table provides basic information about the Officers of the Fund, including principal occupations during the past five years, although their specific titles may have varied over the period. In addition to Mr. Truscott, who is Senior Vice President, the Fund’s other officers are:
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously Vice President and Chief Counsel, January 2010 - December 2014); officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer, Principal Financial Officer (2009), and Senior Vice President (2019) | Vice President, Head of North American Operations, and Co-Head of Global Operations, – Accounting and Tax, Columbia Management Investment Advisers, LLC, since June 2019 (previously Vice President – Accounting and Tax, May 2010 – May 2019); senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009 – January 2019 and December 2015 – January 2019, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer, Chief Accounting Officer (Principal Accounting Officer) (2019), and Principal Financial Officer (2020) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously Vice President — Pricing and Corporate Actions, May 2010 - March 2017). |
Paul B. Goucher 485 Lexington Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since March 2015 (previously Vice President and Assistant Secretary, May 2010 – March 2015). |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 Born 1962 | Senior Vice President (2020) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); previously, Senior Vice President of Investment Product Management, Fidelity Financial Advisor Solutions, a division of Fidelity Investments (January 2012 – March 2015). |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2019 | 43 |
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
44 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Annual Report 2019 |
December 31, 2019
3 | |
5 | |
7 | |
8 | |
19 | |
20 | |
21 | |
22 | |
24 | |
33 | |
34 |
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1* | 04/25/11 | 31.14 | 11.34 | 13.18 | |
Class 2* | 04/25/11 | 30.79 | 11.06 | 12.93 | |
Class 3 | 05/01/00 | 31.00 | 11.21 | 13.07 | |
S&P 500 Index | 31.49 | 11.70 | 13.56 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2019 | 3 |
Portfolio breakdown (%) (at December 31, 2019) | |
Common Stocks | 99.4 |
Money Market Funds | 0.6 |
Total | 100.0 |
Equity sector breakdown (%) (at December 31, 2019) | |
Communication Services | 10.4 |
Consumer Discretionary | 9.8 |
Consumer Staples | 7.2 |
Energy | 4.3 |
Financials | 12.9 |
Health Care | 14.2 |
Industrials | 9.1 |
Information Technology | 23.2 |
Materials | 2.7 |
Real Estate | 2.9 |
Utilities | 3.3 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2019 |
Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2019 | 5 |
6 | Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2019 |
(Unaudited)
July 1, 2019 — December 31, 2019 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,107.80 | 1,024.15 | 1.40 | 1.34 | 0.26 |
Class 2 | 1,000.00 | 1,000.00 | 1,106.00 | 1,022.88 | 2.74 | 2.63 | 0.51 |
Class 3 | 1,000.00 | 1,000.00 | 1,107.00 | 1,023.49 | 2.09 | 2.01 | 0.39 |
Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2019 | 7 |
December 31, 2019
Common Stocks 99.4% | ||
Issuer | Shares | Value ($) |
Communication Services 10.3% | ||
Diversified Telecommunication Services 2.0% | ||
AT&T, Inc. | 328,477 | 12,836,881 |
CenturyLink, Inc. | 44,124 | 582,878 |
Verizon Communications, Inc. | 185,972 | 11,418,681 |
Total | 24,838,440 | |
Entertainment 1.9% | ||
Activision Blizzard, Inc. | 34,548 | 2,052,842 |
Electronic Arts, Inc.(a) | 13,134 | 1,412,036 |
Live Nation Entertainment, Inc.(a) | 6,340 | 453,120 |
Netflix, Inc.(a) | 19,705 | 6,375,947 |
Take-Two Interactive Software, Inc.(a) | 5,086 | 622,679 |
Walt Disney Co. (The) | 81,045 | 11,721,538 |
Total | 22,638,162 | |
Interactive Media & Services 4.9% | ||
Alphabet, Inc., Class A(a) | 13,469 | 18,040,244 |
Alphabet, Inc., Class C(a) | 13,437 | 17,965,538 |
Facebook, Inc., Class A(a) | 108,211 | 22,210,308 |
Twitter, Inc.(a) | 34,910 | 1,118,865 |
Total | 59,334,955 | |
Media 1.4% | ||
Charter Communications, Inc., Class A(a) | 7,049 | 3,419,329 |
Comcast Corp., Class A | 204,141 | 9,180,221 |
Discovery, Inc., Class A(a) | 7,115 | 232,945 |
Discovery, Inc., Class C(a) | 15,081 | 459,820 |
DISH Network Corp., Class A(a) | 11,517 | 408,508 |
Fox Corp., Class A | 15,943 | 591,007 |
Fox Corp., Class B | 7,299 | 265,684 |
Interpublic Group of Companies, Inc. (The) | 17,433 | 402,702 |
News Corp., Class A | 17,474 | 247,082 |
News Corp., Class B | 5,479 | 79,500 |
Omnicom Group, Inc. | 9,790 | 793,186 |
ViacomCBS, Inc., Class B | 24,297 | 1,019,745 |
Total | 17,099,729 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Wireless Telecommunication Services 0.1% | ||
T-Mobile U.S.A., Inc.(a) | 14,230 | 1,115,917 |
Total Communication Services | 125,027,203 | |
Consumer Discretionary 9.7% | ||
Auto Components 0.1% | ||
Aptiv PLC | 11,480 | 1,090,256 |
BorgWarner, Inc. | 9,290 | 403,000 |
Total | 1,493,256 | |
Automobiles 0.3% | ||
Ford Motor Co. | 175,101 | 1,628,440 |
General Motors Co. | 56,535 | 2,069,181 |
Harley-Davidson, Inc. | 6,938 | 258,024 |
Total | 3,955,645 | |
Distributors 0.1% | ||
Genuine Parts Co. | 6,530 | 693,682 |
LKQ Corp.(a) | 13,782 | 492,017 |
Total | 1,185,699 | |
Diversified Consumer Services 0.0% | ||
H&R Block, Inc. | 8,780 | 206,154 |
Hotels, Restaurants & Leisure 1.9% | ||
Carnival Corp. | 18,010 | 915,448 |
Chipotle Mexican Grill, Inc.(a) | 1,145 | 958,491 |
Darden Restaurants, Inc. | 5,511 | 600,754 |
Hilton Worldwide Holdings, Inc. | 12,691 | 1,407,559 |
Las Vegas Sands Corp. | 15,200 | 1,049,408 |
Marriott International, Inc., Class A | 12,199 | 1,847,295 |
McDonald’s Corp. | 33,866 | 6,692,260 |
MGM Resorts International | 23,155 | 770,367 |
Norwegian Cruise Line Holdings Ltd.(a) | 9,568 | 558,867 |
Royal Caribbean Cruises Ltd. | 7,730 | 1,032,032 |
Starbucks Corp. | 53,101 | 4,668,640 |
Wynn Resorts Ltd. | 4,341 | 602,835 |
Yum! Brands, Inc. | 13,596 | 1,369,525 |
Total | 22,473,481 |
8 | Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2019 |
December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Household Durables 0.4% | ||
D.R. Horton, Inc. | 15,078 | 795,364 |
Garmin Ltd. | 6,501 | 634,238 |
Leggett & Platt, Inc. | 5,922 | 301,015 |
Lennar Corp., Class A | 12,583 | 702,006 |
Mohawk Industries, Inc.(a) | 2,678 | 365,226 |
Newell Brands, Inc. | 17,133 | 329,296 |
NVR, Inc.(a) | 160 | 609,346 |
PulteGroup, Inc. | 11,454 | 444,415 |
Whirlpool Corp. | 2,845 | 419,723 |
Total | 4,600,629 | |
Internet & Direct Marketing Retail 3.3% | ||
Amazon.com, Inc.(a) | 18,728 | 34,606,348 |
Booking Holdings, Inc.(a) | 1,885 | 3,871,281 |
eBay, Inc. | 34,384 | 1,241,606 |
Expedia Group, Inc. | 6,285 | 679,660 |
Total | 40,398,895 | |
Leisure Products 0.1% | ||
Hasbro, Inc. | 5,718 | 603,878 |
Multiline Retail 0.5% | ||
Dollar General Corp. | 11,448 | 1,785,659 |
Dollar Tree, Inc.(a) | 10,637 | 1,000,410 |
Kohl’s Corp. | 7,042 | 358,790 |
Macy’s, Inc. | 13,890 | 236,130 |
Nordstrom, Inc. | 4,813 | 196,996 |
Target Corp. | 22,783 | 2,921,008 |
Total | 6,498,993 | |
Specialty Retail 2.2% | ||
Advance Auto Parts, Inc. | 3,117 | 499,219 |
AutoZone, Inc.(a) | 1,073 | 1,278,276 |
Best Buy Co., Inc. | 10,236 | 898,721 |
CarMax, Inc.(a) | 7,389 | 647,794 |
Gap, Inc. (The) | 9,565 | 169,109 |
Home Depot, Inc. (The) | 49,047 | 10,710,884 |
L Brands, Inc. | 10,445 | 189,263 |
Lowe’s Companies, Inc. | 34,469 | 4,128,007 |
O’Reilly Automotive, Inc.(a) | 3,401 | 1,490,522 |
Ross Stores, Inc. | 16,261 | 1,893,106 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Tiffany & Co. | 4,859 | 649,405 |
TJX Companies, Inc. (The) | 54,529 | 3,329,541 |
Tractor Supply Co. | 5,326 | 497,661 |
Ulta Beauty, Inc.(a) | 2,572 | 651,076 |
Total | 27,032,584 | |
Textiles, Apparel & Luxury Goods 0.8% | ||
Capri Holdings Ltd.(a) | 6,817 | 260,068 |
Hanesbrands, Inc. | 16,268 | 241,580 |
Nike, Inc., Class B | 56,029 | 5,676,298 |
PVH Corp. | 3,331 | 350,255 |
Ralph Lauren Corp. | 2,236 | 262,104 |
Tapestry, Inc. | 12,403 | 334,509 |
Under Armour, Inc., Class A(a) | 8,464 | 182,822 |
Under Armour, Inc., Class C(a) | 8,748 | 167,787 |
VF Corp. | 14,725 | 1,467,493 |
Total | 8,942,916 | |
Total Consumer Discretionary | 117,392,130 | |
Consumer Staples 7.2% | ||
Beverages 1.8% | ||
Brown-Forman Corp., Class B | 8,194 | 553,914 |
Coca-Cola Co. (The) | 173,393 | 9,597,302 |
Constellation Brands, Inc., Class A | 7,529 | 1,428,628 |
Molson Coors Beverage Co., Class B | 8,443 | 455,078 |
Monster Beverage Corp.(a) | 17,167 | 1,090,963 |
PepsiCo, Inc. | 62,706 | 8,570,029 |
Total | 21,695,914 | |
Food & Staples Retailing 1.5% | ||
Costco Wholesale Corp. | 19,863 | 5,838,133 |
Kroger Co. (The) | 36,067 | 1,045,582 |
Sysco Corp. | 22,947 | 1,962,886 |
Walgreens Boots Alliance, Inc. | 33,714 | 1,987,778 |
Walmart, Inc. | 63,786 | 7,580,328 |
Total | 18,414,707 | |
Food Products 1.1% | ||
Archer-Daniels-Midland Co. | 25,033 | 1,160,280 |
Campbell Soup Co. | 7,599 | 375,543 |
ConAgra Foods, Inc. | 21,888 | 749,445 |
General Mills, Inc. | 27,175 | 1,455,493 |
Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2019 | 9 |
December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Hershey Co. (The) | 6,671 | 980,504 |
Hormel Foods Corp. | 12,505 | 564,101 |
JM Smucker Co. (The) | 5,132 | 534,395 |
Kellogg Co. | 11,199 | 774,523 |
Kraft Heinz Co. (The) | 28,004 | 899,768 |
Lamb Weston Holdings, Inc. | 6,568 | 565,045 |
McCormick & Co., Inc. | 5,555 | 942,850 |
Mondelez International, Inc., Class A | 64,743 | 3,566,044 |
Tyson Foods, Inc., Class A | 13,277 | 1,208,738 |
Total | 13,776,729 | |
Household Products 1.7% | ||
Church & Dwight Co., Inc. | 11,039 | 776,483 |
Clorox Co. (The) | 5,641 | 866,119 |
Colgate-Palmolive Co. | 38,543 | 2,653,300 |
Kimberly-Clark Corp. | 15,410 | 2,119,646 |
Procter & Gamble Co. (The) | 112,135 | 14,005,662 |
Total | 20,421,210 | |
Personal Products 0.2% | ||
Coty, Inc., Class A | 13,288 | 149,490 |
Estee Lauder Companies, Inc. (The), Class A | 10,006 | 2,066,639 |
Total | 2,216,129 | |
Tobacco 0.9% | ||
Altria Group, Inc. | 84,000 | 4,192,440 |
Philip Morris International, Inc. | 69,967 | 5,953,492 |
Total | 10,145,932 | |
Total Consumer Staples | 86,670,621 | |
Energy 4.3% | ||
Energy Equipment & Services 0.4% | ||
Baker Hughes Co. | 29,224 | 749,011 |
Halliburton Co. | 39,473 | 965,904 |
Helmerich & Payne, Inc. | 4,879 | 221,653 |
National Oilwell Varco, Inc. | 17,347 | 434,542 |
Schlumberger Ltd. | 62,247 | 2,502,330 |
TechnipFMC PLC | 18,897 | 405,152 |
Total | 5,278,592 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Oil, Gas & Consumable Fuels 3.9% | ||
Apache Corp. | 16,907 | 432,650 |
Cabot Oil & Gas Corp. | 18,346 | 319,404 |
Chevron Corp. | 85,021 | 10,245,881 |
Cimarex Energy Co. | 4,578 | 240,299 |
Concho Resources, Inc. | 9,037 | 791,370 |
ConocoPhillips Co. | 49,342 | 3,208,710 |
Devon Energy Corp. | 17,400 | 451,878 |
Diamondback Energy, Inc. | 7,243 | 672,585 |
EOG Resources, Inc. | 26,157 | 2,190,910 |
Exxon Mobil Corp. | 190,256 | 13,276,064 |
Hess Corp. | 11,645 | 778,002 |
HollyFrontier Corp. | 6,673 | 338,388 |
Kinder Morgan, Inc. | 87,585 | 1,854,174 |
Marathon Oil Corp. | 35,965 | 488,405 |
Marathon Petroleum Corp. | 29,197 | 1,759,119 |
Noble Energy, Inc. | 21,505 | 534,184 |
Occidental Petroleum Corp. | 40,166 | 1,655,241 |
ONEOK, Inc. | 18,571 | 1,405,268 |
Phillips 66 | 19,982 | 2,226,195 |
Pioneer Natural Resources Co. | 7,447 | 1,127,252 |
Valero Energy Corp. | 18,465 | 1,729,247 |
Williams Companies, Inc. (The) | 54,501 | 1,292,764 |
Total | 47,017,990 | |
Total Energy | 52,296,582 | |
Financials 12.9% | ||
Banks 5.6% | ||
Bank of America Corp. | 364,035 | 12,821,313 |
Citigroup, Inc. | 98,173 | 7,843,041 |
Citizens Financial Group, Inc. | 19,550 | 793,925 |
Comerica, Inc. | 6,486 | 465,371 |
Fifth Third Bancorp | 31,908 | 980,852 |
First Republic Bank | 7,580 | 890,271 |
Huntington Bancshares, Inc. | 46,439 | 700,300 |
JPMorgan Chase & Co. | 141,040 | 19,660,976 |
KeyCorp | 44,291 | 896,450 |
M&T Bank Corp. | 5,935 | 1,007,466 |
People’s United Financial, Inc. | 19,970 | 337,493 |
PNC Financial Services Group, Inc. (The) | 19,703 | 3,145,190 |
10 | Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2019 |
December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Regions Financial Corp. | 43,377 | 744,349 |
SVB Financial Group(a) | 2,318 | 581,911 |
Truist Financial Corp. | 60,300 | 3,396,096 |
U.S. Bancorp | 63,912 | 3,789,342 |
Wells Fargo & Co. | 173,065 | 9,310,897 |
Zions Bancorp | 7,662 | 397,811 |
Total | 67,763,054 | |
Capital Markets 2.7% | ||
Ameriprise Financial, Inc.(b) | 5,699 | 949,340 |
Bank of New York Mellon Corp. (The) | 37,733 | 1,899,102 |
BlackRock, Inc. | 5,303 | 2,665,818 |
Cboe Global Markets, Inc. | 4,985 | 598,200 |
Charles Schwab Corp. (The) | 51,405 | 2,444,822 |
CME Group, Inc. | 16,110 | 3,233,599 |
E*TRADE Financial Corp. | 10,162 | 461,050 |
Franklin Resources, Inc. | 12,538 | 325,737 |
Goldman Sachs Group, Inc. (The) | 14,327 | 3,294,207 |
Intercontinental Exchange, Inc. | 25,040 | 2,317,452 |
Invesco Ltd. | 16,740 | 300,985 |
MarketAxess Holdings, Inc. | 1,710 | 648,278 |
Moody’s Corp. | 7,299 | 1,732,856 |
Morgan Stanley | 55,312 | 2,827,549 |
MSCI, Inc. | 3,811 | 983,924 |
Nasdaq, Inc. | 5,159 | 552,529 |
Northern Trust Corp. | 9,530 | 1,012,467 |
Raymond James Financial, Inc. | 5,548 | 496,324 |
S&P Global, Inc. | 10,990 | 3,000,820 |
State Street Corp. | 16,346 | 1,292,969 |
T. Rowe Price Group, Inc. | 10,505 | 1,279,929 |
Total | 32,317,957 | |
Consumer Finance 0.7% | ||
American Express Co. | 30,170 | 3,755,863 |
Capital One Financial Corp. | 20,940 | 2,154,935 |
Discover Financial Services | 14,092 | 1,195,284 |
Synchrony Financial | 26,733 | 962,655 |
Total | 8,068,737 | |
Diversified Financial Services 1.6% | ||
Berkshire Hathaway, Inc., Class B(a) | 87,958 | 19,922,487 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Insurance 2.3% | ||
Aflac, Inc. | 33,004 | 1,745,911 |
Allstate Corp. (The) | 14,572 | 1,638,621 |
American International Group, Inc. | 39,117 | 2,007,876 |
Aon PLC | 10,532 | 2,193,710 |
Arthur J Gallagher & Co. | 8,389 | 798,884 |
Assurant, Inc. | 2,727 | 357,455 |
Chubb Ltd. | 20,380 | 3,172,351 |
Cincinnati Financial Corp. | 6,837 | 718,910 |
Everest Re Group Ltd. | 1,837 | 508,555 |
Globe Life, Inc. | 4,475 | 470,994 |
Hartford Financial Services Group, Inc. (The) | 16,205 | 984,778 |
Lincoln National Corp. | 8,915 | 526,074 |
Loews Corp. | 11,506 | 603,950 |
Marsh & McLennan Companies, Inc. | 22,690 | 2,527,893 |
MetLife, Inc. | 35,146 | 1,791,392 |
Principal Financial Group, Inc. | 11,611 | 638,605 |
Progressive Corp. (The) | 26,284 | 1,902,699 |
Prudential Financial, Inc. | 18,081 | 1,694,913 |
Travelers Companies, Inc. (The) | 11,602 | 1,588,894 |
Unum Group | 9,274 | 270,430 |
Willis Towers Watson PLC | 5,784 | 1,168,021 |
WR Berkley Corp. | 6,520 | 450,532 |
Total | 27,761,448 | |
Total Financials | 155,833,683 | |
Health Care 14.1% | ||
Biotechnology 2.0% | ||
AbbVie, Inc. | 66,496 | 5,887,556 |
Alexion Pharmaceuticals, Inc.(a) | 9,953 | 1,076,417 |
Amgen, Inc. | 26,715 | 6,440,185 |
Biogen, Inc.(a) | 8,112 | 2,407,074 |
Gilead Sciences, Inc. | 56,891 | 3,696,777 |
Incyte Corp.(a) | 8,043 | 702,315 |
Regeneron Pharmaceuticals, Inc.(a) | 3,590 | 1,347,973 |
Vertex Pharmaceuticals, Inc.(a) | 11,560 | 2,531,062 |
Total | 24,089,359 |
Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2019 | 11 |
December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Health Care Equipment & Supplies 3.5% | ||
Abbott Laboratories | 79,471 | 6,902,851 |
ABIOMED, Inc.(a) | 2,028 | 345,956 |
Align Technology, Inc.(a) | 3,223 | 899,346 |
Baxter International, Inc. | 22,957 | 1,919,664 |
Becton Dickinson and Co. | 12,165 | 3,308,515 |
Boston Scientific Corp.(a) | 62,680 | 2,834,390 |
Cooper Companies, Inc. (The) | 2,228 | 715,834 |
Danaher Corp. | 28,747 | 4,412,090 |
Dentsply Sirona, Inc. | 10,003 | 566,070 |
Edwards Lifesciences Corp.(a) | 9,379 | 2,188,027 |
Hologic, Inc.(a) | 12,057 | 629,496 |
IDEXX Laboratories, Inc.(a) | 3,855 | 1,006,656 |
Intuitive Surgical, Inc.(a) | 5,198 | 3,072,798 |
Medtronic PLC | 60,269 | 6,837,518 |
ResMed, Inc. | 6,464 | 1,001,726 |
STERIS PLC | 3,810 | 580,720 |
Stryker Corp. | 14,483 | 3,040,561 |
Teleflex, Inc. | 2,080 | 782,995 |
Varian Medical Systems, Inc.(a) | 4,084 | 579,969 |
Zimmer Biomet Holdings, Inc. | 9,253 | 1,384,989 |
Total | 43,010,171 | |
Health Care Providers & Services 2.9% | ||
AmerisourceBergen Corp. | 6,758 | 574,565 |
Anthem, Inc. | 11,403 | 3,444,048 |
Cardinal Health, Inc. | 13,151 | 665,178 |
Centene Corp.(a) | 18,608 | 1,169,885 |
Cigna Corp. | 16,792 | 3,433,796 |
CVS Health Corp. | 58,495 | 4,345,594 |
DaVita, Inc.(a) | 4,035 | 302,746 |
HCA Healthcare, Inc. | 11,892 | 1,757,756 |
Henry Schein, Inc.(a) | 6,597 | 440,152 |
Humana, Inc. | 5,959 | 2,184,093 |
Laboratory Corp. of America Holdings(a) | 4,362 | 737,920 |
McKesson Corp. | 8,098 | 1,120,115 |
Quest Diagnostics, Inc. | 6,059 | 647,041 |
UnitedHealth Group, Inc. | 42,599 | 12,523,254 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Universal Health Services, Inc., Class B | 3,609 | 517,747 |
WellCare Health Plans, Inc.(a) | 2,259 | 745,944 |
Total | 34,609,834 | |
Health Care Technology 0.1% | ||
Cerner Corp. | 14,125 | 1,036,634 |
Life Sciences Tools & Services 1.0% | ||
Agilent Technologies, Inc. | 13,913 | 1,186,918 |
Illumina, Inc.(a) | 6,608 | 2,192,138 |
IQVIA Holdings, Inc.(a) | 8,117 | 1,254,158 |
Mettler-Toledo International, Inc.(a) | 1,096 | 869,435 |
PerkinElmer, Inc. | 5,000 | 485,500 |
Thermo Fisher Scientific, Inc. | 18,029 | 5,857,081 |
Waters Corp.(a) | 2,901 | 677,818 |
Total | 12,523,048 | |
Pharmaceuticals 4.6% | ||
Allergan PLC | 14,760 | 2,821,669 |
Bristol-Myers Squibb Co. | 105,409 | 6,766,204 |
Eli Lilly & Co. | 37,995 | 4,993,683 |
Johnson & Johnson | 118,348 | 17,263,423 |
Merck & Co., Inc. | 114,482 | 10,412,138 |
Mylan NV(a) | 23,206 | 466,440 |
Perrigo Co. PLC | 6,123 | 316,314 |
Pfizer, Inc. | 248,845 | 9,749,747 |
Zoetis, Inc. | 21,419 | 2,834,805 |
Total | 55,624,423 | |
Total Health Care | 170,893,469 | |
Industrials 9.0% | ||
Aerospace & Defense 2.4% | ||
Arconic, Inc. | 17,416 | 535,890 |
Boeing Co. (The) | 24,043 | 7,832,248 |
General Dynamics Corp. | 10,535 | 1,857,847 |
Huntington Ingalls Industries, Inc. | 1,842 | 462,121 |
L3 Harris Technologies, Inc. | 9,937 | 1,966,234 |
Lockheed Martin Corp. | 11,164 | 4,347,038 |
Northrop Grumman Corp. | 7,052 | 2,425,677 |
Raytheon Co. | 12,522 | 2,751,584 |
Textron, Inc. | 10,269 | 457,998 |
12 | Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2019 |
December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
TransDigm Group, Inc. | 2,236 | 1,252,160 |
United Technologies Corp. | 36,484 | 5,463,844 |
Total | 29,352,641 | |
Air Freight & Logistics 0.5% | ||
CH Robinson Worldwide, Inc. | 6,081 | 475,534 |
Expeditors International of Washington, Inc. | 7,655 | 597,243 |
FedEx Corp. | 10,790 | 1,631,556 |
United Parcel Service, Inc., Class B | 31,506 | 3,688,093 |
Total | 6,392,426 | |
Airlines 0.4% | ||
Alaska Air Group, Inc. | 5,541 | 375,403 |
American Airlines Group, Inc. | 17,528 | 502,703 |
Delta Air Lines, Inc. | 25,878 | 1,513,345 |
Southwest Airlines Co. | 21,296 | 1,149,558 |
United Airlines Holdings, Inc.(a) | 9,784 | 861,873 |
Total | 4,402,882 | |
Building Products 0.3% | ||
Allegion PLC | 4,178 | 520,328 |
AO Smith Corp. | 6,165 | 293,701 |
Fortune Brands Home & Security, Inc. | 6,254 | 408,636 |
Johnson Controls International PLC | 34,689 | 1,412,189 |
Masco Corp. | 12,778 | 613,216 |
Total | 3,248,070 | |
Commercial Services & Supplies 0.4% | ||
Cintas Corp. | 3,768 | 1,013,893 |
Copart, Inc.(a) | 9,195 | 836,193 |
Republic Services, Inc. | 9,476 | 849,334 |
Rollins, Inc. | 6,329 | 209,870 |
Waste Management, Inc. | 17,551 | 2,000,112 |
Total | 4,909,402 | |
Construction & Engineering 0.1% | ||
Jacobs Engineering Group, Inc. | 6,094 | 547,424 |
Quanta Services, Inc. | 6,403 | 260,666 |
Total | 808,090 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Electrical Equipment 0.5% | ||
AMETEK, Inc. | 10,283 | 1,025,627 |
Eaton Corp. PLC | 18,587 | 1,760,561 |
Emerson Electric Co. | 27,390 | 2,088,761 |
Rockwell Automation, Inc. | 5,196 | 1,053,073 |
Total | 5,928,022 | |
Industrial Conglomerates 1.3% | ||
3M Co. | 25,855 | 4,561,339 |
General Electric Co. | 392,716 | 4,382,711 |
Honeywell International, Inc. | 32,126 | 5,686,302 |
Roper Technologies, Inc. | 4,684 | 1,659,213 |
Total | 16,289,565 | |
Machinery 1.6% | ||
Caterpillar, Inc. | 24,851 | 3,669,996 |
Cummins, Inc. | 6,885 | 1,232,140 |
Deere & Co. | 14,159 | 2,453,188 |
Dover Corp. | 6,534 | 753,109 |
Flowserve Corp. | 5,888 | 293,046 |
Fortive Corp. | 13,283 | 1,014,688 |
IDEX Corp. | 3,420 | 588,240 |
Illinois Tool Works, Inc. | 13,149 | 2,361,955 |
Ingersoll-Rand PLC | 10,778 | 1,432,612 |
PACCAR, Inc. | 15,555 | 1,230,400 |
Parker-Hannifin Corp. | 5,772 | 1,187,993 |
Pentair PLC | 7,554 | 346,502 |
Snap-On, Inc. | 2,467 | 417,910 |
Stanley Black & Decker, Inc. | 6,837 | 1,133,164 |
Westinghouse Air Brake Technologies Corp. | 8,190 | 637,182 |
Xylem, Inc. | 8,095 | 637,805 |
Total | 19,389,930 | |
Professional Services 0.3% | ||
Equifax, Inc. | 5,442 | 762,533 |
IHS Markit Ltd.(a) | 18,034 | 1,358,862 |
Nielsen Holdings PLC | 15,998 | 324,759 |
Robert Half International, Inc. | 5,285 | 333,748 |
Verisk Analytics, Inc. | 7,373 | 1,101,084 |
Total | 3,880,986 |
Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2019 | 13 |
December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Road & Rail 1.0% | ||
CSX Corp. | 34,971 | 2,530,501 |
JB Hunt Transport Services, Inc. | 3,836 | 447,968 |
Kansas City Southern | 4,461 | 683,247 |
Norfolk Southern Corp. | 11,725 | 2,276,174 |
Old Dominion Freight Line, Inc. | 2,870 | 544,669 |
Union Pacific Corp. | 31,218 | 5,643,902 |
Total | 12,126,461 | |
Trading Companies & Distributors 0.2% | ||
Fastenal Co. | 25,786 | 952,793 |
United Rentals, Inc.(a) | 3,377 | 563,182 |
W.W. Grainger, Inc. | 1,959 | 663,161 |
Total | 2,179,136 | |
Total Industrials | 108,907,611 | |
Information Technology 23.1% | ||
Communications Equipment 1.0% | ||
Arista Networks, Inc.(a) | 2,444 | 497,110 |
Cisco Systems, Inc. | 190,758 | 9,148,754 |
F5 Networks, Inc.(a) | 2,738 | 382,362 |
Juniper Networks, Inc. | 15,048 | 370,632 |
Motorola Solutions, Inc. | 7,703 | 1,241,261 |
Total | 11,640,119 | |
Electronic Equipment, Instruments & Components 0.6% | ||
Amphenol Corp., Class A | 13,335 | 1,443,247 |
CDW Corp. | 6,460 | 922,746 |
Corning, Inc. | 34,585 | 1,006,769 |
FLIR Systems, Inc. | 6,032 | 314,086 |
IPG Photonics Corp.(a) | 1,599 | 231,727 |
Keysight Technologies, Inc.(a) | 8,438 | 865,992 |
TE Connectivity Ltd. | 15,041 | 1,441,530 |
Zebra Technologies Corp., Class A(a) | 2,420 | 618,165 |
Total | 6,844,262 | |
IT Services 5.4% | ||
Accenture PLC, Class A | 28,553 | 6,012,405 |
Akamai Technologies, Inc.(a) | 7,269 | 627,896 |
Alliance Data Systems Corp. | 1,844 | 206,897 |
Automatic Data Processing, Inc. | 19,456 | 3,317,248 |
Broadridge Financial Solutions, Inc. | 5,152 | 636,478 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Cognizant Technology Solutions Corp., Class A | 24,625 | 1,527,242 |
DXC Technology Co. | 11,509 | 432,623 |
Fidelity National Information Services, Inc. | 27,632 | 3,843,335 |
Fiserv, Inc.(a) | 25,679 | 2,969,263 |
FleetCor Technologies, Inc.(a) | 3,904 | 1,123,259 |
Gartner, Inc.(a) | 4,026 | 620,407 |
Global Payments, Inc. | 13,517 | 2,467,663 |
International Business Machines Corp. | 39,821 | 5,337,607 |
Jack Henry & Associates, Inc. | 3,458 | 503,727 |
Leidos Holdings, Inc. | 5,980 | 585,382 |
MasterCard, Inc., Class A | 39,915 | 11,918,220 |
Paychex, Inc. | 14,323 | 1,218,314 |
PayPal Holdings, Inc.(a) | 52,804 | 5,711,809 |
VeriSign, Inc.(a) | 4,642 | 894,421 |
Visa, Inc., Class A | 76,974 | 14,463,415 |
Western Union Co. (The) | 18,851 | 504,830 |
Total | 64,922,441 | |
Semiconductors & Semiconductor Equipment 4.2% | ||
Advanced Micro Devices, Inc.(a) | 50,078 | 2,296,577 |
Analog Devices, Inc. | 16,563 | 1,968,347 |
Applied Materials, Inc. | 41,536 | 2,535,357 |
Broadcom, Inc. | 17,837 | 5,636,849 |
Intel Corp. | 195,607 | 11,707,079 |
KLA Corp. | 7,091 | 1,263,403 |
Lam Research Corp. | 6,528 | 1,908,787 |
Maxim Integrated Products, Inc. | 12,167 | 748,392 |
Microchip Technology, Inc. | 10,743 | 1,125,007 |
Micron Technology, Inc.(a) | 49,782 | 2,677,276 |
NVIDIA Corp. | 27,519 | 6,475,221 |
Qorvo, Inc.(a) | 5,220 | 606,721 |
QUALCOMM, Inc. | 51,340 | 4,529,728 |
Skyworks Solutions, Inc. | 7,666 | 926,666 |
Texas Instruments, Inc. | 42,034 | 5,392,542 |
Xilinx, Inc. | 11,308 | 1,105,583 |
Total | 50,903,535 |
14 | Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2019 |
December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Software 7.0% | ||
Adobe, Inc.(a) | 21,770 | 7,179,964 |
ANSYS, Inc.(a) | 3,847 | 990,256 |
Autodesk, Inc.(a) | 9,893 | 1,814,970 |
Cadence Design Systems, Inc.(a) | 12,613 | 874,838 |
Citrix Systems, Inc. | 5,504 | 610,394 |
Fortinet, Inc.(a) | 6,388 | 681,983 |
Intuit, Inc. | 11,706 | 3,066,152 |
Microsoft Corp. | 343,045 | 54,098,196 |
Oracle Corp. | 97,419 | 5,161,259 |
Salesforce.com, Inc.(a) | 39,890 | 6,487,709 |
ServiceNow, Inc.(a) | 8,480 | 2,394,074 |
Symantec Corp. | 25,786 | 658,059 |
Synopsys, Inc.(a) | 6,761 | 941,131 |
Total | 84,958,985 | |
Technology Hardware, Storage & Peripherals 4.9% | ||
Apple, Inc.(c) | 187,813 | 55,151,287 |
Hewlett Packard Enterprise Co. | 58,185 | 922,814 |
HP, Inc. | 66,637 | 1,369,390 |
NetApp, Inc. | 10,266 | 639,059 |
Seagate Technology PLC | 10,399 | 618,741 |
Western Digital Corp. | 13,369 | 848,530 |
Xerox Holdings Corp. | 8,365 | 308,418 |
Total | 59,858,239 | |
Total Information Technology | 279,127,581 | |
Materials 2.6% | ||
Chemicals 1.9% | ||
Air Products & Chemicals, Inc. | 9,912 | 2,329,221 |
Albemarle Corp. | 4,766 | 348,109 |
Celanese Corp., Class A | 5,434 | 669,034 |
CF Industries Holdings, Inc. | 9,774 | 466,611 |
Corteva, Inc. | 33,654 | 994,812 |
Dow, Inc. | 33,344 | 1,824,917 |
DuPont de Nemours, Inc. | 33,313 | 2,138,694 |
Eastman Chemical Co. | 6,114 | 484,596 |
Ecolab, Inc. | 11,281 | 2,177,120 |
FMC Corp. | 5,827 | 581,651 |
International Flavors & Fragrances, Inc. | 4,806 | 620,070 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Linde PLC | 24,152 | 5,141,961 |
LyondellBasell Industries NV, Class A | 11,541 | 1,090,394 |
Mosaic Co. (The) | 15,725 | 340,289 |
PPG Industries, Inc. | 10,637 | 1,419,933 |
Sherwin-Williams Co. (The) | 3,695 | 2,156,180 |
Total | 22,783,592 | |
Construction Materials 0.1% | ||
Martin Marietta Materials, Inc. | 2,814 | 786,907 |
Vulcan Materials Co. | 5,951 | 856,884 |
Total | 1,643,791 | |
Containers & Packaging 0.3% | ||
Amcor PLC | 72,850 | 789,694 |
Avery Dennison Corp. | 3,753 | 490,968 |
Ball Corp. | 14,710 | 951,296 |
International Paper Co. | 17,629 | 811,816 |
Packaging Corp. of America | 4,257 | 476,741 |
Sealed Air Corp. | 6,952 | 276,898 |
WestRock Co. | 11,597 | 497,627 |
Total | 4,295,040 | |
Metals & Mining 0.3% | ||
Freeport-McMoRan, Inc. | 65,247 | 856,041 |
Newmont Goldcorp Corp. | 36,869 | 1,601,958 |
Nucor Corp. | 13,636 | 767,434 |
Total | 3,225,433 | |
Total Materials | 31,947,856 | |
Real Estate 2.9% | ||
Equity Real Estate Investment Trusts (REITS) 2.8% | ||
Alexandria Real Estate Equities, Inc. | 5,174 | 836,015 |
American Tower Corp. | 19,917 | 4,577,325 |
Apartment Investment & Management Co., Class A | 6,697 | 345,900 |
AvalonBay Communities, Inc. | 6,277 | 1,316,287 |
Boston Properties, Inc. | 6,471 | 892,092 |
Crown Castle International Corp. | 18,698 | 2,657,921 |
Digital Realty Trust, Inc. | 9,387 | 1,123,999 |
Duke Realty Corp. | 16,530 | 573,095 |
Equinix, Inc. | 3,831 | 2,236,155 |
Equity Residential | 15,700 | 1,270,444 |
Essex Property Trust, Inc. | 2,967 | 892,652 |
Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2019 | 15 |
December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Extra Space Storage, Inc. | 5,819 | 614,603 |
Federal Realty Investment Trust | 3,162 | 407,044 |
Healthpeak Properties, Inc. | 22,260 | 767,302 |
Host Hotels & Resorts, Inc. | 32,250 | 598,238 |
Iron Mountain, Inc. | 12,912 | 411,505 |
Kimco Realty Corp. | 18,988 | 393,241 |
Mid-America Apartment Communities, Inc. | 5,125 | 675,783 |
ProLogis, Inc. | 28,403 | 2,531,843 |
Public Storage | 6,756 | 1,438,758 |
Realty Income Corp. | 14,658 | 1,079,269 |
Regency Centers Corp. | 7,530 | 475,068 |
SBA Communications Corp. | 5,066 | 1,220,855 |
Simon Property Group, Inc. | 13,796 | 2,055,052 |
SL Green Realty Corp. | 3,670 | 337,200 |
UDR, Inc. | 13,182 | 615,599 |
Ventas, Inc. | 16,762 | 967,838 |
Vornado Realty Trust | 7,126 | 473,879 |
Welltower, Inc. | 18,244 | 1,491,994 |
Weyerhaeuser Co. | 33,502 | 1,011,760 |
Total | 34,288,716 | |
Real Estate Management & Development 0.1% | ||
CBRE Group, Inc., Class A(a) | 15,049 | 922,353 |
Total Real Estate | 35,211,069 | |
Utilities 3.3% | ||
Electric Utilities 2.0% | ||
Alliant Energy Corp. | 10,812 | 591,633 |
American Electric Power Co., Inc. | 22,212 | 2,099,256 |
Duke Energy Corp. | 32,783 | 2,990,137 |
Edison International | 16,121 | 1,215,685 |
Entergy Corp. | 8,948 | 1,071,970 |
Evergy, Inc. | 10,249 | 667,107 |
Eversource Energy | 14,554 | 1,238,109 |
Exelon Corp. | 43,711 | 1,992,784 |
FirstEnergy Corp. | 24,298 | 1,180,883 |
NextEra Energy, Inc. | 21,977 | 5,321,950 |
Pinnacle West Capital Corp. | 5,051 | 454,236 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
PPL Corp. | 32,511 | 1,166,495 |
Southern Co. (The) | 47,155 | 3,003,774 |
Xcel Energy, Inc. | 23,577 | 1,496,904 |
Total | 24,490,923 | |
Gas Utilities 0.0% | ||
Atmos Energy Corp. | 5,370 | 600,688 |
Independent Power and Renewable Electricity Producers 0.1% | ||
AES Corp. (The) | 29,852 | 594,055 |
NRG Energy, Inc. | 11,318 | 449,890 |
Total | 1,043,945 | |
Multi-Utilities 1.1% | ||
Ameren Corp. | 11,068 | 850,023 |
CenterPoint Energy, Inc. | 22,588 | 615,975 |
CMS Energy Corp. | 12,766 | 802,216 |
Consolidated Edison, Inc. | 14,946 | 1,352,165 |
Dominion Energy, Inc. | 37,009 | 3,065,085 |
DTE Energy Co. | 8,636 | 1,121,557 |
NiSource, Inc. | 16,792 | 467,489 |
Public Service Enterprise Group, Inc. | 22,743 | 1,342,974 |
Sempra Energy | 12,673 | 1,919,706 |
WEC Energy Group, Inc. | 14,184 | 1,308,190 |
Total | 12,845,380 | |
Water Utilities 0.1% | ||
American Water Works Co., Inc. | 8,128 | 998,525 |
Total Utilities | 39,979,461 | |
Total Common Stocks (Cost $792,738,937) | 1,203,287,266 | |
Money Market Funds 0.6% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(b),(d) | 6,978,367 | 6,977,669 |
Total Money Market Funds (Cost $6,977,801) | 6,977,669 | |
Total Investments in Securities (Cost: $799,716,738) | 1,210,264,935 | |
Other Assets & Liabilities, Net | 423,547 | |
Net Assets | 1,210,688,482 |
16 | Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2019 |
December 31, 2019
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | 52 | 03/2020 | USD | 8,400,860 | 128,156 | — |
(a) | Non-income producing investment. |
(b) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Ameriprise Financial, Inc. | ||||||||
5,099 | 760 | (160) | 5,699 | 19,100 | 318,076 | 20,930 | 949,340 | |
Columbia Short-Term Cash Fund, 1.699% | ||||||||
15,474,877 | 170,753,028 | (179,249,538) | 6,978,367 | (1,181) | (131) | 380,882 | 6,977,669 | |
Total | 17,919 | 317,945 | 401,812 | 7,927,009 |
(c) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(d) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2019 | 17 |
December 31, 2019
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 125,027,203 | — | — | 125,027,203 |
Consumer Discretionary | 117,392,130 | — | — | 117,392,130 |
Consumer Staples | 86,670,621 | — | — | 86,670,621 |
Energy | 52,296,582 | — | — | 52,296,582 |
Financials | 155,833,683 | — | — | 155,833,683 |
Health Care | 170,893,469 | — | — | 170,893,469 |
Industrials | 108,907,611 | — | — | 108,907,611 |
Information Technology | 279,127,581 | — | — | 279,127,581 |
Materials | 31,947,856 | — | — | 31,947,856 |
Real Estate | 35,211,069 | — | — | 35,211,069 |
Utilities | 39,979,461 | — | — | 39,979,461 |
Total Common Stocks | 1,203,287,266 | — | — | 1,203,287,266 |
Money Market Funds | 6,977,669 | — | — | 6,977,669 |
Total Investments in Securities | 1,210,264,935 | — | — | 1,210,264,935 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 128,156 | — | — | 128,156 |
Total | 1,210,393,091 | — | — | 1,210,393,091 |
18 | Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2019 |
December 31, 2019
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $792,230,133) | $1,202,337,926 |
Affiliated issuers (cost $7,486,605) | 7,927,009 |
Receivable for: | |
Capital shares sold | 64,749 |
Dividends | 1,232,346 |
Foreign tax reclaims | 11,557 |
Variation margin for futures contracts | 22,660 |
Prepaid expenses | 3,638 |
Total assets | 1,211,599,885 |
Liabilities | |
Due to custodian | 583 |
Payable for: | |
Capital shares purchased | 717,677 |
Management services fees | 6,617 |
Distribution and/or service fees | 2,127 |
Service fees | 31,491 |
Compensation of board members | 49,591 |
Compensation of chief compliance officer | 216 |
Other expenses | 103,101 |
Total liabilities | 911,403 |
Net assets applicable to outstanding capital stock | $1,210,688,482 |
Represented by | |
Trust capital | $1,210,688,482 |
Total - representing net assets applicable to outstanding capital stock | $1,210,688,482 |
Class 1 | |
Net assets | $599,583,562 |
Shares outstanding | 23,147,591 |
Net asset value per share | $25.90 |
Class 2 | |
Net assets | $11,354,108 |
Shares outstanding | 447,662 |
Net asset value per share | $25.36 |
Class 3 | |
Net assets | $599,750,812 |
Shares outstanding | 23,386,588 |
Net asset value per share | $25.65 |
Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2019 | 19 |
Year Ended December 31, 2019
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $21,459,559 |
Dividends — affiliated issuers | 401,812 |
Total income | 21,861,371 |
Expenses: | |
Management services fees | 2,025,360 |
Distribution and/or service fees | |
Class 2 | 27,243 |
Class 3 | 663,163 |
Service fees | 326,244 |
Compensation of board members | 27,499 |
Custodian fees | 39,312 |
Printing and postage fees | 96,805 |
Licensing fees and expenses | 93,776 |
Audit fees | 29,001 |
Legal fees | 16,603 |
Compensation of chief compliance officer | 214 |
Other | 18,071 |
Total expenses | 3,363,291 |
Net investment income | 18,498,080 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 3,707,447 |
Investments — affiliated issuers | 17,919 |
Futures contracts | 5,042,012 |
Net realized gain | 8,767,378 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 237,396,962 |
Investments — affiliated issuers | 317,945 |
Futures contracts | 353,676 |
Net change in unrealized appreciation (depreciation) | 238,068,583 |
Net realized and unrealized gain | 246,835,961 |
Net increase in net assets resulting from operations | $265,334,041 |
20 | Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2019 |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $18,498,080 | $13,668,197 |
Net realized gain | 8,767,378 | 8,589,004 |
Net change in unrealized appreciation (depreciation) | 238,068,583 | (67,014,138) |
Net increase (decrease) in net assets resulting from operations | 265,334,041 | (44,756,937) |
Increase in net assets from capital stock activity | 159,579,603 | 161,901,096 |
Total increase in net assets | 424,913,644 | 117,144,159 |
Net assets at beginning of year | 785,774,838 | 668,630,679 |
Net assets at end of year | $1,210,688,482 | $785,774,838 |
Year Ended | Year Ended | |||
December 31, 2019 | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 6,347,251 | 145,225,297 | 7,042,724 | 150,887,718 |
Redemptions | (49,430) | (1,171,984) | (30,846) | (662,757) |
Net increase | 6,297,821 | 144,053,313 | 7,011,878 | 150,224,961 |
Class 2 | ||||
Subscriptions | 7,610 | 166,167 | 18,127 | 369,211 |
Redemptions | (83,255) | (1,880,509) | (72,271) | (1,523,050) |
Net decrease | (75,645) | (1,714,342) | (54,144) | (1,153,839) |
Class 3 | ||||
Subscriptions | 1,833,049 | 41,860,107 | 1,723,581 | 36,758,535 |
Redemptions | (1,062,040) | (24,619,475) | (1,128,721) | (23,928,561) |
Net increase | 771,009 | 17,240,632 | 594,860 | 12,829,974 |
Total net increase | 6,993,185 | 159,579,603 | 7,552,594 | 161,901,096 |
Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2019 | 21 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2019 | $19.75 | 0.44 | 5.71 | 6.15 |
Year Ended 12/31/2018 | $20.72 | 0.42 | (1.39) | (0.97) |
Year Ended 12/31/2017 | $17.06 | 0.33 | 3.33 | 3.66 |
Year Ended 12/31/2016 | $15.29 | 0.34 | 1.43 | 1.77 |
Year Ended 12/31/2015 | $15.14 | 0.34(c) | (0.19) | 0.15 |
Class 2 | ||||
Year Ended 12/31/2019 | $19.39 | 0.37 | 5.60 | 5.97 |
Year Ended 12/31/2018 | $20.40 | 0.34 | (1.35) | (1.01) |
Year Ended 12/31/2017 | $16.83 | 0.28 | 3.29 | 3.57 |
Year Ended 12/31/2016 | $15.12 | 0.26 | 1.45 | 1.71 |
Year Ended 12/31/2015 | $15.01 | 0.29(d) | (0.18) | 0.11 |
Class 3 | ||||
Year Ended 12/31/2019 | $19.58 | 0.40 | 5.67 | 6.07 |
Year Ended 12/31/2018 | $20.57 | 0.37 | (1.36) | (0.99) |
Year Ended 12/31/2017 | $16.96 | 0.30 | 3.31 | 3.61 |
Year Ended 12/31/2016 | $15.21 | 0.28 | 1.47 | 1.75 |
Year Ended 12/31/2015 | $15.08 | 0.32(c) | (0.19) | 0.13 |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.06 per share. |
(d) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.05 per share. |
22 | Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2019 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019 | $25.90 | 31.14% | 0.26% | 0.26% | 1.91% | 2% | $599,584 |
Year Ended 12/31/2018 | $19.75 | (4.68%) | 0.28% | 0.28% | 1.94% | 3% | $332,816 |
Year Ended 12/31/2017 | $20.72 | 21.45% | 0.29% | 0.29% | 1.75% | 2% | $203,887 |
Year Ended 12/31/2016 | $17.06 | 11.58% | 0.32% | 0.31% | 2.14% | 5% | $31,465 |
Year Ended 12/31/2015 | $15.29 | 0.99% | 0.37% | 0.33% | 2.21% | 4% | $3 |
Class 2 | |||||||
Year Ended 12/31/2019 | $25.36 | 30.79% | 0.51% | 0.51% | 1.63% | 2% | $11,354 |
Year Ended 12/31/2018 | $19.39 | (4.95%) | 0.53% | 0.53% | 1.61% | 3% | $10,146 |
Year Ended 12/31/2017 | $20.40 | 21.21% | 0.55% | 0.55% | 1.50% | 2% | $11,777 |
Year Ended 12/31/2016 | $16.83 | 11.31% | 0.56% | 0.56% | 1.65% | 5% | $11,332 |
Year Ended 12/31/2015 | $15.12 | 0.73% | 0.58% | 0.58% | 1.94% | 4% | $11,794 |
Class 3 | |||||||
Year Ended 12/31/2019 | $25.65 | 31.00% | 0.39% | 0.39% | 1.76% | 2% | $599,751 |
Year Ended 12/31/2018 | $19.58 | (4.81%) | 0.40% | 0.40% | 1.75% | 3% | $442,813 |
Year Ended 12/31/2017 | $20.57 | 21.28% | 0.42% | 0.42% | 1.62% | 2% | $452,967 |
Year Ended 12/31/2016 | $16.96 | 11.51% | 0.43% | 0.43% | 1.78% | 5% | $347,922 |
Year Ended 12/31/2015 | $15.21 | 0.86% | 0.46% | 0.45% | 2.10% | 4% | $304,143 |
Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2019 | 23 |
December 31, 2019
24 | Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2019 | 25 |
December 31, 2019
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 128,156* |
26 | Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2019 |
December 31, 2019
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Equity risk | 5,042,012 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Equity risk | 353,676 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 12,659,103 |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2019. |
Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2019 | 27 |
December 31, 2019
28 | Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2019 | 29 |
December 31, 2019
Fee rate(s) contractual through April 30, 2019 | |
Class 1 | 0.29% |
Class 2 | 0.54 |
Class 3 | 0.415 |
30 | Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2019 | 31 |
December 31, 2019
32 | Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2019 |
Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2019 | 33 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1953 | Trustee since 1/17 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 121 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 1/06 for RiverSource Funds and since 6/11 for Nations Funds | Attorney; specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018 | 121 | Trustee, BlueCross BlueShield of Minnesota since 2009 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee since 2017); Chair of the Robina Foundation since August 2013; former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017 |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 7/07 for RiverSource Funds and since 6/11 for Nations Funds | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, Morgan Stanley, 1982-1991 | 121 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of Human Resources Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee) since 2019 |
34 | Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2019 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1950 | Trustee since 11/04 for RiverSource Funds and since 6/11 for Nations Funds | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 121 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative since 2010; Board of Directors, The MA Business Roundtable 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 12/17 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 121 | Trustee, Catholic Schools Foundation since 2004 |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Chair of the Board since 1/20; Trustee since 11/04 for RiverSource Funds and since 6/11 for Nations Funds | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Managing Director, Morgan Stanley, 1982-1989; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 121 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Anthony M. Santomero c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1946 | Trustee since 6/11 for RiverSource Funds and since 1/08 for Nations Funds | Richard K. Mellon Professor Emeritus of Finance, The Wharton School, University of Pennsylvania, since 2002; Senior Advisor, McKinsey & Company (consulting), 2006-2008; President, Federal Reserve Bank of Philadelphia, 2000- 2006; Professor of Finance, The Wharton School, University of Pennsylvania, 1972-2002 | 121 | Trustee, Penn Mutual Life Insurance Company since March 2008; Director, Renaissance Reinsurance Ltd. since May 2008; former Director, Citigroup Inc. and Citibank, N.A., 2009-2019; former Trustee, BofA Funds Series Trust (11 funds), 2008-2011 |
Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1947 | Trustee since 6/11 for RiverSource Funds and since 2003 for Nations Funds | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 121 | Director, BlueCross BlueShield of South Carolina since April 2008; Trustee, Hollingsworth Funds since 2016 (previously Board Chair from 2016-2019); Advisory Board member, Duke Energy Corp. since October 2016; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018 |
Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2019 | 35 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Sandra Yeager c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 12/17 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 119 | Director, NAPE Education Foundation since October 2016 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin St. Boston, MA 02110 1960 | Trustee since 11/01 for RiverSource Funds and since 6/11 for Nations Funds; Senior Vice President since 2002 for RiverSource Funds and since 5/10 for Nations Funds | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010 - September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006 - August 2012. | 192 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, August 2006-January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
36 | Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2019 |
The Board has appointed officers who are responsible for day-to-day business decisions based on policies it has established. The officers serve at the pleasure of the Board. The following table provides basic information about the Officers of the Fund, including principal occupations during the past five years, although their specific titles may have varied over the period. In addition to Mr. Truscott, who is Senior Vice President, the Fund’s other officers are:
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously Vice President and Chief Counsel, January 2010 - December 2014); officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer, Principal Financial Officer (2009), and Senior Vice President (2019) | Vice President, Head of North American Operations, and Co-Head of Global Operations, – Accounting and Tax, Columbia Management Investment Advisers, LLC, since June 2019 (previously Vice President – Accounting and Tax, May 2010 – May 2019); senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009 – January 2019 and December 2015 – January 2019, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer, Chief Accounting Officer (Principal Accounting Officer) (2019), and Principal Financial Officer (2020) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously Vice President — Pricing and Corporate Actions, May 2010 - March 2017). |
Paul B. Goucher 485 Lexington Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since March 2015 (previously Vice President and Assistant Secretary, May 2010 – March 2015). |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 Born 1962 | Senior Vice President (2020) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); previously, Senior Vice President of Investment Product Management, Fidelity Financial Advisor Solutions, a division of Fidelity Investments (January 2012 – March 2015). |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2019 | 37 |
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
38 | Columbia Variable Portfolio – Large Cap Index Fund | Annual Report 2019 |
December 31, 2019
3 | |
5 | |
7 | |
8 | |
12 | |
13 | |
14 | |
16 | |
18 | |
25 | |
26 |
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1* | 05/03/10 | 35.18 | 11.33 | 11.17 | |
Class 2* | 05/03/10 | 34.83 | 11.06 | 10.91 | |
Class 3 | 05/01/01 | 34.98 | 11.19 | 11.04 | |
Russell Midcap Growth Index | 35.47 | 11.60 | 14.24 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
Columbia Variable Portfolio – Mid Cap Growth Fund | Annual Report 2019 | 3 |
Portfolio breakdown (%) (at December 31, 2019) | |
Common Stocks | 96.7 |
Money Market Funds | 3.3 |
Total | 100.0 |
Equity sector breakdown (%) (at December 31, 2019) | |
Communication Services | 3.6 |
Consumer Discretionary | 16.9 |
Consumer Staples | 1.8 |
Energy | 1.5 |
Financials | 4.9 |
Health Care | 18.9 |
Industrials | 16.1 |
Information Technology | 33.4 |
Materials | 1.8 |
Real Estate | 1.1 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Mid Cap Growth Fund | Annual Report 2019 |
Columbia Variable Portfolio – Mid Cap Growth Fund | Annual Report 2019 | 5 |
6 | Columbia Variable Portfolio – Mid Cap Growth Fund | Annual Report 2019 |
(Unaudited)
July 1, 2019 — December 31, 2019 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,071.00 | 1,021.76 | 3.85 | 3.76 | 0.73 |
Class 2 | 1,000.00 | 1,000.00 | 1,069.90 | 1,020.49 | 5.17 | 5.05 | 0.98 |
Class 3 | 1,000.00 | 1,000.00 | 1,070.10 | 1,021.15 | 4.48 | 4.38 | 0.85 |
Columbia Variable Portfolio – Mid Cap Growth Fund | Annual Report 2019 | 7 |
December 31, 2019
Common Stocks 96.1% | ||
Issuer | Shares | Value ($) |
Communication Services 3.5% | ||
Entertainment 3.5% | ||
Live Nation Entertainment, Inc.(a) | 105,025 | 7,506,137 |
Madison Square Garden Co. (The), Class A(a) | 19,466 | 5,726,702 |
Zynga, Inc., Class A(a) | 843,000 | 5,159,160 |
Total | 18,391,999 | |
Total Communication Services | 18,391,999 | |
Consumer Discretionary 16.2% | ||
Distributors 1.1% | ||
Pool Corp. | 28,597 | 6,073,431 |
Diversified Consumer Services 1.3% | ||
Grand Canyon Education, Inc.(a) | 72,400 | 6,935,196 |
Hotels, Restaurants & Leisure 7.5% | ||
Chipotle Mexican Grill, Inc.(a) | 13,340 | 11,167,047 |
Choice Hotels International, Inc. | 96,444 | 9,975,203 |
Churchill Downs, Inc. | 60,028 | 8,235,842 |
Domino’s Pizza, Inc. | 34,198 | 10,046,688 |
Total | 39,424,780 | |
Internet & Direct Marketing Retail 0.9% | ||
Wayfair, Inc., Class A(a) | 52,200 | 4,717,314 |
Specialty Retail 5.4% | ||
O’Reilly Automotive, Inc.(a) | 23,167 | 10,153,170 |
Tractor Supply Co. | 115,605 | 10,802,131 |
Ulta Beauty, Inc.(a) | 30,224 | 7,650,903 |
Total | 28,606,204 | |
Total Consumer Discretionary | 85,756,925 | |
Consumer Staples 1.7% | ||
Food Products 1.7% | ||
Lamb Weston Holdings, Inc. | 106,550 | 9,166,497 |
Total Consumer Staples | 9,166,497 | |
Energy 1.5% | ||
Oil, Gas & Consumable Fuels 1.5% | ||
Diamondback Energy, Inc. | 85,200 | 7,911,672 |
Total Energy | 7,911,672 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Financials 4.7% | ||
Banks 1.5% | ||
SVB Financial Group(a) | 31,013 | 7,785,504 |
Capital Markets 2.0% | ||
Raymond James Financial, Inc. | 119,450 | 10,685,997 |
Consumer Finance 1.2% | ||
Synchrony Financial | 176,150 | 6,343,161 |
Total Financials | 24,814,662 | |
Health Care 18.2% | ||
Biotechnology 3.7% | ||
Exact Sciences Corp.(a) | 64,751 | 5,988,172 |
Sarepta Therapeutics, Inc.(a) | 46,680 | 6,023,587 |
Seattle Genetics, Inc.(a) | 66,576 | 7,606,974 |
Total | 19,618,733 | |
Health Care Equipment & Supplies 8.1% | ||
Align Technology, Inc.(a) | 34,793 | 9,708,639 |
IDEXX Laboratories, Inc.(a) | 35,939 | 9,384,751 |
ResMed, Inc. | 44,637 | 6,917,396 |
STERIS PLC | 42,380 | 6,459,560 |
Varian Medical Systems, Inc.(a) | 71,025 | 10,086,260 |
Total | 42,556,606 | |
Health Care Providers & Services 2.8% | ||
Encompass Health Corp. | 133,167 | 9,224,478 |
Laboratory Corp. of America Holdings(a) | 32,326 | 5,468,589 |
Total | 14,693,067 | |
Life Sciences Tools & Services 3.6% | ||
Mettler-Toledo International, Inc.(a) | 10,610 | 8,416,701 |
Pra Health Sciences, Inc.(a) | 96,200 | 10,692,630 |
Total | 19,109,331 | |
Total Health Care | 95,977,737 | |
Industrials 15.5% | ||
Aerospace & Defense 1.5% | ||
BWX Technologies, Inc. | 126,259 | 7,838,159 |
8 | Columbia Variable Portfolio – Mid Cap Growth Fund | Annual Report 2019 |
December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Building Products 2.7% | ||
Allegion PLC | 49,600 | 6,177,184 |
Lennox International, Inc. | 33,950 | 8,282,782 |
Total | 14,459,966 | |
Commercial Services & Supplies 4.3% | ||
Cintas Corp. | 21,820 | 5,871,326 |
Copart, Inc.(a) | 83,073 | 7,554,659 |
Rollins, Inc. | 275,296 | 9,128,815 |
Total | 22,554,800 | |
Machinery 4.4% | ||
Donaldson Co., Inc. | 151,716 | 8,741,876 |
IDEX Corp. | 36,500 | 6,278,000 |
Toro Co. (The) | 101,151 | 8,058,700 |
Total | 23,078,576 | |
Professional Services 1.3% | ||
CoStar Group, Inc.(a) | 11,451 | 6,851,133 |
Road & Rail 1.3% | ||
Old Dominion Freight Line, Inc. | 36,344 | 6,897,364 |
Total Industrials | 81,679,998 | |
Information Technology 32.1% | ||
Electronic Equipment, Instruments & Components 3.7% | ||
Amphenol Corp., Class A | 90,200 | 9,762,346 |
CDW Corp. | 70,169 | 10,022,940 |
Total | 19,785,286 | |
IT Services 9.4% | ||
Booz Allen Hamilton Holdings Corp. | 97,873 | 6,961,706 |
EPAM Systems, Inc.(a) | 43,023 | 9,127,760 |
Gartner, Inc.(a) | 68,026 | 10,482,807 |
GoDaddy, Inc., Class A(a) | 157,905 | 10,724,908 |
Jack Henry & Associates, Inc. | 44,150 | 6,431,330 |
WEX, Inc.(a) | 28,927 | 6,059,049 |
Total | 49,787,560 | |
Semiconductors & Semiconductor Equipment 6.0% | ||
Advanced Micro Devices, Inc.(a) | 295,700 | 13,560,802 |
Lam Research Corp. | 29,517 | 8,630,771 |
Teradyne, Inc. | 137,932 | 9,405,583 |
Total | 31,597,156 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Software 13.0% | ||
Alteryx, Inc., Class A(a) | 67,750 | 6,779,743 |
ANSYS, Inc.(a) | 48,139 | 12,391,460 |
Aspen Technology, Inc.(a) | 69,090 | 8,355,054 |
Cadence Design Systems, Inc.(a) | 131,422 | 9,115,430 |
j2 Global, Inc. | 91,151 | 8,541,760 |
ServiceNow, Inc.(a) | 29,960 | 8,458,307 |
Tyler Technologies, Inc.(a) | 22,336 | 6,701,247 |
Zscaler, Inc.(a) | 181,525 | 8,440,912 |
Total | 68,783,913 | |
Total Information Technology | 169,953,915 | |
Materials 1.7% | ||
Chemicals 1.7% | ||
Celanese Corp., Class A | 72,812 | 8,964,613 |
Total Materials | 8,964,613 | |
Real Estate 1.0% | ||
Equity Real Estate Investment Trusts (REITS) 1.0% | ||
Equity LifeStyle Properties, Inc. | 76,906 | 5,413,413 |
Total Real Estate | 5,413,413 | |
Total Common Stocks (Cost $417,445,209) | 508,031,431 | |
Money Market Funds 3.3% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(b),(c) | 17,438,878 | 17,437,134 |
Total Money Market Funds (Cost $17,437,929) | 17,437,134 | |
Total Investments in Securities (Cost: $434,883,138) | 525,468,565 | |
Other Assets & Liabilities, Net | 3,343,462 | |
Net Assets | 528,812,027 |
Columbia Variable Portfolio – Mid Cap Growth Fund | Annual Report 2019 | 9 |
December 31, 2019
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | ||||||||
11,831,346 | 154,509,466 | (148,901,934) | 17,438,878 | 1,892 | (795) | 312,472 | 17,437,134 |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 18,391,999 | — | — | 18,391,999 |
Consumer Discretionary | 85,756,925 | — | — | 85,756,925 |
Consumer Staples | 9,166,497 | — | — | 9,166,497 |
Energy | 7,911,672 | — | — | 7,911,672 |
Financials | 24,814,662 | — | — | 24,814,662 |
Health Care | 95,977,737 | — | — | 95,977,737 |
10 | Columbia Variable Portfolio – Mid Cap Growth Fund | Annual Report 2019 |
December 31, 2019
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Industrials | 81,679,998 | — | — | 81,679,998 |
Information Technology | 169,953,915 | — | — | 169,953,915 |
Materials | 8,964,613 | — | — | 8,964,613 |
Real Estate | 5,413,413 | — | — | 5,413,413 |
Total Common Stocks | 508,031,431 | — | — | 508,031,431 |
Money Market Funds | 17,437,134 | — | — | 17,437,134 |
Total Investments in Securities | 525,468,565 | — | — | 525,468,565 |
Columbia Variable Portfolio – Mid Cap Growth Fund | Annual Report 2019 | 11 |
December 31, 2019
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $417,445,209) | $508,031,431 |
Affiliated issuers (cost $17,437,929) | 17,437,134 |
Receivable for: | |
Investments sold | 4,031,767 |
Capital shares sold | 6,256 |
Dividends | 317,289 |
Expense reimbursement due from Investment Manager | 1,924 |
Prepaid expenses | 2,649 |
Total assets | 529,828,450 |
Liabilities | |
Payable for: | |
Capital shares purchased | 842,861 |
Management services fees | 11,841 |
Distribution and/or service fees | 1,114 |
Service fees | 16,875 |
Compensation of board members | 102,106 |
Compensation of chief compliance officer | 112 |
Other expenses | 41,514 |
Total liabilities | 1,016,423 |
Net assets applicable to outstanding capital stock | $528,812,027 |
Represented by | |
Trust capital | $528,812,027 |
Total - representing net assets applicable to outstanding capital stock | $528,812,027 |
Class 1 | |
Net assets | $231,470,974 |
Shares outstanding | 6,971,427 |
Net asset value per share | $33.20 |
Class 2 | |
Net assets | $28,168,571 |
Shares outstanding | 868,455 |
Net asset value per share | $32.44 |
Class 3 | |
Net assets | $269,172,482 |
Shares outstanding | 8,205,387 |
Net asset value per share | $32.80 |
12 | Columbia Variable Portfolio – Mid Cap Growth Fund | Annual Report 2019 |
Year Ended December 31, 2019
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $3,632,580 |
Dividends — affiliated issuers | 312,472 |
Interfund lending | 20 |
Total income | 3,945,072 |
Expenses: | |
Management services fees | 4,111,647 |
Distribution and/or service fees | |
Class 2 | 61,857 |
Class 3 | 325,988 |
Service fees | 176,323 |
Compensation of board members | 26,960 |
Custodian fees | 9,603 |
Printing and postage fees | 59,436 |
Audit fees | 29,000 |
Legal fees | 11,972 |
Compensation of chief compliance officer | 107 |
Other | 11,501 |
Total expenses | 4,824,394 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (771,597) |
Total net expenses | 4,052,797 |
Net investment loss | (107,725) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 40,763,275 |
Investments — affiliated issuers | 1,892 |
Net realized gain | 40,765,167 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 105,495,111 |
Investments — affiliated issuers | (795) |
Net change in unrealized appreciation (depreciation) | 105,494,316 |
Net realized and unrealized gain | 146,259,483 |
Net increase in net assets resulting from operations | $146,151,758 |
Columbia Variable Portfolio – Mid Cap Growth Fund | Annual Report 2019 | 13 |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||
Net investment income (loss) | $(107,725) | $185,579 |
Net realized gain | 40,765,167 | 65,173,519 |
Net change in unrealized appreciation (depreciation) | 105,494,316 | (85,451,497) |
Net increase (decrease) in net assets resulting from operations | 146,151,758 | (20,092,399) |
Decrease in net assets from capital stock activity | (48,480,989) | (34,471,255) |
Total increase (decrease) in net assets | 97,670,769 | (54,563,654) |
Net assets at beginning of year | 431,141,258 | 485,704,912 |
Net assets at end of year | $528,812,027 | $431,141,258 |
Year Ended | Year Ended | |||
December 31, 2019 | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 77,346 | 2,376,992 | 123,243 | 3,285,951 |
Redemptions | (578,351) | (17,450,377) | (351,930) | (9,696,344) |
Net decrease | (501,005) | (15,073,385) | (228,687) | (6,410,393) |
Class 2 | ||||
Subscriptions | 128,455 | 3,797,357 | 206,040 | 5,555,492 |
Redemptions | (89,994) | (2,627,162) | (92,762) | (2,479,742) |
Net increase | 38,461 | 1,170,195 | 113,278 | 3,075,750 |
Class 3 | ||||
Subscriptions | 20,393 | 602,635 | 27,452 | 751,146 |
Redemptions | (1,183,005) | (35,180,434) | (1,187,600) | (31,887,758) |
Net decrease | (1,162,612) | (34,577,799) | (1,160,148) | (31,136,612) |
Total net decrease | (1,625,156) | (48,480,989) | (1,275,557) | (34,471,255) |
14 | Columbia Variable Portfolio – Mid Cap Growth Fund | Annual Report 2019 |
Columbia Variable Portfolio – Mid Cap Growth Fund | Annual Report 2019 | 15 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2019 | $24.56 | 0.02 | 8.62 | 8.64 |
Year Ended 12/31/2018 | $25.79 | 0.03 | (1.26) | (1.23) |
Year Ended 12/31/2017 | $20.97 | 0.03 | 4.79 | 4.82 |
Year Ended 12/31/2016 | $20.50 | 0.03 | 0.44 | 0.47 |
Year Ended 12/31/2015 | $19.41 | 0.14(c) | 0.95 | 1.09 |
Class 2 | ||||
Year Ended 12/31/2019 | $24.06 | (0.06) | 8.44 | 8.38 |
Year Ended 12/31/2018 | $25.32 | (0.03) | (1.23) | (1.26) |
Year Ended 12/31/2017 | $20.64 | (0.03) | 4.71 | 4.68 |
Year Ended 12/31/2016 | $20.23 | 0.02 | 0.39 | 0.41 |
Year Ended 12/31/2015 | $19.20 | 0.23(d) | 0.80 | 1.03 |
Class 3 | ||||
Year Ended 12/31/2019 | $24.30 | (0.02) | 8.52 | 8.50 |
Year Ended 12/31/2018 | $25.54 | (0.00)(e) | (1.24) | (1.24) |
Year Ended 12/31/2017 | $20.80 | 0.00(e) | 4.74 | 4.74 |
Year Ended 12/31/2016 | $20.36 | 0.05 | 0.39 | 0.44 |
Year Ended 12/31/2015 | $19.30 | 0.25(f) | 0.81 | 1.06 |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.14 per share. |
(d) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.27 per share. |
(e) | Rounds to zero. |
(f) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.28 per share. |
16 | Columbia Variable Portfolio – Mid Cap Growth Fund | Annual Report 2019 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019 | $33.20 | 35.18% | 0.88% | 0.73% | 0.06% | 70% | $231,471 |
Year Ended 12/31/2018 | $24.56 | (4.77%) | 0.89% | 0.74% | 0.12% | 150% | $183,546 |
Year Ended 12/31/2017 | $25.79 | 22.98% | 0.91% | 0.74% | 0.14% | 115% | $198,617 |
Year Ended 12/31/2016 | $20.97 | 2.29% | 0.92% | 0.76% | 0.16% | 150% | $158,566 |
Year Ended 12/31/2015 | $20.50 | 5.62% | 0.94% | 0.84% | 0.67% | 109% | $18,161 |
Class 2 | |||||||
Year Ended 12/31/2019 | $32.44 | 34.83% | 1.13% | 0.98% | (0.19%) | 70% | $28,169 |
Year Ended 12/31/2018 | $24.06 | (4.98%) | 1.14% | 0.99% | (0.12%) | 150% | $19,966 |
Year Ended 12/31/2017 | $25.32 | 22.68% | 1.16% | 0.99% | (0.11%) | 115% | $18,148 |
Year Ended 12/31/2016 | $20.64 | 2.03% | 1.18% | 1.01% | 0.11% | 150% | $12,910 |
Year Ended 12/31/2015 | $20.23 | 5.36% | 1.20% | 1.05% | 1.11% | 109% | $13,920 |
Class 3 | |||||||
Year Ended 12/31/2019 | $32.80 | 34.98% | 1.01% | 0.85% | (0.07%) | 70% | $269,172 |
Year Ended 12/31/2018 | $24.30 | (4.86%) | 1.01% | 0.86% | (0.01%) | 150% | $227,630 |
Year Ended 12/31/2017 | $25.54 | 22.79% | 1.03% | 0.86% | 0.01% | 115% | $268,941 |
Year Ended 12/31/2016 | $20.80 | 2.16% | 1.05% | 0.88% | 0.24% | 150% | $247,151 |
Year Ended 12/31/2015 | $20.36 | 5.49% | 1.07% | 0.92% | 1.24% | 109% | $279,919 |
Columbia Variable Portfolio – Mid Cap Growth Fund | Annual Report 2019 | 17 |
December 31, 2019
18 | Columbia Variable Portfolio – Mid Cap Growth Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Mid Cap Growth Fund | Annual Report 2019 | 19 |
December 31, 2019
20 | Columbia Variable Portfolio – Mid Cap Growth Fund | Annual Report 2019 |
December 31, 2019
Fee rate(s) contractual through April 30, 2020 | |
Class 1 | 0.73% |
Class 2 | 0.98 |
Class 3 | 0.855 |
Columbia Variable Portfolio – Mid Cap Growth Fund | Annual Report 2019 | 21 |
December 31, 2019
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 300,000 | 2.46 | 1 |
22 | Columbia Variable Portfolio – Mid Cap Growth Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Mid Cap Growth Fund | Annual Report 2019 | 23 |
December 31, 2019
24 | Columbia Variable Portfolio – Mid Cap Growth Fund | Annual Report 2019 |
Columbia Variable Portfolio – Mid Cap Growth Fund | Annual Report 2019 | 25 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1953 | Trustee since 1/17 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 121 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 1/06 for RiverSource Funds and since 6/11 for Nations Funds | Attorney; specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018 | 121 | Trustee, BlueCross BlueShield of Minnesota since 2009 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee since 2017); Chair of the Robina Foundation since August 2013; former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017 |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 7/07 for RiverSource Funds and since 6/11 for Nations Funds | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, Morgan Stanley, 1982-1991 | 121 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of Human Resources Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee) since 2019 |
26 | Columbia Variable Portfolio – Mid Cap Growth Fund | Annual Report 2019 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1950 | Trustee since 11/04 for RiverSource Funds and since 6/11 for Nations Funds | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 121 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative since 2010; Board of Directors, The MA Business Roundtable 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 12/17 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 121 | Trustee, Catholic Schools Foundation since 2004 |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Chair of the Board since 1/20; Trustee since 11/04 for RiverSource Funds and since 6/11 for Nations Funds | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Managing Director, Morgan Stanley, 1982-1989; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 121 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Anthony M. Santomero c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1946 | Trustee since 6/11 for RiverSource Funds and since 1/08 for Nations Funds | Richard K. Mellon Professor Emeritus of Finance, The Wharton School, University of Pennsylvania, since 2002; Senior Advisor, McKinsey & Company (consulting), 2006-2008; President, Federal Reserve Bank of Philadelphia, 2000- 2006; Professor of Finance, The Wharton School, University of Pennsylvania, 1972-2002 | 121 | Trustee, Penn Mutual Life Insurance Company since March 2008; Director, Renaissance Reinsurance Ltd. since May 2008; former Director, Citigroup Inc. and Citibank, N.A., 2009-2019; former Trustee, BofA Funds Series Trust (11 funds), 2008-2011 |
Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1947 | Trustee since 6/11 for RiverSource Funds and since 2003 for Nations Funds | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 121 | Director, BlueCross BlueShield of South Carolina since April 2008; Trustee, Hollingsworth Funds since 2016 (previously Board Chair from 2016-2019); Advisory Board member, Duke Energy Corp. since October 2016; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018 |
Columbia Variable Portfolio – Mid Cap Growth Fund | Annual Report 2019 | 27 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Sandra Yeager c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 12/17 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 119 | Director, NAPE Education Foundation since October 2016 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin St. Boston, MA 02110 1960 | Trustee since 11/01 for RiverSource Funds and since 6/11 for Nations Funds; Senior Vice President since 2002 for RiverSource Funds and since 5/10 for Nations Funds | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010 - September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006 - August 2012. | 192 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, August 2006-January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
28 | Columbia Variable Portfolio – Mid Cap Growth Fund | Annual Report 2019 |
The Board has appointed officers who are responsible for day-to-day business decisions based on policies it has established. The officers serve at the pleasure of the Board. The following table provides basic information about the Officers of the Fund, including principal occupations during the past five years, although their specific titles may have varied over the period. In addition to Mr. Truscott, who is Senior Vice President, the Fund’s other officers are:
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously Vice President and Chief Counsel, January 2010 - December 2014); officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer, Principal Financial Officer (2009), and Senior Vice President (2019) | Vice President, Head of North American Operations, and Co-Head of Global Operations, – Accounting and Tax, Columbia Management Investment Advisers, LLC, since June 2019 (previously Vice President – Accounting and Tax, May 2010 – May 2019); senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009 – January 2019 and December 2015 – January 2019, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer, Chief Accounting Officer (Principal Accounting Officer) (2019), and Principal Financial Officer (2020) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously Vice President — Pricing and Corporate Actions, May 2010 - March 2017). |
Paul B. Goucher 485 Lexington Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since March 2015 (previously Vice President and Assistant Secretary, May 2010 – March 2015). |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 Born 1962 | Senior Vice President (2020) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); previously, Senior Vice President of Investment Product Management, Fidelity Financial Advisor Solutions, a division of Fidelity Investments (January 2012 – March 2015). |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Columbia Variable Portfolio – Mid Cap Growth Fund | Annual Report 2019 | 29 |
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
30 | Columbia Variable Portfolio – Mid Cap Growth Fund | Annual Report 2019 |
December 31, 2019
3 | |
5 | |
7 | |
8 | |
11 | |
12 | |
13 | |
14 | |
16 | |
22 | |
23 |
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1* | 05/03/10 | 26.75 | 8.96 | 12.78 | |
Class 2* | 05/03/10 | 26.43 | 8.68 | 12.51 | |
Class 3 | 02/04/04 | 26.54 | 8.81 | 12.64 | |
Russell 1000 Value Index | 26.54 | 8.29 | 11.80 | ||
S&P 500 Index | 31.49 | 11.70 | 13.56 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
Columbia Variable Portfolio – Select Large Cap Value Fund | Annual Report 2019 | 3 |
Portfolio breakdown (%) (at December 31, 2019) | |
Common Stocks | 98.0 |
Money Market Funds | 2.0 |
Total | 100.0 |
Equity sector breakdown (%) (at December 31, 2019) | |
Communication Services | 4.7 |
Consumer Discretionary | 4.3 |
Consumer Staples | 6.2 |
Energy | 12.0 |
Financials | 23.8 |
Health Care | 14.4 |
Industrials | 8.4 |
Information Technology | 10.4 |
Materials | 10.0 |
Utilities | 5.8 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Select Large Cap Value Fund | Annual Report 2019 |
Columbia Variable Portfolio – Select Large Cap Value Fund | Annual Report 2019 | 5 |
6 | Columbia Variable Portfolio – Select Large Cap Value Fund | Annual Report 2019 |
(Unaudited)
July 1, 2019 — December 31, 2019 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,104.10 | 1,021.76 | 3.91 | 3.76 | 0.73 |
Class 2 | 1,000.00 | 1,000.00 | 1,102.80 | 1,020.49 | 5.25 | 5.05 | 0.98 |
Class 3 | 1,000.00 | 1,000.00 | 1,103.40 | 1,021.10 | 4.61 | 4.43 | 0.86 |
Columbia Variable Portfolio – Select Large Cap Value Fund | Annual Report 2019 | 7 |
December 31, 2019
Common Stocks 98.2% | ||
Issuer | Shares | Value ($) |
Communication Services 4.6% | ||
Diversified Telecommunication Services 4.6% | ||
Verizon Communications, Inc. | 999,300 | 61,357,020 |
Total Communication Services | 61,357,020 | |
Consumer Discretionary 4.2% | ||
Internet & Direct Marketing Retail 1.5% | ||
Qurate Retail, Inc.(a) | 2,337,300 | 19,703,439 |
Specialty Retail 2.7% | ||
Lowe’s Companies, Inc. | 307,100 | 36,778,296 |
Total Consumer Discretionary | 56,481,735 | |
Consumer Staples 6.1% | ||
Food Products 2.8% | ||
Tyson Foods, Inc., Class A | 414,400 | 37,726,976 |
Tobacco 3.3% | ||
Philip Morris International, Inc. | 513,800 | 43,719,242 |
Total Consumer Staples | 81,446,218 | |
Energy 11.8% | ||
Energy Equipment & Services 3.9% | ||
Halliburton Co. | 887,900 | 21,726,913 |
TechnipFMC PLC | 1,400,000 | 30,016,000 |
Total | 51,742,913 | |
Oil, Gas & Consumable Fuels 7.9% | ||
Chevron Corp. | 225,914 | 27,224,896 |
Marathon Petroleum Corp. | 519,600 | 31,305,900 |
Valero Energy Corp. | 254,400 | 23,824,560 |
Williams Companies, Inc. (The) | 940,800 | 22,315,776 |
Total | 104,671,132 | |
Total Energy | 156,414,045 | |
Financials 23.4% | ||
Banks 14.0% | ||
Bank of America Corp. | 1,413,600 | 49,786,992 |
Citigroup, Inc. | 623,900 | 49,843,371 |
JPMorgan Chase & Co. | 360,700 | 50,281,580 |
Wells Fargo & Co. | 682,400 | 36,713,120 |
Total | 186,625,063 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Capital Markets 2.6% | ||
Morgan Stanley | 682,400 | 34,884,288 |
Insurance 6.8% | ||
American International Group, Inc. | 750,700 | 38,533,431 |
MetLife, Inc. | 618,527 | 31,526,321 |
Unum Group | 682,400 | 19,898,784 |
Total | 89,958,536 | |
Total Financials | 311,467,887 | |
Health Care 14.2% | ||
Health Care Equipment & Supplies 2.5% | ||
Baxter International, Inc. | 399,700 | 33,422,914 |
Health Care Providers & Services 7.8% | ||
Cigna Corp. | 263,200 | 53,821,768 |
Humana, Inc. | 136,000 | 49,846,720 |
Total | 103,668,488 | |
Pharmaceuticals 3.9% | ||
Bristol-Myers Squibb Co. | 804,300 | 51,628,017 |
Total Health Care | 188,719,419 | |
Industrials 8.2% | ||
Aerospace & Defense 2.4% | ||
United Technologies Corp. | 214,500 | 32,123,520 |
Industrial Conglomerates 2.5% | ||
Honeywell International, Inc. | 185,300 | 32,798,100 |
Road & Rail 3.3% | ||
CSX Corp. | 341,300 | 24,696,468 |
Union Pacific Corp. | 111,081 | 20,082,334 |
Total | 44,778,802 | |
Total Industrials | 109,700,422 | |
Information Technology 10.2% | ||
Electronic Equipment, Instruments & Components 3.4% | ||
Corning, Inc. | 1,559,900 | 45,408,689 |
Semiconductors & Semiconductor Equipment 4.4% | ||
Applied Materials, Inc. | 466,541 | 28,477,663 |
QUALCOMM, Inc. | 335,900 | 29,636,457 |
Total | 58,114,120 |
8 | Columbia Variable Portfolio – Select Large Cap Value Fund | Annual Report 2019 |
December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Software 2.4% | ||
Teradata Corp.(a) | 1,185,154 | 31,726,572 |
Total Information Technology | 135,249,381 | |
Materials 9.8% | ||
Chemicals 4.3% | ||
FMC Corp. | 575,200 | 57,416,464 |
Metals & Mining 5.5% | ||
Barrick Gold Corp. | 1,750,000 | 32,532,500 |
Freeport-McMoRan, Inc. | 3,119,700 | 40,930,464 |
Total | 73,462,964 | |
Total Materials | 130,879,428 | |
Utilities 5.7% | ||
Electric Utilities 2.9% | ||
NextEra Energy, Inc. | 156,000 | 37,776,960 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Independent Power and Renewable Electricity Producers 2.8% | ||
AES Corp. (The) | 1,877,500 | 37,362,250 |
Total Utilities | 75,139,210 | |
Total Common Stocks (Cost $940,541,356) | 1,306,854,765 | |
Money Market Funds 2.0% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(b),(c) | 27,187,829 | 27,185,111 |
Total Money Market Funds (Cost $27,185,704) | 27,185,111 | |
Total Investments in Securities (Cost: $967,727,060) | 1,334,039,876 | |
Other Assets & Liabilities, Net | (2,439,539) | |
Net Assets | 1,331,600,337 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | ||||||||
51,492,729 | 165,260,384 | (189,565,284) | 27,187,829 | (124) | (593) | 436,834 | 27,185,111 |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Columbia Variable Portfolio – Select Large Cap Value Fund | Annual Report 2019 | 9 |
December 31, 2019
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 61,357,020 | — | — | 61,357,020 |
Consumer Discretionary | 56,481,735 | — | — | 56,481,735 |
Consumer Staples | 81,446,218 | — | — | 81,446,218 |
Energy | 156,414,045 | — | — | 156,414,045 |
Financials | 311,467,887 | — | — | 311,467,887 |
Health Care | 188,719,419 | — | — | 188,719,419 |
Industrials | 109,700,422 | — | — | 109,700,422 |
Information Technology | 135,249,381 | — | — | 135,249,381 |
Materials | 130,879,428 | — | — | 130,879,428 |
Utilities | 75,139,210 | — | — | 75,139,210 |
Total Common Stocks | 1,306,854,765 | — | — | 1,306,854,765 |
Money Market Funds | 27,185,111 | — | — | 27,185,111 |
Total Investments in Securities | 1,334,039,876 | — | — | 1,334,039,876 |
10 | Columbia Variable Portfolio – Select Large Cap Value Fund | Annual Report 2019 |
December 31, 2019
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $940,541,356) | $1,306,854,765 |
Affiliated issuers (cost $27,185,704) | 27,185,111 |
Receivable for: | |
Capital shares sold | 257 |
Dividends | 1,046,387 |
Prepaid expenses | 4,185 |
Total assets | 1,335,090,705 |
Liabilities | |
Payable for: | |
Capital shares purchased | 3,358,510 |
Management services fees | 25,928 |
Distribution and/or service fees | 418 |
Service fees | 12,051 |
Compensation of board members | 61,814 |
Compensation of chief compliance officer | 286 |
Other expenses | 31,361 |
Total liabilities | 3,490,368 |
Net assets applicable to outstanding capital stock | $1,331,600,337 |
Represented by | |
Trust capital | $1,331,600,337 |
Total - representing net assets applicable to outstanding capital stock | $1,331,600,337 |
Class 1 | |
Net assets | $1,241,829,105 |
Shares outstanding | 44,884,960 |
Net asset value per share | $27.67 |
Class 2 | |
Net assets | $32,814,696 |
Shares outstanding | 1,214,143 |
Net asset value per share | $27.03 |
Class 3 | |
Net assets | $56,956,536 |
Shares outstanding | 2,084,775 |
Net asset value per share | $27.32 |
Columbia Variable Portfolio – Select Large Cap Value Fund | Annual Report 2019 | 11 |
Year Ended December 31, 2019
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $31,115,528 |
Dividends — affiliated issuers | 436,834 |
Foreign taxes withheld | (41,125) |
Total income | 31,511,237 |
Expenses: | |
Management services fees | 9,150,135 |
Distribution and/or service fees | |
Class 2 | 71,889 |
Class 3 | 66,843 |
Service fees | 77,259 |
Compensation of board members | 32,826 |
Custodian fees | 9,359 |
Printing and postage fees | 22,283 |
Audit fees | 29,671 |
Legal fees | 19,201 |
Interest on interfund lending | 222 |
Compensation of chief compliance officer | 272 |
Other | 23,914 |
Total expenses | 9,503,874 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (13,093) |
Total net expenses | 9,490,781 |
Net investment income | 22,020,456 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 94,040,480 |
Investments — affiliated issuers | (124) |
Net realized gain | 94,040,356 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 184,536,389 |
Investments — affiliated issuers | (593) |
Net change in unrealized appreciation (depreciation) | 184,535,796 |
Net realized and unrealized gain | 278,576,152 |
Net increase in net assets resulting from operations | $300,596,608 |
12 | Columbia Variable Portfolio – Select Large Cap Value Fund | Annual Report 2019 |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $22,020,456 | $21,508,467 |
Net realized gain | 94,040,356 | 109,983,877 |
Net change in unrealized appreciation (depreciation) | 184,535,796 | (294,853,517) |
Net increase (decrease) in net assets resulting from operations | 300,596,608 | (163,361,173) |
Decrease in net assets from capital stock activity | (144,844,810) | (62,261,955) |
Total increase (decrease) in net assets | 155,751,798 | (225,623,128) |
Net assets at beginning of year | 1,175,848,539 | 1,401,471,667 |
Net assets at end of year | $1,331,600,337 | $1,175,848,539 |
Year Ended | Year Ended | |||
December 31, 2019 | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 3,426,100 | 83,702,508 | 4,223,107 | 103,062,384 |
Redemptions | (9,033,221) | (225,698,866) | (6,926,715) | (170,660,816) |
Net decrease | (5,607,121) | (141,996,358) | (2,703,608) | (67,598,432) |
Class 2 | ||||
Subscriptions | 204,001 | 4,934,242 | 352,349 | 8,541,349 |
Redemptions | (140,820) | (3,434,395) | (122,980) | (2,954,022) |
Net increase | 63,181 | 1,499,847 | 229,369 | 5,587,327 |
Class 3 | ||||
Subscriptions | 140,619 | 3,427,384 | 266,058 | 6,591,108 |
Redemptions | (316,641) | (7,775,683) | (282,072) | (6,841,958) |
Net decrease | (176,022) | (4,348,299) | (16,014) | (250,850) |
Total net decrease | (5,719,962) | (144,844,810) | (2,490,253) | (62,261,955) |
Columbia Variable Portfolio – Select Large Cap Value Fund | Annual Report 2019 | 13 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2019 | $21.83 | 0.43 | 5.41 | 5.84 |
Year Ended 12/31/2018 | $24.87 | 0.40 | (3.44) | (3.04) |
Year Ended 12/31/2017 | $20.56 | 0.30 | 4.01 | 4.31 |
Year Ended 12/31/2016 | $17.14 | 0.26 | 3.16 | 3.42 |
Year Ended 12/31/2015 | $18.02 | 0.27 | (1.15) | (0.88) |
Class 2 | ||||
Year Ended 12/31/2019 | $21.38 | 0.36 | 5.29 | 5.65 |
Year Ended 12/31/2018 | $24.42 | 0.33 | (3.37) | (3.04) |
Year Ended 12/31/2017 | $20.23 | 0.24 | 3.95 | 4.19 |
Year Ended 12/31/2016 | $16.91 | 0.22 | 3.10 | 3.32 |
Year Ended 12/31/2015 | $17.83 | 0.23 | (1.15) | (0.92) |
Class 3 | ||||
Year Ended 12/31/2019 | $21.59 | 0.39 | 5.34 | 5.73 |
Year Ended 12/31/2018 | $24.62 | 0.36 | (3.39) | (3.03) |
Year Ended 12/31/2017 | $20.38 | 0.27 | 3.97 | 4.24 |
Year Ended 12/31/2016 | $17.01 | 0.24 | 3.13 | 3.37 |
Year Ended 12/31/2015 | $17.91 | 0.25 | (1.15) | (0.90) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interfund lending expense which is less than 0.01%. |
14 | Columbia Variable Portfolio – Select Large Cap Value Fund | Annual Report 2019 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019 | $27.67 | 26.75% | 0.73%(c) | 0.73%(c) | 1.73% | 11% | $1,241,829 |
Year Ended 12/31/2018 | $21.83 | (12.22%) | 0.73% | 0.73% | 1.60% | 16% | $1,102,434 |
Year Ended 12/31/2017 | $24.87 | 20.96% | 0.76% | 0.75% | 1.35% | 8% | $1,322,918 |
Year Ended 12/31/2016 | $20.56 | 19.95% | 0.82% | 0.77% | 1.49% | 26% | $1,046,757 |
Year Ended 12/31/2015 | $17.14 | (4.88%) | 0.81% | 0.76% | 1.54% | 13% | $779,920 |
Class 2 | |||||||
Year Ended 12/31/2019 | $27.03 | 26.43% | 0.98%(c) | 0.98%(c) | 1.48% | 11% | $32,815 |
Year Ended 12/31/2018 | $21.38 | (12.45%) | 0.98% | 0.98% | 1.36% | 16% | $24,610 |
Year Ended 12/31/2017 | $24.42 | 20.71% | 1.01% | 1.00% | 1.10% | 8% | $22,501 |
Year Ended 12/31/2016 | $20.23 | 19.63% | 1.07% | 1.02% | 1.25% | 26% | $15,026 |
Year Ended 12/31/2015 | $16.91 | (5.16%) | 1.06% | 1.02% | 1.32% | 13% | $11,918 |
Class 3 | |||||||
Year Ended 12/31/2019 | $27.32 | 26.54% | 0.86%(c) | 0.86%(c) | 1.61% | 11% | $56,957 |
Year Ended 12/31/2018 | $21.59 | (12.31%) | 0.85% | 0.85% | 1.48% | 16% | $48,804 |
Year Ended 12/31/2017 | $24.62 | 20.81% | 0.89% | 0.88% | 1.22% | 8% | $56,053 |
Year Ended 12/31/2016 | $20.38 | 19.81% | 0.95% | 0.89% | 1.39% | 26% | $45,889 |
Year Ended 12/31/2015 | $17.01 | (5.02%) | 0.94% | 0.89% | 1.42% | 13% | $47,307 |
Columbia Variable Portfolio – Select Large Cap Value Fund | Annual Report 2019 | 15 |
December 31, 2019
16 | Columbia Variable Portfolio – Select Large Cap Value Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Select Large Cap Value Fund | Annual Report 2019 | 17 |
December 31, 2019
18 | Columbia Variable Portfolio – Select Large Cap Value Fund | Annual Report 2019 |
December 31, 2019
May 1, 2019 through April 30, 2020 | Prior to May 1, 2019 | |
Class 1 | 0.73% | 0.75% |
Class 2 | 0.98 | 1.00 |
Class 3 | 0.855 | 0.875 |
Columbia Variable Portfolio – Select Large Cap Value Fund | Annual Report 2019 | 19 |
December 31, 2019
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Borrower | 640,000 | 2.43 | 5 |
20 | Columbia Variable Portfolio – Select Large Cap Value Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Select Large Cap Value Fund | Annual Report 2019 | 21 |
22 | Columbia Variable Portfolio – Select Large Cap Value Fund | Annual Report 2019 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1953 | Trustee since 1/17 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 121 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 1/06 for RiverSource Funds and since 6/11 for Nations Funds | Attorney; specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018 | 121 | Trustee, BlueCross BlueShield of Minnesota since 2009 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee since 2017); Chair of the Robina Foundation since August 2013; former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017 |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 7/07 for RiverSource Funds and since 6/11 for Nations Funds | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, Morgan Stanley, 1982-1991 | 121 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of Human Resources Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee) since 2019 |
Columbia Variable Portfolio – Select Large Cap Value Fund | Annual Report 2019 | 23 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1950 | Trustee since 11/04 for RiverSource Funds and since 6/11 for Nations Funds | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 121 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative since 2010; Board of Directors, The MA Business Roundtable 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 12/17 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 121 | Trustee, Catholic Schools Foundation since 2004 |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Chair of the Board since 1/20; Trustee since 11/04 for RiverSource Funds and since 6/11 for Nations Funds | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Managing Director, Morgan Stanley, 1982-1989; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 121 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Anthony M. Santomero c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1946 | Trustee since 6/11 for RiverSource Funds and since 1/08 for Nations Funds | Richard K. Mellon Professor Emeritus of Finance, The Wharton School, University of Pennsylvania, since 2002; Senior Advisor, McKinsey & Company (consulting), 2006-2008; President, Federal Reserve Bank of Philadelphia, 2000- 2006; Professor of Finance, The Wharton School, University of Pennsylvania, 1972-2002 | 121 | Trustee, Penn Mutual Life Insurance Company since March 2008; Director, Renaissance Reinsurance Ltd. since May 2008; former Director, Citigroup Inc. and Citibank, N.A., 2009-2019; former Trustee, BofA Funds Series Trust (11 funds), 2008-2011 |
Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1947 | Trustee since 6/11 for RiverSource Funds and since 2003 for Nations Funds | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 121 | Director, BlueCross BlueShield of South Carolina since April 2008; Trustee, Hollingsworth Funds since 2016 (previously Board Chair from 2016-2019); Advisory Board member, Duke Energy Corp. since October 2016; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018 |
24 | Columbia Variable Portfolio – Select Large Cap Value Fund | Annual Report 2019 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Sandra Yeager c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 12/17 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 119 | Director, NAPE Education Foundation since October 2016 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin St. Boston, MA 02110 1960 | Trustee since 11/01 for RiverSource Funds and since 6/11 for Nations Funds; Senior Vice President since 2002 for RiverSource Funds and since 5/10 for Nations Funds | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010 - September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006 - August 2012. | 192 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, August 2006-January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Columbia Variable Portfolio – Select Large Cap Value Fund | Annual Report 2019 | 25 |
The Board has appointed officers who are responsible for day-to-day business decisions based on policies it has established. The officers serve at the pleasure of the Board. The following table provides basic information about the Officers of the Fund, including principal occupations during the past five years, although their specific titles may have varied over the period. In addition to Mr. Truscott, who is Senior Vice President, the Fund’s other officers are:
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously Vice President and Chief Counsel, January 2010 - December 2014); officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer, Principal Financial Officer (2009), and Senior Vice President (2019) | Vice President, Head of North American Operations, and Co-Head of Global Operations, – Accounting and Tax, Columbia Management Investment Advisers, LLC, since June 2019 (previously Vice President – Accounting and Tax, May 2010 – May 2019); senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009 – January 2019 and December 2015 – January 2019, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer, Chief Accounting Officer (Principal Accounting Officer) (2019), and Principal Financial Officer (2020) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously Vice President — Pricing and Corporate Actions, May 2010 - March 2017). |
Paul B. Goucher 485 Lexington Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since March 2015 (previously Vice President and Assistant Secretary, May 2010 – March 2015). |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 Born 1962 | Senior Vice President (2020) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); previously, Senior Vice President of Investment Product Management, Fidelity Financial Advisor Solutions, a division of Fidelity Investments (January 2012 – March 2015). |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
26 | Columbia Variable Portfolio – Select Large Cap Value Fund | Annual Report 2019 |
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
Columbia Variable Portfolio – Select Large Cap Value Fund | Annual Report 2019 | 27 |
December 31, 2019
3 | |
5 | |
7 | |
8 | |
13 | |
14 | |
15 | |
16 | |
17 | |
25 | |
26 |
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Columbia Variable Portfolio — Core Equity Fund | 09/10/04 | 25.18 | 10.69 | 14.22 | |
S&P 500 Index | 31.49 | 11.70 | 13.56 |
Columbia Variable Portfolio – Core Equity Fund | Annual Report 2019 | 3 |
Portfolio breakdown (%) (at December 31, 2019) | |
Common Stocks | 98.8 |
Money Market Funds | 1.2 |
Total | 100.0 |
Equity sector breakdown (%) (at December 31, 2019) | |
Communication Services | 10.7 |
Consumer Discretionary | 9.4 |
Consumer Staples | 7.6 |
Energy | 4.3 |
Financials | 12.9 |
Health Care | 14.2 |
Industrials | 8.8 |
Information Technology | 23.4 |
Materials | 2.4 |
Real Estate | 2.8 |
Utilities | 3.5 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Core Equity Fund | Annual Report 2019 |
Columbia Variable Portfolio – Core Equity Fund | Annual Report 2019 | 5 |
6 | Columbia Variable Portfolio – Core Equity Fund | Annual Report 2019 |
(Unaudited)
July 1, 2019 — December 31, 2019 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Columbia Variable Portfolio – Core Equity Fund | 1,000.00 | 1,000.00 | 1,087.90 | 1,023.44 | 2.13 | 2.06 | 0.40 |
Columbia Variable Portfolio – Core Equity Fund | Annual Report 2019 | 7 |
December 31, 2019
Common Stocks 98.8% | ||
Issuer | Shares | Value ($) |
Communication Services 10.6% | ||
Diversified Telecommunication Services 2.6% | ||
Verizon Communications, Inc. | 81,600 | 5,010,240 |
Interactive Media & Services 8.0% | ||
Alphabet, Inc., Class A(a) | 6,825 | 9,141,337 |
Facebook, Inc., Class A(a) | 32,450 | 6,660,362 |
Total | 15,801,699 | |
Total Communication Services | 20,811,939 | |
Consumer Discretionary 9.3% | ||
Hotels, Restaurants & Leisure 1.4% | ||
Starbucks Corp. | 30,500 | 2,681,560 |
Household Durables 0.4% | ||
Garmin Ltd. | 3,800 | 370,728 |
PulteGroup, Inc. | 9,700 | 376,360 |
Total | 747,088 | |
Internet & Direct Marketing Retail 3.3% | ||
Amazon.com, Inc.(a) | 1,695 | 3,132,089 |
eBay, Inc. | 71,500 | 2,581,865 |
Expedia Group, Inc. | 6,350 | 686,689 |
Total | 6,400,643 | |
Multiline Retail 1.4% | ||
Target Corp. | 21,900 | 2,807,799 |
Specialty Retail 2.1% | ||
AutoZone, Inc.(a) | 2,180 | 2,597,056 |
Best Buy Co., Inc. | 17,400 | 1,527,720 |
Total | 4,124,776 | |
Textiles, Apparel & Luxury Goods 0.7% | ||
Nike, Inc., Class B | 5,700 | 577,467 |
Under Armour, Inc., Class A(a) | 42,200 | 911,520 |
Total | 1,488,987 | |
Total Consumer Discretionary | 18,250,853 | |
Consumer Staples 7.5% | ||
Food & Staples Retailing 1.9% | ||
Walgreens Boots Alliance, Inc. | 24,000 | 1,415,040 |
Walmart, Inc. | 19,300 | 2,293,612 |
Total | 3,708,652 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Food Products 1.0% | ||
General Mills, Inc. | 18,200 | 974,792 |
Tyson Foods, Inc., Class A | 10,200 | 928,608 |
Total | 1,903,400 | |
Household Products 2.5% | ||
Kimberly-Clark Corp. | 22,500 | 3,094,875 |
Procter & Gamble Co. (The) | 15,000 | 1,873,500 |
Total | 4,968,375 | |
Tobacco 2.1% | ||
Altria Group, Inc. | 47,315 | 2,361,492 |
Philip Morris International, Inc. | 21,300 | 1,812,417 |
Total | 4,173,909 | |
Total Consumer Staples | 14,754,336 | |
Energy 4.3% | ||
Oil, Gas & Consumable Fuels 4.3% | ||
Chevron Corp.(b) | 18,245 | 2,198,705 |
ConocoPhillips Co. | 46,645 | 3,033,324 |
Devon Energy Corp. | 15,600 | 405,132 |
HollyFrontier Corp. | 16,100 | 816,431 |
Valero Energy Corp. | 20,535 | 1,923,103 |
Total | 8,376,695 | |
Total Energy | 8,376,695 | |
Financials 12.7% | ||
Banks 2.9% | ||
Bank of America Corp. | 14,200 | 500,124 |
Citigroup, Inc. | 62,400 | 4,985,136 |
Citizens Financial Group, Inc. | 5,100 | 207,111 |
Total | 5,692,371 | |
Capital Markets 3.8% | ||
Bank of New York Mellon Corp. (The) | 10,100 | 508,333 |
Franklin Resources, Inc. | 49,400 | 1,283,412 |
Intercontinental Exchange, Inc. | 39,700 | 3,674,235 |
S&P Global, Inc. | 6,375 | 1,740,694 |
T. Rowe Price Group, Inc. | 1,400 | 170,576 |
Total | 7,377,250 |
8 | Columbia Variable Portfolio – Core Equity Fund | Annual Report 2019 |
December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Consumer Finance 2.5% | ||
Capital One Financial Corp. | 33,800 | 3,478,358 |
Discover Financial Services | 3,300 | 279,906 |
Synchrony Financial | 32,100 | 1,155,921 |
Total | 4,914,185 | |
Diversified Financial Services 0.9% | ||
Voya Financial, Inc. | 30,200 | 1,841,596 |
Insurance 2.6% | ||
Allstate Corp. (The) | 22,300 | 2,507,635 |
MetLife, Inc. | 15,200 | 774,744 |
Prudential Financial, Inc. | 13,200 | 1,237,368 |
Willis Towers Watson PLC | 3,050 | 615,917 |
Total | 5,135,664 | |
Total Financials | 24,961,066 | |
Health Care 14.1% | ||
Biotechnology 2.3% | ||
AbbVie, Inc. | 16,630 | 1,472,420 |
Alexion Pharmaceuticals, Inc.(a) | 9,590 | 1,037,159 |
BioMarin Pharmaceutical, Inc.(a) | 8,150 | 689,083 |
Vertex Pharmaceuticals, Inc.(a) | 5,850 | 1,280,857 |
Total | 4,479,519 | |
Health Care Equipment & Supplies 2.9% | ||
Baxter International, Inc. | 13,300 | 1,112,146 |
Dentsply Sirona, Inc. | 6,730 | 380,851 |
Hologic, Inc.(a) | 6,100 | 318,481 |
Medtronic PLC | 34,400 | 3,902,680 |
Total | 5,714,158 | |
Health Care Providers & Services 2.3% | ||
Cardinal Health, Inc. | 37,060 | 1,874,495 |
HCA Healthcare, Inc. | 3,100 | 458,211 |
McKesson Corp. | 15,380 | 2,127,361 |
Total | 4,460,067 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Pharmaceuticals 6.6% | ||
Bristol-Myers Squibb Co. | 67,300 | 4,319,987 |
Johnson & Johnson | 16,500 | 2,406,855 |
Merck & Co., Inc. | 54,600 | 4,965,870 |
Mylan NV(a) | 24,300 | 488,430 |
Perrigo Co. PLC | 14,900 | 769,734 |
Total | 12,950,876 | |
Total Health Care | 27,604,620 | |
Industrials 8.7% | ||
Aerospace & Defense 1.9% | ||
Lockheed Martin Corp. | 9,600 | 3,738,048 |
Airlines 1.6% | ||
Southwest Airlines Co. | 59,600 | 3,217,208 |
Electrical Equipment 1.6% | ||
Eaton Corp. PLC | 32,300 | 3,059,456 |
Industrial Conglomerates 0.6% | ||
Honeywell International, Inc. | 7,000 | 1,239,000 |
Machinery 2.4% | ||
Cummins, Inc. | 18,450 | 3,301,812 |
Illinois Tool Works, Inc. | 7,550 | 1,356,206 |
Total | 4,658,018 | |
Professional Services 0.3% | ||
Robert Half International, Inc. | 8,700 | 549,405 |
Road & Rail 0.3% | ||
CSX Corp. | 7,700 | 557,172 |
Total Industrials | 17,018,307 | |
Information Technology 23.1% | ||
Communications Equipment 2.5% | ||
Cisco Systems, Inc. | 93,315 | 4,475,387 |
F5 Networks, Inc.(a) | 2,800 | 391,020 |
Total | 4,866,407 | |
IT Services 5.2% | ||
MasterCard, Inc., Class A | 18,450 | 5,508,986 |
VeriSign, Inc.(a) | 16,905 | 3,257,255 |
Visa, Inc., Class A | 8,050 | 1,512,595 |
Total | 10,278,836 |
Columbia Variable Portfolio – Core Equity Fund | Annual Report 2019 | 9 |
December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Semiconductors & Semiconductor Equipment 4.7% | ||
Broadcom, Inc. | 12,550 | 3,966,051 |
Lam Research Corp. | 12,625 | 3,691,550 |
Qorvo, Inc.(a) | 10,400 | 1,208,792 |
QUALCOMM, Inc. | 3,300 | 291,159 |
Total | 9,157,552 | |
Software 6.6% | ||
Adobe, Inc.(a) | 6,800 | 2,242,708 |
Autodesk, Inc.(a) | 1,700 | 311,882 |
Cadence Design Systems, Inc.(a) | 4,200 | 291,312 |
Fortinet, Inc.(a) | 27,500 | 2,935,900 |
Microsoft Corp. | 36,330 | 5,729,241 |
VMware, Inc., Class A | 9,800 | 1,487,542 |
Total | 12,998,585 | |
Technology Hardware, Storage & Peripherals 4.1% | ||
Apple, Inc. | 18,195 | 5,342,962 |
HP, Inc. | 136,000 | 2,794,800 |
Total | 8,137,762 | |
Total Information Technology | 45,439,142 | |
Materials 2.3% | ||
Chemicals 1.2% | ||
LyondellBasell Industries NV, Class A | 24,900 | 2,352,552 |
Metals & Mining 1.1% | ||
Nucor Corp. | 39,000 | 2,194,920 |
Total Materials | 4,547,472 | |
Real Estate 2.7% | ||
Equity Real Estate Investment Trusts (REITS) 2.7% | ||
American Tower Corp. | 17,740 | 4,077,007 |
ProLogis, Inc. | 6,600 | 588,324 |
SBA Communications Corp. | 2,800 | 674,772 |
Total | 5,340,103 | |
Total Real Estate | 5,340,103 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Utilities 3.5% | ||
Electric Utilities 2.5% | ||
American Electric Power Co., Inc. | 12,600 | 1,190,826 |
Entergy Corp. | 4,700 | 563,060 |
Exelon Corp. | 67,500 | 3,077,325 |
Total | 4,831,211 | |
Independent Power and Renewable Electricity Producers 1.0% | ||
AES Corp. (The) | 99,000 | 1,970,100 |
Total Utilities | 6,801,311 | |
Total Common Stocks (Cost $156,899,708) | 193,905,844 | |
Money Market Funds 1.2% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(c),(d) | 2,398,586 | 2,398,346 |
Total Money Market Funds (Cost $2,398,372) | 2,398,346 | |
Total Investments in Securities (Cost: $159,298,080) | 196,304,190 | |
Other Assets & Liabilities, Net | (26,326) | |
Net Assets | 196,277,864 |
10 | Columbia Variable Portfolio – Core Equity Fund | Annual Report 2019 |
December 31, 2019
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | 17 | 03/2020 | USD | 2,746,435 | 51,128 | — |
(a) | Non-income producing investment. |
(b) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(c) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
(d) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | ||||||||
1,748,264 | 21,991,404 | (21,341,082) | 2,398,586 | (173) | (26) | 47,321 | 2,398,346 |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Columbia Variable Portfolio – Core Equity Fund | Annual Report 2019 | 11 |
December 31, 2019
additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 20,811,939 | — | — | 20,811,939 |
Consumer Discretionary | 18,250,853 | — | — | 18,250,853 |
Consumer Staples | 14,754,336 | — | — | 14,754,336 |
Energy | 8,376,695 | — | — | 8,376,695 |
Financials | 24,961,066 | — | — | 24,961,066 |
Health Care | 27,604,620 | — | — | 27,604,620 |
Industrials | 17,018,307 | — | — | 17,018,307 |
Information Technology | 45,439,142 | — | — | 45,439,142 |
Materials | 4,547,472 | — | — | 4,547,472 |
Real Estate | 5,340,103 | — | — | 5,340,103 |
Utilities | 6,801,311 | — | — | 6,801,311 |
Total Common Stocks | 193,905,844 | — | — | 193,905,844 |
Money Market Funds | 2,398,346 | — | — | 2,398,346 |
Total Investments in Securities | 196,304,190 | — | — | 196,304,190 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 51,128 | — | — | 51,128 |
Total | 196,355,318 | — | — | 196,355,318 |
12 | Columbia Variable Portfolio – Core Equity Fund | Annual Report 2019 |
December 31, 2019
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $156,899,708) | $193,905,844 |
Affiliated issuers (cost $2,398,372) | 2,398,346 |
Cash | 325 |
Receivable for: | |
Dividends | 305,265 |
Foreign tax reclaims | 4,112 |
Variation margin for futures contracts | 6,545 |
Expense reimbursement due from Investment Manager | 255 |
Prepaid expenses | 1,994 |
Total assets | 196,622,686 |
Liabilities | |
Payable for: | |
Capital shares purchased | 268,880 |
Management services fees | 2,148 |
Compensation of board members | 40,000 |
Compensation of chief compliance officer | 43 |
Other expenses | 33,751 |
Total liabilities | 344,822 |
Net assets applicable to outstanding capital stock | $196,277,864 |
Represented by | |
Trust capital | $196,277,864 |
Total - representing net assets applicable to outstanding capital stock | $196,277,864 |
Shares outstanding | 7,928,287 |
Net asset value per share | 24.76 |
Columbia Variable Portfolio – Core Equity Fund | Annual Report 2019 | 13 |
Year Ended December 31, 2019
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $3,931,498 |
Dividends — affiliated issuers | 47,321 |
Total income | 3,978,819 |
Expenses: | |
Management services fees | 768,386 |
Compensation of board members | 16,578 |
Custodian fees | 21,933 |
Printing and postage fees | 12,380 |
Audit fees | 29,000 |
Legal fees | 9,118 |
Compensation of chief compliance officer | 41 |
Other | 6,880 |
Total expenses | 864,316 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (95,774) |
Total net expenses | 768,542 |
Net investment income | 3,210,277 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 16,876,537 |
Investments — affiliated issuers | (173) |
Futures contracts | 627,403 |
Net realized gain | 17,503,767 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 21,783,087 |
Investments — affiliated issuers | (26) |
Futures contracts | 112,243 |
Net change in unrealized appreciation (depreciation) | 21,895,304 |
Net realized and unrealized gain | 39,399,071 |
Net increase in net assets resulting from operations | $42,609,348 |
14 | Columbia Variable Portfolio – Core Equity Fund | Annual Report 2019 |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $3,210,277 | $3,481,493 |
Net realized gain | 17,503,767 | 20,898,021 |
Net change in unrealized appreciation (depreciation) | 21,895,304 | (29,346,892) |
Net increase (decrease) in net assets resulting from operations | 42,609,348 | (4,967,378) |
Decrease in net assets from capital stock activity | (24,669,900) | (28,424,426) |
Total increase (decrease) in net assets | 17,939,448 | (33,391,804) |
Net assets at beginning of year | 178,338,416 | 211,730,220 |
Net assets at end of year | $196,277,864 | $178,338,416 |
Year Ended | Year Ended | |||
December 31, 2019 | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Subscriptions | 20,175 | 477,629 | 3,644 | 76,043 |
Redemptions | (1,109,783) | (25,147,529) | (1,341,704) | (28,500,469) |
Total net decrease | (1,089,608) | (24,669,900) | (1,338,060) | (28,424,426) |
Columbia Variable Portfolio – Core Equity Fund | Annual Report 2019 | 15 |
Year Ended December 31, | |||||
2019 | 2018 | 2017 | 2016 | 2015 | |
Per share data | |||||
Net asset value, beginning of period | $19.78 | $20.45 | $16.39 | $15.12 | $14.90 |
Income from investment operations: | |||||
Net investment income | 0.38 | 0.36 | 0.38 | 0.31 | 0.29 |
Net realized and unrealized gain (loss) | 4.60 | (1.03) | 3.68 | 0.96 | (0.07) |
Total from investment operations | 4.98 | (0.67) | 4.06 | 1.27 | 0.22 |
Net asset value, end of period | $24.76 | $19.78 | $20.45 | $16.39 | $15.12 |
Total return | 25.18% | (3.28)% | 24.77% | 8.40% | 1.48% |
Ratios to average net assets | |||||
Total gross expenses(a) | 0.45% | 0.44% | 0.45% | 0.45% | 0.44% |
Total net expenses(a),(b) | 0.40% | 0.40% | 0.40% | 0.40% | 0.40% |
Net investment income | 1.67% | 1.67% | 2.08% | 2.01% | 1.89% |
Supplemental data | |||||
Portfolio turnover | 66% | 73% | 66% | 76% | 78% |
Net assets, end of period (in thousands) | $196,278 | $178,338 | $211,730 | $191,013 | $199,667 |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
16 | Columbia Variable Portfolio – Core Equity Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Core Equity Fund | Annual Report 2019 | 17 |
December 31, 2019
18 | Columbia Variable Portfolio – Core Equity Fund | Annual Report 2019 |
December 31, 2019
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 51,128* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Columbia Variable Portfolio – Core Equity Fund | Annual Report 2019 | 19 |
December 31, 2019
Amount of realized gain (loss) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Equity risk | 627,403 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Equity risk | 112,243 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 2,319,035 |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2019. |
20 | Columbia Variable Portfolio – Core Equity Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Core Equity Fund | Annual Report 2019 | 21 |
December 31, 2019
22 | Columbia Variable Portfolio – Core Equity Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Core Equity Fund | Annual Report 2019 | 23 |
December 31, 2019
24 | Columbia Variable Portfolio – Core Equity Fund | Annual Report 2019 |
Columbia Variable Portfolio – Core Equity Fund | Annual Report 2019 | 25 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1953 | Trustee since 1/17 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 121 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 1/06 for RiverSource Funds and since 6/11 for Nations Funds | Attorney; specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018 | 121 | Trustee, BlueCross BlueShield of Minnesota since 2009 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee since 2017); Chair of the Robina Foundation since August 2013; former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017 |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 7/07 for RiverSource Funds and since 6/11 for Nations Funds | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, Morgan Stanley, 1982-1991 | 121 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of Human Resources Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee) since 2019 |
26 | Columbia Variable Portfolio – Core Equity Fund | Annual Report 2019 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1950 | Trustee since 11/04 for RiverSource Funds and since 6/11 for Nations Funds | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 121 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative since 2010; Board of Directors, The MA Business Roundtable 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 12/17 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 121 | Trustee, Catholic Schools Foundation since 2004 |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Chair of the Board since 1/20; Trustee since 11/04 for RiverSource Funds and since 6/11 for Nations Funds | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Managing Director, Morgan Stanley, 1982-1989; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 121 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Anthony M. Santomero c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1946 | Trustee since 6/11 for RiverSource Funds and since 1/08 for Nations Funds | Richard K. Mellon Professor Emeritus of Finance, The Wharton School, University of Pennsylvania, since 2002; Senior Advisor, McKinsey & Company (consulting), 2006-2008; President, Federal Reserve Bank of Philadelphia, 2000- 2006; Professor of Finance, The Wharton School, University of Pennsylvania, 1972-2002 | 121 | Trustee, Penn Mutual Life Insurance Company since March 2008; Director, Renaissance Reinsurance Ltd. since May 2008; former Director, Citigroup Inc. and Citibank, N.A., 2009-2019; former Trustee, BofA Funds Series Trust (11 funds), 2008-2011 |
Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1947 | Trustee since 6/11 for RiverSource Funds and since 2003 for Nations Funds | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 121 | Director, BlueCross BlueShield of South Carolina since April 2008; Trustee, Hollingsworth Funds since 2016 (previously Board Chair from 2016-2019); Advisory Board member, Duke Energy Corp. since October 2016; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018 |
Columbia Variable Portfolio – Core Equity Fund | Annual Report 2019 | 27 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Sandra Yeager c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 12/17 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 119 | Director, NAPE Education Foundation since October 2016 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin St. Boston, MA 02110 1960 | Trustee since 11/01 for RiverSource Funds and since 6/11 for Nations Funds; Senior Vice President since 2002 for RiverSource Funds and since 5/10 for Nations Funds | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010 - September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006 - August 2012. | 192 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, August 2006-January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
28 | Columbia Variable Portfolio – Core Equity Fund | Annual Report 2019 |
The Board has appointed officers who are responsible for day-to-day business decisions based on policies it has established. The officers serve at the pleasure of the Board. The following table provides basic information about the Officers of the Fund, including principal occupations during the past five years, although their specific titles may have varied over the period. In addition to Mr. Truscott, who is Senior Vice President, the Fund’s other officers are:
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously Vice President and Chief Counsel, January 2010 - December 2014); officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer, Principal Financial Officer (2009), and Senior Vice President (2019) | Vice President, Head of North American Operations, and Co-Head of Global Operations, – Accounting and Tax, Columbia Management Investment Advisers, LLC, since June 2019 (previously Vice President – Accounting and Tax, May 2010 – May 2019); senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009 – January 2019 and December 2015 – January 2019, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer, Chief Accounting Officer (Principal Accounting Officer) (2019), and Principal Financial Officer (2020) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously Vice President — Pricing and Corporate Actions, May 2010 - March 2017). |
Paul B. Goucher 485 Lexington Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since March 2015 (previously Vice President and Assistant Secretary, May 2010 – March 2015). |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 Born 1962 | Senior Vice President (2020) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); previously, Senior Vice President of Investment Product Management, Fidelity Financial Advisor Solutions, a division of Fidelity Investments (January 2012 – March 2015). |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Columbia Variable Portfolio – Core Equity Fund | Annual Report 2019 | 29 |
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
30 | Columbia Variable Portfolio – Core Equity Fund | Annual Report 2019 |
December 31, 2019
3 | |
5 | |
7 | |
8 | |
11 | |
12 | |
13 | |
14 | |
16 | |
23 | |
24 |
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1* | 05/03/10 | 31.62 | 7.04 | 11.24 | |
Class 2* | 05/03/10 | 31.25 | 6.80 | 10.99 | |
Class 3 | 05/02/05 | 31.42 | 6.93 | 11.11 | |
Russell Midcap Value Index | 27.06 | 7.62 | 12.41 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2019 | 3 |
Portfolio breakdown (%) (at December 31, 2019) | |
Common Stocks | 98.1 |
Money Market Funds | 1.9 |
Total | 100.0 |
Equity sector breakdown (%) (at December 31, 2019) | |
Consumer Discretionary | 9.0 |
Consumer Staples | 6.9 |
Energy | 6.8 |
Financials | 18.0 |
Health Care | 8.4 |
Industrials | 11.2 |
Information Technology | 8.9 |
Materials | 7.8 |
Real Estate | 10.2 |
Utilities | 12.8 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2019 |
Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2019 | 5 |
6 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2019 |
(Unaudited)
July 1, 2019 — December 31, 2019 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,089.90 | 1,021.35 | 4.31 | 4.17 | 0.81 |
Class 2 | 1,000.00 | 1,000.00 | 1,088.40 | 1,020.08 | 5.64 | 5.46 | 1.06 |
Class 3 | 1,000.00 | 1,000.00 | 1,089.20 | 1,020.74 | 4.95 | 4.79 | 0.93 |
Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2019 | 7 |
December 31, 2019
Common Stocks 98.1% | ||
Issuer | Shares | Value ($) |
Consumer Discretionary 8.8% | ||
Hotels, Restaurants & Leisure 2.8% | ||
Royal Caribbean Cruises Ltd. | 68,635 | 9,163,459 |
Internet & Direct Marketing Retail 1.5% | ||
Expedia Group, Inc. | 43,793 | 4,735,775 |
Multiline Retail 2.5% | ||
Dollar Tree, Inc.(a) | 85,370 | 8,029,048 |
Textiles, Apparel & Luxury Goods 2.0% | ||
Ralph Lauren Corp. | 56,958 | 6,676,617 |
Total Consumer Discretionary | 28,604,899 | |
Consumer Staples 6.8% | ||
Food & Staples Retailing 4.1% | ||
Kroger Co. (The) | 249,345 | 7,228,511 |
U.S. Foods Holding Corp.(a) | 142,830 | 5,983,149 |
Total | 13,211,660 | |
Food Products 2.7% | ||
Tyson Foods, Inc., Class A | 95,300 | 8,676,112 |
Total Consumer Staples | 21,887,772 | |
Energy 6.7% | ||
Energy Equipment & Services 1.2% | ||
TechnipFMC PLC | 184,415 | 3,953,857 |
Oil, Gas & Consumable Fuels 5.5% | ||
Marathon Petroleum Corp. | 82,425 | 4,966,106 |
Noble Energy, Inc. | 234,653 | 5,828,781 |
WPX Energy, Inc.(a) | 503,835 | 6,922,693 |
Total | 17,717,580 | |
Total Energy | 21,671,437 | |
Financials 17.6% | ||
Banks 6.0% | ||
Popular, Inc. | 110,985 | 6,520,369 |
Regions Financial Corp. | 452,205 | 7,759,838 |
SVB Financial Group(a) | 20,050 | 5,033,352 |
Total | 19,313,559 | |
Capital Markets 2.3% | ||
Northern Trust Corp. | 71,225 | 7,566,944 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Diversified Financial Services 2.6% | ||
Voya Financial, Inc. | 137,625 | 8,392,372 |
Insurance 6.7% | ||
Hanover Insurance Group, Inc. (The) | 47,000 | 6,423,490 |
Lincoln National Corp. | 132,812 | 7,837,236 |
Reinsurance Group of America, Inc. | 45,500 | 7,419,230 |
Total | 21,679,956 | |
Total Financials | 56,952,831 | |
Health Care 8.2% | ||
Health Care Equipment & Supplies 2.4% | ||
Zimmer Biomet Holdings, Inc. | 53,013 | 7,934,986 |
Health Care Providers & Services 3.8% | ||
Quest Diagnostics, Inc. | 51,235 | 5,471,386 |
WellCare Health Plans, Inc.(a) | 20,225 | 6,678,497 |
Total | 12,149,883 | |
Life Sciences Tools & Services 2.0% | ||
Agilent Technologies, Inc. | 74,680 | 6,370,950 |
Total Health Care | 26,455,819 | |
Industrials 11.0% | ||
Aerospace & Defense 2.3% | ||
L3 Harris Technologies, Inc. | 38,037 | 7,526,381 |
Electrical Equipment 2.7% | ||
AMETEK, Inc. | 89,390 | 8,915,758 |
Machinery 2.3% | ||
Ingersoll-Rand PLC | 55,242 | 7,342,767 |
Road & Rail 2.5% | ||
Norfolk Southern Corp. | 41,315 | 8,020,481 |
Trading Companies & Distributors 1.2% | ||
United Rentals, Inc.(a) | 23,000 | 3,835,710 |
Total Industrials | 35,641,097 | |
Information Technology 8.7% | ||
Communications Equipment 1.9% | ||
Motorola Solutions, Inc. | 38,025 | 6,127,349 |
Electronic Equipment, Instruments & Components 1.5% | ||
Corning, Inc. | 170,000 | 4,948,700 |
8 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2019 |
December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
IT Services 0.8% | ||
DXC Technology Co. | 73,390 | 2,758,730 |
Semiconductors & Semiconductor Equipment 4.5% | ||
Marvell Technology Group Ltd. | 197,600 | 5,248,256 |
ON Semiconductor Corp.(a) | 150,000 | 3,657,000 |
Teradyne, Inc. | 81,200 | 5,537,028 |
Total | 14,442,284 | |
Total Information Technology | 28,277,063 | |
Materials 7.7% | ||
Chemicals 5.2% | ||
Eastman Chemical Co. | 89,000 | 7,054,140 |
FMC Corp. | 97,840 | 9,766,389 |
Total | 16,820,529 | |
Metals & Mining 2.5% | ||
Freeport-McMoRan, Inc. | 602,700 | 7,907,424 |
Total Materials | 24,727,953 | |
Real Estate 10.0% | ||
Equity Real Estate Investment Trusts (REITS) 10.0% | ||
First Industrial Realty Trust, Inc. | 190,000 | 7,886,900 |
Gaming and Leisure Properties, Inc. | 189,975 | 8,178,424 |
SL Green Realty Corp. | 88,250 | 8,108,410 |
Welltower, Inc. | 100,680 | 8,233,610 |
Total | 32,407,344 | |
Total Real Estate | 32,407,344 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Utilities 12.6% | ||
Electric Utilities 4.4% | ||
Edison International | 93,870 | 7,078,737 |
Pinnacle West Capital Corp. | 78,430 | 7,053,210 |
Total | 14,131,947 | |
Independent Power and Renewable Electricity Producers 2.8% | ||
AES Corp. (The) | 448,200 | 8,919,180 |
Multi-Utilities 5.4% | ||
Ameren Corp. | 103,775 | 7,969,921 |
CMS Energy Corp. | 152,875 | 9,606,665 |
Total | 17,576,586 | |
Total Utilities | 40,627,713 | |
Total Common Stocks (Cost $282,331,327) | 317,253,928 | |
Money Market Funds 1.8% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(b),(c) | 5,993,836 | 5,993,237 |
Total Money Market Funds (Cost $5,993,366) | 5,993,237 | |
Total Investments in Securities (Cost: $288,324,693) | 323,247,165 | |
Other Assets & Liabilities, Net | 265,277 | |
Net Assets | 323,512,442 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | ||||||||
3,941,640 | 27,913,992 | (25,861,796) | 5,993,836 | 238 | (129) | 170,945 | 5,993,237 |
Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2019 | 9 |
December 31, 2019
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Consumer Discretionary | 28,604,899 | — | — | 28,604,899 |
Consumer Staples | 21,887,772 | — | — | 21,887,772 |
Energy | 21,671,437 | — | — | 21,671,437 |
Financials | 56,952,831 | — | — | 56,952,831 |
Health Care | 26,455,819 | — | — | 26,455,819 |
Industrials | 35,641,097 | — | — | 35,641,097 |
Information Technology | 28,277,063 | — | — | 28,277,063 |
Materials | 24,727,953 | — | — | 24,727,953 |
Real Estate | 32,407,344 | — | — | 32,407,344 |
Utilities | 40,627,713 | — | — | 40,627,713 |
Total Common Stocks | 317,253,928 | — | — | 317,253,928 |
Money Market Funds | 5,993,237 | — | — | 5,993,237 |
Total Investments in Securities | 323,247,165 | — | — | 323,247,165 |
10 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2019 |
December 31, 2019
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $282,331,327) | $317,253,928 |
Affiliated issuers (cost $5,993,366) | 5,993,237 |
Receivable for: | |
Capital shares sold | 6,157 |
Dividends | 632,166 |
Expense reimbursement due from Investment Manager | 419 |
Prepaid expenses | 2,213 |
Total assets | 323,888,120 |
Liabilities | |
Payable for: | |
Capital shares purchased | 269,283 |
Management services fees | 7,249 |
Distribution and/or service fees | 467 |
Service fees | 8,407 |
Compensation of board members | 57,596 |
Compensation of chief compliance officer | 67 |
Other expenses | 32,609 |
Total liabilities | 375,678 |
Net assets applicable to outstanding capital stock | $323,512,442 |
Represented by | |
Trust capital | $323,512,442 |
Total - representing net assets applicable to outstanding capital stock | $323,512,442 |
Class 1 | |
Net assets | $220,919,477 |
Shares outstanding | 8,520,904 |
Net asset value per share | $25.93 |
Class 2 | |
Net assets | $34,239,250 |
Shares outstanding | 1,349,457 |
Net asset value per share | $25.37 |
Class 3 | |
Net assets | $68,353,715 |
Shares outstanding | 2,665,540 |
Net asset value per share | $25.64 |
Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2019 | 11 |
Year Ended December 31, 2019
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $5,960,444 |
Dividends — affiliated issuers | 170,945 |
Foreign taxes withheld | (15,165) |
Total income | 6,116,224 |
Expenses: | |
Management services fees | 2,462,706 |
Distribution and/or service fees | |
Class 2 | 76,700 |
Class 3 | 84,425 |
Service fees | 80,132 |
Compensation of board members | 19,770 |
Custodian fees | 11,849 |
Printing and postage fees | 26,551 |
Audit fees | 29,000 |
Legal fees | 10,108 |
Compensation of chief compliance officer | 63 |
Other | 8,599 |
Total expenses | 2,809,903 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (177,558) |
Total net expenses | 2,632,345 |
Net investment income | 3,483,879 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 12,233,780 |
Investments — affiliated issuers | 238 |
Net realized gain | 12,234,018 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 64,266,287 |
Investments — affiliated issuers | (129) |
Net change in unrealized appreciation (depreciation) | 64,266,158 |
Net realized and unrealized gain | 76,500,176 |
Net increase in net assets resulting from operations | $79,984,055 |
12 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2019 |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $3,483,879 | $2,413,795 |
Net realized gain | 12,234,018 | 27,210,259 |
Net change in unrealized appreciation (depreciation) | 64,266,158 | (69,450,596) |
Net increase (decrease) in net assets resulting from operations | 79,984,055 | (39,826,542) |
Decrease in net assets from capital stock activity | (14,543,206) | (8,224,705) |
Total increase (decrease) in net assets | 65,440,849 | (48,051,247) |
Net assets at beginning of year | 258,071,593 | 306,122,840 |
Net assets at end of year | $323,512,442 | $258,071,593 |
Year Ended | Year Ended | |||
December 31, 2019 | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 49,187 | 1,138,265 | 366,692 | 8,174,346 |
Redemptions | (208,334) | (4,959,633) | (104,630) | (2,357,090) |
Net increase (decrease) | (159,147) | (3,821,368) | 262,062 | 5,817,256 |
Class 2 | ||||
Subscriptions | 158,957 | 3,676,053 | 154,694 | 3,432,761 |
Redemptions | (138,544) | (3,188,552) | (122,769) | (2,699,750) |
Net increase | 20,413 | 487,501 | 31,925 | 733,011 |
Class 3 | ||||
Subscriptions | 17,276 | 381,689 | 19,118 | 429,388 |
Redemptions | (498,289) | (11,591,028) | (682,961) | (15,204,360) |
Net decrease | (481,013) | (11,209,339) | (663,843) | (14,774,972) |
Total net decrease | (619,747) | (14,543,206) | (369,856) | (8,224,705) |
Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2019 | 13 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2019 | $19.70 | 0.29 | 5.94 | 6.23 |
Year Ended 12/31/2018 | $22.72 | 0.20 | (3.22) | (3.02) |
Year Ended 12/31/2017 | $20.01 | 0.25 | 2.46 | 2.71 |
Year Ended 12/31/2016 | $17.53 | 0.23 | 2.25 | 2.48 |
Year Ended 12/31/2015 | $18.45 | 0.07 | (0.99) | (0.92) |
Class 2 | ||||
Year Ended 12/31/2019 | $19.33 | 0.22 | 5.82 | 6.04 |
Year Ended 12/31/2018 | $22.35 | 0.14 | (3.16) | (3.02) |
Year Ended 12/31/2017 | $19.73 | 0.20 | 2.42 | 2.62 |
Year Ended 12/31/2016 | $17.33 | 0.14 | 2.26 | 2.40 |
Year Ended 12/31/2015 | $18.26 | 0.07 | (1.00) | (0.93) |
Class 3 | ||||
Year Ended 12/31/2019 | $19.51 | 0.25 | 5.88 | 6.13 |
Year Ended 12/31/2018 | $22.53 | 0.16 | (3.18) | (3.02) |
Year Ended 12/31/2017 | $19.87 | 0.22 | 2.44 | 2.66 |
Year Ended 12/31/2016 | $17.43 | 0.16 | 2.28 | 2.44 |
Year Ended 12/31/2015 | $18.34 | 0.09 | (1.00) | (0.91) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include line of credit interest expense which is less than 0.01%. |
14 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2019 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019 | $25.93 | 31.62% | 0.88% | 0.82% | 1.22% | 31% | $220,919 |
Year Ended 12/31/2018 | $19.70 | (13.29%) | 0.89% | 0.85% | 0.87% | 98% | $170,998 |
Year Ended 12/31/2017 | $22.72 | 13.54% | 0.91% | 0.87% | 1.20% | 72% | $191,281 |
Year Ended 12/31/2016 | $20.01 | 14.15% | 0.93% | 0.90% | 1.25% | 57% | $162,796 |
Year Ended 12/31/2015 | $17.53 | (4.99%) | 0.91%(c) | 0.90%(c) | 0.38% | 43% | $12,613 |
Class 2 | |||||||
Year Ended 12/31/2019 | $25.37 | 31.25% | 1.13% | 1.07% | 0.97% | 31% | $34,239 |
Year Ended 12/31/2018 | $19.33 | (13.51%) | 1.14% | 1.10% | 0.62% | 98% | $25,687 |
Year Ended 12/31/2017 | $22.35 | 13.28% | 1.16% | 1.12% | 0.97% | 72% | $28,989 |
Year Ended 12/31/2016 | $19.73 | 13.85% | 1.19% | 1.16% | 0.79% | 57% | $22,379 |
Year Ended 12/31/2015 | $17.33 | (5.09%) | 1.22%(c) | 1.17%(c) | 0.40% | 43% | $17,179 |
Class 3 | |||||||
Year Ended 12/31/2019 | $25.64 | 31.42% | 1.01% | 0.95% | 1.08% | 31% | $68,354 |
Year Ended 12/31/2018 | $19.51 | (13.40%) | 1.01% | 0.97% | 0.73% | 98% | $61,387 |
Year Ended 12/31/2017 | $22.53 | 13.39% | 1.04% | 0.99% | 1.05% | 72% | $85,853 |
Year Ended 12/31/2016 | $19.87 | 14.00% | 1.07% | 1.03% | 0.88% | 57% | $92,137 |
Year Ended 12/31/2015 | $17.43 | (4.96%) | 1.09%(c) | 1.04%(c) | 0.50% | 43% | $97,276 |
Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2019 | 15 |
December 31, 2019
16 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2019 | 17 |
December 31, 2019
18 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2019 | 19 |
December 31, 2019
May 1, 2019 through April 30, 2020 | Prior to May 1, 2019 | |
Class 1 | 0.81% | 0.85% |
Class 2 | 1.06 | 1.10 |
Class 3 | 0.935 | 0.975 |
20 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2019 | 21 |
December 31, 2019
22 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2019 |
Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2019 | 23 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1953 | Trustee since 1/17 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 121 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 1/06 for RiverSource Funds and since 6/11 for Nations Funds | Attorney; specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018 | 121 | Trustee, BlueCross BlueShield of Minnesota since 2009 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee since 2017); Chair of the Robina Foundation since August 2013; former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017 |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 7/07 for RiverSource Funds and since 6/11 for Nations Funds | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, Morgan Stanley, 1982-1991 | 121 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of Human Resources Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee) since 2019 |
24 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2019 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1950 | Trustee since 11/04 for RiverSource Funds and since 6/11 for Nations Funds | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 121 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative since 2010; Board of Directors, The MA Business Roundtable 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 12/17 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 121 | Trustee, Catholic Schools Foundation since 2004 |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Chair of the Board since 1/20; Trustee since 11/04 for RiverSource Funds and since 6/11 for Nations Funds | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Managing Director, Morgan Stanley, 1982-1989; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 121 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Anthony M. Santomero c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1946 | Trustee since 6/11 for RiverSource Funds and since 1/08 for Nations Funds | Richard K. Mellon Professor Emeritus of Finance, The Wharton School, University of Pennsylvania, since 2002; Senior Advisor, McKinsey & Company (consulting), 2006-2008; President, Federal Reserve Bank of Philadelphia, 2000- 2006; Professor of Finance, The Wharton School, University of Pennsylvania, 1972-2002 | 121 | Trustee, Penn Mutual Life Insurance Company since March 2008; Director, Renaissance Reinsurance Ltd. since May 2008; former Director, Citigroup Inc. and Citibank, N.A., 2009-2019; former Trustee, BofA Funds Series Trust (11 funds), 2008-2011 |
Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1947 | Trustee since 6/11 for RiverSource Funds and since 2003 for Nations Funds | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 121 | Director, BlueCross BlueShield of South Carolina since April 2008; Trustee, Hollingsworth Funds since 2016 (previously Board Chair from 2016-2019); Advisory Board member, Duke Energy Corp. since October 2016; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018 |
Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2019 | 25 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Sandra Yeager c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 12/17 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 119 | Director, NAPE Education Foundation since October 2016 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin St. Boston, MA 02110 1960 | Trustee since 11/01 for RiverSource Funds and since 6/11 for Nations Funds; Senior Vice President since 2002 for RiverSource Funds and since 5/10 for Nations Funds | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010 - September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006 - August 2012. | 192 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, August 2006-January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
26 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2019 |
The Board has appointed officers who are responsible for day-to-day business decisions based on policies it has established. The officers serve at the pleasure of the Board. The following table provides basic information about the Officers of the Fund, including principal occupations during the past five years, although their specific titles may have varied over the period. In addition to Mr. Truscott, who is Senior Vice President, the Fund’s other officers are:
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously Vice President and Chief Counsel, January 2010 - December 2014); officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer, Principal Financial Officer (2009), and Senior Vice President (2019) | Vice President, Head of North American Operations, and Co-Head of Global Operations, – Accounting and Tax, Columbia Management Investment Advisers, LLC, since June 2019 (previously Vice President – Accounting and Tax, May 2010 – May 2019); senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009 – January 2019 and December 2015 – January 2019, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer, Chief Accounting Officer (Principal Accounting Officer) (2019), and Principal Financial Officer (2020) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously Vice President — Pricing and Corporate Actions, May 2010 - March 2017). |
Paul B. Goucher 485 Lexington Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since March 2015 (previously Vice President and Assistant Secretary, May 2010 – March 2015). |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 Born 1962 | Senior Vice President (2020) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); previously, Senior Vice President of Investment Product Management, Fidelity Financial Advisor Solutions, a division of Fidelity Investments (January 2012 – March 2015). |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2019 | 27 |
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
28 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Annual Report 2019 |
December 31, 2019
3 | |
6 | |
8 | |
9 | |
13 | |
14 | |
15 | |
16 | |
18 | |
28 | |
29 | |
29 |
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/01/96 | 55.31 | 20.44 | 16.66 | |
Class 2 | 05/01/00 | 54.97 | 20.13 | 16.35 | |
MSCI World Information Technology Index (Net) | 47.55 | 18.33 | 15.52 |
Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2019 | 3 |
Equity sector breakdown (%) (at December 31, 2019) | |
Communication Services | 8.9 |
Consumer Discretionary | 0.8 |
Financials | 0.6 |
Industrials | 0.5 |
Information Technology | 89.2 |
Total | 100.0 |
Country breakdown (%) (at December 31, 2019) | |
Brazil | 2.1 |
China | 0.2 |
Germany | 1.9 |
Israel | 1.2 |
Netherlands | 2.0 |
Sweden | 0.3 |
United Kingdom | 0.1 |
United States(a) | 92.2 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds. |
4 | Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2019 |
Summary of investments in securities by industry (%) (at December 31, 2019) | |
Capital Markets | 0.5 |
Communications Equipment | 3.2 |
Diversified Consumer Services | 0.8 |
Electrical Equipment | 0.5 |
Entertainment | 1.9 |
Interactive Media & Services | 6.6 |
IT Services | 10.7 |
Semiconductors & Semiconductor Equipment | 39.6 |
Software | 20.7 |
Technology Hardware, Storage & Peripherals | 11.0 |
Money Market Funds | 4.0 |
Total | 99.5 |
Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2019 | 5 |
6 | Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2019 |
Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2019 | 7 |
(Unaudited)
July 1, 2019 — December 31, 2019 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,228.20 | 1,020.69 | 5.34 | 4.84 | 0.94 |
Class 2 | 1,000.00 | 1,000.00 | 1,226.50 | 1,019.42 | 6.75 | 6.12 | 1.19 |
8 | Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2019 |
December 31, 2019
Common Stocks 95.5% | ||
Issuer | Shares | Value ($) |
Brazil 2.1% | ||
Afya Ltd., Class A(a) | 15,388 | 417,322 |
Arco Platform Ltd., Class A(a) | 8,804 | 389,137 |
Pagseguro Digital Ltd., Class A(a) | 23,892 | 816,151 |
XP, Inc., Class A(a) | 13,500 | 520,020 |
Total | 2,142,630 | |
China 0.2% | ||
Tencent Holdings Ltd., ADR | 3,600 | 172,854 |
Germany 1.9% | ||
Infineon Technologies AG | 62,900 | 1,421,185 |
TeamViewer AG(a) | 13,737 | 491,233 |
Total | 1,912,418 | |
Israel 1.2% | ||
Mellanox Technologies Ltd.(a) | 10,600 | 1,242,108 |
Netherlands 2.0% | ||
NXP Semiconductors NV | 15,600 | 1,985,256 |
Sweden 0.3% | ||
Telefonaktiebolaget LM Ericsson, ADR | 33,800 | 296,764 |
United Kingdom 0.1% | ||
Finablr PLC(a) | 65,282 | 147,349 |
United States 87.7% | ||
Activision Blizzard, Inc. | 28,887 | 1,716,466 |
Advanced Energy Industries, Inc.(a) | 15,900 | 1,132,080 |
Alphabet, Inc., Class A(a) | 2,925 | 3,917,716 |
Alphabet, Inc., Class C(a) | 1,934 | 2,585,797 |
Apple, Inc. | 18,300 | 5,373,795 |
Applied Materials, Inc. | 53,600 | 3,271,744 |
Arista Networks, Inc.(a) | 3,123 | 635,218 |
Bloom Energy Corp., Class A(a) | 65,800 | 491,526 |
Broadcom, Inc. | 16,687 | 5,273,426 |
Cambium Networks Corp.(a) | 29,725 | 259,797 |
Cerence, Inc.(a) | 31,869 | 721,195 |
Cerence, Inc.(a) | 6,553 | 148,294 |
CommScope Holding Co., Inc.(a) | 16,100 | 228,459 |
Cornerstone OnDemand, Inc.(a) | 8,200 | 480,110 |
Dell Technologies, Inc.(a) | 13,500 | 693,765 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Dropbox, Inc., Class A(a) | 19,200 | 343,872 |
DXC Technology Co. | 16,100 | 605,199 |
Euronet Worldwide, Inc.(a) | 2,633 | 414,855 |
F5 Networks, Inc.(a) | 4,800 | 670,320 |
Fidelity National Information Services, Inc. | 11,600 | 1,613,444 |
Fiserv, Inc.(a) | 10,000 | 1,156,300 |
ForeScout Technologies, Inc.(a) | 13,705 | 449,524 |
Fortinet, Inc.(a) | 21,343 | 2,278,579 |
Genpact Ltd. | 18,600 | 784,362 |
Global Payments, Inc. | 5,627 | 1,027,265 |
GoDaddy, Inc., Class A(a) | 14,241 | 967,249 |
Inphi Corp.(a) | 12,796 | 947,160 |
Intel Corp. | 9,000 | 538,650 |
Juniper Networks, Inc. | 18,500 | 455,655 |
Lam Research Corp. | 26,015 | 7,606,786 |
Marvell Technology Group Ltd.(b) | 121,504 | 3,227,146 |
Micron Technology, Inc.(a) | 65,553 | 3,525,440 |
Microsoft Corp. | 19,600 | 3,090,920 |
NetApp, Inc. | 39,500 | 2,458,875 |
Nuance Communications, Inc.(a) | 58,356 | 1,040,488 |
ON Semiconductor Corp.(a) | 113,348 | 2,763,424 |
Oracle Corp. | 27,700 | 1,467,546 |
Palo Alto Networks, Inc.(a) | 7,100 | 1,641,875 |
Plantronics, Inc. | 25,100 | 686,234 |
Qorvo, Inc.(a) | 6,474 | 752,473 |
Rambus, Inc.(a) | 11,000 | 151,525 |
SailPoint Technologies Holding, Inc.(a) | 17,224 | 406,486 |
Salesforce.com, Inc.(a) | 8,705 | 1,415,781 |
Sciplay Corp., Class A(a) | 19,478 | 239,385 |
SMART Global Holdings, Inc.(a) | 12,345 | 468,369 |
Splunk, Inc.(a) | 3,093 | 463,239 |
Symantec Corp. | 55,275 | 1,410,618 |
Synaptics, Inc.(a) | 31,073 | 2,043,671 |
Synopsys, Inc.(a) | 27,182 | 3,783,734 |
Teradyne, Inc. | 50,068 | 3,414,137 |
TiVo Corp. | 85,500 | 725,040 |
Verint Systems, Inc.(a) | 12,200 | 675,392 |
Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2019 | 9 |
December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Visa, Inc., Class A | 17,400 | 3,269,460 |
Western Digital Corp.(b) | 42,200 | 2,678,434 |
Xperi Corp. | 26,180 | 484,330 |
Total | 89,072,630 | |
Total Common Stocks (Cost $70,572,407) | 96,972,009 | |
Money Market Funds 4.0% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(c),(d) | 4,079,919 | 4,079,511 |
Total Money Market Funds (Cost $4,079,690) | 4,079,511 | |
Total Investments in Securities (Cost $74,652,097) | 101,051,520 | |
Other Assets & Liabilities, Net | 536,465 | |
Net Assets | $101,587,985 |
Call option contracts written | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Premium received ($) | Value ($) |
Marvell Technology Group Ltd. | Deutsche Bank | USD | (37,184) | (14) | 32.00 | 1/17/2020 | (1,116) | (28) |
Marvell Technology Group Ltd. | Deutsche Bank | USD | (42,496) | (16) | 31.00 | 1/17/2020 | (1,549) | (32) |
Marvell Technology Group Ltd. | Deutsche Bank | USD | (332,000) | (125) | 35.00 | 1/15/2021 | (12,745) | (16,812) |
Western Digital Corp. | Deutsche Bank | USD | (387,167) | (61) | 90.00 | 1/15/2021 | (22,642) | (14,732) |
Total | (38,052) | (31,604) |
Put option contracts written | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Premium received ($) | Value ($) |
Marvell Technology Group Ltd. | Deutsche Bank | USD | (334,656) | (126) | 15.00 | 01/17/2020 | (13,497) | (189) |
Marvell Technology Group Ltd. | Deutsche Bank | USD | (685,248) | (258) | 17.00 | 01/15/2021 | (35,335) | (18,705) |
Western Digital Corp. | Deutsche Bank | USD | (393,514) | (62) | 40.00 | 01/15/2021 | (19,669) | (12,679) |
Total | (68,501) | (31,573) |
(a) | Non-income producing investment. |
(b) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(c) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
10 | Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2019 |
December 31, 2019
(d) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | ||||||||
1,539,100 | 36,583,647 | (34,042,828) | 4,079,919 | (238) | (179) | 45,439 | 4,079,511 |
ADR | American Depositary Receipt |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2019 | 11 |
December 31, 2019
The following table is a summary of the inputs used to value the Fund’s investments at December 31, 2019:
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Brazil | 2,142,630 | — | — | 2,142,630 |
China | — | 172,854 | — | 172,854 |
Germany | — | 1,912,418 | — | 1,912,418 |
Israel | 1,242,108 | — | — | 1,242,108 |
Netherlands | 1,985,256 | — | — | 1,985,256 |
Sweden | 296,764 | — | — | 296,764 |
United Kingdom | — | 147,349 | — | 147,349 |
United States | 89,072,630 | — | — | 89,072,630 |
Total Common Stocks | 94,739,388 | 2,232,621 | — | 96,972,009 |
Money Market Funds | 4,079,511 | — | — | 4,079,511 |
Total Investments in Securities | 98,818,899 | 2,232,621 | — | 101,051,520 |
Investments in Derivatives | ||||
Liability | ||||
Options Contracts Written | (63,177) | — | — | (63,177) |
Total | 98,755,722 | 2,232,621 | — | 100,988,343 |
12 | Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2019 |
December 31, 2019
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $70,572,407) | $96,972,009 |
Affiliated issuers (cost $4,079,690) | 4,079,511 |
Cash collateral held at broker for: | |
Options contracts written | 930,400 |
Receivable for: | |
Investments sold | 1,147 |
Capital shares sold | 11,230 |
Dividends | 49,325 |
Foreign tax reclaims | 478 |
Expense reimbursement due from Investment Manager | 615 |
Prepaid expenses | 1,762 |
Total assets | 102,046,477 |
Liabilities | |
Option contracts written, at value (premiums received $106,553) | 63,177 |
Payable for: | |
Investments purchased | 174,100 |
Capital shares purchased | 115,525 |
Management services fees | 2,539 |
Distribution and/or service fees | 390 |
Service fees | 41,202 |
Compensation of board members | 31,803 |
Compensation of chief compliance officer | 19 |
Other expenses | 29,737 |
Total liabilities | 458,492 |
Net assets applicable to outstanding capital stock | $101,587,985 |
Represented by | |
Paid in capital | 66,900,849 |
Total distributable earnings (loss) | 34,687,136 |
Total - representing net assets applicable to outstanding capital stock | $101,587,985 |
Class 1 | |
Net assets | $44,564,641 |
Shares outstanding | 1,907,521 |
Net asset value per share | $23.36 |
Class 2 | |
Net assets | $57,023,344 |
Shares outstanding | 2,699,558 |
Net asset value per share | $21.12 |
Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2019 | 13 |
Year Ended December 31, 2019
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $858,631 |
Dividends — affiliated issuers | 45,439 |
Foreign taxes withheld | (4,256) |
Total income | 899,814 |
Expenses: | |
Management services fees | 777,781 |
Distribution and/or service fees | |
Class 2 | 114,926 |
Service fees | 135,291 |
Compensation of board members | 14,320 |
Custodian fees | 14,769 |
Printing and postage fees | 14,080 |
Audit fees | 31,941 |
Legal fees | 8,103 |
Interest on interfund lending | 176 |
Compensation of chief compliance officer | 17 |
Other | 6,104 |
Total expenses | 1,117,508 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (182,453) |
Total net expenses | 935,055 |
Net investment loss | (35,241) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 8,665,180 |
Investments — affiliated issuers | (238) |
Foreign currency translations | (3,090) |
Options purchased | (17,627) |
Options contracts written | 29,096 |
Net realized gain | 8,673,321 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 26,886,837 |
Investments — affiliated issuers | (179) |
Foreign currency translations | 10 |
Options contracts written | 28,517 |
Net change in unrealized appreciation (depreciation) | 26,915,185 |
Net realized and unrealized gain | 35,588,506 |
Net increase in net assets resulting from operations | $35,553,265 |
14 | Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2019 |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||
Net investment loss | $(35,241) | $(82,765) |
Net realized gain | 8,673,321 | 12,940,700 |
Net change in unrealized appreciation (depreciation) | 26,915,185 | (19,205,486) |
Net increase (decrease) in net assets resulting from operations | 35,553,265 | (6,347,551) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (5,791,704) | (3,932,705) |
Class 2 | (7,012,539) | (5,124,615) |
Total distributions to shareholders | (12,804,243) | (9,057,320) |
Increase (decrease) in net assets from capital stock activity | 12,734,904 | (4,058,506) |
Total increase (decrease) in net assets | 35,483,926 | (19,463,377) |
Net assets at beginning of year | 66,104,059 | 85,567,436 |
Net assets at end of year | $101,587,985 | $66,104,059 |
Year Ended | Year Ended | |||
December 31, 2019 | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 6,676 | 143,646 | 10,873 | 245,264 |
Distributions reinvested | 307,089 | 5,791,704 | 192,497 | 3,932,705 |
Redemptions | (213,545) | (4,502,596) | (198,980) | (4,282,507) |
Net increase (decrease) | 100,220 | 1,432,754 | 4,390 | (104,538) |
Class 2 | ||||
Subscriptions | 1,281,155 | 24,753,358 | 1,183,149 | 24,846,571 |
Distributions reinvested | 410,811 | 7,012,539 | 272,586 | 5,124,615 |
Redemptions | (1,072,586) | (20,463,747) | (1,711,622) | (33,925,154) |
Net increase (decrease) | 619,380 | 11,302,150 | (255,887) | (3,953,968) |
Total net increase (decrease) | 719,600 | 12,734,904 | (251,497) | (4,058,506) |
Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2019 | 15 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | ||||||
Year Ended 12/31/2019 | $17.78 | 0.02 | 9.00 | 9.02 | (3.44) | (3.44) |
Year Ended 12/31/2018 | $21.56 | 0.01 | (1.47) | (1.46) | (2.32) | (2.32) |
Year Ended 12/31/2017 | $21.67 | (0.03) | 6.79 | 6.76 | (6.87) | (6.87) |
Year Ended 12/31/2016 | $27.97 | (0.04) | 3.55 | 3.51 | (9.81) | (9.81) |
Year Ended 12/31/2015 | $29.99 | (0.01) | 3.00 | 2.99 | (5.01) | (5.01) |
Class 2 | ||||||
Year Ended 12/31/2019 | $16.33 | (0.03) | 8.20 | 8.17 | (3.38) | (3.38) |
Year Ended 12/31/2018 | $19.99 | (0.04) | (1.35) | (1.39) | (2.27) | (2.27) |
Year Ended 12/31/2017 | $20.50 | (0.08) | 6.38 | 6.30 | (6.81) | (6.81) |
Year Ended 12/31/2016 | $26.98 | (0.12) | 3.38 | 3.26 | (9.74) | (9.74) |
Year Ended 12/31/2015 | $29.10 | (0.08) | 2.91 | 2.83 | (4.95) | (4.95) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interfund lending expense which is less than 0.01%. |
(d) | Ratios include line of credit interest expense which is less than 0.01%. |
16 | Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2019 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019 | $23.36 | 55.31% | 1.18%(c) | 0.97%(c) | 0.09% | 56% | $44,565 |
Year Ended 12/31/2018 | $17.78 | (8.15%) | 1.09%(c),(d) | 1.03%(c),(d) | 0.05% | 44% | $32,129 |
Year Ended 12/31/2017 | $21.56 | 35.21% | 1.15%(d) | 1.02%(d) | (0.16%) | 60% | $38,879 |
Year Ended 12/31/2016 | $21.67 | 19.35% | 1.26% | 0.98% | (0.17%) | 62% | $31,083 |
Year Ended 12/31/2015 | $27.97 | 10.11% | 1.20% | 0.98% | (0.05%) | 65% | $28,698 |
Class 2 | |||||||
Year Ended 12/31/2019 | $21.12 | 54.97% | 1.43%(c) | 1.21%(c) | (0.15%) | 56% | $57,023 |
Year Ended 12/31/2018 | $16.33 | (8.45%) | 1.33%(c),(d) | 1.28%(c),(d) | (0.22%) | 44% | $33,975 |
Year Ended 12/31/2017 | $19.99 | 34.92% | 1.40%(d) | 1.27%(d) | (0.39%) | 60% | $46,688 |
Year Ended 12/31/2016 | $20.50 | 19.01% | 1.47% | 1.23% | (0.49%) | 62% | $27,838 |
Year Ended 12/31/2015 | $26.98 | 9.81% | 1.45% | 1.23% | (0.30%) | 65% | $83,566 |
Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2019 | 17 |
December 31, 2019
18 | Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2019 | 19 |
December 31, 2019
20 | Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2019 |
December 31, 2019
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Options contracts written, at value | 63,177 |
Amount of realized gain (loss) on derivatives recognized in income | |||
Risk exposure category | Options contracts written ($) | Options contracts purchased ($) | Total ($) |
Equity risk | 29,096 | (17,627) | 11,469 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |
Risk exposure category | Options contracts written ($) |
Equity risk | 28,517 |
Derivative instrument | Average value ($) |
Options contracts — purchased | 802* |
Options contracts — written | (64,379)** |
Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2019 | 21 |
December 31, 2019
* | Based on the ending daily outstanding amounts for the year ended December 31, 2019. |
** | Based on the ending quarterly outstanding amounts for the year ended December 31, 2019. |
Deutsche Bank ($) | |
Liabilities | |
Options contracts written | 63,177 |
Total financial and derivative net assets | (63,177) |
Total collateral received (pledged) (a) | (63,177) |
Net amount (b) | - |
(a) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Represents the net amount due from/(to) counterparties in the event of default. |
22 | Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2019 | 23 |
December 31, 2019
May 1, 2019 through April 30, 2020 | Prior to May 1, 2019 | |
Class 1 | 0.94% | 1.02% |
Class 2 | 1.19 | 1.27 |
24 | Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2019 |
December 31, 2019
Excess of distributions over net investment income ($) | Accumulated net realized gain ($) | Paid in capital ($) |
30,292 | (30,292) | — |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
2,035,882 | 10,768,361 | 12,804,243 | 2,002,245 | 7,055,075 | 9,057,320 |
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized appreciation ($) |
1,413,866 | 7,135,725 | — | 26,168,959 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
74,819,384 | 27,608,502 | (1,439,543) | 26,168,959 |
Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2019 | 25 |
December 31, 2019
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Borrower | 1,100,000 | 2.88 | 2 |
26 | Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2019 | 27 |
28 | Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2019 |
Dividends received deduction | Capital gain dividend |
39.24% | $7,506,378 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1953 | Trustee since 1/17 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 121 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2019 | 29 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 1/06 for RiverSource Funds and since 6/11 for Nations Funds | Attorney; specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018 | 121 | Trustee, BlueCross BlueShield of Minnesota since 2009 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee since 2017); Chair of the Robina Foundation since August 2013; former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017 |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 7/07 for RiverSource Funds and since 6/11 for Nations Funds | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, Morgan Stanley, 1982-1991 | 121 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of Human Resources Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee) since 2019 |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1950 | Trustee since 11/04 for RiverSource Funds and since 6/11 for Nations Funds | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 121 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative since 2010; Board of Directors, The MA Business Roundtable 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 12/17 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 121 | Trustee, Catholic Schools Foundation since 2004 |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Chair of the Board since 1/20; Trustee since 11/04 for RiverSource Funds and since 6/11 for Nations Funds | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Managing Director, Morgan Stanley, 1982-1989; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 121 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
30 | Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2019 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Anthony M. Santomero c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1946 | Trustee since 6/11 for RiverSource Funds and since 1/08 for Nations Funds | Richard K. Mellon Professor Emeritus of Finance, The Wharton School, University of Pennsylvania, since 2002; Senior Advisor, McKinsey & Company (consulting), 2006-2008; President, Federal Reserve Bank of Philadelphia, 2000- 2006; Professor of Finance, The Wharton School, University of Pennsylvania, 1972-2002 | 121 | Trustee, Penn Mutual Life Insurance Company since March 2008; Director, Renaissance Reinsurance Ltd. since May 2008; former Director, Citigroup Inc. and Citibank, N.A., 2009-2019; former Trustee, BofA Funds Series Trust (11 funds), 2008-2011 |
Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1947 | Trustee since 6/11 for RiverSource Funds and since 2003 for Nations Funds | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 121 | Director, BlueCross BlueShield of South Carolina since April 2008; Trustee, Hollingsworth Funds since 2016 (previously Board Chair from 2016-2019); Advisory Board member, Duke Energy Corp. since October 2016; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018 |
Sandra Yeager c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 12/17 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 119 | Director, NAPE Education Foundation since October 2016 |
Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2019 | 31 |
Interested director affiliated with Investment Manager*
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin St. Boston, MA 02110 1960 | Trustee since 11/01 for RiverSource Funds and since 6/11 for Nations Funds; Senior Vice President since 2002 for RiverSource Funds and since 5/10 for Nations Funds | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010 - September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006 - August 2012. | 192 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, August 2006-January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously Vice President and Chief Counsel, January 2010 - December 2014); officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer, Principal Financial Officer (2009), and Senior Vice President (2019) | Vice President, Head of North American Operations, and Co-Head of Global Operations, – Accounting and Tax, Columbia Management Investment Advisers, LLC, since June 2019 (previously Vice President – Accounting and Tax, May 2010 – May 2019); senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009 – January 2019 and December 2015 – January 2019, respectively). |
32 | Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2019 |
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer, Chief Accounting Officer (Principal Accounting Officer) (2019), and Principal Financial Officer (2020) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously Vice President — Pricing and Corporate Actions, May 2010 - March 2017). |
Paul B. Goucher 485 Lexington Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since March 2015 (previously Vice President and Assistant Secretary, May 2010 – March 2015). |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 Born 1962 | Senior Vice President (2020) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); previously, Senior Vice President of Investment Product Management, Fidelity Financial Advisor Solutions, a division of Fidelity Investments (January 2012 – March 2015). |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
Columbia Variable Portfolio – Seligman Global Technology Fund | Annual Report 2019 | 33 |
December 31, 2019
3 | |
5 | |
7 | |
8 | |
13 | |
14 | |
15 | |
16 | |
18 | |
28 | |
29 |
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class 1 | 05/07/10 | 7.69 | 2.58 | 2.72 | |
Class 2 | 05/07/10 | 7.47 | 2.35 | 2.46 | |
Bloomberg Barclays U.S. 1-5 Year Corporate Index | 6.99 | 2.90 | 3.15 |
Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2019 | 3 |
Portfolio breakdown (%) (at December 31, 2019) | |
Corporate Bonds & Notes | 86.3 |
Money Market Funds | 7.8 |
U.S. Treasury Obligations | 5.9 |
Total | 100.0 |
Quality breakdown (%) (at December 31, 2019) | |
AAA rating | 6.4 |
AA rating | 6.1 |
A rating | 20.7 |
BBB rating | 66.1 |
BB rating | 0.7 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2019 |
Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2019 | 5 |
6 | Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2019 |
(Unaudited)
July 1, 2019 — December 31, 2019 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,022.00 | 1,022.98 | 2.52 | 2.53 | 0.49 |
Class 2 | 1,000.00 | 1,000.00 | 1,021.00 | 1,021.71 | 3.81 | 3.81 | 0.74 |
Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2019 | 7 |
December 31, 2019
Corporate Bonds & Notes 85.8% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Aerospace & Defense 1.7% | ||||
Lockheed Martin Corp. | ||||
11/23/2020 | 2.500% | 12,760,000 | 12,832,704 | |
Automotive 1.8% | ||||
Ford Motor Credit Co. LLC | ||||
06/09/2025 | 4.687% | 13,125,000 | 13,660,235 | |
Banking 7.4% | ||||
American Express Co. | ||||
05/20/2022 | 2.750% | 6,135,000 | 6,245,785 | |
02/27/2023 | 3.400% | 7,835,000 | 8,130,783 | |
Bank of Montreal | ||||
03/26/2022 | 2.900% | 8,000,000 | 8,157,232 | |
Capital One Financial Corp. | ||||
05/12/2020 | 2.500% | 2,506,000 | 2,509,237 | |
04/30/2025 | 4.250% | 5,737,000 | 6,246,268 | |
Goldman Sachs Group, Inc. (The) | ||||
02/20/2024 | 3.625% | 9,300,000 | 9,758,488 | |
Wells Fargo & Co.(a) | ||||
10/30/2025 | 2.406% | 7,369,000 | 7,372,755 | |
Wells Fargo Bank NA | ||||
10/22/2021 | 3.625% | 6,090,000 | 6,270,011 | |
Total | 54,690,559 | |||
Cable and Satellite 3.2% | ||||
Charter Communications Operating LLC/Capital | ||||
07/23/2025 | 4.908% | 1,080,000 | 1,190,358 | |
NBCUniversal Media LLC | ||||
04/01/2021 | 4.375% | 11,300,000 | 11,657,094 | |
Sky PLC(b) | ||||
09/16/2024 | 3.750% | 9,975,000 | 10,668,189 | |
Total | 23,515,641 | |||
Diversified Manufacturing 2.6% | ||||
Honeywell International, Inc. | ||||
11/01/2021 | 1.850% | 10,555,000 | 10,573,614 | |
08/08/2022 | 2.150% | 2,612,000 | 2,635,862 | |
United Technologies Corp. | ||||
06/01/2022 | 3.100% | 5,597,000 | 5,744,909 | |
Total | 18,954,385 | |||
Electric 19.7% | ||||
AEP Texas, Inc. | ||||
10/01/2022 | 2.400% | 11,023,000 | 11,108,348 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
American Electric Power Co., Inc. | ||||
11/13/2020 | 2.150% | 4,985,000 | 4,992,573 | |
12/01/2021 | 3.650% | 1,936,000 | 1,996,663 | |
Berkshire Hathaway Energy Co. | ||||
02/01/2020 | 2.400% | 2,927,000 | 2,927,458 | |
CenterPoint Energy, Inc. | ||||
09/01/2024 | 2.500% | 5,130,000 | 5,138,171 | |
CMS Energy Corp. | ||||
03/01/2024 | 3.875% | 9,661,000 | 10,140,758 | |
11/15/2025 | 3.600% | 10,736,000 | 11,347,731 | |
02/15/2027 | 2.950% | 950,000 | 959,792 | |
DTE Energy Co. | ||||
06/01/2024 | 3.500% | 4,266,000 | 4,438,033 | |
10/01/2026 | 2.850% | 10,176,000 | 10,235,554 | |
Duke Energy Corp. | ||||
09/01/2026 | 2.650% | 11,523,000 | 11,593,243 | |
Edison International | ||||
11/15/2024 | 3.550% | 2,150,000 | 2,199,364 | |
Emera U.S. Finance LP | ||||
06/15/2021 | 2.700% | 9,801,000 | 9,887,654 | |
06/15/2026 | 3.550% | 6,670,000 | 6,937,112 | |
Eversource Energy | ||||
10/01/2024 | 2.900% | 9,430,000 | 9,639,927 | |
Public Service Enterprise Group, Inc. | ||||
11/15/2021 | 2.000% | 6,995,000 | 6,994,589 | |
06/15/2024 | 2.875% | 6,164,000 | 6,299,581 | |
Southern Co. (The) | ||||
07/01/2021 | 2.350% | 11,351,000 | 11,410,784 | |
07/01/2026 | 3.250% | 7,710,000 | 8,004,638 | |
Xcel Energy, Inc. | ||||
03/15/2021 | 2.400% | 9,064,000 | 9,111,001 | |
Total | 145,362,974 | |||
Finance Companies 1.9% | ||||
GE Capital International Funding Co. Unlimited Co. | ||||
11/15/2025 | 3.373% | 13,285,000 | 13,835,708 | |
Food and Beverage 9.4% | ||||
Bacardi Ltd.(b) | ||||
07/15/2026 | 2.750% | 13,670,000 | 13,418,710 | |
Conagra Brands, Inc. | ||||
10/22/2021 | 3.800% | 10,301,000 | 10,624,960 | |
11/01/2025 | 4.600% | 1,966,000 | 2,172,075 | |
JM Smucker Co. (The) | ||||
03/15/2020 | 2.500% | 6,306,000 | 6,311,198 | |
Kraft Heinz Foods Co. (The) | ||||
06/01/2026 | 3.000% | 9,564,000 | 9,550,280 |
8 | Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2019 |
December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Molson Coors Brewing Co. | ||||
03/15/2020 | 2.250% | 4,715,000 | 4,715,193 | |
07/15/2021 | 2.100% | 3,660,000 | 3,662,538 | |
Mondelez International Holdings Netherlands BV(b) | ||||
10/28/2021 | 2.000% | 12,899,000 | 12,886,688 | |
Sysco Corp. | ||||
07/15/2021 | 2.500% | 5,980,000 | 6,029,958 | |
Total | 69,371,600 | |||
Health Care 3.9% | ||||
Becton Dickinson and Co. | ||||
11/08/2021 | 3.125% | 7,281,000 | 7,421,798 | |
12/15/2024 | 3.734% | 4,871,000 | 5,173,227 | |
Cardinal Health, Inc. | ||||
06/15/2027 | 3.410% | 2,395,000 | 2,451,680 | |
Cigna Corp.(b) | ||||
10/15/2027 | 3.050% | 3,830,000 | 3,878,713 | |
CVS Health Corp. | ||||
03/25/2025 | 4.100% | 9,066,000 | 9,749,937 | |
Total | 28,675,355 | |||
Healthcare Insurance 1.1% | ||||
Aetna, Inc. | ||||
11/15/2022 | 2.750% | 3,790,000 | 3,851,176 | |
Centene Corp.(b) | ||||
12/15/2027 | 4.250% | 4,347,000 | 4,476,636 | |
Total | 8,327,812 | |||
Life Insurance 10.3% | ||||
AIG Global Funding(b) | ||||
07/02/2020 | 2.150% | 2,500,000 | 2,501,719 | |
Five Corners Funding Trust(b) | ||||
11/15/2023 | 4.419% | 6,282,000 | 6,821,245 | |
Guardian Life Global Funding(b) | ||||
05/06/2024 | 2.900% | 8,790,000 | 9,005,924 | |
MassMutual Global Funding II(b) | ||||
07/01/2022 | 2.250% | 5,557,000 | 5,602,855 | |
06/22/2024 | 2.750% | 9,680,000 | 9,913,650 | |
Metropolitan Life Global Funding I(b) | ||||
06/12/2020 | 2.050% | 10,240,000 | 10,242,346 | |
Peachtree Corners Funding Trust(b) | ||||
02/15/2025 | 3.976% | 15,275,000 | 16,155,623 | |
Principal Life Global Funding II(b) | ||||
11/21/2024 | 2.250% | 16,285,000 | 16,242,884 | |
Total | 76,486,246 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Media and Entertainment 1.3% | ||||
Discovery Communications LLC | ||||
06/15/2020 | 2.800% | 9,772,000 | 9,795,285 | |
Midstream 7.6% | ||||
Enterprise Products Operating LLC | ||||
02/15/2021 | 2.800% | 4,300,000 | 4,342,244 | |
MPLX LP(b) | ||||
12/01/2027 | 4.250% | 6,915,000 | 7,281,539 | |
Plains All American Pipeline LP/Finance Corp. | ||||
12/15/2026 | 4.500% | 17,140,000 | 18,232,852 | |
Southern Natural Gas Co. LLC/Issuing Corp. | ||||
06/15/2021 | 4.400% | 7,592,000 | 7,792,566 | |
Western Gas Partners LP | ||||
07/01/2026 | 4.650% | 7,584,000 | 7,775,759 | |
Williams Companies, Inc. (The) | ||||
09/15/2025 | 4.000% | 9,828,000 | 10,420,310 | |
Total | 55,845,270 | |||
Natural Gas 3.3% | ||||
NiSource Finance Corp. | ||||
05/15/2027 | 3.490% | 11,268,000 | 11,846,806 | |
NiSource, Inc. | ||||
11/17/2022 | 2.650% | 6,965,000 | 7,056,039 | |
06/15/2023 | 3.650% | 5,120,000 | 5,326,864 | |
Total | 24,229,709 | |||
Pharmaceuticals 4.8% | ||||
AbbVie, Inc. | ||||
05/14/2025 | 3.600% | 9,305,000 | 9,829,031 | |
AbbVie, Inc.(b) | ||||
11/21/2026 | 2.950% | 8,055,000 | 8,190,431 | |
Allergan Funding SCS | ||||
06/15/2024 | 3.850% | 7,747,000 | 8,140,857 | |
Amgen, Inc. | ||||
11/15/2021 | 3.875% | 3,748,000 | 3,865,903 | |
05/11/2022 | 2.650% | 5,655,000 | 5,738,984 | |
Total | 35,765,206 | |||
Technology 3.0% | ||||
Broadcom Corp./Cayman Finance Ltd. | ||||
01/15/2027 | 3.875% | 8,790,000 | 9,131,862 | |
International Business Machines Corp. | ||||
05/13/2022 | 2.850% | 12,830,000 | 13,112,588 | |
Total | 22,244,450 |
Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2019 | 9 |
December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Transportation Services 0.7% | ||||
ERAC U.S.A. Finance LLC(b) | ||||
11/15/2024 | 3.850% | 4,810,000 | 5,113,490 | |
Wireless 1.7% | ||||
American Tower Corp. | ||||
01/15/2025 | 2.950% | 12,350,000 | 12,650,877 | |
Wirelines 0.4% | ||||
Verizon Communications, Inc. | ||||
04/01/2021 | 4.600% | 3,065,000 | 3,167,608 | |
Total Corporate Bonds & Notes (Cost $618,352,926) | 634,525,114 | |||
U.S. Treasury Obligations 5.9% | ||||
U.S. Treasury | ||||
03/15/2022 | 2.375% | 17,840,000 | 18,149,412 | |
08/15/2022 | 1.500% | 25,000,000 | 24,947,266 | |
Total U.S. Treasury Obligations (Cost $42,874,499) | 43,096,678 |
Money Market Funds 7.7% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(c),(d) | 57,139,458 | 57,133,744 |
Total Money Market Funds (Cost $57,137,374) | 57,133,744 | |
Total Investments in Securities (Cost: $718,364,799) | 734,755,536 | |
Other Assets & Liabilities, Net | 4,718,211 | |
Net Assets | 739,473,747 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 2-Year Note | 399 | 03/2020 | USD | 85,984,500 | — | (32,731) |
U.S. Treasury 5-Year Note | 395 | 03/2020 | USD | 46,850,703 | — | (116,211) |
Total | — | (148,942) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 10-Year Note | (922) | 03/2020 | USD | (118,404,969) | 999,253 | — |
U.S. Ultra Bond 10-Year Note | (21) | 03/2020 | USD | (2,954,766) | 37,692 | — |
Total | 1,036,945 | — |
(a) | 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 December 31, 2019. |
(b) | 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. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At December 31, 2019, the total value of these securities amounted to $142,400,642, which represents 19.26% of total net assets. |
(c) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
10 | Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2019 |
December 31, 2019
(d) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | ||||||||
20,078,177 | 543,706,532 | (506,645,251) | 57,139,458 | 2,075 | (3,630) | 1,056,279 | 57,133,744 |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Corporate Bonds & Notes | — | 634,525,114 | — | 634,525,114 |
U.S. Treasury Obligations | 43,096,678 | — | — | 43,096,678 |
Money Market Funds | 57,133,744 | — | — | 57,133,744 |
Total Investments in Securities | 100,230,422 | 634,525,114 | — | 734,755,536 |
Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2019 | 11 |
December 31, 2019
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 1,036,945 | — | — | 1,036,945 |
Liability | ||||
Futures Contracts | (148,942) | — | — | (148,942) |
Total | 101,118,425 | 634,525,114 | — | 735,643,539 |
12 | Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2019 |
December 31, 2019
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $661,227,425) | $677,621,792 |
Affiliated issuers (cost $57,137,374) | 57,133,744 |
Cash | 2 |
Margin deposits on: | |
Futures contracts | 897,899 |
Receivable for: | |
Capital shares sold | 1,755 |
Dividends | 88,251 |
Interest | 4,364,212 |
Foreign tax reclaims | 11,452 |
Variation margin for futures contracts | 124,140 |
Expense reimbursement due from Investment Manager | 119 |
Prepaid expenses | 3,174 |
Total assets | 740,246,540 |
Liabilities | |
Payable for: | |
Capital shares purchased | 614,079 |
Variation margin for futures contracts | 8,302 |
Management services fees | 9,701 |
Distribution and/or service fees | 377 |
Service fees | 2,906 |
Compensation of board members | 110,961 |
Compensation of chief compliance officer | 171 |
Other expenses | 26,296 |
Total liabilities | 772,793 |
Net assets applicable to outstanding capital stock | $739,473,747 |
Represented by | |
Paid in capital | 735,129,993 |
Total distributable earnings (loss) | 4,343,754 |
Total - representing net assets applicable to outstanding capital stock | $739,473,747 |
Class 1 | |
Net assets | $684,485,646 |
Shares outstanding | 70,100,261 |
Net asset value per share | $9.76 |
Class 2 | |
Net assets | $54,988,101 |
Shares outstanding | 5,656,097 |
Net asset value per share | $9.72 |
Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2019 | 13 |
Year Ended December 31, 2019
Net investment income | |
Income: | |
Dividends — affiliated issuers | $1,056,279 |
Interest | 22,463,069 |
Total income | 23,519,348 |
Expenses: | |
Management services fees | 3,661,210 |
Distribution and/or service fees | |
Class 2 | 126,778 |
Service fees | 31,202 |
Compensation of board members | 31,613 |
Custodian fees | 8,424 |
Printing and postage fees | 24,240 |
Audit fees | 29,000 |
Legal fees | 14,553 |
Compensation of chief compliance officer | 165 |
Other | 15,996 |
Total expenses | 3,943,181 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (46,807) |
Total net expenses | 3,896,374 |
Net investment income | 19,622,974 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 16,400,582 |
Investments — affiliated issuers | 2,075 |
Futures contracts | (9,876,158) |
Net realized gain | 6,526,499 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 27,752,851 |
Investments — affiliated issuers | (3,630) |
Futures contracts | 3,232,592 |
Net change in unrealized appreciation (depreciation) | 30,981,813 |
Net realized and unrealized gain | 37,508,312 |
Net increase in net assets resulting from operations | $57,131,286 |
14 | Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2019 |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $19,622,974 | $17,940,034 |
Net realized gain (loss) | 6,526,499 | (4,687,670) |
Net change in unrealized appreciation (depreciation) | 30,981,813 | (12,020,916) |
Net increase in net assets resulting from operations | 57,131,286 | 1,231,448 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (16,853,216) | (14,287,757) |
Class 2 | (1,063,576) | (682,713) |
Total distributions to shareholders | (17,916,792) | (14,970,470) |
Decrease in net assets from capital stock activity | (53,414,995) | (46,119,377) |
Total decrease in net assets | (14,200,501) | (59,858,399) |
Net assets at beginning of year | 753,674,248 | 813,532,647 |
Net assets at end of year | $739,473,747 | $753,674,248 |
Year Ended | Year Ended | |||
December 31, 2019 | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 3,049,590 | 29,209,694 | 3,552,016 | 33,122,159 |
Distributions reinvested | 1,766,584 | 16,853,216 | 1,553,017 | 14,287,757 |
Redemptions | (10,981,163) | (105,667,765) | (10,758,708) | (100,129,506) |
Net decrease | (6,164,989) | (59,604,855) | (5,653,675) | (52,719,590) |
Class 2 | ||||
Subscriptions | 1,320,625 | 12,599,438 | 1,457,254 | 13,496,443 |
Distributions reinvested | 111,838 | 1,063,576 | 74,451 | 682,713 |
Redemptions | (783,719) | (7,473,154) | (816,250) | (7,578,943) |
Net increase | 648,744 | 6,189,860 | 715,455 | 6,600,213 |
Total net decrease | (5,516,245) | (53,414,995) | (4,938,220) | (46,119,377) |
Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2019 | 15 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Total distributions to shareholders | |
Class 1 | ||||||
Year Ended 12/31/2019 | $9.28 | 0.25 | 0.46 | 0.71 | (0.23) | (0.23) |
Year Ended 12/31/2018 | $9.44 | 0.21 | (0.19) | 0.02 | (0.18) | (0.18) |
Year Ended 12/31/2017 | $9.47 | 0.17 | 0.02 | 0.19 | (0.22) | (0.22) |
Year Ended 12/31/2016 | $9.34 | 0.20 | 0.31 | 0.51 | (0.38) | (0.38) |
Year Ended 12/31/2015 | $10.12 | 0.25 | (0.47) | (0.22) | (0.56) | (0.56) |
Class 2 | ||||||
Year Ended 12/31/2019 | $9.24 | 0.22 | 0.47 | 0.69 | (0.21) | (0.21) |
Year Ended 12/31/2018 | $9.40 | 0.19 | (0.19) | 0.00(c) | (0.16) | (0.16) |
Year Ended 12/31/2017 | $9.43 | 0.15 | 0.02 | 0.17 | (0.20) | (0.20) |
Year Ended 12/31/2016 | $9.30 | 0.17 | 0.32 | 0.49 | (0.36) | (0.36) |
Year Ended 12/31/2015 | $10.07 | 0.22 | (0.45) | (0.23) | (0.54) | (0.54) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Rounds to zero. |
16 | Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2019 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019 | $9.76 | 7.69% | 0.50% | 0.49% | 2.58% | 110% | $684,486 |
Year Ended 12/31/2018 | $9.28 | 0.24% | 0.50% | 0.50% | 2.30% | 62% | $707,421 |
Year Ended 12/31/2017 | $9.44 | 2.05% | 0.53% | 0.53% | 1.79% | 104% | $773,190 |
Year Ended 12/31/2016 | $9.47 | 5.53% | 0.55% | 0.55% | 2.14% | 102% | $845,695 |
Year Ended 12/31/2015 | $9.34 | (2.31%) | 0.54% | 0.54% | 2.46% | 78% | $887,028 |
Class 2 | |||||||
Year Ended 12/31/2019 | $9.72 | 7.47% | 0.75% | 0.74% | 2.32% | 110% | $54,988 |
Year Ended 12/31/2018 | $9.24 | (0.02%) | 0.75% | 0.75% | 2.06% | 62% | $46,253 |
Year Ended 12/31/2017 | $9.40 | 1.80% | 0.78% | 0.78% | 1.55% | 104% | $40,342 |
Year Ended 12/31/2016 | $9.43 | 5.28% | 0.81% | 0.80% | 1.85% | 102% | $35,554 |
Year Ended 12/31/2015 | $9.30 | (2.49%) | 0.80% | 0.79% | 2.29% | 78% | $22,577 |
Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2019 | 17 |
December 31, 2019
18 | Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2019 | 19 |
December 31, 2019
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 1,036,945* |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 148,942* |
20 | Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2019 |
December 31, 2019
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Interest rate risk | (9,876,158) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Interest rate risk | 3,232,592 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 273,990,594 |
Futures contracts — short | 203,661,973 |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2019. |
Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2019 | 21 |
December 31, 2019
22 | Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2019 |
December 31, 2019
May 1, 2019 through April 30, 2020 | Prior to May 1, 2019 | |
Class 1 | 0.49% | 0.50% |
Class 2 | 0.74 | 0.75 |
Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2019 | 23 |
December 31, 2019
Undistributed net investment income ($) | Accumulated net realized (loss) ($) | Paid in capital ($) |
86,838 | (86,838) | — |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
17,916,792 | — | 17,916,792 | 14,970,470 | — | 14,970,470 |
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized appreciation ($) |
19,483,408 | — | (31,122,110) | 16,092,733 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
719,550,806 | 16,190,055 | (97,322) | 16,092,733 |
No expiration short-term ($) | No expiration long-term ($) | Total ($) | Utilized ($) | Expired ($) |
(13,931,042) | (17,191,068) | (31,122,110) | 9,614,855 | — |
24 | Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2019 | 25 |
December 31, 2019
26 | Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2019 | 27 |
28 | Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2019 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1953 | Trustee since 1/17 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 121 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 1/06 for RiverSource Funds and since 6/11 for Nations Funds | Attorney; specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018 | 121 | Trustee, BlueCross BlueShield of Minnesota since 2009 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee since 2017); Chair of the Robina Foundation since August 2013; former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017 |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 7/07 for RiverSource Funds and since 6/11 for Nations Funds | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, Morgan Stanley, 1982-1991 | 121 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of Human Resources Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee) since 2019 |
Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2019 | 29 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1950 | Trustee since 11/04 for RiverSource Funds and since 6/11 for Nations Funds | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 121 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative since 2010; Board of Directors, The MA Business Roundtable 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 12/17 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 121 | Trustee, Catholic Schools Foundation since 2004 |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Chair of the Board since 1/20; Trustee since 11/04 for RiverSource Funds and since 6/11 for Nations Funds | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Managing Director, Morgan Stanley, 1982-1989; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 121 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Anthony M. Santomero c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1946 | Trustee since 6/11 for RiverSource Funds and since 1/08 for Nations Funds | Richard K. Mellon Professor Emeritus of Finance, The Wharton School, University of Pennsylvania, since 2002; Senior Advisor, McKinsey & Company (consulting), 2006-2008; President, Federal Reserve Bank of Philadelphia, 2000- 2006; Professor of Finance, The Wharton School, University of Pennsylvania, 1972-2002 | 121 | Trustee, Penn Mutual Life Insurance Company since March 2008; Director, Renaissance Reinsurance Ltd. since May 2008; former Director, Citigroup Inc. and Citibank, N.A., 2009-2019; former Trustee, BofA Funds Series Trust (11 funds), 2008-2011 |
Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1947 | Trustee since 6/11 for RiverSource Funds and since 2003 for Nations Funds | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 121 | Director, BlueCross BlueShield of South Carolina since April 2008; Trustee, Hollingsworth Funds since 2016 (previously Board Chair from 2016-2019); Advisory Board member, Duke Energy Corp. since October 2016; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018 |
30 | Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2019 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Sandra Yeager c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 12/17 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 119 | Director, NAPE Education Foundation since October 2016 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin St. Boston, MA 02110 1960 | Trustee since 11/01 for RiverSource Funds and since 6/11 for Nations Funds; Senior Vice President since 2002 for RiverSource Funds and since 5/10 for Nations Funds | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010 - September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006 - August 2012. | 192 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, August 2006-January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2019 | 31 |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously Vice President and Chief Counsel, January 2010 - December 2014); officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer, Principal Financial Officer (2009), and Senior Vice President (2019) | Vice President, Head of North American Operations, and Co-Head of Global Operations, – Accounting and Tax, Columbia Management Investment Advisers, LLC, since June 2019 (previously Vice President – Accounting and Tax, May 2010 – May 2019); senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009 – January 2019 and December 2015 – January 2019, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer, Chief Accounting Officer (Principal Accounting Officer) (2019), and Principal Financial Officer (2020) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously Vice President — Pricing and Corporate Actions, May 2010 - March 2017). |
Paul B. Goucher 485 Lexington Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since March 2015 (previously Vice President and Assistant Secretary, May 2010 – March 2015). |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 Born 1962 | Senior Vice President (2020) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); previously, Senior Vice President of Investment Product Management, Fidelity Financial Advisor Solutions, a division of Fidelity Investments (January 2012 – March 2015). |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
32 | Columbia Variable Portfolio – Limited Duration Credit Fund | Annual Report 2019 |
December 31, 2019
3 | |
6 | |
8 | |
9 | |
16 | |
17 | |
18 | |
20 | |
22 | |
34 | |
35 | |
35 |
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class 1 | 04/30/12 | 12.35 | 5.18 | 4.01 | |
Class 2 | 04/30/12 | 12.09 | 4.91 | 3.75 | |
JPMorgan Emerging Markets Bond Index-Global | 14.42 | 5.88 | 5.03 |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2019 | 3 |
Quality breakdown (%) (at December 31, 2019) | |
AA rating | 9.1 |
A rating | 13.7 |
BBB rating | 28.7 |
BB rating | 19.1 |
B rating | 23.6 |
CCC rating | 2.7 |
CC rating | 1.4 |
D rating | 0.2 |
Not rated | 1.5 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2019 |
Country breakdown (%) (at December 31, 2019) | |
Angola | 1.5 |
Argentina | 1.6 |
Bahrain | 0.2 |
Belarus | 0.5 |
Brazil | 5.6 |
Chile | 1.6 |
China | 4.4 |
Colombia | 0.7 |
Croatia | 0.8 |
Dominican Republic | 4.9 |
Egypt | 3.7 |
El Salvador | 1.7 |
Ghana | 0.2 |
Guatemala | 0.2 |
Honduras | 0.5 |
Hungary | 0.1 |
India | 0.3 |
Indonesia | 8.5 |
Ivory Coast | 1.7 |
Kazakhstan | 1.9 |
Malaysia | 0.2 |
Mexico | 10.1 |
Mongolia | 0.9 |
Morocco | 0.9 |
Netherlands | 2.0 |
Country breakdown (%) (at December 31, 2019) | |
Nigeria | 0.6 |
Oman | 1.6 |
Pakistan | 0.2 |
Paraguay | 1.1 |
Qatar | 6.1 |
Romania | 1.0 |
Russian Federation | 3.6 |
Saudi Arabia | 5.1 |
Senegal | 0.2 |
Singapore | 0.5 |
South Africa | 2.9 |
Sri Lanka | 1.2 |
Togo | 0.5 |
Turkey | 3.2 |
Ukraine | 1.8 |
United Arab Emirates | 1.1 |
United Kingdom | 1.3 |
United States(a) | 9.3 |
Venezuela | 0.5 |
Virgin Islands | 3.5 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds. |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2019 | 5 |
6 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2019 |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2019 | 7 |
(Unaudited)
July 1, 2019 — December 31, 2019 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,011.90 | 1,021.56 | 3.95 | 3.97 | 0.77 |
Class 2 | 1,000.00 | 1,000.00 | 1,010.50 | 1,020.28 | 5.23 | 5.25 | 1.02 |
8 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2019 |
December 31, 2019
Corporate Bonds & Notes(a) 7.3% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
China 1.0% | ||||
Alibaba Group Holding, Ltd. | ||||
11/28/2034 | 4.500% | 500,000 | 567,860 | |
Lenovo Perpetual Securities Ltd.(b),(c) | ||||
12/31/2049 | 5.375% | 2,403,000 | 2,409,280 | |
Studio City Co., Ltd.(b) | ||||
11/30/2021 | 7.250% | 313,000 | 319,722 | |
Total | 3,296,862 | |||
Colombia 0.6% | ||||
Banco de Bogota SA(b) | ||||
Subordinated | ||||
05/12/2026 | 6.250% | 535,000 | 599,920 | |
Gran Tierra Energy International Holdings Ltd.(b) | ||||
02/15/2025 | 6.250% | 390,000 | 349,142 | |
Millicom International Cellular SA(b) | ||||
03/25/2029 | 6.250% | 900,000 | 992,941 | |
Total | 1,942,003 | |||
Ghana 0.2% | ||||
Tullow Oil PLC(b) | ||||
03/01/2025 | 7.000% | 900,000 | 758,963 | |
Guatemala 0.2% | ||||
Energuate Trust(b) | ||||
05/03/2027 | 5.875% | 650,000 | 671,601 | |
India 0.3% | ||||
Adani Transmission Ltd.(b) | ||||
05/21/2036 | 4.250% | 855,000 | 866,056 | |
Indonesia 0.7% | ||||
Geo Coal International Pte Ltd.(b) | ||||
10/04/2022 | 8.000% | 1,874,000 | 1,153,624 | |
PT Adaro Indonesia(b) | ||||
10/31/2024 | 4.250% | 1,250,000 | 1,234,370 | |
Total | 2,387,994 | |||
Malaysia 0.2% | ||||
Press Metal Labuan Ltd.(b) | ||||
10/30/2022 | 4.800% | 733,000 | 722,349 | |
Mexico 0.6% | ||||
America Movil SAB de CV | ||||
12/05/2022 | 6.450% | MXN | 10,860,000 | 557,161 |
Corporate Bonds & Notes(a) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Cemex SAB de CV(b) | ||||
05/05/2025 | 6.125% | 1,200,000 | 1,246,906 | |
Total | 1,804,067 | |||
Netherlands 0.9% | ||||
Braskem Netherlands Finance BV(b) | ||||
01/31/2050 | 5.875% | 790,000 | 787,214 | |
Metinvest BV(b) | ||||
04/23/2026 | 8.500% | 1,400,000 | 1,501,994 | |
Mong Duong Finance Holdings BV(b) | ||||
05/07/2029 | 5.125% | 430,000 | 440,910 | |
Total | 2,730,118 | |||
Singapore 0.5% | ||||
Golden Legacy Pte Ltd.(b) | ||||
03/27/2024 | 6.875% | 200,000 | 205,912 | |
Indika Energy Capital III Pte Ltd.(b) | ||||
11/09/2024 | 5.875% | 1,500,000 | 1,450,953 | |
Total | 1,656,865 | |||
South Africa 0.8% | ||||
Liquid Telecommunications Financing PLC(b) | ||||
07/13/2022 | 8.500% | 2,600,000 | 2,643,191 | |
Togo 0.5% | ||||
Banque Ouest Africaine de Developpement(b) | ||||
07/27/2027 | 5.000% | 1,500,000 | 1,587,914 | |
United Kingdom 0.1% | ||||
Tullow Oil PLC(b) | ||||
03/01/2025 | 7.000% | 300,000 | 252,988 | |
Virgin Islands 0.7% | ||||
Gold Fields Orogen Holdings BVI Ltd.(b) | ||||
05/15/2029 | 6.125% | 1,350,000 | 1,495,182 | |
Studio City Finance Ltd.(b) | ||||
02/11/2024 | 7.250% | 600,000 | 636,828 | |
Total | 2,132,010 | |||
Total Corporate Bonds & Notes (Cost $23,786,326) | 23,452,981 | |||
Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2019 | 9 |
December 31, 2019
Foreign Government Obligations(a),(d) 80.2% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Angola 1.4% | ||||
Angolan Government International Bond(b) | ||||
05/09/2028 | 8.250% | 1,200,000 | 1,295,291 | |
11/26/2029 | 8.000% | 846,000 | 901,931 | |
05/08/2048 | 9.375% | 2,100,000 | 2,302,767 | |
Total | 4,499,989 | |||
Argentina 1.3% | ||||
Argentine Republic Government International Bond | ||||
01/11/2028 | 5.875% | 5,090,000 | 2,398,207 | |
07/06/2036 | 7.125% | 1,050,000 | 504,714 | |
01/11/2048 | 6.875% | 2,400,000 | 1,147,070 | |
Total | 4,049,991 | |||
Bahrain 0.2% | ||||
Bahrain Government International Bond(b) | ||||
10/12/2028 | 7.000% | 482,000 | 569,944 | |
Belarus 0.5% | ||||
Republic of Belarus International Bond(b) | ||||
02/28/2023 | 6.875% | 700,000 | 747,569 | |
02/28/2030 | 6.200% | 750,000 | 797,369 | |
Total | 1,544,938 | |||
Brazil 5.4% | ||||
Brazil Minas SPE via State of Minas Gerais(b) | ||||
02/15/2028 | 5.333% | 270,000 | 289,594 | |
Brazil Notas do Tesouro Nacional, Series F | ||||
01/01/2029 | 10.000% | BRL | 18,000,000 | 5,403,837 |
Brazilian Government International Bond | ||||
05/30/2029 | 4.500% | 1,000,000 | 1,061,084 | |
01/07/2041 | 5.625% | 1,800,000 | 2,017,020 | |
01/27/2045 | 5.000% | 8,280,000 | 8,617,314 | |
Total | 17,388,849 | |||
Chile 1.5% | ||||
Corporación Nacional del Cobre de Chile(b) | ||||
09/30/2029 | 3.000% | 1,715,000 | 1,693,218 | |
01/30/2050 | 3.700% | 3,250,000 | 3,119,055 | |
Total | 4,812,273 | |||
China 3.2% | ||||
Sinopec Group Overseas Development 2013 Ltd.(b) | ||||
10/17/2023 | 4.375% | 1,300,000 | 1,391,855 | |
Sinopec Group Overseas Development 2018 Ltd.(b) | ||||
09/12/2025 | 4.125% | 1,500,000 | 1,619,289 | |
State Grid Overseas Investment 2016 Ltd.(b) | ||||
05/04/2027 | 3.500% | 1,300,000 | 1,363,570 |
Foreign Government Obligations(a),(d) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Syngenta Finance NV(b) | ||||
04/24/2028 | 5.182% | 5,450,000 | 5,872,292 | |
Total | 10,247,006 | |||
Colombia 0.1% | ||||
Ecopetrol SA | ||||
01/16/2025 | 4.125% | 326,000 | 343,404 | |
Croatia 0.8% | ||||
Croatia Government International Bond(b) | ||||
01/26/2024 | 6.000% | 861,000 | 986,773 | |
Hrvatska Elektroprivreda(b) | ||||
10/23/2022 | 5.875% | 710,000 | 777,650 | |
10/23/2022 | 5.875% | 600,000 | 657,169 | |
Total | 2,421,592 | |||
Dominican Republic 4.7% | ||||
Dominican Republic Bond(b) | ||||
02/05/2027 | 11.250% | DOP | 112,000,000 | 2,237,047 |
Dominican Republic International Bond(b) | ||||
01/08/2021 | 14.000% | DOP | 16,308,000 | 319,928 |
03/04/2022 | 10.375% | DOP | 93,200,000 | 1,778,993 |
02/15/2023 | 8.900% | DOP | 18,000,000 | 337,506 |
01/27/2025 | 5.500% | 1,150,000 | 1,238,466 | |
01/29/2026 | 6.875% | 500,000 | 571,407 | |
06/05/2026 | 9.750% | DOP | 132,550,000 | 2,533,729 |
01/25/2027 | 5.950% | 4,035,000 | 4,456,470 | |
04/30/2044 | 7.450% | 1,086,000 | 1,311,142 | |
01/27/2045 | 6.850% | 271,000 | 309,681 | |
Total | 15,094,369 | |||
Egypt 3.6% | ||||
Egypt Government Bond | ||||
07/02/2024 | 15.900% | EGP | 44,000,000 | 2,939,109 |
Egypt Government International Bond(b) | ||||
06/11/2025 | 5.875% | 400,000 | 425,718 | |
04/16/2026 | 4.750% | EUR | 1,000,000 | 1,179,187 |
01/31/2027 | 7.500% | 1,000,000 | 1,114,750 | |
03/01/2029 | 7.600% | 2,400,000 | 2,627,351 | |
01/15/2032 | 7.053% | 1,115,000 | 1,168,101 | |
04/30/2040 | 6.875% | 300,000 | 302,814 | |
02/21/2048 | 7.903% | 1,300,000 | 1,365,592 | |
02/21/2048 | 7.903% | 300,000 | 315,137 | |
Total | 11,437,759 | |||
El Salvador 1.6% | ||||
El Salvador Government International Bond(b) | ||||
01/30/2025 | 5.875% | 1,100,000 | 1,160,983 | |
01/18/2027 | 6.375% | 1,450,000 | 1,548,141 | |
04/10/2032 | 8.250% | 1,350,000 | 1,610,455 | |
01/20/2050 | 7.125% | 830,000 | 886,735 | |
Total | 5,206,314 |
10 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2019 |
December 31, 2019
Foreign Government Obligations(a),(d) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Honduras 0.5% | ||||
Honduras Government International Bond(b) | ||||
01/19/2027 | 6.250% | 1,443,000 | 1,576,606 | |
Hungary 0.1% | ||||
Hungary Government International Bond | ||||
11/22/2023 | 5.750% | 284,000 | 320,348 | |
Indonesia 7.5% | ||||
Indonesia Government International Bond(b) | ||||
01/08/2027 | 4.350% | 2,650,000 | 2,896,670 | |
01/15/2045 | 5.125% | 5,950,000 | 7,115,311 | |
Indonesia Government International Bond | ||||
04/24/2028 | 4.100% | 2,850,000 | 3,094,023 | |
10/30/2049 | 3.700% | 975,000 | 1,005,435 | |
PT Indonesia Asahan Aluminium Persero Tbk(b) | ||||
11/15/2028 | 6.530% | 1,000,000 | 1,228,388 | |
PT Pertamina Persero(b) | ||||
05/30/2044 | 6.450% | 1,000,000 | 1,288,777 | |
PT Perusahaan Listrik Negara(b) | ||||
07/17/2029 | 3.875% | 1,400,000 | 1,462,560 | |
02/05/2030 | 3.375% | 2,315,000 | 2,317,832 | |
02/05/2050 | 4.375% | 750,000 | 760,910 | |
Saka Energi Indonesia PT(b) | ||||
05/05/2024 | 4.450% | 2,800,000 | 2,835,327 | |
Total | 24,005,233 | |||
Ivory Coast 1.6% | ||||
Ivory Coast Government International Bond(b) | ||||
07/23/2024 | 5.375% | 300,000 | 315,388 | |
03/03/2028 | 6.375% | 499,000 | 527,209 | |
10/17/2031 | 5.875% | EUR | 3,745,000 | 4,371,008 |
Total | 5,213,605 | |||
Kazakhstan 1.9% | ||||
Kazakhstan Government International Bond(b) | ||||
07/21/2045 | 6.500% | 300,000 | 442,847 | |
KazMunayGas National Co. JSC(b) | ||||
04/19/2027 | 4.750% | 2,700,000 | 2,966,730 | |
04/24/2030 | 5.375% | 2,200,000 | 2,551,210 | |
Total | 5,960,787 | |||
Mexico 9.2% | ||||
Mexican Bonos | ||||
06/09/2022 | 6.500% | MXN | 55,615,900 | 2,927,009 |
05/31/2029 | 8.500% | MXN | 15,000,000 | 883,896 |
Petroleos Mexicanos(b) | ||||
09/12/2024 | 7.190% | MXN | 600,000 | 28,507 |
01/23/2030 | 6.840% | 7,200,000 | 7,702,875 | |
01/23/2050 | 7.690% | 5,601,000 | 6,124,186 |
Foreign Government Obligations(a),(d) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Petroleos Mexicanos | ||||
08/04/2026 | 6.875% | 2,100,000 | 2,310,636 | |
11/12/2026 | 7.470% | MXN | 4,700,000 | 217,662 |
03/13/2027 | 6.500% | 2,800,000 | 2,966,056 | |
02/12/2028 | 5.350% | 1,085,000 | 1,079,505 | |
01/23/2029 | 6.500% | 2,050,000 | 2,156,600 | |
01/23/2045 | 6.375% | 1,600,000 | 1,550,063 | |
09/21/2047 | 6.750% | 1,500,000 | 1,511,482 | |
Total | 29,458,477 | |||
Mongolia 0.8% | ||||
Mongolia Government International Bond(b) | ||||
05/01/2023 | 5.625% | 2,650,000 | 2,737,118 | |
Morocco 0.9% | ||||
OCP SA(b) | ||||
04/25/2044 | 6.875% | 2,200,000 | 2,804,703 | |
Netherlands 1.1% | ||||
MDGH - GMTN BV(b) | ||||
11/07/2029 | 2.875% | 2,200,000 | 2,219,984 | |
11/07/2049 | 3.700% | 890,000 | 926,084 | |
Syngenta Finance NV(b) | ||||
04/24/2028 | 5.182% | 250,000 | 269,371 | |
Total | 3,415,439 | |||
Nigeria 0.6% | ||||
Nigeria Government International Bond(b) | ||||
01/21/2031 | 8.747% | 1,650,000 | 1,823,241 | |
Oman 1.5% | ||||
Oman Government International Bond(b) | ||||
03/08/2047 | 6.500% | 2,350,000 | 2,327,232 | |
01/17/2048 | 6.750% | 2,550,000 | 2,562,678 | |
Total | 4,889,910 | |||
Pakistan 0.2% | ||||
Pakistan Government International Bond(b) | ||||
03/31/2036 | 7.875% | 700,000 | 723,800 | |
Paraguay 1.1% | ||||
Paraguay Government International Bond(b) | ||||
04/15/2026 | 5.000% | 1,190,000 | 1,315,862 | |
08/11/2044 | 6.100% | 1,707,000 | 2,090,882 | |
Total | 3,406,744 | |||
Qatar 5.9% | ||||
Qatar Government International Bond(b) | ||||
04/23/2028 | 4.500% | 200,000 | 229,200 | |
03/14/2029 | 4.000% | 7,200,000 | 8,035,050 | |
04/23/2048 | 5.103% | 2,000,000 | 2,570,923 | |
03/14/2049 | 4.817% | 4,840,000 | 5,997,526 |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2019 | 11 |
December 31, 2019
Foreign Government Obligations(a),(d) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
03/14/2049 | 4.817% | 1,750,000 | 2,168,527 | |
Total | 19,001,226 | |||
Romania 0.9% | ||||
Romanian Government International Bond(b) | ||||
04/03/2049 | 4.625% | EUR | 2,200,000 | 3,047,499 |
Russian Federation 3.4% | ||||
Gazprom Neft OAO Via GPN Capital SA(b) | ||||
09/19/2022 | 4.375% | 416,000 | 433,353 | |
Gazprom OAO Via Gaz Capital SA(b) | ||||
08/16/2037 | 7.288% | 946,000 | 1,325,131 | |
Russian Foreign Bond - Eurobond(b) | ||||
03/21/2029 | 4.375% | 4,600,000 | 5,122,227 | |
03/28/2035 | 5.100% | 2,600,000 | 3,116,736 | |
04/04/2042 | 5.625% | 800,000 | 1,047,663 | |
Total | 11,045,110 | |||
Saudi Arabia 5.0% | ||||
Saudi Arabian Oil Co.(b) | ||||
04/16/2029 | 3.500% | 6,050,000 | 6,284,326 | |
04/16/2039 | 4.250% | 4,350,000 | 4,671,011 | |
Saudi Government International Bond(b) | ||||
10/04/2047 | 4.625% | 3,405,000 | 3,837,243 | |
04/17/2049 | 5.000% | 945,000 | 1,130,641 | |
Total | 15,923,221 | |||
Senegal 0.2% | ||||
Senegal Government International Bond(b) | ||||
05/23/2033 | 6.250% | 720,000 | 757,237 | |
South Africa 2.0% | ||||
Eskom Holdings SOC Ltd.(b) | ||||
01/26/2021 | 5.750% | 6,460,000 | 6,475,204 | |
Sri Lanka 1.2% | ||||
Sri Lanka Government International Bond(b) | ||||
06/28/2024 | 6.350% | 1,550,000 | 1,544,476 | |
05/11/2027 | 6.200% | 575,000 | 539,454 | |
04/18/2028 | 6.750% | 1,462,000 | 1,397,926 | |
03/28/2030 | 7.550% | 300,000 | 296,369 | |
Total | 3,778,225 | |||
Turkey 3.1% | ||||
Turkey Government International Bond | ||||
11/14/2024 | 5.600% | 1,100,000 | 1,119,471 | |
03/25/2027 | 6.000% | 1,400,000 | 1,419,005 | |
02/17/2028 | 5.125% | 3,300,000 | 3,158,771 | |
04/26/2029 | 7.625% | 2,000,000 | 2,212,778 | |
02/17/2045 | 6.625% | 2,210,000 | 2,173,279 | |
Total | 10,083,304 |
Foreign Government Obligations(a),(d) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Ukraine 1.7% | ||||
Ukraine Government International Bond(b) | ||||
09/01/2023 | 7.750% | 1,300,000 | 1,412,890 | |
09/01/2026 | 7.750% | 1,575,000 | 1,721,898 | |
09/25/2032 | 7.375% | 1,600,000 | 1,707,183 | |
09/25/2032 | 7.375% | 300,000 | 320,097 | |
Ukraine Railways Via Shortline PLC(b) | ||||
09/15/2021 | 9.875% | 400,000 | 417,712 | |
Total | 5,579,780 | |||
United Arab Emirates 1.1% | ||||
Abu Dhabi Government International Bond(b) | ||||
10/11/2027 | 3.125% | 3,300,000 | 3,458,112 | |
United Kingdom 1.2% | ||||
NAK Naftogaz Ukraine via Kondor Finance PLC(b) | ||||
11/08/2026 | 7.625% | 3,795,000 | 3,868,881 | |
Venezuela 0.5% | ||||
Petroleos de Venezuela SA(b),(e) | ||||
05/16/2024 | 0.000% | 12,559,928 | 973,395 | |
Venezuela Government International Bond(b),(e) | ||||
10/13/2024 | 0.000% | 4,300,000 | 494,500 | |
Total | 1,467,895 | |||
Virgin Islands 2.7% | ||||
CNOOC Finance Ltd. | ||||
09/30/2029 | 2.875% | 2,190,000 | 2,189,398 | |
Sinopec Group Overseas Development Ltd.(b) | ||||
09/13/2027 | 3.250% | 5,050,000 | 5,184,068 | |
11/12/2029 | 2.950% | 1,285,000 | 1,289,636 | |
Total | 8,663,102 | |||
Total Foreign Government Obligations (Cost $254,596,849) | 257,101,235 | |||
Treasury Bills 0.3% | ||||
Issuer | Effective Yield | Principal Amount ($) | Value ($) | |
Argentina 0.3% | ||||
Argentina Treasury Bill(e),(f) | ||||
03/25/2020 | 0.000% | 3,034,500 | 971,040 | |
Total Treasury Bills (Cost $2,999,424) | 971,040 |
12 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2019 |
December 31, 2019
Money Market Funds 9.0% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(g),(h) | 29,025,424 | 29,022,522 |
Total Money Market Funds (Cost $29,023,740) | 29,022,522 | |
Total Investments in Securities (Cost $310,406,339) | 310,547,778 | |
Other Assets & Liabilities, Net | 10,207,618 | |
Net Assets | $320,755,396 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
89,000,000 MXN | 4,574,130 USD | Goldman Sachs | 01/10/2020 | — | (127,793) |
21,500,000 BRL | 5,337,637 USD | Standard Chartered | 01/10/2020 | — | (5,948) |
7,682,000 EUR | 8,540,071 USD | UBS | 01/10/2020 | — | (80,699) |
Total | — | (214,440) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Ultra Treasury Bond | 47 | 03/2020 | USD | 8,537,844 | — | (257,482) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Ultra Bond 10-Year Note | (52) | 03/2020 | USD | (7,316,563) | 87,634 | — |
(a) | Principal amounts are denominated in United States Dollars unless otherwise noted. |
(b) | 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. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At December 31, 2019, the total value of these securities amounted to $222,702,019, which represents 69.43% of total net assets. |
(c) | 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 December 31, 2019. |
(d) | Principal and interest may not be guaranteed by a governmental entity. |
(e) | Represents securities that have defaulted on payment of interest. The Fund has stopped accruing interest on these securities. At December 31, 2019, the total value of these securities amounted to $2,438,935, which represents 0.76% of total net assets. |
(f) | On August 29, 2019, the government of Argentina announced a delay in the repayment of short-term government debt at maturity and introduced an extended repayment schedule. The first of three scheduled payments, which represented 15% of the original par was received on September 27, 2019. On December 23, 2019 the government of Argentina announced a maturity extension with all remaining payments to be postponed to the final maturity of August 31, 2020. |
(g) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2019 | 13 |
December 31, 2019
(h) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | ||||||||
16,131,729 | 207,243,163 | (194,349,468) | 29,025,424 | 1,510 | (1,218) | 447,891 | 29,022,522 |
BRL | Brazilian Real |
DOP | Dominican Republic Peso |
EGP | Egyptian Pound |
EUR | Euro |
MXN | Mexican Peso |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
14 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2019 |
December 31, 2019
The following table is a summary of the inputs used to value the Fund’s investments at December 31, 2019:
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Corporate Bonds & Notes | — | 23,452,981 | — | 23,452,981 |
Foreign Government Obligations | — | 257,101,235 | — | 257,101,235 |
Treasury Bills | — | 971,040 | — | 971,040 |
Money Market Funds | 29,022,522 | — | — | 29,022,522 |
Total Investments in Securities | 29,022,522 | 281,525,256 | — | 310,547,778 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 87,634 | — | — | 87,634 |
Liability | ||||
Forward Foreign Currency Exchange Contracts | — | (214,440) | — | (214,440) |
Futures Contracts | (257,482) | — | — | (257,482) |
Total | 28,852,674 | 281,310,816 | — | 310,163,490 |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2019 | 15 |
December 31, 2019
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $281,382,599) | $281,525,256 |
Affiliated issuers (cost $29,023,740) | 29,022,522 |
Foreign currency (cost $5,284,740) | 5,295,839 |
Margin deposits on: | |
Futures contracts | 143,756 |
Receivable for: | |
Capital shares sold | 409,052 |
Dividends | 34,619 |
Interest | 4,670,805 |
Foreign tax reclaims | 39,730 |
Variation margin for futures contracts | 8,938 |
Prepaid expenses | 2,163 |
Total assets | 321,152,680 |
Liabilities | |
Unrealized depreciation on forward foreign currency exchange contracts | 214,440 |
Payable for: | |
Capital shares purchased | 4,654 |
Variation margin for futures contracts | 54,344 |
Foreign capital gains taxes deferred | 4,716 |
Management services fees | 5,218 |
Distribution and/or service fees | 1,374 |
Service fees | 34,118 |
Compensation of board members | 35,061 |
Compensation of chief compliance officer | 59 |
Custodian fees | 23,895 |
Other expenses | 19,405 |
Total liabilities | 397,284 |
Net assets applicable to outstanding capital stock | $320,755,396 |
Represented by | |
Paid in capital | 334,493,808 |
Total distributable earnings (loss) | (13,738,412) |
Total - representing net assets applicable to outstanding capital stock | $320,755,396 |
Class 1 | |
Net assets | $117,691,595 |
Shares outstanding | 12,234,794 |
Net asset value per share | $9.62 |
Class 2 | |
Net assets | $203,063,801 |
Shares outstanding | 21,125,566 |
Net asset value per share | $9.61 |
16 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2019 |
Year Ended December 31, 2019
Net investment income | |
Income: | |
Dividends — affiliated issuers | $447,891 |
Interest | 16,099,982 |
Interfund lending | 1,090 |
Foreign taxes withheld | (157,238) |
Total income | 16,391,725 |
Expenses: | |
Management services fees | 1,650,275 |
Distribution and/or service fees | |
Class 2 | 404,428 |
Service fees | 307,408 |
Compensation of board members | 17,032 |
Custodian fees | 36,746 |
Printing and postage fees | 14,774 |
Audit fees | 34,486 |
Legal fees | 9,872 |
Compensation of chief compliance officer | 58 |
Other | 29,403 |
Total expenses | 2,504,482 |
Net investment income | 13,887,243 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (6,657,300) |
Investments — affiliated issuers | 1,510 |
Foreign currency translations | 218,090 |
Forward foreign currency exchange contracts | (380,623) |
Futures contracts | 2,346,633 |
Net realized loss | (4,471,690) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 20,839,945 |
Investments — affiliated issuers | (1,218) |
Foreign currency translations | 12,073 |
Forward foreign currency exchange contracts | (210,771) |
Futures contracts | (653,438) |
Foreign capital gains tax | (4,716) |
Net change in unrealized appreciation (depreciation) | 19,981,875 |
Net realized and unrealized gain | 15,510,185 |
Net increase in net assets resulting from operations | $29,397,428 |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2019 | 17 |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $13,887,243 | $11,680,560 |
Net realized loss | (4,471,690) | (3,088,614) |
Net change in unrealized appreciation (depreciation) | 19,981,875 | (24,546,509) |
Net increase (decrease) in net assets resulting from operations | 29,397,428 | (15,954,563) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (5,770,070) | (4,857,614) |
Class 2 | (7,919,119) | (4,692,642) |
Total distributions to shareholders | (13,689,189) | (9,550,256) |
Increase in net assets from capital stock activity | 79,887,212 | 45,752,061 |
Total increase in net assets | 95,595,451 | 20,247,242 |
Net assets at beginning of year | 225,159,945 | 204,912,703 |
Net assets at end of year | $320,755,396 | $225,159,945 |
Year Ended | Year Ended | |||
December 31, 2019 | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 175,700 | 1,682,377 | 180,902 | 1,721,034 |
Distributions reinvested | 604,759 | 5,770,070 | 515,840 | 4,857,614 |
Redemptions | (44,593) | (427,461) | (57,657) | (532,748) |
Net increase | 735,866 | 7,024,986 | 639,085 | 6,045,900 |
Class 2 | ||||
Subscriptions | 7,494,460 | 71,657,793 | 4,502,304 | 42,818,320 |
Distributions reinvested | 829,976 | 7,919,119 | 499,589 | 4,692,642 |
Redemptions | (703,451) | (6,714,686) | (824,075) | (7,804,801) |
Net increase | 7,620,985 | 72,862,226 | 4,177,818 | 39,706,161 |
Total net increase | 8,356,851 | 79,887,212 | 4,816,903 | 45,752,061 |
18 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2019 |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2019 | 19 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Total distributions to shareholders | |
Class 1 | ||||||
Year Ended 12/31/2019 | $9.01 | 0.50 | 0.60 | 1.10 | (0.49) | (0.49) |
Year Ended 12/31/2018 | $10.15 | 0.53 | (1.23) | (0.70) | (0.44) | (0.44) |
Year Ended 12/31/2017 | $9.50 | 0.59 | 0.52 | 1.11 | (0.46) | (0.46) |
Year Ended 12/31/2016 | $8.77 | 0.55 | 0.43 | 0.98 | (0.25) | (0.25) |
Year Ended 12/31/2015 | $9.01 | 0.52 | (0.61) | (0.09) | (0.15) | (0.15) |
Class 2 | ||||||
Year Ended 12/31/2019 | $9.00 | 0.47 | 0.61 | 1.08 | (0.47) | (0.47) |
Year Ended 12/31/2018 | $10.15 | 0.51 | (1.25) | (0.74) | (0.41) | (0.41) |
Year Ended 12/31/2017 | $9.49 | 0.57 | 0.52 | 1.09 | (0.43) | (0.43) |
Year Ended 12/31/2016 | $8.76 | 0.53 | 0.43 | 0.96 | (0.23) | (0.23) |
Year Ended 12/31/2015 | $9.02 | 0.49 | (0.60) | (0.11) | (0.15) | (0.15) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interest on collateral expense which is less than 0.01%. |
20 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2019 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019 | $9.62 | 12.35% | 0.76% | 0.76% | 5.21% | 137% | $117,692 |
Year Ended 12/31/2018 | $9.01 | (7.04%) | 0.76%(c) | 0.76%(c) | 5.53% | 64% | $103,590 |
Year Ended 12/31/2017 | $10.15 | 11.85% | 0.75% | 0.75% | 5.88% | 42% | $110,275 |
Year Ended 12/31/2016 | $9.50 | 11.34% | 0.75% | 0.75% | 5.92% | 26% | $98,824 |
Year Ended 12/31/2015 | $8.77 | (1.03%) | 0.75% | 0.75% | 5.77% | 64% | $87,659 |
Class 2 | |||||||
Year Ended 12/31/2019 | $9.61 | 12.09% | 1.01% | 1.01% | 4.94% | 137% | $203,064 |
Year Ended 12/31/2018 | $9.00 | (7.38%) | 1.02%(c) | 1.02%(c) | 5.32% | 64% | $121,570 |
Year Ended 12/31/2017 | $10.15 | 11.69% | 1.01% | 1.01% | 5.70% | 42% | $94,637 |
Year Ended 12/31/2016 | $9.49 | 11.07% | 1.01% | 1.01% | 5.63% | 26% | $40,731 |
Year Ended 12/31/2015 | $8.76 | (1.31%) | 1.01% | 1.01% | 5.49% | 64% | $16,653 |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2019 | 21 |
December 31, 2019
22 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2019 | 23 |
December 31, 2019
24 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2019 |
December 31, 2019
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 87,634* |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 214,440 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 257,482* |
Total | 471,922 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2019 | 25 |
December 31, 2019
Amount of realized gain (loss) on derivatives recognized in income | |||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Total ($) |
Foreign exchange risk | (380,623) | — | (380,623) |
Interest rate risk | — | 2,346,633 | 2,346,633 |
Total | (380,623) | 2,346,633 | 1,966,010 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Total ($) |
Foreign exchange risk | (210,771) | — | (210,771) |
Interest rate risk | — | (653,438) | (653,438) |
Total | (210,771) | (653,438) | (864,209) |
Derivative instrument | Average notional amounts ($) |
Futures contracts — long | 12,003,899* |
Futures contracts — short | 1,853,136** |
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 60,370 | (127,019) |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2019. |
** | Based on the ending daily outstanding amounts for the year ended December 31, 2019. |
Goldman Sachs ($) | Standard Chartered ($) | UBS ($) | Total ($) | |
Liabilities | ||||
Forward foreign currency exchange contracts | 127,793 | 5,948 | 80,699 | 214,440 |
Total financial and derivative net assets | (127,793) | (5,948) | (80,699) | (214,440) |
Total collateral received (pledged) (a) | - | - | - | - |
Net amount (b) | (127,793) | (5,948) | (80,699) | (214,440) |
(a) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Represents the net amount due from/(to) counterparties in the event of default. |
26 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2019 | 27 |
December 31, 2019
28 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2019 |
December 31, 2019
May 1, 2019 through April 30, 2020 | Prior to May 1, 2019 | |
Class 1 | 0.77% | 0.85% |
Class 2 | 1.02 | 1.10 |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2019 | 29 |
December 31, 2019
Undistributed net investment income ($) | Accumulated net realized (loss) ($) | Paid in capital ($) |
(1,344,848) | 1,344,848 | — |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
13,689,189 | — | 13,689,189 | 9,550,256 | — | 9,550,256 |
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized (depreciation) ($) |
1,761,938 | — | (15,139,114) | (332,605) |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
310,496,095 | 10,574,254 | (10,906,859) | (332,605) |
30 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2019 |
December 31, 2019
No expiration short-term ($) | No expiration long-term ($) | Total ($) | Utilized ($) | Expired ($) |
(3,384,809) | (11,754,305) | (15,139,114) | — | — |
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 2,300,000 | 2.45 | 7 |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2019 | 31 |
December 31, 2019
32 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2019 | 33 |
34 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2019 |
Foreign taxes paid to foreign countries | Foreign taxes paid per share to foreign countries | Foreign source income | Foreign source income per share |
$165,293 | $0.0050 | $14,849,548 | $0.45 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1953 | Trustee since 1/17 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 121 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 1/06 for RiverSource Funds and since 6/11 for Nations Funds | Attorney; specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018 | 121 | Trustee, BlueCross BlueShield of Minnesota since 2009 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee since 2017); Chair of the Robina Foundation since August 2013; former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017 |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2019 | 35 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 7/07 for RiverSource Funds and since 6/11 for Nations Funds | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, Morgan Stanley, 1982-1991 | 121 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of Human Resources Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee) since 2019 |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1950 | Trustee since 11/04 for RiverSource Funds and since 6/11 for Nations Funds | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 121 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative since 2010; Board of Directors, The MA Business Roundtable 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 12/17 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 121 | Trustee, Catholic Schools Foundation since 2004 |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Chair of the Board since 1/20; Trustee since 11/04 for RiverSource Funds and since 6/11 for Nations Funds | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Managing Director, Morgan Stanley, 1982-1989; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 121 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Anthony M. Santomero c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1946 | Trustee since 6/11 for RiverSource Funds and since 1/08 for Nations Funds | Richard K. Mellon Professor Emeritus of Finance, The Wharton School, University of Pennsylvania, since 2002; Senior Advisor, McKinsey & Company (consulting), 2006-2008; President, Federal Reserve Bank of Philadelphia, 2000- 2006; Professor of Finance, The Wharton School, University of Pennsylvania, 1972-2002 | 121 | Trustee, Penn Mutual Life Insurance Company since March 2008; Director, Renaissance Reinsurance Ltd. since May 2008; former Director, Citigroup Inc. and Citibank, N.A., 2009-2019; former Trustee, BofA Funds Series Trust (11 funds), 2008-2011 |
36 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2019 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1947 | Trustee since 6/11 for RiverSource Funds and since 2003 for Nations Funds | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 121 | Director, BlueCross BlueShield of South Carolina since April 2008; Trustee, Hollingsworth Funds since 2016 (previously Board Chair from 2016-2019); Advisory Board member, Duke Energy Corp. since October 2016; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018 |
Sandra Yeager c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 12/17 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 119 | Director, NAPE Education Foundation since October 2016 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin St. Boston, MA 02110 1960 | Trustee since 11/01 for RiverSource Funds and since 6/11 for Nations Funds; Senior Vice President since 2002 for RiverSource Funds and since 5/10 for Nations Funds | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010 - September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006 - August 2012. | 192 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, August 2006-January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2019 | 37 |
Nations Funds refer to the Funds within the Columbia Funds Complex that historically bore the Nations brand and includes series of Columbia Funds Series Trust. RiverSource Funds refer to the Funds within the Columbia Funds Complex that historically bore the RiverSource brand and includes series of Columbia Funds Series Trust II.
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously Vice President and Chief Counsel, January 2010 - December 2014); officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer, Principal Financial Officer (2009), and Senior Vice President (2019) | Vice President, Head of North American Operations, and Co-Head of Global Operations, – Accounting and Tax, Columbia Management Investment Advisers, LLC, since June 2019 (previously Vice President – Accounting and Tax, May 2010 – May 2019); senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009 – January 2019 and December 2015 – January 2019, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer, Chief Accounting Officer (Principal Accounting Officer) (2019), and Principal Financial Officer (2020) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously Vice President — Pricing and Corporate Actions, May 2010 - March 2017). |
Paul B. Goucher 485 Lexington Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since March 2015 (previously Vice President and Assistant Secretary, May 2010 – March 2015). |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 Born 1962 | Senior Vice President (2020) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); previously, Senior Vice President of Investment Product Management, Fidelity Financial Advisor Solutions, a division of Fidelity Investments (January 2012 – March 2015). |
38 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2019 |
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Annual Report 2019 | 39 |
December 31, 2019
3 | |
5 | |
7 | |
8 | |
30 | |
31 | |
32 | |
34 | |
36 | |
48 | |
49 |
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1* | 06/25/14 | 22.96 | 7.62 | 9.79 | |
Class 2* | 06/25/14 | 22.66 | 7.35 | 9.55 | |
Class 3 | 04/30/86 | 22.78 | 7.45 | 9.69 | |
Blended Benchmark | 22.18 | 8.37 | 9.77 | ||
S&P 500 Index | 31.49 | 11.70 | 13.56 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | 8.72 | 3.05 | 3.75 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
Columbia Variable Portfolio – Balanced Fund | Annual Report 2019 | 3 |
Portfolio breakdown (%) (at December 31, 2019) | |
Asset-Backed Securities — Non-Agency | 6.5 |
Commercial Mortgage-Backed Securities - Agency | 0.0(a) |
Commercial Mortgage-Backed Securities - Non-Agency | 3.6 |
Common Stocks | 58.8 |
Corporate Bonds & Notes | 6.7 |
Exchange-Traded Equity Funds | 0.9 |
Foreign Government Obligations | 0.0(a) |
Inflation-Indexed Bonds | 0.3 |
Money Market Funds | 4.9 |
Residential Mortgage-Backed Securities - Agency | 9.7 |
Residential Mortgage-Backed Securities - Non-Agency | 8.0 |
Senior Loans | 0.0(a) |
U.S. Treasury Obligations | 0.6 |
Total | 100.0 |
(a) | Rounds to zero. |
4 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2019 |
Columbia Variable Portfolio – Balanced Fund | Annual Report 2019 | 5 |
6 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2019 |
(Unaudited)
July 1, 2019 — December 31, 2019 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,077.40 | 1,021.61 | 4.02 | 3.91 | 0.76 |
Class 2 | 1,000.00 | 1,000.00 | 1,076.30 | 1,020.33 | 5.34 | 5.20 | 1.01 |
Class 3 | 1,000.00 | 1,000.00 | 1,077.20 | 1,021.00 | 4.66 | 4.53 | 0.88 |
Columbia Variable Portfolio – Balanced Fund | Annual Report 2019 | 7 |
December 31, 2019
Asset-Backed Securities — Non-Agency 7.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
American Credit Acceptance Receivables Trust(a) | ||||
Subordinated Series 2018-3 Class C | ||||
10/15/2024 | 3.750% | 875,000 | 881,258 | |
Apidos CLO XI(a),(b) | ||||
Series 2012-11A Class BRR | ||||
3-month USD LIBOR + 1.700% Floor 1.750% 10/17/2030 | 3.702% | 1,925,000 | 1,919,417 | |
Apidos CLO XX(a),(b) | ||||
Series 2015-20A Class A1RA | ||||
3-month USD LIBOR + 1.100% 07/16/2031 | 3.101% | 2,400,000 | 2,394,048 | |
Apidos CLO XXVIII(a),(b) | ||||
Series 2017-28A Class A1B | ||||
3-month USD LIBOR + 1.150% Floor 1.150% 01/20/2031 | 3.116% | 900,000 | 877,964 | |
ARES XLVII CLO Ltd.(a),(b) | ||||
Series 2018-47A Class B | ||||
3-month USD LIBOR + 1.450% Floor 1.450% 04/15/2030 | 3.451% | 550,000 | 547,305 | |
Ascentium Equipment Receivables(a) | ||||
Series 2019-2A Class D | ||||
11/10/2026 | 2.850% | 1,050,000 | 1,042,783 | |
Avant Loans Funding Trust(a) | ||||
Series 2019-A Class B | ||||
12/15/2022 | 3.800% | 950,000 | 959,965 | |
Series 2019-B Class A | ||||
10/15/2026 | 2.720% | 644,634 | 645,154 | |
Series 2019-B Class B | ||||
10/15/2026 | 3.150% | 1,375,000 | 1,377,899 | |
Avis Budget Rental Car Funding AESOP LLC(a) | ||||
Series 2016-2A Class A | ||||
11/20/2022 | 2.720% | 800,000 | 804,941 | |
Series 2018-2A Class A | ||||
03/20/2025 | 4.000% | 3,075,000 | 3,248,261 | |
Barings CLO Ltd.(a),(b) | ||||
Series 2018-4A Class B | ||||
3-month USD LIBOR + 1.700% Floor 1.700% 10/15/2030 | 3.701% | 3,450,000 | 3,443,390 | |
Carbone CLO Ltd.(a),(b) | ||||
Series 2017-1A Class A1 | ||||
3-month USD LIBOR + 1.140% 01/20/2031 | 3.106% | 1,850,000 | 1,845,203 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Carlyle US CLO Ltd.(a),(b) | ||||
Series 2016-4A Class A2R | ||||
3-month USD LIBOR + 1.450% Floor 1.450% 10/20/2027 | 3.416% | 3,425,000 | 3,401,895 | |
Carvana Auto Receivables Trust(a) | ||||
Subordinated Series 2019-3A Class C | ||||
10/15/2024 | 2.710% | 950,000 | 949,969 | |
Conn’s Receivables Funding LLC(a) | ||||
Series 2018-A Class A | ||||
01/15/2023 | 3.250% | 113,086 | 113,485 | |
Series 2019-B Class A | ||||
06/17/2024 | 2.660% | 735,876 | 736,278 | |
Consumer Loan Underlying Bond Club Certificate Issuer Trust(a) | ||||
Series 2019-HP1 Class A | ||||
12/15/2026 | 2.590% | 2,700,000 | 2,699,675 | |
Consumer Loan Underlying Bond CLUB Credit Trust(a) | ||||
Subordinated Series 2019-P2 Class B | ||||
10/15/2026 | 2.830% | 1,000,000 | 996,536 | |
Consumer Loan Underlying Bond Credit Trust(a) | ||||
Series 2018-P2 Class A | ||||
10/15/2025 | 3.470% | 820,843 | 824,900 | |
Drive Auto Receivables Trust | ||||
Series 2019-2 Class C | ||||
06/16/2025 | 3.420% | 1,000,000 | 1,016,956 | |
Subordinated Series 2018-4 Class D | ||||
01/15/2026 | 4.090% | 1,750,000 | 1,798,799 | |
Subordinated Series 2018-5 Class C | ||||
01/15/2025 | 3.990% | 1,125,000 | 1,147,528 | |
Dryden 33 Senior Loan Fund(a),(b) | ||||
Series 2014-33A Class AR2 | ||||
3-month USD LIBOR + 1.230% Floor 1.230% 04/15/2029 | 3.231% | 460,000 | 459,474 | |
Series 2014-33A Class BR2 | ||||
3-month USD LIBOR + 1.750% Floor 1.750% 04/15/2029 | 3.751% | 550,000 | 550,138 | |
Dryden 41 Senior Loan Fund(a),(b) | ||||
Series 2015-41A Class AR | ||||
3-month USD LIBOR + 0.970% Floor 0.970% 04/15/2031 | 2.956% | 2,100,000 | 2,083,105 | |
Dryden 42 Senior Loan Fund(a),(b) | ||||
Series 2016-42A Class BR | ||||
3-month USD LIBOR + 1.550% 07/15/2030 | 3.551% | 950,000 | 941,218 |
8 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2019 |
December 31, 2019
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Dryden 55 CLO Ltd.(a),(b) | ||||
Series 2018-55A Class A1 | ||||
3-month USD LIBOR + 1.020% 04/15/2031 | 3.021% | 1,300,000 | 1,293,181 | |
DT Auto Owner Trust(a) | ||||
Series 2019-1A Class C | ||||
11/15/2024 | 3.610% | 800,000 | 813,484 | |
Series 2019-3A Class D | ||||
04/15/2025 | 2.960% | 1,600,000 | 1,602,159 | |
Subordinated Series 2018-3A Class C | ||||
07/15/2024 | 3.790% | 1,300,000 | 1,320,355 | |
Exeter Automobile Receivables Trust(a) | ||||
Series 2019-4A Class D | ||||
09/15/2025 | 2.580% | 1,425,000 | 1,411,292 | |
Foundation Finance Trust(a) | ||||
Series 2019-1A Class A | ||||
11/15/2034 | 3.860% | 829,623 | 841,906 | |
Hilton Grand Vacations Trust(a) | ||||
Series 2014-AA Class A | ||||
11/25/2026 | 1.770% | 166,758 | 166,233 | |
Series 2018-AA Class A | ||||
02/25/2032 | 3.540% | 511,746 | 526,540 | |
Series 2019-AA Class A | ||||
07/25/2033 | 2.340% | 1,177,899 | 1,174,175 | |
Jay Park CLO Ltd.(a),(b) | ||||
Series 2016-1A Class A2R | ||||
3-month USD LIBOR + 1.450% 10/20/2027 | 3.416% | 4,075,000 | 4,086,439 | |
Madison Park Funding XXXIII Ltd.(a),(b) | ||||
Series 2019-33A Class B1 | ||||
3-month USD LIBOR + 1.800% Floor 1.800% 10/15/2032 | 3.644% | 3,600,000 | 3,607,736 | |
Magnetite XII Ltd.(a),(b) | ||||
Series 2015-12A Class ARR | ||||
3-month USD LIBOR + 1.100% 10/15/2031 | 3.101% | 2,150,000 | 2,143,683 | |
Marlette Funding Trust(a) | ||||
Series 2018-1A Class B | ||||
03/15/2028 | 3.190% | 377,465 | 377,686 | |
Series 2018-2A Class B | ||||
07/17/2028 | 3.610% | 702,000 | 705,867 | |
Series 2018-4A Class A | ||||
12/15/2028 | 3.710% | 515,976 | 520,091 | |
Series 2019-1A Class A | ||||
04/16/2029 | 3.440% | 487,752 | 491,217 | |
Series 2019-3A Class B | ||||
09/17/2029 | 3.070% | 1,725,000 | 1,734,151 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated Series 2019-2A Class B | ||||
07/16/2029 | 3.530% | 725,000 | 735,688 | |
MVW Owner Trust(a) | ||||
Series 2015-1A Class A | ||||
12/20/2032 | 2.520% | 115,050 | 115,005 | |
Series 2016-1A Class A | ||||
12/20/2033 | 2.250% | 277,988 | 276,270 | |
Octagon Investment Partners 39 Ltd.(a),(b) | ||||
Series 2018-3A Class B | ||||
3-month USD LIBOR + 1.650% Floor 1.650% 10/20/2030 | 3.816% | 3,525,000 | 3,506,977 | |
Octane Receivables Trust(a) | ||||
Series 2019-1A Class A | ||||
09/20/2023 | 3.160% | 875,000 | 874,462 | |
Ocwen Master Advance Receivables Trust(a) | ||||
Series 2019-T1 Class AT1 | ||||
08/15/2050 | 2.514% | 275,000 | 275,758 | |
Series 2019-T1 Class DT1 | ||||
08/15/2050 | 3.107% | 150,000 | 150,411 | |
Prosper Marketplace Issuance Trust(a) | ||||
Series 2019-1A Class A | ||||
04/15/2025 | 3.540% | 299,065 | 300,248 | |
Series 2019-2A Class B | ||||
09/15/2025 | 3.690% | 975,000 | 977,946 | |
Series 2019-3A Class B | ||||
07/15/2025 | 3.590% | 1,000,000 | 1,003,531 | |
SCF Equipment Leasing LLC(a) | ||||
Series 2019-2A Class B | ||||
08/20/2026 | 2.760% | 1,275,000 | 1,266,109 | |
Sierra Timeshare Receivables Funding LLC(a) | ||||
Series 2016-3A Class A | ||||
10/20/2033 | 2.430% | 268,925 | 268,352 | |
Series 2018-2A Class A | ||||
06/20/2035 | 3.500% | 450,754 | 458,018 | |
Series 2018-3A Class A | ||||
09/20/2035 | 3.690% | 313,217 | 320,949 | |
SoFi Consumer Loan Program LLC(a) | ||||
Series 2017-4 Class A | ||||
05/26/2026 | 2.500% | 237,127 | 237,545 | |
SoFi Consumer Loan Program Trust(a) | ||||
Series 2018-3 Class B | ||||
08/25/2027 | 4.020% | 425,000 | 436,522 | |
Series 2019-1 Class B | ||||
02/25/2028 | 3.450% | 800,000 | 814,666 | |
Upgrade Receivables Trust(a) | ||||
Series 2019-2A Class B | ||||
10/15/2025 | 3.510% | 525,000 | 524,366 |
Columbia Variable Portfolio – Balanced Fund | Annual Report 2019 | 9 |
December 31, 2019
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Upstart Securitization Trust(a) | ||||
Series 2019-3 Class A | ||||
01/21/2030 | 2.684% | 1,725,000 | 1,724,353 | |
Voya CLO Ltd.(a),(b) | ||||
Series 2017-3A Class A2 | ||||
3-month USD LIBOR + 1.770% 07/20/2030 | 3.736% | 750,000 | 747,536 | |
VSE Voi Mortgage LLC(a) | ||||
Series 2018-A Class A | ||||
02/20/2036 | 3.560% | 649,286 | 667,120 | |
Westlake Automobile Receivables Trust(a) | ||||
Series 2019-1A Class C | ||||
03/15/2024 | 3.450% | 1,200,000 | 1,213,707 | |
Subordinated Series 2019-3A Class D | ||||
11/15/2024 | 2.720% | 1,725,000 | 1,719,038 | |
Total Asset-Backed Securities — Non-Agency (Cost $78,811,378) | 79,138,316 | |||
Commercial Mortgage-Backed Securities - Agency 0.0% | ||||
Government National Mortgage Association | ||||
CMO Series 2012-25 Class A | ||||
11/16/2042 | 2.575% | 361,569 | 362,115 | |
Total Commercial Mortgage-Backed Securities - Agency (Cost $371,879) | 362,115 | |||
Commercial Mortgage-Backed Securities - Non-Agency 3.8% | ||||
American Homes 4 Rent Trust(a) | ||||
Series 2014-SFR2 Class A | ||||
10/17/2036 | 3.786% | 1,186,238 | 1,239,498 | |
Series 2014-SFR3 Class A | ||||
12/17/2036 | 3.678% | 1,316,127 | 1,353,400 | |
Series 2015-SFR1 Class A | ||||
04/17/2052 | 3.467% | 1,212,044 | 1,236,170 | |
Series 2015-SFR2 Class A | ||||
10/17/2045 | 3.732% | 719,256 | 752,307 | |
Americold 2010 LLC(a) | ||||
Series 2010-ARTA Class A1 | ||||
01/14/2029 | 3.847% | 86,918 | 87,521 | |
Ashford Hospitality Trust(a),(b) | ||||
Series 2018-KEYS Class B | ||||
1-month USD LIBOR + 1.300% Floor 1.300% 05/15/2035 | 3.190% | 2,625,000 | 2,616,802 | |
BBCMS Trust(a),(b) | ||||
Subordinated, Series 2018-BXH Class B | ||||
1-month USD LIBOR + 1.250% Floor 1.250% 10/15/2037 | 2.990% | 1,150,000 | 1,142,818 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated, Series 2018-BXH Class C | ||||
1-month USD LIBOR + 1.500% Floor 1.500% 10/15/2037 | 3.240% | 625,000 | 621,097 | |
BHMS Mortgage Trust(a),(b) | ||||
Series 2018-ATLS Class A | ||||
1-month USD LIBOR + 1.250% Floor 1.250% 07/15/2035 | 2.990% | 2,375,000 | 2,370,544 | |
BX Commercial Mortgage Trust(a),(b) | ||||
Series 2018-IND Class C | ||||
1-month USD LIBOR + 1.100% Floor 1.100% 11/15/2035 | 2.840% | 1,032,500 | 1,031,859 | |
Series 2019-XL Class C | ||||
1-month USD LIBOR + 1.250% Floor 1.250% 10/15/2036 | 3.250% | 1,150,000 | 1,151,438 | |
BX Trust(a),(b) | ||||
Series 2019-ATL Class C | ||||
1-month USD LIBOR + 1.587% Cap 1.587% 10/15/2036 | 3.587% | 699,000 | 698,986 | |
Series 2019-ATL Class D | ||||
1-month USD LIBOR + 1.887% Floor 1.887% 10/15/2036 | 3.887% | 622,000 | 621,618 | |
CLNY Trust(a),(b) | ||||
Series 2019-IKPR Class D | ||||
1-month USD LIBOR + 2.025% Floor 2.025% 11/15/2038 | 3.795% | 1,900,000 | 1,882,291 | |
COMM Mortgage Trust(a),(b) | ||||
Series 2019-WCM Class C | ||||
1-month USD LIBOR + 1.300% Floor 1.300% 10/15/2036 | 3.300% | 1,250,000 | 1,249,998 | |
DBUBS Mortgage Trust(a) | ||||
Series 2011-LC1A Class A3 | ||||
11/10/2046 | 5.002% | 149,754 | 151,965 | |
Home Partners of America Trust(a),(b) | ||||
Series 2018-1 Class A | ||||
1-month USD LIBOR + 0.900% Floor 0.900% 07/17/2037 | 2.664% | 1,289,152 | 1,288,454 | |
Home Partners of America Trust(a) | ||||
Series 2019-2 Class D | ||||
10/19/2039 | 3.121% | 1,123,841 | 1,104,238 |
10 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2019 |
December 31, 2019
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Invitation Homes Trust(a),(b) | ||||
Series 2018-SFR3 Class A | ||||
1-month USD LIBOR + 1.000% Floor 1.000% 07/17/2037 | 2.764% | 2,554,693 | 2,554,690 | |
Series 2018-SFR4 Class A | ||||
1-month USD LIBOR + 1.100% Floor 1.000% 01/17/2038 | 2.814% | 1,482,739 | 1,486,904 | |
Morgan Stanley Capital I Trust(a) | ||||
Series 2011-C1 Class A4 | ||||
09/15/2047 | 5.033% | 393,393 | 400,911 | |
Series 2019-MEAD Class D | ||||
11/10/2036 | 3.177% | 1,175,000 | 1,146,725 | |
Morgan Stanley Capital I Trust | ||||
Series 2016-BNK2 Class A2 | ||||
11/15/2049 | 2.454% | 975,000 | 977,780 | |
Progress Residential Trust(a) | ||||
Series 2018-SF3 Class A | ||||
10/17/2035 | 3.880% | 3,697,675 | 3,764,800 | |
Series 2018-SFR2 Class A | ||||
08/17/2035 | 3.712% | 665,000 | 675,332 | |
Series 2019-SFR3 Class C | ||||
09/17/2036 | 2.721% | 750,000 | 733,793 | |
Series 2019-SFR3 Class D | ||||
09/17/2036 | 2.871% | 1,125,000 | 1,105,574 | |
Series 2019-SFR4 Class C | ||||
10/17/2036 | 3.036% | 2,850,000 | 2,832,922 | |
Subordinated Series 2019-SFR2 Class C | ||||
05/17/2036 | 3.545% | 1,000,000 | 1,007,169 | |
RETL(a),(b) | ||||
Series 2019-RVP Class A | ||||
1-month USD LIBOR + 1.150% Floor 1.150% 03/15/2036 | 2.890% | 628,565 | 628,957 | |
UBS-Barclays Commercial Mortgage Trust | ||||
Series 2012-C4 Class A5 | ||||
12/10/2045 | 2.850% | 1,423,366 | 1,446,665 | |
Wells Fargo Commercial Mortgage Trust | ||||
Series 2017-C39 Class A1 | ||||
09/15/2050 | 1.975% | 860,552 | 857,919 | |
WF-RBS Commercial Mortgage Trust | ||||
Series 2012-C9 Class A3 | ||||
11/15/2045 | 2.870% | 1,505,488 | 1,529,802 | |
Series 2012-C9 Class ASB | ||||
11/15/2045 | 2.445% | 537,378 | 539,046 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2013-C15 Class A3 | ||||
08/15/2046 | 3.881% | 843,527 | 880,639 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $43,074,204) | 43,170,632 |
Common Stocks 62.4% | ||
Issuer | Shares | Value ($) |
Communication Services 9.1% | ||
Diversified Telecommunication Services 1.4% | ||
AT&T, Inc. | 247,415 | 9,668,978 |
Verizon Communications, Inc. | 94,875 | 5,825,325 |
Total | 15,494,303 | |
Entertainment 1.4% | ||
Activision Blizzard, Inc. | 161,945 | 9,622,772 |
Electronic Arts, Inc.(c) | 60,790 | 6,535,533 |
Total | 16,158,305 | |
Interactive Media & Services 4.1% | ||
Alphabet, Inc., Class A(c) | 9,254 | 12,394,715 |
Alphabet, Inc., Class C(c) | 11,883 | 15,887,808 |
Facebook, Inc., Class A(c) | 87,535 | 17,966,559 |
Total | 46,249,082 | |
Media 1.9% | ||
Comcast Corp., Class A | 404,339 | 18,183,125 |
ViacomCBS, Inc., Class B | 87,340 | 3,665,660 |
Total | 21,848,785 | |
Wireless Telecommunication Services 0.3% | ||
T-Mobile U.S.A., Inc.(c) | 47,045 | 3,689,269 |
Total Communication Services | 103,439,744 | |
Consumer Discretionary 5.0% | ||
Hotels, Restaurants & Leisure 0.5% | ||
Aramark | 91,021 | 3,950,311 |
McDonald’s Corp. | 7,380 | 1,458,362 |
Total | 5,408,673 | |
Household Durables 0.4% | ||
D.R. Horton, Inc. | 41,620 | 2,195,455 |
Mohawk Industries, Inc.(c) | 19,995 | 2,726,918 |
Total | 4,922,373 |
Columbia Variable Portfolio – Balanced Fund | Annual Report 2019 | 11 |
December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Internet & Direct Marketing Retail 2.7% | ||
Amazon.com, Inc.(c) | 11,665 | 21,555,054 |
eBay, Inc. | 250,275 | 9,037,430 |
Total | 30,592,484 | |
Specialty Retail 1.2% | ||
Lowe’s Companies, Inc. | 110,519 | 13,235,756 |
Textiles, Apparel & Luxury Goods 0.2% | ||
Capri Holdings Ltd.(c) | 64,875 | 2,474,981 |
Total Consumer Discretionary | 56,634,267 | |
Consumer Staples 2.9% | ||
Food & Staples Retailing 0.3% | ||
Sysco Corp. | 35,170 | 3,008,442 |
Food Products 1.0% | ||
ConAgra Foods, Inc. | 118,548 | 4,059,083 |
Mondelez International, Inc., Class A | 132,360 | 7,290,389 |
Total | 11,349,472 | |
Household Products 0.3% | ||
Colgate-Palmolive Co. | 49,415 | 3,401,729 |
Tobacco 1.3% | ||
Philip Morris International, Inc. | 176,380 | 15,008,174 |
Total Consumer Staples | 32,767,817 | |
Energy 3.5% | ||
Energy Equipment & Services 0.4% | ||
Schlumberger Ltd. | 113,560 | 4,565,112 |
Oil, Gas & Consumable Fuels 3.1% | ||
Canadian Natural Resources Ltd. | 193,544 | 6,261,148 |
Chevron Corp. | 133,001 | 16,027,951 |
EOG Resources, Inc. | 105,878 | 8,868,341 |
Marathon Petroleum Corp. | 46,495 | 2,801,324 |
Valero Energy Corp. | 18,180 | 1,702,557 |
Total | 35,661,321 | |
Total Energy | 40,226,433 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Financials 9.6% | ||
Banks 4.5% | ||
Citigroup, Inc. | 271,789 | 21,713,223 |
JPMorgan Chase & Co. | 170,080 | 23,709,152 |
Wells Fargo & Co. | 102,580 | 5,518,804 |
Total | 50,941,179 | |
Capital Markets 2.0% | ||
BlackRock, Inc. | 21,028 | 10,570,776 |
Morgan Stanley | 245,980 | 12,574,497 |
Total | 23,145,273 | |
Diversified Financial Services 2.6% | ||
Berkshire Hathaway, Inc., Class B(c) | 128,703 | 29,151,230 |
Insurance 0.5% | ||
Aon PLC | 28,249 | 5,883,984 |
Total Financials | 109,121,666 | |
Health Care 7.8% | ||
Biotechnology 0.4% | ||
Alexion Pharmaceuticals, Inc.(c) | 41,370 | 4,474,166 |
Health Care Equipment & Supplies 3.7% | ||
Abbott Laboratories | 65,639 | 5,701,403 |
Becton Dickinson and Co. | 33,140 | 9,013,086 |
Dentsply Sirona, Inc. | 125,030 | 7,075,448 |
Medtronic PLC | 182,391 | 20,692,259 |
Total | 42,482,196 | |
Health Care Providers & Services 1.2% | ||
Anthem, Inc. | 20,953 | 6,328,434 |
Cigna Corp. | 38,265 | 7,824,810 |
Total | 14,153,244 | |
Pharmaceuticals 2.5% | ||
Allergan PLC | 32,385 | 6,191,040 |
Johnson & Johnson | 98,241 | 14,330,415 |
Pfizer, Inc. | 195,242 | 7,649,582 |
Total | 28,171,037 | |
Total Health Care | 89,280,643 |
12 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2019 |
December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Industrials 4.8% | ||
Aerospace & Defense 1.5% | ||
L3 Harris Technologies, Inc. | 16,940 | 3,351,918 |
Northrop Grumman Corp. | 31,770 | 10,927,927 |
Spirit AeroSystems Holdings, Inc., Class A | 34,651 | 2,525,365 |
Total | 16,805,210 | |
Electrical Equipment 0.9% | ||
Emerson Electric Co. | 130,105 | 9,921,807 |
Industrial Conglomerates 1.4% | ||
3M Co. | 12,116 | 2,137,505 |
Honeywell International, Inc. | 81,431 | 14,413,287 |
Total | 16,550,792 | |
Machinery 0.6% | ||
Caterpillar, Inc. | 48,590 | 7,175,771 |
Road & Rail 0.4% | ||
Lyft, Inc., Class A(c) | 67,835 | 2,918,262 |
Uber Technologies, Inc.(c) | 47,825 | 1,422,315 |
Total | 4,340,577 | |
Total Industrials | 54,794,157 | |
Information Technology 16.5% | ||
Communications Equipment 0.5% | ||
Cisco Systems, Inc. | 128,315 | 6,153,987 |
Electronic Equipment, Instruments & Components 0.6% | ||
Corning, Inc. | 221,090 | 6,435,930 |
IT Services 4.3% | ||
DXC Technology Co. | 85,566 | 3,216,426 |
Fidelity National Information Services, Inc. | 97,795 | 13,602,307 |
Fiserv, Inc.(c) | 82,619 | 9,553,235 |
International Business Machines Corp. | 39,780 | 5,332,111 |
MasterCard, Inc., Class A | 57,241 | 17,091,590 |
Total | 48,795,669 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Semiconductors & Semiconductor Equipment 2.5% | ||
Intel Corp. | 77,910 | 4,662,914 |
Lam Research Corp. | 26,740 | 7,818,776 |
Marvell Technology Group Ltd. | 116,045 | 3,082,155 |
NVIDIA Corp. | 18,680 | 4,395,404 |
NXP Semiconductors NV | 63,205 | 8,043,468 |
Total | 28,002,717 | |
Software 5.4% | ||
Adobe, Inc.(c) | 27,505 | 9,071,424 |
Autodesk, Inc.(c) | 18,230 | 3,344,476 |
CDK Global, Inc. | 61,050 | 3,338,214 |
Microsoft Corp. | 261,853 | 41,294,218 |
Palo Alto Networks, Inc.(c) | 21,540 | 4,981,125 |
Total | 62,029,457 | |
Technology Hardware, Storage & Peripherals 3.2% | ||
Apple, Inc. | 122,532 | 35,981,522 |
Total Information Technology | 187,399,282 | |
Materials 2.0% | ||
Chemicals 1.3% | ||
Air Products & Chemicals, Inc. | 12,655 | 2,973,798 |
Corteva, Inc. | 160,217 | 4,736,015 |
DuPont de Nemours, Inc. | 52,902 | 3,396,308 |
Sherwin-Williams Co. (The) | 7,363 | 4,296,605 |
Total | 15,402,726 | |
Metals & Mining 0.7% | ||
Newmont Goldcorp Corp. | 175,885 | 7,642,203 |
Total Materials | 23,044,929 | |
Real Estate 0.7% | ||
Equity Real Estate Investment Trusts (REITS) 0.7% | ||
American Tower Corp. | 35,884 | 8,246,861 |
Total Real Estate | 8,246,861 | |
Utilities 0.5% | ||
Electric Utilities 0.5% | ||
American Electric Power Co., Inc. | 62,225 | 5,880,885 |
Total Utilities | 5,880,885 | |
Total Common Stocks (Cost $525,012,245) | 710,836,684 |
Columbia Variable Portfolio – Balanced Fund | Annual Report 2019 | 13 |
December 31, 2019
Corporate Bonds & Notes 7.1% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Aerospace & Defense 0.2% | ||||
Bombardier, Inc.(a) | ||||
12/01/2024 | 7.500% | 13,000 | 13,682 | |
03/15/2025 | 7.500% | 9,000 | 9,287 | |
04/15/2027 | 7.875% | 20,000 | 20,607 | |
L3Harris Technologies, Inc.(a) | ||||
12/15/2026 | 3.850% | 665,000 | 712,031 | |
Moog, Inc.(a) | ||||
12/15/2027 | 4.250% | 14,000 | 14,249 | |
Northrop Grumman Systems Corp. | ||||
02/15/2031 | 7.750% | 635,000 | 911,953 | |
TransDigm, Inc. | ||||
05/15/2025 | 6.500% | 61,000 | 63,662 | |
03/15/2027 | 7.500% | 13,000 | 14,235 | |
TransDigm, Inc.(a) | ||||
03/15/2026 | 6.250% | 75,000 | 81,321 | |
11/15/2027 | 5.500% | 53,000 | 53,615 | |
Total | 1,894,642 | |||
Automotive 0.1% | ||||
Delphi Technologies PLC(a) | ||||
10/01/2025 | 5.000% | 15,000 | 13,867 | |
Ford Motor Credit Co. LLC | ||||
08/01/2026 | 4.542% | 925,000 | 945,183 | |
IAA Spinco, Inc.(a) | ||||
06/15/2027 | 5.500% | 13,000 | 13,896 | |
KAR Auction Services, Inc.(a) | ||||
06/01/2025 | 5.125% | 27,000 | 28,085 | |
Panther BF Aggregator 2 LP/Finance Co., Inc.(a) | ||||
05/15/2026 | 6.250% | 10,000 | 10,807 | |
05/15/2027 | 8.500% | 22,000 | 23,377 | |
Total | 1,035,215 | |||
Banking 1.1% | ||||
Ally Financial, Inc. | ||||
11/01/2031 | 8.000% | 25,000 | 34,713 | |
Bank of America Corp.(d) | ||||
12/20/2028 | 3.419% | 1,750,000 | 1,838,010 | |
Capital One Financial Corp. | ||||
03/09/2027 | 3.750% | 1,275,000 | 1,361,649 | |
Citigroup, Inc. | ||||
Subordinated | ||||
03/09/2026 | 4.600% | 1,300,000 | 1,430,467 | |
Discover Bank | ||||
09/13/2028 | 4.650% | 675,000 | 761,853 | |
Goldman Sachs Group, Inc. (The) | ||||
01/26/2027 | 3.850% | 1,650,000 | 1,756,473 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
JPMorgan Chase & Co.(d) | ||||
04/23/2029 | 4.005% | 1,615,000 | 1,772,654 | |
Morgan Stanley | ||||
01/20/2027 | 3.625% | 825,000 | 879,031 | |
PNC Bank NA | ||||
Subordinated | ||||
01/30/2023 | 2.950% | 900,000 | 920,426 | |
Wells Fargo & Co. | ||||
Subordinated | ||||
06/03/2026 | 4.100% | 1,400,000 | 1,507,906 | |
Total | 12,263,182 | |||
Brokerage/Asset Managers/Exchanges 0.0% | ||||
LPL Holdings, Inc.(a) | ||||
09/15/2025 | 5.750% | 2,000 | 2,096 | |
Subordinated | ||||
11/15/2027 | 4.625% | 21,000 | 21,423 | |
NFP Corp.(a) | ||||
07/15/2025 | 6.875% | 31,000 | 31,052 | |
Total | 54,571 | |||
Building Materials 0.0% | ||||
American Builders & Contractors Supply Co., Inc.(a) | ||||
05/15/2026 | 5.875% | 30,000 | 31,857 | |
01/15/2028 | 4.000% | 33,000 | 33,496 | |
Beacon Roofing Supply, Inc.(a) | ||||
11/01/2025 | 4.875% | 46,000 | 46,207 | |
11/15/2026 | 4.500% | 17,000 | 17,528 | |
Core & Main LP(a) | ||||
08/15/2025 | 6.125% | 32,000 | 33,361 | |
James Hardie International Finance DAC(a) | ||||
01/15/2025 | 4.750% | 28,000 | 29,030 | |
01/15/2028 | 5.000% | 15,000 | 15,745 | |
Total | 207,224 | |||
Cable and Satellite 0.2% | ||||
CCO Holdings LLC/Capital Corp. | ||||
01/15/2024 | 5.750% | 4,000 | 4,080 | |
CCO Holdings LLC/Capital Corp.(a) | ||||
05/01/2025 | 5.375% | 13,000 | 13,495 | |
02/15/2026 | 5.750% | 33,000 | 34,802 | |
05/01/2027 | 5.125% | 39,000 | 41,240 | |
05/01/2027 | 5.875% | 22,000 | 23,361 | |
03/01/2030 | 4.750% | 59,000 | 60,174 | |
Comcast Corp. | ||||
08/15/2035 | 4.400% | 785,000 | 919,116 |
14 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2019 |
December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CSC Holdings LLC(a) | ||||
10/15/2025 | 6.625% | 63,000 | 67,122 | |
10/15/2025 | 10.875% | 33,000 | 37,140 | |
02/01/2028 | 5.375% | 16,000 | 17,098 | |
04/01/2028 | 7.500% | 7,000 | 7,898 | |
02/01/2029 | 6.500% | 80,000 | 89,334 | |
01/15/2030 | 5.750% | 18,000 | 19,209 | |
DISH DBS Corp. | ||||
11/15/2024 | 5.875% | 32,000 | 32,752 | |
07/01/2026 | 7.750% | 38,000 | 40,275 | |
Intelsat Jackson Holdings SA(a) | ||||
10/15/2024 | 8.500% | 33,000 | 30,097 | |
Intelsat Luxembourg SA | ||||
06/01/2023 | 8.125% | 18,000 | 10,635 | |
Radiate HoldCo LLC/Finance, Inc.(a) | ||||
02/15/2023 | 6.875% | 9,000 | 9,201 | |
02/15/2025 | 6.625% | 25,000 | 25,122 | |
Sirius XM Radio, Inc.(a) | ||||
07/15/2024 | 4.625% | 13,000 | 13,620 | |
04/15/2025 | 5.375% | 22,000 | 22,760 | |
Time Warner Cable LLC | ||||
05/01/2037 | 6.550% | 775,000 | 959,071 | |
Virgin Media Secured Finance PLC(a) | ||||
08/15/2026 | 5.500% | 11,000 | 11,544 | |
05/15/2029 | 5.500% | 11,000 | 11,662 | |
Ziggo Bond Finance BV(a) | ||||
01/15/2027 | 6.000% | 53,000 | 56,048 | |
Ziggo BV(a) | ||||
01/15/2027 | 5.500% | 31,000 | 32,982 | |
Total | 2,589,838 | |||
Chemicals 0.1% | ||||
Alpha 2 BV(a),(e) | ||||
06/01/2023 | 8.750% | 12,000 | 12,162 | |
Angus Chemical Co.(a) | ||||
02/15/2023 | 8.750% | 18,000 | 18,013 | |
Atotech U.S.A., Inc.(a) | ||||
02/01/2025 | 6.250% | 46,000 | 47,385 | |
Axalta Coating Systems LLC(a) | ||||
08/15/2024 | 4.875% | 27,000 | 27,985 | |
CF Industries, Inc. | ||||
03/15/2034 | 5.150% | 11,000 | 12,366 | |
03/15/2044 | 5.375% | 3,000 | 3,273 | |
Chemours Co. (The) | ||||
05/15/2025 | 7.000% | 10,000 | 10,066 | |
Dow Chemical Co. (The) | ||||
11/01/2029 | 7.375% | 275,000 | 366,550 | |
INEOS Group Holdings SA(a) | ||||
08/01/2024 | 5.625% | 26,000 | 26,706 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
LYB International Finance BV | ||||
03/15/2044 | 4.875% | 350,000 | 398,162 | |
Platform Specialty Products Corp.(a) | ||||
12/01/2025 | 5.875% | 48,000 | 50,178 | |
PQ Corp.(a) | ||||
11/15/2022 | 6.750% | 53,000 | 54,887 | |
12/15/2025 | 5.750% | 26,000 | 27,330 | |
SPCM SA(a) | ||||
09/15/2025 | 4.875% | 16,000 | 16,669 | |
Starfruit Finco BV/US Holdco LLC(a) | ||||
10/01/2026 | 8.000% | 44,000 | 46,675 | |
WR Grace & Co.(a) | ||||
10/01/2021 | 5.125% | 27,000 | 28,130 | |
Total | 1,146,537 | |||
Construction Machinery 0.0% | ||||
H&E Equipment Services, Inc. | ||||
09/01/2025 | 5.625% | 26,000 | 27,317 | |
Herc Holdings, Inc.(a) | ||||
07/15/2027 | 5.500% | 17,000 | 17,957 | |
Ritchie Bros. Auctioneers, Inc.(a) | ||||
01/15/2025 | 5.375% | 27,000 | 28,114 | |
United Rentals North America, Inc. | ||||
09/15/2026 | 5.875% | 36,000 | 38,668 | |
12/15/2026 | 6.500% | 21,000 | 23,110 | |
11/15/2027 | 3.875% | 8,000 | 8,161 | |
Total | 143,327 | |||
Consumer Cyclical Services 0.0% | ||||
APX Group, Inc. | ||||
12/01/2020 | 8.750% | 12,000 | 12,008 | |
12/01/2022 | 7.875% | 37,000 | 37,360 | |
09/01/2023 | 7.625% | 16,000 | 15,151 | |
APX Group, Inc.(a) | ||||
11/01/2024 | 8.500% | 24,000 | 24,765 | |
ASGN, Inc.(a) | ||||
05/15/2028 | 4.625% | 18,000 | 18,491 | |
frontdoor, Inc.(a) | ||||
08/15/2026 | 6.750% | 10,000 | 10,934 | |
Staples, Inc.(a) | ||||
04/15/2026 | 7.500% | 6,000 | 6,243 | |
04/15/2027 | 10.750% | 6,000 | 6,109 | |
Uber Technologies, Inc.(a) | ||||
11/01/2023 | 7.500% | 22,000 | 23,025 | |
Total | 154,086 |
Columbia Variable Portfolio – Balanced Fund | Annual Report 2019 | 15 |
December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Consumer Products 0.0% | ||||
Energizer Holdings, Inc.(a) | ||||
01/15/2027 | 7.750% | 24,000 | 26,838 | |
Mattel, Inc.(a) | ||||
12/31/2025 | 6.750% | 16,000 | 17,184 | |
12/15/2027 | 5.875% | 4,000 | 4,219 | |
Mattel, Inc. | ||||
11/01/2041 | 5.450% | 6,000 | 5,062 | |
Prestige Brands, Inc.(a) | ||||
03/01/2024 | 6.375% | 22,000 | 22,879 | |
01/15/2028 | 5.125% | 11,000 | 11,524 | |
Spectrum Brands, Inc. | ||||
12/15/2024 | 6.125% | 27,000 | 27,894 | |
Valvoline, Inc. | ||||
07/15/2024 | 5.500% | 22,000 | 22,880 | |
Total | 138,480 | |||
Diversified Manufacturing 0.1% | ||||
BWX Technologies, Inc.(a) | ||||
07/15/2026 | 5.375% | 7,000 | 7,415 | |
CFX Escrow Corp.(a) | ||||
02/15/2024 | 6.000% | 20,000 | 21,308 | |
Gates Global LLC/Co.(a) | ||||
01/15/2026 | 6.250% | 60,000 | 61,001 | |
MTS Systems Corp.(a) | ||||
08/15/2027 | 5.750% | 6,000 | 6,277 | |
Resideo Funding, Inc.(a) | ||||
11/01/2026 | 6.125% | 32,000 | 31,998 | |
United Technologies Corp. | ||||
08/16/2025 | 3.950% | 1,000,000 | 1,091,185 | |
WESCO Distribution, Inc. | ||||
06/15/2024 | 5.375% | 16,000 | 16,581 | |
Zekelman Industries, Inc.(a) | ||||
06/15/2023 | 9.875% | 13,000 | 13,684 | |
Total | 1,249,449 | |||
Electric 0.9% | ||||
Calpine Corp.(a) | ||||
06/01/2026 | 5.250% | 38,000 | 39,602 | |
02/15/2028 | 4.500% | 25,000 | 25,274 | |
03/15/2028 | 5.125% | 24,000 | 24,472 | |
Clearway Energy Operating LLC | ||||
10/15/2025 | 5.750% | 28,000 | 29,551 | |
Clearway Energy Operating LLC(a) | ||||
03/15/2028 | 4.750% | 17,000 | 17,259 | |
CMS Energy Corp. | ||||
03/01/2024 | 3.875% | 715,000 | 750,506 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Consolidated Edison Co. of New York, Inc. | ||||
12/01/2045 | 4.500% | 550,000 | 645,876 | |
Dominion Energy, Inc. | ||||
10/01/2025 | 3.900% | 750,000 | 806,851 | |
DTE Energy Co. | ||||
04/15/2033 | 6.375% | 600,000 | 782,433 | |
Emera U.S. Finance LP | ||||
06/15/2046 | 4.750% | 800,000 | 924,711 | |
Indiana Michigan Power Co. | ||||
03/15/2037 | 6.050% | 750,000 | 987,670 | |
NextEra Energy Operating Partners LP(a) | ||||
07/15/2024 | 4.250% | 16,000 | 16,646 | |
09/15/2027 | 4.500% | 37,000 | 38,622 | |
NRG Energy, Inc. | ||||
01/15/2027 | 6.625% | 52,000 | 56,559 | |
NRG Energy, Inc.(a) | ||||
06/15/2029 | 5.250% | 19,000 | 20,605 | |
Pennsylvania Electric Co.(a) | ||||
06/01/2029 | 3.600% | 1,165,000 | 1,232,834 | |
Progress Energy, Inc. | ||||
03/01/2031 | 7.750% | 850,000 | 1,190,467 | |
Southern Co. (The) | ||||
07/01/2046 | 4.400% | 1,135,000 | 1,259,976 | |
TerraForm Power Operating LLC(a) | ||||
01/31/2023 | 4.250% | 27,000 | 27,829 | |
01/15/2030 | 4.750% | 9,000 | 9,187 | |
Vistra Operations Co. LLC(a) | ||||
09/01/2026 | 5.500% | 10,000 | 10,609 | |
02/15/2027 | 5.625% | 32,000 | 33,735 | |
07/31/2027 | 5.000% | 24,000 | 25,118 | |
WEC Energy Group, Inc. | ||||
06/15/2025 | 3.550% | 675,000 | 716,589 | |
Total | 9,672,981 | |||
Environmental 0.0% | ||||
Clean Harbors, Inc.(a) | ||||
07/15/2027 | 4.875% | 8,000 | 8,449 | |
GFL Environmental, Inc.(a) | ||||
05/01/2022 | 5.625% | 17,000 | 17,308 | |
03/01/2023 | 5.375% | 8,000 | 8,221 | |
12/15/2026 | 5.125% | 13,000 | 13,665 | |
05/01/2027 | 8.500% | 38,000 | 41,631 | |
Total | 89,274 | |||
Finance Companies 0.2% | ||||
GE Capital International Funding Co. Unlimited Co. | ||||
11/15/2035 | 4.418% | 1,750,000 | 1,868,722 |
16 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2019 |
December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Global Aircraft Leasing Co., Ltd.(a),(e) | ||||
09/15/2024 | 6.500% | 42,000 | 43,824 | |
Navient Corp. | ||||
06/15/2022 | 6.500% | 29,000 | 31,535 | |
01/25/2023 | 5.500% | 39,000 | 41,551 | |
Provident Funding Associates LP/Finance Corp.(a) | ||||
06/15/2025 | 6.375% | 43,000 | 42,245 | |
Quicken Loans, Inc.(a) | ||||
05/01/2025 | 5.750% | 44,000 | 45,574 | |
Springleaf Finance Corp. | ||||
03/15/2023 | 5.625% | 4,000 | 4,305 | |
03/15/2024 | 6.125% | 21,000 | 23,032 | |
Total | 2,100,788 | |||
Food and Beverage 0.4% | ||||
Anheuser-Busch InBev Worldwide, Inc. | ||||
01/15/2042 | 4.950% | 1,575,000 | 1,863,308 | |
B&G Foods, Inc. | ||||
04/01/2025 | 5.250% | 17,000 | 17,522 | |
09/15/2027 | 5.250% | 15,000 | 15,119 | |
Bacardi Ltd.(a) | ||||
05/15/2038 | 5.150% | 1,000,000 | 1,132,240 | |
Conagra Brands, Inc. | ||||
11/01/2048 | 5.400% | 640,000 | 782,919 | |
FAGE International SA/USA Dairy Industry, Inc.(a) | ||||
08/15/2026 | 5.625% | 19,000 | 17,501 | |
Kraft Heinz Foods Co. (The) | ||||
06/01/2046 | 4.375% | 1,000,000 | 985,507 | |
Post Holdings, Inc.(a) | ||||
08/15/2026 | 5.000% | 48,000 | 50,868 | |
03/01/2027 | 5.750% | 54,000 | 58,106 | |
Total | 4,923,090 | |||
Gaming 0.0% | ||||
Boyd Gaming Corp. | ||||
04/01/2026 | 6.375% | 13,000 | 14,008 | |
Boyd Gaming Corp.(a) | ||||
12/01/2027 | 4.750% | 21,000 | 21,821 | |
Caesars Resort Collection LLC/CRC Finco, Inc.(a) | ||||
10/15/2025 | 5.250% | 22,000 | 22,785 | |
Eldorado Resorts, Inc. | ||||
04/01/2025 | 6.000% | 40,000 | 42,044 | |
International Game Technology PLC(a) | ||||
02/15/2022 | 6.250% | 28,000 | 29,577 | |
02/15/2025 | 6.500% | 14,000 | 15,751 | |
MGM Growth Properties Operating Partnership LP/Finance Co-Issuer, Inc. | ||||
05/01/2024 | 5.625% | 25,000 | 27,325 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
MGM Growth Properties Operating Partnership LP/Finance Co-Issuer, Inc.(a) | ||||
02/01/2027 | 5.750% | 8,000 | 8,940 | |
MGM Resorts International | ||||
03/15/2023 | 6.000% | 15,000 | 16,483 | |
Scientific Games International, Inc.(a) | ||||
10/15/2025 | 5.000% | 39,000 | 40,866 | |
03/15/2026 | 8.250% | 31,000 | 34,170 | |
05/15/2028 | 7.000% | 11,000 | 11,804 | |
Stars Group Holdings BV/Co-Borrower LLC(a) | ||||
07/15/2026 | 7.000% | 16,000 | 17,321 | |
VICI Properties LP/Note Co., Inc.(a) | ||||
12/01/2026 | 4.250% | 19,000 | 19,606 | |
12/01/2029 | 4.625% | 8,000 | 8,374 | |
Wynn Las Vegas LLC/Capital Corp.(a) | ||||
03/01/2025 | 5.500% | 17,000 | 18,269 | |
Wynn Resorts Finance LLC/Capital Corp.(a) | ||||
10/01/2029 | 5.125% | 10,000 | 10,749 | |
Total | 359,893 | |||
Health Care 0.4% | ||||
Acadia Healthcare Co., Inc. | ||||
03/01/2024 | 6.500% | 22,000 | 22,819 | |
Avantor, Inc.(a) | ||||
10/01/2025 | 9.000% | 20,000 | 22,383 | |
Becton Dickinson and Co. | ||||
06/06/2027 | 3.700% | 832,000 | 885,612 | |
Cardinal Health, Inc. | ||||
03/15/2043 | 4.600% | 800,000 | 797,303 | |
Change Healthcare Holdings LLC/Finance, Inc.(a) | ||||
03/01/2025 | 5.750% | 39,000 | 40,281 | |
Charles River Laboratories International, Inc.(a) | ||||
05/01/2028 | 4.250% | 8,000 | 8,158 | |
CHS/Community Health Systems, Inc. | ||||
03/31/2023 | 6.250% | 18,000 | 18,263 | |
Cigna Corp.(a) | ||||
07/15/2046 | 4.800% | 800,000 | 925,991 | |
CVS Health Corp. | ||||
03/25/2048 | 5.050% | 1,000,000 | 1,186,253 | |
Encompass Health Corp. | ||||
02/01/2028 | 4.500% | 10,000 | 10,368 | |
02/01/2030 | 4.750% | 10,000 | 10,395 | |
HCA, Inc. | ||||
09/01/2028 | 5.625% | 62,000 | 70,716 | |
MPH Acquisition Holdings LLC(a) | ||||
06/01/2024 | 7.125% | 14,000 | 13,607 | |
Select Medical Corp.(a) | ||||
08/15/2026 | 6.250% | 35,000 | 37,880 |
Columbia Variable Portfolio – Balanced Fund | Annual Report 2019 | 17 |
December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Tenet Healthcare Corp. | ||||
04/01/2022 | 8.125% | 24,000 | 26,533 | |
06/15/2023 | 6.750% | 16,000 | 17,592 | |
07/15/2024 | 4.625% | 22,000 | 22,605 | |
Tenet Healthcare Corp.(a) | ||||
01/01/2026 | 4.875% | 40,000 | 41,904 | |
02/01/2027 | 6.250% | 21,000 | 22,662 | |
11/01/2027 | 5.125% | 43,000 | 45,404 | |
Total | 4,226,729 | |||
Healthcare Insurance 0.1% | ||||
Anthem, Inc. | ||||
03/01/2028 | 4.101% | 800,000 | 869,674 | |
Centene Corp.(a) | ||||
06/01/2026 | 5.375% | 34,000 | 36,134 | |
12/15/2027 | 4.250% | 43,000 | 44,282 | |
12/15/2029 | 4.625% | 58,000 | 61,079 | |
UnitedHealth Group, Inc. | ||||
01/15/2027 | 3.450% | 575,000 | 616,270 | |
WellCare Health Plans, Inc. | ||||
04/01/2025 | 5.250% | 40,000 | 41,715 | |
Total | 1,669,154 | |||
Healthcare REIT 0.1% | ||||
Welltower, Inc. | ||||
01/15/2030 | 3.100% | 825,000 | 836,625 | |
Home Construction 0.0% | ||||
Lennar Corp. | ||||
04/30/2024 | 4.500% | 17,000 | 17,997 | |
11/15/2024 | 5.875% | 32,000 | 35,844 | |
06/01/2026 | 5.250% | 19,000 | 20,836 | |
Meritage Homes Corp. | ||||
06/01/2025 | 6.000% | 22,000 | 24,626 | |
Taylor Morrison Communities, Inc.(a) | ||||
01/15/2028 | 5.750% | 17,000 | 18,540 | |
Taylor Morrison Communities, Inc./Holdings II(a) | ||||
04/15/2023 | 5.875% | 30,000 | 32,392 | |
TRI Pointe Group, Inc./Homes | ||||
06/15/2024 | 5.875% | 11,000 | 11,978 | |
Total | 162,213 | |||
Independent Energy 0.3% | ||||
California Resources Corp.(a) | ||||
12/15/2022 | 8.000% | 10,000 | 4,471 | |
Callon Petroleum Co. | ||||
07/01/2026 | 6.375% | 49,000 | 49,762 | |
Canadian Natural Resources Ltd. | ||||
02/01/2025 | 3.900% | 675,000 | 721,124 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Carrizo Oil & Gas, Inc. | ||||
04/15/2023 | 6.250% | 33,000 | 33,502 | |
Centennial Resource Production LLC(a) | ||||
01/15/2026 | 5.375% | 28,000 | 27,549 | |
04/01/2027 | 6.875% | 38,000 | 39,516 | |
Chesapeake Energy Corp.(a) | ||||
01/01/2025 | 11.500% | 16,000 | 15,128 | |
CrownRock LP/Finance, Inc.(a) | ||||
10/15/2025 | 5.625% | 53,000 | 54,027 | |
Endeavor Energy Resources LP/Finance, Inc.(a) | ||||
01/30/2028 | 5.750% | 21,000 | 22,089 | |
Hilcorp Energy I LP/Finance Co.(a) | ||||
10/01/2025 | 5.750% | 6,000 | 5,846 | |
11/01/2028 | 6.250% | 8,000 | 7,624 | |
Jagged Peak Energy LLC | ||||
05/01/2026 | 5.875% | 27,000 | 27,909 | |
Matador Resources Co. | ||||
09/15/2026 | 5.875% | 45,000 | 45,294 | |
Murphy Oil Corp. | ||||
12/01/2027 | 5.875% | 17,000 | 17,765 | |
Noble Energy, Inc. | ||||
03/01/2041 | 6.000% | 700,000 | 839,844 | |
Occidental Petroleum Corp. | ||||
09/15/2036 | 6.450% | 575,000 | 705,202 | |
Parsley Energy LLC/Finance Corp.(a) | ||||
08/15/2025 | 5.250% | 51,000 | 52,477 | |
10/15/2027 | 5.625% | 36,000 | 38,097 | |
QEP Resources, Inc. | ||||
03/01/2026 | 5.625% | 20,000 | 19,528 | |
SM Energy Co. | ||||
09/15/2026 | 6.750% | 38,000 | 37,350 | |
01/15/2027 | 6.625% | 22,000 | 21,607 | |
WPX Energy, Inc. | ||||
06/01/2026 | 5.750% | 60,000 | 64,146 | |
10/15/2027 | 5.250% | 24,000 | 25,290 | |
Total | 2,875,147 | |||
Integrated Energy 0.1% | ||||
Cenovus Energy, Inc. | ||||
04/15/2027 | 4.250% | 725,000 | 767,381 | |
Leisure 0.0% | ||||
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp. | ||||
06/01/2024 | 5.375% | 13,000 | 13,351 | |
Cinemark USA, Inc. | ||||
06/01/2023 | 4.875% | 22,000 | 22,422 |
18 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2019 |
December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Live Nation Entertainment, Inc.(a) | ||||
11/01/2024 | 4.875% | 19,000 | 19,702 | |
03/15/2026 | 5.625% | 14,000 | 14,919 | |
10/15/2027 | 4.750% | 16,000 | 16,559 | |
Viking Cruises Ltd.(a) | ||||
09/15/2027 | 5.875% | 21,000 | 22,450 | |
Total | 109,403 | |||
Life Insurance 0.3% | ||||
American International Group, Inc. | ||||
07/10/2025 | 3.750% | 1,050,000 | 1,124,206 | |
Five Corners Funding Trust(a) | ||||
11/15/2023 | 4.419% | 850,000 | 922,964 | |
MetLife Global Funding I(a) | ||||
12/18/2026 | 3.450% | 575,000 | 613,637 | |
Peachtree Corners Funding Trust(a) | ||||
02/15/2025 | 3.976% | 900,000 | 951,886 | |
Total | 3,612,693 | |||
Media and Entertainment 0.1% | ||||
Clear Channel Worldwide Holdings, Inc.(a) | ||||
02/15/2024 | 9.250% | 40,000 | 44,357 | |
08/15/2027 | 5.125% | 35,000 | 36,431 | |
Diamond Sports Group LLC/Finance Co.(a) | ||||
08/15/2026 | 5.375% | 23,000 | 23,302 | |
08/15/2027 | 6.625% | 13,000 | 12,647 | |
Discovery Communications LLC | ||||
06/01/2040 | 6.350% | 500,000 | 639,634 | |
iHeartCommunications, Inc. | ||||
05/01/2026 | 6.375% | 8,440 | 9,179 | |
05/01/2027 | 8.375% | 49,580 | 54,707 | |
iHeartCommunications, Inc.(a) | ||||
08/15/2027 | 5.250% | 9,000 | 9,430 | |
01/15/2028 | 4.750% | 20,000 | 20,480 | |
Lamar Media Corp. | ||||
01/15/2024 | 5.375% | 27,000 | 27,601 | |
Netflix, Inc. | ||||
04/15/2028 | 4.875% | 39,000 | 40,609 | |
11/15/2028 | 5.875% | 16,000 | 17,754 | |
05/15/2029 | 6.375% | 36,000 | 41,149 | |
Netflix, Inc.(a) | ||||
06/15/2030 | 4.875% | 25,000 | 25,421 | |
Outfront Media Capital LLC/Corp.(a) | ||||
03/15/2030 | 4.625% | 29,000 | 29,516 | |
Scripps Escrow, Inc.(a) | ||||
07/15/2027 | 5.875% | 10,000 | 10,471 | |
TEGNA, Inc.(a) | ||||
09/15/2029 | 5.000% | 18,000 | 18,307 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Twitter, Inc.(a) | ||||
12/15/2027 | 3.875% | 16,000 | 15,996 | |
Total | 1,076,991 | |||
Metals and Mining 0.0% | ||||
Alcoa Nederland Holding BV(a) | ||||
09/30/2024 | 6.750% | 30,000 | 31,521 | |
Big River Steel LLC/Finance Corp.(a) | ||||
09/01/2025 | 7.250% | 34,000 | 35,775 | |
Constellium NV(a) | ||||
02/15/2026 | 5.875% | 43,000 | 45,523 | |
Freeport-McMoRan, Inc. | ||||
09/01/2029 | 5.250% | 28,000 | 29,996 | |
03/15/2043 | 5.450% | 51,000 | 52,824 | |
HudBay Minerals, Inc.(a) | ||||
01/15/2025 | 7.625% | 59,000 | 62,222 | |
Novelis Corp.(a) | ||||
09/30/2026 | 5.875% | 55,000 | 58,645 | |
Total | 316,506 | |||
Midstream 0.6% | ||||
Antero Midstream Partners LP/Finance Corp.(a) | ||||
03/01/2027 | 5.750% | 5,000 | 4,401 | |
Cheniere Energy Partners LP | ||||
10/01/2026 | 5.625% | 21,000 | 22,209 | |
Cheniere Energy Partners LP(a) | ||||
10/01/2029 | 4.500% | 35,000 | 35,953 | |
DCP Midstream Operating LP | ||||
05/15/2029 | 5.125% | 39,000 | 40,538 | |
04/01/2044 | 5.600% | 14,000 | 13,606 | |
Delek Logistics Partners LP/Finance Corp. | ||||
05/15/2025 | 6.750% | 18,000 | 18,147 | |
Energy Transfer Partners LP | ||||
02/01/2042 | 6.500% | 600,000 | 713,453 | |
Holly Energy Partners LP/Finance Corp.(a) | ||||
08/01/2024 | 6.000% | 63,000 | 65,694 | |
Kinder Morgan Energy Partners LP | ||||
03/01/2044 | 5.500% | 1,175,000 | 1,363,539 | |
MPLX LP | ||||
02/15/2049 | 5.500% | 785,000 | 890,570 | |
NuStar Logistics LP | ||||
06/01/2026 | 6.000% | 8,000 | 8,473 | |
04/28/2027 | 5.625% | 23,000 | 23,644 | |
Plains All American Pipeline LP/Finance Corp. | ||||
01/15/2037 | 6.650% | 1,100,000 | 1,301,990 | |
Rockpoint Gas Storage Canada Ltd.(a) | ||||
03/31/2023 | 7.000% | 32,000 | 31,336 |
Columbia Variable Portfolio – Balanced Fund | Annual Report 2019 | 19 |
December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Southern Natural Gas Co. LLC(a) | ||||
03/15/2047 | 4.800% | 370,000 | 418,815 | |
Sunoco LP/Finance Corp. | ||||
02/15/2026 | 5.500% | 17,000 | 17,658 | |
Tallgrass Energy Partners LP/Finance Corp.(a) | ||||
10/01/2023 | 4.750% | 16,000 | 15,980 | |
09/15/2024 | 5.500% | 11,000 | 11,038 | |
01/15/2028 | 5.500% | 24,000 | 23,499 | |
Targa Resources Partners LP/Finance Corp. | ||||
02/01/2027 | 5.375% | 35,000 | 36,352 | |
01/15/2028 | 5.000% | 55,000 | 56,200 | |
Targa Resources Partners LP/Finance Corp.(a) | ||||
03/01/2030 | 5.500% | 49,000 | 50,416 | |
TransMontaigne Partners LP/TLP Finance Corp. | ||||
02/15/2026 | 6.125% | 34,000 | 32,855 | |
Western Gas Partners LP | ||||
08/15/2048 | 5.500% | 700,000 | 618,114 | |
Williams Companies, Inc. (The) | ||||
09/15/2045 | 5.100% | 1,100,000 | 1,222,916 | |
Total | 7,037,396 | |||
Natural Gas 0.2% | ||||
NiSource, Inc. | ||||
02/15/2044 | 4.800% | 890,000 | 1,031,453 | |
Sempra Energy | ||||
11/15/2025 | 3.750% | 825,000 | 872,074 | |
Total | 1,903,527 | |||
Oil Field Services 0.0% | ||||
Apergy Corp. | ||||
05/01/2026 | 6.375% | 38,000 | 40,054 | |
Archrock Partners LP/Finance Corp.(a) | ||||
04/01/2028 | 6.250% | 9,000 | 9,268 | |
Diamond Offshore Drilling, Inc. | ||||
08/15/2025 | 7.875% | 9,000 | 7,821 | |
Nabors Industries, Inc. | ||||
02/01/2025 | 5.750% | 31,000 | 27,913 | |
SESI LLC | ||||
09/15/2024 | 7.750% | 7,000 | 4,654 | |
Transocean Guardian Ltd.(a) | ||||
01/15/2024 | 5.875% | 392 | 400 | |
Transocean Poseidon Ltd.(a) | ||||
02/01/2027 | 6.875% | 13,000 | 13,755 | |
Transocean Sentry Ltd.(a) | ||||
05/15/2023 | 5.375% | 31,000 | 31,543 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
USA Compression Partners LP/Finance Corp. | ||||
09/01/2027 | 6.875% | 29,000 | 30,304 | |
Total | 165,712 | |||
Packaging 0.0% | ||||
ARD Finance SA(a),(e) | ||||
06/30/2027 | 6.500% | 10,000 | 10,338 | |
Ardagh Packaging Finance PLC/Holdings USA, Inc.(a) | ||||
02/15/2025 | 6.000% | 45,000 | 47,201 | |
08/15/2027 | 5.250% | 26,000 | 27,359 | |
Berry Global, Inc. | ||||
07/15/2023 | 5.125% | 31,000 | 31,818 | |
Berry Global, Inc.(a) | ||||
02/15/2026 | 4.500% | 10,000 | 10,281 | |
BWAY Holding Co.(a) | ||||
04/15/2024 | 5.500% | 26,000 | 26,816 | |
Flex Acquisition Co., Inc.(a) | ||||
07/15/2026 | 7.875% | 18,000 | 18,242 | |
Reynolds Group Issuer, Inc./LLC | ||||
10/15/2020 | 5.750% | 44,579 | 44,648 | |
Reynolds Group Issuer, Inc./LLC(a) | ||||
07/15/2023 | 5.125% | 38,000 | 38,937 | |
07/15/2024 | 7.000% | 19,000 | 19,658 | |
Trivium Packaging Finance BV(a) | ||||
08/15/2026 | 5.500% | 15,000 | 15,881 | |
08/15/2027 | 8.500% | 7,000 | 7,788 | |
Total | 298,967 | |||
Pharmaceuticals 0.3% | ||||
AbbVie, Inc. | ||||
11/06/2042 | 4.400% | 1,000,000 | 1,082,866 | |
Allergan Funding SCS | ||||
03/15/2035 | 4.550% | 550,000 | 594,237 | |
Amgen, Inc. | ||||
03/15/2040 | 5.750% | 390,000 | 494,626 | |
Bausch Health Companies, Inc.(a) | ||||
05/15/2023 | 5.875% | 1,000 | 1,013 | |
03/15/2024 | 7.000% | 35,000 | 36,513 | |
04/01/2026 | 9.250% | 62,000 | 71,251 | |
01/31/2027 | 8.500% | 14,000 | 15,964 | |
01/30/2028 | 5.000% | 15,000 | 15,390 | |
01/30/2030 | 5.250% | 16,000 | 16,574 | |
Bristol-Myers Squibb Co.(a) | ||||
07/26/2029 | 3.400% | 650,000 | 696,294 | |
Eagle Holding Co. II LLC(a),(e) | ||||
05/15/2022 | 7.750% | 22,000 | 22,338 | |
Endo Dac/Finance LLC/Finco, Inc.(a) | ||||
07/15/2023 | 6.000% | 18,000 | 13,078 |
20 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2019 |
December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Gilead Sciences, Inc. | ||||
02/01/2025 | 3.500% | 525,000 | 557,094 | |
Jaguar Holding Co. II/Pharmaceutical Product Development LLC(a) | ||||
08/01/2023 | 6.375% | 30,000 | 31,009 | |
Par Pharmaceutical, Inc.(a) | ||||
04/01/2027 | 7.500% | 18,000 | 17,981 | |
Total | 3,666,228 | |||
Property & Casualty 0.2% | ||||
Alliant Holdings Intermediate LLC/Co-Issuer(a) | ||||
10/15/2027 | 6.750% | 17,000 | 18,236 | |
CNA Financial Corp. | ||||
03/01/2026 | 4.500% | 675,000 | 741,514 | |
HUB International Ltd.(a) | ||||
05/01/2026 | 7.000% | 30,000 | 31,827 | |
Loews Corp. | ||||
04/01/2026 | 3.750% | 850,000 | 911,825 | |
USI, Inc.(a) | ||||
05/01/2025 | 6.875% | 11,000 | 11,220 | |
Total | 1,714,622 | |||
Railroads 0.1% | ||||
CSX Corp. | ||||
03/15/2044 | 4.100% | 600,000 | 656,534 | |
Union Pacific Corp. | ||||
09/15/2037 | 3.600% | 715,000 | 742,810 | |
Total | 1,399,344 | |||
Restaurants 0.0% | ||||
1011778 BC ULC/New Red Finance, Inc.(a) | ||||
10/15/2025 | 5.000% | 28,000 | 29,048 | |
IRB Holding Corp.(a) | ||||
02/15/2026 | 6.750% | 49,000 | 51,301 | |
Total | 80,349 | |||
Retail REIT 0.1% | ||||
Kimco Realty Corp. | ||||
10/01/2026 | 2.800% | 700,000 | 703,432 | |
Simon Property Group LP | ||||
02/01/2040 | 6.750% | 525,000 | 770,369 | |
Total | 1,473,801 | |||
Retailers 0.1% | ||||
L Brands, Inc. | ||||
06/15/2029 | 7.500% | 9,000 | 9,322 | |
11/01/2035 | 6.875% | 14,000 | 12,573 | |
Lowe’s Companies, Inc. | ||||
04/05/2049 | 4.550% | 425,000 | 500,491 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Penske Automotive Group, Inc. | ||||
10/01/2022 | 5.750% | 22,000 | 22,340 | |
PetSmart, Inc.(a) | ||||
03/15/2023 | 7.125% | 35,000 | 34,315 | |
06/01/2025 | 5.875% | 34,000 | 34,721 | |
Total | 613,762 | |||
Supermarkets 0.1% | ||||
Albertsons Companies LLC/Safeway, Inc./New Albertsons LP(a) | ||||
03/15/2026 | 7.500% | 18,000 | 20,232 | |
02/15/2028 | 5.875% | 26,000 | 27,656 | |
Albertsons Companies, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(a) | ||||
01/15/2027 | 4.625% | 14,000 | 14,000 | |
Kroger Co. (The) | ||||
01/15/2048 | 4.650% | 665,000 | 727,069 | |
Total | 788,957 | |||
Technology 0.2% | ||||
Alliance Data Systems Corp.(a) | ||||
12/15/2024 | 4.750% | 30,000 | 29,945 | |
Ascend Learning LLC(a) | ||||
08/01/2025 | 6.875% | 22,000 | 23,126 | |
08/01/2025 | 6.875% | 21,000 | 22,048 | |
Banff Merger Sub, Inc.(a) | ||||
09/01/2026 | 9.750% | 6,000 | 6,088 | |
Broadcom Corp./Cayman Finance Ltd. | ||||
01/15/2027 | 3.875% | 1,175,000 | 1,220,698 | |
Camelot Finance SA(a) | ||||
11/01/2026 | 4.500% | 17,000 | 17,437 | |
CDK Global, Inc. | ||||
06/01/2027 | 4.875% | 17,000 | 17,985 | |
CommScope Finance LLC(a) | ||||
03/01/2024 | 5.500% | 11,000 | 11,483 | |
03/01/2026 | 6.000% | 21,000 | 22,345 | |
CommScope Technologies LLC(a) | ||||
06/15/2025 | 6.000% | 19,000 | 19,058 | |
03/15/2027 | 5.000% | 5,000 | 4,649 | |
Ensemble S Merger Sub, Inc.(a) | ||||
09/30/2023 | 9.000% | 11,000 | 11,292 | |
Gartner, Inc.(a) | ||||
04/01/2025 | 5.125% | 17,000 | 17,716 | |
Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/U.S. Holdings I LLC(a) | ||||
11/30/2024 | 10.000% | 13,000 | 14,047 | |
Informatica LLC(a) | ||||
07/15/2023 | 7.125% | 31,000 | 31,518 | |
Iron Mountain, Inc. | ||||
08/15/2024 | 5.750% | 36,000 | 36,392 |
Columbia Variable Portfolio – Balanced Fund | Annual Report 2019 | 21 |
December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Iron Mountain, Inc.(a) | ||||
09/15/2029 | 4.875% | 18,000 | 18,303 | |
NCR Corp. | ||||
12/15/2023 | 6.375% | 27,000 | 27,688 | |
NCR Corp.(a) | ||||
09/01/2027 | 5.750% | 8,000 | 8,527 | |
09/01/2029 | 6.125% | 19,000 | 20,629 | |
Oracle Corp. | ||||
04/15/2038 | 6.500% | 400,000 | 577,992 | |
Plantronics, Inc.(a) | ||||
05/31/2023 | 5.500% | 14,000 | 13,750 | |
PTC, Inc. | ||||
05/15/2024 | 6.000% | 9,000 | 9,393 | |
Qualitytech LP/QTS Finance Corp.(a) | ||||
11/15/2025 | 4.750% | 57,000 | 59,075 | |
Refinitiv US Holdings, Inc.(a) | ||||
11/15/2026 | 8.250% | 37,000 | 41,687 | |
Solera LLC/Finance, Inc.(a) | ||||
03/01/2024 | 10.500% | 13,000 | 13,813 | |
Tempo Acquisition LLC/Finance Corp.(a) | ||||
06/01/2025 | 6.750% | 15,000 | 15,499 | |
Verscend Escrow Corp.(a) | ||||
08/15/2026 | 9.750% | 27,000 | 29,596 | |
Total | 2,341,779 | |||
Transportation Services 0.1% | ||||
Avis Budget Car Rental LLC/Finance, Inc.(a) | ||||
03/15/2025 | 5.250% | 26,000 | 26,809 | |
ERAC U.S.A. Finance LLC(a) | ||||
10/15/2037 | 7.000% | 700,000 | 986,363 | |
Hertz Corp. (The)(a) | ||||
06/01/2022 | 7.625% | 11,000 | 11,436 | |
10/15/2024 | 5.500% | 13,000 | 13,360 | |
01/15/2028 | 6.000% | 60,000 | 60,158 | |
XPO Logistics, Inc.(a) | ||||
06/15/2022 | 6.500% | 21,000 | 21,398 | |
Total | 1,119,524 | |||
Wireless 0.1% | ||||
Altice France SA(a) | ||||
05/01/2026 | 7.375% | 83,000 | 89,230 | |
01/15/2028 | 5.500% | 32,000 | 32,987 | |
Altice Luxembourg SA(a) | ||||
05/15/2027 | 10.500% | 24,000 | 27,530 | |
American Tower Corp. | ||||
07/15/2027 | 3.550% | 675,000 | 708,788 | |
SBA Communications Corp. | ||||
09/01/2024 | 4.875% | 22,000 | 22,885 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Sprint Corp. | ||||
03/01/2026 | 7.625% | 104,000 | 114,794 | |
T-Mobile U.S.A., Inc. | ||||
01/15/2026 | 6.500% | 25,000 | 26,844 | |
02/01/2026 | 4.500% | 47,000 | 48,397 | |
02/01/2028 | 4.750% | 33,000 | 34,611 | |
Total | 1,106,066 | |||
Wirelines 0.3% | ||||
AT&T, Inc. | ||||
08/15/2040 | 6.000% | 1,550,000 | 1,994,870 | |
CenturyLink, Inc. | ||||
03/15/2022 | 5.800% | 56,000 | 58,981 | |
04/01/2025 | 5.625% | 23,000 | 24,470 | |
CenturyLink, Inc.(a) | ||||
12/15/2026 | 5.125% | 41,000 | 41,708 | |
Frontier Communications Corp.(a) | ||||
04/01/2026 | 8.500% | 13,000 | 13,171 | |
Telecom Italia Capital SA | ||||
09/30/2034 | 6.000% | 10,000 | 10,794 | |
Telecom Italia SpA(a) | ||||
05/30/2024 | 5.303% | 13,000 | 14,024 | |
Verizon Communications, Inc. | ||||
08/10/2033 | 4.500% | 1,250,000 | 1,461,583 | |
Zayo Group LLC/Capital, Inc. | ||||
05/15/2025 | 6.375% | 25,000 | 25,835 | |
Zayo Group LLC/Capital, Inc.(a) | ||||
01/15/2027 | 5.750% | 28,000 | 28,570 | |
Total | 3,674,006 | |||
Total Corporate Bonds & Notes (Cost $74,669,371) | 81,059,459 |
Exchange-Traded Equity Funds 1.0% | ||
Shares | Value ($) | |
International Mid Large Cap 1.0% | ||
iShares Core MSCI EAFE ETF | 168,620 | 11,000,769 |
Total Exchange-Traded Equity Funds (Cost $11,306,142) | 11,000,769 |
22 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2019 |
December 31, 2019
Foreign Government Obligations(f) 0.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Canada 0.0% | ||||
NOVA Chemicals Corp.(a) | ||||
06/01/2027 | 5.250% | 13,000 | 13,409 | |
Total Foreign Government Obligations (Cost $13,557) | 13,409 | |||
Inflation-Indexed Bonds 0.3% | ||||
United States 0.3% | ||||
U.S. Treasury Inflation-Indexed Bond | ||||
04/15/2022 | 0.125% | 3,624,301 | 3,619,527 | |
Total Inflation-Indexed Bonds (Cost $3,554,504) | 3,619,527 | |||
Residential Mortgage-Backed Securities - Agency 10.3% | ||||
Federal Home Loan Mortgage Corp. | ||||
01/01/2030- 05/01/2049 | 3.500% | 8,757,947 | 9,071,951 | |
04/01/2032- 06/01/2037 | 6.000% | 193,678 | 219,742 | |
04/01/2032 | 7.000% | 38,236 | 43,226 | |
05/01/2032- 07/01/2032 | 6.500% | 259,217 | 287,889 | |
01/01/2034- 05/01/2041 | 5.000% | 737,233 | 812,823 | |
07/01/2034- 05/01/2049 | 3.000% | 12,598,859 | 12,883,454 | |
02/01/2038 | 5.500% | 346,285 | 389,074 | |
05/01/2039- 08/01/2041 | 4.500% | 1,996,510 | 2,168,863 | |
01/01/2045- 08/01/2045 | 4.000% | 1,120,663 | 1,188,270 | |
Federal National Mortgage Association | ||||
05/01/2024- 12/01/2028 | 6.000% | 49,214 | 54,476 | |
03/01/2026- 12/01/2032 | 7.000% | 409,211 | 430,923 | |
10/01/2026- 03/01/2049 | 3.500% | 6,335,665 | 6,596,499 | |
11/01/2026- 01/01/2029 | 4.000% | 633,599 | 662,241 | |
08/01/2028- 09/01/2032 | 6.500% | 106,862 | 120,231 | |
02/01/2038- 03/01/2038 | 5.500% | 201,357 | 224,227 | |
10/01/2046- 09/01/2049 | 3.000% | 4,968,729 | 5,046,925 | |
Federal National Mortgage Association(g) | ||||
01/16/2035- 01/14/2050 | 4.000% | 32,200,000 | 33,506,250 | |
01/14/2050 | 3.000% | 18,625,000 | 18,889,824 | |
01/14/2050 | 3.500% | 22,625,000 | 23,274,585 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal National Mortgage Association(h) | ||||
09/01/2040 | 4.000% | 829,269 | 889,433 | |
10/01/2040 | 4.500% | 367,676 | 399,264 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $116,451,978) | 117,160,170 | |||
Residential Mortgage-Backed Securities - Non-Agency 8.5% | ||||
Angel Oak Mortgage Trust I LLC(a),(i) | ||||
CMO Series 2018-3 Class A3 | ||||
09/25/2048 | 3.853% | 866,144 | 881,513 | |
CMO Series 2019-2 Class A3 | ||||
03/25/2049 | 3.833% | 923,655 | 936,267 | |
Angel Oak Mortgage Trust LLC(a),(i) | ||||
CMO Series 2017-1 Class A1 | ||||
01/25/2047 | 2.810% | 90,766 | 90,702 | |
Arroyo Mortgage Trust(a),(i) | ||||
CMO Series 2018-1 Class A1 | ||||
04/25/2048 | 3.763% | 1,191,376 | 1,202,069 | |
CMO Series 2019-1 Class A1 | ||||
01/25/2049 | 3.805% | 1,881,061 | 1,894,587 | |
Bayview Opportunity Master Fund IIIb Trust(a),(i) | ||||
CMO Series 2019-LT1 Class A1 | ||||
08/28/2034 | 3.228% | 353,248 | 353,318 | |
Series 2019-LT2 Class A1 | ||||
10/28/2034 | 3.376% | 624,090 | 624,536 | |
Bayview Opportunity Master Fund IVa Trust(a) | ||||
CMO Series 2016-SPL1 Class A | ||||
04/28/2055 | 4.000% | 366,302 | 373,619 | |
Bayview Opportunity Master Fund IVa Trust(a),(i) | ||||
CMO Series 2019-RN2 Class A1 | ||||
03/28/2034 | 3.967% | 172,692 | 172,869 | |
Bellemeade Re Ltd.(a),(b) | ||||
CMO Series 2018-2A Class M1A | ||||
1-month USD LIBOR + 0.950% 08/25/2028 | 2.742% | 127,120 | 127,115 | |
CMO Series 2019-1A Class M1A | ||||
1-month USD LIBOR + 1.300% Floor 1.300% 03/25/2029 | 3.092% | 500,528 | 500,934 | |
CMO Series 2019-3A Class M1A | ||||
1-month USD LIBOR + 1.100% Floor 1.100% 07/25/2029 | 2.892% | 1,081,000 | 1,082,134 | |
BRAVO Residential Funding Trust(a),(i) | ||||
CMO Series 2019-NQM1 Class A1 | ||||
07/25/2059 | 2.666% | 1,862,761 | 1,851,227 | |
CMO Series 2019-NQM1 Class A3 | ||||
07/25/2059 | 2.996% | 721,069 | 716,225 |
Columbia Variable Portfolio – Balanced Fund | Annual Report 2019 | 23 |
December 31, 2019
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2019-NQM1 Class M1 | ||||
07/25/2059 | 2.997% | 350,000 | 348,930 | |
CMO Series 2019-NQM2 Class A1 | ||||
11/25/2059 | 2.748% | 2,598,530 | 2,593,903 | |
CMO Series 2019-NQM2 Class A3 | ||||
11/25/2059 | 3.108% | 866,177 | 864,661 | |
CMO Series 2019-NQM2 Class M1 | ||||
11/25/2059 | 3.451% | 925,000 | 920,281 | |
CIM Trust(a),(b) | ||||
CMO Series 2018-R6 Class A1 | ||||
1-month USD LIBOR + 1.076% Floor 1.080% 09/25/2058 | 2.857% | 2,935,387 | 2,918,643 | |
Citigroup Mortgage Loan Trust(a),(i) | ||||
CMO Series 2019-C Class A1 | ||||
03/25/2082 | 3.228% | 1,664,575 | 1,662,493 | |
Citigroup Mortgage Loan Trust, Inc.(a),(i) | ||||
CMO Series 2019-IMC1 Class A3 | ||||
07/25/2049 | 3.030% | 858,333 | 855,522 | |
COLT 2019-1 Mortgage Loan Trust(a),(i) | ||||
CMO Series 2019-1 Class A3 | ||||
03/25/2049 | 4.012% | 899,351 | 906,430 | |
COLT Mortgage Loan Trust(a),(i) | ||||
CMO Series 2018-2 Class A1 | ||||
07/27/2048 | 3.470% | 279,859 | 280,560 | |
CMO Series 2018-4 Class A1 | ||||
12/28/2048 | 4.006% | 1,125,096 | 1,129,678 | |
COLT Mortgage Loan Trust(a) | ||||
CMO Series 2018-3 Class A1 | ||||
10/26/2048 | 3.692% | 622,781 | 624,568 | |
CSMC Trust(a),(i) | ||||
CMO Series 2018-RPL9 Class A | ||||
09/25/2057 | 3.850% | 3,186,399 | 3,320,222 | |
CSMC Trust(a) | ||||
CMO Series 2019-AFC1 Class A1 | ||||
07/25/2049 | 2.573% | 2,339,920 | 2,330,976 | |
Deephaven Residential Mortgage Trust(a),(i) | ||||
CMO Series 2017-1A Class A1 | ||||
12/26/2046 | 2.725% | 178,633 | 177,842 | |
CMO Series 2018-3A Class A3 | ||||
08/25/2058 | 3.963% | 456,113 | 458,247 | |
CMO Series 2018-4A Class A1 | ||||
10/25/2058 | 4.080% | 1,987,470 | 1,998,889 | |
CMO Series 2019-1A Class A3 | ||||
01/25/2059 | 3.948% | 471,284 | 475,029 | |
Eagle RE Ltd.(a),(b) | ||||
CMO Series 2019-1 Class M1A | ||||
1-month USD LIBOR + 1.250% 04/25/2029 | 3.042% | 424,521 | 424,368 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Ellington Financial Mortgage Trust(a),(i) | ||||
CMO Series 2019-2 Class A3 | ||||
11/25/2059 | 3.046% | 537,839 | 536,083 | |
GCAT LLC(a),(i) | ||||
CMO Series 2019-1 Class A1 | ||||
04/26/2049 | 4.089% | 556,792 | 558,188 | |
CMO Series 2019-2 Class A1 | ||||
06/25/2024 | 3.475% | 1,365,486 | 1,365,761 | |
CMO Series 2019-3 Class A1 | ||||
10/25/2049 | 3.352% | 868,323 | 867,343 | |
GCAT Trust(a),(i) | ||||
CMO Series 2019-NQM2 Class A2 | ||||
09/25/2059 | 3.060% | 1,391,806 | 1,390,606 | |
CMO Series 2019-NQM2 Class A3 | ||||
09/25/2059 | 3.162% | 805,882 | 804,027 | |
CMO Series 2019-RPL1 Class A1 | ||||
10/25/2068 | 2.650% | 1,937,006 | 1,934,660 | |
Genworth Mortgage Insurance Corp.(a),(b) | ||||
CMO Series 2019-1 Class M1 | ||||
1-month USD LIBOR + 1.900% Floor 1.900% 11/26/2029 | 3.674% | 1,200,000 | 1,199,998 | |
GS Mortgage-Backed Securities Trust(a),(i) | ||||
CMO Series 2019-SL1 Class A1 | ||||
01/25/2059 | 2.625% | 3,103,993 | 3,079,598 | |
Homeward Opportunities Fund I Trust(a) | ||||
CMO Series 2018-2 Class A3 | ||||
11/25/2058 | 4.239% | 1,099,864 | 1,117,987 | |
Homeward Opportunities Fund I Trust(a),(i) | ||||
CMO Series 2019-1 Class A3 | ||||
01/25/2059 | 3.606% | 1,178,997 | 1,190,768 | |
Legacy Mortgage Asset Trust(a),(i) | ||||
CMO Series 2019-GS5 Class A1 | ||||
05/25/2059 | 3.200% | 1,144,404 | 1,145,774 | |
MetLife Securitization Trust(a) | ||||
CMO Series 2018-1A Class A | ||||
03/25/2057 | 3.750% | 903,357 | 938,358 | |
MFA Trust(a),(i) | ||||
CMO Series 2017-RPL1 Class A1 | ||||
02/25/2057 | 2.588% | 554,906 | 552,986 | |
Mill City Mortgage Loan Trust(a) | ||||
CMO Series 2018-3 Class A1 | ||||
08/25/2058 | 3.500% | 2,052,075 | 2,099,588 | |
New Residential Mortgage Loan Trust(a) | ||||
CMO Series 2016-3A Class A1 | ||||
09/25/2056 | 3.750% | 345,154 | 355,170 | |
CMO Series 2018-NQM1 Class A1 | ||||
11/25/2048 | 3.986% | 1,451,261 | 1,467,062 |
24 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2019 |
December 31, 2019
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2018-NQM1 Class A3 | ||||
11/25/2048 | 4.138% | 604,712 | 605,988 | |
New Residential Mortgage Loan Trust(a),(i) | ||||
CMO Series 2019-NQM2 Class A3 | ||||
04/25/2049 | 3.752% | 1,008,901 | 1,022,698 | |
CMO Series 2019-RPL1 Class A1 | ||||
02/26/2024 | 4.335% | 1,314,658 | 1,324,104 | |
Preston Ridge Partners Mortgage LLC(a) | ||||
CMO Series 2019-2A Class A1 | ||||
04/25/2024 | 3.967% | 1,263,926 | 1,267,072 | |
Radnor Re Ltd.(a),(b) | ||||
CMO Series 2019-1 Class M1A | ||||
1-month USD LIBOR + 1.250% Floor 1.250% 02/25/2029 | 3.042% | 446,979 | 446,929 | |
RCO Trust(a),(i) | ||||
CMO Series 2018-VFS1 Class A1 | ||||
12/26/2053 | 4.270% | 2,829,460 | 2,874,605 | |
RCO V Mortgage LLC(a),(i) | ||||
CMO Series 2018-2 Class A1 | ||||
10/25/2023 | 4.458% | 1,171,710 | 1,176,629 | |
RCO V Mortgage LLC(a) | ||||
CMO Series 2019-1 Class A1 | ||||
05/24/2024 | 3.721% | 1,087,264 | 1,090,852 | |
Residential Mortgage Loan Trust(a),(i) | ||||
CMO Series 2019-1 Class A3 | ||||
10/25/2058 | 4.242% | 895,644 | 905,489 | |
Starwood Mortgage Residential Trust(a),(i) | ||||
CMO Series 2018-IMC1 Class A3 | ||||
03/25/2048 | 3.977% | 612,209 | 613,760 | |
CMO Series 2019-1 Class A3 | ||||
06/25/2049 | 3.299% | 588,618 | 584,741 | |
CMO Series 2019-IMC1 Class A3 | ||||
04/25/2049 | 3.754% | 353,897 | 356,156 | |
CMO Series 2019-INV1 Class A1 | ||||
08/25/2049 | 2.610% | 1,418,877 | 1,409,325 | |
CMO Series 2019-INV1 Class A3 | ||||
08/25/2049 | 2.916% | 649,317 | 644,979 | |
Toorak Mortgage Corp., Ltd.(i) | ||||
CMO Series 2019-2 Class A1 | ||||
09/25/2022 | 3.721% | 1,375,000 | 1,371,797 | |
Towd Point Mortgage Trust(a) | ||||
CMO Series 15-5 Class A1 | ||||
05/25/2055 | 3.500% | 438,865 | 443,360 | |
CMO Series 2015-6 Class A1 | ||||
04/25/2055 | 3.500% | 549,608 | 556,757 | |
CMO Series 2016-1 Class A1 | ||||
02/25/2055 | 3.500% | 432,445 | 437,481 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2016-2 Class A1 | ||||
08/25/2055 | 3.000% | 653,353 | 658,893 | |
CMO Series 2016-3 Class A1 | ||||
04/25/2056 | 2.250% | 307,653 | 306,883 | |
CMO Series 2017-4 Class A1 | ||||
06/25/2057 | 2.750% | 752,251 | 755,086 | |
Towd Point Mortgage Trust(a),(i) | ||||
CMO Series 2018-1 Class A1 | ||||
01/25/2058 | 3.000% | 508,606 | 513,983 | |
CMO Series 2018-6 Class A1A | ||||
03/25/2058 | 3.750% | 2,171,764 | 2,227,732 | |
Towd Point Mortgage Trust(a),(b) | ||||
CMO Series 2019-HY1 Class A1 | ||||
1-month USD LIBOR + 1.000% 10/25/2048 | 2.792% | 1,494,079 | 1,497,319 | |
CMO Series 2019-HY2 Class A1 | ||||
1-month USD LIBOR + 1.000% Floor 1.000% 05/25/2058 | 2.792% | 1,735,308 | 1,736,522 | |
Vericrest Opportunity Loan Transferee LXXII LLC(a) | ||||
CMO Series 2018-NPL8 Class A1A | ||||
10/26/2048 | 4.213% | 1,314,598 | 1,313,273 | |
Vericrest Opportunity Loan Transferee LXXV LLC(a) | ||||
CMO Series 2019-NPL1 Class A1A | ||||
01/25/2049 | 4.336% | 1,048,130 | 1,054,100 | |
Vericrest Opportunity Loan Trust(a),(i) | ||||
CMO Series 2019-NPL3 Class A1 | ||||
03/25/2049 | 3.967% | 387,156 | 389,050 | |
CMO Series 2019-NPL4 Class A1A | ||||
08/25/2049 | 3.352% | 1,460,828 | 1,464,329 | |
CMO Series 2019-NPL5 Class A1A | ||||
09/25/2049 | 3.352% | 2,125,458 | 2,121,425 | |
CMO Series 2019-NPL7 Class A1A | ||||
10/25/2049 | 3.179% | 1,848,446 | 1,841,331 | |
CMO Series 2019-NPL8 Class A1A | ||||
11/25/2049 | 3.278% | 1,756,552 | 1,752,304 | |
Verus Securitization Trust(a),(i) | ||||
CMO Series 2017-1A Class A1 | ||||
01/25/2047 | 2.881% | 183,753 | 183,736 | |
CMO Series 2018-2 Class A3 | ||||
06/01/2058 | 3.830% | 1,180,485 | 1,183,074 | |
CMO Series 2019-1 Class A3 | ||||
02/25/2059 | 4.040% | 1,130,627 | 1,142,286 | |
CMO Series 2019-3 Class A3 | ||||
07/25/2059 | 3.040% | 1,549,099 | 1,551,286 | |
CMO Series 2019-4 Class A3 | ||||
11/25/2059 | 3.000% | 1,615,143 | 1,608,546 |
Columbia Variable Portfolio – Balanced Fund | Annual Report 2019 | 25 |
December 31, 2019
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2019-INV1 Class A3 | ||||
12/25/2059 | 3.658% | 771,042 | 772,414 | |
Visio Trust(a),(i) | ||||
CMO Series 2019-1 Class A3 | ||||
06/25/2054 | 3.825% | 649,617 | 648,322 | |
CMO Series 2019-2 Class A3 | ||||
11/25/2054 | 3.076% | 1,010,004 | 1,005,902 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $96,149,726) | 96,562,832 | |||
Senior Loans 0.0% | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Construction Machinery 0.0% | ||||
Vertiv Group Corp.(b),(j) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 4.000% Floor 1.000% 11/30/2023 | 5.927% | 25,000 | 24,915 | |
Finance Companies 0.0% | ||||
Ellie Mae, Inc.(b),(j) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 4.000% 04/17/2026 | 5.945% | 30,923 | 31,058 | |
Food and Beverage 0.0% | ||||
8th Avenue Food & Provisions, Inc.(b),(j) | ||||
2nd Lien Term Loan | ||||
3-month USD LIBOR + 7.750% 10/01/2026 | 9.486% | 4,859 | 4,762 | |
Metals and Mining 0.0% | ||||
Big River Steel LLC(b),(j) | ||||
Term Loan | ||||
3-month USD LIBOR + 5.000% Floor 1.000% 08/23/2023 | 6.945% | 26,856 | 26,789 | |
Property & Casualty 0.0% | ||||
HUB International Ltd.(b),(j) | ||||
Term Loan | ||||
3-month USD LIBOR + 2.750% 04/25/2025 | 4.690% | 6,895 | 6,886 | |
Restaurants 0.0% | ||||
IRB Holding Corp./Arby’s/Buffalo Wild Wings(b),(j) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 3.250% Floor 1.000% 02/05/2025 | 5.216% | 16,871 | 16,960 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Retailers 0.0% | ||||
BellRing Brands LLC(b),(j) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 5.000% Floor 1.000% 10/10/2024 | 6.799% | 20,000 | 20,188 | |
Technology 0.0% | ||||
Dun & Bradstreet Corp. (The)(b),(j) | ||||
Term Loan | ||||
3-month USD LIBOR + 5.000% 02/06/2026 | 6.792% | 29,000 | 29,230 | |
Greeneden US Holdings I LLC/Genesys Telecommunications Laboratories, Inc.(b),(j) | ||||
Tranche B3 Term Loan | ||||
3-month USD LIBOR + 3.250% 12/01/2023 | 5.049% | 22,552 | 22,604 | |
Project Alpha Intermediate Holding, Inc.(b),(j) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.500% Floor 1.000% 04/26/2024 | 5.490% | 6,008 | 6,011 | |
3-month USD LIBOR + 4.250% 04/26/2024 | 6.240% | 19,068 | 19,187 | |
Refinitiv US Holdings, Inc.(a),(b),(j) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.250% 10/01/2025 | 5.049% | 46,330 | 46,724 | |
Total | 123,756 | |||
Total Senior Loans (Cost $250,834) | 255,314 | |||
U.S. Treasury Obligations 0.6% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
U.S. Treasury | ||||
02/15/2045 | 2.500% | 6,875,000 | 7,032,910 | |
Total U.S. Treasury Obligations (Cost $7,023,089) | 7,032,910 |
Money Market Funds 5.2% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(k),(l) | 58,805,844 | 58,799,963 |
Total Money Market Funds (Cost $58,801,924) | 58,799,963 | |
Total Investments in Securities (Cost: $1,015,490,831) | 1,209,012,100 | |
Other Assets & Liabilities, Net | (70,646,479) | |
Net Assets | 1,138,365,621 |
26 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2019 |
December 31, 2019
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 10-Year Note | 277 | 03/2020 | USD | 35,572,859 | — | (248,914) |
U.S. Treasury 2-Year Note | 85 | 03/2020 | USD | 18,317,500 | — | (8,130) |
U.S. Treasury 5-Year Note | 120 | 03/2020 | USD | 14,233,125 | — | (45,228) |
U.S. Ultra Treasury Bond | 83 | 03/2020 | USD | 15,077,469 | — | (454,110) |
Total | — | (756,382) |
(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. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At December 31, 2019, the total value of these securities amounted to $221,845,669, which represents 19.49% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of December 31, 2019. |
(c) | Non-income producing investment. |
(d) | 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 December 31, 2019. |
(e) | Payment-in-kind security. Interest can be paid by issuing additional par of the security or in cash. |
(f) | Principal and interest may not be guaranteed by a governmental entity. |
(g) | Represents a security purchased on a when-issued basis. |
(h) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(i) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of December 31, 2019. |
(j) | The stated interest rate represents the weighted average interest rate at December 31, 2019 of contracts within the senior loan facility. Interest rates on contracts are primarily determined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. These base lending rates are primarily the London Interbank Offered Rate (“LIBOR”) and other short-term rates. Base lending rates may be subject to a floor or minimum rate. The interest rate for senior loans purchased on a when-issued or delayed delivery basis will be determined upon settlement, therefore no interest rate is disclosed. Senior loans often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, cannot be predicted with accuracy. As a result, remaining maturities of senior loans may be less than the stated maturities. |
(k) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
(l) | As defined in the Investment Company Act of 1940, 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. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | ||||||||
52,213,498 | 347,331,180 | (340,738,834) | 58,805,844 | (527) | 1,612 | 1,614,368 | 58,799,963 |
CMO | Collateralized Mortgage Obligation |
USD | US Dollar |
Columbia Variable Portfolio – Balanced Fund | Annual Report 2019 | 27 |
December 31, 2019
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Asset-Backed Securities — Non-Agency | — | 79,138,316 | — | 79,138,316 |
Commercial Mortgage-Backed Securities - Agency | — | 362,115 | — | 362,115 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 43,170,632 | — | 43,170,632 |
Common Stocks | ||||
Communication Services | 103,439,744 | — | — | 103,439,744 |
Consumer Discretionary | 56,634,267 | — | — | 56,634,267 |
Consumer Staples | 32,767,817 | — | — | 32,767,817 |
Energy | 40,226,433 | — | — | 40,226,433 |
Financials | 109,121,666 | — | — | 109,121,666 |
Health Care | 89,280,643 | — | — | 89,280,643 |
Industrials | 54,794,157 | — | — | 54,794,157 |
Information Technology | 187,399,282 | — | — | 187,399,282 |
Materials | 23,044,929 | — | — | 23,044,929 |
Real Estate | 8,246,861 | — | — | 8,246,861 |
Utilities | 5,880,885 | — | — | 5,880,885 |
Total Common Stocks | 710,836,684 | — | — | 710,836,684 |
Corporate Bonds & Notes | — | 81,059,459 | — | 81,059,459 |
Exchange-Traded Equity Funds | 11,000,769 | — | — | 11,000,769 |
Foreign Government Obligations | — | 13,409 | — | 13,409 |
Inflation-Indexed Bonds | — | 3,619,527 | — | 3,619,527 |
Residential Mortgage-Backed Securities - Agency | — | 117,160,170 | — | 117,160,170 |
Residential Mortgage-Backed Securities - Non-Agency | — | 96,562,832 | — | 96,562,832 |
Senior Loans | — | 255,314 | — | 255,314 |
28 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2019 |
December 31, 2019
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
U.S. Treasury Obligations | 7,032,910 | — | — | 7,032,910 |
Money Market Funds | 58,799,963 | — | — | 58,799,963 |
Total Investments in Securities | 787,670,326 | 421,341,774 | — | 1,209,012,100 |
Investments in Derivatives | ||||
Liability | ||||
Futures Contracts | (756,382) | — | — | (756,382) |
Total | 786,913,944 | 421,341,774 | — | 1,208,255,718 |
Columbia Variable Portfolio – Balanced Fund | Annual Report 2019 | 29 |
December 31, 2019
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $956,688,907) | $1,150,212,137 |
Affiliated issuers (cost $58,801,924) | 58,799,963 |
Receivable for: | |
Investments sold | 4,239,529 |
Investments sold on a delayed delivery basis | 64,536 |
Capital shares sold | 173 |
Dividends | 650,150 |
Interest | 1,887,637 |
Foreign tax reclaims | 26,545 |
Variation margin for futures contracts | 3,984 |
Prepaid expenses | 3,809 |
Total assets | 1,215,888,463 |
Liabilities | |
Due to custodian | 112,795 |
Payable for: | |
Investments purchased on a delayed delivery basis | 75,639,094 |
Capital shares purchased | 1,344,250 |
Variation margin for futures contracts | 129,078 |
Management services fees | 21,392 |
Distribution and/or service fees | 3,897 |
Service fees | 57,392 |
Compensation of board members | 90,964 |
Compensation of chief compliance officer | 240 |
Other expenses | 123,740 |
Total liabilities | 77,522,842 |
Net assets applicable to outstanding capital stock | $1,138,365,621 |
Represented by | |
Trust capital | $1,138,365,621 |
Total - representing net assets applicable to outstanding capital stock | $1,138,365,621 |
Class 1 | |
Net assets | $741,476 |
Shares outstanding | 23,785 |
Net asset value per share | $31.17 |
Class 2 | |
Net assets | $3,727 |
Shares outstanding | 121 |
Net asset value per share(a) | $30.74 |
Class 3 | |
Net assets | $1,137,620,418 |
Shares outstanding | 36,708,142 |
Net asset value per share | $30.99 |
(a) | Net asset value per share rounds to this amount due to fractional shares outstanding. |
30 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2019 |
Year Ended December 31, 2019
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $12,485,833 |
Dividends — affiliated issuers | 1,614,368 |
Interest | 12,481,392 |
Interfund lending | 4,242 |
Foreign taxes withheld | (49,652) |
Total income | 26,536,183 |
Expenses: | |
Management services fees | 7,477,461 |
Distribution and/or service fees | |
Class 2 | 9 |
Class 3 | 1,355,977 |
Service fees | 651,187 |
Compensation of board members | 33,223 |
Custodian fees | 53,407 |
Printing and postage fees | 205,788 |
Audit fees | 35,000 |
Legal fees | 17,423 |
Compensation of chief compliance officer | 229 |
Other | 20,738 |
Total expenses | 9,850,442 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (299,030) |
Total net expenses | 9,551,412 |
Net investment income | 16,984,771 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 33,455,991 |
Investments — affiliated issuers | (527) |
Foreign currency translations | (303) |
Futures contracts | 1,301,893 |
Net realized gain | 34,757,054 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 170,099,304 |
Investments — affiliated issuers | 1,612 |
Foreign currency translations | 2,123 |
Futures contracts | (1,328,380) |
Net change in unrealized appreciation (depreciation) | 168,774,659 |
Net realized and unrealized gain | 203,531,713 |
Net increase in net assets resulting from operations | $220,516,484 |
Columbia Variable Portfolio – Balanced Fund | Annual Report 2019 | 31 |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $16,984,771 | $15,727,338 |
Net realized gain | 34,757,054 | 66,406,845 |
Net change in unrealized appreciation (depreciation) | 168,774,659 | (144,993,109) |
Net increase (decrease) in net assets resulting from operations | 220,516,484 | (62,858,926) |
Decrease in net assets from capital stock activity | (86,173,545) | (98,156,956) |
Total increase (decrease) in net assets | 134,342,939 | (161,015,882) |
Net assets at beginning of year | 1,004,022,682 | 1,165,038,564 |
Net assets at end of year | $1,138,365,621 | $1,004,022,682 |
Year Ended | Year Ended | |||
December 31, 2019 | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 29,633 | 859,212 | — | — |
Redemptions | (5,969) | (171,837) | — | — |
Net increase | 23,664 | 687,375 | — | — |
Class 3 | ||||
Subscriptions | 305,404 | 8,831,912 | 438,498 | 11,824,099 |
Redemptions | (3,369,941) | (95,692,832) | (4,111,074) | (109,981,055) |
Net decrease | (3,064,537) | (86,860,920) | (3,672,576) | (98,156,956) |
Total net decrease | (3,040,873) | (86,173,545) | (3,672,576) | (98,156,956) |
32 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2019 |
Columbia Variable Portfolio – Balanced Fund | Annual Report 2019 | 33 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2019 | $25.35 | 0.48 | 5.34 | 5.82 |
Year Ended 12/31/2018 | $26.90 | 0.42 | (1.97) | (1.55) |
Year Ended 12/31/2017 | $23.46 | 0.34 | 3.10 | 3.44 |
Year Ended 12/31/2016 | $22.00 | 0.33 | 1.13 | 1.46 |
Year Ended 12/31/2015 | $21.59 | 0.59(c) | (0.18) | 0.41 |
Class 2 | ||||
Year Ended 12/31/2019 | $25.06 | 0.41 | 5.27 | 5.68 |
Year Ended 12/31/2018 | $26.66 | 0.34 | (1.94) | (1.60) |
Year Ended 12/31/2017 | $23.30 | 0.28 | 3.08 | 3.36 |
Year Ended 12/31/2016 | $21.91 | 0.27 | 1.12 | 1.39 |
Year Ended 12/31/2015 | $21.56 | 0.53(c) | (0.18) | 0.35 |
Class 3 | ||||
Year Ended 12/31/2019 | $25.24 | 0.45 | 5.30 | 5.75 |
Year Ended 12/31/2018 | $26.82 | 0.38 | (1.96) | (1.58) |
Year Ended 12/31/2017 | $23.42 | 0.30 | 3.10 | 3.40 |
Year Ended 12/31/2016 | $22.01 | 0.29 | 1.12 | 1.41 |
Year Ended 12/31/2015 | $21.64 | 0.55(c) | (0.18) | 0.37 |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.33 per share. |
34 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2019 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019 | $31.17 | 22.96% | 0.79% | 0.76% | 1.63% | 126% | $741 |
Year Ended 12/31/2018 | $25.35 | (5.76%) | 0.78% | 0.75% | 1.53% | 81% | $3 |
Year Ended 12/31/2017 | $26.90 | 14.66% | 0.77% | 0.74% | 1.36% | 63% | $3 |
Year Ended 12/31/2016 | $23.46 | 6.64% | 0.79% | 0.79% | 1.40% | 65% | $3 |
Year Ended 12/31/2015 | $22.00 | 1.90% | 0.76% | 0.76% | 2.69% | 89% | $3 |
Class 2 | |||||||
Year Ended 12/31/2019 | $30.74 | 22.66% | 1.03% | 1.01% | 1.43% | 126% | $4 |
Year Ended 12/31/2018 | $25.06 | (6.00%) | 1.03% | 1.00% | 1.27% | 81% | $3 |
Year Ended 12/31/2017 | $26.66 | 14.42% | 1.02% | 0.99% | 1.11% | 63% | $3 |
Year Ended 12/31/2016 | $23.30 | 6.34% | 1.04% | 1.04% | 1.16% | 65% | $3 |
Year Ended 12/31/2015 | $21.91 | 1.62% | 1.01% | 1.01% | 2.43% | 89% | $3 |
Class 3 | |||||||
Year Ended 12/31/2019 | $30.99 | 22.78% | 0.91% | 0.88% | 1.57% | 126% | $1,137,620 |
Year Ended 12/31/2018 | $25.24 | (5.89%) | 0.91% | 0.87% | 1.40% | 81% | $1,004,017 |
Year Ended 12/31/2017 | $26.82 | 14.52% | 0.91% | 0.89% | 1.20% | 63% | $1,165,032 |
Year Ended 12/31/2016 | $23.42 | 6.41% | 0.91% | 0.91% | 1.27% | 65% | $1,059,420 |
Year Ended 12/31/2015 | $22.01 | 1.71% | 0.94% | 0.92% | 2.51% | 89% | $964,446 |
Columbia Variable Portfolio – Balanced Fund | Annual Report 2019 | 35 |
December 31, 2019
36 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Balanced Fund | Annual Report 2019 | 37 |
December 31, 2019
38 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2019 |
December 31, 2019
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 756,382* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Interest rate risk | 1,301,893 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |
Risk exposure category | Total ($) |
Interest rate risk | (1,328,380) |
Columbia Variable Portfolio – Balanced Fund | Annual Report 2019 | 39 |
December 31, 2019
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 63,385,863 |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2019. |
40 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Balanced Fund | Annual Report 2019 | 41 |
December 31, 2019
42 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Balanced Fund | Annual Report 2019 | 43 |
December 31, 2019
Contractual expense cap July 1, 2019 through April 30, 2020 | Voluntary expense cap May 1, 2019 through June 30, 2019 | Contractual expense cap prior to May 1, 2019 | |
Class 1 | 0.76% | 0.75% | 0.75% |
Class 2 | 1.01 | 1.00 | 1.00 |
Class 3 | 0.885 | 0.875 | 0.875 |
44 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2019 |
December 31, 2019
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 17,100,000 | 2.98 | 3 |
Columbia Variable Portfolio – Balanced Fund | Annual Report 2019 | 45 |
December 31, 2019
46 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Balanced Fund | Annual Report 2019 | 47 |
48 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2019 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1953 | Trustee since 1/17 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 121 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 1/06 for RiverSource Funds and since 6/11 for Nations Funds | Attorney; specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018 | 121 | Trustee, BlueCross BlueShield of Minnesota since 2009 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee since 2017); Chair of the Robina Foundation since August 2013; former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017 |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 7/07 for RiverSource Funds and since 6/11 for Nations Funds | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, Morgan Stanley, 1982-1991 | 121 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of Human Resources Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee) since 2019 |
Columbia Variable Portfolio – Balanced Fund | Annual Report 2019 | 49 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1950 | Trustee since 11/04 for RiverSource Funds and since 6/11 for Nations Funds | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 121 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative since 2010; Board of Directors, The MA Business Roundtable 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 12/17 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 121 | Trustee, Catholic Schools Foundation since 2004 |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Chair of the Board since 1/20; Trustee since 11/04 for RiverSource Funds and since 6/11 for Nations Funds | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Managing Director, Morgan Stanley, 1982-1989; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 121 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Anthony M. Santomero c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1946 | Trustee since 6/11 for RiverSource Funds and since 1/08 for Nations Funds | Richard K. Mellon Professor Emeritus of Finance, The Wharton School, University of Pennsylvania, since 2002; Senior Advisor, McKinsey & Company (consulting), 2006-2008; President, Federal Reserve Bank of Philadelphia, 2000- 2006; Professor of Finance, The Wharton School, University of Pennsylvania, 1972-2002 | 121 | Trustee, Penn Mutual Life Insurance Company since March 2008; Director, Renaissance Reinsurance Ltd. since May 2008; former Director, Citigroup Inc. and Citibank, N.A., 2009-2019; former Trustee, BofA Funds Series Trust (11 funds), 2008-2011 |
Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1947 | Trustee since 6/11 for RiverSource Funds and since 2003 for Nations Funds | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 121 | Director, BlueCross BlueShield of South Carolina since April 2008; Trustee, Hollingsworth Funds since 2016 (previously Board Chair from 2016-2019); Advisory Board member, Duke Energy Corp. since October 2016; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018 |
50 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2019 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Sandra Yeager c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 12/17 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 119 | Director, NAPE Education Foundation since October 2016 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin St. Boston, MA 02110 1960 | Trustee since 11/01 for RiverSource Funds and since 6/11 for Nations Funds; Senior Vice President since 2002 for RiverSource Funds and since 5/10 for Nations Funds | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010 - September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006 - August 2012. | 192 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, August 2006-January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Columbia Variable Portfolio – Balanced Fund | Annual Report 2019 | 51 |
The Board has appointed officers who are responsible for day-to-day business decisions based on policies it has established. The officers serve at the pleasure of the Board. The following table provides basic information about the Officers of the Fund, including principal occupations during the past five years, although their specific titles may have varied over the period. In addition to Mr. Truscott, who is Senior Vice President, the Fund’s other officers are:
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously Vice President and Chief Counsel, January 2010 - December 2014); officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer, Principal Financial Officer (2009), and Senior Vice President (2019) | Vice President, Head of North American Operations, and Co-Head of Global Operations, – Accounting and Tax, Columbia Management Investment Advisers, LLC, since June 2019 (previously Vice President – Accounting and Tax, May 2010 – May 2019); senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009 – January 2019 and December 2015 – January 2019, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer, Chief Accounting Officer (Principal Accounting Officer) (2019), and Principal Financial Officer (2020) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously Vice President — Pricing and Corporate Actions, May 2010 - March 2017). |
Paul B. Goucher 485 Lexington Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since March 2015 (previously Vice President and Assistant Secretary, May 2010 – March 2015). |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 Born 1962 | Senior Vice President (2020) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); previously, Senior Vice President of Investment Product Management, Fidelity Financial Advisor Solutions, a division of Fidelity Investments (January 2012 – March 2015). |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
52 | Columbia Variable Portfolio – Balanced Fund | Annual Report 2019 |
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
Columbia Variable Portfolio – Balanced Fund | Annual Report 2019 | 53 |
December 31, 2019
3 | |
5 | |
7 | |
8 | |
12 | |
13 | |
14 | |
16 | |
18 | |
25 | |
26 |
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1* | 05/03/10 | 17.74 | 5.00 | 10.67 | |
Class 2* | 05/03/10 | 17.44 | 4.75 | 10.40 | |
Class 3 | 09/15/99 | 17.59 | 4.88 | 10.54 | |
Russell 2000 Value Index | 22.39 | 6.99 | 10.56 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2019 | 3 |
Portfolio breakdown (%) (at December 31, 2019) | |
Common Stocks | 98.7 |
Money Market Funds | 1.3 |
Total | 100.0 |
Equity sector breakdown (%) (at December 31, 2019) | |
Communication Services | 2.6 |
Consumer Discretionary | 11.5 |
Consumer Staples | 2.5 |
Energy | 3.3 |
Financials | 22.8 |
Health Care | 7.5 |
Industrials | 15.7 |
Information Technology | 18.0 |
Materials | 8.4 |
Real Estate | 4.4 |
Utilities | 3.3 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2019 |
Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2019 | 5 |
6 | Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2019 |
(Unaudited)
July 1, 2019 — December 31, 2019 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,029.60 | 1,021.00 | 4.55 | 4.53 | 0.88 |
Class 2 | 1,000.00 | 1,000.00 | 1,028.20 | 1,019.72 | 5.84 | 5.82 | 1.13 |
Class 3 | 1,000.00 | 1,000.00 | 1,029.10 | 1,020.38 | 5.17 | 5.15 | 1.00 |
Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2019 | 7 |
December 31, 2019
Common Stocks 98.7% | ||
Issuer | Shares | Value ($) |
Communication Services 2.5% | ||
Wireless Telecommunication Services 2.5% | ||
Telephone & Data Systems, Inc. | 83,900 | 2,133,577 |
Total Communication Services | 2,133,577 | |
Consumer Discretionary 11.4% | ||
Auto Components 3.1% | ||
American Axle & Manufacturing Holdings, Inc.(a) | 77,700 | 836,052 |
Motorcar Parts of America, Inc.(a) | 81,700 | 1,799,851 |
Total | 2,635,903 | |
Diversified Consumer Services 0.9% | ||
Regis Corp.(a) | 41,500 | 741,605 |
Hotels, Restaurants & Leisure 4.0% | ||
Penn National Gaming, Inc.(a) | 61,578 | 1,573,934 |
Texas Roadhouse, Inc. | 31,860 | 1,794,355 |
Total | 3,368,289 | |
Household Durables 2.4% | ||
Lennar Corp., Class A | 13,416 | 748,479 |
William Lyon Homes, Inc., Class A(a) | 61,770 | 1,234,164 |
Total | 1,982,643 | |
Specialty Retail 1.0% | ||
Aaron’s, Inc. | 14,000 | 799,540 |
Total Consumer Discretionary | 9,527,980 | |
Consumer Staples 2.5% | ||
Food Products 2.5% | ||
Nomad Foods Ltd.(a) | 93,600 | 2,093,832 |
Total Consumer Staples | 2,093,832 | |
Energy 3.2% | ||
Energy Equipment & Services 2.1% | ||
Exterran Corp.(a) | 64,500 | 505,035 |
Patterson-UTI Energy, Inc. | 119,810 | 1,258,005 |
Total | 1,763,040 | |
Oil, Gas & Consumable Fuels 1.1% | ||
Callon Petroleum Co.(a) | 197,700 | 954,891 |
Total Energy | 2,717,931 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Financials 22.5% | ||
Banks 2.7% | ||
Opus Bank | 88,267 | 2,283,467 |
Insurance 9.9% | ||
CNO Financial Group, Inc. | 60,000 | 1,087,800 |
Hanover Insurance Group, Inc. (The) | 15,900 | 2,173,053 |
Lincoln National Corp. | 37,300 | 2,201,073 |
National General Holdings Corp. | 128,000 | 2,828,800 |
Total | 8,290,726 | |
Mortgage Real Estate Investment Trusts (REITS) 3.0% | ||
Ladder Capital Corp., Class A | 136,435 | 2,461,288 |
Thrifts & Mortgage Finance 6.9% | ||
Axos Financial, Inc.(a) | 85,979 | 2,603,444 |
Radian Group, Inc. | 127,363 | 3,204,453 |
Total | 5,807,897 | |
Total Financials | 18,843,378 | |
Health Care 7.4% | ||
Biotechnology 1.4% | ||
Ligand Pharmaceuticals, Inc.(a) | 11,500 | 1,199,335 |
Health Care Equipment & Supplies 2.4% | ||
Dentsply Sirona, Inc. | 34,900 | 1,974,991 |
Health Care Providers & Services 2.2% | ||
WellCare Health Plans, Inc.(a) | 5,570 | 1,839,270 |
Life Sciences Tools & Services 1.4% | ||
Syneos Health, Inc.(a) | 20,000 | 1,189,500 |
Total Health Care | 6,203,096 | |
Industrials 15.4% | ||
Aerospace & Defense 3.2% | ||
Cubic Corp. | 42,400 | 2,695,368 |
Airlines 2.6% | ||
Spirit Airlines, Inc.(a) | 54,000 | 2,176,740 |
Commercial Services & Supplies 2.5% | ||
Waste Connections, Inc. | 23,190 | 2,105,420 |
Construction & Engineering 1.5% | ||
Granite Construction, Inc. | 46,870 | 1,296,893 |
8 | Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2019 |
December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Machinery 3.4% | ||
Kennametal, Inc. | 30,000 | 1,106,700 |
Rexnord Corp.(a) | 53,667 | 1,750,617 |
Total | 2,857,317 | |
Road & Rail 2.2% | ||
Knight-Swift Transportation Holdings, Inc. | 50,340 | 1,804,186 |
Total Industrials | 12,935,924 | |
Information Technology 17.8% | ||
Communications Equipment 6.3% | ||
Extreme Networks, Inc.(a) | 263,400 | 1,941,258 |
Viavi Solutions, Inc.(a) | 222,200 | 3,333,000 |
Total | 5,274,258 | |
IT Services 7.9% | ||
CACI International, Inc., Class A(a) | 13,387 | 3,346,616 |
EPAM Systems, Inc.(a) | 15,175 | 3,219,528 |
Total | 6,566,144 | |
Semiconductors & Semiconductor Equipment 3.6% | ||
KLA Corp. | 4,187 | 745,998 |
MACOM Technology Solutions Holdings, Inc.(a) | 86,000 | 2,287,600 |
Total | 3,033,598 | |
Total Information Technology | 14,874,000 | |
Materials 8.3% | ||
Chemicals 2.2% | ||
Minerals Technologies, Inc. | 31,700 | 1,826,871 |
Construction Materials 2.6% | ||
Summit Materials, Inc., Class A(a) | 89,400 | 2,136,660 |
Containers & Packaging 1.9% | ||
O-I Glass, Inc. | 135,080 | 1,611,504 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Metals & Mining 1.6% | ||
Warrior Met Coal, Inc. | 65,000 | 1,373,450 |
Total Materials | 6,948,485 | |
Real Estate 4.4% | ||
Equity Real Estate Investment Trusts (REITS) 4.4% | ||
First Industrial Realty Trust, Inc. | 22,000 | 913,220 |
Gaming and Leisure Properties, Inc. | 63,700 | 2,742,285 |
Total | 3,655,505 | |
Total Real Estate | 3,655,505 | |
Utilities 3.3% | ||
Electric Utilities 3.3% | ||
PNM Resources, Inc. | 20,000 | 1,014,200 |
Portland General Electric Co. | 31,100 | 1,735,069 |
Total | 2,749,269 | |
Total Utilities | 2,749,269 | |
Total Common Stocks (Cost $65,696,941) | 82,682,977 | |
Money Market Funds 1.3% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(b),(c) | 1,077,891 | 1,077,783 |
Total Money Market Funds (Cost $1,077,783) | 1,077,783 | |
Total Investments in Securities (Cost: $66,774,724) | 83,760,760 | |
Other Assets & Liabilities, Net | 12,182 | |
Net Assets | 83,772,942 |
Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2019 | 9 |
December 31, 2019
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | ||||||||
702,682 | 19,562,084 | (19,186,875) | 1,077,891 | 27 | — | 32,826 | 1,077,783 |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 2,133,577 | — | — | 2,133,577 |
Consumer Discretionary | 9,527,980 | — | — | 9,527,980 |
Consumer Staples | 2,093,832 | — | — | 2,093,832 |
Energy | 2,717,931 | — | — | 2,717,931 |
Financials | 18,843,378 | — | — | 18,843,378 |
Health Care | 6,203,096 | — | — | 6,203,096 |
10 | Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2019 |
December 31, 2019
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Industrials | 12,935,924 | — | — | 12,935,924 |
Information Technology | 14,874,000 | — | — | 14,874,000 |
Materials | 6,948,485 | — | — | 6,948,485 |
Real Estate | 3,655,505 | — | — | 3,655,505 |
Utilities | 2,749,269 | — | — | 2,749,269 |
Total Common Stocks | 82,682,977 | — | — | 82,682,977 |
Money Market Funds | 1,077,783 | — | — | 1,077,783 |
Total Investments in Securities | 83,760,760 | — | — | 83,760,760 |
Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2019 | 11 |
December 31, 2019
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $65,696,941) | $82,682,977 |
Affiliated issuers (cost $1,077,783) | 1,077,783 |
Receivable for: | |
Capital shares sold | 13,957 |
Dividends | 89,873 |
Expense reimbursement due from Investment Manager | 234 |
Prepaid expenses | 1,775 |
Total assets | 83,866,599 |
Liabilities | |
Payable for: | |
Capital shares purchased | 22,228 |
Management services fees | 1,995 |
Distribution and/or service fees | 364 |
Service fees | 9,214 |
Compensation of board members | 35,770 |
Compensation of chief compliance officer | 19 |
Audit fees | 14,500 |
Printing and postage fees | 5,261 |
Other expenses | 4,306 |
Total liabilities | 93,657 |
Net assets applicable to outstanding capital stock | $83,772,942 |
Represented by | |
Trust capital | $83,772,942 |
Total - representing net assets applicable to outstanding capital stock | $83,772,942 |
Class 1 | |
Net assets | $4,279,500 |
Shares outstanding | 171,029 |
Net asset value per share | $25.02 |
Class 2 | |
Net assets | $26,850,828 |
Shares outstanding | 1,098,537 |
Net asset value per share | $24.44 |
Class 3 | |
Net assets | $52,642,614 |
Shares outstanding | 2,127,601 |
Net asset value per share | $24.74 |
12 | Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2019 |
Year Ended December 31, 2019
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $1,305,722 |
Dividends — affiliated issuers | 32,826 |
Foreign taxes withheld | (3,687) |
Total income | 1,334,861 |
Expenses: | |
Management services fees | 737,036 |
Distribution and/or service fees | |
Class 2 | 65,759 |
Class 3 | 68,065 |
Service fees | 64,898 |
Compensation of board members | 14,774 |
Custodian fees | 3,569 |
Printing and postage fees | 27,447 |
Audit fees | 29,000 |
Legal fees | 8,122 |
Compensation of chief compliance officer | 18 |
Other | 5,609 |
Total expenses | 1,024,297 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (144,870) |
Total net expenses | 879,427 |
Net investment income | 455,434 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 4,178,384 |
Investments — affiliated issuers | 27 |
Foreign currency translations | (2) |
Net realized gain | 4,178,409 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 8,850,918 |
Net change in unrealized appreciation (depreciation) | 8,850,918 |
Net realized and unrealized gain | 13,029,327 |
Net increase in net assets resulting from operations | $13,484,761 |
Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2019 | 13 |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $455,434 | $291,619 |
Net realized gain | 4,178,409 | 1,879,974 |
Net change in unrealized appreciation (depreciation) | 8,850,918 | (13,724,852) |
Net increase (decrease) in net assets resulting from operations | 13,484,761 | (11,553,259) |
Decrease in net assets from capital stock activity | (8,886,997) | (9,117,134) |
Total increase (decrease) in net assets | 4,597,764 | (20,670,393) |
Net assets at beginning of year | 79,175,178 | 99,845,571 |
Net assets at end of year | $83,772,942 | $79,175,178 |
Year Ended | Year Ended | |||
December 31, 2019 | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 117,208 | 2,821,393 | 96,677 | 2,464,162 |
Redemptions | (95,021) | (2,287,938) | (116,948) | (2,824,675) |
Net increase (decrease) | 22,187 | 533,455 | (20,271) | (360,513) |
Class 2 | ||||
Subscriptions | 96,853 | 2,262,267 | 129,692 | 3,143,910 |
Redemptions | (155,847) | (3,636,912) | (147,446) | (3,573,256) |
Net decrease | (58,994) | (1,374,645) | (17,754) | (429,346) |
Class 3 | ||||
Subscriptions | 28,491 | 675,506 | 32,438 | 796,842 |
Redemptions | (369,227) | (8,721,313) | (372,652) | (9,124,117) |
Net decrease | (340,736) | (8,045,807) | (340,214) | (8,327,275) |
Total net decrease | (377,543) | (8,886,997) | (378,239) | (9,117,134) |
14 | Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2019 |
Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2019 | 15 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2019 | $21.25 | 0.16 | 3.61 | 3.77 |
Year Ended 12/31/2018 | $24.31 | 0.11 | (3.17) | (3.06) |
Year Ended 12/31/2017 | $21.65 | (0.02) | 2.68 | 2.66 |
Year Ended 12/31/2016 | $19.00 | 0.00(c) | 2.65 | 2.65 |
Year Ended 12/31/2015 | $19.60 | 0.00(c) | (0.60) | (0.60) |
Class 2 | ||||
Year Ended 12/31/2019 | $20.81 | 0.10 | 3.53 | 3.63 |
Year Ended 12/31/2018 | $23.87 | 0.05 | (3.11) | (3.06) |
Year Ended 12/31/2017 | $21.30 | 0.04 | 2.53 | 2.57 |
Year Ended 12/31/2016 | $18.74 | (0.04) | 2.60 | 2.56 |
Year Ended 12/31/2015 | $19.38 | (0.04) | (0.60) | (0.64) |
Class 3 | ||||
Year Ended 12/31/2019 | $21.04 | 0.14 | 3.56 | 3.70 |
Year Ended 12/31/2018 | $24.10 | 0.08 | (3.14) | (3.06) |
Year Ended 12/31/2017 | $21.48 | 0.06 | 2.56 | 2.62 |
Year Ended 12/31/2016 | $18.87 | (0.02) | 2.63 | 2.61 |
Year Ended 12/31/2015 | $19.50 | (0.02) | (0.61) | (0.63) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Rounds to zero. |
(d) | Ratios include line of credit interest expense which is less than 0.01%. |
16 | Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2019 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019 | $25.02 | 17.74% | 1.05% | 0.88% | 0.68% | 21% | $4,280 |
Year Ended 12/31/2018 | $21.25 | (12.59%) | 1.04% | 0.88% | 0.43% | 13% | $3,163 |
Year Ended 12/31/2017 | $24.31 | 12.29% | 1.02% | 0.89% | (0.09%) | 23% | $4,111 |
Year Ended 12/31/2016 | $21.65 | 13.95% | 1.00%(d) | 0.91%(d) | 0.02% | 32% | $16,013 |
Year Ended 12/31/2015 | $19.00 | (3.06%) | 0.99% | 0.91% | 0.01% | 27% | $60,663 |
Class 2 | |||||||
Year Ended 12/31/2019 | $24.44 | 17.44% | 1.30% | 1.13% | 0.44% | 21% | $26,851 |
Year Ended 12/31/2018 | $20.81 | (12.82%) | 1.29% | 1.13% | 0.20% | 13% | $24,086 |
Year Ended 12/31/2017 | $23.87 | 12.06% | 1.29% | 1.14% | 0.19% | 23% | $28,050 |
Year Ended 12/31/2016 | $21.30 | 13.66% | 1.27%(d) | 1.16%(d) | (0.22%) | 32% | $25,233 |
Year Ended 12/31/2015 | $18.74 | (3.30%) | 1.24% | 1.16% | (0.22%) | 27% | $22,315 |
Class 3 | |||||||
Year Ended 12/31/2019 | $24.74 | 17.59% | 1.18% | 1.00% | 0.57% | 21% | $52,643 |
Year Ended 12/31/2018 | $21.04 | (12.70%) | 1.17% | 1.01% | 0.33% | 13% | $51,927 |
Year Ended 12/31/2017 | $24.10 | 12.20% | 1.16% | 1.02% | 0.25% | 23% | $67,684 |
Year Ended 12/31/2016 | $21.48 | 13.83% | 1.14%(d) | 1.03%(d) | (0.10%) | 32% | $71,355 |
Year Ended 12/31/2015 | $18.87 | (3.23%) | 1.11% | 1.04% | (0.11%) | 27% | $73,318 |
Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2019 | 17 |
December 31, 2019
18 | Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2019 | 19 |
December 31, 2019
20 | Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2019 | 21 |
December 31, 2019
Fee rate(s) contractual through April 30, 2019 | |
Class 1 | 0.88% |
Class 2 | 1.13 |
Class 3 | 1.005 |
22 | Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2019 | 23 |
December 31, 2019
24 | Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2019 |
Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2019 | 25 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1953 | Trustee since 1/17 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 121 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 1/06 for RiverSource Funds and since 6/11 for Nations Funds | Attorney; specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018 | 121 | Trustee, BlueCross BlueShield of Minnesota since 2009 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee since 2017); Chair of the Robina Foundation since August 2013; former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017 |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 7/07 for RiverSource Funds and since 6/11 for Nations Funds | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, Morgan Stanley, 1982-1991 | 121 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of Human Resources Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee) since 2019 |
26 | Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2019 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1950 | Trustee since 11/04 for RiverSource Funds and since 6/11 for Nations Funds | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 121 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative since 2010; Board of Directors, The MA Business Roundtable 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 12/17 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 121 | Trustee, Catholic Schools Foundation since 2004 |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Chair of the Board since 1/20; Trustee since 11/04 for RiverSource Funds and since 6/11 for Nations Funds | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Managing Director, Morgan Stanley, 1982-1989; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 121 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Anthony M. Santomero c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1946 | Trustee since 6/11 for RiverSource Funds and since 1/08 for Nations Funds | Richard K. Mellon Professor Emeritus of Finance, The Wharton School, University of Pennsylvania, since 2002; Senior Advisor, McKinsey & Company (consulting), 2006-2008; President, Federal Reserve Bank of Philadelphia, 2000- 2006; Professor of Finance, The Wharton School, University of Pennsylvania, 1972-2002 | 121 | Trustee, Penn Mutual Life Insurance Company since March 2008; Director, Renaissance Reinsurance Ltd. since May 2008; former Director, Citigroup Inc. and Citibank, N.A., 2009-2019; former Trustee, BofA Funds Series Trust (11 funds), 2008-2011 |
Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1947 | Trustee since 6/11 for RiverSource Funds and since 2003 for Nations Funds | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 121 | Director, BlueCross BlueShield of South Carolina since April 2008; Trustee, Hollingsworth Funds since 2016 (previously Board Chair from 2016-2019); Advisory Board member, Duke Energy Corp. since October 2016; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018 |
Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2019 | 27 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Sandra Yeager c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 12/17 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 119 | Director, NAPE Education Foundation since October 2016 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin St. Boston, MA 02110 1960 | Trustee since 11/01 for RiverSource Funds and since 6/11 for Nations Funds; Senior Vice President since 2002 for RiverSource Funds and since 5/10 for Nations Funds | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010 - September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006 - August 2012. | 192 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, August 2006-January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
28 | Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2019 |
The Board has appointed officers who are responsible for day-to-day business decisions based on policies it has established. The officers serve at the pleasure of the Board. The following table provides basic information about the Officers of the Fund, including principal occupations during the past five years, although their specific titles may have varied over the period. In addition to Mr. Truscott, who is Senior Vice President, the Fund’s other officers are:
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously Vice President and Chief Counsel, January 2010 - December 2014); officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer, Principal Financial Officer (2009), and Senior Vice President (2019) | Vice President, Head of North American Operations, and Co-Head of Global Operations, – Accounting and Tax, Columbia Management Investment Advisers, LLC, since June 2019 (previously Vice President – Accounting and Tax, May 2010 – May 2019); senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009 – January 2019 and December 2015 – January 2019, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer, Chief Accounting Officer (Principal Accounting Officer) (2019), and Principal Financial Officer (2020) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously Vice President — Pricing and Corporate Actions, May 2010 - March 2017). |
Paul B. Goucher 485 Lexington Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since March 2015 (previously Vice President and Assistant Secretary, May 2010 – March 2015). |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 Born 1962 | Senior Vice President (2020) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); previously, Senior Vice President of Investment Product Management, Fidelity Financial Advisor Solutions, a division of Fidelity Investments (January 2012 – March 2015). |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2019 | 29 |
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
30 | Columbia Variable Portfolio – Select Small Cap Value Fund | Annual Report 2019 |
December 31, 2019
3 | |
5 | |
6 | |
7 | |
17 | |
18 | |
19 | |
20 | |
22 | |
34 | |
35 |
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class 1* | 02/20/19 | 16.41 | 4.79 | 5.90 | |
Class 2 | 04/19/12 | 16.17 | 4.74 | 5.87 | |
Blended Benchmark | 18.41 | 6.49 | 7.40 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | 8.72 | 3.05 | 2.85 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share class, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2019 | 3 |
Portfolio Allocation (%) (at December 31, 2019) | |
Allocations to Underlying Funds | |
Equity Funds | 48.1 |
International | 12.1 |
U.S. Large Cap | 29.8 |
U.S. Mid Cap | 3.3 |
U.S. Small Cap | 2.9 |
Exchange-Traded Equity Funds | 6.4 |
International Mid Large Cap | 1.8 |
U.S. Large Cap | 4.6 |
Exchange-Traded Fixed Income Funds | 1.2 |
Investment Grade | 1.2 |
Fixed Income Funds | 25.4 |
Investment Grade | 25.4 |
Allocations to Tactical Assets | |
Corporate Bonds & Notes | 0.3 |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 15.5 |
Options Purchased Puts | 1.1 |
Residential Mortgage-Backed Securities - Agency | 2.0 |
U.S. Treasury Obligations | 0.0(b) |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $2.4 billion) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
(b) | Rounds to zero. |
4 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2019 |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2019 | 5 |
(Unaudited)
July 1, 2019 — December 31, 2019 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,047.20 | 1,024.26 | 1.25 | 1.24 | 0.24 | 3.86 | 3.82 | 0.74 |
Class 2 | 1,000.00 | 1,000.00 | 1,046.50 | 1,022.98 | 2.56 | 2.53 | 0.49 | 5.16 | 5.10 | 0.99 |
6 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2019 |
December 31, 2019
Corporate Bonds & Notes 0.3% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Aerospace & Defense 0.0% | ||||
Boeing Co. (The) | ||||
02/01/2030 | 2.950% | 190,000 | 193,904 | |
Northrop Grumman Corp. | ||||
01/15/2028 | 3.250% | 195,000 | 203,417 | |
10/15/2047 | 4.030% | 295,000 | 329,284 | |
Total | 726,605 | |||
Automotive 0.0% | ||||
Ford Motor Co. | ||||
01/15/2043 | 4.750% | 315,000 | 280,078 | |
Banking 0.1% | ||||
Bank of America Corp.(a) | ||||
12/20/2028 | 3.419% | 110,000 | 115,532 | |
07/23/2030 | 3.194% | 685,000 | 709,293 | |
Subordinated | ||||
10/22/2030 | 2.884% | 520,000 | 525,878 | |
Capital One Financial Corp. | ||||
01/31/2028 | 3.800% | 185,000 | 198,709 | |
Citigroup, Inc.(a) | ||||
11/05/2030 | 2.976% | 795,000 | 807,238 | |
Goldman Sachs Group, Inc. (The)(a) | ||||
04/23/2039 | 4.411% | 105,000 | 119,110 | |
Goldman Sachs Group, Inc. (The) | ||||
07/08/2044 | 4.800% | 430,000 | 518,536 | |
JPMorgan Chase & Co.(a) | ||||
10/15/2030 | 2.739% | 1,660,000 | 1,662,395 | |
Morgan Stanley(a) | ||||
01/23/2030 | 4.431% | 380,000 | 429,681 | |
Wells Fargo & Co.(a) | ||||
10/30/2030 | 2.879% | 1,210,000 | 1,219,251 | |
Total | 6,305,623 | |||
Cable and Satellite 0.0% | ||||
Charter Communications Operating LLC/Capital | ||||
03/01/2050 | 4.800% | 730,000 | 769,855 | |
Comcast Corp. | ||||
08/15/2047 | 4.000% | 343,000 | 378,885 | |
02/01/2050 | 3.450% | 170,000 | 174,547 | |
11/01/2052 | 4.049% | 329,000 | 369,572 | |
NBCUniversal Media LLC | ||||
01/15/2043 | 4.450% | 314,000 | 365,497 | |
Total | 2,058,356 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Chemicals 0.0% | ||||
Dow Chemical Co. (The) | ||||
05/15/2049 | 4.800% | 268,000 | 309,599 | |
DowDuPont, Inc. | ||||
11/15/2048 | 5.419% | 75,000 | 92,407 | |
LYB International Finance III LLC | ||||
10/15/2049 | 4.200% | 125,000 | 130,423 | |
Total | 532,429 | |||
Diversified Manufacturing 0.0% | ||||
3M Co. | ||||
08/26/2049 | 3.250% | 95,000 | 92,182 | |
United Technologies Corp. | ||||
06/01/2042 | 4.500% | 255,000 | 306,074 | |
11/16/2048 | 4.625% | 105,000 | 131,379 | |
Total | 529,635 | |||
Electric 0.1% | ||||
AEP Texas, Inc. | ||||
01/15/2050 | 3.450% | 580,000 | 580,658 | |
CenterPoint Energy, Inc. | ||||
09/01/2049 | 3.700% | 203,000 | 200,279 | |
CMS Energy Corp. | ||||
02/15/2027 | 2.950% | 370,000 | 373,814 | |
03/31/2043 | 4.700% | 115,000 | 129,710 | |
03/01/2044 | 4.875% | 115,000 | 137,056 | |
Consolidated Edison Co. of New York, Inc. | ||||
06/15/2046 | 3.850% | 253,000 | 272,710 | |
Dominion Energy, Inc. | ||||
03/15/2049 | 4.600% | 210,000 | 243,662 | |
DTE Energy Co. | ||||
10/01/2026 | 2.850% | 920,000 | 925,384 | |
Duke Energy Corp. | ||||
09/01/2046 | 3.750% | 775,000 | 799,362 | |
Duke Energy Indiana LLC | ||||
10/01/2049 | 3.250% | 55,000 | 55,327 | |
Emera U.S. Finance LP | ||||
06/15/2046 | 4.750% | 324,000 | 374,508 | |
FirstEnergy Corp. | ||||
07/15/2047 | 4.850% | 65,000 | 76,753 | |
Indiana Michigan Power Co. | ||||
07/01/2047 | 3.750% | 75,000 | 79,331 | |
Northern States Power Co. | ||||
05/15/2044 | 4.125% | 115,000 | 130,496 |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2019 | 7 |
December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Oncor Electric Delivery Co. LLC | ||||
09/15/2049 | 3.100% | 135,000 | 132,741 | |
Pennsylvania Electric Co.(b) | ||||
06/01/2029 | 3.600% | 80,000 | 84,658 | |
Southern California Edison Co. | ||||
10/01/2043 | 4.650% | 170,000 | 192,043 | |
03/01/2048 | 4.125% | 110,000 | 117,717 | |
Southern Co. (The) | ||||
07/01/2036 | 4.250% | 155,000 | 167,142 | |
07/01/2046 | 4.400% | 615,000 | 682,718 | |
Xcel Energy, Inc. | ||||
12/01/2026 | 3.350% | 55,000 | 57,484 | |
09/15/2041 | 4.800% | 190,000 | 215,268 | |
12/01/2049 | 3.500% | 255,000 | 259,191 | |
Total | 6,288,012 | |||
Finance Companies 0.0% | ||||
GE Capital International Funding Co. Unlimited Co. | ||||
11/15/2035 | 4.418% | 985,000 | 1,051,824 | |
Food and Beverage 0.1% | ||||
Anheuser-Busch Companies LLC/InBev Worldwide, Inc. | ||||
02/01/2046 | 4.900% | 1,295,000 | 1,540,618 | |
Bacardi Ltd.(b) | ||||
05/15/2038 | 5.150% | 576,000 | 652,170 | |
Conagra Brands, Inc. | ||||
11/01/2038 | 5.300% | 205,000 | 243,440 | |
11/01/2048 | 5.400% | 60,000 | 73,399 | |
Kraft Heinz Foods Co. (The) | ||||
06/01/2046 | 4.375% | 687,000 | 677,043 | |
Mars, Inc.(b) | ||||
04/01/2059 | 4.200% | 165,000 | 187,182 | |
Molson Coors Brewing Co. | ||||
05/01/2042 | 5.000% | 35,000 | 38,379 | |
07/15/2046 | 4.200% | 36,000 | 35,897 | |
PepsiCo, Inc. | ||||
10/06/2046 | 3.450% | 95,000 | 100,681 | |
Sysco Corp. | ||||
04/01/2046 | 4.500% | 65,000 | 74,718 | |
03/15/2048 | 4.450% | 30,000 | 34,681 | |
Tyson Foods, Inc. | ||||
06/02/2047 | 4.550% | 80,000 | 91,672 | |
Total | 3,749,880 | |||
Health Care 0.0% | ||||
Abbott Laboratories | ||||
11/30/2046 | 4.900% | 115,000 | 150,788 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Becton Dickinson and Co. | ||||
06/06/2027 | 3.700% | 190,000 | 202,243 | |
12/15/2044 | 4.685% | 126,000 | 146,613 | |
Cardinal Health, Inc. | ||||
06/15/2047 | 4.368% | 235,000 | 232,575 | |
Cigna Corp. | ||||
08/15/2038 | 4.800% | 265,000 | 308,951 | |
12/15/2048 | 4.900% | 166,000 | 198,286 | |
CVS Health Corp. | ||||
03/25/2048 | 5.050% | 604,000 | 716,497 | |
Thermo Fisher Scientific, Inc. | ||||
10/01/2029 | 2.600% | 67,000 | 66,385 | |
Total | 2,022,338 | |||
Healthcare Insurance 0.0% | ||||
Aetna, Inc. | ||||
08/15/2047 | 3.875% | 89,000 | 90,199 | |
Anthem, Inc. | ||||
08/15/2044 | 4.650% | 135,000 | 152,142 | |
Centene Corp.(b) | ||||
12/15/2029 | 4.625% | 115,000 | 121,105 | |
UnitedHealth Group, Inc. | ||||
08/15/2039 | 3.500% | 667,000 | 702,060 | |
Total | 1,065,506 | |||
Independent Energy 0.0% | ||||
Apache Corp. | ||||
04/15/2043 | 4.750% | 105,000 | 101,324 | |
Canadian Natural Resources Ltd. | ||||
03/15/2038 | 6.250% | 105,000 | 136,044 | |
ConocoPhillips Co. | ||||
11/15/2044 | 4.300% | 220,000 | 258,349 | |
Hess Corp. | ||||
02/15/2041 | 5.600% | 200,000 | 235,556 | |
Noble Energy, Inc. | ||||
11/15/2043 | 5.250% | 250,000 | 279,996 | |
Total | 1,011,269 | |||
Integrated Energy 0.0% | ||||
Cenovus Energy, Inc. | ||||
06/15/2047 | 5.400% | 175,000 | 203,084 | |
Shell International Finance BV | ||||
11/07/2049 | 3.125% | 345,000 | 340,244 | |
Total | 543,328 | |||
Life Insurance 0.0% | ||||
American International Group, Inc. | ||||
07/16/2044 | 4.500% | 150,000 | 172,990 |
8 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2019 |
December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Brighthouse Financial, Inc. | ||||
06/22/2047 | 4.700% | 33,000 | 30,547 | |
Guardian Life Insurance Co. of America (The)(b) | ||||
Subordinated | ||||
06/19/2064 | 4.875% | 215,000 | 266,804 | |
Massachusetts Mutual Life Insurance Co.(b) | ||||
Subordinated | ||||
04/01/2077 | 4.900% | 165,000 | 201,870 | |
MetLife, Inc. | ||||
03/01/2045 | 4.050% | 130,000 | 150,670 | |
New York Life Insurance Co.(b) | ||||
Subordinated | ||||
05/15/2069 | 4.450% | 205,000 | 235,787 | |
Northwestern Mutual Life Insurance Co. (The)(b) | ||||
09/30/2059 | 3.625% | 409,000 | 410,142 | |
Prudential Financial, Inc. | ||||
03/13/2051 | 3.700% | 167,000 | 175,835 | |
Teachers Insurance & Annuity Association of America(b) | ||||
Subordinated | ||||
09/15/2044 | 4.900% | 190,000 | 234,505 | |
05/15/2047 | 4.270% | 132,000 | 150,221 | |
Voya Financial, Inc. | ||||
06/15/2046 | 4.800% | 215,000 | 248,721 | |
Total | 2,278,092 | |||
Media and Entertainment 0.0% | ||||
Discovery Communications LLC | ||||
09/20/2037 | 5.000% | 100,000 | 113,325 | |
05/15/2049 | 5.300% | 258,000 | 305,670 | |
Fox Corp.(b) | ||||
01/25/2039 | 5.476% | 85,000 | 104,003 | |
Walt Disney Co. (The) | ||||
09/15/2044 | 4.750% | 302,000 | 382,816 | |
Total | 905,814 | |||
Midstream 0.0% | ||||
Enterprise Products Operating LLC | ||||
01/31/2050 | 4.200% | 365,000 | 394,020 | |
Kinder Morgan Energy Partners LP | ||||
11/01/2042 | 4.700% | 100,000 | 105,697 | |
03/01/2043 | 5.000% | 430,000 | 471,027 | |
Kinder Morgan, Inc. | ||||
02/15/2046 | 5.050% | 196,000 | 220,272 | |
MPLX LP | ||||
04/15/2048 | 4.700% | 405,000 | 412,363 | |
Plains All American Pipeline LP/Finance Corp. | ||||
06/15/2044 | 4.700% | 629,000 | 611,840 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Sunoco Logistics Partners Operations LP | ||||
10/01/2047 | 5.400% | 277,000 | 300,779 | |
Western Gas Partners LP | ||||
08/15/2048 | 5.500% | 250,000 | 220,755 | |
Williams Companies, Inc. (The) | ||||
09/15/2045 | 5.100% | 616,000 | 684,833 | |
Total | 3,421,586 | |||
Natural Gas 0.0% | ||||
NiSource Finance Corp. | ||||
05/15/2027 | 3.490% | 190,000 | 199,760 | |
NiSource, Inc. | ||||
02/15/2043 | 5.250% | 223,000 | 270,440 | |
05/15/2047 | 4.375% | 265,000 | 294,302 | |
Sempra Energy | ||||
06/15/2027 | 3.250% | 95,000 | 97,976 | |
02/01/2028 | 3.400% | 495,000 | 513,672 | |
Total | 1,376,150 | |||
Oil Field Services 0.0% | ||||
Halliburton Co. | ||||
11/15/2045 | 5.000% | 115,000 | 131,229 | |
Pharmaceuticals 0.0% | ||||
AbbVie, Inc.(b) | ||||
11/21/2049 | 4.250% | 720,000 | 763,620 | |
Allergan Funding SCS | ||||
06/15/2044 | 4.850% | 160,000 | 177,571 | |
Amgen, Inc. | ||||
06/15/2051 | 4.663% | 415,000 | 488,560 | |
Bristol-Myers Squibb Co.(b) | ||||
02/20/2048 | 4.550% | 50,000 | 61,288 | |
10/26/2049 | 4.250% | 247,000 | 293,494 | |
Gilead Sciences, Inc. | ||||
03/01/2047 | 4.150% | 275,000 | 305,986 | |
Mylan NV | ||||
06/15/2046 | 5.250% | 35,000 | 38,968 | |
Pfizer, Inc. | ||||
03/15/2049 | 4.000% | 190,000 | 218,937 | |
Total | 2,348,424 | |||
Property & Casualty 0.0% | ||||
Liberty Mutual Group, Inc.(b) | ||||
10/15/2050 | 3.951% | 180,000 | 188,876 | |
Travelers Companies, Inc. (The) | ||||
05/30/2047 | 4.000% | 155,000 | 175,118 | |
Total | 363,994 |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2019 | 9 |
December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Railroads 0.0% | ||||
Canadian National Railway Co. | ||||
02/03/2048 | 3.650% | 65,000 | 71,805 | |
CSX Corp. | ||||
09/15/2049 | 3.350% | 440,000 | 434,856 | |
Norfolk Southern Corp. | ||||
08/15/2052 | 4.050% | 210,000 | 230,751 | |
Union Pacific Corp. | ||||
08/15/2059 | 3.950% | 325,000 | 340,743 | |
Union Pacific Corp.(b) | ||||
03/20/2060 | 3.839% | 120,000 | 121,832 | |
Total | 1,199,987 | |||
Restaurants 0.0% | ||||
McDonald’s Corp. | ||||
09/01/2049 | 3.625% | 330,000 | 337,307 | |
Retailers 0.0% | ||||
Lowe’s Companies, Inc. | ||||
05/03/2047 | 4.050% | 285,000 | 307,900 | |
Target Corp. | ||||
04/15/2046 | 3.625% | 150,000 | 164,025 | |
11/15/2047 | 3.900% | 40,000 | 46,061 | |
Walmart, Inc. | ||||
12/15/2047 | 3.625% | 260,000 | 288,087 | |
Total | 806,073 | |||
Supermarkets 0.0% | ||||
Kroger Co. (The) | ||||
02/01/2047 | 4.450% | 167,000 | 177,264 | |
01/15/2048 | 4.650% | 85,000 | 92,934 | |
Total | 270,198 | |||
Technology 0.0% | ||||
Apple, Inc. | ||||
02/09/2045 | 3.450% | 486,000 | 514,473 | |
09/11/2049 | 2.950% | 100,000 | 97,651 | |
Broadcom Corp./Cayman Finance Ltd. | ||||
01/15/2027 | 3.875% | 325,000 | 337,640 | |
01/15/2028 | 3.500% | 85,000 | 85,697 | |
Corning, Inc. | ||||
11/15/2079 | 5.450% | 60,000 | 66,315 | |
Intel Corp. | ||||
05/11/2047 | 4.100% | 170,000 | 196,329 | |
International Business Machines Corp. | ||||
05/15/2049 | 4.250% | 430,000 | 491,898 | |
Microsoft Corp. | ||||
08/08/2046 | 3.700% | 559,000 | 630,824 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Oracle Corp. | ||||
07/15/2046 | 4.000% | 385,000 | 427,653 | |
QUALCOMM, Inc. | ||||
05/20/2047 | 4.300% | 90,000 | 103,122 | |
Total | 2,951,602 | |||
Tobacco 0.0% | ||||
BAT Capital Corp. | ||||
08/15/2047 | 4.540% | 190,000 | 190,768 | |
Transportation Services 0.0% | ||||
ERAC U.S.A. Finance LLC(b) | ||||
11/01/2046 | 4.200% | 285,000 | 305,997 | |
FedEx Corp. | ||||
04/01/2046 | 4.550% | 410,000 | 422,580 | |
United Parcel Service, Inc. | ||||
09/01/2049 | 3.400% | 230,000 | 233,358 | |
Total | 961,935 | |||
Wireless 0.0% | ||||
American Tower Corp. | ||||
07/15/2027 | 3.550% | 75,000 | 78,754 | |
08/15/2029 | 3.800% | 200,000 | 213,815 | |
Rogers Communications, Inc. | ||||
11/15/2049 | 3.700% | 310,000 | 314,459 | |
Vodafone Group PLC | ||||
09/17/2050 | 4.250% | 230,000 | 241,455 | |
Total | 848,483 | |||
Wirelines 0.0% | ||||
AT&T, Inc. | ||||
03/01/2039 | 4.850% | 320,000 | 369,675 | |
12/15/2042 | 4.300% | 195,000 | 208,704 | |
12/15/2043 | 5.350% | 145,000 | 170,694 | |
06/15/2045 | 4.350% | 964,000 | 1,040,901 | |
Telefonica Emisiones SAU | ||||
03/06/2048 | 4.895% | 150,000 | 171,462 | |
Verizon Communications, Inc. | ||||
08/21/2046 | 4.862% | 590,000 | 732,629 | |
Total | 2,694,065 | |||
Total Corporate Bonds & Notes (Cost $43,469,575) | 47,250,590 |
10 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2019 |
December 31, 2019
Equity Funds 48.7% | ||
Shares | Value ($) | |
International 12.3% | ||
CTIVP® – AQR International Core Equity Fund, Class 1 Shares(c) | 61,898,217 | 682,737,340 |
CTIVP® – DFA International Value Fund, Class 1 Shares(c) | 25,481,117 | 247,421,643 |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares(c) | 61,595,144 | 681,858,241 |
CTIVP® – William Blair International Leaders Fund, Class 1 Shares(c) | 22,395,705 | 256,654,783 |
Total | 1,868,672,007 | |
U.S. Large Cap 30.1% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(c),(d) | 14,998,261 | 401,353,457 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(c),(d) | 20,576,936 | 1,203,956,508 |
Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares(c),(d) | 9,184,866 | 271,780,187 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(c),(d) | 17,366,368 | 379,976,135 |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares(c),(d) | 16,165,417 | 192,206,805 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(c),(d) | 8,242,704 | 228,075,626 |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares(c),(d) | 9,388,124 | 352,524,058 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares(c),(d) | 10,169,546 | 354,408,681 |
CTIVP® – MFS® Value Fund, Class 1 Shares(c),(d) | 7,271,687 | 212,042,402 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(c),(d) | 9,500,267 | 337,924,514 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(c),(d) | 7,822,618 | 204,874,363 |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares(c),(d) | 18,978,491 | 452,637,010 |
Total | 4,591,759,746 | |
U.S. Mid Cap 3.3% | ||
Columbia Variable Portfolio – Mid Cap Growth Fund, Class 1 Shares(c),(d) | 3,223,838 | 107,031,402 |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares(c),(d) | 4,049,557 | 105,005,012 |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(c),(d) | 4,624,772 | 140,223,090 |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(c),(d) | 4,589,175 | 147,679,653 |
Total | 499,939,157 |
Equity Funds (continued) | ||
Shares | Value ($) | |
U.S. Small Cap 3.0% | ||
Columbia Variable Portfolio - Small Cap Value Fund, Class 1 Shares(c) | 4,302,640 | 67,422,376 |
Columbia Variable Portfolio - Small Company Growth Fund, Class 1 Shares(c),(d) | 3,729,460 | 66,458,979 |
Columbia Variable Portfolio – U.S. Equities Fund, Class 1 Shares(c),(d) | 656,825 | 16,006,817 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(c),(d) | 6,102,131 | 154,872,094 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(c),(d) | 5,085,714 | 147,689,125 |
Total | 452,449,391 | |
Total Equity Funds (Cost $5,287,550,413) | 7,412,820,301 | |
Exchange-Traded Equity Funds 6.5% | ||
International Mid Large Cap 1.8% | ||
iShares MSCI EAFE ETF | 3,968,292 | 275,558,197 |
U.S. Large Cap 4.7% | ||
SPDR S&P 500 ETF Trust | 2,190,200 | 704,937,772 |
Total Exchange-Traded Equity Funds (Cost $665,563,525) | 980,495,969 | |
Exchange-Traded Fixed Income Funds 1.2% | ||
Investment Grade 1.2% | ||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 1,462,000 | 187,077,520 |
Total Exchange-Traded Fixed Income Funds (Cost $184,567,281) | 187,077,520 | |
Fixed Income Funds 25.7% | ||
Investment Grade 25.7% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(c) | 71,525,602 | 762,462,922 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(c) | 22,581,909 | 220,399,435 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(c) | 37,265,705 | 409,550,100 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(c) | 20,882,762 | 221,774,932 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(c) | 48,137,997 | 529,999,341 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(c) | 66,291,644 | 729,870,997 |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2019 | 11 |
December 31, 2019
Fixed Income Funds (continued) | ||
Shares | Value ($) | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(c) | 16,563,972 | 170,277,634 |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares(c) | 78,355,877 | 873,668,025 |
Total | 3,918,003,386 | |
Total Fixed Income Funds (Cost $3,803,527,284) | 3,918,003,386 |
Residential Mortgage-Backed Securities - Agency 2.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal National Mortgage Association(e) | ||||
01/16/2035- 01/14/2050 | 3.000% | 298,446,000 | 303,316,512 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $302,783,588) | 303,316,512 | |||
U.S. Treasury Obligations 0.0% | ||||
U.S. Treasury | ||||
02/15/2039 | 3.500% | 150,000 | 180,047 | |
08/15/2049 | 2.250% | 255,000 | 248,147 | |
Total U.S. Treasury Obligations (Cost $422,404) | 428,194 |
Options Purchased Puts 1.1% | ||||
Value ($) | ||||
(Cost $204,993,796) | 169,130,225 |
Money Market Funds 15.7% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(c),(f) | 2,396,404,131 | 2,396,164,490 |
Total Money Market Funds (Cost $2,396,204,092) | 2,396,164,490 | |
Total Investments in Securities (Cost: $12,889,081,958) | 15,414,687,187 | |
Other Assets & Liabilities, Net | (183,601,230) | |
Net Assets | 15,231,085,957 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Australian Dollar | 711 | 03/2020 | USD | 50,040,180 | 1,255,433 | — |
British Pound | 1,587 | 03/2020 | USD | 131,840,025 | 807,822 | — |
Canadian Dollar | 210 | 03/2020 | USD | 16,187,850 | 302,652 | — |
DAX Index | 44 | 03/2020 | EUR | 14,571,150 | 19,805 | — |
Euro FX | 1,189 | 03/2020 | USD | 167,678,725 | 1,787,880 | — |
EURO STOXX 50 Index | 4,469 | 03/2020 | EUR | 166,649,010 | 2,076,646 | — |
EURO STOXX 50 Index | 703 | 03/2020 | EUR | 26,214,870 | — | (61,476) |
FTSE 100 Index | 581 | 03/2020 | GBP | 43,569,190 | 1,840,647 | — |
FTSE/MIB Index | 109 | 03/2020 | EUR | 12,758,450 | 64,576 | — |
Japanese Yen | 360 | 03/2020 | USD | 41,604,750 | 239,317 | — |
Japanese Yen | 1,561 | 03/2020 | USD | 180,402,819 | — | (354,669) |
MSCI Singapore Index | 305 | 01/2020 | SGD | 11,330,750 | — | (19,864) |
New Zealand Dollar | 400 | 03/2020 | USD | 27,000,000 | 706,480 | — |
OMXS30 Index | 380 | 01/2020 | SEK | 67,193,500 | — | (4,918) |
Russell 2000 Index E-mini | 95 | 03/2020 | USD | 7,935,350 | 71,488 | — |
S&P 500 Index | 244 | 03/2020 | USD | 197,097,100 | 5,199,396 | — |
S&P 500 Index E-mini | 9,644 | 03/2020 | USD | 1,558,036,420 | 34,363,904 | — |
SPI 200 Index | 512 | 03/2020 | AUD | 84,518,400 | — | (510,236) |
Swiss Franc | 50 | 03/2020 | USD | 6,500,000 | 116,534 | — |
TOPIX Index | 626 | 03/2020 | JPY | 10,773,460,000 | 909,479 | — |
12 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2019 |
December 31, 2019
Long futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
TOPIX Index | 429 | 03/2020 | JPY | 7,383,090,000 | — | (545,294) |
U.S. Long Bond | 483 | 03/2020 | USD | 75,302,719 | — | (1,533,678) |
U.S. Treasury 10-Year Note | 2,113 | 03/2020 | USD | 271,355,422 | — | (2,315,320) |
U.S. Treasury 2-Year Note | 419 | 03/2020 | USD | 90,294,500 | — | (40,077) |
U.S. Treasury 5-Year Note | 2,844 | 03/2020 | USD | 337,325,063 | — | (1,071,904) |
U.S. Ultra Treasury Bond | 520 | 03/2020 | USD | 94,461,250 | — | (2,845,027) |
Total | 49,762,059 | (9,302,463) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Hang Seng Index | (266) | 01/2020 | HKD | (375,991,000) | — | (593,535) |
S&P/TSX 60 Index | (475) | 03/2020 | CAD | (96,178,000) | — | (330,698) |
U.S. Treasury 10-Year Note | (22) | 03/2020 | USD | (2,825,281) | 19,485 | — |
U.S. Ultra Bond 10-Year Note | (17) | 03/2020 | USD | (2,391,953) | 30,513 | — |
U.S. Ultra Bond 10-Year Note | (6) | 03/2020 | USD | (844,219) | — | (198) |
U.S. Ultra Treasury Bond | (27) | 03/2020 | USD | (4,904,719) | 161,013 | — |
Total | 211,011 | (924,431) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 2,177,545,720 | 6,740 | 2,500.00 | 12/17/2021 | 83,297,725 | 64,501,800 |
S&P 500 Index | JPMorgan | USD | 1,558,851,350 | 4,825 | 2,600.00 | 12/17/2021 | 57,628,247 | 54,739,625 |
S&P 500 Index | JPMorgan | USD | 2,016,006,720 | 6,240 | 2,400.00 | 12/17/2021 | 64,067,824 | 49,888,800 |
Total | 204,993,796 | 169,130,225 |
(a) | 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 December 31, 2019. |
(b) | 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. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At December 31, 2019, the total value of these securities amounted to $4,383,554, which represents 0.03% of total net assets. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | |||||||||
2,393,237,115 | 1,862,466,975 | (1,859,299,959) | 2,396,404,131 | — | (60,308) | 55,366 | 53,745,011 | 2,396,164,490 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
16,420,264 | — | (1,422,003) | 14,998,261 | — | 18,182,009 | 87,606,470 | — | 401,353,457 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
22,386,677 | — | (1,809,741) | 20,576,936 | — | 41,363,176 | 209,345,173 | — | 1,203,956,508 | |
Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares | |||||||||
9,822,049 | — | (637,183) | 9,184,866 | — | 6,858,202 | 48,106,233 | — | 271,780,187 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
70,068,992 | 2,336,485 | (879,875) | 71,525,602 | — | (483,324) | 41,588,178 | 24,125,114 | 762,462,922 |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2019 | 13 |
December 31, 2019
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
19,587,982 | — | (2,221,614) | 17,366,368 | — | 22,133,882 | 85,635,826 | — | 379,976,135 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
22,127,847 | 543,612 | (89,550) | 22,581,909 | — | (73,747) | 10,799,843 | 5,054,076 | 220,399,435 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
38,458,445 | 1,102,214 | (2,294,954) | 37,265,705 | — | 2,269,717 | 57,905,304 | 11,365,293 | 409,550,100 | |
Columbia Variable Portfolio – Mid Cap Growth Fund, Class 1 Shares | |||||||||
3,515,442 | — | (291,604) | 3,223,838 | — | 2,897,375 | 26,521,106 | — | 107,031,402 | |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares | |||||||||
17,540,319 | — | (1,374,902) | 16,165,417 | — | 1,268,190 | 43,006,264 | — | 192,206,805 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
9,881,582 | — | (1,638,878) | 8,242,704 | — | 16,672,254 | 36,969,210 | — | 228,075,626 | |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares | |||||||||
4,089,547 | 1,844 | (41,834) | 4,049,557 | — | 262,671 | 25,138,356 | — | 105,005,012 | |
Columbia Variable Portfolio - Small Cap Value Fund, Class 1 Shares | |||||||||
— | 4,302,640 | — | 4,302,640 | — | — | 3,872,376 | — | 67,422,376 | |
Columbia Variable Portfolio - Small Company Growth Fund, Class 1 Shares | |||||||||
— | 3,729,460 | — | 3,729,460 | — | — | 2,908,979 | — | 66,458,979 | |
Columbia Variable Portfolio – U.S. Equities Fund, Class 1 Shares | |||||||||
6,365,723 | 41,540 | (5,750,438) | 656,825 | — | 24,958,635 | (5,240,274) | — | 16,006,817 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
20,602,965 | 581,031 | (301,234) | 20,882,762 | — | 10,144 | 8,118,102 | 6,004,224 | 221,774,932 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
45,330,518 | 2,854,599 | (47,120) | 48,137,997 | — | 11,644 | 17,005,774 | 29,976,049 | 529,999,341 | |
CTIVP® – AQR International Core Equity Fund, Class 1 Shares | |||||||||
59,161,685 | 2,736,533 | (1) | 61,898,217 | 9,597,312 | — | 80,061,214 | 18,107,223 | 682,737,340 | |
CTIVP® – DFA International Value Fund, Class 1 Shares | |||||||||
23,652,561 | 1,828,556 | — | 25,481,117 | 6,956,325 | — | 13,302,336 | 9,133,893 | 247,421,643 | |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares | |||||||||
59,464,420 | 2,130,724 | — | 61,595,144 | 3,141,783 | — | 76,568,915 | 18,391,860 | 681,858,241 | |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
10,796,030 | — | (1,407,906) | 9,388,124 | — | 19,549,012 | 72,784,138 | — | 352,524,058 | |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares | |||||||||
11,733,134 | — | (1,563,588) | 10,169,546 | — | 28,180,085 | 66,523,163 | — | 354,408,681 | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
9,618,624 | 1,129 | (2,348,066) | 7,271,687 | — | 21,284,063 | 34,729,976 | — | 212,042,402 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
11,341,349 | — | (1,841,082) | 9,500,267 | — | 33,799,188 | 48,874,783 | — | 337,924,514 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
10,362,357 | 11,987 | (2,551,726) | 7,822,618 | — | 16,918,494 | 32,374,775 | — | 204,874,363 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
65,274,616 | 1,833,475 | (816,447) | 66,291,644 | — | 396,368 | 41,176,621 | 19,387,762 | 729,870,997 |
14 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2019 |
December 31, 2019
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares | |||||||||
4,727,227 | 478 | (102,933) | 4,624,772 | — | 941,203 | 30,411,804 | — | 140,223,090 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
16,373,000 | 200,370 | (9,398) | 16,563,972 | — | (1,418) | 4,113,895 | 1,755,467 | 170,277,634 | |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares | |||||||||
5,233,627 | — | (644,452) | 4,589,175 | — | 6,478,851 | 40,961,295 | — | 147,679,653 | |
CTIVP® – William Blair International Leaders Fund, Class 1 Shares | |||||||||
21,293,080 | 1,102,625 | — | 22,395,705 | 7,696,171 | — | 43,700,079 | 2,518,074 | 256,654,783 | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | |||||||||
77,545,679 | 1,937,838 | (1,127,640) | 78,355,877 | — | (39,379) | 49,333,556 | 20,792,618 | 873,668,025 | |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares | |||||||||
20,253,814 | — | (1,275,323) | 18,978,491 | — | 14,394,660 | 84,697,675 | — | 452,637,010 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
6,309,793 | 63,982 | (271,644) | 6,102,131 | — | 1,797,604 | 25,801,450 | — | 154,872,094 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
5,131,998 | 31,946 | (78,230) | 5,085,714 | — | 374,818 | 24,172,316 | — | 147,689,125 | |
Total | 27,391,591 | 280,344,069 | 1,468,930,277 | 220,356,664 | 13,726,988,177 |
(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 December 31, 2019. |
AUD | Australian Dollar |
CAD | Canada Dollar |
EUR | Euro |
GBP | British Pound |
HKD | Hong Kong Dollar |
JPY | Japanese Yen |
SEK | Swedish Krona |
SGD | Singapore Dollar |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2019 | 15 |
December 31, 2019
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Corporate Bonds & Notes | — | 47,250,590 | — | — | 47,250,590 |
Equity Funds | — | — | — | 7,412,820,301 | 7,412,820,301 |
Exchange-Traded Equity Funds | 980,495,969 | — | — | — | 980,495,969 |
Exchange-Traded Fixed Income Funds | 187,077,520 | — | — | — | 187,077,520 |
Fixed Income Funds | — | — | — | 3,918,003,386 | 3,918,003,386 |
Residential Mortgage-Backed Securities - Agency | — | 303,316,512 | — | — | 303,316,512 |
U.S. Treasury Obligations | 428,194 | — | — | — | 428,194 |
Options Purchased Puts | 169,130,225 | — | — | — | 169,130,225 |
Money Market Funds | 2,396,164,490 | — | — | — | 2,396,164,490 |
Total Investments in Securities | 3,733,296,398 | 350,567,102 | — | 11,330,823,687 | 15,414,687,187 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 49,973,070 | — | — | — | 49,973,070 |
Liability | |||||
Futures Contracts | (10,226,894) | — | — | — | (10,226,894) |
Total | 3,773,042,574 | 350,567,102 | — | 11,330,823,687 | 15,454,433,363 |
16 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2019 |
December 31, 2019
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,196,806,373) | $1,518,568,785 |
Affiliated issuers (cost $11,487,281,789) | 13,726,988,177 |
Options purchased (cost $204,993,796) | 169,130,225 |
Margin deposits on: | |
Futures contracts | 112,677,602 |
Receivable for: | |
Investments sold | 9,828,699 |
Investments sold on a delayed delivery basis | 213,668,073 |
Capital shares sold | 13,566 |
Dividends | 6,884,849 |
Interest | 789,397 |
Foreign tax reclaims | 1,558 |
Variation margin for futures contracts | 7,319,880 |
Prepaid expenses | 31,713 |
Other assets | 396 |
Total assets | 15,765,902,920 |
Liabilities | |
Payable for: | |
Investments purchased on a delayed delivery basis | 516,712,120 |
Capital shares purchased | 14,054,564 |
Variation margin for futures contracts | 2,605,686 |
Management services fees | 70,764 |
Distribution and/or service fees | 104,294 |
Service fees | 770,138 |
Compensation of board members | 352,425 |
Compensation of chief compliance officer | 3,269 |
Other expenses | 143,703 |
Total liabilities | 534,816,963 |
Net assets applicable to outstanding capital stock | $15,231,085,957 |
Represented by | |
Trust capital | $15,231,085,957 |
Total - representing net assets applicable to outstanding capital stock | $15,231,085,957 |
Class 1 | |
Net assets | $1,092,533 |
Shares outstanding | 70,360 |
Net asset value per share | $15.53 |
Class 2 | |
Net assets | $15,229,993,424 |
Shares outstanding | 981,333,944 |
Net asset value per share | $15.52 |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2019 | 17 |
Year Ended December 31, 2019
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $31,509,266 |
Dividends — affiliated issuers | 220,356,664 |
Interest | 3,049,630 |
Total income | 254,915,560 |
Expenses: | |
Management services fees | 25,436,718 |
Distribution and/or service fees | |
Class 2 | 36,755,431 |
Service fees | 8,823,893 |
Compensation of board members | 235,197 |
Custodian fees | 64,440 |
Printing and postage fees | 135,152 |
Audit fees | 35,000 |
Legal fees | 144,417 |
Compensation of chief compliance officer | 3,137 |
Other | 197,756 |
Total expenses | 71,831,141 |
Net investment income | 183,084,419 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 60,732,238 |
Investments — affiliated issuers | 280,344,069 |
Capital gain distributions from underlying affiliated funds | 27,391,591 |
Foreign currency translations | (1,280,665) |
Futures contracts | 125,200,516 |
Options purchased | (111,682,857) |
Net realized gain | 380,704,892 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 192,498,209 |
Investments — affiliated issuers | 1,468,930,277 |
Foreign currency translations | 998,006 |
Futures contracts | 47,196,621 |
Options purchased | (95,455,010) |
Net change in unrealized appreciation (depreciation) | 1,614,168,103 |
Net realized and unrealized gain | 1,994,872,995 |
Net increase in net assets resulting from operations | $2,177,957,414 |
18 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2019 |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $183,084,419 | $132,896,371 |
Net realized gain (loss) | 380,704,892 | (44,352,817) |
Net change in unrealized appreciation (depreciation) | 1,614,168,103 | (948,195,524) |
Net increase (decrease) in net assets resulting from operations | 2,177,957,414 | (859,651,970) |
Decrease in net assets from capital stock activity | (690,814,602) | (74,792,031) |
Total increase (decrease) in net assets | 1,487,142,812 | (934,444,001) |
Net assets at beginning of year | 13,743,943,145 | 14,678,387,146 |
Net assets at end of year | $15,231,085,957 | $13,743,943,145 |
Year Ended | Year Ended | |||
December 31, 2019 (a) | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 73,453 | 1,104,686 | — | — |
Redemptions | (3,093) | (45,958) | — | — |
Net increase | 70,360 | 1,058,728 | — | — |
Class 2 | ||||
Subscriptions | 2,539,315 | 37,153,660 | 23,744,499 | 337,793,697 |
Redemptions | (49,844,806) | (729,026,990) | (29,323,244) | (412,585,728) |
Net decrease | (47,305,491) | (691,873,330) | (5,578,745) | (74,792,031) |
Total net decrease | (47,235,131) | (690,814,602) | (5,578,745) | (74,792,031) |
(a) | Class 1 shares are based on operations from February 20, 2019 (commencement of operations) through the stated period end. |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2019 | 19 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2019(c) | $14.19 | 0.13 | 1.21 | 1.34 |
Class 2 | ||||
Year Ended 12/31/2019 | $13.36 | 0.18 | 1.98 | 2.16 |
Year Ended 12/31/2018 | $14.19 | 0.13 | (0.96) | (0.83) |
Year Ended 12/31/2017 | $12.41 | 0.09 | 1.69 | 1.78 |
Year Ended 12/31/2016 | $12.00 | 0.07 | 0.34 | 0.41 |
Year Ended 12/31/2015 | $12.31 | 0.08 | (0.39) | (0.31) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
(d) | Annualized. |
20 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2019 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019(c) | $15.53 | 9.44% | 0.24%(d) | 0.24%(d) | 1.01%(d) | 138% | $1,093 |
Class 2 | |||||||
Year Ended 12/31/2019 | $15.52 | 16.17% | 0.49% | 0.49% | 1.25% | 138% | $15,229,993 |
Year Ended 12/31/2018 | $13.36 | (5.85%) | 0.49% | 0.49% | 0.90% | 92% | $13,743,943 |
Year Ended 12/31/2017 | $14.19 | 14.34% | 0.47% | 0.47% | 0.69% | 98% | $14,678,387 |
Year Ended 12/31/2016 | $12.41 | 3.42% | 0.46% | 0.46% | 0.57% | 112% | $12,877,836 |
Year Ended 12/31/2015 | $12.00 | (2.52%) | 0.47% | 0.47% | 0.64% | 119% | $11,278,182 |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2019 | 21 |
December 31, 2019
22 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2019 |
December 31, 2019
Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2019 | 23 |
December 31, 2019
24 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2019 |
December 31, 2019
Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2019 | 25 |
December 31, 2019
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 44,545,941* |
Equity risk | Investments, at value — Options Purchased | 169,130,225 |
Foreign exchange risk | Component of trust capital — unrealized appreciation on futures contracts | 5,216,118* |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 211,011* |
Total | 219,103,295 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 2,066,021* |
Foreign exchange risk | Component of trust capital - unrealized depreciation on futures contracts | 354,669* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 7,806,204* |
Total | 10,226,894 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | 71,715,052 | (111,682,857) | (39,967,805) |
Foreign exchange risk | (5,441,489) | — | (5,441,489) |
Interest rate risk | 58,926,953 | — | 58,926,953 |
Total | 125,200,516 | (111,682,857) | 13,517,659 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Equity risk | 80,635,335 | (95,455,010) | (14,819,675) |
Foreign exchange risk | 2,031,329 | — | 2,031,329 |
Interest rate risk | (35,470,043) | — | (35,470,043) |
Total | 47,196,621 | (95,455,010) | (48,258,389) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 2,881,379,034 |
Futures contracts — short | 226,418,595 |
26 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2019 |
December 31, 2019
Derivative instrument | Average value ($)* |
Options contracts — purchased | 115,944,838 |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2019. |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2019 | 27 |
December 31, 2019
JPMorgan ($) | |
Assets | |
Options purchased puts | 169,130,225 |
Total financial and derivative net assets | 169,130,225 |
Total collateral received (pledged) (a) | - |
Net amount (b) | 169,130,225 |
(a) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Represents the net amount due from/(to) counterparties in the event of default. |
28 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2019 |
December 31, 2019
Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2019 | 29 |
December 31, 2019
30 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2019 |
December 31, 2019
Fee rate(s) contractual through April 30, 2019 | |
Class 1 | 0.85% |
Class 2 | 1.10 |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2019 | 31 |
December 31, 2019
32 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2019 |
December 31, 2019
Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2019 | 33 |
34 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2019 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1953 | Trustee since 1/17 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 121 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 1/06 for RiverSource Funds and since 6/11 for Nations Funds | Attorney; specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018 | 121 | Trustee, BlueCross BlueShield of Minnesota since 2009 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee since 2017); Chair of the Robina Foundation since August 2013; former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017 |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 7/07 for RiverSource Funds and since 6/11 for Nations Funds | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, Morgan Stanley, 1982-1991 | 121 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of Human Resources Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee) since 2019 |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2019 | 35 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1950 | Trustee since 11/04 for RiverSource Funds and since 6/11 for Nations Funds | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 121 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative since 2010; Board of Directors, The MA Business Roundtable 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 12/17 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 121 | Trustee, Catholic Schools Foundation since 2004 |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Chair of the Board since 1/20; Trustee since 11/04 for RiverSource Funds and since 6/11 for Nations Funds | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Managing Director, Morgan Stanley, 1982-1989; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 121 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Anthony M. Santomero c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1946 | Trustee since 6/11 for RiverSource Funds and since 1/08 for Nations Funds | Richard K. Mellon Professor Emeritus of Finance, The Wharton School, University of Pennsylvania, since 2002; Senior Advisor, McKinsey & Company (consulting), 2006-2008; President, Federal Reserve Bank of Philadelphia, 2000- 2006; Professor of Finance, The Wharton School, University of Pennsylvania, 1972-2002 | 121 | Trustee, Penn Mutual Life Insurance Company since March 2008; Director, Renaissance Reinsurance Ltd. since May 2008; former Director, Citigroup Inc. and Citibank, N.A., 2009-2019; former Trustee, BofA Funds Series Trust (11 funds), 2008-2011 |
Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1947 | Trustee since 6/11 for RiverSource Funds and since 2003 for Nations Funds | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 121 | Director, BlueCross BlueShield of South Carolina since April 2008; Trustee, Hollingsworth Funds since 2016 (previously Board Chair from 2016-2019); Advisory Board member, Duke Energy Corp. since October 2016; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018 |
36 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2019 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Sandra Yeager c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 12/17 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 119 | Director, NAPE Education Foundation since October 2016 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin St. Boston, MA 02110 1960 | Trustee since 11/01 for RiverSource Funds and since 6/11 for Nations Funds; Senior Vice President since 2002 for RiverSource Funds and since 5/10 for Nations Funds | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010 - September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006 - August 2012. | 192 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, August 2006-January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2019 | 37 |
The Board has appointed officers who are responsible for day-to-day business decisions based on policies it has established. The officers serve at the pleasure of the Board. The following table provides basic information about the Officers of the Fund, including principal occupations during the past five years, although their specific titles may have varied over the period. In addition to Mr. Truscott, who is Senior Vice President, the Fund’s other officers are:
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously Vice President and Chief Counsel, January 2010 - December 2014); officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer, Principal Financial Officer (2009), and Senior Vice President (2019) | Vice President, Head of North American Operations, and Co-Head of Global Operations, – Accounting and Tax, Columbia Management Investment Advisers, LLC, since June 2019 (previously Vice President – Accounting and Tax, May 2010 – May 2019); senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009 – January 2019 and December 2015 – January 2019, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer, Chief Accounting Officer (Principal Accounting Officer) (2019), and Principal Financial Officer (2020) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously Vice President — Pricing and Corporate Actions, May 2010 - March 2017). |
Paul B. Goucher 485 Lexington Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since March 2015 (previously Vice President and Assistant Secretary, May 2010 – March 2015). |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 Born 1962 | Senior Vice President (2020) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); previously, Senior Vice President of Investment Product Management, Fidelity Financial Advisor Solutions, a division of Fidelity Investments (January 2012 – March 2015). |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
38 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2019 |
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Annual Report 2019 | 39 |
December 31, 2019
3 | |
5 | |
8 | |
9 | |
13 | |
14 | |
15 | |
16 | |
18 | |
26 | |
27 | |
27 |
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1* | 05/03/10 | 31.50 | 7.82 | 4.84 | |
Class 2* | 05/03/10 | 31.13 | 7.54 | 4.58 | |
Class 3 | 05/01/00 | 31.29 | 7.67 | 4.70 | |
MSCI Emerging Markets Index (Net) | 18.42 | 5.61 | 3.68 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2019 | 3 |
Equity sector breakdown (%) (at December 31, 2019) | |
Communication Services | 11.6 |
Consumer Discretionary | 23.9 |
Consumer Staples | 3.5 |
Energy | 8.1 |
Financials | 22.8 |
Health Care | 4.3 |
Industrials | 4.3 |
Information Technology | 17.1 |
Materials | 2.2 |
Real Estate | 1.6 |
Utilities | 0.6 |
Total | 100.0 |
Country breakdown (%) (at December 31, 2019) | |
Argentina | 0.3 |
Brazil | 14.6 |
Canada | 0.9 |
China | 27.9 |
Hong Kong | 3.3 |
Hungary | 1.4 |
India | 12.3 |
Indonesia | 5.3 |
Luxembourg | 0.4 |
Mexico | 0.5 |
Panama | 0.8 |
Peru | 1.0 |
Philippines | 1.2 |
Poland | 0.8 |
Russian Federation | 5.6 |
South Africa | 4.4 |
South Korea | 9.9 |
Taiwan | 6.6 |
Thailand | 2.5 |
United States(a) | 0.3 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds. |
4 | Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2019 |
Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2019 | 5 |
6 | Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2019 |
Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2019 | 7 |
(Unaudited)
July 1, 2019 — December 31, 2019 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,118.50 | 1,019.67 | 6.15 | 5.87 | 1.14 |
Class 2 | 1,000.00 | 1,000.00 | 1,116.50 | 1,018.40 | 7.50 | 7.15 | 1.39 |
Class 3 | 1,000.00 | 1,000.00 | 1,117.10 | 1,019.01 | 6.85 | 6.53 | 1.27 |
8 | Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2019 |
December 31, 2019
Common Stocks 97.1% | ||
Issuer | Shares | Value ($) |
Argentina 0.4% | ||
MercadoLibre, Inc.(a) | 2,414 | 1,380,663 |
Brazil 12.9% | ||
Afya Ltd., Class A(a) | 75,444 | 2,046,041 |
Arco Platform Ltd., Class A(a) | 55,196 | 2,439,663 |
B3 SA - Brasil Bolsa Balcao | 128,400 | 1,371,554 |
BK Brasil Operacao e Assessoria a Restaurantes SA | 1,045,900 | 4,622,791 |
C&A Modas Ltd.(a) | 487,200 | 2,172,762 |
IRB Brasil Resseguros SA | 245,500 | 2,377,066 |
Itaú Unibanco Holding SA, ADR | 683,148 | 6,250,804 |
Linx SA | 165,700 | 1,458,994 |
Localiza Rent a Car SA | 296,627 | 3,495,921 |
Lojas Renner SA | 142,640 | 1,992,428 |
Magazine Luiza SA | 256,900 | 3,046,245 |
Notre Dame Intermedica Participacoes SA | 166,800 | 2,829,965 |
Pagseguro Digital Ltd., Class A(a) | 47,876 | 1,635,444 |
Petrobras Distribuidora SA | 261,100 | 1,951,743 |
Petroleo Brasileiro SA, ADR | 413,319 | 6,588,305 |
Stone Co., Ltd., Class A(a) | 45,320 | 1,807,815 |
XP, Inc., Class A(a) | 103,036 | 3,968,947 |
Total | 50,056,488 | |
Canada 0.9% | ||
Parex Resources, Inc.(a) | 178,307 | 3,316,094 |
China 28.0% | ||
58.Com, Inc., ADR(a) | 44,472 | 2,878,673 |
Alibaba Group Holding Ltd., ADR(a) | 129,840 | 27,539,064 |
BeiGene Ltd., ADR(a) | 17,247 | 2,858,863 |
China Animal Healthcare Ltd.(a),(b),(c) | 4,603,000 | 1 |
China Resources Cement Holdings Ltd. | 2,900,000 | 3,691,631 |
CNOOC Ltd. | 2,568,000 | 4,270,149 |
Country Garden Services Holdings Co., Ltd. | 450,000 | 1,515,071 |
GDS Holdings Ltd., ADR(a) | 30,680 | 1,582,474 |
Hangzhou Robam Appliances Co., Ltd., Class A | 249,300 | 1,212,192 |
Kingdee International Software Group Co., Ltd. | 1,497,000 | 1,497,659 |
Kweichow Moutai Co., Ltd., Class A | 13,700 | 2,331,430 |
Midea Group Co., Ltd., Class A | 340,500 | 2,854,830 |
NetEase, Inc., ADR | 10,620 | 3,256,517 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
New Oriental Education & Technology Group, Inc., ADR(a) | 17,862 | 2,165,768 |
Ping An Insurance Group Co. of China Ltd., Class H | 671,500 | 7,946,174 |
Shenzhou International Group Holdings Ltd. | 242,600 | 3,545,617 |
TAL Education Group, ADR(a) | 89,785 | 4,327,637 |
Tencent Holdings Ltd. | 499,301 | 24,054,404 |
Tencent Music Entertainment Group, ADR(a) | 97,553 | 1,145,272 |
Trip.com Group Ltd., ADR(a) | 45,006 | 1,509,501 |
Wuliangye Yibin Co., Ltd., Class A | 72,300 | 1,383,640 |
WuXi AppTec Co., Ltd., Class H | 184,940 | 2,292,938 |
Wuxi Biologics Cayman, Inc.(a) | 331,500 | 4,198,596 |
Total | 108,058,101 | |
Hong Kong 3.3% | ||
AIA Group Ltd. | 394,400 | 4,148,286 |
Galaxy Entertainment Group Ltd. | 500,000 | 3,680,807 |
Melco Resorts & Entertainment Ltd., ADR | 54,079 | 1,307,089 |
Techtronic Industries Co., Ltd. | 449,000 | 3,664,602 |
Total | 12,800,784 | |
Hungary 1.4% | ||
OTP Bank Nyrt | 73,845 | 3,866,524 |
Richter Gedeon Nyrt | 70,265 | 1,527,673 |
Total | 5,394,197 | |
India 12.3% | ||
Apollo Hospitals Enterprise Ltd. | 105,941 | 2,142,573 |
Asian Paints Ltd. | 130,806 | 3,271,766 |
AU Small Finance Bank Ltd. | 182,750 | 2,057,417 |
Avenue Supermarts Ltd.(a) | 79,216 | 2,041,396 |
Bajaj Finance Ltd. | 31,887 | 1,892,741 |
Balkrishna Industries Ltd. | 212,707 | 2,952,787 |
Eicher Motors Ltd. | 9,886 | 3,121,973 |
HDFC Asset Management Co., Ltd. | 49,946 | 2,239,530 |
HDFC Bank Ltd., ADR | 109,446 | 6,935,593 |
HDFC Life Insurance Co., Ltd. | 299,076 | 2,624,234 |
Indraprastha Gas Ltd. | 401,984 | 2,412,145 |
Jubilant Foodworks Ltd. | 117,520 | 2,722,301 |
Maruti Suzuki India Ltd. | 12,931 | 1,335,142 |
Petronet LNG Ltd. | 632,373 | 2,374,702 |
Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2019 | 9 |
December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Reliance Industries Ltd. | 352,931 | 7,486,413 |
Tech Mahindra Ltd. | 182,700 | 1,951,188 |
Total | 47,561,901 | |
Indonesia 5.3% | ||
PT Ace Hardware Indonesia Tbk | 19,859,100 | 2,138,691 |
PT Bank Central Asia Tbk | 2,953,100 | 7,102,225 |
PT Bank Rakyat Indonesia Persero Tbk | 21,320,000 | 6,748,333 |
PT Bank Tabungan Pensiunan Nasional Syariah Tbk(a) | 3,678,700 | 1,125,435 |
PT Pakuwon Jati Tbk | 39,378,400 | 1,611,867 |
PT Telekomunikasi Indonesia Persero Tbk | 6,772,600 | 1,940,197 |
Total | 20,666,748 | |
Luxembourg 0.4% | ||
Ternium SA, ADR | 72,526 | 1,595,572 |
Mexico 0.5% | ||
Grupo Financiero Banorte SAB de CV, Class O | 319,500 | 1,783,759 |
Panama 0.8% | ||
Copa Holdings SA, Class A | 28,251 | 3,053,368 |
Peru 1.0% | ||
Credicorp Ltd. | 17,989 | 3,833,996 |
Philippines 1.2% | ||
Ayala Land, Inc. | 5,217,900 | 4,679,991 |
Poland 0.8% | ||
Dino Polska SA(a) | 77,329 | 2,934,077 |
Russian Federation 5.6% | ||
Detsky Mir PJSC | 913,761 | 1,472,235 |
Lukoil PJSC, ADR | 48,849 | 4,865,683 |
Mail.ru Group Ltd., GDR(a),(d) | 108,431 | 2,418,011 |
Sberbank of Russia PJSC, ADR | 278,416 | 4,586,754 |
TCS Group Holding PLC, GDR | 141,211 | 3,036,037 |
Yandex NV, Class A(a) | 119,947 | 5,216,495 |
Total | 21,595,215 | |
South Africa 4.4% | ||
AVI Ltd. | 326,757 | 2,075,651 |
Bidvest Group Ltd. (The) | 107,344 | 1,569,387 |
Capitec Bank Holdings Ltd. | 32,824 | 3,389,220 |
Clicks Group Ltd. | 57,861 | 1,060,014 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Naspers Ltd., Class N | 53,636 | 8,777,371 |
Total | 16,871,643 | |
South Korea 8.8% | ||
KB Financial Group, Inc. | 45,227 | 1,863,260 |
NAVER Corp.(a) | 7,069 | 1,137,366 |
Pearl Abyss Corp.(a) | 8,528 | 1,366,249 |
Samsung Electro-Mechanics Co., Ltd.(a) | 32,731 | 3,520,584 |
Samsung Electronics Co., Ltd. | 330,385 | 15,920,223 |
SK Hynix, Inc. | 82,627 | 6,720,695 |
SK Innovation Co., Ltd. | 16,991 | 2,198,931 |
SK Telecom Co., Ltd. | 6,575 | 1,354,770 |
Total | 34,082,078 | |
Taiwan 6.6% | ||
ASMedia Technology, Inc. | 91,000 | 1,995,755 |
MediaTek, Inc. | 191,000 | 2,830,063 |
Silergy Corp. | 58,000 | 1,846,739 |
Taiwan Semiconductor Manufacturing Co., Ltd. | 1,595,838 | 17,662,463 |
Taiwan Semiconductor Manufacturing Co., Ltd., ADR | 21,290 | 1,236,949 |
Total | 25,571,969 | |
Thailand 2.5% | ||
Mega Lifesciences PCL, Foreign Registered Shares | 1,006,400 | 872,433 |
Muangthai Capital PCL, Foreign Registered Shares | 2,409,500 | 5,120,970 |
Srisawad Corp., PCL, Foreign Registered Shares | 587,270 | 1,339,649 |
Tisco Financial Group PCL, Foreign Registered Shares | 750,100 | 2,483,338 |
Total | 9,816,390 | |
Total Common Stocks (Cost $270,962,992) | 375,053,034 |
Preferred Stocks 2.7% | |||
Issuer | Shares | Value ($) | |
Brazil 1.7% | |||
Azul SA(a) | 222,800 | 3,227,878 | |
Cia Brasileira de Distribuicao | 76,100 | 1,658,131 | |
Lojas Americanas SA | 270,987 | 1,745,413 | |
Total | 6,631,422 | ||
South Korea 1.0% | |||
Samsung Electronics Co., Ltd. | 104,067 | 4,074,416 | |
Total Preferred Stocks (Cost $7,017,272) | 10,705,838 |
10 | Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2019 |
December 31, 2019
Money Market Funds 0.3% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(e),(f) | 1,091,955 | 1,091,846 |
Total Money Market Funds (Cost $1,091,846) | 1,091,846 | |
Total Investments in Securities (Cost $279,072,110) | 386,850,718 | |
Other Assets & Liabilities, Net | (497,191) | |
Net Assets | $386,353,527 |
(a) | Non-income producing investment. |
(b) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At December 31, 2019, the total value of these securities amounted to $1, which represents less than 0.01% of total net assets. |
(c) | Valuation based on significant unobservable inputs. |
(d) | 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. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At December 31, 2019, the total value of these securities amounted to $2,418,011, which represents 0.63% of total net assets. |
(e) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
(f) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | ||||||||
2,148,927 | 94,969,196 | (96,026,168) | 1,091,955 | (431) | — | 115,288 | 1,091,846 |
ADR | American Depositary Receipt |
GDR | Global Depositary Receipt |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2019 | 11 |
December 31, 2019
Foreign equity securities actively traded in markets where there is a significant delay in the local close relative to the New York Stock Exchange are classified as Level 2. The values of these securities may include an adjustment to reflect the impact of significant market movements following the close of local trading, as described in Note 2 to the financial statements – Security valuation.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Argentina | 1,380,663 | — | — | 1,380,663 |
Brazil | 50,056,488 | — | — | 50,056,488 |
Canada | 3,316,094 | — | — | 3,316,094 |
China | 47,263,769 | 60,794,331 | 1 | 108,058,101 |
Hong Kong | 1,307,089 | 11,493,695 | — | 12,800,784 |
Hungary | — | 5,394,197 | — | 5,394,197 |
India | 6,935,593 | 40,626,308 | — | 47,561,901 |
Indonesia | — | 20,666,748 | — | 20,666,748 |
Luxembourg | 1,595,572 | — | — | 1,595,572 |
Mexico | 1,783,759 | — | — | 1,783,759 |
Panama | 3,053,368 | — | — | 3,053,368 |
Peru | 3,833,996 | — | — | 3,833,996 |
Philippines | — | 4,679,991 | — | 4,679,991 |
Poland | — | 2,934,077 | — | 2,934,077 |
Russian Federation | 5,216,495 | 16,378,720 | — | 21,595,215 |
South Africa | — | 16,871,643 | — | 16,871,643 |
South Korea | — | 34,082,078 | — | 34,082,078 |
Taiwan | 1,236,949 | 24,335,020 | — | 25,571,969 |
Thailand | — | 9,816,390 | — | 9,816,390 |
Total Common Stocks | 126,979,835 | 248,073,198 | 1 | 375,053,034 |
Preferred Stocks | ||||
Brazil | 6,631,422 | — | — | 6,631,422 |
South Korea | — | 4,074,416 | — | 4,074,416 |
Total Preferred Stocks | 6,631,422 | 4,074,416 | — | 10,705,838 |
Money Market Funds | 1,091,846 | — | — | 1,091,846 |
Total Investments in Securities | 134,703,103 | 252,147,614 | 1 | 386,850,718 |
12 | Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2019 |
December 31, 2019
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $277,980,264) | $385,758,872 |
Affiliated issuers (cost $1,091,846) | 1,091,846 |
Cash | 9,659 |
Receivable for: | |
Capital shares sold | 11,356 |
Dividends | 777,658 |
Foreign tax reclaims | 38,315 |
Reimbursement due from affiliates | 60,297 |
Prepaid expenses | 2,514 |
Total assets | 387,750,517 |
Liabilities | |
Foreign currency (cost $11,900) | 11,969 |
Payable for: | |
Capital shares purchased | 597,543 |
Foreign capital gains taxes deferred | 539,141 |
Management services fees | 11,680 |
Distribution and/or service fees | 1,059 |
Service fees | 10,936 |
Compensation of board members | 87,693 |
Compensation of chief compliance officer | 100 |
Custodian fees | 105,493 |
Other expenses | 31,376 |
Total liabilities | 1,396,990 |
Net assets applicable to outstanding capital stock | $386,353,527 |
Represented by | |
Paid in capital | 232,014,052 |
Total distributable earnings (loss) | 154,339,475 |
Total - representing net assets applicable to outstanding capital stock | $386,353,527 |
Class 1 | |
Net assets | $133,989,737 |
Shares outstanding | 7,059,831 |
Net asset value per share | $18.98 |
Class 2 | |
Net assets | $55,859,268 |
Shares outstanding | 2,973,924 |
Net asset value per share | $18.78 |
Class 3 | |
Net assets | $196,504,522 |
Shares outstanding | 10,400,311 |
Net asset value per share | $18.89 |
Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2019 | 13 |
Year Ended December 31, 2019
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $8,405,678 |
Dividends — affiliated issuers | 115,288 |
Foreign taxes withheld | (847,793) |
Total income | 7,673,173 |
Expenses: | |
Management services fees | 4,899,467 |
Distribution and/or service fees | |
Class 2 | 122,800 |
Class 3 | 233,263 |
Service fees | 140,471 |
Compensation of board members | 24,808 |
Custodian fees | 134,190 |
Printing and postage fees | 79,630 |
Audit fees | 53,957 |
Legal fees | 11,532 |
Interest on interfund lending | 5,798 |
Compensation of chief compliance officer | 88 |
Other | 84,942 |
Total expenses | 5,790,946 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (231,499) |
Total net expenses | 5,559,447 |
Net investment income | 2,113,726 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 45,726,541 |
Investments — affiliated issuers | (431) |
Foreign currency translations | (56,999) |
Net realized gain | 45,669,111 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 70,341,521 |
Foreign currency translations | 6,042 |
Foreign capital gains tax | (539,035) |
Net change in unrealized appreciation (depreciation) | 69,808,528 |
Net realized and unrealized gain | 115,477,639 |
Net increase in net assets resulting from operations | $117,591,365 |
14 | Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2019 |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $2,113,726 | $3,521,128 |
Net realized gain | 45,669,111 | 68,769,797 |
Net change in unrealized appreciation (depreciation) | 69,808,528 | (203,059,342) |
Net increase (decrease) in net assets resulting from operations | 117,591,365 | (130,768,417) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (26,087,312) | (2,103,200) |
Class 2 | (6,027,058) | (119,259) |
Class 3 | (22,829,330) | (990,392) |
Total distributions to shareholders | (54,943,700) | (3,212,851) |
Decrease in net assets from capital stock activity | (89,133,388) | (201,134,283) |
Increase from payment by affiliate (Note 6) | 60,297 | — |
Total decrease in net assets | (26,425,426) | (335,115,551) |
Net assets at beginning of year | 412,778,953 | 747,894,504 |
Net assets at end of year | $386,353,527 | $412,778,953 |
Year Ended | Year Ended | |||
December 31, 2019 | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 919,675 | 16,368,248 | 214,618 | 3,855,900 |
Distributions reinvested | 1,536,064 | 26,087,312 | 106,866 | 2,103,200 |
Redemptions | (7,408,003) | (132,819,774) | (10,036,735) | (195,289,375) |
Net decrease | (4,952,264) | (90,364,214) | (9,715,251) | (189,330,275) |
Class 2 | ||||
Subscriptions | 290,665 | 5,100,547 | 557,398 | 10,937,566 |
Distributions reinvested | 358,193 | 6,027,058 | 6,369 | 119,259 |
Redemptions | (290,573) | (5,055,087) | (175,087) | (3,297,346) |
Net increase | 358,285 | 6,072,518 | 388,680 | 7,759,479 |
Class 3 | ||||
Subscriptions | 47,344 | 839,010 | 266,425 | 5,099,121 |
Distributions reinvested | 1,349,242 | 22,829,330 | 51,655 | 990,392 |
Redemptions | (1,622,581) | (28,510,032) | (1,352,959) | (25,653,000) |
Net decrease | (225,995) | (4,841,692) | (1,034,879) | (19,563,487) |
Total net decrease | (4,819,974) | (89,133,388) | (10,361,450) | (201,134,283) |
Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2019 | 15 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | |||||||
Year Ended 12/31/2019 | $16.38 | 0.09 | 4.79 | 4.88 | (0.04) | (2.25) | (2.29) |
Year Ended 12/31/2018 | $21.04 | 0.14 | (4.67) | (4.53) | (0.13) | — | (0.13) |
Year Ended 12/31/2017 | $14.29 | 0.05 | 6.73 | 6.78 | (0.03) | — | (0.03) |
Year Ended 12/31/2016 | $13.61 | 0.03 | 0.67 | 0.70 | (0.02) | — | (0.02) |
Year Ended 12/31/2015 | $15.36 | 0.06 | (1.37) | (1.31) | (0.02) | (0.42) | (0.44) |
Class 2 | |||||||
Year Ended 12/31/2019 | $16.26 | 0.06 | 4.73 | 4.79 | (0.02) | (2.25) | (2.27) |
Year Ended 12/31/2018 | $20.84 | 0.06 | (4.59) | (4.53) | (0.05) | — | (0.05) |
Year Ended 12/31/2017 | $14.17 | 0.01 | 6.66 | 6.67 | (0.00)(f) | — | (0.00)(f) |
Year Ended 12/31/2016 | $13.53 | 0.02 | 0.63 | 0.65 | (0.01) | — | (0.01) |
Year Ended 12/31/2015 | $15.30 | 0.03 | (1.37) | (1.34) | (0.01) | (0.42) | (0.43) |
Class 3 | |||||||
Year Ended 12/31/2019 | $16.33 | 0.08 | 4.76 | 4.84 | (0.03) | (2.25) | (2.28) |
Year Ended 12/31/2018 | $20.96 | 0.09 | (4.63) | (4.54) | (0.09) | — | (0.09) |
Year Ended 12/31/2017 | $14.24 | 0.03 | 6.71 | 6.74 | (0.02) | — | (0.02) |
Year Ended 12/31/2016 | $13.58 | 0.04 | 0.63 | 0.67 | (0.01) | — | (0.01) |
Year Ended 12/31/2015 | $15.34 | 0.04 | (1.36) | (1.32) | (0.02) | (0.42) | (0.44) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | The Fund received a payment from an affiliate. Had the Fund not received this payment, the total return would have been lower by 0.04%. |
(d) | Ratios include interfund lending expense which is less than 0.01%. |
(e) | Ratios include line of credit interest expense which is less than 0.01%. |
(f) | Rounds to zero. |
(g) | The Fund received a payment from an affiliate which had an impact of less than 0.01%. |
16 | Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2019 |
Reimbursement from affiliate | Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | ||||||||
Year Ended 12/31/2019 | 0.01 | $18.98 | 31.50%(c) | 1.22%(d) | 1.17%(d) | 0.53% | 26% | $133,990 |
Year Ended 12/31/2018 | — | $16.38 | (21.62%) | 1.20%(d) | 1.20%(d) | 0.70% | 41% | $196,720 |
Year Ended 12/31/2017 | — | $21.04 | 47.51% | 1.25%(e) | 1.24%(e) | 0.31% | 43% | $457,065 |
Year Ended 12/31/2016 | — | $14.29 | 5.13% | 1.29%(e) | 1.27%(e) | 0.25% | 74% | $408,360 |
Year Ended 12/31/2015 | — | $13.61 | (8.83%) | 1.28% | 1.25% | 0.40% | 77% | $974,542 |
Class 2 | ||||||||
Year Ended 12/31/2019 | 0.00(f) | $18.78 | 31.13%(g) | 1.47%(d) | 1.42%(d) | 0.33% | 26% | $55,859 |
Year Ended 12/31/2018 | — | $16.26 | (21.78%) | 1.47%(d) | 1.46%(d) | 0.33% | 41% | $42,531 |
Year Ended 12/31/2017 | — | $20.84 | 47.10% | 1.50%(e) | 1.48%(e) | 0.04% | 43% | $46,421 |
Year Ended 12/31/2016 | — | $14.17 | 4.81% | 1.54%(e) | 1.52%(e) | 0.14% | 74% | $21,331 |
Year Ended 12/31/2015 | — | $13.53 | (9.06%) | 1.53% | 1.50% | 0.17% | 77% | $18,561 |
Class 3 | ||||||||
Year Ended 12/31/2019 | 0.00(f) | $18.89 | 31.29%(g) | 1.34%(d) | 1.29%(d) | 0.45% | 26% | $196,505 |
Year Ended 12/31/2018 | — | $16.33 | (21.73%) | 1.34%(d) | 1.33%(d) | 0.44% | 41% | $173,529 |
Year Ended 12/31/2017 | — | $20.96 | 47.34% | 1.37%(e) | 1.36%(e) | 0.18% | 43% | $244,408 |
Year Ended 12/31/2016 | — | $14.24 | 4.97% | 1.42%(e) | 1.40%(e) | 0.26% | 74% | $183,897 |
Year Ended 12/31/2015 | — | $13.58 | (8.94%) | 1.40% | 1.38% | 0.28% | 77% | $207,067 |
Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2019 | 17 |
December 31, 2019
18 | Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2019 | 19 |
December 31, 2019
20 | Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2019 | 21 |
December 31, 2019
May 1, 2019 through April 30, 2020 | Prior to May 1, 2019 | |
Class 1 | 1.14% | 1.22% |
Class 2 | 1.39 | 1.47 |
Class 3 | 1.265 | 1.345 |
Undistributed net investment income ($) | Accumulated net realized gain ($) | Paid in capital ($) |
36,361 | (36,361) | — |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
845,460 | 54,098,240 | 54,943,700 | 3,212,851 | — | 3,212,851 |
22 | Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2019 |
December 31, 2019
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized appreciation ($) |
2,096,831 | 45,304,267 | — | 107,559,565 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
279,291,153 | 116,574,431 | (9,014,866) | 107,559,565 |
Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2019 | 23 |
December 31, 2019
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Borrower | 9,860,000 | 2.15 | 10 |
24 | Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2019 | 25 |
26 | | Annual Report 2019 |
Dividends received deduction | Capital gain dividend | Foreign taxes paid to foreign countries | Foreign taxes paid per share to foreign countries | Foreign source income | Foreign source income per share |
0.12% | $47,648,263 | $754,433 | $0.04 | $8,309,612 | $0.41 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1953 | Trustee since 1/17 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 121 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2019 | 27 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 1/06 for RiverSource Funds and since 6/11 for Nations Funds | Attorney; specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018 | 121 | Trustee, BlueCross BlueShield of Minnesota since 2009 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee since 2017); Chair of the Robina Foundation since August 2013; former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017 |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 7/07 for RiverSource Funds and since 6/11 for Nations Funds | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, Morgan Stanley, 1982-1991 | 121 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of Human Resources Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee) since 2019 |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1950 | Trustee since 11/04 for RiverSource Funds and since 6/11 for Nations Funds | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 121 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative since 2010; Board of Directors, The MA Business Roundtable 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 12/17 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 121 | Trustee, Catholic Schools Foundation since 2004 |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Chair of the Board since 1/20; Trustee since 11/04 for RiverSource Funds and since 6/11 for Nations Funds | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Managing Director, Morgan Stanley, 1982-1989; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 121 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
28 | Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2019 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Anthony M. Santomero c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1946 | Trustee since 6/11 for RiverSource Funds and since 1/08 for Nations Funds | Richard K. Mellon Professor Emeritus of Finance, The Wharton School, University of Pennsylvania, since 2002; Senior Advisor, McKinsey & Company (consulting), 2006-2008; President, Federal Reserve Bank of Philadelphia, 2000- 2006; Professor of Finance, The Wharton School, University of Pennsylvania, 1972-2002 | 121 | Trustee, Penn Mutual Life Insurance Company since March 2008; Director, Renaissance Reinsurance Ltd. since May 2008; former Director, Citigroup Inc. and Citibank, N.A., 2009-2019; former Trustee, BofA Funds Series Trust (11 funds), 2008-2011 |
Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1947 | Trustee since 6/11 for RiverSource Funds and since 2003 for Nations Funds | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 121 | Director, BlueCross BlueShield of South Carolina since April 2008; Trustee, Hollingsworth Funds since 2016 (previously Board Chair from 2016-2019); Advisory Board member, Duke Energy Corp. since October 2016; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018 |
Sandra Yeager c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 12/17 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 119 | Director, NAPE Education Foundation since October 2016 |
Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2019 | 29 |
Interested trustee affiliated with Investment Manager*
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin St. Boston, MA 02110 1960 | Trustee since 11/01 for RiverSource Funds and since 6/11 for Nations Funds; Senior Vice President since 2002 for RiverSource Funds and since 5/10 for Nations Funds | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010 - September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006 - August 2012. | 192 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, August 2006-January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously Vice President and Chief Counsel, January 2010 - December 2014); officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer, Principal Financial Officer (2009), and Senior Vice President (2019) | Vice President, Head of North American Operations, and Co-Head of Global Operations, – Accounting and Tax, Columbia Management Investment Advisers, LLC, since June 2019 (previously Vice President – Accounting and Tax, May 2010 – May 2019); senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009 – January 2019 and December 2015 – January 2019, respectively). |
30 | Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2019 |
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer, Chief Accounting Officer (Principal Accounting Officer) (2019), and Principal Financial Officer (2020) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously Vice President — Pricing and Corporate Actions, May 2010 - March 2017). |
Paul B. Goucher 485 Lexington Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since March 2015 (previously Vice President and Assistant Secretary, May 2010 – March 2015). |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 Born 1962 | Senior Vice President (2020) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); previously, Senior Vice President of Investment Product Management, Fidelity Financial Advisor Solutions, a division of Fidelity Investments (January 2012 – March 2015). |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
Columbia Variable Portfolio – Emerging Markets Fund | Annual Report 2019 | 31 |
December 31, 2019
3 | |
5 | |
7 | |
8 | |
13 | |
14 | |
15 | |
16 | |
18 | |
27 | |
28 |
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1* | 05/03/10 | 24.78 | 10.28 | 13.52 | |
Class 2* | 05/03/10 | 24.46 | 10.00 | 13.24 | |
Class 3 | 10/13/81 | 24.63 | 10.14 | 13.37 | |
S&P 500 Index | 31.49 | 11.70 | 13.56 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2019 | 3 |
Portfolio breakdown (%) (at December 31, 2019) | |
Common Stocks | 99.0 |
Money Market Funds | 1.0 |
Total | 100.0 |
Equity sector breakdown (%) (at December 31, 2019) | |
Communication Services | 10.7 |
Consumer Discretionary | 9.4 |
Consumer Staples | 7.6 |
Energy | 4.3 |
Financials | 12.9 |
Health Care | 14.3 |
Industrials | 8.8 |
Information Technology | 23.4 |
Materials | 2.3 |
Real Estate | 2.8 |
Utilities | 3.5 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2019 |
Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2019 | 5 |
6 | Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2019 |
(Unaudited)
July 1, 2019 — December 31, 2019 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,086.10 | 1,022.12 | 3.51 | 3.40 | 0.66 |
Class 2 | 1,000.00 | 1,000.00 | 1,084.70 | 1,020.84 | 4.83 | 4.69 | 0.91 |
Class 3 | 1,000.00 | 1,000.00 | 1,085.30 | 1,021.50 | 4.14 | 4.02 | 0.78 |
Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2019 | 7 |
December 31, 2019
Common Stocks 98.9% | ||
Issuer | Shares | Value ($) |
Communication Services 10.6% | ||
Diversified Telecommunication Services 2.6% | ||
Verizon Communications, Inc. | 2,317,600 | 142,300,640 |
Interactive Media & Services 8.0% | ||
Alphabet, Inc., Class A(a) | 193,900 | 259,707,721 |
Facebook, Inc., Class A(a) | 921,400 | 189,117,350 |
Total | 448,825,071 | |
Total Communication Services | 591,125,711 | |
Consumer Discretionary 9.4% | ||
Hotels, Restaurants & Leisure 1.4% | ||
Starbucks Corp. | 881,100 | 77,466,312 |
Household Durables 0.4% | ||
Garmin Ltd. | 106,600 | 10,399,896 |
PulteGroup, Inc. | 276,100 | 10,712,680 |
Total | 21,112,576 | |
Internet & Direct Marketing Retail 3.3% | ||
Amazon.com, Inc.(a) | 48,400 | 89,435,456 |
eBay, Inc. | 2,043,600 | 73,794,396 |
Expedia Group, Inc. | 182,700 | 19,757,178 |
Total | 182,987,030 | |
Multiline Retail 1.4% | ||
Target Corp. | 634,200 | 81,310,782 |
Specialty Retail 2.1% | ||
AutoZone, Inc.(a) | 62,000 | 73,861,220 |
Best Buy Co., Inc. | 496,800 | 43,619,040 |
Total | 117,480,260 | |
Textiles, Apparel & Luxury Goods 0.8% | ||
Nike, Inc., Class B | 164,200 | 16,635,102 |
Under Armour, Inc., Class A(a) | 1,198,300 | 25,883,280 |
Total | 42,518,382 | |
Total Consumer Discretionary | 522,875,342 | |
Consumer Staples 7.5% | ||
Food & Staples Retailing 1.9% | ||
Walgreens Boots Alliance, Inc. | 694,000 | 40,918,240 |
Walmart, Inc. | 553,500 | 65,777,940 |
Total | 106,696,180 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Food Products 1.0% | ||
General Mills, Inc. | 515,700 | 27,620,892 |
Tyson Foods, Inc., Class A | 291,800 | 26,565,472 |
Total | 54,186,364 | |
Household Products 2.5% | ||
Kimberly-Clark Corp. | 639,750 | 87,997,612 |
Procter & Gamble Co. (The) | 427,800 | 53,432,220 |
Total | 141,429,832 | |
Tobacco 2.1% | ||
Altria Group, Inc. | 1,354,100 | 67,583,131 |
Philip Morris International, Inc. | 605,600 | 51,530,504 |
Total | 119,113,635 | |
Total Consumer Staples | 421,426,011 | |
Energy 4.3% | ||
Oil, Gas & Consumable Fuels 4.3% | ||
Chevron Corp. | 517,200 | 62,327,772 |
ConocoPhillips Co. | 1,332,800 | 86,671,984 |
Devon Energy Corp. | 445,200 | 11,561,844 |
HollyFrontier Corp. | 457,800 | 23,215,038 |
Valero Energy Corp. | 588,200 | 55,084,930 |
Total | 238,861,568 | |
Total Energy | 238,861,568 | |
Financials 12.7% | ||
Banks 2.9% | ||
Bank of America Corp. | 404,100 | 14,232,402 |
Citigroup, Inc. | 1,786,200 | 142,699,518 |
Citizens Financial Group, Inc. | 143,900 | 5,843,779 |
Total | 162,775,699 | |
Capital Markets 3.8% | ||
Bank of New York Mellon Corp. (The) | 288,000 | 14,495,040 |
Franklin Resources, Inc. | 1,412,000 | 36,683,760 |
Intercontinental Exchange, Inc. | 1,127,300 | 104,331,615 |
S&P Global, Inc. | 182,200 | 49,749,710 |
T. Rowe Price Group, Inc. | 39,800 | 4,849,232 |
Total | 210,109,357 |
8 | Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2019 |
December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Consumer Finance 2.5% | ||
Capital One Financial Corp. | 961,600 | 98,958,256 |
Discover Financial Services | 95,100 | 8,066,382 |
Synchrony Financial | 912,900 | 32,873,529 |
Total | 139,898,167 | |
Diversified Financial Services 0.9% | ||
Voya Financial, Inc. | 863,800 | 52,674,524 |
Insurance 2.6% | ||
Allstate Corp. (The) | 635,800 | 71,495,710 |
MetLife, Inc. | 434,700 | 22,156,659 |
Prudential Financial, Inc. | 376,400 | 35,283,736 |
Willis Towers Watson PLC | 86,400 | 17,447,616 |
Total | 146,383,721 | |
Total Financials | 711,841,468 | |
Health Care 14.1% | ||
Biotechnology 2.3% | ||
AbbVie, Inc. | 473,660 | 41,937,856 |
Alexion Pharmaceuticals, Inc.(a) | 272,700 | 29,492,505 |
BioMarin Pharmaceutical, Inc.(a) | 232,100 | 19,624,055 |
Vertex Pharmaceuticals, Inc.(a) | 166,860 | 36,533,997 |
Total | 127,588,413 | |
Health Care Equipment & Supplies 2.9% | ||
Baxter International, Inc. | 380,100 | 31,783,962 |
Dentsply Sirona, Inc. | 192,070 | 10,869,241 |
Hologic, Inc.(a) | 173,500 | 9,058,435 |
Medtronic PLC | 985,700 | 111,827,665 |
Total | 163,539,303 | |
Health Care Providers & Services 2.3% | ||
Cardinal Health, Inc. | 1,058,710 | 53,549,552 |
HCA Healthcare, Inc. | 88,800 | 13,125,528 |
McKesson Corp. | 438,850 | 60,701,732 |
Total | 127,376,812 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Pharmaceuticals 6.6% | ||
Bristol-Myers Squibb Co. | 1,958,400 | 125,709,696 |
Johnson & Johnson | 471,600 | 68,792,292 |
Merck & Co., Inc. | 1,541,100 | 140,163,045 |
Mylan NV(a) | 695,100 | 13,971,510 |
Perrigo Co. PLC | 424,500 | 21,929,670 |
Total | 370,566,213 | |
Total Health Care | 789,070,741 | |
Industrials 8.7% | ||
Aerospace & Defense 1.9% | ||
Lockheed Martin Corp. | 274,300 | 106,806,934 |
Airlines 1.6% | ||
Southwest Airlines Co. | 1,693,500 | 91,415,130 |
Electrical Equipment 1.6% | ||
Eaton Corp. PLC | 916,400 | 86,801,408 |
Industrial Conglomerates 0.6% | ||
Honeywell International, Inc. | 200,100 | 35,417,700 |
Machinery 2.4% | ||
Cummins, Inc. | 526,400 | 94,204,544 |
Illinois Tool Works, Inc. | 215,500 | 38,710,265 |
Total | 132,914,809 | |
Professional Services 0.3% | ||
Robert Half International, Inc. | 250,300 | 15,806,445 |
Road & Rail 0.3% | ||
CSX Corp. | 219,300 | 15,868,548 |
Total Industrials | 485,030,974 | |
Information Technology 23.1% | ||
Communications Equipment 2.5% | ||
Cisco Systems, Inc. | 2,649,800 | 127,084,408 |
F5 Networks, Inc.(a) | 80,100 | 11,185,965 |
Total | 138,270,373 | |
IT Services 5.2% | ||
MasterCard, Inc., Class A | 524,100 | 156,491,019 |
VeriSign, Inc.(a) | 480,200 | 92,524,936 |
Visa, Inc., Class A | 228,400 | 42,916,360 |
Total | 291,932,315 |
Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2019 | 9 |
December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Semiconductors & Semiconductor Equipment 4.7% | ||
Broadcom, Inc. | 356,400 | 112,629,528 |
Lam Research Corp. | 360,700 | 105,468,680 |
Qorvo, Inc.(a) | 297,600 | 34,590,048 |
QUALCOMM, Inc. | 94,000 | 8,293,620 |
Total | 260,981,876 | |
Software 6.6% | ||
Adobe, Inc.(a) | 193,500 | 63,818,235 |
Autodesk, Inc.(a) | 48,200 | 8,842,772 |
Cadence Design Systems, Inc.(a) | 119,000 | 8,253,840 |
Fortinet, Inc.(a) | 787,600 | 84,084,176 |
Microsoft Corp. | 1,034,000 | 163,061,800 |
VMware, Inc., Class A | 277,800 | 42,167,262 |
Total | 370,228,085 | |
Technology Hardware, Storage & Peripherals 4.1% | ||
Apple, Inc.(b) | 517,000 | 151,817,050 |
HP, Inc. | 3,884,700 | 79,830,585 |
Total | 231,647,635 | |
Total Information Technology | 1,293,060,284 | |
Materials 2.3% | ||
Chemicals 1.2% | ||
LyondellBasell Industries NV, Class A | 708,200 | 66,910,736 |
Metals & Mining 1.1% | ||
Nucor Corp. | 1,116,400 | 62,830,992 |
Total Materials | 129,741,728 | |
Real Estate 2.7% | ||
Equity Real Estate Investment Trusts (REITS) 2.7% | ||
American Tower Corp. | 506,740 | 116,458,987 |
ProLogis, Inc. | 189,900 | 16,927,686 |
SBA Communications Corp. | 79,100 | 19,062,309 |
Total | 152,448,982 | |
Total Real Estate | 152,448,982 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Utilities 3.5% | ||
Electric Utilities 2.5% | ||
American Electric Power Co., Inc. | 359,400 | 33,966,894 |
Entergy Corp. | 135,300 | 16,208,940 |
Exelon Corp. | 1,918,700 | 87,473,533 |
Total | 137,649,367 | |
Independent Power and Renewable Electricity Producers 1.0% | ||
AES Corp. (The) | 2,831,500 | 56,346,850 |
Total Utilities | 193,996,217 | |
Total Common Stocks (Cost $4,542,363,927) | 5,529,479,026 | |
Money Market Funds 1.1% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(c),(d) | 58,351,081 | 58,345,246 |
Total Money Market Funds (Cost $58,346,394) | 58,345,246 | |
Total Investments in Securities (Cost: $4,600,710,321) | 5,587,824,272 | |
Other Assets & Liabilities, Net | 2,077,941 | |
Net Assets | 5,589,902,213 |
10 | Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2019 |
December 31, 2019
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | 436 | 03/2020 | USD | 70,437,980 | 1,311,278 | — |
(a) | Non-income producing investment. |
(b) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(c) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
(d) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | ||||||||
24,024,125 | 418,233,389 | (383,906,433) | 58,351,081 | (7,501) | (1,148) | 939,796 | 58,345,246 |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2019 | 11 |
December 31, 2019
additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 591,125,711 | — | — | 591,125,711 |
Consumer Discretionary | 522,875,342 | — | — | 522,875,342 |
Consumer Staples | 421,426,011 | — | — | 421,426,011 |
Energy | 238,861,568 | — | — | 238,861,568 |
Financials | 711,841,468 | — | — | 711,841,468 |
Health Care | 789,070,741 | — | — | 789,070,741 |
Industrials | 485,030,974 | — | — | 485,030,974 |
Information Technology | 1,293,060,284 | — | — | 1,293,060,284 |
Materials | 129,741,728 | — | — | 129,741,728 |
Real Estate | 152,448,982 | — | — | 152,448,982 |
Utilities | 193,996,217 | — | — | 193,996,217 |
Total Common Stocks | 5,529,479,026 | — | — | 5,529,479,026 |
Money Market Funds | 58,345,246 | — | — | 58,345,246 |
Total Investments in Securities | 5,587,824,272 | — | — | 5,587,824,272 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 1,311,278 | — | — | 1,311,278 |
Total | 5,589,135,550 | — | — | 5,589,135,550 |
12 | Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2019 |
December 31, 2019
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $4,542,363,927) | $5,529,479,026 |
Affiliated issuers (cost $58,346,394) | 58,345,246 |
Cash | 9,114 |
Receivable for: | |
Capital shares sold | 12,860 |
Dividends | 8,681,218 |
Foreign tax reclaims | 117,688 |
Variation margin for futures contracts | 172,095 |
Prepaid expenses | 12,316 |
Total assets | 5,596,829,563 |
Liabilities | |
Payable for: | |
Capital shares purchased | 6,429,041 |
Variation margin for futures contracts | 8,259 |
Management services fees | 96,496 |
Distribution and/or service fees | 4,578 |
Service fees | 66,565 |
Compensation of board members | 188,371 |
Compensation of chief compliance officer | 1,176 |
Other expenses | 132,864 |
Total liabilities | 6,927,350 |
Net assets applicable to outstanding capital stock | $5,589,902,213 |
Represented by | |
Trust capital | $5,589,902,213 |
Total - representing net assets applicable to outstanding capital stock | $5,589,902,213 |
Class 1 | |
Net assets | $4,290,429,353 |
Shares outstanding | 73,328,219 |
Net asset value per share | $58.51 |
Class 2 | |
Net assets | $39,356,488 |
Shares outstanding | 688,858 |
Net asset value per share | $57.13 |
Class 3 | |
Net assets | $1,260,116,372 |
Shares outstanding | 21,807,492 |
Net asset value per share | $57.78 |
Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2019 | 13 |
Year Ended December 31, 2019
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $108,765,841 |
Dividends — affiliated issuers | 939,796 |
Total income | 109,705,637 |
Expenses: | |
Management services fees | 33,524,090 |
Distribution and/or service fees | |
Class 2 | 88,590 |
Class 3 | 1,533,629 |
Service fees | 758,472 |
Compensation of board members | 97,066 |
Custodian fees | 42,269 |
Printing and postage fees | 233,856 |
Audit fees | 29,000 |
Legal fees | 56,396 |
Compensation of chief compliance officer | 1,123 |
Other | 84,399 |
Total expenses | 36,448,890 |
Net investment income | 73,256,747 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 399,830,394 |
Investments — affiliated issuers | (7,501) |
Futures contracts | 13,211,735 |
Net realized gain | 413,034,628 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 669,295,451 |
Investments — affiliated issuers | (1,148) |
Futures contracts | 2,142,935 |
Net change in unrealized appreciation (depreciation) | 671,437,238 |
Net realized and unrealized gain | 1,084,471,866 |
Net increase in net assets resulting from operations | $1,157,728,613 |
14 | Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2019 |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $73,256,747 | $75,710,803 |
Net realized gain | 413,034,628 | 483,554,445 |
Net change in unrealized appreciation (depreciation) | 671,437,238 | (718,989,772) |
Net increase (decrease) in net assets resulting from operations | 1,157,728,613 | (159,724,524) |
Decrease in net assets from capital stock activity | (385,984,660) | (593,896,354) |
Total increase (decrease) in net assets | 771,743,953 | (753,620,878) |
Net assets at beginning of year | 4,818,158,260 | 5,571,779,138 |
Net assets at end of year | $5,589,902,213 | $4,818,158,260 |
Year Ended | Year Ended | |||
December 31, 2019 | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 2,205,961 | 116,823,634 | 2,459,255 | 124,648,047 |
Redemptions | (6,735,453) | (359,789,609) | (11,338,381) | (573,238,465) |
Net decrease | (4,529,492) | (242,965,975) | (8,879,126) | (448,590,418) |
Class 2 | ||||
Subscriptions | 147,562 | 7,615,460 | 159,722 | 8,087,275 |
Redemptions | (75,762) | (4,017,984) | (38,534) | (1,886,146) |
Net increase | 71,800 | 3,597,476 | 121,188 | 6,201,129 |
Class 3 | ||||
Subscriptions | 9,233 | 485,693 | 8,839 | 445,240 |
Redemptions | (2,776,212) | (147,101,854) | (3,029,901) | (151,952,305) |
Net decrease | (2,766,979) | (146,616,161) | (3,021,062) | (151,507,065) |
Total net decrease | (7,224,671) | (385,984,660) | (11,779,000) | (593,896,354) |
Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2019 | 15 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2019 | $46.89 | 0.76 | 10.86 | 11.62 |
Year Ended 12/31/2018 | $48.64 | 0.72 | (2.47) | (1.75) |
Year Ended 12/31/2017 | $39.11 | 0.77 | 8.76 | 9.53 |
Year Ended 12/31/2016 | $36.19 | 0.62 | 2.30 | 2.92 |
Year Ended 12/31/2015 | $35.87 | 0.57 | (0.25) | 0.32 |
Class 2 | ||||
Year Ended 12/31/2019 | $45.90 | 0.61 | 10.62 | 11.23 |
Year Ended 12/31/2018 | $47.74 | 0.60 | (2.44) | (1.84) |
Year Ended 12/31/2017 | $38.48 | 0.65 | 8.61 | 9.26 |
Year Ended 12/31/2016 | $35.69 | 0.52 | 2.27 | 2.79 |
Year Ended 12/31/2015 | $35.47 | 0.47 | (0.25) | 0.22 |
Class 3 | ||||
Year Ended 12/31/2019 | $46.36 | 0.68 | 10.74 | 11.42 |
Year Ended 12/31/2018 | $48.16 | 0.65 | (2.45) | (1.80) |
Year Ended 12/31/2017 | $38.77 | 0.71 | 8.68 | 9.39 |
Year Ended 12/31/2016 | $35.92 | 0.57 | 2.28 | 2.85 |
Year Ended 12/31/2015 | $35.65 | 0.52 | (0.25) | 0.27 |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
16 | Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2019 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019 | $58.51 | 24.78% | 0.66% | 0.66% | 1.41% | 69% | $4,290,429 |
Year Ended 12/31/2018 | $46.89 | (3.60%) | 0.66% | 0.66% | 1.42% | 74% | $3,650,498 |
Year Ended 12/31/2017 | $48.64 | 24.37% | 0.68% | 0.68% | 1.79% | 69% | $4,219,124 |
Year Ended 12/31/2016 | $39.11 | 8.07% | 0.71% | 0.71% | 1.70% | 80% | $3,583,512 |
Year Ended 12/31/2015 | $36.19 | 0.89% | 0.73% | 0.73% | 1.58% | 78% | $2,941,017 |
Class 2 | |||||||
Year Ended 12/31/2019 | $57.13 | 24.46% | 0.91% | 0.91% | 1.17% | 69% | $39,356 |
Year Ended 12/31/2018 | $45.90 | (3.85%) | 0.91% | 0.91% | 1.21% | 74% | $28,322 |
Year Ended 12/31/2017 | $47.74 | 24.07% | 0.93% | 0.93% | 1.54% | 69% | $23,671 |
Year Ended 12/31/2016 | $38.48 | 7.82% | 0.96% | 0.96% | 1.45% | 80% | $18,402 |
Year Ended 12/31/2015 | $35.69 | 0.62% | 0.98% | 0.98% | 1.31% | 78% | $16,917 |
Class 3 | |||||||
Year Ended 12/31/2019 | $57.78 | 24.63% | 0.78% | 0.78% | 1.29% | 69% | $1,260,116 |
Year Ended 12/31/2018 | $46.36 | (3.74%) | 0.78% | 0.78% | 1.29% | 74% | $1,139,339 |
Year Ended 12/31/2017 | $48.16 | 24.22% | 0.81% | 0.81% | 1.67% | 69% | $1,328,984 |
Year Ended 12/31/2016 | $38.77 | 7.94% | 0.83% | 0.83% | 1.58% | 80% | $1,214,003 |
Year Ended 12/31/2015 | $35.92 | 0.76% | 0.85% | 0.85% | 1.44% | 78% | $1,280,983 |
Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2019 | 17 |
December 31, 2019
18 | Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2019 | 19 |
December 31, 2019
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 1,311,278* |
20 | Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2019 |
December 31, 2019
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Equity risk | 13,211,735 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Equity risk | 2,142,935 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 50,201,285 |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2019. |
Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2019 | 21 |
December 31, 2019
22 | Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2019 | 23 |
December 31, 2019
May 1, 2019 through April 30, 2020 | Prior to May 1, 2019 | |
Class 1 | 0.71% | 0.72% |
Class 2 | 0.96 | 0.97 |
Class 3 | 0.835 | 0.845 |
24 | Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2019 | 25 |
December 31, 2019
26 | Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2019 |
| Annual Report 2019 | 27 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1953 | Trustee since 1/17 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 121 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 1/06 for RiverSource Funds and since 6/11 for Nations Funds | Attorney; specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018 | 121 | Trustee, BlueCross BlueShield of Minnesota since 2009 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee since 2017); Chair of the Robina Foundation since August 2013; former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017 |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 7/07 for RiverSource Funds and since 6/11 for Nations Funds | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, Morgan Stanley, 1982-1991 | 121 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of Human Resources Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee) since 2019 |
28 | Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2019 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1950 | Trustee since 11/04 for RiverSource Funds and since 6/11 for Nations Funds | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 121 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative since 2010; Board of Directors, The MA Business Roundtable 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 12/17 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 121 | Trustee, Catholic Schools Foundation since 2004 |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Chair of the Board since 1/20; Trustee since 11/04 for RiverSource Funds and since 6/11 for Nations Funds | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Managing Director, Morgan Stanley, 1982-1989; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 121 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Anthony M. Santomero c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1946 | Trustee since 6/11 for RiverSource Funds and since 1/08 for Nations Funds | Richard K. Mellon Professor Emeritus of Finance, The Wharton School, University of Pennsylvania, since 2002; Senior Advisor, McKinsey & Company (consulting), 2006-2008; President, Federal Reserve Bank of Philadelphia, 2000- 2006; Professor of Finance, The Wharton School, University of Pennsylvania, 1972-2002 | 121 | Trustee, Penn Mutual Life Insurance Company since March 2008; Director, Renaissance Reinsurance Ltd. since May 2008; former Director, Citigroup Inc. and Citibank, N.A., 2009-2019; former Trustee, BofA Funds Series Trust (11 funds), 2008-2011 |
Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1947 | Trustee since 6/11 for RiverSource Funds and since 2003 for Nations Funds | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 121 | Director, BlueCross BlueShield of South Carolina since April 2008; Trustee, Hollingsworth Funds since 2016 (previously Board Chair from 2016-2019); Advisory Board member, Duke Energy Corp. since October 2016; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018 |
Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2019 | 29 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Sandra Yeager c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 12/17 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 119 | Director, NAPE Education Foundation since October 2016 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin St. Boston, MA 02110 1960 | Trustee since 11/01 for RiverSource Funds and since 6/11 for Nations Funds; Senior Vice President since 2002 for RiverSource Funds and since 5/10 for Nations Funds | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010 - September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006 - August 2012. | 192 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, August 2006-January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
30 | Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2019 |
The Board has appointed officers who are responsible for day-to-day business decisions based on policies it has established. The officers serve at the pleasure of the Board. The following table provides basic information about the Officers of the Fund, including principal occupations during the past five years, although their specific titles may have varied over the period. In addition to Mr. Truscott, who is Senior Vice President, the Fund’s other officers are:
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously Vice President and Chief Counsel, January 2010 - December 2014); officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer, Principal Financial Officer (2009), and Senior Vice President (2019) | Vice President, Head of North American Operations, and Co-Head of Global Operations, – Accounting and Tax, Columbia Management Investment Advisers, LLC, since June 2019 (previously Vice President – Accounting and Tax, May 2010 – May 2019); senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009 – January 2019 and December 2015 – January 2019, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer, Chief Accounting Officer (Principal Accounting Officer) (2019), and Principal Financial Officer (2020) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously Vice President — Pricing and Corporate Actions, May 2010 - March 2017). |
Paul B. Goucher 485 Lexington Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since March 2015 (previously Vice President and Assistant Secretary, May 2010 – March 2015). |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 Born 1962 | Senior Vice President (2020) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); previously, Senior Vice President of Investment Product Management, Fidelity Financial Advisor Solutions, a division of Fidelity Investments (January 2012 – March 2015). |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2019 | 31 |
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
32 | Columbia Variable Portfolio – Disciplined Core Fund | Annual Report 2019 |
December 31, 2019
3 | |
5 | |
7 | |
8 | |
12 | |
13 | |
14 | |
16 | |
18 | |
25 | |
26 |
Average annual total returns (%) (for the period ended December 31, 2019) | ||||
Inception | 1 Year | Life | ||
Class 1 | 01/04/18 | 27.99 | 9.09 | |
Class 2 | 01/04/18 | 27.62 | 8.82 | |
S&P 500 Index | 31.49 | 11.13 |
Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2019 | 3 |
Portfolio breakdown (%) (at December 31, 2019) | |
Common Stocks | 98.8 |
Money Market Funds | 1.2 |
Total | 100.0 |
Equity sector breakdown (%) (at December 31, 2019) | |
Communication Services | 12.9 |
Consumer Discretionary | 9.3 |
Consumer Staples | 6.1 |
Energy | 3.0 |
Financials | 13.1 |
Health Care | 12.3 |
Industrials | 11.1 |
Information Technology | 24.2 |
Materials | 1.1 |
Real Estate | 3.2 |
Utilities | 3.7 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2019 |
Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2019 | 5 |
6 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2019 |
(Unaudited)
July 1, 2019 — December 31, 2019 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,084.90 | 1,021.96 | 3.67 | 3.55 | 0.69 |
Class 2 | 1,000.00 | 1,000.00 | 1,084.30 | 1,020.69 | 4.99 | 4.84 | 0.94 |
Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2019 | 7 |
December 31, 2019
Common Stocks 98.8% | ||
Issuer | Shares | Value ($) |
Communication Services 12.8% | ||
Entertainment 3.4% | ||
Electronic Arts, Inc.(a) | 179,816 | 19,332,018 |
Walt Disney Co. (The) | 183,132 | 26,486,381 |
Total | 45,818,399 | |
Interactive Media & Services 4.6% | ||
Alphabet, Inc., Class C(a) | 45,852 | 61,305,041 |
Media 3.7% | ||
Comcast Corp., Class A | 596,288 | 26,815,072 |
Discovery, Inc., Class A(a) | 500,135 | 16,374,420 |
DISH Network Corp., Class A(a) | 191,711 | 6,799,989 |
Total | 49,989,481 | |
Wireless Telecommunication Services 1.1% | ||
T-Mobile U.S.A., Inc.(a) | 191,379 | 15,007,941 |
Total Communication Services | 172,120,862 | |
Consumer Discretionary 9.2% | ||
Automobiles 1.3% | ||
General Motors Co. | 480,063 | 17,570,306 |
Internet & Direct Marketing Retail 4.6% | ||
Amazon.com, Inc.(a) | 29,996 | 55,427,809 |
Chewy, Inc., Class A(a) | 222,369 | 6,448,701 |
Total | 61,876,510 | |
Multiline Retail 1.3% | ||
Target Corp. | 134,525 | 17,247,450 |
Specialty Retail 2.0% | ||
Home Depot, Inc. (The) | 122,899 | 26,838,683 |
Total Consumer Discretionary | 123,532,949 | |
Consumer Staples 6.1% | ||
Beverages 1.7% | ||
PepsiCo, Inc. | 165,801 | 22,660,023 |
Food Products 1.3% | ||
Mondelez International, Inc., Class A | 321,370 | 17,701,059 |
Household Products 1.5% | ||
Kimberly-Clark Corp. | 145,503 | 20,013,938 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Tobacco 1.6% | ||
Philip Morris International, Inc. | 248,698 | 21,161,713 |
Total Consumer Staples | 81,536,733 | |
Energy 3.0% | ||
Energy Equipment & Services 0.5% | ||
TechnipFMC PLC | 300,643 | 6,445,786 |
Oil, Gas & Consumable Fuels 2.5% | ||
Chevron Corp. | 204,381 | 24,629,954 |
EOG Resources, Inc. | 106,206 | 8,895,815 |
Total | 33,525,769 | |
Total Energy | 39,971,555 | |
Financials 12.9% | ||
Banks 9.9% | ||
Bank of America Corp. | 1,027,010 | 36,171,292 |
Citigroup, Inc. | 378,989 | 30,277,431 |
JPMorgan Chase & Co. | 266,818 | 37,194,429 |
KeyCorp | 1,002,274 | 20,286,026 |
Popular, Inc. | 168,626 | 9,906,778 |
Total | 133,835,956 | |
Insurance 3.0% | ||
Allstate Corp. (The) | 212,245 | 23,866,950 |
Lincoln National Corp. | 285,036 | 16,819,975 |
Total | 40,686,925 | |
Total Financials | 174,522,881 | |
Health Care 12.1% | ||
Biotechnology 2.5% | ||
Alexion Pharmaceuticals, Inc.(a) | 76,071 | 8,227,078 |
BioMarin Pharmaceutical, Inc.(a) | 94,542 | 7,993,526 |
Exact Sciences Corp.(a) | 77,002 | 7,121,145 |
Vertex Pharmaceuticals, Inc.(a) | 48,026 | 10,515,293 |
Total | 33,857,042 | |
Health Care Equipment & Supplies 5.3% | ||
Abbott Laboratories | 312,585 | 27,151,133 |
Baxter International, Inc. | 202,901 | 16,966,581 |
Medtronic PLC | 239,577 | 27,180,011 |
Total | 71,297,725 |
8 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2019 |
December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Health Care Providers & Services 1.6% | ||
Cigna Corp. | 108,999 | 22,289,206 |
Pharmaceuticals 2.7% | ||
Bristol-Myers Squibb Co. | 224,953 | 14,439,733 |
Eli Lilly & Co. | 162,735 | 21,388,261 |
Total | 35,827,994 | |
Total Health Care | 163,271,967 | |
Industrials 11.0% | ||
Aerospace & Defense 3.4% | ||
L3 Harris Technologies, Inc. | 84,647 | 16,749,102 |
Northrop Grumman Corp. | 57,430 | 19,754,197 |
Spirit AeroSystems Holdings, Inc., Class A | 131,157 | 9,558,722 |
Total | 46,062,021 | |
Airlines 1.4% | ||
Delta Air Lines, Inc. | 312,907 | 18,298,801 |
Building Products 1.2% | ||
Masco Corp. | 340,514 | 16,341,267 |
Machinery 2.3% | ||
Ingersoll-Rand PLC | 117,657 | 15,638,968 |
Stanley Black & Decker, Inc. | 90,808 | 15,050,518 |
Total | 30,689,486 | |
Road & Rail 2.7% | ||
Norfolk Southern Corp. | 82,534 | 16,022,326 |
Union Pacific Corp. | 112,966 | 20,423,123 |
Total | 36,445,449 | |
Total Industrials | 147,837,024 | |
Information Technology 23.9% | ||
Communications Equipment 2.1% | ||
Cisco Systems, Inc. | 599,674 | 28,760,365 |
IT Services 4.5% | ||
International Business Machines Corp. | 188,544 | 25,272,438 |
MasterCard, Inc., Class A | 116,609 | 34,818,281 |
Total | 60,090,719 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Semiconductors & Semiconductor Equipment 5.1% | ||
Broadcom, Inc. | 85,317 | 26,961,878 |
NVIDIA Corp. | 62,418 | 14,686,955 |
NXP Semiconductors NV | 135,068 | 17,188,754 |
Qorvo, Inc.(a) | 87,241 | 10,140,022 |
Total | 68,977,609 | |
Software 8.9% | ||
Adobe, Inc.(a) | 86,198 | 28,428,962 |
Microsoft Corp. | 503,302 | 79,370,725 |
Symantec Corp. | 496,449 | 12,669,379 |
Total | 120,469,066 | |
Technology Hardware, Storage & Peripherals 3.3% | ||
Apple, Inc. | 151,455 | 44,474,761 |
Total Information Technology | 322,772,520 | |
Materials 1.0% | ||
Metals & Mining 1.0% | ||
Barrick Gold Corp. | 752,045 | 13,980,517 |
Total Materials | 13,980,517 | |
Real Estate 3.2% | ||
Equity Real Estate Investment Trusts (REITS) 3.2% | ||
American Tower Corp. | 84,240 | 19,360,037 |
Equity LifeStyle Properties, Inc. | 176,157 | 12,399,691 |
Medical Properties Trust, Inc. | 532,630 | 11,243,819 |
Total | 43,003,547 | |
Total Real Estate | 43,003,547 | |
Utilities 3.6% | ||
Electric Utilities 2.5% | ||
American Electric Power Co., Inc. | 191,749 | 18,122,198 |
Xcel Energy, Inc. | 241,261 | 15,317,661 |
Total | 33,439,859 | |
Multi-Utilities 1.1% | ||
Ameren Corp. | 200,377 | 15,388,953 |
Total Utilities | 48,828,812 | |
Total Common Stocks (Cost $1,122,507,029) | 1,331,379,367 | |
Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2019 | 9 |
December 31, 2019
Money Market Funds 1.1% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(b),(c) | 15,534,516 | 15,532,962 |
Total Money Market Funds (Cost $15,532,962) | 15,532,962 | |
Total Investments in Securities (Cost: $1,138,039,991) | 1,346,912,329 | |
Other Assets & Liabilities, Net | 918,030 | |
Net Assets | 1,347,830,359 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | ||||||||
5,863,144 | 247,742,325 | (238,070,953) | 15,534,516 | (1,999) | — | 572,681 | 15,532,962 |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
10 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2019 |
December 31, 2019
additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 172,120,862 | — | — | 172,120,862 |
Consumer Discretionary | 123,532,949 | — | — | 123,532,949 |
Consumer Staples | 81,536,733 | — | — | 81,536,733 |
Energy | 39,971,555 | — | — | 39,971,555 |
Financials | 174,522,881 | — | — | 174,522,881 |
Health Care | 163,271,967 | — | — | 163,271,967 |
Industrials | 147,837,024 | — | — | 147,837,024 |
Information Technology | 322,772,520 | — | — | 322,772,520 |
Materials | 13,980,517 | — | — | 13,980,517 |
Real Estate | 43,003,547 | — | — | 43,003,547 |
Utilities | 48,828,812 | — | — | 48,828,812 |
Total Common Stocks | 1,331,379,367 | — | — | 1,331,379,367 |
Money Market Funds | 15,532,962 | — | — | 15,532,962 |
Total Investments in Securities | 1,346,912,329 | — | — | 1,346,912,329 |
Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2019 | 11 |
December 31, 2019
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,122,507,029) | $1,331,379,367 |
Affiliated issuers (cost $15,532,962) | 15,532,962 |
Receivable for: | |
Dividends | 1,618,255 |
Foreign tax reclaims | 38,346 |
Expense reimbursement due from Investment Manager | 1,558 |
Prepaid expenses | 4,109 |
Total assets | 1,348,574,597 |
Liabilities | |
Due to custodian | 12,457 |
Payable for: | |
Capital shares purchased | 663,570 |
Management services fees | 26,747 |
Compensation of board members | 15,460 |
Compensation of chief compliance officer | 272 |
Other expenses | 25,732 |
Total liabilities | 744,238 |
Net assets applicable to outstanding capital stock | $1,347,830,359 |
Represented by | |
Trust capital | $1,347,830,359 |
Total - representing net assets applicable to outstanding capital stock | $1,347,830,359 |
Class 1 | |
Net assets | $1,347,827,402 |
Shares outstanding | 113,381,372 |
Net asset value per share | $11.89 |
Class 2 | |
Net assets | $2,957 |
Shares outstanding | 250 |
Net asset value per share | $11.83 |
12 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2019 |
Year Ended December 31, 2019
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $23,500,426 |
Dividends — affiliated issuers | 572,681 |
Interfund lending | 360 |
Foreign taxes withheld | (134,238) |
Total income | 23,939,229 |
Expenses: | |
Management services fees | 9,017,547 |
Distribution and/or service fees | |
Class 2 | 7 |
Compensation of board members | 27,002 |
Custodian fees | 10,219 |
Printing and postage fees | 4,962 |
Audit fees | 29,000 |
Legal fees | 18,719 |
Compensation of chief compliance officer | 274 |
Other | 15,632 |
Total expenses | 9,123,362 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (608,660) |
Total net expenses | 8,514,702 |
Net investment income | 15,424,527 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (33,204,986) |
Investments — affiliated issuers | (1,999) |
Foreign currency translations | 2,381 |
Net realized loss | (33,204,604) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 315,685,423 |
Net change in unrealized appreciation (depreciation) | 315,685,423 |
Net realized and unrealized gain | 282,480,819 |
Net increase in net assets resulting from operations | $297,905,346 |
Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2019 | 13 |
Year Ended December 31, 2019 | Year Ended December 31, 2018 (a) | |
Operations | ||
Net investment income | $15,424,527 | $7,983,821 |
Net realized loss | (33,204,604) | (10,772,157) |
Net change in unrealized appreciation (depreciation) | 315,685,423 | (106,813,085) |
Net increase (decrease) in net assets resulting from operations | 297,905,346 | (109,601,421) |
Increase (decrease) in net assets from capital stock activity | (20,557,579) | 1,180,061,513 |
Total increase in net assets | 277,347,767 | 1,070,460,092 |
Net assets at beginning of year | 1,070,482,592 | 22,500 |
Net assets at end of year | $1,347,830,359 | $1,070,482,592 |
Year Ended | Year Ended | |||
December 31, 2019 | December 31, 2018 (a) | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 100,590 | 1,063,291 | 115,675,223 | 1,184,452,727 |
Redemptions | (1,972,710) | (21,620,870) | (423,731) | (4,391,214) |
Net increase (decrease) | (1,872,120) | (20,557,579) | 115,251,492 | 1,180,061,513 |
Total net increase (decrease) | (1,872,120) | (20,557,579) | 115,251,492 | 1,180,061,513 |
(a) | Based on operations from January 4, 2018 (the Fund’s commencement of operations) through the stated period end. |
14 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2019 |
Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2019 | 15 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2019 | $9.29 | 0.13 | 2.47 | 2.60 |
Year Ended 12/31/2018(c) | $10.00 | 0.13 | (0.84) | (0.71) |
Class 2 | ||||
Year Ended 12/31/2019 | $9.27 | 0.10 | 2.46 | 2.56 |
Year Ended 12/31/2018(c) | $10.00 | 0.09 | (0.82) | (0.73) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | The Fund commenced operations on January 4, 2018. Per share data and total return reflect activity from that date. |
(d) | Annualized. |
16 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2019 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019 | $11.89 | 27.99% | 0.74% | 0.69% | 1.25% | 59% | $1,347,827 |
Year Ended 12/31/2018(c) | $9.29 | (7.10%) | 0.75%(d) | 0.69%(d) | 1.27%(d) | 58% | $1,070,480 |
Class 2 | |||||||
Year Ended 12/31/2019 | $11.83 | 27.62% | 0.97% | 0.94% | 0.97% | 59% | $3 |
Year Ended 12/31/2018(c) | $9.27 | (7.30%) | 0.97%(d) | 0.94%(d) | 0.84%(d) | 58% | $2 |
Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2019 | 17 |
December 31, 2019
18 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2019 | 19 |
December 31, 2019
20 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2019 | 21 |
December 31, 2019
Fee rate(s) contractual through April 30, 2020 | |
Class 1 | 0.69% |
Class 2 | 0.94 |
22 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2019 |
December 31, 2019
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 880,000 | 2.90 | 5 |
Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2019 | 23 |
December 31, 2019
24 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2019 |
Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2019 | 25 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1953 | Trustee since 1/17 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 121 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 1/06 for RiverSource Funds and since 6/11 for Nations Funds | Attorney; specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018 | 121 | Trustee, BlueCross BlueShield of Minnesota since 2009 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee since 2017); Chair of the Robina Foundation since August 2013; former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017 |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 7/07 for RiverSource Funds and since 6/11 for Nations Funds | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, Morgan Stanley, 1982-1991 | 121 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of Human Resources Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee) since 2019 |
26 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2019 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1950 | Trustee since 11/04 for RiverSource Funds and since 6/11 for Nations Funds | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 121 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative since 2010; Board of Directors, The MA Business Roundtable 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 12/17 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 121 | Trustee, Catholic Schools Foundation since 2004 |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Chair of the Board since 1/20; Trustee since 11/04 for RiverSource Funds and since 6/11 for Nations Funds | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Managing Director, Morgan Stanley, 1982-1989; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 121 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Anthony M. Santomero c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1946 | Trustee since 6/11 for RiverSource Funds and since 1/08 for Nations Funds | Richard K. Mellon Professor Emeritus of Finance, The Wharton School, University of Pennsylvania, since 2002; Senior Advisor, McKinsey & Company (consulting), 2006-2008; President, Federal Reserve Bank of Philadelphia, 2000- 2006; Professor of Finance, The Wharton School, University of Pennsylvania, 1972-2002 | 121 | Trustee, Penn Mutual Life Insurance Company since March 2008; Director, Renaissance Reinsurance Ltd. since May 2008; former Director, Citigroup Inc. and Citibank, N.A., 2009-2019; former Trustee, BofA Funds Series Trust (11 funds), 2008-2011 |
Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1947 | Trustee since 6/11 for RiverSource Funds and since 2003 for Nations Funds | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 121 | Director, BlueCross BlueShield of South Carolina since April 2008; Trustee, Hollingsworth Funds since 2016 (previously Board Chair from 2016-2019); Advisory Board member, Duke Energy Corp. since October 2016; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018 |
Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2019 | 27 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Sandra Yeager c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 12/17 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 119 | Director, NAPE Education Foundation since October 2016 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin St. Boston, MA 02110 1960 | Trustee since 11/01 for RiverSource Funds and since 6/11 for Nations Funds; Senior Vice President since 2002 for RiverSource Funds and since 5/10 for Nations Funds | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010 - September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006 - August 2012. | 192 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, August 2006-January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
28 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2019 |
The Board has appointed officers who are responsible for day-to-day business decisions based on policies it has established. The officers serve at the pleasure of the Board. The following table provides basic information about the Officers of the Fund, including principal occupations during the past five years, although their specific titles may have varied over the period. In addition to Mr. Truscott, who is Senior Vice President, the Fund’s other officers are:
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously Vice President and Chief Counsel, January 2010 - December 2014); officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer, Principal Financial Officer (2009), and Senior Vice President (2019) | Vice President, Head of North American Operations, and Co-Head of Global Operations, – Accounting and Tax, Columbia Management Investment Advisers, LLC, since June 2019 (previously Vice President – Accounting and Tax, May 2010 – May 2019); senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009 – January 2019 and December 2015 – January 2019, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer, Chief Accounting Officer (Principal Accounting Officer) (2019), and Principal Financial Officer (2020) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously Vice President — Pricing and Corporate Actions, May 2010 - March 2017). |
Paul B. Goucher 485 Lexington Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since March 2015 (previously Vice President and Assistant Secretary, May 2010 – March 2015). |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 Born 1962 | Senior Vice President (2020) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); previously, Senior Vice President of Investment Product Management, Fidelity Financial Advisor Solutions, a division of Fidelity Investments (January 2012 – March 2015). |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2019 | 29 |
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
30 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Annual Report 2019 |
December 31, 2019
3 | |
5 | |
7 | |
8 | |
11 | |
12 | |
13 | |
14 | |
16 | |
28 | |
29 |
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class 1 | 04/30/13 | 7.80 | -3.98 | -7.20 | |
Class 2 | 04/30/13 | 7.78 | -4.22 | -7.41 | |
Bloomberg Commodity Index Total Return | 7.69 | -3.92 | -6.48 |
Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2019 | 3 |
Commodities market exposure (%) (at December 31, 2019) | |
Commodities contracts(a) | Long |
Energy | 30.0 |
Agriculture | 27.1 |
Industrial Metals | 20.2 |
Precious Metals | 17.0 |
Livestock | 5.7 |
Total notional market value of commodities contracts | 100.0 |
Portfolio Holdings (%) (at December 31, 2019) | |
Money Market Funds | 31.1 |
Options Purchased Calls | 0.0(a) |
Treasury Bills | 35.0 |
U.S. Government & Agency Obligations | 28.5 |
Other Assets | 5.4 |
Total | 100.0 |
(a) | Rounds to zero. |
4 | Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2019 |
Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2019 | 5 |
6 | Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2019 |
(Unaudited)
July 1, 2019 — December 31, 2019 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,027.80 | 1,022.07 | 3.46 | 3.45 | 0.67 |
Class 2 | 1,000.00 | 1,000.00 | 1,026.10 | 1,020.79 | 4.75 | 4.74 | 0.92 |
Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2019 | 7 |
December 31, 2019
Treasury Bills 35.0% | ||||
Issuer | Effective Yield | Principal Amount ($) | Value ($) | |
United States 35.0% | ||||
U.S. Treasury Bills | ||||
01/30/2020 | 1.540% | 52,600,000 | 52,533,416 | |
02/27/2020 | 1.480% | 40,000,000 | 39,906,357 | |
03/26/2020 | 1.490% | 25,000,000 | 24,912,465 | |
06/18/2020 | 1.550% | 30,000,000 | 29,785,528 | |
Total | 147,137,766 | |||
Total Treasury Bills (Cost $147,098,932) | 147,137,766 | |||
U.S. Government & Agency Obligations 28.5% | ||||
Federal Farm Credit Discount Notes | ||||
01/14/2020 | 1.560% | 40,000,000 | 39,976,046 | |
Federal Home Loan Banks Discount Notes | ||||
03/02/2020 | 1.580% | 40,000,000 | 39,893,154 | |
Federal National Mortgage Association Discount Notes | ||||
02/27/2020 | 1.660% | 40,000,000 | 39,894,965 | |
Total U.S. Government & Agency Obligations (Cost $119,773,460) | 119,764,165 |
Options Purchased Calls —% | ||||
Value ($) | ||||
(Cost $501,958) | — |
Money Market Funds 31.1% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(a),(b) | 130,840,633 | 130,827,549 |
Total Money Market Funds (Cost $130,827,549) | 130,827,549 | |
Total Investments in Securities (Cost: $398,201,899) | 397,729,480 | |
Other Assets & Liabilities, Net | 22,522,541 | |
Net Assets | 420,252,021 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Brent Crude | 353 | 01/2020 | USD | 23,298,000 | 2,079,170 | — |
Brent Crude | 153 | 05/2020 | USD | 9,709,380 | 358,379 | — |
Coffee | 162 | 03/2020 | USD | 7,879,275 | 358,425 | — |
Coffee | 70 | 05/2020 | USD | 3,462,375 | 135,018 | — |
Copper | 280 | 03/2020 | USD | 19,579,000 | 1,218,000 | — |
Copper | 128 | 05/2020 | USD | 8,984,000 | 433,149 | — |
Corn | 1,128 | 03/2020 | USD | 21,869,100 | 366,600 | — |
Corn | 80 | 03/2020 | USD | 2,032,000 | — | (49,150) |
Cotton | 100 | 03/2020 | USD | 3,452,500 | 250,000 | — |
Cotton | 45 | 05/2020 | USD | 1,579,050 | 104,750 | — |
Gas Oil | 157 | 03/2020 | USD | 9,596,625 | 405,318 | — |
Gas Oil | 56 | 05/2020 | USD | 3,369,800 | 128,126 | — |
Gold 100 oz. | 362 | 02/2020 | USD | 55,136,220 | 1,400,940 | — |
Gold 100 oz. | 11 | 02/2020 | USD | 1,675,410 | 62,769 | — |
Lean Hogs | 251 | 02/2020 | USD | 7,171,070 | 306,220 | — |
Live Cattle | 299 | 02/2020 | USD | 15,060,630 | 32,890 | — |
Live Cattle | 52 | 02/2020 | USD | 2,619,240 | 27,243 | — |
Natural Gas | 736 | 02/2020 | USD | 15,882,880 | — | (495,181) |
Natural Gas | 347 | 04/2020 | USD | 7,592,360 | 18,889 | — |
Nickel | 102 | 03/2020 | USD | 8,583,300 | 232,057 | — |
Nickel | 46 | 05/2020 | USD | 3,882,768 | 108,478 | — |
8 | Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2019 |
December 31, 2019
Long futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
NY Harbor ULSD Heat Oil | 96 | 02/2020 | USD | 8,130,528 | 308,706 | — |
NY Harbor ULSD Heat Oil | 33 | 04/2020 | USD | 2,750,101 | 99,009 | — |
Primary Aluminum | 233 | 03/2020 | USD | 10,543,250 | 265,028 | — |
Primary Aluminum | 107 | 05/2020 | USD | 4,872,513 | 117,705 | — |
RBOB Gasoline | 132 | 02/2020 | USD | 9,441,432 | 249,031 | — |
RBOB Gasoline | 42 | 04/2020 | USD | 3,317,378 | 84,180 | — |
Silver | 190 | 03/2020 | USD | 17,024,950 | 639,350 | — |
Soybean | 325 | 03/2020 | USD | 15,526,875 | 740,714 | — |
Soybean | 147 | 05/2020 | USD | 7,120,313 | 327,440 | — |
Soybean Meal | 246 | 03/2020 | USD | 7,495,620 | 88,540 | — |
Soybean Meal | 18 | 03/2020 | USD | 548,460 | 12,240 | — |
Soybean Meal | 120 | 05/2020 | USD | 3,702,000 | 44,157 | — |
Soybean Oil | 452 | 03/2020 | USD | 9,429,624 | 776,782 | — |
Soybean Oil | 206 | 05/2020 | USD | 4,333,416 | 380,535 | — |
Sugar #11 | 553 | 02/2020 | USD | 8,311,811 | 346,842 | — |
Sugar #11 | 254 | 04/2020 | USD | 3,851,859 | 111,984 | — |
Wheat | 310 | 03/2020 | USD | 8,660,625 | 519,250 | — |
Wheat | 130 | 03/2020 | USD | 3,159,000 | 320,125 | — |
Wheat | 142 | 05/2020 | USD | 3,988,425 | 238,155 | — |
Wheat | 59 | 05/2020 | USD | 1,458,038 | 150,333 | — |
WTI Crude | 430 | 02/2020 | USD | 26,131,100 | 895,539 | — |
WTI Crude | 184 | 04/2020 | USD | 11,034,480 | 379,817 | — |
Zinc | 166 | 03/2020 | USD | 9,440,213 | 162,265 | — |
Zinc | 59 | 05/2020 | USD | 3,341,981 | 57,623 | — |
Total | 15,341,771 | (544,331) |
Call option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
Nickel†,†† | UBS | USD | 18,521,568 | 221 | 17,000.00 | 01/02/2020 | 501,958 | — |
† | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At December 31, 2019, the total value of these securities amounted to $0, which represents less than 0.01% of total net assets. |
†† | Valuation based on significant unobservable inputs. |
(a) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
(b) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | ||||||||
5,350,796 | 860,629,579 | (735,139,742) | 130,840,633 | 3,864 | — | 536,249 | 130,827,549 |
USD | US Dollar |
Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2019 | 9 |
December 31, 2019
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Treasury Bills | 147,137,766 | — | — | 147,137,766 |
U.S. Government & Agency Obligations | — | 119,764,165 | — | 119,764,165 |
Options Purchased Calls | — | — | 0* | 0* |
Money Market Funds | 130,827,549 | — | — | 130,827,549 |
Total Investments in Securities | 277,965,315 | 119,764,165 | 0* | 397,729,480 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 15,341,771 | — | — | 15,341,771 |
Liability | ||||
Futures Contracts | (544,331) | — | — | (544,331) |
Total | 292,762,755 | 119,764,165 | 0* | 412,526,920 |
* | Rounds to zero. |
10 | Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2019 |
December 31, 2019
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $266,872,392) | $266,901,931 |
Affiliated issuers (cost $130,827,549) | 130,827,549 |
Options purchased (cost $501,958) | — |
Margin deposits on: | |
Futures contracts | 24,987,124 |
Receivable for: | |
Capital shares sold | 15,653 |
Dividends | 158,981 |
Variation margin for futures contracts | 521,730 |
Prepaid expenses | 2,421 |
Total assets | 423,415,389 |
Liabilities | |
Payable for: | |
Capital shares purchased | 3,508 |
Variation margin for futures contracts | 3,083,938 |
Management services fees | 7,298 |
Distribution and/or service fees | 111 |
Service fees | 2,219 |
Compensation of board members | 28,707 |
Compensation of chief compliance officer | 89 |
Other expenses | 37,498 |
Total liabilities | 3,163,368 |
Net assets applicable to outstanding capital stock | $420,252,021 |
Represented by | |
Paid in capital | 508,061,490 |
Total distributable earnings (loss) | (87,809,469) |
Total - representing net assets applicable to outstanding capital stock | $420,252,021 |
Class 1 | |
Net assets | $404,192,592 |
Shares outstanding | 72,833,668 |
Net asset value per share | $5.55 |
Class 2 | |
Net assets | $16,059,429 |
Shares outstanding | 2,922,199 |
Net asset value per share | $5.50 |
Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2019 | 11 |
Year Ended December 31, 2019
Net investment income | |
Income: | |
Dividends — affiliated issuers | $536,249 |
Interest | 8,281,936 |
Total income | 8,818,185 |
Expenses: | |
Management services fees | 2,527,621 |
Distribution and/or service fees | |
Class 2 | 39,496 |
Service fees | 26,283 |
Compensation of board members | 17,842 |
Custodian fees | 30,174 |
Printing and postage fees | 10,812 |
Audit fees | 30,500 |
Legal fees | 11,063 |
Compensation of chief compliance officer | 78 |
Other | 13,443 |
Total expenses | 2,707,312 |
Net investment income | 6,110,873 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 172,480 |
Investments — affiliated issuers | 3,864 |
Futures contracts | (14,640,389) |
Options purchased | (3,707,193) |
Options contracts written | 1,638,833 |
Net realized loss | (16,532,405) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 30,057 |
Futures contracts | 34,116,733 |
Options purchased | 7,641 |
Options contracts written | 305,140 |
Net change in unrealized appreciation (depreciation) | 34,459,571 |
Net realized and unrealized gain | 17,927,166 |
Net increase in net assets resulting from operations | $24,038,039 |
12 | Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2019 |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $6,110,873 | $5,214,359 |
Net realized loss | (16,532,405) | (22,634,779) |
Net change in unrealized appreciation (depreciation) | 34,459,571 | (35,866,163) |
Net increase (decrease) in net assets resulting from operations | 24,038,039 | (53,286,583) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (4,687,325) | (698,995) |
Class 2 | (147,075) | — |
Total distributions to shareholders | (4,834,400) | (698,995) |
Increase (decrease) in net assets from capital stock activity | 158,901,757 | (256,032,908) |
Total increase (decrease) in net assets | 178,105,396 | (310,018,486) |
Net assets at beginning of year | 242,146,625 | 552,165,111 |
Net assets at end of year | $420,252,021 | $242,146,625 |
Year Ended | Year Ended | |||
December 31, 2019 | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 28,429,902 | 154,656,225 | 217,478 | 1,251,387 |
Distributions reinvested | 861,640 | 4,687,325 | 117,676 | 698,995 |
Redemptions | (43,891) | (235,498) | (45,446,354) | (260,203,312) |
Net increase (decrease) | 29,247,651 | 159,108,052 | (45,111,200) | (258,252,930) |
Class 2 | ||||
Subscriptions | 443,561 | 2,389,825 | 853,818 | 5,024,423 |
Distributions reinvested | 27,287 | 147,075 | — | — |
Redemptions | (512,158) | (2,743,195) | (482,122) | (2,804,401) |
Net increase (decrease) | (41,310) | (206,295) | 371,696 | 2,220,022 |
Total net increase (decrease) | 29,206,341 | 158,901,757 | (44,739,504) | (256,032,908) |
Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2019 | 13 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Total distributions to shareholders | |
Class 1 | ||||||
Year Ended 12/31/2019 | $5.21 | 0.08 | 0.33 | 0.41 | (0.07) | (0.07) |
Year Ended 12/31/2018 | $6.05 | 0.07 | (0.90) | (0.83) | (0.01) | (0.01) |
Year Ended 12/31/2017 | $6.33 | 0.01 | 0.07 | 0.08 | (0.36) | (0.36) |
Year Ended 12/31/2016 | $5.61 | (0.02) | 0.74 | 0.72 | — | — |
Year Ended 12/31/2015 | $7.34 | (0.05) | (1.68) | (1.73) | — | — |
Class 2 | ||||||
Year Ended 12/31/2019 | $5.15 | 0.07 | 0.33 | 0.40 | (0.05) | (0.05) |
Year Ended 12/31/2018 | $6.00 | 0.06 | (0.91) | (0.85) | — | — |
Year Ended 12/31/2017 | $6.27 | (0.01) | 0.08 | 0.07 | (0.34) | (0.34) |
Year Ended 12/31/2016 | $5.58 | (0.04) | 0.73 | 0.69 | — | — |
Year Ended 12/31/2015 | $7.32 | (0.07) | (1.67) | (1.74) | — | — |
Notes to Consolidated Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interfund lending expense which is less than 0.01%. |
14 | Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2019 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019 | $5.55 | 7.80% | 0.66% | 0.66% | 1.53% | 0% | $404,193 |
Year Ended 12/31/2018 | $5.21 | (13.77%) | 0.66%(c) | 0.66%(c) | 1.18% | 0% | $226,877 |
Year Ended 12/31/2017 | $6.05 | 1.80% | 0.69% | 0.69% | 0.15% | 0% | $536,624 |
Year Ended 12/31/2016 | $6.33 | 12.83% | 0.74% | 0.74% | (0.39%) | 0% | $481,110 |
Year Ended 12/31/2015 | $5.61 | (23.57%) | 0.88% | 0.88% | (0.77%) | 0% | $42,326 |
Class 2 | |||||||
Year Ended 12/31/2019 | $5.50 | 7.78% | 0.91% | 0.91% | 1.29% | 0% | $16,059 |
Year Ended 12/31/2018 | $5.15 | (14.17%) | 0.92%(c) | 0.92%(c) | 1.05% | 0% | $15,269 |
Year Ended 12/31/2017 | $6.00 | 1.71% | 0.94% | 0.94% | (0.09%) | 0% | $15,541 |
Year Ended 12/31/2016 | $6.27 | 12.37% | 0.99% | 0.99% | (0.63%) | 0% | $10,540 |
Year Ended 12/31/2015 | $5.58 | (23.77%) | 1.15% | 1.15% | (1.02%) | 0% | $3,550 |
Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2019 | 15 |
December 31, 2019
CVPCSF Offshore Fund, Ltd. | |
% of consolidated fund net assets | 5.95% |
Net assets | $25,013,941 |
Net investment income (loss) | 216,628 |
Net realized gain (loss) | (16,705,707) |
Net change in unrealized appreciation (depreciation) | 34,429,514 |
16 | Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2019 | 17 |
December 31, 2019
18 | Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2019 |
December 31, 2019
Asset derivatives | ||
Risk exposure category | Consolidated statement of assets and liabilities location | Fair value ($) |
Commodity-related investment risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 15,341,771* |
Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2019 | 19 |
December 31, 2019
Liability derivatives | ||
Risk exposure category | Consolidated statement of assets and liabilities location | Fair value ($) |
Commodity-related investment risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 544,331* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Consolidated Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Consolidated Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Futures contracts ($) | Options contracts written ($) | Options contracts purchased ($) | Total ($) |
Commodity-related investment risk | (14,640,389) | 1,638,833 | (3,707,193) | (16,708,749) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||
Risk exposure category | Futures contracts ($) | Options contracts written ($) | Options contracts purchased ($) | Total ($) |
Commodity-related investment risk | 34,116,733 | 305,140 | 7,641 | 34,429,514 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 404,946,549 |
Futures contracts — short | 4,083,267 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 904,094 |
Options contracts — written | (896,798) |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2019. |
UBS ($) | |
Assets | |
Options purchased calls | -(a) |
Total financial and derivative net assets | -(a) |
Total collateral received (pledged) (b) | - |
Net amount (c) | -(a) |
(a) | Rounds to zero. |
(b) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(c) | Represents the net amount due from/(to) counterparties in the event of default. |
20 | Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2019 | 21 |
December 31, 2019
22 | Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2019 |
December 31, 2019
May 1, 2019 through April 30, 2020 | Prior to May 1, 2019 | |
Class 1 | 0.80% | 0.85% |
Class 2 | 1.05 | 1.10 |
Excess of distributions over net investment income ($) | Accumulated net realized (loss) ($) | Paid in capital ($) |
(35,989,079) | — | 35,989,079 |
Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2019 | 23 |
December 31, 2019
Year Ended December 31, 2019 | Year Ended December 31, 2018 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
4,834,400 | — | 4,834,400 | 698,995 | — | 698,995 |
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized (depreciation) ($) |
21,993,039 | — | (280,316) | (1,450,641) |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
424,191,020 | 53,377 | (1,504,018) | (1,450,641) |
No expiration short-term ($) | No expiration long-term ($) | Total ($) | Utilized ($) | Expired ($) |
(280,316) | — | (280,316) | 173,303 | — |
24 | Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2019 | 25 |
December 31, 2019
26 | Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2019 | 27 |
28 | Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2019 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1953 | Trustee since 1/17 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 121 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 1/06 for RiverSource Funds and since 6/11 for Nations Funds | Attorney; specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018 | 121 | Trustee, BlueCross BlueShield of Minnesota since 2009 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee since 2017); Chair of the Robina Foundation since August 2013; former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017 |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 7/07 for RiverSource Funds and since 6/11 for Nations Funds | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, Morgan Stanley, 1982-1991 | 121 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of Human Resources Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee) since 2019 |
Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2019 | 29 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1950 | Trustee since 11/04 for RiverSource Funds and since 6/11 for Nations Funds | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 121 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative since 2010; Board of Directors, The MA Business Roundtable 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 12/17 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 121 | Trustee, Catholic Schools Foundation since 2004 |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Chair of the Board since 1/20; Trustee since 11/04 for RiverSource Funds and since 6/11 for Nations Funds | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Managing Director, Morgan Stanley, 1982-1989; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 121 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Anthony M. Santomero c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1946 | Trustee since 6/11 for RiverSource Funds and since 1/08 for Nations Funds | Richard K. Mellon Professor Emeritus of Finance, The Wharton School, University of Pennsylvania, since 2002; Senior Advisor, McKinsey & Company (consulting), 2006-2008; President, Federal Reserve Bank of Philadelphia, 2000- 2006; Professor of Finance, The Wharton School, University of Pennsylvania, 1972-2002 | 121 | Trustee, Penn Mutual Life Insurance Company since March 2008; Director, Renaissance Reinsurance Ltd. since May 2008; former Director, Citigroup Inc. and Citibank, N.A., 2009-2019; former Trustee, BofA Funds Series Trust (11 funds), 2008-2011 |
Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1947 | Trustee since 6/11 for RiverSource Funds and since 2003 for Nations Funds | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 121 | Director, BlueCross BlueShield of South Carolina since April 2008; Trustee, Hollingsworth Funds since 2016 (previously Board Chair from 2016-2019); Advisory Board member, Duke Energy Corp. since October 2016; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018 |
30 | Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2019 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Sandra Yeager c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 12/17 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 119 | Director, NAPE Education Foundation since October 2016 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin St. Boston, MA 02110 1960 | Trustee since 11/01 for RiverSource Funds and since 6/11 for Nations Funds; Senior Vice President since 2002 for RiverSource Funds and since 5/10 for Nations Funds | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010 - September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006 - August 2012. | 192 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, August 2006-January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2019 | 31 |
The Board has appointed officers who are responsible for day-to-day business decisions based on policies it has established. The officers serve at the pleasure of the Board. The following table provides basic information about the Officers of the Fund, including principal occupations during the past five years, although their specific titles may have varied over the period. In addition to Mr. Truscott, who is Senior Vice President, the Fund’s other officers are:
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously Vice President and Chief Counsel, January 2010 - December 2014); officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer, Principal Financial Officer (2009), and Senior Vice President (2019) | Vice President, Head of North American Operations, and Co-Head of Global Operations, – Accounting and Tax, Columbia Management Investment Advisers, LLC, since June 2019 (previously Vice President – Accounting and Tax, May 2010 – May 2019); senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009 – January 2019 and December 2015 – January 2019, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer, Chief Accounting Officer (Principal Accounting Officer) (2019), and Principal Financial Officer (2020) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously Vice President — Pricing and Corporate Actions, May 2010 - March 2017). |
Paul B. Goucher 485 Lexington Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since March 2015 (previously Vice President and Assistant Secretary, May 2010 – March 2015). |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 Born 1962 | Senior Vice President (2020) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); previously, Senior Vice President of Investment Product Management, Fidelity Financial Advisor Solutions, a division of Fidelity Investments (January 2012 – March 2015). |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
32 | Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2019 |
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
Columbia Variable Portfolio – Commodity Strategy Fund | Annual Report 2019 | 33 |
December 31, 2019
Variable Portfolio – Conservative Portfolio
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class 1* | 02/20/19 | 11.05 | 3.64 | 4.35 | |
Class 2 | 05/07/10 | 10.75 | 3.58 | 4.32 | |
Class 4 | 05/07/10 | 10.75 | 3.58 | 4.32 | |
Blended Benchmark | 12.57 | 4.46 | 5.29 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | 8.72 | 3.05 | 3.53 | ||
Russell 3000 Index | 31.02 | 11.24 | 13.83 | ||
MSCI EAFE Index (Net) | 22.01 | 5.67 | 6.98 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. Since the Fund launched more than one share class at its inception, Class 2 shares were used. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
Portfolio Navigator Funds | Annual Report 2019 | 3 |
Variable Portfolio – Conservative Portfolio
Portfolio breakdown (%) (at December 31, 2019) | |
Alternative Strategies Funds | 2.9 |
Equity Funds | 21.9 |
Fixed Income Funds | 69.5 |
Money Market Funds | 5.7 |
Total | 100.0 |
4 | Portfolio Navigator Funds | Annual Report 2019 |
Variable Portfolio – Moderately Conservative Portfolio
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class 1* | 02/20/19 | 13.79 | 4.48 | 5.45 | |
Class 2 | 05/07/10 | 13.51 | 4.43 | 5.42 | |
Class 4 | 05/07/10 | 13.49 | 4.42 | 5.44 | |
Blended Benchmark | 15.44 | 5.46 | 6.54 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | 8.72 | 3.05 | 3.53 | ||
Russell 3000 Index | 31.02 | 11.24 | 13.83 | ||
MSCI EAFE Index (Net) | 22.01 | 5.67 | 6.98 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. Since the Fund launched more than one share class at its inception, Class 2 shares were used. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
Portfolio Navigator Funds | Annual Report 2019 | 5 |
Variable Portfolio – Moderately Conservative Portfolio
Portfolio breakdown (%) (at December 31, 2019) | |
Alternative Strategies Funds | 2.9 |
Equity Funds | 40.0 |
Fixed Income Funds | 52.9 |
Money Market Funds | 4.2 |
Total | 100.0 |
6 | Portfolio Navigator Funds | Annual Report 2019 |
Variable Portfolio – Moderate Portfolio
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class 1* | 02/20/19 | 16.40 | 5.30 | 6.62 | |
Class 2 | 05/07/10 | 16.13 | 5.26 | 6.59 | |
Class 4 | 05/07/10 | 16.18 | 5.26 | 6.61 | |
Blended Benchmark | 18.41 | 6.49 | 7.83 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | 8.72 | 3.05 | 3.53 | ||
Russell 3000 Index | 31.02 | 11.24 | 13.83 | ||
MSCI EAFE Index (Net) | 22.01 | 5.67 | 6.98 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. Since the Fund launched more than one share class at its inception, Class 2 shares were used. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
Portfolio Navigator Funds | Annual Report 2019 | 7 |
Variable Portfolio – Moderate Portfolio
Portfolio breakdown (%) (at December 31, 2019) | |
Alternative Strategies Funds | 2.7 |
Equity Funds | 55.8 |
Fixed Income Funds | 39.6 |
Money Market Funds | 1.9 |
Total | 100.0 |
8 | Portfolio Navigator Funds | Annual Report 2019 |
Variable Portfolio – Moderately Aggressive Portfolio
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class 1* | 02/20/19 | 18.96 | 6.06 | 7.61 | |
Class 2 | 05/07/10 | 18.71 | 6.02 | 7.59 | |
Class 4 | 05/07/10 | 18.75 | 6.01 | 7.61 | |
Blended Benchmark | 21.40 | 7.49 | 9.09 | ||
Russell 3000 Index | 31.02 | 11.24 | 13.83 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | 8.72 | 3.05 | 3.53 | ||
MSCI EAFE Index (Net) | 22.01 | 5.67 | 6.98 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. Since the Fund launched more than one share class at its inception, Class 2 shares were used. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
Portfolio Navigator Funds | Annual Report 2019 | 9 |
Variable Portfolio – Moderately Aggressive Portfolio
Portfolio breakdown (%) (at December 31, 2019) | |
Alternative Strategies Funds | 3.1 |
Equity Funds | 68.3 |
Fixed Income Funds | 24.7 |
Money Market Funds | 3.9 |
Total | 100.0 |
10 | Portfolio Navigator Funds | Annual Report 2019 |
Variable Portfolio – Aggressive Portfolio
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class 1* | 02/20/19 | 21.84 | 6.84 | 8.66 | |
Class 2 | 05/07/10 | 21.59 | 6.80 | 8.63 | |
Class 4 | 05/07/10 | 21.68 | 6.81 | 8.66 | |
Blended Benchmark | 24.32 | 8.40 | 10.25 | ||
Russell 3000 Index | 31.02 | 11.24 | 13.83 | ||
MSCI EAFE Index (Net) | 22.01 | 5.67 | 6.98 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | 8.72 | 3.05 | 3.53 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. Since the Fund launched more than one share class at its inception, Class 2 shares were used. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
Portfolio Navigator Funds | Annual Report 2019 | 11 |
Variable Portfolio – Aggressive Portfolio
Portfolio breakdown (%) (at December 31, 2019) | |
Alternative Strategies Funds | 2.7 |
Equity Funds | 81.8 |
Fixed Income Funds | 13.1 |
Money Market Funds | 2.4 |
Total | 100.0 |
12 | Portfolio Navigator Funds | Annual Report 2019 |
• | Variable Portfolio – Conservative Portfolio Class 2 shares returned 10.75%, underperforming its Blended Benchmark, which returned 12.57%. |
• | Variable Portfolio – Moderately Conservative Portfolio Class 2 shares returned 13.51%, underperforming its Blended Benchmark, which returned 15.44%. |
• | Variable Portfolio – Moderate Portfolio Class 2 shares returned 16.13%, underperforming its Blended Benchmark, which returned 18.41%. |
• | Variable Portfolio – Moderately Aggressive Portfolio Class 2 shares returned 18.71%, underperforming its Blended Benchmark, which returned 21.40%. |
• | Variable Portfolio – Aggressive Portfolio Class 2 shares returned 21.59%, underperforming its Blended Benchmark, which returned 24.32%. |
Portfolio Navigator Funds | Annual Report 2019 | 13 |
14 | Portfolio Navigator Funds | Annual Report 2019 |
(Unaudited)
July 1, 2019 — December 31, 2019 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Variable Portfolio – Conservative Portfolio | ||||||||||
Class 1 | 1,000.00 | 1,000.00 | 1,028.80 | 1,024.77 | 0.72 | 0.72 | 0.14 | 3.62 | 3.61 | 0.70 |
Class 2 | 1,000.00 | 1,000.00 | 1,026.80 | 1,023.54 | 1.96 | 1.96 | 0.38 | 4.85 | 4.85 | 0.94 |
Class 4 | 1,000.00 | 1,000.00 | 1,027.50 | 1,023.54 | 1.96 | 1.96 | 0.38 | 4.86 | 4.85 | 0.94 |
Variable Portfolio – Moderately Conservative Portfolio | ||||||||||
Class 1 | 1,000.00 | 1,000.00 | 1,038.00 | 1,024.92 | 0.57 | 0.57 | 0.11 | 3.63 | 3.61 | 0.70 |
Class 2 | 1,000.00 | 1,000.00 | 1,036.80 | 1,023.64 | 1.87 | 1.86 | 0.36 | 4.93 | 4.90 | 0.95 |
Class 4 | 1,000.00 | 1,000.00 | 1,036.70 | 1,023.64 | 1.87 | 1.86 | 0.36 | 4.93 | 4.90 | 0.95 |
Portfolio Navigator Funds | Annual Report 2019 | 15 |
(Unaudited)
July 1, 2019 — December 31, 2019 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Variable Portfolio – Moderate Portfolio | ||||||||||
Class 1 | 1,000.00 | 1,000.00 | 1,046.30 | 1,024.97 | 0.52 | 0.52 | 0.10 | 3.86 | 3.82 | 0.74 |
Class 2 | 1,000.00 | 1,000.00 | 1,044.60 | 1,023.70 | 1.82 | 1.80 | 0.35 | 5.16 | 5.10 | 0.99 |
Class 4 | 1,000.00 | 1,000.00 | 1,045.10 | 1,023.70 | 1.82 | 1.80 | 0.35 | 5.16 | 5.10 | 0.99 |
Variable Portfolio – Moderately Aggressive Portfolio | ||||||||||
Class 1 | 1,000.00 | 1,000.00 | 1,055.20 | 1,024.87 | 0.63 | 0.62 | 0.12 | 4.08 | 4.02 | 0.78 |
Class 2 | 1,000.00 | 1,000.00 | 1,053.60 | 1,023.59 | 1.94 | 1.91 | 0.37 | 5.39 | 5.31 | 1.03 |
Class 4 | 1,000.00 | 1,000.00 | 1,053.50 | 1,023.59 | 1.94 | 1.91 | 0.37 | 5.39 | 5.31 | 1.03 |
Variable Portfolio – Aggressive Portfolio | ||||||||||
Class 1 | 1,000.00 | 1,000.00 | 1,064.80 | 1,024.92 | 0.58 | 0.57 | 0.11 | 4.26 | 4.18 | 0.81 |
Class 2 | 1,000.00 | 1,000.00 | 1,063.80 | 1,023.64 | 1.89 | 1.86 | 0.36 | 5.57 | 5.47 | 1.06 |
Class 4 | 1,000.00 | 1,000.00 | 1,064.20 | 1,023.64 | 1.89 | 1.86 | 0.36 | 5.58 | 5.47 | 1.06 |
16 | Portfolio Navigator Funds | Annual Report 2019 |
Variable Portfolio – Conservative Portfolio, December 31, 2019
Alternative Strategies Funds 2.9% | ||
Shares | Value ($) | |
Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares(a) | 1,987,789 | 11,032,227 |
Columbia Variable Portfolio – Diversified Absolute Return Fund, Class 1 Shares(a),(b) | 1,439,410 | 12,983,477 |
CTIVP® – AQR Managed Futures Strategy Fund, Class 1 Shares(a),(b) | 1,015,684 | 7,323,086 |
Total Alternative Strategies Funds (Cost $36,024,218) | 31,338,790 | |
Equity Funds 21.9% | ||
Global Real Estate 0.7% | ||
CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares(a) | 767,030 | 7,555,241 |
International 6.3% | ||
Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares(a) | 102,236 | 1,941,458 |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(a) | 1,067,375 | 14,302,832 |
CTIVP® – AQR International Core Equity Fund, Class 1 Shares(a) | 1,705,652 | 18,813,343 |
CTIVP® – DFA International Value Fund, Class 1 Shares(a) | 693,877 | 6,737,543 |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares(a) | 1,681,236 | 18,611,281 |
CTIVP® – William Blair International Leaders Fund, Class 1 Shares(a) | 596,838 | 6,839,767 |
Variable Portfolio – Columbia Wanger International Equities Fund, Class 1 Shares(a) | 213,695 | 1,145,404 |
Total | 68,391,628 | |
U.S. Large Cap 13.1% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 301,349 | 8,064,101 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 319,865 | 18,715,304 |
Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares(a),(b) | 39,517 | 1,169,309 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 146,460 | 3,204,539 |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 941,595 | 11,195,560 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 164,843 | 4,561,214 |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares(a),(b) | 383,054 | 14,383,685 |
Equity Funds (continued) | ||
Shares | Value ($) | |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares(a),(b) | 404,888 | 14,110,342 |
CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 815,776 | 23,788,035 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 567,237 | 20,176,600 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 111,737 | 2,926,397 |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares(a),(b) | 818,137 | 19,512,578 |
Total | 141,807,664 | |
U.S. Mid Cap 0.7% | ||
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(a),(b) | 134,650 | 4,082,605 |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(a),(b) | 115,289 | 3,709,998 |
Total | 7,792,603 | |
U.S. Small Cap 1.1% | ||
Columbia Variable Portfolio - Small Cap Value Fund, Class 1 Shares(a) | 144,550 | 2,265,095 |
Columbia Variable Portfolio - Small Company Growth Fund, Class 1 Shares(a),(b) | 125,294 | 2,232,729 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 143,327 | 3,637,643 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 127,398 | 3,699,648 |
Total | 11,835,115 | |
Total Equity Funds (Cost $188,078,224) | 237,382,251 | |
Fixed Income Funds 69.3% | ||
Emerging Markets 0.4% | ||
Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares(a) | 519,966 | 5,002,070 |
High Yield 0.5% | ||
Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares(a) | 698,237 | 5,334,536 |
Investment Grade 67.9% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 20,049,552 | 213,728,226 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 1,435,113 | 14,006,700 |
Portfolio Navigator Funds | Annual Report 2019 | 17 |
Variable Portfolio – Conservative Portfolio, December 31, 2019
Fixed Income Funds (continued) | ||
Shares | Value ($) | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 2,431,450 | 26,721,635 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 3,754,241 | 39,870,041 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 6,712,846 | 73,908,438 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 10,493,433 | 115,532,698 |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a) | 3,914,457 | 40,240,618 |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares(a) | 18,989,713 | 211,735,300 |
Total | 735,743,656 | |
Multisector 0.5% | ||
Columbia Variable Portfolio – Strategic Income Fund, Class 1 Shares(a) | 1,198,352 | 5,116,962 |
Total Fixed Income Funds (Cost $729,197,290) | 751,197,224 | |
Money Market Funds 5.7% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(a),(c) | 45,517,945 | 45,513,393 |
Columbia Variable Portfolio – Government Money Market Fund, Class 1 Shares, 1.132%(a),(c) | 15,952,799 | 15,952,799 |
Total Money Market Funds (Cost $61,466,677) | 61,466,192 | |
Total Investments in Securities (Cost: $1,014,766,409) | 1,081,384,457 | |
Other Assets & Liabilities, Net | 1,995,053 | |
Net Assets | 1,083,379,510 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
EURO STOXX 50 Index | 197 | 03/2020 | EUR | 7,346,130 | — | (74,239) |
SPI 200 Index | 19 | 03/2020 | AUD | 3,136,425 | — | (69,836) |
U.S. Treasury 2-Year Note | 81 | 03/2020 | USD | 17,455,500 | — | (7,748) |
U.S. Treasury 5-Year Note | 260 | 03/2020 | USD | 30,838,438 | — | (97,994) |
U.S. Ultra Treasury Bond | 98 | 03/2020 | USD | 17,802,313 | — | (536,178) |
Total | — | (785,995) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
FTSE 100 Index | (29) | 03/2020 | GBP | (2,174,710) | — | (8,669) |
MSCI Emerging Markets Index | (26) | 03/2020 | USD | (1,456,260) | — | (48,527) |
S&P 500 Index E-mini | (32) | 03/2020 | USD | (5,169,760) | — | (124,648) |
TOPIX Index | (23) | 03/2020 | JPY | (395,830,000) | — | (1,860) |
Total | — | (183,704) |
18 | Portfolio Navigator Funds | Annual Report 2019 |
Variable Portfolio – Conservative Portfolio, December 31, 2019
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America Investment Grade Index, Series 33 | Morgan Stanley | 12/20/2024 | 1.000 | Quarterly | 0.453 | USD | 22,294,000 | 156,626 | — | — | 156,626 | — |
* | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(a) | As defined in the Investment Company Act of 1940, 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. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | |||||||||
50,491,501 | 60,421,882 | (65,395,438) | 45,517,945 | — | (869) | 919 | 1,048,828 | 45,513,393 | |
Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares | |||||||||
1,017,400 | 970,389 | — | 1,987,789 | — | — | 452,659 | 127,914 | 11,032,227 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
354,602 | 64,460 | (117,713) | 301,349 | — | 863,476 | 1,278,092 | — | 8,064,101 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
342,912 | 28,932 | (51,979) | 319,865 | — | 814,704 | 3,026,426 | — | 18,715,304 | |
Columbia Variable Portfolio – Diversified Absolute Return Fund, Class 1 Shares | |||||||||
1,439,410 | — | — | 1,439,410 | — | — | 302,276 | — | 12,983,477 | |
Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares | |||||||||
39,517 | — | — | 39,517 | — | — | 226,828 | — | 1,169,309 | |
Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares | |||||||||
494,124 | 25,842 | — | 519,966 | — | — | 303,459 | 246,554 | 5,002,070 | |
Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares | |||||||||
267,766 | 184,660 | (350,190) | 102,236 | 681,619 | 538,699 | 144,977 | 10,539 | 1,941,458 | |
Columbia Variable Portfolio – Government Money Market Fund, Class 1 Shares, 1.132% | |||||||||
20,800,120 | 303,679 | (5,151,000) | 15,952,799 | 6,295 | — | — | 294,373 | 15,952,799 | |
Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares | |||||||||
662,848 | 35,389 | — | 698,237 | — | — | 496,951 | 257,304 | 5,334,536 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
20,919,813 | 1,239,467 | (2,109,728) | 20,049,552 | — | 338,957 | 11,563,054 | 6,802,050 | 213,728,226 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
83,059 | 63,401 | — | 146,460 | — | — | 625,727 | — | 3,204,539 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
1,973,710 | 38,374 | (576,971) | 1,435,113 | — | (417,421) | 1,255,847 | 366,085 | 14,006,700 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
2,292,419 | 354,595 | (215,564) | 2,431,450 | — | 112,404 | 3,406,675 | 663,760 | 26,721,635 |
Portfolio Navigator Funds | Annual Report 2019 | 19 |
Variable Portfolio – Conservative Portfolio, December 31, 2019
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares | |||||||||
973,933 | 187,598 | (94,156) | 1,067,375 | 2,014,268 | 26,375 | 791,952 | 294,835 | 14,302,832 | |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares | |||||||||
941,595 | — | — | 941,595 | — | — | 2,448,146 | — | 11,195,560 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
114,998 | 49,845 | — | 164,843 | — | — | 809,256 | — | 4,561,214 | |
Columbia Variable Portfolio - Small Cap Value Fund, Class 1 Shares | |||||||||
— | — | 144,550 | 144,550 | — | — | 130,095 | — | 2,265,095 | |
Columbia Variable Portfolio - Small Company Growth Fund, Class 1 Shares | |||||||||
— | — | 125,294 | 125,294 | — | — | 97,729 | — | 2,232,729 | |
Columbia Variable Portfolio – Strategic Income Fund, Class 1 Shares | |||||||||
1,153,227 | 45,125 | — | 1,198,352 | — | — | 292,368 | 188,622 | 5,116,962 | |
Columbia Variable Portfolio – U.S. Equities Fund, Class 1 Shares † | |||||||||
481,696 | — | (481,696) | — | — | 1,405,459 | 7,547 | — | — | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
2,393,602 | 2,414,375 | (1,053,736) | 3,754,241 | — | 191,026 | 881,930 | 547,421 | 39,870,041 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
6,448,836 | 1,770,779 | (1,506,769) | 6,712,846 | — | 14,156 | 2,455,563 | 3,719,395 | 73,908,438 | |
CTIVP® – AQR International Core Equity Fund, Class 1 Shares | |||||||||
2,995,021 | 372,365 | (1,661,734) | 1,705,652 | 495,370 | (1,080,536) | 4,884,703 | 893,482 | 18,813,343 | |
CTIVP® – AQR Managed Futures Strategy Fund, Class 1 Shares | |||||||||
1,015,685 | — | (1) | 1,015,684 | — | — | 50,784 | — | 7,323,086 | |
CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares | |||||||||
752,773 | 14,257 | — | 767,030 | — | — | 1,447,633 | 130,591 | 7,555,241 | |
CTIVP® – DFA International Value Fund, Class 1 Shares | |||||||||
812,860 | 329,524 | (448,507) | 693,877 | 257,741 | 301,922 | 216,312 | 327,022 | 6,737,543 | |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares | |||||||||
2,957,449 | 333,375 | (1,609,588) | 1,681,236 | 150,564 | 1,268,032 | 2,218,299 | 848,684 | 18,611,281 | |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
346,746 | 36,308 | — | 383,054 | — | — | 3,259,876 | — | 14,383,685 | |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares | |||||||||
365,516 | 39,372 | — | 404,888 | — | — | 3,263,032 | — | 14,110,342 | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
875,510 | 46,731 | (106,465) | 815,776 | — | 897,858 | 4,741,581 | — | 23,788,035 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
531,179 | 36,058 | — | 567,237 | — | — | 4,077,960 | — | 20,176,600 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
153,715 | 51,898 | (93,876) | 111,737 | — | 494,970 | 215,032 | — | 2,926,397 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
7,201,546 | 5,241,720 | (1,949,833) | 10,493,433 | — | 646,334 | 3,567,009 | 1,811,592 | 115,532,698 | |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares | |||||||||
431,650 | 44,586 | (341,586) | 134,650 | — | 3,673,865 | (1,217,342) | — | 4,082,605 |
20 | Portfolio Navigator Funds | Annual Report 2019 |
Variable Portfolio – Conservative Portfolio, December 31, 2019
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
4,413,961 | 42,844 | (542,348) | 3,914,457 | — | (88,625) | 1,135,321 | 435,724 | 40,240,618 | |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares | |||||||||
168,841 | 43,296 | (96,848) | 115,289 | — | 1,018,381 | 453,509 | — | 3,709,998 | |
CTIVP® – William Blair International Leaders Fund, Class 1 Shares | |||||||||
785,780 | 275,658 | (464,600) | 596,838 | 305,354 | 110,387 | 1,573,847 | 97,584 | 6,839,767 | |
Variable Portfolio – Columbia Wanger International Equities Fund, Class 1 Shares | |||||||||
197,830 | 15,865 | — | 213,695 | 68,281 | — | 188,824 | 7,957 | 1,145,404 | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | |||||||||
19,185,382 | 1,021,120 | (1,216,789) | 18,989,713 | — | (241,636) | 12,186,355 | 4,985,776 | 211,735,300 | |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares | |||||||||
761,316 | 56,821 | — | 818,137 | — | — | 3,927,821 | — | 19,512,578 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
396,797 | — | (253,470) | 143,327 | — | 1,021,727 | 369,986 | — | 3,637,643 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
217,755 | — | (90,357) | 127,398 | — | 697,995 | 234,282 | — | 3,699,648 | |
Total | 3,979,492 | 12,607,640 | 77,793,300 | 24,106,092 | 1,081,384,457 |
† | Issuer was not an affiliate at the end of period. |
(b) | Non-income producing investment. |
(c) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
AUD | Australian Dollar |
EUR | Euro |
GBP | British Pound |
JPY | Japanese Yen |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Portfolio Navigator Funds | Annual Report 2019 | 21 |
Variable Portfolio – Conservative Portfolio, December 31, 2019
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Variable Portfolios serve as investment vehicles for variable annuity contracts and variable life insurance policies. Principle investment strategies within these Variable Portfolios vary based on the Portfolios investment objective. Investments in the Variable Portfolios may be redeemed on a daily basis without restriction.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Alternative Strategies Funds | — | — | — | 31,338,790 | 31,338,790 |
Equity Funds | — | — | — | 237,382,251 | 237,382,251 |
Fixed Income Funds | — | — | — | 751,197,224 | 751,197,224 |
Money Market Funds | 61,466,192 | — | — | — | 61,466,192 |
Total Investments in Securities | 61,466,192 | — | — | 1,019,918,265 | 1,081,384,457 |
Investments in Derivatives | |||||
Asset | |||||
Swap Contracts | — | 156,626 | — | — | 156,626 |
Liability | |||||
Futures Contracts | (969,699) | — | — | — | (969,699) |
Total | 60,496,493 | 156,626 | — | 1,019,918,265 | 1,080,571,384 |
22 | Portfolio Navigator Funds | Annual Report 2019 |
Variable Portfolio – Moderately Conservative Portfolio, December 31, 2019
Alternative Strategies Funds 2.8% | ||
Shares | Value ($) | |
Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares(a) | 5,951,282 | 33,029,614 |
Columbia Variable Portfolio – Diversified Absolute Return Fund, Class 1 Shares(a),(b) | 3,442,061 | 31,047,388 |
CTIVP® – AQR Managed Futures Strategy Fund, Class 1 Shares(a),(b) | 2,996,972 | 21,608,170 |
Total Alternative Strategies Funds (Cost $97,124,311) | 85,685,172 | |
Equity Funds 39.9% | ||
Global Real Estate 1.1% | ||
CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares(a) | 3,394,566 | 33,436,470 |
International 11.4% | ||
Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares(a) | 474,104 | 9,003,230 |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(a) | 5,465,344 | 73,235,605 |
CTIVP® – AQR International Core Equity Fund, Class 1 Shares(a) | 8,659,919 | 95,518,910 |
CTIVP® – DFA International Value Fund, Class 1 Shares(a) | 3,361,248 | 32,637,715 |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares(a) | 8,580,886 | 94,990,414 |
CTIVP® – William Blair International Leaders Fund, Class 1 Shares(a) | 2,890,893 | 33,129,635 |
Variable Portfolio – Columbia Wanger International Equities Fund, Class 1 Shares(a) | 1,133,221 | 6,074,066 |
Total | 344,589,575 | |
U.S. Large Cap 24.4% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 1,210,547 | 32,394,239 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 1,143,254 | 66,891,792 |
Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares(a),(b) | 910,831 | 26,951,487 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 1,971,520 | 43,136,858 |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 3,969,548 | 47,197,932 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 6,031 | 166,885 |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares(a),(b) | 1,632,833 | 61,312,865 |
Equity Funds (continued) | ||
Shares | Value ($) | |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares(a),(b) | 2,147,199 | 74,829,875 |
CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 4,306,668 | 125,582,446 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 2,670,405 | 94,986,291 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 3,226,571 | 84,503,896 |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares(a),(b) | 3,435,267 | 81,931,113 |
Total | 739,885,679 | |
U.S. Mid Cap 1.0% | ||
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(a),(b) | 490,276 | 14,865,153 |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(a),(b) | 462,754 | 14,891,438 |
Total | 29,756,591 | |
U.S. Small Cap 2.0% | ||
Columbia Variable Portfolio - Small Cap Value Fund, Class 1 Shares(a) | 710,291 | 11,130,262 |
Columbia Variable Portfolio - Small Company Growth Fund, Class 1 Shares(a),(b) | 615,669 | 10,971,222 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 709,611 | 18,009,941 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 647,093 | 18,791,575 |
Total | 58,903,000 | |
Total Equity Funds (Cost $828,018,523) | 1,206,571,315 | |
Fixed Income Funds 52.7% | ||
Emerging Markets 0.4% | ||
Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares(a) | 1,248,936 | 12,014,764 |
High Yield 0.4% | ||
Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares(a) | 1,649,752 | 12,604,102 |
Investment Grade 51.5% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 33,998,483 | 362,423,829 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 5,625,289 | 54,902,821 |
Portfolio Navigator Funds | Annual Report 2019 | 23 |
Variable Portfolio – Moderately Conservative Portfolio, December 31, 2019
Fixed Income Funds (continued) | ||
Shares | Value ($) | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 6,776,519 | 74,473,945 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 3,835,287 | 40,730,745 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 24,410,053 | 268,754,681 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 16,517,082 | 181,853,075 |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a) | 11,176,040 | 114,889,690 |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares(a) | 41,416,101 | 461,789,533 |
Total | 1,559,818,319 | |
Multisector 0.4% | ||
Columbia Variable Portfolio – Strategic Income Fund, Class 1 Shares(a) | 2,873,992 | 12,271,944 |
Total Fixed Income Funds (Cost $1,554,981,034) | 1,596,709,129 | |
Money Market Funds 4.2% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(a),(c) | 112,224,329 | 112,213,107 |
Columbia Variable Portfolio – Government Money Market Fund, Class 1 Shares, 1.132%(a),(c) | 14,985,911 | 14,985,911 |
Total Money Market Funds (Cost $127,199,653) | 127,199,018 | |
Total Investments in Securities (Cost: $2,607,323,521) | 3,016,164,634 | |
Other Assets & Liabilities, Net | 10,666,098 | |
Net Assets | 3,026,830,732 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
EURO STOXX 50 Index | 633 | 03/2020 | EUR | 23,604,570 | — | (238,545) |
SPI 200 Index | 92 | 03/2020 | AUD | 15,186,900 | — | (338,152) |
U.S. Long Bond | 95 | 03/2020 | USD | 14,811,094 | — | (303,007) |
U.S. Treasury 5-Year Note | 500 | 03/2020 | USD | 59,304,688 | — | (188,450) |
U.S. Ultra Treasury Bond | 391 | 03/2020 | USD | 71,027,594 | — | (2,242,447) |
Total | — | (3,310,601) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
FTSE 100 Index | (47) | 03/2020 | GBP | (3,524,530) | — | (14,050) |
MSCI Emerging Markets Index | (228) | 03/2020 | USD | (12,770,280) | — | (427,078) |
S&P 500 Index E-mini | (640) | 03/2020 | USD | (103,395,200) | — | (2,386,082) |
TOPIX Index | (79) | 03/2020 | JPY | (1,359,590,000) | — | (6,390) |
U.S. Treasury 2-Year Note | (111) | 03/2020 | USD | (23,920,500) | 9,328 | — |
Total | 9,328 | (2,833,600) |
24 | Portfolio Navigator Funds | Annual Report 2019 |
Variable Portfolio – Moderately Conservative Portfolio, December 31, 2019
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America Investment Grade Index, Series 33 | Morgan Stanley | 12/20/2024 | 1.000 | Quarterly | 0.453 | USD | 105,005,000 | 737,717 | — | — | 737,717 | — |
* | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(a) | As defined in the Investment Company Act of 1940, 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. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | |||||||||
125,332,215 | 159,438,908 | (172,546,794) | 112,224,329 | — | (242) | 974 | 2,626,359 | 112,213,107 | |
Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares | |||||||||
3,193,384 | 2,757,898 | — | 5,951,282 | — | — | 1,389,120 | 382,963 | 33,029,614 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
1,525,866 | 44,601 | (359,920) | 1,210,547 | — | 3,560,128 | 5,553,175 | — | 32,394,239 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
1,378,919 | 29,483 | (265,148) | 1,143,254 | — | 4,245,261 | 10,530,497 | — | 66,891,792 | |
Columbia Variable Portfolio – Diversified Absolute Return Fund, Class 1 Shares | |||||||||
3,442,061 | — | — | 3,442,061 | — | — | 722,832 | — | 31,047,388 | |
Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares | |||||||||
1,119,503 | — | (208,672) | 910,831 | — | 2,307,844 | 3,592,182 | — | 26,951,487 | |
Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares | |||||||||
1,186,865 | 62,071 | — | 1,248,936 | — | — | 728,896 | 592,211 | 12,014,764 | |
Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares | |||||||||
349,583 | 124,521 | — | 474,104 | 806,162 | — | 1,167,960 | 13,262 | 9,003,230 | |
Columbia Variable Portfolio – Government Money Market Fund, Class 1 Shares, 1.132% | |||||||||
29,310,549 | 295,363 | (14,620,001) | 14,985,911 | 5,913 | — | — | 284,946 | 14,985,911 | |
Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares | |||||||||
1,484,647 | 165,105 | — | 1,649,752 | — | — | 1,132,787 | 580,319 | 12,604,102 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
36,408,543 | 1,367,776 | (3,777,836) | 33,998,483 | — | 591,276 | 20,060,416 | 11,786,446 | 362,423,829 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
1,939,367 | 32,153 | — | 1,971,520 | — | — | 11,280,961 | — | 43,136,858 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
6,763,097 | 338,340 | (1,476,148) | 5,625,289 | — | (1,485,277) | 4,504,181 | 1,347,824 | 54,902,821 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
7,676,909 | 199,753 | (1,100,143) | 6,776,519 | — | 614,979 | 10,604,886 | 2,081,424 | 74,473,945 |
Portfolio Navigator Funds | Annual Report 2019 | 25 |
Variable Portfolio – Moderately Conservative Portfolio, December 31, 2019
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares | |||||||||
3,501,657 | 1,963,687 | — | 5,465,344 | 7,242,055 | — | 3,449,553 | 1,129,392 | 73,235,605 | |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares | |||||||||
3,969,549 | — | (1) | 3,969,548 | — | — | 10,320,826 | — | 47,197,932 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
6,031 | — | — | 6,031 | — | — | 35,223 | — | 166,885 | |
Columbia Variable Portfolio - Small Cap Value Fund, Class 1 Shares | |||||||||
— | 710,291 | — | 710,291 | — | — | 639,262 | — | 11,130,262 | |
Columbia Variable Portfolio - Small Company Growth Fund, Class 1 Shares | |||||||||
— | 615,669 | — | 615,669 | — | — | 480,222 | — | 10,971,222 | |
Columbia Variable Portfolio – Strategic Income Fund, Class 1 Shares | |||||||||
2,619,870 | 254,122 | — | 2,873,992 | — | — | 675,032 | 432,950 | 12,271,944 | |
Columbia Variable Portfolio – U.S. Equities Fund, Class 1 Shares † | |||||||||
2,323,548 | 32,448 | (2,355,996) | — | — | 7,326,495 | (493,760) | — | — | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
5,063,859 | 119,675 | (1,348,247) | 3,835,287 | — | 331,033 | 1,472,322 | 1,245,812 | 40,730,745 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
14,836,147 | 13,176,608 | (3,602,702) | 24,410,053 | — | 538,606 | 5,684,558 | 8,396,533 | 268,754,681 | |
CTIVP® – AQR International Core Equity Fund, Class 1 Shares | |||||||||
10,731,979 | 657,254 | (2,729,314) | 8,659,919 | 1,743,284 | 1,737,821 | 12,245,299 | 3,223,053 | 95,518,910 | |
CTIVP® – AQR Managed Futures Strategy Fund, Class 1 Shares | |||||||||
2,996,972 | — | — | 2,996,972 | — | — | 149,849 | — | 21,608,170 | |
CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares | |||||||||
3,331,471 | 63,095 | — | 3,394,566 | — | — | 6,406,645 | 577,944 | 33,436,470 | |
CTIVP® – DFA International Value Fund, Class 1 Shares | |||||||||
1,788,278 | 3,044,695 | (1,471,725) | 3,361,248 | 281,389 | 200 | 1,296,964 | 506,008 | 32,637,715 | |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares | |||||||||
10,596,858 | 532,471 | (2,548,443) | 8,580,886 | 543,894 | 2,365,674 | 10,625,102 | 3,138,463 | 94,990,414 | |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
1,614,449 | 18,384 | — | 1,632,833 | — | — | 14,668,982 | — | 61,312,865 | |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares | |||||||||
2,123,027 | 24,172 | — | 2,147,199 | — | — | 18,268,715 | — | 74,829,875 | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
4,603,838 | 28,559 | (325,729) | 4,306,668 | — | 5,240,737 | 24,644,527 | — | 125,582,446 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
2,670,405 | — | — | 2,670,405 | — | — | 20,295,075 | — | 94,986,291 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
3,585,868 | — | (359,297) | 3,226,571 | — | 5,029,039 | 13,756,271 | — | 84,503,896 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
18,443,267 | 699,038 | (2,625,223) | 16,517,082 | — | 1,151,093 | 9,953,239 | 5,022,689 | 181,853,075 | |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares | |||||||||
650,707 | — | (160,431) | 490,276 | — | 2,016,620 | 2,073,321 | — | 14,865,153 |
26 | Portfolio Navigator Funds | Annual Report 2019 |
Variable Portfolio – Moderately Conservative Portfolio, December 31, 2019
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
19,888,309 | 200,823 | (8,913,092) | 11,176,040 | — | (580,029) | 5,310,806 | 2,042,370 | 114,889,690 | |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares | |||||||||
865,016 | — | (402,262) | 462,754 | — | 4,959,315 | 2,086,155 | — | 14,891,438 | |
CTIVP® – William Blair International Leaders Fund, Class 1 Shares | |||||||||
1,718,107 | 2,514,132 | (1,341,346) | 2,890,893 | 334,624 | (1,263,820) | 4,481,885 | 131,602 | 33,129,635 | |
Variable Portfolio – Columbia Wanger International Equities Fund, Class 1 Shares | |||||||||
1,049,089 | 84,132 | — | 1,133,221 | 362,093 | — | 1,001,333 | 42,194 | 6,074,066 | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | |||||||||
43,277,738 | 1,250,675 | (3,112,312) | 41,416,101 | — | (209,210) | 26,945,704 | 11,134,978 | 461,789,533 | |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares | |||||||||
3,784,541 | 43,234 | (392,508) | 3,435,267 | — | 5,169,606 | 12,985,638 | — | 81,931,113 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
1,178,040 | 32,575 | (501,004) | 709,611 | — | 6,729,662 | (2,171,888) | — | 18,009,941 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
1,026,857 | 34,918 | (414,682) | 647,093 | — | 6,081,974 | (1,605,527) | — | 18,791,575 | |
Total | 11,319,414 | 56,458,785 | 276,950,200 | 56,719,742 | 3,016,164,634 |
† | Issuer was not an affiliate at the end of period. |
(b) | Non-income producing investment. |
(c) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
AUD | Australian Dollar |
EUR | Euro |
GBP | British Pound |
JPY | Japanese Yen |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Portfolio Navigator Funds | Annual Report 2019 | 27 |
Variable Portfolio – Moderately Conservative Portfolio, December 31, 2019
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Variable Portfolios serve as investment vehicles for variable annuity contracts and variable life insurance policies. Principle investment strategies within these Variable Portfolios vary based on the Portfolios investment objective. Investments in the Variable Portfolios may be redeemed on a daily basis without restriction.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Alternative Strategies Funds | — | — | — | 85,685,172 | 85,685,172 |
Equity Funds | — | — | — | 1,206,571,315 | 1,206,571,315 |
Fixed Income Funds | — | — | — | 1,596,709,129 | 1,596,709,129 |
Money Market Funds | 127,199,018 | — | — | — | 127,199,018 |
Total Investments in Securities | 127,199,018 | — | — | 2,888,965,616 | 3,016,164,634 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 9,328 | — | — | — | 9,328 |
Swap Contracts | — | 737,717 | — | — | 737,717 |
Liability | |||||
Futures Contracts | (6,144,201) | — | — | — | (6,144,201) |
Total | 121,064,145 | 737,717 | — | 2,888,965,616 | 3,010,767,478 |
28 | Portfolio Navigator Funds | Annual Report 2019 |
Variable Portfolio – Moderate Portfolio, December 31, 2019
Alternative Strategies Funds 2.7% | ||
Shares | Value ($) | |
Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares(a) | 35,370,695 | 196,307,358 |
Columbia Variable Portfolio – Diversified Absolute Return Fund, Class 1 Shares(a),(b) | 15,996,581 | 144,289,156 |
CTIVP® – AQR Managed Futures Strategy Fund, Class 1 Shares(a),(b) | 17,651,438 | 127,266,870 |
Total Alternative Strategies Funds (Cost $535,784,638) | 467,863,384 | |
Equity Funds 55.5% | ||
Global Real Estate 1.5% | ||
CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares(a) | 25,778,459 | 253,917,827 |
International 15.2% | ||
Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares(a) | 3,656,780 | 69,442,246 |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(a) | 35,296,120 | 472,968,005 |
CTIVP® – AQR International Core Equity Fund, Class 1 Shares(a) | 66,745,458 | 736,202,398 |
CTIVP® – DFA International Value Fund, Class 1 Shares(a) | 26,226,533 | 254,659,637 |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares(a) | 70,968,314 | 785,619,235 |
CTIVP® – William Blair International Leaders Fund, Class 1 Shares(a) | 22,559,918 | 258,536,664 |
Variable Portfolio – Columbia Wanger International Equities Fund, Class 1 Shares(a) | 8,057,271 | 43,186,973 |
Total | 2,620,615,158 | |
U.S. Large Cap 34.7% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 12,926,478 | 345,912,549 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 13,759,155 | 805,048,172 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 18,558,331 | 406,056,276 |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 40,637,848 | 483,184,015 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 1,850,936 | 51,215,413 |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares(a),(b) | 18,949,966 | 711,571,234 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares(a),(b) | 19,783,819 | 689,466,082 |
Equity Funds (continued) | ||
Shares | Value ($) | |
CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 27,997,663 | 816,411,859 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 21,155,537 | 752,502,447 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 25,740,769 | 674,150,745 |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares(a),(b) | 9,398,985 | 224,165,786 |
Total | 5,959,684,578 | |
U.S. Mid Cap 1.4% | ||
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(a),(b) | 3,996,779 | 121,182,348 |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(a),(b) | 3,822,074 | 122,994,345 |
Total | 244,176,693 | |
U.S. Small Cap 2.7% | ||
Columbia Variable Portfolio - Small Cap Value Fund, Class 1 Shares(a) | 5,760,122 | 90,261,110 |
Columbia Variable Portfolio - Small Company Growth Fund, Class 1 Shares(a),(b) | 4,992,782 | 88,971,370 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 5,510,050 | 139,845,081 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 4,963,794 | 144,148,568 |
Total | 463,226,129 | |
Total Equity Funds (Cost $6,219,407,872) | 9,541,620,385 | |
Fixed Income Funds 39.4% | ||
Emerging Markets 0.4% | ||
Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares(a) | 7,013,154 | 67,466,544 |
High Yield 0.4% | ||
Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares(a) | 8,068,172 | 61,640,833 |
Investment Grade 38.3% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 140,903,533 | 1,502,031,667 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 16,012,937 | 156,286,262 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 61,732,301 | 678,437,984 |
Portfolio Navigator Funds | Annual Report 2019 | 29 |
Variable Portfolio – Moderate Portfolio, December 31, 2019
Fixed Income Funds (continued) | ||
Shares | Value ($) | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 28,099,442 | 298,416,075 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 96,840,976 | 1,066,219,151 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 81,394,985 | 896,158,780 |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a) | 96,665,112 | 993,717,352 |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares(a) | 88,429,883 | 985,993,199 |
Total | 6,577,260,470 | |
Multisector 0.3% | ||
Columbia Variable Portfolio – Strategic Income Fund, Class 1 Shares(a) | 14,333,231 | 61,202,895 |
Total Fixed Income Funds (Cost $6,553,705,666) | 6,767,570,742 | |
Money Market Funds 2.0% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(a),(c) | 303,637,626 | 303,607,262 |
Columbia Variable Portfolio – Government Money Market Fund, Class 1 Shares, 1.132%(a),(c) | 29,817,207 | 29,817,207 |
Total Money Market Funds (Cost $333,427,185) | 333,424,469 | |
Total Investments in Securities (Cost: $13,642,325,361) | 17,110,478,980 | |
Other Assets & Liabilities, Net | 72,924,371 | |
Net Assets | 17,183,403,351 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
EURO STOXX 50 Index | 5,869 | 03/2020 | EUR | 218,855,010 | — | (2,211,723) |
SPI 200 Index | 670 | 03/2020 | AUD | 110,600,250 | — | (2,462,629) |
U.S. Treasury 2-Year Note | 850 | 03/2020 | USD | 183,175,000 | — | (81,302) |
U.S. Ultra Treasury Bond | 1,976 | 03/2020 | USD | 358,952,750 | — | (11,384,468) |
Total | — | (16,140,122) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
FTSE 100 Index | (267) | 03/2020 | GBP | (20,022,330) | — | (79,818) |
MSCI Emerging Markets Index | (2,580) | 03/2020 | USD | (144,505,800) | — | (4,815,387) |
S&P 500 Index E-mini | (4,047) | 03/2020 | USD | (653,813,085) | — | (16,145,549) |
TOPIX Index | (645) | 03/2020 | JPY | (11,100,450,000) | — | (52,168) |
Total | — | (21,092,922) |
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America Investment Grade Index, Series 33 | Morgan Stanley | 12/20/2024 | 1.000 | Quarterly | 0.453 | USD | 710,859,000 | 4,994,169 | — | — | 4,994,169 | — |
30 | Portfolio Navigator Funds | Annual Report 2019 |
Variable Portfolio – Moderate Portfolio, December 31, 2019
* | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(a) | As defined in the Investment Company Act of 1940, 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. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | |||||||||
452,364,702 | 946,770,478 | (1,095,497,554) | 303,637,626 | — | 1,056 | 4,500 | 8,164,803 | 303,607,262 | |
Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares | |||||||||
19,670,127 | 15,700,568 | — | 35,370,695 | — | — | 8,414,905 | 2,276,091 | 196,307,358 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
16,611,022 | 4,490 | (3,689,034) | 12,926,478 | — | 39,400,895 | 60,029,092 | — | 345,912,549 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
15,396,215 | 2,245 | (1,639,305) | 13,759,155 | — | 32,290,021 | 138,215,302 | — | 805,048,172 | |
Columbia Variable Portfolio – Diversified Absolute Return Fund, Class 1 Shares | |||||||||
15,996,580 | — | 1 | 15,996,581 | — | — | 3,359,282 | — | 144,289,156 | |
Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares | |||||||||
6,664,609 | 348,545 | — | 7,013,154 | — | — | 4,092,974 | 3,325,446 | 67,466,544 | |
Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares | |||||||||
7,690,577 | 1,040,174 | (5,073,971) | 3,656,780 | 17,325,912 | 13,908,689 | 3,171,173 | 290,473 | 69,442,246 | |
Columbia Variable Portfolio – Government Money Market Fund, Class 1 Shares, 1.132% | |||||||||
112,308,780 | 643,427 | (83,135,000) | 29,817,207 | 11,765 | — | — | 613,445 | 29,817,207 | |
Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares | |||||||||
7,648,730 | 419,442 | — | 8,068,172 | — | — | 5,734,931 | 2,973,164 | 61,640,833 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
152,772,602 | 4,802,560 | (16,671,629) | 140,903,533 | — | 3,160,782 | 83,788,725 | 49,878,969 | 1,502,031,667 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
18,555,588 | 2,743 | — | 18,558,331 | — | — | 107,257,964 | — | 406,056,276 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
19,244,938 | 420,710 | (3,652,711) | 16,012,937 | — | (2,784,234) | 11,465,702 | 3,987,365 | 156,286,262 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
63,329,415 | 1,767,460 | (3,364,574) | 61,732,301 | — | 2,332,247 | 94,860,329 | 18,337,980 | 678,437,984 | |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares | |||||||||
30,362,258 | 5,854,789 | (920,927) | 35,296,120 | 62,794,606 | 277,926 | 25,877,748 | 9,277,559 | 472,968,005 | |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares | |||||||||
40,637,848 | — | — | 40,637,848 | — | — | 105,658,405 | — | 483,184,015 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
3,963,246 | 1,086 | (2,113,396) | 1,850,936 | — | 31,263,780 | (14,089,286) | — | 51,215,413 | |
Columbia Variable Portfolio - Small Cap Value Fund, Class 1 Shares | |||||||||
— | 5,760,122 | — | 5,760,122 | — | — | 5,184,110 | — | 90,261,110 | |
Columbia Variable Portfolio - Small Company Growth Fund, Class 1 Shares | |||||||||
— | 4,992,782 | — | 4,992,782 | — | — | 3,894,370 | — | 88,971,370 |
Portfolio Navigator Funds | Annual Report 2019 | 31 |
Variable Portfolio – Moderate Portfolio, December 31, 2019
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Variable Portfolio – Strategic Income Fund, Class 1 Shares | |||||||||
13,774,851 | 558,380 | — | 14,333,231 | — | — | 3,491,915 | 2,256,065 | 61,202,895 | |
Columbia Variable Portfolio – U.S. Equities Fund, Class 1 Shares † | |||||||||
16,786,288 | — | (16,786,288) | — | — | 55,176,824 | (6,075,090) | — | — | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
30,616,292 | 820,563 | (3,337,413) | 28,099,442 | — | 48,064 | 11,622,252 | 8,490,022 | 298,416,075 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
64,884,554 | 47,899,564 | (15,943,142) | 96,840,976 | — | (2,471,512) | 29,447,680 | 37,733,878 | 1,066,219,151 | |
CTIVP® – AQR International Core Equity Fund, Class 1 Shares | |||||||||
81,951,409 | 3,603,839 | (18,809,790) | 66,745,458 | 13,286,706 | 19,017,786 | 87,123,207 | 24,559,021 | 736,202,398 | |
CTIVP® – AQR Managed Futures Strategy Fund, Class 1 Shares | |||||||||
17,651,438 | — | — | 17,651,438 | — | — | 882,572 | — | 127,266,870 | |
CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares | |||||||||
25,299,319 | 479,140 | — | 25,778,459 | — | — | 48,652,307 | 4,388,926 | 253,917,827 | |
CTIVP® – DFA International Value Fund, Class 1 Shares | |||||||||
19,673,680 | 15,776,162 | (9,223,309) | 26,226,533 | 4,496,322 | (11,333,978) | 21,952,329 | 6,475,478 | 254,659,637 | |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares | |||||||||
80,788,255 | 2,694,373 | (12,514,314) | 70,968,314 | 4,181,445 | 11,617,467 | 88,113,669 | 24,208,336 | 785,619,235 | |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
18,947,237 | 2,729 | — | 18,949,966 | — | — | 171,481,614 | — | 711,571,234 | |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares | |||||||||
19,783,819 | — | — | 19,783,819 | — | — | 169,547,327 | — | 689,466,082 | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
34,669,580 | 5,067 | (6,676,984) | 27,997,663 | — | 113,586,218 | 99,024,868 | — | 816,411,859 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
21,298,614 | — | (143,077) | 21,155,537 | — | 3,560,788 | 158,186,668 | — | 752,502,447 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
33,119,551 | 5,606 | (7,384,388) | 25,740,769 | — | 106,223,773 | 57,561,454 | — | 674,150,745 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
95,164,599 | 2,438,149 | (16,207,763) | 81,394,985 | — | 7,798,273 | 49,371,769 | 25,924,830 | 896,158,780 | |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares | |||||||||
3,715,416 | 281,363 | — | 3,996,779 | — | — | 25,220,752 | — | 121,182,348 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
117,236,717 | 1,214,212 | (21,785,817) | 96,665,112 | — | (2,968,536) | 31,671,525 | 12,295,658 | 993,717,352 | |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares | |||||||||
4,886,022 | — | (1,063,948) | 3,822,074 | — | 20,946,445 | 22,474,362 | — | 122,994,345 | |
CTIVP® – William Blair International Leaders Fund, Class 1 Shares | |||||||||
19,060,300 | 11,823,875 | (8,324,257) | 22,559,918 | 5,391,466 | (17,456,511) | 52,283,873 | 1,892,057 | 258,536,664 | |
Variable Portfolio – Columbia Wanger International Equities Fund, Class 1 Shares | |||||||||
7,459,085 | 598,186 | — | 8,057,271 | 2,574,503 | — | 7,119,540 | 300,002 | 43,186,973 | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | |||||||||
89,666,554 | 14,769,796 | (16,006,467) | 88,429,883 | — | 4,954,891 | 48,671,481 | 21,969,815 | 985,993,199 |
32 | Portfolio Navigator Funds | Annual Report 2019 |
Variable Portfolio – Moderate Portfolio, December 31, 2019
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares | |||||||||
13,429,937 | 4,905 | (4,035,857) | 9,398,985 | — | 52,013,261 | 6,531,491 | — | 224,165,786 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
7,339,700 | 2,207 | (1,831,857) | 5,510,050 | — | 26,012,358 | 3,904,069 | — | 139,845,081 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
6,663,650 | — | (1,699,856) | 4,963,794 | — | 23,640,345 | 6,220,353 | — | 144,148,568 | |
Total | 110,062,725 | 530,217,118 | 1,841,402,213 | 269,619,383 | 17,110,478,980 |
† | Issuer was not an affiliate at the end of period. |
(b) | Non-income producing investment. |
(c) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
AUD | Australian Dollar |
EUR | Euro |
GBP | British Pound |
JPY | Japanese Yen |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Portfolio Navigator Funds | Annual Report 2019 | 33 |
Variable Portfolio – Moderate Portfolio, December 31, 2019
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Alternative Strategies Funds | — | — | — | 467,863,384 | 467,863,384 |
Equity Funds | — | — | — | 9,541,620,385 | 9,541,620,385 |
Fixed Income Funds | — | — | — | 6,767,570,742 | 6,767,570,742 |
Money Market Funds | 333,424,469 | — | — | — | 333,424,469 |
Total Investments in Securities | 333,424,469 | — | — | 16,777,054,511 | 17,110,478,980 |
Investments in Derivatives | |||||
Asset | |||||
Swap Contracts | — | 4,994,169 | — | — | 4,994,169 |
Liability | |||||
Futures Contracts | (37,233,044) | — | — | — | (37,233,044) |
Total | 296,191,425 | 4,994,169 | — | 16,777,054,511 | 17,078,240,105 |
34 | Portfolio Navigator Funds | Annual Report 2019 |
Variable Portfolio – Moderately Aggressive Portfolio, December 31, 2019
Alternative Strategies Funds 3.1% | ||
Shares | Value ($) | |
Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares(a) | 21,584,399 | 119,793,415 |
Columbia Variable Portfolio – Diversified Absolute Return Fund, Class 1 Shares(a),(b) | 6,262,255 | 56,485,533 |
CTIVP® – AQR Managed Futures Strategy Fund, Class 1 Shares(a),(b) | 8,951,926 | 64,543,388 |
Total Alternative Strategies Funds (Cost $275,588,969) | 240,822,336 | |
Equity Funds 68.0% | ||
Global Real Estate 2.0% | ||
CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares(a) | 15,790,290 | 155,534,358 |
International 19.2% | ||
Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares(a) | 1,960,510 | 37,230,078 |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(a) | 20,078,007 | 269,045,289 |
CTIVP® – AQR International Core Equity Fund, Class 1 Shares(a) | 37,825,129 | 417,211,171 |
CTIVP® – DFA International Value Fund, Class 1 Shares(a) | 15,092,768 | 146,550,778 |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares(a) | 40,363,615 | 446,825,215 |
CTIVP® – William Blair International Leaders Fund, Class 1 Shares(a) | 12,831,613 | 147,050,290 |
Variable Portfolio – Columbia Wanger International Equities Fund, Class 1 Shares(a) | 5,231,949 | 28,043,247 |
Total | 1,491,956,068 | |
U.S. Large Cap 41.3% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 5,720,446 | 153,079,130 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 7,591,910 | 444,202,685 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 9,568,238 | 209,353,044 |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 25,628,914 | 304,727,794 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 9,084,868 | 251,378,290 |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares(a),(b) | 10,032,618 | 376,724,788 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares(a),(b) | 10,802,132 | 376,454,295 |
Equity Funds (continued) | ||
Shares | Value ($) | |
CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 1,969,245 | 57,423,176 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 11,396,253 | 405,364,732 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 14,523,903 | 380,381,013 |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares(a),(b) | 10,294,346 | 245,520,164 |
Total | 3,204,609,111 | |
U.S. Mid Cap 1.9% | ||
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(a),(b) | 2,423,369 | 73,476,552 |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(a),(b) | 2,289,744 | 73,683,970 |
Total | 147,160,522 | |
U.S. Small Cap 3.6% | ||
Columbia Variable Portfolio - Small Cap Value Fund, Class 1 Shares(a) | 3,402,573 | 53,318,316 |
Columbia Variable Portfolio - Small Company Growth Fund, Class 1 Shares(a),(b) | 2,949,296 | 52,556,451 |
Columbia Variable Portfolio – U.S. Equities Fund, Class 1 Shares(a),(b) | 1,609,703 | 39,228,456 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 2,648,087 | 67,208,463 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 2,417,362 | 70,200,192 |
Total | 282,511,878 | |
Total Equity Funds (Cost $3,600,640,161) | 5,281,771,937 | |
Fixed Income Funds 24.7% | ||
Emerging Markets 0.3% | ||
Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares(a) | 2,421,637 | 23,296,150 |
High Yield 0.3% | ||
Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares(a) | 2,634,844 | 20,130,204 |
Investment Grade 23.9% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 48,847,899 | 520,718,601 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 6,197,289 | 60,485,544 |
Portfolio Navigator Funds | Annual Report 2019 | 35 |
Variable Portfolio – Moderately Aggressive Portfolio, December 31, 2019
Fixed Income Funds (continued) | ||
Shares | Value ($) | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 9,733,165 | 106,967,482 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 9,614,632 | 102,107,398 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 35,379,579 | 389,529,168 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 19,939,882 | 219,538,097 |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a) | 9,876,154 | 101,526,864 |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares(a) | 31,970,271 | 356,468,517 |
Total | 1,857,341,671 | |
Multisector 0.2% | ||
Columbia Variable Portfolio – Strategic Income Fund, Class 1 Shares(a) | 3,108,367 | 13,272,728 |
Total Fixed Income Funds (Cost $1,862,418,358) | 1,914,040,753 | |
Money Market Funds 3.9% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(a),(c) | 301,389,429 | 301,359,290 |
Total Money Market Funds (Cost $301,360,614) | 301,359,290 | |
Total Investments in Securities (Cost: $6,040,008,102) | 7,737,994,316 | |
Other Assets & Liabilities, Net | 26,968,629 | |
Net Assets | 7,764,962,945 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
EURO STOXX 50 Index | 2,928 | 03/2020 | EUR | 109,185,120 | — | (1,103,412) |
SPI 200 Index | 370 | 03/2020 | AUD | 61,077,750 | — | (1,359,959) |
U.S. Ultra Treasury Bond | 1,023 | 03/2020 | USD | 185,834,344 | — | (5,849,324) |
Total | — | (8,312,695) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
FTSE 100 Index | (121) | 03/2020 | GBP | (9,073,790) | — | (36,172) |
MSCI Emerging Markets Index | (1,448) | 03/2020 | USD | (81,102,480) | — | (2,716,241) |
S&P 500 Index E-mini | (436) | 03/2020 | USD | (70,437,980) | — | (1,816,500) |
TOPIX Index | (268) | 03/2020 | JPY | (4,612,280,000) | — | (21,676) |
U.S. Treasury 2-Year Note | (262) | 03/2020 | USD | (56,461,000) | 22,018 | — |
Total | 22,018 | (4,590,589) |
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America Investment Grade Index, Series 33 | Morgan Stanley | 12/20/2024 | 1.000 | Quarterly | 0.453 | USD | 340,775,000 | 2,394,130 | — | — | 2,394,130 | — |
36 | Portfolio Navigator Funds | Annual Report 2019 |
Variable Portfolio – Moderately Aggressive Portfolio, December 31, 2019
* | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(a) | As defined in the Investment Company Act of 1940, 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. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | |||||||||
310,090,440 | 331,202,392 | (339,903,403) | 301,389,429 | — | (1,452) | 2,706 | 6,670,899 | 301,359,290 | |
Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares | |||||||||
14,127,734 | 7,456,665 | — | 21,584,399 | — | — | 5,624,167 | 1,388,949 | 119,793,415 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
9,951,789 | 4,557 | (4,235,900) | 5,720,446 | — | 44,382,645 | 8,885,918 | — | 153,079,130 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
9,471,565 | 2,001 | (1,881,656) | 7,591,910 | — | 43,079,544 | 57,221,838 | — | 444,202,685 | |
Columbia Variable Portfolio – Diversified Absolute Return Fund, Class 1 Shares | |||||||||
6,252,309 | 9,946 | — | 6,262,255 | — | — | 1,311,890 | — | 56,485,533 | |
Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares | |||||||||
2,301,285 | 120,352 | — | 2,421,637 | — | — | 1,413,301 | 1,148,274 | 23,296,150 | |
Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares | |||||||||
2,464,411 | 915,557 | (1,419,458) | 1,960,510 | 4,022,672 | 1,815,518 | 3,885,812 | 80,558 | 37,230,078 | |
Columbia Variable Portfolio – Government Money Market Fund, Class 1 Shares, 1.132% † | |||||||||
79,792,637 | 671,610 | (80,464,247) | — | 16,385 | — | — | 756,583 | — | |
Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares | |||||||||
2,501,299 | 133,545 | — | 2,634,844 | — | — | 1,875,275 | 970,954 | 20,130,204 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
52,840,924 | 5,566,533 | (9,559,558) | 48,847,899 | — | 2,166,593 | 27,733,533 | 16,582,031 | 520,718,601 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
9,567,312 | 926 | — | 9,568,238 | — | — | 55,301,163 | — | 209,353,044 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
10,973,587 | 249,170 | (5,025,468) | 6,197,289 | — | (3,277,134) | 8,195,767 | 2,359,033 | 60,485,544 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
10,649,502 | 289,965 | (1,206,302) | 9,733,165 | — | 429,899 | 15,527,434 | 2,983,700 | 106,967,482 | |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares | |||||||||
16,166,290 | 5,807,222 | (1,895,505) | 20,078,007 | 31,616,265 | 1,084,446 | 13,365,054 | 4,800,008 | 269,045,289 | |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares | |||||||||
25,628,915 | — | (1) | 25,628,914 | — | — | 66,635,177 | — | 304,727,794 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
11,608,494 | 2,864 | (2,526,490) | 9,084,868 | — | 15,864,713 | 44,733,363 | — | 251,378,290 | |
Columbia Variable Portfolio - Small Cap Value Fund, Class 1 Shares | |||||||||
— | 3,402,573 | — | 3,402,573 | — | — | 3,062,315 | — | 53,318,316 | |
Columbia Variable Portfolio - Small Company Growth Fund, Class 1 Shares | |||||||||
— | 2,949,296 | — | 2,949,296 | — | — | 2,300,451 | — | 52,556,451 |
Portfolio Navigator Funds | Annual Report 2019 | 37 |
Variable Portfolio – Moderately Aggressive Portfolio, December 31, 2019
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Variable Portfolio – Strategic Income Fund, Class 1 Shares | |||||||||
2,991,319 | 117,048 | — | 3,108,367 | — | — | 758,364 | 489,260 | 13,272,728 | |
Columbia Variable Portfolio – U.S. Equities Fund, Class 1 Shares | |||||||||
6,865,603 | 1,531 | (5,257,431) | 1,609,703 | — | 16,358,031 | 6,288,553 | — | 39,228,456 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
9,349,689 | 264,943 | — | 9,614,632 | — | — | 3,701,861 | 2,740,059 | 102,107,398 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
18,875,564 | 24,501,559 | (7,997,544) | 35,379,579 | — | (938,681) | 8,999,941 | 9,857,830 | 389,529,168 | |
CTIVP® – AQR International Core Equity Fund, Class 1 Shares | |||||||||
47,054,975 | 1,958,966 | (11,188,812) | 37,825,129 | 7,150,638 | 781,384 | 57,974,804 | 13,379,633 | 417,211,171 | |
CTIVP® – AQR Managed Futures Strategy Fund, Class 1 Shares | |||||||||
8,951,926 | — | — | 8,951,926 | — | — | 447,597 | — | 64,543,388 | |
CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares | |||||||||
15,496,798 | 293,492 | — | 15,790,290 | — | — | 29,801,395 | 2,688,385 | 155,534,358 | |
CTIVP® – DFA International Value Fund, Class 1 Shares | |||||||||
13,601,418 | 5,454,501 | (3,963,151) | 15,092,768 | 3,435,641 | (7,624,167) | 14,896,599 | 4,692,230 | 146,550,778 | |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares | |||||||||
46,483,068 | 1,497,340 | (7,616,793) | 40,363,615 | 2,300,025 | 1,896,040 | 54,073,369 | 13,450,266 | 446,825,215 | |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
10,030,531 | 2,087 | — | 10,032,618 | — | — | 90,782,022 | — | 376,724,788 | |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares | |||||||||
10,802,132 | — | — | 10,802,132 | — | — | 92,574,270 | — | 376,454,295 | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
7,716,617 | 2,765 | (5,750,137) | 1,969,245 | — | 87,349,514 | (52,820,165) | — | 57,423,176 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
11,396,253 | — | — | 11,396,253 | — | — | 86,611,526 | — | 405,364,732 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
20,875,598 | 4,553 | (6,356,248) | 14,523,903 | — | 89,021,634 | 9,828,321 | — | 380,381,013 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
23,980,010 | 606,405 | (4,646,533) | 19,939,882 | — | 2,299,415 | 11,978,203 | 6,440,011 | 219,538,097 | |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares | |||||||||
3,069,266 | — | (645,897) | 2,423,369 | — | 12,701,273 | 6,763,132 | — | 73,476,552 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
24,663,759 | 261,780 | (15,049,385) | 9,876,154 | — | 4,445,338 | 1,523,713 | 2,644,146 | 101,526,864 | |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares | |||||||||
3,733,473 | — | (1,443,729) | 2,289,744 | — | 27,538,040 | 3,748,105 | — | 73,683,970 | |
CTIVP® – William Blair International Leaders Fund, Class 1 Shares | |||||||||
13,111,466 | 5,690,131 | (5,969,984) | 12,831,613 | 3,651,364 | (14,881,562) | 37,697,394 | 1,284,169 | 147,050,290 | |
Variable Portfolio – Columbia Wanger International Equities Fund, Class 1 Shares | |||||||||
4,843,520 | 388,429 | — | 5,231,949 | 1,671,741 | — | 4,623,039 | 194,805 | 28,043,247 | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | |||||||||
36,859,306 | 847,038 | (5,736,073) | 31,970,271 | — | (165,019) | 22,355,658 | 9,133,024 | 356,468,517 |
38 | Portfolio Navigator Funds | Annual Report 2019 |
Variable Portfolio – Moderately Aggressive Portfolio, December 31, 2019
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares | |||||||||
12,608,475 | 2,496 | (2,316,625) | 10,294,346 | — | 30,427,044 | 27,659,657 | — | 245,520,164 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
4,770,818 | — | (2,122,731) | 2,648,087 | — | 27,624,370 | (9,553,258) | — | 67,208,463 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
4,323,660 | — | (1,906,298) | 2,417,362 | — | 22,638,847 | (4,352,585) | — | 70,200,192 | |
Total | 53,864,731 | 405,016,273 | 823,436,679 | 104,734,807 | 7,737,994,316 |
† | Issuer was not an affiliate at the end of period. |
(b) | Non-income producing investment. |
(c) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
AUD | Australian Dollar |
EUR | Euro |
GBP | British Pound |
JPY | Japanese Yen |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Portfolio Navigator Funds | Annual Report 2019 | 39 |
Variable Portfolio – Moderately Aggressive Portfolio, December 31, 2019
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Alternative Strategies Funds | — | — | — | 240,822,336 | 240,822,336 |
Equity Funds | — | — | — | 5,281,771,937 | 5,281,771,937 |
Fixed Income Funds | — | — | — | 1,914,040,753 | 1,914,040,753 |
Money Market Funds | 301,359,290 | — | — | — | 301,359,290 |
Total Investments in Securities | 301,359,290 | — | — | 7,436,635,026 | 7,737,994,316 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 22,018 | — | — | — | 22,018 |
Swap Contracts | — | 2,394,130 | — | — | 2,394,130 |
Liability | |||||
Futures Contracts | (12,903,284) | — | — | — | (12,903,284) |
Total | 288,478,024 | 2,394,130 | — | 7,436,635,026 | 7,727,507,180 |
40 | Portfolio Navigator Funds | Annual Report 2019 |
Variable Portfolio – Aggressive Portfolio, December 31, 2019
Alternative Strategies Funds 2.7% | ||
Shares | Value ($) | |
Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares(a) | 7,770,034 | 43,123,694 |
Columbia Variable Portfolio – Diversified Absolute Return Fund, Class 1 Shares(a),(b) | 1,281,069 | 11,555,241 |
CTIVP® – AQR Managed Futures Strategy Fund, Class 1 Shares(a),(b) | 1,853,038 | 13,360,404 |
Total Alternative Strategies Funds (Cost $75,948,696) | 68,039,339 | |
Equity Funds 81.5% | ||
Global Real Estate 2.3% | ||
CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares(a) | 5,923,412 | 58,345,605 |
International 24.1% | ||
Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares(a) | 845,135 | 16,049,121 |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(a) | 8,200,939 | 109,892,581 |
CTIVP® – AQR International Core Equity Fund, Class 1 Shares(a) | 15,425,884 | 170,147,504 |
CTIVP® – DFA International Value Fund, Class 1 Shares(a) | 6,138,967 | 59,609,366 |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares(a) | 16,461,944 | 182,233,719 |
CTIVP® – William Blair International Leaders Fund, Class 1 Shares(a) | 5,260,892 | 60,289,821 |
Variable Portfolio – Columbia Wanger International Equities Fund, Class 1 Shares(a) | 1,888,868 | 10,124,336 |
Total | 608,346,448 | |
U.S. Large Cap 48.4% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 2,650,909 | 70,938,338 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 2,839,868 | 166,160,674 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 7,041,378 | 154,065,344 |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 8,900,768 | 105,830,137 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 5,146,647 | 142,407,718 |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares(a),(b) | 3,490,002 | 131,049,588 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares(a),(b) | 3,677,411 | 128,157,765 |
Equity Funds (continued) | ||
Shares | Value ($) | |
CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 1,220,603 | 35,592,771 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 2,651,107 | 94,299,867 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 4,254,034 | 111,413,153 |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares(a),(b) | 3,311,477 | 78,978,727 |
Total | 1,218,894,082 | |
U.S. Mid Cap 2.3% | ||
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(a),(b) | 933,472 | 28,302,874 |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(a),(b) | 886,630 | 28,531,743 |
Total | 56,834,617 | |
U.S. Small Cap 4.4% | ||
Columbia Variable Portfolio - Small Cap Value Fund, Class 1 Shares(a) | 1,334,326 | 20,908,894 |
Columbia Variable Portfolio - Small Company Growth Fund, Class 1 Shares(a),(b) | 1,156,573 | 20,610,127 |
Columbia Variable Portfolio – U.S. Equities Fund, Class 1 Shares(a),(b) | 669,816 | 16,323,421 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 1,044,095 | 26,499,117 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 947,742 | 27,522,435 |
Total | 111,863,994 | |
Total Equity Funds (Cost $1,485,141,280) | 2,054,284,746 | |
Fixed Income Funds 13.1% | ||
Emerging Markets 0.2% | ||
Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares(a) | 528,414 | 5,083,339 |
High Yield 0.0% | ||
Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares(a) | 6,602 | 50,437 |
Investment Grade 12.8% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 6,070,239 | 64,708,748 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 3,778,612 | 41,526,953 |
Portfolio Navigator Funds | Annual Report 2019 | 41 |
Variable Portfolio – Aggressive Portfolio, December 31, 2019
Fixed Income Funds (continued) | ||
Shares | Value ($) | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 9,015,872 | 99,264,749 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 5,400,235 | 59,456,587 |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares(a) | 5,074,263 | 56,578,032 |
Total | 321,535,069 | |
Multisector 0.1% | ||
Columbia Variable Portfolio – Strategic Income Fund, Class 1 Shares(a) | 679,799 | 2,902,743 |
Total Fixed Income Funds (Cost $321,088,150) | 329,571,588 | |
Money Market Funds 2.4% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(a),(c) | 60,461,570 | 60,455,523 |
Total Money Market Funds (Cost $60,455,789) | 60,455,523 | |
Total Investments in Securities (Cost: $1,942,633,915) | 2,512,351,196 | |
Other Assets & Liabilities, Net | 8,234,438 | |
Net Assets | 2,520,585,634 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
EURO STOXX 50 Index | 1,119 | 03/2020 | EUR | 41,727,510 | — | (421,693) |
S&P 500 Index E-mini | 90 | 03/2020 | USD | 14,539,950 | 303,318 | — |
SPI 200 Index | 162 | 03/2020 | AUD | 26,742,150 | — | (595,442) |
U.S. Ultra Treasury Bond | 168 | 03/2020 | USD | 30,518,250 | — | (999,434) |
Total | 303,318 | (2,016,569) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
MSCI Emerging Markets Index | (653) | 03/2020 | USD | (36,574,530) | — | (1,221,295) |
TOPIX Index | (79) | 03/2020 | JPY | (1,359,590,000) | 9,967 | — |
Total | 9,967 | (1,221,295) |
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America Investment Grade Index, Series 33 | Morgan Stanley | 12/20/2024 | 1.000 | Quarterly | 0.453 | USD | 83,555,000 | 587,020 | — | — | 587,020 | — |
* | 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. |
42 | Portfolio Navigator Funds | Annual Report 2019 |
Variable Portfolio – Aggressive Portfolio, December 31, 2019
(a) | As defined in the Investment Company Act of 1940, 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. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | |||||||||
80,672,117 | 105,510,887 | (125,721,434) | 60,461,570 | — | (415) | 810 | 1,438,007 | 60,455,523 | |
Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares | |||||||||
5,423,895 | 2,346,139 | — | 7,770,034 | — | — | 2,102,201 | 499,998 | 43,123,694 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
3,701,864 | 4,817 | (1,055,772) | 2,650,909 | — | 11,351,761 | 10,226,745 | — | 70,938,338 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
3,374,592 | 2,423 | (537,147) | 2,839,868 | — | 11,163,128 | 25,388,802 | — | 166,160,674 | |
Columbia Variable Portfolio – Diversified Absolute Return Fund, Class 1 Shares | |||||||||
1,263,244 | 17,825 | — | 1,281,069 | — | — | 264,743 | — | 11,555,241 | |
Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares | |||||||||
502,152 | 26,262 | — | 528,414 | — | — | 308,389 | 250,559 | 5,083,339 | |
Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares | |||||||||
1,239,591 | 169,075 | (563,531) | 845,135 | 2,794,029 | 1,100,204 | 1,910,794 | 46,830 | 16,049,121 | |
Columbia Variable Portfolio – Government Money Market Fund, Class 1 Shares, 1.132% † | |||||||||
30,964,414 | 110,582 | (31,074,996) | — | — | — | — | 133,154 | — | |
Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares | |||||||||
6,267 | 335 | — | 6,602 | — | — | 4,698 | 2,433 | 50,437 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
6,110,301 | 1,670,791 | (1,710,853) | 6,070,239 | — | 332,928 | 3,163,367 | 1,847,439 | 64,708,748 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
7,036,322 | 5,056 | — | 7,041,378 | — | — | 40,683,759 | — | 154,065,344 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
3,673,666 | 104,946 | — | 3,778,612 | — | — | 5,754,002 | 1,093,540 | 41,526,953 | |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares | |||||||||
3,843,093 | 4,904,694 | (546,848) | 8,200,939 | 12,801,391 | 332,393 | 580,577 | 1,666,682 | 109,892,581 | |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares | |||||||||
8,900,768 | — | — | 8,900,768 | — | — | 23,141,998 | — | 105,830,137 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
6,585,056 | 4,553 | (1,442,962) | 5,146,647 | — | 20,764,513 | 13,722,157 | — | 142,407,718 | |
Columbia Variable Portfolio - Small Cap Value Fund, Class 1 Shares | |||||||||
— | 1,334,326 | — | 1,334,326 | — | — | 1,200,894 | — | 20,908,894 | |
Columbia Variable Portfolio - Small Company Growth Fund, Class 1 Shares | |||||||||
— | 1,156,573 | — | 1,156,573 | — | — | 902,127 | — | 20,610,127 | |
Columbia Variable Portfolio – Strategic Income Fund, Class 1 Shares | |||||||||
654,201 | 25,598 | — | 679,799 | — | — | 165,854 | 107,001 | 2,902,743 | |
Columbia Variable Portfolio – U.S. Equities Fund, Class 1 Shares | |||||||||
3,447,782 | 1,415 | (2,779,381) | 669,816 | — | 8,542,822 | 2,641,454 | — | 16,323,421 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
2,649,764 | 8,004,464 | (1,638,356) | 9,015,872 | — | (39,495) | 1,366,185 | 1,278,896 | 99,264,749 |
Portfolio Navigator Funds | Annual Report 2019 | 43 |
Variable Portfolio – Aggressive Portfolio, December 31, 2019
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Capital gain distributions — affiliated issuers ($) | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
CTIVP® – AQR International Core Equity Fund, Class 1 Shares | |||||||||
17,697,100 | 749,483 | (3,020,699) | 15,425,884 | 2,701,251 | 279,760 | 22,079,592 | 5,076,654 | 170,147,504 | |
CTIVP® – AQR Managed Futures Strategy Fund, Class 1 Shares | |||||||||
1,853,038 | — | — | 1,853,038 | — | — | 92,651 | — | 13,360,404 | |
CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares | |||||||||
5,813,314 | 110,098 | — | 5,923,412 | — | — | 11,179,397 | 1,008,494 | 58,345,605 | |
CTIVP® – DFA International Value Fund, Class 1 Shares | |||||||||
4,622,948 | 3,412,947 | (1,896,928) | 6,138,967 | 1,124,161 | (4,495,345) | 6,994,149 | 1,585,132 | 59,609,366 | |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares | |||||||||
17,480,015 | 1,376,053 | (2,394,124) | 16,461,944 | 868,790 | (288,989) | 21,631,030 | 5,110,369 | 182,233,719 | |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
3,487,143 | 2,859 | — | 3,490,002 | — | — | 31,569,212 | — | 131,049,588 | |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares | |||||||||
3,676,363 | 1,048 | — | 3,677,411 | — | — | 31,510,675 | — | 128,157,765 | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
3,129,501 | 3,114 | (1,912,012) | 1,220,603 | — | 27,917,025 | (12,372,414) | — | 35,592,771 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
4,060,966 | 1,887 | (1,411,746) | 2,651,107 | — | 33,443,466 | (3,605,850) | — | 94,299,867 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
6,364,994 | 4,799 | (2,115,759) | 4,254,034 | — | 29,639,420 | 290,195 | — | 111,413,153 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
4,058,330 | 1,674,431 | (332,526) | 5,400,235 | — | 184,142 | 2,491,723 | 1,163,621 | 59,456,587 | |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares | |||||||||
1,047,608 | 294 | (114,430) | 933,472 | — | 2,255,411 | 4,554,468 | — | 28,302,874 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares † | |||||||||
5,351,602 | 56,410 | (5,408,012) | — | — | 1,599,530 | (336,570) | 573,692 | — | |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares | |||||||||
1,320,542 | 289 | (434,201) | 886,630 | — | 8,363,922 | 2,932,682 | — | 28,531,743 | |
CTIVP® – William Blair International Leaders Fund, Class 1 Shares | |||||||||
4,473,299 | 2,836,970 | (2,049,377) | 5,260,892 | 1,289,184 | (4,983,200) | 13,116,893 | 449,431 | 60,289,821 | |
Variable Portfolio – Columbia Wanger International Equities Fund, Class 1 Shares | |||||||||
1,748,636 | 140,232 | — | 1,888,868 | 603,542 | — | 1,669,036 | 70,330 | 10,124,336 | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | |||||||||
5,275,972 | 126,647 | (328,356) | 5,074,263 | — | 61,261 | 3,228,731 | 1,379,181 | 56,578,032 | |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares | |||||||||
4,133,941 | 3,752 | (826,216) | 3,311,477 | — | 9,334,008 | 9,652,436 | — | 78,978,727 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
1,786,495 | 333 | (742,733) | 1,044,095 | — | 8,565,615 | (1,717,587) | — | 26,499,117 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
1,561,728 | 291 | (614,277) | 947,742 | — | 7,467,060 | (759,794) | — | 27,522,435 | |
Total | 22,182,348 | 172,890,925 | 277,730,211 | 24,781,443 | 2,512,351,196 |
† | Issuer was not an affiliate at the end of period. |
44 | Portfolio Navigator Funds | Annual Report 2019 |
Variable Portfolio – Aggressive Portfolio, December 31, 2019
(b) | Non-income producing investment. |
(c) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
AUD | Australian Dollar |
EUR | Euro |
JPY | Japanese Yen |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Alternative Strategies Funds | — | — | — | 68,039,339 | 68,039,339 |
Equity Funds | — | — | — | 2,054,284,746 | 2,054,284,746 |
Fixed Income Funds | — | — | — | 329,571,588 | 329,571,588 |
Money Market Funds | 60,455,523 | — | — | — | 60,455,523 |
Total Investments in Securities | 60,455,523 | — | — | 2,451,895,673 | 2,512,351,196 |
Portfolio Navigator Funds | Annual Report 2019 | 45 |
Variable Portfolio – Aggressive Portfolio, December 31, 2019
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 313,285 | — | — | — | 313,285 |
Swap Contracts | — | 587,020 | — | — | 587,020 |
Liability | |||||
Futures Contracts | (3,237,864) | — | — | — | (3,237,864) |
Total | 57,530,944 | 587,020 | — | 2,451,895,673 | 2,510,013,637 |
46 | Portfolio Navigator Funds | Annual Report 2019 |
December 31, 2019
Variable Portfolio – Conservative Portfolio | Variable Portfolio – Moderately Conservative Portfolio | Variable Portfolio – Moderate Portfolio | |
Assets | |||
Investments in securities, at value | |||
Affiliated issuers (cost $1,014,766,409, $2,607,323,521, $13,642,325,361, respectively) | $1,081,384,457 | $3,016,164,634 | $17,110,478,980 |
Margin deposits on: | |||
Futures contracts | 1,826,434 | 9,795,455 | 65,964,596 |
Swap contracts | 438,910 | 2,067,270 | 13,994,930 |
Receivable for: | |||
Investments sold | 1,128,385 | 2,992,268 | 15,736,460 |
Capital shares sold | 42,613 | 13,548 | 15,712 |
Dividends | 66,443 | 166,341 | 464,367 |
Variation margin for futures contracts | 18,009 | 23,035 | 170,700 |
Expense reimbursement due from Investment Manager | — | 470 | — |
Prepaid expenses | 3,730 | 7,692 | 36,583 |
Other assets | 314 | 314 | 314 |
Total assets | 1,084,909,295 | 3,031,231,027 | 17,206,862,642 |
Liabilities | |||
Payable for: | |||
Capital shares purchased | 1,170,998 | 3,005,816 | 15,752,172 |
Variation margin for futures contracts | 181,756 | 1,006,148 | 5,864,840 |
Variation margin for swap contracts | 3,168 | 14,924 | 101,029 |
Management services fees | 1,509 | 4,042 | 16,813 |
Distribution and/or service fees | 7,435 | 20,756 | 117,751 |
Service fees | 55,357 | 154,046 | 872,268 |
Compensation of board members | 70,879 | 140,876 | 580,321 |
Compensation of chief compliance officer | 233 | 665 | 3,816 |
Other expenses | 38,450 | 53,022 | 150,281 |
Total liabilities | 1,529,785 | 4,400,295 | 23,459,291 |
Net assets applicable to outstanding capital stock | $1,083,379,510 | $3,026,830,732 | $17,183,403,351 |
Represented by | |||
Trust capital | $1,083,379,510 | $3,026,830,732 | $17,183,403,351 |
Total - representing net assets applicable to outstanding capital stock | $1,083,379,510 | $3,026,830,732 | $17,183,403,351 |
Class 1 | |||
Net assets | $172,899 | $155,881 | $3,412,238 |
Shares outstanding | 11,543 | 9,358 | 184,243 |
Net asset value per share | $14.98 | $16.66 | $18.52 |
Class 2 | |||
Net assets | $520,608,071 | $1,463,901,456 | $8,144,403,042 |
Shares outstanding | 34,842,226 | 88,038,333 | 440,124,430 |
Net asset value per share | $14.94 | $16.63 | $18.50 |
Class 4 | |||
Net assets | $562,598,540 | $1,562,773,395 | $9,035,588,071 |
Shares outstanding | 37,664,704 | 93,807,601 | 487,648,454 |
Net asset value per share | $14.94 | $16.66 | $18.53 |
Portfolio Navigator Funds | Annual Report 2019 | 47 |
December 31, 2019
Variable Portfolio – Moderately Aggressive Portfolio | Variable Portfolio – Aggressive Portfolio | |
Assets | ||
Investments in securities, at value | ||
Affiliated issuers (cost $6,040,008,102, $1,942,633,915, respectively) | $7,737,994,316 | $2,512,351,196 |
Margin deposits on: | ||
Futures contracts | 23,129,202 | 7,467,880 |
Swap contracts | 6,708,957 | 1,644,977 |
Receivable for: | ||
Investments sold | 7,530,967 | 2,338,733 |
Capital shares sold | 6,166 | 107,798 |
Dividends | 441,358 | 87,900 |
Variation margin for futures contracts | 59,302 | 34,650 |
Prepaid expenses | 17,729 | 6,765 |
Other assets | 314 | 314 |
Total assets | 7,775,888,311 | 2,524,040,213 |
Liabilities | ||
Payable for: | ||
Capital shares purchased | 7,537,133 | 2,446,531 |
Variation margin for futures contracts | 2,483,208 | 687,673 |
Variation margin for swap contracts | 48,432 | 11,875 |
Management services fees | 10,637 | 2,730 |
Distribution and/or service fees | 53,125 | 17,236 |
Service fees | 393,963 | 127,476 |
Compensation of board members | 309,092 | 110,611 |
Compensation of chief compliance officer | 1,771 | 565 |
Other expenses | 88,005 | 49,882 |
Total liabilities | 10,925,366 | 3,454,579 |
Net assets applicable to outstanding capital stock | $7,764,962,945 | $2,520,585,634 |
Represented by | ||
Trust capital | $7,764,962,945 | $2,520,585,634 |
Total - representing net assets applicable to outstanding capital stock | $7,764,962,945 | $2,520,585,634 |
Class 1 | ||
Net assets | $9,931,820 | $4,083,339 |
Shares outstanding | 490,255 | 185,414 |
Net asset value per share | $20.26 | $22.02 |
Class 2 | ||
Net assets | $4,208,417,165 | $1,403,661,877 |
Shares outstanding | 207,929,634 | 63,742,879 |
Net asset value per share | $20.24 | $22.02 |
Class 4 | ||
Net assets | $3,546,613,960 | $1,112,840,418 |
Shares outstanding | 174,958,624 | 50,456,136 |
Net asset value per share | $20.27 | $22.06 |
48 | Portfolio Navigator Funds | Annual Report 2019 |
Year Ended December 31, 2019
Variable Portfolio – Conservative Portfolio | Variable Portfolio – Moderately Conservative Portfolio | Variable Portfolio – Moderate Portfolio | |
Net investment income | |||
Income: | |||
Dividends — affiliated issuers | $24,106,092 | $56,719,742 | $269,619,383 |
Other income | 38,808 | 149,710 | 999,304 |
Total income | 24,144,900 | 56,869,452 | 270,618,687 |
Expenses: | |||
Management services fees | 563,358 | 1,495,232 | 6,458,492 |
Distribution and/or service fees | |||
Class 2 | 1,205,188 | 3,490,542 | 19,598,998 |
Class 4 | 1,420,220 | 3,973,353 | 23,043,761 |
Service fees | 630,442 | 1,791,536 | 10,235,175 |
Compensation of board members | 30,925 | 63,376 | 291,525 |
Custodian fees | 29,776 | 31,668 | 33,623 |
Printing and postage fees | 21,525 | 50,695 | 259,952 |
Audit fees | 20,000 | 20,000 | 20,000 |
Legal fees | 17,157 | 35,285 | 166,914 |
Compensation of chief compliance officer | 220 | 629 | 3,623 |
Other | 19,727 | 45,467 | 230,851 |
Total expenses | 3,958,538 | 10,997,783 | 60,342,914 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | — | (249,739) | — |
Total net expenses | 3,958,538 | 10,748,044 | 60,342,914 |
Net investment income | 20,186,362 | 46,121,408 | 210,275,773 |
Realized and unrealized gain (loss) — net | |||
Net realized gain (loss) on: | |||
Investments — affiliated issuers | 12,607,640 | 56,458,785 | 530,217,118 |
Capital gain distributions from underlying affiliated funds | 3,979,492 | 11,319,414 | 110,062,725 |
Foreign currency translations | (62,150) | (42,055) | (449,209) |
Futures contracts | (4,779,311) | (3,411,122) | (86,501,256) |
Swap contracts | 449,556 | 1,292,267 | 7,707,211 |
Net realized gain | 12,195,227 | 65,617,289 | 561,036,589 |
Net change in unrealized appreciation (depreciation) on: | |||
Investments — affiliated issuers | 77,793,300 | 276,950,200 | 1,841,402,213 |
Foreign currency translations | 39,383 | 61,779 | 585,553 |
Futures contracts | (3,087,887) | (11,561,570) | (69,085,871) |
Swap contracts | (602,892) | (651,367) | (1,648,500) |
Net change in unrealized appreciation (depreciation) | 74,141,904 | 264,799,042 | 1,771,253,395 |
Net realized and unrealized gain | 86,337,131 | 330,416,331 | 2,332,289,984 |
Net increase in net assets resulting from operations | $106,523,493 | $376,537,739 | $2,542,565,757 |
Portfolio Navigator Funds | Annual Report 2019 | 49 |
Year Ended December 31, 2019
Variable Portfolio – Moderately Aggressive Portfolio | Variable Portfolio – Aggressive Portfolio | |
Net investment income | ||
Income: | ||
Dividends — unaffiliated issuers | $— | $343,082 |
Dividends — affiliated issuers | 104,734,807 | 24,781,443 |
Other income | 293,866 | 106,258 |
Total income | 105,028,673 | 25,230,783 |
Expenses: | ||
Management services fees | 3,861,872 | 1,129,069 |
Distribution and/or service fees | ||
Class 2 | 10,503,229 | 3,465,794 |
Class 4 | 9,148,336 | 2,816,481 |
Service fees | 4,716,826 | 1,508,326 |
Compensation of board members | 144,753 | 54,093 |
Custodian fees | 35,101 | 32,006 |
Printing and postage fees | 123,535 | 42,845 |
Audit fees | 20,000 | 20,000 |
Legal fees | 80,910 | 30,792 |
Compensation of chief compliance officer | 1,672 | 534 |
Other | 110,799 | 39,463 |
Total expenses | 28,747,033 | 9,139,403 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | — | (45,084) |
Total net expenses | 28,747,033 | 9,094,319 |
Net investment income | 76,281,640 | 16,136,464 |
Realized and unrealized gain (loss) — net | ||
Net realized gain (loss) on: | ||
Investments — unaffiliated issuers | — | 2,443,866 |
Investments — affiliated issuers | 405,016,273 | 172,890,925 |
Capital gain distributions from underlying affiliated funds | 53,864,731 | 22,182,348 |
Foreign currency translations | (42,163) | (2,651) |
Futures contracts | 9,216,835 | 135,711 |
Swap contracts | 3,281,301 | 720,873 |
Net realized gain | 471,336,977 | 198,371,072 |
Net change in unrealized appreciation (depreciation) on: | ||
Investments — unaffiliated issuers | — | (25,904) |
Investments — affiliated issuers | 823,436,679 | 277,730,211 |
Foreign currency translations | 112,564 | 59,393 |
Futures contracts | (24,937,636) | (4,480,748) |
Swap contracts | 306,117 | 285,570 |
Net change in unrealized appreciation (depreciation) | 798,917,724 | 273,568,522 |
Net realized and unrealized gain | 1,270,254,701 | 471,939,594 |
Net increase in net assets resulting from operations | $1,346,536,341 | $488,076,058 |
50 | Portfolio Navigator Funds | Annual Report 2019 |
Variable Portfolio – Conservative Portfolio | Variable Portfolio – Moderately Conservative Portfolio | |||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||||
Net investment income | $20,186,362 | $18,239,080 | $46,121,408 | $42,696,948 |
Net realized gain | 12,195,227 | 13,069,203 | 65,617,289 | 92,047,431 |
Net change in unrealized appreciation (depreciation) | 74,141,904 | (63,597,827) | 264,799,042 | (260,690,361) |
Net increase (decrease) in net assets resulting from operations | 106,523,493 | (32,289,544) | 376,537,739 | (125,945,982) |
Decrease in net assets from capital stock activity | (44,184,461) | (212,698,167) | (239,794,040) | (523,497,200) |
Total increase (decrease) in net assets | 62,339,032 | (244,987,711) | 136,743,699 | (649,443,182) |
Net assets at beginning of year | 1,021,040,478 | 1,266,028,189 | 2,890,087,033 | 3,539,530,215 |
Net assets at end of year | $1,083,379,510 | $1,021,040,478 | $3,026,830,732 | $2,890,087,033 |
Variable Portfolio – Conservative Portfolio | Variable Portfolio – Moderately Conservative Portfolio | |||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||
December 31, 2019 | December 31, 2018 | December 31, 2019 | December 31, 2018 | |||||
Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||||||
Class 1 | ||||||||
Subscriptions | 11,645 | 172,115 | — | — | 9,727 | 158,681 | — | — |
Redemptions | (102) | (1,467) | — | — | (369) | (5,968) | — | — |
Net increase | 11,543 | 170,648 | — | — | 9,358 | 152,713 | — | — |
Class 2 | ||||||||
Subscriptions | 5,071,785 | 73,533,204 | 2,297,771 | 31,309,823 | 4,557,665 | 72,994,838 | 1,309,750 | 19,753,610 |
Redemptions | (3,615,856) | (51,744,812) | (7,837,636) | (107,869,942) | (6,053,368) | (95,467,719) | (12,535,581) | (190,607,014) |
Net increase (decrease) | 1,455,929 | 21,788,392 | (5,539,865) | (76,560,119) | (1,495,703) | (22,472,881) | (11,225,831) | (170,853,404) |
Class 4 | ||||||||
Subscriptions | 2,039,641 | 29,588,105 | 1,602,253 | 21,841,812 | 707,934 | 11,329,146 | 426,625 | 6,473,381 |
Redemptions | (6,681,070) | (95,731,606) | (11,478,092) | (157,979,860) | (14,444,813) | (228,803,018) | (23,585,524) | (359,117,177) |
Net decrease | (4,641,429) | (66,143,501) | (9,875,839) | (136,138,048) | (13,736,879) | (217,473,872) | (23,158,899) | (352,643,796) |
Total net decrease | (3,173,957) | (44,184,461) | (15,415,704) | (212,698,167) | (15,223,224) | (239,794,040) | (34,384,730) | (523,497,200) |
Portfolio Navigator Funds | Annual Report 2019 | 51 |
Variable Portfolio – Moderate Portfolio | Variable Portfolio – Moderately Aggressive Portfolio | |||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||||
Net investment income | $210,275,773 | $193,825,495 | $76,281,640 | $70,843,949 |
Net realized gain | 561,036,589 | 754,158,869 | 471,336,977 | 511,931,469 |
Net change in unrealized appreciation (depreciation) | 1,771,253,395 | (1,925,800,143) | 798,917,724 | (1,161,902,294) |
Net increase (decrease) in net assets resulting from operations | 2,542,565,757 | (977,815,779) | 1,346,536,341 | (579,126,876) |
Decrease in net assets from capital stock activity | (1,685,092,034) | (2,106,684,362) | (1,223,596,112) | (1,201,433,477) |
Total increase (decrease) in net assets | 857,473,723 | (3,084,500,141) | 122,940,229 | (1,780,560,353) |
Net assets at beginning of year | 16,325,929,628 | 19,410,429,769 | 7,642,022,716 | 9,422,583,069 |
Net assets at end of year | $17,183,403,351 | $16,325,929,628 | $7,764,962,945 | $7,642,022,716 |
Variable Portfolio – Moderate Portfolio | Variable Portfolio – Moderately Aggressive Portfolio | |||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||
December 31, 2019 | December 31, 2018 | December 31, 2019 | December 31, 2018 | |||||
Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||||||
Class 1 | ||||||||
Subscriptions | 207,338 | 3,698,450 | — | — | 531,073 | 10,217,090 | — | — |
Redemptions | (23,095) | (420,402) | — | — | (40,818) | (780,699) | — | — |
Net increase | 184,243 | 3,278,048 | — | — | 490,255 | 9,436,391 | — | ��� |
Class 2 | ||||||||
Subscriptions | 4,800,221 | 84,481,065 | 2,375,236 | 40,128,828 | 658,167 | 12,654,981 | 1,249,879 | 22,936,284 |
Redemptions | (22,575,202) | (394,588,333) | (34,394,664) | (577,725,044) | (28,331,168) | (536,531,795) | (25,478,904) | (466,274,747) |
Net decrease | (17,774,981) | (310,107,268) | (32,019,428) | (537,596,216) | (27,673,001) | (523,876,814) | (24,229,025) | (443,338,463) |
Class 4 | ||||||||
Subscriptions | 191,644 | 3,297,703 | 460,896 | 7,753,192 | 128,269 | 2,411,563 | 146,688 | 2,708,996 |
Redemptions | (78,918,045) | (1,381,560,517) | (93,709,307) | (1,576,841,338) | (37,551,062) | (711,567,252) | (41,408,995) | (760,804,010) |
Net decrease | (78,726,401) | (1,378,262,814) | (93,248,411) | (1,569,088,146) | (37,422,793) | (709,155,689) | (41,262,307) | (758,095,014) |
Total net decrease | (96,317,139) | (1,685,092,034) | (125,267,839) | (2,106,684,362) | (64,605,539) | (1,223,596,112) | (65,491,332) | (1,201,433,477) |
52 | Portfolio Navigator Funds | Annual Report 2019 |
Variable Portfolio – Aggressive Portfolio | ||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $16,136,464 | $14,768,181 |
Net realized gain | 198,371,072 | 151,044,222 |
Net change in unrealized appreciation (depreciation) | 273,568,522 | (387,639,794) |
Net increase (decrease) in net assets resulting from operations | 488,076,058 | (221,827,391) |
Decrease in net assets from capital stock activity | (348,718,015) | (311,135,698) |
Total increase (decrease) in net assets | 139,358,043 | (532,963,089) |
Net assets at beginning of year | 2,381,227,591 | 2,914,190,680 |
Net assets at end of year | $2,520,585,634 | $2,381,227,591 |
Variable Portfolio – Aggressive Portfolio | ||||
Year Ended | Year Ended | |||
December 31, 2019 | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 199,413 | 4,143,568 | — | — |
Redemptions | (13,999) | (292,813) | — | — |
Net increase | 185,414 | 3,850,755 | — | — |
Class 2 | ||||
Subscriptions | 644,563 | 13,134,931 | 1,698,958 | 33,522,592 |
Redemptions | (8,806,463) | (179,890,637) | (7,027,749) | (140,086,707) |
Net decrease | (8,161,900) | (166,755,706) | (5,328,791) | (106,564,115) |
Class 4 | ||||
Subscriptions | 144,611 | 2,958,408 | 382,175 | 7,606,595 |
Redemptions | (9,203,891) | (188,771,472) | (10,635,614) | (212,178,178) |
Net decrease | (9,059,280) | (185,813,064) | (10,253,439) | (204,571,583) |
Total net decrease | (17,035,766) | (348,718,015) | (15,582,230) | (311,135,698) |
Portfolio Navigator Funds | Annual Report 2019 | 53 |
Variable Portfolio – Conservative Portfolio
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2019(c) | $13.95 | 0.13 | 0.90 | 1.03 |
Class 2 | ||||
Year Ended 12/31/2019 | $13.49 | 0.27 | 1.18 | 1.45 |
Year Ended 12/31/2018 | $13.90 | 0.22 | (0.63) | (0.41) |
Year Ended 12/31/2017 | $12.94 | 0.22 | 0.74 | 0.96 |
Year Ended 12/31/2016 | $12.51 | 0.17 | 0.26 | 0.43 |
Year Ended 12/31/2015 | $12.53 | 0.17 | (0.19) | (0.02) |
Class 4 | ||||
Year Ended 12/31/2019 | $13.49 | 0.28 | 1.17 | 1.45 |
Year Ended 12/31/2018 | $13.89 | 0.22 | (0.62) | (0.40) |
Year Ended 12/31/2017 | $12.94 | 0.21 | 0.74 | 0.95 |
Year Ended 12/31/2016 | $12.51 | 0.17 | 0.26 | 0.43 |
Year Ended 12/31/2015 | $12.53 | 0.17 | (0.19) | (0.02) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
(d) | Annualized. |
54 | Portfolio Navigator Funds | Annual Report 2019 |
Variable Portfolio – Conservative Portfolio
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019(c) | $14.98 | 7.38% | 0.13%(d) | 0.13%(d) | 1.10%(d) | 18% | $173 |
Class 2 | |||||||
Year Ended 12/31/2019 | $14.94 | 10.75% | 0.38% | 0.38% | 1.90% | 18% | $520,608 |
Year Ended 12/31/2018 | $13.49 | (2.95%) | 0.37% | 0.37% | 1.61% | 18% | $450,440 |
Year Ended 12/31/2017 | $13.90 | 7.42% | 0.33% | 0.33% | 1.60% | 6% | $541,013 |
Year Ended 12/31/2016 | $12.94 | 3.44% | 0.30% | 0.30% | 1.34% | 14% | $593,909 |
Year Ended 12/31/2015 | $12.51 | (0.16%) | 0.28% | 0.28% | 1.35% | 27% | $557,777 |
Class 4 | |||||||
Year Ended 12/31/2019 | $14.94 | 10.75% | 0.38% | 0.38% | 1.94% | 18% | $562,599 |
Year Ended 12/31/2018 | $13.49 | (2.88%) | 0.37% | 0.37% | 1.60% | 18% | $570,600 |
Year Ended 12/31/2017 | $13.89 | 7.34% | 0.33% | 0.33% | 1.59% | 6% | $725,015 |
Year Ended 12/31/2016 | $12.94 | 3.44% | 0.30% | 0.30% | 1.35% | 14% | $873,507 |
Year Ended 12/31/2015 | $12.51 | (0.16%) | 0.28% | 0.28% | 1.35% | 27% | $890,458 |
Portfolio Navigator Funds | Annual Report 2019 | 55 |
Variable Portfolio – Moderately Conservative Portfolio
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2019(c) | $15.35 | 0.26 | 1.05 | 1.31 |
Class 2 | ||||
Year Ended 12/31/2019 | $14.65 | 0.24 | 1.74 | 1.98 |
Year Ended 12/31/2018 | $15.28 | 0.20 | (0.83) | (0.63) |
Year Ended 12/31/2017 | $13.89 | 0.19 | 1.20 | 1.39 |
Year Ended 12/31/2016 | $13.36 | 0.16 | 0.37 | 0.53 |
Year Ended 12/31/2015 | $13.39 | 0.17 | (0.20) | (0.03) |
Class 4 | ||||
Year Ended 12/31/2019 | $14.68 | 0.25 | 1.73 | 1.98 |
Year Ended 12/31/2018 | $15.30 | 0.20 | (0.82) | (0.62) |
Year Ended 12/31/2017 | $13.92 | 0.19 | 1.19 | 1.38 |
Year Ended 12/31/2016 | $13.38 | 0.16 | 0.38 | 0.54 |
Year Ended 12/31/2015 | $13.42 | 0.17 | (0.21) | (0.04) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
(d) | Annualized. |
56 | Portfolio Navigator Funds | Annual Report 2019 |
Variable Portfolio – Moderately Conservative Portfolio
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019(c) | $16.66 | 8.53% | 0.12%(d) | 0.11%(d) | 1.91%(d) | 12% | $156 |
Class 2 | |||||||
Year Ended 12/31/2019 | $16.63 | 13.51% | 0.37% | 0.36% | 1.54% | 12% | $1,463,901 |
Year Ended 12/31/2018 | $14.65 | (4.12%) | 0.36% | 0.36% | 1.31% | 10% | $1,311,637 |
Year Ended 12/31/2017 | $15.28 | 10.01% | 0.33% | 0.33% | 1.30% | 4% | $1,539,179 |
Year Ended 12/31/2016 | $13.89 | 3.97% | 0.30% | 0.30% | 1.18% | 8% | $1,567,642 |
Year Ended 12/31/2015 | $13.36 | (0.22%) | 0.28% | 0.28% | 1.25% | 22% | $1,566,214 |
Class 4 | |||||||
Year Ended 12/31/2019 | $16.66 | 13.49% | 0.37% | 0.36% | 1.55% | 12% | $1,562,773 |
Year Ended 12/31/2018 | $14.68 | (4.05%) | 0.36% | 0.36% | 1.31% | 10% | $1,578,450 |
Year Ended 12/31/2017 | $15.30 | 9.91% | 0.33% | 0.33% | 1.30% | 4% | $2,000,352 |
Year Ended 12/31/2016 | $13.92 | 4.04% | 0.30% | 0.30% | 1.18% | 8% | $2,217,158 |
Year Ended 12/31/2015 | $13.38 | (0.30%) | 0.28% | 0.28% | 1.25% | 22% | $2,428,436 |
Portfolio Navigator Funds | Annual Report 2019 | 57 |
Variable Portfolio – Moderate Portfolio
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2019(c) | $16.92 | 0.21 | 1.39 | 1.60 |
Class 2 | ||||
Year Ended 12/31/2019 | $15.93 | 0.22 | 2.35 | 2.57 |
Year Ended 12/31/2018 | $16.87 | 0.18 | (1.12) | (0.94) |
Year Ended 12/31/2017 | $14.90 | 0.16 | 1.81 | 1.97 |
Year Ended 12/31/2016 | $14.24 | 0.14 | 0.52 | 0.66 |
Year Ended 12/31/2015 | $14.32 | 0.16 | (0.24) | (0.08) |
Class 4 | ||||
Year Ended 12/31/2019 | $15.95 | 0.22 | 2.36 | 2.58 |
Year Ended 12/31/2018 | $16.89 | 0.18 | (1.12) | (0.94) |
Year Ended 12/31/2017 | $14.92 | 0.16 | 1.81 | 1.97 |
Year Ended 12/31/2016 | $14.26 | 0.14 | 0.52 | 0.66 |
Year Ended 12/31/2015 | $14.34 | 0.16 | (0.24) | (0.08) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
(d) | Annualized. |
58 | Portfolio Navigator Funds | Annual Report 2019 |
Variable Portfolio – Moderate Portfolio
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019(c) | $18.52 | 9.46% | 0.10%(d) | 0.10%(d) | 1.38%(d) | 9% | $3,412 |
Class 2 | |||||||
Year Ended 12/31/2019 | $18.50 | 16.13% | 0.35% | 0.35% | 1.23% | 9% | $8,144,403 |
Year Ended 12/31/2018 | $15.93 | (5.57%) | 0.35% | 0.35% | 1.05% | 10% | $7,293,208 |
Year Ended 12/31/2017 | $16.87 | 13.22% | 0.32% | 0.32% | 1.03% | 5% | $8,266,265 |
Year Ended 12/31/2016 | $14.90 | 4.64% | 0.29% | 0.29% | 0.97% | 6% | $7,712,231 |
Year Ended 12/31/2015 | $14.24 | (0.56%) | 0.28% | 0.28% | 1.13% | 23% | $7,690,136 |
Class 4 | |||||||
Year Ended 12/31/2019 | $18.53 | 16.18% | 0.35% | 0.35% | 1.23% | 9% | $9,035,588 |
Year Ended 12/31/2018 | $15.95 | (5.56%) | 0.35% | 0.35% | 1.05% | 10% | $9,032,721 |
Year Ended 12/31/2017 | $16.89 | 13.20% | 0.32% | 0.32% | 1.03% | 5% | $11,144,165 |
Year Ended 12/31/2016 | $14.92 | 4.63% | 0.29% | 0.29% | 0.97% | 6% | $11,452,377 |
Year Ended 12/31/2015 | $14.26 | (0.56%) | 0.28% | 0.28% | 1.13% | 23% | $12,531,242 |
Portfolio Navigator Funds | Annual Report 2019 | 59 |
Variable Portfolio – Moderately Aggressive Portfolio
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2019(c) | $18.37 | 0.18 | 1.71 | 1.89 |
Class 2 | ||||
Year Ended 12/31/2019 | $17.05 | 0.18 | 3.01 | 3.19 |
Year Ended 12/31/2018 | $18.34 | 0.15 | (1.44) | (1.29) |
Year Ended 12/31/2017 | $15.79 | 0.13 | 2.42 | 2.55 |
Year Ended 12/31/2016 | $15.00 | 0.12 | 0.67 | 0.79 |
Year Ended 12/31/2015 | $15.11 | 0.14 | (0.25) | (0.11) |
Class 4 | ||||
Year Ended 12/31/2019 | $17.07 | 0.18 | 3.02 | 3.20 |
Year Ended 12/31/2018 | $18.37 | 0.15 | (1.45) | (1.30) |
Year Ended 12/31/2017 | $15.81 | 0.13 | 2.43 | 2.56 |
Year Ended 12/31/2016 | $15.02 | 0.12 | 0.67 | 0.79 |
Year Ended 12/31/2015 | $15.14 | 0.14 | (0.26) | (0.12) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Class 1 shares are based on operations from February 20, 2019 (commencement of operations) through the stated period end. |
(d) | Annualized. |
60 | Portfolio Navigator Funds | Annual Report 2019 |
Variable Portfolio – Moderately Aggressive Portfolio
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019(c) | $20.26 | 10.29% | 0.12%(d) | 0.12%(d) | 1.11%(d) | 10% | $9,932 |
Class 2 | |||||||
Year Ended 12/31/2019 | $20.24 | 18.71% | 0.37% | 0.37% | 0.97% | 10% | $4,208,417 |
Year Ended 12/31/2018 | $17.05 | (7.03%) | 0.36% | 0.36% | 0.80% | 10% | $4,016,103 |
Year Ended 12/31/2017 | $18.34 | 16.15% | 0.33% | 0.33% | 0.79% | 6% | $4,764,394 |
Year Ended 12/31/2016 | $15.79 | 5.27% | 0.30% | 0.30% | 0.78% | 9% | $4,463,979 |
Year Ended 12/31/2015 | $15.00 | (0.73%) | 0.28% | 0.28% | 0.89% | 24% | $4,668,252 |
Class 4 | |||||||
Year Ended 12/31/2019 | $20.27 | 18.75% | 0.37% | 0.37% | 0.97% | 10% | $3,546,614 |
Year Ended 12/31/2018 | $17.07 | (7.08%) | 0.36% | 0.36% | 0.80% | 10% | $3,625,919 |
Year Ended 12/31/2017 | $18.37 | 16.19% | 0.33% | 0.33% | 0.78% | 6% | $4,658,189 |
Year Ended 12/31/2016 | $15.81 | 5.26% | 0.30% | 0.30% | 0.78% | 9% | $4,841,529 |
Year Ended 12/31/2015 | $15.02 | (0.79%) | 0.28% | 0.28% | 0.88% | 24% | $5,526,022 |
Portfolio Navigator Funds | Annual Report 2019 | 61 |
Variable Portfolio – Aggressive Portfolio
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Year Ended 12/31/2019(c) | $19.79 | 0.14 | 2.09 | 2.23 |
Class 2 | ||||
Year Ended 12/31/2019 | $18.11 | 0.13 | 3.78 | 3.91 |
Year Ended 12/31/2018 | $19.81 | 0.11 | (1.81) | (1.70) |
Year Ended 12/31/2017 | $16.66 | 0.10 | 3.05 | 3.15 |
Year Ended 12/31/2016 | $15.73 | 0.09 | 0.84 | 0.93 |
Year Ended 12/31/2015 | $15.85 | 0.10 | (0.22) | (0.12) |
Class 4 | ||||
Year Ended 12/31/2019 | $18.13 | 0.13 | 3.80 | 3.93 |
Year Ended 12/31/2018 | $19.84 | 0.11 | (1.82) | (1.71) |
Year Ended 12/31/2017 | $16.69 | 0.10 | 3.05 | 3.15 |
Year Ended 12/31/2016 | $15.75 | 0.09 | 0.85 | 0.94 |
Year Ended 12/31/2015 | $15.87 | 0.10 | (0.22) | (0.12) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
(d) | Annualized. |
62 | Portfolio Navigator Funds | Annual Report 2019 |
Variable Portfolio – Aggressive Portfolio
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019(c) | $22.02 | 11.27% | 0.11%(d) | 0.11%(d) | 0.78%(d) | 14% | $4,083 |
Class 2 | |||||||
Year Ended 12/31/2019 | $22.02 | 21.59% | 0.36% | 0.36% | 0.64% | 14% | $1,403,662 |
Year Ended 12/31/2018 | $18.11 | (8.58%) | 0.36% | 0.36% | 0.53% | 10% | $1,301,923 |
Year Ended 12/31/2017 | $19.81 | 18.91% | 0.33% | 0.33% | 0.53% | 9% | $1,529,935 |
Year Ended 12/31/2016 | $16.66 | 5.91% | 0.30% | 0.30% | 0.54% | 8% | $1,371,164 |
Year Ended 12/31/2015 | $15.73 | (0.76%) | 0.28% | 0.28% | 0.62% | 26% | $1,418,902 |
Class 4 | |||||||
Year Ended 12/31/2019 | $22.06 | 21.68% | 0.36% | 0.36% | 0.64% | 14% | $1,112,840 |
Year Ended 12/31/2018 | $18.13 | (8.62%) | 0.36% | 0.36% | 0.53% | 10% | $1,079,305 |
Year Ended 12/31/2017 | $19.84 | 18.87% | 0.33% | 0.33% | 0.53% | 9% | $1,384,255 |
Year Ended 12/31/2016 | $16.69 | 5.97% | 0.30% | 0.30% | 0.54% | 8% | $1,414,635 |
Year Ended 12/31/2015 | $15.75 | (0.76%) | 0.28% | 0.28% | 0.61% | 26% | $1,608,428 |
Portfolio Navigator Funds | Annual Report 2019 | 63 |
December 31, 2019
64 | Portfolio Navigator Funds | Annual Report 2019 |
December 31, 2019
Portfolio Navigator Funds | Annual Report 2019 | 65 |
December 31, 2019
66 | Portfolio Navigator Funds | Annual Report 2019 |
December 31, 2019
Portfolio Navigator Funds | Annual Report 2019 | 67 |
December 31, 2019
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of trust capital — unrealized appreciation on swap contracts | 156,626* |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 327,779* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 641,920* |
Total | 969,699 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
68 | Portfolio Navigator Funds | Annual Report 2019 |
December 31, 2019
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | Swap contracts ($) | Total ($) | |||
Credit risk | — | 449,556 | 449,556 | |||
Equity risk | (10,569,457) | — | (10,569,457) | |||
Interest rate risk | 5,790,146 | — | 5,790,146 | |||
Total | (4,779,311) | 449,556 | (4,329,755) | |||
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | Swap contracts ($) | Total ($) | |||
Credit risk | — | (602,892) | (602,892) | |||
Equity risk | (940,778) | — | (940,778) | |||
Interest rate risk | (2,147,109) | — | (2,147,109) | |||
Total | (3,087,887) | (602,892) | (3,690,779) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 89,602,289 |
Futures contracts — short | 46,964,663 |
Credit default swap contracts — sell protection | 16,720,500 |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2019. |
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of trust capital — unrealized appreciation on swap contracts | 737,717* |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 9,328* |
Total | 747,045 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 3,410,297* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 2,733,904* |
Total | 6,144,201 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Portfolio Navigator Funds | Annual Report 2019 | 69 |
December 31, 2019
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | Swap contracts ($) | Total ($) | |||
Equity risk | (20,245,173) | 1,292,267 | (18,952,906) | |||
Interest rate risk | 16,834,051 | — | 16,834,051 | |||
Total | (3,411,122) | 1,292,267 | (2,118,855) | |||
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | Swap contracts ($) | Total ($) | |||
Credit risk | — | (651,367) | (651,367) | |||
Equity risk | (4,816,875) | — | (4,816,875) | |||
Interest rate risk | (6,744,695) | — | (6,744,695) | |||
Total | (11,561,570) | (651,367) | (12,212,937) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 186,052,160 |
Futures contracts — short | 155,421,499 |
Credit default swap contracts — sell protection | 78,753,750 |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2019. |
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of trust capital — unrealized appreciation on swap contracts | 4,994,169* |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 25,767,274* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 11,465,770* |
Total | 37,233,044 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
70 | Portfolio Navigator Funds | Annual Report 2019 |
December 31, 2019
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | Swap contracts ($) | Total ($) | |||
Credit risk | — | 7,707,211 | 7,707,211 | |||
Equity risk | (163,127,109) | — | (163,127,109) | |||
Interest rate risk | 76,625,853 | — | 76,625,853 | |||
Total | (86,501,256) | 7,707,211 | (78,794,045) | |||
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | Swap contracts ($) | Total ($) | |||
Credit risk | — | (1,648,500) | (1,648,500) | |||
Equity risk | (37,047,892) | — | (37,047,892) | |||
Interest rate risk | (32,037,979) | — | (32,037,979) | |||
Total | (69,085,871) | (1,648,500) | (70,734,371) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 797,558,242 |
Futures contracts — short | 1,051,723,535 |
Credit default swap contracts — sell protection | 533,144,250 |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2019. |
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of trust capital — unrealized appreciation on swap contracts | 2,394,130* |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 22,018* |
Total | 2,416,148 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 7,053,960* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 5,849,324* |
Total | 12,903,284 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Portfolio Navigator Funds | Annual Report 2019 | 71 |
December 31, 2019
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | Swap contracts ($) | Total ($) | |||
Credit risk | — | 3,281,301 | 3,281,301 | |||
Equity risk | (31,607,299) | — | (31,607,299) | |||
Interest rate risk | 40,824,134 | — | 40,824,134 | |||
Total | 9,216,835 | 3,281,301 | 12,498,136 | |||
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | Swap contracts ($) | Total ($) | |||
Credit risk | — | 306,117 | 306,117 | |||
Equity risk | (8,542,534) | — | (8,542,534) | |||
Interest rate risk | (16,395,102) | — | (16,395,102) | |||
Total | (24,937,636) | 306,117 | (24,631,519) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 339,585,597 |
Futures contracts — short | 315,802,687 |
Credit default swap contracts — sell protection | 255,581,250 |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2019. |
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of trust capital — unrealized appreciation on swap contracts | 587,020* |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 313,285* |
Total | 900,305 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 2,238,430* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 999,434* |
Total | 3,237,864 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
72 | Portfolio Navigator Funds | Annual Report 2019 |
December 31, 2019
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | Swap contracts ($) | Total ($) | |||
Credit risk | — | 720,873 | 720,873 | |||
Equity risk | (8,078,946) | — | (8,078,946) | |||
Interest rate risk | 8,214,657 | — | 8,214,657 | |||
Total | 135,711 | 720,873 | 856,584 | |||
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | Swap contracts ($) | Total ($) | |||
Credit risk | — | 285,570 | 285,570 | |||
Equity risk | (1,775,532) | — | (1,775,532) | |||
Interest rate risk | (2,705,216) | — | (2,705,216) | |||
Total | (4,480,748) | 285,570 | (4,195,178) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 108,428,143 |
Futures contracts — short | 101,740,317 |
Credit default swap contracts — sell protection | 62,666,250 |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2019. |
Morgan Stanley ($) | |
Liabilities | |
Centrally cleared credit default swap contracts (a) | 3,168 |
Total financial and derivative net assets | (3,168) |
Total collateral received (pledged) (b) | (3,168) |
Net amount (c) | - |
(a) | Centrally cleared swaps are included within payable/receivable for variation margin on the Statement of Assets and Liabilities. |
(b) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(c) | Represents the net amount due from/(to) counterparties in the event of default. |
Portfolio Navigator Funds | Annual Report 2019 | 73 |
December 31, 2019
Morgan Stanley ($) | |
Liabilities | |
Centrally cleared credit default swap contracts (a) | 14,924 |
Total financial and derivative net assets | (14,924) |
Total collateral received (pledged) (b) | (14,924) |
Net amount (c) | - |
(a) | Centrally cleared swaps are included within payable/receivable for variation margin on the Statement of Assets and Liabilities. |
(b) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(c) | Represents the net amount due from/(to) counterparties in the event of default. |
Morgan Stanley ($) | |
Liabilities | |
Centrally cleared credit default swap contracts (a) | 101,029 |
Total financial and derivative net assets | (101,029) |
Total collateral received (pledged) (b) | (101,029) |
Net amount (c) | - |
(a) | Centrally cleared swaps are included within payable/receivable for variation margin on the Statement of Assets and Liabilities. |
(b) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(c) | Represents the net amount due from/(to) counterparties in the event of default. |
Morgan Stanley ($) | |
Liabilities | |
Centrally cleared credit default swap contracts (a) | 48,432 |
Total financial and derivative net assets | (48,432) |
Total collateral received (pledged) (b) | (48,432) |
Net amount (c) | - |
(a) | Centrally cleared swaps are included within payable/receivable for variation margin on the Statement of Assets and Liabilities. |
(b) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(c) | Represents the net amount due from/(to) counterparties in the event of default. |
Morgan Stanley ($) | |
Liabilities | |
Centrally cleared credit default swap contracts (a) | 11,875 |
Total financial and derivative net assets | (11,875) |
Total collateral received (pledged) (b) | (11,875) |
Net amount (c) | - |
(a) | Centrally cleared swaps are included within payable/receivable for variation margin on the Statement of Assets and Liabilities. |
(b) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(c) | Represents the net amount due from/(to) counterparties in the event of default. |
74 | Portfolio Navigator Funds | Annual Report 2019 |
December 31, 2019
Portfolio Navigator Funds | Annual Report 2019 | 75 |
December 31, 2019
Effective management services fee rate (%) | |
Variable Portfolio – Conservative Portfolio | 0.05 |
Variable Portfolio – Moderately Conservative Portfolio | 0.05 |
Variable Portfolio – Moderate Portfolio | 0.04 |
Variable Portfolio – Moderately Aggressive Portfolio | 0.05 |
Variable Portfolio – Aggressive Portfolio | 0.04 |
76 | Portfolio Navigator Funds | Annual Report 2019 |
December 31, 2019
Effective service fee rate (%) | |
Variable Portfolio – Conservative Portfolio | 0.06 |
Variable Portfolio – Moderately Conservative Portfolio | 0.06 |
Variable Portfolio – Moderate Portfolio | 0.06 |
Variable Portfolio – Moderately Aggressive Portfolio | 0.06 |
Variable Portfolio – Aggressive Portfolio | 0.06 |
May 1, 2019 through April 30, 2020 | Prior to May 1, 2019 | |||||
Class 1 (%) | Class 2 (%) | Class 4 (%) | Class 1 (%) | Class 2 (%) | Class 4 (%) | |
Variable Portfolio - Conservative Portfolio | 0.22 | 0.47 | 0.47 | 0.16 | 0.41 | 0.41 |
Variable Portfolio - Moderately Conservative Portfolio | 0.11 | 0.36 | 0.36 | 0.11 | 0.36 | 0.36 |
Variable Portfolio - Moderate Portfolio | 0.24 | 0.49 | 0.49 | 0.19 | 0.44 | 0.44 |
Variable Portfolio - Moderately Aggressive Portfolio | 0.22 | 0.47 | 0.47 | 0.16 | 0.41 | 0.41 |
Variable Portfolio - Aggressive Portfolio | 0.11 | 0.36 | 0.36 | 0.17 | 0.42 | 0.42 |
Portfolio Navigator Funds | Annual Report 2019 | 77 |
December 31, 2019
Purchases ($) | Proceeds from sales ($) | |
Variable Portfolio – Conservative Portfolio | 175,691,446 | 191,946,997 |
Variable Portfolio – Moderately Conservative Portfolio | 333,465,141 | 504,278,260 |
Variable Portfolio – Moderate Portfolio | 1,525,651,513 | 2,817,178,498 |
Variable Portfolio – Moderately Aggressive Portfolio | 744,460,692 | 1,765,141,944 |
Variable Portfolio – Aggressive Portfolio | 338,869,930 | 601,181,725 |
78 | Portfolio Navigator Funds | Annual Report 2019 |
December 31, 2019
Portfolio Navigator Funds | Annual Report 2019 | 79 |
80 | Portfolio Navigator Funds | Annual Report 2019 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1953 | Trustee since 1/17 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 121 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 1/06 for RiverSource Funds and since 6/11 for Nations Funds | Attorney; specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018 | 121 | Trustee, BlueCross BlueShield of Minnesota since 2009 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee since 2017); Chair of the Robina Foundation since August 2013; former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017 |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 7/07 for RiverSource Funds and since 6/11 for Nations Funds | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, Morgan Stanley, 1982-1991 | 121 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of Human Resources Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee) since 2019 |
Portfolio Navigator Funds | Annual Report 2019 | 81 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1950 | Trustee since 11/04 for RiverSource Funds and since 6/11 for Nations Funds | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 121 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative since 2010; Board of Directors, The MA Business Roundtable 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 12/17 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 121 | Trustee, Catholic Schools Foundation since 2004 |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Chair of the Board since 1/20; Trustee since 11/04 for RiverSource Funds and since 6/11 for Nations Funds | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Managing Director, Morgan Stanley, 1982-1989; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 121 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Anthony M. Santomero c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1946 | Trustee since 6/11 for RiverSource Funds and since 1/08 for Nations Funds | Richard K. Mellon Professor Emeritus of Finance, The Wharton School, University of Pennsylvania, since 2002; Senior Advisor, McKinsey & Company (consulting), 2006-2008; President, Federal Reserve Bank of Philadelphia, 2000- 2006; Professor of Finance, The Wharton School, University of Pennsylvania, 1972-2002 | 121 | Trustee, Penn Mutual Life Insurance Company since March 2008; Director, Renaissance Reinsurance Ltd. since May 2008; former Director, Citigroup Inc. and Citibank, N.A., 2009-2019; former Trustee, BofA Funds Series Trust (11 funds), 2008-2011 |
Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1947 | Trustee since 6/11 for RiverSource Funds and since 2003 for Nations Funds | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 121 | Director, BlueCross BlueShield of South Carolina since April 2008; Trustee, Hollingsworth Funds since 2016 (previously Board Chair from 2016-2019); Advisory Board member, Duke Energy Corp. since October 2016; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018 |
82 | Portfolio Navigator Funds | Annual Report 2019 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Sandra Yeager c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 12/17 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 119 | Director, NAPE Education Foundation since October 2016 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin St. Boston, MA 02110 1960 | Trustee since 11/01 for RiverSource Funds and since 6/11 for Nations Funds; Senior Vice President since 2002 for RiverSource Funds and since 5/10 for Nations Funds | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010 - September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006 - August 2012. | 192 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, August 2006-January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Portfolio Navigator Funds | Annual Report 2019 | 83 |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously Vice President and Chief Counsel, January 2010 - December 2014); officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer, Principal Financial Officer (2009), and Senior Vice President (2019) | Vice President, Head of North American Operations, and Co-Head of Global Operations, – Accounting and Tax, Columbia Management Investment Advisers, LLC, since June 2019 (previously Vice President – Accounting and Tax, May 2010 – May 2019); senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009 – January 2019 and December 2015 – January 2019, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer, Chief Accounting Officer (Principal Accounting Officer) (2019), and Principal Financial Officer (2020) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously Vice President — Pricing and Corporate Actions, May 2010 - March 2017). |
Paul B. Goucher 485 Lexington Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since March 2015 (previously Vice President and Assistant Secretary, May 2010 – March 2015). |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 Born 1962 | Senior Vice President (2020) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); previously, Senior Vice President of Investment Product Management, Fidelity Financial Advisor Solutions, a division of Fidelity Investments (January 2012 – March 2015). |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
84 | Portfolio Navigator Funds | Annual Report 2019 |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
Portfolio Navigator Funds | Annual Report 2019 | 85 |
86 | Portfolio Navigator Funds | Annual Report 2019 |
December 31, 2019
3 | |
6 | |
8 | |
9 | |
14 | |
15 | |
16 | |
18 | |
20 | |
31 | |
32 | |
32 |
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1* | 05/03/10 | 25.47 | 5.70 | 5.69 | |
Class 2* | 05/03/10 | 25.15 | 5.42 | 5.42 | |
Class 3 | 01/13/92 | 25.32 | 5.57 | 5.57 | |
MSCI EAFE Index (Net) | 22.01 | 5.67 | 5.50 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2019 | 3 |
Equity sector breakdown (%) (at December 31, 2019) | |
Communication Services | 7.8 |
Consumer Discretionary | 8.6 |
Consumer Staples | 13.8 |
Energy | 9.7 |
Financials | 15.8 |
Health Care | 14.3 |
Industrials | 14.4 |
Information Technology | 6.1 |
Materials | 5.0 |
Real Estate | 3.6 |
Utilities | 0.9 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2019 |
Country breakdown (%) (at December 31, 2019) | |
Australia | 1.3 |
Canada | 7.3 |
China | 2.0 |
Denmark | 0.6 |
Finland | 3.5 |
France | 7.1 |
Germany | 4.1 |
Hong Kong | 1.1 |
Ireland | 0.1 |
Israel | 1.7 |
Italy | 1.1 |
Japan | 25.3 |
Netherlands | 10.6 |
Norway | 2.5 |
Country breakdown (%) (at December 31, 2019) | |
Pakistan | 0.5 |
Russian Federation | 0.9 |
Singapore | 1.0 |
South Korea | 2.7 |
Spain | 3.3 |
Sweden | 1.4 |
Switzerland | 3.9 |
Taiwan | 0.6 |
United Kingdom | 11.8 |
United States(a) | 5.6 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds. |
Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2019 | 5 |
6 | Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2019 |
Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2019 | 7 |
(Unaudited)
July 1, 2019 — December 31, 2019 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,098.00 | 1,020.94 | 4.76 | 4.58 | 0.89 |
Class 2 | 1,000.00 | 1,000.00 | 1,096.40 | 1,019.67 | 6.09 | 5.87 | 1.14 |
Class 3 | 1,000.00 | 1,000.00 | 1,097.50 | 1,020.33 | 5.40 | 5.20 | 1.01 |
8 | Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2019 |
December 31, 2019
Common Stocks 98.4% | ||
Issuer | Shares | Value ($) |
Australia 1.3% | ||
Ansell Ltd. | 802,287 | 16,336,894 |
Canada 7.3% | ||
Alimentation Couche-Tard, Inc., Class B | 712,945 | 22,625,593 |
Cameco Corp. | 1,345,522 | 11,975,146 |
Cott Corp. | 1,912,166 | 26,158,431 |
Stars Group, Inc. (The)(a) | 592,450 | 15,461,962 |
Yamana Gold, Inc. | 4,061,630 | 16,043,438 |
Total | 92,264,570 | |
China 2.0% | ||
BeiGene Ltd., ADR(a) | 9,641 | 1,598,092 |
Tencent Holdings Ltd. | 487,200 | 23,471,424 |
Total | 25,069,516 | |
Denmark 0.6% | ||
Novo Nordisk A/S, Class B | 133,422 | 7,731,649 |
Finland 3.4% | ||
Neste OYJ | 303,913 | 10,574,693 |
UPM-Kymmene OYJ | 668,020 | 23,176,618 |
Valmet OYJ | 404,954 | 9,710,760 |
Total | 43,462,071 | |
France 7.1% | ||
BNP Paribas SA | 264,319 | 15,710,617 |
Capgemini SE | 206,071 | 25,203,491 |
DBV Technologies SA, ADR(a) | 241,725 | 2,586,457 |
Eiffage SA | 165,222 | 18,955,402 |
Sanofi | 141,196 | 14,179,956 |
Total SA | 229,535 | 12,737,015 |
Total | 89,372,938 | |
Germany 4.1% | ||
Aroundtown SA | 1,790,795 | 16,084,521 |
Bayer AG, Registered Shares | 162,651 | 13,222,981 |
Covestro AG | 310,653 | 14,454,721 |
Duerr AG | 232,121 | 7,915,592 |
Total | 51,677,815 | |
Hong Kong 1.1% | ||
WH Group Ltd. | 13,075,500 | 13,519,728 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Ireland 0.1% | ||
Amarin Corp. PLC, ADR(a) | 75,700 | 1,623,008 |
Israel 1.7% | ||
Bank Hapoalim BM | 1,862,504 | 15,467,705 |
Bezeq Israeli Telecommunication Corp., Ltd.(a) | 7,981,782 | 6,428,227 |
Total | 21,895,932 | |
Italy 1.1% | ||
Recordati SpA | 335,971 | 14,162,768 |
Japan 25.2% | ||
Amano Corp. | 580,100 | 17,676,649 |
Bandai Namco Holdings, Inc. | 123,400 | 7,506,693 |
BayCurrent Consulting, Inc. | 247,400 | 12,630,777 |
CYBERDYNE, Inc.(a) | 250,300 | 1,298,826 |
Invincible Investment Corp. | 27,991 | 15,946,279 |
ITOCHU Corp. | 1,001,500 | 23,211,450 |
Kinden Corp. | 512,700 | 7,966,050 |
Koito Manufacturing Co., Ltd. | 242,900 | 11,247,714 |
Matsumotokiyoshi Holdings Co., Ltd. | 601,800 | 23,298,667 |
Meitec Corp. | 145,800 | 8,191,816 |
Mitsubishi UFJ Financial Group, Inc. | 2,680,600 | 14,492,226 |
Nihon M&A Center, Inc. | 527,900 | 18,166,491 |
Nippon Telegraph & Telephone Corp. | 911,600 | 23,039,497 |
ORIX Corp. | 1,187,500 | 19,678,499 |
Round One Corp. | 1,027,100 | 9,932,189 |
Shionogi & Co., Ltd. | 276,500 | 17,104,711 |
Ship Healthcare Holdings, Inc. | 146,100 | 6,739,783 |
Sony Corp. | 358,700 | 24,354,911 |
Subaru Corp. | 522,200 | 12,934,806 |
Takeda Pharmaceutical Co., Ltd. | 730,085 | 28,876,484 |
Takuma Co., Ltd. | 476,800 | 5,703,075 |
ValueCommerce Co., Ltd. | 339,500 | 7,270,204 |
Total | 317,267,797 |
Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2019 | 9 |
December 31, 2019
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Netherlands 10.6% | ||
ABN AMRO Bank NV | 996,662 | 18,165,499 |
ASR Nederland NV | 475,756 | 17,829,195 |
ING Groep NV | 1,215,736 | 14,616,079 |
Koninklijke Ahold Delhaize NV | 916,353 | 22,975,166 |
Royal Dutch Shell PLC, Class A | 1,350,174 | 39,809,772 |
Signify NV | 625,152 | 19,566,507 |
Total | 132,962,218 | |
Norway 2.5% | ||
BW LPG Ltd. | 1,102,672 | 9,262,303 |
SalMar ASA | 432,971 | 22,188,127 |
Total | 31,450,430 | |
Pakistan 0.5% | ||
Lucky Cement Ltd. | 1,155,550 | 3,196,125 |
Oil & Gas Development Co., Ltd. | 3,055,500 | 2,812,673 |
Total | 6,008,798 | |
Russian Federation 0.9% | ||
Sberbank of Russia PJSC, ADR | 685,078 | 11,286,292 |
Singapore 1.0% | ||
DBS Group Holdings Ltd. | 642,800 | 12,393,982 |
South Korea 2.7% | ||
Hyundai Home Shopping Network Corp. | 106,149 | 7,388,988 |
Samsung Electronics Co., Ltd. | 357,741 | 17,238,423 |
Youngone Corp. | 299,315 | 8,864,662 |
Total | 33,492,073 | |
Spain 3.3% | ||
ACS Actividades de Construccion y Servicios SA | 524,271 | 21,030,690 |
Endesa SA | 408,792 | 10,916,681 |
Tecnicas Reunidas SA(a) | 365,684 | 9,810,116 |
Total | 41,757,487 | |
Sweden 1.4% | ||
Granges AB | 436,246 | 4,606,757 |
Hemfosa Fastigheter AB | 1,014,289 | 13,135,667 |
Total | 17,742,424 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Switzerland 3.9% | ||
Nestlé SA, Registered Shares | 178,256 | 19,298,934 |
Roche Holding AG, Genusschein Shares | 92,579 | 30,088,436 |
Total | 49,387,370 | |
Taiwan 0.6% | ||
Parade Technologies Ltd. | 342,000 | 7,030,150 |
United Kingdom 11.8% | ||
BP PLC | 2,511,764 | 15,801,022 |
British American Tobacco PLC | 495,485 | 21,059,146 |
BT Group PLC | 4,687,204 | 11,943,891 |
Crest Nicholson Holdings PLC | 1,462,464 | 8,394,031 |
DCC PLC | 287,907 | 24,972,819 |
GW Pharmaceuticals PLC, ADR(a) | 21,072 | 2,203,288 |
John Wood Group PLC | 1,522,097 | 8,072,758 |
Just Group PLC(a) | 9,390,954 | 9,827,012 |
Legal & General Group PLC | 4,666,705 | 18,746,420 |
TP ICAP PLC | 3,284,237 | 17,804,754 |
WPP PLC | 668,174 | 9,402,721 |
Total | 148,227,862 | |
United States 4.2% | ||
ACADIA Pharmaceuticals, Inc.(a) | 39,100 | 1,672,698 |
Aerie Pharmaceuticals, Inc.(a) | 138,430 | 3,345,853 |
Alexion Pharmaceuticals, Inc.(a) | 40,158 | 4,343,088 |
Broadcom, Inc. | 28,574 | 9,029,955 |
Burford Capital Ltd. | 1,054,842 | 9,941,923 |
Insmed, Inc.(a) | 105,187 | 2,511,865 |
Liberty Global PLC, Class C(a) | 674,994 | 14,711,494 |
Puma Biotechnology, Inc.(a),(b) | 51,912 | 454,230 |
Quotient Ltd.(a) | 537,494 | 5,111,568 |
Sage Therapeutics, Inc.(a) | 20,582 | 1,485,815 |
Total | 52,608,489 | |
Total Common Stocks (Cost $1,240,760,932) | 1,238,732,261 | |
10 | Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2019 |
December 31, 2019
Exchange-Traded Equity Funds 1.0% | ||
Shares | Value ($) | |
United States 1.0% | ||
iShares MSCI EAFE ETF | 170,933 | 11,869,587 |
Total Exchange-Traded Equity Funds (Cost $10,966,507) | 11,869,587 | |
Money Market Funds 0.4% | ||
Columbia Short-Term Cash Fund, 1.699%(c),(d) | 5,495,452 | 5,494,903 |
Total Money Market Funds (Cost $5,494,903) | 5,494,903 | |
Total Investments in Securities (Cost $1,257,222,342) | 1,256,096,751 | |
Other Assets & Liabilities, Net | 2,505,929 | |
Net Assets | $1,258,602,680 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
55,558,000 CAD | 42,198,660 USD | State Street | 02/05/2020 | — | (593,168) |
15,438,000 GBP | 20,428,303 USD | State Street | 02/05/2020 | — | (40,663) |
49,898,000 ILS | 14,405,662 USD | State Street | 02/05/2020 | — | (68,186) |
3,506,570,000 JPY | 32,445,439 USD | State Street | 02/05/2020 | 112,630 | — |
29,301,380,000 KRW | 24,666,538 USD | State Street | 02/05/2020 | — | (704,472) |
153,654,000 NOK | 16,887,261 USD | State Street | 02/05/2020 | — | (617,198) |
48,306,417 USD | 70,047,000 AUD | State Street | 02/05/2020 | 891,021 | — |
23,490,977 USD | 22,959,000 CHF | State Street | 02/05/2020 | 288,815 | — |
7,227,357 USD | 48,272,000 DKK | State Street | 02/05/2020 | 35,416 | — |
24,091,408 USD | 21,543,000 EUR | State Street | 02/05/2020 | 124,293 | — |
7,239,548 USD | 67,731,000 SEK | State Street | 02/05/2020 | 3,643 | — |
12,012,134 USD | 16,299,000 SGD | State Street | 02/05/2020 | 109,741 | — |
Total | 1,565,559 | (2,023,687) |
(a) | Non-income producing investment. |
(b) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(c) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
(d) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | ||||||||
7,706,653 | 279,194,495 | (281,405,696) | 5,495,452 | (591) | — | 169,259 | 5,494,903 |
Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2019 | 11 |
December 31, 2019
ADR | American Depositary Receipt |
AUD | Australian Dollar |
CAD | Canada Dollar |
CHF | Swiss Franc |
DKK | Danish Krone |
EUR | Euro |
GBP | British Pound |
ILS | New Israeli Sheqel |
JPY | Japanese Yen |
KRW | South Korean Won |
NOK | Norwegian Krone |
SEK | Swedish Krona |
SGD | Singapore Dollar |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
12 | Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2019 |
December 31, 2019
The following table is a summary of the inputs used to value the Fund’s investments at December 31, 2019:
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Australia | — | 16,336,894 | — | 16,336,894 |
Canada | 92,264,570 | — | — | 92,264,570 |
China | 1,598,092 | 23,471,424 | — | 25,069,516 |
Denmark | — | 7,731,649 | — | 7,731,649 |
Finland | — | 43,462,071 | — | 43,462,071 |
France | 2,586,457 | 86,786,481 | — | 89,372,938 |
Germany | — | 51,677,815 | — | 51,677,815 |
Hong Kong | — | 13,519,728 | — | 13,519,728 |
Ireland | 1,623,008 | — | — | 1,623,008 |
Israel | — | 21,895,932 | — | 21,895,932 |
Italy | — | 14,162,768 | — | 14,162,768 |
Japan | — | 317,267,797 | — | 317,267,797 |
Netherlands | — | 132,962,218 | — | 132,962,218 |
Norway | — | 31,450,430 | — | 31,450,430 |
Pakistan | — | 6,008,798 | — | 6,008,798 |
Russian Federation | — | 11,286,292 | — | 11,286,292 |
Singapore | — | 12,393,982 | — | 12,393,982 |
South Korea | — | 33,492,073 | — | 33,492,073 |
Spain | — | 41,757,487 | — | 41,757,487 |
Sweden | — | 17,742,424 | — | 17,742,424 |
Switzerland | — | 49,387,370 | — | 49,387,370 |
Taiwan | — | 7,030,150 | — | 7,030,150 |
United Kingdom | 2,203,288 | 146,024,574 | — | 148,227,862 |
United States | 42,666,566 | 9,941,923 | — | 52,608,489 |
Total Common Stocks | 142,941,981 | 1,095,790,280 | — | 1,238,732,261 |
Exchange-Traded Equity Funds | 11,869,587 | — | — | 11,869,587 |
Money Market Funds | 5,494,903 | — | — | 5,494,903 |
Total Investments in Securities | 160,306,471 | 1,095,790,280 | — | 1,256,096,751 |
Investments in Derivatives | ||||
Asset | ||||
Forward Foreign Currency Exchange Contracts | — | 1,565,559 | — | 1,565,559 |
Liability | ||||
Forward Foreign Currency Exchange Contracts | — | (2,023,687) | — | (2,023,687) |
Total | 160,306,471 | 1,095,332,152 | — | 1,255,638,623 |
Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2019 | 13 |
December 31, 2019
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,251,727,439) | $1,250,601,848 |
Affiliated issuers (cost $5,494,903) | 5,494,903 |
Cash collateral held at broker for: | |
Forward foreign currency exchange contracts | 520,000 |
Unrealized appreciation on forward foreign currency exchange contracts | 1,565,559 |
Receivable for: | |
Dividends | 1,721,415 |
Foreign tax reclaims | 1,608,783 |
Prepaid expenses | 3,853 |
Total assets | 1,261,516,361 |
Liabilities | |
Unrealized depreciation on forward foreign currency exchange contracts | 2,023,687 |
Payable for: | |
Capital shares purchased | 540,275 |
Management services fees | 28,318 |
Distribution and/or service fees | 1,262 |
Service fees | 26,419 |
Compensation of board members | 142,635 |
Compensation of chief compliance officer | 245 |
Other expenses | 150,840 |
Total liabilities | 2,913,681 |
Net assets applicable to outstanding capital stock | $1,258,602,680 |
Represented by | |
Paid in capital | 1,233,757,615 |
Total distributable earnings (loss) | 24,845,065 |
Total - representing net assets applicable to outstanding capital stock | $1,258,602,680 |
Class 1 | |
Net assets | $948,376,909 |
Shares outstanding | 70,752,614 |
Net asset value per share | $13.40 |
Class 2 | |
Net assets | $59,746,019 |
Shares outstanding | 4,484,291 |
Net asset value per share | $13.32 |
Class 3 | |
Net assets | $250,479,752 |
Shares outstanding | 18,720,029 |
Net asset value per share | $13.38 |
14 | Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2019 |
Year Ended December 31, 2019
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $38,339,671 |
Dividends — affiliated issuers | 169,259 |
Foreign taxes withheld | (3,890,467) |
Total income | 34,618,463 |
Expenses: | |
Management services fees | 9,290,306 |
Distribution and/or service fees | |
Class 2 | 140,504 |
Class 3 | 303,677 |
Service fees | 224,146 |
Compensation of board members | 38,962 |
Custodian fees | 166,800 |
Printing and postage fees | 67,160 |
Audit fees | 61,777 |
Legal fees | 17,612 |
Compensation of chief compliance officer | 233 |
Other | 38,555 |
Total expenses | 10,349,732 |
Net investment income | 24,268,731 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 26,137,509 |
Investments — affiliated issuers | (591) |
Foreign currency translations | (54,333) |
Forward foreign currency exchange contracts | (3,255,893) |
Options purchased | (2,028,837) |
Options contracts written | 649,782 |
Net realized gain | 21,447,637 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 202,673,507 |
Foreign currency translations | 26,455 |
Forward foreign currency exchange contracts | 221,028 |
Net change in unrealized appreciation (depreciation) | 202,920,990 |
Net realized and unrealized gain | 224,368,627 |
Net increase in net assets resulting from operations | $248,637,358 |
Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2019 | 15 |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $24,268,731 | $21,952,848 |
Net realized gain | 21,447,637 | 189,926,613 |
Net change in unrealized appreciation (depreciation) | 202,920,990 | (409,332,467) |
Net increase (decrease) in net assets resulting from operations | 248,637,358 | (197,453,006) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (134,978,905) | (21,103,231) |
Class 2 | (9,057,810) | (1,584,409) |
Class 3 | (39,514,711) | (7,664,591) |
Total distributions to shareholders | (183,551,426) | (30,352,231) |
Increase in net assets from capital stock activity | 206,973,857 | 42,374,413 |
Total increase (decrease) in net assets | 272,059,789 | (185,430,824) |
Net assets at beginning of year | 986,542,891 | 1,171,973,715 |
Net assets at end of year | $1,258,602,680 | $986,542,891 |
Year Ended | Year Ended | |||
December 31, 2019 | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 7,883,344 | 107,132,438 | 5,811,452 | 86,792,495 |
Distributions reinvested | 10,966,015 | 134,978,905 | 1,404,029 | 21,103,231 |
Redemptions | (3,541,482) | (46,693,584) | (2,213,972) | (32,991,670) |
Net increase | 15,307,877 | 195,417,759 | 5,001,509 | 74,904,056 |
Class 2 | ||||
Subscriptions | 329,845 | 4,258,973 | 328,681 | 4,869,227 |
Distributions reinvested | 740,900 | 9,057,810 | 105,958 | 1,584,409 |
Redemptions | (634,490) | (8,373,152) | (682,247) | (10,189,601) |
Net increase (decrease) | 436,255 | 4,943,631 | (247,608) | (3,735,965) |
Class 3 | ||||
Subscriptions | 22,054 | 279,386 | 17,816 | 269,941 |
Distributions reinvested | 3,216,777 | 39,514,711 | 510,670 | 7,664,591 |
Redemptions | (2,507,214) | (33,181,630) | (2,476,754) | (36,728,210) |
Net increase (decrease) | 731,617 | 6,612,467 | (1,948,268) | (28,793,678) |
Total net increase | 16,475,749 | 206,973,857 | 2,805,633 | 42,374,413 |
16 | Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2019 |
Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2019 | 17 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | |||||||
Year Ended 12/31/2019 | $12.74 | 0.29 | 2.71 | 3.00 | (0.29) | (2.05) | (2.34) |
Year Ended 12/31/2018 | $15.71 | 0.29 | (2.84) | (2.55) | (0.42) | — | (0.42) |
Year Ended 12/31/2017 | $12.58 | 0.19 | 3.23 | 3.42 | (0.29) | — | (0.29) |
Year Ended 12/31/2016 | $13.60 | 0.22 | (1.04) | (0.82) | (0.20) | — | (0.20) |
Year Ended 12/31/2015 | $13.06 | 0.13 | 0.55 | 0.68 | (0.14) | — | (0.14) |
Class 2 | |||||||
Year Ended 12/31/2019 | $12.67 | 0.26 | 2.69 | 2.95 | (0.25) | (2.05) | (2.30) |
Year Ended 12/31/2018 | $15.62 | 0.26 | (2.83) | (2.57) | (0.38) | — | (0.38) |
Year Ended 12/31/2017 | $12.52 | 0.16 | 3.20 | 3.36 | (0.26) | — | (0.26) |
Year Ended 12/31/2016 | $13.55 | 0.22 | (1.07) | (0.85) | (0.18) | — | (0.18) |
Year Ended 12/31/2015 | $13.02 | 0.08 | 0.56 | 0.64 | (0.11) | — | (0.11) |
Class 3 | |||||||
Year Ended 12/31/2019 | $12.72 | 0.28 | 2.70 | 2.98 | (0.27) | (2.05) | (2.32) |
Year Ended 12/31/2018 | $15.68 | 0.28 | (2.84) | (2.56) | (0.40) | — | (0.40) |
Year Ended 12/31/2017 | $12.56 | 0.18 | 3.22 | 3.40 | (0.28) | — | (0.28) |
Year Ended 12/31/2016 | $13.58 | 0.21 | (1.04) | (0.83) | (0.19) | — | (0.19) |
Year Ended 12/31/2015 | $13.05 | 0.11 | 0.55 | 0.66 | (0.13) | — | (0.13) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interest on collateral expense which is less than 0.01%. |
(d) | Ratios include line of credit interest expense which is less than 0.01%. |
18 | Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2019 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019 | $13.40 | 25.47% | 0.89% | 0.89% | 2.21% | 39% | $948,377 |
Year Ended 12/31/2018 | $12.74 | (16.63%) | 0.89%(c) | 0.89%(c) | 1.96% | 113% | $706,469 |
Year Ended 12/31/2017 | $15.71 | 27.52% | 0.91% | 0.90% | 1.38% | 41% | $792,289 |
Year Ended 12/31/2016 | $12.58 | (6.00%) | 0.93%(d) | 0.89%(d) | 1.76% | 57% | $604,967 |
Year Ended 12/31/2015 | $13.60 | 5.20% | 1.01% | 0.93% | 0.91% | 57% | $11,981 |
Class 2 | |||||||
Year Ended 12/31/2019 | $13.32 | 25.15% | 1.14% | 1.14% | 1.95% | 39% | $59,746 |
Year Ended 12/31/2018 | $12.67 | (16.81%) | 1.14%(c) | 1.14%(c) | 1.75% | 113% | $51,287 |
Year Ended 12/31/2017 | $15.62 | 27.18% | 1.16% | 1.15% | 1.13% | 41% | $67,097 |
Year Ended 12/31/2016 | $12.52 | (6.27%) | 1.17%(d) | 1.14%(d) | 1.77% | 57% | $57,342 |
Year Ended 12/31/2015 | $13.55 | 4.94% | 1.28% | 1.18% | 0.61% | 57% | $16,240 |
Class 3 | |||||||
Year Ended 12/31/2019 | $13.38 | 25.32% | 1.01% | 1.01% | 2.09% | 39% | $250,480 |
Year Ended 12/31/2018 | $12.72 | (16.70%) | 1.02%(c) | 1.02%(c) | 1.88% | 113% | $228,786 |
Year Ended 12/31/2017 | $15.68 | 27.37% | 1.04% | 1.03% | 1.26% | 41% | $312,588 |
Year Ended 12/31/2016 | $12.56 | (6.10%) | 1.07%(d) | 1.03%(d) | 1.66% | 57% | $280,282 |
Year Ended 12/31/2015 | $13.58 | 5.03% | 1.14% | 1.05% | 0.79% | 57% | $314,648 |
Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2019 | 19 |
December 31, 2019
20 | Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2019 | 21 |
December 31, 2019
22 | Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2019 |
December 31, 2019
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 1,565,559 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 2,023,687 |
Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2019 | 23 |
December 31, 2019
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Options contracts written ($) | Options contracts purchased ($) | Total ($) | ||
Equity risk | — | 649,782 | (2,028,837) | (1,379,055) | ||
Foreign exchange risk | (3,255,893) | — | — | (3,255,893) | ||
Total | (3,255,893) | 649,782 | (2,028,837) | (4,634,948) | ||
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||||
Risk exposure category | Forward foreign currency exchange contracts ($) | |||||
Foreign exchange risk | 221,028 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 252,196 |
Options contracts — written | (17,872) |
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 1,103,425 | (1,360,720) |
* | Based on the ending quarterly outstanding amounts for the year ended December 31, 2019. |
State Street ($) | |
Assets | |
Forward foreign currency exchange contracts | 1,565,559 |
Liabilities | |
Forward foreign currency exchange contracts | 2,023,687 |
Total financial and derivative net assets | (458,128) |
Total collateral received (pledged) (a) | (458,128) |
Net amount (b) | - |
(a) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Represents the net amount due from/(to) counterparties in the event of default. |
24 | Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2019 | 25 |
December 31, 2019
26 | Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2019 |
December 31, 2019
Fee rate(s) contractual through April 30, 2019 | |
Class 1 | 0.90% |
Class 2 | 1.15 |
Class 3 | 1.025 |
Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2019 | 27 |
December 31, 2019
Undistributed net investment income ($) | Accumulated net realized gain ($) | Paid in capital ($) |
(2,738,945) | 2,738,945 | — |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
30,851,212 | 152,700,214 | 183,551,426 | 30,352,231 | — | 30,352,231 |
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized (depreciation) ($) |
22,117,345 | 9,852,314 | — | (7,008,914) |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
1,262,647,537 | 95,065,256 | (102,074,170) | (7,008,914) |
28 | Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2019 | 29 |
December 31, 2019
30 | Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2019 |
Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2019 | 31 |
Dividends received deduction | Capital gain dividend | Foreign taxes paid to foreign countries | Foreign taxes paid per share to foreign countries | Foreign source income | Foreign source income per share |
1.04% | $10,607,154 | $3,553,675 | $0.04 | $37,159,086 | $0.40 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1953 | Trustee since 1/17 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 121 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
32 | Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2019 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 1/06 for RiverSource Funds and since 6/11 for Nations Funds | Attorney; specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018 | 121 | Trustee, BlueCross BlueShield of Minnesota since 2009 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee since 2017); Chair of the Robina Foundation since August 2013; former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017 |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 7/07 for RiverSource Funds and since 6/11 for Nations Funds | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, Morgan Stanley, 1982-1991 | 121 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of Human Resources Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee) since 2019 |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1950 | Trustee since 11/04 for RiverSource Funds and since 6/11 for Nations Funds | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 121 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative since 2010; Board of Directors, The MA Business Roundtable 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 12/17 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 121 | Trustee, Catholic Schools Foundation since 2004 |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Chair of the Board since 1/20; Trustee since 11/04 for RiverSource Funds and since 6/11 for Nations Funds | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Managing Director, Morgan Stanley, 1982-1989; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 121 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2019 | 33 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Anthony M. Santomero c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1946 | Trustee since 6/11 for RiverSource Funds and since 1/08 for Nations Funds | Richard K. Mellon Professor Emeritus of Finance, The Wharton School, University of Pennsylvania, since 2002; Senior Advisor, McKinsey & Company (consulting), 2006-2008; President, Federal Reserve Bank of Philadelphia, 2000- 2006; Professor of Finance, The Wharton School, University of Pennsylvania, 1972-2002 | 121 | Trustee, Penn Mutual Life Insurance Company since March 2008; Director, Renaissance Reinsurance Ltd. since May 2008; former Director, Citigroup Inc. and Citibank, N.A., 2009-2019; former Trustee, BofA Funds Series Trust (11 funds), 2008-2011 |
Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1947 | Trustee since 6/11 for RiverSource Funds and since 2003 for Nations Funds | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 121 | Director, BlueCross BlueShield of South Carolina since April 2008; Trustee, Hollingsworth Funds since 2016 (previously Board Chair from 2016-2019); Advisory Board member, Duke Energy Corp. since October 2016; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018 |
Sandra Yeager c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 12/17 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 119 | Director, NAPE Education Foundation since October 2016 |
34 | Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2019 |
Interested trustee affiliated with Investment Manager*
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin St. Boston, MA 02110 1960 | Trustee since 11/01 for RiverSource Funds and since 6/11 for Nations Funds; Senior Vice President since 2002 for RiverSource Funds and since 5/10 for Nations Funds | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010 - September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006 - August 2012. | 192 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, August 2006-January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously Vice President and Chief Counsel, January 2010 - December 2014); officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer, Principal Financial Officer (2009), and Senior Vice President (2019) | Vice President, Head of North American Operations, and Co-Head of Global Operations, – Accounting and Tax, Columbia Management Investment Advisers, LLC, since June 2019 (previously Vice President – Accounting and Tax, May 2010 – May 2019); senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009 – January 2019 and December 2015 – January 2019, respectively). |
Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2019 | 35 |
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer, Chief Accounting Officer (Principal Accounting Officer) (2019), and Principal Financial Officer (2020) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously Vice President — Pricing and Corporate Actions, May 2010 - March 2017). |
Paul B. Goucher 485 Lexington Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since March 2015 (previously Vice President and Assistant Secretary, May 2010 – March 2015). |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 Born 1962 | Senior Vice President (2020) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); previously, Senior Vice President of Investment Product Management, Fidelity Financial Advisor Solutions, a division of Fidelity Investments (January 2012 – March 2015). |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
36 | Columbia Variable Portfolio – Overseas Core Fund | Annual Report 2019 |
December 31, 2019
3 | |
5 | |
7 | |
8 | |
19 | |
20 | |
21 | |
22 | |
24 | |
37 | |
38 | |
38 |
Average annual total returns (%) (for the period ended December 31, 2019) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class 1* | 05/03/10 | 16.47 | 5.58 | 7.09 | |
Class 2* | 05/03/10 | 16.12 | 5.34 | 6.85 | |
Class 3 | 06/01/04 | 16.23 | 5.46 | 6.97 | |
ICE BofAML BB-B US Cash Pay High Yield Constrained Index | 15.09 | 6.11 | 7.40 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2019 | 3 |
Portfolio breakdown (%) (at December 31, 2019) | |
Common Stocks | 0.0(a) |
Convertible Bonds | 0.0(a) |
Corporate Bonds & Notes | 89.8 |
Foreign Government Obligations | 0.2 |
Money Market Funds | 6.6 |
Senior Loans | 3.4 |
Total | 100.0 |
(a) | Rounds to zero. |
Quality breakdown (%) (at December 31, 2019) | |
BBB rating | 2.1 |
BB rating | 48.0 |
B rating | 47.9 |
CCC rating | 1.7 |
Not rated | 0.3 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2019 |
Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2019 | 5 |
6 | Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2019 |
(Unaudited)
July 1, 2019 — December 31, 2019 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,049.70 | 1,022.07 | 3.50 | 3.45 | 0.67 |
Class 2 | 1,000.00 | 1,000.00 | 1,048.60 | 1,020.79 | 4.80 | 4.74 | 0.92 |
Class 3 | 1,000.00 | 1,000.00 | 1,048.00 | 1,021.45 | 4.12 | 4.07 | 0.79 |
Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2019 | 7 |
December 31, 2019
Common Stocks 0.0% | ||
Issuer | Shares | Value ($) |
Communication Services 0.0% | ||
Media 0.0% | ||
Haights Cross Communications, Inc.(a),(b),(c) | 27,056 | 0 |
Loral Space & Communications, Inc.(b) | 6 | 194 |
Ziff Davis Holdings, Inc.(a),(b),(c) | 553 | 5 |
Total | 199 | |
Total Communication Services | 199 | |
Consumer Discretionary 0.0% | ||
Auto Components 0.0% | ||
Lear Corp. | 362 | 49,666 |
Total Consumer Discretionary | 49,666 | |
Industrials 0.0% | ||
Commercial Services & Supplies 0.0% | ||
Quad/Graphics, Inc. | 1,277 | 5,964 |
Total Industrials | 5,964 | |
Utilities —% | ||
Independent Power and Renewable Electricity Producers —% | ||
Calpine Corp. Escrow(a),(b),(c) | 6,049,000 | 0 |
Total Utilities | 0 | |
Total Common Stocks (Cost $331,985) | 55,829 |
Convertible Bonds —% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Wirelines —% | ||||
At Home Corp.(a),(c),(d) | ||||
Subordinated | ||||
06/12/2015 | 0.000% | 296,350 | — | |
Total Convertible Bonds (Cost $—) | — | |||
Corporate Bonds & Notes 88.5% | ||||
Aerospace & Defense 2.9% | ||||
Bombardier, Inc.(e) | ||||
10/15/2022 | 6.000% | 209,000 | 208,809 | |
03/15/2025 | 7.500% | 618,000 | 637,737 | |
04/15/2027 | 7.875% | 662,000 | 682,075 | |
Moog, Inc.(e) | ||||
12/15/2027 | 4.250% | 447,000 | 454,966 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
TransDigm, Inc.(e) | ||||
03/15/2026 | 6.250% | 3,051,000 | 3,308,139 | |
11/15/2027 | 5.500% | 1,638,000 | 1,656,997 | |
TransDigm, Inc. | ||||
06/15/2026 | 6.375% | 3,301,000 | 3,512,375 | |
Total | 10,461,098 | |||
Automotive 0.5% | ||||
IAA Spinco, Inc.(e) | ||||
06/15/2027 | 5.500% | 179,000 | 191,338 | |
KAR Auction Services, Inc.(e) | ||||
06/01/2025 | 5.125% | 666,000 | 692,771 | |
Panther BF Aggregator 2 LP/Finance Co., Inc.(e) | ||||
05/15/2026 | 6.250% | 327,000 | 353,389 | |
05/15/2027 | 8.500% | 511,000 | 542,968 | |
Total | 1,780,466 | |||
Banking 0.5% | ||||
Ally Financial, Inc. | ||||
11/01/2031 | 8.000% | 1,351,000 | 1,875,894 | |
Brokerage/Asset Managers/Exchanges 0.2% | ||||
LPL Holdings, Inc.(e) | ||||
09/15/2025 | 5.750% | 44,000 | 46,100 | |
Subordinated | ||||
11/15/2027 | 4.625% | 654,000 | 667,178 | |
Total | 713,278 | |||
Building Materials 1.3% | ||||
American Builders & Contractors Supply Co., Inc.(e) | ||||
01/15/2028 | 4.000% | 2,040,000 | 2,070,637 | |
Beacon Roofing Supply, Inc.(e) | ||||
11/01/2025 | 4.875% | 1,823,000 | 1,831,184 | |
11/15/2026 | 4.500% | 514,000 | 529,979 | |
James Hardie International Finance DAC(e) | ||||
01/15/2025 | 4.750% | 308,000 | 319,329 | |
Total | 4,751,129 | |||
Cable and Satellite 8.2% | ||||
CCO Holdings LLC/Capital Corp.(e) | ||||
05/01/2025 | 5.375% | 548,000 | 568,862 | |
05/01/2027 | 5.125% | 4,765,000 | 5,038,659 | |
06/01/2029 | 5.375% | 499,000 | 535,253 | |
03/01/2030 | 4.750% | 2,341,000 | 2,387,575 |
8 | Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2019 |
December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CSC Holdings LLC(e) | ||||
07/15/2023 | 5.375% | 1,899,000 | 1,950,313 | |
10/15/2025 | 6.625% | 426,000 | 453,871 | |
02/01/2028 | 5.375% | 1,199,000 | 1,281,318 | |
04/01/2028 | 7.500% | 237,000 | 267,404 | |
02/01/2029 | 6.500% | 3,039,000 | 3,393,588 | |
01/15/2030 | 5.750% | 1,208,000 | 1,289,118 | |
DISH DBS Corp. | ||||
11/15/2024 | 5.875% | 1,443,000 | 1,476,919 | |
07/01/2026 | 7.750% | 2,547,000 | 2,699,492 | |
Sirius XM Radio, Inc.(e) | ||||
07/15/2024 | 4.625% | 393,000 | 411,756 | |
07/15/2026 | 5.375% | 1,292,000 | 1,374,529 | |
Viasat, Inc.(e) | ||||
04/15/2027 | 5.625% | 305,000 | 326,164 | |
Virgin Media Secured Finance PLC(e) | ||||
05/15/2029 | 5.500% | 1,559,000 | 1,652,883 | |
Ziggo BV(e) | ||||
01/15/2027 | 5.500% | 4,103,000 | 4,365,290 | |
01/15/2030 | 4.875% | 340,000 | 351,114 | |
Total | 29,824,108 | |||
Chemicals 2.7% | ||||
Angus Chemical Co.(e) | ||||
02/15/2023 | 8.750% | 944,000 | 944,689 | |
Axalta Coating Systems LLC(e) | ||||
08/15/2024 | 4.875% | 653,000 | 676,810 | |
CF Industries, Inc. | ||||
03/15/2034 | 5.150% | 261,000 | 293,404 | |
03/15/2044 | 5.375% | 129,000 | 140,719 | |
Chemours Co. (The) | ||||
05/15/2023 | 6.625% | 775,000 | 780,755 | |
05/15/2027 | 5.375% | 174,000 | 155,053 | |
INEOS Group Holdings SA(e) | ||||
08/01/2024 | 5.625% | 469,000 | 481,728 | |
Platform Specialty Products Corp.(e) | ||||
12/01/2025 | 5.875% | 2,123,000 | 2,219,335 | |
PQ Corp.(e) | ||||
11/15/2022 | 6.750% | 1,505,000 | 1,558,592 | |
12/15/2025 | 5.750% | 921,000 | 968,118 | |
SPCM SA(e) | ||||
09/15/2025 | 4.875% | 669,000 | 696,960 | |
Starfruit Finco BV/US Holdco LLC(e) | ||||
10/01/2026 | 8.000% | 777,000 | 824,240 | |
Total | 9,740,403 | |||
Construction Machinery 1.4% | ||||
H&E Equipment Services, Inc. | ||||
09/01/2025 | 5.625% | 1,009,000 | 1,060,101 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Herc Holdings, Inc.(e) | ||||
07/15/2027 | 5.500% | 777,000 | 820,751 | |
Ritchie Bros. Auctioneers, Inc.(e) | ||||
01/15/2025 | 5.375% | 301,000 | 313,418 | |
United Rentals North America, Inc. | ||||
09/15/2026 | 5.875% | 1,636,000 | 1,757,239 | |
12/15/2026 | 6.500% | 934,000 | 1,027,860 | |
11/15/2027 | 3.875% | 251,000 | 256,055 | |
Total | 5,235,424 | |||
Consumer Cyclical Services 2.1% | ||||
APX Group, Inc. | ||||
12/01/2022 | 7.875% | 3,566,000 | 3,600,668 | |
APX Group, Inc.(e) | ||||
11/01/2024 | 8.500% | 791,000 | 816,219 | |
ASGN, Inc.(e) | ||||
05/15/2028 | 4.625% | 755,000 | 775,594 | |
frontdoor, Inc.(e) | ||||
08/15/2026 | 6.750% | 330,000 | 360,839 | |
Prime Security Services Borrower LLC/Finance, Inc.(e) | ||||
04/15/2026 | 5.750% | 710,000 | 772,255 | |
Staples, Inc.(e) | ||||
04/15/2026 | 7.500% | 177,000 | 184,156 | |
04/15/2027 | 10.750% | 179,000 | 182,243 | |
Uber Technologies, Inc.(e) | ||||
11/01/2023 | 7.500% | 962,000 | 1,006,841 | |
Total | 7,698,815 | |||
Consumer Products 1.8% | ||||
Energizer Holdings, Inc.(e) | ||||
07/15/2026 | 6.375% | 348,000 | 371,678 | |
01/15/2027 | 7.750% | 679,000 | 759,302 | |
Mattel, Inc. | ||||
11/01/2041 | 5.450% | 793,000 | 669,057 | |
Prestige Brands, Inc.(e) | ||||
03/01/2024 | 6.375% | 1,563,000 | 1,625,441 | |
01/15/2028 | 5.125% | 339,000 | 355,144 | |
Scotts Miracle-Gro Co. (The)(e) | ||||
10/15/2029 | 4.500% | 458,000 | 467,508 | |
Spectrum Brands, Inc. | ||||
07/15/2025 | 5.750% | 1,129,000 | 1,181,546 | |
Valvoline, Inc. | ||||
07/15/2024 | 5.500% | 407,000 | 423,281 | |
08/15/2025 | 4.375% | 795,000 | 820,191 | |
Total | 6,673,148 |
Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2019 | 9 |
December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Diversified Manufacturing 1.3% | ||||
BWX Technologies, Inc.(e) | ||||
07/15/2026 | 5.375% | 259,000 | 274,346 | |
CFX Escrow Corp.(e) | ||||
02/15/2024 | 6.000% | 282,000 | 300,439 | |
02/15/2026 | 6.375% | 247,000 | 269,675 | |
Gates Global LLC/Co.(e) | ||||
01/15/2026 | 6.250% | 1,824,000 | 1,854,435 | |
MTS Systems Corp.(e) | ||||
08/15/2027 | 5.750% | 182,000 | 190,417 | |
Resideo Funding, Inc.(e) | ||||
11/01/2026 | 6.125% | 959,000 | 958,926 | |
SPX FLOW, Inc.(e) | ||||
08/15/2024 | 5.625% | 164,000 | 171,001 | |
TriMas Corp.(e) | ||||
10/15/2025 | 4.875% | 126,000 | 129,523 | |
WESCO Distribution, Inc. | ||||
06/15/2024 | 5.375% | 501,000 | 519,194 | |
Zekelman Industries, Inc.(e) | ||||
06/15/2023 | 9.875% | 164,000 | 172,626 | |
Total | 4,840,582 | |||
Electric 4.5% | ||||
AES Corp. (The) | ||||
03/15/2023 | 4.500% | 624,000 | 639,600 | |
09/01/2027 | 5.125% | 1,218,000 | 1,299,914 | |
Calpine Corp.(e) | ||||
06/01/2026 | 5.250% | 542,000 | 564,844 | |
02/15/2028 | 4.500% | 758,000 | 766,308 | |
03/15/2028 | 5.125% | 942,000 | 960,535 | |
Clearway Energy Operating LLC | ||||
10/15/2025 | 5.750% | 331,000 | 349,335 | |
09/15/2026 | 5.000% | 519,000 | 535,763 | |
Clearway Energy Operating LLC(e) | ||||
03/15/2028 | 4.750% | 507,000 | 514,710 | |
NextEra Energy Operating Partners LP(e) | ||||
07/15/2024 | 4.250% | 492,000 | 511,869 | |
10/15/2026 | 3.875% | 678,000 | 682,616 | |
09/15/2027 | 4.500% | 2,127,000 | 2,220,249 | |
NRG Energy, Inc. | ||||
01/15/2027 | 6.625% | 1,483,000 | 1,613,032 | |
NRG Energy, Inc.(e) | ||||
06/15/2029 | 5.250% | 975,000 | 1,057,361 | |
Pattern Energy Group, Inc.(e) | ||||
02/01/2024 | 5.875% | 963,000 | 991,670 | |
TerraForm Power Operating LLC(e) | ||||
01/31/2028 | 5.000% | 689,000 | 729,334 | |
01/15/2030 | 4.750% | 660,000 | 673,726 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Vistra Operations Co. LLC(e) | ||||
09/01/2026 | 5.500% | 366,000 | 388,273 | |
02/15/2027 | 5.625% | 1,114,000 | 1,174,393 | |
07/31/2027 | 5.000% | 676,000 | 707,484 | |
Total | 16,381,016 | |||
Environmental 0.3% | ||||
Clean Harbors, Inc.(e) | ||||
07/15/2027 | 4.875% | 259,000 | 273,534 | |
07/15/2029 | 5.125% | 181,000 | 193,764 | |
GFL Environmental, Inc.(e) | ||||
12/15/2026 | 5.125% | 412,000 | 433,079 | |
Total | 900,377 | |||
Finance Companies 2.2% | ||||
Global Aircraft Leasing Co., Ltd.(e),(f) | ||||
09/15/2024 | 6.500% | 1,278,000 | 1,333,487 | |
Navient Corp. | ||||
03/25/2021 | 5.875% | 223,000 | 230,964 | |
06/15/2022 | 6.500% | 1,023,000 | 1,112,433 | |
10/25/2024 | 5.875% | 673,000 | 720,351 | |
Provident Funding Associates LP/Finance Corp.(e) | ||||
06/15/2025 | 6.375% | 1,013,000 | 995,212 | |
Quicken Loans, Inc.(e) | ||||
05/01/2025 | 5.750% | 1,818,000 | 1,883,044 | |
Springleaf Finance Corp. | ||||
03/15/2023 | 5.625% | 550,000 | 591,957 | |
03/15/2024 | 6.125% | 978,000 | 1,072,627 | |
Total | 7,940,075 | |||
Food and Beverage 2.1% | ||||
B&G Foods, Inc. | ||||
04/01/2025 | 5.250% | 931,000 | 959,563 | |
09/15/2027 | 5.250% | 286,000 | 288,276 | |
Darling Ingredients, Inc.(e) | ||||
04/15/2027 | 5.250% | 128,000 | 136,041 | |
FAGE International SA/USA Dairy Industry, Inc.(e) | ||||
08/15/2026 | 5.625% | 577,000 | 531,480 | |
Lamb Weston Holdings, Inc.(e) | ||||
11/01/2024 | 4.625% | 352,000 | 373,506 | |
11/01/2026 | 4.875% | 620,000 | 658,957 | |
Performance Food Group, Inc.(e) | ||||
10/15/2027 | 5.500% | 333,000 | 355,496 | |
Post Holdings, Inc.(e) | ||||
03/01/2025 | 5.500% | 368,000 | 385,994 | |
08/15/2026 | 5.000% | 1,366,000 | 1,447,615 | |
03/01/2027 | 5.750% | 1,807,000 | 1,944,398 | |
01/15/2028 | 5.625% | 431,000 | 465,215 | |
Total | 7,546,541 |
10 | Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2019 |
December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Gaming 3.3% | ||||
Boyd Gaming Corp. | ||||
08/15/2026 | 6.000% | 481,000 | 515,951 | |
Boyd Gaming Corp.(e) | ||||
12/01/2027 | 4.750% | 631,000 | 655,661 | |
Caesars Resort Collection LLC/CRC Finco, Inc.(e) | ||||
10/15/2025 | 5.250% | 550,000 | 569,619 | |
Eldorado Resorts, Inc. | ||||
04/01/2025 | 6.000% | 944,000 | 992,245 | |
09/15/2026 | 6.000% | 540,000 | 596,310 | |
International Game Technology PLC(e) | ||||
02/15/2025 | 6.500% | 1,074,000 | 1,208,330 | |
Jack Ohio Finance LLC/1 Corp.(e) | ||||
11/15/2021 | 6.750% | 90,000 | 91,678 | |
MGM Growth Properties Operating Partnership LP/Finance Co-Issuer, Inc. | ||||
09/01/2026 | 4.500% | 383,000 | 403,176 | |
01/15/2028 | 4.500% | 533,000 | 557,228 | |
MGM Growth Properties Operating Partnership LP/Finance Co-Issuer, Inc.(e) | ||||
02/01/2027 | 5.750% | 721,000 | 805,724 | |
Scientific Games International, Inc.(e) | ||||
10/15/2025 | 5.000% | 1,246,000 | 1,305,615 | |
03/15/2026 | 8.250% | 669,000 | 737,422 | |
05/15/2028 | 7.000% | 388,000 | 416,346 | |
11/15/2029 | 7.250% | 388,000 | 421,401 | |
Stars Group Holdings BV/Co-Borrower LLC(e) | ||||
07/15/2026 | 7.000% | 484,000 | 523,949 | |
VICI Properties LP/Note Co., Inc.(e) | ||||
12/01/2026 | 4.250% | 569,000 | 587,149 | |
12/01/2029 | 4.625% | 455,000 | 476,274 | |
Wynn Las Vegas LLC/Capital Corp.(e) | ||||
03/01/2025 | 5.500% | 867,000 | 931,697 | |
Wynn Resorts Finance LLC/Capital Corp.(e) | ||||
10/01/2029 | 5.125% | 305,000 | 327,857 | |
Total | 12,123,632 | |||
Health Care 5.1% | ||||
Acadia Healthcare Co., Inc. | ||||
07/01/2022 | 5.125% | 101,000 | 102,278 | |
03/01/2024 | 6.500% | 1,063,000 | 1,102,575 | |
Avantor, Inc.(e) | ||||
10/01/2024 | 6.000% | 335,000 | 357,452 | |
10/01/2025 | 9.000% | 299,000 | 334,626 | |
Change Healthcare Holdings LLC/Finance, Inc.(e) | ||||
03/01/2025 | 5.750% | 1,127,000 | 1,164,009 | |
Charles River Laboratories International, Inc.(e) | ||||
04/01/2026 | 5.500% | 321,000 | 345,884 | |
05/01/2028 | 4.250% | 251,000 | 255,954 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CHS/Community Health Systems, Inc. | ||||
03/31/2023 | 6.250% | 725,000 | 735,594 | |
Encompass Health Corp. | ||||
02/01/2028 | 4.500% | 306,000 | 317,267 | |
02/01/2030 | 4.750% | 306,000 | 318,095 | |
HCA, Inc. | ||||
09/01/2028 | 5.625% | 2,707,000 | 3,087,530 | |
02/01/2029 | 5.875% | 503,000 | 581,415 | |
Hill-Rom Holdings, Inc.(e) | ||||
02/15/2025 | 5.000% | 527,000 | 548,080 | |
Hologic, Inc.(e) | ||||
10/15/2025 | 4.375% | 973,000 | 1,006,140 | |
02/01/2028 | 4.625% | 290,000 | 307,400 | |
IQVIA, Inc.(e) | ||||
05/15/2027 | 5.000% | 669,000 | 708,549 | |
Select Medical Corp.(e) | ||||
08/15/2026 | 6.250% | 1,033,000 | 1,118,006 | |
Teleflex, Inc. | ||||
06/01/2026 | 4.875% | 368,000 | 385,849 | |
11/15/2027 | 4.625% | 599,000 | 634,899 | |
Tenet Healthcare Corp.(e) | ||||
01/01/2026 | 4.875% | 1,205,000 | 1,262,346 | |
11/01/2027 | 5.125% | 3,730,000 | 3,938,543 | |
Total | 18,612,491 | |||
Healthcare Insurance 2.3% | ||||
Centene Corp.(e) | ||||
01/15/2025 | 4.750% | 274,000 | 284,541 | |
06/01/2026 | 5.375% | 1,258,000 | 1,336,959 | |
12/15/2027 | 4.250% | 1,348,000 | 1,388,200 | |
12/15/2029 | 4.625% | 1,752,000 | 1,845,009 | |
Centene Corp. | ||||
01/15/2025 | 4.750% | 771,000 | 799,701 | |
WellCare Health Plans, Inc. | ||||
04/01/2025 | 5.250% | 1,752,000 | 1,827,107 | |
WellCare Health Plans, Inc.(e) | ||||
08/15/2026 | 5.375% | 854,000 | 911,286 | |
Total | 8,392,803 | |||
Home Construction 1.4% | ||||
KB Home | ||||
11/15/2029 | 4.800% | 1,105,000 | 1,130,988 | |
Lennar Corp. | ||||
06/01/2026 | 5.250% | 656,000 | 719,377 | |
06/15/2027 | 5.000% | 739,000 | 801,117 | |
Meritage Homes Corp. | ||||
04/01/2022 | 7.000% | 491,000 | 535,662 | |
Taylor Morrison Communities, Inc.(e) | ||||
01/15/2028 | 5.750% | 520,000 | 567,109 |
Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2019 | 11 |
December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Taylor Morrison Communities, Inc./Holdings II(e) | ||||
04/15/2023 | 5.875% | 824,000 | 889,701 | |
TRI Pointe Group, Inc./Homes | ||||
06/15/2024 | 5.875% | 339,000 | 369,152 | |
Total | 5,013,106 | |||
Independent Energy 6.1% | ||||
Callon Petroleum Co. | ||||
10/01/2024 | 6.125% | 296,000 | 301,818 | |
07/01/2026 | 6.375% | 1,788,000 | 1,815,821 | |
Carrizo Oil & Gas, Inc. | ||||
04/15/2023 | 6.250% | 1,258,000 | 1,277,143 | |
Centennial Resource Production LLC(e) | ||||
01/15/2026 | 5.375% | 620,000 | 610,005 | |
04/01/2027 | 6.875% | 745,000 | 774,711 | |
CrownRock LP/Finance, Inc.(e) | ||||
10/15/2025 | 5.625% | 3,057,000 | 3,116,208 | |
Endeavor Energy Resources LP/Finance, Inc.(e) | ||||
01/30/2028 | 5.750% | 611,000 | 642,697 | |
Hilcorp Energy I LP/Finance Co.(e) | ||||
10/01/2025 | 5.750% | 192,000 | 187,073 | |
11/01/2028 | 6.250% | 228,000 | 217,275 | |
Jagged Peak Energy LLC | ||||
05/01/2026 | 5.875% | 854,000 | 882,761 | |
Matador Resources Co. | ||||
09/15/2026 | 5.875% | 1,662,000 | 1,672,857 | |
Murphy Oil Corp. | ||||
12/01/2027 | 5.875% | 753,000 | 786,902 | |
Parsley Energy LLC/Finance Corp.(e) | ||||
06/01/2024 | 6.250% | 632,000 | 658,441 | |
08/15/2025 | 5.250% | 1,284,000 | 1,321,190 | |
10/15/2027 | 5.625% | 1,945,000 | 2,058,308 | |
QEP Resources, Inc. | ||||
03/01/2026 | 5.625% | 693,000 | 676,631 | |
SM Energy Co. | ||||
06/01/2025 | 5.625% | 268,000 | 254,163 | |
09/15/2026 | 6.750% | 1,032,000 | 1,014,351 | |
01/15/2027 | 6.625% | 613,000 | 602,062 | |
WPX Energy, Inc. | ||||
09/15/2024 | 5.250% | 1,117,000 | 1,187,435 | |
06/01/2026 | 5.750% | 1,340,000 | 1,432,587 | |
10/15/2027 | 5.250% | 516,000 | 543,730 | |
Total | 22,034,169 | |||
Leisure 0.5% | ||||
Live Nation Entertainment, Inc.(e) | ||||
11/01/2024 | 4.875% | 512,000 | 530,916 | |
10/15/2027 | 4.750% | 502,000 | 519,541 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Viking Cruises Ltd.(e) | ||||
09/15/2027 | 5.875% | 675,000 | 721,604 | |
Total | 1,772,061 | |||
Lodging 0.2% | ||||
Hilton Domestic Operating Co., Inc. | ||||
05/01/2026 | 5.125% | 672,000 | 708,546 | |
Media and Entertainment 3.9% | ||||
Clear Channel Worldwide Holdings, Inc.(e) | ||||
08/15/2027 | 5.125% | 1,685,000 | 1,753,896 | |
Diamond Sports Group LLC/Finance Co.(e) | ||||
08/15/2026 | 5.375% | 1,249,000 | 1,265,420 | |
iHeartCommunications, Inc. | ||||
05/01/2026 | 6.375% | 471,595 | 512,860 | |
iHeartCommunications, Inc.(e) | ||||
08/15/2027 | 5.250% | 1,011,000 | 1,059,303 | |
01/15/2028 | 4.750% | 1,072,000 | 1,097,723 | |
Match Group, Inc. | ||||
06/01/2024 | 6.375% | 787,000 | 827,000 | |
Match Group, Inc.(e) | ||||
12/15/2027 | 5.000% | 48,000 | 50,093 | |
Netflix, Inc. | ||||
04/15/2028 | 4.875% | 1,364,000 | 1,420,276 | |
11/15/2028 | 5.875% | 1,450,000 | 1,608,985 | |
05/15/2029 | 6.375% | 92,000 | 105,160 | |
Netflix, Inc.(e) | ||||
11/15/2029 | 5.375% | 533,000 | 568,030 | |
06/15/2030 | 4.875% | 761,000 | 773,807 | |
Outfront Media Capital LLC/Corp.(e) | ||||
08/15/2027 | 5.000% | 424,000 | 443,220 | |
03/15/2030 | 4.625% | 891,000 | 906,840 | |
Scripps Escrow, Inc.(e) | ||||
07/15/2027 | 5.875% | 296,000 | 309,944 | |
TEGNA, Inc.(e) | ||||
09/15/2029 | 5.000% | 764,000 | 777,011 | |
Twitter, Inc.(e) | ||||
12/15/2027 | 3.875% | 506,000 | 505,872 | |
Total | 13,985,440 | |||
Metals and Mining 3.1% | ||||
Alcoa Nederland Holding BV(e) | ||||
09/30/2024 | 6.750% | 477,000 | 501,194 | |
09/30/2026 | 7.000% | 298,000 | 325,294 | |
Big River Steel LLC/Finance Corp.(e) | ||||
09/01/2025 | 7.250% | 430,000 | 452,445 | |
Constellium NV(e) | ||||
02/15/2026 | 5.875% | 2,189,000 | 2,317,422 |
12 | Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2019 |
December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Freeport-McMoRan, Inc. | ||||
09/01/2029 | 5.250% | 867,000 | 928,798 | |
03/15/2043 | 5.450% | 2,112,000 | 2,187,529 | |
HudBay Minerals, Inc.(e) | ||||
01/15/2023 | 7.250% | 421,000 | 436,500 | |
01/15/2025 | 7.625% | 1,634,000 | 1,723,237 | |
Novelis Corp.(e) | ||||
08/15/2024 | 6.250% | 399,000 | 418,027 | |
09/30/2026 | 5.875% | 1,796,000 | 1,915,041 | |
Total | 11,205,487 | |||
Midstream 6.0% | ||||
Antero Midstream Partners LP/Finance Corp.(e) | ||||
03/01/2027 | 5.750% | 480,000 | 422,528 | |
Cheniere Energy Partners LP | ||||
10/01/2026 | 5.625% | 985,000 | 1,041,720 | |
Cheniere Energy Partners LP(e) | ||||
10/01/2029 | 4.500% | 1,274,000 | 1,308,705 | |
DCP Midstream Operating LP | ||||
05/15/2029 | 5.125% | 1,244,000 | 1,293,068 | |
04/01/2044 | 5.600% | 2,548,000 | 2,476,299 | |
Delek Logistics Partners LP/Finance Corp. | ||||
05/15/2025 | 6.750% | 746,000 | 752,075 | |
Holly Energy Partners LP/Finance Corp.(e) | ||||
08/01/2024 | 6.000% | 897,000 | 935,352 | |
Northwest Pipeline LLC | ||||
12/01/2025 | 7.125% | 150,000 | 182,518 | |
NuStar Logistics LP | ||||
06/01/2026 | 6.000% | 390,000 | 413,062 | |
04/28/2027 | 5.625% | 798,000 | 820,333 | |
Rockies Express Pipeline LLC(e) | ||||
07/15/2029 | 4.950% | 1,520,000 | 1,514,364 | |
Rockpoint Gas Storage Canada Ltd.(e) | ||||
03/31/2023 | 7.000% | 1,177,000 | 1,152,559 | |
Sunoco LP/Finance Corp. | ||||
01/15/2023 | 4.875% | 349,000 | 357,457 | |
02/15/2026 | 5.500% | 930,000 | 965,998 | |
Targa Resources Partners LP/Finance Corp. | ||||
02/01/2027 | 5.375% | 2,140,000 | 2,222,637 | |
01/15/2028 | 5.000% | 2,216,000 | 2,264,346 | |
Targa Resources Partners LP/Finance Corp.(e) | ||||
03/01/2030 | 5.500% | 1,507,000 | 1,550,563 | |
TransMontaigne Partners LP/TLP Finance Corp. | ||||
02/15/2026 | 6.125% | 979,000 | 946,038 | |
Western Gas Partners LP | ||||
08/15/2028 | 4.750% | 203,000 | 202,149 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Western Midstream Operating LP | ||||
03/01/2028 | 4.500% | 1,104,000 | 1,076,468 | |
Total | 21,898,239 | |||
Oil Field Services 1.2% | ||||
Apergy Corp. | ||||
05/01/2026 | 6.375% | 1,073,000 | 1,131,000 | |
Archrock Partners LP/Finance Corp.(e) | ||||
04/01/2028 | 6.250% | 468,000 | 481,959 | |
Nabors Industries, Inc. | ||||
02/01/2025 | 5.750% | 1,205,000 | 1,085,014 | |
Transocean Guardian Ltd.(e) | ||||
01/15/2024 | 5.875% | 448,560 | 458,257 | |
Transocean Sentry Ltd.(e) | ||||
05/15/2023 | 5.375% | 1,035,000 | 1,053,113 | |
USA Compression Partners LP/Finance Corp. | ||||
09/01/2027 | 6.875% | 276,000 | 288,413 | |
Total | 4,497,756 | |||
Packaging 2.7% | ||||
Ardagh Packaging Finance PLC/Holdings USA, Inc.(e) | ||||
09/15/2022 | 4.250% | 1,244,000 | 1,258,251 | |
02/15/2025 | 6.000% | 798,000 | 837,028 | |
08/15/2026 | 4.125% | 640,000 | 658,341 | |
08/15/2027 | 5.250% | 876,000 | 921,792 | |
Berry Global Escrow Corp.(e) | ||||
07/15/2026 | 4.875% | 614,000 | 648,069 | |
Berry Global, Inc. | ||||
07/15/2023 | 5.125% | 1,480,000 | 1,519,071 | |
BWAY Holding Co.(e) | ||||
04/15/2024 | 5.500% | 1,005,000 | 1,036,526 | |
Reynolds Group Issuer, Inc./LLC(e) | ||||
07/15/2023 | 5.125% | 1,437,000 | 1,472,427 | |
Trivium Packaging Finance BV(e) | ||||
08/15/2026 | 5.500% | 1,201,000 | 1,271,561 | |
Total | 9,623,066 | |||
Pharmaceuticals 2.9% | ||||
Bausch Health Companies, Inc.(e) | ||||
04/15/2025 | 6.125% | 656,000 | 678,821 | |
11/01/2025 | 5.500% | 673,000 | 703,374 | |
12/15/2025 | 9.000% | 803,000 | 912,923 | |
04/01/2026 | 9.250% | 1,860,000 | 2,137,526 | |
01/31/2027 | 8.500% | 951,000 | 1,084,377 | |
01/15/2028 | 7.000% | 178,000 | 196,824 | |
01/30/2028 | 5.000% | 475,000 | 487,334 | |
01/30/2030 | 5.250% | 474,000 | 490,995 |
Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2019 | 13 |
December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Catalent Pharma Solutions, Inc.(e) | ||||
01/15/2026 | 4.875% | 569,000 | 588,883 | |
07/15/2027 | 5.000% | 187,000 | 196,238 | |
Jaguar Holding Co. II/Pharmaceutical Product Development LLC(e) | ||||
08/01/2023 | 6.375% | 2,618,000 | 2,706,039 | |
Par Pharmaceutical, Inc.(e) | ||||
04/01/2027 | 7.500% | 517,000 | 516,452 | |
Total | 10,699,786 | |||
Property & Casualty 0.0% | ||||
Lumbermens Mutual Casualty Co.(d),(e) | ||||
12/01/2097 | 0.000% | 30,000 | 0 | |
Lumbermens Mutual Casualty Co.(d) | ||||
Subordinated | ||||
07/01/2026 | 0.000% | 645,000 | 7 | |
Total | 7 | |||
Restaurants 1.2% | ||||
1011778 BC ULC/New Red Finance, Inc.(e) | ||||
10/15/2025 | 5.000% | 2,125,000 | 2,204,549 | |
01/15/2028 | 3.875% | 768,000 | 773,994 | |
IRB Holding Corp.(e) | ||||
02/15/2026 | 6.750% | 826,000 | 864,784 | |
Yum! Brands, Inc.(e) | ||||
01/15/2030 | 4.750% | 393,000 | 413,129 | |
Total | 4,256,456 | |||
Retailers 0.7% | ||||
L Brands, Inc. | ||||
06/15/2029 | 7.500% | 641,000 | 663,964 | |
11/01/2035 | 6.875% | 388,000 | 348,442 | |
PetSmart, Inc.(e) | ||||
06/01/2025 | 5.875% | 1,419,000 | 1,449,089 | |
Total | 2,461,495 | |||
Supermarkets 0.6% | ||||
Albertsons Companies LLC/Safeway, Inc./New Albertsons LP | ||||
03/15/2025 | 5.750% | 331,000 | 343,390 | |
Albertsons Companies LLC/Safeway, Inc./New Albertsons LP(e) | ||||
03/15/2026 | 7.500% | 401,000 | 450,712 | |
02/15/2028 | 5.875% | 472,000 | 502,067 | |
Albertsons Companies, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(e) | ||||
01/15/2027 | 4.625% | 946,000 | 946,014 | |
Total | 2,242,183 | |||
Technology 5.2% | ||||
Alliance Data Systems Corp.(e) | ||||
12/15/2024 | 4.750% | 908,000 | 906,332 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Broadcom Corp./Cayman Finance Ltd. | ||||
01/15/2027 | 3.875% | 2,134,000 | 2,216,996 | |
Camelot Finance SA(e) | ||||
11/01/2026 | 4.500% | 505,000 | 517,990 | |
CDK Global, Inc. | ||||
06/01/2027 | 4.875% | 1,146,000 | 1,212,408 | |
CommScope Finance LLC(e) | ||||
03/01/2024 | 5.500% | 490,000 | 511,501 | |
03/01/2026 | 6.000% | 568,000 | 604,384 | |
CommScope Technologies LLC(e) | ||||
06/15/2025 | 6.000% | 841,000 | 843,565 | |
Gartner, Inc.(e) | ||||
04/01/2025 | 5.125% | 1,146,000 | 1,194,284 | |
Iron Mountain, Inc. | ||||
08/15/2024 | 5.750% | 1,023,000 | 1,034,145 | |
Iron Mountain, Inc.(e) | ||||
09/15/2029 | 4.875% | 900,000 | 915,128 | |
MSCI, Inc.(e) | ||||
08/01/2026 | 4.750% | 566,000 | 593,993 | |
NCR Corp. | ||||
07/15/2022 | 5.000% | 1,139,000 | 1,150,763 | |
12/15/2023 | 6.375% | 1,152,000 | 1,181,349 | |
NCR Corp.(e) | ||||
09/01/2027 | 5.750% | 507,000 | 540,370 | |
09/01/2029 | 6.125% | 637,000 | 691,629 | |
Plantronics, Inc.(e) | ||||
05/31/2023 | 5.500% | 412,000 | 404,650 | |
PTC, Inc. | ||||
05/15/2024 | 6.000% | 1,656,000 | 1,728,226 | |
Qualitytech LP/QTS Finance Corp.(e) | ||||
11/15/2025 | 4.750% | 1,403,000 | 1,454,085 | |
Refinitiv US Holdings, Inc.(e) | ||||
11/15/2026 | 8.250% | 321,000 | 361,665 | |
Sensata Technologies, Inc.(e) | ||||
02/15/2030 | 4.375% | 242,000 | 247,028 | |
VeriSign, Inc. | ||||
07/15/2027 | 4.750% | 617,000 | 650,640 | |
Total | 18,961,131 | |||
Transportation Services 1.4% | ||||
Avis Budget Car Rental LLC/Finance, Inc. | ||||
04/01/2023 | 5.500% | 100,000 | 101,750 | |
Avis Budget Car Rental LLC/Finance, Inc.(e) | ||||
03/15/2025 | 5.250% | 1,319,000 | 1,360,025 |
14 | Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2019 |
December 31, 2019
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Hertz Corp. (The)(e) | ||||
06/01/2022 | 7.625% | 372,000 | 386,751 | |
10/15/2024 | 5.500% | 441,000 | 453,198 | |
08/01/2026 | 7.125% | 575,000 | 622,534 | |
01/15/2028 | 6.000% | 1,794,000 | 1,798,726 | |
XPO Logistics, Inc.(e) | ||||
06/15/2022 | 6.500% | 488,000 | 497,243 | |
Total | 5,220,227 | |||
Wireless 6.3% | ||||
Altice France SA(e) | ||||
05/01/2026 | 7.375% | 2,749,000 | 2,955,322 | |
02/01/2027 | 8.125% | 817,000 | 922,036 | |
01/15/2028 | 5.500% | 977,000 | 1,007,129 | |
SBA Communications Corp. | ||||
09/01/2024 | 4.875% | 2,648,000 | 2,754,572 | |
Sprint Capital Corp. | ||||
11/15/2028 | 6.875% | 1,966,000 | 2,125,687 | |
Sprint Communications, Inc.(e) | ||||
03/01/2020 | 7.000% | 6,194,000 | 6,238,204 | |
Sprint Corp. | ||||
02/15/2025 | 7.625% | 344,000 | 378,384 | |
03/01/2026 | 7.625% | 1,214,000 | 1,340,002 | |
T-Mobile U.S.A., Inc. | ||||
01/15/2026 | 6.500% | 3,159,000 | 3,392,055 | |
02/01/2026 | 4.500% | 603,000 | 620,926 | |
02/01/2028 | 4.750% | 992,000 | 1,040,416 | |
Total | 22,774,733 | |||
Wirelines 2.4% | ||||
CenturyLink, Inc. | ||||
06/15/2021 | 6.450% | 483,000 | 506,712 | |
03/15/2022 | 5.800% | 1,511,000 | 1,591,439 | |
04/01/2024 | 7.500% | 2,196,000 | 2,483,534 | |
CenturyLink, Inc.(e) | ||||
12/15/2026 | 5.125% | 1,262,000 | 1,283,781 | |
Frontier Communications Corp.(e) | ||||
04/01/2026 | 8.500% | 359,000 | 363,720 | |
Telecom Italia Capital SA | ||||
09/30/2034 | 6.000% | 335,000 | 361,599 | |
Zayo Group LLC/Capital, Inc.(e) | ||||
01/15/2027 | 5.750% | 2,165,000 | 2,209,049 | |
Total | 8,799,834 | |||
Total Corporate Bonds & Notes (Cost $308,056,318) | 321,645,002 | |||
Foreign Government Obligations(g) 0.2% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Canada 0.2% | ||||
NOVA Chemicals Corp.(e) | ||||
06/01/2027 | 5.250% | 675,000 | 696,242 | |
Total Foreign Government Obligations (Cost $700,068) | 696,242 | |||
Senior Loans 3.4% | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Construction Machinery 0.2% | ||||
Vertiv Group Corp.(h),(i) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 4.000% Floor 1.000% 11/30/2023 | 5.927% | 753,000 | 750,447 | |
Finance Companies 0.3% | ||||
Ellie Mae, Inc.(h),(i) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 4.000% 04/17/2026 | 5.945% | 948,622 | 952,778 | |
Food and Beverage 0.4% | ||||
8th Avenue Food & Provisions, Inc.(h),(i) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 3.750% 10/01/2025 | 5.486% | 1,329,366 | 1,333,792 | |
Health Care 0.0% | ||||
Avantor Funding, Inc.(h),(i) | ||||
Tranche B2 Term Loan | ||||
3-month USD LIBOR + 3.000% Floor 1.000% 11/21/2024 | 4.799% | 131,288 | 132,381 | |
Metals and Mining 0.4% | ||||
Big River Steel LLC(h),(i) | ||||
Term Loan | ||||
3-month USD LIBOR + 5.000% Floor 1.000% 08/23/2023 | 6.945% | 1,637,352 | 1,633,259 | |
Restaurants 0.3% | ||||
IRB Holding Corp./Arby’s/Buffalo Wild Wings(h),(i) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 3.250% Floor 1.000% 02/05/2025 | 5.216% | 1,024,182 | 1,029,590 |
Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2019 | 15 |
December 31, 2019
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Retailers 0.3% | ||||
BellRing Brands LLC(h),(i),(j) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 5.000% Floor 1.000% 10/10/2024 | 6.799% | 1,071,000 | 1,081,046 | |
Technology 1.5% | ||||
Ascend Learning LLC(h),(i) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.000% Floor 1.000% 07/12/2024 | 4.799% | 1,169,829 | 1,176,416 | |
Dun & Bradstreet Corp. (The)(h),(i) | ||||
Term Loan | ||||
3-month USD LIBOR + 5.000% 02/06/2026 | 6.792% | 1,059,000 | 1,067,387 | |
Greeneden US Holdings I LLC/Genesys Telecommunications Laboratories, Inc.(h),(i) | ||||
Tranche B3 Term Loan | ||||
3-month USD LIBOR + 3.250% 12/01/2023 | 5.049% | 1,011,997 | 1,014,315 | |
Project Alpha Intermediate Holding, Inc.(h),(i) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.500% Floor 1.000% 04/26/2024 | 5.490% | 188,247 | 188,366 | |
3-month USD LIBOR + 4.250% 04/26/2024 | 6.240% | 565,864 | 569,400 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Refinitiv US Holdings, Inc.(e),(h),(i) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.250% 10/01/2025 | 5.049% | 963,116 | 971,302 | |
Ultimate Software Group, Inc. (The)(h),(i) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 3.750% 05/04/2026 | 5.549% | 420,945 | 423,378 | |
Total | 5,410,564 | |||
Total Senior Loans (Cost $12,159,093) | 12,323,857 |
Money Market Funds 6.5% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 1.699%(k),(l) | 23,525,886 | 23,523,533 |
Total Money Market Funds (Cost $23,524,031) | 23,523,533 | |
Total Investments in Securities (Cost: $344,771,495) | 358,244,463 | |
Other Assets & Liabilities, Net | 5,215,651 | |
Net Assets | 363,460,114 |
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America High Yield Index, Series 33 | Morgan Stanley | 12/20/2024 | 5.000 | Quarterly | 2.798 | USD | 11,701,800 | 402,166 | — | — | 402,166 | — |
* | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(a) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At December 31, 2019, the total value of these securities amounted to $5, which represents less than 0.01% of total net assets. |
(b) | Non-income producing investment. |
(c) | Valuation based on significant unobservable inputs. |
16 | Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2019 |
December 31, 2019
(d) | Represents securities that have defaulted on payment of interest. The Fund has stopped accruing interest on these securities. At December 31, 2019, the total value of these securities amounted to $7, which represents less than 0.01% of total net assets. |
(e) | 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. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At December 31, 2019, the total value of these securities amounted to $208,122,925, which represents 57.26% of total net assets. |
(f) | Payment-in-kind security. Interest can be paid by issuing additional par of the security or in cash. |
(g) | Principal and interest may not be guaranteed by a governmental entity. |
(h) | The stated interest rate represents the weighted average interest rate at December 31, 2019 of contracts within the senior loan facility. Interest rates on contracts are primarily determined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. These base lending rates are primarily the London Interbank Offered Rate (“LIBOR”) and other short-term rates. Base lending rates may be subject to a floor or minimum rate. The interest rate for senior loans purchased on a when-issued or delayed delivery basis will be determined upon settlement, therefore no interest rate is disclosed. Senior loans often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, cannot be predicted with accuracy. As a result, remaining maturities of senior loans may be less than the stated maturities. |
(i) | Variable rate security. The interest rate shown was the current rate as of December 31, 2019. |
(j) | Represents a security purchased on a forward commitment basis. |
(k) | The rate shown is the seven-day current annualized yield at December 31, 2019. |
(l) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the year ended December 31, 2019 are as follows: |
Issuer | Beginning shares | Shares purchased | Shares sold | Ending shares | Realized gain (loss) — affiliated issuers ($) | Net change in unrealized appreciation (depreciation) — affiliated issuers ($) | Dividends — affiliated issuers ($) | Value — affiliated issuers at end of period ($) |
Columbia Short-Term Cash Fund, 1.699% | ||||||||
10,785,044 | 124,580,678 | (111,839,836) | 23,525,886 | 1,552 | (498) | 656,518 | 23,523,533 |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2019 | 17 |
December 31, 2019
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 194 | — | 5 | 199 |
Consumer Discretionary | 49,666 | — | — | 49,666 |
Industrials | 5,964 | — | — | 5,964 |
Utilities | — | — | 0* | 0* |
Total Common Stocks | 55,824 | — | 5 | 55,829 |
Convertible Bonds | — | — | 0* | 0* |
Corporate Bonds & Notes | — | 321,645,002 | — | 321,645,002 |
Foreign Government Obligations | — | 696,242 | — | 696,242 |
Senior Loans | — | 12,323,857 | — | 12,323,857 |
Money Market Funds | 23,523,533 | — | — | 23,523,533 |
Total Investments in Securities | 23,579,357 | 334,665,101 | 5 | 358,244,463 |
Investments in Derivatives | ||||
Asset | ||||
Swap Contracts | — | 402,166 | — | 402,166 |
Total | 23,579,357 | 335,067,267 | 5 | 358,646,629 |
* | Rounds to zero. |
18 | Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2019 |
December 31, 2019
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $321,247,464) | $334,720,930 |
Affiliated issuers (cost $23,524,031) | 23,523,533 |
Cash | 86,864 |
Margin deposits on: | |
Swap contracts | 635,197 |
Receivable for: | |
Investments sold | 272,256 |
Capital shares sold | 112,537 |
Dividends | 36,589 |
Interest | 4,900,771 |
Foreign tax reclaims | 9,976 |
Expense reimbursement due from Investment Manager | 57 |
Prepaid expenses | 2,303 |
Total assets | 364,301,013 |
Liabilities | |
Payable for: | |
Investments purchased on a delayed delivery basis | 460,000 |
Capital shares purchased | 144,458 |
Variation margin for swap contracts | 4,931 |
Management services fees | 6,526 |
Distribution and/or service fees | 765 |
Service fees | 16,178 |
Compensation of board members | 164,075 |
Compensation of chief compliance officer | 76 |
Other expenses | 43,890 |
Total liabilities | 840,899 |
Net assets applicable to outstanding capital stock | $363,460,114 |
Represented by | |
Paid in capital | 338,908,419 |
Total distributable earnings (loss) | 24,551,695 |
Total - representing net assets applicable to outstanding capital stock | $363,460,114 |
Class 1 | |
Net assets | $178,149,349 |
Shares outstanding | 23,320,781 |
Net asset value per share | $7.64 |
Class 2 | |
Net assets | $37,916,116 |
Shares outstanding | 4,995,256 |
Net asset value per share | $7.59 |
Class 3 | |
Net assets | $147,394,649 |
Shares outstanding | 19,184,543 |
Net asset value per share | $7.68 |
Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2019 | 19 |
Year Ended December 31, 2019
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $2,427 |
Dividends — affiliated issuers | 656,518 |
Interest | 18,392,485 |
Interfund lending | 1,706 |
Total income | 19,053,136 |
Expenses: | |
Management services fees | 2,261,803 |
Distribution and/or service fees | |
Class 2 | 87,642 |
Class 3 | 186,543 |
Service fees | 140,762 |
Compensation of board members | 31,321 |
Custodian fees | 17,447 |
Printing and postage fees | 63,128 |
Audit fees | 29,000 |
Legal fees | 10,549 |
Compensation of chief compliance officer | 73 |
Other | 20,036 |
Total expenses | 2,848,304 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (208,907) |
Total net expenses | 2,639,397 |
Net investment income | 16,413,739 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (656,226) |
Investments — affiliated issuers | 1,552 |
Futures contracts | (469,421) |
Swap contracts | 472,067 |
Net realized loss | (652,028) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 34,581,385 |
Investments — affiliated issuers | (498) |
Futures contracts | 519,334 |
Swap contracts | 402,166 |
Net change in unrealized appreciation (depreciation) | 35,502,387 |
Net realized and unrealized gain | 34,850,359 |
Net increase in net assets resulting from operations | $51,264,098 |
20 | Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2019 |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |
Operations | ||
Net investment income | $16,413,739 | $17,247,730 |
Net realized gain (loss) | (652,028) | 1,597,925 |
Net change in unrealized appreciation (depreciation) | 35,502,387 | (31,618,848) |
Net increase (decrease) in net assets resulting from operations | 51,264,098 | (12,773,193) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (8,172,392) | (6,716,400) |
Class 2 | (1,681,997) | (1,694,254) |
Class 3 | (7,422,277) | (8,449,722) |
Total distributions to shareholders | (17,276,666) | (16,860,376) |
Increase (decrease) in net assets from capital stock activity | 12,145,581 | (21,733,292) |
Total increase (decrease) in net assets | 46,133,013 | (51,366,861) |
Net assets at beginning of year | 317,327,101 | 368,693,962 |
Net assets at end of year | $363,460,114 | $317,327,101 |
Year Ended | Year Ended | |||
December 31, 2019 | December 31, 2018 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 2,701,096 | 20,026,398 | 2,240,793 | 16,289,313 |
Distributions reinvested | 1,124,025 | 8,172,392 | 954,034 | 6,716,400 |
Redemptions | (520,315) | (3,850,430) | (683,260) | (4,965,238) |
Net increase | 3,304,806 | 24,348,360 | 2,511,567 | 18,040,475 |
Class 2 | ||||
Subscriptions | 566,234 | 4,172,131 | 425,706 | 3,110,248 |
Distributions reinvested | 232,299 | 1,681,997 | 241,691 | 1,694,254 |
Redemptions | (590,817) | (4,328,736) | (749,784) | (5,431,221) |
Net increase (decrease) | 207,716 | 1,525,392 | (82,387) | (626,719) |
Class 3 | ||||
Subscriptions | 259,463 | 1,944,534 | 173,853 | 1,314,895 |
Distributions reinvested | 1,013,885 | 7,422,277 | 1,191,780 | 8,449,722 |
Redemptions | (3,105,884) | (23,094,982) | (6,661,409) | (48,911,665) |
Net decrease | (1,832,536) | (13,728,171) | (5,295,776) | (39,147,048) |
Total net increase (decrease) | 1,679,986 | 12,145,581 | (2,866,596) | (21,733,292) |
Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2019 | 21 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | |||||||
Year Ended 12/31/2019 | $6.91 | 0.36 | 0.76 | 1.12 | (0.39) | — | (0.39) |
Year Ended 12/31/2018 | $7.56 | 0.37 | (0.65) | (0.28) | (0.37) | — | (0.37) |
Year Ended 12/31/2017 | $7.56 | 0.35 | 0.14 | 0.49 | (0.49) | — | (0.49) |
Year Ended 12/31/2016 | $8.07 | 0.40 | 0.41 | 0.81 | (0.93) | (0.39) | (1.32) |
Year Ended 12/31/2015 | $9.06 | 0.43 | (0.49) | (0.06) | (0.85) | (0.08) | (0.93) |
Class 2 | |||||||
Year Ended 12/31/2019 | $6.87 | 0.34 | 0.75 | 1.09 | (0.37) | — | (0.37) |
Year Ended 12/31/2018 | $7.51 | 0.35 | (0.64) | (0.29) | (0.35) | — | (0.35) |
Year Ended 12/31/2017 | $7.52 | 0.33 | 0.13 | 0.46 | (0.47) | — | (0.47) |
Year Ended 12/31/2016 | $8.02 | 0.38 | 0.42 | 0.80 | (0.91) | (0.39) | (1.30) |
Year Ended 12/31/2015 | $9.01 | 0.40 | (0.47) | (0.07) | (0.84) | (0.08) | (0.92) |
Class 3 | |||||||
Year Ended 12/31/2019 | $6.95 | 0.35 | 0.76 | 1.11 | (0.38) | — | (0.38) |
Year Ended 12/31/2018 | $7.60 | 0.36 | (0.65) | (0.29) | (0.36) | — | (0.36) |
Year Ended 12/31/2017 | $7.60 | 0.35 | 0.13 | 0.48 | (0.48) | — | (0.48) |
Year Ended 12/31/2016 | $8.10 | 0.38 | 0.43 | 0.81 | (0.92) | (0.39) | (1.31) |
Year Ended 12/31/2015 | $9.08 | 0.42 | (0.48) | (0.06) | (0.84) | (0.08) | (0.92) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
22 | Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2019 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Year Ended 12/31/2019 | $7.64 | 16.47% | 0.75% | 0.69% | 4.83% | 58% | $178,149 |
Year Ended 12/31/2018 | $6.91 | (3.75%) | 0.74% | 0.73% | 5.05% | 42% | $138,357 |
Year Ended 12/31/2017 | $7.56 | 6.56% | 0.76% | 0.76% | 4.66% | 50% | $132,262 |
Year Ended 12/31/2016 | $7.56 | 10.93% | 0.74% | 0.74% | 4.99% | 48% | $112,544 |
Year Ended 12/31/2015 | $8.07 | (1.00%) | 0.73% | 0.72% | 4.85% | 52% | $328,741 |
Class 2 | |||||||
Year Ended 12/31/2019 | $7.59 | 16.12% | 1.00% | 0.94% | 4.59% | 58% | $37,916 |
Year Ended 12/31/2018 | $6.87 | (3.90%) | 0.99% | 0.98% | 4.79% | 42% | $32,893 |
Year Ended 12/31/2017 | $7.51 | 6.20% | 1.01% | 1.01% | 4.41% | 50% | $36,579 |
Year Ended 12/31/2016 | $7.52 | 10.80% | 0.98% | 0.98% | 4.72% | 48% | $33,095 |
Year Ended 12/31/2015 | $8.02 | (1.21%) | 0.99% | 0.98% | 4.62% | 52% | $111,563 |
Class 3 | |||||||
Year Ended 12/31/2019 | $7.68 | 16.23% | 0.87% | 0.81% | 4.72% | 58% | $147,395 |
Year Ended 12/31/2018 | $6.95 | (3.86%) | 0.87% | 0.85% | 4.90% | 42% | $146,078 |
Year Ended 12/31/2017 | $7.60 | 6.39% | 0.88% | 0.88% | 4.55% | 50% | $199,852 |
Year Ended 12/31/2016 | $7.60 | 10.86% | 0.87% | 0.87% | 4.86% | 48% | $224,303 |
Year Ended 12/31/2015 | $8.10 | (1.02%) | 0.86% | 0.85% | 4.74% | 52% | $154,637 |
Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2019 | 23 |
December 31, 2019
24 | Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2019 | 25 |
December 31, 2019
26 | Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2019 | 27 |
December 31, 2019
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 402,166* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Swap contracts ($) | Total ($) |
Credit risk | — | 472,067 | 472,067 |
Interest rate risk | (469,421) | — | (469,421) |
Total | (469,421) | 472,067 | 2,646 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Swap contracts ($) | Total ($) |
Credit risk | — | 402,166 | 402,166 |
Interest rate risk | 519,334 | — | 519,334 |
Total | 519,334 | 402,166 | 921,500 |
Derivative instrument | Average notional amounts ($) |
Futures contracts — short | 2,112,756* |
Credit default swap contracts — sell protection | 12,067,950** |
* | Based on the ending daily outstanding amounts for the year ended December 31, 2019. |
** | Based on the ending quarterly outstanding amounts for the year ended December 31, 2019. |
28 | Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2019 |
December 31, 2019
Morgan Stanley ($) | |
Liabilities | |
Centrally cleared credit default swap contracts (a) | 4,931 |
Total financial and derivative net assets | (4,931) |
Total collateral received (pledged) (b) | (4,931) |
Net amount (c) | - |
(a) | Centrally cleared swaps are included within payable/receivable for variation margin on the Statement of Assets and Liabilities. |
(b) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(c) | Represents the net amount due from/(to) counterparties in the event of default. |
Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2019 | 29 |
December 31, 2019
30 | Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2019 | 31 |
December 31, 2019
May 1, 2019 through April 30, 2020 | Prior to May 1, 2019 | |
Class 1 | 0.67% | 0.72% |
Class 2 | 0.92 | 0.97 |
Class 3 | 0.795 | 0.845 |
32 | Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2019 |
December 31, 2019
Undistributed net investment income ($) | Accumulated net realized (loss) ($) | Paid in capital ($) |
179,810 | (179,810) | — |
Year Ended December 31, 2019 | Year Ended December 31, 2018 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
17,276,666 | — | 17,276,666 | 16,860,376 | — | 16,860,376 |
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized appreciation ($) |
16,163,401 | — | (5,332,722) | 13,884,594 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
344,762,035 | 15,323,627 | (1,439,033) | 13,884,594 |
No expiration short-term ($) | No expiration long-term ($) | Total ($) | Utilized ($) | Expired ($) |
(1,973,820) | (3,358,902) | (5,332,722) | — | — |
Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2019 | 33 |
December 31, 2019
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 3,516,667 | 2.79 | 6 |
34 | Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2019 |
December 31, 2019
Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2019 | 35 |
December 31, 2019
36 | Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2019 |
Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2019 | 37 |
Dividends received deduction | |
0.02% |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1953 | Trustee since 1/17 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 121 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 1/06 for RiverSource Funds and since 6/11 for Nations Funds | Attorney; specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018 | 121 | Trustee, BlueCross BlueShield of Minnesota since 2009 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee since 2017); Chair of the Robina Foundation since August 2013; former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017 |
38 | Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2019 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 7/07 for RiverSource Funds and since 6/11 for Nations Funds | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, Morgan Stanley, 1982-1991 | 121 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of Human Resources Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee) since 2019 |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1950 | Trustee since 11/04 for RiverSource Funds and since 6/11 for Nations Funds | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 121 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative since 2010; Board of Directors, The MA Business Roundtable 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1954 | Trustee since 12/17 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 121 | Trustee, Catholic Schools Foundation since 2004 |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 | Chair of the Board since 1/20; Trustee since 11/04 for RiverSource Funds and since 6/11 for Nations Funds | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Managing Director, Morgan Stanley, 1982-1989; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 121 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Anthony M. Santomero c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1946 | Trustee since 6/11 for RiverSource Funds and since 1/08 for Nations Funds | Richard K. Mellon Professor Emeritus of Finance, The Wharton School, University of Pennsylvania, since 2002; Senior Advisor, McKinsey & Company (consulting), 2006-2008; President, Federal Reserve Bank of Philadelphia, 2000- 2006; Professor of Finance, The Wharton School, University of Pennsylvania, 1972-2002 | 121 | Trustee, Penn Mutual Life Insurance Company since March 2008; Director, Renaissance Reinsurance Ltd. since May 2008; former Director, Citigroup Inc. and Citibank, N.A., 2009-2019; former Trustee, BofA Funds Series Trust (11 funds), 2008-2011 |
Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2019 | 39 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1947 | Trustee since 6/11 for RiverSource Funds and since 2003 for Nations Funds | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 121 | Director, BlueCross BlueShield of South Carolina since April 2008; Trustee, Hollingsworth Funds since 2016 (previously Board Chair from 2016-2019); Advisory Board member, Duke Energy Corp. since October 2016; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018 |
Sandra Yeager c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1964 | Trustee since 12/17 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 119 | Director, NAPE Education Foundation since October 2016 |
Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
William F. Truscott c/o Columbia Management Investment Advisers, LLC 225 Franklin St. Boston, MA 02110 1960 | Trustee since 11/01 for RiverSource Funds and since 6/11 for Nations Funds; Senior Vice President since 2002 for RiverSource Funds and since 5/10 for Nations Funds | Chairman of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive Officer, U.S. Asset Management & President, Annuities, May 2010 - September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006 - August 2012. | 192 | Chairman of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, August 2006-January 2013 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
40 | Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2019 |
Nations Funds refer to the Funds within the Columbia Funds Complex that historically bore the Nations brand and includes series of Columbia Funds Series Trust. RiverSource Funds refer to the Funds within the Columbia Funds Complex that historically bore the RiverSource brand and includes series of Columbia Funds Series Trust II.
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 | President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously Vice President and Chief Counsel, January 2010 - December 2014); officer of Columbia Funds and affiliated funds since 2007. |
Michael G. Clarke 225 Franklin Street Boston, MA 02110 Born 1969 | Chief Financial Officer, Principal Financial Officer (2009), and Senior Vice President (2019) | Vice President, Head of North American Operations, and Co-Head of Global Operations, – Accounting and Tax, Columbia Management Investment Advisers, LLC, since June 2019 (previously Vice President – Accounting and Tax, May 2010 – May 2019); senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009 – January 2019 and December 2015 – January 2019, respectively). |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 | Treasurer, Chief Accounting Officer (Principal Accounting Officer) (2019), and Principal Financial Officer (2020) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously Vice President — Pricing and Corporate Actions, May 2010 - March 2017). |
Paul B. Goucher 485 Lexington Avenue New York, NY 10017 Born 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since March 2015 (previously Vice President and Assistant Secretary, May 2010 – March 2015). |
Thomas P. McGuire 225 Franklin Street Boston, MA 02110 Born 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015. |
Colin Moore 225 Franklin Street Boston, MA 02110 Born 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 225 Franklin Street Boston, MA 02110 Born 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
Daniel J. Beckman 225 Franklin Street Boston, MA 02110 Born 1962 | Senior Vice President (2020) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); previously, Senior Vice President of Investment Product Management, Fidelity Financial Advisor Solutions, a division of Fidelity Investments (January 2012 – March 2015). |
Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2019 | 41 |
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael E. DeFao 225 Franklin Street Boston, MA 02110 Born 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
42 | Columbia Variable Portfolio – Income Opportunities Fund | Annual Report 2019 |
Item 2. Code of Ethics.
(a)The registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party.
(b)During the period covered by this report, there were not any amendments to a provision of the code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item.
(c)During the period covered by this report, there were no waivers, including any implicit waivers, from a provision of the code of ethics to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party that relates to one or more of the items set forth in paragraph (b) of this Item.
Item 3. Audit Committee Financial Expert.
The registrant's Board of Trustees has determined that Brian J. Gallagher, Pamela G. Carlton, Anthony M. Santomero, and Sandra L. Yeager, each of whom are members of the registrant's Board of Trustees and Audit Committee, each qualify as an audit committee financial expert. Mr. Gallagher, Ms. Carlton, Mr. Santomero, and Ms. Yeager are each independent trustees, as defined in paragraph (a)(2) of this item's instructions.
Item 4. Principal Accountant Fees and Services.
Fee information below is disclosed for the fifty series of the registrant whose reports to stockholders are included in this annual filing. One series liquidated and one series commenced operations during 2018. The fees incurred by this series through its liquidation date are included in the response to this Item.
(a)Audit Fees. Aggregate Audit Fees billed by the principal accountant for professional services rendered during the fiscal years ended December 31, 2019 and December 31, 2018 are approximately as follows:
20192018
$1,487,000 $1,393,300
Audit Fees include amounts related to the audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.
(b)Audit-Related Fees. Aggregate Audit-Related Fees billed to the registrant by the principal accountant for professional services rendered during the fiscal years ended December 31, 2019 and December 31, 2018 are approximately as follows:
20192018
$8,600 $20,100
Audit-Related Fees include amounts for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported in Audit Fees above.
During the fiscal years ended December 31, 2019 and December 31, 2018, there were no Audit-Related Fees billed by the registrant's principal accountant to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for an engagement that related directly to the operations and financial reporting of the registrant.
(c)Tax Fees. Aggregate Tax Fees billed by the principal accountant to the registrant for professional services rendered during the fiscal years ended December 31, 2019 and December 31, 2018 are approximately as follows:
20192018
$352,600 $327,900
Tax Fees include amounts for the review of annual tax returns, the review of required shareholder distribution calculations and typically include amounts for professional services by the principal accountant for tax compliance, tax advice and tax planning.
During the fiscal years ended December 31, 2019 and December 31, 2018, there were no Tax Fees billed by the registrant's principal accountant to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for an engagement that related directly to the operations and financial reporting of the registrant.
(d)All Other Fees. Aggregate All Other Fees billed by the principal accountant to the registrant for professional services rendered during the fiscal years ended December 31, 2019 and December 31, 2018 are approximately as follows:
2019 | 2018 |
$0 | $0 |
All Other Fees include amounts for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) above.
Aggregate All Other Fees billed by the registrant's principal accountant to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for an engagement that related directly to the operations and financial reporting of the registrant during the fiscal years ended December 31, 2019 and December 31, 2018 are approximately as follows:
20192018
$225,000 $225,000
In fiscal years 2019 and 2018, All Other Fees primarily consists of fees billed for internal control examinations of the registrant's transfer agent and investment adviser.
(e)(1) Audit Committee Pre-Approval Policies and Procedures
The registrant's Audit Committee is required to pre-approve the engagement of the registrant's independent auditors to provide audit and non-audit services to the registrant and non-audit services to its investment adviser (excluding any sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment adviser (the "Adviser") or any entity controlling, controlled by or under common control with the Adviser that provides ongoing services to the Fund (a "Control Affiliate") if the engagement relates directly to the operations and financial reporting of the registrant.
The Audit Committee has adopted a Policy for Engagement of Independent Auditors for Audit and Non-Audit Services (the "Policy"). The Policy sets forth the understanding of the Audit Committee regarding the engagement of the registrant's independent accountants to provide (i) audit and permissible audit-related, tax and other services to the registrant ("Fund Services"); (ii) non-audit services to the registrant's Adviser and any Control Affiliates, that relates directly to the operations and financial reporting of a Fund ("Fund-related Adviser Services"); and (iii) certain other audit and non-audit services to the registrant's Adviser and its Control Affiliates. A service will require specific pre-approval by the Audit Committee if it is to be provided by the Fund's independent auditor; provided, however, that pre-approval of non-audit services to the Fund, the Adviser or Control Affiliates may be waived if certain de minimis requirements set forth in the SEC's rules are met.
Under the Policy, the Audit Committee may delegate pre-approval authority to any pre- designated member or members who are independent board members. The member(s) to whom such authority is delegated must report, for informational purposes only, any pre- approval decisions to the Audit Committee at its next regular meeting. The Audit
Committee's responsibilities with respect to the pre-approval of services performed by the independent auditor may not be delegated to management.
On an annual basis, at a regularly scheduled Audit Committee meeting, the Fund's Treasurer or other Fund officer shall submit to the Audit Committee a schedule of the types of Fund Services and Fund-related Adviser Services that are subject to specific pre- approval. This schedule will provide a description of each type of service that is subject to specific pre-approval, along with total projected fees for each service. The pre- approval will generally cover a one-year period. The Audit Committee will review and approve the types of services and the projected fees for the next one-year period and may add to, or subtract from, the list of pre-approved services from time to time, based on subsequent determinations. This specific approval acknowledges that the Audit Committee is in agreement with the specific types of services that the independent auditor will be permitted to perform and the projected fees for each service.
The Fund's Treasurer or other Fund officer shall report to the Audit Committee at each of its regular meetings regarding all Fund Services or Fund-related Adviser Services provided since the last such report was rendered, including a description of the services, by category, with forecasted fees for the annual reporting period, proposed changes requiring specific pre-approval and a description of services provided by the independent auditor, by category, with actual fees during the current reporting period.
*****
(e)(2) 100% of the services performed for items (b) through (d) above during 2019 and 2018 were pre-approved by the registrant's Audit Committee.
(f)Not applicable.
(g)The aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for the fiscal years ended December 31, 2019 and December 31, 2018 are approximately as follows:
20192018
$586,200 $573,000
(h)The registrant's Audit Committee of the Board of Directors has considered whether the provision of non-audit services that were rendered to the registrant's adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, is compatible with maintaining the principal accountant's independence.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments
(a)The registrant's "Schedule I – Investments in securities of unaffiliated issuers" (as set forth in 17 CFR 210.12-12) is included in Item 1 of this Form N-CSR.
(b)Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the registrant's board of directors.
Item 11. Controls and Procedures.
(a)The registrant's principal executive officer and principal financial officer, based on their evaluation of the registrant's disclosure controls and procedures as of a date within 90 days of the filing of this report, have concluded that such controls and procedures are adequately designed to ensure that information required to be disclosed by the registrant in Form N-CSR is accumulated and communicated to the registrant's management, including the principal executive officer and principal financial officer, or persons performing similar functions, as appropriate to allow timely decisions regarding required disclosure.
(b)There was no change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable.
Item 13. Exhibits.
(a)(1) Code of ethics required to be disclosed under Item 2 of Form N-CSR attached hereto as Exhibit 99.CODE ETH.
(a)(2) Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) attached hereto as Exhibit 99.CERT.
(a)(3) Not applicable.
(b)Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940
(17 CFR 270.30a-2(b)) attached hereto as Exhibit 99.906CERT.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly
authorized. |
| ||
(registrant) |
| Columbia Funds Variable Series Trust II | |
By (Signature and Title) | /s/ Christopher O. Petersen | ||
|
|
| Christopher O. Petersen, President and Principal Executive Officer |
Date |
| February 21, 2020 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title) | /s/ Christopher O. Petersen | ||
|
| Christopher O. Petersen, President and Principal Executive Officer | |
Date |
| February 21, 2020 |
|
By (Signature and Title) | /s/ Michael G. Clarke | ||
|
| Michael G. Clarke, Chief Financial Officer, Principal Financial Officer | |
|
| and Senior Vice President | |
Date |
| February 21, 2020 |
|
By (Signature and Title) | /s/ Joseph Beranek | ||
|
| Joseph Beranek, Treasurer, Chief Accounting Officer and Principal | |
|
| Financial Officer | |
Date |
| February 21, 2020 |
|