UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22127
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: June 30, 2020
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
June 30, 2020
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21 | |
21 |
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/07/10 | 9.85 | 18.71 | 16.39 | 16.50 | |
Class 2 | 05/07/10 | 9.71 | 18.39 | 16.11 | 16.22 | |
Russell 1000 Growth Index | 9.81 | 23.28 | 15.89 | 17.23 |
CTIVP® – Loomis Sayles Growth Fund | Semiannual Report 2020 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2020) | |
Common Stocks | 99.1 |
Money Market Funds | 0.9 |
Total | 100.0 |
Equity sector breakdown (%) (at June 30, 2020) | |
Communication Services | 13.7 |
Consumer Discretionary | 17.4 |
Consumer Staples | 4.9 |
Energy | 0.7 |
Financials | 3.5 |
Health Care | 15.7 |
Industrials | 8.8 |
Information Technology | 35.3 |
Total | 100.0 |
4 | CTIVP® – Loomis Sayles Growth Fund | Semiannual Report 2020 |
(Unaudited)
January 1, 2020 — June 30, 2020 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,098.50 | 1,021.43 | 3.60 | 3.47 | 0.69 |
Class 2 | 1,000.00 | 1,000.00 | 1,097.10 | 1,020.14 | 4.95 | 4.77 | 0.95 |
CTIVP® – Loomis Sayles Growth Fund | Semiannual Report 2020 | 5 |
June 30, 2020 (Unaudited)
Common Stocks 99.2% | ||
Issuer | Shares | Value ($) |
Communication Services 13.5% | ||
Entertainment 1.9% | ||
Walt Disney Co. (The) | 375,947 | 41,921,850 |
Interactive Media & Services 11.6% | ||
Alphabet, Inc., Class A(a) | 42,988 | 60,959,133 |
Alphabet, Inc., Class C(a) | 43,101 | 60,928,005 |
Facebook, Inc., Class A(a) | 568,297 | 129,043,200 |
Total | 250,930,338 | |
Total Communication Services | 292,852,188 | |
Consumer Discretionary 17.3% | ||
Hotels, Restaurants & Leisure 3.9% | ||
Starbucks Corp. | 484,677 | 35,667,380 |
Yum China Holdings, Inc. | 423,909 | 20,377,306 |
Yum! Brands, Inc. | 313,450 | 27,241,940 |
Total | 83,286,626 | |
Internet & Direct Marketing Retail 13.4% | ||
Alibaba Group Holding Ltd., ADR(a) | 552,005 | 119,067,479 |
Amazon.com, Inc.(a) | 61,812 | 170,528,182 |
Total | 289,595,661 | |
Total Consumer Discretionary | 372,882,287 | |
Consumer Staples 4.8% | ||
Beverages 3.2% | ||
Monster Beverage Corp.(a) | 1,019,328 | 70,659,817 |
Household Products 1.6% | ||
Colgate-Palmolive Co. | 466,585 | 34,182,017 |
Total Consumer Staples | 104,841,834 | |
Energy 0.7% | ||
Energy Equipment & Services 0.7% | ||
Schlumberger Ltd. | 803,829 | 14,782,415 |
Total Energy | 14,782,415 | |
Financials 3.5% | ||
Capital Markets 3.5% | ||
Factset Research Systems, Inc. | 119,089 | 39,117,164 |
SEI Investments Co. | 666,600 | 36,649,668 |
Total | 75,766,832 | |
Total Financials | 75,766,832 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Health Care 15.6% | ||
Biotechnology 4.0% | ||
Regeneron Pharmaceuticals, Inc.(a) | 139,113 | 86,757,823 |
Health Care Equipment & Supplies 1.9% | ||
Intuitive Surgical, Inc.(a) | 45,519 | 25,938,092 |
Varian Medical Systems, Inc.(a) | 118,259 | 14,489,092 |
Total | 40,427,184 | |
Health Care Technology 1.7% | ||
Cerner Corp. | 542,205 | 37,168,153 |
Life Sciences Tools & Services 1.8% | ||
Illumina, Inc.(a) | 101,592 | 37,624,597 |
Pharmaceuticals 6.2% | ||
Novartis AG, ADR | 457,146 | 39,927,132 |
Novo Nordisk A/S, ADR | 337,109 | 22,073,897 |
Roche Holding AG, ADR | 1,666,834 | 72,357,264 |
Total | 134,358,293 | |
Total Health Care | 336,336,050 | |
Industrials 8.8% | ||
Aerospace & Defense 3.6% | ||
Boeing Co. (The) | 425,456 | 77,986,084 |
Air Freight & Logistics 2.3% | ||
Expeditors International of Washington, Inc. | 642,724 | 48,872,733 |
Machinery 2.9% | ||
Deere & Co. | 399,813 | 62,830,613 |
Total Industrials | 189,689,430 | |
Information Technology 35.0% | ||
Communications Equipment 2.1% | ||
Cisco Systems, Inc. | 989,399 | 46,145,569 |
IT Services 7.2% | ||
Automatic Data Processing, Inc. | 106,989 | 15,929,592 |
Visa, Inc., Class A | 718,355 | 138,764,636 |
Total | 154,694,228 |
6 | CTIVP® – Loomis Sayles Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Semiconductors & Semiconductor Equipment 6.2% | ||
NVIDIA Corp. | 235,691 | 89,541,368 |
QUALCOMM, Inc. | 492,213 | 44,894,747 |
Total | 134,436,115 | |
Software 19.5% | ||
Autodesk, Inc.(a) | 466,399 | 111,557,977 |
Microsoft Corp. | 489,174 | 99,551,801 |
Oracle Corp. | 1,577,692 | 87,199,037 |
Salesforce.com, Inc.(a) | 484,676 | 90,794,355 |
Workday, Inc., Class A(a) | 173,042 | 32,421,149 |
Total | 421,524,319 | |
Total Information Technology | 756,800,231 | |
Total Common Stocks (Cost $1,212,382,667) | 2,143,951,267 | |
Money Market Funds 0.9% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(b),(c) | 18,628,618 | 18,628,618 |
Total Money Market Funds (Cost $18,628,618) | 18,628,618 | |
Total Investments in Securities (Cost: $1,231,011,285) | 2,162,579,885 | |
Other Assets & Liabilities, Net | (1,606,631) | |
Net Assets | 2,160,973,254 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | ||||||||
28,224,649 | 175,471,402 | (185,067,756) | 323 | 18,628,618 | (2,355) | 100,376 | 18,628,618 |
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). |
CTIVP® – Loomis Sayles Growth Fund | Semiannual Report 2020 | 7 |
June 30, 2020 (Unaudited)
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 292,852,188 | — | — | 292,852,188 |
Consumer Discretionary | 372,882,287 | — | — | 372,882,287 |
Consumer Staples | 104,841,834 | — | — | 104,841,834 |
Energy | 14,782,415 | — | — | 14,782,415 |
Financials | 75,766,832 | — | — | 75,766,832 |
Health Care | 263,978,786 | 72,357,264 | — | 336,336,050 |
Industrials | 189,689,430 | — | — | 189,689,430 |
Information Technology | 756,800,231 | — | — | 756,800,231 |
Total Common Stocks | 2,071,594,003 | 72,357,264 | — | 2,143,951,267 |
Money Market Funds | 18,628,618 | — | — | 18,628,618 |
Total Investments in Securities | 2,090,222,621 | 72,357,264 | — | 2,162,579,885 |
8 | CTIVP® – Loomis Sayles Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,212,382,667) | $2,143,951,267 |
Affiliated issuers (cost $18,628,618) | 18,628,618 |
Receivable for: | |
Capital shares sold | 11,123 |
Dividends | 612,844 |
Foreign tax reclaims | 74,538 |
Total assets | 2,163,278,390 |
Liabilities | |
Payable for: | |
Capital shares purchased | 1,991,253 |
Management services fees | 39,126 |
Distribution and/or service fees | 384 |
Service fees | 33,106 |
Compensation of board members | 191,627 |
Compensation of chief compliance officer | 247 |
Other expenses | 49,393 |
Total liabilities | 2,305,136 |
Net assets applicable to outstanding capital stock | $2,160,973,254 |
Represented by | |
Trust capital | $2,160,973,254 |
Total - representing net assets applicable to outstanding capital stock | $2,160,973,254 |
Class 1 | |
Net assets | $2,104,004,595 |
Shares outstanding | 51,007,312 |
Net asset value per share | $41.25 |
Class 2 | |
Net assets | $56,968,659 |
Shares outstanding | 1,415,930 |
Net asset value per share | $40.23 |
CTIVP® – Loomis Sayles Growth Fund | Semiannual Report 2020 | 9 |
Six Months Ended June 30, 2020 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $12,455,631 |
Dividends — affiliated issuers | 100,376 |
Foreign taxes withheld | (1,247,498) |
Total income | 11,308,509 |
Expenses: | |
Management services fees | 7,040,523 |
Distribution and/or service fees | |
Class 2 | 66,355 |
Service fees | 111,915 |
Compensation of board members | 10,186 |
Custodian fees | 6,997 |
Printing and postage fees | 30,071 |
Audit fees | 14,669 |
Legal fees | 14,397 |
Compensation of chief compliance officer | 265 |
Other | 67,789 |
Total expenses | 7,363,167 |
Net investment income | 3,945,342 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 306,128,470 |
Investments — affiliated issuers | (2,355) |
Net realized gain | 306,126,115 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (95,551,041) |
Investments — affiliated issuers | 323 |
Net change in unrealized appreciation (depreciation) | (95,550,718) |
Net realized and unrealized gain | 210,575,397 |
Net increase in net assets resulting from operations | $214,520,739 |
10 | CTIVP® – Loomis Sayles Growth Fund | Semiannual Report 2020 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||
Net investment income | $3,945,342 | $11,458,847 |
Net realized gain | 306,126,115 | 44,864,941 |
Net change in unrealized appreciation (depreciation) | (95,550,718) | 567,291,017 |
Net increase in net assets resulting from operations | 214,520,739 | 623,614,805 |
Decrease in net assets from capital stock activity | (613,701,110) | (38,178,785) |
Total increase (decrease) in net assets | (399,180,371) | 585,436,020 |
Net assets at beginning of period | 2,560,153,625 | 1,974,717,605 |
Net assets at end of period | $2,160,973,254 | $2,560,153,625 |
Six Months Ended | Year Ended | |||
June 30, 2020 (Unaudited) | December 31, 2019 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 695,285 | 24,281,859 | 2,304,915 | 77,196,903 |
Redemptions | (16,396,341) | (634,737,279) | (3,305,733) | (111,892,459) |
Net decrease | (15,701,056) | (610,455,420) | (1,000,818) | (34,695,556) |
Class 2 | ||||
Subscriptions | 66,452 | 2,432,232 | 158,822 | 5,246,133 |
Redemptions | (155,897) | (5,677,922) | (263,845) | (8,729,362) |
Net decrease | (89,445) | (3,245,690) | (105,023) | (3,483,229) |
Total net decrease | (15,790,501) | (613,701,110) | (1,105,841) | (38,178,785) |
CTIVP® – Loomis Sayles Growth Fund | Semiannual Report 2020 | 11 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $37.55 | 0.07 | 3.63 | 3.70 |
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 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $36.67 | 0.03 | 3.53 | 3.56 |
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. |
(c) | Annualized. |
12 | CTIVP® – Loomis Sayles Growth Fund | Semiannual Report 2020 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $41.25 | 9.85% | 0.69%(c) | 0.69%(c) | 0.38%(c) | 13% | $2,104,005 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $40.23 | 9.71% | 0.95%(c) | 0.95%(c) | 0.14%(c) | 13% | $56,969 |
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 | Semiannual Report 2020 | 13 |
June 30, 2020 (Unaudited)
14 | CTIVP® – Loomis Sayles Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
CTIVP® – Loomis Sayles Growth Fund | Semiannual Report 2020 | 15 |
June 30, 2020 (Unaudited)
16 | CTIVP® – Loomis Sayles Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
May 1, 2020 through April 30, 2021 | Prior to May 1, 2020 | |
Class 1 | 0.74% | 0.77% |
Class 2 | 0.99 | 1.02 |
CTIVP® – Loomis Sayles Growth Fund | Semiannual Report 2020 | 17 |
June 30, 2020 (Unaudited)
18 | CTIVP® – Loomis Sayles Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
CTIVP® – Loomis Sayles Growth Fund | Semiannual Report 2020 | 19 |
June 30, 2020 (Unaudited)
20 | CTIVP® – Loomis Sayles Growth Fund | Semiannual Report 2020 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
CTIVP® – Loomis Sayles Growth Fund | Semiannual Report 2020 | 21 |
The Board, at its June 15-17, 2020 Board meeting (the June Meeting), considered the renewal of each of the Advisory Agreements for additional one-year terms. At the June Meeting, Independent Legal Counsel reviewed with the Independent Trustees various factors relevant to the Board’s consideration of advisory and subadvisory agreements and the Board’s legal responsibilities related to such consideration. Following an analysis and discussion of the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of each of the Advisory Agreements.
22 | CTIVP® – Loomis Sayles Growth Fund | Semiannual Report 2020 |
Investment performance
CTIVP® – Loomis Sayles Growth Fund | Semiannual Report 2020 | 23 |
Economies of scale to be realized
24 | CTIVP® – Loomis Sayles Growth Fund | Semiannual Report 2020 |
June 30, 2020
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | 0.30 | 1.12 | 0.83 | 0.42 | |
Class 2 | 05/03/10 | 0.24 | 0.93 | 0.67 | 0.34 | |
Class 3 | 10/13/81 | 0.27 | 1.02 | 0.75 | 0.38 |
Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2020 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2020) | |
Repurchase Agreements | 13.1 |
Treasury Bills | 23.6 |
U.S. Government & Agency Obligations | 58.7 |
U.S. Treasury Obligations | 4.6 |
Total | 100.0 |
4 | Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2020 |
(Unaudited)
January 1, 2020 — June 30, 2020 | |||||||
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 | 1,003.00 | 1,023.42 | 1.44 | 1.46 | 0.29 |
Class 2 | 1,000.00 | 1,000.00 | 1,002.40 | 1,022.97 | 1.89 | 1.91 | 0.38 |
Class 3 | 1,000.00 | 1,000.00 | 1,002.70 | 1,023.07 | 1.79 | 1.81 | 0.36 |
Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2020 | 5 |
June 30, 2020 (Unaudited)
Repurchase Agreements 12.8% | ||||
Issuer | Effective Yield | Principal Amount ($) | Value ($) | |
Tri-party Royal Bank of Canada | ||||
dated 06/30/2020, matures 07/01/2020 | ||||
repurchase price $20,000,039 (collateralized by U.S. Treasury Securities, Market Value $20,400,000) | ||||
0.070% | 20,000,000 | 20,000,000 | ||
repurchase price $20,000,039 (collateralized by U.S. Treasury Securities, Market Value $20,400,094) | ||||
0.070% | 20,000,000 | 20,000,000 | ||
Tri-party TD Securities (USA) LLC | ||||
dated 06/30/2020, matures 07/01/2020 | ||||
repurchase price $20,000,039 (collateralized by U.S. Treasury Securities, Market Value $20,400,015) | ||||
0.070% | 20,000,000 | 20,000,000 | ||
Total Repurchase Agreements (Cost $60,000,000) | 60,000,000 | |||
Treasury Bills 23.0% | ||||
United States 23.0% | ||||
U.S. Treasury Bills | ||||
07/02/2020 | 0.050% | 10,000,000 | 9,999,973 | |
07/07/2020 | 0.090% | 15,000,000 | 14,999,751 | |
07/14/2020 | 0.080% | 6,000,000 | 5,999,827 | |
07/30/2020 | 0.390% | 12,000,000 | 11,996,133 | |
08/06/2020 | 0.370% | 8,000,000 | 7,997,010 | |
08/11/2020 | 0.110% | 10,000,000 | 9,998,776 | |
08/13/2020 | 0.150% | 9,000,000 | 8,998,388 | |
08/20/2020 | 0.220% | 8,000,000 | 7,997,494 | |
08/27/2020 | 0.140% | 1,000,000 | 999,785 | |
09/01/2020 | 0.120% | 7,000,000 | 6,998,529 | |
09/03/2020 | 0.400% | 9,000,000 | 8,993,664 | |
09/10/2020 | 0.360% | 7,000,000 | 6,994,996 | |
10/13/2020 | 0.150% | 1,000,000 | 999,581 | |
11/03/2020 | 0.170% | 5,000,000 | 4,997,049 | |
Total | 107,970,956 | |||
Total Treasury Bills (Cost $107,970,956) | 107,970,956 | |||
U.S. Government & Agency Obligations 57.3% | ||||
Federal Agricultural Mortgage Corp. | ||||
07/01/2020 | 0.000% | 10,000,000 | 10,000,000 | |
Federal Agricultural Mortgage Corp. Discount Notes | ||||
07/10/2020 | 0.080% | 4,000,000 | 3,999,915 | |
07/15/2020 | 0.100% | 8,000,000 | 7,999,673 | |
07/29/2020 | 0.220% | 15,490,000 | 15,487,357 | |
09/28/2020 | 0.170% | 8,000,000 | 7,996,737 |
U.S. Government & Agency Obligations (continued) | ||||
Issuer | Effective Yield | Principal Amount ($) | Value ($) | |
Federal Farm Credit Banks(a) | ||||
SOFR + 0.080% 06/10/2021 | 0.160% | 2,000,000 | 2,000,000 | |
1-month USD LIBOR + 0.500% 06/25/2021 | 0.500% | 4,500,000 | 4,500,000 | |
Federal Farm Credit Banks Discount Notes | ||||
07/08/2020 | 0.090% | 8,000,000 | 7,999,844 | |
07/13/2020 | 0.470% | 8,000,000 | 7,998,667 | |
07/21/2020 | 0.130% | 10,000,000 | 9,999,278 | |
07/28/2020 | 0.110% | 4,000,000 | 3,999,670 | |
08/03/2020 | 0.130% | 5,000,000 | 4,999,404 | |
Federal Home Loan Banks(a) | ||||
SOFR + 0.030% 07/17/2020 | 0.110% | 3,000,000 | 3,000,000 | |
SOFR + 0.050% 01/28/2021 | 0.130% | 3,000,000 | 3,000,000 | |
SOFR + 0.075% 07/08/2021 | 0.160% | 2,000,000 | 2,000,000 | |
SOFR + 0.140% 08/18/2021 | 0.220% | 4,500,000 | 4,500,000 | |
Federal Home Loan Banks Discount Notes | ||||
07/13/2020 | 0.150% | 2,000,000 | 1,999,893 | |
07/21/2020 | 0.100% | 7,000,000 | 6,999,592 | |
07/23/2020 | 0.100% | 12,000,000 | 11,999,267 | |
07/24/2020 | 0.100% | 12,000,000 | 11,999,233 | |
08/03/2020 | 0.110% | 12,000,000 | 11,998,790 | |
10/26/2020 | 0.160% | 6,000,000 | 5,996,880 | |
11/23/2020 | 0.160% | 7,000,000 | 6,995,489 | |
Federal Home Loan Mortgage Corp.(a) | ||||
SOFR + 0.400% 10/21/2021 | 0.480% | 5,000,000 | 5,000,000 | |
SOFR + 0.160% 12/08/2021 | 0.240% | 4,500,000 | 4,500,000 | |
SOFR + 0.180% 12/15/2021 | 0.260% | 4,500,000 | 4,500,000 | |
Federal Home Loan Mortgage Corp. Discount Notes | ||||
07/17/2020 | 0.090% | 10,000,000 | 9,999,600 | |
08/06/2020 | 0.150% | 4,500,000 | 4,499,325 | |
08/21/2020 | 0.140% | 10,000,000 | 9,998,017 | |
09/17/2020 | 0.130% | 16,000,000 | 15,995,493 | |
10/19/2020 | 0.150% | 2,000,000 | 1,999,114 | |
Federal National Mortgage Association Discount Notes | ||||
07/20/2020 | 0.080% | 14,000,000 | 13,999,409 | |
07/22/2020 | 0.100% | 8,000,000 | 7,999,533 | |
08/13/2020 | 0.180% | 10,000,000 | 9,997,850 | |
08/26/2020 | 0.130% | 11,841,000 | 11,838,513 | |
09/09/2020 | 0.150% | 11,000,000 | 10,996,728 | |
Total U.S. Government & Agency Obligations (Cost $268,793,271) | 268,793,271 | |||
6 | Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
U.S. Treasury Obligations 4.4% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
U.S. Treasury(a) | ||||
3-month U.S. Treasury Index + 0.045% 10/31/2020 | 0.195% | 10,000,000 | 9,997,146 | |
3-month U.S. Treasury Index + 0.115% 01/31/2021 | 0.265% | 5,000,000 | 4,999,191 | |
3-month U.S. Treasury Index + 0.220% 07/31/2021 | 0.370% | 6,000,000 | 5,995,471 | |
Total U.S. Treasury Obligations (Cost $20,991,808) | 20,991,808 |
Total Investments in Securities (Cost: $457,756,035) | 457,756,035 | |
Other Assets & Liabilities, Net | 11,560,039 | |
Net Assets | 469,316,074 |
(a) | Variable rate security. The interest rate shown was the current rate as of June 30, 2020. |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing Rate |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2020 | 7 |
June 30, 2020 (Unaudited)
additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Repurchase Agreements | — | 60,000,000 | — | 60,000,000 |
Treasury Bills | — | 107,970,956 | — | 107,970,956 |
U.S. Government & Agency Obligations | — | 268,793,271 | — | 268,793,271 |
U.S. Treasury Obligations | — | 20,991,808 | — | 20,991,808 |
Total Investments in Securities | — | 457,756,035 | — | 457,756,035 |
8 | Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $397,756,035) | $397,756,035 |
Repurchase agreements (cost $60,000,000) | 60,000,000 |
Cash | 11,974,788 |
Receivable for: | |
Capital shares sold | 667,024 |
Interest | 18,025 |
Expense reimbursement due from Investment Manager | 4,022 |
Prepaid expenses | 1 |
Trustees’ deferred compensation plan | 966 |
Total assets | 470,420,861 |
Liabilities | |
Payable for: | |
Capital shares purchased | 949,745 |
Distributions to shareholders | 128 |
Management services fees | 5,005 |
Service fees | 40,381 |
Compensation of board members | 71,229 |
Compensation of chief compliance officer | 48 |
Other expenses | 37,285 |
Trustees’ deferred compensation plan | 966 |
Total liabilities | 1,104,787 |
Net assets applicable to outstanding capital stock | $469,316,074 |
Represented by | |
Paid in capital | 469,377,755 |
Total distributable earnings (loss) | (61,681) |
Total - representing net assets applicable to outstanding capital stock | $469,316,074 |
Class 1 | |
Net assets | $130,967,685 |
Shares outstanding | 130,886,269 |
Net asset value per share | $1.00 |
Class 2 | |
Net assets | $109,447,159 |
Shares outstanding | 109,463,799 |
Net asset value per share | $1.00 |
Class 3 | |
Net assets | $228,901,230 |
Shares outstanding | 228,800,570 |
Net asset value per share | $1.00 |
Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2020 | 9 |
Six Months Ended June 30, 2020 (Unaudited)
Net investment income | |
Income: | |
Interest | $1,449,562 |
Total income | 1,449,562 |
Expenses: | |
Management services fees | 766,133 |
Distribution and/or service fees | |
Class 2 | 102,131 |
Class 3 | 129,298 |
Service fees | 126,529 |
Compensation of board members | 4,443 |
Custodian fees | 3,779 |
Printing and postage fees | 20,592 |
Audit fees | 14,669 |
Legal fees | 5,508 |
Compensation of chief compliance officer | 29 |
Other | 3,988 |
Total expenses | 1,177,099 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (369,056) |
Fees waived by distributor | |
Class 2 | (63,715) |
Class 3 | (70,792) |
Total net expenses | 673,536 |
Net investment income | 776,026 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 19,968 |
Net realized gain | 19,968 |
Net realized and unrealized gain | 19,968 |
Net increase in net assets resulting from operations | $795,994 |
10 | Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2020 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||
Net investment income | $776,026 | $6,965,486 |
Net realized gain | 19,968 | 190,524 |
Net increase in net assets resulting from operations | 795,994 | 7,156,010 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (283,094) | (2,641,138) |
Class 2 | (165,852) | (1,041,346) |
Class 3 | (519,573) | (3,437,347) |
Total distributions to shareholders | (968,519) | (7,119,831) |
Increase (decrease) in net assets from capital stock activity | 139,595,110 | (248,581,487) |
Total increase (decrease) in net assets | 139,422,585 | (248,545,308) |
Net assets at beginning of period | 329,893,489 | 578,438,797 |
Net assets at end of period | $469,316,074 | $329,893,489 |
Six Months Ended | Year Ended | |||
June 30, 2020 (Unaudited) | December 31, 2019 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 57,038,989 | 57,038,989 | 9,336,975 | 9,336,974 |
Distributions reinvested | 286,073 | 286,073 | 2,546,724 | 2,546,724 |
Redemptions | (13,150,113) | (13,150,113) | (226,197,463) | (226,228,529) |
Net increase (decrease) | 44,174,949 | 44,174,949 | (214,313,764) | (214,344,831) |
Class 2 | ||||
Subscriptions | 69,935,554 | 69,935,554 | 16,424,522 | 16,424,522 |
Distributions reinvested | 167,535 | 167,535 | 1,049,800 | 1,049,800 |
Redemptions | (21,697,306) | (21,697,307) | (23,736,162) | (23,736,162) |
Net increase (decrease) | 48,405,783 | 48,405,782 | (6,261,840) | (6,261,840) |
Class 3 | ||||
Subscriptions | 69,306,773 | 69,306,773 | 17,537,745 | 17,537,746 |
Distributions reinvested | 525,232 | 525,232 | 3,465,476 | 3,465,476 |
Redemptions | (22,817,626) | (22,817,626) | (49,009,104) | (48,978,038) |
Net increase (decrease) | 47,014,379 | 47,014,379 | (28,005,883) | (27,974,816) |
Total net increase (decrease) | 139,595,111 | 139,595,110 | (248,581,487) | (248,581,487) |
Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2020 | 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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $1.00 | 0.00(b) | 0.00(b) | 0.00(b) | (0.00)(b) | (0.00)(b) | (0.00)(b) |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $1.00 | 0.00(b) | 0.00(b) | 0.00(b) | (0.00)(b) | (0.00)(b) | (0.00)(b) |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $1.00 | 0.00(b) | 0.00(b) | 0.00(b) | (0.00)(b) | (0.00)(b) | (0.00)(b) |
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. |
(c) | Annualized. |
12 | Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2020 |
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 | ||||||
Six Months Ended 6/30/2020 (Unaudited) | $1.00 | 0.30% | 0.48%(c) | 0.29%(c) | 0.44%(c) | $130,968 |
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 | ||||||
Six Months Ended 6/30/2020 (Unaudited) | $1.00 | 0.24% | 0.74%(c) | 0.38%(c) | 0.30%(c) | $109,447 |
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 | ||||||
Six Months Ended 6/30/2020 (Unaudited) | $1.00 | 0.27% | 0.61%(c) | 0.36%(c) | 0.41%(c) | $228,901 |
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% | $266,420 |
Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2020 | 13 |
June 30, 2020 (Unaudited)
14 | Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
RBC Capital Markets ($) | TD Securities ($) | Total ($) | |
Assets | |||
Repurchase agreements | 40,000,000 | 20,000,000 | 60,000,000 |
Total financial and derivative net assets | 40,000,000 | 20,000,000 | 60,000,000 |
Total collateral received (pledged) (a) | 40,000,000 | 20,000,000 | 60,000,000 |
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 | Semiannual Report 2020 | 15 |
June 30, 2020 (Unaudited)
16 | Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
May 1, 2020 through April 30, 2021 | Prior to May 1, 2020 | |
Class 1 | 0.45% | 0.40% |
Class 2 | 0.70 | 0.65 |
Class 3 | 0.575 | 0.525 |
Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2020 | 17 |
June 30, 2020 (Unaudited)
18 | Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2020 | 19 |
June 30, 2020 (Unaudited)
20 | Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2020 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2020 | 21 |
Nature, extent and quality of services provided by Columbia Threadneedle
22 | Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2020 |
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of the Funds’ fee rates, and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Board accorded particular weight to the notion that the primary objective of the level of fees is to achieve a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) approximated the peer universe’s median expense ratio. Based on its review, the Board concluded that the Fund’s management fee was fair and reasonable in light of the extent and quality of services that the Fund receives.
Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2020 | 23 |
June 30, 2020
3 | |
5 | |
6 | |
11 | |
12 | |
13 | |
14 | |
16 | |
29 | |
29 |
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | -10.15 | -1.34 | 1.27 | 5.70 | |
Class 2 | 05/03/10 | -10.32 | -1.67 | 1.00 | 5.43 | |
Class 3 | 01/13/92 | -10.29 | -1.54 | 1.12 | 5.57 | |
MSCI EAFE Index (Net) | -11.34 | -5.13 | 2.05 | 5.73 |
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2020 | 3 |
(Unaudited)
Equity sector breakdown (%) (at June 30, 2020) | |
Communication Services | 8.0 |
Consumer Discretionary | 8.5 |
Consumer Staples | 14.4 |
Energy | 7.4 |
Financials | 12.3 |
Health Care | 15.8 |
Industrials | 14.9 |
Information Technology | 9.0 |
Materials | 5.5 |
Real Estate | 3.3 |
Utilities | 0.9 |
Total | 100.0 |
Country breakdown (%) (at June 30, 2020) | |
Australia | 1.4 |
Canada | 4.4 |
China | 2.2 |
Denmark | 0.8 |
Finland | 4.0 |
France | 6.7 |
Germany | 3.7 |
Country breakdown (%) (at June 30, 2020) | |
Hong Kong | 0.9 |
Ireland | 1.3 |
Israel | 1.4 |
Italy | 1.5 |
Japan | 25.8 |
Netherlands | 8.2 |
Norway | 2.7 |
Pakistan | 0.5 |
Russian Federation | 0.7 |
Singapore | 1.2 |
South Korea | 2.5 |
Spain | 2.6 |
Sweden | 1.8 |
Switzerland | 5.1 |
Taiwan | 0.8 |
United Kingdom | 9.9 |
United States(a) | 9.9 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds. |
4 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2020 |
(Unaudited)
January 1, 2020 — June 30, 2020 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 898.50 | 1,020.54 | 4.11 | 4.37 | 0.87 |
Class 2 | 1,000.00 | 1,000.00 | 896.80 | 1,019.29 | 5.28 | 5.62 | 1.12 |
Class 3 | 1,000.00 | 1,000.00 | 897.10 | 1,019.94 | 4.67 | 4.97 | 0.99 |
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2020 | 5 |
June 30, 2020 (Unaudited)
Common Stocks 96.4% | ||
Issuer | Shares | Value ($) |
Australia 1.3% | ||
Ansell Ltd. | 1,102,977 | 28,037,636 |
Canada 4.4% | ||
Alimentation Couche-Tard, Inc., Class B | 1,267,631 | 39,748,860 |
Cameco Corp. | 2,299,382 | 23,568,665 |
Yamana Gold, Inc. | 5,132,775 | 28,024,951 |
Total | 91,342,476 | |
China 2.2% | ||
BeiGene Ltd., ADR(a) | 17,702 | 3,335,057 |
Tencent Holdings Ltd. | 646,900 | 41,452,002 |
Total | 44,787,059 | |
Denmark 0.8% | ||
Novo Nordisk A/S, Class B | 244,509 | 15,929,207 |
Finland 4.0% | ||
Neste OYJ | 556,697 | 21,864,875 |
UPM-Kymmene OYJ | 1,191,372 | 34,507,725 |
Valmet OYJ | 983,339 | 25,773,113 |
Total | 82,145,713 | |
France 6.7% | ||
BNP Paribas SA(a) | 484,168 | 19,344,447 |
Capgemini SE | 392,555 | 45,301,426 |
DBV Technologies SA, ADR(a) | 445,516 | 1,955,815 |
Eiffage SA(a) | 323,637 | 29,666,706 |
Sanofi | 248,995 | 25,393,669 |
Total SA | 420,451 | 16,211,923 |
Total | 137,873,986 | |
Germany 3.7% | ||
Aroundtown SA(a) | 3,524,878 | 20,203,929 |
Bayer AG, Registered Shares | 297,937 | 22,084,144 |
Covestro AG(a) | 620,674 | 23,640,385 |
Duerr AG | 425,190 | 11,098,777 |
Total | 77,027,235 | |
Hong Kong 0.9% | ||
WH Group Ltd. | 22,262,000 | 19,238,697 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Ireland 1.3% | ||
Amarin Corp. PLC, ADR(a) | 137,650 | 952,538 |
Flutter Entertainment PLC | 195,705 | 25,656,733 |
Total | 26,609,271 | |
Israel 1.4% | ||
Bank Hapoalim BM | 2,873,322 | 17,177,179 |
Bezeq Israeli Telecommunication Corp., Ltd.(a) | 13,636,918 | 12,378,583 |
Total | 29,555,762 | |
Italy 1.5% | ||
Recordati SpA | 615,419 | 30,794,736 |
Japan 25.8% | ||
Amano Corp. | 1,062,600 | 22,108,592 |
Bandai Namco Holdings, Inc. | 421,400 | 22,181,684 |
BayCurrent Consulting, Inc. | 260,200 | 21,756,226 |
CYBERDYNE, Inc.(a) | 458,500 | 1,923,578 |
Invincible Investment Corp. | 51,277 | 13,309,601 |
ITOCHU Corp. | 1,774,800 | 38,402,808 |
JustSystems Corp. | 244,000 | 17,350,894 |
Kinden Corp. | 939,300 | 15,523,732 |
Koito Manufacturing Co., Ltd. | 468,000 | 18,935,093 |
Matsumotokiyoshi Holdings Co., Ltd. | 967,000 | 35,139,444 |
Meitec Corp. | 267,100 | 12,922,607 |
Nihon M&A Center, Inc. | 715,800 | 32,553,134 |
Nippon Telegraph & Telephone Corp. | 1,602,100 | 37,328,052 |
ORIX Corp. | 2,103,700 | 26,122,180 |
Round One Corp. | 1,881,600 | 13,606,970 |
Shionogi & Co., Ltd. | 506,500 | 31,774,459 |
Ship Healthcare Holdings, Inc. | 391,500 | 16,384,725 |
Sony Corp. | 581,500 | 40,141,049 |
Subaru Corp. | 956,700 | 20,032,991 |
Sumitomo Mitsui Financial Group, Inc. | 641,700 | 18,109,931 |
Takeda Pharmaceutical Co., Ltd. | 1,312,085 | 47,140,548 |
Takuma Co., Ltd. | 873,400 | 12,045,305 |
ValueCommerce Co., Ltd. | 622,000 | 16,725,943 |
Total | 531,519,546 |
6 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Netherlands 8.2% | ||
ABN AMRO Bank NV | 1,825,644 | 15,710,852 |
ASR Nederland NV | 871,472 | 26,812,893 |
ING Groep NV | 2,422,721 | 16,888,563 |
Koninklijke Ahold Delhaize NV | 1,437,477 | 39,177,082 |
Royal Dutch Shell PLC, Class A | 2,473,200 | 40,484,711 |
Signify NV(a) | 1,145,130 | 29,441,264 |
Total | 168,515,365 | |
Norway 2.6% | ||
BW LPG Ltd. | 1,954,856 | 6,155,291 |
SalMar ASA(a) | 767,967 | 36,789,784 |
Yara International ASA | 334,487 | 11,660,993 |
Total | 54,606,068 | |
Pakistan 0.5% | ||
Lucky Cement Ltd. | 2,116,695 | 5,832,834 |
Oil & Gas Development Co., Ltd. | 5,596,953 | 3,689,941 |
Total | 9,522,775 | |
Russian Federation 0.7% | ||
Sberbank of Russia PJSC, ADR(a) | 1,254,901 | 14,265,398 |
Singapore 1.2% | ||
DBS Group Holdings Ltd. | 1,178,900 | 17,738,711 |
Venture Corp., Ltd. | 540,600 | 6,317,832 |
Total | 24,056,543 | |
South Korea 2.5% | ||
Hyundai Home Shopping Network Corp. | 194,670 | 10,436,335 |
Samsung Electronics Co., Ltd. | 656,071 | 29,042,710 |
Youngone Corp. | 548,923 | 11,713,005 |
Total | 51,192,050 | |
Spain 2.6% | ||
ACS Actividades de Construccion y Servicios SA | 960,339 | 24,679,685 |
Endesa SA | 748,808 | 18,575,110 |
Tecnicas Reunidas SA(a) | 669,845 | 10,253,425 |
Total | 53,508,220 | |
Sweden 1.8% | ||
Granges AB(a) | 799,309 | 6,372,541 |
Samhallsbyggnadsbolaget i Norden AB | 12,228,245 | 31,418,281 |
Total | 37,790,822 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Switzerland 5.1% | ||
Landis+Gyr Group AG(a) | 253,664 | 16,432,416 |
Nestlé SA, Registered Shares | 317,074 | 35,154,193 |
Roche Holding AG, Genusschein Shares | 153,333 | 53,122,147 |
Total | 104,708,756 | |
Taiwan 0.8% | ||
Parade Technologies Ltd. | 471,000 | 15,786,978 |
United Kingdom 9.9% | ||
BP PLC | 4,600,387 | 17,624,289 |
British American Tobacco PLC | 1,130,368 | 43,352,813 |
BT Group PLC | 9,687,729 | 13,700,882 |
Crest Nicholson Holdings PLC | 2,469,475 | 6,036,665 |
DCC PLC | 513,164 | 42,820,318 |
GW Pharmaceuticals PLC, ADR(a) | 44,883 | 5,508,042 |
John Wood Group PLC | 2,787,778 | 6,684,492 |
Just Group PLC(a) | 17,199,895 | 11,216,972 |
Legal & General Group PLC | 8,547,233 | 23,301,866 |
TP ICAP PLC | 5,722,916 | 24,855,647 |
WPP PLC | 1,223,786 | 9,541,028 |
Total | 204,643,014 | |
United States 6.5% | ||
ACADIA Pharmaceuticals, Inc.(a) | 72,364 | 3,507,483 |
Aerie Pharmaceuticals, Inc.(a) | 255,261 | 3,767,652 |
Alexion Pharmaceuticals, Inc.(a) | 73,766 | 8,279,496 |
Broadcom, Inc. | 83,924 | 26,487,254 |
Burford Capital Ltd. | 2,276,055 | 13,159,688 |
Insmed, Inc.(a) | 143,877 | 3,962,373 |
Liberty Global PLC, Class C(a) | 1,242,440 | 26,724,884 |
Primo Water Corp. | 2,712,224 | 37,293,080 |
Quotient Ltd.(a) | 1,009,704 | 7,471,810 |
Sage Therapeutics, Inc.(a) | 62,061 | 2,580,496 |
Total | 133,234,216 | |
Total Common Stocks (Cost $2,130,629,210) | 1,986,691,529 | |
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2020 | 7 |
June 30, 2020 (Unaudited)
Exchange-Traded Equity Funds 1.5% | ||
Shares | Value ($) | |
United States 1.5% | ||
iShares MSCI EAFE ETF | 507,421 | 30,886,716 |
Total Exchange-Traded Equity Funds (Cost $32,388,683) | 30,886,716 | |
Money Market Funds 1.9% | ||
Columbia Short-Term Cash Fund, 0.253%(b),(c) | 38,835,324 | 38,835,324 |
Total Money Market Funds (Cost $38,835,324) | 38,835,324 | |
Total Investments in Securities (Cost $2,201,853,217) | 2,056,413,569 | |
Other Assets & Liabilities, Net | 4,763,554 | |
Net Assets | $2,061,177,123 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
48,871,000 CAD | 35,879,394 USD | State Street | 08/19/2020 | — | (122,828) |
29,708,000 GBP | 36,916,527 USD | State Street | 08/19/2020 | 94,222 | — |
14,509,000 ILS | 4,223,646 USD | State Street | 08/19/2020 | 29,786 | — |
6,215,193,000 JPY | 58,092,920 USD | State Street | 08/19/2020 | 495,794 | — |
52,203,653,000 KRW | 43,300,255 USD | State Street | 08/19/2020 | — | (224,644) |
202,587,000 NOK | 20,926,613 USD | State Street | 08/19/2020 | — | (124,756) |
31,645,273 USD | 46,065,000 AUD | State Street | 08/19/2020 | 151,288 | — |
31,734,006 USD | 30,033,000 CHF | State Street | 08/19/2020 | 11,276 | — |
24,306,188 USD | 21,577,000 EUR | State Street | 08/19/2020 | — | (38,016) |
23,163,032 USD | 216,888,000 SEK | State Street | 08/19/2020 | 126,810 | — |
21,114,226 USD | 29,419,000 SGD | State Street | 08/19/2020 | — | (1,697) |
Total | 909,176 | (511,941) |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | ||||||||
5,494,903 | 1,023,275,888 | (989,935,467) | — | 38,835,324 | 41,418 | 50,193 | 38,835,324 |
ADR | American Depositary Receipt |
8 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
AUD | Australian Dollar |
CAD | Canada Dollar |
CHF | Swiss Franc |
EUR | Euro |
GBP | British Pound |
ILS | Israeli Shekel |
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). |
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2020 | 9 |
June 30, 2020 (Unaudited)
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2020:
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Australia | — | 28,037,636 | — | 28,037,636 |
Canada | 91,342,476 | — | — | 91,342,476 |
China | 3,335,057 | 41,452,002 | — | 44,787,059 |
Denmark | — | 15,929,207 | — | 15,929,207 |
Finland | — | 82,145,713 | — | 82,145,713 |
France | 1,955,815 | 135,918,171 | — | 137,873,986 |
Germany | — | 77,027,235 | — | 77,027,235 |
Hong Kong | — | 19,238,697 | — | 19,238,697 |
Ireland | 952,538 | 25,656,733 | — | 26,609,271 |
Israel | — | 29,555,762 | — | 29,555,762 |
Italy | — | 30,794,736 | — | 30,794,736 |
Japan | — | 531,519,546 | — | 531,519,546 |
Netherlands | — | 168,515,365 | — | 168,515,365 |
Norway | — | 54,606,068 | — | 54,606,068 |
Pakistan | — | 9,522,775 | — | 9,522,775 |
Russian Federation | — | 14,265,398 | — | 14,265,398 |
Singapore | — | 24,056,543 | — | 24,056,543 |
South Korea | — | 51,192,050 | — | 51,192,050 |
Spain | — | 53,508,220 | — | 53,508,220 |
Sweden | — | 37,790,822 | — | 37,790,822 |
Switzerland | — | 104,708,756 | — | 104,708,756 |
Taiwan | — | 15,786,978 | — | 15,786,978 |
United Kingdom | 5,508,042 | 199,134,972 | — | 204,643,014 |
United States | 120,074,528 | 13,159,688 | — | 133,234,216 |
Total Common Stocks | 223,168,456 | 1,763,523,073 | — | 1,986,691,529 |
Exchange-Traded Equity Funds | 30,886,716 | — | — | 30,886,716 |
Money Market Funds | 38,835,324 | — | — | 38,835,324 |
Total Investments in Securities | 292,890,496 | 1,763,523,073 | — | 2,056,413,569 |
Investments in Derivatives | ||||
Asset | ||||
Forward Foreign Currency Exchange Contracts | — | 909,176 | — | 909,176 |
Liability | ||||
Forward Foreign Currency Exchange Contracts | — | (511,941) | — | (511,941) |
Total | 292,890,496 | 1,763,920,308 | — | 2,056,810,804 |
10 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $2,163,017,893) | $2,017,578,245 |
Affiliated issuers (cost $38,835,324) | 38,835,324 |
Cash collateral held at broker for: | |
Forward foreign currency exchange contracts | 260,000 |
Unrealized appreciation on forward foreign currency exchange contracts | 909,176 |
Receivable for: | |
Investments sold | 9,050,608 |
Capital shares sold | 14,426 |
Dividends | 2,187,394 |
Foreign tax reclaims | 2,495,596 |
Total assets | 2,071,330,769 |
Liabilities | |
Unrealized depreciation on forward foreign currency exchange contracts | 511,941 |
Payable for: | |
Investments purchased | 8,642,186 |
Capital shares purchased | 700,538 |
Management services fees | 43,765 |
Distribution and/or service fees | 1,065 |
Service fees | 36,726 |
Compensation of board members | 134,477 |
Compensation of chief compliance officer | 126 |
Other expenses | 82,822 |
Total liabilities | 10,153,646 |
Net assets applicable to outstanding capital stock | $2,061,177,123 |
Represented by | |
Paid in capital | 2,197,595,434 |
Total distributable earnings (loss) | (136,418,311) |
Total - representing net assets applicable to outstanding capital stock | $2,061,177,123 |
Class 1 | |
Net assets | $1,797,170,739 |
Shares outstanding | 153,128,536 |
Net asset value per share | $11.74 |
Class 2 | |
Net assets | $52,807,587 |
Shares outstanding | 4,527,778 |
Net asset value per share | $11.66 |
Class 3 | |
Net assets | $211,198,797 |
Shares outstanding | 18,029,426 |
Net asset value per share | $11.71 |
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2020 | 11 |
Six Months Ended June 30, 2020 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $19,965,188 |
Dividends — affiliated issuers | 50,193 |
Foreign taxes withheld | (1,831,872) |
Total income | 18,183,509 |
Expenses: | |
Management services fees | 5,073,839 |
Distribution and/or service fees | |
Class 2 | 64,765 |
Class 3 | 131,974 |
Service fees | 112,780 |
Compensation of board members | 5,658 |
Custodian fees | 83,202 |
Printing and postage fees | 29,157 |
Audit fees | 33,737 |
Legal fees | 9,235 |
Compensation of chief compliance officer | 137 |
Other | 8,707 |
Total expenses | 5,553,191 |
Net investment income | 12,630,318 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 12,876,658 |
Investments — affiliated issuers | 41,418 |
Foreign currency translations | (267,401) |
Forward foreign currency exchange contracts | 2,330,475 |
Futures contracts | (2,072,684) |
Options purchased | (380,257) |
Net realized gain | 12,528,209 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (144,314,057) |
Foreign currency translations | 38,084 |
Forward foreign currency exchange contracts | 855,363 |
Net change in unrealized appreciation (depreciation) | (143,420,610) |
Net realized and unrealized loss | (130,892,401) |
Net decrease in net assets resulting from operations | $(118,262,083) |
12 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2020 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||
Net investment income | $12,630,318 | $24,268,731 |
Net realized gain | 12,528,209 | 21,447,637 |
Net change in unrealized appreciation (depreciation) | (143,420,610) | 202,920,990 |
Net increase (decrease) in net assets resulting from operations | (118,262,083) | 248,637,358 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (36,848,944) | (134,978,905) |
Class 2 | (1,204,332) | (9,057,810) |
Class 3 | (4,948,017) | (39,514,711) |
Total distributions to shareholders | (43,001,293) | (183,551,426) |
Increase in net assets from capital stock activity | 963,837,819 | 206,973,857 |
Total increase in net assets | 802,574,443 | 272,059,789 |
Net assets at beginning of period | 1,258,602,680 | 986,542,891 |
Net assets at end of period | $2,061,177,123 | $1,258,602,680 |
Six Months Ended | Year Ended | |||
June 30, 2020 (Unaudited) | December 31, 2019 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 80,384,434 | 949,323,992 | 7,883,344 | 107,132,438 |
Distributions reinvested | 3,227,521 | 36,848,944 | 10,966,015 | 134,978,905 |
Redemptions | (1,236,033) | (14,301,657) | (3,541,482) | (46,693,584) |
Net increase | 82,375,922 | 971,871,279 | 15,307,877 | 195,417,759 |
Class 2 | ||||
Subscriptions | 300,544 | 3,152,662 | 329,845 | 4,258,973 |
Distributions reinvested | 108,762 | 1,204,332 | 740,900 | 9,057,810 |
Redemptions | (365,819) | (4,303,880) | (634,490) | (8,373,152) |
Net increase | 43,487 | 53,114 | 436,255 | 4,943,631 |
Class 3 | ||||
Subscriptions | 9,579 | 114,481 | 22,054 | 279,386 |
Distributions reinvested | 444,486 | 4,948,017 | 3,216,777 | 39,514,711 |
Redemptions | (1,144,668) | (13,149,072) | (2,507,214) | (33,181,630) |
Net increase (decrease) | (690,603) | (8,086,574) | 731,617 | 6,612,467 |
Total net increase | 81,728,806 | 963,837,819 | 16,475,749 | 206,973,857 |
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2020 | 13 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $13.40 | 0.12 | (1.50) | (1.38) | (0.13) | (0.15) | (0.28) |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $13.32 | 0.10 | (1.49) | (1.39) | (0.12) | (0.15) | (0.27) |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $13.38 | 0.11 | (1.50) | (1.39) | (0.13) | (0.15) | (0.28) |
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) | Annualized. |
(d) | Ratios include interest on collateral expense which is less than 0.01%. |
(e) | Ratios include line of credit interest expense which is less than 0.01%. |
14 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2020 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $11.74 | (10.15%) | 0.87%(c) | 0.87%(c) | 2.11%(c) | 10% | $1,797,171 |
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%(d) | 0.89%(d) | 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%(e) | 0.89%(e) | 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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $11.66 | (10.32%) | 1.12%(c) | 1.12%(c) | 1.77%(c) | 10% | $52,808 |
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%(d) | 1.14%(d) | 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%(e) | 1.14%(e) | 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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $11.71 | (10.29%) | 0.99%(c) | 0.99%(c) | 1.87%(c) | 10% | $211,199 |
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%(d) | 1.02%(d) | 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%(e) | 1.03%(e) | 1.66% | 57% | $280,282 |
Year Ended 12/31/2015 | $13.58 | 5.03% | 1.14% | 1.05% | 0.79% | 57% | $314,648 |
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2020 | 15 |
June 30, 2020 (Unaudited)
16 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2020 | 17 |
June 30, 2020 (Unaudited)
18 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2020 | 19 |
June 30, 2020 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 909,176 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 511,941 |
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts purchased ($) | Total ($) | ||
Equity risk | — | (2,072,684) | (380,257) | (2,452,941) | ||
Foreign exchange risk | 2,330,475 | — | — | 2,330,475 | ||
Total | 2,330,475 | (2,072,684) | (380,257) | (122,466) | ||
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||||
Risk exposure category | Forward foreign currency exchange contracts ($) | |||||
Foreign exchange risk | 855,363 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 104,813 |
Options contracts — written | (10,045) |
Derivative instrument | Average unrealized appreciation ($)** | Average unrealized depreciation ($)** |
Forward foreign currency exchange contracts | 1,624,129 | (1,545,498) |
20 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
* | Based on the ending daily outstanding amounts for the six months ended June 30, 2020. |
** | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2020. |
State Street ($) | |
Assets | |
Forward foreign currency exchange contracts | 909,176 |
Liabilities | |
Forward foreign currency exchange contracts | 511,941 |
Total financial and derivative net assets | 397,235 |
Total collateral received (pledged) (a) | - |
Net amount (b) | 397,235 |
(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 – Overseas Core Fund | Semiannual Report 2020 | 21 |
June 30, 2020 (Unaudited)
22 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Fee rate(s) contractual July 1, 2020 through April 30, 2021 | |
Class 1 | 0.90% |
Class 2 | 1.15 |
Class 3 | 1.025 |
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2020 | 23 |
June 30, 2020 (Unaudited)
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
2,201,853,000 | 117,832,000 | (262,874,000) | (145,042,000) |
24 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2020 | 25 |
June 30, 2020 (Unaudited)
26 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2020 | 27 |
June 30, 2020 (Unaudited)
28 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2020 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2020 | 29 |
30 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2020 | 31 |
32 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2020 |
June 30, 2020
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | -3.81 | 1.12 | 4.40 | 6.67 | |
Class 2 | 05/03/10 | -3.99 | 0.88 | 4.11 | 6.38 | |
Class 3 | 05/01/96 | -3.96 | 0.85 | 4.24 | 6.51 | |
ICE BofA US Cash Pay High Yield Constrained Index | -4.80 | -1.14 | 4.58 | 6.44 |
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2020 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2020) | |
Corporate Bonds & Notes | 95.1 |
Foreign Government Obligations | 0.2 |
Money Market Funds | 2.1 |
Senior Loans | 2.6 |
Total | 100.0 |
Quality breakdown (%) (at June 30, 2020) | |
BBB rating | 0.7 |
BB rating | 45.5 |
B rating | 38.7 |
CCC rating | 14.5 |
Not rated | 0.6 |
Total | 100.0 |
4 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2020 |
(Unaudited)
January 1, 2020 — June 30, 2020 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 961.90 | 1,021.53 | 3.27 | 3.37 | 0.67 |
Class 2 | 1,000.00 | 1,000.00 | 960.10 | 1,020.29 | 4.48 | 4.62 | 0.92 |
Class 3 | 1,000.00 | 1,000.00 | 960.40 | 1,020.93 | 3.85 | 3.97 | 0.79 |
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2020 | 5 |
June 30, 2020 (Unaudited)
Corporate Bonds & Notes 95.3% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Aerospace & Defense 2.1% | ||||
Bombardier, Inc.(a) | ||||
12/01/2024 | 7.500% | 309,000 | 200,753 | |
03/15/2025 | 7.500% | 602,000 | 392,260 | |
04/15/2027 | 7.875% | 96,000 | 62,575 | |
Moog, Inc.(a) | ||||
12/15/2027 | 4.250% | 440,000 | 429,156 | |
TransDigm, Inc. | ||||
05/15/2025 | 6.500% | 1,682,000 | 1,574,762 | |
TransDigm, Inc.(a) | ||||
12/15/2025 | 8.000% | 688,000 | 722,668 | |
03/15/2026 | 6.250% | 2,964,000 | 2,955,288 | |
Total | 6,337,462 | |||
Airlines 0.8% | ||||
Delta Air Lines, Inc.(a) | ||||
05/01/2025 | 7.000% | 556,000 | 573,916 | |
Delta Air Lines, Inc. | ||||
01/15/2026 | 7.375% | 472,000 | 456,505 | |
Mileage Plus Holdings LLC/Intellectual Property Assets Ltd.(a),(b) | ||||
06/20/2027 | 6.500% | 1,303,402 | 1,304,731 | |
Total | 2,335,152 | |||
Automotive 2.4% | ||||
Clarios Global LP(a) | ||||
05/15/2025 | 6.750% | 283,000 | 294,549 | |
Ford Motor Co. | ||||
04/21/2023 | 8.500% | 248,000 | 262,212 | |
04/22/2025 | 9.000% | 548,000 | 592,419 | |
04/22/2030 | 9.625% | 75,000 | 88,902 | |
Ford Motor Credit Co. LLC | ||||
11/02/2020 | 2.343% | 288,000 | 288,031 | |
03/18/2021 | 3.336% | 601,000 | 594,969 | |
10/12/2021 | 3.813% | 976,000 | 967,072 | |
03/18/2024 | 5.584% | 1,777,000 | 1,794,621 | |
11/01/2024 | 4.063% | 400,000 | 381,181 | |
06/16/2025 | 5.125% | 414,000 | 414,109 | |
IAA Spinco, Inc.(a) | ||||
06/15/2027 | 5.500% | 182,000 | 188,152 | |
IHO Verwaltungs GmbH(a),(c) | ||||
05/15/2029 | 6.375% | 8,000 | 8,133 | |
KAR Auction Services, Inc.(a) | ||||
06/01/2025 | 5.125% | 1,026,000 | 1,009,606 | |
Panther BF Aggregator 2 LP/Finance Co., Inc.(a) | ||||
05/15/2027 | 8.500% | 532,000 | 535,363 | |
Total | 7,419,319 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Brokerage/Asset Managers/Exchanges 0.7% | ||||
Advisor Group Holdings, Inc.(a) | ||||
08/01/2027 | 10.750% | 246,000 | 244,704 | |
AG Issuer LLC(a) | ||||
03/01/2028 | 6.250% | 243,000 | 230,228 | |
NFP Corp.(a) | ||||
05/15/2025 | 7.000% | 208,000 | 218,400 | |
07/15/2025 | 6.875% | 1,360,000 | 1,341,236 | |
Total | 2,034,568 | |||
Building Materials 1.3% | ||||
American Builders & Contractors Supply Co., Inc.(a) | ||||
01/15/2028 | 4.000% | 1,533,000 | 1,488,432 | |
Beacon Roofing Supply, Inc.(a) | ||||
11/01/2025 | 4.875% | 515,000 | 460,637 | |
11/15/2026 | 4.500% | 514,000 | 502,132 | |
Core & Main LP(a) | ||||
08/15/2025 | 6.125% | 1,140,000 | 1,134,924 | |
James Hardie International Finance DAC(a) | ||||
01/15/2025 | 4.750% | 79,000 | 80,377 | |
01/15/2028 | 5.000% | 420,000 | 432,240 | |
Total | 4,098,742 | |||
Cable and Satellite 7.9% | ||||
CCO Holdings LLC/Capital Corp.(a) | ||||
02/15/2026 | 5.750% | 885,000 | 917,462 | |
05/01/2026 | 5.500% | 397,000 | 411,135 | |
05/01/2027 | 5.875% | 621,000 | 647,604 | |
02/01/2028 | 5.000% | 666,000 | 687,797 | |
06/01/2029 | 5.375% | 1,240,000 | 1,308,111 | |
03/01/2030 | 4.750% | 1,876,000 | 1,920,645 | |
08/15/2030 | 4.500% | 632,000 | 644,568 | |
CSC Holdings LLC(a) | ||||
02/01/2028 | 5.375% | 1,186,000 | 1,231,826 | |
02/01/2029 | 6.500% | 3,598,000 | 3,939,145 | |
01/15/2030 | 5.750% | 338,000 | 351,726 | |
DISH DBS Corp. | ||||
07/01/2026 | 7.750% | 3,765,000 | 3,990,051 | |
DISH DBS Corp.(a),(b) | ||||
07/01/2028 | 7.375% | 554,000 | 554,680 | |
Radiate HoldCo LLC/Finance, Inc.(a) | ||||
02/15/2023 | 6.875% | 317,000 | 321,801 | |
02/15/2025 | 6.625% | 536,000 | 536,545 | |
Sirius XM Radio, Inc.(a) | ||||
07/01/2030 | 4.125% | 1,100,000 | 1,087,656 | |
Virgin Media Finance PLC(a) | ||||
07/15/2030 | 5.000% | 801,000 | 780,492 |
6 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Virgin Media Secured Finance PLC(a) | ||||
08/15/2026 | 5.500% | 1,856,000 | 1,902,469 | |
Ziggo Bond Co. BV(a) | ||||
02/28/2030 | 5.125% | 300,000 | 297,434 | |
Ziggo Bond Finance BV(a) | ||||
01/15/2027 | 6.000% | 789,000 | 798,585 | |
Ziggo BV(a) | ||||
01/15/2027 | 5.500% | 1,552,000 | 1,569,903 | |
01/15/2030 | 4.875% | 337,000 | 337,009 | |
Total | 24,236,644 | |||
Chemicals 4.2% | ||||
Alpha 2 BV(a),(c) | ||||
06/01/2023 | 8.750% | 980,000 | 978,729 | |
Angus Chemical Co.(a) | ||||
02/15/2023 | 8.750% | 1,194,000 | 1,205,692 | |
Atotech U.S.A., Inc.(a) | ||||
02/01/2025 | 6.250% | 983,000 | 973,062 | |
Axalta Coating Systems LLC(a) | ||||
08/15/2024 | 4.875% | 805,000 | 814,837 | |
Axalta Coating Systems LLC/Dutch Holding B BV(a) | ||||
06/15/2027 | 4.750% | 642,000 | 645,407 | |
CF Industries, Inc. | ||||
03/15/2034 | 5.150% | 251,000 | 268,675 | |
03/15/2044 | 5.375% | 133,000 | 143,969 | |
Chemours Co. (The) | ||||
05/15/2027 | 5.375% | 199,000 | 180,322 | |
Illuminate Buyer LLC/Holdings IV, Inc.(a) | ||||
07/01/2028 | 9.000% | 94,000 | 97,998 | |
INEOS Group Holdings SA(a) | ||||
08/01/2024 | 5.625% | 481,000 | 465,857 | |
Innophos Holdings, Inc.(a) | ||||
02/15/2028 | 9.375% | 682,000 | 670,541 | |
Minerals Technologies, Inc.(a) | ||||
07/01/2028 | 5.000% | 434,000 | 440,503 | |
Platform Specialty Products Corp.(a) | ||||
12/01/2025 | 5.875% | 2,187,000 | 2,211,024 | |
PQ Corp.(a) | ||||
12/15/2025 | 5.750% | 975,000 | 985,138 | |
SPCM SA(a) | ||||
09/15/2025 | 4.875% | 721,000 | 729,293 | |
Starfruit Finco BV/US Holdco LLC(a) | ||||
10/01/2026 | 8.000% | 1,585,000 | 1,628,734 | |
WR Grace & Co-Conn(a) | ||||
06/15/2027 | 4.875% | 649,000 | 657,395 | |
Total | 13,097,176 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Construction Machinery 0.7% | ||||
H&E Equipment Services, Inc. | ||||
09/01/2025 | 5.625% | 614,000 | 621,779 | |
Herc Holdings, Inc.(a) | ||||
07/15/2027 | 5.500% | 782,000 | 785,836 | |
Ritchie Bros. Auctioneers, Inc.(a) | ||||
01/15/2025 | 5.375% | 364,000 | 374,194 | |
United Rentals North America, Inc. | ||||
12/15/2026 | 6.500% | 379,000 | 398,026 | |
Total | 2,179,835 | |||
Consumer Cyclical Services 2.0% | ||||
APX Group, Inc. | ||||
12/01/2022 | 7.875% | 1,059,000 | 1,053,227 | |
09/01/2023 | 7.625% | 1,265,000 | 1,165,523 | |
11/01/2024 | 8.500% | 1,264,000 | 1,237,970 | |
Expedia Group, Inc.(a) | ||||
05/01/2025 | 6.250% | 113,000 | 120,051 | |
05/01/2025 | 7.000% | 56,000 | 58,650 | |
frontdoor, Inc.(a) | ||||
08/15/2026 | 6.750% | 317,000 | 337,230 | |
Match Group, Inc.(a) | ||||
12/15/2027 | 5.000% | 48,000 | 49,957 | |
06/01/2028 | 4.625% | 452,000 | 457,846 | |
Staples, Inc.(a) | ||||
04/15/2026 | 7.500% | 392,000 | 308,744 | |
04/15/2027 | 10.750% | 176,000 | 104,430 | |
Uber Technologies, Inc.(a) | ||||
11/01/2023 | 7.500% | 527,000 | 530,106 | |
05/15/2025 | 7.500% | 708,000 | 713,623 | |
Total | 6,137,357 | |||
Consumer Products 2.0% | ||||
CD&R Smokey Buyer, Inc.(a),(b) | ||||
07/15/2025 | 6.750% | 451,000 | 469,583 | |
Energizer Holdings, Inc.(a) | ||||
07/15/2026 | 6.375% | 943,000 | 976,003 | |
01/15/2027 | 7.750% | 680,000 | 726,450 | |
Mattel, Inc.(a) | ||||
12/15/2027 | 5.875% | 671,000 | 691,516 | |
Mattel, Inc. | ||||
11/01/2041 | 5.450% | 636,000 | 527,034 | |
Newell Brands, Inc. | ||||
06/01/2025 | 4.875% | 244,000 | 255,288 | |
Prestige Brands, Inc.(a) | ||||
03/01/2024 | 6.375% | 714,000 | 734,381 | |
01/15/2028 | 5.125% | 335,000 | 336,283 |
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2020 | 7 |
June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Scotts Miracle-Gro Co. (The) | ||||
10/15/2029 | 4.500% | 184,000 | 189,344 | |
Spectrum Brands, Inc. | ||||
07/15/2025 | 5.750% | 511,000 | 524,350 | |
Valvoline, Inc.(a) | ||||
08/15/2025 | 4.375% | 219,000 | 220,300 | |
02/15/2030 | 4.250% | 509,000 | 499,049 | |
Total | 6,149,581 | |||
Diversified Manufacturing 1.5% | ||||
BWX Technologies, Inc.(a) | ||||
06/30/2028 | 4.125% | 548,000 | 546,567 | |
CFX Escrow Corp.(a) | ||||
02/15/2024 | 6.000% | 216,000 | 222,796 | |
02/15/2026 | 6.375% | 259,000 | 270,655 | |
MTS Systems Corp.(a) | ||||
08/15/2027 | 5.750% | 183,000 | 168,804 | |
Resideo Funding, Inc.(a) | ||||
11/01/2026 | 6.125% | 949,000 | 926,935 | |
SPX FLOW, Inc.(a) | ||||
08/15/2024 | 5.625% | 204,000 | 208,435 | |
TriMas Corp.(a) | ||||
10/15/2025 | 4.875% | 147,000 | 147,402 | |
Welbilt, Inc. | ||||
02/15/2024 | 9.500% | 308,000 | 293,977 | |
WESCO Distribution, Inc. | ||||
06/15/2024 | 5.375% | 427,000 | 427,130 | |
WESCO Distribution, Inc.(a) | ||||
06/15/2025 | 7.125% | 740,000 | 780,152 | |
06/15/2028 | 7.250% | 572,000 | 606,244 | |
Total | 4,599,097 | |||
Electric 4.6% | ||||
AES Corp. (The) | ||||
05/15/2026 | 6.000% | 1,048,000 | 1,090,647 | |
09/01/2027 | 5.125% | 524,000 | 543,876 | |
Calpine Corp.(a) | ||||
06/01/2026 | 5.250% | 590,000 | 595,834 | |
02/15/2028 | 4.500% | 745,000 | 731,601 | |
Clearway Energy Operating LLC | ||||
10/15/2025 | 5.750% | 824,000 | 854,667 | |
09/15/2026 | 5.000% | 866,000 | 885,830 | |
Clearway Energy Operating LLC(a) | ||||
03/15/2028 | 4.750% | 498,000 | 507,298 | |
NextEra Energy Operating Partners LP(a) | ||||
07/15/2024 | 4.250% | 495,000 | 498,186 | |
09/15/2027 | 4.500% | 2,263,000 | 2,367,159 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
NRG Energy, Inc. | ||||
01/15/2027 | 6.625% | 376,000 | 393,837 | |
01/15/2028 | 5.750% | 42,000 | 44,403 | |
NRG Energy, Inc.(a) | ||||
06/15/2029 | 5.250% | 1,513,000 | 1,592,993 | |
Pattern Energy Group, Inc.(a) | ||||
02/01/2024 | 5.875% | 489,000 | 491,727 | |
PG&E Corp. | ||||
07/01/2028 | 5.000% | 530,000 | 529,806 | |
07/01/2030 | 5.250% | 396,000 | 398,203 | |
TerraForm Power Operating LLC(a) | ||||
01/31/2028 | 5.000% | 545,000 | 572,734 | |
01/15/2030 | 4.750% | 624,000 | 635,932 | |
Vistra Operations Co. LLC(a) | ||||
02/15/2027 | 5.625% | 653,000 | 670,034 | |
07/31/2027 | 5.000% | 822,000 | 830,546 | |
Total | 14,235,313 | |||
Environmental 0.5% | ||||
GFL Environmental, Inc.(a) | ||||
06/01/2025 | 4.250% | 347,000 | 349,681 | |
12/15/2026 | 5.125% | 405,000 | 418,095 | |
05/01/2027 | 8.500% | 440,000 | 478,529 | |
Hulk Finance Corp.(a) | ||||
06/01/2026 | 7.000% | 389,000 | 405,498 | |
Total | 1,651,803 | |||
Finance Companies 2.7% | ||||
Alliance Data Systems Corp.(a) | ||||
12/15/2024 | 4.750% | 182,000 | 163,582 | |
Global Aircraft Leasing Co., Ltd.(a),(c) | ||||
09/15/2024 | 6.500% | 687,000 | 485,061 | |
Navient Corp. | ||||
03/25/2021 | 5.875% | 84,000 | 82,547 | |
07/26/2021 | 6.625% | 649,000 | 636,021 | |
01/25/2022 | 7.250% | 618,000 | 620,477 | |
06/15/2022 | 6.500% | 534,000 | 524,525 | |
01/25/2023 | 5.500% | 168,000 | 161,340 | |
Provident Funding Associates LP/Finance Corp.(a) | ||||
06/15/2025 | 6.375% | 1,140,000 | 1,077,360 | |
Quicken Loans, Inc.(a) | ||||
05/01/2025 | 5.750% | 2,186,000 | 2,236,003 | |
Springleaf Finance Corp. | ||||
03/15/2023 | 5.625% | 905,000 | 915,035 | |
03/15/2024 | 6.125% | 974,000 | 988,628 | |
06/01/2025 | 8.875% | 265,000 | 283,206 | |
Total | 8,173,785 |
8 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Food and Beverage 3.3% | ||||
Aramark Services, Inc.(a) | ||||
05/01/2025 | 6.375% | 238,000 | 245,744 | |
FAGE International SA/USA Dairy Industry, Inc.(a) | ||||
08/15/2026 | 5.625% | 1,026,000 | 984,018 | |
Kraft Heinz Foods Co.(a) | ||||
05/15/2027 | 3.875% | 779,000 | 813,982 | |
Kraft Heinz Foods Co. (The) | ||||
06/04/2042 | 5.000% | 718,000 | 748,944 | |
07/15/2045 | 5.200% | 436,000 | 472,429 | |
06/01/2046 | 4.375% | 1,073,000 | 1,052,765 | |
Kraft Heinz Foods Co. (The)(a) | ||||
10/01/2049 | 4.875% | 678,000 | 702,289 | |
Lamb Weston Holdings, Inc.(a) | ||||
11/01/2024 | 4.625% | 433,000 | 449,159 | |
11/01/2026 | 4.875% | 586,000 | 607,312 | |
05/15/2028 | 4.875% | 286,000 | 302,836 | |
Performance Food Group, Inc.(a) | ||||
05/01/2025 | 6.875% | 170,000 | 177,349 | |
10/15/2027 | 5.500% | 328,000 | 316,528 | |
Pilgrim’s Pride Corp.(a) | ||||
03/15/2025 | 5.750% | 166,000 | 165,497 | |
09/30/2027 | 5.875% | 603,000 | 603,361 | |
Post Holdings, Inc.(a) | ||||
03/01/2027 | 5.750% | 647,000 | 667,303 | |
01/15/2028 | 5.625% | 440,000 | 454,378 | |
04/15/2030 | 4.625% | 1,578,000 | 1,547,195 | |
Total | 10,311,089 | |||
Gaming 4.4% | ||||
Boyd Gaming Corp.(a) | ||||
06/01/2025 | 8.625% | 235,000 | 245,682 | |
12/01/2027 | 4.750% | 675,000 | 580,539 | |
Boyd Gaming Corp. | ||||
08/15/2026 | 6.000% | 418,000 | 392,736 | |
Caesars Resort Collection LLC/CRC Finco, Inc.(a) | ||||
10/15/2025 | 5.250% | 589,000 | 512,553 | |
Colt Merger Sub, Inc.(a),(b) | ||||
07/01/2025 | 5.750% | 237,000 | 238,258 | |
07/01/2025 | 6.250% | 989,000 | 985,604 | |
07/01/2027 | 8.125% | 494,000 | 477,494 | |
Eldorado Resorts, Inc. | ||||
04/01/2025 | 6.000% | 1,117,000 | 1,167,711 | |
09/15/2026 | 6.000% | 613,000 | 677,539 | |
GLP Capital LP/Financing II, Inc. | ||||
11/01/2023 | 5.375% | 29,000 | 30,984 | |
International Game Technology PLC(a) | ||||
02/15/2025 | 6.500% | 1,139,000 | 1,163,603 | |
01/15/2029 | 5.250% | 468,000 | 456,950 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
MGM Growth Properties Operating Partnership LP/Finance Co-Issuer, Inc. | ||||
05/01/2024 | 5.625% | 480,000 | 496,918 | |
09/01/2026 | 4.500% | 472,000 | 464,866 | |
02/01/2027 | 5.750% | 436,000 | 451,040 | |
MGM Growth Properties Operating Partnership LP/Finance Co-Issuer, Inc.(a) | ||||
06/15/2025 | 4.625% | 400,000 | 392,421 | |
Scientific Games International, Inc.(a) | ||||
10/15/2025 | 5.000% | 1,287,000 | 1,193,415 | |
03/15/2026 | 8.250% | 1,138,000 | 1,020,342 | |
05/15/2028 | 7.000% | 314,000 | 250,697 | |
11/15/2029 | 7.250% | 314,000 | 251,946 | |
VICI Properties LP/Note Co., Inc.(a) | ||||
12/01/2026 | 4.250% | 561,000 | 538,992 | |
02/15/2027 | 3.750% | 305,000 | 286,301 | |
12/01/2029 | 4.625% | 448,000 | 439,204 | |
Wynn Las Vegas LLC/Capital Corp.(a) | ||||
03/01/2025 | 5.500% | 874,000 | 803,070 | |
Wynn Resorts Finance LLC/Capital Corp.(a) | ||||
04/15/2025 | 7.750% | 159,000 | 160,170 | |
Total | 13,679,035 | |||
Health Care 5.1% | ||||
Acadia Healthcare Co., Inc. | ||||
02/15/2023 | 5.625% | 415,000 | 415,027 | |
03/01/2024 | 6.500% | 197,000 | 200,282 | |
Acadia Healthcare Co., Inc.(a) | ||||
07/01/2028 | 5.500% | 138,000 | 139,048 | |
Avantor, Inc.(a) | ||||
10/01/2025 | 9.000% | 1,385,000 | 1,487,983 | |
Change Healthcare Holdings LLC/Finance, Inc.(a) | ||||
03/01/2025 | 5.750% | 1,357,000 | 1,339,772 | |
Charles River Laboratories International, Inc.(a) | ||||
04/01/2026 | 5.500% | 362,000 | 378,756 | |
05/01/2028 | 4.250% | 249,000 | 248,852 | |
CHS/Community Health Systems, Inc. | ||||
03/31/2023 | 6.250% | 912,000 | 858,373 | |
CHS/Community Health Systems, Inc.(a) | ||||
02/15/2025 | 6.625% | 798,000 | 760,977 | |
HCA, Inc. | ||||
09/01/2028 | 5.625% | 530,000 | 591,079 | |
02/01/2029 | 5.875% | 527,000 | 595,810 | |
09/01/2030 | 3.500% | 1,360,000 | 1,303,677 | |
Hologic, Inc.(a) | ||||
10/15/2025 | 4.375% | 235,000 | 237,689 | |
MPH Acquisition Holdings LLC(a) | ||||
06/01/2024 | 7.125% | 686,000 | 637,911 | |
Ortho-Clinical Diagnostics, Inc./SA(a) | ||||
06/01/2025 | 7.375% | 162,000 | 164,869 | |
02/01/2028 | 7.250% | 218,000 | 221,354 |
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2020 | 9 |
June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Select Medical Corp.(a) | ||||
08/15/2026 | 6.250% | 1,017,000 | 1,028,073 | |
Surgery Center Holdings, Inc.(a) | ||||
04/15/2027 | 10.000% | 349,000 | 352,770 | |
Teleflex, Inc. | ||||
11/15/2027 | 4.625% | 693,000 | 728,646 | |
Teleflex, Inc.(a) | ||||
06/01/2028 | 4.250% | 223,000 | 228,935 | |
Tenet Healthcare Corp.(a) | ||||
04/01/2025 | 7.500% | 669,000 | 711,318 | |
11/01/2027 | 5.125% | 1,778,000 | 1,758,900 | |
06/15/2028 | 4.625% | 218,000 | 212,461 | |
Tenet Healthcare Corp. | ||||
08/01/2025 | 7.000% | 1,201,000 | 1,170,354 | |
Total | 15,772,916 | |||
Healthcare Insurance 1.4% | ||||
Centene Corp. | ||||
12/15/2027 | 4.250% | 1,328,000 | 1,369,834 | |
12/15/2029 | 4.625% | 1,726,000 | 1,821,105 | |
02/15/2030 | 3.375% | 1,041,000 | 1,050,327 | |
Total | 4,241,266 | |||
Home Construction 1.6% | ||||
Lennar Corp. | ||||
06/01/2026 | 5.250% | 1,071,000 | 1,160,929 | |
Meritage Homes Corp. | ||||
04/01/2022 | 7.000% | 928,000 | 982,514 | |
Shea Homes LP/Funding Corp.(a) | ||||
02/15/2028 | 4.750% | 385,000 | 364,244 | |
Taylor Morrison Communities, Inc.(a) | ||||
01/15/2028 | 5.750% | 522,000 | 540,874 | |
Taylor Morrison Communities, Inc./Holdings II(a) | ||||
04/15/2023 | 5.875% | 513,000 | 528,076 | |
03/01/2024 | 5.625% | 848,000 | 876,265 | |
TRI Pointe Group, Inc. | ||||
06/15/2028 | 5.700% | 152,000 | 155,365 | |
TRI Pointe Group, Inc./Homes | ||||
06/15/2024 | 5.875% | 343,000 | 354,100 | |
Total | 4,962,367 | |||
Independent Energy 7.0% | ||||
Callon Petroleum Co. | ||||
10/01/2024 | 6.125% | 378,000 | 141,563 | |
07/01/2026 | 6.375% | 2,277,000 | 755,383 | |
Carrizo Oil & Gas, Inc. | ||||
04/15/2023 | 6.250% | 109,000 | 41,466 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Centennial Resource Production LLC(a) | ||||
01/15/2026 | 5.375% | 621,000 | 316,224 | |
04/01/2027 | 6.875% | 751,000 | 382,494 | |
Continental Resources, Inc. | ||||
04/15/2023 | 4.500% | 155,000 | 148,361 | |
01/15/2028 | 4.375% | 182,000 | 160,690 | |
CrownRock LP/Finance, Inc.(a) | ||||
10/15/2025 | 5.625% | 1,651,000 | 1,480,523 | |
Endeavor Energy Resources LP/Finance, Inc.(a) | ||||
07/15/2025 | 6.625% | 241,000 | 242,868 | |
01/30/2026 | 5.500% | 190,000 | 182,366 | |
01/30/2028 | 5.750% | 664,000 | 639,795 | |
EQT Corp. | ||||
10/01/2027 | 3.900% | 356,000 | 289,463 | |
02/01/2030 | 7.000% | 159,000 | 163,707 | |
Hilcorp Energy I LP/Finance Co.(a) | ||||
10/01/2025 | 5.750% | 830,000 | 690,041 | |
11/01/2028 | 6.250% | 660,000 | 524,386 | |
Jagged Peak Energy LLC | ||||
05/01/2026 | 5.875% | 776,000 | 755,952 | |
Matador Resources Co. | ||||
09/15/2026 | 5.875% | 1,971,000 | 1,462,096 | |
Occidental Petroleum Corp. | ||||
08/15/2022 | 2.700% | 449,000 | 418,031 | |
08/15/2024 | 2.900% | 3,354,000 | 2,866,333 | |
04/15/2026 | 3.400% | 1,134,000 | 927,938 | |
08/15/2026 | 3.200% | 270,000 | 219,696 | |
08/15/2029 | 3.500% | 594,000 | 434,732 | |
04/15/2046 | 4.400% | 1,736,000 | 1,211,448 | |
08/15/2049 | 4.400% | 494,000 | 341,006 | |
Parsley Energy LLC/Finance Corp.(a) | ||||
10/15/2027 | 5.625% | 1,356,000 | 1,335,959 | |
02/15/2028 | 4.125% | 642,000 | 581,555 | |
QEP Resources, Inc. | ||||
03/01/2026 | 5.625% | 689,000 | 435,667 | |
SM Energy Co. | ||||
06/01/2025 | 5.625% | 329,000 | 174,386 | |
09/15/2026 | 6.750% | 1,106,000 | 560,724 | |
01/15/2027 | 6.625% | 851,000 | 420,312 | |
WPX Energy, Inc. | ||||
09/15/2024 | 5.250% | 1,336,000 | 1,320,455 | |
01/15/2030 | 4.500% | 2,052,000 | 1,805,549 | |
Total | 21,431,169 | |||
Integrated Energy 0.1% | ||||
Cenovus Energy, Inc. | ||||
04/15/2027 | 4.250% | 414,000 | 374,812 |
10 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Leisure 0.8% | ||||
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Operations LLC(a) | ||||
05/01/2025 | 5.500% | 620,000 | 622,539 | |
Cinemark USA, Inc.(a) | ||||
05/01/2025 | 8.750% | 445,000 | 466,299 | |
Live Nation Entertainment, Inc.(a) | ||||
05/15/2027 | 6.500% | 671,000 | 691,247 | |
Six Flags Theme Parks, Inc.(a) | ||||
07/01/2025 | 7.000% | 308,000 | 319,722 | |
Viking Cruises Ltd.(a) | ||||
05/15/2025 | 13.000% | 153,000 | 160,672 | |
VOC Escrow Ltd.(a) | ||||
02/15/2028 | 5.000% | 180,000 | 135,536 | |
Total | 2,396,015 | |||
Lodging 0.2% | ||||
Hilton Domestic Operating Co., Inc.(a) | ||||
05/01/2025 | 5.375% | 310,000 | 308,704 | |
05/01/2028 | 5.750% | 342,000 | 346,578 | |
Total | 655,282 | |||
Media and Entertainment 3.1% | ||||
Clear Channel Worldwide Holdings, Inc. | ||||
02/15/2024 | 9.250% | 745,000 | 691,116 | |
Clear Channel Worldwide Holdings, Inc.(a) | ||||
08/15/2027 | 5.125% | 1,039,000 | 997,850 | |
Diamond Sports Group LLC/Finance Co.(a) | ||||
08/15/2026 | 5.375% | 595,000 | 430,063 | |
08/15/2027 | 6.625% | 211,000 | 112,933 | |
iHeartCommunications, Inc. | ||||
05/01/2026 | 6.375% | 484,136 | 482,354 | |
05/01/2027 | 8.375% | 1,323,672 | 1,211,886 | |
iHeartCommunications, Inc.(a) | ||||
08/15/2027 | 5.250% | 261,000 | 250,039 | |
01/15/2028 | 4.750% | 591,000 | 546,034 | |
Lamar Media Corp.(a) | ||||
02/15/2028 | 3.750% | 337,000 | 319,311 | |
01/15/2029 | 4.875% | 193,000 | 195,075 | |
02/15/2030 | 4.000% | 129,000 | 123,839 | |
Netflix, Inc. | ||||
11/15/2028 | 5.875% | 477,000 | 542,783 | |
05/15/2029 | 6.375% | 124,000 | 144,477 | |
Netflix, Inc.(a) | ||||
11/15/2029 | 5.375% | 567,000 | 621,099 | |
06/15/2030 | 4.875% | 756,000 | 810,480 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Outfront Media Capital LLC/Corp.(a) | ||||
08/15/2027 | 5.000% | 239,000 | 215,723 | |
03/15/2030 | 4.625% | 877,000 | 801,309 | |
TEGNA, Inc.(a) | ||||
09/15/2029 | 5.000% | 731,000 | 684,547 | |
Twitter, Inc.(a) | ||||
12/15/2027 | 3.875% | 498,000 | 498,112 | |
Total | 9,679,030 | |||
Metals and Mining 4.3% | ||||
Alcoa Nederland Holding BV(a) | ||||
09/30/2024 | 6.750% | 482,000 | 494,423 | |
09/30/2026 | 7.000% | 366,000 | 378,945 | |
Big River Steel LLC/Finance Corp.(a) | ||||
09/01/2025 | 7.250% | 464,000 | 433,329 | |
Constellium NV(a) | ||||
03/01/2025 | 6.625% | 830,000 | 842,391 | |
02/15/2026 | 5.875% | 2,038,000 | 2,042,313 | |
Constellium SE(a) | ||||
06/15/2028 | 5.625% | 303,000 | 297,355 | |
Freeport-McMoRan, Inc. | ||||
09/01/2029 | 5.250% | 861,000 | 880,824 | |
03/15/2043 | 5.450% | 2,321,000 | 2,281,493 | |
HudBay Minerals, Inc.(a) | ||||
01/15/2023 | 7.250% | 914,000 | 901,121 | |
01/15/2025 | 7.625% | 1,934,000 | 1,848,364 | |
Novelis Corp.(a) | ||||
09/30/2026 | 5.875% | 2,013,000 | 2,010,191 | |
01/30/2030 | 4.750% | 1,043,000 | 996,407 | |
Total | 13,407,156 | |||
Midstream 5.5% | ||||
Cheniere Energy Partners LP | ||||
10/01/2026 | 5.625% | 599,000 | 594,504 | |
DCP Midstream Operating LP | ||||
04/01/2044 | 5.600% | 2,711,000 | 2,180,401 | |
Delek Logistics Partners LP/Finance Corp. | ||||
05/15/2025 | 6.750% | 885,000 | 809,303 | |
EQM Midstream Partners LP(a) | ||||
07/01/2025 | 6.000% | 369,000 | 373,720 | |
07/01/2027 | 6.500% | 352,000 | 360,508 | |
Genesis Energy LP/Finance Corp. | ||||
06/15/2024 | 5.625% | 157,000 | 137,959 | |
10/01/2025 | 6.500% | 96,000 | 82,456 | |
02/01/2028 | 7.750% | 414,000 | 364,320 | |
Holly Energy Partners LP/Finance Corp.(a) | ||||
02/01/2028 | 5.000% | 861,000 | 820,194 |
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2020 | 11 |
June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
NuStar Logistics LP | ||||
06/01/2026 | 6.000% | 522,000 | 501,880 | |
04/28/2027 | 5.625% | 124,000 | 119,836 | |
Rockies Express Pipeline LLC(a) | ||||
07/15/2029 | 4.950% | 573,000 | 533,891 | |
Rockpoint Gas Storage Canada Ltd.(a) | ||||
03/31/2023 | 7.000% | 916,000 | 841,988 | |
Sunoco LP/Finance Corp. | ||||
01/15/2023 | 4.875% | 401,000 | 399,427 | |
02/15/2026 | 5.500% | 1,052,000 | 1,021,786 | |
Tallgrass Energy Partners LP/Finance Corp.(a) | ||||
03/01/2027 | 6.000% | 603,000 | 536,675 | |
01/15/2028 | 5.500% | 499,000 | 426,667 | |
Targa Resources Partners LP/Finance Corp. | ||||
02/01/2027 | 5.375% | 489,000 | 471,778 | |
01/15/2028 | 5.000% | 1,707,000 | 1,604,527 | |
Targa Resources Partners LP/Finance Corp.(a) | ||||
03/01/2030 | 5.500% | 1,490,000 | 1,434,333 | |
TransMontaigne Partners LP/TLP Finance Corp. | ||||
02/15/2026 | 6.125% | 1,096,000 | 1,058,519 | |
Western Midstream Operating LP | ||||
02/01/2025 | 3.100% | 910,000 | 865,541 | |
02/01/2030 | 4.050% | 1,316,000 | 1,265,867 | |
Total | 16,806,080 | |||
Oil Field Services 1.1% | ||||
Apergy Corp. | ||||
05/01/2026 | 6.375% | 518,000 | 480,976 | |
Archrock Partners LP/Finance Corp.(a) | ||||
04/01/2028 | 6.250% | 627,000 | 577,347 | |
Nabors Industries Ltd.(a) | ||||
01/15/2026 | 7.250% | 976,000 | 609,367 | |
01/15/2028 | 7.500% | 385,000 | 237,772 | |
Transocean Sentry Ltd.(a) | ||||
05/15/2023 | 5.375% | 998,000 | 843,310 | |
Transocean, Inc.(a) | ||||
02/01/2027 | 8.000% | 360,000 | 198,838 | |
USA Compression Partners LP/Finance Corp. | ||||
09/01/2027 | 6.875% | 438,000 | 417,643 | |
Total | 3,365,253 | |||
Other Financial Institutions 0.1% | ||||
Vertical US Newco, Inc.(a),(b) | ||||
07/15/2027 | 5.250% | 257,000 | 257,000 | |
Other Industry 0.1% | ||||
Hillenbrand, Inc. | ||||
06/15/2025 | 5.750% | 149,000 | 154,208 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Other REIT 0.3% | ||||
Ladder Capital Finance Holdings LLLP/Corp.(a) | ||||
10/01/2025 | 5.250% | 915,000 | 787,994 | |
Packaging 2.4% | ||||
ARD Finance SA(a),(c) | ||||
06/30/2027 | 6.500% | 287,000 | 284,161 | |
Ardagh Packaging Finance PLC/Holdings USA, Inc.(a) | ||||
04/30/2025 | 5.250% | 368,000 | 378,106 | |
08/15/2026 | 4.125% | 641,000 | 630,404 | |
08/15/2027 | 5.250% | 892,000 | 875,298 | |
Berry Global Escrow Corp.(a) | ||||
07/15/2026 | 4.875% | 249,000 | 251,392 | |
BWAY Holding Co.(a) | ||||
04/15/2024 | 5.500% | 1,038,000 | 1,020,506 | |
Flex Acquisition Co., Inc.(a) | ||||
07/15/2026 | 7.875% | 575,000 | 557,169 | |
Novolex(a) | ||||
01/15/2025 | 6.875% | 387,000 | 372,115 | |
Owens-Brockway Glass Container, Inc.(a) | ||||
08/15/2023 | 5.875% | 415,000 | 427,450 | |
Reynolds Group Issuer, Inc./LLC(a) | ||||
07/15/2024 | 7.000% | 1,521,000 | 1,527,658 | |
Trivium Packaging Finance BV(a) | ||||
08/15/2026 | 5.500% | 623,000 | 632,928 | |
08/15/2027 | 8.500% | 530,000 | 566,392 | |
Total | 7,523,579 | |||
Pharmaceuticals 3.1% | ||||
Bausch Health Companies, Inc.(a) | ||||
03/15/2024 | 7.000% | 81,000 | 83,998 | |
04/15/2025 | 6.125% | 1,788,000 | 1,811,591 | |
11/01/2025 | 5.500% | 730,000 | 748,040 | |
12/15/2025 | 9.000% | 196,000 | 211,371 | |
04/01/2026 | 9.250% | 1,148,000 | 1,244,502 | |
01/31/2027 | 8.500% | 1,094,000 | 1,166,546 | |
02/15/2029 | 6.250% | 802,000 | 806,467 | |
Catalent Pharma Solutions, Inc.(a) | ||||
01/15/2026 | 4.875% | 652,000 | 664,857 | |
07/15/2027 | 5.000% | 178,000 | 184,888 | |
Endo Dac/Finance LLC/Finco, Inc.(a) | ||||
07/31/2027 | 9.500% | 474,000 | 501,350 | |
06/30/2028 | 6.000% | 655,000 | 422,475 | |
Jaguar Holding Co. II/PPD Development LP(a) | ||||
06/15/2025 | 4.625% | 306,000 | 311,138 | |
06/15/2028 | 5.000% | 282,000 | 288,637 | |
Par Pharmaceutical, Inc.(a) | ||||
04/01/2027 | 7.500% | 1,047,000 | 1,073,964 | |
Total | 9,519,824 |
12 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Property & Casualty 0.9% | ||||
Alliant Holdings Intermediate LLC/Co-Issuer(a) | ||||
10/15/2027 | 6.750% | 1,152,000 | 1,143,788 | |
HUB International Ltd.(a) | ||||
05/01/2026 | 7.000% | 1,169,000 | 1,165,692 | |
USI, Inc.(a) | ||||
05/01/2025 | 6.875% | 347,000 | 349,774 | |
Total | 2,659,254 | |||
Restaurants 0.9% | ||||
1011778 BC ULC/New Red Finance, Inc.(a) | ||||
04/15/2025 | 5.750% | 551,000 | 579,059 | |
IRB Holding Corp.(a) | ||||
06/15/2025 | 7.000% | 536,000 | 551,991 | |
02/15/2026 | 6.750% | 1,693,000 | 1,617,879 | |
Yum! Brands, Inc.(a) | ||||
04/01/2025 | 7.750% | 106,000 | 114,318 | |
Total | 2,863,247 | |||
Retailers 1.5% | ||||
Burlington Coat Factory Warehouse Corp.(a) | ||||
04/15/2025 | 6.250% | 114,000 | 118,836 | |
L Brands, Inc.(a) | ||||
07/01/2025 | 6.875% | 376,000 | 388,473 | |
07/01/2025 | 9.375% | 152,000 | 152,201 | |
L Brands, Inc. | ||||
02/01/2028 | 5.250% | 358,000 | 282,987 | |
06/15/2029 | 7.500% | 208,000 | 182,811 | |
11/01/2035 | 6.875% | 536,000 | 446,918 | |
Nordstrom, Inc.(a) | ||||
05/15/2025 | 8.750% | 141,000 | 151,622 | |
PetSmart, Inc.(a) | ||||
03/15/2023 | 7.125% | 1,728,000 | 1,703,508 | |
06/01/2025 | 5.875% | 1,051,000 | 1,054,697 | |
Total | 4,482,053 | |||
Supermarkets 0.8% | ||||
Albertsons Companies LLC/Safeway, Inc./New Albertsons LP | ||||
03/15/2025 | 5.750% | 528,000 | 539,298 | |
Albertsons Companies LLC/Safeway, Inc./New Albertsons LP(a) | ||||
03/15/2026 | 7.500% | 420,000 | 454,994 | |
02/15/2028 | 5.875% | 473,000 | 487,926 | |
Albertsons Companies, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(a) | ||||
01/15/2027 | 4.625% | 708,000 | 707,961 | |
02/15/2030 | 4.875% | 389,000 | 399,434 | |
Total | 2,589,613 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Technology 5.5% | ||||
Ascend Learning LLC(a) | ||||
08/01/2025 | 6.875% | 641,000 | 645,066 | |
08/01/2025 | 6.875% | 604,000 | 612,204 | |
Banff Merger Sub, Inc.(a) | ||||
09/01/2026 | 9.750% | 184,000 | 185,356 | |
Boxer Parent Co., Inc.(a) | ||||
10/02/2025 | 7.125% | 212,000 | 222,270 | |
03/01/2026 | 9.125% | 129,000 | 133,180 | |
Camelot Finance SA(a) | ||||
11/01/2026 | 4.500% | 501,000 | 501,000 | |
CDK Global, Inc. | ||||
06/01/2027 | 4.875% | 497,000 | 509,745 | |
CommScope Technologies LLC(a) | ||||
06/15/2025 | 6.000% | 902,000 | 870,186 | |
Ensemble S Merger Sub, Inc.(a) | ||||
09/30/2023 | 9.000% | 246,000 | 248,524 | |
Gartner, Inc.(a) | ||||
04/01/2025 | 5.125% | 1,589,000 | 1,626,780 | |
07/01/2028 | 4.500% | 637,000 | 643,447 | |
Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/U.S. Holdings I LLC(a) | ||||
11/30/2024 | 10.000% | 779,000 | 808,222 | |
Iron Mountain, Inc.(a) | ||||
07/15/2030 | 5.250% | 787,000 | 775,197 | |
Microchip Technology, Inc.(a) | ||||
09/01/2025 | 4.250% | 607,000 | 609,824 | |
NCR Corp. | ||||
12/15/2023 | 6.375% | 1,269,000 | 1,291,073 | |
NCR Corp.(a) | ||||
04/15/2025 | 8.125% | 453,000 | 480,327 | |
Plantronics, Inc.(a) | ||||
05/31/2023 | 5.500% | 1,167,000 | 1,021,902 | |
PTC, Inc.(a) | ||||
02/15/2025 | 3.625% | 178,000 | 176,499 | |
02/15/2028 | 4.000% | 256,000 | 254,181 | |
Qualitytech LP/QTS Finance Corp.(a) | ||||
11/15/2025 | 4.750% | 1,589,000 | 1,628,816 | |
Refinitiv US Holdings, Inc.(a) | ||||
05/15/2026 | 6.250% | 89,000 | 94,324 | |
11/15/2026 | 8.250% | 1,265,000 | 1,369,268 | |
Sabre GLBL, Inc.(a) | ||||
04/15/2025 | 9.250% | 123,000 | 129,503 | |
Solera LLC/Finance, Inc.(a) | ||||
03/01/2024 | 10.500% | 465,000 | 473,088 |
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2020 | 13 |
June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Tempo Acquisition LLC/Finance Corp.(a) | ||||
06/01/2025 | 5.750% | 344,000 | 353,580 | |
06/01/2025 | 6.750% | 210,000 | 212,995 | |
Verscend Escrow Corp.(a) | ||||
08/15/2026 | 9.750% | 1,020,000 | 1,098,950 | |
Total | 16,975,507 | |||
Transportation Services 0.7% | ||||
Avis Budget Car Rental LLC/Finance, Inc.(a) | ||||
03/15/2025 | 5.250% | 329,000 | 255,738 | |
Hertz Corp. (The)(a),(d) | ||||
06/01/2022 | 0.000% | 688,000 | 518,803 | |
10/15/2024 | 0.000% | 445,000 | 138,479 | |
08/01/2026 | 0.000% | 577,000 | 180,100 | |
01/15/2028 | 0.000% | 1,777,000 | 554,826 | |
XPO Logistics, Inc.(a) | ||||
06/15/2022 | 6.500% | 517,000 | 517,644 | |
Total | 2,165,590 | |||
Wireless 5.2% | ||||
Altice France Holding SA(a) | ||||
05/15/2027 | 10.500% | 954,000 | 1,054,442 | |
02/15/2028 | 6.000% | 799,000 | 755,323 | |
Altice France SA(a) | ||||
05/01/2026 | 7.375% | 2,433,000 | 2,533,136 | |
02/01/2027 | 8.125% | 775,000 | 849,296 | |
01/15/2028 | 5.500% | 975,000 | 985,320 | |
SBA Communications Corp. | ||||
09/01/2024 | 4.875% | 2,468,000 | 2,526,556 | |
Sprint Capital Corp. | ||||
11/15/2028 | 6.875% | 1,937,000 | 2,362,421 | |
03/15/2032 | 8.750% | 382,000 | 546,378 | |
Sprint Corp. | ||||
03/01/2026 | 7.625% | 1,165,000 | 1,375,972 | |
T-Mobile U.S.A., Inc. | ||||
01/15/2026 | 6.500% | 1,053,000 | 1,101,668 | |
02/01/2026 | 4.500% | 746,000 | 754,817 | |
02/01/2028 | 4.750% | 1,149,000 | 1,213,718 | |
Total | 16,059,047 | |||
Wirelines 2.5% | ||||
CenturyLink, Inc. | ||||
04/01/2024 | 7.500% | 1,020,000 | 1,121,889 | |
04/01/2025 | 5.625% | 1,358,000 | 1,404,570 | |
CenturyLink, Inc.(a) | ||||
12/15/2026 | 5.125% | 1,417,000 | 1,415,036 | |
02/15/2027 | 4.000% | 385,000 | 373,819 | |
Front Range BidCo, Inc.(a) | ||||
03/01/2027 | 4.000% | 1,034,000 | 983,300 | |
03/01/2028 | 6.125% | 962,000 | 935,110 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Level 3 Financing, Inc.(a) | ||||
07/01/2028 | 4.250% | 1,108,000 | 1,106,895 | |
Telecom Italia Capital SA | ||||
09/30/2034 | 6.000% | 336,000 | 365,508 | |
Total | 7,706,127 | |||
Total Corporate Bonds & Notes (Cost $299,221,164) | 293,510,347 | |||
Foreign Government Obligations(e) 0.2% | ||||
Canada 0.2% | ||||
NOVA Chemicals Corp.(a) | ||||
06/01/2027 | 5.250% | 754,000 | 663,385 | |
Total Foreign Government Obligations (Cost $773,181) | 663,385 | |||
Senior Loans 2.6% | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Consumer Cyclical Services 0.5% | ||||
8th Avenue Food & Provisions, Inc.(f),(g) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 3.500% 10/01/2025 | 3.685% | 705,274 | 682,501 | |
2nd Lien Term Loan | ||||
3-month USD LIBOR + 7.750% 10/01/2026 | 7.935% | 752,935 | 715,913 | |
Total | 1,398,414 | |||
Finance Companies 0.3% | ||||
Ellie Mae, Inc.(f),(g) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 3.750% 04/17/2026 | 4.058% | 957,762 | 925,677 | |
Food and Beverage 0.2% | ||||
BellRing Brands LLC(f),(g) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 5.000% Floor 1.000% 10/21/2024 | 6.000% | 592,800 | 588,727 | |
Froneri International Ltd.(f),(g) | ||||
2nd Lien Term Loan | ||||
1-month USD LIBOR + 5.750% 01/31/2028 | 5.928% | 138,000 | 130,755 | |
Total | 719,482 |
14 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Metals and Mining 0.5% | ||||
Big River Steel LLC(f),(g) | ||||
Term Loan | ||||
3-month USD LIBOR + 5.000% Floor 1.000% 08/23/2023 | 6.000% | 1,630,422 | 1,528,521 | |
Restaurants 0.3% | ||||
IRB Holding Corp./Arby’s/Buffalo Wild Wings(f),(g) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 2.750% Floor 1.000% 02/05/2025 | 3.750% | 1,049,578 | 966,735 | |
Technology 0.8% | ||||
Applied Systems, Inc.(f),(g) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 3.250% Floor 1.000% 09/19/2024 | 4.250% | 384,246 | 372,849 | |
Ascend Learning LLC(f),(g) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.000% Floor 1.000% 07/12/2024 | 4.000% | 331,403 | 314,627 | |
Informatica LLC(f),(h) | ||||
2nd Lien Term Loan | ||||
02/25/2025 | 7.125% | 790,000 | 789,013 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Project Alpha Intermediate Holding, Inc.(f),(g) | ||||
Term Loan | ||||
3-month USD LIBOR + 4.250% 04/26/2024 | 6.130% | 583,665 | 561,778 | |
Ultimate Software Group, Inc. (The)(f),(g) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 3.750% 05/04/2026 | 3.928% | 434,715 | 420,439 | |
Total | 2,458,706 | |||
Total Senior Loans (Cost $8,323,593) | 7,997,535 |
Money Market Funds 2.1% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(i),(j) | 6,541,909 | 6,541,909 |
Total Money Market Funds (Cost $6,542,174) | 6,541,909 | |
Total Investments in Securities (Cost: $314,860,112) | 308,713,176 | |
Other Assets & Liabilities, Net | (478,063) | |
Net Assets | 308,235,113 |
(a) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At June 30, 2020, the total value of these securities amounted to $197,593,919, which represents 64.10% of total net assets. |
(b) | Represents a security purchased on a when-issued basis. |
(c) | Payment-in-kind security. Interest can be paid by issuing additional par of the security or in cash. |
(d) | Represents securities that have defaulted on payment of interest. The Fund has stopped accruing interest on these securities. At June 30, 2020, the total value of these securities amounted to $1,392,208, which represents 0.45% of total net assets. |
(e) | Principal and interest may not be guaranteed by a governmental entity. |
(f) | The stated interest rate represents the weighted average interest rate at June 30, 2020 of contracts within the senior loan facility. Interest rates on contracts are primarily determined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. These base lending rates are primarily the LIBOR and other short-term rates. Base lending rates may be subject to a floor or minimum rate. The interest rate for senior loans purchased on a when-issued or delayed delivery basis will be determined upon settlement, therefore no interest rate is disclosed. Senior loans often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, cannot be predicted with accuracy. As a result, remaining maturities of senior loans may be less than the stated maturities. Generally, the Fund is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. |
(g) | Variable rate security. The interest rate shown was the current rate as of June 30, 2020. |
(h) | Represents a security purchased on a forward commitment basis. |
(i) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2020 | 15 |
June 30, 2020 (Unaudited)
(j) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | ||||||||
9,198,245 | 68,511,083 | (71,167,154) | (265) | 6,541,909 | (1,601) | 51,826 | 6,541,909 |
LIBOR | London Interbank Offered Rate |
■ | 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 | — | 293,510,347 | — | 293,510,347 |
Foreign Government Obligations | — | 663,385 | — | 663,385 |
Senior Loans | — | 7,997,535 | — | 7,997,535 |
Money Market Funds | 6,541,909 | — | — | 6,541,909 |
Total Investments in Securities | 6,541,909 | 302,171,267 | — | 308,713,176 |
16 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
See the Portfolio of Investments for all investment classifications not indicated in the table.
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2020 | 17 |
June 30, 2020 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $308,317,938) | $302,171,267 |
Affiliated issuers (cost $6,542,174) | 6,541,909 |
Cash | 79,685 |
Receivable for: | |
Investments sold on a delayed delivery basis | 45,450 |
Dividends | 2,053 |
Interest | 4,863,985 |
Foreign tax reclaims | 2,960 |
Expense reimbursement due from Investment Manager | 839 |
Total assets | 313,708,148 |
Liabilities | |
Payable for: | |
Investments purchased | 206,853 |
Investments purchased on a delayed delivery basis | 4,789,152 |
Capital shares purchased | 332,368 |
Management services fees | 5,540 |
Distribution and/or service fees | 1,271 |
Service fees | 21,600 |
Compensation of board members | 63,736 |
Compensation of chief compliance officer | 41 |
Other expenses | 52,474 |
Total liabilities | 5,473,035 |
Net assets applicable to outstanding capital stock | $308,235,113 |
Represented by | |
Paid in capital | 295,899,809 |
Total distributable earnings (loss) | 12,335,304 |
Total - representing net assets applicable to outstanding capital stock | $308,235,113 |
Class 1 | |
Net assets | $330,606 |
Shares outstanding | 50,354 |
Net asset value per share | $6.57 |
Class 2 | |
Net assets | $63,863,870 |
Shares outstanding | 9,837,478 |
Net asset value per share | $6.49 |
Class 3 | |
Net assets | $244,040,637 |
Shares outstanding | 37,297,514 |
Net asset value per share | $6.54 |
18 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2020 |
Six Months Ended June 30, 2020 (Unaudited)
Net investment income | |
Income: | |
Dividends — affiliated issuers | $51,826 |
Interest | 9,419,482 |
Total income | 9,471,308 |
Expenses: | |
Management services fees | 1,046,796 |
Distribution and/or service fees | |
Class 2 | 82,831 |
Class 3 | 157,682 |
Service fees | 108,304 |
Compensation of board members | 4,599 |
Custodian fees | 4,434 |
Printing and postage fees | 31,150 |
Audit fees | 19,642 |
Legal fees | 5,431 |
Compensation of chief compliance officer | 37 |
Other | 3,955 |
Total expenses | 1,464,861 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (156,235) |
Total net expenses | 1,308,626 |
Net investment income | 8,162,682 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (2,874,035) |
Investments — affiliated issuers | (1,601) |
Net realized loss | (2,875,636) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (20,439,163) |
Investments — affiliated issuers | (265) |
Net change in unrealized appreciation (depreciation) | (20,439,428) |
Net realized and unrealized loss | (23,315,064) |
Net decrease in net assets resulting from operations | $(15,152,382) |
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2020 | 19 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||
Net investment income | $8,162,682 | $17,966,524 |
Net realized loss | (2,875,636) | (3,330,985) |
Net change in unrealized appreciation (depreciation) | (20,439,428) | 39,045,387 |
Net increase (decrease) in net assets resulting from operations | (15,152,382) | 53,680,926 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | — | (2,053) |
Class 2 | — | (3,646,317) |
Class 3 | — | (16,398,732) |
Total distributions to shareholders | — | (20,047,102) |
Decrease in net assets from capital stock activity | (32,478,353) | (11,468,179) |
Total increase (decrease) in net assets | (47,630,735) | 22,165,645 |
Net assets at beginning of period | 355,865,848 | 333,700,203 |
Net assets at end of period | $308,235,113 | $355,865,848 |
Six Months Ended | Year Ended | |||
June 30, 2020 (Unaudited) | December 31, 2019 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 21,416 | 140,547 | 33,742 | 227,316 |
Distributions reinvested | — | — | 314 | 2,053 |
Redemptions | (4,320) | (27,308) | (2,594) | (17,422) |
Net increase | 17,096 | 113,239 | 31,462 | 211,947 |
Class 2 | ||||
Subscriptions | 2,418,021 | 15,702,788 | 3,664,334 | 24,222,455 |
Distributions reinvested | — | — | 562,634 | 3,646,317 |
Redemptions | (3,641,923) | (23,473,740) | (2,036,314) | (13,399,642) |
Net increase (decrease) | (1,223,902) | (7,770,952) | 2,190,654 | 14,469,130 |
Class 3 | ||||
Subscriptions | 85,304 | 564,620 | 111,269 | 745,528 |
Distributions reinvested | — | — | 2,514,868 | 16,398,732 |
Redemptions | (4,002,873) | (25,385,260) | (6,513,875) | (43,293,516) |
Net decrease | (3,917,569) | (24,820,640) | (3,887,738) | (26,149,256) |
Total net decrease | (5,124,375) | (32,478,353) | (1,665,622) | (11,468,179) |
20 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2020 | 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 | ||||||
Six Months Ended 6/30/2020 (Unaudited) | $6.83 | 0.17 | (0.43) | (0.26) | — | — |
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 | ||||||
Six Months Ended 6/30/2020 (Unaudited) | $6.76 | 0.16 | (0.43) | (0.27) | — | — |
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 | ||||||
Six Months Ended 6/30/2020 (Unaudited) | $6.81 | 0.17 | (0.44) | (0.27) | — | — |
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. |
(c) | Annualized. |
22 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2020 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $6.57 | (3.81%) | 0.77%(c) | 0.67%(c) | 5.33%(c) | 34% | $331 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $6.49 | (3.99%) | 1.02%(c) | 0.92%(c) | 5.00%(c) | 34% | $63,864 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $6.54 | (3.96%) | 0.89%(c) | 0.79%(c) | 5.15%(c) | 34% | $244,041 |
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% | $420,576 |
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2020 | 23 |
June 30, 2020 (Unaudited)
24 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2020 | 25 |
June 30, 2020 (Unaudited)
26 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2020 | 27 |
June 30, 2020 (Unaudited)
Fee rate(s) contractual through April 30, 2021 | |
Class 1 | 0.67% |
Class 2 | 0.92 |
Class 3 | 0.795 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
314,860,000 | 7,191,000 | (13,338,000) | (6,147,000) |
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
(954,578) | (3,460,122) | (4,414,700) |
28 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2020 | 29 |
June 30, 2020 (Unaudited)
30 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2020 | 31 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
32 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2020 |
Nature, extent and quality of services provided by Columbia Threadneedle
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2020 | 33 |
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of the Funds’ fee rates, and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Board accorded particular weight to the notion that the primary objective of the level of fees is to achieve a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) approximated the peer universe’s median expense ratio. Based on its review, the Board concluded that the Fund’s management fee was fair and reasonable in light of the extent and quality of services that the Fund receives.
34 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2020 |
June 30, 2020
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | 10.51 | 22.93 | 13.46 | 16.17 | |
Class 2 | 05/03/10 | 10.35 | 22.57 | 13.18 | 15.88 | |
Class 3 | 09/15/99 | 10.40 | 22.70 | 13.31 | 16.03 | |
Russell 1000 Growth Index | 9.81 | 23.28 | 15.89 | 17.23 |
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2020 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2020) | |
Common Stocks | 99.7 |
Money Market Funds | 0.3 |
Total | 100.0 |
Equity sector breakdown (%) (at June 30, 2020) | |
Communication Services | 12.0 |
Consumer Discretionary | 13.4 |
Consumer Staples | 4.0 |
Health Care | 16.1 |
Industrials | 7.0 |
Information Technology | 44.8 |
Real Estate | 1.6 |
Utilities | 1.1 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2020 |
(Unaudited)
January 1, 2020 — June 30, 2020 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,105.10 | 1,021.23 | 3.82 | 3.67 | 0.73 |
Class 2 | 1,000.00 | 1,000.00 | 1,103.50 | 1,019.99 | 5.13 | 4.92 | 0.98 |
Class 3 | 1,000.00 | 1,000.00 | 1,104.00 | 1,020.64 | 4.45 | 4.27 | 0.85 |
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2020 | 5 |
June 30, 2020 (Unaudited)
Common Stocks 99.4% | ||
Issuer | Shares | Value ($) |
Communication Services 11.9% | ||
Entertainment 2.3% | ||
Electronic Arts, Inc.(a) | 209,730 | 27,694,847 |
Walt Disney Co. (The) | 172,132 | 19,194,439 |
Total | 46,889,286 | |
Interactive Media & Services 8.3% | ||
Alphabet, Inc., Class A(a) | 42,743 | 60,611,711 |
Alphabet, Inc., Class C(a) | 48,130 | 68,037,049 |
Facebook, Inc., Class A(a) | 193,312 | 43,895,356 |
Total | 172,544,116 | |
Wireless Telecommunication Services 1.3% | ||
T-Mobile U.S.A., Inc.(a) | 257,643 | 26,833,519 |
Total Communication Services | 246,266,921 | |
Consumer Discretionary 13.3% | ||
Hotels, Restaurants & Leisure 1.2% | ||
Darden Restaurants, Inc. | 142,328 | 10,784,192 |
Las Vegas Sands Corp. | 322,674 | 14,694,574 |
Total | 25,478,766 | |
Internet & Direct Marketing Retail 8.1% | ||
Amazon.com, Inc.(a) | 60,282 | 166,307,187 |
Multiline Retail 1.2% | ||
Target Corp. | 207,776 | 24,918,576 |
Textiles, Apparel & Luxury Goods 2.8% | ||
Nike, Inc., Class B | 395,303 | 38,759,459 |
VF Corp. | 328,038 | 19,990,636 |
Total | 58,750,095 | |
Total Consumer Discretionary | 275,454,624 | |
Consumer Staples 4.0% | ||
Food & Staples Retailing 1.9% | ||
Costco Wholesale Corp. | 132,102 | 40,054,647 |
Food Products 1.0% | ||
Mondelez International, Inc., Class A | 398,491 | 20,374,845 |
Household Products 1.1% | ||
Procter & Gamble Co. (The) | 179,926 | 21,513,752 |
Total Consumer Staples | 81,943,244 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Health Care 16.0% | ||
Biotechnology 5.5% | ||
AbbVie, Inc. | 399,868 | 39,259,040 |
ACADIA Pharmaceuticals, Inc.(a) | 204,473 | 9,910,806 |
Alexion Pharmaceuticals, Inc.(a) | 112,965 | 12,679,192 |
BioMarin Pharmaceutical, Inc.(a) | 157,609 | 19,439,494 |
Exact Sciences Corp.(a) | 142,134 | 12,357,130 |
Vertex Pharmaceuticals, Inc.(a) | 68,228 | 19,807,271 |
Total | 113,452,933 | |
Health Care Equipment & Supplies 3.5% | ||
Abbott Laboratories | 309,461 | 28,294,019 |
Baxter International, Inc. | 247,538 | 21,313,022 |
Danaher Corp. | 123,377 | 21,816,755 |
Total | 71,423,796 | |
Health Care Providers & Services 1.3% | ||
Humana, Inc. | 68,902 | 26,716,750 |
Life Sciences Tools & Services 0.7% | ||
Bio-Techne Corp. | 57,560 | 15,199,869 |
Pharmaceuticals 5.0% | ||
Bristol-Myers Squibb Co. | 499,511 | 29,371,247 |
Eli Lilly and Co. | 238,995 | 39,238,199 |
Johnson & Johnson | 185,610 | 26,102,334 |
Royalty Pharma PLC, Class A(a) | 191,490 | 9,296,840 |
Total | 104,008,620 | |
Total Health Care | 330,801,968 | |
Industrials 7.0% | ||
Aerospace & Defense 1.2% | ||
Northrop Grumman Corp. | 80,078 | 24,619,180 |
Building Products 2.3% | ||
Masco Corp. | 475,831 | 23,891,475 |
Trane Technologies PLC | 271,978 | 24,200,602 |
Total | 48,092,077 | |
Electrical Equipment 1.2% | ||
AMETEK, Inc. | 272,523 | 24,355,381 |
6 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Machinery 1.3% | ||
Stanley Black & Decker, Inc. | 188,351 | 26,252,363 |
Road & Rail 1.0% | ||
Norfolk Southern Corp. | 119,939 | 21,057,690 |
Total Industrials | 144,376,691 | |
Information Technology 44.5% | ||
Communications Equipment 1.5% | ||
Cisco Systems, Inc. | 654,652 | 30,532,969 |
Electronic Equipment, Instruments & Components 2.2% | ||
TE Connectivity Ltd. | 241,833 | 19,721,481 |
Zebra Technologies Corp., Class A(a) | 100,835 | 25,808,718 |
Total | 45,530,199 | |
IT Services 9.8% | ||
Fidelity National Information Services, Inc. | 224,989 | 30,168,775 |
Fiserv, Inc.(a) | 273,444 | 26,693,603 |
International Business Machines Corp. | 225,010 | 27,174,458 |
PayPal Holdings, Inc.(a) | 313,913 | 54,693,062 |
Visa, Inc., Class A | 329,923 | 63,731,226 |
Total | 202,461,124 | |
Semiconductors & Semiconductor Equipment 7.4% | ||
Broadcom, Inc. | 117,253 | 37,006,219 |
Lam Research Corp. | 92,598 | 29,951,749 |
NVIDIA Corp. | 128,301 | 48,742,833 |
NXP Semiconductors NV | 191,694 | 21,860,784 |
Qorvo, Inc.(a) | 145,916 | 16,128,096 |
Total | 153,689,681 | |
Software 16.2% | ||
Adobe, Inc.(a) | 122,288 | 53,233,189 |
Bill.com Holdings, Inc.(a) | 115,838 | 10,449,746 |
Intuit, Inc. | 112,702 | 33,381,206 |
Microsoft Corp. | 828,206 | 168,548,203 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
NortonLifeLock, Inc. | 992,765 | 19,686,530 |
ServiceNow, Inc.(a) | 71,945 | 29,142,042 |
VMware, Inc., Class A(a) | 130,605 | 20,225,490 |
Total | 334,666,406 | |
Technology Hardware, Storage & Peripherals 7.4% | ||
Apple, Inc. | 422,004 | 153,947,059 |
Total Information Technology | 920,827,438 | |
Real Estate 1.6% | ||
Equity Real Estate Investment Trusts (REITS) 1.6% | ||
Equinix, Inc. | 47,103 | 33,080,437 |
Total Real Estate | 33,080,437 | |
Utilities 1.1% | ||
Electric Utilities 1.1% | ||
American Electric Power Co., Inc. | 281,924 | 22,452,427 |
Total Utilities | 22,452,427 | |
Total Common Stocks (Cost $1,359,269,818) | 2,055,203,750 | |
Money Market Funds 0.3% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(b),(c) | 6,417,258 | 6,417,258 |
Total Money Market Funds (Cost $6,417,258) | 6,417,258 | |
Total Investments in Securities (Cost: $1,365,687,076) | 2,061,621,008 | |
Other Assets & Liabilities, Net | 6,557,998 | |
Net Assets | 2,068,179,006 |
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2020 | 7 |
June 30, 2020 (Unaudited)
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | ||||||||
35,355,846 | 256,561,400 | (285,501,839) | 1,851 | 6,417,258 | (3,914) | 116,822 | 6,417,258 |
■ | 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 | 246,266,921 | — | — | 246,266,921 |
Consumer Discretionary | 275,454,624 | — | — | 275,454,624 |
Consumer Staples | 81,943,244 | — | — | 81,943,244 |
Health Care | 330,801,968 | �� | — | 330,801,968 |
Industrials | 144,376,691 | — | — | 144,376,691 |
Information Technology | 920,827,438 | — | — | 920,827,438 |
8 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Real Estate | 33,080,437 | — | — | 33,080,437 |
Utilities | 22,452,427 | — | — | 22,452,427 |
Total Common Stocks | 2,055,203,750 | — | — | 2,055,203,750 |
Money Market Funds | 6,417,258 | — | — | 6,417,258 |
Total Investments in Securities | 2,061,621,008 | — | — | 2,061,621,008 |
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2020 | 9 |
June 30, 2020 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,359,269,818) | $2,055,203,750 |
Affiliated issuers (cost $6,417,258) | 6,417,258 |
Receivable for: | |
Investments sold | 26,438,731 |
Capital shares sold | 21,395 |
Dividends | 509,953 |
Total assets | 2,088,591,087 |
Liabilities | |
Payable for: | |
Investments purchased | 17,484,772 |
Capital shares purchased | 2,575,658 |
Management services fees | 38,581 |
Distribution and/or service fees | 1,726 |
Service fees | 50,054 |
Compensation of board members | 215,524 |
Compensation of chief compliance officer | 217 |
Other expenses | 45,549 |
Total liabilities | 20,412,081 |
Net assets applicable to outstanding capital stock | $2,068,179,006 |
Represented by | |
Trust capital | $2,068,179,006 |
Total - representing net assets applicable to outstanding capital stock | $2,068,179,006 |
Class 1 | |
Net assets | $1,690,606,100 |
Shares outstanding | 69,926,127 |
Net asset value per share | $24.18 |
Class 2 | |
Net assets | $136,486,939 |
Shares outstanding | 5,791,228 |
Net asset value per share | $23.57 |
Class 3 | |
Net assets | $241,085,967 |
Shares outstanding | 10,089,684 |
Net asset value per share | $23.89 |
10 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2020 |
Six Months Ended June 30, 2020 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $9,697,492 |
Dividends — affiliated issuers | 116,822 |
Foreign taxes withheld | (24,172) |
Total income | 9,790,142 |
Expenses: | |
Management services fees | 6,784,545 |
Distribution and/or service fees | |
Class 2 | 160,103 |
Class 3 | 138,594 |
Service fees | 221,517 |
Compensation of board members | 6,816 |
Custodian fees | 6,271 |
Printing and postage fees | 31,608 |
Audit fees | 15,107 |
Legal fees | 13,257 |
Compensation of chief compliance officer | 227 |
Other | 13,806 |
Total expenses | 7,391,851 |
Net investment income | 2,398,291 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 176,159,554 |
Investments — affiliated issuers | (3,914) |
Net realized gain | 176,155,640 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 25,492,508 |
Investments — affiliated issuers | 1,851 |
Net change in unrealized appreciation (depreciation) | 25,494,359 |
Net realized and unrealized gain | 201,649,999 |
Net increase in net assets resulting from operations | $204,048,290 |
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2020 | 11 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||
Net investment income | $2,398,291 | $3,003,126 |
Net realized gain | 176,155,640 | 168,391,224 |
Net change in unrealized appreciation (depreciation) | 25,494,359 | 393,980,737 |
Net increase in net assets resulting from operations | 204,048,290 | 565,375,087 |
Decrease in net assets from capital stock activity | (198,026,711) | (121,387,167) |
Total increase in net assets | 6,021,579 | 443,987,920 |
Net assets at beginning of period | 2,062,157,427 | 1,618,169,507 |
Net assets at end of period | $2,068,179,006 | $2,062,157,427 |
Six Months Ended | Year Ended | |||
June 30, 2020 (Unaudited) | December 31, 2019 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 1,877,354 | 41,400,336 | 282,595 | 5,422,445 |
Redemptions | (9,651,328) | (219,935,891) | (4,095,180) | (79,930,505) |
Net decrease | (7,773,974) | (178,535,555) | (3,812,585) | (74,508,060) |
Class 2 | ||||
Subscriptions | 433,614 | 9,180,553 | 382,032 | 7,219,651 |
Redemptions | (782,565) | (16,446,678) | (1,146,409) | (21,781,555) |
Net decrease | (348,951) | (7,266,125) | (764,377) | (14,561,904) |
Class 3 | ||||
Subscriptions | 85,575 | 1,850,660 | 72,567 | 1,366,805 |
Redemptions | (664,212) | (14,075,691) | (1,752,447) | (33,684,008) |
Net decrease | (578,637) | (12,225,031) | (1,679,880) | (32,317,203) |
Total net decrease | (8,701,562) | (198,026,711) | (6,256,842) | (121,387,167) |
12 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2020 | 13 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $21.88 | 0.03 | 2.27 | 2.30 |
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 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $21.36 | 0.00(d) | 2.21 | 2.21 |
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(d) | 1.03 | 1.03 |
Class 3 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $21.64 | 0.02 | 2.23 | 2.25 |
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) | Annualized. |
(d) | Rounds to zero. |
14 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2020 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $24.18 | 10.51% | 0.73%(c) | 0.73%(c) | 0.28%(c) | 30% | $1,690,606 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $23.57 | 10.35% | 0.98%(c) | 0.98%(c) | 0.03%(c) | 30% | $136,487 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $23.89 | 10.40% | 0.85%(c) | 0.85%(c) | 0.15%(c) | 30% | $241,086 |
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 | Semiannual Report 2020 | 15 |
June 30, 2020 (Unaudited)
16 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2020 | 17 |
June 30, 2020 (Unaudited)
18 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Fee rate(s) contractual July 1, 2020 through April 30, 2021 | |
Class 1 | 0.75% |
Class 2 | 1.00 |
Class 3 | 0.875 |
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2020 | 19 |
June 30, 2020 (Unaudited)
20 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2020 | 21 |
June 30, 2020 (Unaudited)
22 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2020 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2020 | 23 |
Nature, extent and quality of services provided by Columbia Threadneedle
24 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2020 |
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of the Funds’ fee rates, and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Board accorded particular weight to the notion that the primary objective of the level of fees is to achieve a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) approximated the peer universe’s median expense ratio. Based on its review, the Board concluded that the Fund’s management fee was fair and reasonable in light of the extent and quality of services that the Fund receives.
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2020 | 25 |
June 30, 2020
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | -13.08 | -6.61 | 5.49 | 9.47 | |
Class 2 | 05/03/10 | -13.17 | -6.84 | 5.23 | 9.19 | |
Class 3 | 09/15/99 | -13.14 | -6.73 | 5.36 | 9.33 | |
MSCI USA High Dividend Yield Index (Net) | -11.85 | -4.52 | 7.73 | 11.71 | ||
Russell 1000 Value Index | -16.26 | -8.84 | 4.64 | 10.41 |
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2020 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2020) | |
Common Stocks | 90.3 |
Convertible Bonds | 0.7 |
Convertible Preferred Stocks | 8.7 |
Money Market Funds | 0.3 |
Total | 100.0 |
Equity sector breakdown (%) (at June 30, 2020) | |
Communication Services | 8.5 |
Consumer Discretionary | 4.1 |
Consumer Staples | 12.2 |
Energy | 7.9 |
Financials | 15.4 |
Health Care | 18.2 |
Industrials | 5.9 |
Information Technology | 11.5 |
Materials | 2.6 |
Real Estate | 5.6 |
Utilities | 8.1 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2020 |
(Unaudited)
January 1, 2020 — June 30, 2020 | |||||||
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 | 869.20 | 1,021.28 | 3.35 | 3.62 | 0.72 |
Class 2 | 1,000.00 | 1,000.00 | 868.30 | 1,020.04 | 4.51 | 4.87 | 0.97 |
Class 3 | 1,000.00 | 1,000.00 | 868.60 | 1,020.69 | 3.90 | 4.22 | 0.84 |
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2020 | 5 |
June 30, 2020 (Unaudited)
Common Stocks 90.0% | ||
Issuer | Shares | Value ($) |
Communication Services 7.8% | ||
Diversified Telecommunication Services 7.3% | ||
AT&T, Inc. | 1,125,000 | 34,008,750 |
BCE, Inc. | 300,000 | 12,531,000 |
Verizon Communications, Inc. | 855,000 | 47,136,150 |
Total | 93,675,900 | |
Media 0.5% | ||
Comcast Corp., Class A | 165,000 | 6,431,700 |
Total Communication Services | 100,107,600 | |
Consumer Discretionary 3.5% | ||
Hotels, Restaurants & Leisure 0.9% | ||
Extended Stay America, Inc. | 500,000 | 5,595,000 |
Wyndham Destinations, Inc. | 190,000 | 5,354,200 |
Total | 10,949,200 | |
Household Durables 0.6% | ||
Newell Brands, Inc. | 475,000 | 7,543,000 |
Multiline Retail 1.0% | ||
Target Corp. | 107,500 | 12,892,475 |
Specialty Retail 1.0% | ||
Home Depot, Inc. (The) | 52,500 | 13,151,775 |
Total Consumer Discretionary | 44,536,450 | |
Consumer Staples 12.0% | ||
Beverages 4.8% | ||
Coca-Cola Co. (The) | 550,000 | 24,574,000 |
PepsiCo, Inc. | 275,000 | 36,371,500 |
Total | 60,945,500 | |
Food Products 1.5% | ||
General Mills, Inc. | 215,000 | 13,254,750 |
JM Smucker Co. (The) | 55,000 | 5,819,550 |
Total | 19,074,300 | |
Household Products 2.6% | ||
Kimberly-Clark Corp. | 95,000 | 13,428,250 |
Procter & Gamble Co. (The) | 167,500 | 20,027,975 |
Total | 33,456,225 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Tobacco 3.1% | ||
Altria Group, Inc. | 400,000 | 15,700,000 |
Philip Morris International, Inc. | 350,000 | 24,521,000 |
Total | 40,221,000 | |
Total Consumer Staples | 153,697,025 | |
Energy 7.8% | ||
Oil, Gas & Consumable Fuels 7.8% | ||
BP PLC, ADR | 1,050,000 | 24,486,000 |
Chevron Corp. | 475,000 | 42,384,250 |
ConocoPhillips Co. | 185,000 | 7,773,700 |
Valero Energy Corp. | 190,000 | 11,175,800 |
Williams Companies, Inc. (The) | 700,000 | 13,314,000 |
Total | 99,133,750 | |
Total Energy | 99,133,750 | |
Financials 15.2% | ||
Banks 10.1% | ||
Citigroup, Inc. | 500,000 | 25,550,000 |
JPMorgan Chase & Co. | 600,000 | 56,436,000 |
KeyCorp | 825,000 | 10,048,500 |
PNC Financial Services Group, Inc. (The) | 125,000 | 13,151,250 |
Truist Financial Corp. | 275,000 | 10,326,250 |
U.S. Bancorp | 350,000 | 12,887,000 |
Total | 128,399,000 | |
Capital Markets 2.2% | ||
Ares Capital Corp. | 435,000 | 6,285,750 |
BlackRock, Inc. | 12,000 | 6,529,080 |
Morgan Stanley | 320,000 | 15,456,000 |
Total | 28,270,830 | |
Insurance 2.9% | ||
MetLife, Inc. | 365,000 | 13,329,800 |
Principal Financial Group, Inc. | 315,000 | 13,085,100 |
Travelers Companies, Inc. (The) | 90,000 | 10,264,500 |
Total | 36,679,400 | |
Total Financials | 193,349,230 |
6 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Health Care 15.9% | ||
Biotechnology 5.1% | ||
AbbVie, Inc. | 420,000 | 41,235,600 |
Amgen, Inc. | 102,500 | 24,175,650 |
Total | 65,411,250 | |
Pharmaceuticals 10.8% | ||
Bristol-Myers Squibb Co. | 450,000 | 26,460,000 |
Eli Lilly and Co. | 110,000 | 18,059,800 |
Johnson & Johnson | 425,000 | 59,767,750 |
Merck & Co., Inc. | 245,000 | 18,945,850 |
Pfizer, Inc. | 425,000 | 13,897,500 |
Total | 137,130,900 | |
Total Health Care | 202,542,150 | |
Industrials 5.3% | ||
Aerospace & Defense 0.7% | ||
Raytheon Technologies Corp. | 145,000 | 8,934,900 |
Air Freight & Logistics 1.4% | ||
United Parcel Service, Inc., Class B | 160,000 | 17,788,800 |
Electrical Equipment 0.8% | ||
Eaton Corp. PLC | 120,000 | 10,497,600 |
Machinery 1.4% | ||
Caterpillar, Inc. | 140,000 | 17,710,000 |
Road & Rail 1.0% | ||
Union Pacific Corp. | 75,000 | 12,680,250 |
Total Industrials | 67,611,550 | |
Information Technology 11.3% | ||
Communications Equipment 3.2% | ||
Cisco Systems, Inc. | 875,000 | 40,810,000 |
Electronic Equipment, Instruments & Components 0.8% | ||
Corning, Inc. | 375,000 | 9,712,500 |
IT Services 2.1% | ||
International Business Machines Corp. | 225,000 | 27,173,250 |
Semiconductors & Semiconductor Equipment 3.9% | ||
Broadcom, Inc. | 92,500 | 29,193,925 |
Texas Instruments, Inc. | 165,000 | 20,950,050 |
Total | 50,143,975 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Software 0.8% | ||
NortonLifeLock, Inc. | 500,000 | 9,915,000 |
Technology Hardware, Storage & Peripherals 0.5% | ||
HP, Inc. | 380,000 | 6,623,400 |
Total Information Technology | 144,378,125 | |
Materials 2.5% | ||
Chemicals 2.0% | ||
Dow, Inc. | 335,000 | 13,654,600 |
Nutrien Ltd. | 375,000 | 12,037,500 |
Total | 25,692,100 | |
Metals & Mining 0.5% | ||
Steel Dynamics, Inc. | 250,000 | 6,522,500 |
Total Materials | 32,214,600 | |
Real Estate 4.5% | ||
Equity Real Estate Investment Trusts (REITS) 4.5% | ||
Alexandria Real Estate Equities, Inc. | 60,000 | 9,735,000 |
Duke Realty Corp. | 400,000 | 14,156,000 |
Highwoods Properties, Inc. | 190,000 | 7,092,700 |
Life Storage, Inc. | 62,500 | 5,934,375 |
Medical Properties Trust, Inc. | 675,000 | 12,690,000 |
QTS Realty Trust Inc., Class A | 111,600 | 7,152,444 |
Total | 56,760,519 | |
Total Real Estate | 56,760,519 | |
Utilities 4.2% | ||
Electric Utilities 2.5% | ||
American Electric Power Co., Inc. | 157,500 | 12,543,300 |
Edison International | 155,000 | 8,418,050 |
FirstEnergy Corp. | 300,000 | 11,634,000 |
Total | 32,595,350 | |
Multi-Utilities 1.7% | ||
Ameren Corp. | 185,000 | 13,016,600 |
NiSource, Inc. | 365,000 | 8,300,100 |
Total | 21,316,700 | |
Total Utilities | 53,912,050 | |
Total Common Stocks (Cost $1,194,157,954) | 1,148,243,049 |
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2020 | 7 |
June 30, 2020 (Unaudited)
Convertible Bonds 0.7% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Life Insurance 0.7% | ||||
AXA SA(a) | ||||
05/15/2021 | 7.250% | 10,500,000 | 9,433,872 | |
Total Convertible Bonds (Cost $10,287,902) | 9,433,872 |
Convertible Preferred Stocks 8.6% | |||
Issuer | Shares | Value ($) | |
Communication Services 0.6% | |||
Wireless Telecommunication Services 0.6% | |||
2020 Cash Mandatory Exchangeable Trust(a) | 5.250% | 7,350 | 7,497,368 |
Total Communication Services | 7,497,368 | ||
Consumer Discretionary 0.5% | |||
Auto Components 0.5% | |||
Aptiv PLC(a) | 5.500% | 65,500 | 6,725,999 |
Total Consumer Discretionary | 6,725,999 | ||
Health Care 2.1% | |||
Health Care Equipment & Supplies 2.1% | |||
Becton Dickinson and Co. | 6.000% | 200,000 | 10,568,000 |
Boston Scientific Corp. | 5.500% | 61,500 | 6,426,750 |
Danaher Corp. | 5.000% | 8,790 | 9,487,223 |
Total | 26,481,973 | ||
Total Health Care | 26,481,973 | ||
Industrials 0.6% | |||
Machinery 0.6% | |||
Stanley Black & Decker, Inc. | 5.250% | 82,500 | 7,346,790 |
Total Industrials | 7,346,790 |
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% | 9,000 | 13,394,424 |
Total Real Estate | 13,394,424 | ||
Utilities 3.8% | |||
Electric Utilities 1.0% | |||
NextEra Energy, Inc. | 5.279% | 230,700 | 9,746,352 |
PG&E Corp. | 5.500% | 28,400 | 2,680,392 |
Total | 12,426,744 | ||
Multi-Utilities 2.3% | |||
Dominion Energy, Inc. | 7.250% | 97,500 | 9,916,725 |
DTE Energy Co. | 6.250% | 450,000 | 19,040,490 |
Total | 28,957,215 | ||
Water Utilities 0.5% | |||
Essential Utilities, Inc. | 6.000% | 125,000 | 7,067,500 |
Total Utilities | 48,451,459 | ||
Total Convertible Preferred Stocks (Cost $108,355,355) | 109,898,013 |
Money Market Funds 0.3% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(b),(c) | 3,403,568 | 3,403,568 |
Total Money Market Funds (Cost $3,403,568) | 3,403,568 | |
Total Investments in Securities (Cost: $1,316,204,779) | 1,270,978,502 | |
Other Assets & Liabilities, Net | 5,312,480 | |
Net Assets | 1,276,290,982 |
8 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
(a) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At June 30, 2020, the total value of these securities amounted to $23,657,239, which represents 1.85% of total net assets. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | ||||||||
15,298,105 | 157,726,961 | (169,621,970) | 472 | 3,403,568 | (1,780) | 96,269 | 3,403,568 |
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 | Semiannual Report 2020 | 9 |
June 30, 2020 (Unaudited)
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2020:
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 100,107,600 | — | — | 100,107,600 |
Consumer Discretionary | 44,536,450 | — | — | 44,536,450 |
Consumer Staples | 153,697,025 | — | — | 153,697,025 |
Energy | 99,133,750 | — | — | 99,133,750 |
Financials | 193,349,230 | — | — | 193,349,230 |
Health Care | 202,542,150 | — | — | 202,542,150 |
Industrials | 67,611,550 | — | — | 67,611,550 |
Information Technology | 144,378,125 | — | — | 144,378,125 |
Materials | 32,214,600 | — | — | 32,214,600 |
Real Estate | 56,760,519 | — | — | 56,760,519 |
Utilities | 53,912,050 | — | — | 53,912,050 |
Total Common Stocks | 1,148,243,049 | — | — | 1,148,243,049 |
Convertible Bonds | — | 9,433,872 | — | 9,433,872 |
Convertible Preferred Stocks | ||||
Communication Services | — | 7,497,368 | — | 7,497,368 |
Consumer Discretionary | — | 6,725,999 | — | 6,725,999 |
Health Care | — | 26,481,973 | — | 26,481,973 |
Industrials | — | 7,346,790 | — | 7,346,790 |
Real Estate | — | 13,394,424 | — | 13,394,424 |
Utilities | — | 48,451,459 | — | 48,451,459 |
Total Convertible Preferred Stocks | — | 109,898,013 | — | 109,898,013 |
Money Market Funds | 3,403,568 | — | — | 3,403,568 |
Total Investments in Securities | 1,151,646,617 | 119,331,885 | — | 1,270,978,502 |
10 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,312,801,211) | $1,267,574,934 |
Affiliated issuers (cost $3,403,568) | 3,403,568 |
Cash | 14,000 |
Receivable for: | |
Investments sold | 12,641,311 |
Capital shares sold | 139,612 |
Dividends | 2,242,535 |
Interest | 97,271 |
Foreign tax reclaims | 426,914 |
Expense reimbursement due from Investment Manager | 759 |
Total assets | 1,286,540,904 |
Liabilities | |
Payable for: | |
Investments purchased | 9,020,430 |
Capital shares purchased | 855,574 |
Management services fees | 23,443 |
Distribution and/or service fees | 2,696 |
Service fees | 46,504 |
Compensation of board members | 224,000 |
Compensation of chief compliance officer | 169 |
Other expenses | 77,106 |
Total liabilities | 10,249,922 |
Net assets applicable to outstanding capital stock | $1,276,290,982 |
Represented by | |
Trust capital | $1,276,290,982 |
Total - representing net assets applicable to outstanding capital stock | $1,276,290,982 |
Class 1 | |
Net assets | $547,835,061 |
Shares outstanding | 21,299,846 |
Net asset value per share | $25.72 |
Class 2 | |
Net assets | $68,778,856 |
Shares outstanding | 2,744,877 |
Net asset value per share | $25.06 |
Class 3 | |
Net assets | $659,677,065 |
Shares outstanding | 25,988,892 |
Net asset value per share | $25.38 |
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2020 | 11 |
Six Months Ended June 30, 2020 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $33,246,639 |
Dividends — affiliated issuers | 96,269 |
Interest | 357,246 |
Interfund lending | 800 |
Foreign taxes withheld | (125,745) |
Total income | 33,575,209 |
Expenses: | |
Management services fees | 4,456,311 |
Distribution and/or service fees | |
Class 2 | 89,323 |
Class 3 | 432,093 |
Service fees | 263,010 |
Compensation of board members | 4,081 |
Custodian fees | 5,573 |
Printing and postage fees | 74,917 |
Audit fees | 18,540 |
Legal fees | 10,487 |
Compensation of chief compliance officer | 158 |
Other | 23,936 |
Total expenses | 5,378,429 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (113,570) |
Total net expenses | 5,264,859 |
Net investment income | 28,310,350 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (24,529,004) |
Investments — affiliated issuers | (1,780) |
Foreign currency translations | (8,266) |
Net realized loss | (24,539,050) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (201,611,441) |
Investments — affiliated issuers | 472 |
Foreign currency translations | (1,673) |
Net change in unrealized appreciation (depreciation) | (201,612,642) |
Net realized and unrealized loss | (226,151,692) |
Net decrease in net assets resulting from operations | $(197,841,342) |
12 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2020 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||
Net investment income | $28,310,350 | $44,745,858 |
Net realized gain (loss) | (24,539,050) | 67,463,912 |
Net change in unrealized appreciation (depreciation) | (201,612,642) | 199,002,805 |
Net increase (decrease) in net assets resulting from operations | (197,841,342) | 311,212,575 |
Decrease in net assets from capital stock activity | (50,844,751) | (134,334,224) |
Total increase (decrease) in net assets | (248,686,093) | 176,878,351 |
Net assets at beginning of period | 1,524,977,075 | 1,348,098,724 |
Net assets at end of period | $1,276,290,982 | $1,524,977,075 |
Six Months Ended | Year Ended | |||
June 30, 2020 (Unaudited) | December 31, 2019 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 435,605 | 11,081,124 | 133,595 | 3,631,958 |
Redemptions | (528,108) | (14,791,747) | (1,258,925) | (34,291,641) |
Net decrease | (92,503) | (3,710,623) | (1,125,330) | (30,659,683) |
Class 2 | ||||
Subscriptions | 138,445 | 3,541,208 | 379,689 | 10,008,585 |
Redemptions | (217,836) | (5,368,439) | (203,625) | (5,446,331) |
Net increase (decrease) | (79,391) | (1,827,231) | 176,064 | 4,562,254 |
Class 3 | ||||
Subscriptions | 32,777 | 792,270 | 32,858 | 903,929 |
Redemptions | (1,788,393) | (46,099,167) | (4,061,075) | (109,140,724) |
Net decrease | (1,755,616) | (45,306,897) | (4,028,217) | (108,236,795) |
Total net decrease | (1,927,510) | (50,844,751) | (4,977,483) | (134,334,224) |
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2020 | 13 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $29.59 | 0.57 | (4.44) | (3.87) |
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 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $28.86 | 0.53 | (4.33) | (3.80) |
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 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $29.22 | 0.55 | (4.39) | (3.84) |
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. |
(c) | Annualized. |
14 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2020 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $25.72 | (13.08%) | 0.74%(c) | 0.72%(c) | 4.37%(c) | 27% | $547,835 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $25.06 | (13.17%) | 0.99%(c) | 0.97%(c) | 4.13%(c) | 27% | $68,779 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $25.38 | (13.14%) | 0.86%(c) | 0.84%(c) | 4.25%(c) | 27% | $659,677 |
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% | $982,852 |
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2020 | 15 |
June 30, 2020 (Unaudited)
16 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2020 | 17 |
June 30, 2020 (Unaudited)
18 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2020 | 19 |
June 30, 2020 (Unaudited)
Contractual expense cap July 1, 2020 through April 30, 2021 | Voluntary expense cap May 1, 2020 through June 30, 2020 | Contractual expense cap prior to May 1, 2020 | ||
Class 1 | 0.73% | 0.72% | 0.72% | |
Class 2 | 0.98 | 0.97 | 0.97 | |
Class 3 | 0.855 | 0.845 | 0.845 |
20 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 4,916,667 | 0.99 | 6 |
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2020 | 21 |
June 30, 2020 (Unaudited)
22 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2020 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2020 | 23 |
Nature, extent and quality of services provided by Columbia Threadneedle
24 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2020 |
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of the Funds’ fee rates, and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Board accorded particular weight to the notion that the primary objective of the level of fees is to achieve a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) approximated the peer universe’s median expense ratio. Based on its review, the Board concluded that the Fund’s management fee was fair and reasonable in light of the extent and quality of services that the Fund receives.
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2020 | 25 |
June 30, 2020
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | 3.11 | 5.19 | 3.52 | 2.70 | |
Class 2 | 05/03/10 | 3.02 | 4.90 | 3.26 | 2.46 | |
Class 3 | 09/15/99 | 3.11 | 5.09 | 3.39 | 2.58 | |
Bloomberg Barclays U.S. Mortgage-Backed Securities Index | 3.50 | 5.67 | 3.23 | 3.06 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2020 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2020) | |
Asset-Backed Securities — Agency | 0.0(a) |
Asset-Backed Securities — Non-Agency | 4.6 |
Commercial Mortgage-Backed Securities - Agency | 5.1 |
Commercial Mortgage-Backed Securities - Non-Agency | 4.0 |
Money Market Funds | 3.4 |
Options Purchased Puts | 0.1 |
Residential Mortgage-Backed Securities - Agency | 74.4 |
Residential Mortgage-Backed Securities - Non-Agency | 8.4 |
Total | 100.0 |
(a) | Rounds to zero. |
Quality breakdown (%) (at June 30, 2020) | |
AAA rating | 77.9 |
AA rating | 7.3 |
A rating | 2.2 |
BBB rating | 6.0 |
BB rating | 1.0 |
B rating | 0.9 |
Not rated | 4.7 |
Total | 100.0 |
4 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2020 |
(Unaudited)
January 1, 2020 — June 30, 2020 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,031.10 | 1,022.58 | 2.32 | 2.31 | 0.46 |
Class 2 | 1,000.00 | 1,000.00 | 1,030.20 | 1,021.33 | 3.58 | 3.57 | 0.71 |
Class 3 | 1,000.00 | 1,000.00 | 1,031.10 | 1,021.98 | 2.93 | 2.92 | 0.58 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2020 | 5 |
June 30, 2020 (Unaudited)
Asset-Backed Securities — Agency 0.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
United States Small Business Administration | ||||
Series 2001-20H Class 1 | ||||
08/01/2021 | 6.340% | 1,821 | 1,853 | |
Total Asset-Backed Securities — Agency (Cost $1,821) | 1,853 | |||
Asset-Backed Securities — Non-Agency 5.9% | ||||
Apidos CLO XXVIII(a),(b) | ||||
Series 2017-28A Class B | ||||
3-month USD LIBOR + 1.700% Floor 1.700% 01/20/2031 | 2.835% | 4,125,000 | 3,898,612 | |
Avant Loans Funding Trust(a) | ||||
Subordinated Series 2018-B Class B | ||||
07/15/2022 | 4.110% | 4,656,718 | 4,694,632 | |
Carlyle Global Market Strategies CLO Ltd.(a),(b) | ||||
Series 2013-1A Class BR | ||||
3-month USD LIBOR + 2.350% 08/14/2030 | 2.774% | 1,900,000 | 1,819,199 | |
Series 2013-3A Class BR | ||||
3-month USD LIBOR + 1.700% 10/15/2030 | 2.919% | 2,750,000 | 2,504,411 | |
Series 2013-4A Class BRR | ||||
3-month USD LIBOR + 1.420% Floor 1.420% 01/15/2031 | 2.639% | 6,500,000 | 6,035,406 | |
Conn’s Receivables Funding LLC(a) | ||||
Series 2019-B Class A | ||||
06/17/2024 | 2.660% | 2,646,012 | 2,586,663 | |
LendingClub Receivables Trust(a) | ||||
Series 2019-5 Class A | ||||
12/15/2045 | 3.750% | 4,447,975 | 4,417,894 | |
Madison Park Funding Ltd.(a),(b) | ||||
Series 2015-18A Class CR | ||||
3-month USD LIBOR + 1.950% 10/21/2030 | 3.059% | 6,000,000 | 5,714,580 | |
OZLM Funding IV Ltd.(a),(b) | ||||
Series 2013-4A Class D2R | ||||
3-month USD LIBOR + 7.250% 10/22/2030 | 8.348% | 2,045,764 | 1,540,462 | |
OZLM Funding Ltd.(a),(b) | ||||
Series 2012-1A Class DR2 | ||||
3-month USD LIBOR + 6.670% 07/22/2029 | 7.768% | 3,000,000 | 2,347,116 | |
OZLM XI Ltd.(a),(b) | ||||
Series 2015-11A Class A2R | ||||
3-month USD LIBOR + 1.750% 10/30/2030 | 2.510% | 3,000,000 | 2,833,311 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Pagaya AI Debt Selection Trust(a) | ||||
Series 2019-3 Class A | ||||
11/16/2026 | 3.821% | 3,690,455 | 3,645,382 | |
Prosper Marketplace Issuance Trust(a) | ||||
Series 2019-3A Class B | ||||
07/15/2025 | 3.590% | 2,000,000 | 1,963,515 | |
Subordinated Series 2017-1A Class C | ||||
06/15/2023 | 5.800% | 891,882 | 879,919 | |
Subordinated Series 2017-2A Class C | ||||
09/15/2023 | 5.370% | 1,239,478 | 1,216,789 | |
RR 3 Ltd.(a),(b) | ||||
Series 2014-14A Class A2R2 | ||||
3-month USD LIBOR + 1.400% Floor 1.400% 01/15/2030 | 2.619% | 3,750,000 | 3,634,635 | |
SCF Equipment Leasing LLC(a) | ||||
Series 2017-2A Class A | ||||
12/20/2023 | 3.410% | 1,846,397 | 1,825,360 | |
SoFi Consumer Loan Program Trust(a) | ||||
Series 2018-3 Class B | ||||
08/25/2027 | 4.020% | 4,500,000 | 4,117,399 | |
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 | 2.885% | 5,000,000 | 4,777,335 | |
Total Asset-Backed Securities — Non-Agency (Cost $64,004,116) | 60,452,620 | |||
Commercial Mortgage-Backed Securities - Agency 6.6% | ||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates | ||||
Series K063 Class A2 | ||||
01/25/2027 | 3.430% | 4,395,000 | 5,046,365 | |
Federal National Mortgage Association(c) | ||||
Series 2017-M15 Class ATS2 | ||||
11/25/2027 | 3.196% | 7,000,000 | 7,661,502 | |
Series 2018-M7 Class A2 | ||||
03/25/2028 | 3.150% | 25,000,000 | 27,816,005 | |
Federal National Mortgage Association | ||||
Series 2017-T1 Class A | ||||
06/25/2027 | 2.898% | 3,988,871 | 4,310,332 | |
FRESB Mortgage Trust(c) | ||||
Series 2018-SB45 Class A10F | ||||
11/25/2027 | 3.160% | 6,171,094 | 6,691,761 | |
Government National Mortgage Association | ||||
Series 2017-190 Class AD | ||||
03/16/2060 | 2.600% | 3,365,320 | 3,531,040 |
6 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Commercial Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Government National Mortgage Association(c),(d) | ||||
Series 2019-102 Class IB | ||||
03/16/2060 | 0.899% | 14,073,057 | 1,081,774 | |
Series 2019-109 Class IO | ||||
04/16/2060 | 0.835% | 24,712,920 | 1,804,041 | |
Series 2019-118 Class IO | ||||
06/16/2061 | 0.846% | 29,809,434 | 2,018,099 | |
Series 2019-131 Class IO | ||||
07/16/2061 | 0.931% | 23,806,542 | 1,754,016 | |
Series 2019-134 Class IO | ||||
08/16/2061 | 0.888% | 17,797,891 | 1,298,637 | |
Series 2019-139 Class IO | ||||
11/16/2061 | 0.767% | 18,775,871 | 1,207,131 | |
Series 2020-19 Class IO | ||||
12/16/2061 | 1.009% | 17,188,086 | 1,474,746 | |
Series 2020-3 Class IO | ||||
02/16/2062 | 0.951% | 18,273,480 | 1,456,967 | |
Total Commercial Mortgage-Backed Securities - Agency (Cost $62,350,389) | 67,152,416 | |||
Commercial Mortgage-Backed Securities - Non-Agency 5.2% | ||||
Braemar Hotels & Resorts Trust(a),(b) | ||||
Series 2018-PRME Class D | ||||
1-month USD LIBOR + 1.800% Floor 1.925% 06/15/2035 | 1.985% | 3,500,000 | 2,952,077 | |
CHT Mortgage Trust(a),(b) | ||||
Series 2017-CSMO Class D | ||||
1-month USD LIBOR + 2.250% Floor 2.100% 11/15/2036 | 2.435% | 8,000,000 | 7,360,612 | |
Credit Suisse Mortgage Capital Certificates OA LLC(a) | ||||
Subordinated Series 2014-USA Class D | ||||
09/15/2037 | 4.373% | 3,120,000 | 2,408,663 | |
Subordinated Series 2014-USA Class E | ||||
09/15/2037 | 4.373% | 4,200,000 | 3,158,940 | |
Hilton U.S.A. Trust(a),(c) | ||||
Series 2016-HHV Class F | ||||
11/05/2038 | 4.333% | 7,500,000 | 6,075,263 | |
Hilton U.S.A. Trust(a) | ||||
Subordinated Series 2016-SFP Class E | ||||
11/05/2035 | 5.519% | 1,000,000 | 932,084 | |
Subordinated Series 2016-SFP Class F | ||||
11/05/2035 | 6.155% | 2,000,000 | 1,720,291 | |
JPMorgan Chase Commercial Mortgage Securities Trust(a) | ||||
Series 2011-C3 Class A4 | ||||
02/15/2046 | 4.717% | 143,405 | 144,465 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Morgan Stanley Capital I Trust(a) | ||||
Series 2019-MEAD Class D | ||||
11/10/2036 | 3.177% | 2,917,500 | 2,541,017 | |
Progress Residential Trust(a) | ||||
Series 2017-SFR1 Class E | ||||
08/17/2034 | 4.261% | 2,000,000 | 2,037,170 | |
Series 2018-SF3 Class B | ||||
10/17/2035 | 4.079% | 8,500,000 | 8,738,394 | |
Series 2020-SFR1 Class E | ||||
04/17/2037 | 3.032% | 4,000,000 | 3,863,270 | |
Subordinated Series 2019-SFR2 Class E | ||||
05/17/2036 | 4.142% | 6,000,000 | 6,185,727 | |
UBS Commercial Mortgage Trust(a),(b) | ||||
Series 2018-NYCH Class C | ||||
1-month USD LIBOR + 1.500% Floor 1.500% 02/15/2032 | 1.685% | 2,500,000 | 2,297,414 | |
Series 2018-NYCH Class D | ||||
1-month USD LIBOR + 2.100% Floor 2.100% 02/15/2032 | 2.285% | 3,050,000 | 2,771,412 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $56,272,706) | 53,186,799 | |||
Residential Mortgage-Backed Securities - Agency 96.2% | ||||
Federal Home Loan Mortgage Corp. | ||||
06/01/2021- 04/01/2047 | 3.500% | 67,203,773 | 73,345,523 | |
03/01/2022 | 6.000% | 842 | 935 | |
10/01/2023- 10/01/2040 | 5.000% | 4,687,527 | 5,361,970 | |
08/01/2041- 06/01/2048 | 4.500% | 16,417,540 | 17,743,962 | |
10/01/2041- 03/01/2046 | 4.000% | 42,000,165 | 45,976,441 | |
11/01/2042- 02/01/2050 | 3.000% | 105,105,917 | 111,484,412 | |
Federal Home Loan Mortgage Corp.(b) | ||||
12-month USD LIBOR + 1.617% Cap 11.014% 01/01/2037 | 3.660% | 60,723 | 63,687 | |
12-month USD LIBOR + 1.910% Cap 10.450% 09/01/2037 | 3.724% | 62,542 | 65,546 | |
Federal Home Loan Mortgage Corp.(b),(d) | ||||
CMO Series 264 Class S1 | ||||
-1.0 x 1-month USD LIBOR + 5.950% Cap 5.950% 07/15/2042 | 5.765% | 8,897,890 | 1,406,613 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2020 | 7 |
June 30, 2020 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 318 Class S1 | ||||
-1.0 x 1-month USD LIBOR + 5.950% Cap 5.950% 11/15/2043 | 5.765% | 14,507,949 | 2,956,022 | |
CMO Series 4083 Class CS | ||||
-1.0 x 1-month USD LIBOR + 6.650% Cap 6.650% 12/15/2038 | 6.465% | 1,898,318 | 86,908 | |
CMO Series 4174 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 05/15/2039 | 6.015% | 5,750,654 | 338,876 | |
CMO Series 4183 Class AS | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 04/15/2039 | 5.965% | 3,053,612 | 224,012 | |
CMO Series 4223 Class DS | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 12/15/2038 | 5.915% | 1,479,335 | 82,501 | |
CMO Series 4286 Class NS | ||||
-1.0 x 1-month USD LIBOR + 5.900% Cap 5.900% 12/15/2043 | 5.715% | 4,571,487 | 928,759 | |
CMO Series 4594 Class SA | ||||
-1.0 x 1-month USD LIBOR + 5.950% Cap 5.950% 06/15/2046 | 5.765% | 11,626,991 | 2,457,352 | |
CMO Series 4965 Class KS | ||||
1-month USD LIBOR + 5.850% Cap 5.850% 04/25/2050 | 5.666% | 6,125,307 | 1,253,528 | |
CMO Series 4987 Class KS | ||||
-1.0 x 1-month USD LIBOR + 6.080% Cap 6.080% 06/25/2050 | 5.896% | 9,471,945 | 2,435,451 | |
CMO STRIPS Series 309 Class S4 | ||||
-1.0 x 1-month USD LIBOR + 5.970% Cap 5.970% 08/15/2043 | 5.785% | 4,469,709 | 878,364 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO STRIPS Series 326 Class S1 | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 03/15/2044 | 5.815% | 2,132,290 | 385,003 | |
Federal Home Loan Mortgage Corp.(d) | ||||
CMO Series 266 | ||||
07/15/2042 | 4.000% | 5,125,059 | 674,560 | |
CMO Series 267 | ||||
08/15/2042 | 4.000% | 4,227,775 | 553,419 | |
CMO Series 4120 Class AI | ||||
11/15/2039 | 3.500% | 2,381,612 | 88,603 | |
CMO Series 4121 Class IA | ||||
01/15/2041 | 3.500% | 2,746,098 | 144,026 | |
CMO Series 4122 Class JI | ||||
12/15/2040 | 4.000% | 3,533,678 | 253,212 | |
CMO Series 4139 Class CI | ||||
05/15/2042 | 3.500% | 2,060,360 | 238,663 | |
CMO Series 4147 Class CI | ||||
01/15/2041 | 3.500% | 6,621,823 | 394,949 | |
CMO Series 4148 Class BI | ||||
02/15/2041 | 4.000% | 1,947,569 | 109,277 | |
CMO Series 4177 Class IY | ||||
03/15/2043 | 4.000% | 8,783,842 | 1,401,401 | |
CMO Series 4182 Class DI | ||||
05/15/2039 | 3.500% | 5,979,442 | 169,508 | |
CMO Series 4213 Class DI | ||||
06/15/2038 | 3.500% | 4,869,229 | 126,093 | |
Federal Home Loan Mortgage Corp.(c),(d) | ||||
CMO Series 4068 Class GI | ||||
09/15/2036 | 3.346% | 3,835,643 | 252,842 | |
Federal Home Loan Mortgage Corp.(b),(d),(e) | ||||
CMO Series 4993 Class MS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 07/25/2050 | 5.860% | 10,500,000 | 2,995,405 | |
Federal National Mortgage Association | ||||
02/01/2022- 12/01/2037 | 5.000% | 10,844,329 | 12,427,630 | |
08/01/2022 | 6.000% | 424 | 472 | |
09/01/2023- 11/01/2023 | 5.500% | 1,064,966 | 1,126,779 | |
03/01/2027- 03/01/2028 | 2.500% | 15,358,466 | 16,195,468 | |
03/01/2027- 07/01/2048 | 3.500% | 134,509,107 | 144,396,493 | |
05/01/2027- 11/01/2042 | 3.000% | 28,304,513 | 30,291,934 |
8 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
11/01/2043- 06/01/2048 | 4.000% | 62,216,857 | 67,684,811 | |
08/01/2047 | 4.500% | 5,044,263 | 5,439,671 | |
CMO Series 2017-72 Class B | ||||
09/25/2047 | 3.000% | 5,932,805 | 6,344,781 | |
Series 6008 Class GEO | ||||
07/01/2049 | 3.500% | 14,936,862 | 15,700,765 | |
Federal National Mortgage Association(b) | ||||
6-month USD LIBOR + 1.383% Floor 1.383%, Cap 9.383% 02/01/2033 | 3.258% | 15,637 | 15,886 | |
6-month USD LIBOR + 1.413% Floor 1.413%, Cap 10.038% 07/01/2033 | 2.538% | 2,954 | 2,980 | |
12-month USD LIBOR + 1.715% Floor 1.715%, Cap 9.167% 12/01/2033 | 3.715% | 2,648 | 2,782 | |
12-month USD LIBOR + 1.588% Floor 1.588%, Cap 9.161% 06/01/2034 | 2.463% | 18,836 | 18,912 | |
Federal National Mortgage Association(f) | ||||
05/01/2039 | 4.500% | 3,328,167 | 3,720,576 | |
Federal National Mortgage Association(c) | ||||
CMO Series 2003-W11 Class A1 | ||||
06/25/2033 | 4.345% | 702 | 716 | |
Federal National Mortgage Association(c),(d) | ||||
CMO Series 2006-5 Class N1 | ||||
08/25/2034 | 0.000% | 3,458,235 | 3 | |
Federal National Mortgage Association(d) | ||||
CMO Series 2012-118 Class BI | ||||
12/25/2039 | 3.500% | 6,870,273 | 257,339 | |
CMO Series 2012-121 Class GI | ||||
08/25/2039 | 3.500% | 3,426,166 | 111,144 | |
CMO Series 2012-129 Class IC | ||||
01/25/2041 | 3.500% | 4,607,197 | 277,959 | |
CMO Series 2012-133 Class EI | ||||
07/25/2031 | 3.500% | 1,398,146 | 73,254 | |
CMO Series 2012-134 Class AI | ||||
07/25/2040 | 3.500% | 7,027,138 | 363,810 | |
CMO Series 2012-144 Class HI | ||||
07/25/2042 | 3.500% | 1,869,283 | 219,893 | |
CMO Series 2012-40 Class IP | ||||
09/25/2040 | 4.000% | 7,354,999 | 563,061 | |
CMO Series 2013-1 Class AI | ||||
02/25/2043 | 3.500% | 2,179,341 | 283,123 | |
CMO Series 2013-1 Class BI | ||||
02/25/2040 | 3.500% | 4,738,765 | 282,758 | |
CMO Series 2013-10 Class AI | ||||
11/25/2041 | 3.500% | 7,660,140 | 634,685 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2013-16 | ||||
01/25/2040 | 3.500% | 4,477,469 | 260,663 | |
CMO Series 2013-41 Class IY | ||||
05/25/2040 | 3.500% | 8,966,273 | 415,566 | |
CMO Series 2013-6 Class MI | ||||
02/25/2040 | 3.500% | 4,591,245 | 231,154 | |
Federal National Mortgage Association(b),(d) | ||||
CMO Series 2012-80 Class DS | ||||
-1.0 x 1-month USD LIBOR + 6.650% Cap 6.650% 06/25/2039 | 6.466% | 1,316,896 | 97,647 | |
CMO Series 2012-99 Class SL | ||||
-1.0 x 1-month USD LIBOR + 6.620% Cap 6.620% 09/25/2042 | 6.436% | 8,216,517 | 2,005,164 | |
CMO Series 2014-93 Class ES | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 01/25/2045 | 5.966% | 4,727,782 | 854,192 | |
CMO Series 2016-37 Class SA | ||||
-1.0 x 1-month USD LIBOR + 5.850% Cap 5.850% 06/25/2046 | 5.666% | 6,073,583 | 1,352,081 | |
CMO Series 2016-42 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 07/25/2046 | 5.816% | 14,288,308 | 3,326,988 | |
CMO Series 2017-3 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 02/25/2047 | 5.816% | 11,012,648 | 2,291,710 | |
CMO Series 2017-51 Class SC | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 07/25/2047 | 5.966% | 12,940,170 | 2,892,005 | |
CMO Series 2017-72 Class S | ||||
-1.0 x 1-month USD LIBOR + 3.950% Cap 2.750% 09/25/2047 | 2.750% | 40,177,633 | 3,668,302 | |
CMO Series 2017-90 Class SP | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 11/25/2047 | 5.966% | 6,464,175 | 1,582,435 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2020 | 9 |
June 30, 2020 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2019-33 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 07/25/2049 | 5.866% | 22,244,422 | 4,730,757 | |
CMO Series 2019-34 Class SM | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 07/25/2049 | 5.866% | 17,352,316 | 3,941,389 | |
CMO Series 2020-40 Class LS | ||||
-1.0 x 1-month USD LIBOR + 6.080% Cap 6.080% 06/25/2050 | 5.896% | 11,969,641 | 3,470,628 | |
Government National Mortgage Association | ||||
08/20/2040 | 5.000% | 3,758,987 | 4,240,250 | |
07/20/2041- 04/20/2048 | 4.500% | 23,070,834 | 25,007,945 | |
CMO Series 2019-158 Class PI | ||||
12/20/2049 | 3.500% | 29,175,296 | 3,629,229 | |
Government National Mortgage Association(d) | ||||
CMO Series 2012-121 Class PI | ||||
09/16/2042 | 4.500% | 3,384,980 | 561,687 | |
CMO Series 2012-129 Class AI | ||||
08/20/2037 | 3.000% | 3,191,659 | 142,410 | |
CMO Series 2014-131 Class EI | ||||
09/16/2039 | 4.000% | 4,718,244 | 406,122 | |
CMO Series 2019-129 Class AI | ||||
10/20/2049 | 3.500% | 12,618,740 | 1,512,883 | |
Government National Mortgage Association(b),(d) | ||||
CMO Series 2014-131 Class BS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 09/16/2044 | 6.005% | 2,942,121 | 805,497 | |
CMO Series 2017-170 Class QS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 11/20/2047 | 6.010% | 7,327,052 | 1,712,328 | |
CMO Series 2018-1 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 01/20/2048 | 6.010% | 5,749,844 | 1,211,829 | |
CMO Series 2018-105 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 08/20/2048 | 6.010% | 8,084,912 | 1,187,454 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2018-139 Class KS | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 10/20/2048 | 5.960% | 10,453,517 | 2,163,104 | |
CMO Series 2018-155 Class LS | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 11/20/2048 | 5.960% | 9,268,828 | 1,799,597 | |
CMO Series 2018-21 Class WS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 02/20/2048 | 6.010% | 7,543,362 | 1,674,640 | |
CMO Series 2018-40 Class SC | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 03/20/2048 | 6.010% | 4,644,092 | 957,971 | |
CMO Series 2018-63 Class HS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 04/20/2048 | 6.010% | 5,686,091 | 1,170,835 | |
CMO Series 2018-94 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 05/20/2048 | 6.010% | 8,373,048 | 1,806,864 | |
CMO Series 2018-97 Class MS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 07/20/2048 | 6.010% | 7,947,696 | 1,916,436 | |
CMO Series 2019-23 Class SQ | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 02/20/2049 | 5.860% | 8,284,461 | 1,683,756 | |
CMO Series 2019-43 Class SE | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 04/20/2049 | 5.910% | 14,062,804 | 2,680,843 | |
CMO Series 2019-52 Class AS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 04/16/2049 | 5.855% | 12,904,435 | 3,544,033 |
10 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2019-92 Class SD | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 07/20/2049 | 5.910% | 9,200,166 | 2,173,296 | |
Government National Mortgage Association TBA(g) | ||||
07/21/2050 | 3.000% | 35,000,000 | 37,082,226 | |
07/21/2050 | 3.500% | 45,000,000 | 47,483,789 | |
Uniform Mortgage-Backed Security TBA(g) | ||||
07/16/2035- 07/14/2050 | 2.500% | 95,000,000 | 99,215,625 | |
07/14/2050 | 3.500% | 17,000,000 | 17,879,883 | |
07/14/2050 | 4.000% | 61,000,000 | 64,642,129 | |
07/14/2050 | 4.500% | 35,000,000 | 37,605,859 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $960,620,564) | 978,334,709 | |||
Residential Mortgage-Backed Securities - Non-Agency 10.9% | ||||
American Mortgage Trust(c),(e),(h) | ||||
CMO Series 2093-3 Class 3A | ||||
07/27/2023 | 8.188% | 207 | 126 | |
Angel Oak Mortgage Trust I LLC(a),(c) | ||||
CMO Series 2017-2 Class M1 | ||||
07/25/2047 | 3.737% | 5,700,000 | 5,428,336 | |
Angel Oak Mortgage Trust LLC(a),(c) | ||||
CMO Series 2017-3 Class M1 | ||||
11/25/2047 | 3.900% | 2,500,000 | 2,368,470 | |
ASG Resecuritization Trust(a),(c) | ||||
CMO Series 2013-2 Class 2A70 | ||||
11/28/2035 | 3.685% | 172,181 | 171,877 | |
BCAP LLC Trust(a),(c) | ||||
CMO Series 2013-RR5 Class 4A1 | ||||
09/26/2036 | 3.000% | 270,886 | 267,487 | |
Bellemeade Re Ltd.(a),(b) | ||||
CMO Series 2018-2A Class M1B | ||||
1-month USD LIBOR + 1.350% 08/25/2028 | 1.535% | 2,961,219 | 2,912,627 | |
CMO Series 2018-2A Class M1C | ||||
1-month USD LIBOR + 1.600% 08/25/2028 | 1.785% | 4,157,000 | 3,912,531 | |
CMO Series 2018-3A Class M1B | ||||
1-month USD LIBOR + 1.850% Floor 1.850% 10/25/2027 | 2.035% | 4,638,632 | 4,594,140 | |
CHL GMSR Issuer Trust(a),(b) | ||||
CMO Series 2018-GT1 Class A | ||||
1-month USD LIBOR + 1.000% 05/25/2023 | 2.935% | 4,000,000 | 3,854,396 | |
Citigroup Mortgage Loan Trust, Inc.(a),(c) | ||||
CMO Series 2014-A Class B2 | ||||
01/25/2035 | 5.504% | 1,774,665 | 1,871,501 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2014-C Class A | ||||
02/25/2054 | 3.250% | 257,348 | 257,691 | |
Citigroup Mortgage Loan Trust, Inc.(a) | ||||
CMO Series 2015-RP2 Class B2 | ||||
01/25/2053 | 4.250% | 3,228,344 | 3,388,369 | |
Credit Suisse Mortgage Capital Certificates(a),(c) | ||||
CMO Series 2014-2R Class 17A2 | ||||
04/27/2037 | 4.028% | 932,582 | 919,966 | |
Ellington Financial Mortgage Trust(a),(c) | ||||
CMO Series 2019-2 Class M1 | ||||
11/25/2059 | 3.469% | 1,200,000 | 1,125,531 | |
CMO Series 2020-1 Class A2 | ||||
06/25/2065 | 3.149% | 1,000,000 | 1,026,437 | |
GCAT Trust(a),(c) | ||||
CMO Series 2019-NQM2 Class A3 | ||||
09/25/2059 | 3.162% | 1,698,170 | 1,726,476 | |
Homeward Opportunities Fund I Trust(a) | ||||
CMO Series 2018-2 Class M1 | ||||
11/25/2058 | 4.747% | 3,875,000 | 3,711,772 | |
Homeward Opportunities Fund I Trust(a),(c) | ||||
CMO Series 2019-3 Class M1 | ||||
11/25/2059 | 3.518% | 3,100,000 | 2,910,935 | |
New Residential Mortgage Loan Trust(a),(c),(d) | ||||
CMO Series 2014-1A Class AIO | ||||
01/25/2054 | 2.315% | 18,446,869 | 1,047,476 | |
NRZ Excess Spread-Collateralized Notes(a) | ||||
Series 2018-PLS1 Class C | ||||
01/25/2023 | 3.981% | 2,055,297 | 2,032,364 | |
Subordinated CMO Series 2018-PLS2 Class B | ||||
02/25/2023 | 3.709% | 2,703,590 | 2,725,308 | |
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 | 2.184% | 5,297,055 | 4,825,056 | |
PNMAC GMSR Issuer Trust(a),(b) | ||||
CMO Series 2018-GT1 Class A | ||||
1-month USD LIBOR + 2.850% Floor 2.850% 02/25/2023 | 3.035% | 11,500,000 | 11,270,836 | |
CMO Series 2018-GT2 Class A | ||||
1-month USD LIBOR + 2.650% 08/25/2025 | 2.835% | 10,500,000 | 10,023,741 | |
PRPM LLC(a),(c) | ||||
CMO Series 2020-1A Class A1 | ||||
02/25/2025 | 2.981% | 12,786,828 | 12,665,656 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2020 | 11 |
June 30, 2020 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Radnor Re Ltd.(a),(b) | ||||
CMO Series 2020-1 Class M1B | ||||
1-month USD LIBOR + 1.450% Floor 1.450% 02/25/2030 | 1.618% | 3,750,000 | 3,325,789 | |
Radnor RE Ltd.(a),(b) | ||||
CMO Series 2019-2 Class M1B | ||||
1-month USD LIBOR + 1.750% Floor 1.750% 06/25/2029 | 1.935% | 3,000,000 | 2,961,874 | |
RBSSP Resecuritization Trust(a),(c) | ||||
CMO Series 2012-1 Class 5A2 | ||||
12/27/2035 | 3.903% | 1,304,219 | 1,297,922 | |
RCO V Mortgage LLC(a),(c) | ||||
CMO Series 2019-2 Class A1 | ||||
11/25/2024 | 3.475% | 8,171,706 | 8,155,582 | |
Toorak Mortgage Corp., Ltd.(a),(c) | ||||
CMO Series 2018-1 Class A1 | ||||
08/25/2021 | 4.336% | 5,800,000 | 5,804,380 | |
Vericrest Opportunity Loan Transferee LXXXVIII LLC(a),(c) | ||||
CMO Series 2020-NPL4 Class A1 | ||||
03/25/2050 | 2.981% | 2,383,551 | 2,350,206 | |
Verus Securitization Trust(a),(c) | ||||
CMO Series 2018-INV1 Class A2 | ||||
03/25/2058 | 3.849% | 642,311 | 647,200 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2018-INV1 Class A3 | ||||
03/25/2058 | 4.052% | 839,945 | 847,123 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $110,293,290) | 110,429,181 |
Options Purchased Puts 0.1% | ||||
Value ($) | ||||
(Cost $2,762,500) | 669,610 |
Money Market Funds 4.4% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(i),(j) | 44,276,224 | 44,276,224 |
Total Money Market Funds (Cost $44,278,278) | 44,276,224 | |
Total Investments in Securities (Cost: $1,300,583,664) | 1,314,503,412 | |
Other Assets & Liabilities, Net | (298,025,615) | |
Net Assets | 1,016,477,797 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 2-Year Note | 19 | 09/2020 | USD | 4,195,734 | 497 | — |
U.S. Treasury 5-Year Note | 47 | 09/2020 | USD | 5,909,883 | 14,187 | — |
Total | 14,684 | — |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Long Bond | (14) | 09/2020 | USD | (2,499,875) | — | (7,031) |
U.S. Treasury 10-Year Note | (221) | 09/2020 | USD | (30,756,984) | — | (64,384) |
Total | — | (71,415) |
12 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | 115,000,000 | 115,000,000 | 2.00 | 07/10/2020 | 977,500 | 12 |
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | 60,000,000 | 60,000,000 | 2.00 | 07/10/2020 | 498,000 | 6 |
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | 110,000,000 | 110,000,000 | 1.00 | 12/10/2020 | 1,287,000 | 669,592 |
Total | 2,762,500 | 669,610 |
Credit default swap contracts - sell protection | |||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CMBX North America Index, Series 11 BBB- | Morgan Stanley | 11/18/2054 | 3.000 | Monthly | 6.577 | USD | 10,000,000 | (2,045,400) | 5,000 | — | (2,024,902) | — | (15,498) |
Markit CMBX North America Index, Series 7 BBB- | Morgan Stanley | 01/17/2047 | 3.000 | Monthly | 11.213 | USD | 2,500,000 | (562,500) | 1,250 | — | (147,531) | — | (413,719) |
Total | (2,607,900) | 6,250 | — | (2,172,433) | — | (429,217) |
* | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | 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 | 5.150 | USD | 9,085,000 | 487,765 | — | — | 487,765 | — |
Markit CDX North America High Yield Index, Series 34 | Morgan Stanley | 06/20/2025 | 5.000 | Quarterly | 5.169 | USD | 9,500,000 | 471,832 | — | — | 471,832 | — |
Total | 959,597 | — | — | 959,597 | — |
* | 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. At June 30, 2020, the total value of these securities amounted to $224,068,474, which represents 22.04% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of June 30, 2020. |
(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 June 30, 2020. |
(d) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
(e) | Valuation based on significant unobservable inputs. |
(f) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(g) | Represents a security purchased on a when-issued basis. |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2020 | 13 |
June 30, 2020 (Unaudited)
(h) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At June 30, 2020, the total value of these securities amounted to $126, which represents less than 0.01% of total net assets. |
(i) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
(j) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | ||||||||
42,303,654 | 211,357,779 | (209,385,210) | 1 | 44,276,224 | 3,066 | 197,108 | 44,276,224 |
CMO | Collateralized Mortgage Obligation |
LIBOR | London Interbank Offered Rate |
STRIPS | Separate Trading of Registered Interest and Principal Securities |
TBA | To Be Announced |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
14 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
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 | — | 1,853 | — | 1,853 |
Asset-Backed Securities — Non-Agency | — | 60,452,620 | — | 60,452,620 |
Commercial Mortgage-Backed Securities - Agency | — | 67,152,416 | — | 67,152,416 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 53,186,799 | — | 53,186,799 |
Residential Mortgage-Backed Securities - Agency | — | 975,339,304 | 2,995,405 | 978,334,709 |
Residential Mortgage-Backed Securities - Non-Agency | — | 110,429,055 | 126 | 110,429,181 |
Options Purchased Puts | — | 669,610 | — | 669,610 |
Money Market Funds | 44,276,224 | — | — | 44,276,224 |
Total Investments in Securities | 44,276,224 | 1,267,231,657 | 2,995,531 | 1,314,503,412 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 14,684 | — | — | 14,684 |
Swap Contracts | — | 959,597 | — | 959,597 |
Liability | ||||
Futures Contracts | (71,415) | — | — | (71,415) |
Swap Contracts | — | (429,217) | — | (429,217) |
Total | 44,219,493 | 1,267,762,037 | 2,995,531 | 1,314,977,061 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2020 | 15 |
June 30, 2020 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,253,542,886) | $1,269,557,578 |
Affiliated issuers (cost $44,278,278) | 44,276,224 |
Options purchased (cost $2,762,500) | 669,610 |
Cash collateral held at broker for: | |
Swap contracts | 2,488,000 |
Purchased options | 146,000 |
TBA | 41,000 |
Margin deposits on: | |
Swap contracts | 2,600,409 |
Receivable for: | |
Investments sold | 19,475 |
Capital shares sold | 582,194 |
Dividends | 9,123 |
Interest | 3,970,899 |
Variation margin for futures contracts | 41,391 |
Variation margin for swap contracts | 146,158 |
Total assets | 1,324,548,061 |
Liabilities | |
Due to custodian | 71,417 |
Unrealized depreciation on swap contracts | 429,217 |
Upfront receipts on swap contracts | 2,172,433 |
Payable for: | |
Investments purchased on a delayed delivery basis | 304,467,609 |
Capital shares purchased | 764,997 |
Variation margin for futures contracts | 1,469 |
Management services fees | 11,865 |
Distribution and/or service fees | 510 |
Service fees | 9,233 |
Compensation of board members | 96,328 |
Compensation of chief compliance officer | 114 |
Other expenses | 45,072 |
Total liabilities | 308,070,264 |
Net assets applicable to outstanding capital stock | $1,016,477,797 |
Represented by | |
Paid in capital | 950,047,402 |
Total distributable earnings (loss) | 66,430,395 |
Total - representing net assets applicable to outstanding capital stock | $1,016,477,797 |
Class 1 | |
Net assets | $893,152,542 |
Shares outstanding | 81,539,004 |
Net asset value per share | $10.95 |
Class 2 | |
Net assets | $26,939,379 |
Shares outstanding | 2,469,386 |
Net asset value per share | $10.91 |
Class 3 | |
Net assets | $96,385,876 |
Shares outstanding | 8,805,851 |
Net asset value per share | $10.95 |
16 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2020 |
Six Months Ended June 30, 2020 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $722,252 |
Dividends — affiliated issuers | 197,108 |
Interest | 13,790,680 |
Total income | 14,710,040 |
Expenses: | |
Management services fees | 2,152,228 |
Distribution and/or service fees | |
Class 2 | 32,049 |
Class 3 | 59,348 |
Service fees | 51,562 |
Compensation of board members | 7,913 |
Custodian fees | 15,580 |
Printing and postage fees | 12,387 |
Audit fees | 19,642 |
Legal fees | 8,855 |
Interest on collateral | 15,381 |
Compensation of chief compliance officer | 106 |
Other | 8,280 |
Total expenses | 2,383,331 |
Net investment income | 12,326,709 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 6,915,014 |
Investments — affiliated issuers | 3,066 |
Futures contracts | (8,717,677) |
Options purchased | 16,284,000 |
Options contracts written | (9,963,835) |
Swap contracts | 3,868,341 |
Net realized gain | 8,388,909 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 9,597,918 |
Investments — affiliated issuers | 1 |
Futures contracts | (115,448) |
Options purchased | (1,272,170) |
Swap contracts | 2,647,496 |
Net change in unrealized appreciation (depreciation) | 10,857,797 |
Net realized and unrealized gain | 19,246,706 |
Net increase in net assets resulting from operations | $31,573,415 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2020 | 17 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||
Net investment income | $12,326,709 | $27,774,795 |
Net realized gain | 8,388,909 | 9,453,755 |
Net change in unrealized appreciation (depreciation) | 10,857,797 | 26,653,137 |
Net increase in net assets resulting from operations | 31,573,415 | 63,881,687 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | — | (23,636,118) |
Class 2 | — | (604,874) |
Class 3 | — | (2,620,808) |
Total distributions to shareholders | — | (26,861,800) |
Increase (decrease) in net assets from capital stock activity | (23,634,922) | 1,631,490 |
Total increase in net assets | 7,938,493 | 38,651,377 |
Net assets at beginning of period | 1,008,539,304 | 969,887,927 |
Net assets at end of period | $1,016,477,797 | $1,008,539,304 |
Six Months Ended | Year Ended | |||
June 30, 2020 (Unaudited) | December 31, 2019 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 2,572,042 | 27,713,050 | 4,878,952 | 51,162,168 |
Distributions reinvested | — | — | 2,270,520 | 23,636,118 |
Redemptions | (4,679,730) | (50,489,613) | (6,388,213) | (66,958,432) |
Net increase (decrease) | (2,107,688) | (22,776,563) | 761,259 | 7,839,854 |
Class 2 | ||||
Subscriptions | 402,592 | 4,336,964 | 490,076 | 5,121,551 |
Distributions reinvested | — | — | 58,217 | 604,874 |
Redemptions | (352,838) | (3,779,830) | (376,669) | (3,939,660) |
Net increase | 49,754 | 557,134 | 171,624 | 1,786,765 |
Class 3 | ||||
Subscriptions | 312,392 | 3,360,570 | 435,002 | 4,560,324 |
Distributions reinvested | — | — | 251,759 | 2,620,808 |
Redemptions | (444,028) | (4,776,063) | (1,448,402) | (15,176,261) |
Net decrease | (131,636) | (1,415,493) | (761,641) | (7,995,129) |
Total net increase (decrease) | (2,189,570) | (23,634,922) | 171,242 | 1,631,490 |
18 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2020 | 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 | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $10.62 | 0.13 | 0.20 | 0.33 | — | — | — |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $10.59 | 0.12 | 0.20 | 0.32 | — | — | — |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $10.62 | 0.13 | 0.20 | 0.33 | — | — | — |
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) | Annualized. |
(d) | Ratios include interest on collateral expense. For the periods indicated below, if interest on collateral expense had been excluded, expenses would have been lower by: |
Class | 6/30/2020 | 12/31/2019 | 12/31/2018 |
Class 1 | less than 0.01% | 0.01% | less than 0.01% |
Class 2 | less than 0.01% | 0.01% | less than 0.01% |
Class 3 | less than 0.01% | 0.01% | less than 0.01% |
20 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2020 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $10.95 | 3.11% | 0.46%(c),(d) | 0.46%(c),(d) | 2.47%(c) | 169% | $893,153 |
Year Ended 12/31/2019 | $10.62 | 6.73% | 0.46%(d) | 0.46%(d) | 2.83% | 335% | $888,047 |
Year Ended 12/31/2018 | $10.23 | 1.85% | 0.46%(d) | 0.46%(d) | 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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $10.91 | 3.02% | 0.71%(c),(d) | 0.71%(c),(d) | 2.22%(c) | 169% | $26,939 |
Year Ended 12/31/2019 | $10.59 | 6.50% | 0.71%(d) | 0.71%(d) | 2.57% | 335% | $25,616 |
Year Ended 12/31/2018 | $10.20 | 1.60% | 0.71%(d) | 0.71%(d) | 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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $10.95 | 3.11% | 0.58%(c),(d) | 0.58%(c),(d) | 2.34%(c) | 169% | $96,386 |
Year Ended 12/31/2019 | $10.62 | 6.61% | 0.59%(d) | 0.59%(d) | 2.71% | 335% | $94,876 |
Year Ended 12/31/2018 | $10.23 | 1.72% | 0.58%(d) | 0.58%(d) | 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% | $151,492 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2020 | 21 |
June 30, 2020 (Unaudited)
22 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2020 | 23 |
June 30, 2020 (Unaudited)
24 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2020 | 25 |
June 30, 2020 (Unaudited)
26 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 959,597* |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 14,684* |
Interest rate risk | Investments, at value — Options purchased | 669,610 |
Total | 1,643,891 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 429,217* |
Credit risk | Upfront receipts on swap contracts | 2,172,433 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 71,415* |
Total | 2,673,065 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |||||
Risk exposure category | Futures contracts ($) | Options contracts written ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | — | 3,868,341 | 3,868,341 |
Interest rate risk | (8,717,677) | (9,963,835) | 16,284,000 | — | (2,397,512) |
Total | (8,717,677) | (9,963,835) | 16,284,000 | 3,868,341 | 1,470,829 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 2,647,496 | 2,647,496 |
Interest rate risk | (115,448) | (1,272,170) | — | (1,387,618) |
Total | (115,448) | (1,272,170) | 2,647,496 | 1,259,878 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 10,548,324 |
Futures contracts — short | 113,160,180 |
Credit default swap contracts — buy protection | 3,400,000 |
Credit default swap contracts — sell protection | 36,531,250 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2020 | 27 |
June 30, 2020 (Unaudited)
Derivative instrument | Average value ($)* |
Options contracts — purchased | 11,035,471 |
Options contracts — written | (5,299,032) |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2020. |
28 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Citi ($) | Morgan Stanley ($) (a) | Morgan Stanley ($) (a) | Total ($) | |
Assets | ||||
Centrally cleared credit default swap contracts (b) | - | - | 146,158 | 146,158 |
Options purchased puts | 669,610 | - | - | 669,610 |
Total assets | 669,610 | - | 146,158 | 815,768 |
Liabilities | ||||
OTC credit default swap contracts (c) | - | 2,601,650 | - | 2,601,650 |
Total liabilities | - | 2,601,650 | - | 2,601,650 |
Total financial and derivative net assets | 669,610 | (2,601,650) | 146,158 | (1,785,882) |
Total collateral received (pledged) (d) | 669,610 | (2,488,000) | - | (1,818,390) |
Net amount (e) | - | (113,650) | 146,158 | 32,508 |
(a) | Exposure can only be netted across transactions governed under the same master agreement with the same legal entity. – this footnote would be used in instances where a broker needs to be listed multiple times due to the Fund being multi-managed or having a subsidiary. |
(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 | Semiannual Report 2020 | 29 |
June 30, 2020 (Unaudited)
30 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2020 | 31 |
June 30, 2020 (Unaudited)
Fee rate(s) contractual July 1, 2020 through April 30, 2021 | |
Class 1 | 0.58% |
Class 2 | 0.83 |
Class 3 | 0.705 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
1,300,584,000 | 42,496,000 | (28,103,000) | 14,393,000 |
32 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2020 | 33 |
June 30, 2020 (Unaudited)
34 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2020 | 35 |
June 30, 2020 (Unaudited)
36 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2020 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2020 | 37 |
Nature, extent and quality of services provided by Columbia Threadneedle
38 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2020 |
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of the Funds’ fee rates, and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Board accorded particular weight to the notion that the primary objective of the level of fees is to achieve a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) approximated the peer universe’s median expense ratio. Based on its review, the Board concluded that the Fund’s management fee was fair and reasonable in light of the extent and quality of services that the Fund receives.
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2020 | 39 |
June 30, 2020
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1* | 04/25/11 | -3.24 | 7.19 | 10.37 | 13.60 | |
Class 2* | 04/25/11 | -3.39 | 6.85 | 10.09 | 13.34 | |
Class 3 | 05/01/00 | -3.35 | 6.99 | 10.23 | 13.48 | |
S&P 500 Index | -3.08 | 7.51 | 10.73 | 13.99 |
* | 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 | Semiannual Report 2020 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2020) | |
Common Stocks | 99.0 |
Money Market Funds | 1.0 |
Total | 100.0 |
Equity sector breakdown (%) (at June 30, 2020) | |
Communication Services | 10.8 |
Consumer Discretionary | 10.8 |
Consumer Staples | 7.0 |
Energy | 2.8 |
Financials | 10.1 |
Health Care | 14.6 |
Industrials | 8.0 |
Information Technology | 27.5 |
Materials | 2.5 |
Real Estate | 2.8 |
Utilities | 3.1 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2020 |
(Unaudited)
January 1, 2020 — June 30, 2020 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 967.60 | 1,023.57 | 1.27 | 1.31 | 0.26 |
Class 2 | 1,000.00 | 1,000.00 | 966.10 | 1,022.33 | 2.49 | 2.56 | 0.51 |
Class 3 | 1,000.00 | 1,000.00 | 966.50 | 1,022.97 | 1.86 | 1.91 | 0.38 |
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2020 | 5 |
June 30, 2020 (Unaudited)
Common Stocks 98.9% | ||
Issuer | Shares | Value ($) |
Communication Services 10.6% | ||
Diversified Telecommunication Services 1.8% | ||
AT&T, Inc. | 339,947 | 10,276,598 |
CenturyLink, Inc. | 47,124 | 472,654 |
Verizon Communications, Inc. | 197,432 | 10,884,426 |
Total | 21,633,678 | |
Entertainment 2.0% | ||
Activision Blizzard, Inc. | 36,758 | 2,789,932 |
Electronic Arts, Inc.(a) | 13,774 | 1,818,857 |
Live Nation Entertainment, Inc.(a) | 6,780 | 300,557 |
Netflix, Inc.(a) | 20,985 | 9,549,015 |
Take-Two Interactive Software, Inc.(a) | 5,436 | 758,703 |
Walt Disney Co. (The) | 86,185 | 9,610,489 |
Total | 24,827,553 | |
Interactive Media & Services 5.4% | ||
Alphabet, Inc., Class A(a) | 14,319 | 20,305,058 |
Alphabet, Inc., Class C(a) | 13,957 | 19,729,755 |
Facebook, Inc., Class A(a) | 114,721 | 26,049,697 |
Twitter, Inc.(a) | 37,440 | 1,115,338 |
Total | 67,199,848 | |
Media 1.2% | ||
Charter Communications, Inc., Class A(a) | 7,189 | 3,666,678 |
Comcast Corp., Class A | 217,311 | 8,470,783 |
Discovery, Inc., Class A(a) | 7,635 | 161,098 |
Discovery, Inc., Class C(a) | 15,091 | 290,653 |
DISH Network Corp., Class A(a) | 12,267 | 423,334 |
Fox Corp., Class A | 16,353 | 438,587 |
Fox Corp., Class B | 7,599 | 203,957 |
Interpublic Group of Companies, Inc. (The) | 18,593 | 319,056 |
News Corp., Class A | 18,554 | 220,050 |
News Corp., Class B | 5,809 | 69,418 |
Omnicom Group, Inc. | 10,220 | 558,012 |
ViacomCBS, Inc., Class B | 25,797 | 601,586 |
Total | 15,423,212 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Wireless Telecommunication Services 0.2% | ||
T-Mobile U.S.A., Inc.(a) | 27,170 | 2,829,755 |
Total Communication Services | 131,914,046 | |
Consumer Discretionary 10.7% | ||
Auto Components 0.1% | ||
Aptiv PLC | 12,790 | 996,597 |
BorgWarner, Inc. | 9,890 | 349,117 |
Total | 1,345,714 | |
Automobiles 0.2% | ||
Ford Motor Co. | 186,371 | 1,133,136 |
General Motors Co. | 60,085 | 1,520,150 |
Total | 2,653,286 | |
Distributors 0.1% | ||
Genuine Parts Co. | 6,880 | 598,285 |
LKQ Corp.(a) | 14,502 | 379,952 |
Total | 978,237 | |
Diversified Consumer Services 0.0% | ||
H&R Block, Inc. | 9,180 | 131,090 |
Hotels, Restaurants & Leisure 1.5% | ||
Carnival Corp. | 22,600 | 371,092 |
Chipotle Mexican Grill, Inc.(a) | 1,225 | 1,289,141 |
Darden Restaurants, Inc. | 6,201 | 469,850 |
Domino’s Pizza, Inc. | 1,870 | 690,853 |
Hilton Worldwide Holdings, Inc. | 13,231 | 971,817 |
Las Vegas Sands Corp. | 16,030 | 730,006 |
Marriott International, Inc., Class A | 12,839 | 1,100,687 |
McDonald’s Corp. | 35,476 | 6,544,258 |
MGM Resorts International | 23,535 | 395,388 |
Norwegian Cruise Line Holdings Ltd.(a) | 12,228 | 200,906 |
Royal Caribbean Cruises Ltd. | 8,190 | 411,957 |
Starbucks Corp. | 55,731 | 4,101,244 |
Wynn Resorts Ltd. | 4,631 | 344,963 |
Yum! Brands, Inc. | 14,356 | 1,247,680 |
Total | 18,869,842 |
6 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Household Durables 0.4% | ||
D.R. Horton, Inc. | 15,788 | 875,445 |
Garmin Ltd. | 6,931 | 675,772 |
Leggett & Platt, Inc. | 6,312 | 221,867 |
Lennar Corp., Class A | 13,103 | 807,407 |
Mohawk Industries, Inc.(a) | 2,838 | 288,795 |
Newell Brands, Inc. | 18,213 | 289,222 |
NVR, Inc.(a) | 160 | 521,400 |
PulteGroup, Inc. | 12,024 | 409,177 |
Whirlpool Corp. | 2,965 | 384,056 |
Total | 4,473,141 | |
Internet & Direct Marketing Retail 4.9% | ||
Amazon.com, Inc.(a) | 19,988 | 55,143,294 |
Booking Holdings, Inc.(a) | 1,955 | 3,113,025 |
eBay, Inc. | 31,514 | 1,652,909 |
Expedia Group, Inc. | 6,465 | 531,423 |
Total | 60,440,651 | |
Leisure Products 0.0% | ||
Hasbro, Inc. | 6,078 | 455,546 |
Multiline Retail 0.5% | ||
Dollar General Corp. | 12,008 | 2,287,644 |
Dollar Tree, Inc.(a) | 11,317 | 1,048,860 |
Kohl’s Corp. | 7,522 | 156,232 |
Target Corp. | 23,853 | 2,860,690 |
Total | 6,353,426 | |
Specialty Retail 2.4% | ||
Advance Auto Parts, Inc. | 3,297 | 469,658 |
AutoZone, Inc.(a) | 1,113 | 1,255,598 |
Best Buy Co., Inc. | 10,846 | 946,530 |
CarMax, Inc.(a) | 7,769 | 695,714 |
Gap, Inc. (The) | 10,155 | 128,156 |
Home Depot, Inc. (The) | 51,317 | 12,855,422 |
L Brands, Inc. | 11,135 | 166,691 |
Lowe’s Companies, Inc. | 36,019 | 4,866,887 |
O’Reilly Automotive, Inc.(a) | 3,541 | 1,493,134 |
Ross Stores, Inc. | 16,961 | 1,445,756 |
Tiffany & Co. | 5,209 | 635,185 |
TJX Companies, Inc. (The) | 57,149 | 2,889,453 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Tractor Supply Co. | 5,516 | 726,954 |
Ulta Beauty, Inc.(a) | 2,682 | 545,572 |
Total | 29,120,710 | |
Textiles, Apparel & Luxury Goods 0.6% | ||
Hanesbrands, Inc. | 16,608 | 187,504 |
Nike, Inc., Class B | 59,159 | 5,800,540 |
PVH Corp. | 3,381 | 162,457 |
Ralph Lauren Corp. | 2,276 | 165,056 |
Tapestry, Inc. | 13,173 | 174,937 |
Under Armour, Inc., Class A(a) | 8,994 | 87,602 |
Under Armour, Inc., Class C(a) | 9,378 | 82,902 |
VF Corp. | 15,215 | 927,202 |
Total | 7,588,200 | |
Total Consumer Discretionary | 132,409,843 | |
Consumer Staples 6.9% | ||
Beverages 1.7% | ||
Brown-Forman Corp., Class B | 8,704 | 554,097 |
Coca-Cola Co. (The) | 184,423 | 8,240,020 |
Constellation Brands, Inc., Class A | 8,009 | 1,401,174 |
Molson Coors Beverage Co., Class B | 8,973 | 308,312 |
Monster Beverage Corp.(a) | 17,837 | 1,236,461 |
PepsiCo, Inc. | 66,196 | 8,755,083 |
Total | 20,495,147 | |
Food & Staples Retailing 1.5% | ||
Costco Wholesale Corp. | 21,063 | 6,386,512 |
Kroger Co. (The) | 37,507 | 1,269,612 |
Sysco Corp. | 24,217 | 1,323,701 |
Walgreens Boots Alliance, Inc. | 35,154 | 1,490,178 |
Walmart, Inc. | 67,556 | 8,091,858 |
Total | 18,561,861 | |
Food Products 1.1% | ||
Archer-Daniels-Midland Co. | 26,503 | 1,057,470 |
Campbell Soup Co. | 8,069 | 400,465 |
ConAgra Foods, Inc. | 23,238 | 817,281 |
General Mills, Inc. | 28,915 | 1,782,610 |
Hershey Co. (The) | 7,031 | 911,358 |
Hormel Foods Corp. | 13,375 | 645,611 |
JM Smucker Co. (The) | 5,442 | 575,818 |
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2020 | 7 |
June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Kellogg Co. | 11,939 | 788,690 |
Kraft Heinz Co. (The) | 29,734 | 948,217 |
Lamb Weston Holdings, Inc. | 6,968 | 445,464 |
McCormick & Co., Inc. | 5,895 | 1,057,622 |
Mondelez International, Inc., Class A | 68,103 | 3,482,107 |
Tyson Foods, Inc., Class A | 14,047 | 838,746 |
Total | 13,751,459 | |
Household Products 1.7% | ||
Church & Dwight Co., Inc. | 11,729 | 906,652 |
Clorox Co. (The) | 5,971 | 1,309,858 |
Colgate-Palmolive Co. | 40,863 | 2,993,623 |
Kimberly-Clark Corp. | 16,250 | 2,296,937 |
Procter & Gamble Co. (The) | 118,115 | 14,123,011 |
Total | 21,630,081 | |
Personal Products 0.2% | ||
Coty, Inc., Class A | 14,198 | 63,465 |
Estee Lauder Companies, Inc. (The), Class A | 10,726 | 2,023,782 |
Total | 2,087,247 | |
Tobacco 0.7% | ||
Altria Group, Inc. | 88,670 | 3,480,297 |
Philip Morris International, Inc. | 74,297 | 5,205,248 |
Total | 8,685,545 | |
Total Consumer Staples | 85,211,340 | |
Energy 2.8% | ||
Energy Equipment & Services 0.2% | ||
Baker Hughes Co. | 31,254 | 480,999 |
Halliburton Co. | 41,853 | 543,252 |
National Oilwell Varco, Inc. | 18,527 | 226,956 |
Schlumberger Ltd. | 66,217 | 1,217,731 |
TechnipFMC PLC | 20,067 | 137,258 |
Total | 2,606,196 | |
Oil, Gas & Consumable Fuels 2.6% | ||
Apache Corp. | 18,007 | 243,094 |
Cabot Oil & Gas Corp. | 19,016 | 326,695 |
Chevron Corp. | 89,081 | 7,948,698 |
Concho Resources, Inc. | 9,387 | 483,430 |
ConocoPhillips Co. | 51,172 | 2,150,247 |
Devon Energy Corp. | 18,260 | 207,068 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Diamondback Energy, Inc. | 7,533 | 315,030 |
EOG Resources, Inc. | 27,767 | 1,406,676 |
Exxon Mobil Corp. | 201,736 | 9,021,634 |
Hess Corp. | 12,455 | 645,293 |
HollyFrontier Corp. | 7,103 | 207,408 |
Kinder Morgan, Inc. | 92,795 | 1,407,700 |
Marathon Oil Corp. | 37,705 | 230,755 |
Marathon Petroleum Corp. | 31,027 | 1,159,789 |
Noble Energy, Inc. | 22,885 | 205,050 |
Occidental Petroleum Corp. | 42,946 | 785,912 |
ONEOK, Inc. | 20,991 | 697,321 |
Phillips 66 | 20,832 | 1,497,821 |
Pioneer Natural Resources Co. | 7,867 | 768,606 |
Valero Energy Corp. | 19,455 | 1,144,343 |
Williams Companies, Inc. (The) | 57,881 | 1,100,897 |
Total | 31,953,467 | |
Total Energy | 34,559,663 | |
Financials 10.0% | ||
Banks 3.6% | ||
Bank of America Corp. | 372,535 | 8,847,706 |
Citigroup, Inc. | 99,323 | 5,075,405 |
Citizens Financial Group, Inc. | 20,350 | 513,634 |
Comerica, Inc. | 6,636 | 252,832 |
Fifth Third Bancorp | 33,968 | 654,903 |
First Republic Bank | 8,180 | 866,998 |
Huntington Bancshares, Inc. | 48,389 | 437,195 |
JPMorgan Chase & Co. | 145,380 | 13,674,443 |
KeyCorp | 46,541 | 566,869 |
M&T Bank Corp. | 6,125 | 636,816 |
People’s United Financial, Inc. | 20,260 | 234,408 |
PNC Financial Services Group, Inc. (The) | 20,243 | 2,129,766 |
Regions Financial Corp. | 45,657 | 507,706 |
SVB Financial Group(a) | 2,458 | 529,773 |
Truist Financial Corp. | 64,290 | 2,414,089 |
U.S. Bancorp | 65,402 | 2,408,102 |
Wells Fargo & Co. | 178,015 | 4,557,184 |
Zions Bancorp | 7,822 | 265,948 |
Total | 44,573,777 |
8 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Capital Markets 2.7% | ||
Ameriprise Financial, Inc.(b) | 5,839 | 876,084 |
Bank of New York Mellon Corp. (The) | 38,443 | 1,485,822 |
BlackRock, Inc. | 7,363 | 4,006,135 |
Cboe Global Markets, Inc. | 5,235 | 488,321 |
Charles Schwab Corp. (The) | 54,665 | 1,844,397 |
CME Group, Inc. | 17,110 | 2,781,059 |
E*TRADE Financial Corp. | 10,542 | 524,254 |
Franklin Resources, Inc. | 13,238 | 277,601 |
Goldman Sachs Group, Inc. (The) | 14,767 | 2,918,254 |
Intercontinental Exchange, Inc. | 26,110 | 2,391,676 |
Invesco Ltd. | 17,950 | 193,142 |
MarketAxess Holdings, Inc. | 1,810 | 906,665 |
Moody’s Corp. | 7,689 | 2,112,399 |
Morgan Stanley | 57,132 | 2,759,476 |
MSCI, Inc. | 4,061 | 1,355,643 |
Nasdaq, Inc. | 5,479 | 654,576 |
Northern Trust Corp. | 9,930 | 787,846 |
Raymond James Financial, Inc. | 5,818 | 400,453 |
S&P Global, Inc. | 11,490 | 3,785,725 |
State Street Corp. | 16,796 | 1,067,386 |
T. Rowe Price Group, Inc. | 10,855 | 1,340,592 |
Total | 32,957,506 | |
Consumer Finance 0.5% | ||
American Express Co. | 31,490 | 2,997,848 |
Capital One Financial Corp. | 21,720 | 1,359,455 |
Discover Financial Services | 14,612 | 731,915 |
Synchrony Financial | 25,623 | 567,805 |
Total | 5,657,023 | |
Diversified Financial Services 1.3% | ||
Berkshire Hathaway, Inc., Class B(a) | 92,758 | 16,558,231 |
Insurance 1.9% | ||
Aflac, Inc. | 34,234 | 1,233,451 |
Allstate Corp. (The) | 14,982 | 1,453,104 |
American International Group, Inc. | 41,097 | 1,281,404 |
Aon PLC, Class A | 11,022 | 2,122,837 |
Arthur J Gallagher & Co. | 9,049 | 882,187 |
Assurant, Inc. | 2,847 | 294,067 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Chubb Ltd. | 21,540 | 2,727,395 |
Cincinnati Financial Corp. | 7,197 | 460,824 |
Everest Re Group Ltd. | 1,907 | 393,223 |
Globe Life, Inc. | 4,675 | 347,025 |
Hartford Financial Services Group, Inc. (The) | 17,085 | 658,627 |
Lincoln National Corp. | 9,215 | 339,020 |
Loews Corp. | 11,546 | 395,912 |
Marsh & McLennan Companies, Inc. | 24,340 | 2,613,386 |
MetLife, Inc. | 36,806 | 1,344,155 |
Principal Financial Group, Inc. | 12,151 | 504,753 |
Progressive Corp. (The) | 27,924 | 2,236,992 |
Prudential Financial, Inc. | 18,851 | 1,148,026 |
Travelers Companies, Inc. (The) | 12,062 | 1,375,671 |
Unum Group | 9,704 | 160,989 |
Willis Towers Watson PLC | 6,144 | 1,210,061 |
WR Berkley Corp. | 6,740 | 386,135 |
Total | 23,569,244 | |
Total Financials | 123,315,781 | |
Health Care 14.5% | ||
Biotechnology 2.4% | ||
AbbVie, Inc. | 84,081 | 8,255,073 |
Alexion Pharmaceuticals, Inc.(a) | 10,533 | 1,182,224 |
Amgen, Inc. | 28,065 | 6,619,411 |
Biogen, Inc.(a) | 7,782 | 2,082,074 |
Gilead Sciences, Inc. | 59,831 | 4,603,397 |
Incyte Corp.(a) | 8,613 | 895,494 |
Regeneron Pharmaceuticals, Inc.(a) | 4,810 | 2,999,756 |
Vertex Pharmaceuticals, Inc.(a) | 12,370 | 3,591,135 |
Total | 30,228,564 | |
Health Care Equipment & Supplies 3.8% | ||
Abbott Laboratories | 84,391 | 7,715,869 |
ABIOMED, Inc.(a) | 2,148 | 518,871 |
Align Technology, Inc.(a) | 3,423 | 939,408 |
Baxter International, Inc. | 24,277 | 2,090,250 |
Becton Dickinson and Co. | 14,065 | 3,365,332 |
Boston Scientific Corp.(a) | 68,170 | 2,393,449 |
Cooper Companies, Inc. (The) | 2,348 | 665,987 |
Danaher Corp. | 30,027 | 5,309,674 |
Dentsply Sirona, Inc. | 10,453 | 460,559 |
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2020 | 9 |
June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
DexCom, Inc.(a) | 4,400 | 1,783,760 |
Edwards Lifesciences Corp.(a) | 29,567 | 2,043,375 |
Hologic, Inc.(a) | 12,317 | 702,069 |
IDEXX Laboratories, Inc.(a) | 4,055 | 1,338,799 |
Intuitive Surgical, Inc.(a) | 5,568 | 3,172,813 |
Medtronic PLC | 63,989 | 5,867,791 |
ResMed, Inc. | 6,904 | 1,325,568 |
STERIS PLC | 4,050 | 621,432 |
Stryker Corp. | 15,383 | 2,771,863 |
Teleflex, Inc. | 2,210 | 804,396 |
Varian Medical Systems, Inc.(a) | 4,334 | 531,002 |
West Pharmaceutical Services, Inc. | 3,510 | 797,367 |
Zimmer Biomet Holdings, Inc. | 9,863 | 1,177,248 |
Total | 46,396,882 | |
Health Care Providers & Services 2.8% | ||
AmerisourceBergen Corp. | 7,088 | 714,258 |
Anthem, Inc. | 12,033 | 3,164,438 |
Cardinal Health, Inc. | 13,931 | 727,059 |
Centene Corp.(a) | 27,633 | 1,756,077 |
Cigna Corp. | 17,602 | 3,303,015 |
CVS Health Corp. | 62,365 | 4,051,854 |
DaVita, Inc.(a) | 4,065 | 321,704 |
HCA Healthcare, Inc. | 12,562 | 1,219,268 |
Henry Schein, Inc.(a) | 6,807 | 397,461 |
Humana, Inc. | 6,309 | 2,446,315 |
Laboratory Corp. of America Holdings(a) | 4,642 | 771,083 |
McKesson Corp. | 7,718 | 1,184,095 |
Quest Diagnostics, Inc. | 6,379 | 726,951 |
UnitedHealth Group, Inc. | 45,249 | 13,346,192 |
Universal Health Services, Inc., Class B | 3,709 | 344,529 |
Total | 34,474,299 | |
Health Care Technology 0.1% | ||
Cerner Corp. | 14,525 | 995,689 |
Life Sciences Tools & Services 1.2% | ||
Agilent Technologies, Inc. | 14,733 | 1,301,955 |
Bio-Rad Laboratories, Inc., Class A(a) | 1,020 | 460,520 |
Illumina, Inc.(a) | 7,018 | 2,599,116 |
IQVIA Holdings, Inc.(a) | 8,477 | 1,202,717 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Mettler-Toledo International, Inc.(a) | 1,136 | 915,105 |
PerkinElmer, Inc. | 5,310 | 520,858 |
Thermo Fisher Scientific, Inc. | 18,839 | 6,826,123 |
Waters Corp.(a) | 2,951 | 532,360 |
Total | 14,358,754 | |
Pharmaceuticals 4.2% | ||
Bristol-Myers Squibb Co. | 107,959 | 6,347,989 |
Eli Lilly and Co. | 40,185 | 6,597,573 |
Johnson & Johnson | 125,698 | 17,676,910 |
Merck & Co., Inc. | 120,432 | 9,313,007 |
Mylan NV(a) | 24,666 | 396,629 |
Perrigo Co. PLC | 6,503 | 359,421 |
Pfizer, Inc. | 265,035 | 8,666,645 |
Zoetis, Inc. | 22,659 | 3,105,189 |
Total | 52,463,363 | |
Total Health Care | 178,917,551 | |
Industrials 7.9% | ||
Aerospace & Defense 1.7% | ||
Boeing Co. (The) | 25,583 | 4,689,364 |
General Dynamics Corp. | 11,085 | 1,656,764 |
Howmet Aerospace, Inc. | 18,306 | 290,150 |
Huntington Ingalls Industries, Inc. | 1,932 | 337,115 |
L3 Harris Technologies, Inc. | 10,297 | 1,747,092 |
Lockheed Martin Corp. | 11,774 | 4,296,568 |
Northrop Grumman Corp. | 7,392 | 2,272,596 |
Raytheon Technologies Corp. | 70,174 | 4,324,122 |
Teledyne Technologies, Inc.(a) | 1,750 | 544,162 |
Textron, Inc. | 10,859 | 357,370 |
TransDigm Group, Inc. | 2,396 | 1,059,152 |
Total | 21,574,455 | |
Air Freight & Logistics 0.5% | ||
CH Robinson Worldwide, Inc. | 6,421 | 507,644 |
Expeditors International of Washington, Inc. | 7,945 | 604,138 |
FedEx Corp. | 11,470 | 1,608,324 |
United Parcel Service, Inc., Class B | 33,596 | 3,735,203 |
Total | 6,455,309 |
10 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Airlines 0.2% | ||
Alaska Air Group, Inc. | 5,851 | 212,157 |
American Airlines Group, Inc. | 23,708 | 309,864 |
Delta Air Lines, Inc. | 27,088 | 759,818 |
Southwest Airlines Co. | 25,586 | 874,530 |
United Airlines Holdings, Inc.(a) | 12,054 | 417,189 |
Total | 2,573,558 | |
Building Products 0.4% | ||
Allegion PLC | 4,398 | 449,564 |
AO Smith Corp. | 6,445 | 303,688 |
Carrier Global Corp. | 38,844 | 863,114 |
Fortune Brands Home & Security, Inc. | 6,664 | 426,030 |
Johnson Controls International PLC | 35,489 | 1,211,594 |
Masco Corp. | 12,588 | 632,043 |
Trane Technologies PLC | 11,408 | 1,015,084 |
Total | 4,901,117 | |
Commercial Services & Supplies 0.4% | ||
Cintas Corp. | 4,018 | 1,070,235 |
Copart, Inc.(a) | 9,855 | 820,626 |
Republic Services, Inc. | 10,026 | 822,633 |
Rollins, Inc. | 6,729 | 285,242 |
Waste Management, Inc. | 18,521 | 1,961,559 |
Total | 4,960,295 | |
Construction & Engineering 0.1% | ||
Jacobs Engineering Group, Inc. | 6,204 | 526,099 |
Quanta Services, Inc. | 6,563 | 257,467 |
Total | 783,566 | |
Electrical Equipment 0.5% | ||
AMETEK, Inc. | 10,943 | 977,976 |
Eaton Corp. PLC | 19,087 | 1,669,731 |
Emerson Electric Co. | 28,510 | 1,768,475 |
Rockwell Automation, Inc. | 5,526 | 1,177,038 |
Total | 5,593,220 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Industrial Conglomerates 1.1% | ||
3M Co. | 27,445 | 4,281,145 |
General Electric Co. | 417,336 | 2,850,405 |
Honeywell International, Inc. | 33,486 | 4,841,741 |
Roper Technologies, Inc. | 4,984 | 1,935,088 |
Total | 13,908,379 | |
Machinery 1.5% | ||
Caterpillar, Inc. | 25,821 | 3,266,357 |
Cummins, Inc. | 7,035 | 1,218,884 |
Deere & Co. | 14,929 | 2,346,092 |
Dover Corp. | 6,864 | 662,788 |
Flowserve Corp. | 6,208 | 177,052 |
Fortive Corp. | 14,143 | 956,915 |
IDEX Corp. | 3,600 | 568,944 |
Illinois Tool Works, Inc. | 13,719 | 2,398,767 |
Ingersoll Rand, Inc.(a) | 16,500 | 463,980 |
Otis Worldwide Corp. | 19,422 | 1,104,335 |
PACCAR, Inc. | 16,495 | 1,234,651 |
Parker-Hannifin Corp. | 6,122 | 1,121,979 |
Pentair PLC | 7,904 | 300,273 |
Snap-On, Inc. | 2,597 | 359,710 |
Stanley Black & Decker, Inc. | 7,357 | 1,025,419 |
Westinghouse Air Brake Technologies Corp. | 8,630 | 496,829 |
Xylem, Inc. | 8,585 | 557,682 |
Total | 18,260,657 | |
Professional Services 0.3% | ||
Equifax, Inc. | 5,792 | 995,529 |
IHS Markit Ltd. | 19,034 | 1,437,067 |
Nielsen Holdings PLC | 17,008 | 252,739 |
Robert Half International, Inc. | 5,465 | 288,716 |
Verisk Analytics, Inc. | 7,743 | 1,317,858 |
Total | 4,291,909 | |
Road & Rail 1.0% | ||
CSX Corp. | 36,521 | 2,546,975 |
JB Hunt Transport Services, Inc. | 4,026 | 484,489 |
Kansas City Southern | 4,531 | 676,433 |
Norfolk Southern Corp. | 12,225 | 2,146,343 |
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2020 | 11 |
June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Old Dominion Freight Line, Inc. | 4,500 | 763,155 |
Union Pacific Corp. | 32,378 | 5,474,148 |
Total | 12,091,543 | |
Trading Companies & Distributors 0.2% | ||
Fastenal Co. | 27,326 | 1,170,646 |
United Rentals, Inc.(a) | 3,437 | 512,250 |
W.W. Grainger, Inc. | 2,069 | 649,997 |
Total | 2,332,893 | |
Total Industrials | 97,726,901 | |
Information Technology 27.2% | ||
Communications Equipment 1.0% | ||
Arista Networks, Inc.(a) | 2,564 | 538,517 |
Cisco Systems, Inc. | 202,338 | 9,437,044 |
F5 Networks, Inc.(a) | 2,908 | 405,608 |
Juniper Networks, Inc. | 15,808 | 361,371 |
Motorola Solutions, Inc. | 8,113 | 1,136,875 |
Total | 11,879,415 | |
Electronic Equipment, Instruments & Components 0.5% | ||
Amphenol Corp., Class A | 14,115 | 1,352,358 |
CDW Corp. | 6,790 | 788,862 |
Corning, Inc. | 36,215 | 937,968 |
FLIR Systems, Inc. | 6,242 | 253,238 |
IPG Photonics Corp.(a) | 1,699 | 272,503 |
Keysight Technologies, Inc.(a) | 8,928 | 899,764 |
TE Connectivity Ltd. | 15,741 | 1,283,679 |
Zebra Technologies Corp., Class A(a) | 2,530 | 647,553 |
Total | 6,435,925 | |
IT Services 5.7% | ||
Accenture PLC, Class A | 30,393 | 6,525,985 |
Akamai Technologies, Inc.(a) | 7,739 | 828,769 |
Automatic Data Processing, Inc. | 20,506 | 3,053,138 |
Broadridge Financial Solutions, Inc. | 5,482 | 691,774 |
Cognizant Technology Solutions Corp., Class A | 25,795 | 1,465,672 |
DXC Technology Co. | 12,109 | 199,798 |
Fidelity National Information Services, Inc. | 29,482 | 3,953,241 |
Fiserv, Inc.(a) | 26,829 | 2,619,047 |
FleetCor Technologies, Inc.(a) | 3,994 | 1,004,611 |
Gartner, Inc.(a) | 4,256 | 516,380 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Global Payments, Inc. | 14,267 | 2,419,969 |
International Business Machines Corp. | 42,361 | 5,115,938 |
Jack Henry & Associates, Inc. | 3,658 | 673,182 |
Leidos Holdings, Inc. | 6,370 | 596,678 |
MasterCard, Inc., Class A | 42,165 | 12,468,190 |
Paychex, Inc. | 15,233 | 1,153,900 |
PayPal Holdings, Inc.(a) | 56,024 | 9,761,062 |
VeriSign, Inc.(a) | 4,852 | 1,003,539 |
Visa, Inc., Class A | 80,494 | 15,549,026 |
Western Union Co. (The) | 19,601 | 423,774 |
Total | 70,023,673 | |
Semiconductors & Semiconductor Equipment 4.7% | ||
Advanced Micro Devices, Inc.(a) | 55,878 | 2,939,742 |
Analog Devices, Inc. | 17,583 | 2,156,379 |
Applied Materials, Inc. | 43,726 | 2,643,237 |
Broadcom, Inc. | 19,077 | 6,020,892 |
Intel Corp. | 202,017 | 12,086,677 |
KLA Corp. | 7,401 | 1,439,346 |
Lam Research Corp. | 6,928 | 2,240,931 |
Maxim Integrated Products, Inc. | 12,717 | 770,777 |
Microchip Technology, Inc. | 11,703 | 1,232,443 |
Micron Technology, Inc.(a) | 53,062 | 2,733,754 |
NVIDIA Corp. | 29,349 | 11,149,979 |
Qorvo, Inc.(a) | 5,470 | 604,599 |
QUALCOMM, Inc. | 53,670 | 4,895,241 |
Skyworks Solutions, Inc. | 7,956 | 1,017,254 |
Texas Instruments, Inc. | 43,784 | 5,559,255 |
Xilinx, Inc. | 11,598 | 1,141,127 |
Total | 58,631,633 | |
Software 9.3% | ||
Adobe, Inc.(a) | 22,990 | 10,007,777 |
ANSYS, Inc.(a) | 4,097 | 1,195,218 |
Autodesk, Inc.(a) | 10,463 | 2,502,645 |
Cadence Design Systems, Inc.(a) | 13,323 | 1,278,475 |
Citrix Systems, Inc. | 5,534 | 818,534 |
Fortinet, Inc.(a) | 6,398 | 878,253 |
Intuit, Inc. | 12,446 | 3,686,381 |
Microsoft Corp. | 361,825 | 73,635,006 |
NortonLifeLock, Inc. | 25,856 | 512,724 |
12 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Oracle Corp. | 99,309 | 5,488,808 |
Paycom Software, Inc.(a) | 2,300 | 712,379 |
Salesforce.com, Inc.(a) | 42,990 | 8,053,317 |
ServiceNow, Inc.(a) | 9,100 | 3,686,046 |
Synopsys, Inc.(a) | 7,191 | 1,402,245 |
Tyler Technologies, Inc.(a) | 1,900 | 659,072 |
Total | 114,516,880 | |
Technology Hardware, Storage & Peripherals 6.0% | ||
Apple, Inc.(c) | 194,393 | 70,914,566 |
Hewlett Packard Enterprise Co. | 61,295 | 596,400 |
HP, Inc. | 68,227 | 1,189,197 |
NetApp, Inc. | 10,556 | 468,370 |
Seagate Technology PLC | 10,779 | 521,811 |
Western Digital Corp. | 14,299 | 631,301 |
Xerox Holdings Corp. | 8,735 | 133,558 |
Total | 74,455,203 | |
Total Information Technology | 335,942,729 | |
Materials 2.5% | ||
Chemicals 1.8% | ||
Air Products & Chemicals, Inc. | 10,542 | 2,545,471 |
Albemarle Corp. | 5,076 | 391,918 |
Celanese Corp., Class A | 5,644 | 487,303 |
CF Industries Holdings, Inc. | 10,204 | 287,141 |
Corteva, Inc. | 35,704 | 956,510 |
Dow, Inc. | 35,344 | 1,440,621 |
DuPont de Nemours, Inc. | 35,013 | 1,860,241 |
Eastman Chemical Co. | 6,484 | 451,546 |
Ecolab, Inc. | 11,801 | 2,347,809 |
FMC Corp. | 6,177 | 615,353 |
International Flavors & Fragrances, Inc. | 5,096 | 624,056 |
Linde PLC | 25,062 | 5,315,901 |
LyondellBasell Industries NV, Class A | 12,261 | 805,793 |
Mosaic Co. (The) | 16,635 | 208,104 |
PPG Industries, Inc. | 11,257 | 1,193,917 |
Sherwin-Williams Co. (The) | 3,855 | 2,227,612 |
Total | 21,759,296 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Construction Materials 0.1% | ||
Martin Marietta Materials, Inc. | 2,974 | 614,339 |
Vulcan Materials Co. | 6,321 | 732,288 |
Total | 1,346,627 | |
Containers & Packaging 0.3% | ||
Amcor PLC | 75,120 | 766,975 |
Avery Dennison Corp. | 3,973 | 453,280 |
Ball Corp. | 15,550 | 1,080,569 |
International Paper Co. | 18,749 | 660,152 |
Packaging Corp. of America | 4,527 | 451,795 |
Sealed Air Corp. | 7,422 | 243,813 |
WestRock Co. | 12,367 | 349,491 |
Total | 4,006,075 | |
Metals & Mining 0.3% | ||
Freeport-McMoRan, Inc. | 69,277 | 801,535 |
Newmont Corp. | 38,289 | 2,363,963 |
Nucor Corp. | 14,366 | 594,896 |
Total | 3,760,394 | |
Total Materials | 30,872,392 | |
Real Estate 2.8% | ||
Equity Real Estate Investment Trusts (REITS) 2.7% | ||
Alexandria Real Estate Equities, Inc. | 6,024 | 977,394 |
American Tower Corp. | 21,147 | 5,467,345 |
Apartment Investment & Management Co., Class A | 7,107 | 267,507 |
AvalonBay Communities, Inc. | 6,717 | 1,038,717 |
Boston Properties, Inc. | 6,891 | 622,809 |
Crown Castle International Corp. | 19,888 | 3,328,257 |
Digital Realty Trust, Inc. | 12,797 | 1,818,582 |
Duke Realty Corp. | 17,580 | 622,156 |
Equinix, Inc. | 4,221 | 2,964,408 |
Equity Residential | 16,690 | 981,706 |
Essex Property Trust, Inc. | 3,117 | 714,323 |
Extra Space Storage, Inc. | 6,159 | 568,907 |
Federal Realty Investment Trust | 3,352 | 285,624 |
Healthpeak Properties, Inc. | 25,680 | 707,741 |
Host Hotels & Resorts, Inc. | 33,630 | 362,868 |
Iron Mountain, Inc. | 13,732 | 358,405 |
Kimco Realty Corp. | 20,638 | 264,992 |
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2020 | 13 |
June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Mid-America Apartment Communities, Inc. | 5,455 | 625,525 |
ProLogis, Inc. | 35,243 | 3,289,229 |
Public Storage | 7,176 | 1,377,003 |
Realty Income Corp. | 16,388 | 975,086 |
Regency Centers Corp. | 8,090 | 371,250 |
SBA Communications Corp. | 5,326 | 1,586,722 |
Simon Property Group, Inc. | 14,586 | 997,391 |
SL Green Realty Corp. | 3,650 | 179,908 |
UDR, Inc. | 14,072 | 526,011 |
Ventas, Inc. | 17,802 | 651,909 |
Vornado Realty Trust | 7,566 | 289,097 |
Welltower, Inc. | 19,914 | 1,030,549 |
Weyerhaeuser Co. | 35,602 | 799,621 |
Total | 34,051,042 | |
Real Estate Management & Development 0.1% | ||
CBRE Group, Inc., Class A(a) | 15,989 | 723,023 |
Total Real Estate | 34,774,065 | |
Utilities 3.0% | ||
Electric Utilities 1.9% | ||
Alliant Energy Corp. | 11,902 | 569,392 |
American Electric Power Co., Inc. | 23,642 | 1,882,849 |
Duke Energy Corp. | 35,063 | 2,801,183 |
Edison International | 18,031 | 979,264 |
Entergy Corp. | 9,548 | 895,698 |
Evergy, Inc. | 10,819 | 641,458 |
Eversource Energy | 16,054 | 1,336,817 |
Exelon Corp. | 46,491 | 1,687,158 |
FirstEnergy Corp. | 25,848 | 1,002,385 |
NextEra Energy, Inc. | 23,357 | 5,609,651 |
NRG Energy, Inc. | 11,648 | 379,259 |
Pinnacle West Capital Corp. | 5,371 | 393,641 |
PPL Corp. | 36,681 | 947,837 |
Southern Co. (The) | 50,385 | 2,612,462 |
Xcel Energy, Inc. | 25,047 | 1,565,437 |
Total | 23,304,491 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Gas Utilities 0.0% | ||
Atmos Energy Corp. | 5,840 | 581,547 |
Independent Power and Renewable Electricity Producers 0.0% | ||
AES Corp. (The) | 31,722 | 459,652 |
Multi-Utilities 1.0% | ||
Ameren Corp. | 11,778 | 828,700 |
CenterPoint Energy, Inc. | 25,988 | 485,196 |
CMS Energy Corp. | 13,656 | 797,784 |
Consolidated Edison, Inc. | 15,936 | 1,146,276 |
Dominion Energy, Inc. | 40,039 | 3,250,366 |
DTE Energy Co. | 9,186 | 987,495 |
NiSource, Inc. | 18,262 | 415,278 |
Public Service Enterprise Group, Inc. | 24,123 | 1,185,887 |
Sempra Energy | 13,953 | 1,635,710 |
WEC Energy Group, Inc. | 15,054 | 1,319,483 |
Total | 12,052,175 | |
Water Utilities 0.1% | ||
American Water Works Co., Inc. | 8,638 | 1,111,365 |
Total Utilities | 37,509,230 | |
Total Common Stocks (Cost $867,716,536) | 1,223,153,541 | |
Money Market Funds 1.1% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(b),(d) | 12,823,552 | 12,823,552 |
Total Money Market Funds (Cost $12,823,552) | 12,823,552 | |
Total Investments in Securities (Cost: $880,540,088) | 1,235,977,093 | |
Other Assets & Liabilities, Net | 391,083 | |
Net Assets | 1,236,368,176 |
14 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | 90 | 09/2020 | USD | 13,905,900 | 299,252 | — |
(a) | Non-income producing investment. |
(b) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Ameriprise Financial, Inc. | ||||||||
949,340 | 43,292 | (6,776) | (109,772) | 876,084 | 29,570 | 11,861 | 5,839 | |
Columbia Short-Term Cash Fund, 0.253% | ||||||||
6,977,669 | 89,224,571 | (83,378,819) | 131 | 12,823,552 | 8,971 | 54,077 | 12,823,552 | |
Total | 7,927,009 | (109,641) | 13,699,636 | 38,541 | 65,938 |
(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 June 30, 2020. |
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 | Semiannual Report 2020 | 15 |
June 30, 2020 (Unaudited)
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 | 131,914,046 | — | — | 131,914,046 |
Consumer Discretionary | 132,409,843 | — | — | 132,409,843 |
Consumer Staples | 85,211,340 | — | — | 85,211,340 |
Energy | 34,559,663 | — | — | 34,559,663 |
Financials | 123,315,781 | — | — | 123,315,781 |
Health Care | 178,917,551 | — | — | 178,917,551 |
Industrials | 97,726,901 | — | — | 97,726,901 |
Information Technology | 335,942,729 | — | — | 335,942,729 |
Materials | 30,872,392 | — | — | 30,872,392 |
Real Estate | 34,774,065 | — | — | 34,774,065 |
Utilities | 37,509,230 | — | — | 37,509,230 |
Total Common Stocks | 1,223,153,541 | — | — | 1,223,153,541 |
Money Market Funds | 12,823,552 | — | — | 12,823,552 |
Total Investments in Securities | 1,235,977,093 | — | — | 1,235,977,093 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 299,252 | — | — | 299,252 |
Total | 1,236,276,345 | — | — | 1,236,276,345 |
16 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $867,171,215) | $1,222,277,457 |
Affiliated issuers (cost $13,368,873) | 13,699,636 |
Receivable for: | |
Dividends | 951,184 |
Foreign tax reclaims | 16,708 |
Variation margin for futures contracts | 191,250 |
Total assets | 1,237,136,235 |
Liabilities | |
Due to custodian | 802 |
Payable for: | |
Capital shares purchased | 603,426 |
Management services fees | 6,654 |
Distribution and/or service fees | 2,012 |
Service fees | 32,550 |
Compensation of board members | 50,736 |
Compensation of chief compliance officer | 110 |
Other expenses | 71,769 |
Total liabilities | 768,059 |
Net assets applicable to outstanding capital stock | $1,236,368,176 |
Represented by | |
Trust capital | $1,236,368,176 |
Total - representing net assets applicable to outstanding capital stock | $1,236,368,176 |
Class 1 | |
Net assets | $649,009,364 |
Shares outstanding | 25,901,405 |
Net asset value per share | $25.06 |
Class 2 | |
Net assets | $10,381,427 |
Shares outstanding | 423,654 |
Net asset value per share | $24.50 |
Class 3 | |
Net assets | $576,977,385 |
Shares outstanding | 23,272,479 |
Net asset value per share | $24.79 |
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2020 | 17 |
Six Months Ended June 30, 2020 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $13,609,989 |
Dividends — affiliated issuers | 65,938 |
Total income | 13,675,927 |
Expenses: | |
Management services fees | 1,159,155 |
Distribution and/or service fees | |
Class 2 | 12,854 |
Class 3 | 344,780 |
Service fees | 173,079 |
Compensation of board members | 10,500 |
Custodian fees | 2,096 |
Printing and postage fees | 45,281 |
Licensing fees and expenses | 57,187 |
Audit fees | 14,669 |
Legal fees | 9,366 |
Interest on interfund lending | 73 |
Compensation of chief compliance officer | 143 |
Other | 8,605 |
Total expenses | 1,837,788 |
Net investment income | 11,838,139 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 12,982,146 |
Investments — affiliated issuers | 38,541 |
Futures contracts | 1,527,675 |
Net realized gain | 14,548,362 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (55,001,551) |
Investments — affiliated issuers | (109,641) |
Futures contracts | 171,096 |
Net change in unrealized appreciation (depreciation) | (54,940,096) |
Net realized and unrealized loss | (40,391,734) |
Net decrease in net assets resulting from operations | $(28,553,595) |
18 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2020 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||
Net investment income | $11,838,139 | $18,498,080 |
Net realized gain | 14,548,362 | 8,767,378 |
Net change in unrealized appreciation (depreciation) | (54,940,096) | 238,068,583 |
Net increase (decrease) in net assets resulting from operations | (28,553,595) | 265,334,041 |
Increase in net assets from capital stock activity | 54,233,289 | 159,579,603 |
Total increase in net assets | 25,679,694 | 424,913,644 |
Net assets at beginning of period | 1,210,688,482 | 785,774,838 |
Net assets at end of period | $1,236,368,176 | $1,210,688,482 |
Six Months Ended | Year Ended | |||
June 30, 2020 (Unaudited) | December 31, 2019 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 3,693,387 | 82,146,623 | 6,347,251 | 145,225,297 |
Redemptions | (939,573) | (23,792,582) | (49,430) | (1,171,984) |
Net increase | 2,753,814 | 58,354,041 | 6,297,821 | 144,053,313 |
Class 2 | ||||
Subscriptions | 15,974 | 353,443 | 7,610 | 166,167 |
Redemptions | (39,982) | (974,266) | (83,255) | (1,880,509) |
Net decrease | (24,008) | (620,823) | (75,645) | (1,714,342) |
Class 3 | ||||
Subscriptions | 842,589 | 19,578,086 | 1,833,049 | 41,860,107 |
Redemptions | (956,698) | (23,078,015) | (1,062,040) | (24,619,475) |
Net increase (decrease) | (114,109) | (3,499,929) | 771,009 | 17,240,632 |
Total net increase | 2,615,697 | 54,233,289 | 6,993,185 | 159,579,603 |
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2020 | 19 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $25.90 | 0.25 | (1.09) | (0.84) |
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(e) | (0.19) | 0.15 |
Class 2 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $25.36 | 0.22 | (1.08) | (0.86) |
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(f) | (0.18) | 0.11 |
Class 3 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $25.65 | 0.23 | (1.09) | (0.86) |
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(e) | (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) | Annualized. |
(d) | Ratios include interfund lending expense which is less than 0.01%. |
(e) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.06 per share. |
(f) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.05 per share. |
20 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2020 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $25.06 | (3.24%) | 0.26%(c),(d) | 0.26%(c),(d) | 2.11%(c) | 2% | $649,009 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $24.50 | (3.39%) | 0.51%(c),(d) | 0.51%(c),(d) | 1.84%(c) | 2% | $10,381 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $24.79 | (3.35%) | 0.38%(c),(d) | 0.38%(c),(d) | 1.97%(c) | 2% | $576,977 |
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% | $304,143 |
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2020 | 21 |
June 30, 2020 (Unaudited)
22 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2020 | 23 |
June 30, 2020 (Unaudited)
24 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 299,252* |
* | 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 ($) |
Equity risk | 1,527,675 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Equity risk | 171,096 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 14,019,625 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2020. |
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2020 | 25 |
June 30, 2020 (Unaudited)
26 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Fee rate(s) contractual July 1, 2020 through April 30, 2021 | |
Class 1 | 0.29% |
Class 2 | 0.54 |
Class 3 | 0.415 |
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2020 | 27 |
June 30, 2020 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Borrower | 4,200,000 | 0.62 | 1 |
28 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2020 | 29 |
June 30, 2020 (Unaudited)
30 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2020 | 31 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
32 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2020 |
Nature, extent and quality of services provided by Columbia Threadneedle
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2020 | 33 |
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of the Funds’ fee rates, and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Board accorded particular weight to the notion that the primary objective of the level of fees is to achieve a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) approximated the peer universe’s median expense ratio. Based on its review, the Board concluded that the Fund’s management fee was fair and reasonable in light of the extent and quality of services that the Fund receives.
34 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2020 |
June 30, 2020
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | 4.46 | 11.87 | 10.51 | 12.12 | |
Class 2 | 05/03/10 | 4.28 | 11.58 | 10.23 | 11.85 | |
Class 3 | 05/01/01 | 4.39 | 11.71 | 10.37 | 11.98 | |
Russell Midcap Growth Index | 4.16 | 11.91 | 11.60 | 15.09 |
Columbia Variable Portfolio – Mid Cap Growth Fund | Semiannual Report 2020 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2020) | |
Common Stocks | 98.5 |
Money Market Funds | 1.5 |
Total | 100.0 |
Equity sector breakdown (%) (at June 30, 2020) | |
Communication Services | 1.7 |
Consumer Discretionary | 15.0 |
Financials | 2.5 |
Health Care | 28.1 |
Industrials | 16.5 |
Information Technology | 33.0 |
Materials | 2.0 |
Real Estate | 1.2 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Mid Cap Growth Fund | Semiannual Report 2020 |
(Unaudited)
January 1, 2020 — June 30, 2020 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,044.60 | 1,021.13 | 3.81 | 3.77 | 0.75 |
Class 2 | 1,000.00 | 1,000.00 | 1,042.80 | 1,019.89 | 5.08 | 5.02 | 1.00 |
Class 3 | 1,000.00 | 1,000.00 | 1,043.90 | 1,020.49 | 4.47 | 4.42 | 0.88 |
Columbia Variable Portfolio – Mid Cap Growth Fund | Semiannual Report 2020 | 5 |
June 30, 2020 (Unaudited)
Common Stocks 98.1% | ||
Issuer | Shares | Value ($) |
Communication Services 1.6% | ||
Entertainment 1.6% | ||
Zynga, Inc., Class A(a) | 873,568 | 8,333,839 |
Total Communication Services | 8,333,839 | |
Consumer Discretionary 14.7% | ||
Distributors 1.8% | ||
Pool Corp. | 33,553 | 9,122,054 |
Hotels, Restaurants & Leisure 3.9% | ||
Chipotle Mexican Grill, Inc.(a) | 10,968 | 11,542,284 |
Domino’s Pizza, Inc. | 22,163 | 8,187,899 |
Total | 19,730,183 | |
Household Durables 1.4% | ||
NVR, Inc.(a) | 2,255 | 7,348,481 |
Specialty Retail 7.6% | ||
AutoZone, Inc.(a) | 7,704 | 8,691,037 |
O’Reilly Automotive, Inc.(a) | 25,624 | 10,804,872 |
Tractor Supply Co. | 111,576 | 14,704,601 |
Ulta Beauty, Inc.(a) | 24,333 | 4,949,819 |
Total | 39,150,329 | |
Total Consumer Discretionary | 75,351,047 | |
Financials 2.5% | ||
Banks 0.9% | ||
SVB Financial Group(a) | 22,027 | 4,747,479 |
Capital Markets 1.6% | ||
Raymond James Financial, Inc. | 116,746 | 8,035,627 |
Total Financials | 12,783,106 | |
Health Care 27.6% | ||
Biotechnology 7.3% | ||
Exact Sciences Corp.(a) | 117,430 | 10,209,364 |
Immunomedics, Inc.(a) | 196,118 | 6,950,422 |
Sarepta Therapeutics, Inc.(a) | 55,559 | 8,908,330 |
Seattle Genetics, Inc.(a) | 64,990 | 11,043,101 |
Total | 37,111,217 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Health Care Equipment & Supplies 11.6% | ||
Align Technology, Inc.(a) | 34,298 | 9,412,743 |
Hill-Rom Holdings, Inc. | 48,957 | 5,374,500 |
IDEXX Laboratories, Inc.(a) | 28,488 | 9,405,598 |
Masimo Corp.(a) | 40,159 | 9,155,850 |
ResMed, Inc. | 58,894 | 11,307,648 |
STERIS PLC | 50,662 | 7,773,577 |
Varian Medical Systems, Inc.(a) | 58,725 | 7,194,987 |
Total | 59,624,903 | |
Health Care Providers & Services 2.6% | ||
Encompass Health Corp. | 130,164 | 8,061,057 |
Laboratory Corp. of America Holdings(a) | 32,326 | 5,369,672 |
Total | 13,430,729 | |
Life Sciences Tools & Services 6.1% | ||
Bio-Rad Laboratories, Inc., Class A(a) | 15,742 | 7,107,356 |
Bio-Techne Corp. | 23,975 | 6,331,078 |
Mettler-Toledo International, Inc.(a) | 13,433 | 10,820,953 |
Pra Health Sciences, Inc.(a) | 70,083 | 6,818,375 |
Total | 31,077,762 | |
Total Health Care | 141,244,611 | |
Industrials 16.2% | ||
Aerospace & Defense 1.4% | ||
BWX Technologies, Inc. | 126,418 | 7,160,315 |
Building Products 2.8% | ||
Allegion PLC | 76,327 | 7,802,146 |
Lennox International, Inc. | 28,493 | 6,638,584 |
Total | 14,440,730 | |
Commercial Services & Supplies 3.0% | ||
Copart, Inc.(a) | 81,867 | 6,817,065 |
Rollins, Inc. | 199,421 | 8,453,456 |
Total | 15,270,521 | |
Electrical Equipment 1.3% | ||
Generac Holdings, Inc.(a) | 55,400 | 6,754,922 |
6 | Columbia Variable Portfolio – Mid Cap Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Machinery 3.8% | ||
Donaldson Co., Inc. | 127,963 | 5,952,839 |
IDEX Corp. | 44,378 | 7,013,499 |
Toro Co. (The) | 99,585 | 6,606,469 |
Total | 19,572,807 | |
Professional Services 2.5% | ||
CoStar Group, Inc.(a) | 17,782 | 12,637,134 |
Road & Rail 1.4% | ||
Old Dominion Freight Line, Inc. | 41,117 | 6,973,032 |
Total Industrials | 82,809,461 | |
Information Technology 32.3% | ||
Electronic Equipment, Instruments & Components 3.9% | ||
Amphenol Corp., Class A | 88,577 | 8,486,562 |
CDW Corp. | 98,132 | 11,400,976 |
Total | 19,887,538 | |
IT Services 7.5% | ||
Booz Allen Hamilton Holdings Corp. | 113,066 | 8,795,404 |
EPAM Systems, Inc.(a) | 41,920 | 10,564,259 |
GoDaddy, Inc., Class A(a) | 152,337 | 11,170,872 |
Jack Henry & Associates, Inc. | 44,465 | 8,182,894 |
Total | 38,713,429 | |
Semiconductors & Semiconductor Equipment 6.1% | ||
Advanced Micro Devices, Inc.(a) | 247,847 | 13,039,231 |
Lam Research Corp. | 29,399 | 9,509,401 |
Teradyne, Inc. | 103,740 | 8,767,067 |
Total | 31,315,699 | |
Software 14.8% | ||
Alteryx, Inc., Class A(a) | 64,570 | 10,607,560 |
ANSYS, Inc.(a) | 46,884 | 13,677,469 |
Cadence Design Systems, Inc.(a) | 98,320 | 9,434,787 |
DocuSign, Inc.(a) | 66,057 | 11,375,676 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
ServiceNow, Inc.(a) | 14,663 | 5,939,395 |
Synopsys, Inc.(a) | 48,899 | 9,535,305 |
Tyler Technologies, Inc.(a) | 19,029 | 6,600,779 |
Zscaler, Inc.(a) | 78,452 | 8,590,494 |
Total | 75,761,465 | |
Total Information Technology | 165,678,131 | |
Materials 2.0% | ||
Chemicals 0.9% | ||
Celanese Corp., Class A | 53,812 | 4,646,128 |
Containers & Packaging 1.1% | ||
Avery Dennison Corp. | 48,777 | 5,564,968 |
Total Materials | 10,211,096 | |
Real Estate 1.2% | ||
Equity Real Estate Investment Trusts (REITS) 1.2% | ||
Americold Realty Trust | 171,129 | 6,211,983 |
Total Real Estate | 6,211,983 | |
Total Common Stocks (Cost $385,702,992) | 502,623,274 | |
Money Market Funds 1.5% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(b),(c) | 7,486,601 | 7,486,601 |
Total Money Market Funds (Cost $7,486,689) | 7,486,601 | |
Total Investments in Securities (Cost: $393,189,681) | 510,109,875 | |
Other Assets & Liabilities, Net | 2,301,671 | |
Net Assets | 512,411,546 |
Columbia Variable Portfolio – Mid Cap Growth Fund | Semiannual Report 2020 | 7 |
June 30, 2020 (Unaudited)
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | ||||||||
17,437,134 | 91,858,838 | (101,810,078) | 707 | 7,486,601 | (1,070) | 86,267 | 7,486,601 |
■ | 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 | 8,333,839 | — | — | 8,333,839 |
Consumer Discretionary | 75,351,047 | — | — | 75,351,047 |
Financials | 12,783,106 | — | — | 12,783,106 |
Health Care | 141,244,611 | — | — | 141,244,611 |
Industrials | 82,809,461 | — | — | 82,809,461 |
Information Technology | 165,678,131 | — | — | 165,678,131 |
8 | Columbia Variable Portfolio – Mid Cap Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Materials | 10,211,096 | — | — | 10,211,096 |
Real Estate | 6,211,983 | — | — | 6,211,983 |
Total Common Stocks | 502,623,274 | — | — | 502,623,274 |
Money Market Funds | 7,486,601 | — | — | 7,486,601 |
Total Investments in Securities | 510,109,875 | — | — | 510,109,875 |
Columbia Variable Portfolio – Mid Cap Growth Fund | Semiannual Report 2020 | 9 |
June 30, 2020 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $385,702,992) | $502,623,274 |
Affiliated issuers (cost $7,486,689) | 7,486,601 |
Receivable for: | |
Investments sold | 5,788,927 |
Capital shares sold | 135 |
Dividends | 220,174 |
Foreign tax reclaims | 6,214 |
Expense reimbursement due from Investment Manager | 1,273 |
Total assets | 516,126,598 |
Liabilities | |
Due to custodian | 6,214 |
Payable for: | |
Investments purchased | 2,710,849 |
Capital shares purchased | 828,313 |
Management services fees | 11,290 |
Distribution and/or service fees | 1,085 |
Service fees | 15,775 |
Compensation of board members | 95,808 |
Compensation of chief compliance officer | 59 |
Other expenses | 45,659 |
Total liabilities | 3,715,052 |
Net assets applicable to outstanding capital stock | $512,411,546 |
Represented by | |
Trust capital | $512,411,546 |
Total - representing net assets applicable to outstanding capital stock | $512,411,546 |
Class 1 | |
Net assets | $218,764,217 |
Shares outstanding | 6,308,808 |
Net asset value per share | $34.68 |
Class 2 | |
Net assets | $29,265,534 |
Shares outstanding | 865,013 |
Net asset value per share | $33.83 |
Class 3 | |
Net assets | $264,381,795 |
Shares outstanding | 7,721,742 |
Net asset value per share | $34.24 |
10 | Columbia Variable Portfolio – Mid Cap Growth Fund | Semiannual Report 2020 |
Six Months Ended June 30, 2020 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $1,330,769 |
Dividends — affiliated issuers | 86,267 |
Interfund lending | 394 |
Total income | 1,417,430 |
Expenses: | |
Management services fees | 1,995,609 |
Distribution and/or service fees | |
Class 2 | 33,328 |
Class 3 | 155,034 |
Service fees | 85,049 |
Compensation of board members | 3,354 |
Custodian fees | 6,722 |
Printing and postage fees | 29,282 |
Audit fees | 14,669 |
Legal fees | 6,187 |
Compensation of chief compliance officer | 57 |
Other | 4,994 |
Total expenses | 2,334,285 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (316,244) |
Total net expenses | 2,018,041 |
Net investment loss | (600,611) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (5,035,191) |
Investments — affiliated issuers | (1,070) |
Futures contracts | 325,330 |
Net realized loss | (4,710,931) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 26,334,060 |
Investments — affiliated issuers | 707 |
Net change in unrealized appreciation (depreciation) | 26,334,767 |
Net realized and unrealized gain | 21,623,836 |
Net increase in net assets resulting from operations | $21,023,225 |
Columbia Variable Portfolio – Mid Cap Growth Fund | Semiannual Report 2020 | 11 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||
Net investment loss | $(600,611) | $(107,725) |
Net realized gain (loss) | (4,710,931) | 40,765,167 |
Net change in unrealized appreciation (depreciation) | 26,334,767 | 105,494,316 |
Net increase in net assets resulting from operations | 21,023,225 | 146,151,758 |
Decrease in net assets from capital stock activity | (37,423,706) | (48,480,989) |
Total increase (decrease) in net assets | (16,400,481) | 97,670,769 |
Net assets at beginning of period | 528,812,027 | 431,141,258 |
Net assets at end of period | $512,411,546 | $528,812,027 |
Six Months Ended | Year Ended | |||
June 30, 2020 (Unaudited) | December 31, 2019 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 45,496 | 1,319,517 | 77,346 | 2,376,992 |
Redemptions | (708,115) | (23,894,709) | (578,351) | (17,450,377) |
Net decrease | (662,619) | (22,575,192) | (501,005) | (15,073,385) |
Class 2 | ||||
Subscriptions | 48,135 | 1,478,030 | 128,455 | 3,797,357 |
Redemptions | (51,577) | (1,599,342) | (89,994) | (2,627,162) |
Net increase (decrease) | (3,442) | (121,312) | 38,461 | 1,170,195 |
Class 3 | ||||
Subscriptions | 24,498 | 784,143 | 20,393 | 602,635 |
Redemptions | (508,143) | (15,511,345) | (1,183,005) | (35,180,434) |
Net decrease | (483,645) | (14,727,202) | (1,162,612) | (34,577,799) |
Total net decrease | (1,149,706) | (37,423,706) | (1,625,156) | (48,480,989) |
12 | Columbia Variable Portfolio – Mid Cap Growth Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Mid Cap Growth Fund | Semiannual Report 2020 | 13 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $33.20 | (0.03) | 1.51 | 1.48 |
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(d) | 0.95 | 1.09 |
Class 2 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $32.44 | (0.06) | 1.45 | 1.39 |
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(e) | 0.80 | 1.03 |
Class 3 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $32.80 | (0.05) | 1.49 | 1.44 |
Year Ended 12/31/2019 | $24.30 | (0.02) | 8.52 | 8.50 |
Year Ended 12/31/2018 | $25.54 | (0.00)(f) | (1.24) | (1.24) |
Year Ended 12/31/2017 | $20.80 | 0.00(f) | 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(g) | 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) | Annualized. |
(d) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.14 per share. |
(e) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.27 per share. |
(f) | Rounds to zero. |
(g) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.28 per share. |
14 | Columbia Variable Portfolio – Mid Cap Growth Fund | Semiannual Report 2020 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $34.68 | 4.46% | 0.88%(c) | 0.75%(c) | (0.17%)(c) | 28% | $218,764 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $33.83 | 4.28% | 1.13%(c) | 1.00%(c) | (0.42%)(c) | 28% | $29,266 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $34.24 | 4.39% | 1.01%(c) | 0.88%(c) | (0.29%)(c) | 28% | $264,382 |
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% | $279,919 |
Columbia Variable Portfolio – Mid Cap Growth Fund | Semiannual Report 2020 | 15 |
June 30, 2020 (Unaudited)
16 | Columbia Variable Portfolio – Mid Cap Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Mid Cap Growth Fund | Semiannual Report 2020 | 17 |
June 30, 2020 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Equity risk | 325,330 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 579,946 |
* | Based on the ending daily outstanding amounts for the six months ended June 30, 2020. |
18 | Columbia Variable Portfolio – Mid Cap Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Mid Cap Growth Fund | Semiannual Report 2020 | 19 |
June 30, 2020 (Unaudited)
20 | Columbia Variable Portfolio – Mid Cap Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
May 1, 2020 through April 30, 2021 | Prior to May 1, 2020 | |
Class 1 | 0.79% | 0.73% |
Class 2 | 1.04 | 0.98 |
Class 3 | 0.915 | 0.855 |
Columbia Variable Portfolio – Mid Cap Growth Fund | Semiannual Report 2020 | 21 |
June 30, 2020 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 7,300,000 | 0.98 | 2 |
22 | Columbia Variable Portfolio – Mid Cap Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Mid Cap Growth Fund | Semiannual Report 2020 | 23 |
June 30, 2020 (Unaudited)
24 | Columbia Variable Portfolio – Mid Cap Growth Fund | Semiannual Report 2020 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
Columbia Variable Portfolio – Mid Cap Growth Fund | Semiannual Report 2020 | 25 |
Nature, extent and quality of services provided by Columbia Threadneedle
26 | Columbia Variable Portfolio – Mid Cap Growth Fund | Semiannual Report 2020 |
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of the Funds’ fee rates, and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Board accorded particular weight to the notion that the primary objective of the level of fees is to achieve a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) was below the peer universe’s median expense ratio shown in the reports. Based on its review, the Board concluded that the Fund’s management fee was fair and reasonable in light of the extent and quality of services that the Fund receives.
Columbia Variable Portfolio – Mid Cap Growth Fund | Semiannual Report 2020 | 27 |
June 30, 2020
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | -14.82 | -5.95 | 5.35 | 11.29 | |
Class 2 | 05/03/10 | -14.91 | -6.16 | 5.09 | 11.01 | |
Class 3 | 02/04/04 | -14.86 | -6.06 | 5.23 | 11.14 | |
Russell 1000 Value Index | -16.26 | -8.84 | 4.64 | 10.41 | ||
S&P 500 Index | -3.08 | 7.51 | 10.73 | 13.99 |
Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2020 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2020) | |
Common Stocks | 97.9 |
Money Market Funds | 2.1 |
Total | 100.0 |
Equity sector breakdown (%) (at June 30, 2020) | |
Communication Services | 4.6 |
Consumer Discretionary | 7.7 |
Consumer Staples | 6.2 |
Energy | 7.8 |
Financials | 17.5 |
Health Care | 14.7 |
Industrials | 8.0 |
Information Technology | 13.4 |
Materials | 13.8 |
Utilities | 6.3 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2020 |
(Unaudited)
January 1, 2020 — June 30, 2020 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 851.80 | 1,021.33 | 3.27 | 3.57 | 0.71 |
Class 2 | 1,000.00 | 1,000.00 | 850.90 | 1,020.09 | 4.42 | 4.82 | 0.96 |
Class 3 | 1,000.00 | 1,000.00 | 851.40 | 1,020.69 | 3.87 | 4.22 | 0.84 |
Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2020 | 5 |
June 30, 2020 (Unaudited)
Common Stocks 97.9% | ||
Issuer | Shares | Value ($) |
Communication Services 4.5% | ||
Diversified Telecommunication Services 4.5% | ||
Verizon Communications, Inc. | 1,295,800 | 71,437,454 |
Total Communication Services | 71,437,454 | |
Consumer Discretionary 7.5% | ||
Internet & Direct Marketing Retail 2.3% | ||
Qurate Retail, Inc.(a) | 3,878,301 | 36,843,860 |
Specialty Retail 5.2% | ||
Lowe’s Companies, Inc. | 606,600 | 81,963,792 |
Total Consumer Discretionary | 118,807,652 | |
Consumer Staples 6.1% | ||
Food Products 2.9% | ||
Tyson Foods, Inc., Class A | 750,000 | 44,782,500 |
Tobacco 3.2% | ||
Philip Morris International, Inc. | 725,000 | 50,793,500 |
Total Consumer Staples | 95,576,000 | |
Energy 7.6% | ||
Energy Equipment & Services 1.2% | ||
TechnipFMC PLC | 2,750,000 | 18,810,000 |
Oil, Gas & Consumable Fuels 6.4% | ||
Chevron Corp. | 300,000 | 26,769,000 |
Marathon Petroleum Corp. | 800,000 | 29,904,000 |
Williams Companies, Inc. (The) | 2,319,037 | 44,108,084 |
Total | 100,781,084 | |
Total Energy | 119,591,084 | |
Financials 17.1% | ||
Banks 10.1% | ||
Bank of America Corp. | 1,750,000 | 41,562,500 |
Citigroup, Inc. | 1,043,600 | 53,327,960 |
JPMorgan Chase & Co. | 440,000 | 41,386,400 |
Wells Fargo & Co. | 900,000 | 23,040,000 |
Total | 159,316,860 | |
Capital Markets 2.6% | ||
Morgan Stanley | 850,000 | 41,055,000 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Insurance 4.4% | ||
American International Group, Inc. | 1,100,000 | 34,298,000 |
MetLife, Inc. | 975,000 | 35,607,000 |
Total | 69,905,000 | |
Total Financials | 270,276,860 | |
Health Care 14.4% | ||
Health Care Equipment & Supplies 2.7% | ||
Baxter International, Inc. | 500,000 | 43,050,000 |
Health Care Providers & Services 8.1% | ||
Cigna Corp. | 320,000 | 60,048,000 |
Humana, Inc. | 175,000 | 67,856,250 |
Total | 127,904,250 | |
Pharmaceuticals 3.6% | ||
Bristol-Myers Squibb Co. | 950,000 | 55,860,000 |
Total Health Care | 226,814,250 | |
Industrials 7.9% | ||
Aerospace & Defense 1.3% | ||
Raytheon Technologies Corp. | 325,000 | 20,026,500 |
Industrial Conglomerates 2.1% | ||
Honeywell International, Inc. | 225,000 | 32,532,750 |
Machinery 0.9% | ||
Caterpillar, Inc. | 109,041 | 13,793,686 |
Road & Rail 3.6% | ||
CSX Corp. | 400,000 | 27,896,000 |
Union Pacific Corp. | 175,000 | 29,587,250 |
Total | 57,483,250 | |
Total Industrials | 123,836,186 | |
Information Technology 13.1% | ||
Electronic Equipment, Instruments & Components 4.3% | ||
Corning, Inc. | 2,600,000 | 67,340,000 |
Semiconductors & Semiconductor Equipment 6.6% | ||
Applied Materials, Inc. | 725,000 | 43,826,250 |
QUALCOMM, Inc. | 650,600 | 59,341,226 |
Total | 103,167,476 |
6 | Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Software 2.2% | ||
Teradata Corp.(a) | 1,700,000 | 35,360,000 |
Total Information Technology | 205,867,476 | |
Materials 13.5% | ||
Chemicals 4.7% | ||
FMC Corp. | 750,000 | 74,715,000 |
Metals & Mining 8.8% | ||
Barrick Gold Corp. | 3,000,000 | 80,820,000 |
Freeport-McMoRan, Inc. | 5,000,000 | 57,850,000 |
Total | 138,670,000 | |
Total Materials | 213,385,000 | |
Utilities 6.2% | ||
Electric Utilities 2.7% | ||
NextEra Energy, Inc. | 175,000 | 42,029,750 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Independent Power and Renewable Electricity Producers 3.5% | ||
AES Corp. (The) | 3,800,000 | 55,062,000 |
Total Utilities | 97,091,750 | |
Total Common Stocks (Cost $1,405,144,413) | 1,542,683,712 | |
Money Market Funds 2.1% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(b),(c) | 32,578,068 | 32,578,068 |
Total Money Market Funds (Cost $32,582,964) | 32,578,068 | |
Total Investments in Securities (Cost: $1,437,727,377) | 1,575,261,780 | |
Other Assets & Liabilities, Net | (40,973) | |
Net Assets | 1,575,220,807 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | ||||||||
27,185,111 | 634,343,903 | (628,946,643) | (4,303) | 32,578,068 | 12,250 | 268,134 | 32,578,068 |
■ | 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 | Semiannual Report 2020 | 7 |
June 30, 2020 (Unaudited)
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 71,437,454 | — | — | 71,437,454 |
Consumer Discretionary | 118,807,652 | — | — | 118,807,652 |
Consumer Staples | 95,576,000 | — | — | 95,576,000 |
Energy | 119,591,084 | — | — | 119,591,084 |
Financials | 270,276,860 | — | — | 270,276,860 |
Health Care | 226,814,250 | — | — | 226,814,250 |
Industrials | 123,836,186 | — | — | 123,836,186 |
Information Technology | 205,867,476 | — | — | 205,867,476 |
Materials | 213,385,000 | — | — | 213,385,000 |
Utilities | 97,091,750 | — | — | 97,091,750 |
Total Common Stocks | 1,542,683,712 | — | — | 1,542,683,712 |
Money Market Funds | 32,578,068 | — | — | 32,578,068 |
Total Investments in Securities | 1,575,261,780 | — | — | 1,575,261,780 |
8 | Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,405,144,413) | $1,542,683,712 |
Affiliated issuers (cost $32,582,964) | 32,578,068 |
Receivable for: | |
Capital shares sold | 25,588 |
Dividends | 1,420,417 |
Total assets | 1,576,707,785 |
Liabilities | |
Payable for: | |
Capital shares purchased | 1,352,311 |
Management services fees | 29,557 |
Distribution and/or service fees | 329 |
Service fees | 12,927 |
Compensation of board members | 62,666 |
Compensation of chief compliance officer | 169 |
Other expenses | 29,019 |
Total liabilities | 1,486,978 |
Net assets applicable to outstanding capital stock | $1,575,220,807 |
Represented by | |
Trust capital | $1,575,220,807 |
Total - representing net assets applicable to outstanding capital stock | $1,575,220,807 |
Class 1 | |
Net assets | $1,504,187,231 |
Shares outstanding | 63,814,660 |
Net asset value per share | $23.57 |
Class 2 | |
Net assets | $26,897,868 |
Shares outstanding | 1,169,560 |
Net asset value per share | $23.00 |
Class 3 | |
Net assets | $44,135,708 |
Shares outstanding | 1,897,304 |
Net asset value per share | $23.26 |
Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2020 | 9 |
Six Months Ended June 30, 2020 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $21,335,574 |
Dividends — affiliated issuers | 268,134 |
Interfund lending | 93 |
Foreign taxes withheld | (63,000) |
Total income | 21,540,801 |
Expenses: | |
Management services fees | 5,251,169 |
Distribution and/or service fees | |
Class 2 | 34,603 |
Class 3 | 29,046 |
Service fees | 38,625 |
Compensation of board members | 12,044 |
Custodian fees | 7,836 |
Printing and postage fees | 9,385 |
Audit fees | 14,697 |
Legal fees | 10,863 |
Compensation of chief compliance officer | 159 |
Other | 10,685 |
Total expenses | 5,419,112 |
Net investment income | 16,121,689 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (47,539,615) |
Investments — affiliated issuers | 12,250 |
Net realized loss | (47,527,365) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (228,774,110) |
Investments — affiliated issuers | (4,303) |
Net change in unrealized appreciation (depreciation) | (228,778,413) |
Net realized and unrealized loss | (276,305,778) |
Net decrease in net assets resulting from operations | $(260,184,089) |
10 | Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2020 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||
Net investment income | $16,121,689 | $22,020,456 |
Net realized gain (loss) | (47,527,365) | 94,040,356 |
Net change in unrealized appreciation (depreciation) | (228,778,413) | 184,535,796 |
Net increase (decrease) in net assets resulting from operations | (260,184,089) | 300,596,608 |
Increase (decrease) in net assets from capital stock activity | 503,804,559 | (144,844,810) |
Total increase in net assets | 243,620,470 | 155,751,798 |
Net assets at beginning of period | 1,331,600,337 | 1,175,848,539 |
Net assets at end of period | $1,575,220,807 | $1,331,600,337 |
Six Months Ended | Year Ended | |||
June 30, 2020 (Unaudited) | December 31, 2019 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 23,838,742 | 629,416,025 | 3,426,100 | 83,702,508 |
Redemptions | (4,909,042) | (120,327,516) | (9,033,221) | (225,698,866) |
Net increase (decrease) | 18,929,700 | 509,088,509 | (5,607,121) | (141,996,358) |
Class 2 | ||||
Subscriptions | 66,687 | 1,483,634 | 204,001 | 4,934,242 |
Redemptions | (111,270) | (2,544,135) | (140,820) | (3,434,395) |
Net increase (decrease) | (44,583) | (1,060,501) | 63,181 | 1,499,847 |
Class 3 | ||||
Subscriptions | 57,804 | 1,299,338 | 140,619 | 3,427,384 |
Redemptions | (245,275) | (5,522,787) | (316,641) | (7,775,683) |
Net decrease | (187,471) | (4,223,449) | (176,022) | (4,348,299) |
Total net increase (decrease) | 18,697,646 | 503,804,559 | (5,719,962) | (144,844,810) |
Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2020 | 11 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $27.67 | 0.25 | (4.35) | (4.10) |
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 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $27.03 | 0.21 | (4.24) | (4.03) |
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 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $27.32 | 0.23 | (4.29) | (4.06) |
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) | Annualized. |
(d) | Ratios include interfund lending expense which is less than 0.01%. |
12 | Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2020 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $23.57 | (14.82%) | 0.71%(c) | 0.71%(c) | 2.16%(c) | 8% | $1,504,187 |
Year Ended 12/31/2019 | $27.67 | 26.75% | 0.73%(d) | 0.73%(d) | 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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $23.00 | (14.91%) | 0.96%(c) | 0.96%(c) | 1.85%(c) | 8% | $26,898 |
Year Ended 12/31/2019 | $27.03 | 26.43% | 0.98%(d) | 0.98%(d) | 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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $23.26 | (14.86%) | 0.84%(c) | 0.84%(c) | 1.97%(c) | 8% | $44,136 |
Year Ended 12/31/2019 | $27.32 | 26.54% | 0.86%(d) | 0.86%(d) | 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% | $47,307 |
Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2020 | 13 |
June 30, 2020 (Unaudited)
14 | Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2020 | 15 |
June 30, 2020 (Unaudited)
16 | Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
May 1, 2020 through April 30, 2021 | Prior to May 1, 2020 | |
Class 1 | 0.72% | 0.73% |
Class 2 | 0.97 | 0.98 |
Class 3 | 0.845 | 0.855 |
Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2020 | 17 |
June 30, 2020 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 733,333 | 1.28 | 3 |
18 | Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2020 | 19 |
June 30, 2020 (Unaudited)
20 | Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2020 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2020 | 21 |
Nature, extent and quality of services provided by Columbia Threadneedle
22 | Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2020 |
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of the Funds’ fee rates, and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Board accorded particular weight to the notion that the primary objective of the level of fees is to achieve a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) approximated the peer universe’s median expense ratio. Based on its review, the Board concluded that the Fund’s management fee was fair and reasonable in light of the extent and quality of services that the Fund receives.
Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2020 | 23 |
June 30, 2020
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Columbia Variable Portfolio — Core Equity Fund | 09/10/04 | -2.58 | 5.98 | 9.66 | 14.53 | |
S&P 500 Index | -3.08 | 7.51 | 10.73 | 13.99 |
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2020 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2020) | |
Common Stocks | 98.6 |
Money Market Funds | 1.4 |
Total | 100.0 |
Equity sector breakdown (%) (at June 30, 2020) | |
Communication Services | 10.4 |
Consumer Discretionary | 11.4 |
Consumer Staples | 7.2 |
Energy | 2.8 |
Financials | 10.5 |
Health Care | 14.7 |
Industrials | 7.6 |
Information Technology | 27.7 |
Materials | 2.2 |
Real Estate | 2.6 |
Utilities | 2.9 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2020 |
(Unaudited)
January 1, 2020 — June 30, 2020 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Columbia Variable Portfolio – Core Equity Fund | 1,000.00 | 1,000.00 | 974.20 | 1,022.87 | 1.96 | 2.01 | 0.40 |
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2020 | 5 |
June 30, 2020 (Unaudited)
Common Stocks 98.9% | ||
Issuer | Shares | Value ($) |
Communication Services 10.3% | ||
Diversified Telecommunication Services 1.2% | ||
Verizon Communications, Inc. | 37,900 | 2,089,427 |
Entertainment 1.1% | ||
Electronic Arts, Inc.(a) | 15,600 | 2,059,980 |
Interactive Media & Services 7.8% | ||
Alphabet, Inc., Class A(a) | 5,820 | 8,253,051 |
Facebook, Inc., Class A(a) | 25,400 | 5,767,578 |
Total | 14,020,629 | |
Media 0.2% | ||
Interpublic Group of Companies, Inc. (The) | 24,900 | 427,284 |
Total Communication Services | 18,597,320 | |
Consumer Discretionary 11.3% | ||
Hotels, Restaurants & Leisure 0.9% | ||
Domino’s Pizza, Inc. | 1,800 | 664,992 |
Hilton Worldwide Holdings, Inc. | 13,800 | 1,013,610 |
Total | 1,678,602 | |
Household Durables 0.8% | ||
PulteGroup, Inc. | 43,400 | 1,476,902 |
Internet & Direct Marketing Retail 4.9% | ||
Amazon.com, Inc.(a) | 2,065 | 5,696,963 |
eBay, Inc. | 58,700 | 3,078,815 |
Total | 8,775,778 | |
Multiline Retail 1.9% | ||
Dollar General Corp. | 3,250 | 619,158 |
Target Corp. | 23,200 | 2,782,376 |
Total | 3,401,534 | |
Specialty Retail 2.8% | ||
Best Buy Co., Inc. | 32,100 | 2,801,367 |
Home Depot, Inc. (The) | 1,925 | 482,232 |
Lowe’s Companies, Inc. | 13,650 | 1,844,388 |
Total | 5,127,987 | |
Total Consumer Discretionary | 20,460,803 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Consumer Staples 7.1% | ||
Food Products 0.8% | ||
General Mills, Inc. | 19,500 | 1,202,175 |
JM Smucker Co. (The) | 2,400 | 253,944 |
Total | 1,456,119 | |
Household Products 3.7% | ||
Kimberly-Clark Corp. | 19,000 | 2,685,650 |
Procter & Gamble Co. (The) | 33,450 | 3,999,616 |
Total | 6,685,266 | |
Tobacco 2.6% | ||
Altria Group, Inc. | 53,515 | 2,100,464 |
Philip Morris International, Inc. | 38,600 | 2,704,316 |
Total | 4,804,780 | |
Total Consumer Staples | 12,946,165 | |
Energy 2.7% | ||
Oil, Gas & Consumable Fuels 2.7% | ||
Chevron Corp. | 10,845 | 967,699 |
ConocoPhillips Co. | 53,445 | 2,245,759 |
HollyFrontier Corp. | 35,300 | 1,030,760 |
Phillips 66 | 3,400 | 244,460 |
Valero Energy Corp. | 7,135 | 419,681 |
Total | 4,908,359 | |
Total Energy | 4,908,359 | |
Financials 10.4% | ||
Banks 2.8% | ||
Bank of America Corp. | 29,600 | 703,000 |
Citigroup, Inc. | 73,800 | 3,771,180 |
Citizens Financial Group, Inc. | 23,500 | 593,140 |
Total | 5,067,320 | |
Capital Markets 4.9% | ||
Bank of New York Mellon Corp. (The) | 38,700 | 1,495,755 |
BlackRock, Inc. | 550 | 299,249 |
Intercontinental Exchange, Inc. | 31,600 | 2,894,560 |
Moody’s Corp. | 575 | 157,970 |
S&P Global, Inc. | 8,900 | 2,932,372 |
6 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
State Street Corp. | 14,100 | 896,055 |
T. Rowe Price Group, Inc. | 2,050 | 253,175 |
Total | 8,929,136 | |
Consumer Finance 0.7% | ||
Synchrony Financial | 55,700 | 1,234,312 |
Diversified Financial Services 0.1% | ||
Voya Financial, Inc. | 4,400 | 205,260 |
Insurance 1.9% | ||
Allstate Corp. (The) | 30,700 | 2,977,593 |
MetLife, Inc. | 9,900 | 361,548 |
Total | 3,339,141 | |
Total Financials | 18,775,169 | |
Health Care 14.5% | ||
Biotechnology 2.7% | ||
AbbVie, Inc. | 16,330 | 1,603,279 |
Alexion Pharmaceuticals, Inc.(a) | 9,390 | 1,053,934 |
BioMarin Pharmaceutical, Inc.(a) | 8,150 | 1,005,221 |
Vertex Pharmaceuticals, Inc.(a) | 4,525 | 1,313,653 |
Total | 4,976,087 | |
Health Care Equipment & Supplies 2.2% | ||
Dentsply Sirona, Inc. | 6,730 | 296,524 |
Hologic, Inc.(a) | 3,000 | 171,000 |
Medtronic PLC | 37,800 | 3,466,260 |
Total | 3,933,784 | |
Health Care Providers & Services 3.4% | ||
Cardinal Health, Inc. | 35,560 | 1,855,876 |
DaVita, Inc.(a) | 23,800 | 1,883,532 |
Humana, Inc. | 3,825 | 1,483,144 |
McKesson Corp. | 6,280 | 963,478 |
Total | 6,186,030 | |
Pharmaceuticals 6.2% | ||
Bristol-Myers Squibb Co. | 39,500 | 2,322,600 |
Eli Lilly and Co. | 1,600 | 262,688 |
Johnson & Johnson | 24,250 | 3,410,277 |
Merck & Co., Inc. | 48,400 | 3,742,772 |
Mylan NV(a) | 90,600 | 1,456,848 |
Total | 11,195,185 | |
Total Health Care | 26,291,086 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Industrials 7.5% | ||
Aerospace & Defense 1.9% | ||
Lockheed Martin Corp. | 9,225 | 3,366,387 |
Airlines 0.8% | ||
Southwest Airlines Co. | 40,900 | 1,397,962 |
Electrical Equipment 2.0% | ||
Eaton Corp. PLC | 35,600 | 3,114,288 |
Rockwell Automation, Inc. | 2,550 | 543,150 |
Total | 3,657,438 | |
Machinery 2.1% | ||
Cummins, Inc. | 15,100 | 2,616,226 |
Illinois Tool Works, Inc. | 7,000 | 1,223,950 |
Total | 3,840,176 | |
Professional Services 0.2% | ||
Robert Half International, Inc. | 8,700 | 459,621 |
Road & Rail 0.5% | ||
Norfolk Southern Corp. | 4,700 | 825,179 |
Total Industrials | 13,546,763 | |
Information Technology 27.4% | ||
Communications Equipment 2.5% | ||
Cisco Systems, Inc. | 95,515 | 4,454,819 |
IT Services 5.3% | ||
MasterCard, Inc., Class A | 16,775 | 4,960,368 |
VeriSign, Inc.(a) | 15,405 | 3,186,216 |
Visa, Inc., Class A | 7,900 | 1,526,043 |
Total | 9,672,627 | |
Semiconductors & Semiconductor Equipment 5.2% | ||
Broadcom, Inc. | 975 | 307,720 |
Intel Corp. | 77,300 | 4,624,859 |
KLA Corp. | 3,250 | 632,060 |
QUALCOMM, Inc. | 43,100 | 3,931,151 |
Total | 9,495,790 |
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2020 | 7 |
June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Software 9.6% | ||
Adobe, Inc.(a) | 6,600 | 2,873,046 |
Autodesk, Inc.(a) | 14,050 | 3,360,619 |
Fortinet, Inc.(a) | 23,950 | 3,287,617 |
Microsoft Corp. | 38,580 | 7,851,416 |
Total | 17,372,698 | |
Technology Hardware, Storage & Peripherals 4.8% | ||
Apple, Inc.(b) | 22,545 | 8,224,416 |
HP, Inc. | 24,100 | 420,063 |
Total | 8,644,479 | |
Total Information Technology | 49,640,413 | |
Materials 2.2% | ||
Chemicals 1.6% | ||
LyondellBasell Industries NV, Class A | 42,900 | 2,819,388 |
Metals & Mining 0.6% | ||
Nucor Corp. | 27,200 | 1,126,352 |
Total Materials | 3,945,740 | |
Real Estate 2.6% | ||
Equity Real Estate Investment Trusts (REITS) 2.6% | ||
American Tower Corp. | 5,890 | 1,522,801 |
Equinix, Inc. | 1,380 | 969,174 |
ProLogis, Inc. | 13,800 | 1,287,954 |
SBA Communications Corp. | 1,225 | 364,952 |
Vornado Realty Trust | 12,700 | 485,267 |
Total | 4,630,148 | |
Total Real Estate | 4,630,148 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Utilities 2.9% | ||
Electric Utilities 2.5% | ||
Entergy Corp. | 11,250 | 1,055,362 |
Exelon Corp. | 39,600 | 1,437,084 |
NRG Energy, Inc. | 64,700 | 2,106,632 |
Total | 4,599,078 | |
Independent Power and Renewable Electricity Producers 0.2% | ||
AES Corp. (The) | 22,500 | 326,025 |
Multi-Utilities 0.2% | ||
Sempra Energy | 2,300 | 269,629 |
Total Utilities | 5,194,732 | |
Total Common Stocks (Cost $150,646,947) | 178,936,698 | |
Money Market Funds 1.3% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(c),(d) | 2,457,695 | 2,457,695 |
Total Money Market Funds (Cost $2,457,695) | 2,457,695 | |
Total Investments in Securities (Cost: $153,104,642) | 181,394,393 | |
Other Assets & Liabilities, Net | (407,296) | |
Net Assets | 180,987,097 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | 18 | 09/2020 | USD | 2,781,180 | 77,801 | — |
(a) | Non-income producing investment. |
(b) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(c) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
8 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
(d) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | ||||||||
2,398,346 | 14,498,356 | (14,439,033) | 26 | 2,457,695 | 414 | 10,591 | 2,457,695 |
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 | 18,597,320 | — | — | 18,597,320 |
Consumer Discretionary | 20,460,803 | — | — | 20,460,803 |
Consumer Staples | 12,946,165 | — | — | 12,946,165 |
Energy | 4,908,359 | — | — | 4,908,359 |
Financials | 18,775,169 | — | — | 18,775,169 |
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2020 | 9 |
June 30, 2020 (Unaudited)
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Health Care | 26,291,086 | — | — | 26,291,086 |
Industrials | 13,546,763 | — | — | 13,546,763 |
Information Technology | 49,640,413 | — | — | 49,640,413 |
Materials | 3,945,740 | — | — | 3,945,740 |
Real Estate | 4,630,148 | — | — | 4,630,148 |
Utilities | 5,194,732 | — | — | 5,194,732 |
Total Common Stocks | 178,936,698 | — | — | 178,936,698 |
Money Market Funds | 2,457,695 | — | — | 2,457,695 |
Total Investments in Securities | 181,394,393 | — | — | 181,394,393 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 77,801 | — | — | 77,801 |
Total | 181,472,194 | — | — | 181,472,194 |
10 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $150,646,947) | $178,936,698 |
Affiliated issuers (cost $2,457,695) | 2,457,695 |
Receivable for: | |
Dividends | 279,509 |
Foreign tax reclaims | 5,481 |
Variation margin for futures contracts | 38,250 |
Expense reimbursement due from Investment Manager | 210 |
Total assets | 181,717,843 |
Liabilities | |
Payable for: | |
Capital shares purchased | 666,363 |
Management services fees | 1,955 |
Compensation of board members | 39,319 |
Compensation of chief compliance officer | 23 |
Other expenses | 23,086 |
Total liabilities | 730,746 |
Net assets applicable to outstanding capital stock | $180,987,097 |
Represented by | |
Trust capital | $180,987,097 |
Total - representing net assets applicable to outstanding capital stock | $180,987,097 |
Shares outstanding | 7,502,084 |
Net asset value per share | 24.12 |
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2020 | 11 |
Six Months Ended June 30, 2020 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $1,922,836 |
Dividends — affiliated issuers | 10,591 |
Total income | 1,933,427 |
Expenses: | |
Management services fees | 354,198 |
Compensation of board members | 4,673 |
Custodian fees | 3,790 |
Printing and postage fees | 8,100 |
Audit fees | 14,669 |
Legal fees | 4,671 |
Compensation of chief compliance officer | 21 |
Other | 3,353 |
Total expenses | 393,475 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (39,214) |
Total net expenses | 354,261 |
Net investment income | 1,579,166 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 1,600,294 |
Investments — affiliated issuers | 414 |
Futures contracts | (87,978) |
Net realized gain | 1,512,730 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (8,716,385) |
Investments — affiliated issuers | 26 |
Futures contracts | 26,673 |
Net change in unrealized appreciation (depreciation) | (8,689,686) |
Net realized and unrealized loss | (7,176,956) |
Net decrease in net assets resulting from operations | $(5,597,790) |
12 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2020 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||
Net investment income | $1,579,166 | $3,210,277 |
Net realized gain | 1,512,730 | 17,503,767 |
Net change in unrealized appreciation (depreciation) | (8,689,686) | 21,895,304 |
Net increase (decrease) in net assets resulting from operations | (5,597,790) | 42,609,348 |
Decrease in net assets from capital stock activity | (9,692,977) | (24,669,900) |
Total increase (decrease) in net assets | (15,290,767) | 17,939,448 |
Net assets at beginning of period | 196,277,864 | 178,338,416 |
Net assets at end of period | $180,987,097 | $196,277,864 |
Six Months Ended | Year Ended | |||
June 30, 2020 (Unaudited) | December 31, 2019 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Subscriptions | 7,194 | 146,760 | 20,175 | 477,629 |
Redemptions | (433,396) | (9,839,737) | (1,109,783) | (25,147,529) |
Total net decrease | (426,202) | (9,692,977) | (1,089,608) | (24,669,900) |
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2020 | 13 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, | |||||
2019 | 2018 | 2017 | 2016 | 2015 | ||
Per share data | ||||||
Net asset value, beginning of period | $24.76 | $19.78 | $20.45 | $16.39 | $15.12 | $14.90 |
Income from investment operations: | ||||||
Net investment income | 0.20 | 0.38 | 0.36 | 0.38 | 0.31 | 0.29 |
Net realized and unrealized gain (loss) | (0.84) | 4.60 | (1.03) | 3.68 | 0.96 | (0.07) |
Total from investment operations | (0.64) | 4.98 | (0.67) | 4.06 | 1.27 | 0.22 |
Net asset value, end of period | $24.12 | $24.76 | $19.78 | $20.45 | $16.39 | $15.12 |
Total return | (2.58)% | 25.18% | (3.28)% | 24.77% | 8.40% | 1.48% |
Ratios to average net assets | ||||||
Total gross expenses(a) | 0.44%(b) | 0.45% | 0.44% | 0.45% | 0.45% | 0.44% |
Total net expenses(a),(c) | 0.40%(b) | 0.40% | 0.40% | 0.40% | 0.40% | 0.40% |
Net investment income | 1.78%(b) | 1.67% | 1.67% | 2.08% | 2.01% | 1.89% |
Supplemental data | ||||||
Portfolio turnover | 34% | 66% | 73% | 66% | 76% | 78% |
Net assets, end of period (in thousands) | $180,987 | $196,278 | $178,338 | $211,730 | $191,013 | $199,667 |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Annualized. |
(c) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
14 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2020 | 15 |
June 30, 2020 (Unaudited)
16 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 77,801* |
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2020 | 17 |
June 30, 2020 (Unaudited)
* | 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 ($) |
Equity risk | (87,978) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Equity risk | 26,673 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 2,546,955 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2020. |
18 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2020 | 19 |
June 30, 2020 (Unaudited)
20 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2020 | 21 |
June 30, 2020 (Unaudited)
22 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2020 | 23 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
24 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2020 |
Nature, extent and quality of services provided by Columbia Threadneedle
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2020 | 25 |
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of the Funds’ fee rates, and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Board accorded particular weight to the notion that the primary objective of the level of fees is to achieve a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) was below the peer universe’s median expense ratio shown in the reports. Based on its review, the Board concluded that the Fund’s management fee was fair and reasonable in light of the extent and quality of services that the Fund receives.
26 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2020 |
June 30, 2020
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | -4.06 | 0.71 | 4.15 | 6.33 | |
Class 2 | 05/03/10 | -4.22 | 0.44 | 3.88 | 6.09 | |
Class 3 | 06/01/04 | -4.04 | 0.57 | 4.02 | 6.21 | |
ICE BofA BB-B US Cash Pay High Yield Constrained Index | -3.57 | 0.56 | 4.78 | 6.54 |
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2020 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2020) | |
Common Stocks | 0.0(a) |
Convertible Bonds | 0.0(a) |
Corporate Bonds & Notes | 96.6 |
Foreign Government Obligations | 0.2 |
Money Market Funds | 0.8 |
Senior Loans | 2.4 |
Total | 100.0 |
(a) | Rounds to zero. |
Quality breakdown (%) (at June 30, 2020) | |
BBB rating | 1.7 |
BB rating | 51.6 |
B rating | 42.6 |
CCC rating | 3.6 |
Not rated | 0.5 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2020 |
(Unaudited)
January 1, 2020 — June 30, 2020 | |||||||
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 | 959.40 | 1,021.53 | 3.26 | 3.37 | 0.67 |
Class 2 | 1,000.00 | 1,000.00 | 957.80 | 1,020.29 | 4.48 | 4.62 | 0.92 |
Class 3 | 1,000.00 | 1,000.00 | 959.60 | 1,020.93 | 3.85 | 3.97 | 0.79 |
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2020 | 5 |
June 30, 2020 (Unaudited)
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. | 6 | 117 |
Ziff Davis Holdings, Inc.(a),(b),(c) | 553 | 6 |
Total | 123 | |
Total Communication Services | 123 | |
Consumer Discretionary 0.0% | ||
Auto Components 0.0% | ||
Lear Corp. | 362 | 39,465 |
Total Consumer Discretionary | 39,465 | |
Industrials 0.0% | ||
Commercial Services & Supplies 0.0% | ||
Quad/Graphics, Inc. | 1,277 | 4,151 |
Total Industrials | 4,151 | |
Utilities —% | ||
Independent Power and Renewable Electricity Producers —% | ||
Calpine Corp. Escrow(a),(b),(c) | 6,049,000 | 0 |
Total Utilities | 0 | |
Total Common Stocks (Cost $331,986) | 43,739 |
Convertible Bonds —% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Wirelines —% | ||||
At Home Corp.(a),(c),(d) | ||||
Subordinated | ||||
06/12/2015 | 0.000% | 296,350 | — | |
Total Convertible Bonds (Cost $—) | — | |||
Corporate Bonds & Notes 96.1% | ||||
Aerospace & Defense 1.9% | ||||
Moog, Inc.(e) | ||||
12/15/2027 | 4.250% | 447,000 | 435,983 | |
TransDigm, Inc.(e) | ||||
12/15/2025 | 8.000% | 745,000 | 782,541 | |
03/15/2026 | 6.250% | 3,493,000 | 3,482,733 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
TransDigm, Inc. | ||||
06/15/2026 | 6.375% | 1,989,000 | 1,814,683 | |
Total | 6,515,940 | |||
Airlines 0.8% | ||||
Delta Air Lines, Inc.(e) | ||||
05/01/2025 | 7.000% | 607,000 | 626,560 | |
Delta Air Lines, Inc. | ||||
01/15/2026 | 7.375% | 520,000 | 502,929 | |
Mileage Plus Holdings LLC/Intellectual Property Assets Ltd.(e),(f) | ||||
06/20/2027 | 6.500% | 1,432,278 | 1,433,738 | |
Total | 2,563,227 | |||
Automotive 2.2% | ||||
Clarios Global LP(e) | ||||
05/15/2025 | 6.750% | 311,000 | 323,691 | |
Ford Motor Co. | ||||
04/21/2023 | 8.500% | 271,000 | 286,530 | |
04/22/2025 | 9.000% | 600,000 | 648,634 | |
04/22/2030 | 9.625% | 81,000 | 96,015 | |
Ford Motor Credit Co. LLC | ||||
11/02/2020 | 2.343% | 472,000 | 472,051 | |
03/18/2021 | 3.336% | 1,627,000 | 1,610,672 | |
10/12/2021 | 3.813% | 562,000 | 556,859 | |
03/18/2024 | 5.584% | 1,146,000 | 1,157,364 | |
11/01/2024 | 4.063% | 400,000 | 381,181 | |
06/16/2025 | 5.125% | 512,000 | 512,135 | |
IAA Spinco, Inc.(e) | ||||
06/15/2027 | 5.500% | 179,000 | 185,050 | |
IHO Verwaltungs GmbH(e),(g) | ||||
05/15/2029 | 6.375% | 9,000 | 9,150 | |
KAR Auction Services, Inc.(e) | ||||
06/01/2025 | 5.125% | 751,000 | 739,000 | |
Panther BF Aggregator 2 LP/Finance Co., Inc.(e) | ||||
05/15/2027 | 8.500% | 511,000 | 514,231 | |
Total | 7,492,563 | |||
Banking 0.3% | ||||
Ally Financial, Inc. | ||||
05/01/2025 | 5.800% | 930,000 | 1,037,970 | |
Brokerage/Asset Managers/Exchanges 0.1% | ||||
AG Issuer LLC(e) | ||||
03/01/2028 | 6.250% | 249,000 | 235,913 | |
NFP Corp.(e) | ||||
05/15/2025 | 7.000% | 229,000 | 240,450 | |
Total | 476,363 |
6 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Building Materials 1.1% | ||||
American Builders & Contractors Supply Co., Inc.(e) | ||||
01/15/2028 | 4.000% | 2,214,000 | 2,149,634 | |
Beacon Roofing Supply, Inc.(e) | ||||
11/01/2025 | 4.875% | 566,000 | 506,253 | |
11/15/2026 | 4.500% | 514,000 | 502,132 | |
Core & Main LP(e) | ||||
08/15/2025 | 6.125% | 210,000 | 209,065 | |
James Hardie International Finance DAC(e) | ||||
01/15/2025 | 4.750% | 308,000 | 313,370 | |
Total | 3,680,454 | |||
Cable and Satellite 9.4% | ||||
CCO Holdings LLC/Capital Corp.(e) | ||||
05/01/2027 | 5.125% | 4,765,000 | 4,929,499 | |
06/01/2029 | 5.375% | 499,000 | 526,409 | |
03/01/2030 | 4.750% | 2,341,000 | 2,396,711 | |
08/15/2030 | 4.500% | 1,190,000 | 1,213,663 | |
CSC Holdings LLC(e) | ||||
07/15/2023 | 5.375% | 1,899,000 | 1,925,734 | |
02/01/2028 | 5.375% | 1,199,000 | 1,245,328 | |
02/01/2029 | 6.500% | 3,276,000 | 3,586,614 | |
01/15/2030 | 5.750% | 1,208,000 | 1,257,057 | |
DISH DBS Corp. | ||||
11/15/2024 | 5.875% | 1,443,000 | 1,435,852 | |
07/01/2026 | 7.750% | 2,877,000 | 3,048,972 | |
DISH DBS Corp.(e),(f) | ||||
07/01/2028 | 7.375% | 610,000 | 610,749 | |
Sirius XM Radio, Inc.(e) | ||||
07/15/2024 | 4.625% | 393,000 | 402,783 | |
07/15/2026 | 5.375% | 1,292,000 | 1,337,754 | |
07/01/2030 | 4.125% | 1,209,000 | 1,195,433 | |
Virgin Media Finance PLC(e) | ||||
07/15/2030 | 5.000% | 878,000 | 855,520 | |
Virgin Media Secured Finance PLC(e) | ||||
05/15/2029 | 5.500% | 1,559,000 | 1,633,114 | |
Ziggo BV(e) | ||||
01/15/2027 | 5.500% | 3,693,000 | 3,735,601 | |
01/15/2030 | 4.875% | 340,000 | 340,009 | |
Total | 31,676,802 | |||
Chemicals 3.4% | ||||
Angus Chemical Co.(e) | ||||
02/15/2023 | 8.750% | 944,000 | 953,244 | |
Axalta Coating Systems LLC(e) | ||||
08/15/2024 | 4.875% | 653,000 | 660,980 | |
Axalta Coating Systems LLC/Dutch Holding B BV(e) | ||||
06/15/2027 | 4.750% | 707,000 | 710,752 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CF Industries, Inc. | ||||
03/15/2034 | 5.150% | 261,000 | 279,379 | |
03/15/2044 | 5.375% | 129,000 | 139,639 | |
Chemours Co. (The) | ||||
05/15/2027 | 5.375% | 174,000 | 157,669 | |
Illuminate Buyer LLC/Holdings IV, Inc.(e) | ||||
07/01/2028 | 9.000% | 104,000 | 108,423 | |
INEOS Group Holdings SA(e) | ||||
08/01/2024 | 5.625% | 520,000 | 503,629 | |
Innophos Holdings, Inc.(e) | ||||
02/15/2028 | 9.375% | 417,000 | 409,993 | |
Minerals Technologies, Inc.(e) | ||||
07/01/2028 | 5.000% | 477,000 | 484,147 | |
Platform Specialty Products Corp.(e) | ||||
12/01/2025 | 5.875% | 2,124,000 | 2,147,332 | |
PQ Corp.(e) | ||||
11/15/2022 | 6.750% | 1,880,000 | 1,914,868 | |
12/15/2025 | 5.750% | 921,000 | 930,577 | |
SPCM SA(e) | ||||
09/15/2025 | 4.875% | 669,000 | 676,695 | |
Starfruit Finco BV/US Holdco LLC(e) | ||||
10/01/2026 | 8.000% | 777,000 | 798,440 | |
WR Grace & Co-Conn(e) | ||||
06/15/2027 | 4.875% | 714,000 | 723,235 | |
Total | 11,599,002 | |||
Construction Machinery 1.4% | ||||
H&E Equipment Services, Inc. | ||||
09/01/2025 | 5.625% | 675,000 | 683,553 | |
Herc Holdings, Inc.(e) | ||||
07/15/2027 | 5.500% | 777,000 | 780,811 | |
Ritchie Bros. Auctioneers, Inc.(e) | ||||
01/15/2025 | 5.375% | 301,000 | 309,429 | |
United Rentals North America, Inc. | ||||
09/15/2026 | 5.875% | 1,636,000 | 1,714,157 | |
12/15/2026 | 6.500% | 934,000 | 980,888 | |
07/15/2030 | 4.000% | 315,000 | 304,992 | |
Total | 4,773,830 | |||
Consumer Cyclical Services 2.5% | ||||
APX Group, Inc. | ||||
12/01/2022 | 7.875% | 2,681,000 | 2,666,384 | |
11/01/2024 | 8.500% | 2,530,000 | 2,477,898 | |
ASGN, Inc.(e) | ||||
05/15/2028 | 4.625% | 755,000 | 736,903 | |
Expedia Group, Inc.(e) | ||||
05/01/2025 | 6.250% | 123,000 | 130,675 | |
05/01/2025 | 7.000% | 61,000 | 63,887 |
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2020 | 7 |
June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
frontdoor, Inc.(e) | ||||
08/15/2026 | 6.750% | 330,000 | 351,060 | |
Match Group, Inc.(e) | ||||
12/15/2027 | 5.000% | 48,000 | 49,958 | |
06/01/2028 | 4.625% | 497,000 | 503,428 | |
Staples, Inc.(e) | ||||
04/15/2026 | 7.500% | 665,000 | 523,762 | |
04/15/2027 | 10.750% | 179,000 | 106,210 | |
Uber Technologies, Inc.(e) | ||||
11/01/2023 | 7.500% | 393,000 | 395,316 | |
05/15/2025 | 7.500% | 467,000 | 470,709 | |
Total | 8,476,190 | |||
Consumer Products 2.3% | ||||
CD&R Smokey Buyer, Inc.(e),(f) | ||||
07/15/2025 | 6.750% | 496,000 | 516,437 | |
Energizer Holdings, Inc.(e) | ||||
07/15/2026 | 6.375% | 1,230,000 | 1,273,048 | |
01/15/2027 | 7.750% | 679,000 | 725,382 | |
Mattel, Inc.(e) | ||||
12/15/2027 | 5.875% | 691,000 | 712,127 | |
Mattel, Inc. | ||||
11/01/2041 | 5.450% | 656,000 | 543,607 | |
Newell Brands, Inc. | ||||
06/01/2025 | 4.875% | 270,000 | 282,490 | |
Prestige Brands, Inc.(e) | ||||
03/01/2024 | 6.375% | 1,216,000 | 1,250,711 | |
01/15/2028 | 5.125% | 339,000 | 340,298 | |
Scotts Miracle-Gro Co. (The) | ||||
10/15/2029 | 4.500% | 185,000 | 190,373 | |
Spectrum Brands, Inc. | ||||
07/15/2025 | 5.750% | 524,000 | 537,690 | |
Valvoline, Inc. | ||||
08/15/2025 | 4.375% | 795,000 | 801,102 | |
Valvoline, Inc.(e) | ||||
08/15/2025 | 4.375% | 240,000 | 241,425 | |
02/15/2030 | 4.250% | 525,000 | 514,736 | |
Total | 7,929,426 | |||
Diversified Manufacturing 1.4% | ||||
BWX Technologies, Inc.(e) | ||||
07/15/2026 | 5.375% | 259,000 | 268,042 | |
06/30/2028 | 4.125% | 602,000 | 600,426 | |
CFX Escrow Corp.(e) | ||||
02/15/2024 | 6.000% | 282,000 | 290,873 | |
02/15/2026 | 6.375% | 247,000 | 258,115 | |
MTS Systems Corp.(e) | ||||
08/15/2027 | 5.750% | 182,000 | 167,882 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Resideo Funding, Inc.(e) | ||||
11/01/2026 | 6.125% | 959,000 | 936,703 | |
SPX FLOW, Inc.(e) | ||||
08/15/2024 | 5.625% | 164,000 | 167,565 | |
TriMas Corp.(e) | ||||
10/15/2025 | 4.875% | 126,000 | 126,344 | |
WESCO Distribution, Inc. | ||||
06/15/2024 | 5.375% | 501,000 | 501,152 | |
WESCO Distribution, Inc.(e) | ||||
06/15/2025 | 7.125% | 815,000 | 859,222 | |
06/15/2028 | 7.250% | 630,000 | 667,716 | |
Total | 4,844,040 | |||
Electric 4.3% | ||||
AES Corp. (The) | ||||
09/01/2027 | 5.125% | 1,218,000 | 1,264,200 | |
Calpine Corp.(e) | ||||
06/01/2026 | 5.250% | 542,000 | 547,359 | |
02/15/2028 | 4.500% | 758,000 | 744,367 | |
Clearway Energy Operating LLC | ||||
10/15/2025 | 5.750% | 331,000 | 343,319 | |
09/15/2026 | 5.000% | 519,000 | 530,884 | |
Clearway Energy Operating LLC(e) | ||||
03/15/2028 | 4.750% | 507,000 | 516,466 | |
NextEra Energy Operating Partners LP(e) | ||||
07/15/2024 | 4.250% | 984,000 | 990,334 | |
10/15/2026 | 3.875% | 678,000 | 678,165 | |
09/15/2027 | 4.500% | 2,127,000 | 2,224,899 | |
NRG Energy, Inc. | ||||
01/15/2027 | 6.625% | 1,172,000 | 1,227,599 | |
NRG Energy, Inc.(e) | ||||
06/15/2029 | 5.250% | 975,000 | 1,026,549 | |
Pattern Energy Group, Inc.(e) | ||||
02/01/2024 | 5.875% | 963,000 | 968,370 | |
PG&E Corp. | ||||
07/01/2028 | 5.000% | 580,000 | 579,788 | |
07/01/2030 | 5.250% | 436,000 | 438,426 | |
TerraForm Power Operating LLC(e) | ||||
01/31/2028 | 5.000% | 532,000 | 559,073 | |
01/15/2030 | 4.750% | 660,000 | 672,620 | |
Vistra Operations Co. LLC(e) | ||||
02/15/2027 | 5.625% | 671,000 | 688,503 | |
07/31/2027 | 5.000% | 676,000 | 683,028 | |
Total | 14,683,949 | |||
Environmental 0.4% | ||||
Clean Harbors, Inc.(e) | ||||
07/15/2027 | 4.875% | 259,000 | 266,082 | |
07/15/2029 | 5.125% | 181,000 | 187,589 |
8 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
GFL Environmental, Inc.(e) | ||||
06/01/2025 | 4.250% | 378,000 | 380,921 | |
12/15/2026 | 5.125% | 412,000 | 425,322 | |
Total | 1,259,914 | |||
Finance Companies 2.5% | ||||
Alliance Data Systems Corp.(e) | ||||
12/15/2024 | 4.750% | 185,000 | 166,279 | |
Global Aircraft Leasing Co., Ltd.(e),(g) | ||||
09/15/2024 | 6.500% | 697,000 | 492,121 | |
Navient Corp. | ||||
03/25/2021 | 5.875% | 223,000 | 219,142 | |
06/15/2022 | 6.500% | 1,023,000 | 1,004,848 | |
10/25/2024 | 5.875% | 673,000 | 632,344 | |
Provident Funding Associates LP/Finance Corp.(e) | ||||
06/15/2025 | 6.375% | 1,323,000 | 1,250,305 | |
Quicken Loans, Inc.(e) | ||||
05/01/2025 | 5.750% | 2,330,000 | 2,383,296 | |
Springleaf Finance Corp. | ||||
03/15/2023 | 5.625% | 1,072,000 | 1,083,886 | |
03/15/2024 | 6.125% | 978,000 | 992,688 | |
06/01/2025 | 8.875% | 292,000 | 312,061 | |
Total | 8,536,970 | |||
Food and Beverage 3.6% | ||||
Aramark Services, Inc.(e) | ||||
05/01/2025 | 6.375% | 260,000 | 268,460 | |
FAGE International SA/USA Dairy Industry, Inc.(e) | ||||
08/15/2026 | 5.625% | 1,074,000 | 1,030,054 | |
Kraft Heinz Foods Co.(e) | ||||
05/15/2027 | 3.875% | 1,069,000 | 1,117,005 | |
Kraft Heinz Foods Co. (The) | ||||
06/04/2042 | 5.000% | 763,000 | 795,883 | |
07/15/2045 | 5.200% | 516,000 | 559,113 | |
06/01/2046 | 4.375% | 1,109,000 | 1,088,086 | |
Kraft Heinz Foods Co. (The)(e) | ||||
10/01/2049 | 4.875% | 712,000 | 737,507 | |
Lamb Weston Holdings, Inc.(e) | ||||
11/01/2024 | 4.625% | 352,000 | 365,136 | |
11/01/2026 | 4.875% | 620,000 | 642,548 | |
05/15/2028 | 4.875% | 314,000 | 332,485 | |
Performance Food Group, Inc.(e) | ||||
05/01/2025 | 6.875% | 185,000 | 192,997 | |
10/15/2027 | 5.500% | 333,000 | 321,353 | |
Pilgrim’s Pride Corp.(e) | ||||
03/15/2025 | 5.750% | 185,000 | 184,440 | |
09/30/2027 | 5.875% | 660,000 | 660,395 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Post Holdings, Inc.(e) | ||||
03/01/2027 | 5.750% | 1,807,000 | 1,863,703 | |
01/15/2028 | 5.625% | 431,000 | 445,084 | |
04/15/2030 | 4.625% | 1,626,000 | 1,594,258 | |
Total | 12,198,507 | |||
Gaming 4.2% | ||||
Boyd Gaming Corp.(e) | ||||
06/01/2025 | 8.625% | 258,000 | 269,727 | |
12/01/2027 | 4.750% | 688,000 | 591,719 | |
Boyd Gaming Corp. | ||||
08/15/2026 | 6.000% | 481,000 | 451,929 | |
Caesars Resort Collection LLC/CRC Finco, Inc.(e) | ||||
10/15/2025 | 5.250% | 550,000 | 478,615 | |
Colt Merger Sub, Inc.(e),(f) | ||||
07/01/2025 | 5.750% | 261,000 | 262,386 | |
07/01/2025 | 6.250% | 1,088,000 | 1,084,264 | |
Eldorado Resorts, Inc. | ||||
04/01/2025 | 6.000% | 944,000 | 986,857 | |
09/15/2026 | 6.000% | 569,000 | 628,907 | |
GLP Capital LP/Financing II, Inc. | ||||
11/01/2023 | 5.375% | 796,000 | 850,458 | |
International Game Technology PLC(e) | ||||
02/15/2025 | 6.500% | 1,074,000 | 1,097,199 | |
01/15/2029 | 5.250% | 515,000 | 502,840 | |
MGM Growth Properties Operating Partnership LP/Finance Co-Issuer, Inc.(e) | ||||
06/15/2025 | 4.625% | 440,000 | 431,663 | |
MGM Growth Properties Operating Partnership LP/Finance Co-Issuer, Inc. | ||||
09/01/2026 | 4.500% | 383,000 | 377,211 | |
02/01/2027 | 5.750% | 721,000 | 745,871 | |
01/15/2028 | 4.500% | 533,000 | 517,088 | |
Scientific Games International, Inc.(e) | ||||
10/15/2025 | 5.000% | 1,246,000 | 1,155,396 | |
03/15/2026 | 8.250% | 417,000 | 373,886 | |
05/15/2028 | 7.000% | 388,000 | 309,779 | |
11/15/2029 | 7.250% | 388,000 | 311,321 | |
Stars Group Holdings BV/Co-Borrower LLC(e) | ||||
07/15/2026 | 7.000% | 484,000 | 510,520 | |
VICI Properties LP/Note Co., Inc.(e) | ||||
12/01/2026 | 4.250% | 569,000 | 546,679 | |
02/15/2027 | 3.750% | 330,000 | 309,768 | |
12/01/2029 | 4.625% | 455,000 | 446,067 | |
Wynn Las Vegas LLC/Capital Corp.(e) | ||||
03/01/2025 | 5.500% | 773,000 | 710,266 | |
Wynn Resorts Finance LLC/Capital Corp.(e) | ||||
04/15/2025 | 7.750% | 173,000 | 174,273 | |
Total | 14,124,689 |
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2020 | 9 |
June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Health Care 6.3% | ||||
Acadia Healthcare Co., Inc. | ||||
07/01/2022 | 5.125% | 101,000 | 101,020 | |
03/01/2024 | 6.500% | 1,063,000 | 1,080,710 | |
Acadia Healthcare Co., Inc.(e) | ||||
07/01/2028 | 5.500% | 151,000 | 152,147 | |
Avantor, Inc.(e) | ||||
10/01/2024 | 6.000% | 335,000 | 349,203 | |
10/01/2025 | 9.000% | 424,000 | 455,527 | |
Change Healthcare Holdings LLC/Finance, Inc.(e) | ||||
03/01/2025 | 5.750% | 1,402,000 | 1,384,200 | |
Charles River Laboratories International, Inc.(e) | ||||
04/01/2026 | 5.500% | 321,000 | 335,858 | |
05/01/2028 | 4.250% | 251,000 | 250,851 | |
CHS/Community Health Systems, Inc. | ||||
03/31/2023 | 6.250% | 787,000 | 740,723 | |
CHS/Community Health Systems, Inc.(e) | ||||
02/15/2025 | 6.625% | 810,000 | 772,420 | |
Encompass Health Corp. | ||||
02/01/2028 | 4.500% | 553,000 | 530,567 | |
02/01/2030 | 4.750% | 247,000 | 236,890 | |
HCA, Inc. | ||||
09/01/2028 | 5.625% | 2,707,000 | 3,018,963 | |
02/01/2029 | 5.875% | 503,000 | 568,677 | |
09/01/2030 | 3.500% | 824,000 | 789,875 | |
Hill-Rom Holdings, Inc.(e) | ||||
02/15/2025 | 5.000% | 527,000 | 544,921 | |
Hologic, Inc.(e) | ||||
10/15/2025 | 4.375% | 973,000 | 984,132 | |
02/01/2028 | 4.625% | 290,000 | 302,743 | |
IQVIA, Inc.(e) | ||||
05/15/2027 | 5.000% | 669,000 | 682,299 | |
Select Medical Corp.(e) | ||||
08/15/2026 | 6.250% | 1,033,000 | 1,044,247 | |
Teleflex, Inc. | ||||
06/01/2026 | 4.875% | 368,000 | 379,009 | |
11/15/2027 | 4.625% | 599,000 | 629,811 | |
Teleflex, Inc.(e) | ||||
06/01/2028 | 4.250% | 246,000 | 252,548 | |
Tenet Healthcare Corp.(e) | ||||
04/01/2025 | 7.500% | 924,000 | 982,448 | |
01/01/2026 | 4.875% | 1,205,000 | 1,180,772 | |
11/01/2027 | 5.125% | 3,237,000 | 3,202,227 | |
06/15/2028 | 4.625% | 240,000 | 233,902 | |
Total | 21,186,690 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Healthcare Insurance 1.5% | ||||
Centene Corp.(e) | ||||
08/15/2026 | 5.375% | 854,000 | 888,554 | |
Centene Corp. | ||||
12/15/2027 | 4.250% | 1,348,000 | 1,390,464 | |
12/15/2029 | 4.625% | 1,752,000 | 1,848,538 | |
02/15/2030 | 3.375% | 1,064,000 | 1,073,534 | |
Total | 5,201,090 | |||
Home Construction 1.6% | ||||
KB Home | ||||
11/15/2029 | 4.800% | 1,105,000 | 1,085,036 | |
Lennar Corp. | ||||
06/01/2026 | 5.250% | 656,000 | 711,083 | |
06/15/2027 | 5.000% | 739,000 | 798,189 | |
Meritage Homes Corp. | ||||
04/01/2022 | 7.000% | 491,000 | 519,843 | |
Shea Homes LP/Funding Corp.(e) | ||||
02/15/2028 | 4.750% | 394,000 | 372,759 | |
Taylor Morrison Communities, Inc.(e) | ||||
01/15/2028 | 5.750% | 520,000 | 538,802 | |
Taylor Morrison Communities, Inc./Holdings II(e) | ||||
04/15/2023 | 5.875% | 824,000 | 848,215 | |
TRI Pointe Group, Inc. | ||||
06/15/2028 | 5.700% | 168,000 | 171,719 | |
TRI Pointe Group, Inc./Homes | ||||
06/15/2024 | 5.875% | 339,000 | 349,970 | |
Total | 5,395,616 | |||
Independent Energy 6.8% | ||||
Callon Petroleum Co. | ||||
10/01/2024 | 6.125% | 296,000 | 110,854 | |
07/01/2026 | 6.375% | 2,061,000 | 683,726 | |
Carrizo Oil & Gas, Inc. | ||||
04/15/2023 | 6.250% | 109,000 | 41,466 | |
Continental Resources, Inc. | ||||
04/15/2023 | 4.500% | 170,000 | 162,718 | |
01/15/2028 | 4.375% | 198,000 | 174,816 | |
CrownRock LP/Finance, Inc.(e) | ||||
10/15/2025 | 5.625% | 1,813,000 | 1,625,796 | |
Endeavor Energy Resources LP/Finance, Inc.(e) | ||||
07/15/2025 | 6.625% | 265,000 | 267,054 | |
01/30/2026 | 5.500% | 227,000 | 217,879 | |
01/30/2028 | 5.750% | 681,000 | 656,176 | |
EQT Corp. | ||||
10/01/2027 | 3.900% | 388,000 | 315,482 | |
02/01/2030 | 7.000% | 173,000 | 178,122 |
10 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Hilcorp Energy I LP/Finance Co.(e) | ||||
10/01/2025 | 5.750% | 838,000 | 696,692 | |
11/01/2028 | 6.250% | 680,000 | 540,277 | |
Jagged Peak Energy LLC | ||||
05/01/2026 | 5.875% | 688,000 | 670,226 | |
Matador Resources Co. | ||||
09/15/2026 | 5.875% | 1,990,000 | 1,476,190 | |
Occidental Petroleum Corp. | ||||
08/15/2022 | 2.700% | 490,000 | 456,203 | |
08/15/2024 | 2.900% | 4,569,000 | 3,904,673 | |
04/15/2026 | 3.400% | 1,237,000 | 1,012,221 | |
08/15/2026 | 3.200% | 294,000 | 239,225 | |
08/15/2029 | 3.500% | 648,000 | 474,253 | |
04/15/2046 | 4.400% | 1,907,000 | 1,330,778 | |
08/15/2049 | 4.400% | 537,000 | 370,688 | |
Parsley Energy LLC/Finance Corp.(e) | ||||
10/15/2027 | 5.625% | 1,945,000 | 1,916,253 | |
02/15/2028 | 4.125% | 656,000 | 594,237 | |
QEP Resources, Inc. | ||||
03/01/2026 | 5.625% | 693,000 | 438,197 | |
SM Energy Co. | ||||
06/01/2025 | 5.625% | 268,000 | 142,053 | |
09/15/2026 | 6.750% | 1,032,000 | 523,207 | |
01/15/2027 | 6.625% | 983,000 | 485,508 | |
WPX Energy, Inc. | ||||
09/15/2024 | 5.250% | 1,117,000 | 1,104,003 | |
01/15/2030 | 4.500% | 2,480,000 | 2,182,145 | |
Total | 22,991,118 | |||
Integrated Energy 0.1% | ||||
Cenovus Energy, Inc. | ||||
04/15/2027 | 4.250% | 452,000 | 409,215 | |
Leisure 0.9% | ||||
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Operations LLC(e) | ||||
05/01/2025 | 5.500% | 677,000 | 679,773 | |
Cinemark USA, Inc.(e) | ||||
05/01/2025 | 8.750% | 486,000 | 509,261 | |
Live Nation Entertainment, Inc.(e) | ||||
11/01/2024 | 4.875% | 557,000 | 501,628 | |
05/15/2027 | 6.500% | 738,000 | 760,269 | |
Six Flags Theme Parks, Inc.(e) | ||||
07/01/2025 | 7.000% | 337,000 | 349,825 | |
Viking Cruises Ltd.(e) | ||||
05/15/2025 | 13.000% | 171,000 | 179,575 | |
VOC Escrow Ltd.(e) | ||||
02/15/2028 | 5.000% | 191,000 | 143,819 | |
Total | 3,124,150 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Lodging 0.4% | ||||
Hilton Domestic Operating Co., Inc.(e) | ||||
05/01/2025 | 5.375% | 339,000 | 337,583 | |
05/01/2028 | 5.750% | 373,000 | 377,993 | |
Hilton Domestic Operating Co., Inc. | ||||
05/01/2026 | 5.125% | 672,000 | 668,988 | |
Total | 1,384,564 | |||
Media and Entertainment 3.9% | ||||
Clear Channel Worldwide Holdings, Inc.(e) | ||||
08/15/2027 | 5.125% | 1,685,000 | 1,618,264 | |
Diamond Sports Group LLC/Finance Co.(e) | ||||
08/15/2026 | 5.375% | 1,084,000 | 783,511 | |
iHeartCommunications, Inc. | ||||
05/01/2026 | 6.375% | 471,595 | 469,859 | |
iHeartCommunications, Inc.(e) | ||||
08/15/2027 | 5.250% | 1,011,000 | 968,542 | |
01/15/2028 | 4.750% | 1,251,000 | 1,155,818 | |
Lamar Media Corp.(e) | ||||
02/15/2028 | 3.750% | 343,000 | 324,996 | |
01/15/2029 | 4.875% | 707,000 | 714,603 | |
Netflix, Inc. | ||||
04/15/2028 | 4.875% | 1,364,000 | 1,455,433 | |
11/15/2028 | 5.875% | 1,450,000 | 1,649,969 | |
05/15/2029 | 6.375% | 92,000 | 107,193 | |
Netflix, Inc.(e) | ||||
11/15/2029 | 5.375% | 533,000 | 583,855 | |
06/15/2030 | 4.875% | 761,000 | 815,840 | |
Outfront Media Capital LLC/Corp.(e) | ||||
08/15/2027 | 5.000% | 424,000 | 382,705 | |
03/15/2030 | 4.625% | 891,000 | 814,101 | |
TEGNA, Inc.(e) | ||||
09/15/2029 | 5.000% | 745,000 | 697,657 | |
Twitter, Inc.(e) | ||||
12/15/2027 | 3.875% | 506,000 | 506,113 | |
Total | 13,048,459 | |||
Metals and Mining 4.0% | ||||
Alcoa Nederland Holding BV(e) | ||||
09/30/2024 | 6.750% | 443,000 | 454,418 | |
09/30/2026 | 7.000% | 298,000 | 308,540 | |
Big River Steel LLC/Finance Corp.(e) | ||||
09/01/2025 | 7.250% | 430,000 | 401,577 | |
Constellium NV(e) | ||||
02/15/2026 | 5.875% | 2,189,000 | 2,193,632 | |
Constellium SE(e) | ||||
06/15/2028 | 5.625% | 334,000 | 327,777 |
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2020 | 11 |
June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Freeport-McMoRan, Inc. | ||||
09/01/2029 | 5.250% | 867,000 | 886,962 | |
03/15/2043 | 5.450% | 2,398,000 | 2,357,182 | |
HudBay Minerals, Inc.(e) | ||||
01/15/2023 | 7.250% | 956,000 | 942,529 | |
01/15/2025 | 7.625% | 1,927,000 | 1,841,675 | |
Novelis Corp.(e) | ||||
09/30/2026 | 5.875% | 1,796,000 | 1,793,494 | |
01/30/2030 | 4.750% | 1,052,000 | 1,005,005 | |
Steel Dynamics, Inc. | ||||
04/15/2023 | 5.250% | 1,126,000 | 1,135,853 | |
Total | 13,648,644 | |||
Midstream 5.3% | ||||
Cheniere Energy Partners LP | ||||
10/01/2026 | 5.625% | 659,000 | 654,054 | |
DCP Midstream Operating LP | ||||
04/01/2044 | 5.600% | 2,548,000 | 2,049,304 | |
Delek Logistics Partners LP/Finance Corp. | ||||
05/15/2025 | 6.750% | 746,000 | 682,192 | |
EQM Midstream Partners LP(e) | ||||
07/01/2025 | 6.000% | 407,000 | 412,206 | |
07/01/2027 | 6.500% | 387,000 | 396,354 | |
Genesis Energy LP/Finance Corp. | ||||
06/15/2024 | 5.625% | 255,000 | 224,074 | |
10/01/2025 | 6.500% | 100,000 | 85,891 | |
02/01/2028 | 7.750% | 417,000 | 366,960 | |
Holly Energy Partners LP/Finance Corp.(e) | ||||
02/01/2028 | 5.000% | 871,000 | 829,720 | |
Northwest Pipeline LLC | ||||
12/01/2025 | 7.125% | 150,000 | 164,492 | |
NuStar Logistics LP | ||||
06/01/2026 | 6.000% | 430,000 | 413,426 | |
04/28/2027 | 5.625% | 838,000 | 809,859 | |
Rockies Express Pipeline LLC(e) | ||||
07/15/2029 | 4.950% | 1,402,000 | 1,306,310 | |
Rockpoint Gas Storage Canada Ltd.(e) | ||||
03/31/2023 | 7.000% | 1,006,000 | 924,716 | |
Sunoco LP/Finance Corp. | ||||
01/15/2023 | 4.875% | 349,000 | 347,631 | |
02/15/2026 | 5.500% | 930,000 | 903,290 | |
Tallgrass Energy Partners LP/Finance Corp.(e) | ||||
03/01/2027 | 6.000% | 621,000 | 552,695 | |
Targa Resources Partners LP/Finance Corp. | ||||
02/01/2027 | 5.375% | 996,000 | 960,922 | |
01/15/2028 | 5.000% | 1,343,000 | 1,262,378 | |
Targa Resources Partners LP/Finance Corp.(e) | ||||
03/01/2030 | 5.500% | 1,507,000 | 1,450,698 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
TransMontaigne Partners LP/TLP Finance Corp. | ||||
02/15/2026 | 6.125% | 979,000 | 945,520 | |
Western Midstream Operating LP | ||||
02/01/2030 | 4.050% | 2,450,000 | 2,356,666 | |
Total | 18,099,358 | |||
Oil Field Services 0.9% | ||||
Apergy Corp. | ||||
05/01/2026 | 6.375% | 569,000 | 528,331 | |
Archrock Partners LP/Finance Corp.(e) | ||||
04/01/2028 | 6.250% | 468,000 | 430,938 | |
Nabors Industries Ltd.(e) | ||||
01/15/2028 | 7.500% | 1,296,000 | 800,397 | |
Transocean Sentry Ltd.(e) | ||||
05/15/2023 | 5.375% | 1,035,000 | 874,575 | |
USA Compression Partners LP/Finance Corp. | ||||
09/01/2027 | 6.875% | 276,000 | 263,172 | |
Total | 2,897,413 | |||
Other Financial Institutions 0.1% | ||||
Vertical US Newco, Inc.(e),(f) | ||||
07/15/2027 | 5.250% | 282,000 | 282,000 | |
Other Industry 0.1% | ||||
Hillenbrand, Inc. | ||||
06/15/2025 | 5.750% | 163,000 | 168,697 | |
Other REIT 0.3% | ||||
Ladder Capital Finance Holdings LLLP/Corp.(e) | ||||
10/01/2025 | 5.250% | 1,008,000 | 868,085 | |
Packaging 2.2% | ||||
Ardagh Packaging Finance PLC/Holdings USA, Inc.(e) | ||||
04/30/2025 | 5.250% | 399,000 | 409,957 | |
08/15/2026 | 4.125% | 640,000 | 629,420 | |
08/15/2027 | 5.250% | 614,000 | 602,503 | |
Berry Global Escrow Corp.(e) | ||||
07/15/2026 | 4.875% | 614,000 | 619,900 | |
Berry Global, Inc. | ||||
07/15/2023 | 5.125% | 1,480,000 | 1,488,817 | |
BWAY Holding Co.(e) | ||||
04/15/2024 | 5.500% | 1,005,000 | 988,062 | |
Reynolds Group Issuer, Inc./LLC(e) | ||||
07/15/2023 | 5.125% | 1,437,000 | 1,444,101 | |
Trivium Packaging Finance BV(e) | ||||
08/15/2026 | 5.500% | 1,304,000 | 1,324,781 | |
Total | 7,507,541 |
12 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Pharmaceuticals 2.9% | ||||
Bausch Health Companies, Inc.(e) | ||||
03/15/2024 | 7.000% | 225,000 | 233,328 | |
04/15/2025 | 6.125% | 656,000 | 664,655 | |
11/01/2025 | 5.500% | 673,000 | 689,631 | |
12/15/2025 | 9.000% | 803,000 | 865,974 | |
04/01/2026 | 9.250% | 1,860,000 | 2,016,353 | |
01/31/2027 | 8.500% | 951,000 | 1,014,063 | |
01/15/2028 | 7.000% | 178,000 | 183,564 | |
01/30/2028 | 5.000% | 475,000 | 447,587 | |
02/15/2029 | 6.250% | 882,000 | 886,913 | |
01/30/2030 | 5.250% | 474,000 | 449,171 | |
Catalent Pharma Solutions, Inc.(e) | ||||
01/15/2026 | 4.875% | 569,000 | 580,221 | |
07/15/2027 | 5.000% | 187,000 | 194,237 | |
Jaguar Holding Co. II/PPD Development LP(e) | ||||
06/15/2025 | 4.625% | 338,000 | 343,675 | |
06/15/2028 | 5.000% | 311,000 | 318,320 | |
Par Pharmaceutical, Inc.(e) | ||||
04/01/2027 | 7.500% | 880,000 | 902,663 | |
Total | 9,790,355 | |||
Property & Casualty 0.0% | ||||
Lumbermens Mutual Casualty Co.(d),(e) | ||||
12/01/2097 | 0.000% | 30,000 | 0 | |
Lumbermens Mutual Casualty Co.(d) | ||||
Subordinated | ||||
07/01/2026 | 0.000% | 645,000 | 7 | |
Total | 7 | |||
Restaurants 1.7% | ||||
1011778 BC ULC/New Red Finance, Inc.(e) | ||||
04/15/2025 | 5.750% | 596,000 | 626,351 | |
10/15/2025 | 5.000% | 2,125,000 | 2,112,817 | |
01/15/2028 | 3.875% | 768,000 | 745,023 | |
IRB Holding Corp.(e) | ||||
06/15/2025 | 7.000% | 1,723,000 | 1,774,406 | |
Yum! Brands, Inc.(e) | ||||
04/01/2025 | 7.750% | 116,000 | 125,102 | |
01/15/2030 | 4.750% | 393,000 | 401,603 | |
Total | 5,785,302 | |||
Retailers 1.0% | ||||
Burlington Coat Factory Warehouse Corp.(e) | ||||
04/15/2025 | 6.250% | 124,000 | 129,260 | |
L Brands, Inc.(e) | ||||
07/01/2025 | 6.875% | 414,000 | 427,734 | |
07/01/2025 | 9.375% | 167,000 | 167,221 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
L Brands, Inc. | ||||
02/01/2028 | 5.250% | 369,000 | 291,682 | |
06/15/2029 | 7.500% | 244,000 | 214,452 | |
11/01/2035 | 6.875% | 589,000 | 491,109 | |
Nordstrom, Inc.(e) | ||||
05/15/2025 | 8.750% | 154,000 | 165,601 | |
PetSmart, Inc.(e) | ||||
06/01/2025 | 5.875% | 1,419,000 | 1,423,992 | |
Total | 3,311,051 | |||
Supermarkets 0.8% | ||||
Albertsons Companies LLC/Safeway, Inc./New Albertsons LP | ||||
03/15/2025 | 5.750% | 514,000 | 524,999 | |
Albertsons Companies LLC/Safeway, Inc./New Albertsons LP(e) | ||||
03/15/2026 | 7.500% | 401,000 | 434,411 | |
02/15/2028 | 5.875% | 472,000 | 486,894 | |
Albertsons Companies, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(e) | ||||
01/15/2027 | 4.625% | 946,000 | 945,948 | |
02/15/2030 | 4.875% | 395,000 | 405,595 | |
Total | 2,797,847 | |||
Technology 4.7% | ||||
Boxer Parent Co., Inc.(e) | ||||
10/02/2025 | 7.125% | 233,000 | 244,287 | |
Camelot Finance SA(e) | ||||
11/01/2026 | 4.500% | 505,000 | 505,000 | |
CDK Global, Inc. | ||||
06/01/2027 | 4.875% | 506,000 | 518,976 | |
CommScope Technologies LLC(e) | ||||
06/15/2025 | 6.000% | 841,000 | 811,338 | |
Gartner, Inc.(e) | ||||
04/01/2025 | 5.125% | 1,146,000 | 1,173,247 | |
07/01/2028 | 4.500% | 701,000 | 708,094 | |
Iron Mountain, Inc. | ||||
08/15/2024 | 5.750% | 1,023,000 | 1,032,800 | |
Iron Mountain, Inc.(e) | ||||
07/15/2028 | 5.000% | 482,000 | 472,263 | |
09/15/2029 | 4.875% | 342,000 | 332,365 | |
07/15/2030 | 5.250% | 866,000 | 853,012 | |
Microchip Technology, Inc.(e) | ||||
09/01/2025 | 4.250% | 669,000 | 672,113 | |
MSCI, Inc.(e) | ||||
08/01/2026 | 4.750% | 566,000 | 586,964 | |
NCR Corp. | ||||
07/15/2022 | 5.000% | 1,139,000 | 1,136,695 | |
12/15/2023 | 6.375% | 1,152,000 | 1,172,038 | |
NCR Corp.(e) | ||||
04/15/2025 | 8.125% | 494,000 | 523,800 |
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2020 | 13 |
June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Plantronics, Inc.(e) | ||||
05/31/2023 | 5.500% | 1,283,000 | 1,123,479 | |
PTC, Inc.(e) | ||||
02/15/2025 | 3.625% | 182,000 | 180,465 | |
02/15/2028 | 4.000% | 262,000 | 260,139 | |
Qualitytech LP/QTS Finance Corp.(e) | ||||
11/15/2025 | 4.750% | 1,403,000 | 1,438,155 | |
Refinitiv US Holdings, Inc.(e) | ||||
05/15/2026 | 6.250% | 240,000 | 254,358 | |
11/15/2026 | 8.250% | 321,000 | 347,459 | |
Sabre GLBL, Inc.(e) | ||||
04/15/2025 | 9.250% | 134,000 | 141,084 | |
Sensata Technologies, Inc.(e) | ||||
02/15/2030 | 4.375% | 242,000 | 239,478 | |
Tempo Acquisition LLC/Finance Corp.(e) | ||||
06/01/2025 | 5.750% | 377,000 | 387,499 | |
VeriSign, Inc. | ||||
07/15/2027 | 4.750% | 617,000 | 648,540 | |
Total | 15,763,648 | |||
Transportation Services 0.7% | ||||
Hertz Corp. (The)(d),(e) | ||||
06/01/2022 | 0.000% | 1,430,000 | 1,078,327 | |
10/15/2024 | 0.000% | 441,000 | 137,234 | |
08/01/2026 | 0.000% | 575,000 | 179,476 | |
01/15/2028 | 0.000% | 1,794,000 | 560,134 | |
XPO Logistics, Inc.(e) | ||||
06/15/2022 | 6.500% | 488,000 | 488,608 | |
Total | 2,443,779 | |||
Wireless 5.2% | ||||
Altice France SA(e) | ||||
05/01/2026 | 7.375% | 2,749,000 | 2,862,142 | |
02/01/2027 | 8.125% | 817,000 | 895,323 | |
01/15/2028 | 5.500% | 977,000 | 987,341 | |
SBA Communications Corp. | ||||
09/01/2024 | 4.875% | 2,648,000 | 2,710,827 | |
SBA Communications Corp.(e) | ||||
02/15/2027 | 3.875% | 922,000 | 919,059 | |
Sprint Capital Corp. | ||||
11/15/2028 | 6.875% | 1,966,000 | 2,397,790 | |
03/15/2032 | 8.750% | 393,000 | 562,111 | |
Sprint Corp. | ||||
03/01/2026 | 7.625% | 1,214,000 | 1,433,846 | |
T-Mobile U.S.A., Inc. | ||||
01/15/2026 | 6.500% | 3,159,000 | 3,305,004 | |
02/01/2026 | 4.500% | 603,000 | 610,127 | |
02/01/2028 | 4.750% | 992,000 | 1,047,874 | |
Total | 17,731,444 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Wirelines 2.9% | ||||
CenturyLink, Inc. | ||||
06/15/2021 | 6.450% | 483,000 | 493,914 | |
03/15/2022 | 5.800% | 816,000 | 838,451 | |
04/01/2024 | 7.500% | 2,196,000 | 2,415,360 | |
CenturyLink, Inc.(e) | ||||
12/15/2026 | 5.125% | 2,111,000 | 2,108,074 | |
02/15/2027 | 4.000% | 389,000 | 377,703 | |
Front Range BidCo, Inc.(e) | ||||
03/01/2027 | 4.000% | 2,244,000 | 2,133,971 | |
Level 3 Financing, Inc.(e) | ||||
07/01/2028 | 4.250% | 1,218,000 | 1,216,785 | |
Telecom Italia Capital SA | ||||
09/30/2034 | 6.000% | 335,000 | 364,420 | |
Total | 9,948,678 | |||
Total Corporate Bonds & Notes (Cost $330,057,418) | 325,654,587 | |||
Foreign Government Obligations(h) 0.2% | ||||
Canada 0.2% | ||||
NOVA Chemicals Corp.(e) | ||||
06/01/2027 | 5.250% | 780,000 | 686,260 | |
Total Foreign Government Obligations (Cost $798,929) | 686,260 | |||
Senior Loans 2.4% | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Consumer Cyclical Services 0.4% | ||||
8th Avenue Food & Provisions, Inc.(i),(j) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 3.500% 10/01/2025 | 3.685% | 1,322,652 | 1,279,943 | |
Finance Companies 0.3% | ||||
Ellie Mae, Inc.(i),(j) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 3.750% 04/17/2026 | 4.058% | 943,867 | 912,248 | |
Food and Beverage 0.3% | ||||
BellRing Brands LLC(i),(j) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 5.000% Floor 1.000% 10/21/2024 | 6.000% | 1,044,225 | 1,037,051 |
14 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Froneri International Ltd.(i),(j) | ||||
2nd Lien Term Loan | ||||
1-month USD LIBOR + 5.750% 01/31/2028 | 5.928% | 140,000 | 132,650 | |
Total | 1,169,701 | |||
Metals and Mining 0.4% | ||||
Big River Steel LLC(i),(j) | ||||
Term Loan | ||||
3-month USD LIBOR + 5.000% Floor 1.000% 08/23/2023 | 6.000% | 1,628,977 | 1,527,166 | |
Restaurants 0.3% | ||||
IRB Holding Corp./Arby’s/Buffalo Wild Wings(i),(j) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 2.750% Floor 1.000% 02/05/2025 | 3.750% | 1,018,970 | 938,542 | |
Technology 0.7% | ||||
Ascend Learning LLC(i),(j) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.000% Floor 1.000% 07/12/2024 | 4.000% | 744,004 | 706,343 | |
Project Alpha Intermediate Holding, Inc.(i),(j) | ||||
Term Loan | ||||
3-month USD LIBOR + 4.250% 04/26/2024 | 6.130% | 563,020 | 541,907 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Ultimate Software Group, Inc. (The)(i),(j) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 3.750% 05/04/2026 | 3.928% | 418,835 | 405,080 | |
Ultimate Software Group, Inc. (The)(i),(j),(k) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 4.000% Floor 0.750% 05/04/2026 | 668,000 | 658,922 | ||
Total | 2,312,252 | |||
Total Senior Loans (Cost $8,447,018) | 8,139,852 |
Money Market Funds 0.8% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(l),(m) | 2,642,872 | 2,642,872 |
Total Money Market Funds (Cost $2,642,961) | 2,642,872 | |
Total Investments in Securities (Cost: $342,278,312) | 337,167,310 | |
Other Assets & Liabilities, Net | 1,817,812 | |
Net Assets | 338,985,122 |
(a) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At June 30, 2020, the total value of these securities amounted to $6, which represents less than 0.01% of total net assets. |
(b) | Non-income producing investment. |
(c) | Valuation based on significant unobservable inputs. |
(d) | Represents securities that have defaulted on payment of interest. The Fund has stopped accruing interest on these securities. At June 30, 2020, the total value of these securities amounted to $1,955,178, which represents 0.58% 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. At June 30, 2020, the total value of these securities amounted to $206,358,712, which represents 60.88% of total net assets. |
(f) | Represents a security purchased on a when-issued basis. |
(g) | Payment-in-kind security. Interest can be paid by issuing additional par of the security or in cash. |
(h) | Principal and interest may not be guaranteed by a governmental entity. |
(i) | The stated interest rate represents the weighted average interest rate at June 30, 2020 of contracts within the senior loan facility. Interest rates on contracts are primarily determined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. These base lending rates are primarily the LIBOR and other short-term rates. Base lending rates may be subject to a floor or minimum rate. The interest rate for senior loans purchased on a when-issued or delayed delivery basis will be determined upon settlement, therefore no interest rate is disclosed. Senior loans often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, cannot be predicted with accuracy. As a result, remaining maturities of senior loans may be less than the stated maturities. Generally, the Fund is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. |
(j) | Variable rate security. The interest rate shown was the current rate as of June 30, 2020. |
(k) | Represents a security purchased on a forward commitment basis. |
(l) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2020 | 15 |
June 30, 2020 (Unaudited)
(m) | 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. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | ||||||||
23,523,533 | 44,125,453 | (65,006,523) | 409 | 2,642,872 | (3,259) | 96,269 | 2,642,872 |
LIBOR | London Interbank Offered Rate |
■ | 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 – Income Opportunities Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2020:
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 117 | — | 6 | 123 |
Consumer Discretionary | 39,465 | — | — | 39,465 |
Industrials | 4,151 | — | — | 4,151 |
Utilities | — | — | 0* | 0* |
Total Common Stocks | 43,733 | — | 6 | 43,739 |
Convertible Bonds | — | — | 0* | 0* |
Corporate Bonds & Notes | — | 325,654,587 | — | 325,654,587 |
Foreign Government Obligations | — | 686,260 | — | 686,260 |
Senior Loans | — | 8,139,852 | — | 8,139,852 |
Money Market Funds | 2,642,872 | — | — | 2,642,872 |
Total Investments in Securities | 2,686,605 | 334,480,699 | 6 | 337,167,310 |
* | Rounds to zero. |
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2020 | 17 |
June 30, 2020 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $339,635,351) | $334,524,438 |
Affiliated issuers (cost $2,642,961) | 2,642,872 |
Cash | 79,917 |
Receivable for: | |
Investments sold | 1,893,350 |
Capital shares sold | 182,003 |
Dividends | 2,054 |
Interest | 5,060,801 |
Foreign tax reclaims | 2,025 |
Expense reimbursement due from Investment Manager | 514 |
Total assets | 344,387,974 |
Liabilities | |
Payable for: | |
Investments purchased | 226,124 |
Investments purchased on a delayed delivery basis | 4,827,001 |
Capital shares purchased | 133,320 |
Management services fees | 6,067 |
Distribution and/or service fees | 670 |
Service fees | 14,886 |
Compensation of board members | 152,983 |
Compensation of chief compliance officer | 39 |
Other expenses | 41,762 |
Total liabilities | 5,402,852 |
Net assets applicable to outstanding capital stock | $338,985,122 |
Represented by | |
Paid in capital | 329,818,560 |
Total distributable earnings (loss) | 9,166,562 |
Total - representing net assets applicable to outstanding capital stock | $338,985,122 |
Class 1 | |
Net assets | $176,527,391 |
Shares outstanding | 24,082,160 |
Net asset value per share | $7.33 |
Class 2 | |
Net assets | $33,817,416 |
Shares outstanding | 4,648,830 |
Net asset value per share | $7.27 |
Class 3 | |
Net assets | $128,640,315 |
Shares outstanding | 17,459,863 |
Net asset value per share | $7.37 |
18 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2020 |
Six Months Ended June 30, 2020 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $503 |
Dividends — affiliated issuers | 96,269 |
Interest | 9,254,037 |
Total income | 9,350,809 |
Expenses: | |
Management services fees | 1,114,768 |
Distribution and/or service fees | |
Class 2 | 43,232 |
Class 3 | 83,369 |
Service fees | 64,789 |
Compensation of board members | (234) |
Custodian fees | 5,078 |
Printing and postage fees | 21,141 |
Audit fees | 14,669 |
Legal fees | 5,509 |
Compensation of chief compliance officer | 39 |
Other | 3,638 |
Total expenses | 1,355,998 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (91,382) |
Total net expenses | 1,264,616 |
Net investment income | 8,086,193 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (2,508,484) |
Investments — affiliated issuers | (3,259) |
Swap contracts | (1,973,447) |
Net realized loss | (4,485,190) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (18,584,379) |
Investments — affiliated issuers | 409 |
Swap contracts | (402,166) |
Net change in unrealized appreciation (depreciation) | (18,986,136) |
Net realized and unrealized loss | (23,471,326) |
Net decrease in net assets resulting from operations | $(15,385,133) |
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2020 | 19 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||
Net investment income | $8,086,193 | $16,413,739 |
Net realized loss | (4,485,190) | (652,028) |
Net change in unrealized appreciation (depreciation) | (18,986,136) | 35,502,387 |
Net increase (decrease) in net assets resulting from operations | (15,385,133) | 51,264,098 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | — | (8,172,392) |
Class 2 | — | (1,681,997) |
Class 3 | — | (7,422,277) |
Total distributions to shareholders | — | (17,276,666) |
Increase (decrease) in net assets from capital stock activity | (9,089,859) | 12,145,581 |
Total increase (decrease) in net assets | (24,474,992) | 46,133,013 |
Net assets at beginning of period | 363,460,114 | 317,327,101 |
Net assets at end of period | $338,985,122 | $363,460,114 |
Six Months Ended | Year Ended | |||
June 30, 2020 (Unaudited) | December 31, 2019 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 1,285,060 | 9,274,103 | 2,701,096 | 20,026,398 |
Distributions reinvested | — | — | 1,124,025 | 8,172,392 |
Redemptions | (523,681) | (3,687,625) | (520,315) | (3,850,430) |
Net increase | 761,379 | 5,586,478 | 3,304,806 | 24,348,360 |
Class 2 | ||||
Subscriptions | 223,012 | 1,601,931 | 566,234 | 4,172,131 |
Distributions reinvested | — | — | 232,299 | 1,681,997 |
Redemptions | (569,438) | (4,025,363) | (590,817) | (4,328,736) |
Net increase (decrease) | (346,426) | (2,423,432) | 207,716 | 1,525,392 |
Class 3 | ||||
Subscriptions | 125,969 | 963,954 | 259,463 | 1,944,534 |
Distributions reinvested | — | — | 1,013,885 | 7,422,277 |
Redemptions | (1,850,649) | (13,216,859) | (3,105,884) | (23,094,982) |
Net decrease | (1,724,680) | (12,252,905) | (1,832,536) | (13,728,171) |
Total net increase (decrease) | (1,309,727) | (9,089,859) | 1,679,986 | 12,145,581 |
20 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2020 | 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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $7.64 | 0.17 | (0.48) | (0.31) | — | — | — |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $7.59 | 0.16 | (0.48) | (0.32) | — | — | — |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $7.68 | 0.17 | (0.48) | (0.31) | — | — | — |
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. |
(c) | Annualized. |
22 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2020 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $7.33 | (4.06%) | 0.72%(c) | 0.67%(c) | 4.84%(c) | 30% | $176,527 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $7.27 | (4.22%) | 0.97%(c) | 0.92%(c) | 4.58%(c) | 30% | $33,817 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $7.37 | (4.04%) | 0.85%(c) | 0.79%(c) | 4.70%(c) | 30% | $128,640 |
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% | $154,637 |
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2020 | 23 |
June 30, 2020 (Unaudited)
24 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2020 | 25 |
June 30, 2020 (Unaudited)
26 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | |
Risk exposure category | Swap contracts ($) |
Credit risk | (1,973,447) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |
Risk exposure category | Swap contracts ($) |
Credit risk | (402,166) |
Derivative instrument | Average notional amounts ($)* |
Credit default swap contracts — sell protection | 4,900,000 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2020. |
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2020 | 27 |
June 30, 2020 (Unaudited)
28 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2020 | 29 |
June 30, 2020 (Unaudited)
30 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Fee rate(s) contractual through April 30, 2021 | |
Class 1 | 0.67% |
Class 2 | 0.92 |
Class 3 | 0.795 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
342,278,000 | 7,984,000 | (13,095,000) | (5,111,000) |
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
(1,973,820) | (3,358,902) | (5,332,722) |
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2020 | 31 |
June 30, 2020 (Unaudited)
32 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2020 | 33 |
June 30, 2020 (Unaudited)
34 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2020 | 35 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
36 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2020 |
Nature, extent and quality of services provided by Columbia Threadneedle
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2020 | 37 |
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of the Funds’ fee rates, and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Board accorded particular weight to the notion that the primary objective of the level of fees is to achieve a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) approximated the peer universe’s median expense ratio. Based on its review, the Board concluded that the Fund’s management fee was fair and reasonable in light of the extent and quality of services that the Fund receives.
38 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2020 |
June 30, 2020
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | -20.13 | -12.95 | 2.39 | 9.48 | |
Class 2 | 05/03/10 | -20.18 | -13.13 | 2.15 | 9.24 | |
Class 3 | 05/02/05 | -20.16 | -13.04 | 2.27 | 9.36 | |
Russell Midcap Value Index | -18.09 | -11.81 | 3.32 | 10.29 |
Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2020 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2020) | |
Common Stocks | 98.9 |
Money Market Funds | 1.1 |
Total | 100.0 |
Equity sector breakdown (%) (at June 30, 2020) | |
Consumer Discretionary | 10.0 |
Consumer Staples | 6.7 |
Energy | 3.9 |
Financials | 17.0 |
Health Care | 9.0 |
Industrials | 14.8 |
Information Technology | 12.0 |
Materials | 7.6 |
Real Estate | 9.7 |
Utilities | 9.3 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2020 |
(Unaudited)
January 1, 2020 — June 30, 2020 | |||||||
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 | 798.70 | 1,020.84 | 3.62 | 4.07 | 0.81 |
Class 2 | 1,000.00 | 1,000.00 | 798.20 | 1,019.59 | 4.74 | 5.32 | 1.06 |
Class 3 | 1,000.00 | 1,000.00 | 798.40 | 1,020.24 | 4.16 | 4.67 | 0.93 |
Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2020 | 5 |
June 30, 2020 (Unaudited)
Common Stocks 98.6% | ||
Issuer | Shares | Value ($) |
Consumer Discretionary 9.9% | ||
Hotels, Restaurants & Leisure 2.2% | ||
Hyatt Hotels Corp., Class A | 70,000 | 3,520,300 |
Penn National Gaming, Inc.(a) | 75,000 | 2,290,500 |
Total | 5,810,800 | |
Household Durables 1.6% | ||
D.R. Horton, Inc. | 74,000 | 4,103,300 |
Multiline Retail 2.2% | ||
Dollar Tree, Inc.(a) | 61,370 | 5,687,771 |
Specialty Retail 3.9% | ||
Burlington Stores, Inc.(a) | 27,000 | 5,317,110 |
O’Reilly Automotive, Inc.(a) | 11,000 | 4,638,370 |
Total | 9,955,480 | |
Total Consumer Discretionary | 25,557,351 | |
Consumer Staples 6.6% | ||
Food & Staples Retailing 4.1% | ||
Kroger Co. (The) | 201,345 | 6,815,528 |
U.S. Foods Holding Corp.(a) | 198,830 | 3,920,928 |
Total | 10,736,456 | |
Food Products 2.5% | ||
Tyson Foods, Inc., Class A | 107,300 | 6,406,883 |
Total Consumer Staples | 17,143,339 | |
Energy 3.9% | ||
Oil, Gas & Consumable Fuels 3.9% | ||
Marathon Petroleum Corp. | 102,425 | 3,828,647 |
Noble Energy, Inc. | 354,653 | 3,177,691 |
WPX Energy, Inc.(a) | 463,835 | 2,959,267 |
Total | 9,965,605 | |
Total Energy | 9,965,605 | |
Financials 16.7% | ||
Banks 5.7% | ||
Popular, Inc. | 125,985 | 4,682,862 |
Regions Financial Corp. | 492,205 | 5,473,320 |
SVB Financial Group(a) | 21,550 | 4,644,672 |
Total | 14,800,854 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Capital Markets 1.8% | ||
Northern Trust Corp. | 58,225 | 4,619,572 |
Consumer Finance 1.8% | ||
Discover Financial Services | 95,000 | 4,758,550 |
Diversified Financial Services 2.4% | ||
Voya Financial, Inc. | 131,625 | 6,140,306 |
Insurance 5.0% | ||
Hanover Insurance Group, Inc. (The) | 53,000 | 5,370,490 |
Lincoln National Corp. | 82,812 | 3,046,653 |
Reinsurance Group of America, Inc. | 56,500 | 4,431,860 |
Total | 12,849,003 | |
Total Financials | 43,168,285 | |
Health Care 8.9% | ||
Health Care Equipment & Supplies 2.5% | ||
Zimmer Biomet Holdings, Inc. | 53,013 | 6,327,632 |
Health Care Providers & Services 4.0% | ||
Centene Corp.(a) | 70,360 | 4,471,378 |
Quest Diagnostics, Inc. | 52,235 | 5,952,700 |
Total | 10,424,078 | |
Life Sciences Tools & Services 2.4% | ||
Agilent Technologies, Inc. | 69,680 | 6,157,622 |
Total Health Care | 22,909,332 | |
Industrials 14.6% | ||
Aerospace & Defense 2.1% | ||
L3 Harris Technologies, Inc. | 32,037 | 5,435,718 |
Building Products 1.9% | ||
Trane Technologies PLC | 56,242 | 5,004,413 |
Electrical Equipment 3.5% | ||
AMETEK, Inc. | 99,390 | 8,882,484 |
Machinery 4.7% | ||
Ingersoll Rand, Inc.(a) | 231,039 | 6,496,817 |
ITT, Inc. | 95,000 | 5,580,300 |
Total | 12,077,117 |
6 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Road & Rail 2.4% | ||
Norfolk Southern Corp. | 35,315 | 6,200,254 |
Total Industrials | 37,599,986 | |
Information Technology 11.9% | ||
Communications Equipment 1.9% | ||
Motorola Solutions, Inc. | 35,025 | 4,908,053 |
Electronic Equipment, Instruments & Components 2.0% | ||
Corning, Inc. | 200,000 | 5,180,000 |
IT Services 2.5% | ||
CACI International, Inc., Class A(a) | 15,000 | 3,253,200 |
Square, Inc., Class A(a) | 30,000 | 3,148,200 |
Total | 6,401,400 | |
Semiconductors & Semiconductor Equipment 5.5% | ||
Marvell Technology Group Ltd. | 152,600 | 5,350,156 |
ON Semiconductor Corp.(a) | 185,000 | 3,666,700 |
Teradyne, Inc. | 61,200 | 5,172,012 |
Total | 14,188,868 | |
Total Information Technology | 30,678,321 | |
Materials 7.5% | ||
Chemicals 5.0% | ||
Eastman Chemical Co. | 69,000 | 4,805,160 |
FMC Corp. | 79,840 | 7,953,661 |
Total | 12,758,821 | |
Metals & Mining 2.5% | ||
Freeport-McMoRan, Inc. | 562,700 | 6,510,439 |
Total Materials | 19,269,260 | |
Real Estate 9.5% | ||
Equity Real Estate Investment Trusts (REITS) 9.5% | ||
Alexandria Real Estate Equities, Inc. | 35,000 | 5,678,750 |
First Industrial Realty Trust, Inc. | 165,000 | 6,342,600 |
Gaming and Leisure Properties, Inc. | 183,558 | 6,351,107 |
Welltower, Inc. | 120,680 | 6,245,190 |
Total | 24,617,647 | |
Total Real Estate | 24,617,647 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Utilities 9.1% | ||
Electric Utilities 2.1% | ||
Pinnacle West Capital Corp. | 73,430 | 5,381,685 |
Independent Power and Renewable Electricity Producers 2.2% | ||
AES Corp. (The) | 398,200 | 5,769,918 |
Multi-Utilities 4.8% | ||
Ameren Corp. | 77,775 | 5,472,249 |
CMS Energy Corp. | 119,875 | 7,003,097 |
Total | 12,475,346 | |
Total Utilities | 23,626,949 | |
Total Common Stocks (Cost $263,535,589) | 254,536,075 | |
Money Market Funds 1.1% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(b),(c) | 2,934,359 | 2,934,359 |
Total Money Market Funds (Cost $2,934,525) | 2,934,359 | |
Total Investments in Securities (Cost: $266,470,114) | 257,470,434 | |
Other Assets & Liabilities, Net | 755,581 | |
Net Assets | 258,226,015 |
Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2020 | 7 |
June 30, 2020 (Unaudited)
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | ||||||||
5,993,237 | 19,936,312 | (22,995,153) | (37) | 2,934,359 | 1,468 | 31,862 | 2,934,359 |
■ | 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 | 25,557,351 | — | — | 25,557,351 |
Consumer Staples | 17,143,339 | — | — | 17,143,339 |
Energy | 9,965,605 | — | — | 9,965,605 |
Financials | 43,168,285 | — | — | 43,168,285 |
Health Care | 22,909,332 | — | — | 22,909,332 |
Industrials | 37,599,986 | — | — | 37,599,986 |
Information Technology | 30,678,321 | — | — | 30,678,321 |
8 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Materials | 19,269,260 | — | — | 19,269,260 |
Real Estate | 24,617,647 | — | — | 24,617,647 |
Utilities | 23,626,949 | — | — | 23,626,949 |
Total Common Stocks | 254,536,075 | — | — | 254,536,075 |
Money Market Funds | 2,934,359 | — | — | 2,934,359 |
Total Investments in Securities | 257,470,434 | — | — | 257,470,434 |
Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2020 | 9 |
June 30, 2020 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $263,535,589) | $254,536,075 |
Affiliated issuers (cost $2,934,525) | 2,934,359 |
Receivable for: | |
Investments sold | 4,044,771 |
Capital shares sold | 3,620 |
Dividends | 369,669 |
Expense reimbursement due from Investment Manager | 492 |
Total assets | 261,888,986 |
Liabilities | |
Payable for: | |
Investments purchased | 3,398,831 |
Capital shares purchased | 171,580 |
Management services fees | 5,716 |
Distribution and/or service fees | 352 |
Service fees | 6,792 |
Compensation of board members | 55,681 |
Compensation of chief compliance officer | 34 |
Other expenses | 23,985 |
Total liabilities | 3,662,971 |
Net assets applicable to outstanding capital stock | $258,226,015 |
Represented by | |
Trust capital | $258,226,015 |
Total - representing net assets applicable to outstanding capital stock | $258,226,015 |
Class 1 | |
Net assets | $181,010,263 |
Shares outstanding | 8,738,515 |
Net asset value per share | $20.71 |
Class 2 | |
Net assets | $27,004,844 |
Shares outstanding | 1,333,831 |
Net asset value per share | $20.25 |
Class 3 | |
Net assets | $50,210,908 |
Shares outstanding | 2,452,314 |
Net asset value per share | $20.47 |
10 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2020 |
Six Months Ended June 30, 2020 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $2,884,420 |
Dividends — affiliated issuers | 31,862 |
Foreign taxes withheld | (10,079) |
Total income | 2,906,203 |
Expenses: | |
Management services fees | 1,090,979 |
Distribution and/or service fees | |
Class 2 | 35,050 |
Class 3 | 33,986 |
Service fees | 33,714 |
Compensation of board members | 4,633 |
Custodian fees | 2,955 |
Printing and postage fees | 12,811 |
Audit fees | 14,669 |
Legal fees | 5,158 |
Compensation of chief compliance officer | 34 |
Other | 3,648 |
Total expenses | 1,237,637 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (91,221) |
Total net expenses | 1,146,416 |
Net investment income | 1,759,787 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (21,942,167) |
Investments — affiliated issuers | 1,468 |
Net realized loss | (21,940,699) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (43,922,115) |
Investments — affiliated issuers | (37) |
Net change in unrealized appreciation (depreciation) | (43,922,152) |
Net realized and unrealized loss | (65,862,851) |
Net decrease in net assets resulting from operations | $(64,103,064) |
Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2020 | 11 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||
Net investment income | $1,759,787 | $3,483,879 |
Net realized gain (loss) | (21,940,699) | 12,234,018 |
Net change in unrealized appreciation (depreciation) | (43,922,152) | 64,266,158 |
Net increase (decrease) in net assets resulting from operations | (64,103,064) | 79,984,055 |
Decrease in net assets from capital stock activity | (1,183,363) | (14,543,206) |
Total increase (decrease) in net assets | (65,286,427) | 65,440,849 |
Net assets at beginning of period | 323,512,442 | 258,071,593 |
Net assets at end of period | $258,226,015 | $323,512,442 |
Six Months Ended | Year Ended | |||
June 30, 2020 (Unaudited) | December 31, 2019 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 300,768 | 5,494,445 | 49,187 | 1,138,265 |
Redemptions | (83,157) | (1,926,447) | (208,334) | (4,959,633) |
Net increase (decrease) | 217,611 | 3,567,998 | (159,147) | (3,821,368) |
Class 2 | ||||
Subscriptions | 55,447 | 1,097,388 | 158,957 | 3,676,053 |
Redemptions | (71,073) | (1,467,968) | (138,544) | (3,188,552) |
Net increase (decrease) | (15,626) | (370,580) | 20,413 | 487,501 |
Class 3 | ||||
Subscriptions | 17,026 | 356,353 | 17,276 | 381,689 |
Redemptions | (230,252) | (4,737,134) | (498,289) | (11,591,028) |
Net decrease | (213,226) | (4,380,781) | (481,013) | (11,209,339) |
Total net decrease | (11,241) | (1,183,363) | (619,747) | (14,543,206) |
12 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2020 | 13 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $25.93 | 0.15 | (5.37) | (5.22) |
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 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $25.37 | 0.12 | (5.24) | (5.12) |
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 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $25.64 | 0.13 | (5.30) | (5.17) |
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) | Annualized. |
(d) | Ratios include line of credit interest expense which is less than 0.01%. |
14 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2020 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $20.71 | (20.13%) | 0.88%(c) | 0.81%(c) | 1.38%(c) | 27% | $181,010 |
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%(d) | 0.90%(d) | 0.38% | 43% | $12,613 |
Class 2 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $20.25 | (20.18%) | 1.13%(c) | 1.06%(c) | 1.12%(c) | 27% | $27,005 |
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%(d) | 1.17%(d) | 0.40% | 43% | $17,179 |
Class 3 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $20.47 | (20.16%) | 1.00%(c) | 0.93%(c) | 1.24%(c) | 27% | $50,211 |
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%(d) | 1.04%(d) | 0.50% | 43% | $97,276 |
Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2020 | 15 |
June 30, 2020 (Unaudited)
16 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2020 | 17 |
June 30, 2020 (Unaudited)
18 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Fee rate(s) contractual through Apr 30, 2021 | |
Class 1 | 0.81% |
Class 2 | 1.06 |
Class 3 | 0.935 |
Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2020 | 19 |
June 30, 2020 (Unaudited)
20 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2020 | 21 |
June 30, 2020 (Unaudited)
22 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2020 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2020 | 23 |
Nature, extent and quality of services provided by Columbia Threadneedle
24 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2020 |
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of the Funds’ fee rates, and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Board accorded particular weight to the notion that the primary objective of the level of fees is to achieve a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) approximated the peer universe’s median expense ratio. Based on its review, the Board concluded that the Fund’s management fee was fair and reasonable in light of the extent and quality of services that the Fund receives.
Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2020 | 25 |
June 30, 2020
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/01/96 | 6.46 | 30.76 | 19.61 | 18.39 | |
Class 2 | 05/01/00 | 6.34 | 30.43 | 19.30 | 18.08 | |
MSCI World Information Technology Index (Net) | 13.89 | 32.74 | 21.10 | 18.26 |
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2020 | 3 |
(Unaudited)
Equity sector breakdown (%) (at June 30, 2020) | |
Communication Services | 8.7 |
Consumer Discretionary | 0.8 |
Health Care | 1.2 |
Industrials | 1.2 |
Information Technology | 87.8 |
Real Estate | 0.3 |
Total | 100.0 |
Equity sub-industry breakdown (%) (at June 30, 2020) | |
Information Technology | |
Application Software | 11.0 |
Communications Equipment | 3.2 |
Data Processing & Outsourced Services | 7.6 |
Internet Services & Infrastructure | 1.3 |
IT Consulting & Other Services | 0.3 |
Semiconductor Equipment | 17.5 |
Semiconductors | 22.8 |
Systems Software | 12.1 |
Technology Hardware, Storage & Peripherals | 12.0 |
Total | 87.8 |
Country breakdown (%) (at June 30, 2020) | |
Brazil | 0.7 |
Germany | 1.3 |
Japan | 1.3 |
Netherlands | 1.8 |
Sweden | 0.5 |
United Kingdom | 0.8 |
United States(a) | 93.6 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds. |
4 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2020 |
(Unaudited)
January 1, 2020 — June 30, 2020 | |||||||
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 | 1,064.60 | 1,020.09 | 4.93 | 4.82 | 0.96 |
Class 2 | 1,000.00 | 1,000.00 | 1,063.40 | 1,018.85 | 6.21 | 6.07 | 1.21 |
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2020 | 5 |
June 30, 2020 (Unaudited)
Common Stocks 97.4% | ||
Issuer | Shares | Value ($) |
Brazil 0.8% | ||
Pagseguro Digital Ltd., Class A(a) | 21,792 | 770,129 |
Germany 1.3% | ||
Infineon Technologies AG | 59,000 | 1,382,499 |
Japan 1.3% | ||
Renesas Electronics Corp.(a) | 257,500 | 1,323,654 |
Netherlands 1.8% | ||
NXP Semiconductors NV | 16,700 | 1,904,468 |
Sweden 0.5% | ||
Telefonaktiebolaget LM Ericsson, ADR | 59,100 | 549,630 |
United Kingdom 0.8% | ||
Sensata Technologies Holding(a) | 9,800 | 364,854 |
Vodafone Group PLC, ADR | 26,800 | 427,192 |
Total | 792,046 | |
United States 90.9% | ||
Activision Blizzard, Inc. | 23,287 | 1,767,483 |
Advanced Energy Industries, Inc.(a) | 18,000 | 1,220,220 |
Alphabet, Inc., Class A(a) | 2,725 | 3,864,186 |
Alphabet, Inc., Class C(a) | 1,434 | 2,027,117 |
American Tower Corp. | 1,100 | 284,394 |
Apple, Inc.(b) | 17,100 | 6,238,080 |
Applied Materials, Inc. | 55,100 | 3,330,795 |
AT&T, Inc. | 16,000 | 483,680 |
Bill.com Holdings, Inc.(a) | 3,778 | 340,813 |
Bloom Energy Corp., Class A(a) | 80,450 | 875,296 |
Broadcom, Inc. | 16,887 | 5,329,706 |
Cambium Networks Corp.(a) | 25,615 | 188,526 |
Cerence, Inc.(a) | 35,597 | 1,453,781 |
Cisco Systems, Inc. | 20,597 | 960,644 |
Coherus Biosciences, Inc.(a) | 70,200 | 1,253,772 |
CommScope Holding Co., Inc.(a) | 31,500 | 262,395 |
Cornerstone OnDemand, Inc.(a) | 9,200 | 354,752 |
Dell Technologies, Inc.(a) | 13,000 | 714,220 |
Dropbox, Inc., Class A(a) | 93,782 | 2,041,634 |
DXC Technology Co. | 15,500 | 255,750 |
eBay, Inc. | 15,170 | 795,667 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Euronet Worldwide, Inc.(a) | 2,033 | 194,802 |
F5 Networks, Inc.(a) | 5,600 | 781,088 |
Fidelity National Information Services, Inc. | 10,200 | 1,367,718 |
Fiserv, Inc.(a) | 9,400 | 917,628 |
Fortinet, Inc.(a) | 16,885 | 2,317,804 |
Genpact Ltd. | 11,774 | 429,986 |
Global Payments, Inc. | 3,627 | 615,212 |
GoDaddy, Inc., Class A(a) | 18,260 | 1,339,006 |
HP, Inc. | 39,402 | 686,777 |
Inphi Corp.(a) | 4,823 | 566,703 |
Intel Corp. | 19,200 | 1,148,736 |
Lam Research Corp. | 26,015 | 8,414,812 |
Marvell Technology Group Ltd.(b) | 85,075 | 2,982,730 |
Micron Technology, Inc.(a) | 64,353 | 3,315,467 |
Microsoft Corp. | 20,500 | 4,171,955 |
NetApp, Inc. | 45,800 | 2,032,146 |
NortonLifeLock, Inc. | 51,245 | 1,016,188 |
ON Semiconductor Corp.(a) | 129,648 | 2,569,623 |
Oracle Corp. | 25,700 | 1,420,439 |
Palo Alto Networks, Inc.(a) | 7,000 | 1,607,690 |
Plantronics, Inc. | 35,400 | 519,672 |
Rambus, Inc.(a) | 15,000 | 228,000 |
SailPoint Technologies Holdings, Inc.(a) | 16,724 | 442,684 |
Salesforce.com, Inc.(a) | 8,205 | 1,537,043 |
Sciplay Corp., Class A(a) | 18,178 | 269,580 |
SMART Global Holdings, Inc.(a) | 16,528 | 449,231 |
Splunk, Inc.(a) | 2,993 | 594,709 |
Synaptics, Inc.(a) | 30,973 | 1,862,097 |
Synopsys, Inc.(a) | 22,409 | 4,369,755 |
Teradyne, Inc. | 56,868 | 4,805,915 |
Verint Systems, Inc.(a) | 9,787 | 442,177 |
Visa, Inc., Class A | 17,600 | 3,399,792 |
Western Digital Corp.(b) | 56,028 | 2,473,636 |
Xperi Holding Corp. | 85,415 | 1,260,725 |
Total | 94,594,437 | |
Total Common Stocks (Cost $76,026,888) | 101,316,863 | |
6 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Money Market Funds 2.8% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(c),(d) | 2,897,516 | 2,897,516 |
Total Money Market Funds (Cost $2,897,629) | 2,897,516 | |
Total Investments in Securities (Cost $78,924,517) | 104,214,379 | |
Other Assets & Liabilities, Net | (164,799) | |
Net Assets | $104,049,580 |
Call option contracts written | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Premium received ($) | Value ($) |
Apple, Inc. | JPMorgan | USD | (547,200) | (15) | 350.00 | 1/15/2021 | (20,173) | (63,750) |
Marvell Technology Group Ltd. | Morgan Stanley | USD | (438,250) | (125) | 35.00 | 1/15/2021 | (12,745) | (57,500) |
Western Digital Corp. | Morgan Stanley | USD | (269,315) | (61) | 90.00 | 1/15/2021 | (22,643) | (1,800) |
Total | (55,561) | (123,050) |
Put option contracts written | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Premium received ($) | Value ($) |
Marvell Technology Group Ltd. | Morgan Stanley | USD | (816,898) | (233) | 17.00 | 01/15/2021 | (31,911) | (7,339) |
Western Digital Corp. | Morgan Stanley | USD | (273,730) | (62) | 40.00 | 01/15/2021 | (19,669) | (31,000) |
Total | (51,580) | (38,339) |
(a) | Non-income producing investment. |
(b) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(c) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
(d) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | ||||||||
4,079,511 | 18,683,300 | (19,865,361) | 66 | 2,897,516 | 752 | 11,332 | 2,897,516 |
ADR | American Depositary Receipt |
USD | US Dollar |
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2020 | 7 |
June 30, 2020 (Unaudited)
■ | 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 | ||||
Brazil | 770,129 | — | — | 770,129 |
Germany | — | 1,382,499 | — | 1,382,499 |
Japan | — | 1,323,654 | — | 1,323,654 |
Netherlands | 1,904,468 | — | — | 1,904,468 |
Sweden | 549,630 | — | — | 549,630 |
United Kingdom | 792,046 | — | — | 792,046 |
United States | 94,594,437 | — | — | 94,594,437 |
Total Common Stocks | 98,610,710 | 2,706,153 | — | 101,316,863 |
Money Market Funds | 2,897,516 | — | — | 2,897,516 |
Total Investments in Securities | 101,508,226 | 2,706,153 | — | 104,214,379 |
Investments in Derivatives | ||||
Liability | ||||
Options Contracts Written | (161,389) | — | — | (161,389) |
Total | 101,346,837 | 2,706,153 | — | 104,052,990 |
8 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
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. These assets include certain foreign securities for which a third party statistical pricing service may be employed for purposes of fair market valuation. The model utilized by such third party statistical pricing service takes into account a security’s correlation to available market data including, but not limited to, intraday index, ADR, and exchange-traded fund movements.
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2020 | 9 |
June 30, 2020 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $76,026,888) | $101,316,863 |
Affiliated issuers (cost $2,897,629) | 2,897,516 |
Cash collateral held at broker for: | |
Options contracts written | 147,044 |
Receivable for: | |
Investments sold | 3,506 |
Capital shares sold | 25,523 |
Dividends | 55,911 |
Foreign tax reclaims | 2,552 |
Expense reimbursement due from Investment Manager | 514 |
Total assets | 104,449,429 |
Liabilities | |
Option contracts written, at value (premiums received $107,141) | 161,389 |
Payable for: | |
Investments purchased | 70,032 |
Capital shares purchased | 69,649 |
Management services fees | 2,544 |
Distribution and/or service fees | 395 |
Service fees | 39,465 |
Compensation of board members | 31,450 |
Compensation of chief compliance officer | 10 |
Other expenses | 24,915 |
Total liabilities | 399,849 |
Net assets applicable to outstanding capital stock | $104,049,580 |
Represented by | |
Paid in capital | 64,456,391 |
Total distributable earnings (loss) | 39,593,189 |
Total - representing net assets applicable to outstanding capital stock | $104,049,580 |
Class 1 | |
Net assets | $45,055,226 |
Shares outstanding | 1,811,589 |
Net asset value per share | $24.87 |
Class 2 | |
Net assets | $58,994,354 |
Shares outstanding | 2,626,825 |
Net asset value per share | $22.46 |
10 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2020 |
Six Months Ended June 30, 2020 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $1,166,963 |
Dividends — affiliated issuers | 11,332 |
Foreign taxes withheld | (5,024) |
Total income | 1,173,271 |
Expenses: | |
Management services fees | 425,741 |
Distribution and/or service fees | |
Class 2 | 64,889 |
Service fees | 83,124 |
Compensation of board members | 4,430 |
Custodian fees | 8,755 |
Printing and postage fees | 6,144 |
Audit fees | 15,651 |
Legal fees | 4,245 |
Line of credit interest | 97 |
Interest on interfund lending | 384 |
Compensation of chief compliance officer | 12 |
Other | 3,131 |
Total expenses | 616,603 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (105,991) |
Total net expenses | 510,612 |
Net investment income | 662,659 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 5,435,326 |
Investments — affiliated issuers | 752 |
Foreign currency translations | (4,106) |
Options contracts written | 18,531 |
Net realized gain | 5,450,503 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (1,109,627) |
Investments — affiliated issuers | 66 |
Foreign currency translations | 76 |
Options contracts written | (97,624) |
Net change in unrealized appreciation (depreciation) | (1,207,109) |
Net realized and unrealized gain | 4,243,394 |
Net increase in net assets resulting from operations | $4,906,053 |
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2020 | 11 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||
Net investment income (loss) | $662,659 | $(35,241) |
Net realized gain | 5,450,503 | 8,673,321 |
Net change in unrealized appreciation (depreciation) | (1,207,109) | 26,915,185 |
Net increase in net assets resulting from operations | 4,906,053 | 35,553,265 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | — | (5,791,704) |
Class 2 | — | (7,012,539) |
Total distributions to shareholders | — | (12,804,243) |
Increase (decrease) in net assets from capital stock activity | (2,444,458) | 12,734,904 |
Total increase in net assets | 2,461,595 | 35,483,926 |
Net assets at beginning of period | 101,587,985 | 66,104,059 |
Net assets at end of period | $104,049,580 | $101,587,985 |
Six Months Ended | Year Ended | |||
June 30, 2020 (Unaudited) | December 31, 2019 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 13,068 | 292,417 | 6,676 | 143,646 |
Distributions reinvested | — | — | 307,089 | 5,791,704 |
Redemptions | (109,000) | (2,346,355) | (213,545) | (4,502,596) |
Net increase (decrease) | (95,932) | (2,053,938) | 100,220 | 1,432,754 |
Class 2 | ||||
Subscriptions | 567,351 | 11,808,304 | 1,281,155 | 24,753,358 |
Distributions reinvested | — | — | 410,811 | 7,012,539 |
Redemptions | (640,084) | (12,198,824) | (1,072,586) | (20,463,747) |
Net increase (decrease) | (72,733) | (390,520) | 619,380 | 11,302,150 |
Total net increase (decrease) | (168,665) | (2,444,458) | 719,600 | 12,734,904 |
12 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2020 | 13 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | ||||||
Six Months Ended 6/30/2020 (Unaudited) | $23.36 | 0.17 | 1.34 | 1.51 | — | — |
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 | ||||||
Six Months Ended 6/30/2020 (Unaudited) | $21.12 | 0.13 | 1.21 | 1.34 | — | — |
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) | Annualized. |
(d) | Ratios include interfund lending expense which is less than 0.01%. |
(e) | Ratios include line of credit interest expense which is less than 0.01%. |
14 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2020 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $24.87 | 6.46% | 1.19%(c),(d),(e) | 0.96%(c),(d),(e) | 1.54%(c) | 24% | $45,055 |
Year Ended 12/31/2019 | $23.36 | 55.31% | 1.18%(d) | 0.97%(d) | 0.09% | 56% | $44,565 |
Year Ended 12/31/2018 | $17.78 | (8.15%) | 1.09%(d),(e) | 1.03%(d),(e) | 0.05% | 44% | $32,129 |
Year Ended 12/31/2017 | $21.56 | 35.21% | 1.15%(e) | 1.02%(e) | (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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $22.46 | 6.34% | 1.44%(c),(d),(e) | 1.21%(c),(d),(e) | 1.33%(c) | 24% | $58,994 |
Year Ended 12/31/2019 | $21.12 | 54.97% | 1.43%(d) | 1.21%(d) | (0.15%) | 56% | $57,023 |
Year Ended 12/31/2018 | $16.33 | (8.45%) | 1.33%(d),(e) | 1.28%(d),(e) | (0.22%) | 44% | $33,975 |
Year Ended 12/31/2017 | $19.99 | 34.92% | 1.40%(e) | 1.27%(e) | (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% | $83,566 |
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2020 | 15 |
June 30, 2020 (Unaudited)
16 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2020 | 17 |
June 30, 2020 (Unaudited)
18 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Options contracts written, at value | 161,389 |
Amount of realized gain (loss) on derivatives recognized in income | |
Risk exposure category | Options contracts written ($) |
Equity risk | 18,531 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |
Risk exposure category | Options contracts written ($) |
Equity risk | (97,624) |
Derivative instrument | Average value ($)* |
Options contracts — written | (140,812) |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2020. |
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2020 | 19 |
June 30, 2020 (Unaudited)
JPMorgan ($) | Morgan Stanley ($) | Total ($) | |
Liabilities | |||
Options contracts written | 63,750 | 97,639 | 161,389 |
Total financial and derivative net assets | (63,750) | (97,639) | (161,389) |
Total collateral received (pledged) (a) | (63,750) | (97,639) | (161,389) |
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. |
20 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2020 | 21 |
June 30, 2020 (Unaudited)
May 1, 2020 through April 30, 2021 | Prior to May 1, 2020 | |
Class 1 | 0.99% | 0.94% |
Class 2 | 1.24 | 1.19 |
22 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
78,817,000 | 29,766,000 | (4,530,000) | 25,236,000 |
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Borrower | 1,112,500 | 1.38 | 8 |
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2020 | 23 |
June 30, 2020 (Unaudited)
Average loan balance ($) | Weighted average interest rate (%) | Days outstanding |
271,429 | 1.86 | 7 |
24 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2020 | 25 |
June 30, 2020 (Unaudited)
26 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2020 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2020 | 27 |
Nature, extent and quality of services provided by Columbia Threadneedle
28 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2020 |
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of the Funds’ fee rates, and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Board accorded particular weight to the notion that the primary objective of the level of fees is to achieve a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) was somewhat higher than the median ratio, but lower than the 60th percentile of the Fund’s peer universe. Based on its review, the Board concluded that the Fund’s management fee was fair and reasonable in light of the extent and quality of services that the Fund receives.
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2020 | 29 |
June 30, 2020
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/07/10 | 3.18 | 5.44 | 3.07 | 2.91 | |
Class 2 | 05/07/10 | 3.09 | 5.25 | 2.84 | 2.67 | |
Bloomberg Barclays U.S. 1-5 Year Corporate Index | 3.28 | 5.48 | 3.35 | 3.31 |
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2020 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2020) | |
Corporate Bonds & Notes | 87.8 |
Money Market Funds | 8.7 |
U.S. Treasury Obligations | 3.5 |
Total | 100.0 |
Quality breakdown (%) (at June 30, 2020) | |
AAA rating | 3.8 |
AA rating | 6.8 |
A rating | 18.3 |
BBB rating | 68.5 |
BB rating | 2.6 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2020 |
(Unaudited)
January 1, 2020 — June 30, 2020 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 1,031.80 | 1,022.43 | 2.48 | 2.46 | 0.49 |
Class 2 | 1,000.00 | 1,000.00 | 1,030.90 | 1,021.18 | 3.74 | 3.72 | 0.74 |
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2020 | 5 |
June 30, 2020 (Unaudited)
Corporate Bonds & Notes 90.5% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Aerospace & Defense 1.6% | ||||
Boeing Co. (The) | ||||
05/01/2025 | 4.875% | 2,220,000 | 2,420,139 | |
Lockheed Martin Corp. | ||||
11/23/2020 | 2.500% | 5,073,000 | 5,105,189 | |
Raytheon Technologies Corp.(a) | ||||
03/15/2022 | 2.800% | 4,480,000 | 4,620,459 | |
Total | 12,145,787 | |||
Banking 10.2% | ||||
American Express Co. | ||||
05/20/2022 | 2.750% | 4,725,000 | 4,908,350 | |
02/27/2023 | 3.400% | 5,385,000 | 5,751,664 | |
Bank of America Corp.(b) | ||||
02/13/2026 | 2.015% | 5,360,000 | 5,542,980 | |
Bank of Montreal | ||||
03/26/2022 | 2.900% | 8,000,000 | 8,334,970 | |
Capital One Bank USA NA(b) | ||||
01/27/2023 | 2.014% | 2,850,000 | 2,889,824 | |
Capital One Financial Corp. | ||||
04/30/2025 | 4.250% | 6,862,000 | 7,730,847 | |
Citigroup, Inc.(b) | ||||
04/08/2026 | 3.106% | 3,460,000 | 3,719,500 | |
Goldman Sachs Group, Inc. (The) | ||||
02/20/2024 | 3.625% | 6,770,000 | 7,362,093 | |
JPMorgan Chase & Co.(b) | ||||
03/13/2026 | 2.005% | 10,710,000 | 11,110,413 | |
Morgan Stanley(b) | ||||
04/28/2026 | 2.188% | 5,355,000 | 5,580,790 | |
Wells Fargo & Co.(b) | ||||
04/30/2026 | 2.188% | 5,630,000 | 5,821,591 | |
Wells Fargo Bank NA | ||||
10/22/2021 | 3.625% | 6,090,000 | 6,317,832 | |
Total | 75,070,854 | |||
Cable and Satellite 2.6% | ||||
Charter Communications Operating LLC/Capital | ||||
07/23/2025 | 4.908% | 6,248,000 | 7,158,886 | |
Sky PLC(a) | ||||
09/16/2024 | 3.750% | 10,735,000 | 11,945,644 | |
Total | 19,104,530 | |||
Diversified Manufacturing 1.5% | ||||
Carrier Global Corp.(a) | ||||
02/15/2025 | 2.242% | 10,745,000 | 11,007,645 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Electric 21.8% | ||||
AEP Texas, Inc. | ||||
10/01/2022 | 2.400% | 11,023,000 | 11,379,076 | |
American Electric Power Co., Inc. | ||||
11/13/2020 | 2.150% | 4,985,000 | 5,015,643 | |
12/01/2021 | 3.650% | 1,936,000 | 2,018,701 | |
CenterPoint Energy, Inc. | ||||
09/01/2024 | 2.500% | 10,660,000 | 11,259,670 | |
CMS Energy Corp. | ||||
03/01/2024 | 3.875% | 9,661,000 | 10,446,568 | |
11/15/2025 | 3.600% | 10,736,000 | 11,490,181 | |
02/15/2027 | 2.950% | 1,880,000 | 1,960,854 | |
DTE Energy Co. | ||||
06/01/2024 | 3.500% | 4,266,000 | 4,599,733 | |
10/01/2026 | 2.850% | 9,576,000 | 10,169,690 | |
Duke Energy Corp. | ||||
09/01/2026 | 2.650% | 11,213,000 | 12,169,581 | |
Edison International | ||||
11/15/2024 | 3.550% | 2,150,000 | 2,268,509 | |
Emera U.S. Finance LP | ||||
06/15/2021 | 2.700% | 9,801,000 | 9,982,193 | |
06/15/2026 | 3.550% | 6,670,000 | 7,496,332 | |
Eversource Energy | ||||
10/01/2024 | 2.900% | 11,520,000 | 12,367,210 | |
01/15/2025 | 3.150% | 999,000 | 1,082,215 | |
Pinnacle West Capital Corp. | ||||
06/15/2025 | 1.300% | 5,770,000 | 5,840,634 | |
Public Service Enterprise Group, Inc. | ||||
11/15/2021 | 2.000% | 6,995,000 | 7,100,801 | |
Southern Co. (The) | ||||
07/01/2021 | 2.350% | 12,621,000 | 12,837,580 | |
07/01/2026 | 3.250% | 2,525,000 | 2,806,012 | |
WEC Energy Group, Inc. | ||||
03/08/2022 | 3.100% | 1,215,000 | 1,264,319 | |
06/15/2025 | 3.550% | 4,067,000 | 4,536,492 | |
Xcel Energy, Inc. | ||||
03/15/2021 | 2.400% | 9,064,000 | 9,160,127 | |
12/01/2026 | 3.350% | 2,845,000 | 3,195,306 | |
Total | 160,447,427 | |||
Finance Companies 1.9% | ||||
GE Capital International Funding Co. Unlimited Co. | ||||
11/15/2025 | 3.373% | 13,285,000 | 13,850,428 |
6 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Food and Beverage 10.6% | ||||
Anheuser-Busch InBev Finance, Inc. | ||||
02/01/2026 | 3.650% | 4,910,000 | 5,502,996 | |
Bacardi Ltd.(a) | ||||
07/15/2026 | 2.750% | 14,170,000 | 14,436,101 | |
Conagra Brands, Inc. | ||||
10/22/2021 | 3.800% | 14,734,000 | 15,317,585 | |
11/01/2025 | 4.600% | 3,836,000 | 4,422,853 | |
Kraft Heinz Foods Co. (The) | ||||
06/01/2026 | 3.000% | 9,564,000 | 9,693,896 | |
Molson Coors Brewing Co. | ||||
07/15/2021 | 2.100% | 4,721,000 | 4,784,132 | |
Mondelez International Holdings Netherlands BV(a) | ||||
10/28/2021 | 2.000% | 12,899,000 | 13,126,892 | |
Mondelez International, Inc.(c) | ||||
07/01/2022 | 0.625% | 10,815,000 | 10,813,486 | |
Total | 78,097,941 | |||
Health Care 5.4% | ||||
Becton Dickinson and Co. | ||||
11/08/2021 | 3.125% | 7,281,000 | 7,495,815 | |
06/06/2022 | 2.894% | 4,570,000 | 4,730,650 | |
06/06/2024 | 3.363% | 4,870,000 | 5,241,587 | |
Cigna Corp.(a) | ||||
10/15/2027 | 3.050% | 6,960,000 | 7,550,744 | |
CVS Health Corp. | ||||
03/09/2023 | 3.700% | 2,650,000 | 2,844,425 | |
03/25/2025 | 4.100% | 10,371,000 | 11,720,120 | |
Total | 39,583,341 | |||
Healthcare Insurance 0.9% | ||||
Aetna, Inc. | ||||
11/15/2022 | 2.750% | 3,790,000 | 3,946,030 | |
Centene Corp. | ||||
12/15/2027 | 4.250% | 2,707,000 | 2,792,274 | |
Total | 6,738,304 | |||
Independent Energy 0.8% | ||||
Canadian Natural Resources Ltd. | ||||
07/15/2025 | 2.050% | 5,575,000 | 5,579,204 | |
Life Insurance 12.7% | ||||
AIG Global Funding(a) | ||||
07/02/2020 | 2.150% | 2,500,000 | 2,500,142 | |
AIG Global Funding(a),(c) | ||||
07/07/2023 | 0.800% | 2,070,000 | 2,070,108 | |
Five Corners Funding Trust(a) | ||||
11/15/2023 | 4.419% | 11,807,000 | 13,152,057 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Guardian Life Global Funding(a) | ||||
05/06/2024 | 2.900% | 9,390,000 | 10,122,289 | |
MassMutual Global Funding II(a) | ||||
07/01/2022 | 2.250% | 3,557,000 | 3,679,992 | |
06/22/2024 | 2.750% | 11,246,000 | 12,040,169 | |
Metropolitan Life Global Funding I(a) | ||||
06/08/2023 | 0.900% | 4,805,000 | 4,834,389 | |
Metropolitan Life Global Funding I(a),(c) | ||||
07/02/2025 | 0.950% | 3,945,000 | 3,940,949 | |
Pacific Life Global Funding II(a) | ||||
06/24/2025 | 1.200% | 6,250,000 | 6,268,786 | |
Peachtree Corners Funding Trust(a) | ||||
02/15/2025 | 3.976% | 16,697,000 | 18,216,839 | |
Principal Life Global Funding II(a) | ||||
11/21/2024 | 2.250% | 15,870,000 | 16,688,316 | |
Total | 93,514,036 | |||
Media and Entertainment 0.5% | ||||
Discovery Communications LLC | ||||
06/15/2025 | 3.950% | 3,360,000 | 3,696,574 | |
Midstream 6.7% | ||||
Enterprise Products Operating LLC | ||||
02/15/2021 | 2.800% | 4,300,000 | 4,361,183 | |
MPLX LP | ||||
12/01/2027 | 4.250% | 7,200,000 | 7,832,992 | |
Plains All American Pipeline LP/Finance Corp. | ||||
12/15/2026 | 4.500% | 12,465,000 | 13,211,102 | |
Southern Natural Gas Co. LLC/Issuing Corp. | ||||
06/15/2021 | 4.400% | 7,592,000 | 7,766,826 | |
Western Gas Partners LP | ||||
07/01/2026 | 4.650% | 5,639,000 | 5,406,737 | |
Williams Companies, Inc. (The) | ||||
09/15/2025 | 4.000% | 9,828,000 | 10,886,279 | |
Total | 49,465,119 | |||
Natural Gas 2.8% | ||||
NiSource Finance Corp. | ||||
05/15/2027 | 3.490% | 11,738,000 | 13,249,177 | |
NiSource, Inc. | ||||
11/17/2022 | 2.650% | 6,965,000 | 7,273,121 | |
Total | 20,522,298 | |||
Pharmaceuticals 4.5% | ||||
AbbVie, Inc.(a) | ||||
06/15/2024 | 3.850% | 6,287,000 | 6,904,104 | |
11/21/2026 | 2.950% | 8,055,000 | 8,756,309 |
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2020 | 7 |
June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
AbbVie, Inc. | ||||
05/14/2025 | 3.600% | 7,645,000 | 8,452,066 | |
Amgen, Inc. | ||||
11/15/2021 | 3.875% | 3,105,486 | 3,221,410 | |
05/11/2022 | 2.650% | 5,655,000 | 5,871,138 | |
Total | 33,205,027 | |||
Supermarkets 0.3% | ||||
Kroger Co. (The) | ||||
11/01/2021 | 2.950% | 1,805,000 | 1,856,676 | |
Technology 2.3% | ||||
Broadcom Corp./Cayman Finance Ltd. | ||||
01/15/2027 | 3.875% | 13,520,000 | 14,602,413 | |
NXP BV/Funding LLC/USA, Inc.(a) | ||||
05/01/2025 | 2.700% | 1,900,000 | 1,989,565 | |
Total | 16,591,978 | |||
Transportation Services 1.9% | ||||
ERAC U.S.A. Finance LLC(a) | ||||
11/01/2023 | 2.700% | 2,900,000 | 2,913,721 | |
11/15/2024 | 3.850% | 5,443,000 | 5,786,050 | |
FedEx Corp. | ||||
05/15/2025 | 3.800% | 4,840,000 | 5,388,733 | |
Total | 14,088,504 | |||
Wireless 0.8% | ||||
American Tower Corp. | ||||
01/15/2025 | 2.950% | 2,270,000 | 2,440,407 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
T-Mobile U.S.A., Inc.(a) | ||||
04/15/2025 | 3.500% | 3,160,000 | 3,443,866 | |
Total | 5,884,273 | |||
Wirelines 0.7% | ||||
AT&T, Inc. | ||||
05/15/2025 | 3.400% | 4,730,000 | 5,190,975 | |
Total Corporate Bonds & Notes (Cost $636,820,632) | 665,640,921 | |||
U.S. Treasury Obligations 3.6% | ||||
U.S. Treasury | ||||
08/15/2022 | 1.500% | 25,540,000 | 26,264,299 | |
Total U.S. Treasury Obligations (Cost $25,725,618) | 26,264,299 |
Money Market Funds 9.0% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(d),(e) | 66,083,247 | 66,083,247 |
Total Money Market Funds (Cost $66,086,219) | 66,083,247 | |
Total Investments in Securities (Cost: $728,632,469) | 757,988,467 | |
Other Assets & Liabilities, Net | (22,826,938) | |
Net Assets | 735,161,529 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 2-Year Note | 519 | 09/2020 | USD | 114,609,797 | 14,446 | — |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 10-Year Note | (589) | 09/2020 | USD | (81,972,234) | — | (221,803) |
U.S. Treasury 5-Year Note | (128) | 09/2020 | USD | (16,095,000) | — | (26,433) |
U.S. Ultra Bond 10-Year Note | (8) | 09/2020 | USD | (1,259,875) | — | (5,143) |
Total | — | (253,379) |
8 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
(a) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At June 30, 2020, the total value of these securities amounted to $185,995,136, which represents 25.30% of total net assets. |
(b) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of June 30, 2020. |
(c) | Represents a security purchased on a when-issued basis. |
(d) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
(e) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | ||||||||
57,133,744 | 241,022,651 | (232,073,806) | 658 | 66,083,247 | 4,728 | 228,492 | 66,083,247 |
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 – Limited Duration Credit Fund | Semiannual Report 2020 | 9 |
June 30, 2020 (Unaudited)
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2020:
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Corporate Bonds & Notes | — | 665,640,921 | — | 665,640,921 |
U.S. Treasury Obligations | 26,264,299 | — | — | 26,264,299 |
Money Market Funds | 66,083,247 | — | — | 66,083,247 |
Total Investments in Securities | 92,347,546 | 665,640,921 | — | 757,988,467 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 14,446 | — | — | 14,446 |
Liability | ||||
Futures Contracts | (253,379) | — | — | (253,379) |
Total | 92,108,613 | 665,640,921 | — | 757,749,534 |
10 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $662,546,250) | $691,905,220 |
Affiliated issuers (cost $66,086,219) | 66,083,247 |
Cash | 77 |
Margin deposits on: | |
Futures contracts | 1,052,046 |
Receivable for: | |
Investments sold | 5,382,666 |
Capital shares sold | 241,202 |
Dividends | 16,022 |
Interest | 4,302,329 |
Foreign tax reclaims | 11,452 |
Variation margin for futures contracts | 106,141 |
Expense reimbursement due from Investment Manager | 190 |
Total assets | 769,100,592 |
Liabilities | |
Payable for: | |
Investments purchased | 16,199,493 |
Investments purchased on a delayed delivery basis | 16,819,988 |
Capital shares purchased | 776,325 |
Management services fees | 9,611 |
Distribution and/or service fees | 455 |
Service fees | 2,636 |
Compensation of board members | 105,754 |
Compensation of chief compliance officer | 89 |
Other expenses | 24,712 |
Total liabilities | 33,939,063 |
Net assets applicable to outstanding capital stock | $735,161,529 |
Represented by | |
Paid in capital | 708,476,534 |
Total distributable earnings (loss) | 26,684,995 |
Total - representing net assets applicable to outstanding capital stock | $735,161,529 |
Class 1 | |
Net assets | $668,315,457 |
Shares outstanding | 66,358,296 |
Net asset value per share | $10.07 |
Class 2 | |
Net assets | $66,846,072 |
Shares outstanding | 6,674,435 |
Net asset value per share | $10.02 |
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2020 | 11 |
Six Months Ended June 30, 2020 (Unaudited)
Net investment income | |
Income: | |
Dividends — affiliated issuers | $228,492 |
Interest | 9,603,867 |
Total income | 9,832,359 |
Expenses: | |
Management services fees | 1,737,377 |
Distribution and/or service fees | |
Class 2 | 74,914 |
Service fees | 17,668 |
Compensation of board members | 5,738 |
Custodian fees | 3,334 |
Printing and postage fees | 14,040 |
Audit fees | 14,669 |
Legal fees | 7,453 |
Compensation of chief compliance officer | 75 |
Other | 7,109 |
Total expenses | 1,882,377 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (27,949) |
Total net expenses | 1,854,428 |
Net investment income | 7,977,931 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 7,050,513 |
Investments — affiliated issuers | 4,728 |
Futures contracts | (4,530,256) |
Net realized gain | 2,524,985 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 12,964,603 |
Investments — affiliated issuers | 658 |
Futures contracts | (1,126,936) |
Net change in unrealized appreciation (depreciation) | 11,838,325 |
Net realized and unrealized gain | 14,363,310 |
Net increase in net assets resulting from operations | $22,341,241 |
12 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2020 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||
Net investment income | $7,977,931 | $19,622,974 |
Net realized gain | 2,524,985 | 6,526,499 |
Net change in unrealized appreciation (depreciation) | 11,838,325 | 30,981,813 |
Net increase in net assets resulting from operations | 22,341,241 | 57,131,286 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | — | (16,853,216) |
Class 2 | — | (1,063,576) |
Total distributions to shareholders | — | (17,916,792) |
Decrease in net assets from capital stock activity | (26,653,459) | (53,414,995) |
Total decrease in net assets | (4,312,218) | (14,200,501) |
Net assets at beginning of period | 739,473,747 | 753,674,248 |
Net assets at end of period | $735,161,529 | $739,473,747 |
Six Months Ended | Year Ended | |||
June 30, 2020 (Unaudited) | December 31, 2019 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 1,265,612 | 12,317,137 | 3,049,590 | 29,209,694 |
Distributions reinvested | — | — | 1,766,584 | 16,853,216 |
Redemptions | (5,007,577) | (48,953,448) | (10,981,163) | (105,667,765) |
Net decrease | (3,741,965) | (36,636,311) | (6,164,989) | (59,604,855) |
Class 2 | ||||
Subscriptions | 1,532,046 | 14,945,565 | 1,320,625 | 12,599,438 |
Distributions reinvested | — | — | 111,838 | 1,063,576 |
Redemptions | (513,708) | (4,962,713) | (783,719) | (7,473,154) |
Net increase | 1,018,338 | 9,982,852 | 648,744 | 6,189,860 |
Total net decrease | (2,723,627) | (26,653,459) | (5,516,245) | (53,414,995) |
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2020 | 13 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Total distributions to shareholders | |
Class 1 | ||||||
Six Months Ended 6/30/2020 (Unaudited) | $9.76 | 0.11 | 0.20 | 0.31 | — | — |
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 | ||||||
Six Months Ended 6/30/2020 (Unaudited) | $9.72 | 0.10 | 0.20 | 0.30 | — | — |
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(d) | (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) | Annualized. |
(d) | Rounds to zero. |
14 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2020 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $10.07 | 3.18% | 0.50%(c) | 0.49%(c) | 2.22%(c) | 45% | $668,315 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $10.02 | 3.09% | 0.75%(c) | 0.74%(c) | 1.96%(c) | 45% | $66,846 |
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% | $22,577 |
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2020 | 15 |
June 30, 2020 (Unaudited)
16 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2020 | 17 |
June 30, 2020 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 14,446* |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 253,379* |
18 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Interest rate risk | (4,530,256) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Interest rate risk | (1,126,936) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 121,970,297 |
Futures contracts — short | 99,643,117 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2020. |
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2020 | 19 |
June 30, 2020 (Unaudited)
20 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Fee rate(s) contractual through April 30, 2021 | |
Class 1 | 0.49% |
Class 2 | 0.74 |
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2020 | 21 |
June 30, 2020 (Unaudited)
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
728,632,000 | 29,940,000 | (822,000) | 29,118,000 |
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
(13,931,042) | (17,191,068) | (31,122,110) |
22 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2020 | 23 |
June 30, 2020 (Unaudited)
24 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2020 | 25 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
26 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2020 |
Nature, extent and quality of services provided by Columbia Threadneedle
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2020 | 27 |
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of the Funds’ fee rates, and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Board accorded particular weight to the notion that the primary objective of the level of fees is to achieve a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) approximated the peer universe’s median expense ratio. Based on its review, the Board concluded that the Fund’s management fee was fair and reasonable in light of the extent and quality of services that the Fund receives.
28 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2020 |
June 30, 2020
3 | |
5 | |
6 | |
9 | |
10 | |
11 | |
12 | |
14 | |
25 | |
25 |
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | Life | ||
Class 1 | 04/30/13 | -17.48 | -15.19 | -7.45 | -9.18 | |
Class 2 | 04/30/13 | -17.82 | -15.67 | -7.73 | -9.43 | |
Bloomberg Commodity Index Total Return | -19.40 | -17.38 | -7.69 | -8.83 |
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2020 | 3 |
Commodities market exposure (%) (at June 30, 2020) | |||
Commodities contracts(a) | Long | Short | Net |
Agriculture | 29.1 | 0.0 | 29.1 |
Precious Metals | 23.1 | 0.0 | 23.1 |
Energy | 23.5 | (0.5) | 23.0 |
Industrial Metals | 18.7 | 0.0 | 18.7 |
Livestock | 6.1 | 0.0 | 6.1 |
Total notional market value of commodities contracts | 100.5 | (0.5) | 100.0 |
Portfolio Holdings (%) (at June 30, 2020) | |
Money Market Funds | 50.2 |
Treasury Bills | 13.5 |
U.S. Government & Agency Obligations | 27.1 |
Other Assets | 9.2 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2020 |
(Unaudited)
January 1, 2020 — June 30, 2020 | |||||||
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 | 825.20 | 1,021.48 | 3.09 | 3.42 | 0.68 |
Class 2 | 1,000.00 | 1,000.00 | 821.80 | 1,020.14 | 4.30 | 4.77 | 0.95 |
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2020 | 5 |
June 30, 2020 (Unaudited)
Treasury Bills 13.5% | ||||
Issuer | Effective Yield | Principal Amount ($) | Value ($) | |
United States 13.5% | ||||
U.S. Treasury Bills | ||||
08/06/2020 | 0.140% | 13,500,000 | 13,498,127 | |
Total Treasury Bills (Cost $13,498,178) | 13,498,127 | |||
U.S. Government & Agency Obligations 27.1% | ||||
Federal Home Loan Banks Discount Notes | ||||
08/14/2020 | 0.150% | 9,000,000 | 8,998,282 | |
Federal Home Loan Mortgage Corp. Discount Notes | ||||
08/19/2020 | 0.160% | 9,000,000 | 8,998,046 | |
Federal National Mortgage Association Discount Notes | ||||
09/16/2020 | 0.170% | 9,000,000 | 8,996,798 | |
Total U.S. Government & Agency Obligations (Cost $26,992,814) | 26,993,126 |
Money Market Funds 50.2% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(a),(b) | 50,001,084 | 50,001,084 |
Total Money Market Funds (Cost $49,982,770) | 50,001,084 | |
Total Investments in Securities (Cost: $90,473,762) | 90,492,337 | |
Other Assets & Liabilities, Net | 9,154,814 | |
Net Assets | 99,647,151 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Brent Crude | 52 | 07/2020 | USD | 2,146,040 | 507,247 | — |
Brent Crude | 34 | 11/2020 | USD | 1,426,300 | 16,858 | — |
Brent Crude | 16 | 11/2020 | USD | 671,200 | — | (17,485) |
Cocoa | 44 | 09/2020 | USD | 961,840 | — | (80,484) |
Coffee | 5 | 09/2020 | USD | 189,375 | 2,898 | — |
Coffee | 2 | 12/2020 | USD | 77,588 | 329 | — |
Coffee | 50 | 12/2020 | USD | 1,939,688 | — | (128,960) |
Copper | 19 | 09/2020 | USD | 1,296,038 | 57,391 | — |
Copper | 89 | 12/2020 | USD | 6,102,063 | 689,085 | — |
Corn | 30 | 09/2020 | USD | 512,250 | 10,098 | — |
Corn | 269 | 12/2020 | USD | 4,714,225 | 188,444 | — |
Cotton | 10 | 12/2020 | USD | 304,400 | 3,869 | — |
Cotton | 35 | 12/2020 | USD | 1,065,400 | — | (13,606) |
Feeder Cattle | 9 | 08/2020 | USD | 597,825 | — | (5,985) |
Gas Oil | 5 | 09/2020 | USD | 179,500 | 3,567 | — |
Gas Oil | 36 | 11/2020 | USD | 1,316,700 | 196,088 | — |
Gold 100 oz. | 21 | 08/2020 | USD | 3,781,050 | 287,065 | — |
Gold 100 oz. | 78 | 12/2020 | USD | 14,199,120 | 683,743 | — |
Lean Hogs | 38 | 08/2020 | USD | 745,180 | — | (113,798) |
Lean Hogs | 59 | 12/2020 | USD | 1,220,710 | — | (69,515) |
Live Cattle | 17 | 08/2020 | USD | 654,670 | — | (11,374) |
Live Cattle | 68 | 12/2020 | USD | 2,819,280 | 4,454 | — |
Natural Gas | 45 | 08/2020 | USD | 805,050 | — | (69,254) |
Natural Gas | 306 | 10/2020 | USD | 6,982,920 | — | (260,710) |
Nickel | 6 | 09/2020 | USD | 460,836 | — | (2,778) |
Nickel | 30 | 11/2020 | USD | 2,310,435 | 62,839 | — |
6 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Long futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
NY Harbor ULSD Heat Oil | 3 | 08/2020 | USD | 151,654 | 3,165 | — |
NY Harbor ULSD Heat Oil | 21 | 10/2020 | USD | 1,092,974 | 155,437 | — |
Palladium | 2 | 09/2020 | USD | 393,380 | 27,673 | — |
Platinum | 2 | 10/2020 | USD | 85,120 | 1,495 | — |
Platinum | 8 | 10/2020 | USD | 340,480 | — | (1,334) |
Primary Aluminum | 7 | 09/2020 | USD | 282,800 | 947 | — |
Primary Aluminum | 86 | 11/2020 | USD | 3,510,950 | 210,310 | — |
RBOB Gasoline | 20 | 08/2020 | USD | 997,416 | — | (7,251) |
RBOB Gasoline | 30 | 10/2020 | USD | 1,369,242 | 243,709 | — |
Silver | 49 | 09/2020 | USD | 4,566,065 | 167,954 | — |
Soybean | 40 | 11/2020 | USD | 1,764,500 | 9,744 | — |
Soybean | 100 | 11/2020 | USD | 4,411,250 | — | (10,303) |
Soybean Meal | 123 | 12/2020 | USD | 3,639,570 | — | (118,480) |
Soybean Oil | 78 | 12/2020 | USD | 1,348,308 | 1,760 | — |
Soybean Oil | 55 | 12/2020 | USD | 950,730 | — | (1,042) |
Sugar #11 | 2 | 09/2020 | USD | 26,790 | 2,915 | — |
Sugar #11 | 31 | 09/2020 | USD | 415,251 | — | (25,481) |
Sugar #11 | 171 | 02/2021 | USD | 2,405,491 | — | (41,346) |
Wheat | 7 | 09/2020 | USD | 153,913 | — | (9,344) |
Wheat | 14 | 09/2020 | USD | 344,225 | — | (15,385) |
Wheat | 55 | 12/2020 | USD | 1,243,000 | — | (103,107) |
Wheat | 98 | 12/2020 | USD | 2,445,100 | — | (146,316) |
WTI Crude | 73 | 08/2020 | USD | 2,871,820 | 685,719 | — |
WTI Crude | 72 | 10/2020 | USD | 2,849,760 | 640,525 | — |
WTI Crude | 12 | 11/2020 | USD | 476,160 | 79,368 | — |
WTI Crude | 1 | 11/2020 | USD | 39,680 | — | (782) |
Zinc | 29 | 09/2020 | USD | 1,483,350 | 12,142 | — |
Zinc | 53 | 11/2020 | USD | 2,719,231 | 47,690 | — |
Total | 5,004,528 | (1,254,120) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
WTI Crude | (1) | 11/2021 | USD | (40,830) | 1,148 | — |
WTI Crude | (12) | 11/2021 | USD | (489,960) | — | (46,260) |
Total | 1,148 | (46,260) |
(a) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
(b) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | ||||||||
130,827,549 | 332,457,333 | (413,302,112) | 18,314 | 50,001,084 | 39,766 | 597,959 | 50,001,084 |
USD | US Dollar |
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2020 | 7 |
June 30, 2020 (Unaudited)
■ | 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 | 13,498,127 | — | — | 13,498,127 |
U.S. Government & Agency Obligations | — | 26,993,126 | — | 26,993,126 |
Money Market Funds | 50,001,084 | — | — | 50,001,084 |
Total Investments in Securities | 63,499,211 | 26,993,126 | — | 90,492,337 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 5,005,676 | — | — | 5,005,676 |
Liability | ||||
Futures Contracts | (1,300,380) | — | — | (1,300,380) |
Total | 67,204,507 | 26,993,126 | — | 94,197,633 |
8 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $40,490,992) | $40,491,253 |
Affiliated issuers (cost $49,982,770) | 50,001,084 |
Margin deposits on: | |
Futures contracts | 7,913,586 |
Receivable for: | |
Capital shares sold | 216,193 |
Dividends | 11,803 |
Variation margin for futures contracts | 1,264,903 |
Total assets | 99,898,822 |
Liabilities | |
Payable for: | |
Capital shares purchased | 6,575 |
Variation margin for futures contracts | 195,941 |
Management services fees | 1,693 |
Distribution and/or service fees | 89 |
Compensation of board members | 29,075 |
Compensation of chief compliance officer | 44 |
Audit fees | 13,846 |
Other expenses | 4,408 |
Total liabilities | 251,671 |
Net assets applicable to outstanding capital stock | $99,647,151 |
Represented by | |
Paid in capital | 249,384,193 |
Total distributable earnings (loss) | (149,737,042) |
Total - representing net assets applicable to outstanding capital stock | $99,647,151 |
Class 1 | |
Net assets | $86,203,424 |
Shares outstanding | 18,826,611 |
Net asset value per share | $4.58 |
Class 2 | |
Net assets | $13,443,727 |
Shares outstanding | 2,971,280 |
Net asset value per share | $4.52 |
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2020 | 9 |
Six Months Ended June 30, 2020 (Unaudited)
Net investment income | |
Income: | |
Dividends — affiliated issuers | $597,959 |
Interest | 763,318 |
Total income | 1,361,277 |
Expenses: | |
Management services fees | 646,528 |
Distribution and/or service fees | |
Class 2 | 16,858 |
Service fees | 8,802 |
Compensation of board members | 5,796 |
Custodian fees | 4,538 |
Printing and postage fees | 5,137 |
Audit fees | 15,346 |
Legal fees | 5,222 |
Compensation of chief compliance officer | 41 |
Other | 5,681 |
Total expenses | 713,949 |
Net investment income | 647,328 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 40,416 |
Investments — affiliated issuers | 39,766 |
Futures contracts | (51,551,975) |
Options purchased | (501,958) |
Net realized loss | (51,973,751) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (29,278) |
Investments — affiliated issuers | 18,314 |
Futures contracts | (11,092,144) |
Options purchased | 501,958 |
Net change in unrealized appreciation (depreciation) | (10,601,150) |
Net realized and unrealized loss | (62,574,901) |
Net decrease in net assets resulting from operations | $(61,927,573) |
10 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2020 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||
Net investment income | $647,328 | $6,110,873 |
Net realized loss | (51,973,751) | (16,532,405) |
Net change in unrealized appreciation (depreciation) | (10,601,150) | 34,459,571 |
Net increase (decrease) in net assets resulting from operations | (61,927,573) | 24,038,039 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | — | (4,687,325) |
Class 2 | — | (147,075) |
Total distributions to shareholders | — | (4,834,400) |
Increase (decrease) in net assets from capital stock activity | (258,677,297) | 158,901,757 |
Total increase (decrease) in net assets | (320,604,870) | 178,105,396 |
Net assets at beginning of period | 420,252,021 | 242,146,625 |
Net assets at end of period | $99,647,151 | $420,252,021 |
Six Months Ended | Year Ended | |||
June 30, 2020 (Unaudited) | December 31, 2019 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 133,318 | 677,735 | 28,429,902 | 154,656,225 |
Distributions reinvested | — | — | 861,640 | 4,687,325 |
Redemptions | (54,140,375) | (259,602,900) | (43,891) | (235,498) |
Net increase (decrease) | (54,007,057) | (258,925,165) | 29,247,651 | 159,108,052 |
Class 2 | ||||
Subscriptions | 389,845 | 1,822,541 | 443,561 | 2,389,825 |
Distributions reinvested | — | — | 27,287 | 147,075 |
Redemptions | (340,764) | (1,574,673) | (512,158) | (2,743,195) |
Net increase (decrease) | 49,081 | 247,868 | (41,310) | (206,295) |
Total net increase (decrease) | (53,957,976) | (258,677,297) | 29,206,341 | 158,901,757 |
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2020 | 11 |
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 | ||||||
Six Months Ended 6/30/2020 (Unaudited) | $5.55 | 0.02 | (0.99) | (0.97) | — | — |
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 | ||||||
Six Months Ended 6/30/2020 (Unaudited) | $5.50 | 0.00 | (0.98) | (0.98) | — | — |
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) | Annualized. |
(d) | Ratios include interfund lending expense which is less than 0.01%. |
12 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2020 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $4.58 | (17.48%) | 0.68%(c) | 0.68%(c) | 0.67%(c) | 0% | $86,203 |
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%(d) | 0.66%(d) | 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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $4.52 | (17.82%) | 0.95%(c) | 0.95%(c) | 0.13%(c) | 0% | $13,444 |
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%(d) | 0.92%(d) | 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 | Semiannual Report 2020 | 13 |
June 30, 2020 (Unaudited)
CVPCSF Offshore Fund, Ltd. | |
% of consolidated fund net assets | 7.97% |
Net assets | $7,938,881 |
Net investment income (loss) | 24,305 |
Net realized gain (loss) | (52,053,933) |
Net change in unrealized appreciation (depreciation) | (10,590,186) |
14 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2020 | 15 |
June 30, 2020 (Unaudited)
16 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Asset derivatives | ||
Risk exposure category | Consolidated statement of assets and liabilities location | Fair value ($) |
Commodity-related investment risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 5,005,676* |
Liability derivatives | ||
Risk exposure category | Consolidated statement of assets and liabilities location | Fair value ($) |
Commodity-related investment risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 1,300,380* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Consolidated Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Consolidated Statement of Assets and Liabilities. |
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2020 | 17 |
June 30, 2020 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Commodity-related investment risk | (51,551,975) | (501,958) | (52,053,933) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Total ($) |
Commodity-related investment risk | (11,092,144) | 501,958 | (10,590,186) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 115,274,049 |
Futures contracts — short | 265,395 |
Derivative instrument | Average value ($)** |
Options contracts — purchased | 0(a) |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2020. |
** | Based on the ending daily outstanding amounts for the six months ended June 30, 2020. |
(a) | Rounds to zero. |
18 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2020 | 19 |
June 30, 2020 (Unaudited)
Fee rate(s) contractual through April 30, 2021 | |
Class 1 | 0.80% |
Class 2 | 1.05 |
20 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
90,474,000 | 5,024,000 | (1,300,000) | 3,724,000 |
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
(280,316) | — | (280,316) |
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2020 | 21 |
June 30, 2020 (Unaudited)
22 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2020 | 23 |
June 30, 2020 (Unaudited)
24 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2020 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2020 | 25 |
26 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2020 | 27 |
28 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2020 |
June 30, 2020
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | Life | ||
Class 1 | 04/30/12 | -2.81 | -1.66 | 4.19 | 3.40 | |
Class 2 | 04/30/12 | -2.94 | -1.92 | 3.91 | 3.14 | |
JPMorgan Emerging Markets Bond Index-Global | -1.87 | 1.52 | 5.12 | 4.48 |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2020 | 3 |
(Unaudited)
Quality breakdown (%) (at June 30, 2020) | |
AA rating | 10.0 |
A rating | 7.8 |
BBB rating | 31.3 |
BB rating | 26.4 |
B rating | 21.1 |
CCC rating | 1.0 |
CC rating | 0.8 |
C rating | 0.2 |
D rating | 0.1 |
Not rated | 1.3 |
Total | 100.0 |
Country breakdown (%) (at June 30, 2020) | |
Angola | 1.2 |
Argentina | 0.8 |
Belarus | 0.3 |
Brazil | 4.2 |
Canada | 0.7 |
Chile | 1.0 |
China | 3.2 |
Colombia | 4.2 |
Costa Rica | 0.4 |
Croatia | 0.6 |
Dominican Republic | 4.5 |
Egypt | 3.6 |
Country breakdown (%) (at June 30, 2020) | |
El Salvador | 0.9 |
Ghana | 0.9 |
Guatemala | 1.2 |
Honduras | 0.3 |
India | 0.9 |
Indonesia | 10.8 |
Ivory Coast | 1.2 |
Kazakhstan | 2.8 |
Malaysia | 0.7 |
Mauritius | 1.3 |
Mexico | 9.4 |
Mongolia | 0.2 |
Morocco | 0.7 |
Netherlands | 1.3 |
Oman | 0.8 |
Panama | 1.0 |
Paraguay | 2.1 |
Peru | 1.6 |
Philippines | 0.7 |
Qatar | 5.9 |
Romania | 0.4 |
Russian Federation | 3.4 |
Saudi Arabia | 3.8 |
South Africa | 2.5 |
Sri Lanka | 0.6 |
Turkey | 5.4 |
Ukraine | 3.2 |
United Arab Emirates | 5.6 |
United States(a) | 3.1 |
Venezuela | 0.1 |
Virgin Islands | 2.5 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds. |
4 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2020 |
(Unaudited)
January 1, 2020 — June 30, 2020 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 971.90 | 1,021.13 | 3.68 | 3.77 | 0.75 |
Class 2 | 1,000.00 | 1,000.00 | 970.60 | 1,019.89 | 4.90 | 5.02 | 1.00 |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2020 | 5 |
June 30, 2020 (Unaudited)
Corporate Bonds & Notes(a) 9.1% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Brazil 1.1% | ||||
Braskem America Finance Co.(b) | ||||
07/22/2041 | 7.125% | 3,150,000 | 3,223,874 | |
Vale Overseas Ltd. | ||||
11/21/2036 | 6.875% | 1,150,000 | 1,502,147 | |
Total | 4,726,021 | |||
Chile 0.2% | ||||
VTR Comunicaciones SpA(b),(c) | ||||
01/15/2028 | 5.125% | 825,000 | 841,672 | |
China 0.8% | ||||
Lenovo Perpetual Securities Ltd.(b),(d) | ||||
12/31/2049 | 5.375% | 1,353,000 | 1,335,863 | |
Tencent Holdings Ltd.(b) | ||||
06/03/2050 | 3.240% | 1,850,000 | 1,856,254 | |
Total | 3,192,117 | |||
Colombia 1.0% | ||||
Banco de Bogota SA(b) | ||||
Subordinated | ||||
05/12/2026 | 6.250% | 535,000 | 565,011 | |
Millicom International Cellular SA(b) | ||||
01/15/2028 | 5.125% | 1,600,000 | 1,607,596 | |
03/25/2029 | 6.250% | 900,000 | 960,856 | |
03/25/2029 | 6.250% | 800,000 | 854,094 | |
Total | 3,987,557 | |||
Ghana 0.2% | ||||
Tullow Oil PLC(b) | ||||
03/01/2025 | 7.000% | 900,000 | 570,093 | |
03/01/2025 | 7.000% | 300,000 | 190,031 | |
Total | 760,124 | |||
Guatemala 0.1% | ||||
Energuate Trust(b) | ||||
05/03/2027 | 5.875% | 650,000 | 640,446 | |
India 0.5% | ||||
Adani Ports & Special Economic Zone Ltd.(b) | ||||
07/30/2027 | 4.000% | 1,650,000 | 1,601,492 | |
Bharti Airtel Ltd.(b) | ||||
06/10/2025 | 4.375% | 350,000 | 362,735 | |
Total | 1,964,227 | |||
Indonesia 0.2% | ||||
Geo Coal International Pte Ltd.(b) | ||||
10/04/2022 | 8.000% | 1,874,000 | 841,567 |
Corporate Bonds & Notes(a) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Malaysia 0.1% | ||||
Press Metal Labuan Ltd.(b) | ||||
10/30/2022 | 4.800% | 533,000 | 496,537 | |
Mauritius 1.2% | ||||
Network i2i Ltd.(b),(d) | ||||
12/31/2049 | 5.650% | 5,300,000 | 5,122,498 | |
Mexico 0.1% | ||||
America Movil SAB de CV | ||||
12/05/2022 | 6.450% | MXN | 10,860,000 | 477,785 |
Netherlands 0.7% | ||||
Braskem Netherlands Finance BV(b) | ||||
01/10/2023 | 3.500% | 1,250,000 | 1,275,930 | |
01/31/2030 | 4.500% | 1,450,000 | 1,332,201 | |
Mong Duong Finance Holdings BV(b) | ||||
05/07/2029 | 5.125% | 430,000 | 428,924 | |
Total | 3,037,055 | |||
Philippines 0.7% | ||||
SMC Global Power Holdings Corp.(b),(d) | ||||
12/31/2049 | 5.700% | 500,000 | 480,993 | |
12/31/2049 | 5.950% | 2,500,000 | 2,407,349 | |
Total | 2,888,342 | |||
South Africa 0.8% | ||||
Liquid Telecommunications Financing PLC(b) | ||||
07/13/2022 | 8.500% | 3,350,000 | 3,318,739 | |
Ukraine 0.4% | ||||
MHP Lux SA(b) | ||||
04/03/2026 | 6.950% | 1,600,000 | 1,628,178 | |
Virgin Islands 1.0% | ||||
Gold Fields Orogen Holdings BVI Ltd.(b) | ||||
05/15/2024 | 5.125% | 2,300,000 | 2,469,064 | |
05/15/2029 | 6.125% | 1,350,000 | 1,540,281 | |
Total | 4,009,345 | |||
Total Corporate Bonds & Notes (Cost $38,988,688) | 37,932,210 | |||
6 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Foreign Government Obligations(a),(e) 84.6% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Angola 1.2% | ||||
Angolan Government International Bond(b) | ||||
11/26/2029 | 8.000% | 1,846,000 | 1,525,089 | |
05/08/2048 | 9.375% | 4,300,000 | 3,519,868 | |
Total | 5,044,957 | |||
Argentina 0.8% | ||||
Argentine Republic Government International Bond(f) | ||||
01/11/2028 | 0.000% | 2,935,000 | 1,169,554 | |
07/06/2036 | 0.000% | 1,050,000 | 407,499 | |
01/11/2048 | 0.000% | 4,050,000 | 1,569,753 | |
Total | 3,146,806 | |||
Belarus 0.3% | ||||
Republic of Belarus International Bond(b) | ||||
02/28/2023 | 6.875% | 700,000 | 700,573 | |
02/28/2030 | 6.200% | 750,000 | 718,960 | |
Total | 1,419,533 | |||
Brazil 3.0% | ||||
Brazil Minas SPE via State of Minas Gerais(b) | ||||
02/15/2028 | 5.333% | 240,000 | 242,498 | |
Brazilian Government International Bond | ||||
06/12/2030 | 3.875% | 4,080,000 | 3,948,108 | |
01/07/2041 | 5.625% | 446,000 | 464,233 | |
01/27/2045 | 5.000% | 5,730,000 | 5,513,413 | |
02/21/2047 | 5.625% | 2,100,000 | 2,190,716 | |
Total | 12,358,968 | |||
Canada 0.6% | ||||
MEGlobal Canada ULC(b) | ||||
05/18/2025 | 5.000% | 2,490,000 | 2,688,544 | |
Chile 0.8% | ||||
Chile Government International Bond | ||||
01/25/2050 | 3.500% | 1,750,000 | 1,975,075 | |
Corporación Nacional del Cobre de Chile(b) | ||||
09/30/2029 | 3.000% | 1,215,000 | 1,253,077 | |
Total | 3,228,152 | |||
China 2.4% | ||||
State Grid Overseas Investment 2016 Ltd.(b) | ||||
05/04/2027 | 3.500% | 1,300,000 | 1,434,742 | |
Syngenta Finance NV(b) | ||||
04/24/2028 | 5.182% | 7,950,000 | 8,488,240 | |
Total | 9,922,982 |
Foreign Government Obligations(a),(e) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Colombia 3.1% | ||||
Colombia Government International Bond | ||||
01/30/2030 | 3.000% | 9,605,000 | 9,511,253 | |
04/15/2031 | 3.125% | 407,000 | 404,209 | |
Ecopetrol SA | ||||
04/29/2030 | 6.875% | 2,645,000 | 3,029,557 | |
Total | 12,945,019 | |||
Costa Rica 0.4% | ||||
Costa Rica Government International Bond(b) | ||||
02/19/2031 | 6.125% | 1,800,000 | 1,560,870 | |
Croatia 0.6% | ||||
Croatia Government International Bond(b) | ||||
01/26/2024 | 6.000% | 861,000 | 986,070 | |
Hrvatska Elektroprivreda(b) | ||||
10/23/2022 | 5.875% | 710,000 | 763,510 | |
10/23/2022 | 5.875% | 600,000 | 645,219 | |
Total | 2,394,799 | |||
Dominican Republic 4.3% | ||||
Dominican Republic Bond(b) | ||||
02/05/2027 | 11.250% | DOP | 112,000,000 | 1,900,106 |
Dominican Republic International Bond(b) | ||||
03/04/2022 | 10.375% | DOP | 74,200,000 | 1,263,836 |
01/27/2025 | 5.500% | 2,500,000 | 2,531,627 | |
01/29/2026 | 6.875% | 500,000 | 525,200 | |
06/05/2026 | 9.750% | DOP | 132,550,000 | 1,994,114 |
01/25/2027 | 5.950% | 4,035,000 | 4,063,063 | |
01/30/2030 | 4.500% | 4,845,000 | 4,400,825 | |
04/30/2044 | 7.450% | 1,086,000 | 1,116,956 | |
01/27/2045 | 6.850% | 271,000 | 260,676 | |
Total | 18,056,403 | |||
Egypt 3.4% | ||||
Egypt Government International Bond(b) | ||||
04/16/2030 | 5.625% | EUR | 3,650,000 | 3,702,237 |
04/11/2031 | 6.375% | EUR | 1,600,000 | 1,666,412 |
05/29/2032 | 7.625% | 3,585,000 | 3,502,994 | |
01/31/2047 | 8.500% | 850,000 | 831,233 | |
02/21/2048 | 7.903% | 1,100,000 | 1,017,800 | |
03/01/2049 | 8.700% | 1,550,000 | 1,520,490 | |
05/29/2050 | 8.875% | 2,135,000 | 2,113,057 | |
Total | 14,354,223 | |||
El Salvador 0.9% | ||||
El Salvador Government International Bond(b) | ||||
01/18/2027 | 6.375% | 2,850,000 | 2,459,781 | |
04/10/2032 | 8.250% | 1,350,000 | 1,241,099 | |
Total | 3,700,880 |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2020 | 7 |
June 30, 2020 (Unaudited)
Foreign Government Obligations(a),(e) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Ghana 0.7% | ||||
Ghana Government International Bond(b) | ||||
02/11/2027 | 6.375% | 3,085,000 | 2,886,514 | |
Guatemala 1.0% | ||||
Guatemala Government Bond(b) | ||||
04/24/2032 | 5.375% | 2,070,000 | 2,289,123 | |
06/01/2050 | 6.125% | 1,750,000 | 2,026,486 | |
Total | 4,315,609 | |||
Honduras 0.3% | ||||
Honduras Government International Bond(b) | ||||
06/24/2030 | 5.625% | 1,185,000 | 1,206,371 | |
India 0.4% | ||||
Export-Import Bank of India(b) | ||||
01/15/2030 | 3.250% | 1,600,000 | 1,577,129 | |
Indonesia 10.2% | ||||
Indonesia Government International Bond | ||||
09/18/2029 | 3.400% | 1,900,000 | 2,022,617 | |
10/30/2049 | 3.700% | 3,300,000 | 3,422,001 | |
02/14/2050 | 3.500% | 1,550,000 | 1,592,590 | |
Indonesia Government International Bond(b) | ||||
01/15/2045 | 5.125% | 3,450,000 | 4,229,439 | |
Pertamina Persero PT(b) | ||||
01/21/2050 | 4.175% | 3,500,000 | 3,464,114 | |
Perusahaan Penerbit SBSN Indonesia III(b) | ||||
06/23/2025 | 2.300% | 1,455,000 | 1,457,288 | |
PT Hutama Karya Persero(b) | ||||
05/11/2030 | 3.750% | 1,655,000 | 1,741,984 | |
PT Indonesia Asahan Aluminium Persero(b) | ||||
05/15/2025 | 4.750% | 4,940,000 | 5,296,961 | |
05/15/2030 | 5.450% | 1,965,000 | 2,182,636 | |
11/15/2048 | 6.757% | 1,250,000 | 1,531,417 | |
PT Indonesia Asahan Aluminium Persero Tbk(b) | ||||
11/15/2028 | 6.530% | 2,200,000 | 2,607,513 | |
PT Pertamina Persero(b) | ||||
05/30/2044 | 6.450% | 1,750,000 | 2,229,454 | |
PT Perusahaan Listrik Negara(b) | ||||
02/05/2030 | 3.375% | 1,615,000 | 1,644,380 | |
07/17/2049 | 4.875% | 450,000 | 489,309 | |
PT Perusahaan Perseroan Persero/Listrik Negara(b) | ||||
06/30/2050 | 4.000% | 3,175,000 | 3,104,724 | |
Saka Energi Indonesia PT(b) | ||||
05/05/2024 | 4.450% | 6,000,000 | 5,503,836 | |
Total | 42,520,263 |
Foreign Government Obligations(a),(e) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Ivory Coast 1.2% | ||||
Ivory Coast Government International Bond(b) | ||||
07/23/2024 | 5.375% | 300,000 | 300,659 | |
10/17/2031 | 5.875% | EUR | 3,345,000 | 3,532,192 |
06/15/2033 | 6.125% | 1,000,000 | 1,000,189 | |
Total | 4,833,040 | |||
Kazakhstan 2.7% | ||||
Kazakhstan Government International Bond(b) | ||||
07/21/2045 | 6.500% | 300,000 | 444,589 | |
KazMunayGas National Co. JSC(b) | ||||
04/19/2027 | 4.750% | 5,550,000 | 6,018,042 | |
04/24/2030 | 5.375% | 2,200,000 | 2,493,095 | |
04/19/2047 | 5.750% | 1,850,000 | 2,158,386 | |
Total | 11,114,112 | |||
Malaysia 0.6% | ||||
Petronas Capital Ltd.(b) | ||||
04/21/2030 | 3.500% | 2,055,000 | 2,276,506 | |
Mexico 9.0% | ||||
Mexican Bonos | ||||
06/09/2022 | 6.500% | MXN | 55,615,900 | 2,505,136 |
05/31/2029 | 8.500% | MXN | 15,000,000 | 774,885 |
Petroleos Mexicanos(b) | ||||
09/12/2024 | 7.190% | MXN | 600,000 | 22,343 |
01/23/2030 | 6.840% | 8,700,000 | 7,634,783 | |
01/28/2031 | 5.950% | 12,745,000 | 10,498,053 | |
01/23/2050 | 7.690% | 4,551,000 | 3,777,500 | |
01/23/2050 | 7.690% | 2,350,000 | 1,950,588 | |
Petroleos Mexicanos | ||||
11/12/2026 | 7.470% | MXN | 4,700,000 | 159,030 |
03/13/2027 | 6.500% | 2,800,000 | 2,547,501 | |
02/12/2028 | 5.350% | 4,900,000 | 4,112,766 | |
01/23/2029 | 6.500% | 400,000 | 348,900 | |
01/23/2045 | 6.375% | 2,650,000 | 1,976,562 | |
09/21/2047 | 6.750% | 1,500,000 | 1,154,720 | |
Total | 37,462,767 | |||
Mongolia 0.2% | ||||
Mongolia Government International Bond(b) | ||||
05/01/2023 | 5.625% | 1,000,000 | 999,832 | |
Morocco 0.6% | ||||
OCP SA(b) | ||||
04/25/2044 | 6.875% | 2,200,000 | 2,674,172 |
8 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Foreign Government Obligations(a),(e) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Netherlands 0.5% | ||||
Syngenta Finance NV(b) | ||||
04/24/2023 | 4.441% | 1,750,000 | 1,834,241 | |
04/24/2028 | 5.182% | 250,000 | 266,926 | |
Total | 2,101,167 | |||
Oman 0.8% | ||||
Oman Government International Bond(b) | ||||
01/17/2028 | 5.625% | 1,750,000 | 1,636,663 | |
01/17/2048 | 6.750% | 1,850,000 | 1,602,638 | |
Total | 3,239,301 | |||
Panama 1.0% | ||||
Panama Government International Bond | ||||
03/16/2025 | 3.750% | 950,000 | 1,027,721 | |
04/01/2056 | 4.500% | 2,578,000 | 3,160,929 | |
Total | 4,188,650 | |||
Paraguay 2.0% | ||||
Paraguay Government International Bond(b) | ||||
04/15/2026 | 5.000% | 4,140,000 | 4,590,250 | |
08/11/2044 | 6.100% | 2,457,000 | 3,004,724 | |
03/30/2050 | 5.400% | 675,000 | 768,528 | |
Total | 8,363,502 | |||
Peru 1.5% | ||||
Peruvian Government International Bond | ||||
06/20/2030 | 2.844% | 5,950,000 | 6,371,965 | |
Qatar 5.7% | ||||
Qatar Government International Bond(b) | ||||
04/23/2028 | 4.500% | 200,000 | 236,123 | |
03/14/2029 | 4.000% | 7,350,000 | 8,458,396 | |
04/16/2030 | 3.750% | 6,183,000 | 7,053,759 | |
04/23/2048 | 5.103% | 2,000,000 | 2,732,617 | |
03/14/2049 | 4.817% | 3,490,000 | 4,614,667 | |
04/16/2050 | 4.400% | 600,000 | 747,059 | |
Total | 23,842,621 | |||
Romania 0.4% | ||||
Romanian Government International Bond(b) | ||||
04/03/2049 | 4.625% | EUR | 1,140,000 | 1,467,679 |
Russian Federation 3.3% | ||||
Gazprom Neft OAO Via GPN Capital SA(b) | ||||
09/19/2022 | 4.375% | 416,000 | 433,416 | |
Gazprom PJSC via Gaz Finance PLC(b) | ||||
02/25/2030 | 3.250% | 1,675,000 | 1,667,826 |
Foreign Government Obligations(a),(e) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Russian Foreign Bond - Eurobond(b) | ||||
05/27/2026 | 4.750% | 3,000,000 | 3,417,883 | |
06/23/2027 | 4.250% | 1,200,000 | 1,341,611 | |
03/21/2029 | 4.375% | 3,600,000 | 4,091,925 | |
04/04/2042 | 5.625% | 800,000 | 1,087,650 | |
06/23/2047 | 5.250% | 1,200,000 | 1,587,300 | |
Total | 13,627,611 | |||
Saudi Arabia 3.6% | ||||
Saudi Government International Bond(b) | ||||
03/04/2028 | 3.625% | 1,750,000 | 1,924,268 | |
04/17/2049 | 5.000% | 500,000 | 621,451 | |
01/21/2055 | 3.750% | 12,315,000 | 12,599,686 | |
Total | 15,145,405 | |||
South Africa 1.6% | ||||
Eskom Holdings SOC Ltd.(b) | ||||
01/26/2021 | 5.750% | 3,155,000 | 3,016,855 | |
Republic of South Africa Government International Bond | ||||
09/30/2029 | 4.850% | 1,650,000 | 1,563,218 | |
09/30/2049 | 5.750% | 2,400,000 | 2,084,440 | |
Total | 6,664,513 | |||
Sri Lanka 0.6% | ||||
Sri Lanka Government International Bond(b) | ||||
05/11/2027 | 6.200% | 1,850,000 | 1,219,473 | |
04/18/2028 | 6.750% | 1,162,000 | 765,070 | |
03/28/2030 | 7.550% | 900,000 | 588,532 | |
Total | 2,573,075 | |||
Turkey 5.3% | ||||
Turkey Government International Bond | ||||
03/22/2024 | 5.750% | 1,600,000 | 1,588,535 | |
02/05/2025 | 7.375% | 1,550,000 | 1,633,610 | |
04/14/2026 | 4.250% | 1,300,000 | 1,184,923 | |
10/09/2026 | 4.875% | 1,000,000 | 928,035 | |
03/25/2027 | 6.000% | 1,400,000 | 1,366,940 | |
02/17/2028 | 5.125% | 8,250,000 | 7,600,291 | |
04/26/2029 | 7.625% | 3,000,000 | 3,162,126 | |
01/14/2041 | 6.000% | 1,400,000 | 1,210,439 | |
02/17/2045 | 6.625% | 2,210,000 | 2,012,544 | |
05/11/2047 | 5.750% | 1,500,000 | 1,230,138 | |
Total | 21,917,581 | |||
Ukraine 2.7% | ||||
NAK Naftogaz Ukraine via Kondor Finance PLC(b) | ||||
11/08/2026 | 7.625% | 1,400,000 | 1,361,865 | |
Ukraine Government International Bond(b) | ||||
09/01/2023 | 7.750% | 700,000 | 734,158 | |
09/01/2026 | 7.750% | 6,775,000 | 7,064,775 | |
09/25/2032 | 7.375% | 1,600,000 | 1,611,649 | |
09/25/2032 | 7.375% | 300,000 | 302,184 |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2020 | 9 |
June 30, 2020 (Unaudited)
Foreign Government Obligations(a),(e) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Ukraine Railways Via Shortline PLC(b) | ||||
09/15/2021 | 9.875% | 300,000 | 302,281 | |
Total | 11,376,912 | |||
United Arab Emirates 5.4% | ||||
Abu Dhabi Government International Bond(b) | ||||
10/11/2027 | 3.125% | 1,800,000 | 1,968,749 | |
09/30/2029 | 2.500% | 2,000,000 | 2,098,326 | |
04/16/2030 | 3.125% | 1,950,000 | 2,148,530 | |
09/30/2049 | 3.125% | 8,150,000 | 8,509,883 | |
04/16/2050 | 3.875% | 490,000 | 580,672 | |
DP World Crescent Ltd.(b) | ||||
09/26/2028 | 4.848% | 2,050,000 | 2,160,299 | |
07/18/2029 | 3.875% | 1,800,000 | 1,767,789 | |
01/30/2030 | 3.750% | 1,300,000 | 1,262,679 | |
DP World PLC(b) | ||||
07/02/2037 | 6.850% | 1,750,000 | 2,132,852 | |
Total | 22,629,779 | |||
Venezuela 0.1% | ||||
Petroleos de Venezuela SA(b),(f) | ||||
05/16/2024 | 0.000% | 12,559,928 | 301,438 | |
Venezuela Government International Bond(b),(f) | ||||
10/13/2024 | 0.000% | 4,300,000 | 247,250 | |
Total | 548,688 |
Foreign Government Obligations(a),(e) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Virgin Islands 1.4% | ||||
CNOOC Finance Ltd. | ||||
09/30/2029 | 2.875% | 1,190,000 | 1,265,337 | |
Sinopec Group Overseas Development 2017 Ltd.(b) | ||||
09/13/2027 | 3.250% | 2,800,000 | 3,013,379 | |
Sinopec Group Overseas Development 2018 Ltd.(b) | ||||
09/12/2028 | 4.250% | 1,500,000 | 1,726,599 | |
Total | 6,005,315 | |||
Total Foreign Government Obligations (Cost $364,141,751) | 352,752,215 |
Money Market Funds 3.0% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(g),(h) | 12,539,535 | 12,539,535 |
Total Money Market Funds (Cost $12,539,535) | 12,539,535 | |
Total Investments in Securities (Cost $415,669,974) | 403,223,960 | |
Other Assets & Liabilities, Net | 13,568,629 | |
Net Assets | $416,792,589 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
89,000,000 MXN | 3,912,795 USD | Goldman Sachs | 07/27/2020 | 54,446 | — |
10,963,700 EUR | 12,278,251 USD | UBS | 07/27/2020 | — | (46,593) |
1,752,121 USD | 1,561,000 EUR | UBS | 07/27/2020 | 2,677 | — |
Total | 57,123 | (46,593) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Ultra Treasury Bond | 30 | 09/2020 | USD | 6,544,688 | — | (24,719) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Ultra Bond 10-Year Note | (49) | 09/2020 | USD | (7,716,734) | — | (31,501) |
10 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
(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. At June 30, 2020, the total value of these securities amounted to $300,513,224, which represents 72.10% of total net assets. |
(c) | Represents a security purchased on a when-issued basis. |
(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 June 30, 2020. |
(e) | Principal and interest may not be guaranteed by a governmental entity. |
(f) | Represents securities that have defaulted on payment of interest. The Fund has stopped accruing interest on these securities. At June 30, 2020, the total value of these securities amounted to $3,695,494, which represents 0.89% of total net assets. |
(g) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
(h) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | ||||||||
29,022,522 | 213,592,778 | (230,076,983) | 1,218 | 12,539,535 | 2,472 | 136,699 | 12,539,535 |
DOP | Dominican Republic Peso |
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). |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2020 | 11 |
June 30, 2020 (Unaudited)
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 | ||||
Corporate Bonds & Notes | — | 37,932,210 | — | 37,932,210 |
Foreign Government Obligations | — | 352,752,215 | — | 352,752,215 |
Money Market Funds | 12,539,535 | — | — | 12,539,535 |
Total Investments in Securities | 12,539,535 | 390,684,425 | — | 403,223,960 |
Investments in Derivatives | ||||
Asset | ||||
Forward Foreign Currency Exchange Contracts | — | 57,123 | — | 57,123 |
Liability | ||||
Forward Foreign Currency Exchange Contracts | — | (46,593) | — | (46,593) |
Futures Contracts | (56,220) | — | — | (56,220) |
Total | 12,483,315 | 390,694,955 | — | 403,178,270 |
12 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $403,130,439) | $390,684,425 |
Affiliated issuers (cost $12,539,535) | 12,539,535 |
Foreign currency (cost $132,433) | 130,998 |
Margin deposits on: | |
Futures contracts | 218,040 |
Unrealized appreciation on forward foreign currency exchange contracts | 57,123 |
Receivable for: | |
Investments sold | 2,676,431 |
Capital shares sold | 315,069 |
Dividends | 4,992 |
Interest | 5,755,839 |
Interfund lending | 12,400,000 |
Foreign tax reclaims | 50,903 |
Variation margin for futures contracts | 12,250 |
Total assets | 424,845,605 |
Liabilities | |
Unrealized depreciation on forward foreign currency exchange contracts | 46,593 |
Payable for: | |
Investments purchased | 7,027,303 |
Investments purchased on a delayed delivery basis | 825,000 |
Capital shares purchased | 7,102 |
Variation margin for futures contracts | 30,937 |
Management services fees | 6,774 |
Distribution and/or service fees | 1,501 |
Service fees | 44,026 |
Compensation of board members | 35,244 |
Compensation of chief compliance officer | 33 |
Other expenses | 28,503 |
Total liabilities | 8,053,016 |
Net assets applicable to outstanding capital stock | $416,792,589 |
Represented by | |
Paid in capital | 449,925,376 |
Total distributable earnings (loss) | (33,132,787) |
Total - representing net assets applicable to outstanding capital stock | $416,792,589 |
Class 1 | |
Net assets | $195,214,753 |
Shares outstanding | 21,241,654 |
Net asset value per share | $9.19 |
Class 2 | |
Net assets | $221,577,836 |
Shares outstanding | 24,127,313 |
Net asset value per share | $9.18 |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2020 | 13 |
Six Months Ended June 30, 2020 (Unaudited)
Net investment income | |
Income: | |
Dividends — affiliated issuers | $136,699 |
Interest | 9,012,014 |
Interfund lending | 900 |
Foreign taxes withheld | (138,124) |
Total income | 9,011,489 |
Expenses: | |
Management services fees | 1,118,173 |
Distribution and/or service fees | |
Class 2 | 256,701 |
Service fees | 207,729 |
Compensation of board members | 6,049 |
Custodian fees | 17,336 |
Printing and postage fees | 4,739 |
Audit fees | 15,739 |
Legal fees | 5,597 |
Interest on collateral | 91 |
Compensation of chief compliance officer | 39 |
Other | 13,172 |
Total expenses | 1,645,365 |
Net investment income | 7,366,124 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (10,116,114) |
Investments — affiliated issuers | 2,472 |
Foreign currency translations | (69,763) |
Forward foreign currency exchange contracts | 1,180,339 |
Futures contracts | 797,305 |
Net realized loss | (8,205,761) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (12,588,671) |
Investments — affiliated issuers | 1,218 |
Foreign currency translations | (16,153) |
Forward foreign currency exchange contracts | 224,970 |
Futures contracts | 113,628 |
Foreign capital gains tax | 4,716 |
Net change in unrealized appreciation (depreciation) | (12,260,292) |
Net realized and unrealized loss | (20,466,053) |
Net decrease in net assets resulting from operations | $(13,099,929) |
14 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2020 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||
Net investment income | $7,366,124 | $13,887,243 |
Net realized loss | (8,205,761) | (4,471,690) |
Net change in unrealized appreciation (depreciation) | (12,260,292) | 19,981,875 |
Net increase (decrease) in net assets resulting from operations | (13,099,929) | 29,397,428 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (3,093,087) | (5,770,070) |
Class 2 | (3,201,359) | (7,919,119) |
Total distributions to shareholders | (6,294,446) | (13,689,189) |
Increase in net assets from capital stock activity | 115,431,568 | 79,887,212 |
Total increase in net assets | 96,037,193 | 95,595,451 |
Net assets at beginning of period | 320,755,396 | 225,159,945 |
Net assets at end of period | $416,792,589 | $320,755,396 |
Six Months Ended | Year Ended | |||
June 30, 2020 (Unaudited) | December 31, 2019 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 8,724,035 | 85,446,105 | 175,700 | 1,682,377 |
Distributions reinvested | 357,550 | 3,093,087 | 604,759 | 5,770,070 |
Redemptions | (74,725) | (680,950) | (44,593) | (427,461) |
Net increase | 9,006,860 | 87,858,242 | 735,866 | 7,024,986 |
Class 2 | ||||
Subscriptions | 3,378,190 | 30,983,129 | 7,494,460 | 71,657,793 |
Distributions reinvested | 369,884 | 3,201,359 | 829,976 | 7,919,119 |
Redemptions | (746,327) | (6,611,162) | (703,451) | (6,714,686) |
Net increase | 3,001,747 | 27,573,326 | 7,620,985 | 72,862,226 |
Total net increase | 12,008,607 | 115,431,568 | 8,356,851 | 79,887,212 |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2020 | 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 | ||||||
Six Months Ended 6/30/2020 (Unaudited) | $9.62 | 0.18 | (0.46) | (0.28) | (0.15) | (0.15) |
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 | ||||||
Six Months Ended 6/30/2020 (Unaudited) | $9.61 | 0.17 | (0.46) | (0.29) | (0.14) | (0.14) |
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) | Annualized. |
(d) | Ratios include interest on collateral expense which is less than 0.01%. |
16 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2020 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $9.19 | (2.81%) | 0.75%(c),(d) | 0.75%(c),(d) | 4.10%(c) | 80% | $195,215 |
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%(d) | 0.76%(d) | 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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $9.18 | (2.94%) | 1.00%(c),(d) | 1.00%(c),(d) | 3.83%(c) | 80% | $221,578 |
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%(d) | 1.02%(d) | 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% | $16,653 |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2020 | 17 |
June 30, 2020 (Unaudited)
18 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2020 | 19 |
June 30, 2020 (Unaudited)
20 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 57,123 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 46,593 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 56,220* |
Total | 102,813 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2020 | 21 |
June 30, 2020 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | |||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Total ($) |
Foreign exchange risk | 1,180,339 | — | 1,180,339 |
Interest rate risk | — | 797,305 | 797,305 |
Total | 1,180,339 | 797,305 | 1,977,644 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Total ($) |
Foreign exchange risk | 224,970 | — | 224,970 |
Interest rate risk | — | 113,628 | 113,628 |
Total | 224,970 | 113,628 | 338,598 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 8,375,469 |
Futures contracts — short | 7,837,164 |
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 546,219 | (145,895) |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2020. |
22 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Goldman Sachs ($) | UBS ($) | Total ($) | |
Assets | |||
Forward foreign currency exchange contracts | 54,446 | 2,677 | 57,123 |
Total assets | 54,446 | 2,677 | 57,123 |
Liabilities | |||
Forward foreign currency exchange contracts | - | 46,593 | 46,593 |
Total liabilities | - | 46,593 | 46,593 |
Total financial and derivative net assets | 54,446 | (43,916) | 10,530 |
Total collateral received (pledged) (a) | - | - | - |
Net amount (b) | 54,446 | (43,916) | 10,530 |
(a) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Represents the net amount due from/(to) counterparties in the event of default. |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2020 | 23 |
June 30, 2020 (Unaudited)
24 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2020 | 25 |
June 30, 2020 (Unaudited)
May 1, 2020 through April 30, 2021 | Prior to May 1, 2020 | |
Class 1 | 0.83% | 0.77% |
Class 2 | 1.08 | 1.02 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
415,670,000 | 11,805,000 | (24,297,000) | (12,492,000) |
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
(3,384,809) | (11,754,305) | (15,139,114) |
26 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 11,200,000 | 0.90 | 4 |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2020 | 27 |
June 30, 2020 (Unaudited)
28 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2020 | 29 |
June 30, 2020 (Unaudited)
30 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2020 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2020 | 31 |
Nature, extent and quality of services provided by Columbia Threadneedle
32 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2020 |
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of the Funds’ fee rates, and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Board accorded particular weight to the notion that the primary objective of the level of fees is to achieve a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) approximated the peer universe’s median expense ratio. Based on its review, the Board concluded that the Fund’s management fee was fair and reasonable in light of the extent and quality of services that the Fund receives.
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2020 | 33 |
June 30, 2020
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1* | 06/25/14 | 1.06 | 8.88 | 7.42 | 10.45 | |
Class 2* | 06/25/14 | 0.91 | 8.61 | 7.15 | 10.21 | |
Class 3 | 04/30/86 | 0.97 | 8.76 | 7.26 | 10.35 | |
Blended Benchmark | 0.98 | 8.58 | 8.41 | 10.08 | ||
S&P 500 Index | -3.08 | 7.51 | 10.73 | 13.99 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | 6.14 | 8.74 | 4.30 | 3.82 |
* | 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 | Semiannual Report 2020 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2020) | |
Asset-Backed Securities — Non-Agency | 7.1 |
Commercial Mortgage-Backed Securities - Agency | 0.0(a) |
Commercial Mortgage-Backed Securities - Non-Agency | 3.9 |
Common Stocks | 58.1 |
Corporate Bonds & Notes | 8.4 |
Exchange-Traded Equity Funds | 0.8 |
Foreign Government Obligations | 0.0(a) |
Money Market Funds | 3.4 |
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 | Semiannual Report 2020 |
(Unaudited)
January 1, 2020 — June 30, 2020 | |||||||
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 | 1,010.60 | 1,021.08 | 3.80 | 3.82 | 0.76 |
Class 2 | 1,000.00 | 1,000.00 | 1,009.10 | 1,019.84 | 5.05 | 5.07 | 1.01 |
Class 3 | 1,000.00 | 1,000.00 | 1,009.70 | 1,020.49 | 4.40 | 4.42 | 0.88 |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2020 | 5 |
June 30, 2020 (Unaudited)
Asset-Backed Securities — Non-Agency 7.7% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
American Credit Acceptance Receivables Trust(a) | ||||
Series 2020-1 Class D | ||||
03/13/2026 | 2.390% | 2,875,000 | 2,833,405 | |
Apidos CLO XI(a),(b) | ||||
Series 2012-11A Class BRR | ||||
3-month USD LIBOR + 1.700% Floor 1.750% 10/17/2030 | 2.835% | 1,925,000 | 1,859,985 | |
Apidos CLO XXVIII(a),(b) | ||||
Series 2017-28A Class A1B | ||||
3-month USD LIBOR + 1.150% Floor 1.150% 01/20/2031 | 2.285% | 900,000 | 861,132 | |
ARES XLVII CLO Ltd.(a),(b) | ||||
Series 2018-47A Class B | ||||
3-month USD LIBOR + 1.450% Floor 1.450% 04/15/2030 | 2.669% | 550,000 | 527,206 | |
Ascentium Equipment Receivables(a) | ||||
Series 2019-2A Class D | ||||
11/10/2026 | 2.850% | 1,050,000 | 1,038,301 | |
Avant Loans Funding Trust(a) | ||||
Series 2019-A Class B | ||||
12/15/2022 | 3.800% | 950,000 | 914,788 | |
Series 2019-B Class A | ||||
10/15/2026 | 2.720% | 329,764 | 330,365 | |
Series 2019-B Class B | ||||
10/15/2026 | 3.150% | 1,375,000 | 1,301,256 | |
Series 2020-REV1 Class A | ||||
05/15/2029 | 2.170% | 3,300,000 | 3,254,045 | |
Series 2020-REV1 Class B | ||||
05/15/2029 | 2.680% | 530,000 | 468,610 | |
Avis Budget Rental Car Funding AESOP LLC(a) | ||||
Series 2018-2A Class A | ||||
03/20/2025 | 4.000% | 3,075,000 | 3,151,299 | |
Barings CLO Ltd.(a),(b) | ||||
Series 2018-4A Class B | ||||
3-month USD LIBOR + 1.700% Floor 1.700% 10/15/2030 | 2.919% | 3,450,000 | 3,337,019 | |
Carbone CLO Ltd.(a),(b) | ||||
Series 2017-1A Class A1 | ||||
3-month USD LIBOR + 1.140% 01/20/2031 | 2.275% | 1,850,000 | 1,803,336 |
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 | 2.585% | 3,425,000 | 3,259,302 | |
Carvana Auto Receivables Trust(a) | ||||
Subordinated Series 2019-3A Class C | ||||
10/15/2024 | 2.710% | 950,000 | 938,197 | |
Conn’s Receivables Funding LLC(a) | ||||
Series 2018-A Class A | ||||
01/15/2023 | 3.250% | 46,017 | 45,600 | |
Series 2019-B Class A | ||||
06/17/2024 | 2.660% | 352,802 | 344,888 | |
Consumer Loan Underlying Bond Club Certificate Issuer Trust(a) | ||||
Series 2019-HP1 Class A | ||||
12/15/2026 | 2.590% | 1,979,790 | 1,997,623 | |
Consumer Loan Underlying Bond CLUB Credit Trust(a) | ||||
Subordinated Series 2019-P2 Class B | ||||
10/15/2026 | 2.830% | 1,000,000 | 932,349 | |
Consumer Loan Underlying Bond Credit Trust(a) | ||||
Series 2018-P2 Class A | ||||
10/15/2025 | 3.470% | 365,588 | 366,738 | |
DLL LLC(a) | ||||
Series 2019-MT3 Class A2 | ||||
01/20/2022 | 2.130% | 1,650,000 | 1,660,012 | |
Drive Auto Receivables Trust | ||||
Series 2019-2 Class C | ||||
06/16/2025 | 3.420% | 2,125,000 | 2,142,646 | |
Subordinated Series 2018-4 Class D | ||||
01/15/2026 | 4.090% | 1,750,000 | 1,792,094 | |
Subordinated Series 2018-5 Class C | ||||
01/15/2025 | 3.990% | 1,125,000 | 1,135,254 | |
Subordinated Series 2020-2 Class D | ||||
05/15/2028 | 3.050% | 225,000 | 227,971 | |
Dryden 33 Senior Loan Fund(a),(b) | ||||
Series 2014-33A Class AR2 | ||||
3-month USD LIBOR + 1.230% Floor 1.230% 04/15/2029 | 2.449% | 460,000 | 455,444 | |
Series 2014-33A Class BR2 | ||||
3-month USD LIBOR + 1.750% Floor 1.750% 04/15/2029 | 2.969% | 550,000 | 540,050 | |
Dryden 41 Senior Loan Fund(a),(b) | ||||
Series 2015-41A Class AR | ||||
3-month USD LIBOR + 0.970% Floor 0.970% 04/15/2031 | 2.189% | 2,100,000 | 2,038,518 |
6 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Dryden 42 Senior Loan Fund(a),(b) | ||||
Series 2016-42A Class BR | ||||
3-month USD LIBOR + 1.550% 07/15/2030 | 2.769% | 950,000 | 904,207 | |
Dryden 55 CLO Ltd.(a),(b) | ||||
Series 2018-55A Class A1 | ||||
3-month USD LIBOR + 1.020% 04/15/2031 | 2.239% | 1,300,000 | 1,272,805 | |
DT Auto Owner Trust(a) | ||||
Subordinated Series 2019-1A Class C | ||||
11/15/2024 | 3.610% | 800,000 | 806,928 | |
Subordinated Series 2019-3A Class D | ||||
04/15/2025 | 2.960% | 1,600,000 | 1,587,017 | |
Subordinated Series 2020-1A Class D | ||||
11/17/2025 | 2.550% | 1,400,000 | 1,387,983 | |
Subordinated Series 2020-2A Class D | ||||
03/16/2026 | 4.730% | 125,000 | 131,974 | |
Exeter Automobile Receivables Trust(a) | ||||
Series 2019-2A Class C | ||||
03/15/2024 | 3.300% | 1,250,000 | 1,257,563 | |
Series 2019-4A Class D | ||||
09/15/2025 | 2.580% | 1,425,000 | 1,419,690 | |
Subordinated Series 2020-1A Class D | ||||
12/15/2025 | 2.730% | 1,100,000 | 991,578 | |
Subordinated Series 2020-2A Class D | ||||
04/15/2026 | 4.730% | 350,000 | 369,328 | |
Ford Credit Auto Owner Trust(a) | ||||
Series 2016-2 Class A | ||||
12/15/2027 | 2.030% | 1,750,000 | 1,770,614 | |
Foundation Finance Trust(a) | ||||
Series 2019-1A Class A | ||||
11/15/2034 | 3.860% | 683,389 | 689,675 | |
GLS Auto Receivables Issuer Trust(a) | ||||
Subordinated Series 2020-1A Class C | ||||
11/17/2025 | 2.720% | 1,500,000 | 1,443,830 | |
Subordinated Series 2020-2A Class B | ||||
06/16/2025 | 3.160% | 750,000 | 762,542 | |
Hilton Grand Vacations Trust(a) | ||||
Series 2014-AA Class A | ||||
11/25/2026 | 1.770% | 125,300 | 125,256 | |
Series 2018-AA Class A | ||||
02/25/2032 | 3.540% | 432,957 | 439,241 | |
Series 2019-AA Class A | ||||
07/25/2033 | 2.340% | 1,040,885 | 1,031,375 | |
Jay Park CLO Ltd.(a),(b) | ||||
Series 2016-1A Class A2R | ||||
3-month USD LIBOR + 1.450% 10/20/2027 | 2.585% | 4,075,000 | 3,999,633 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Madison Park Funding XXXIII Ltd.(a),(b) | ||||
Series 2019-33A Class B1 | ||||
3-month USD LIBOR + 1.800% Floor 1.800% 10/15/2032 | 3.019% | 3,600,000 | 3,490,877 | |
Magnetite XII Ltd.(a),(b) | ||||
Series 2015-12A Class ARR | ||||
3-month USD LIBOR + 1.100% 10/15/2031 | 2.319% | 2,150,000 | 2,094,173 | |
Marlette Funding Trust(a) | ||||
Series 2018-4A Class A | ||||
12/15/2028 | 3.710% | 283,137 | 285,539 | |
Series 2019-1A Class A | ||||
04/16/2029 | 3.440% | 307,407 | 304,511 | |
Series 2019-3A Class B | ||||
09/17/2029 | 3.070% | 1,725,000 | 1,657,656 | |
Subordinated Series 2019-2A Class B | ||||
07/16/2029 | 3.530% | 725,000 | 723,237 | |
MVW Owner Trust(a) | ||||
Series 2015-1A Class A | ||||
12/20/2032 | 2.520% | 94,828 | 95,106 | |
Series 2016-1A Class A | ||||
12/20/2033 | 2.250% | 230,985 | 227,615 | |
Octagon Investment Partners 39 Ltd.(a),(b) | ||||
Series 2018-3A Class B | ||||
3-month USD LIBOR + 1.650% Floor 1.650% 10/20/2030 | 2.985% | 3,525,000 | 3,393,976 | |
Octane Receivables Trust(a) | ||||
Series 2019-1A Class A | ||||
09/20/2023 | 3.160% | 610,067 | 607,808 | |
Ocwen Master Advance Receivables Trust(a) | ||||
Series 2019-T1 Class AT1 | ||||
08/15/2050 | 2.514% | 275,000 | 274,670 | |
Series 2019-T1 Class DT1 | ||||
08/15/2050 | 3.107% | 150,000 | 149,641 | |
Prosper Marketplace Issuance Trust(a) | ||||
Series 2019-1A Class A | ||||
04/15/2025 | 3.540% | 90,061 | 89,595 | |
Series 2019-2A Class B | ||||
09/15/2025 | 3.690% | 975,000 | 962,073 | |
Series 2019-3A Class B | ||||
07/15/2025 | 3.590% | 1,000,000 | 981,758 | |
SCF Equipment Leasing LLC(a) | ||||
Series 2019-2A Class B | ||||
08/20/2026 | 2.760% | 1,275,000 | 1,215,191 | |
Sierra Timeshare Receivables Funding LLC(a) | ||||
Series 2016-3A Class A | ||||
10/20/2033 | 2.430% | 223,620 | 221,404 |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2020 | 7 |
June 30, 2020 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2018-2A Class A | ||||
06/20/2035 | 3.500% | 367,374 | 368,757 | |
Series 2018-3A Class A | ||||
09/20/2035 | 3.690% | 251,085 | 252,438 | |
SoFi Consumer Loan Program LLC(a) | ||||
Series 2017-4 Class A | ||||
05/26/2026 | 2.500% | 144,606 | 145,474 | |
SoFi Consumer Loan Program Trust(a) | ||||
Series 2018-3 Class B | ||||
08/25/2027 | 4.020% | 425,000 | 388,865 | |
Series 2019-1 Class B | ||||
02/25/2028 | 3.450% | 800,000 | 788,465 | |
United Auto Credit Securitization Trust(a) | ||||
Subordinated Series 2020-1 Class D | ||||
02/10/2025 | 2.880% | 1,075,000 | 1,074,785 | |
Upgrade Receivables Trust(a) | ||||
Series 2019-2A Class B | ||||
10/15/2025 | 3.510% | 525,000 | 509,212 | |
Upstart Securitization Trust(a) | ||||
Series 2019-3 Class A | ||||
01/21/2030 | 2.684% | 1,267,146 | 1,278,112 | |
Voya CLO Ltd.(a),(b) | ||||
Series 2017-3A Class A2 | ||||
3-month USD LIBOR + 1.770% 07/20/2030 | 2.905% | 750,000 | 721,592 | |
VSE Voi Mortgage LLC(a) | ||||
Series 2018-A Class A | ||||
02/20/2036 | 3.560% | 566,715 | 573,300 | |
Westlake Automobile Receivables Trust(a) | ||||
Subordinated Series 2019-1A Class C | ||||
03/15/2024 | 3.450% | 891,000 | 913,246 | |
Subordinated Series 2019-3A Class D | ||||
11/15/2024 | 2.720% | 1,725,000 | 1,728,197 | |
Subordinated Series 2020-2A Class D | ||||
01/15/2026 | 2.760% | 550,000 | 549,890 | |
Total Asset-Backed Securities — Non-Agency (Cost $87,492,949) | 86,015,835 | |||
Commercial Mortgage-Backed Securities - Agency 0.0% | ||||
Government National Mortgage Association | ||||
CMO Series 2012-25 Class A | ||||
11/16/2042 | 2.575% | 135,136 | 135,617 | |
Total Commercial Mortgage-Backed Securities - Agency (Cost $138,735) | 135,617 | |||
Commercial Mortgage-Backed Securities - Non-Agency 4.3% | ||||
American Homes 4 Rent Trust(a) | ||||
Series 2014-SFR2 Class A | ||||
10/17/2036 | 3.786% | 1,173,745 | 1,260,892 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2014-SFR3 Class A | ||||
12/17/2036 | 3.678% | 1,299,868 | 1,394,550 | |
Series 2015-SFR1 Class A | ||||
04/17/2052 | 3.467% | 1,200,153 | 1,284,906 | |
Series 2015-SFR2 Class A | ||||
10/17/2045 | 3.732% | 712,763 | 766,164 | |
Americold 2010 LLC(a) | ||||
Series 2010-ARTA Class A1 | ||||
01/14/2029 | 3.847% | 47,379 | 47,407 | |
AMSR Trust(a) | ||||
Series 2020-SFR2 Class C | ||||
07/17/2037 | 2.533% | 500,000 | 505,028 | |
Ashford Hospitality Trust(a),(b) | ||||
Series 2018-KEYS Class B | ||||
1-month USD LIBOR + 1.300% Floor 1.300% 05/15/2035 | 1.635% | 2,625,000 | 2,174,820 | |
BBCMS Trust(a),(b) | ||||
Subordinated, Series 2018-BXH Class B | ||||
1-month USD LIBOR + 1.250% Floor 1.250% 10/15/2037 | 1.435% | 1,150,000 | 995,039 | |
Subordinated, Series 2018-BXH Class C | ||||
1-month USD LIBOR + 1.500% Floor 1.500% 10/15/2037 | 1.685% | 625,000 | 529,371 | |
BHMS Mortgage Trust(a),(b) | ||||
Series 2018-ATLS Class A | ||||
1-month USD LIBOR + 1.250% Floor 1.250% 07/15/2035 | 1.435% | 2,375,000 | 2,244,478 | |
BX Commercial Mortgage Trust(a),(b) | ||||
Series 2018-IND Class C | ||||
1-month USD LIBOR + 1.100% Floor 1.100% 11/15/2035 | 1.284% | 1,032,500 | 1,021,401 | |
Series 2019-XL Class C | ||||
1-month USD LIBOR + 1.250% Floor 1.250% 10/15/2036 | 1.435% | 1,098,711 | 1,064,895 | |
BX Trust(a),(b) | ||||
Series 2019-ATL Class C | ||||
1-month USD LIBOR + 1.587% Floor 1.587%, Cap 1.587% 10/15/2036 | 1.771% | 699,000 | 645,247 | |
Series 2019-ATL Class D | ||||
1-month USD LIBOR + 1.887% Floor 1.887% 10/15/2036 | 2.071% | 622,000 | 561,824 |
8 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CLNY Trust(a),(b) | ||||
Series 2019-IKPR Class D | ||||
1-month USD LIBOR + 2.025% Floor 2.025% 11/15/2038 | 2.210% | 1,900,000 | 1,596,070 | |
COMM Mortgage Trust(a),(b) | ||||
Series 2019-WCM Class C | ||||
1-month USD LIBOR + 1.300% Floor 1.300% 10/15/2036 | 1.485% | 1,250,000 | 1,207,860 | |
COMM Mortgage Trust(a),(c) | ||||
Series 2020-CBM Class D | ||||
02/10/2037 | 3.754% | 475,000 | 425,687 | |
DBUBS Mortgage Trust(a) | ||||
Series 2011-LC1A Class A3 | ||||
11/10/2046 | 5.002% | 144,367 | 145,125 | |
Home Partners of America Trust(a),(b) | ||||
Series 2018-1 Class A | ||||
1-month USD LIBOR + 0.900% Floor 0.900% 07/17/2037 | 1.085% | 987,621 | 968,926 | |
Home Partners of America Trust(a) | ||||
Series 2019-2 Class D | ||||
10/19/2039 | 3.121% | 1,110,876 | 1,041,103 | |
Invitation Homes Trust(a),(b) | ||||
Series 2018-SFR1 Class A | ||||
1-month USD LIBOR + 0.700% 03/17/2037 | 0.885% | 1,968,396 | 1,932,641 | |
Series 2018-SFR3 Class A | ||||
1-month USD LIBOR + 1.000% Floor 1.000% 07/17/2037 | 1.194% | 2,507,374 | 2,487,546 | |
Series 2018-SFR4 Class A | ||||
1-month USD LIBOR + 1.100% Floor 1.000% 01/17/2038 | 1.244% | 3,186,292 | 3,179,385 | |
Morgan Stanley Capital I Trust(a) | ||||
Series 2011-C1 Class A4 | ||||
09/15/2047 | 5.033% | 126,577 | 128,273 | |
Series 2019-MEAD Class D | ||||
11/10/2036 | 3.177% | 1,175,000 | 1,023,375 | |
Morgan Stanley Capital I Trust | ||||
Series 2016-BNK2 Class A2 | ||||
11/15/2049 | 2.454% | 975,000 | 987,240 | |
Progress Residential Trust(a) | ||||
Series 2018-SF3 Class A | ||||
10/17/2035 | 3.880% | 3,697,675 | 3,813,628 | |
Series 2018-SFR2 Class A | ||||
08/17/2035 | 3.712% | 665,000 | 681,590 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2019-SFR3 Class C | ||||
09/17/2036 | 2.721% | 750,000 | 759,388 | |
Series 2019-SFR3 Class D | ||||
09/17/2036 | 2.871% | 1,125,000 | 1,106,388 | |
Series 2019-SFR4 Class C | ||||
10/17/2036 | 3.036% | 2,850,000 | 2,898,944 | |
Series 2020-SFR1 Class C | ||||
04/17/2037 | 2.183% | 325,000 | 315,063 | |
Series 2020-SFR1 Class D | ||||
04/17/2037 | 2.383% | 675,000 | 647,195 | |
Series 2020-SFR2 Class A | ||||
06/18/2037 | 2.078% | 425,000 | 438,292 | |
Subordinated Series 2019-SFR2 Class C | ||||
05/17/2036 | 3.545% | 1,000,000 | 1,027,742 | |
Subordinated Series 2020-SFR2 Class C | ||||
06/18/2037 | 3.077% | 100,000 | 100,895 | |
Subordinated Series 2020-SFR2 Class D | ||||
06/18/2037 | 3.874% | 125,000 | 130,097 | |
RETL(a),(b) | ||||
Series 2019-RVP Class A | ||||
1-month USD LIBOR + 1.150% Floor 1.150% 03/15/2036 | 1.335% | 185,721 | 175,871 | |
UBS-Barclays Commercial Mortgage Trust | ||||
Series 2012-C4 Class A5 | ||||
12/10/2045 | 2.850% | 1,423,366 | 1,464,423 | |
Wells Fargo Commercial Mortgage Trust | ||||
Series 2017-C39 Class A1 | ||||
09/15/2050 | 1.975% | 728,953 | 733,384 | |
Wells Fargo Commercial Mortgage Trust(a),(b) | ||||
Series 2020-SDAL Class D | ||||
1-month USD LIBOR + 2.090% Floor 2.090% 02/15/2037 | 2.275% | 500,000 | 403,842 | |
WF-RBS Commercial Mortgage Trust | ||||
Series 2012-C9 Class A3 | ||||
11/15/2045 | 2.870% | 1,505,488 | 1,542,866 | |
Series 2012-C9 Class ASB | ||||
11/15/2045 | 2.445% | 442,825 | 447,828 | |
Series 2013-C15 Class A3 | ||||
08/15/2046 | 3.881% | 843,528 | 882,625 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $48,305,358) | 47,189,314 |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2020 | 9 |
June 30, 2020 (Unaudited)
Common Stocks 62.9% | ||
Issuer | Shares | Value ($) |
Communication Services 8.0% | ||
Entertainment 1.4% | ||
Activision Blizzard, Inc. | 96,180 | 7,300,062 |
Walt Disney Co. (The) | 68,270 | 7,612,788 |
Total | 14,912,850 | |
Interactive Media & Services 4.1% | ||
Alphabet, Inc., Class A(d) | 9,754 | 13,831,660 |
Alphabet, Inc., Class C(d) | 10,388 | 14,684,581 |
Facebook, Inc., Class A(d) | 76,245 | 17,312,952 |
Total | 45,829,193 | |
Media 1.6% | ||
Comcast Corp., Class A | 450,234 | 17,550,121 |
Wireless Telecommunication Services 0.9% | ||
T-Mobile U.S.A., Inc.(d) | 98,269 | 10,234,716 |
Total Communication Services | 88,526,880 | |
Consumer Discretionary 7.5% | ||
Hotels, Restaurants & Leisure 0.5% | ||
McDonald’s Corp. | 28,570 | 5,270,308 |
Internet & Direct Marketing Retail 4.6% | ||
Amazon.com, Inc.(d) | 15,005 | 41,396,094 |
eBay, Inc. | 185,965 | 9,753,864 |
Total | 51,149,958 | |
Multiline Retail 0.7% | ||
Dollar Tree, Inc.(d) | 86,985 | 8,061,770 |
Specialty Retail 1.7% | ||
AutoZone, Inc.(d) | 3,640 | 4,106,357 |
Lowe’s Companies, Inc. | 112,459 | 15,195,460 |
Total | 19,301,817 | |
Total Consumer Discretionary | 83,783,853 | |
Consumer Staples 3.0% | ||
Food Products 1.7% | ||
ConAgra Foods, Inc. | 226,043 | 7,949,933 |
Mondelez International, Inc., Class A | 164,940 | 8,433,382 |
Tyson Foods, Inc., Class A | 45,130 | 2,694,712 |
Total | 19,078,027 | |
Household Products 0.4% | ||
Colgate-Palmolive Co. | 49,635 | 3,636,260 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Tobacco 0.9% | ||
Philip Morris International, Inc. | 144,940 | 10,154,496 |
Total Consumer Staples | 32,868,783 | |
Energy 2.0% | ||
Oil, Gas & Consumable Fuels 2.0% | ||
Canadian Natural Resources Ltd. | 329,989 | 5,751,708 |
Chevron Corp. | 128,556 | 11,471,052 |
EOG Resources, Inc. | 100,781 | 5,105,566 |
Total | 22,328,326 | |
Total Energy | 22,328,326 | |
Financials 7.0% | ||
Banks 2.4% | ||
Bank of America Corp. | 193,495 | 4,595,506 |
Citigroup, Inc. | 76,604 | 3,914,464 |
JPMorgan Chase & Co. | 171,007 | 16,084,919 |
PNC Financial Services Group, Inc. (The) | 16,390 | 1,724,392 |
Total | 26,319,281 | |
Capital Markets 2.1% | ||
BlackRock, Inc. | 20,221 | 11,002,044 |
Charles Schwab Corp. (The) | 92,280 | 3,113,527 |
Morgan Stanley | 194,386 | 9,388,844 |
Total | 23,504,415 | |
Consumer Finance 0.3% | ||
American Express Co. | 33,840 | 3,221,568 |
Diversified Financial Services 1.6% | ||
Berkshire Hathaway, Inc., Class B(d) | 101,553 | 18,128,226 |
Insurance 0.6% | ||
Aon PLC, Class A | 35,084 | 6,757,178 |
Total Financials | 77,930,668 | |
Health Care 8.1% | ||
Biotechnology 0.4% | ||
Alexion Pharmaceuticals, Inc.(d) | 41,670 | 4,677,041 |
Health Care Equipment & Supplies 3.1% | ||
Abbott Laboratories | 83,104 | 7,598,199 |
Becton Dickinson and Co. | 22,941 | 5,489,093 |
Dentsply Sirona, Inc. | 57,140 | 2,517,589 |
10 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Medtronic PLC | 146,676 | 13,450,189 |
Stryker Corp. | 28,665 | 5,165,146 |
Total | 34,220,216 | |
Health Care Providers & Services 2.1% | ||
Anthem, Inc. | 26,988 | 7,097,304 |
Cigna Corp. | 41,955 | 7,872,856 |
Quest Diagnostics, Inc. | 68,405 | 7,795,434 |
Total | 22,765,594 | |
Pharmaceuticals 2.5% | ||
Johnson & Johnson | 111,431 | 15,670,542 |
Merck & Co., Inc. | 74,550 | 5,764,951 |
Pfizer, Inc. | 200,742 | 6,564,263 |
Total | 27,999,756 | |
Total Health Care | 89,662,607 | |
Industrials 4.3% | ||
Aerospace & Defense 1.0% | ||
Northrop Grumman Corp. | 18,490 | 5,684,566 |
Raytheon Technologies Corp. | 96,265 | 5,931,849 |
Total | 11,616,415 | |
Building Products 0.5% | ||
Carrier Global Corp. | 268,962 | 5,976,336 |
Industrial Conglomerates 0.3% | ||
Honeywell International, Inc. | 21,321 | 3,082,803 |
Machinery 1.0% | ||
Stanley Black & Decker, Inc. | 75,775 | 10,561,519 |
Road & Rail 1.5% | ||
Lyft, Inc., Class A(d) | 79,795 | 2,634,033 |
Uber Technologies, Inc.(d) | 122,405 | 3,804,347 |
Union Pacific Corp. | 61,580 | 10,411,331 |
Total | 16,849,711 | |
Total Industrials | 48,086,784 | |
Information Technology 19.3% | ||
Communications Equipment 0.6% | ||
Cisco Systems, Inc. | 139,325 | 6,498,118 |
Electronic Equipment, Instruments & Components 0.5% | ||
TE Connectivity Ltd. | 66,160 | 5,395,348 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
IT Services 4.7% | ||
Automatic Data Processing, Inc. | 41,095 | 6,118,635 |
Fidelity National Information Services, Inc. | 101,035 | 13,547,783 |
Fiserv, Inc.(d) | 84,699 | 8,268,316 |
International Business Machines Corp. | 29,475 | 3,559,696 |
MasterCard, Inc., Class A | 50,696 | 14,990,807 |
PayPal Holdings, Inc.(d) | 35,215 | 6,135,509 |
Total | 52,620,746 | |
Semiconductors & Semiconductor Equipment 2.4% | ||
Intel Corp. | 58,905 | 3,524,286 |
Lam Research Corp. | 26,525 | 8,579,777 |
Marvell Technology Group Ltd. | 101,770 | 3,568,056 |
NVIDIA Corp. | 16,110 | 6,120,350 |
NXP Semiconductors NV | 38,599 | 4,401,830 |
Total | 26,194,299 | |
Software 6.7% | ||
Adobe, Inc.(d) | 28,345 | 12,338,862 |
Autodesk, Inc.(d) | 15,075 | 3,605,789 |
Intuit, Inc. | 22,140 | 6,557,647 |
Microsoft Corp. | 234,933 | 47,811,215 |
Palo Alto Networks, Inc.(d) | 17,090 | 3,925,060 |
Total | 74,238,573 | |
Technology Hardware, Storage & Peripherals 4.4% | ||
Apple, Inc. | 124,492 | 45,414,682 |
Western Digital Corp. | 89,380 | 3,946,127 |
Total | 49,360,809 | |
Total Information Technology | 214,307,893 | |
Materials 1.9% | ||
Chemicals 1.1% | ||
Air Products & Chemicals, Inc. | 23,790 | 5,744,333 |
Corteva, Inc. | 52,936 | 1,418,156 |
Nutrien Ltd. | 86,780 | 2,785,638 |
Sherwin-Williams Co. (The) | 3,103 | 1,793,069 |
Total | 11,741,196 | |
Metals & Mining 0.8% | ||
Newmont Corp. | 150,180 | 9,272,113 |
Total Materials | 21,013,309 |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2020 | 11 |
June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Real Estate 0.8% | ||
Equity Real Estate Investment Trusts (REITS) 0.8% | ||
American Tower Corp. | 32,579 | 8,422,975 |
Total Real Estate | 8,422,975 | |
Utilities 1.0% | ||
Electric Utilities 0.8% | ||
American Electric Power Co., Inc. | 62,385 | 4,968,341 |
FirstEnergy Corp. | 90,150 | 3,496,017 |
Total | 8,464,358 | |
Independent Power and Renewable Electricity Producers 0.2% | ||
AES Corp. (The) | 194,565 | 2,819,247 |
Total Utilities | 11,283,605 | |
Total Common Stocks (Cost $535,270,389) | 698,215,683 |
Corporate Bonds & Notes 9.2% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Aerospace & Defense 0.3% | ||||
BAE Systems PLC(a) | ||||
04/15/2030 | 3.400% | 800,000 | 871,729 | |
Bombardier, Inc.(a) | ||||
12/01/2024 | 7.500% | 55,000 | 35,733 | |
04/15/2027 | 7.875% | 20,000 | 13,036 | |
L3Harris Technologies Inc. | ||||
12/15/2026 | 3.850% | 665,000 | 762,125 | |
Lockheed Martin Corp. | ||||
06/15/2050 | 2.800% | 270,000 | 283,494 | |
Moog, Inc.(a) | ||||
12/15/2027 | 4.250% | 14,000 | 13,655 | |
Northrop Grumman Corp. | ||||
05/01/2050 | 5.250% | 300,000 | 432,363 | |
Northrop Grumman Systems Corp. | ||||
02/15/2031 | 7.750% | 675,000 | 1,009,337 | |
TransDigm, Inc. | ||||
05/15/2025 | 6.500% | 61,000 | 57,111 | |
03/15/2027 | 7.500% | 39,000 | 37,472 | |
Subordinated | ||||
11/15/2027 | 5.500% | 54,000 | 47,121 | |
TransDigm, Inc.(a) | ||||
12/15/2025 | 8.000% | 28,000 | 29,411 | |
03/15/2026 | 6.250% | 188,000 | 187,448 | |
Total | 3,780,035 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Airlines 0.0% | ||||
Delta Air Lines, Inc. | ||||
01/15/2026 | 7.375% | 38,000 | 36,752 | |
Automotive 0.1% | ||||
Allison Transmission, Inc.(a) | ||||
10/01/2024 | 5.000% | 28,000 | 28,118 | |
Clarios Global LP(a) | ||||
05/15/2025 | 6.750% | 5,000 | 5,204 | |
Delphi Technologies PLC(a) | ||||
10/01/2025 | 5.000% | 10,000 | 10,738 | |
Ford Motor Co. | ||||
04/21/2023 | 8.500% | 11,000 | 11,630 | |
04/22/2025 | 9.000% | 34,000 | 36,756 | |
04/22/2030 | 9.625% | 3,000 | 3,556 | |
Ford Motor Credit Co. LLC | ||||
03/18/2021 | 3.336% | 73,000 | 72,268 | |
01/09/2022 | 3.219% | 29,000 | 28,203 | |
09/08/2024 | 3.664% | 81,000 | 76,341 | |
01/09/2027 | 4.271% | 55,000 | 51,310 | |
IAA Spinco, Inc.(a) | ||||
06/15/2027 | 5.500% | 53,000 | 54,791 | |
IHO Verwaltungs GmbH(a),(e) | ||||
09/15/2026 | 4.750% | 38,000 | 37,419 | |
KAR Auction Services, Inc.(a) | ||||
06/01/2025 | 5.125% | 76,000 | 74,786 | |
Panther BF Aggregator 2 LP/Finance Co., Inc.(a) | ||||
05/15/2026 | 6.250% | 21,000 | 21,651 | |
05/15/2027 | 8.500% | 42,000 | 42,266 | |
Total | 555,037 | |||
Banking 1.1% | ||||
Ally Financial, Inc. | ||||
11/01/2031 | 8.000% | 10,000 | 12,914 | |
Bank of America Corp.(f) | ||||
04/23/2040 | 4.078% | 1,722,000 | 2,091,515 | |
Capital One Financial Corp. | ||||
03/09/2027 | 3.750% | 1,000,000 | 1,105,031 | |
Citigroup, Inc. | ||||
Subordinated | ||||
03/09/2026 | 4.600% | 1,300,000 | 1,482,335 | |
Discover Bank | ||||
09/13/2028 | 4.650% | 675,000 | 775,160 | |
Goldman Sachs Group, Inc. (The) | ||||
01/26/2027 | 3.850% | 1,325,000 | 1,489,103 | |
JPMorgan Chase & Co.(f) | ||||
Subordinated | ||||
05/13/2031 | 2.956% | 1,630,000 | 1,729,015 |
12 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Morgan Stanley(f) | ||||
01/22/2031 | 2.699% | 825,000 | 875,662 | |
PNC Financial Services Group, Inc. (The) | ||||
01/22/2030 | 2.550% | 875,000 | 942,296 | |
Wells Fargo & Co.(f) | ||||
04/30/2041 | 3.068% | 1,700,000 | 1,774,365 | |
Total | 12,277,396 | |||
Brokerage/Asset Managers/Exchanges 0.0% | ||||
Advisor Group Holdings, Inc.(a) | ||||
08/01/2027 | 10.750% | 7,000 | 6,963 | |
AG Issuer LLC(a) | ||||
03/01/2028 | 6.250% | 6,000 | 5,685 | |
NFP Corp.(a) | ||||
05/15/2025 | 7.000% | 11,000 | 11,550 | |
07/15/2025 | 6.875% | 45,000 | 44,379 | |
Total | 68,577 | |||
Building Materials 0.0% | ||||
American Builders & Contractors Supply Co., Inc.(a) | ||||
05/15/2026 | 5.875% | 107,000 | 107,210 | |
01/15/2028 | 4.000% | 50,000 | 48,546 | |
Beacon Roofing Supply, Inc.(a) | ||||
11/01/2025 | 4.875% | 47,000 | 42,039 | |
11/15/2026 | 4.500% | 52,000 | 50,799 | |
Core & Main LP(a) | ||||
08/15/2025 | 6.125% | 76,000 | 75,662 | |
James Hardie International Finance DAC(a) | ||||
01/15/2025 | 4.750% | 43,000 | 43,750 | |
01/15/2028 | 5.000% | 15,000 | 15,437 | |
Total | 383,443 | |||
Cable and Satellite 0.4% | ||||
CCO Holdings LLC/Capital Corp.(a) | ||||
05/01/2025 | 5.375% | 13,000 | 13,350 | |
02/15/2026 | 5.750% | 33,000 | 34,210 | |
05/01/2027 | 5.125% | 39,000 | 40,346 | |
05/01/2027 | 5.875% | 105,000 | 109,498 | |
06/01/2029 | 5.375% | 34,000 | 35,868 | |
03/01/2030 | 4.750% | 127,000 | 130,022 | |
08/15/2030 | 4.500% | 88,000 | 89,750 | |
Comcast Corp. | ||||
08/15/2035 | 4.400% | 825,000 | 1,025,464 | |
CSC Holdings LLC(a) | ||||
10/15/2025 | 6.625% | 63,000 | 65,441 | |
10/15/2025 | 10.875% | 41,000 | 44,083 | |
02/01/2028 | 5.375% | 49,000 | 50,893 | |
02/01/2029 | 6.500% | 155,000 | 169,696 | |
01/15/2030 | 5.750% | 67,000 | 69,721 | |
12/01/2030 | 4.125% | 28,000 | 27,752 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
12/01/2030 | 4.625% | 28,000 | 27,211 | |
DISH DBS Corp. | ||||
06/01/2021 | 6.750% | 35,000 | 35,655 | |
11/15/2024 | 5.875% | 32,000 | 31,841 | |
07/01/2026 | 7.750% | 76,000 | 80,543 | |
DISH DBS Corp.(a),(g) | ||||
07/01/2028 | 7.375% | 54,000 | 54,066 | |
Radiate HoldCo LLC/Finance, Inc.(a) | ||||
02/15/2023 | 6.875% | 39,000 | 39,591 | |
02/15/2025 | 6.625% | 32,000 | 32,032 | |
Sirius XM Radio, Inc.(a) | ||||
07/15/2024 | 4.625% | 44,000 | 45,095 | |
04/15/2025 | 5.375% | 61,000 | 62,678 | |
07/15/2026 | 5.375% | 9,000 | 9,319 | |
07/01/2030 | 4.125% | 65,000 | 64,271 | |
Time Warner Cable LLC | ||||
05/01/2037 | 6.550% | 1,000,000 | 1,308,536 | |
Virgin Media Finance PLC(a) | ||||
07/15/2030 | 5.000% | 57,000 | 55,541 | |
Virgin Media Secured Finance PLC(a) | ||||
08/15/2026 | 5.500% | 11,000 | 11,275 | |
05/15/2029 | 5.500% | 42,000 | 43,997 | |
Ziggo Bond Co. BV(a) | ||||
02/28/2030 | 5.125% | 44,000 | 43,624 | |
Ziggo Bond Finance BV(a) | ||||
01/15/2027 | 6.000% | 53,000 | 53,644 | |
Ziggo BV(a) | ||||
01/15/2027 | 5.500% | 48,000 | 48,554 | |
01/15/2030 | 4.875% | 20,000 | 20,000 | |
Total | 3,973,567 | |||
Chemicals 0.1% | ||||
Alpha 2 BV(a),(e) | ||||
06/01/2023 | 8.750% | 12,000 | 11,984 | |
Angus Chemical Co.(a) | ||||
02/15/2023 | 8.750% | 45,000 | 45,441 | |
Atotech U.S.A., Inc.(a) | ||||
02/01/2025 | 6.250% | 46,000 | 45,535 | |
Axalta Coating Systems LLC(a) | ||||
08/15/2024 | 4.875% | 44,000 | 44,538 | |
Axalta Coating Systems LLC/Dutch Holding B BV(a) | ||||
06/15/2027 | 4.750% | 27,000 | 27,143 | |
CF Industries, Inc. | ||||
03/15/2034 | 5.150% | 11,000 | 11,775 | |
03/15/2044 | 5.375% | 3,000 | 3,247 | |
Chemours Co. (The) | ||||
05/15/2025 | 7.000% | 32,000 | 30,579 |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2020 | 13 |
June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Dow Chemical Co. (The) | ||||
11/01/2029 | 7.375% | 275,000 | 388,718 | |
Illuminate Buyer LLC/Holdings IV, Inc.(a) | ||||
07/01/2028 | 9.000% | 6,000 | 6,255 | |
INEOS Group Holdings SA(a) | ||||
08/01/2024 | 5.625% | 50,000 | 48,426 | |
Innophos Holdings, Inc.(a) | ||||
02/15/2028 | 9.375% | 24,000 | 23,597 | |
LYB International Finance BV | ||||
03/15/2044 | 4.875% | 350,000 | 410,689 | |
Minerals Technologies, Inc.(a) | ||||
07/01/2028 | 5.000% | 26,000 | 26,390 | |
Platform Specialty Products Corp.(a) | ||||
12/01/2025 | 5.875% | 108,000 | 109,186 | |
PQ Corp.(a) | ||||
11/15/2022 | 6.750% | 64,000 | 65,187 | |
12/15/2025 | 5.750% | 26,000 | 26,270 | |
SPCM SA(a) | ||||
09/15/2025 | 4.875% | 16,000 | 16,184 | |
Starfruit Finco BV/US Holdco LLC(a) | ||||
10/01/2026 | 8.000% | 96,000 | 98,649 | |
WR Grace & Co.(a) | ||||
10/01/2021 | 5.125% | 43,000 | 45,338 | |
WR Grace & Co-Conn(a) | ||||
06/15/2027 | 4.875% | 39,000 | 39,505 | |
Total | 1,524,636 | |||
Construction Machinery 0.0% | ||||
H&E Equipment Services, Inc. | ||||
09/01/2025 | 5.625% | 26,000 | 26,329 | |
Herc Holdings, Inc.(a) | ||||
07/15/2027 | 5.500% | 45,000 | 45,221 | |
Ritchie Bros. Auctioneers, Inc.(a) | ||||
01/15/2025 | 5.375% | 44,000 | 45,232 | |
United Rentals North America, Inc. | ||||
09/15/2026 | 5.875% | 54,000 | 56,580 | |
12/15/2026 | 6.500% | 21,000 | 22,054 | |
07/15/2030 | 4.000% | 8,000 | 7,746 | |
Total | 203,162 | |||
Consumer Cyclical Services 0.0% | ||||
APX Group, Inc. | ||||
12/01/2022 | 7.875% | 56,000 | 55,695 | |
09/01/2023 | 7.625% | 16,000 | 14,742 | |
11/01/2024 | 8.500% | 50,000 | 48,970 | |
ASGN, Inc.(a) | ||||
05/15/2028 | 4.625% | 30,000 | 29,281 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Expedia Group, Inc.(a) | ||||
05/01/2025 | 6.250% | 5,000 | 5,312 | |
05/01/2025 | 7.000% | 15,000 | 15,710 | |
frontdoor, Inc.(a) | ||||
08/15/2026 | 6.750% | 68,000 | 72,340 | |
Match Group, Inc.(a) | ||||
06/01/2028 | 4.625% | 22,000 | 22,284 | |
02/15/2029 | 5.625% | 31,000 | 32,750 | |
Staples, Inc.(a) | ||||
04/15/2026 | 7.500% | 37,000 | 29,142 | |
04/15/2027 | 10.750% | 6,000 | 3,560 | |
Uber Technologies, Inc.(a) | ||||
11/01/2023 | 7.500% | 19,000 | 19,112 | |
05/15/2025 | 7.500% | 52,000 | 52,413 | |
Total | 401,311 | |||
Consumer Products 0.0% | ||||
CD&R Smokey Buyer, Inc.(a),(g) | ||||
07/15/2025 | 6.750% | 27,000 | 28,113 | |
Energizer Holdings, Inc.(a) | ||||
07/15/2026 | 6.375% | 17,000 | 17,595 | |
01/15/2027 | 7.750% | 107,000 | 114,309 | |
Mattel, Inc.(a) | ||||
12/31/2025 | 6.750% | 41,000 | 42,525 | |
12/15/2027 | 5.875% | 44,000 | 45,345 | |
Mattel, Inc. | ||||
11/01/2041 | 5.450% | 6,000 | 4,972 | |
Newell Brands, Inc. | ||||
06/01/2025 | 4.875% | 44,000 | 46,036 | |
Prestige Brands, Inc.(a) | ||||
03/01/2024 | 6.375% | 37,000 | 38,056 | |
01/15/2028 | 5.125% | 25,000 | 25,096 | |
Spectrum Brands, Inc. | ||||
12/15/2024 | 6.125% | 27,000 | 27,769 | |
Valvoline, Inc.(a) | ||||
08/15/2025 | 4.375% | 77,000 | 77,457 | |
02/15/2030 | 4.250% | 13,000 | 12,746 | |
Total | 480,019 | |||
Diversified Manufacturing 0.2% | ||||
BWX Technologies, Inc.(a) | ||||
07/15/2026 | 5.375% | 32,000 | 33,117 | |
06/30/2028 | 4.125% | 32,000 | 31,916 | |
Carrier Global Corp.(a) | ||||
04/05/2040 | 3.377% | 875,000 | 851,844 | |
CFX Escrow Corp.(a) | ||||
02/15/2024 | 6.000% | 20,000 | 20,629 | |
Gates Global LLC/Co.(a) | ||||
01/15/2026 | 6.250% | 80,000 | 78,986 |
14 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Honeywell International, Inc. | ||||
06/01/2050 | 2.800% | 500,000 | 536,379 | |
MTS Systems Corp.(a) | ||||
08/15/2027 | 5.750% | 38,000 | 35,052 | |
Resideo Funding, Inc.(a) | ||||
11/01/2026 | 6.125% | 32,000 | 31,256 | |
SPX FLOW, Inc.(a) | ||||
08/15/2026 | 5.875% | 45,000 | 46,232 | |
Stevens Holding Co., Inc.(a) | ||||
10/01/2026 | 6.125% | 12,000 | 12,565 | |
Welbilt, Inc. | ||||
02/15/2024 | 9.500% | 17,000 | 16,226 | |
WESCO Distribution, Inc. | ||||
06/15/2024 | 5.375% | 16,000 | 16,005 | |
WESCO Distribution, Inc.(a) | ||||
06/15/2025 | 7.125% | 53,000 | 55,876 | |
06/15/2028 | 7.250% | 28,000 | 29,676 | |
Total | 1,795,759 | |||
Electric 1.1% | ||||
Berkshire Hathaway Energy Co.(a) | ||||
10/15/2050 | 4.250% | 348,000 | 437,179 | |
Calpine Corp.(a) | ||||
06/01/2026 | 5.250% | 98,000 | 98,969 | |
02/15/2028 | 4.500% | 45,000 | 44,191 | |
03/15/2028 | 5.125% | 24,000 | 23,493 | |
Clearway Energy Operating LLC | ||||
10/15/2025 | 5.750% | 53,000 | 54,972 | |
09/15/2026 | 5.000% | 72,000 | 73,649 | |
Clearway Energy Operating LLC(a) | ||||
03/15/2028 | 4.750% | 17,000 | 17,317 | |
CMS Energy Corp. | ||||
03/01/2044 | 4.875% | 262,000 | 341,376 | |
Consolidated Edison Co. of New York, Inc. | ||||
12/01/2045 | 4.500% | 550,000 | 680,052 | |
Dominion Energy, Inc. | ||||
10/01/2025 | 3.900% | 750,000 | 846,688 | |
DTE Energy Co. | ||||
04/15/2033 | 6.375% | 600,000 | 817,254 | |
Emera U.S. Finance LP | ||||
06/15/2046 | 4.750% | 800,000 | 951,246 | |
Indiana Michigan Power Co. | ||||
03/15/2037 | 6.050% | 750,000 | 1,023,439 | |
NextEra Energy Operating Partners LP(a) | ||||
07/15/2024 | 4.250% | 16,000 | 16,103 | |
09/15/2027 | 4.500% | 56,000 | 58,577 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
NRG Energy, Inc. | ||||
01/15/2027 | 6.625% | 67,000 | 70,178 | |
01/15/2028 | 5.750% | 14,000 | 14,801 | |
NRG Energy, Inc.(a) | ||||
06/15/2029 | 5.250% | 37,000 | 38,956 | |
Pattern Energy Group, Inc.(a) | ||||
02/01/2024 | 5.875% | 21,000 | 21,117 | |
Pennsylvania Electric Co.(a) | ||||
06/01/2029 | 3.600% | 1,165,000 | 1,301,043 | |
PG&E Corp. | ||||
07/01/2028 | 5.000% | 15,000 | 14,995 | |
07/01/2030 | 5.250% | 11,000 | 11,061 | |
PPL Capital Funding, Inc. | ||||
04/15/2030 | 4.125% | 1,100,000 | 1,253,750 | |
Progress Energy, Inc. | ||||
03/01/2031 | 7.750% | 850,000 | 1,232,151 | |
Southern Co. (The) | ||||
07/01/2046 | 4.400% | 1,135,000 | 1,354,800 | |
TerraForm Power Operating LLC(a) | ||||
01/31/2023 | 4.250% | 27,000 | 27,361 | |
01/15/2030 | 4.750% | 9,000 | 9,172 | |
Vistra Energy Corp.(a) | ||||
01/30/2026 | 8.125% | 5,000 | 5,229 | |
Vistra Operations Co. LLC(a) | ||||
09/01/2026 | 5.500% | 22,000 | 22,518 | |
02/15/2027 | 5.625% | 32,000 | 32,835 | |
07/31/2027 | 5.000% | 50,000 | 50,520 | |
WEC Energy Group, Inc. | ||||
06/15/2025 | 3.550% | 300,000 | 334,632 | |
Xcel Energy, Inc. | ||||
06/01/2030 | 3.400% | 850,000 | 968,752 | |
Total | 12,248,376 | |||
Environmental 0.0% | ||||
Clean Harbors, Inc.(a) | ||||
07/15/2027 | 4.875% | 8,000 | 8,219 | |
GFL Environmental, Inc.(a) | ||||
06/01/2025 | 4.250% | 14,000 | 14,108 | |
12/15/2026 | 5.125% | 29,000 | 29,937 | |
05/01/2027 | 8.500% | 108,000 | 117,457 | |
Waste Pro USA, Inc.(a) | ||||
02/15/2026 | 5.500% | 22,000 | 20,990 | |
Total | 190,711 | |||
Finance Companies 0.2% | ||||
Alliance Data Systems Corp.(a) | ||||
12/15/2024 | 4.750% | 6,000 | 5,393 |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2020 | 15 |
June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
GE Capital International Funding Co. Unlimited Co. | ||||
11/15/2035 | 4.418% | 2,000,000 | 2,025,396 | |
Global Aircraft Leasing Co., Ltd.(a),(e) | ||||
09/15/2024 | 6.500% | 42,000 | 29,654 | |
Navient Corp. | ||||
06/15/2022 | 6.500% | 39,000 | 38,308 | |
01/25/2023 | 5.500% | 60,000 | 57,622 | |
06/15/2026 | 6.750% | 23,000 | 21,809 | |
Provident Funding Associates LP/Finance Corp.(a) | ||||
06/15/2025 | 6.375% | 53,000 | 50,088 | |
Quicken Loans, Inc.(a) | ||||
05/01/2025 | 5.750% | 73,000 | 74,670 | |
01/15/2028 | 5.250% | 27,000 | 27,830 | |
Springleaf Finance Corp. | ||||
03/15/2023 | 5.625% | 4,000 | 4,044 | |
03/15/2024 | 6.125% | 70,000 | 71,051 | |
06/01/2025 | 8.875% | 13,000 | 13,893 | |
11/15/2029 | 5.375% | 18,000 | 16,851 | |
Total | 2,436,609 | |||
Food and Beverage 0.5% | ||||
Anheuser-Busch InBev Worldwide, Inc. | ||||
01/15/2042 | 4.950% | 1,775,000 | 2,131,253 | |
Bacardi Ltd.(a) | ||||
05/15/2038 | 5.150% | 1,000,000 | 1,172,067 | |
Conagra Brands, Inc. | ||||
11/01/2048 | 5.400% | 640,000 | 883,557 | |
Cott Holdings, Inc.(a) | ||||
04/01/2025 | 5.500% | 45,000 | 45,313 | |
FAGE International SA/USA Dairy Industry, Inc.(a) | ||||
08/15/2026 | 5.625% | 67,000 | 64,259 | |
JBS Investments II GmbH(a) | ||||
01/15/2026 | 7.000% | 42,000 | 43,799 | |
Kraft Heinz Foods Co. (The) | ||||
06/01/2046 | 4.375% | 220,000 | 215,851 | |
Lamb Weston Holdings, Inc.(a) | ||||
11/01/2026 | 4.875% | 30,000 | 31,091 | |
05/15/2028 | 4.875% | 14,000 | 14,824 | |
PepsiCo, Inc. | ||||
03/19/2060 | 3.875% | 675,000 | 853,441 | |
Performance Food Group, Inc.(a) | ||||
05/01/2025 | 6.875% | 14,000 | 14,605 | |
10/15/2027 | 5.500% | 50,000 | 48,251 | |
Pilgrim’s Pride Corp.(a) | ||||
03/15/2025 | 5.750% | 41,000 | 40,876 | |
09/30/2027 | 5.875% | 53,000 | 53,032 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Post Holdings, Inc.(a) | ||||
08/15/2026 | 5.000% | 48,000 | 48,227 | |
03/01/2027 | 5.750% | 136,000 | 140,268 | |
04/15/2030 | 4.625% | 92,000 | 90,204 | |
Total | 5,890,918 | |||
Gaming 0.1% | ||||
Boyd Gaming Corp.(a) | ||||
06/01/2025 | 8.625% | 11,000 | 11,500 | |
12/01/2027 | 4.750% | 37,000 | 31,822 | |
Boyd Gaming Corp. | ||||
04/01/2026 | 6.375% | 13,000 | 12,354 | |
Caesars Resort Collection LLC/CRC Finco, Inc.(a) | ||||
10/15/2025 | 5.250% | 22,000 | 19,145 | |
Colt Merger Sub, Inc.(a),(g) | ||||
07/01/2025 | 5.750% | 14,000 | 14,074 | |
07/01/2025 | 6.250% | 60,000 | 59,794 | |
07/01/2027 | 8.125% | 30,000 | 28,998 | |
Eldorado Resorts, Inc. | ||||
04/01/2025 | 6.000% | 40,000 | 41,816 | |
09/15/2026 | 6.000% | 20,000 | 22,106 | |
International Game Technology PLC(a) | ||||
02/15/2022 | 6.250% | 66,000 | 66,657 | |
02/15/2025 | 6.500% | 29,000 | 29,626 | |
01/15/2029 | 5.250% | 28,000 | 27,339 | |
MGM Growth Properties Operating Partnership LP/Finance Co-Issuer, Inc. | ||||
05/01/2024 | 5.625% | 25,000 | 25,881 | |
02/01/2027 | 5.750% | 28,000 | 28,966 | |
01/15/2028 | 4.500% | 31,000 | 30,075 | |
MGM Growth Properties Operating Partnership LP/Finance Co-Issuer, Inc.(a) | ||||
06/15/2025 | 4.625% | 46,000 | 45,128 | |
Scientific Games International, Inc.(a),(g) | ||||
07/01/2025 | 8.625% | 23,000 | 21,507 | |
Scientific Games International, Inc.(a) | ||||
10/15/2025 | 5.000% | 106,000 | 98,292 | |
03/15/2026 | 8.250% | 43,000 | 38,554 | |
05/15/2028 | 7.000% | 11,000 | 8,782 | |
Stars Group Holdings BV/Co-Borrower LLC(a) | ||||
07/15/2026 | 7.000% | 16,000 | 16,877 | |
VICI Properties LP/Note Co., Inc.(a) | ||||
12/01/2026 | 4.250% | 19,000 | 18,255 | |
02/15/2027 | 3.750% | 20,000 | 18,774 | |
12/01/2029 | 4.625% | 8,000 | 7,843 | |
08/15/2030 | 4.125% | 20,000 | 19,068 | |
Wynn Las Vegas LLC/Capital Corp.(a) | ||||
03/01/2025 | 5.500% | 15,000 | 13,783 | |
Wynn Resorts Finance LLC/Capital Corp.(a) | ||||
04/15/2025 | 7.750% | 15,000 | 15,110 | |
Total | 772,126 |
16 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Health Care 0.5% | ||||
Acadia Healthcare Co., Inc. | ||||
02/15/2023 | 5.625% | 46,000 | 46,003 | |
03/01/2024 | 6.500% | 45,000 | 45,750 | |
Acadia Healthcare Co., Inc.(a) | ||||
07/01/2028 | 5.500% | 36,000 | 36,274 | |
Avantor, Inc.(a) | ||||
10/01/2024 | 6.000% | 89,000 | 92,773 | |
10/01/2025 | 9.000% | 118,000 | 126,774 | |
Becton Dickinson and Co. | ||||
12/15/2044 | 4.685% | 825,000 | 1,014,737 | |
Cardinal Health, Inc. | ||||
03/15/2043 | 4.600% | 800,000 | 882,705 | |
Change Healthcare Holdings LLC/Finance, Inc.(a) | ||||
03/01/2025 | 5.750% | 118,000 | 116,502 | |
Charles River Laboratories International, Inc.(a) | ||||
04/01/2026 | 5.500% | 46,000 | 48,129 | |
05/01/2028 | 4.250% | 8,000 | 7,995 | |
CHS/Community Health Systems, Inc. | ||||
03/31/2023 | 6.250% | 24,000 | 22,589 | |
CHS/Community Health Systems, Inc.(a) | ||||
02/15/2025 | 6.625% | 36,000 | 34,330 | |
Cigna Corp.(a) | ||||
07/15/2046 | 4.800% | 800,000 | 1,009,039 | |
CVS Health Corp. | ||||
03/25/2048 | 5.050% | 1,125,000 | 1,470,599 | |
Encompass Health Corp. | ||||
02/01/2028 | 4.500% | 26,000 | 24,945 | |
02/01/2030 | 4.750% | 16,000 | 15,345 | |
HCA, Inc. | ||||
09/01/2028 | 5.625% | 62,000 | 69,145 | |
Hill-Rom Holdings, Inc.(a) | ||||
02/15/2025 | 5.000% | 62,000 | 64,108 | |
Hologic, Inc.(a) | ||||
10/15/2025 | 4.375% | 13,000 | 13,149 | |
MPH Acquisition Holdings LLC(a) | ||||
06/01/2024 | 7.125% | 14,000 | 13,019 | |
Ortho-Clinical Diagnostics, Inc./SA(a) | ||||
06/01/2025 | 7.375% | 8,000 | 8,142 | |
02/01/2028 | 7.250% | 6,000 | 6,092 | |
Select Medical Corp.(a) | ||||
08/15/2026 | 6.250% | 76,000 | 76,827 | |
Teleflex, Inc.(a) | ||||
06/01/2028 | 4.250% | 27,000 | 27,719 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Tenet Healthcare Corp. | ||||
04/01/2022 | 8.125% | 24,000 | 25,147 | |
06/15/2023 | 6.750% | 16,000 | 15,877 | |
07/15/2024 | 4.625% | 51,000 | 49,954 | |
05/01/2025 | 5.125% | 43,000 | 41,551 | |
08/01/2025 | 7.000% | 10,000 | 9,745 | |
Tenet Healthcare Corp.(a) | ||||
04/01/2025 | 7.500% | 47,000 | 49,973 | |
01/01/2026 | 4.875% | 40,000 | 39,196 | |
02/01/2027 | 6.250% | 39,000 | 38,681 | |
11/01/2027 | 5.125% | 37,000 | 36,603 | |
06/15/2028 | 4.625% | 11,000 | 10,720 | |
Total | 5,590,137 | |||
Healthcare Insurance 0.2% | ||||
Anthem, Inc. | ||||
03/01/2028 | 4.101% | 800,000 | 936,729 | |
Centene Corp.(a) | ||||
04/01/2025 | 5.250% | 40,000 | 41,164 | |
06/01/2026 | 5.375% | 34,000 | 35,385 | |
Centene Corp. | ||||
12/15/2027 | 4.250% | 43,000 | 44,354 | |
12/15/2029 | 4.625% | 58,000 | 61,196 | |
02/15/2030 | 3.375% | 80,000 | 80,717 | |
UnitedHealth Group, Inc. | ||||
05/15/2060 | 3.125% | 875,000 | 935,313 | |
Total | 2,134,858 | |||
Home Construction 0.0% | ||||
Lennar Corp. | ||||
11/15/2024 | 5.875% | 32,000 | 34,961 | |
06/01/2026 | 5.250% | 19,000 | 20,595 | |
Meritage Homes Corp. | ||||
04/01/2022 | 7.000% | 37,000 | 39,174 | |
06/01/2025 | 6.000% | 22,000 | 23,485 | |
PulteGroup, Inc. | ||||
02/15/2035 | 6.000% | 14,000 | 16,131 | |
Shea Homes LP/Funding Corp.(a) | ||||
02/15/2028 | 4.750% | 27,000 | 25,544 | |
Taylor Morrison Communities, Inc.(a) | ||||
01/15/2028 | 5.750% | 31,000 | 32,121 | |
Taylor Morrison Communities, Inc./Holdings II(a) | ||||
04/15/2023 | 5.875% | 36,000 | 37,058 | |
TRI Pointe Group, Inc. | ||||
06/15/2028 | 5.700% | 27,000 | 27,598 | |
TRI Pointe Group, Inc./Homes | ||||
06/15/2024 | 5.875% | 11,000 | 11,356 | |
Total | 268,023 |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2020 | 17 |
June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Independent Energy 0.3% | ||||
Callon Petroleum Co. | ||||
07/01/2026 | 6.375% | 63,000 | 20,900 | |
Canadian Natural Resources Ltd. | ||||
07/15/2030 | 2.950% | 925,000 | 921,460 | |
Carrizo Oil & Gas, Inc. | ||||
04/15/2023 | 6.250% | 3,000 | 1,141 | |
Centennial Resource Production LLC(a) | ||||
01/15/2026 | 5.375% | 28,000 | 14,258 | |
04/01/2027 | 6.875% | 38,000 | 19,354 | |
CrownRock LP/Finance, Inc.(a) | ||||
10/15/2025 | 5.625% | 53,000 | 47,527 | |
Endeavor Energy Resources LP/Finance, Inc.(a) | ||||
07/15/2025 | 6.625% | 28,000 | 28,217 | |
01/30/2028 | 5.750% | 57,000 | 54,922 | |
EQT Corp. | ||||
10/01/2027 | 3.900% | 17,000 | 13,823 | |
02/01/2030 | 7.000% | 37,000 | 38,095 | |
Hilcorp Energy I LP/Finance Co.(a) | ||||
10/01/2025 | 5.750% | 17,000 | 14,133 | |
11/01/2028 | 6.250% | 64,000 | 50,850 | |
Jagged Peak Energy LLC | ||||
05/01/2026 | 5.875% | 27,000 | 26,303 | |
Matador Resources Co. | ||||
09/15/2026 | 5.875% | 85,000 | 63,053 | |
Noble Energy, Inc. | ||||
03/01/2041 | 6.000% | 700,000 | 681,717 | |
Occidental Petroleum Corp. | ||||
09/15/2036 | 6.450% | 575,000 | 493,471 | |
Parsley Energy LLC/Finance Corp.(a) | ||||
10/15/2027 | 5.625% | 99,000 | 97,537 | |
02/15/2028 | 4.125% | 17,000 | 15,400 | |
QEP Resources, Inc. | ||||
03/01/2026 | 5.625% | 20,000 | 12,646 | |
SM Energy Co. | ||||
09/15/2026 | 6.750% | 38,000 | 19,265 | |
01/15/2027 | 6.625% | 22,000 | 10,866 | |
WPX Energy, Inc. | ||||
06/15/2028 | 5.875% | 18,000 | 17,295 | |
01/15/2030 | 4.500% | 177,000 | 155,742 | |
Total | 2,817,975 | |||
Integrated Energy 0.0% | ||||
Cenovus Energy, Inc. | ||||
04/15/2027 | 4.250% | 160,000 | 144,855 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Leisure 0.0% | ||||
Boyne U.S.A., Inc.(a) | ||||
05/01/2025 | 7.250% | 49,000 | 51,328 | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp. | ||||
06/01/2024 | 5.375% | 25,000 | 23,666 | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Operations LLC(a) | ||||
05/01/2025 | 5.500% | 28,000 | 28,115 | |
Cinemark USA, Inc. | ||||
06/01/2023 | 4.875% | 34,000 | 29,444 | |
Cinemark USA, Inc.(a) | ||||
05/01/2025 | 8.750% | 18,000 | 18,861 | |
Live Nation Entertainment, Inc.(a) | ||||
11/01/2024 | 4.875% | 19,000 | 17,111 | |
03/15/2026 | 5.625% | 14,000 | 13,268 | |
05/15/2027 | 6.500% | 32,000 | 32,966 | |
Six Flags Entertainment Corp.(a) | ||||
07/31/2024 | 4.875% | 23,000 | 20,579 | |
Six Flags Theme Parks, Inc.(a) | ||||
07/01/2025 | 7.000% | 48,000 | 49,827 | |
Vail Resorts, Inc.(a) | ||||
05/15/2025 | 6.250% | 26,000 | 27,195 | |
Viking Cruises Ltd.(a) | ||||
09/15/2027 | 5.875% | 31,000 | 18,494 | |
VOC Escrow Ltd.(a) | ||||
02/15/2028 | 5.000% | 5,000 | 3,765 | |
Total | 334,619 | |||
Life Insurance 0.4% | ||||
American International Group, Inc. | ||||
06/30/2050 | 4.375% | 950,000 | 1,097,867 | |
MetLife Global Funding I(a) | ||||
12/18/2026 | 3.450% | 575,000 | 650,577 | |
Peachtree Corners Funding Trust(a) | ||||
02/15/2025 | 3.976% | 900,000 | 981,922 | |
Teachers Insurance & Annuity Association of America(a) | ||||
Subordinated | ||||
09/15/2044 | 4.900% | 460,000 | 588,981 | |
05/15/2047 | 4.270% | 250,000 | 298,468 | |
Voya Financial, Inc. | ||||
06/15/2046 | 4.800% | 425,000 | 504,156 | |
Total | 4,121,971 | |||
Lodging 0.0% | ||||
Hilton Domestic Operating Co., Inc.(a) | ||||
05/01/2025 | 5.375% | 13,000 | 12,946 | |
05/01/2028 | 5.750% | 14,000 | 14,187 |
18 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Hilton Domestic Operating Co., Inc. | ||||
05/01/2026 | 5.125% | 65,000 | 64,709 | |
Total | 91,842 | |||
Media and Entertainment 0.3% | ||||
Clear Channel Worldwide Holdings, Inc. | ||||
02/15/2024 | 9.250% | 50,000 | 46,384 | |
Clear Channel Worldwide Holdings, Inc.(a) | ||||
08/15/2027 | 5.125% | 51,000 | 48,980 | |
Diamond Sports Group LLC/Finance Co.(a) | ||||
08/15/2026 | 5.375% | 24,000 | 17,347 | |
08/15/2027 | 6.625% | 13,000 | 6,958 | |
Discovery Communications LLC | ||||
06/01/2040 | 6.350% | 715,000 | 961,130 | |
iHeartCommunications, Inc. | ||||
05/01/2026 | 6.375% | 8,440 | 8,409 | |
05/01/2027 | 8.375% | 61,366 | 56,183 | |
iHeartCommunications, Inc.(a) | ||||
08/15/2027 | 5.250% | 27,000 | 25,866 | |
01/15/2028 | 4.750% | 41,000 | 37,880 | |
Lamar Media Corp.(a) | ||||
02/15/2028 | 3.750% | 17,000 | 16,108 | |
01/15/2029 | 4.875% | 16,000 | 16,172 | |
02/15/2030 | 4.000% | 3,000 | 2,880 | |
Netflix, Inc. | ||||
04/15/2028 | 4.875% | 56,000 | 59,754 | |
11/15/2028 | 5.875% | 36,000 | 40,965 | |
05/15/2029 | 6.375% | 55,000 | 64,083 | |
Netflix, Inc.(a) | ||||
06/15/2030 | 4.875% | 36,000 | 38,594 | |
Outfront Media Capital LLC/Corp. | ||||
02/15/2024 | 5.625% | 11,000 | 11,033 | |
Outfront Media Capital LLC/Corp.(a) | ||||
08/15/2027 | 5.000% | 10,000 | 9,026 | |
03/15/2030 | 4.625% | 38,000 | 34,720 | |
RELX Capital, Inc. | ||||
05/22/2030 | 3.000% | 910,000 | 981,672 | |
Scripps Escrow, Inc.(a) | ||||
07/15/2027 | 5.875% | 14,000 | 13,266 | |
TEGNA, Inc.(a) | ||||
09/15/2029 | 5.000% | 18,000 | 16,856 | |
Twitter, Inc.(a) | ||||
12/15/2027 | 3.875% | 27,000 | 27,006 | |
Walt Disney Co. (The) | ||||
05/13/2060 | 3.800% | 950,000 | 1,098,429 | |
Total | 3,639,701 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Metals and Mining 0.1% | ||||
Alcoa Nederland Holding BV(a) | ||||
09/30/2024 | 6.750% | 32,000 | 32,825 | |
09/30/2026 | 7.000% | 10,000 | 10,354 | |
Big River Steel LLC/Finance Corp.(a) | ||||
09/01/2025 | 7.250% | 60,000 | 56,034 | |
Constellium NV(a) | ||||
03/01/2025 | 6.625% | 38,000 | 38,567 | |
02/15/2026 | 5.875% | 144,000 | 144,305 | |
Constellium SE(a) | ||||
06/15/2028 | 5.625% | 20,000 | 19,627 | |
Freeport-McMoRan, Inc. | ||||
03/01/2022 | 3.550% | 17,000 | 17,015 | |
11/14/2024 | 4.550% | 36,000 | 36,611 | |
09/01/2029 | 5.250% | 52,000 | 53,197 | |
03/15/2043 | 5.450% | 101,000 | 99,281 | |
HudBay Minerals, Inc.(a) | ||||
01/15/2023 | 7.250% | 66,000 | 65,070 | |
01/15/2025 | 7.625% | 59,000 | 56,387 | |
Novelis Corp.(a) | ||||
09/30/2026 | 5.875% | 107,000 | 106,851 | |
01/30/2030 | 4.750% | 87,000 | 83,113 | |
Total | 819,237 | |||
Midstream 0.6% | ||||
Cheniere Energy Partners LP | ||||
10/01/2026 | 5.625% | 21,000 | 20,842 | |
Cheniere Energy Partners LP(a) | ||||
10/01/2029 | 4.500% | 35,000 | 34,035 | |
DCP Midstream Operating LP | ||||
07/15/2027 | 5.625% | 29,000 | 29,181 | |
05/15/2029 | 5.125% | 37,000 | 35,417 | |
04/01/2044 | 5.600% | 14,000 | 11,260 | |
Delek Logistics Partners LP/Finance Corp. | ||||
05/15/2025 | 6.750% | 38,000 | 34,750 | |
Energy Transfer Partners LP | ||||
02/01/2042 | 6.500% | 600,000 | 654,622 | |
EQM Midstream Partners LP(a) | ||||
07/01/2025 | 6.000% | 29,000 | 29,371 | |
07/01/2027 | 6.500% | 30,000 | 30,725 | |
Genesis Energy LP/Finance Corp. | ||||
10/01/2025 | 6.500% | 4,000 | 3,436 | |
02/01/2028 | 7.750% | 37,000 | 32,560 | |
Holly Energy Partners LP/Finance Corp.(a) | ||||
02/01/2028 | 5.000% | 111,000 | 105,739 | |
Kinder Morgan Energy Partners LP | ||||
03/01/2044 | 5.500% | 1,250,000 | 1,480,711 |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2020 | 19 |
June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
MPLX LP | ||||
02/15/2049 | 5.500% | 785,000 | 869,607 | |
NuStar Logistics LP | ||||
06/01/2026 | 6.000% | 11,000 | 10,576 | |
04/28/2027 | 5.625% | 26,000 | 25,127 | |
Plains All American Pipeline LP/Finance Corp. | ||||
01/15/2037 | 6.650% | 1,100,000 | 1,216,659 | |
Rockpoint Gas Storage Canada Ltd.(a) | ||||
03/31/2023 | 7.000% | 32,000 | 29,414 | |
Southern Natural Gas Co. LLC(a) | ||||
03/15/2047 | 4.800% | 370,000 | 411,938 | |
Sunoco LP/Finance Corp. | ||||
01/15/2023 | 4.875% | 55,000 | 54,784 | |
02/15/2026 | 5.500% | 26,000 | 25,253 | |
Tallgrass Energy Partners LP/Finance Corp.(a) | ||||
10/01/2023 | 4.750% | 16,000 | 14,809 | |
09/15/2024 | 5.500% | 11,000 | 9,984 | |
01/15/2028 | 5.500% | 24,000 | 20,521 | |
Targa Resources Partners LP/Finance Corp. | ||||
02/01/2027 | 5.375% | 55,000 | 53,063 | |
01/15/2028 | 5.000% | 40,000 | 37,599 | |
Targa Resources Partners LP/Finance Corp.(a) | ||||
03/01/2030 | 5.500% | 79,000 | 76,049 | |
TransMontaigne Partners LP/TLP Finance Corp. | ||||
02/15/2026 | 6.125% | 34,000 | 32,837 | |
Western Gas Partners LP | ||||
08/15/2048 | 5.500% | 700,000 | 570,794 | |
Williams Companies, Inc. (The) | ||||
09/15/2045 | 5.100% | 1,100,000 | 1,202,309 | |
Total | 7,163,972 | |||
Natural Gas 0.2% | ||||
NiSource, Inc. | ||||
02/15/2044 | 4.800% | 890,000 | 1,091,332 | |
Sempra Energy | ||||
11/15/2025 | 3.750% | 825,000 | 906,908 | |
Total | 1,998,240 | |||
Oil Field Services 0.0% | ||||
Apergy Corp. | ||||
05/01/2026 | 6.375% | 24,000 | 22,285 | |
Archrock Partners LP/Finance Corp.(a) | ||||
04/01/2028 | 6.250% | 11,000 | 10,129 | |
Nabors Industries Ltd.(a) | ||||
01/15/2026 | 7.250% | 43,000 | 26,847 | |
01/15/2028 | 7.500% | 9,000 | 5,558 | |
SESI LLC | ||||
09/15/2024 | 7.750% | 7,000 | 2,495 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Transocean Guardian Ltd.(a) | ||||
01/15/2024 | 5.875% | 367 | 319 | |
Transocean Poseidon Ltd.(a) | ||||
02/01/2027 | 6.875% | 13,000 | 11,477 | |
Transocean Sentry Ltd.(a) | ||||
05/15/2023 | 5.375% | 31,000 | 26,195 | |
Transocean, Inc.(a) | ||||
02/01/2027 | 8.000% | 9,000 | 4,971 | |
USA Compression Partners LP/Finance Corp. | ||||
04/01/2026 | 6.875% | 15,000 | 14,565 | |
09/01/2027 | 6.875% | 6,000 | 5,721 | |
Total | 130,562 | |||
Other Industry 0.0% | ||||
Hillenbrand, Inc. | ||||
06/15/2025 | 5.750% | 9,000 | 9,315 | |
Other REIT 0.0% | ||||
Ladder Capital Finance Holdings LLLP/Corp.(a) | ||||
03/15/2022 | 5.250% | 19,000 | 18,220 | |
10/01/2025 | 5.250% | 47,000 | 40,476 | |
Total | 58,696 | |||
Packaging 0.1% | ||||
ARD Finance SA(a),(e) | ||||
06/30/2027 | 6.500% | 7,000 | 6,931 | |
Ardagh Packaging Finance PLC/Holdings USA, Inc.(a) | ||||
02/15/2025 | 6.000% | 67,000 | 68,605 | |
08/15/2027 | 5.250% | 74,000 | 72,657 | |
Berry Global, Inc. | ||||
05/15/2022 | 5.500% | 5,000 | 5,006 | |
07/15/2023 | 5.125% | 68,000 | 68,405 | |
Berry Global, Inc.(a) | ||||
02/15/2026 | 4.500% | 45,000 | 44,354 | |
BWAY Holding Co.(a) | ||||
04/15/2024 | 5.500% | 38,000 | 37,360 | |
Flex Acquisition Co., Inc.(a) | ||||
07/15/2026 | 7.875% | 45,000 | 43,605 | |
Reynolds Group Issuer, Inc./LLC(a) | ||||
07/15/2023 | 5.125% | 38,000 | 38,188 | |
07/15/2024 | 7.000% | 35,000 | 35,153 | |
Silgan Holdings Inc. | ||||
03/15/2025 | 4.750% | 16,000 | 16,272 | |
Trivium Packaging Finance BV(a) | ||||
08/15/2026 | 5.500% | 34,000 | 34,542 | |
08/15/2027 | 8.500% | 58,000 | 61,982 | |
Total | 533,060 |
20 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Pharmaceuticals 0.3% | ||||
AbbVie, Inc.(a) | ||||
03/15/2035 | 4.550% | 550,000 | 666,667 | |
AbbVie, Inc. | ||||
11/06/2042 | 4.400% | 1,100,000 | 1,324,861 | |
Amgen, Inc. | ||||
03/15/2040 | 5.750% | 474,000 | 649,967 | |
Bausch Health Companies, Inc.(a) | ||||
05/15/2023 | 5.875% | 1,000 | 1,000 | |
03/15/2024 | 7.000% | 34,000 | 35,258 | |
11/01/2025 | 5.500% | 45,000 | 46,112 | |
04/01/2026 | 9.250% | 62,000 | 67,212 | |
01/31/2027 | 8.500% | 114,000 | 121,560 | |
08/15/2027 | 5.750% | 34,000 | 36,023 | |
01/30/2028 | 5.000% | 15,000 | 14,134 | |
02/15/2029 | 6.250% | 39,000 | 39,217 | |
01/30/2030 | 5.250% | 22,000 | 20,848 | |
Bristol-Myers Squibb Co.(a) | ||||
02/20/2048 | 4.550% | 400,000 | 539,462 | |
Catalent Pharma Solutions, Inc.(a) | ||||
07/15/2027 | 5.000% | 35,000 | 36,354 | |
Jaguar Holding Co. II/PPD Development LP(a) | ||||
06/15/2025 | 4.625% | 15,000 | 15,252 | |
06/15/2028 | 5.000% | 14,000 | 14,330 | |
Par Pharmaceutical, Inc.(a) | ||||
04/01/2027 | 7.500% | 70,000 | 71,803 | |
Total | 3,700,060 | |||
Property & Casualty 0.2% | ||||
Alliant Holdings Intermediate LLC/Co-Issuer(a) | ||||
10/15/2027 | 6.750% | 57,000 | 56,594 | |
CNA Financial Corp. | ||||
03/01/2026 | 4.500% | 675,000 | 761,064 | |
HUB International Ltd.(a) | ||||
05/01/2026 | 7.000% | 54,000 | 53,847 | |
Loews Corp. | ||||
05/15/2030 | 3.200% | 850,000 | 923,298 | |
USI, Inc.(a) | ||||
05/01/2025 | 6.875% | 11,000 | 11,088 | |
Total | 1,805,891 | |||
Railroads 0.2% | ||||
CSX Corp. | ||||
03/15/2044 | 4.100% | 765,000 | 923,969 | |
Union Pacific Corp. | ||||
09/15/2037 | 3.600% | 715,000 | 795,784 | |
Total | 1,719,753 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Restaurants 0.0% | ||||
1011778 BC ULC/New Red Finance, Inc.(a) | ||||
04/15/2025 | 5.750% | 9,000 | 9,458 | |
10/15/2025 | 5.000% | 135,000 | 134,226 | |
IRB Holding Corp.(a) | ||||
06/15/2025 | 7.000% | 52,000 | 53,552 | |
02/15/2026 | 6.750% | 88,000 | 84,095 | |
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC(a) | ||||
06/01/2026 | 5.250% | 16,000 | 16,392 | |
Yum! Brands, Inc.(a) | ||||
04/01/2025 | 7.750% | 36,000 | 38,825 | |
Total | 336,548 | |||
Retail REIT 0.1% | ||||
Simon Property Group LP | ||||
02/01/2040 | 6.750% | 525,000 | 747,124 | |
Retailers 0.2% | ||||
Asbury Automotive Group, Inc.(a) | ||||
03/01/2028 | 4.500% | 2,000 | 1,940 | |
Burlington Coat Factory Warehouse Corp.(a) | ||||
04/15/2025 | 6.250% | 5,000 | 5,212 | |
Group 1 Automotive, Inc. | ||||
06/01/2022 | 5.000% | 28,000 | 27,931 | |
L Brands, Inc.(a) | ||||
07/01/2025 | 6.875% | 28,000 | 28,929 | |
07/01/2025 | 9.375% | 9,000 | 9,012 | |
L Brands, Inc. | ||||
06/15/2029 | 7.500% | 23,000 | 20,215 | |
11/01/2035 | 6.875% | 21,000 | 17,510 | |
Lowe’s Companies, Inc. | ||||
04/05/2049 | 4.550% | 575,000 | 727,509 | |
Penske Automotive Group, Inc. | ||||
10/01/2022 | 5.750% | 22,000 | 22,082 | |
12/01/2024 | 5.375% | 27,000 | 27,042 | |
PetSmart, Inc.(a) | ||||
03/15/2023 | 7.125% | 73,000 | 71,965 | |
06/01/2025 | 5.875% | 41,000 | 41,144 | |
Target Corp. | ||||
09/15/2030 | 2.650% | 650,000 | 715,294 | |
Total | 1,715,785 | |||
Supermarkets 0.1% | ||||
Albertsons Companies LLC/Safeway, Inc./New Albertsons LP | ||||
03/15/2025 | 5.750% | 6,000 | 6,129 | |
Albertsons Companies LLC/Safeway, Inc./New Albertsons LP(a) | ||||
03/15/2026 | 7.500% | 18,000 | 19,500 | |
02/15/2028 | 5.875% | 69,000 | 71,177 |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2020 | 21 |
June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Albertsons Companies, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(a) | ||||
01/15/2027 | 4.625% | 15,000 | 14,999 | |
02/15/2030 | 4.875% | 63,000 | 64,690 | |
Kroger Co. (The) | ||||
01/15/2048 | 4.650% | 665,000 | 829,364 | |
Total | 1,005,859 | |||
Technology 0.6% | ||||
Ascend Learning LLC(a) | ||||
08/01/2025 | 6.875% | 67,000 | 67,425 | |
08/01/2025 | 6.875% | 23,000 | 23,312 | |
Banff Merger Sub, Inc.(a) | ||||
09/01/2026 | 9.750% | 6,000 | 6,044 | |
Boxer Parent Co., Inc.(a) | ||||
10/02/2025 | 7.125% | 17,000 | 17,824 | |
03/01/2026 | 9.125% | 6,000 | 6,194 | |
Broadcom, Inc.(a) | ||||
11/15/2032 | 4.300% | 1,350,000 | 1,490,200 | |
Camelot Finance SA(a) | ||||
11/01/2026 | 4.500% | 41,000 | 41,000 | |
CDK Global, Inc. | ||||
06/01/2027 | 4.875% | 13,000 | 13,333 | |
CDK Global, Inc.(a) | ||||
05/15/2029 | 5.250% | 32,000 | 33,115 | |
CommScope Technologies LLC(a) | ||||
06/15/2025 | 6.000% | 39,000 | 37,624 | |
03/15/2027 | 5.000% | 5,000 | 4,507 | |
Ensemble S Merger Sub, Inc.(a) | ||||
09/30/2023 | 9.000% | 11,000 | 11,113 | |
Gartner, Inc.(a) | ||||
04/01/2025 | 5.125% | 107,000 | 109,544 | |
07/01/2028 | 4.500% | 38,000 | 38,385 | |
Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/U.S. Holdings I LLC(a) | ||||
11/30/2024 | 10.000% | 69,000 | 71,588 | |
Intel Corp. | ||||
03/25/2060 | 4.950% | 550,000 | 811,050 | |
International Business Machines Corp. | ||||
05/15/2040 | 2.850% | 715,000 | 744,630 | |
Iron Mountain, Inc. | ||||
08/15/2024 | 5.750% | 64,000 | 64,613 | |
Iron Mountain, Inc.(a) | ||||
07/15/2028 | 5.000% | 27,000 | 26,455 | |
09/15/2029 | 4.875% | 9,000 | 8,746 | |
07/15/2030 | 5.250% | 67,000 | 65,995 | |
Microchip Technology, Inc.(a) | ||||
09/01/2025 | 4.250% | 55,000 | 55,256 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
NCR Corp. | ||||
12/15/2023 | 6.375% | 27,000 | 27,470 | |
NCR Corp.(a) | ||||
04/15/2025 | 8.125% | 52,000 | 55,137 | |
09/01/2027 | 5.750% | 25,000 | 24,968 | |
09/01/2029 | 6.125% | 28,000 | 27,953 | |
NXP BV/Funding LLC/USA, Inc.(a) | ||||
05/01/2030 | 3.400% | 700,000 | 753,389 | |
Oracle Corp. | ||||
04/15/2038 | 6.500% | 400,000 | 613,051 | |
Plantronics, Inc.(a) | ||||
05/31/2023 | 5.500% | 64,000 | 56,043 | |
PTC, Inc.(a) | ||||
02/15/2025 | 3.625% | 5,000 | 4,958 | |
02/15/2028 | 4.000% | 7,000 | 6,950 | |
QUALCOMM, Inc. | ||||
05/20/2050 | 3.250% | 650,000 | 714,093 | |
Qualitytech LP/QTS Finance Corp.(a) | ||||
11/15/2025 | 4.750% | 109,000 | 111,731 | |
Refinitiv US Holdings, Inc.(a) | ||||
05/15/2026 | 6.250% | 3,000 | 3,180 | |
11/15/2026 | 8.250% | 92,000 | 99,583 | |
Sabre GLBL, Inc.(a) | ||||
04/15/2025 | 9.250% | 13,000 | 13,687 | |
Solera LLC/Finance, Inc.(a) | ||||
03/01/2024 | 10.500% | 16,000 | 16,278 | |
Tempo Acquisition LLC/Finance Corp.(a) | ||||
06/01/2025 | 5.750% | 28,000 | 28,780 | |
06/01/2025 | 6.750% | 7,000 | 7,100 | |
Verscend Escrow Corp.(a) | ||||
08/15/2026 | 9.750% | 74,000 | 79,728 | |
Total | 6,392,032 | |||
Transportation Services 0.1% | ||||
Avis Budget Car Rental LLC/Finance, Inc.(a) | ||||
03/15/2025 | 5.250% | 20,000 | 15,546 | |
07/15/2027 | 5.750% | 5,000 | 3,820 | |
ERAC U.S.A. Finance LLC(a) | ||||
10/15/2037 | 7.000% | 700,000 | 897,592 | |
Hertz Corp. (The)(a),(h) | ||||
06/01/2022 | 0.000% | 39,000 | 29,409 | |
10/15/2024 | 0.000% | 13,000 | 4,045 | |
01/15/2028 | 0.000% | 60,000 | 18,734 | |
XPO Logistics, Inc.(a) | ||||
06/15/2022 | 6.500% | 21,000 | 21,026 | |
Total | 990,172 |
22 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Wireless 0.2% | ||||
Altice France Holding SA(a) | ||||
02/15/2028 | 6.000% | 91,000 | 86,025 | |
Altice France SA(a) | ||||
05/01/2026 | 7.375% | 97,000 | 100,992 | |
01/15/2028 | 5.500% | 96,000 | 97,016 | |
American Tower Corp. | ||||
07/15/2027 | 3.550% | 675,000 | 748,408 | |
SBA Communications Corp. | ||||
09/01/2024 | 4.875% | 53,000 | 54,258 | |
SBA Communications Corp.(a) | ||||
02/15/2027 | 3.875% | 36,000 | 35,885 | |
Sprint Capital Corp. | ||||
03/15/2032 | 8.750% | 25,000 | 35,758 | |
Sprint Corp. | ||||
03/01/2026 | 7.625% | 151,000 | 178,345 | |
T-Mobile U.S.A., Inc. | ||||
01/15/2024 | 6.500% | 30,000 | 30,650 | |
01/15/2026 | 6.500% | 25,000 | 26,155 | |
02/01/2026 | 4.500% | 47,000 | 47,556 | |
02/01/2028 | 4.750% | 33,000 | 34,859 | |
T-Mobile U.S.A., Inc.(a) | ||||
04/15/2040 | 4.375% | 400,000 | 463,087 | |
Total | 1,938,994 | |||
Wirelines 0.4% | ||||
AT&T, Inc. | ||||
08/15/2040 | 6.000% | 1,675,000 | 2,243,832 | |
CenturyLink, Inc. | ||||
03/15/2022 | 5.800% | 56,000 | 57,541 | |
12/01/2023 | 6.750% | 38,000 | 40,883 | |
04/01/2025 | 5.625% | 59,000 | 61,023 | |
CenturyLink, Inc.(a) | ||||
12/15/2026 | 5.125% | 46,000 | 45,936 | |
02/15/2027 | 4.000% | 10,000 | 9,710 | |
Front Range BidCo, Inc.(a) | ||||
03/01/2027 | 4.000% | 46,000 | 43,745 | |
03/01/2028 | 6.125% | 74,000 | 71,932 | |
Level 3 Financing, Inc. | ||||
05/01/2023 | 5.125% | 35,000 | 35,003 | |
01/15/2024 | 5.375% | 33,000 | 33,266 | |
Telecom Italia Capital SA | ||||
09/30/2034 | 6.000% | 10,000 | 10,878 | |
Verizon Communications, Inc. | ||||
08/10/2033 | 4.500% | 1,375,000 | 1,721,164 | |
Total | 4,374,913 | |||
Total Corporate Bonds & Notes (Cost $93,763,686) | 101,602,628 |
Exchange-Traded Equity Funds 0.9% | ||
Shares | Value ($) | |
International Mid Large Cap 0.9% | ||
iShares Core MSCI EAFE ETF | 168,620 | 9,638,319 |
Total Exchange-Traded Equity Funds (Cost $11,306,141) | 9,638,319 |
Foreign Government Obligations(i) 0.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Canada 0.0% | ||||
NOVA Chemicals Corp.(a) | ||||
05/01/2025 | 5.000% | 15,000 | 14,002 | |
06/01/2027 | 5.250% | 26,000 | 22,875 | |
Total | 36,877 | |||
Total Foreign Government Obligations (Cost $39,274) | 36,877 | |||
Residential Mortgage-Backed Securities - Agency 10.5% | ||||
Federal Home Loan Mortgage Corp. | ||||
01/01/2030- 09/01/2043 | 3.500% | 1,253,174 | 1,352,635 | |
04/01/2032- 06/01/2037 | 6.000% | 169,670 | 194,994 | |
04/01/2032 | 7.000% | 36,976 | 43,067 | |
05/01/2032- 07/01/2032 | 6.500% | 251,500 | 286,619 | |
01/01/2033- 07/01/2043 | 3.000% | 3,185,184 | 3,384,242 | |
01/01/2034- 05/01/2041 | 5.000% | 665,855 | 763,261 | |
02/01/2038 | 5.500% | 308,753 | 354,181 | |
05/01/2039- 08/01/2041 | 4.500% | 1,756,140 | 1,952,861 | |
08/01/2045 | 4.000% | 118,180 | 127,675 | |
Federal National Mortgage Association | ||||
05/01/2024- 12/01/2028 | 6.000% | 41,218 | 46,030 | |
03/01/2026- 12/01/2032 | 7.000% | 387,747 | 415,484 | |
10/01/2026- 08/01/2049 | 3.500% | 6,066,771 | 6,428,131 | |
11/01/2026- 01/01/2029 | 4.000% | 533,853 | 565,806 | |
08/01/2028- 09/01/2032 | 6.500% | 101,616 | 114,973 | |
02/01/2033 | 2.500% | 1,295,521 | 1,359,269 | |
02/01/2038- 03/01/2038 | 5.500% | 187,311 | 213,516 | |
Federal National Mortgage Association(j) | ||||
09/01/2040 | 4.000% | 708,775 | 778,092 | |
10/01/2040 | 4.500% | 324,884 | 361,591 | |
09/01/2049 | 3.000% | 2,358,955 | 2,486,158 |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2020 | 23 |
June 30, 2020 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(g) | ||||
07/16/2035- 07/14/2050 | 2.500% | 21,375,000 | 22,315,166 | |
07/16/2035- 07/14/2050 | 3.000% | 21,200,000 | 22,324,056 | |
07/16/2035- 07/14/2050 | 4.000% | 32,200,000 | 34,112,225 | |
07/14/2050 | 3.500% | 15,325,000 | 16,118,188 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $115,090,597) | 116,098,220 | |||
Residential Mortgage-Backed Securities - Non-Agency 8.6% | ||||
Angel Oak Mortgage Trust I LLC(a),(c) | ||||
CMO Series 2018-3 Class A3 | ||||
09/25/2048 | 3.853% | 654,475 | 660,612 | |
CMO Series 2019-2 Class A3 | ||||
03/25/2049 | 3.833% | 724,173 | 740,270 | |
Angel Oak Mortgage Trust LLC(a),(c) | ||||
CMO Series 2017-1 Class A1 | ||||
01/25/2047 | 2.810% | 43,417 | 43,432 | |
Arroyo Mortgage Trust(a),(c) | ||||
CMO Series 2018-1 Class A1 | ||||
04/25/2048 | 3.763% | 1,018,927 | 1,045,893 | |
CMO Series 2019-1 Class A1 | ||||
01/25/2049 | 3.805% | 1,574,004 | 1,611,471 | |
Bayview Opportunity Master Fund IIIb Trust(a),(c) | ||||
Series 2019-LT2 Class A1 | ||||
10/28/2034 | 3.376% | 292,396 | 291,507 | |
Bayview Opportunity Master Fund IVa Trust(a) | ||||
CMO Series 2016-SPL1 Class A | ||||
04/28/2055 | 4.000% | 314,868 | 322,506 | |
Bellemeade Re Ltd.(a),(b) | ||||
CMO Series 2019-1A Class M1A | ||||
1-month USD LIBOR + 1.300% Floor 1.300% 03/25/2029 | 1.485% | 60,783 | 60,531 | |
CMO Series 2019-3A Class M1A | ||||
1-month USD LIBOR + 1.100% Floor 1.100% 07/25/2029 | 1.285% | 302,787 | 300,484 | |
BRAVO Residential Funding Trust(a),(c) | ||||
CMO Series 2019-NQM1 Class A3 | ||||
07/25/2059 | 2.996% | 606,848 | 594,559 | |
CMO Series 2019-NQM1 Class M1 | ||||
07/25/2059 | 2.997% | 350,000 | 328,247 | |
CMO Series 2019-NQM2 Class A1 | ||||
11/25/2059 | 2.748% | 2,117,186 | 2,112,951 | |
CMO Series 2019-NQM2 Class A3 | ||||
11/25/2059 | 3.108% | 705,729 | 691,963 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2019-NQM2 Class M1 | ||||
11/25/2059 | 3.451% | 925,000 | 821,583 | |
CMO Series 2020-RPL1 Class A1 | ||||
05/26/2059 | 2.500% | 1,300,000 | 1,330,311 | |
CIM Trust(a),(b) | ||||
CMO Series 2018-R6 Class A1 | ||||
1-month USD LIBOR + 1.076% Floor 1.080% 09/25/2058 | 1.247% | 2,629,391 | 2,567,820 | |
Citigroup Mortgage Loan Trust, Inc.(a),(c) | ||||
CMO Series 2019-IMC1 Class A3 | ||||
07/25/2049 | 3.030% | 690,130 | 687,163 | |
COLT 2019-1 Mortgage Loan Trust(a),(c) | ||||
CMO Series 2019-1 Class A3 | ||||
03/25/2049 | 4.012% | 620,822 | 626,605 | |
COLT Mortgage Loan Trust(a),(c) | ||||
CMO Series 2018-2 Class A1 | ||||
07/27/2048 | 3.470% | 181,318 | 182,975 | |
CMO Series 2018-4 Class A1 | ||||
12/28/2048 | 4.006% | 802,161 | 814,978 | |
CMO Series 2020-2 Class A1 | ||||
03/25/2065 | 1.853% | 840,461 | 844,891 | |
COLT Mortgage Loan Trust(a) | ||||
CMO Series 2018-3 Class A1 | ||||
10/26/2048 | 3.692% | 430,558 | 437,264 | |
CSMC Trust(a),(c) | ||||
CMO Series 2018-RPL9 Class A | ||||
09/25/2057 | 3.850% | 2,917,451 | 3,096,261 | |
CSMC Trust(a) | ||||
CMO Series 2019-AFC1 Class A1 | ||||
07/25/2049 | 2.573% | 2,055,498 | 2,097,709 | |
Deephaven Residential Mortgage Trust(a),(c) | ||||
CMO Series 2017-1A Class A1 | ||||
12/26/2046 | 2.725% | 127,541 | 128,084 | |
CMO Series 2018-3A Class A3 | ||||
08/25/2058 | 3.963% | 349,173 | 349,507 | |
CMO Series 2018-4A Class A1 | ||||
10/25/2058 | 4.080% | 1,531,468 | 1,564,903 | |
CMO Series 2019-1A Class A3 | ||||
01/25/2059 | 3.948% | 337,594 | 337,827 | |
Eagle RE Ltd.(a),(b) | ||||
Subordinated CMO Series 2020-1 Class M1A | ||||
1-month USD LIBOR + 0.900% 01/25/2030 | 1.085% | 1,200,000 | 1,187,951 | |
Ellington Financial Mortgage Trust(a),(c) | ||||
CMO Series 2019-2 Class A3 | ||||
11/25/2059 | 3.046% | 472,050 | 468,167 | |
CMO Series 2020-1 Class A1 | ||||
06/25/2065 | 2.006% | 275,000 | 276,339 |
24 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
GCAT LLC(a),(c) | ||||
CMO Series 2019-3 Class A1 | ||||
10/25/2049 | 3.352% | 440,858 | 429,557 | |
CMO Series 2020-1 Class A1 | ||||
01/26/2060 | 2.981% | 1,218,343 | 1,199,995 | |
GCAT Trust(a),(c) | ||||
CMO Series 2019-NQM2 Class A2 | ||||
09/25/2059 | 3.060% | 1,231,069 | 1,251,637 | |
CMO Series 2019-NQM2 Class A3 | ||||
09/25/2059 | 3.162% | 712,812 | 724,693 | |
CMO Series 2019-RPL1 Class A1 | ||||
10/25/2068 | 2.650% | 1,819,406 | 1,881,985 | |
Genworth Mortgage Insurance Corp.(a),(b) | ||||
CMO Series 2019-1 Class M1 | ||||
1-month USD LIBOR + 1.900% Floor 1.900% 11/26/2029 | 2.085% | 1,200,000 | 1,169,370 | |
GS Mortgage-Backed Securities Trust(a),(c) | ||||
CMO Series 2019-SL1 Class A1 | ||||
01/25/2059 | 2.625% | 2,612,226 | 2,631,231 | |
Homeward Opportunities Fund I Trust(a) | ||||
CMO Series 2018-2 Class A3 | ||||
11/25/2058 | 4.239% | 931,924 | 962,448 | |
Homeward Opportunities Fund I Trust(a),(c) | ||||
CMO Series 2019-1 Class A3 | ||||
01/25/2059 | 3.606% | 944,957 | 937,573 | |
L1C LLC(a),(k) | ||||
CMO Series 2020-1 Class NOTE | ||||
08/25/2051 | 5.290% | 350,000 | 351,750 | |
Legacy Mortgage Asset Trust(a),(c) | ||||
CMO Series 2019-GS5 Class A1 | ||||
05/25/2059 | 3.200% | 1,089,694 | 1,081,746 | |
MetLife Securitization Trust(a) | ||||
CMO Series 2018-1A Class A | ||||
03/25/2057 | 3.750% | 819,813 | 873,477 | |
MFA Trust(a),(c) | ||||
CMO Series 2017-RPL1 Class A1 | ||||
02/25/2057 | 2.588% | 479,006 | 483,622 | |
Mill City Mortgage Loan Trust(a) | ||||
CMO Series 2018-3 Class A1 | ||||
08/25/2058 | 3.500% | 1,866,239 | 1,965,277 | |
New Residential Mortgage Loan Trust(a) | ||||
CMO Series 2016-3A Class A1 | ||||
09/25/2056 | 3.750% | 307,263 | 324,945 | |
CMO Series 2018-NQM1 Class A1 | ||||
11/25/2048 | 3.986% | 1,222,767 | 1,260,320 | |
CMO Series 2018-NQM1 Class A3 | ||||
11/25/2048 | 4.138% | 509,843 | 522,279 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
New Residential Mortgage Loan Trust(a),(c) | ||||
CMO Series 2019-NQM2 Class A3 | ||||
04/25/2049 | 3.752% | 824,337 | 837,402 | |
OSAT Trust(a),(c) | ||||
CMO Series 2020-RPL1 Class A1 | ||||
12/01/2059 | 3.072% | 2,608,909 | 2,629,490 | |
Preston Ridge Partners Mortgage LLC(a) | ||||
CMO Series 2019-2A Class A1 | ||||
04/25/2024 | 3.967% | 1,149,127 | 1,157,894 | |
Pretium Mortgage Credit Partners I LLC(a),(c) | ||||
CMO Series 2020-NPL2 Class A1 | ||||
02/27/2060 | 3.721% | 299,283 | 299,478 | |
PRPM LLC(a),(c) | ||||
CMO Series 2020-1A Class A1 | ||||
02/25/2025 | 2.981% | 1,400,018 | 1,386,751 | |
Radnor Re Ltd.(a),(b) | ||||
CMO Series 2020-1 Class M1A | ||||
1-month USD LIBOR + 0.950% Floor 0.950% 02/25/2030 | 1.118% | 700,000 | 692,120 | |
RCO Trust(a),(c) | ||||
CMO Series 2018-VFS1 Class A1 | ||||
12/26/2053 | 4.270% | 2,543,230 | 2,616,427 | |
RCO V Mortgage LLC(a),(c) | ||||
CMO Series 2018-2 Class A1 | ||||
10/25/2023 | 4.458% | 1,077,636 | 1,077,634 | |
RCO V Mortgage LLC(a) | ||||
CMO Series 2019-1 Class A1 | ||||
05/24/2024 | 3.721% | 991,898 | 991,525 | |
Residential Mortgage Loan Trust(a),(c) | ||||
CMO Series 2019-1 Class A3 | ||||
10/25/2058 | 4.242% | 720,802 | 720,783 | |
CMO Series 2020-1 Class A3 | ||||
02/25/2024 | 2.684% | 811,113 | 786,855 | |
Starwood Mortgage Residential Trust(a),(c) | ||||
CMO Series 2018-IMC1 Class A3 | ||||
03/25/2048 | 3.977% | 510,752 | 510,760 | |
CMO Series 2019-1 Class A3 | ||||
06/25/2049 | 3.299% | 477,575 | 472,857 | |
CMO Series 2019-IMC1 Class A3 | ||||
04/25/2049 | 3.754% | 306,705 | 305,366 | |
CMO Series 2019-INV1 Class A1 | ||||
08/25/2049 | 2.610% | 1,180,298 | 1,196,572 | |
CMO Series 2019-INV1 Class A3 | ||||
08/25/2049 | 2.916% | 557,774 | 547,234 | |
Toorak Mortgage Corp., Ltd.(c) | ||||
CMO Series 2019-2 Class A1 | ||||
09/25/2022 | 3.721% | 1,375,000 | 1,373,694 |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2020 | 25 |
June 30, 2020 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Toorak Mortgage Corp., Ltd.(a),(c) | ||||
CMO Series 2020-1 Class A1 | ||||
03/25/2023 | 2.734% | 3,800,000 | 3,716,475 | |
Towd Point Mortgage Trust(a) | ||||
CMO Series 15-5 Class A1 | ||||
05/25/2055 | 3.500% | 317,688 | 322,673 | |
CMO Series 2015-6 Class A1 | ||||
04/25/2055 | 3.500% | 435,494 | 447,079 | |
CMO Series 2016-1 Class A1 | ||||
02/25/2055 | 3.500% | 352,589 | 360,311 | |
CMO Series 2016-2 Class A1 | ||||
08/25/2055 | 3.000% | 552,321 | 567,381 | |
CMO Series 2016-3 Class A1 | ||||
04/25/2056 | 2.250% | 249,670 | 251,092 | |
Towd Point Mortgage Trust(a),(c) | ||||
CMO Series 2018-1 Class A1 | ||||
01/25/2058 | 3.000% | 460,527 | 477,050 | |
CMO Series 2018-6 Class A1A | ||||
03/25/2058 | 3.750% | 1,955,367 | 2,053,831 | |
Towd Point Mortgage Trust(a),(b) | ||||
CMO Series 2019-HY1 Class A1 | ||||
1-month USD LIBOR + 1.000% 10/25/2048 | 1.185% | 1,290,583 | 1,284,522 | |
CMO Series 2019-HY2 Class A1 | ||||
1-month USD LIBOR + 1.000% Floor 1.000% 05/25/2058 | 1.185% | 1,491,538 | 1,480,761 | |
TVC Mortgage Trust(a) | ||||
CMO Series 2020-RTL1 Class A1 | ||||
09/25/2024 | 3.474% | 300,000 | 295,965 | |
Vericrest Opportunity Loan Transferee LXXXV LLC(a),(c) | ||||
CMO Series 2020-NPL1 Class A1A | ||||
01/25/2050 | 3.228% | 1,055,042 | 1,048,344 | |
Vericrest Opportunity Loan Transferee LXXXVII LLC(a),(c) | ||||
CMO Series 2020-NPL3 Class A1A | ||||
02/25/2050 | 2.981% | 3,148,252 | 3,117,493 | |
Vericrest Opportunity Loan Trust(a),(c) | ||||
CMO Series 2019-NPL4 Class A1A | ||||
08/25/2049 | 3.352% | 1,320,191 | 1,314,956 | |
CMO Series 2019-NPL5 Class A1A | ||||
09/25/2049 | 3.352% | 1,904,849 | 1,896,646 | |
CMO Series 2019-NPL7 Class A1A | ||||
10/25/2049 | 3.179% | 1,327,975 | 1,315,196 | |
CMO Series 2019-NPL8 Class A1A | ||||
11/25/2049 | 3.278% | 1,503,592 | 1,501,893 | |
CMO Series 2020-NPL2 Class A1A | ||||
02/25/2050 | 2.981% | 2,511,440 | 2,487,249 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2020-NPL5 Class A1A | ||||
03/25/2050 | 2.982% | 963,182 | 955,607 | |
Verus Securitization(a),(f) | ||||
CMO Series 2020-INV1 Class A1 | ||||
04/25/2060 | 1.977% | 268,383 | 268,795 | |
Verus Securitization Trust(a),(c) | ||||
CMO Series 2017-1A Class A1 | ||||
01/25/2047 | 2.881% | 118,844 | 118,633 | |
CMO Series 2018-2 Class A3 | ||||
06/01/2058 | 3.830% | 978,596 | 982,131 | |
CMO Series 2019-1 Class A3 | ||||
02/25/2059 | 4.040% | 931,284 | 925,644 | |
CMO Series 2019-3 Class A3 | ||||
07/25/2059 | 3.040% | 1,272,945 | 1,264,282 | |
CMO Series 2019-4 Class A3 | ||||
11/25/2059 | 3.000% | 1,452,161 | 1,449,501 | |
CMO Series 2019-INV1 Class A3 | ||||
12/25/2059 | 3.658% | 673,113 | 680,675 | |
CMO Series 2020-1 Class M1 | ||||
01/25/2060 | 3.021% | 1,000,000 | 929,997 | |
CMO Series 2020-2 Class A1 | ||||
05/25/2060 | 2.226% | 1,154,729 | 1,155,989 | |
Visio Trust(a),(c) | ||||
CMO Series 2019-2 Class A3 | ||||
11/25/2054 | 3.076% | 958,972 | 940,261 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $95,537,035) | 95,889,943 | |||
Senior Loans 0.0% | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Consumer Cyclical Services 0.0% | ||||
8th Avenue Food & Provisions, Inc.(b),(l) | ||||
2nd Lien Term Loan | ||||
3-month USD LIBOR + 7.750% 10/01/2026 | 7.935% | 4,859 | 4,620 | |
Finance Companies 0.0% | ||||
Ellie Mae, Inc.(b),(l) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 3.750% 04/17/2026 | 4.058% | 30,768 | 29,737 | |
Food and Beverage 0.0% | ||||
BellRing Brands LLC(b),(l) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 5.000% Floor 1.000% 10/21/2024 | 6.000% | 19,500 | 19,366 |
26 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Froneri International Ltd.(b),(l) | ||||
2nd Lien Term Loan | ||||
1-month USD LIBOR + 5.750% 01/31/2028 | 5.928% | 4,000 | 3,790 | |
Total | 23,156 | |||
Metals and Mining 0.0% | ||||
Big River Steel LLC(b),(l) | ||||
Term Loan | ||||
3-month USD LIBOR + 5.000% Floor 1.000% 08/23/2023 | 6.000% | 26,719 | 25,049 | |
Restaurants 0.0% | ||||
IRB Holding Corp./Arby’s/Buffalo Wild Wings(b),(l) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 2.750% Floor 1.000% 02/05/2025 | 3.750% | 16,785 | 15,460 | |
Technology 0.0% | ||||
Informatica LLC(l),(m) | ||||
2nd Lien Term Loan | ||||
02/25/2025 | 7.125% | 26,000 | 25,967 | |
Project Alpha Intermediate Holding, Inc.(b),(l) | ||||
Term Loan | ||||
3-month USD LIBOR + 4.250% 04/26/2024 | 6.130% | 18,972 | 18,261 | |
Total | 44,228 | |||
Total Senior Loans (Cost $146,828) | 142,250 | |||
U.S. Treasury Obligations 0.6% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
U.S. Treasury | ||||
02/15/2045 | 2.500% | 5,760,000 | 7,103,700 | |
Total U.S. Treasury Obligations (Cost $6,518,949) | 7,103,700 |
Money Market Funds 3.6% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(n),(o) | 40,344,239 | 40,344,239 |
Total Money Market Funds (Cost $40,344,128) | 40,344,239 | |
Total Investments in Securities (Cost: $1,033,954,069) | 1,202,412,625 | |
Other Assets & Liabilities, Net | (92,040,586) | |
Net Assets | 1,110,372,039 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 10-Year Note | 170 | 09/2020 | USD | 23,659,219 | 56,396 | — |
U.S. Treasury 2-Year Note | 50 | 09/2020 | USD | 11,041,406 | 2,258 | — |
U.S. Treasury 5-Year Note | 165 | 09/2020 | USD | 20,747,461 | 50,677 | — |
U.S. Ultra Treasury Bond | 61 | 09/2020 | USD | 13,307,531 | — | (50,653) |
Total | 109,331 | (50,653) |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2020 | 27 |
June 30, 2020 (Unaudited)
(a) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At June 30, 2020, the total value of these securities amounted to $242,785,743, which represents 21.87% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of June 30, 2020. |
(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 June 30, 2020. |
(d) | Non-income producing investment. |
(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 June 30, 2020. |
(g) | Represents a security purchased on a when-issued basis. |
(h) | Represents securities that have defaulted on payment of interest. The Fund has stopped accruing interest on these securities. At June 30, 2020, the total value of these securities amounted to $52,188, which represents less than 0.01% of total net assets. |
(i) | Principal and interest may not be guaranteed by a governmental entity. |
(j) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(k) | Valuation based on significant unobservable inputs. |
(l) | The stated interest rate represents the weighted average interest rate at June 30, 2020 of contracts within the senior loan facility. Interest rates on contracts are primarily determined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. These base lending rates are primarily the LIBOR and other short-term rates. Base lending rates may be subject to a floor or minimum rate. The interest rate for senior loans purchased on a when-issued or delayed delivery basis will be determined upon settlement, therefore no interest rate is disclosed. Senior loans often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, cannot be predicted with accuracy. As a result, remaining maturities of senior loans may be less than the stated maturities. Generally, the Fund is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. |
(m) | Represents a security purchased on a forward commitment basis. |
(n) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
(o) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | ||||||||
58,799,963 | 261,585,842 | (280,043,638) | 2,072 | 40,344,239 | 21,071 | 335,689 | 40,344,239 |
CMO | Collateralized Mortgage Obligation |
LIBOR | London Interbank Offered Rate |
TBA | To Be Announced |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
28 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Asset-Backed Securities — Non-Agency | — | 86,015,835 | — | 86,015,835 |
Commercial Mortgage-Backed Securities - Agency | — | 135,617 | — | 135,617 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 47,189,314 | — | 47,189,314 |
Common Stocks | ||||
Communication Services | 88,526,880 | — | — | 88,526,880 |
Consumer Discretionary | 83,783,853 | — | — | 83,783,853 |
Consumer Staples | 32,868,783 | — | — | 32,868,783 |
Energy | 22,328,326 | — | — | 22,328,326 |
Financials | 77,930,668 | — | — | 77,930,668 |
Health Care | 89,662,607 | — | — | 89,662,607 |
Industrials | 48,086,784 | — | — | 48,086,784 |
Information Technology | 214,307,893 | — | — | 214,307,893 |
Materials | 21,013,309 | — | — | 21,013,309 |
Real Estate | 8,422,975 | — | — | 8,422,975 |
Utilities | 11,283,605 | — | — | 11,283,605 |
Total Common Stocks | 698,215,683 | — | — | 698,215,683 |
Corporate Bonds & Notes | — | 101,602,628 | — | 101,602,628 |
Exchange-Traded Equity Funds | 9,638,319 | — | — | 9,638,319 |
Foreign Government Obligations | — | 36,877 | — | 36,877 |
Residential Mortgage-Backed Securities - Agency | — | 116,098,220 | — | 116,098,220 |
Residential Mortgage-Backed Securities - Non-Agency | — | 95,538,193 | 351,750 | 95,889,943 |
Senior Loans | — | 142,250 | — | 142,250 |
U.S. Treasury Obligations | 7,103,700 | — | — | 7,103,700 |
Money Market Funds | 40,344,239 | — | — | 40,344,239 |
Total Investments in Securities | 755,301,941 | 446,758,934 | 351,750 | 1,202,412,625 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 109,331 | — | — | 109,331 |
Liability | ||||
Futures Contracts | (50,653) | — | — | (50,653) |
Total | 755,360,619 | 446,758,934 | 351,750 | 1,202,471,303 |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2020 | 29 |
June 30, 2020 (Unaudited)
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.
30 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $993,609,941) | $1,162,068,386 |
Affiliated issuers (cost $40,344,128) | 40,344,239 |
Cash collateral held at broker for: | |
TBA | 4,000 |
Receivable for: | |
Investments sold | 3,192,709 |
Investments sold on a delayed delivery basis | 21,888 |
Capital shares sold | 384 |
Dividends | 786,340 |
Interest | 1,879,670 |
Foreign tax reclaims | 35,696 |
Variation margin for futures contracts | 781 |
Expense reimbursement due from Investment Manager | 563 |
Total assets | 1,208,334,656 |
Liabilities | |
Due to custodian | 33,403 |
Payable for: | |
Investments purchased | 1,349,502 |
Investments purchased on a delayed delivery basis | 95,194,987 |
Capital shares purchased | 1,005,670 |
Variation margin for futures contracts | 94,625 |
Management services fees | 20,688 |
Distribution and/or service fees | 3,753 |
Service fees | 54,378 |
Compensation of board members | 88,998 |
Compensation of chief compliance officer | 126 |
Other expenses | 116,487 |
Total liabilities | 97,962,617 |
Net assets applicable to outstanding capital stock | $1,110,372,039 |
Represented by | |
Trust capital | $1,110,372,039 |
Total - representing net assets applicable to outstanding capital stock | $1,110,372,039 |
Class 1 | |
Net assets | $1,320,572 |
Shares outstanding | 41,929 |
Net asset value per share | $31.50 |
Class 2 | |
Net assets | $3,760 |
Shares outstanding | 121 |
Net asset value per share(a) | $31.02 |
Class 3 | |
Net assets | $1,109,047,707 |
Shares outstanding | 35,443,931 |
Net asset value per share | $31.29 |
(a) | Net asset value per share rounds to this amount due to fractional shares outstanding. |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2020 | 31 |
Six Months Ended June 30, 2020 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $6,122,526 |
Dividends — affiliated issuers | 335,689 |
Interest | 5,651,032 |
Foreign taxes withheld | (30,482) |
Total income | 12,078,765 |
Expenses: | |
Management services fees | 3,711,743 |
Distribution and/or service fees | |
Class 2 | 5 |
Class 3 | 672,813 |
Service fees | 323,112 |
Compensation of board members | 8,519 |
Custodian fees | 21,700 |
Printing and postage fees | 92,103 |
Audit fees | 19,642 |
Legal fees | 9,152 |
Compensation of chief compliance officer | 121 |
Other | 9,251 |
Total expenses | 4,868,161 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (100,338) |
Total net expenses | 4,767,823 |
Net investment income | 7,310,942 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 18,826,495 |
Investments — affiliated issuers | 21,071 |
Foreign currency translations | 1,786 |
Futures contracts | 6,707,342 |
Net realized gain | 25,556,694 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (25,064,785) |
Investments — affiliated issuers | 2,072 |
Foreign currency translations | (611) |
Futures contracts | 815,060 |
Net change in unrealized appreciation (depreciation) | (24,248,264) |
Net realized and unrealized gain | 1,308,430 |
Net increase in net assets resulting from operations | $8,619,372 |
32 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2020 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||
Net investment income | $7,310,942 | $16,984,771 |
Net realized gain | 25,556,694 | 34,757,054 |
Net change in unrealized appreciation (depreciation) | (24,248,264) | 168,774,659 |
Net increase in net assets resulting from operations | 8,619,372 | 220,516,484 |
Decrease in net assets from capital stock activity | (36,612,954) | (86,173,545) |
Total increase (decrease) in net assets | (27,993,582) | 134,342,939 |
Net assets at beginning of period | 1,138,365,621 | 1,004,022,682 |
Net assets at end of period | $1,110,372,039 | $1,138,365,621 |
Six Months Ended | Year Ended | |||
June 30, 2020 (Unaudited) | December 31, 2019 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 19,437 | 584,452 | 29,633 | 859,212 |
Redemptions | (1,293) | (37,740) | (5,969) | (171,837) |
Net increase | 18,144 | 546,712 | 23,664 | 687,375 |
Class 3 | ||||
Subscriptions | 170,639 | 5,276,682 | 305,404 | 8,831,912 |
Redemptions | (1,434,850) | (42,436,348) | (3,369,941) | (95,692,832) |
Net decrease | (1,264,211) | (37,159,666) | (3,064,537) | (86,860,920) |
Total net decrease | (1,246,067) | (36,612,954) | (3,040,873) | (86,173,545) |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2020 | 33 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $31.17 | 0.22 | 0.11 | 0.33 |
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(d) | (0.18) | 0.41 |
Class 2 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $30.74 | 0.18 | 0.10 | 0.28 |
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(d) | (0.18) | 0.35 |
Class 3 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $30.99 | 0.20 | 0.10 | 0.30 |
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(d) | (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) | Annualized. |
(d) | 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 | Semiannual Report 2020 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $31.50 | 1.06% | 0.78%(c) | 0.76%(c) | 1.50%(c) | 75% | $1,321 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $31.02 | 0.91% | 1.01%(c) | 1.01%(c) | 1.25%(c) | 75% | $4 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $31.29 | 0.97% | 0.90%(c) | 0.88%(c) | 1.36%(c) | 75% | $1,109,048 |
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% | $964,446 |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2020 | 35 |
June 30, 2020 (Unaudited)
36 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2020 | 37 |
June 30, 2020 (Unaudited)
38 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 109,331* |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 50,653* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2020 | 39 |
June 30, 2020 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Interest rate risk | 6,707,342 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Interest rate risk | 815,060 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 80,965,133 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2020. |
40 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2020 | 41 |
June 30, 2020 (Unaudited)
42 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2020 | 43 |
June 30, 2020 (Unaudited)
Contractual expense cap July 1, 2020 through April 30, 2021 | Voluntary expense cap May 1, 2020 through June 30, 2020 | Contractual expense cap prior to May 1, 2020 | |
Class 1 | 0.77% | 0.76% | 0.76% |
Class 2 | 1.02 | 1.01 | 1.01 |
Class 3 | 0.895 | 0.885 | 0.885 |
44 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2020 | 45 |
June 30, 2020 (Unaudited)
46 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2020 | 47 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
48 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2020 |
Nature, extent and quality of services provided by Columbia Threadneedle
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2020 | 49 |
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of the Funds’ fee rates, and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Board accorded particular weight to the notion that the primary objective of the level of fees is to achieve a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) approximated the peer universe’s median expense ratio. Based on its review, the Board concluded that the Fund’s management fee was fair and reasonable in light of the extent and quality of services that the Fund receives.
50 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2020 |
June 30, 2020
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | -4.15 | 7.20 | 5.89 | 5.11 | |
Class 2 | 05/03/10 | -4.29 | 6.86 | 5.62 | 4.85 | |
Class 3 | 05/01/00 | -4.22 | 7.00 | 5.74 | 4.97 | |
MSCI Emerging Markets Index (Net) | -9.78 | -3.39 | 2.86 | 3.27 |
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2020 | 3 |
(Unaudited)
Equity sector breakdown (%) (at June 30, 2020) | |
Communication Services | 16.2 |
Consumer Discretionary | 25.1 |
Consumer Staples | 3.7 |
Energy | 4.6 |
Financials | 17.6 |
Health Care | 5.6 |
Industrials | 2.8 |
Information Technology | 20.5 |
Materials | 2.2 |
Real Estate | 1.4 |
Utilities | 0.3 |
Total | 100.0 |
Country breakdown (%) (at June 30, 2020) | |
Argentina | 1.6 |
Brazil | 8.2 |
Canada | 0.6 |
Cayman Islands | 0.2 |
China | 34.2 |
Hong Kong | 3.0 |
Hungary | 1.4 |
India | 12.6 |
Indonesia | 4.3 |
Philippines | 1.4 |
Poland | 1.1 |
Russian Federation | 5.3 |
South Africa | 2.6 |
South Korea | 11.3 |
Taiwan | 7.9 |
Thailand | 2.3 |
United States(a) | 2.0 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds. |
4 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2020 |
(Unaudited)
January 1, 2020 — June 30, 2020 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 958.50 | 1,019.19 | 5.55 | 5.72 | 1.14 |
Class 2 | 1,000.00 | 1,000.00 | 957.10 | 1,017.95 | 6.76 | 6.97 | 1.39 |
Class 3 | 1,000.00 | 1,000.00 | 957.80 | 1,018.55 | 6.18 | 6.37 | 1.27 |
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2020 | 5 |
June 30, 2020 (Unaudited)
Common Stocks 96.8% | ||
Issuer | Shares | Value ($) |
Argentina 1.6% | ||
Globant SA(a) | 16,567 | 2,482,565 |
MercadoLibre, Inc.(a) | 3,206 | 3,160,379 |
Total | 5,642,944 | |
Brazil 7.6% | ||
Afya Ltd., Class A(a) | 139,806 | 3,277,053 |
Arco Platform Ltd., Class A(a) | 36,659 | 1,593,933 |
BK Brasil Operacao e Assessoria a Restaurantes SA | 775,469 | 1,618,502 |
Hapvida Participacoes e Investimentos SA | 83,400 | 964,649 |
Itaú Unibanco Holding SA, ADR | 512,797 | 2,405,018 |
Linx SA | 147,200 | 683,745 |
Localiza Rent a Car SA | 168,226 | 1,269,560 |
Lojas Renner SA | 212,340 | 1,645,820 |
Magazine Luiza SA | 324,700 | 4,287,060 |
Notre Dame Intermedica Participacoes SA | 148,400 | 1,867,928 |
Pagseguro Digital Ltd., Class A(a) | 53,225 | 1,880,971 |
Stone Co., Ltd., Class A(a) | 81,508 | 3,159,250 |
XP, Inc., Class A(a) | 50,424 | 2,118,312 |
Total | 26,771,801 | |
Canada 0.6% | ||
Parex Resources, Inc.(a) | 178,307 | 2,148,720 |
Cayman Islands 0.2% | ||
Burning Rock Biotech Ltd., ADR(a) | 28,524 | 770,433 |
China 34.4% | ||
Alibaba Group Holding Ltd., ADR(a) | 128,066 | 27,623,836 |
BeiGene Ltd., ADR(a) | 9,409 | 1,772,656 |
China Animal Healthcare Ltd.(a),(b),(c) | 4,603,000 | 1 |
China Resources Cement Holdings Ltd. | 2,900,000 | 3,576,639 |
Country Garden Services Holdings Co., Ltd. | 745,000 | 3,477,927 |
Glodon Co., Ltd., Class A | 147,400 | 1,459,037 |
Hangzhou Robam Appliances Co., Ltd., Class A | 337,700 | 1,491,762 |
JD.com, Inc., ADR(a) | 105,071 | 6,323,173 |
Kingdee International Software Group Co., Ltd.(a) | 1,326,000 | 3,102,686 |
Kweichow Moutai Co., Ltd., Class A | 19,000 | 3,945,686 |
Li Ning Co., Ltd. | 1,137,500 | 3,642,776 |
Midea Group Co., Ltd., Class A | 244,200 | 2,070,237 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
NetEase, Inc., ADR | 8,029 | 3,447,492 |
New Oriental Education & Technology Group, Inc., ADR(a) | 20,253 | 2,637,548 |
Ping An Insurance Group Co. of China Ltd., Class H | 422,500 | 4,211,899 |
Shenzhou International Group Holdings Ltd. | 242,600 | 2,949,340 |
Skshu Paint Co., Ltd. | 178,495 | 2,326,197 |
TAL Education Group, ADR(a) | 65,434 | 4,474,377 |
Tencent Holdings Ltd. | 497,701 | 31,891,641 |
Wuliangye Yibin Co., Ltd., Class A | 45,100 | 1,095,792 |
WuXi AppTec Co., Ltd., Class H | 258,916 | 3,381,356 |
Wuxi Biologics Cayman, Inc.(a) | 331,500 | 6,084,887 |
Total | 120,986,945 | |
Hong Kong 3.0% | ||
AIA Group Ltd. | 394,400 | 3,690,639 |
Galaxy Entertainment Group Ltd. | 231,000 | 1,584,602 |
Melco Resorts & Entertainment Ltd., ADR | 54,079 | 839,306 |
Techtronic Industries Co., Ltd. | 449,000 | 4,442,656 |
Total | 10,557,203 | |
Hungary 1.4% | ||
OTP Bank Nyrt(a) | 100,124 | 3,519,891 |
Richter Gedeon Nyrt | 70,265 | 1,457,975 |
Total | 4,977,866 | |
India 12.7% | ||
Apollo Hospitals Enterprise Ltd. | 88,371 | 1,581,389 |
Asian Paints Ltd. | 84,182 | 1,882,073 |
Avenue Supermarts Ltd.(a) | 79,608 | 2,443,188 |
Bajaj Finance Ltd. | 47,236 | 1,777,876 |
Balkrishna Industries Ltd. | 212,707 | 3,570,766 |
Bandhan Bank Ltd.(a) | 420,257 | 1,792,189 |
Bharti Airtel Ltd.(a) | 241,606 | 1,794,402 |
Eicher Motors Ltd. | 9,886 | 2,400,468 |
HDFC Bank Ltd., ADR | 135,921 | 6,178,969 |
HDFC Life Insurance Co., Ltd.(a) | 299,076 | 2,184,496 |
Indraprastha Gas Ltd. | 149,603 | 879,741 |
Jubilant Foodworks Ltd. | 39,053 | 893,748 |
Kotak Mahindra Bank Ltd. | 197,290 | 3,561,088 |
Petronet LNG Ltd. | 632,373 | 2,164,148 |
6 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Reliance Industries Ltd. | 352,931 | 8,027,917 |
SBI Cards & Payment Services Ltd. | 266,121 | 2,233,307 |
Tech Mahindra Ltd. | 182,700 | 1,314,553 |
Total | 44,680,318 | |
Indonesia 4.3% | ||
PT Ace Hardware Indonesia Tbk(a) | 19,859,100 | 2,103,037 |
PT Bank BTPN Syariah Tbk | 8,073,600 | 1,808,875 |
PT Bank Central Asia Tbk | 2,548,200 | 5,098,442 |
PT Bank Rakyat Indonesia Persero Tbk | 24,067,800 | 5,137,106 |
PT Pakuwon Jati Tbk | 39,378,400 | 1,153,969 |
Total | 15,301,429 | |
Philippines 1.4% | ||
Ayala Land, Inc. | 5,217,900 | 3,558,836 |
BDO Unibank, Inc. | 724,250 | 1,429,144 |
Total | 4,987,980 | |
Poland 1.1% | ||
Dino Polska SA(a) | 77,329 | 3,938,999 |
Russian Federation 5.3% | ||
Detsky Mir PJSC | 913,761 | 1,294,749 |
Lukoil PJSC, ADR | 48,849 | 3,631,150 |
Mail.ru Group Ltd., GDR(a),(d) | 50,788 | 1,145,599 |
Sberbank of Russia PJSC, ADR(a) | 325,577 | 3,701,077 |
TCS Group Holding PLC, GDR | 75,150 | 1,525,545 |
Yandex NV, Class A(a) | 147,222 | 7,364,045 |
Total | 18,662,165 | |
South Africa 2.6% | ||
AVI Ltd. | 215,454 | 875,847 |
Capitec Bank Holdings Ltd. | 32,824 | 1,631,361 |
Clicks Group Ltd. | 57,861 | 701,434 |
Naspers Ltd., Class N | 32,845 | 6,036,267 |
Total | 9,244,909 | |
South Korea 10.2% | ||
Kakao Corp. | 12,017 | 2,696,646 |
NAVER Corp. | 16,035 | 3,607,607 |
Pearl Abyss Corp.(a) | 8,528 | 1,551,572 |
Samsung Electro-Mechanics Co., Ltd. | 37,603 | 4,079,554 |
Samsung Electronics Co., Ltd. | 329,137 | 14,570,116 |
Samsung SDI Co., Ltd. | 8,654 | 2,646,061 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
SK Biopharmaceuticals Co., Ltd.(a),(b),(c) | 7,168 | 292,000 |
SK Hynix, Inc. | 89,100 | 6,361,607 |
Total | 35,805,163 | |
Taiwan 8.0% | ||
MediaTek, Inc. | 246,000 | 4,863,575 |
Sea Ltd. ADR(a) | 26,494 | 2,841,217 |
Silergy Corp. | 38,000 | 2,489,315 |
Taiwan Semiconductor Manufacturing Co., Ltd. | 1,556,838 | 16,626,283 |
Taiwan Semiconductor Manufacturing Co., Ltd., ADR | 21,290 | 1,208,633 |
Total | 28,029,023 | |
Thailand 2.4% | ||
Mega Lifesciences PCL, Foreign Registered Shares | 1,006,400 | 1,224,407 |
Muangthai Capital PCL, Foreign Registered Shares | 2,098,000 | 3,563,624 |
Srisawad Corp., PCL, Foreign Registered Shares(a) | 1,062,570 | 1,785,291 |
Tisco Financial Group PCL, Foreign Registered Shares | 750,100 | 1,692,945 |
Total | 8,266,267 | |
Total Common Stocks (Cost $246,760,397) | 340,772,165 |
Preferred Stocks 1.8% | |||
Issuer | Shares | Value ($) | |
Brazil 0.6% | |||
Azul SA(a) | 160,400 | 597,876 | |
Lojas Americanas SA | 271,095 | 1,610,189 | |
Total | 2,208,065 | ||
South Korea 1.2% | |||
Samsung Electronics Co., Ltd. | 104,067 | 4,053,858 | |
Total Preferred Stocks (Cost $4,818,521) | 6,261,923 |
Money Market Funds 2.0% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(e),(f) | 7,039,575 | 7,039,575 |
Total Money Market Funds (Cost $7,039,838) | 7,039,575 | |
Total Investments in Securities (Cost $258,618,756) | 354,073,663 | |
Other Assets & Liabilities, Net | (1,969,109) | |
Net Assets | $352,104,554 |
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2020 | 7 |
June 30, 2020 (Unaudited)
(a) | Non-income producing investment. |
(b) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At June 30, 2020, the total value of these securities amounted to $292,001, which represents 0.08% 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. At June 30, 2020, the total value of these securities amounted to $1,145,599, which represents 0.33% of total net assets. |
(e) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
(f) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | ||||||||
1,091,846 | 43,996,822 | (38,048,830) | (263) | 7,039,575 | (439) | 16,572 | 7,039,575 |
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). |
8 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
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 | ||||
Argentina | 5,642,944 | — | — | 5,642,944 |
Brazil | 26,771,801 | — | — | 26,771,801 |
Canada | 2,148,720 | — | — | 2,148,720 |
Cayman Islands | 770,433 | — | — | 770,433 |
China | 46,279,082 | 74,707,862 | 1 | 120,986,945 |
Hong Kong | 839,306 | 9,717,897 | — | 10,557,203 |
Hungary | — | 4,977,866 | — | 4,977,866 |
India | 6,178,969 | 38,501,349 | — | 44,680,318 |
Indonesia | — | 15,301,429 | — | 15,301,429 |
Philippines | — | 4,987,980 | — | 4,987,980 |
Poland | — | 3,938,999 | — | 3,938,999 |
Russian Federation | 7,364,045 | 11,298,120 | — | 18,662,165 |
South Africa | — | 9,244,909 | — | 9,244,909 |
South Korea | — | 35,513,163 | 292,000 | 35,805,163 |
Taiwan | 4,049,850 | 23,979,173 | — | 28,029,023 |
Thailand | — | 8,266,267 | — | 8,266,267 |
Total Common Stocks | 100,045,150 | 240,435,014 | 292,001 | 340,772,165 |
Preferred Stocks | ||||
Brazil | 2,208,065 | — | — | 2,208,065 |
South Korea | — | 4,053,858 | — | 4,053,858 |
Total Preferred Stocks | 2,208,065 | 4,053,858 | — | 6,261,923 |
Money Market Funds | 7,039,575 | — | — | 7,039,575 |
Total Investments in Securities | 109,292,790 | 244,488,872 | 292,001 | 354,073,663 |
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2020 | 9 |
June 30, 2020 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $251,578,918) | $347,034,088 |
Affiliated issuers (cost $7,039,838) | 7,039,575 |
Foreign currency (cost $307,783) | 307,433 |
Receivable for: | |
Investments sold | 1,235 |
Capital shares sold | 99,366 |
Dividends | 316,888 |
Foreign tax reclaims | 16,135 |
Expense reimbursement due from Investment Manager | 705 |
Total assets | 354,815,425 |
Liabilities | |
Due to custodian | 12,327 |
Payable for: | |
Investments purchased | 1,391,920 |
Capital shares purchased | 484,164 |
Foreign capital gains taxes deferred | 651,078 |
Management services fees | 9,187 |
Distribution and/or service fees | 824 |
Service fees | 8,257 |
Compensation of board members | 83,923 |
Compensation of chief compliance officer | 52 |
Other expenses | 69,139 |
Total liabilities | 2,710,871 |
Net assets applicable to outstanding capital stock | $352,104,554 |
Represented by | |
Paid in capital | 262,328,547 |
Total distributable earnings (loss) | 89,776,007 |
Total - representing net assets applicable to outstanding capital stock | $352,104,554 |
Class 1 | |
Net assets | $126,968,433 |
Shares outstanding | 8,083,882 |
Net asset value per share | $15.71 |
Class 2 | |
Net assets | $53,068,353 |
Shares outstanding | 3,412,233 |
Net asset value per share | $15.55 |
Class 3 | |
Net assets | $172,067,768 |
Shares outstanding | 11,000,981 |
Net asset value per share | $15.64 |
10 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2020 |
Six Months Ended June 30, 2020 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $2,195,289 |
Dividends — affiliated issuers | 16,572 |
Foreign taxes withheld | (226,620) |
Total income | 1,985,241 |
Expenses: | |
Management services fees | 1,851,151 |
Distribution and/or service fees | |
Class 2 | 62,561 |
Class 3 | 104,831 |
Service fees | 64,551 |
Compensation of board members | 4,008 |
Custodian fees | 76,145 |
Printing and postage fees | 31,938 |
Audit fees | 20,871 |
Legal fees | 5,547 |
Line of credit interest | 70 |
Compensation of chief compliance officer | 37 |
Other | 36,239 |
Total expenses | 2,257,949 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (172,699) |
Total net expenses | 2,085,250 |
Net investment loss | (100,009) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (4,276,470) |
Investments — affiliated issuers | (439) |
Foreign currency translations | (244,150) |
Net realized loss | (4,521,059) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (12,323,438) |
Investments — affiliated issuers | (263) |
Foreign currency translations | (26,471) |
Foreign capital gains tax | (111,937) |
Net change in unrealized appreciation (depreciation) | (12,462,109) |
Net realized and unrealized loss | (16,983,168) |
Net decrease in net assets resulting from operations | $(17,083,177) |
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2020 | 11 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||
Net investment income (loss) | $(100,009) | $2,113,726 |
Net realized gain (loss) | (4,521,059) | 45,669,111 |
Net change in unrealized appreciation (depreciation) | (12,462,109) | 69,808,528 |
Net increase (decrease) in net assets resulting from operations | (17,083,177) | 117,591,365 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | (17,184,859) | (26,087,312) |
Class 2 | (7,093,772) | (6,027,058) |
Class 3 | (23,201,660) | (22,829,330) |
Total distributions to shareholders | (47,480,291) | (54,943,700) |
Increase (decrease) in net assets from capital stock activity | 30,314,495 | (89,133,388) |
Increase from payment by affiliate | — | 60,297 |
Total decrease in net assets | (34,248,973) | (26,425,426) |
Net assets at beginning of period | 386,353,527 | 412,778,953 |
Net assets at end of period | $352,104,554 | $386,353,527 |
Six Months Ended | Year Ended | |||
June 30, 2020 (Unaudited) | December 31, 2019 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 509,093 | 7,929,656 | 919,675 | 16,368,248 |
Distributions reinvested | 1,105,769 | 17,184,859 | 1,536,064 | 26,087,312 |
Redemptions | (590,811) | (9,909,708) | (7,408,003) | (132,819,774) |
Net increase (decrease) | 1,024,051 | 15,204,807 | (4,952,264) | (90,364,214) |
Class 2 | ||||
Subscriptions | 243,419 | 4,199,926 | 290,665 | 5,100,547 |
Distributions reinvested | 459,958 | 7,093,772 | 358,193 | 6,027,058 |
Redemptions | (265,068) | (4,345,679) | (290,573) | (5,055,087) |
Net increase | 438,309 | 6,948,019 | 358,285 | 6,072,518 |
Class 3 | ||||
Subscriptions | 74,457 | 1,191,938 | 47,344 | 839,010 |
Distributions reinvested | 1,497,424 | 23,201,660 | 1,349,242 | 22,829,330 |
Redemptions | (971,211) | (16,231,929) | (1,622,581) | (28,510,032) |
Net increase (decrease) | 600,670 | 8,161,669 | (225,995) | (4,841,692) |
Total net increase (decrease) | 2,063,030 | 30,314,495 | (4,819,974) | (89,133,388) |
12 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2020 | 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 | Distributions from net realized gains | Total distributions to shareholders | |
Class 1 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $18.98 | 0.00(c) | (0.84) | (0.84) | (0.12) | (2.31) | (2.43) |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $18.78 | (0.02) | (0.82) | (0.84) | (0.08) | (2.31) | (2.39) |
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)(c) | — | (0.00)(c) |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $18.89 | (0.01) | (0.83) | (0.84) | (0.10) | (2.31) | (2.41) |
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) | Rounds to zero. |
(d) | Annualized. |
(e) | Ratios include line of credit interest expense which is less than 0.01%. |
(f) | 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%. |
(g) | Ratios include interfund lending expense which is less than 0.01%. |
(h) | The Fund received a payment from an affiliate which had an impact of less than 0.01%. |
14 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2020 |
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 (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | ||||||||
Six Months Ended 6/30/2020 (Unaudited) | — | $15.71 | (4.15%) | 1.24%(d),(e) | 1.14%(d),(e) | 0.05%(d) | 15% | $126,968 |
Year Ended 12/31/2019 | 0.01 | $18.98 | 31.50%(f) | 1.22%(g) | 1.17%(g) | 0.53% | 26% | $133,990 |
Year Ended 12/31/2018 | — | $16.38 | (21.62%) | 1.20%(g) | 1.20%(g) | 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 | ||||||||
Six Months Ended 6/30/2020 (Unaudited) | — | $15.55 | (4.29%) | 1.49%(d),(e) | 1.39%(d),(e) | (0.20%)(d) | 15% | $53,068 |
Year Ended 12/31/2019 | 0.00(c) | $18.78 | 31.13%(h) | 1.47%(g) | 1.42%(g) | 0.33% | 26% | $55,859 |
Year Ended 12/31/2018 | — | $16.26 | (21.78%) | 1.47%(g) | 1.46%(g) | 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 | ||||||||
Six Months Ended 6/30/2020 (Unaudited) | — | $15.64 | (4.22%) | 1.37%(d),(e) | 1.27%(d),(e) | (0.09%)(d) | 15% | $172,068 |
Year Ended 12/31/2019 | 0.00(c) | $18.89 | 31.29%(h) | 1.34%(g) | 1.29%(g) | 0.45% | 26% | $196,505 |
Year Ended 12/31/2018 | — | $16.33 | (21.73%) | 1.34%(g) | 1.33%(g) | 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% | $207,067 |
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2020 | 15 |
June 30, 2020 (Unaudited)
16 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2020 | 17 |
June 30, 2020 (Unaudited)
18 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Fee rate(s) contractual July 1, 2020 through April 30, 2021 | |
Class 1 | 1.14% |
Class 2 | 1.39 |
Class 3 | 1.265 |
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2020 | 19 |
June 30, 2020 (Unaudited)
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
258,619,000 | 113,083,000 | (17,628,000) | 95,455,000 |
20 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Average loan balance ($) | Weighted average interest rate (%) | Days outstanding |
1,200,000 | 2.09 | 1 |
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2020 | 21 |
June 30, 2020 (Unaudited)
22 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2020 | 23 |
June 30, 2020 (Unaudited)
24 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2020 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2020 | 25 |
Nature, extent and quality of services provided by Columbia Threadneedle
26 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2020 |
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of the Funds’ fee rates, and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Board accorded particular weight to the notion that the primary objective of the level of fees is to achieve a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) approximated the peer universe’s median expense ratio. Based on its review, the Board concluded that the Fund’s management fee was fair and reasonable in light of the extent and quality of services that the Fund receives.
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2020 | 27 |
June 30, 2020
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | -2.75 | 5.62 | 9.30 | 13.95 | |
Class 2 | 05/03/10 | -2.85 | 5.37 | 9.03 | 13.66 | |
Class 3 | 10/13/81 | -2.80 | 5.49 | 9.16 | 13.81 | |
S&P 500 Index | -3.08 | 7.51 | 10.73 | 13.99 |
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2020 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2020) | |
Common Stocks | 98.7 |
Money Market Funds | 1.3 |
Total | 100.0 |
Equity sector breakdown (%) (at June 30, 2020) | |
Communication Services | 10.4 |
Consumer Discretionary | 11.5 |
Consumer Staples | 7.2 |
Energy | 2.7 |
Financials | 10.5 |
Health Care | 14.7 |
Industrials | 7.6 |
Information Technology | 27.7 |
Materials | 2.2 |
Real Estate | 2.6 |
Utilities | 2.9 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2020 |
(Unaudited)
January 1, 2020 — June 30, 2020 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 972.50 | 1,021.58 | 3.24 | 3.32 | 0.66 |
Class 2 | 1,000.00 | 1,000.00 | 971.50 | 1,020.34 | 4.46 | 4.57 | 0.91 |
Class 3 | 1,000.00 | 1,000.00 | 972.00 | 1,020.93 | 3.87 | 3.97 | 0.79 |
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2020 | 5 |
June 30, 2020 (Unaudited)
Common Stocks 98.7% | ||
Issuer | Shares | Value ($) |
Communication Services 10.3% | ||
Diversified Telecommunication Services 1.2% | ||
Verizon Communications, Inc. | 988,240 | 54,481,671 |
Entertainment 1.1% | ||
Electronic Arts, Inc.(a) | 407,000 | 53,744,350 |
Interactive Media & Services 7.8% | ||
Alphabet, Inc., Class A(a) | 151,800 | 215,259,990 |
Facebook, Inc., Class A(a) | 661,400 | 150,184,098 |
Total | 365,444,088 | |
Media 0.2% | ||
Interpublic Group of Companies, Inc. (The) | 649,100 | 11,138,556 |
Total Communication Services | 484,808,665 | |
Consumer Discretionary 11.3% | ||
Hotels, Restaurants & Leisure 0.9% | ||
Domino’s Pizza, Inc. | 46,500 | 17,178,960 |
Hilton Worldwide Holdings, Inc. | 354,700 | 26,052,715 |
Total | 43,231,675 | |
Household Durables 0.8% | ||
PulteGroup, Inc. | 1,131,200 | 38,494,736 |
Internet & Direct Marketing Retail 4.9% | ||
Amazon.com, Inc.(a) | 53,800 | 148,424,516 |
eBay, Inc. | 1,530,000 | 80,248,500 |
Total | 228,673,016 | |
Multiline Retail 1.9% | ||
Dollar General Corp. | 85,000 | 16,193,350 |
Target Corp. | 594,300 | 71,274,399 |
Total | 87,467,749 | |
Specialty Retail 2.8% | ||
Best Buy Co., Inc. | 836,300 | 72,983,901 |
Home Depot, Inc. (The) | 49,900 | 12,500,449 |
Lowe’s Companies, Inc. | 356,000 | 48,102,720 |
Total | 133,587,070 | |
Total Consumer Discretionary | 531,454,246 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Consumer Staples 7.1% | ||
Food Products 0.8% | ||
General Mills, Inc. | 507,800 | 31,305,870 |
JM Smucker Co. (The) | 63,300 | 6,697,773 |
Total | 38,003,643 | |
Household Products 3.7% | ||
Kimberly-Clark Corp. | 487,050 | 68,844,518 |
Procter & Gamble Co. (The) | 871,900 | 104,253,083 |
Total | 173,097,601 | |
Tobacco 2.6% | ||
Altria Group, Inc. | 1,396,800 | 54,824,400 |
Philip Morris International, Inc. | 993,600 | 69,611,616 |
Total | 124,436,016 | |
Total Consumer Staples | 335,537,260 | |
Energy 2.7% | ||
Oil, Gas & Consumable Fuels 2.7% | ||
Chevron Corp. | 279,800 | 24,966,554 |
ConocoPhillips Co. | 1,377,100 | 57,865,742 |
HollyFrontier Corp. | 921,000 | 26,893,200 |
Phillips 66 | 87,700 | 6,305,630 |
Valero Energy Corp. | 186,400 | 10,964,048 |
Total | 126,995,174 | |
Total Energy | 126,995,174 | |
Financials 10.4% | ||
Banks 2.8% | ||
Bank of America Corp. | 773,000 | 18,358,750 |
Citigroup, Inc. | 1,922,500 | 98,239,750 |
Citizens Financial Group, Inc. | 607,400 | 15,330,776 |
Total | 131,929,276 | |
Capital Markets 4.9% | ||
Bank of New York Mellon Corp. (The) | 1,009,100 | 39,001,715 |
BlackRock, Inc. | 14,000 | 7,617,260 |
Intercontinental Exchange, Inc. | 823,780 | 75,458,248 |
Moody’s Corp. | 14,800 | 4,066,004 |
S&P Global, Inc. | 229,200 | 75,516,816 |
6 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
State Street Corp. | 368,800 | 23,437,240 |
T. Rowe Price Group, Inc. | 53,100 | 6,557,850 |
Total | 231,655,133 | |
Consumer Finance 0.7% | ||
Synchrony Financial | 1,442,600 | 31,968,016 |
Diversified Financial Services 0.1% | ||
Voya Financial, Inc. | 114,900 | 5,360,085 |
Insurance 1.9% | ||
Allstate Corp. (The) | 801,100 | 77,698,689 |
MetLife, Inc. | 258,100 | 9,425,812 |
Total | 87,124,501 | |
Total Financials | 488,037,011 | |
Health Care 14.5% | ||
Biotechnology 2.7% | ||
AbbVie, Inc. | 420,760 | 41,310,217 |
Alexion Pharmaceuticals, Inc.(a) | 242,300 | 27,195,752 |
BioMarin Pharmaceutical, Inc.(a) | 206,200 | 25,432,708 |
Vertex Pharmaceuticals, Inc.(a) | 117,260 | 34,041,750 |
Total | 127,980,427 | |
Health Care Equipment & Supplies 2.2% | ||
Dentsply Sirona, Inc. | 170,570 | 7,515,314 |
Hologic, Inc.(a) | 74,700 | 4,257,900 |
Medtronic PLC | 974,300 | 89,343,310 |
Total | 101,116,524 | |
Health Care Providers & Services 3.4% | ||
Cardinal Health, Inc. | 917,210 | 47,869,190 |
DaVita, Inc.(a) | 620,800 | 49,130,112 |
Humana, Inc. | 99,100 | 38,426,025 |
McKesson Corp. | 164,450 | 25,229,919 |
Total | 160,655,246 | |
Pharmaceuticals 6.2% | ||
Bristol-Myers Squibb Co. | 1,018,700 | 59,899,560 |
Eli Lilly and Co. | 40,600 | 6,665,708 |
Johnson & Johnson | 631,900 | 88,864,097 |
Merck & Co., Inc. | 1,262,200 | 97,605,926 |
Mylan NV(a) | 2,362,700 | 37,992,216 |
Total | 291,027,507 | |
Total Health Care | 680,779,704 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Industrials 7.5% | ||
Aerospace & Defense 1.9% | ||
Lockheed Martin Corp. | 244,200 | 89,113,464 |
Airlines 0.8% | ||
Southwest Airlines Co. | 1,065,870 | 36,431,437 |
Electrical Equipment 2.0% | ||
Eaton Corp. PLC | 921,100 | 80,577,828 |
Rockwell Automation, Inc. | 66,200 | 14,100,600 |
Total | 94,678,428 | |
Machinery 2.1% | ||
Cummins, Inc. | 394,300 | 68,316,418 |
Illinois Tool Works, Inc. | 180,900 | 31,630,365 |
Total | 99,946,783 | |
Professional Services 0.2% | ||
Robert Half International, Inc. | 216,100 | 11,416,563 |
Road & Rail 0.5% | ||
Norfolk Southern Corp. | 123,000 | 21,595,110 |
Total Industrials | 353,181,785 | |
Information Technology 27.3% | ||
Communications Equipment 2.4% | ||
Cisco Systems, Inc. | 2,460,400 | 114,753,056 |
IT Services 5.3% | ||
MasterCard, Inc., Class A | 432,300 | 127,831,110 |
VeriSign, Inc.(a) | 396,480 | 82,003,958 |
Visa, Inc., Class A | 202,900 | 39,194,193 |
Total | 249,029,261 | |
Semiconductors & Semiconductor Equipment 5.2% | ||
Broadcom, Inc. | 25,000 | 7,890,250 |
Intel Corp. | 2,016,900 | 120,671,127 |
KLA Corp. | 84,200 | 16,375,216 |
QUALCOMM, Inc. | 1,109,200 | 101,170,132 |
Total | 246,106,725 |
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2020 | 7 |
June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Software 9.6% | ||
Adobe, Inc.(a) | 169,800 | 73,915,638 |
Autodesk, Inc.(a) | 366,200 | 87,591,378 |
Fortinet, Inc.(a) | 613,400 | 84,201,418 |
Microsoft Corp. | 1,011,000 | 205,748,610 |
Total | 451,457,044 | |
Technology Hardware, Storage & Peripherals 4.8% | ||
Apple, Inc.(b) | 583,700 | 212,933,760 |
HP, Inc. | 629,400 | 10,970,442 |
Total | 223,904,202 | |
Total Information Technology | 1,285,250,288 | |
Materials 2.2% | ||
Chemicals 1.6% | ||
LyondellBasell Industries NV, Class A | 1,104,800 | 72,607,456 |
Metals & Mining 0.6% | ||
Nucor Corp. | 709,100 | 29,363,831 |
Total Materials | 101,971,287 | |
Real Estate 2.5% | ||
Equity Real Estate Investment Trusts (REITS) 2.5% | ||
American Tower Corp. | 153,940 | 39,799,648 |
Equinix, Inc. | 35,900 | 25,212,570 |
ProLogis, Inc. | 357,600 | 33,374,808 |
SBA Communications Corp. | 31,100 | 9,265,312 |
Vornado Realty Trust | 331,900 | 12,681,899 |
Total | 120,334,237 | |
Total Real Estate | 120,334,237 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Utilities 2.9% | ||
Electric Utilities 2.5% | ||
Entergy Corp. | 288,900 | 27,101,709 |
Exelon Corp. | 1,033,600 | 37,509,344 |
NRG Energy, Inc. | 1,687,400 | 54,941,744 |
Total | 119,552,797 | |
Independent Power and Renewable Electricity Producers 0.2% | ||
AES Corp. (The) | 586,400 | 8,496,936 |
Multi-Utilities 0.2% | ||
Sempra Energy | 58,800 | 6,893,124 |
Total Utilities | 134,942,857 | |
Total Common Stocks (Cost $3,971,725,044) | 4,643,292,514 | |
Money Market Funds 1.3% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(c),(d) | 60,116,141 | 60,116,141 |
Total Money Market Funds (Cost $60,116,141) | 60,116,141 | |
Total Investments in Securities (Cost: $4,031,841,185) | 4,703,408,655 | |
Other Assets & Liabilities, Net | 2,208,890 | |
Net Assets | 4,705,617,545 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
S&P 500 Index E-mini | 469 | 09/2020 | USD | 72,465,190 | 799,215 | — |
(a) | Non-income producing investment. |
(b) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(c) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
8 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
(d) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | ||||||||
58,345,246 | 406,700,224 | (404,930,477) | 1,148 | 60,116,141 | 33,748 | 174,887 | 60,116,141 |
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 | 484,808,665 | — | — | 484,808,665 |
Consumer Discretionary | 531,454,246 | — | — | 531,454,246 |
Consumer Staples | 335,537,260 | — | — | 335,537,260 |
Energy | 126,995,174 | — | — | 126,995,174 |
Financials | 488,037,011 | — | — | 488,037,011 |
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2020 | 9 |
June 30, 2020 (Unaudited)
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Health Care | 680,779,704 | — | — | 680,779,704 |
Industrials | 353,181,785 | — | — | 353,181,785 |
Information Technology | 1,285,250,288 | — | — | 1,285,250,288 |
Materials | 101,971,287 | — | — | 101,971,287 |
Real Estate | 120,334,237 | — | — | 120,334,237 |
Utilities | 134,942,857 | — | — | 134,942,857 |
Total Common Stocks | 4,643,292,514 | — | — | 4,643,292,514 |
Money Market Funds | 60,116,141 | — | — | 60,116,141 |
Total Investments in Securities | 4,703,408,655 | — | — | 4,703,408,655 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 799,215 | — | — | 799,215 |
Total | 4,704,207,870 | — | — | 4,704,207,870 |
10 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $3,971,725,044) | $4,643,292,514 |
Affiliated issuers (cost $60,116,141) | 60,116,141 |
Cash | 8,548 |
Receivable for: | |
Dividends | 7,313,935 |
Foreign tax reclaims | 141,274 |
Variation margin for futures contracts | 996,625 |
Total assets | 4,711,869,037 |
Liabilities | |
Payable for: | |
Capital shares purchased | 5,830,463 |
Management services fees | 80,808 |
Distribution and/or service fees | 4,153 |
Service fees | 53,987 |
Compensation of board members | 188,702 |
Compensation of chief compliance officer | 593 |
Other expenses | 92,786 |
Total liabilities | 6,251,492 |
Net assets applicable to outstanding capital stock | $4,705,617,545 |
Represented by | |
Trust capital | $4,705,617,545 |
Total - representing net assets applicable to outstanding capital stock | $4,705,617,545 |
Class 1 | |
Net assets | $3,510,710,423 |
Shares outstanding | 61,695,365 |
Net asset value per share | $56.90 |
Class 2 | |
Net assets | $37,462,156 |
Shares outstanding | 675,042 |
Net asset value per share | $55.50 |
Class 3 | |
Net assets | $1,157,444,966 |
Shares outstanding | 20,608,680 |
Net asset value per share | $56.16 |
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2020 | 11 |
Six Months Ended June 30, 2020 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $50,804,200 |
Dividends — affiliated issuers | 174,887 |
Total income | 50,979,087 |
Expenses: | |
Management services fees | 14,937,282 |
Distribution and/or service fees | |
Class 2 | 45,217 |
Class 3 | 708,164 |
Service fees | 345,091 |
Compensation of board members | 29,431 |
Custodian fees | 15,951 |
Printing and postage fees | 113,806 |
Audit fees | 14,669 |
Legal fees | 27,514 |
Compensation of chief compliance officer | 576 |
Other | 36,825 |
Total expenses | 16,274,526 |
Net investment income | 34,704,561 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 140,592,455 |
Investments — affiliated issuers | 33,748 |
Futures contracts | 12,914,274 |
Net realized gain | 153,540,477 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (315,547,629) |
Investments — affiliated issuers | 1,148 |
Futures contracts | (512,063) |
Net change in unrealized appreciation (depreciation) | (316,058,544) |
Net realized and unrealized loss | (162,518,067) |
Net decrease in net assets resulting from operations | $(127,813,506) |
12 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2020 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||
Net investment income | $34,704,561 | $73,256,747 |
Net realized gain | 153,540,477 | 413,034,628 |
Net change in unrealized appreciation (depreciation) | (316,058,544) | 671,437,238 |
Net increase (decrease) in net assets resulting from operations | (127,813,506) | 1,157,728,613 |
Decrease in net assets from capital stock activity | (756,471,162) | (385,984,660) |
Total increase (decrease) in net assets | (884,284,668) | 771,743,953 |
Net assets at beginning of period | 5,589,902,213 | 4,818,158,260 |
Net assets at end of period | $4,705,617,545 | $5,589,902,213 |
Six Months Ended | Year Ended | |||
June 30, 2020 (Unaudited) | December 31, 2019 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 1,324,600 | 66,312,786 | 2,205,961 | 116,823,634 |
Redemptions | (12,957,454) | (757,718,478) | (6,735,453) | (359,789,609) |
Net decrease | (11,632,854) | (691,405,692) | (4,529,492) | (242,965,975) |
Class 2 | ||||
Subscriptions | 29,082 | 1,472,042 | 147,562 | 7,615,460 |
Redemptions | (42,898) | (2,261,460) | (75,762) | (4,017,984) |
Net increase (decrease) | (13,816) | (789,418) | 71,800 | 3,597,476 |
Class 3 | ||||
Subscriptions | 4,048 | 186,050 | 9,233 | 485,693 |
Redemptions | (1,202,860) | (64,462,102) | (2,776,212) | (147,101,854) |
Net decrease | (1,198,812) | (64,276,052) | (2,766,979) | (146,616,161) |
Total net decrease | (12,845,482) | (756,471,162) | (7,224,671) | (385,984,660) |
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2020 | 13 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $58.51 | 0.41 | (2.02) | (1.61) |
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 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $57.13 | 0.34 | (1.97) | (1.63) |
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 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $57.78 | 0.37 | (1.99) | (1.62) |
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. |
(c) | Annualized. |
14 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2020 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $56.90 | (2.75%) | 0.66%(c) | 0.66%(c) | 1.51%(c) | 36% | $3,510,710 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $55.50 | (2.85%) | 0.91%(c) | 0.91%(c) | 1.28%(c) | 36% | $37,462 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $56.16 | (2.80%) | 0.79%(c) | 0.79%(c) | 1.40%(c) | 36% | $1,157,445 |
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% | $1,280,983 |
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2020 | 15 |
June 30, 2020 (Unaudited)
16 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2020 | 17 |
June 30, 2020 (Unaudited)
18 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 799,215* |
* | 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 ($) |
Equity risk | 12,914,274 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Equity risk | (512,063) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 66,233,843 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2020. |
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2020 | 19 |
June 30, 2020 (Unaudited)
20 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
May 1, 2020 through April 30, 2021 | Prior to May 1, 2020 | |
Class 1 | 0.69% | 0.71% |
Class 2 | 0.94 | 0.96 |
Class 3 | 0.815 | 0.835 |
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2020 | 21 |
June 30, 2020 (Unaudited)
22 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2020 | 23 |
June 30, 2020 (Unaudited)
24 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2020 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2020 | 25 |
Nature, extent and quality of services provided by Columbia Threadneedle
26 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2020 |
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of the Funds’ fee rates, and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Board accorded particular weight to the notion that the primary objective of the level of fees is to achieve a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) approximated the peer universe’s median expense ratio. Based on its review, the Board concluded that the Fund’s management fee was fair and reasonable in light of the extent and quality of services that the Fund receives.
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2020 | 27 |
June 30, 2020
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | -19.02 | -16.63 | -0.75 | 8.76 | |
Class 2 | 05/03/10 | -19.15 | -16.87 | -0.99 | 8.49 | |
Class 3 | 09/15/99 | -19.08 | -16.72 | -0.87 | 8.63 | |
Russell 2000 Value Index | -23.50 | -17.48 | 1.26 | 7.82 |
Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2020 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2020) | |
Common Stocks | 98.7 |
Money Market Funds | 1.3 |
Total | 100.0 |
Equity sector breakdown (%) (at June 30, 2020) | |
Communication Services | 2.6 |
Consumer Discretionary | 11.9 |
Consumer Staples | 3.2 |
Energy | 1.8 |
Financials | 21.5 |
Health Care | 7.3 |
Industrials | 16.9 |
Information Technology | 16.6 |
Materials | 7.3 |
Real Estate | 7.7 |
Utilities | 3.2 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2020 |
(Unaudited)
January 1, 2020 — June 30, 2020 | |||||||
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 | 809.80 | 1,020.54 | 3.91 | 4.37 | 0.87 |
Class 2 | 1,000.00 | 1,000.00 | 808.50 | 1,019.29 | 5.04 | 5.62 | 1.12 |
Class 3 | 1,000.00 | 1,000.00 | 809.20 | 1,019.89 | 4.50 | 5.02 | 1.00 |
Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2020 | 5 |
June 30, 2020 (Unaudited)
Common Stocks 98.7% | ||
Issuer | Shares | Value ($) |
Communication Services 2.6% | ||
Wireless Telecommunication Services 2.6% | ||
Telephone and Data Systems, Inc. | 83,900 | 1,667,932 |
Total Communication Services | 1,667,932 | |
Consumer Discretionary 11.8% | ||
Auto Components 2.2% | ||
Motorcar Parts of America, Inc.(a) | 81,700 | 1,443,639 |
Diversified Consumer Services 0.5% | ||
Regis Corp.(a) | 41,500 | 339,470 |
Hotels, Restaurants & Leisure 5.7% | ||
Extended Stay America, Inc. | 60,000 | 671,400 |
Penn National Gaming, Inc.(a) | 51,578 | 1,575,192 |
Texas Roadhouse, Inc. | 26,860 | 1,412,030 |
Total | 3,658,622 | |
Household Durables 2.4% | ||
Lennar Corp., Class A | 9,416 | 580,214 |
Taylor Morrison Home Corp., Class A(a) | 49,416 | 953,235 |
Total | 1,533,449 | |
Specialty Retail 1.0% | ||
Aaron’s, Inc. | 14,000 | 635,600 |
Total Consumer Discretionary | 7,610,780 | |
Consumer Staples 3.1% | ||
Food Products 3.1% | ||
Nomad Foods Ltd.(a) | 93,600 | 2,007,720 |
Total Consumer Staples | 2,007,720 | |
Energy 1.8% | ||
Energy Equipment & Services 1.2% | ||
Exterran Corp.(a) | 64,500 | 347,655 |
Patterson-UTI Energy, Inc. | 119,810 | 415,741 |
Total | 763,396 | |
Oil, Gas & Consumable Fuels 0.6% | ||
WPX Energy, Inc.(a) | 60,000 | 382,800 |
Total Energy | 1,146,196 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Financials 21.3% | ||
Banks 4.3% | ||
Pacific Premier Bancorp, Inc. | 79,440 | 1,722,259 |
Popular, Inc. | 28,000 | 1,040,760 |
Total | 2,763,019 | |
Insurance 10.2% | ||
CNO Financial Group, Inc. | 60,000 | 934,200 |
Hanover Insurance Group, Inc. (The) | 16,900 | 1,712,477 |
Lincoln National Corp. | 31,300 | 1,151,527 |
National General Holdings Corp. | 128,000 | 2,766,080 |
Total | 6,564,284 | |
Mortgage Real Estate Investment Trusts (REITS) 0.8% | ||
Ladder Capital Corp., Class A | 66,435 | 538,124 |
Thrifts & Mortgage Finance 6.0% | ||
Axos Financial, Inc.(a) | 85,979 | 1,898,416 |
Radian Group, Inc. | 127,363 | 1,975,400 |
Total | 3,873,816 | |
Total Financials | 13,739,243 | |
Health Care 7.2% | ||
Biotechnology 2.0% | ||
Ligand Pharmaceuticals, Inc.(a) | 11,500 | 1,286,275 |
Health Care Equipment & Supplies 1.4% | ||
CONMED Corp. | 13,000 | 935,870 |
Health Care Providers & Services 2.0% | ||
Centene Corp.(a) | 20,123 | 1,278,817 |
Life Sciences Tools & Services 1.8% | ||
Syneos Health, Inc.(a) | 20,000 | 1,165,000 |
Total Health Care | 4,665,962 | |
Industrials 16.6% | ||
Aerospace & Defense 3.1% | ||
Cubic Corp. | 42,400 | 2,036,472 |
Airlines 1.5% | ||
Spirit Airlines, Inc.(a) | 54,000 | 961,200 |
Commercial Services & Supplies 3.4% | ||
Waste Connections, Inc. | 23,190 | 2,174,990 |
6 | Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Machinery 5.4% | ||
ITT, Inc. | 15,000 | 881,100 |
Kennametal, Inc. | 36,000 | 1,033,560 |
Rexnord Corp. | 53,667 | 1,564,393 |
Total | 3,479,053 | |
Road & Rail 3.2% | ||
Knight-Swift Transportation Holdings, Inc. | 50,340 | 2,099,682 |
Total Industrials | 10,751,397 | |
Information Technology 16.3% | ||
Communications Equipment 6.1% | ||
Extreme Networks, Inc.(a) | 263,400 | 1,143,156 |
Viavi Solutions, Inc.(a) | 222,200 | 2,830,828 |
Total | 3,973,984 | |
IT Services 5.0% | ||
CACI International, Inc., Class A(a) | 8,187 | 1,775,596 |
EPAM Systems, Inc.(a) | 5,675 | 1,430,157 |
Total | 3,205,753 | |
Semiconductors & Semiconductor Equipment 5.2% | ||
Kulicke & Soffa Industries, Inc. | 45,000 | 937,350 |
MACOM Technology Solutions Holdings, Inc.(a) | 71,000 | 2,438,850 |
Total | 3,376,200 | |
Total Information Technology | 10,555,937 | |
Materials 7.2% | ||
Chemicals 2.3% | ||
Minerals Technologies, Inc. | 31,700 | 1,487,681 |
Construction Materials 2.2% | ||
Summit Materials, Inc., Class A(a) | 89,400 | 1,437,552 |
Containers & Packaging 1.9% | ||
O-I Glass, Inc. | 135,080 | 1,213,018 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Metals & Mining 0.8% | ||
Warrior Met Coal, Inc. | 35,000 | 538,650 |
Total Materials | 4,676,901 | |
Real Estate 7.6% | ||
Equity Real Estate Investment Trusts (REITS) 7.6% | ||
First Industrial Realty Trust, Inc. | 30,000 | 1,153,200 |
Gaming and Leisure Properties, Inc. | 44,310 | 1,533,126 |
Physicians Realty Trust | 60,000 | 1,051,200 |
QTS Realty Trust Inc., Class A | 18,000 | 1,153,620 |
Total | 4,891,146 | |
Total Real Estate | 4,891,146 | |
Utilities 3.2% | ||
Electric Utilities 3.2% | ||
PNM Resources, Inc. | 20,000 | 768,800 |
Portland General Electric Co. | 31,100 | 1,300,291 |
Total | 2,069,091 | |
Total Utilities | 2,069,091 | |
Total Common Stocks (Cost $62,882,508) | 63,782,305 | |
Money Market Funds 1.3% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(b),(c) | 842,231 | 842,231 |
Total Money Market Funds (Cost $842,312) | 842,231 | |
Total Investments in Securities (Cost: $63,724,820) | 64,624,536 | |
Other Assets & Liabilities, Net | 14,837 | |
Net Assets | 64,639,373 |
Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2020 | 7 |
June 30, 2020 (Unaudited)
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | ||||||||
1,077,783 | 5,739,894 | (5,975,365) | (81) | 842,231 | 591 | 3,920 | 842,231 |
■ | 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 | 1,667,932 | — | — | 1,667,932 |
Consumer Discretionary | 7,610,780 | — | — | 7,610,780 |
Consumer Staples | 2,007,720 | — | — | 2,007,720 |
Energy | 1,146,196 | — | — | 1,146,196 |
Financials | 13,739,243 | — | — | 13,739,243 |
Health Care | 4,665,962 | — | — | 4,665,962 |
Industrials | 10,751,397 | — | — | 10,751,397 |
8 | Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Information Technology | 10,555,937 | — | — | 10,555,937 |
Materials | 4,676,901 | — | — | 4,676,901 |
Real Estate | 4,891,146 | — | — | 4,891,146 |
Utilities | 2,069,091 | — | — | 2,069,091 |
Total Common Stocks | 63,782,305 | — | — | 63,782,305 |
Money Market Funds | 842,231 | — | — | 842,231 |
Total Investments in Securities | 64,624,536 | — | — | 64,624,536 |
Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2020 | 9 |
June 30, 2020 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $62,882,508) | $63,782,305 |
Affiliated issuers (cost $842,312) | 842,231 |
Receivable for: | |
Investments sold | 952,112 |
Capital shares sold | 18,755 |
Dividends | 66,485 |
Expense reimbursement due from Investment Manager | 387 |
Total assets | 65,662,275 |
Liabilities | |
Payable for: | |
Investments purchased | 873,081 |
Capital shares purchased | 75,775 |
Management services fees | 1,519 |
Distribution and/or service fees | 282 |
Service fees | 6,815 |
Compensation of board members | 35,062 |
Compensation of chief compliance officer | 10 |
Other expenses | 30,358 |
Total liabilities | 1,022,902 |
Net assets applicable to outstanding capital stock | $64,639,373 |
Represented by | |
Trust capital | $64,639,373 |
Total - representing net assets applicable to outstanding capital stock | $64,639,373 |
Class 1 | |
Net assets | $3,398,900 |
Shares outstanding | 167,785 |
Net asset value per share | $20.26 |
Class 2 | |
Net assets | $22,312,927 |
Shares outstanding | 1,128,971 |
Net asset value per share | $19.76 |
Class 3 | |
Net assets | $38,927,546 |
Shares outstanding | 1,944,509 |
Net asset value per share | $20.02 |
10 | Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2020 |
Six Months Ended June 30, 2020 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $471,787 |
Dividends — affiliated issuers | 3,920 |
Foreign taxes withheld | (2,407) |
Total income | 473,300 |
Expenses: | |
Management services fees | 289,716 |
Distribution and/or service fees | |
Class 2 | 27,722 |
Class 3 | 25,751 |
Service fees | 25,697 |
Compensation of board members | 4,129 |
Custodian fees | 1,055 |
Printing and postage fees | 19,851 |
Audit fees | 14,669 |
Legal fees | 4,138 |
Compensation of chief compliance officer | 8 |
Other | 2,607 |
Total expenses | 415,343 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (71,905) |
Total net expenses | 343,438 |
Net investment income | 129,862 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 139,025 |
Investments — affiliated issuers | 591 |
Net realized gain | 139,616 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (16,086,239) |
Investments — affiliated issuers | (81) |
Net change in unrealized appreciation (depreciation) | (16,086,320) |
Net realized and unrealized loss | (15,946,704) |
Net decrease in net assets resulting from operations | $(15,816,842) |
Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2020 | 11 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||
Net investment income | $129,862 | $455,434 |
Net realized gain | 139,616 | 4,178,409 |
Net change in unrealized appreciation (depreciation) | (16,086,320) | 8,850,918 |
Net increase (decrease) in net assets resulting from operations | (15,816,842) | 13,484,761 |
Decrease in net assets from capital stock activity | (3,316,727) | (8,886,997) |
Total increase (decrease) in net assets | (19,133,569) | 4,597,764 |
Net assets at beginning of period | 83,772,942 | 79,175,178 |
Net assets at end of period | $64,639,373 | $83,772,942 |
Six Months Ended | Year Ended | |||
June 30, 2020 (Unaudited) | December 31, 2019 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 54,888 | 1,117,686 | 117,208 | 2,821,393 |
Redemptions | (58,132) | (1,243,572) | (95,021) | (2,287,938) |
Net increase (decrease) | (3,244) | (125,886) | 22,187 | 533,455 |
Class 2 | ||||
Subscriptions | 99,434 | 1,785,955 | 96,853 | 2,262,267 |
Redemptions | (69,000) | (1,444,270) | (155,847) | (3,636,912) |
Net increase (decrease) | 30,434 | 341,685 | (58,994) | (1,374,645) |
Class 3 | ||||
Subscriptions | 13,580 | 277,723 | 28,491 | 675,506 |
Redemptions | (196,672) | (3,810,249) | (369,227) | (8,721,313) |
Net decrease | (183,092) | (3,532,526) | (340,736) | (8,045,807) |
Total net decrease | (155,902) | (3,316,727) | (377,543) | (8,886,997) |
12 | Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2020 | 13 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $25.02 | 0.05 | (4.81) | (4.76) |
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(d) | 2.65 | 2.65 |
Year Ended 12/31/2015 | $19.60 | 0.00(d) | (0.60) | (0.60) |
Class 2 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $24.44 | 0.03 | (4.71) | (4.68) |
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 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $24.74 | 0.04 | (4.76) | (4.72) |
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) | Annualized. |
(d) | Rounds to zero. |
(e) | Ratios include line of credit interest expense which is less than 0.01%. |
14 | Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2020 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $20.26 | (19.02%) | 1.09%(c) | 0.87%(c) | 0.51%(c) | 12% | $3,399 |
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%(e) | 0.91%(e) | 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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $19.76 | (19.15%) | 1.34%(c) | 1.12%(c) | 0.31%(c) | 12% | $22,313 |
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%(e) | 1.16%(e) | (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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $20.02 | (19.08%) | 1.21%(c) | 1.00%(c) | 0.43%(c) | 12% | $38,928 |
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%(e) | 1.03%(e) | (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 | Semiannual Report 2020 | 15 |
June 30, 2020 (Unaudited)
16 | Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2020 | 17 |
June 30, 2020 (Unaudited)
18 | Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
May 1, 2020 through April 30, 2021 | Prior to May 1, 2020 | |
Class 1 | 0.85% | 0.88% |
Class 2 | 1.10 | 1.13 |
Class 3 | 0.975 | 1.005 |
Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2020 | 19 |
June 30, 2020 (Unaudited)
20 | Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2020 | 21 |
June 30, 2020 (Unaudited)
22 | Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2020 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2020 | 23 |
Nature, extent and quality of services provided by Columbia Threadneedle
24 | Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2020 |
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of the Funds’ fee rates, and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Board accorded particular weight to the notion that the primary objective of the level of fees is to achieve a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) approximated the peer universe’s median expense ratio. Based on its review, the Board concluded that the Fund’s management fee was fair and reasonable in light of the extent and quality of services that the Fund receives.
Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2020 | 25 |
June 30, 2020
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | Life | ||
Class 1* | 02/20/19 | -0.45 | 4.25 | 4.49 | 5.48 | |
Class 2 | 04/19/12 | -0.58 | 4.05 | 4.42 | 5.43 | |
Blended Benchmark | 0.48 | 6.43 | 6.26 | 7.00 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | 6.14 | 8.74 | 4.30 | 3.42 |
* | 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 | Semiannual Report 2020 | 3 |
(Unaudited)
Portfolio Allocation (%) (at June 30, 2020) | |
Allocations to Underlying Funds | |
Equity Funds | 40.5 |
International | 10.1 |
U.S. Large Cap | 25.4 |
U.S. Mid Cap | 2.6 |
U.S. Small Cap | 2.4 |
Exchange-Traded Equity Funds | 4.3 |
International Mid Large Cap | 0.7 |
U.S. Large Cap | 3.6 |
Exchange-Traded Fixed Income Funds | 4.5 |
Investment Grade | 4.5 |
Fixed Income Funds | 23.4 |
Investment Grade | 23.4 |
Allocations to Tactical Assets | |
Corporate Bonds & Notes | 0.3 |
Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 12.9 |
Options Purchased Puts | 1.4 |
Residential Mortgage-Backed Securities - Agency | 12.7 |
U.S. Treasury Obligations | 0.0(b) |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $2.1 billion) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
(b) | Rounds to zero. |
4 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2020 |
(Unaudited)
January 1, 2020 — June 30, 2020 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 995.50 | 1,023.62 | 1.24 | 1.26 | 0.25 | 3.62 | 3.67 | 0.73 |
Class 2 | 1,000.00 | 1,000.00 | 994.20 | 1,022.43 | 2.43 | 2.46 | 0.49 | 4.81 | 4.88 | 0.97 |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2020 | 5 |
June 30, 2020 (Unaudited)
Corporate Bonds & Notes 0.3% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Aerospace & Defense 0.0% | ||||
BAE Systems PLC(a) | ||||
04/15/2030 | 3.400% | 200,000 | 217,932 | |
Boeing Co. (The) | ||||
08/01/2059 | 3.950% | 365,000 | 314,005 | |
General Dynamics Corp. | ||||
04/01/2050 | 4.250% | 35,000 | 45,249 | |
Northrop Grumman Corp. | ||||
01/15/2028 | 3.250% | 195,000 | 217,517 | |
10/15/2047 | 4.030% | 295,000 | 354,813 | |
Raytheon Technologies Corp. | ||||
07/01/2050 | 3.125% | 225,000 | 238,469 | |
United Technologies Corp. | ||||
06/01/2042 | 4.500% | 385,000 | 478,668 | |
Total | 1,866,653 | |||
Automotive 0.0% | ||||
General Motors Co. | ||||
04/01/2048 | 5.400% | 150,000 | 150,374 | |
Banking 0.1% | ||||
Bank of America Corp.(b) | ||||
03/20/2051 | 4.083% | 615,000 | 760,668 | |
Capital One Financial Corp. | ||||
01/31/2028 | 3.800% | 370,000 | 410,064 | |
Citigroup, Inc.(b) | ||||
06/03/2031 | 2.572% | 765,000 | 790,608 | |
Goldman Sachs Group, Inc. (The)(b) | ||||
04/23/2039 | 4.411% | 105,000 | 126,760 | |
Goldman Sachs Group, Inc. (The) | ||||
07/08/2044 | 4.800% | 430,000 | 560,258 | |
JPMorgan Chase & Co.(b) | ||||
01/23/2049 | 3.897% | 665,000 | 802,220 | |
Morgan Stanley(b) | ||||
01/22/2031 | 2.699% | 380,000 | 403,335 | |
Wells Fargo & Co.(b) | ||||
04/30/2041 | 3.068% | 885,000 | 923,714 | |
Total | 4,777,627 | |||
Cable and Satellite 0.0% | ||||
Charter Communications Operating LLC/Capital | ||||
03/01/2050 | 4.800% | 510,000 | 575,929 | |
04/01/2051 | 3.700% | 360,000 | 354,081 | |
Comcast Corp. | ||||
01/15/2051 | 2.800% | 360,000 | 368,174 | |
11/01/2052 | 4.049% | 299,000 | 366,749 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
NBCUniversal Media LLC | ||||
01/15/2043 | 4.450% | 314,000 | 394,939 | |
Total | 2,059,872 | |||
Chemicals 0.0% | ||||
Dow Chemical Co. (The) | ||||
05/15/2049 | 4.800% | 193,000 | 229,369 | |
DowDuPont, Inc. | ||||
11/15/2048 | 5.419% | 75,000 | 98,673 | |
LYB International Finance III LLC | ||||
05/01/2050 | 4.200% | 125,000 | 134,534 | |
Total | 462,576 | |||
Diversified Manufacturing 0.0% | ||||
3M Co. | ||||
08/26/2049 | 3.250% | 95,000 | 104,657 | |
Carrier Global Corp.(a) | ||||
04/05/2040 | 3.377% | 120,000 | 116,824 | |
04/05/2050 | 3.577% | 235,000 | 229,439 | |
Honeywell International, Inc. | ||||
06/01/2050 | 2.800% | 90,000 | 96,548 | |
Total | 547,468 | |||
Electric 0.1% | ||||
AEP Texas, Inc. | ||||
01/15/2050 | 3.450% | 580,000 | 625,323 | |
Berkshire Hathaway Energy Co.(a) | ||||
10/15/2050 | 4.250% | 55,000 | 69,094 | |
CenterPoint Energy, Inc. | ||||
09/01/2049 | 3.700% | 203,000 | 219,963 | |
CMS Energy Corp. | ||||
02/15/2027 | 2.950% | 370,000 | 385,913 | |
03/31/2043 | 4.700% | 115,000 | 141,460 | |
03/01/2044 | 4.875% | 115,000 | 149,840 | |
Consolidated Edison Co. of New York, Inc. | ||||
06/15/2046 | 3.850% | 253,000 | 293,294 | |
04/01/2050 | 3.950% | 65,000 | 78,565 | |
Dominion Energy, Inc. | ||||
03/15/2049 | 4.600% | 210,000 | 266,025 | |
DTE Energy Co. | ||||
10/01/2026 | 2.850% | 595,000 | 631,889 | |
06/15/2029 | 3.400% | 490,000 | 529,467 | |
Duke Energy Corp. | ||||
09/01/2046 | 3.750% | 795,000 | 899,606 | |
Duke Energy Indiana LLC | ||||
10/01/2049 | 3.250% | 135,000 | 150,312 |
6 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Emera U.S. Finance LP | ||||
06/15/2046 | 4.750% | 364,000 | 432,817 | |
Eversource Energy | ||||
01/15/2028 | 3.300% | 165,000 | 181,261 | |
FirstEnergy Corp. | ||||
07/15/2047 | 4.850% | 65,000 | 82,639 | |
Georgia Power Co. | ||||
01/30/2050 | 3.700% | 125,000 | 140,321 | |
Indiana Michigan Power Co. | ||||
07/01/2047 | 3.750% | 75,000 | 86,038 | |
Northern States Power Co. | ||||
05/15/2044 | 4.125% | 115,000 | 142,742 | |
Oncor Electric Delivery Co. LLC | ||||
09/15/2049 | 3.100% | 135,000 | 149,238 | |
Oncor Electric Delivery Co. LLC(a) | ||||
05/15/2050 | 3.700% | 85,000 | 102,408 | |
Pacific Gas and Electric Co. | ||||
08/01/2050 | 3.500% | 75,000 | 72,501 | |
PacifiCorp | ||||
03/15/2051 | 3.300% | 205,000 | 225,484 | |
PacifiCorp. | ||||
02/15/2050 | 4.150% | 310,000 | 389,786 | |
Pennsylvania Electric Co.(a) | ||||
06/01/2029 | 3.600% | 80,000 | 89,342 | |
San Diego Gas & Electric Co. | ||||
04/15/2050 | 3.320% | 100,000 | 109,742 | |
Southern California Edison Co. | ||||
10/01/2043 | 4.650% | 170,000 | 208,163 | |
03/01/2048 | 4.125% | 110,000 | 127,824 | |
02/01/2050 | 3.650% | 70,000 | 77,268 | |
Southern Co. (The) | ||||
07/01/2036 | 4.250% | 155,000 | 176,190 | |
07/01/2046 | 4.400% | 550,000 | 656,511 | |
Xcel Energy, Inc. | ||||
06/01/2030 | 3.400% | 170,000 | 193,750 | |
09/15/2041 | 4.800% | 55,000 | 66,792 | |
12/01/2049 | 3.500% | 380,000 | 423,130 | |
Total | 8,574,698 | |||
Finance Companies 0.0% | ||||
GE Capital International Funding Co. Unlimited Co. | ||||
11/15/2035 | 4.418% | 1,145,000 | 1,159,539 | |
Food and Beverage 0.0% | ||||
Anheuser-Busch Companies LLC/InBev Worldwide, Inc. | ||||
02/01/2046 | 4.900% | 1,455,000 | 1,764,365 | |
Bacardi Ltd.(a) | ||||
05/15/2038 | 5.150% | 576,000 | 675,111 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Conagra Brands, Inc. | ||||
11/01/2038 | 5.300% | 205,000 | 267,942 | |
11/01/2048 | 5.400% | 35,000 | 48,320 | |
Kraft Heinz Foods Co. (The) | ||||
06/01/2046 | 4.375% | 567,000 | 556,307 | |
Mars, Inc.(a) | ||||
04/01/2059 | 4.200% | 225,000 | 288,376 | |
Molson Coors Brewing Co. | ||||
07/15/2046 | 4.200% | 66,000 | 64,099 | |
PepsiCo, Inc. | ||||
10/06/2046 | 3.450% | 95,000 | 110,166 | |
03/19/2060 | 3.875% | 160,000 | 202,297 | |
Tyson Foods, Inc. | ||||
06/02/2047 | 4.550% | 80,000 | 96,010 | |
Total | 4,072,993 | |||
Health Care 0.0% | ||||
Abbott Laboratories | ||||
11/30/2046 | 4.900% | 115,000 | 164,568 | |
Becton Dickinson and Co. | ||||
05/20/2050 | 3.794% | 275,000 | 305,444 | |
Cigna Corp. | ||||
03/15/2040 | 3.200% | 330,000 | 350,838 | |
12/15/2048 | 4.900% | 91,000 | 119,948 | |
CVS Health Corp. | ||||
03/25/2048 | 5.050% | 619,000 | 809,156 | |
Total | 1,749,954 | |||
Healthcare Insurance 0.0% | ||||
Aetna, Inc. | ||||
08/15/2047 | 3.875% | 89,000 | 100,135 | |
Anthem, Inc. | ||||
08/15/2044 | 4.650% | 135,000 | 170,935 | |
Centene Corp. | ||||
12/15/2029 | 4.625% | 115,000 | 121,337 | |
02/15/2030 | 3.375% | 70,000 | 70,627 | |
UnitedHealth Group, Inc. | ||||
08/15/2039 | 3.500% | 472,000 | 548,819 | |
05/15/2040 | 2.750% | 305,000 | 326,505 | |
Total | 1,338,358 | |||
Independent Energy 0.0% | ||||
Canadian Natural Resources Ltd. | ||||
02/15/2037 | 6.500% | 105,000 | 125,069 | |
ConocoPhillips Co. | ||||
11/15/2044 | 4.300% | 220,000 | 269,321 |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2020 | 7 |
June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Noble Energy, Inc. | ||||
11/15/2043 | 5.250% | 250,000 | 230,515 | |
Total | 624,905 | |||
Integrated Energy 0.0% | ||||
Cenovus Energy, Inc. | ||||
06/15/2047 | 5.400% | 175,000 | 150,556 | |
Shell International Finance BV | ||||
11/07/2049 | 3.125% | 345,000 | 361,592 | |
Total Capital International SA | ||||
06/29/2060 | 3.386% | 80,000 | 81,944 | |
Total | 594,092 | |||
Life Insurance 0.0% | ||||
American International Group, Inc. | ||||
07/16/2044 | 4.500% | 150,000 | 172,668 | |
Brighthouse Financial, Inc. | ||||
06/22/2047 | 4.700% | 33,000 | 29,989 | |
Guardian Life Insurance Co. of America (The)(a) | ||||
Subordinated | ||||
06/19/2064 | 4.875% | 215,000 | 273,367 | |
Massachusetts Mutual Life Insurance Co.(a) | ||||
Subordinated | ||||
04/01/2077 | 4.900% | 180,000 | 226,826 | |
MetLife, Inc. | ||||
03/01/2045 | 4.050% | 130,000 | 153,217 | |
Northwestern Mutual Life Insurance Co. (The)(a) | ||||
09/30/2059 | 3.625% | 409,000 | 460,840 | |
Prudential Financial, Inc. | ||||
03/13/2051 | 3.700% | 167,000 | 183,273 | |
Teachers Insurance & Annuity Association of America(a) | ||||
Subordinated | ||||
09/15/2044 | 4.900% | 190,000 | 243,275 | |
05/15/2047 | 4.270% | 87,000 | 103,867 | |
05/15/2050 | 3.300% | 50,000 | 52,049 | |
Voya Financial, Inc. | ||||
06/15/2046 | 4.800% | 230,000 | 272,838 | |
Total | 2,172,209 | |||
Media and Entertainment 0.0% | ||||
Discovery Communications LLC | ||||
09/20/2037 | 5.000% | 100,000 | 117,704 | |
05/15/2049 | 5.300% | 308,000 | 369,370 | |
Fox Corp. | ||||
01/25/2039 | 5.476% | 85,000 | 113,602 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Walt Disney Co. (The) | ||||
09/15/2044 | 4.750% | 302,000 | 378,615 | |
05/13/2060 | 3.800% | 140,000 | 161,874 | |
Total | 1,141,165 | |||
Midstream 0.0% | ||||
Energy Transfer Operating LP | ||||
05/15/2050 | 5.000% | 285,000 | 270,176 | |
Enterprise Products Operating LLC | ||||
01/31/2060 | 3.950% | 260,000 | 270,636 | |
Kinder Morgan Energy Partners LP | ||||
11/01/2042 | 4.700% | 100,000 | 108,022 | |
03/01/2043 | 5.000% | 320,000 | 354,735 | |
Kinder Morgan, Inc. | ||||
02/15/2046 | 5.050% | 196,000 | 224,856 | |
MPLX LP | ||||
04/15/2048 | 4.700% | 405,000 | 412,516 | |
Plains All American Pipeline LP/Finance Corp. | ||||
06/15/2044 | 4.700% | 629,000 | 565,498 | |
Western Gas Partners LP | ||||
08/15/2048 | 5.500% | 265,000 | 216,086 | |
Williams Companies, Inc. (The) | ||||
09/15/2045 | 5.100% | 446,000 | 487,482 | |
Total | 2,910,007 | |||
Natural Gas 0.0% | ||||
NiSource, Inc. | ||||
05/01/2030 | 3.600% | 115,000 | 131,761 | |
02/15/2043 | 5.250% | 133,000 | 172,249 | |
05/15/2047 | 4.375% | 370,000 | 450,930 | |
Sempra Energy | ||||
02/01/2048 | 4.000% | 180,000 | 204,141 | |
Total | 959,081 | |||
Oil Field Services 0.0% | ||||
Halliburton Co. | ||||
11/15/2045 | 5.000% | 115,000 | 118,650 | |
Pharmaceuticals 0.0% | ||||
AbbVie, Inc.(a) | ||||
06/15/2044 | 4.850% | 160,000 | 198,914 | |
11/21/2049 | 4.250% | 580,000 | 702,051 | |
Amgen, Inc. | ||||
02/21/2050 | 3.375% | 555,000 | 613,582 | |
Bristol-Myers Squibb Co.(a) | ||||
02/20/2048 | 4.550% | 50,000 | 67,433 | |
10/26/2049 | 4.250% | 247,000 | 325,628 | |
Mylan NV | ||||
06/15/2046 | 5.250% | 35,000 | 43,112 |
8 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Pfizer, Inc. | ||||
05/28/2050 | 2.700% | 220,000 | 227,113 | |
Total | 2,177,833 | |||
Property & Casualty 0.0% | ||||
Liberty Mutual Group, Inc.(a) | ||||
10/15/2050 | 3.951% | 180,000 | 190,048 | |
Railroads 0.0% | ||||
CSX Corp. | ||||
11/01/2066 | 4.250% | 195,000 | 235,756 | |
Norfolk Southern Corp. | ||||
08/15/2052 | 4.050% | 210,000 | 249,859 | |
Union Pacific Corp. | ||||
08/15/2059 | 3.950% | 325,000 | 382,135 | |
03/20/2060 | 3.839% | 20,000 | 23,345 | |
02/05/2070 | 3.750% | 40,000 | 45,486 | |
Total | 936,581 | |||
Restaurants 0.0% | ||||
McDonald’s Corp. | ||||
09/01/2049 | 3.625% | 330,000 | 365,672 | |
Retailers 0.0% | ||||
Lowe’s Companies, Inc. | ||||
05/03/2047 | 4.050% | 305,000 | 358,397 | |
Target Corp. | ||||
04/15/2046 | 3.625% | 190,000 | 230,479 | |
Walmart, Inc. | ||||
12/15/2047 | 3.625% | 220,000 | 269,749 | |
09/24/2049 | 2.950% | 30,000 | 33,776 | |
Total | 892,401 | |||
Supermarkets 0.0% | ||||
Kroger Co. (The) | ||||
02/01/2047 | 4.450% | 77,000 | 94,223 | |
01/15/2048 | 4.650% | 135,000 | 168,367 | |
Total | 262,590 | |||
Technology 0.1% | ||||
Apple, Inc. | ||||
02/09/2045 | 3.450% | 396,000 | 460,836 | |
09/11/2049 | 2.950% | 100,000 | 109,321 | |
05/11/2050 | 2.650% | 55,000 | 57,706 | |
Broadcom Corp./Cayman Finance Ltd. | ||||
01/15/2028 | 3.500% | 85,000 | 89,912 | |
Broadcom, Inc.(a) | ||||
11/15/2030 | 4.150% | 480,000 | 522,004 | |
Corning, Inc. | ||||
11/15/2079 | 5.450% | 60,000 | 71,672 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Intel Corp. | ||||
05/11/2047 | 4.100% | 170,000 | 214,136 | |
02/15/2060 | 3.100% | 200,000 | 221,342 | |
International Business Machines Corp. | ||||
05/15/2050 | 2.950% | 480,000 | 492,507 | |
Microsoft Corp. | ||||
08/08/2046 | 3.700% | 559,000 | 698,943 | |
NXP BV/Funding LLC/USA, Inc.(a) | ||||
05/01/2030 | 3.400% | 65,000 | 69,957 | |
Oracle Corp. | ||||
07/15/2046 | 4.000% | 385,000 | 453,031 | |
04/01/2060 | 3.850% | 395,000 | 462,190 | |
QUALCOMM, Inc. | ||||
05/20/2047 | 4.300% | 90,000 | 112,781 | |
05/20/2050 | 3.250% | 130,000 | 142,819 | |
Total | 4,179,157 | |||
Tobacco 0.0% | ||||
BAT Capital Corp. | ||||
08/15/2047 | 4.540% | 190,000 | 205,948 | |
Transportation Services 0.0% | ||||
ERAC U.S.A. Finance LLC(a) | ||||
11/01/2046 | 4.200% | 215,000 | 207,820 | |
FedEx Corp. | ||||
04/01/2046 | 4.550% | 410,000 | 442,068 | |
United Parcel Service, Inc. | ||||
11/15/2047 | 3.750% | 65,000 | 75,280 | |
09/01/2049 | 3.400% | 230,000 | 253,565 | |
Total | 978,733 | |||
Wireless 0.0% | ||||
American Tower Corp. | ||||
07/15/2027 | 3.550% | 75,000 | 83,156 | |
08/15/2029 | 3.800% | 240,000 | 271,960 | |
Rogers Communications, Inc. | ||||
11/15/2049 | 3.700% | 310,000 | 343,816 | |
T-Mobile U.S.A., Inc.(a) | ||||
04/15/2030 | 3.875% | 155,000 | 172,522 | |
04/15/2040 | 4.375% | 305,000 | 353,104 | |
Vodafone Group PLC | ||||
09/17/2050 | 4.250% | 230,000 | 268,023 | |
Total | 1,492,581 | |||
Wirelines 0.0% | ||||
AT&T, Inc. | ||||
12/15/2042 | 4.300% | 495,000 | 554,338 | |
12/15/2043 | 5.350% | 145,000 | 182,994 | |
06/15/2045 | 4.350% | 964,000 | 1,078,942 |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2020 | 9 |
June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Telefonica Emisiones SAU | ||||
03/06/2048 | 4.895% | 150,000 | 181,420 | |
Verizon Communications, Inc. | ||||
08/21/2046 | 4.862% | 680,000 | 921,937 | |
Total | 2,919,631 | |||
Total Corporate Bonds & Notes (Cost $44,614,062) | 49,881,396 |
Equity Funds 45.6% | ||
Shares | Value ($) | |
International 11.3% | ||
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(c) | 31,822,234 | 373,593,025 |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares(c) | 31,205,323 | 302,067,533 |
Variable Portfolio - Partners International Core Equity Fund, Class 1 Shares(c) | 57,839,396 | 567,982,867 |
Variable Portfolio - Partners International Growth Fund, Class 1 Shares(c) | 19,188,585 | 211,841,977 |
Variable Portfolio - Partners International Value Fund, Class 1 Shares(c) | 26,779,388 | 201,380,997 |
Total | 1,656,866,399 | |
U.S. Large Cap 28.6% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(c),(d) | 13,647,295 | 359,879,161 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(c),(d) | 19,243,198 | 1,094,937,943 |
Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares(c),(d) | 9,113,056 | 234,387,810 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(c),(d) | 14,654,617 | 354,348,641 |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares(c),(d) | 14,818,574 | 175,896,474 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(c),(d) | 7,870,532 | 185,508,440 |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares(c),(d) | 7,972,410 | 328,861,911 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares(c),(d) | 8,712,193 | 331,324,699 |
CTIVP® – MFS® Value Fund, Class 1 Shares(c),(d) | 7,206,251 | 182,678,456 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(c),(d) | 7,561,463 | 356,447,388 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(c),(d) | 7,846,172 | 167,594,224 |
Equity Funds (continued) | ||
Shares | Value ($) | |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares(c),(d) | 17,950,929 | 408,742,665 |
Total | 4,180,607,812 | |
U.S. Mid Cap 3.0% | ||
Columbia Variable Portfolio – Mid Cap Growth Fund, Class 1 Shares(c),(d) | 2,894,648 | 100,328,488 |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares(c),(d) | 4,048,517 | 83,844,782 |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(c),(d) | 4,611,896 | 119,171,395 |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(c),(d) | 4,096,403 | 131,084,898 |
Total | 434,429,563 | |
U.S. Small Cap 2.7% | ||
Columbia Variable Portfolio - Small Cap Value Fund, Class 1 Shares(c) | 4,377,134 | 54,364,007 |
Columbia Variable Portfolio - Small Company Growth Fund, Class 1 Shares(c),(d) | 3,759,752 | 80,571,492 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(c),(d) | 6,143,896 | 154,703,305 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(c),(d) | 5,134,645 | 115,067,383 |
Total | 404,706,187 | |
Total Equity Funds (Cost $5,044,180,749) | 6,676,609,961 | |
Exchange-Traded Equity Funds 4.8% | ||
International Mid Large Cap 0.8% | ||
iShares MSCI EAFE ETF | 1,968,292 | 119,809,934 |
U.S. Large Cap 4.0% | ||
SPDR S&P 500 ETF Trust | 1,890,200 | 582,862,072 |
Total Exchange-Traded Equity Funds (Cost $493,410,975) | 702,672,006 | |
Exchange-Traded Fixed Income Funds 5.1% | ||
Investment Grade 5.1% | ||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 4,718,100 | 634,584,450 |
Vanguard Intermediate-Term Corporate Bond ETF | 1,200,000 | 114,168,000 |
Total | 748,752,450 | |
Total Exchange-Traded Fixed Income Funds (Cost $720,592,845) | 748,752,450 | |
10 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Fixed Income Funds 26.4% | ||
Shares | Value ($) | |
Investment Grade 26.4% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(c),(d) | 66,425,153 | 754,589,742 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(c),(d) | 21,426,409 | 215,763,936 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(c),(d) | 32,117,652 | 402,113,005 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(c),(d) | 19,622,341 | 214,864,634 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(c),(d) | 45,858,282 | 526,911,660 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(c),(d) | 61,305,251 | 716,658,385 |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(c),(d) | 15,998,985 | 169,589,241 |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares(c),(d) | 72,583,028 | 857,931,390 |
Total | 3,858,421,993 | |
Total Fixed Income Funds (Cost $3,523,770,718) | 3,858,421,993 |
Residential Mortgage-Backed Securities - Agency 14.2% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(e) | ||||
07/16/2035 | 2.500% | 411,000,000 | 430,297,736 | |
07/16/2035- 07/14/2050 | 3.000% | 1,065,946,000 | 1,121,803,793 | |
07/14/2050 | 3.500% | 505,000,000 | 531,137,694 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $2,082,358,291) | 2,083,239,223 | |||
U.S. Treasury Obligations 0.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
U.S. Treasury | ||||
08/15/2049 | 2.250% | 150,000 | 180,375 | |
02/15/2050 | 2.000% | 150,000 | 171,797 | |
Total U.S. Treasury Obligations (Cost $327,176) | 352,172 |
Options Purchased Puts 1.6% | ||||
Value ($) | ||||
(Cost $203,962,168) | 225,577,900 |
Money Market Funds 14.5% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(c),(f) | 2,119,117,960 | 2,119,117,960 |
Total Money Market Funds (Cost $2,118,990,390) | 2,119,117,960 | |
Total Investments in Securities (Cost: $14,232,207,374) | 16,464,625,061 | |
Other Assets & Liabilities, Net | (1,831,831,065) | |
Net Assets | 14,632,793,996 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
British Pound | 362 | 09/2020 | USD | 28,048,213 | — | (764,042) |
DAX Index | 44 | 09/2020 | EUR | 13,558,050 | 375,558 | — |
Euro FX | 57 | 09/2020 | USD | 8,018,119 | — | (85,866) |
FTSE/MIB Index | 109 | 09/2020 | EUR | 10,512,505 | 340,807 | — |
Japanese Yen | 470 | 09/2020 | USD | 54,467,125 | 145,724 | — |
MSCI Singapore Index | 283 | 07/2020 | SGD | 8,372,555 | — | (96,557) |
New Zealand Dollar | 10 | 09/2020 | USD | 645,500 | — | (10,587) |
S&P 500 Index E-mini | 5,962 | 09/2020 | USD | 921,188,620 | 25,597,154 | — |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2020 | 11 |
June 30, 2020 (Unaudited)
Long futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
SPI 200 Index | 159 | 09/2020 | AUD | 23,420,700 | 282,257 | — |
TOPIX Index | 111 | 09/2020 | JPY | 1,729,935,000 | — | (693,214) |
U.S. Long Bond | 1,712 | 09/2020 | USD | 305,699,000 | 748,599 | — |
U.S. Treasury 10-Year Note | 4,426 | 09/2020 | USD | 615,974,719 | 1,589,224 | — |
U.S. Treasury 2-Year Note | 2,367 | 09/2020 | USD | 522,700,174 | 139,147 | — |
U.S. Treasury 5-Year Note | 6,523 | 09/2020 | USD | 820,216,292 | 1,694,405 | — |
U.S. Ultra Bond 10-Year Note | 1 | 09/2020 | USD | 157,484 | 1,420 | — |
U.S. Ultra Treasury Bond | 50 | 09/2020 | USD | 10,907,813 | 40,908 | — |
U.S. Ultra Treasury Bond | 470 | 09/2020 | USD | 102,533,438 | — | (219,456) |
Total | 30,955,203 | (1,869,722) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Australian Dollar | (10) | 09/2020 | USD | (690,000) | 12,163 | — |
Canadian Dollar | (10) | 09/2020 | USD | (736,200) | 12,083 | — |
EURO STOXX 50 Index | (1,316) | 09/2020 | EUR | (42,414,680) | — | (1,615,205) |
FTSE 100 Index | (304) | 09/2020 | GBP | (18,688,400) | — | (281,962) |
Hang Seng Index | (379) | 07/2020 | HKD | (459,480,650) | 195,884 | — |
OMXS30 Index | (3,788) | 07/2020 | SEK | (631,175,500) | — | (2,884,359) |
Russell 2000 Index E-mini | (2,651) | 09/2020 | USD | (190,553,880) | — | (11,127,519) |
S&P 500 Index E-mini | (7,977) | 09/2020 | USD | (1,232,526,270) | — | (27,716,622) |
S&P/TSX 60 Index | (675) | 09/2020 | CAD | (125,347,500) | — | (2,811,925) |
Swiss Franc | (10) | 09/2020 | USD | (1,322,500) | — | (12,225) |
U.S. Treasury 10-Year Note | (15) | 09/2020 | USD | (2,087,578) | — | (5,046) |
U.S. Ultra Treasury Bond | (29) | 09/2020 | USD | (6,326,531) | — | (1,200) |
Total | 220,130 | (46,456,063) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
S&P 500 Index | JPMorgan | USD | 1,305,222,090 | 4,210 | 2,600.00 | 12/17/2021 | 72,518,186 | 95,019,700 |
S&P 500 Index | JPMorgan | USD | 1,457,136,300 | 4,700 | 2,500.00 | 12/17/2021 | 79,281,762 | 86,245,000 |
S&P 500 Index | JPMorgan | USD | 861,880,620 | 2,780 | 2,400.00 | 12/17/2021 | 52,162,220 | 44,313,200 |
Total | 203,962,168 | 225,577,900 |
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America Investment Grade Index, Series 34 | Morgan Stanley | 06/20/2025 | 1.000 | Quarterly | 0.762 | USD | 200,000,000 | 2,084,784 | — | — | 2,084,784 | — |
* | 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. |
12 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
(a) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At June 30, 2020, the total value of these securities amounted to $5,958,231, which represents 0.04% of total net assets. |
(b) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of June 30, 2020. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | |||||||||
2,396,164,490 | 2,660,426,579 | (2,937,640,281) | 167,172 | 2,119,117,960 | — | 212,633 | 10,933,779 | 2,119,117,960 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
401,353,457 | 311 | (15,669,320) | (25,805,287) | 359,879,161 | — | 20,228,513 | — | 13,647,295 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
1,203,956,508 | 3,525 | (44,796,371) | (64,225,719) | 1,094,937,943 | — | 32,529,962 | — | 19,243,198 | |
Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares | |||||||||
271,780,187 | 140,793 | (1,322,214) | (36,210,956) | 234,387,810 | — | 939,899 | — | 9,113,056 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
762,462,922 | 85,360 | (57,205,608) | 49,247,068 | 754,589,742 | — | (1,320,675) | — | 66,425,153 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
379,976,135 | — | (27,850,406) | 2,222,912 | 354,348,641 | — | 33,993,667 | — | 14,654,617 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
220,399,435 | 32,361 | (12,082,939) | 7,415,079 | 215,763,936 | — | (763,775) | — | 21,426,409 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
409,550,100 | — | (51,680,269) | 44,243,174 | 402,113,005 | — | 10,534,834 | — | 32,117,652 | |
Columbia Variable Portfolio – Mid Cap Growth Fund, Class 1 Shares | |||||||||
107,031,402 | 336 | (6,712,697) | 9,447 | 100,328,488 | — | 4,510,797 | — | 2,894,648 | |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares | |||||||||
— | 378,232,163 | — | (4,639,138) | 373,593,025 | 4,671,937 | — | 1,907,226 | 31,822,234 | |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares | |||||||||
192,206,805 | — | (13,468,427) | (2,841,904) | 175,896,474 | — | 2,295,997 | — | 14,818,574 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
228,075,626 | 207,640 | (5,995,930) | (36,778,896) | 185,508,440 | — | 4,527,566 | — | 7,870,532 | |
Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares | |||||||||
105,005,012 | 262,828 | (265,247) | (21,157,811) | 83,844,782 | — | 122,520 | — | 4,048,517 | |
Columbia Variable Portfolio - Small Cap Value Fund, Class 1 Shares | |||||||||
67,422,376 | 782,929 | — | (13,841,298) | 54,364,007 | — | — | — | 4,377,134 | |
Columbia Variable Portfolio - Small Company Growth Fund, Class 1 Shares | |||||||||
66,458,979 | 501,639 | — | 13,610,874 | 80,571,492 | — | — | — | 3,759,752 | |
Columbia Variable Portfolio – U.S. Equities Fund, Class 1 Shares | |||||||||
16,006,817 | — | (11,446,332) | (4,560,485) | — | — | (410,101) | — | — | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
221,774,932 | 27,831 | (13,244,810) | 6,306,681 | 214,864,634 | — | 417,341 | — | 19,622,341 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
529,999,341 | 103,400 | (24,839,234) | 21,648,153 | 526,911,660 | — | 792,593 | — | 45,858,282 |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2020 | 13 |
June 30, 2020 (Unaudited)
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares | |||||||||
681,858,241 | 2,297,244 | (317,250,088) | (64,837,864) | 302,067,533 | — | (24,137,088) | 1,013,960 | 31,205,323 | |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
352,524,058 | — | (28,101,924) | 4,439,777 | 328,861,911 | — | 27,169,148 | — | 7,972,410 | |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares | |||||||||
354,408,681 | — | (22,869,362) | (214,620) | 331,324,699 | — | 29,625,622 | — | 8,712,193 | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
212,042,402 | 171,394 | (1,222,522) | (28,312,818) | 182,678,456 | — | 887,947 | — | 7,206,251 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
337,924,514 | — | (33,274,365) | 51,797,239 | 356,447,388 | — | 48,251,343 | — | 7,561,463 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
204,874,363 | 480,677 | (10,541) | (37,750,275) | 167,594,224 | — | 5,825 | — | 7,846,172 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
729,870,997 | 78,347 | (51,436,404) | 38,145,445 | 716,658,385 | — | 5,591,101 | — | 61,305,251 | |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares | |||||||||
140,223,090 | 274,522 | (483,556) | (20,842,661) | 119,171,395 | — | 261,372 | — | 4,611,896 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
170,277,634 | 50,325 | (5,807,229) | 5,068,511 | 169,589,241 | — | 166,021 | — | 15,998,985 | |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares | |||||||||
147,679,653 | 33,536 | (9,029,530) | (7,598,761) | 131,084,898 | — | 7,092,688 | — | 4,096,403 | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | |||||||||
873,668,025 | 89,597 | (63,927,294) | 48,101,062 | 857,931,390 | — | 2,903,501 | — | 72,583,028 | |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares | |||||||||
452,637,010 | 1,183 | (11,291,950) | (32,603,578) | 408,742,665 | — | 12,896,351 | — | 17,950,929 | |
Variable Portfolio - Partners International Core Equity Fund, Class 1 Shares | |||||||||
682,737,340 | 4,522,090 | (50,519,657) | (68,756,906) | 567,982,867 | 1,859,196 | (4,319,657) | 1,324,142 | 57,839,396 | |
Variable Portfolio - Partners International Growth Fund, Class 1 Shares | |||||||||
256,654,783 | 3,382,581 | (44,756,493) | (3,438,894) | 211,841,977 | 2,360,530 | (5,486,493) | 531,778 | 19,188,585 | |
Variable Portfolio - Partners International Value Fund, Class 1 Shares | |||||||||
247,421,643 | 9,773,618 | — | (55,814,264) | 201,380,997 | — | — | 1,456,339 | 26,779,388 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
154,872,094 | 900,177 | — | (1,068,966) | 154,703,305 | — | — | — | 6,143,896 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
147,689,125 | 998,082 | — | (33,619,824) | 115,067,383 | — | — | — | 5,134,645 | |
Total | 13,726,988,177 | (272,498,331) | 12,654,149,914 | 8,891,663 | 209,519,452 | 17,167,224 |
(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 June 30, 2020. |
TBA | To Be Announced |
14 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
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). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Corporate Bonds & Notes | — | 49,881,396 | — | — | 49,881,396 |
Equity Funds | — | — | — | 6,676,609,961 | 6,676,609,961 |
Exchange-Traded Equity Funds | 702,672,006 | — | — | — | 702,672,006 |
Exchange-Traded Fixed Income Funds | 748,752,450 | — | — | — | 748,752,450 |
Fixed Income Funds | — | — | — | 3,858,421,993 | 3,858,421,993 |
Residential Mortgage-Backed Securities - Agency | — | 2,083,239,223 | — | — | 2,083,239,223 |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2020 | 15 |
June 30, 2020 (Unaudited)
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
U.S. Treasury Obligations | 352,172 | — | — | — | 352,172 |
Options Purchased Puts | 225,577,900 | — | — | — | 225,577,900 |
Money Market Funds | 2,119,117,960 | — | — | — | 2,119,117,960 |
Total Investments in Securities | 3,796,472,488 | 2,133,120,619 | — | 10,535,031,954 | 16,464,625,061 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 31,175,333 | — | — | — | 31,175,333 |
Swap Contracts | — | 2,084,784 | — | — | 2,084,784 |
Liability | |||||
Futures Contracts | (48,325,785) | — | — | — | (48,325,785) |
Total | 3,779,322,036 | 2,135,205,403 | — | 10,535,031,954 | 16,449,559,393 |
16 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $3,341,303,349) | $3,584,897,247 |
Affiliated issuers (cost $10,686,941,857) | 12,654,149,914 |
Options purchased (cost $203,962,168) | 225,577,900 |
Cash collateral held at broker for: | |
TBA | 931,000 |
Margin deposits on: | |
Futures contracts | 252,526,736 |
Swap contracts | 7,532,185 |
Receivable for: | |
Investments sold | 10,470,421 |
Capital shares sold | 20,786 |
Dividends | 3,052,907 |
Interest | 2,737,182 |
Foreign tax reclaims | 1,738 |
Variation margin for futures contracts | 13,956,383 |
Variation margin for swap contracts | 278,213 |
Total assets | 16,756,132,612 |
Liabilities | |
Payable for: | |
Investments purchased on a delayed delivery basis | 2,084,646,920 |
Capital shares purchased | 14,978,530 |
Variation margin for futures contracts | 22,308,144 |
Management services fees | 73,317 |
Distribution and/or service fees | 99,529 |
Service fees | 719,593 |
Compensation of board members | 365,909 |
Compensation of chief compliance officer | 1,708 |
Other expenses | 144,966 |
Total liabilities | 2,123,338,616 |
Net assets applicable to outstanding capital stock | $14,632,793,996 |
Represented by | |
Trust capital | $14,632,793,996 |
Total - representing net assets applicable to outstanding capital stock | $14,632,793,996 |
Class 1 | |
Net assets | $2,652,125 |
Shares outstanding | 171,544 |
Net asset value per share | $15.46 |
Class 2 | |
Net assets | $14,630,141,871 |
Shares outstanding | 948,042,112 |
Net asset value per share | $15.43 |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2020 | 17 |
Six Months Ended June 30, 2020 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $13,887,716 |
Dividends — affiliated issuers | 17,167,224 |
Interest | 1,327,504 |
Total income | 32,382,444 |
Expenses: | |
Management services fees | 12,852,728 |
Distribution and/or service fees | |
Class 2 | 18,029,707 |
Service fees | 4,326,390 |
Compensation of board members | 87,297 |
Custodian fees | 22,494 |
Printing and postage fees | 55,928 |
Audit fees | 19,642 |
Legal fees | 75,925 |
Compensation of chief compliance officer | 1,607 |
Other | 84,420 |
Total expenses | 35,556,138 |
Net investment loss | (3,173,694) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 45,790,287 |
Investments — affiliated issuers | 209,519,452 |
Capital gain distributions from underlying affiliated funds | 8,891,663 |
Foreign currency translations | 982,734 |
Futures contracts | (348,930,016) |
Options purchased | 326,986,623 |
Swap contracts | 328,311 |
Net realized gain | 243,569,054 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (78,168,514) |
Investments — affiliated issuers | (272,498,331) |
Foreign currency translations | 345,318 |
Futures contracts | (56,896,628) |
Options purchased | 57,479,303 |
Swap contracts | 2,084,784 |
Net change in unrealized appreciation (depreciation) | (347,654,068) |
Net realized and unrealized loss | (104,085,014) |
Net decrease in net assets resulting from operations | $(107,258,708) |
18 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2020 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||
Net investment income (loss) | $(3,173,694) | $183,084,419 |
Net realized gain | 243,569,054 | 380,704,892 |
Net change in unrealized appreciation (depreciation) | (347,654,068) | 1,614,168,103 |
Net increase (decrease) in net assets resulting from operations | (107,258,708) | 2,177,957,414 |
Decrease in net assets from capital stock activity | (491,033,253) | (690,814,602) |
Total increase (decrease) in net assets | (598,291,961) | 1,487,142,812 |
Net assets at beginning of period | 15,231,085,957 | 13,743,943,145 |
Net assets at end of period | $14,632,793,996 | $15,231,085,957 |
Six Months Ended | Year Ended | |||
June 30, 2020 (Unaudited) | December 31, 2019 (a) | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 114,303 | 1,746,190 | 73,453 | 1,104,686 |
Redemptions | (13,119) | (204,102) | (3,093) | (45,958) |
Net increase | 101,184 | 1,542,088 | 70,360 | 1,058,728 |
Class 2 | ||||
Subscriptions | 673,249 | 10,079,101 | 2,539,315 | 37,153,660 |
Redemptions | (33,965,081) | (502,654,442) | (49,844,806) | (729,026,990) |
Net decrease | (33,291,832) | (492,575,341) | (47,305,491) | (691,873,330) |
Total net decrease | (33,190,648) | (491,033,253) | (47,235,131) | (690,814,602) |
(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 | Semiannual Report 2020 | 19 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $15.53 | 0.02 | (0.09) | (0.07) |
Year Ended 12/31/2019(d) | $14.19 | 0.13 | 1.21 | 1.34 |
Class 2 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $15.52 | (0.00)(e) | (0.09) | (0.09) |
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) | Annualized. |
(d) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
(e) | Rounds to zero. |
20 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2020 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $15.46 | (0.45%) | 0.25%(c) | 0.25%(c) | 0.21%(c) | 76% | $2,652 |
Year Ended 12/31/2019(d) | $15.53 | 9.44% | 0.24%(c) | 0.24%(c) | 1.01%(c) | 138% | $1,093 |
Class 2 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $15.43 | (0.58%) | 0.49%(c) | 0.49%(c) | (0.04%)(c) | 76% | $14,630,142 |
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% | $11,278,182 |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2020 | 21 |
June 30, 2020 (Unaudited)
22 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2020 | 23 |
June 30, 2020 (Unaudited)
24 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2020 | 25 |
June 30, 2020 (Unaudited)
26 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of trust capital — unrealized appreciation on swap contracts | 2,084,784* |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 26,791,660* |
Equity risk | Investments, at value — Options Purchased | 225,577,900 |
Foreign exchange risk | Component of trust capital — unrealized appreciation on futures contracts | 169,970* |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 4,213,703* |
Total | 258,838,017 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 47,227,363* |
Foreign exchange risk | Component of trust capital - unrealized depreciation on futures contracts | 872,720* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 225,702* |
Total | 48,325,785 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 328,311 | 328,311 |
Equity risk | (416,055,720) | 326,986,623 | — | (89,069,097) |
Foreign exchange risk | (12,274,672) | — | — | (12,274,672) |
Interest rate risk | 79,400,376 | — | — | 79,400,376 |
Total | (348,930,016) | 326,986,623 | 328,311 | (21,615,082) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||
Risk exposure category | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 2,084,784 | 2,084,784 |
Equity risk | (62,915,623) | 57,479,303 | — | (5,436,320) |
Foreign exchange risk | (5,564,199) | — | — | (5,564,199) |
Interest rate risk | 11,583,194 | — | — | 11,583,194 |
Total | (56,896,628) | 57,479,303 | 2,084,784 | 2,667,459 |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2020 | 27 |
June 30, 2020 (Unaudited)
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 3,547,505,452 |
Futures contracts — short | 1,350,808,850 |
Credit default swap contracts — sell protection | 100,000,000 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 214,166,600 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2020. |
28 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
JPMorgan ($) | Morgan Stanley ($) | Total ($) | |
Assets | |||
Centrally cleared credit default swap contracts (a) | - | 278,213 | 278,213 |
Options purchased puts | 225,577,900 | - | 225,577,900 |
Total assets | 225,577,900 | 278,213 | 225,856,113 |
Total financial and derivative net assets | 225,577,900 | 278,213 | 225,856,113 |
Total collateral received (pledged) (b) | - | - | - |
Net amount (c) | 225,577,900 | 278,213 | 225,856,113 |
(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. |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2020 | 29 |
June 30, 2020 (Unaudited)
30 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2020 | 31 |
June 30, 2020 (Unaudited)
May 1, 2020 through April 30, 2021 | Prior to May 1, 2020 | |
Class 1 | 0.80% | 0.85% |
Class 2 | 1.05 | 1.10 |
32 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2020 | 33 |
June 30, 2020 (Unaudited)
34 | Variable Portfolio – Managed Volatility Moderate Growth Fund |���Semiannual Report 2020 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2020 | 35 |
Nature, extent and quality of services provided by Columbia Threadneedle
36 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2020 |
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of the Funds’ fee rates, and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Board accorded particular weight to the notion that the primary objective of the level of fees is to achieve a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) approximated the peer universe’s median expense ratio. Based on its review, the Board concluded that the Fund’s management fee was fair and reasonable in light of the extent and quality of services that the Fund receives.
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2020 | 37 |
June 30, 2020
(Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | |||||
Inception | 6 Months cumulative | 1 Year | Life | ||
Class 1 | 01/04/18 | -0.17 | 8.30 | 7.14 | |
Class 2 | 01/04/18 | -0.34 | 8.07 | 6.85 | |
S&P 500 Index | -3.08 | 7.51 | 7.46 |
Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2020 | 3 |
(Unaudited)
Portfolio breakdown (%) (at June 30, 2020) | |
Common Stocks | 98.5 |
Convertible Preferred Stocks | 0.8 |
Money Market Funds | 0.7 |
Total | 100.0 |
Equity sector breakdown (%) (at June 30, 2020) | |
Communication Services | 12.1 |
Consumer Discretionary | 11.7 |
Consumer Staples | 5.5 |
Energy | 2.2 |
Financials | 7.5 |
Health Care | 14.5 |
Industrials | 8.7 |
Information Technology | 30.3 |
Materials | 1.1 |
Real Estate | 3.0 |
Utilities | 3.4 |
Total | 100.0 |
4 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2020 |
(Unaudited)
January 1, 2020 — June 30, 2020 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class 1 | 1,000.00 | 1,000.00 | 998.30 | 1,021.43 | 3.43 | 3.47 | 0.69 |
Class 2 | 1,000.00 | 1,000.00 | 996.60 | 1,020.19 | 4.67 | 4.72 | 0.94 |
Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2020 | 5 |
June 30, 2020 (Unaudited)
Common Stocks 98.4% | ||
Issuer | Shares | Value ($) |
Communication Services 12.0% | ||
Entertainment 3.0% | ||
Electronic Arts, Inc.(a) | 130,325 | 17,209,416 |
Walt Disney Co. (The) | 207,707 | 23,161,408 |
Total | 40,370,824 | |
Interactive Media & Services 4.8% | ||
Alphabet, Inc., Class C(a) | 46,639 | 65,929,357 |
Media 2.8% | ||
Comcast Corp., Class A | 645,886 | 25,176,636 |
Discovery, Inc., Class A(a) | 629,635 | 13,285,299 |
Total | 38,461,935 | |
Wireless Telecommunication Services 1.4% | ||
T-Mobile U.S.A., Inc.(a) | 177,476 | 18,484,125 |
Total Communication Services | 163,246,241 | |
Consumer Discretionary 11.6% | ||
Hotels, Restaurants & Leisure 1.2% | ||
Darden Restaurants, Inc. | 93,128 | 7,056,308 |
Las Vegas Sands Corp. | 210,816 | 9,600,561 |
Total | 16,656,869 | |
Internet & Direct Marketing Retail 5.4% | ||
Amazon.com, Inc.(a) | 26,825 | 74,005,347 |
Multiline Retail 1.4% | ||
Target Corp. | 157,422 | 18,879,620 |
Specialty Retail 2.1% | ||
Home Depot, Inc. (The) | 112,631 | 28,215,192 |
Textiles, Apparel & Luxury Goods 1.5% | ||
Nike, Inc., Class B | 213,903 | 20,973,189 |
Total Consumer Discretionary | 158,730,217 | |
Consumer Staples 5.4% | ||
Food & Staples Retailing 1.5% | ||
Costco Wholesale Corp. | 67,199 | 20,375,409 |
Food Products 1.3% | ||
Mondelez International, Inc., Class A | 348,106 | 17,798,660 |
Household Products 1.2% | ||
Kimberly-Clark Corp. | 119,722 | 16,922,704 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Tobacco 1.4% | ||
Philip Morris International, Inc. | 268,196 | 18,789,812 |
Total Consumer Staples | 73,886,585 | |
Energy 2.2% | ||
Oil, Gas & Consumable Fuels 2.2% | ||
Chevron Corp. | 249,335 | 22,248,162 |
EOG Resources, Inc. | 142,498 | 7,218,949 |
Total | 29,467,111 | |
Total Energy | 29,467,111 | |
Financials 7.5% | ||
Banks 4.6% | ||
Bank of America Corp. | 1,053,705 | 25,025,494 |
JPMorgan Chase & Co. | 316,045 | 29,727,193 |
Popular, Inc. | 204,454 | 7,599,555 |
Total | 62,352,242 | |
Capital Markets 1.6% | ||
BlackRock, Inc. | 39,251 | 21,356,076 |
Insurance 1.3% | ||
Allstate Corp. (The) | 187,269 | 18,163,220 |
Total Financials | 101,871,538 | |
Health Care 13.6% | ||
Biotechnology 3.5% | ||
AbbVie, Inc. | 211,068 | 20,722,656 |
Alexion Pharmaceuticals, Inc.(a) | 79,641 | 8,938,906 |
BioMarin Pharmaceutical, Inc.(a) | 87,407 | 10,780,779 |
Exact Sciences Corp.(a) | 83,387 | 7,249,666 |
Total | 47,692,007 | |
Health Care Equipment & Supplies 2.9% | ||
Abbott Laboratories | 254,181 | 23,239,769 |
Baxter International, Inc. | 187,976 | 16,184,733 |
Total | 39,424,502 | |
Health Care Providers & Services 1.4% | ||
Cigna Corp. | 102,357 | 19,207,291 |
6 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Pharmaceuticals 5.8% | ||
Bristol-Myers Squibb Co. | 243,614 | 14,324,503 |
Eli Lilly and Co. | 140,963 | 23,143,305 |
Johnson & Johnson | 256,117 | 36,017,734 |
Royalty Pharma PLC, Class A(a) | 126,708 | 6,151,674 |
Total | 79,637,216 | |
Total Health Care | 185,961,016 | |
Industrials 8.7% | ||
Aerospace & Defense 1.1% | ||
Northrop Grumman Corp. | 48,869 | 15,024,285 |
Building Products 2.4% | ||
Masco Corp. | 353,974 | 17,773,035 |
Trane Technologies PLC | 173,581 | 15,445,237 |
Total | 33,218,272 | |
Machinery 2.5% | ||
Cummins, Inc. | 94,404 | 16,356,437 |
Stanley Black & Decker, Inc. | 123,935 | 17,274,060 |
Total | 33,630,497 | |
Road & Rail 2.7% | ||
Norfolk Southern Corp. | 91,051 | 15,985,824 |
Union Pacific Corp. | 119,250 | 20,161,598 |
Total | 36,147,422 | |
Total Industrials | 118,020,476 | |
Information Technology 30.0% | ||
Communications Equipment 1.8% | ||
Cisco Systems, Inc. | 520,286 | 24,266,139 |
Electronic Equipment, Instruments & Components 1.0% | ||
TE Connectivity Ltd. | 177,289 | 14,457,918 |
IT Services 5.5% | ||
Fidelity National Information Services, Inc. | 168,642 | 22,613,206 |
International Business Machines Corp. | 173,742 | 20,982,821 |
MasterCard, Inc., Class A | 104,480 | 30,894,736 |
Total | 74,490,763 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Semiconductors & Semiconductor Equipment 4.9% | ||
Broadcom, Inc. | 74,339 | 23,462,132 |
NVIDIA Corp. | 54,907 | 20,859,718 |
NXP Semiconductors NV | 125,676 | 14,332,091 |
Qorvo, Inc.(a) | 78,056 | 8,627,530 |
Total | 67,281,471 | |
Software 10.7% | ||
Adobe, Inc.(a) | 69,103 | 30,081,227 |
Microsoft Corp. | 482,529 | 98,199,477 |
NortonLifeLock, Inc. | 872,997 | 17,311,530 |
Total | 145,592,234 | |
Technology Hardware, Storage & Peripherals 6.1% | ||
Apple, Inc. | 184,545 | 67,322,016 |
HP, Inc. | 896,934 | 15,633,560 |
Total | 82,955,576 | |
Total Information Technology | 409,044,101 | |
Materials 1.1% | ||
Metals & Mining 1.1% | ||
Barrick Gold Corp. | 547,390 | 14,746,687 |
Total Materials | 14,746,687 | |
Real Estate 3.0% | ||
Equity Real Estate Investment Trusts (REITS) 3.0% | ||
American Homes 4 Rent, Class A | 373,579 | 10,049,275 |
Medical Properties Trust, Inc. | 737,171 | 13,858,815 |
ProLogis, Inc. | 178,121 | 16,624,033 |
Total | 40,532,123 | |
Total Real Estate | 40,532,123 | |
Utilities 3.3% | ||
Electric Utilities 2.3% | ||
American Electric Power Co., Inc. | 189,343 | 15,079,277 |
FirstEnergy Corp. | 411,284 | 15,949,593 |
Total | 31,028,870 | |
Multi-Utilities 1.0% | ||
DTE Energy Co. | 136,213 | 14,642,898 |
Total Utilities | 45,671,768 | |
Total Common Stocks (Cost $1,144,119,701) | 1,341,177,863 |
Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2020 | 7 |
June 30, 2020 (Unaudited)
Convertible Preferred Stocks 0.8% | |||
Issuer | Shares | Value ($) | |
Health Care 0.8% | |||
Health Care Equipment & Supplies 0.8% | |||
Danaher Corp. | 5.000% | 9,780 | 10,555,750 |
Total Health Care | 10,555,750 | ||
Total Convertible Preferred Stocks (Cost $9,786,800) | 10,555,750 |
Money Market Funds 0.7% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(b),(c) | 10,184,408 | 10,184,408 |
Total Money Market Funds (Cost $10,184,014) | 10,184,408 | |
Total Investments in Securities (Cost: $1,164,090,515) | 1,361,918,021 | |
Other Assets & Liabilities, Net | 937,116 | |
Net Assets | 1,362,855,137 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | ||||||||
15,532,962 | 157,790,800 | (163,139,748) | 394 | 10,184,408 | 5,397 | 140,432 | 10,184,408 |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
8 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 163,246,241 | — | — | 163,246,241 |
Consumer Discretionary | 158,730,217 | — | — | 158,730,217 |
Consumer Staples | 73,886,585 | — | — | 73,886,585 |
Energy | 29,467,111 | — | — | 29,467,111 |
Financials | 101,871,538 | — | — | 101,871,538 |
Health Care | 185,961,016 | — | — | 185,961,016 |
Industrials | 118,020,476 | — | — | 118,020,476 |
Information Technology | 409,044,101 | — | — | 409,044,101 |
Materials | 14,746,687 | — | — | 14,746,687 |
Real Estate | 40,532,123 | — | — | 40,532,123 |
Utilities | 45,671,768 | — | — | 45,671,768 |
Total Common Stocks | 1,341,177,863 | — | — | 1,341,177,863 |
Convertible Preferred Stocks | ||||
Health Care | — | 10,555,750 | — | 10,555,750 |
Total Convertible Preferred Stocks | — | 10,555,750 | — | 10,555,750 |
Money Market Funds | 10,184,408 | — | — | 10,184,408 |
Total Investments in Securities | 1,351,362,271 | 10,555,750 | — | 1,361,918,021 |
Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2020 | 9 |
June 30, 2020 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,153,906,501) | $1,351,733,613 |
Affiliated issuers (cost $10,184,014) | 10,184,408 |
Receivable for: | |
Dividends | 1,448,354 |
Foreign tax reclaims | 23,234 |
Expense reimbursement due from Investment Manager | 1,618 |
Total assets | 1,363,391,227 |
Liabilities | |
Due to custodian | 23,234 |
Payable for: | |
Capital shares purchased | 443,316 |
Management services fees | 26,648 |
Compensation of board members | 19,679 |
Compensation of chief compliance officer | 145 |
Other expenses | 23,068 |
Total liabilities | 536,090 |
Net assets applicable to outstanding capital stock | $1,362,855,137 |
Represented by | |
Trust capital | $1,362,855,137 |
Total - representing net assets applicable to outstanding capital stock | $1,362,855,137 |
Class 1 | |
Net assets | $1,362,852,189 |
Shares outstanding | 114,828,189 |
Net asset value per share | $11.87 |
Class 2 | |
Net assets | $2,948 |
Shares outstanding | 250 |
Net asset value per share | $11.79 |
10 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2020 |
Six Months Ended June 30, 2020 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $19,821,459 |
Dividends — affiliated issuers | 140,432 |
Interfund lending | 54 |
Foreign taxes withheld | (44,325) |
Total income | 19,917,620 |
Expenses: | |
Management services fees | 4,741,182 |
Distribution and/or service fees | |
Class 2 | 4 |
Compensation of board members | 12,702 |
Custodian fees | 5,303 |
Printing and postage fees | 1,761 |
Audit fees | 14,669 |
Legal fees | 10,141 |
Compensation of chief compliance officer | 151 |
Other | 10,289 |
Total expenses | 4,796,202 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (297,314) |
Total net expenses | 4,498,888 |
Net investment income | 15,418,732 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (7,915,575) |
Investments — affiliated issuers | 5,397 |
Net realized loss | (7,910,178) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (11,045,226) |
Investments — affiliated issuers | 394 |
Net change in unrealized appreciation (depreciation) | (11,044,832) |
Net realized and unrealized loss | (18,955,010) |
Net decrease in net assets resulting from operations | $(3,536,278) |
Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2020 | 11 |
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||
Net investment income | $15,418,732 | $15,424,527 |
Net realized loss | (7,910,178) | (33,204,604) |
Net change in unrealized appreciation (depreciation) | (11,044,832) | 315,685,423 |
Net increase (decrease) in net assets resulting from operations | (3,536,278) | 297,905,346 |
Increase (decrease) in net assets from capital stock activity | 18,561,056 | (20,557,579) |
Total increase in net assets | 15,024,778 | 277,347,767 |
Net assets at beginning of period | 1,347,830,359 | 1,070,482,592 |
Net assets at end of period | $1,362,855,137 | $1,347,830,359 |
Six Months Ended | Year Ended | |||
June 30, 2020 (Unaudited) | December 31, 2019 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 4,773,769 | 58,019,106 | 100,590 | 1,063,291 |
Redemptions | (3,326,952) | (39,458,050) | (1,972,710) | (21,620,870) |
Net increase (decrease) | 1,446,817 | 18,561,056 | (1,872,120) | (20,557,579) |
Total net increase (decrease) | 1,446,817 | 18,561,056 | (1,872,120) | (20,557,579) |
12 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2020 |
Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2020 | 13 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $11.89 | 0.13 | (0.15) | (0.02) |
Year Ended 12/31/2019 | $9.29 | 0.13 | 2.47 | 2.60 |
Year Ended 12/31/2018(d) | $10.00 | 0.13 | (0.84) | (0.71) |
Class 2 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $11.83 | 0.12 | (0.16) | (0.04) |
Year Ended 12/31/2019 | $9.27 | 0.10 | 2.46 | 2.56 |
Year Ended 12/31/2018(d) | $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) | Annualized. |
(d) | The Fund commenced operations on January 4, 2018. Per share data and total return reflect activity from that date. |
14 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2020 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $11.87 | (0.17%) | 0.74%(c) | 0.69%(c) | 2.36%(c) | 32% | $1,362,852 |
Year Ended 12/31/2019 | $11.89 | 27.99% | 0.74% | 0.69% | 1.25% | 59% | $1,347,827 |
Year Ended 12/31/2018(d) | $9.29 | (7.10%) | 0.75%(c) | 0.69%(c) | 1.27%(c) | 58% | $1,070,480 |
Class 2 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $11.79 | (0.34%) | 0.98%(c) | 0.94%(c) | 2.09%(c) | 32% | $3 |
Year Ended 12/31/2019 | $11.83 | 27.62% | 0.97% | 0.94% | 0.97% | 59% | $3 |
Year Ended 12/31/2018(d) | $9.27 | (7.30%) | 0.97%(c) | 0.94%(c) | 0.84%(c) | 58% | $2 |
Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2020 | 15 |
June 30, 2020 (Unaudited)
16 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2020 | 17 |
June 30, 2020 (Unaudited)
18 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Fee rate(s) contractual through April 30, 2021 | |
Class 1 | 0.69% |
Class 2 | 0.94 |
Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2020 | 19 |
June 30, 2020 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 1,500,000 | 0.65 | 2 |
20 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2020 | 21 |
June 30, 2020 (Unaudited)
22 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2020 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2020 | 23 |
Nature, extent and quality of services provided by Columbia Threadneedle
24 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2020 |
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of the Funds’ fee rates, and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Board accorded particular weight to the notion that the primary objective of the level of fees is to achieve a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) approximated the peer universe’s median expense ratio. Based on its review, the Board concluded that the Fund’s management fee was fair and reasonable in light of the extent and quality of services that the Fund receives.
Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2020 | 25 |
June 30, 2020
(formerly CTIVP® – AQR International Core Equity Fund)
(formerly CTIVP® – William Blair International Leaders Fund)
(formerly CTIVP® – DFA International Value Fund)
3 | |
5 | |
7 | |
9 | |
11 | |
13 | |
15 | |
17 | |
19 | |
21 | |
23 | |
25 | |
27 | |
29 | |
31 | |
33 | |
178 | |
182 | |
186 | |
194 | |
222 | |
249 | |
250 | |
259 |
CTIVP® – American Century Diversified Bond Fund (Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/07/10 | 4.36 | 6.69 | 4.32 | 3.83 | |
Class 2 | 05/07/10 | 4.20 | 6.43 | 4.04 | 3.57 | |
Bloomberg Barclays U.S. Aggregate Bond Index | 6.14 | 8.74 | 4.30 | 3.82 |
Variable Portfolio Funds | Semiannual Report 2020 | 3 |
CTIVP® – American Century Diversified Bond Fund (Unaudited)
Portfolio breakdown (%) (at June 30, 2020) | |
Asset-Backed Securities — Non-Agency | 4.7 |
Commercial Mortgage-Backed Securities - Non-Agency | 2.7 |
Corporate Bonds & Notes | 37.7 |
Foreign Government Obligations | 1.8 |
Inflation-Indexed Bonds | 3.3 |
Money Market Funds | 1.1 |
Municipal Bonds | 1.8 |
Residential Mortgage-Backed Securities - Agency | 17.1 |
Residential Mortgage-Backed Securities - Non-Agency | 6.3 |
U.S. Treasury Obligations | 23.5 |
Total | 100.0 |
Quality breakdown (%) (at June 30, 2020) | |
AAA rating | 45.3 |
AA rating | 9.1 |
A rating | 13.1 |
BBB rating | 21.3 |
BB rating | 6.7 |
B rating | 3.8 |
CCC rating | 0.5 |
Not rated | 0.2 |
Total | 100.0 |
Market exposure through derivatives investments (% of notional exposure) (at June 30, 2020)(a) | |||
Long | Short | Net | |
Fixed Income Derivative Contracts | 128.8 | (236.5) | (107.7) |
Foreign Currency Derivative Contracts | 44.9 | (37.2) | 7.7 |
Total Notional Market Value of Derivative Contracts | 173.7 | (273.7) | (100.0) |
4 | Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – CenterSquare Real Estate Fund (Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/07/10 | -15.53 | -9.76 | 2.58 | 6.93 | |
Class 2 | 05/07/10 | -15.63 | -9.92 | 2.31 | 6.67 | |
FTSE Nareit Equity REITs Index | -18.71 | -13.04 | 4.06 | 9.05 |
Variable Portfolio Funds | Semiannual Report 2020 | 5 |
CTIVP® – CenterSquare Real Estate Fund (Unaudited)
Portfolio breakdown (%) (at June 30, 2020) | |
Common Stocks | 99.5 |
Money Market Funds | 0.5 |
Total | 100.0 |
Equity sector breakdown (%) (at June 30, 2020) | |
Real Estate | 100.0 |
Equity sub-industry breakdown (%) (at June 30, 2020) | |
Real Estate | |
Diversified REITs | 6.2 |
Health Care REITs | 11.9 |
Hotel & Resort REITs | 3.3 |
Industrial REITs | 13.0 |
Office REITs | 8.6 |
Residential REITs | 20.7 |
Retail REITs | 8.8 |
Specialized REITs | 27.5 |
Total | 100.0 |
6 | Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund (Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/07/10 | 9.12 | 20.35 | 13.31 | 15.58 | |
Class 2 | 05/07/10 | 8.97 | 20.05 | 13.03 | 15.29 | |
Russell 1000 Growth Index | 9.81 | 23.28 | 15.89 | 17.23 |
Variable Portfolio Funds | Semiannual Report 2020 | 7 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund (Unaudited)
Portfolio breakdown (%) (at June 30, 2020) | |
Common Stocks | 99.6 |
Money Market Funds | 0.4 |
Total | 100.0 |
Equity sector breakdown (%) (at June 30, 2020) | |
Communication Services | 9.2 |
Consumer Discretionary | 14.4 |
Consumer Staples | 5.3 |
Financials | 3.3 |
Health Care | 14.9 |
Industrials | 4.4 |
Information Technology | 46.1 |
Materials | 1.4 |
Real Estate | 1.0 |
Total | 100.0 |
8 | Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – MFS® Value Fund (Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/07/10 | -13.06 | -4.73 | 5.98 | 10.97 | |
Class 2 | 05/07/10 | -13.17 | -4.96 | 5.72 | 10.70 | |
Russell 1000 Value Index | -16.26 | -8.84 | 4.64 | 10.41 |
Variable Portfolio Funds | Semiannual Report 2020 | 9 |
CTIVP® – MFS® Value Fund (Unaudited)
Portfolio breakdown (%) (at June 30, 2020) | |
Common Stocks | 99.0 |
Money Market Funds | 1.0 |
Total | 100.0 |
Equity sector breakdown (%) (at June 30, 2020) | |
Communication Services | 3.4 |
Consumer Discretionary | 1.1 |
Consumer Staples | 7.3 |
Energy | 2.9 |
Financials | 25.2 |
Health Care | 20.0 |
Industrials | 17.4 |
Information Technology | 11.0 |
Materials | 3.6 |
Real Estate | 0.4 |
Utilities | 7.7 |
Total | 100.0 |
10 | Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – Morgan Stanley Advantage Fund (Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/07/10 | 32.53 | 32.45 | 19.44 | 17.58 | |
Class 2 | 05/07/10 | 32.40 | 32.14 | 19.15 | 17.29 | |
Russell 1000 Growth Index | 9.81 | 23.28 | 15.89 | 17.23 |
Variable Portfolio Funds | Semiannual Report 2020 | 11 |
CTIVP® – Morgan Stanley Advantage Fund (Unaudited)
Portfolio breakdown (%) (at June 30, 2020) | |
Common Stocks | 98.0 |
Money Market Funds | 2.0 |
Total | 100.0 |
Equity sector breakdown (%) (at June 30, 2020) | |
Communication Services | 19.3 |
Consumer Discretionary | 10.9 |
Consumer Staples | 1.3 |
Energy | 0.3 |
Financials | 1.7 |
Health Care | 14.9 |
Industrials | 3.8 |
Information Technology | 42.3 |
Materials | 5.5 |
Total | 100.0 |
12 | Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – T. Rowe Price Large Cap Value Fund (Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/07/10 | -18.44 | -11.04 | 3.02 | 8.84 | |
Class 2 | 05/07/10 | -18.54 | -11.29 | 2.76 | 8.57 | |
Russell 1000 Value Index | -16.26 | -8.84 | 4.64 | 10.41 |
Variable Portfolio Funds | Semiannual Report 2020 | 13 |
CTIVP® – T. Rowe Price Large Cap Value Fund (Unaudited)
Portfolio breakdown (%) (at June 30, 2020) | |
Common Stocks | 98.0 |
Convertible Preferred Stocks | 1.6 |
Money Market Funds | 0.4 |
Preferred Stocks | 0.0(a) |
Total | 100.0 |
(a) | Rounds to zero. |
Equity sector breakdown (%) (at June 30, 2020) | |
Communication Services | 5.2 |
Consumer Discretionary | 2.3 |
Consumer Staples | 9.0 |
Energy | 7.8 |
Financials | 20.7 |
Health Care | 17.3 |
Industrials | 10.7 |
Information Technology | 11.9 |
Materials | 4.2 |
Real Estate | 2.3 |
Utilities | 8.6 |
Total | 100.0 |
14 | Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – TCW Core Plus Bond Fund (Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/07/10 | 6.18 | 8.85 | 4.22 | 3.28 | |
Class 2 | 05/07/10 | 6.11 | 8.49 | 3.96 | 3.03 | |
Bloomberg Barclays U.S. Aggregate Bond Index | 6.14 | 8.74 | 4.30 | 3.82 |
Variable Portfolio Funds | Semiannual Report 2020 | 15 |
CTIVP® – TCW Core Plus Bond Fund (Unaudited)
Portfolio breakdown (%) (at June 30, 2020) | |
Asset-Backed Securities — Non-Agency | 4.3 |
Commercial Mortgage-Backed Securities - Agency | 1.3 |
Commercial Mortgage-Backed Securities - Non-Agency | 0.8 |
Commercial Paper | 0.2 |
Common Stocks | 0.0(a) |
Corporate Bonds & Notes | 25.8 |
Foreign Government Obligations | 1.6 |
Inflation-Indexed Bonds | 3.3 |
Money Market Funds | 10.9 |
Municipal Bonds | 1.0 |
Residential Mortgage-Backed Securities - Agency | 30.8 |
Residential Mortgage-Backed Securities - Non-Agency | 5.7 |
Senior Loans | 0.8 |
Treasury Bills | 5.6 |
U.S. Treasury Obligations | 7.9 |
Total | 100.0 |
(a) | Rounds to zero. |
Quality breakdown (%) (at June 30, 2020) | |
AAA rating | 51.5 |
AA rating | 12.0 |
A rating | 8.1 |
BBB rating | 17.2 |
BB rating | 4.3 |
B rating | 3.4 |
CCC rating | 1.3 |
CC rating | 0.4 |
Not rated | 1.8 |
Total | 100.0 |
16 | Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – Wells Fargo Short Duration Government Fund (Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/07/10 | 3.11 | 4.23 | 1.83 | 1.59 | |
Class 2 | 05/07/10 | 2.93 | 3.94 | 1.57 | 1.34 | |
Bloomberg Barclays U.S. 1-3 Year Government Bond Index | 2.99 | 4.12 | 1.86 | 1.36 |
Variable Portfolio Funds | Semiannual Report 2020 | 17 |
CTIVP® – Wells Fargo Short Duration Government Fund (Unaudited)
Portfolio breakdown (%) (at June 30, 2020) | |
Asset-Backed Securities — Non-Agency | 12.0 |
Commercial Mortgage-Backed Securities - Agency | 0.0(a) |
Commercial Mortgage-Backed Securities - Non-Agency | 0.1 |
Corporate Bonds & Notes | 0.8 |
Foreign Government Obligations | 0.4 |
Money Market Funds | 3.5 |
Residential Mortgage-Backed Securities - Agency | 62.4 |
Residential Mortgage-Backed Securities - Non-Agency | 5.0 |
U.S. Treasury Obligations | 15.8 |
Total | 100.0 |
(a) | Rounds to zero. |
Quality breakdown (%) (at June 30, 2020) | |
AAA rating | 99.2 |
AA rating | 0.6 |
A rating | 0.2 |
Total | 100.0 |
18 | Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – Westfield Mid Cap Growth Fund (Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/07/10 | -0.56 | 10.61 | 10.10 | 13.20 | |
Class 2 | 05/07/10 | -0.67 | 10.38 | 9.83 | 12.92 | |
Russell Midcap Growth Index | 4.16 | 11.91 | 11.60 | 15.09 |
Variable Portfolio Funds | Semiannual Report 2020 | 19 |
CTIVP® – Westfield Mid Cap Growth Fund (Unaudited)
Portfolio breakdown (%) (at June 30, 2020) | |
Common Stocks | 99.7 |
Money Market Funds | 0.3 |
Total | 100.0 |
Equity sector breakdown (%) (at June 30, 2020) | |
Consumer Discretionary | 10.8 |
Financials | 5.5 |
Health Care | 21.8 |
Industrials | 15.0 |
Information Technology | 41.2 |
Materials | 1.7 |
Real Estate | 4.0 |
Total | 100.0 |
20 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners Core Bond Fund (Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/07/10 | 6.01 | 8.44 | 4.17 | 3.73 | |
Class 2 | 05/07/10 | 5.86 | 8.20 | 3.91 | 3.47 | |
Bloomberg Barclays U.S. Aggregate Bond Index | 6.14 | 8.74 | 4.30 | 3.82 |
Variable Portfolio Funds | Semiannual Report 2020 | 21 |
Variable Portfolio – Partners Core Bond Fund (Unaudited)
Portfolio breakdown (%) (at June 30, 2020) | |
Asset-Backed Securities — Agency | 0.0(a) |
Asset-Backed Securities — Non-Agency | 7.7 |
Commercial Mortgage-Backed Securities - Agency | 6.0 |
Commercial Mortgage-Backed Securities - Non-Agency | 2.7 |
Corporate Bonds & Notes | 28.5 |
Foreign Government Obligations | 1.3 |
Inflation-Indexed Bonds | 0.1 |
Money Market Funds | 3.0 |
Municipal Bonds | 0.4 |
Residential Mortgage-Backed Securities - Agency | 26.2 |
Residential Mortgage-Backed Securities - Non-Agency | 2.5 |
U.S. Government & Agency Obligations | 0.9 |
U.S. Treasury Obligations | 20.7 |
Total | 100.0 |
(a) | Rounds to zero. |
Quality breakdown (%) (at June 30, 2020) | |
AAA rating | 57.8 |
AA rating | 9.1 |
A rating | 12.0 |
BBB rating | 17.3 |
BB rating | 0.3 |
B rating | 0.2 |
CCC rating | 0.0(a) |
C rating | 0.0(a) |
D rating | 0.0(a) |
Not rated | 3.3 |
Total | 100.0 |
(a) | Rounds to zero. |
22 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners International Core Equity Fund (Unaudited)
Schroder Investment Management North America Limited (sub-subadviser)*
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/07/10 | -10.45 | -5.91 | -0.52 | 4.64 | |
Class 2 | 05/07/10 | -10.52 | -6.15 | -0.76 | 4.39 | |
MSCI EAFE Index (Net) | -11.34 | -5.13 | 2.05 | 5.73 |
Variable Portfolio Funds | Semiannual Report 2020 | 23 |
Variable Portfolio – Partners International Core Equity Fund (Unaudited)
Equity sector breakdown (%) (at June 30, 2020) | |
Communication Services | 3.4 |
Consumer Discretionary | 12.5 |
Consumer Staples | 8.2 |
Energy | 2.7 |
Financials | 12.1 |
Health Care | 17.0 |
Industrials | 15.1 |
Information Technology | 15.4 |
Materials | 6.6 |
Real Estate | 3.3 |
Utilities | 3.7 |
Total | 100.0 |
Country breakdown (%) (at June 30, 2020) | |
Argentina | 1.2 |
Australia | 3.9 |
Austria | 0.6 |
Belgium | 0.8 |
China | 1.8 |
Denmark | 2.3 |
Finland | 0.8 |
France | 6.7 |
Germany | 12.6 |
Hong Kong | 4.6 |
India | 0.8 |
Isle of Man | 0.1 |
Italy | 0.8 |
Japan | 16.9 |
Netherlands | 6.1 |
New Zealand | 0.7 |
Norway | 1.4 |
Singapore | 1.4 |
South Korea | 1.2 |
Spain | 3.3 |
Sweden | 2.2 |
Switzerland | 13.1 |
Taiwan | 1.4 |
United Kingdom | 12.6 |
United States(a) | 2.7 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds. |
24 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners International Growth Fund (Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/07/10 | -2.33 | 6.50 | 3.03 | 6.62 | |
Class 2 | 05/07/10 | -2.48 | 6.28 | 2.78 | 6.36 | |
MSCI EAFE Growth Index (Net) | -3.53 | 4.15 | 5.52 | 7.78 |
Variable Portfolio Funds | Semiannual Report 2020 | 25 |
Variable Portfolio – Partners International Growth Fund (Unaudited)
Equity sector breakdown (%) (at June 30, 2020) | |
Communication Services | 4.1 |
Consumer Discretionary | 13.2 |
Consumer Staples | 6.4 |
Energy | 3.6 |
Financials | 7.7 |
Health Care | 13.3 |
Industrials | 23.2 |
Information Technology | 19.8 |
Materials | 4.3 |
Real Estate | 2.4 |
Utilities | 2.0 |
Total | 100.0 |
Country breakdown (%) (at June 30, 2020) | |
Argentina | 1.1 |
Australia | 2.8 |
Canada | 3.8 |
China | 9.9 |
Denmark | 7.4 |
Finland | 1.4 |
France | 10.0 |
Germany | 5.5 |
Hong Kong | 3.9 |
India | 2.2 |
Ireland | 1.4 |
Japan | 13.5 |
Luxembourg | 0.3 |
Netherlands | 2.8 |
Portugal | 0.4 |
Singapore | 0.4 |
Spain | 1.4 |
Sweden | 3.3 |
Switzerland | 10.1 |
Taiwan | 2.6 |
United Kingdom | 14.3 |
United States(a) | 1.5 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds. |
26 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners International Value Fund (Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/07/10 | -21.89 | -18.57 | -2.77 | 1.99 | |
Class 2 | 05/07/10 | -21.94 | -18.71 | -3.00 | 1.74 | |
MSCI EAFE Value Index (Net) | -19.27 | -14.48 | -1.59 | 3.53 |
Variable Portfolio Funds | Semiannual Report 2020 | 27 |
Variable Portfolio – Partners International Value Fund (Unaudited)
Equity sector breakdown (%) (at June 30, 2020) | |
Communication Services | 6.4 |
Consumer Discretionary | 13.4 |
Consumer Staples | 8.6 |
Energy | 6.0 |
Financials | 20.8 |
Health Care | 9.9 |
Industrials | 14.7 |
Information Technology | 6.1 |
Materials | 8.9 |
Real Estate | 2.8 |
Utilities | 2.4 |
Total | 100.0 |
Country breakdown (%) (at June 30, 2020) | |
Australia | 4.5 |
Austria | 0.0(a) |
Belgium | 1.3 |
China | 0.6 |
Denmark | 1.5 |
Finland | 0.2 |
France | 10.3 |
Germany | 10.9 |
Hong Kong | 2.5 |
Ireland | 1.7 |
Isle of Man | 0.3 |
Israel | 0.5 |
Italy | 2.1 |
Japan | 25.9 |
Netherlands | 5.4 |
New Zealand | 0.1 |
Norway | 0.9 |
Portugal | 0.1 |
Singapore | 1.2 |
Spain | 1.2 |
Sweden | 2.5 |
Switzerland | 10.2 |
United Kingdom | 14.4 |
United States(b) | 1.7 |
Total | 100.0 |
(a) | Rounds to zero. |
(b) | Includes investments in Money Market Funds. |
28 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners Small Cap Growth Fund (Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/07/10 | -0.79 | 2.27 | 4.78 | 10.82 | |
Class 2 | 05/07/10 | -0.89 | 2.04 | 4.52 | 10.56 | |
Russell 2000 Growth Index | -3.06 | 3.48 | 6.86 | 12.92 |
Variable Portfolio Funds | Semiannual Report 2020 | 29 |
Variable Portfolio – Partners Small Cap Growth Fund (Unaudited)
Portfolio breakdown (%) (at June 30, 2020) | |
Common Stocks | 98.8 |
Money Market Funds | 1.2 |
Total | 100.0 |
Equity sector breakdown (%) (at June 30, 2020) | |
Communication Services | 0.8 |
Consumer Discretionary | 11.5 |
Consumer Staples | 3.6 |
Energy | 0.1 |
Financials | 6.8 |
Health Care | 31.7 |
Industrials | 15.1 |
Information Technology | 26.5 |
Materials | 1.7 |
Real Estate | 1.8 |
Utilities | 0.4 |
Total | 100.0 |
30 | Variable Portfolio Funds | Semiannual Report 2020 |
(Unaudited)
January 1, 2020 — June 30, 2020 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
CTIVP® – American Century Diversified Bond Fund | |||||||
Class 1 | 1,000.00 | 1,000.00 | 1,043.60 | 1,022.48 | 2.44 | 2.41 | 0.48 |
Class 2 | 1,000.00 | 1,000.00 | 1,042.00 | 1,021.23 | 3.71 | 3.67 | 0.73 |
CTIVP® – CenterSquare Real Estate Fund | |||||||
Class 1 | 1,000.00 | 1,000.00 | 844.70 | 1,020.93 | 3.62 | 3.97 | 0.79 |
Class 2 | 1,000.00 | 1,000.00 | 843.70 | 1,019.69 | 4.77 | 5.22 | 1.04 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund | |||||||
Class 1 | 1,000.00 | 1,000.00 | 1,091.20 | 1,021.43 | 3.59 | 3.47 | 0.69 |
Class 2 | 1,000.00 | 1,000.00 | 1,089.70 | 1,020.14 | 4.94 | 4.77 | 0.95 |
CTIVP® – MFS® Value Fund | |||||||
Class 1 | 1,000.00 | 1,000.00 | 869.40 | 1,021.33 | 3.30 | 3.57 | 0.71 |
Class 2 | 1,000.00 | 1,000.00 | 868.30 | 1,020.09 | 4.46 | 4.82 | 0.96 |
CTIVP® – Morgan Stanley Advantage Fund | |||||||
Class 1 | 1,000.00 | 1,000.00 | 1,325.30 | 1,021.53 | 3.87 | 3.37 | 0.67 |
Class 2 | 1,000.00 | 1,000.00 | 1,324.00 | 1,020.24 | 5.37 | 4.67 | 0.93 |
Variable Portfolio Funds | Semiannual Report 2020 | 31 |
(Unaudited)
January 1, 2020 — June 30, 2020 | |||||||
Account value at the beginning of the period ($) | 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® – T. Rowe Price Large Cap Value Fund | |||||||
Class 1 | 1,000.00 | 1,000.00 | 815.60 | 1,021.38 | 3.16 | 3.52 | 0.70 |
Class 2 | 1,000.00 | 1,000.00 | 814.60 | 1,020.14 | 4.29 | 4.77 | 0.95 |
CTIVP® – TCW Core Plus Bond Fund | |||||||
Class 1 | 1,000.00 | 1,000.00 | 1,061.80 | 1,022.48 | 2.46 | 2.41 | 0.48 |
Class 2 | 1,000.00 | 1,000.00 | 1,061.10 | 1,021.18 | 3.79 | 3.72 | 0.74 |
CTIVP® – Wells Fargo Short Duration Government Fund | |||||||
Class 1 | 1,000.00 | 1,000.00 | 1,031.10 | 1,022.73 | 2.17 | 2.16 | 0.43 |
Class 2 | 1,000.00 | 1,000.00 | 1,029.30 | 1,021.43 | 3.48 | 3.47 | 0.69 |
CTIVP® – Westfield Mid Cap Growth Fund | |||||||
Class 1 | 1,000.00 | 1,000.00 | 994.40 | 1,020.74 | 4.12 | 4.17 | 0.83 |
Class 2 | 1,000.00 | 1,000.00 | 993.30 | 1,019.49 | 5.35 | 5.42 | 1.08 |
Variable Portfolio – Partners Core Bond Fund | |||||||
Class 1 | 1,000.00 | 1,000.00 | 1,060.10 | 1,022.48 | 2.46 | 2.41 | 0.48 |
Class 2 | 1,000.00 | 1,000.00 | 1,058.60 | 1,021.23 | 3.74 | 3.67 | 0.73 |
Variable Portfolio – Partners International Core Equity Fund | |||||||
Class 1 | 1,000.00 | 1,000.00 | 895.50 | 1,020.89 | 3.77 | 4.02 | 0.80 |
Class 2 | 1,000.00 | 1,000.00 | 894.80 | 1,019.64 | 4.95 | 5.27 | 1.05 |
Variable Portfolio – Partners International Growth Fund | |||||||
Class 1 | 1,000.00 | 1,000.00 | 976.70 | 1,020.29 | 4.52 | 4.62 | 0.92 |
Class 2 | 1,000.00 | 1,000.00 | 975.20 | 1,019.05 | 5.75 | 5.87 | 1.17 |
Variable Portfolio – Partners International Value Fund | |||||||
Class 1 | 1,000.00 | 1,000.00 | 781.10 | 1,020.59 | 3.81 | 4.32 | 0.86 |
Class 2 | 1,000.00 | 1,000.00 | 780.60 | 1,019.34 | 4.91 | 5.57 | 1.11 |
Variable Portfolio – Partners Small Cap Growth Fund | |||||||
Class 1 | 1,000.00 | 1,000.00 | 992.10 | 1,020.49 | 4.36 | 4.42 | 0.88 |
Class 2 | 1,000.00 | 1,000.00 | 991.10 | 1,019.24 | 5.59 | 5.67 | 1.13 |
32 | Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – American Century Diversified Bond Fund, June 30, 2020 (Unaudited)
Asset-Backed Securities — Non-Agency 5.1% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Allegany Park CLO Ltd.(a),(b) | ||||
Series 2019-1A Class C | ||||
3-month USD LIBOR + 2.550% Floor 2.550% 01/20/2033 | 4.384% | 3,900,000 | 3,837,249 | |
Ares XLI CLO Ltd.(a),(b) | ||||
Series 2019-41A Class AR | ||||
3-month USD LIBOR + 1.200% Floor 1.200% 01/15/2029 | 2.419% | 10,300,000 | 10,172,393 | |
Atrium IX(a),(b) | ||||
Series 209A Class BR | ||||
3-month USD LIBOR + 1.750% 05/28/2030 | 2.121% | 5,725,000 | 5,584,360 | |
Bean Creek CLO Ltd.(a),(b) | ||||
Series 2015-1A Class BR | ||||
3-month USD LIBOR + 1.450% Floor 1.450% 04/20/2031 | 2.585% | 3,200,000 | 3,019,753 | |
BRE Grand Islander Timeshare Issuer LLC(a) | ||||
Series 2017-1A Class A | ||||
05/25/2029 | 2.940% | 3,024,961 | 3,037,351 | |
CBAM Ltd.(a),(b) | ||||
Series 2018-5A Class B1 | ||||
3-month USD LIBOR + 1.400% Floor 1.400% 04/17/2031 | 2.535% | 2,755,000 | 2,632,703 | |
Deer Creek CLO Ltd.(a),(b) | ||||
Series 2017-1A Class A | ||||
3-month USD LIBOR + 1.180% 10/20/2030 | 2.315% | 5,350,000 | 5,237,495 | |
Dryden XXVIII Senior Loan Fund(a),(b) | ||||
Series 2013-28A Class A2LR | ||||
3-month USD LIBOR + 1.650% 08/15/2030 | 2.042% | 2,850,000 | 2,775,210 | |
Elmwood CLO IV Ltd.(a),(b) | ||||
Series 2020-1A Class B | ||||
3-month USD LIBOR + 1.700% Floor 1.700% 04/15/2033 | 2.882% | 12,500,000 | 12,032,487 | |
Elmwood CLO V Ltd.(a),(b),(c) | ||||
Series 2020-2A Class B | ||||
3-month USD LIBOR + 2.200% Floor 2.200% 07/24/2031 | 2.000% | 7,625,000 | 7,625,000 | |
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 | 3.119% | 4,250,000 | 4,169,233 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Goodgreen(a),(d) | ||||
Series 2018-1A Class A | ||||
10/15/2053 | 3.930% | 6,324,695 | 6,578,593 | |
Hilton Grand Vacations Trust(a) | ||||
Series 2014-AA Class A | ||||
11/25/2026 | 1.770% | 1,316,875 | 1,316,420 | |
Series 2014-AA Class B | ||||
11/25/2026 | 2.070% | 674,161 | 670,041 | |
Series 2017-AA Class A | ||||
12/26/2028 | 2.660% | 2,561,199 | 2,544,839 | |
Invitation Homes Trust(a),(b) | ||||
Series 2018-SFR1 Class B | ||||
1-month USD LIBOR + 0.950% 03/17/2037 | 1.135% | 9,425,000 | 9,212,790 | |
KKR CLO Ltd.(a),(b) | ||||
Series 2022A Class B | ||||
3-month USD LIBOR + 1.600% Floor 1.600% 07/20/2031 | 2.735% | 2,250,000 | 2,141,703 | |
Madison Park Funding XXII Ltd.(a),(b) | ||||
Series 2016-22A Class BR | ||||
3-month USD LIBOR + 1.600% Floor 1.600% 01/15/2033 | 2.819% | 7,250,000 | 6,851,649 | |
Magnetite VIII Ltd.(a),(b) | ||||
Series 2014-8A Class BR2 | ||||
3-month USD LIBOR + 1.500% Floor 1.500% 04/15/2031 | 2.719% | 1,850,000 | 1,781,306 | |
Magnetite XXIV Ltd.(a),(b) | ||||
Series 2019-24A Class B | ||||
3-month USD LIBOR + 1.850% Floor 1.850% 01/15/2033 | 3.757% | 4,100,000 | 4,004,015 | |
Series 2019-24A Class C | ||||
3-month USD LIBOR + 2.550% Floor 2.550% 01/15/2033 | 4.457% | 5,250,000 | 5,157,537 | |
MVW Owner Trust(a) | ||||
Series 2015-1A Class A | ||||
12/20/2032 | 2.520% | 1,410,571 | 1,414,700 | |
Octagon Investment Partners 24 Ltd.(a),(b) | ||||
Series 2020-1A Class BS | ||||
3-month USD LIBOR + 1.900% Floor 1.900% 04/21/2031 | 3.009% | 5,600,000 | 5,444,516 |
Variable Portfolio Funds | Semiannual Report 2020 | 33 |
CTIVP® – American Century Diversified Bond Fund, June 30, 2020 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Octagon Investment Partners 45 Ltd.(a),(b) | ||||
Series 2019-1A Class B1 | ||||
3-month USD LIBOR + 1.850% Floor 1.850% 10/15/2032 | 3.069% | 7,650,000 | 7,463,271 | |
Octagon Investment Partners 47 Ltd.(a),(b) | ||||
Series 2020-1A Class A1 | ||||
3-month USD LIBOR + 1.850% Floor 1.850% 04/20/2031 | 2.103% | 7,600,000 | 7,608,717 | |
Sierra Receivables Funding Co., LLC(a) | ||||
Series 2017-1A Class A | ||||
03/20/2034 | 2.910% | 2,048,398 | 2,036,770 | |
Sierra Timeshare Receivables Funding LLC(a) | ||||
Series 2016-2A Class A | ||||
07/20/2033 | 2.330% | 1,875,723 | 1,864,038 | |
Series 2018-2A Class B | ||||
06/20/2035 | 3.650% | 3,908,236 | 3,834,515 | |
Series 2019-2A Class C | ||||
05/20/2036 | 3.120% | 4,545,859 | 4,135,673 | |
Subordinated Series 2018-3A Class B | ||||
09/20/2035 | 3.870% | 3,305,955 | 3,258,443 | |
Sounds Point CLO Ltd.(a),(b) | ||||
Series 2013-3RA Class A | ||||
3-month USD LIBOR + 1.150% Floor 1.150% 04/18/2031 | 2.285% | 2,500,000 | 2,405,752 | |
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 | 2.885% | 3,190,000 | 3,047,940 | |
U.S. Airways Pass-Through Trust | ||||
Series 2013-1 Class A | ||||
11/15/2025 | 3.950% | 1,042,325 | 859,548 | |
Voya CLO Ltd.(a),(b) | ||||
Series 2013-2A Class A2AR | ||||
3-month USD LIBOR + 1.400% Floor 1.400% 04/25/2031 | 2.391% | 5,550,000 | 5,177,245 | |
VSE Mortgage LLC(a) | ||||
Subordinated, Series 2017-A Class B | ||||
03/20/2035 | 2.630% | 5,302,824 | 4,931,867 | |
VSE VOI Mortgage LLC(a) | ||||
Series 2016-A Class A | ||||
07/20/2033 | 2.540% | 3,507,584 | 3,458,509 | |
Total Asset-Backed Securities — Non-Agency (Cost $161,044,316) | 157,323,631 | |||
Commercial Mortgage-Backed Securities - Non-Agency 2.9% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Invitation Homes Trust(a),(b) | ||||
Series 2017-SFR2 Class B | ||||
1-month USD LIBOR + 1.150% Floor 1.150% 12/17/2036 | 1.335% | 17,475,000 | 17,398,412 | |
Series 2018-SFR2 Class C | ||||
1-month USD LIBOR + 1.280% Floor 1.350% 06/17/2037 | 1.465% | 11,325,000 | 11,016,374 | |
Series 2018-SFR3 Class B | ||||
1-month USD LIBOR + 1.150% Floor 1.200% 07/17/2037 | 1.344% | 14,475,000 | 14,254,918 | |
Subordinated Series 2018-SFR4 Class B | ||||
1-month USD LIBOR + 1.250% Floor 1.100% 01/17/2038 | 1.444% | 16,000,000 | 15,615,904 | |
Progress Residential Trust(a) | ||||
Series 2017-SFR1 Class A | ||||
08/17/2034 | 2.768% | 11,949,661 | 12,132,803 | |
Series 2019-SRF4 Class A | ||||
10/17/2036 | 2.687% | 17,600,000 | 18,080,190 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $88,824,105) | 88,498,601 | |||
Corporate Bonds & Notes 40.6% | ||||
Aerospace & Defense 0.4% | ||||
Boeing Co. (The) | ||||
05/01/2030 | 5.150% | 1,310,000 | 1,459,702 | |
05/01/2050 | 5.805% | 3,780,000 | 4,474,394 | |
Raytheon Technologies Corp. | ||||
07/01/2030 | 2.250% | 3,060,000 | 3,181,560 | |
United Technologies Corp. | ||||
04/15/2040 | 5.700% | 1,770,000 | 2,452,601 | |
Total | 11,568,257 | |||
Airlines 0.1% | ||||
Delta Air Lines, Inc. | ||||
01/15/2026 | 7.375% | 1,000,000 | 967,170 | |
United Airlines, Inc. Pass-Through Trust | ||||
09/03/2022 | 4.625% | 1,742,630 | 1,520,448 | |
Total | 2,487,618 | |||
Apartment REIT 0.1% | ||||
Essex Portfolio LP | ||||
08/15/2022 | 3.625% | 1,590,000 | 1,663,740 | |
05/01/2023 | 3.250% | 2,805,000 | 2,953,753 | |
Total | 4,617,493 |
34 | Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – American Century Diversified Bond Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Automotive 0.8% | ||||
BorgWarner, Inc. | ||||
07/01/2027 | 2.650% | 1,780,000 | 1,825,374 | |
Ford Motor Credit Co. LLC | ||||
08/02/2021 | 5.875% | 6,650,000 | 6,715,901 | |
08/03/2022 | 2.979% | 3,300,000 | 3,164,707 | |
11/01/2022 | 3.350% | 1,720,000 | 1,657,914 | |
General Motors Co. | ||||
04/01/2038 | 5.150% | 1,970,000 | 1,916,167 | |
General Motors Financial Co., Inc. | ||||
07/06/2021 | 3.200% | 1,970,000 | 1,991,935 | |
06/20/2025 | 2.750% | 3,650,000 | 3,604,987 | |
03/01/2026 | 5.250% | 2,360,000 | 2,571,946 | |
Total | 23,448,931 | |||
Banking 8.2% | ||||
Banco Santander SA | ||||
04/11/2022 | 3.500% | 3,600,000 | 3,731,955 | |
05/28/2025 | 2.746% | 1,800,000 | 1,862,846 | |
Bank of America Corp.(e) | ||||
12/20/2023 | 3.004% | 2,897,000 | 3,041,671 | |
06/19/2026 | 1.319% | 2,054,000 | 2,059,796 | |
12/20/2028 | 3.419% | 5,767,000 | 6,421,696 | |
02/13/2031 | 2.496% | 5,198,000 | 5,454,562 | |
06/19/2041 | 2.676% | 6,000,000 | 6,154,749 | |
Bank of Montreal | ||||
02/05/2024 | 3.300% | 6,505,000 | 7,052,289 | |
Barclays Bank PLC | ||||
Subordinated | ||||
10/14/2020 | 5.140% | 1,230,000 | 1,243,419 | |
Barclays PLC | ||||
06/24/2031 | 2.645% | 2,300,000 | 2,289,758 | |
BNP Paribas SA(a),(e) | ||||
11/19/2025 | 2.819% | 3,138,000 | 3,282,192 | |
BPCE SA(a) | ||||
Subordinated | ||||
07/21/2024 | 5.150% | 3,930,000 | 4,370,081 | |
Canadian Imperial Bank of Commerce | ||||
01/28/2025 | 2.250% | 4,790,000 | 5,019,481 | |
Capital One Bank U.S.A. NA | ||||
Subordinated | ||||
02/15/2023 | 3.375% | 3,180,000 | 3,338,002 | |
Citigroup, Inc. | ||||
12/08/2021 | 2.900% | 10,308,000 | 10,615,055 | |
04/25/2022 | 2.750% | 4,453,000 | 4,613,029 | |
Citigroup, Inc.(e) | ||||
04/08/2026 | 3.106% | 8,258,000 | 8,877,350 | |
10/27/2028 | 3.520% | 2,990,000 | 3,312,518 | |
06/03/2031 | 2.572% | 4,970,000 | 5,136,366 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Cooperatieve Rabobank UA(a),(e) | ||||
06/24/2026 | 1.339% | 4,620,000 | 4,636,394 | |
Cooperatieve Rabobank UA | ||||
Subordinated | ||||
11/09/2022 | 3.950% | 3,610,000 | 3,821,809 | |
Credit Suisse AG | ||||
04/08/2022 | 2.800% | 2,440,000 | 2,530,899 | |
Credit Suisse Group AG(a),(e) | ||||
09/11/2025 | 2.593% | 2,500,000 | 2,582,829 | |
06/05/2026 | 2.193% | 6,355,000 | 6,437,053 | |
Discover Bank | ||||
07/27/2026 | 3.450% | 3,485,000 | 3,767,434 | |
Fifth Third Bancorp | ||||
01/28/2025 | 2.375% | 2,190,000 | 2,308,554 | |
FNB Corp. | ||||
02/24/2023 | 2.200% | 3,900,000 | 3,865,038 | |
Goldman Sachs Group, Inc. (The) | ||||
04/01/2025 | 3.500% | 8,269,000 | 9,068,495 | |
11/16/2026 | 3.500% | 5,450,000 | 5,985,883 | |
02/07/2030 | 2.600% | 893,000 | 936,347 | |
Huntington Bancshares, Inc. | ||||
02/04/2030 | 2.550% | 5,810,000 | 6,009,989 | |
JPMorgan Chase & Co.(e) | ||||
12/05/2024 | 4.023% | 3,280,000 | 3,613,771 | |
06/01/2028 | 2.182% | 6,520,000 | 6,760,567 | |
04/22/2031 | 2.522% | 6,000,000 | 6,338,240 | |
12/31/2049 | 4.600% | 13,600,000 | 12,124,569 | |
Lloyds Banking Group PLC(e) | ||||
02/05/2026 | 2.438% | 3,018,000 | 3,112,709 | |
Morgan Stanley | ||||
05/19/2022 | 2.750% | 2,900,000 | 3,010,733 | |
10/23/2024 | 3.700% | 2,710,000 | 3,002,763 | |
Morgan Stanley(e) | ||||
04/28/2026 | 2.188% | 4,095,000 | 4,267,663 | |
01/22/2031 | 2.699% | 1,996,000 | 2,118,570 | |
Nordea Bank Abp(a) | ||||
06/09/2023 | 1.000% | 1,930,000 | 1,948,721 | |
PNC Bank NA | ||||
Subordinated | ||||
10/22/2029 | 2.700% | 3,678,000 | 3,908,320 | |
Regions Financial Corp. | ||||
05/18/2025 | 2.250% | 3,185,000 | 3,333,653 | |
Royal Bank of Scotland Group PLC(e) | ||||
05/22/2024 | 2.359% | 2,665,000 | 2,733,616 | |
Societe Generale SA(a),(c),(e) | ||||
07/08/2035 | 3.653% | 4,729,000 | 4,729,000 | |
State Street Corp.(a),(e) | ||||
03/30/2023 | 2.825% | 855,000 | 886,713 |
Variable Portfolio Funds | Semiannual Report 2020 | 35 |
CTIVP® – American Century Diversified Bond Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Sumitomo Mitsui Financial Group, Inc. | ||||
01/15/2025 | 2.348% | 5,900,000 | 6,166,848 | |
Synchrony Financial | ||||
07/25/2022 | 2.850% | 3,560,000 | 3,619,538 | |
Truist Bank | ||||
Subordinated | ||||
03/11/2030 | 2.250% | 4,455,000 | 4,505,176 | |
UBS AG(a) | ||||
04/21/2022 | 1.750% | 1,560,000 | 1,589,073 | |
UBS Group Funding Switzerland AG(a) | ||||
05/23/2023 | 3.491% | 4,300,000 | 4,494,963 | |
09/24/2025 | 4.125% | 3,500,000 | 3,969,520 | |
UniCredit SpA(a),(e) | ||||
Subordinated | ||||
06/19/2032 | 5.861% | 2,520,000 | 2,640,013 | |
06/30/2035 | 5.459% | 7,430,000 | 7,469,597 | |
Wells Fargo & Co.(e) | ||||
06/02/2024 | 1.654% | 3,250,000 | 3,300,099 | |
06/02/2028 | 2.393% | 1,750,000 | 1,808,062 | |
04/30/2041 | 3.068% | 2,770,000 | 2,891,171 | |
Wells Fargo & Co. | ||||
10/23/2026 | 3.000% | 4,850,000 | 5,298,344 | |
Subordinated | ||||
08/15/2023 | 4.125% | 2,510,000 | 2,728,575 | |
Total | 252,198,126 | |||
Brokerage/Asset Managers/Exchanges 0.5% | ||||
Ares Finance Co. II LLC(a) | ||||
06/15/2030 | 3.250% | 2,700,000 | 2,747,779 | |
KKR Group Finance Co. VII LLC(a) | ||||
02/25/2050 | 3.625% | 6,510,000 | 6,465,938 | |
LPL Holdings, Inc.(a) | ||||
Subordinated | ||||
11/15/2027 | 4.625% | 4,789,000 | 4,749,083 | |
Total | 13,962,800 | |||
Building Materials 0.6% | ||||
Builders FirstSource, Inc.(a) | ||||
03/01/2030 | 5.000% | 4,980,000 | 4,692,166 | |
Martin Marietta Materials, Inc. | ||||
03/15/2030 | 2.500% | 4,671,000 | 4,699,583 | |
Masco Corp. | ||||
04/01/2025 | 4.450% | 1,250,000 | 1,414,755 | |
Standard Industries, Inc.(a) | ||||
01/15/2028 | 4.750% | 4,490,000 | 4,552,136 | |
07/15/2030 | 4.375% | 600,000 | 598,301 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Vulcan Materials Co. | ||||
06/01/2030 | 3.500% | 2,730,000 | 2,971,148 | |
Total | 18,928,089 | |||
Cable and Satellite 2.0% | ||||
Cable Onda SA(a) | ||||
01/30/2030 | 4.500% | 2,800,000 | 2,844,377 | |
Cablevision Systems Corp. | ||||
09/15/2022 | 5.875% | 7,038,000 | 7,379,963 | |
CCO Holdings LLC/Capital Corp.(a) | ||||
02/15/2026 | 5.750% | 7,180,000 | 7,443,365 | |
Charter Communications Operating LLC/Capital | ||||
03/15/2028 | 4.200% | 720,000 | 805,078 | |
03/01/2050 | 4.800% | 2,265,000 | 2,557,803 | |
Comcast Corp. | ||||
01/15/2031 | 1.950% | 2,000,000 | 2,037,974 | |
07/15/2036 | 3.200% | 2,146,000 | 2,378,316 | |
05/15/2038 | 6.400% | 3,172,000 | 4,709,855 | |
04/01/2040 | 3.750% | 1,100,000 | 1,286,194 | |
01/15/2051 | 2.800% | 1,480,000 | 1,513,606 | |
Sirius XM Radio, Inc.(a) | ||||
07/01/2030 | 4.125% | 10,710,000 | 10,589,812 | |
Time Warner Entertainment Co. LP | ||||
03/15/2023 | 8.375% | 2,711,000 | 3,203,950 | |
Virgin Media Finance PLC(a) | ||||
07/15/2030 | 5.000% | 9,500,000 | 9,256,771 | |
VTR Finance NV(a),(c) | ||||
07/15/2028 | 6.375% | 5,330,000 | 5,479,264 | |
Total | 61,486,328 | |||
Chemicals 0.3% | ||||
CF Industries, Inc.(a) | ||||
12/01/2026 | 4.500% | 2,080,000 | 2,297,090 | |
CF Industries, Inc. | ||||
03/15/2034 | 5.150% | 1,750,000 | 1,873,233 | |
Westlake Chemical Corp. | ||||
06/15/2030 | 3.375% | 2,570,000 | 2,621,613 | |
Yara International ASA(a) | ||||
06/04/2030 | 3.148% | 2,000,000 | 2,067,478 | |
Total | 8,859,414 | |||
Construction Machinery 0.1% | ||||
Ashtead Capital, Inc.(a) | ||||
08/15/2025 | 4.125% | 3,050,000 | 3,120,651 | |
Consumer Cyclical Services 0.1% | ||||
Mastercard, Inc. | ||||
06/01/2049 | 3.650% | 1,280,000 | 1,536,323 |
36 | Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – American Century Diversified Bond Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Western Union Co. (The) | ||||
01/10/2025 | 2.850% | 875,000 | 911,652 | |
Total | 2,447,975 | |||
Consumer Products 0.1% | ||||
Energizer Holdings, Inc.(a),(c) | ||||
06/15/2028 | 4.750% | 1,870,000 | 1,832,864 | |
Kimberly-Clark Corp. | ||||
03/26/2030 | 3.100% | 605,000 | 689,010 | |
Total | 2,521,874 | |||
Diversified Manufacturing 0.5% | ||||
Amphenol Corp. | ||||
03/01/2025 | 2.050% | 4,100,000 | 4,268,848 | |
Carlisle Companies, Inc. | ||||
03/01/2030 | 2.750% | 5,280,000 | 5,433,065 | |
General Electric Co. | ||||
05/01/2050 | 4.350% | 690,000 | 680,646 | |
Otis Worldwide Corp.(a),(b) | ||||
3-month USD LIBOR + 0.450% 04/05/2023 | 1.823% | 1,300,000 | 1,284,569 | |
Otis Worldwide Corp.(a) | ||||
04/05/2025 | 2.056% | 2,775,000 | 2,909,630 | |
Westinghouse Air Brake Technologies Corp. | ||||
06/15/2025 | 3.200% | 1,240,000 | 1,263,965 | |
Total | 15,840,723 | |||
Electric 2.6% | ||||
AEP Texas, Inc.(c) | ||||
07/01/2030 | 2.100% | 2,930,000 | 2,931,849 | |
AEP Transmission Co. LLC | ||||
12/01/2047 | 3.750% | 1,820,000 | 2,098,002 | |
Ameren Corp. | ||||
01/15/2031 | 3.500% | 3,360,000 | 3,770,116 | |
Baltimore Gas and Electric Co. | ||||
06/15/2050 | 2.900% | 1,450,000 | 1,480,677 | |
Berkshire Hathaway Energy Co. | ||||
07/15/2048 | 3.800% | 3,390,000 | 3,948,477 | |
CenterPoint Energy, Inc. | ||||
11/01/2028 | 4.250% | 2,430,000 | 2,813,226 | |
Commonwealth Edison Co. | ||||
11/15/2049 | 3.200% | 1,900,000 | 2,066,096 | |
Consolidated Edison Co. of New York, Inc. | ||||
03/01/2043 | 3.950% | 2,790,000 | 3,181,932 | |
Dominion Energy, Inc. | ||||
10/01/2025 | 3.900% | 750,000 | 846,688 | |
08/01/2041 | 4.900% | 2,650,000 | 3,284,970 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
DPL, Inc.(a) | ||||
07/01/2025 | 4.125% | 1,980,000 | 1,980,806 | |
DTE Electric Co. | ||||
03/01/2030 | 2.250% | 2,770,000 | 2,916,942 | |
Duke Energy Corp. | ||||
09/15/2021 | 3.550% | 1,800,000 | 1,849,569 | |
Duke Energy Florida LLC | ||||
06/15/2030 | 1.750% | 3,180,000 | 3,212,633 | |
09/15/2037 | 6.350% | 1,170,000 | 1,735,314 | |
11/15/2042 | 3.850% | 1,610,000 | 1,897,417 | |
Duke Energy Progress LLC | ||||
12/01/2044 | 4.150% | 3,385,000 | 4,148,254 | |
Exelon Corp. | ||||
12/01/2020 | 5.150% | 2,520,000 | 2,538,318 | |
04/15/2046 | 4.450% | 960,000 | 1,165,504 | |
FirstEnergy Transmission LLC(a) | ||||
04/01/2049 | 4.550% | 1,540,000 | 1,873,307 | |
Florida Power & Light Co. | ||||
02/01/2042 | 4.125% | 1,840,000 | 2,303,270 | |
10/01/2049 | 3.150% | 1,150,000 | 1,303,574 | |
IPALCO Enterprises, Inc.(a) | ||||
05/01/2030 | 4.250% | 3,110,000 | 3,383,129 | |
MidAmerican Energy Co. | ||||
10/15/2044 | 4.400% | 1,090,000 | 1,382,028 | |
Nevada Power Co. | ||||
05/01/2030 | 2.400% | 1,932,000 | 2,044,929 | |
NextEra Energy Operating Partners LP(a) | ||||
09/15/2027 | 4.500% | 4,400,000 | 4,602,518 | |
Northern States Power Co. | ||||
06/01/2051 | 2.600% | 1,380,000 | 1,403,361 | |
Oncor Electric Delivery Co. LLC | ||||
09/15/2049 | 3.100% | 1,420,000 | 1,569,761 | |
PacifiCorp | ||||
09/15/2030 | 2.700% | 903,000 | 985,142 | |
03/15/2051 | 3.300% | 2,950,000 | 3,244,771 | |
Potomac Electric Power Co. | ||||
03/15/2024 | 3.600% | 2,050,000 | 2,235,418 | |
Xcel Energy, Inc. | ||||
12/01/2026 | 3.350% | 1,210,000 | 1,358,988 | |
06/01/2030 | 3.400% | 3,000,000 | 3,419,124 | |
Total | 78,976,110 | |||
Environmental 0.5% | ||||
Republic Services, Inc. | ||||
03/01/2030 | 2.300% | 6,832,000 | 7,126,959 |
Variable Portfolio Funds | Semiannual Report 2020 | 37 |
CTIVP® – American Century Diversified Bond Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Waste Connections, Inc. | ||||
05/01/2029 | 3.500% | 140,000 | 157,320 | |
02/01/2030 | 2.600% | 7,000,000 | 7,440,560 | |
Total | 14,724,839 | |||
Finance Companies 0.8% | ||||
AerCap Ireland Capital DAC/Global Aviation Trust | ||||
07/15/2025 | 6.500% | 5,290,000 | 5,532,050 | |
Air Lease Corp. | ||||
07/03/2023 | 3.875% | 1,294,000 | 1,314,210 | |
Ares Capital Corp. | ||||
07/15/2025 | 3.250% | 6,340,000 | 6,154,067 | |
GE Capital Funding LLC(a) | ||||
05/15/2030 | 4.400% | 1,260,000 | 1,309,697 | |
Goldman Sachs BDC, Inc. | ||||
02/10/2025 | 3.750% | 2,308,000 | 2,377,301 | |
Oaktree Specialty Lending Corp. | ||||
02/25/2025 | 3.500% | 3,235,000 | 3,160,286 | |
Park Aerospace Holdings Ltd.(a) | ||||
02/15/2024 | 5.500% | 4,600,000 | 4,209,371 | |
Total | 24,056,982 | |||
Food and Beverage 1.0% | ||||
Anheuser-Busch Companies LLC/InBev Worldwide, Inc. | ||||
02/01/2046 | 4.900% | 4,980,000 | 6,038,856 | |
Anheuser-Busch InBev Worldwide, Inc. | ||||
01/23/2029 | 4.750% | 4,690,000 | 5,660,584 | |
Campbell Soup Co. | ||||
04/24/2030 | 2.375% | 520,000 | 538,554 | |
Constellation Brands, Inc. | ||||
12/01/2025 | 4.750% | 1,470,000 | 1,722,635 | |
Kraft Heinz Foods Co.(a) | ||||
05/15/2027 | 3.875% | 530,000 | 553,800 | |
04/01/2030 | 3.750% | 2,630,000 | 2,716,000 | |
Lamb Weston Holdings, Inc.(a) | ||||
11/01/2024 | 4.625% | 2,920,000 | 3,028,970 | |
Mondelez International, Inc. | ||||
04/13/2030 | 2.750% | 3,677,000 | 3,967,224 | |
PepsiCo, Inc. | ||||
05/01/2030 | 1.625% | 1,830,000 | 1,864,124 | |
Post Holdings, Inc.(a) | ||||
04/15/2030 | 4.625% | 3,660,000 | 3,588,552 | |
Sysco Corp. | ||||
07/15/2026 | 3.300% | 1,400,000 | 1,496,005 | |
Total | 31,175,304 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Gaming 0.1% | ||||
International Game Technology PLC(a) | ||||
01/15/2029 | 5.250% | 4,800,000 | 4,686,664 | |
Health Care 2.0% | ||||
Acadia Healthcare Co., Inc. | ||||
07/01/2022 | 5.125% | 3,940,000 | 3,940,792 | |
02/15/2023 | 5.625% | 2,800,000 | 2,800,182 | |
Acadia Healthcare Co., Inc.(a) | ||||
07/01/2028 | 5.500% | 3,351,000 | 3,376,460 | |
Agilent Technologies, Inc. | ||||
06/04/2030 | 2.100% | 3,130,000 | 3,204,550 | |
Becton Dickinson and Co. | ||||
12/15/2024 | 3.734% | 600,000 | 662,325 | |
05/20/2030 | 2.823% | 3,870,000 | 4,091,438 | |
Cigna Corp. | ||||
03/15/2030 | 2.400% | 2,790,000 | 2,895,846 | |
CVS Health Corp. | ||||
03/25/2028 | 4.300% | 2,510,000 | 2,929,259 | |
03/25/2038 | 4.780% | 3,080,000 | 3,810,862 | |
DaVita, Inc.(a) | ||||
06/01/2030 | 4.625% | 5,050,000 | 5,025,181 | |
Dentsply Sirona, Inc. | ||||
06/01/2030 | 3.250% | 2,910,000 | 3,057,190 | |
DH Europe Finance II Sarl | ||||
11/15/2049 | 3.400% | 1,840,000 | 2,061,561 | |
Fresenius Medical Care U.S. Finance II, Inc.(a) | ||||
10/15/2020 | 4.125% | 1,200,000 | 1,200,544 | |
HCA, Inc. | ||||
09/01/2030 | 3.500% | 4,125,000 | 3,954,167 | |
IQVIA, Inc.(a) | ||||
05/15/2027 | 5.000% | 6,600,000 | 6,731,206 | |
Partners Healthcare System, Inc. | ||||
07/01/2049 | 3.192% | 1,660,000 | 1,763,044 | |
Quest Diagnostics, Inc. | ||||
06/30/2031 | 2.800% | 4,280,000 | 4,497,756 | |
Stryker Corp. | ||||
06/15/2030 | 1.950% | 4,660,000 | 4,690,158 | |
Tenet Healthcare Corp.(a) | ||||
01/01/2026 | 4.875% | 440,000 | 431,153 | |
Total | 61,123,674 | |||
Healthcare Insurance 1.0% | ||||
Aetna, Inc. | ||||
11/15/2022 | 2.750% | 890,000 | 926,640 |
38 | Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – American Century Diversified Bond Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Anthem, Inc. | ||||
01/15/2025 | 2.375% | 1,820,000 | 1,929,029 | |
12/01/2027 | 3.650% | 2,610,000 | 2,974,064 | |
Centene Corp. | ||||
05/15/2022 | 4.750% | 1,630,000 | 1,652,981 | |
01/15/2025 | 4.750% | 1,460,000 | 1,494,269 | |
12/15/2027 | 4.250% | 1,670,000 | 1,722,607 | |
12/15/2029 | 4.625% | 2,340,000 | 2,468,937 | |
Molina Healthcare, Inc. | ||||
11/15/2022 | 5.375% | 4,000,000 | 4,116,638 | |
UnitedHealth Group, Inc. | ||||
03/15/2022 | 2.875% | 3,480,000 | 3,600,288 | |
07/15/2025 | 3.750% | 3,920,000 | 4,471,677 | |
05/15/2030 | 2.000% | 3,428,000 | 3,588,299 | |
07/15/2045 | 4.750% | 510,000 | 682,704 | |
Total | 29,628,133 | |||
Healthcare REIT 0.3% | ||||
Healthcare Realty Trust, Inc. | ||||
03/15/2030 | 2.400% | 2,200,000 | 2,105,173 | |
Healthpeak Properties, Inc. | ||||
01/15/2031 | 2.875% | 1,300,000 | 1,332,043 | |
Ventas Realty LP | ||||
01/15/2026 | 4.125% | 50,000 | 53,675 | |
Welltower, Inc. | ||||
02/15/2027 | 2.700% | 3,034,000 | 3,134,918 | |
01/15/2031 | 2.750% | 3,010,000 | 3,000,039 | |
Total | 9,625,848 | |||
Home Construction 0.8% | ||||
D.R. Horton, Inc. | ||||
08/15/2023 | 5.750% | 1,350,000 | 1,515,550 | |
DR Horton, Inc. | ||||
10/15/2024 | 2.500% | 3,030,000 | 3,157,038 | |
Lennar Corp. | ||||
04/01/2021 | 4.750% | 1,705,000 | 1,729,871 | |
11/29/2027 | 4.750% | 2,000,000 | 2,169,329 | |
Mattamy Group Corp.(a) | ||||
03/01/2030 | 4.625% | 4,765,000 | 4,594,147 | |
MDC Holdings, Inc. | ||||
01/15/2030 | 3.850% | 8,630,000 | 8,295,067 | |
Toll Brothers Finance Corp. | ||||
02/15/2028 | 4.350% | 2,268,000 | 2,355,003 | |
11/01/2029 | 3.800% | 2,290,000 | 2,300,234 | |
Total | 26,116,239 | |||
Independent Energy 0.4% | ||||
Aker BP ASA(a) | ||||
01/15/2030 | 3.750% | 3,890,000 | 3,688,676 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Diamondback Energy, Inc. | ||||
05/31/2025 | 4.750% | 2,170,000 | 2,324,722 | |
12/01/2029 | 3.500% | 3,360,000 | 3,251,734 | |
Encana Corp. | ||||
02/01/2038 | 6.500% | 670,000 | 567,460 | |
WPX Energy, Inc. | ||||
01/15/2030 | 4.500% | 2,323,000 | 2,044,001 | |
Total | 11,876,593 | |||
Integrated Energy 0.3% | ||||
BP Capital Markets PLC(e) | ||||
12/31/2049 | 4.375% | 3,330,000 | 3,381,959 | |
Chevron Corp. | ||||
05/11/2027 | 1.995% | 2,080,000 | 2,173,757 | |
Exxon Mobil Corp. | ||||
04/15/2023 | 1.571% | 3,630,000 | 3,724,917 | |
Total | 9,280,633 | |||
Life Insurance 1.6% | ||||
American International Group, Inc. | ||||
06/30/2030 | 3.400% | 2,491,000 | 2,695,478 | |
07/16/2044 | 4.500% | 2,923,000 | 3,364,731 | |
Athene Global Funding(a) | ||||
05/26/2023 | 2.800% | 3,880,000 | 3,957,626 | |
01/14/2025 | 2.500% | 2,335,000 | 2,334,113 | |
06/29/2025 | 2.550% | 2,335,000 | 2,335,338 | |
Brighthouse Financial, Inc. | ||||
05/15/2030 | 5.625% | 1,700,000 | 1,892,442 | |
Five Corners Funding Trust II(a) | ||||
05/15/2030 | 2.850% | 7,710,000 | 7,974,832 | |
Lincoln National Corp. | ||||
01/15/2031 | 3.400% | 4,200,000 | 4,559,928 | |
Massachusetts Mutual Life Insurance Co.(a) | ||||
Subordinated | ||||
04/15/2050 | 3.375% | 4,275,000 | 4,394,052 | |
MetLife, Inc. | ||||
08/13/2042 | 4.125% | 1,300,000 | 1,524,794 | |
Metropolitan Life Global Funding I(a) | ||||
06/08/2023 | 0.900% | 2,198,000 | 2,211,443 | |
Principal Life Global Funding II(a) | ||||
06/23/2025 | 1.250% | 2,060,000 | 2,067,837 | |
Prudential Financial, Inc.(e) | ||||
Junior Subordinated | ||||
09/15/2042 | 5.875% | 3,800,000 | 4,037,198 | |
Teachers Insurance & Annuity Association of America(a) | ||||
Subordinated | ||||
05/15/2050 | 3.300% | 2,367,000 | 2,464,010 |
Variable Portfolio Funds | Semiannual Report 2020 | 39 |
CTIVP® – American Century Diversified Bond Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Unum Group | ||||
03/15/2025 | 4.500% | 3,200,000 | 3,440,460 | |
Total | 49,254,282 | |||
Lodging 0.0% | ||||
Marriott International, Inc. | ||||
06/15/2030 | 4.625% | 1,370,000 | 1,422,124 | |
Media and Entertainment 0.7% | ||||
CBS Corp. | ||||
08/15/2024 | 3.700% | 2,450,000 | 2,660,392 | |
Discovery Communications LLC | ||||
05/15/2030 | 3.625% | 1,400,000 | 1,530,062 | |
Nielsen Finance LLC/Co.(a) | ||||
04/15/2022 | 5.000% | 1,406,000 | 1,400,928 | |
RELX Capital, Inc. | ||||
05/22/2030 | 3.000% | 2,970,000 | 3,203,920 | |
TEGNA, Inc.(a) | ||||
03/15/2028 | 4.625% | 2,990,000 | 2,745,643 | |
ViacomCBS, Inc. | ||||
05/19/2032 | 4.200% | 2,760,000 | 3,079,624 | |
Walt Disney Co. (The) | ||||
01/13/2028 | 2.200% | 3,030,000 | 3,164,432 | |
01/13/2051 | 3.600% | 2,100,000 | 2,330,793 | |
Total | 20,115,794 | |||
Metals and Mining 0.5% | ||||
Minera Mexico SA de CV(a) | ||||
01/26/2050 | 4.500% | 4,900,000 | 4,878,208 | |
Newcrest Finance Pty Ltd.(a) | ||||
05/13/2050 | 4.200% | 1,460,000 | 1,622,551 | |
Novelis Corp.(a) | ||||
01/30/2030 | 4.750% | 2,135,000 | 2,039,625 | |
Steel Dynamics, Inc. | ||||
04/15/2030 | 3.450% | 1,290,000 | 1,351,985 | |
01/15/2031 | 3.250% | 3,200,000 | 3,262,754 | |
Teck Resources Ltd.(a) | ||||
07/15/2030 | 3.900% | 1,200,000 | 1,198,937 | |
Total | 14,354,060 | |||
Midstream 1.7% | ||||
AmeriGas Partners LP/Finance Corp. | ||||
05/20/2027 | 5.750% | 471,000 | 499,088 | |
Enbridge, Inc. | ||||
10/01/2023 | 4.000% | 2,050,000 | 2,224,572 | |
Energy Transfer Operating LP | ||||
03/15/2023 | 4.250% | 2,400,000 | 2,525,858 | |
05/15/2030 | 3.750% | 2,750,000 | 2,732,034 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Energy Transfer Partners LP | ||||
02/01/2023 | 3.600% | 4,370,000 | 4,531,100 | |
03/15/2035 | 4.900% | 1,500,000 | 1,515,925 | |
Enterprise Products Operating LLC | ||||
03/15/2044 | 4.850% | 3,890,000 | 4,516,646 | |
Kinder Morgan Energy Partners LP | ||||
09/15/2020 | 5.300% | 1,600,000 | 1,613,611 | |
09/01/2039 | 6.500% | 3,256,000 | 4,094,558 | |
Magellan Midstream Partners LP | ||||
06/01/2030 | 3.250% | 1,420,000 | 1,503,321 | |
MPLX LP | ||||
06/01/2025 | 4.875% | 1,960,000 | 2,188,259 | |
04/15/2038 | 4.500% | 1,320,000 | 1,318,778 | |
03/01/2047 | 5.200% | 2,590,000 | 2,762,335 | |
Plains All American Pipeline LP/Finance Corp. | ||||
09/15/2030 | 3.800% | 1,780,000 | 1,745,792 | |
Sabine Pass Liquefaction LLC | ||||
03/01/2025 | 5.625% | 5,180,000 | 5,932,760 | |
Sabine Pass Liquefaction LLC(a) | ||||
05/15/2030 | 4.500% | 1,800,000 | 1,996,277 | |
Transcontinental Gas Pipe Line Co. LLC(a) | ||||
05/15/2030 | 3.250% | 2,140,000 | 2,286,753 | |
Williams Companies, Inc. (The) | ||||
11/15/2020 | 4.125% | 4,280,000 | 4,292,336 | |
06/24/2024 | 4.550% | 4,040,000 | 4,480,573 | |
Total | 52,760,576 | |||
Natural Gas 0.5% | ||||
East Ohio Gas Co. (The)(a) | ||||
06/15/2050 | 3.000% | 860,000 | 854,758 | |
NiSource Finance Corp. | ||||
02/01/2045 | 5.650% | 3,010,000 | 4,110,146 | |
ONE Gas, Inc. | ||||
05/15/2030 | 2.000% | 1,460,000 | 1,489,185 | |
Sempra Energy | ||||
10/01/2022 | 2.875% | 1,830,000 | 1,897,226 | |
06/15/2027 | 3.250% | 3,400,000 | 3,732,294 | |
02/01/2048 | 4.000% | 1,680,000 | 1,905,316 | |
Southern Co. Gas Capital Corp. | ||||
10/01/2046 | 3.950% | 140,000 | 151,354 | |
Total | 14,140,279 | |||
Office REIT 0.2% | ||||
Alexandria Real Estate Equities, Inc. | ||||
07/01/2030 | 4.700% | 805,000 | 985,244 |
40 | Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – American Century Diversified Bond Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Kilroy Realty LP | ||||
01/15/2023 | 3.800% | 2,890,000 | 2,992,008 | |
08/15/2029 | 4.250% | 1,886,000 | 2,059,417 | |
Total | 6,036,669 | |||
Oil Field Services 0.1% | ||||
Baker Hughes, a GE Co., LLC/Obligor, Inc. | ||||
11/07/2029 | 3.138% | 1,783,000 | 1,864,935 | |
Schlumberger Investment SA | ||||
06/26/2030 | 2.650% | 1,880,000 | 1,909,384 | |
Total | 3,774,319 | |||
Other Financial Institutions 0.2% | ||||
Icahn Enterprises LP/Finance Corp. | ||||
05/15/2027 | 5.250% | 7,223,000 | 6,969,720 | |
Other Industry 0.1% | ||||
CK Hutchison International 17 II Ltd.(a) | ||||
09/29/2020 | 2.250% | 3,210,000 | 3,216,782 | |
Other REIT 0.2% | ||||
American Campus Communities Operating Partnership LP | ||||
01/30/2031 | 3.875% | 1,300,000 | 1,361,674 | |
Duke Realty LP | ||||
07/01/2030 | 1.750% | 1,500,000 | 1,488,404 | |
03/01/2050 | 3.050% | 1,350,000 | 1,411,922 | |
Prologis LP | ||||
04/15/2027 | 2.125% | 1,100,000 | 1,159,020 | |
Total | 5,421,020 | |||
Other Utility 0.1% | ||||
Essential Utilities, Inc. | ||||
04/15/2030 | 2.704% | 4,440,000 | 4,646,581 | |
Packaging 0.6% | ||||
Ardagh Packaging Finance PLC/Holdings USA, Inc.(a) | ||||
08/15/2026 | 4.125% | 2,200,000 | 2,163,633 | |
08/15/2027 | 5.250% | 5,173,000 | 5,079,096 | |
Berry Global Escrow Corp.(a) | ||||
07/15/2026 | 4.875% | 2,130,000 | 2,150,466 | |
Berry Global, Inc. | ||||
07/15/2023 | 5.125% | 2,800,000 | 2,816,680 | |
CCL Industries, Inc.(a) | ||||
06/01/2030 | 3.050% | 3,000,000 | 3,060,098 | |
Crown Americas LLC/Capital Corp. V | ||||
09/30/2026 | 4.250% | 1,500,000 | 1,537,875 | |
Reynolds Group Issuer, Inc./LLC(a) | ||||
07/15/2023 | 5.125% | 2,092,000 | 2,102,338 | |
Total | 18,910,186 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Paper 0.2% | ||||
Georgia-Pacific LLC(a) | ||||
04/30/2027 | 2.100% | 3,300,000 | 3,414,284 | |
WRKCo, Inc. | ||||
06/15/2033 | 3.000% | 1,400,000 | 1,457,394 | |
Total | 4,871,678 | |||
Pharmaceuticals 2.7% | ||||
AbbVie, Inc.(a) | ||||
10/01/2022 | 3.250% | 4,780,000 | 5,006,046 | |
06/15/2024 | 3.850% | 1,260,000 | 1,383,676 | |
11/21/2029 | 3.200% | 3,065,000 | 3,364,412 | |
11/21/2049 | 4.250% | 2,270,000 | 2,747,682 | |
AbbVie, Inc. | ||||
05/14/2025 | 3.600% | 5,730,000 | 6,334,903 | |
11/06/2042 | 4.400% | 2,870,000 | 3,456,683 | |
Amgen, Inc. | ||||
02/21/2027 | 2.200% | 3,310,000 | 3,479,070 | |
Bausch Health Companies, Inc.(a) | ||||
03/15/2024 | 7.000% | 2,200,000 | 2,281,429 | |
01/30/2028 | 5.000% | 4,700,000 | 4,428,751 | |
Bristol-Myers Squibb Co.(a) | ||||
07/26/2029 | 3.400% | 2,800,000 | 3,233,011 | |
Catalent Pharma Solutions, Inc.(a) | ||||
07/15/2027 | 5.000% | 3,270,000 | 3,396,544 | |
Elanco Animal Health, Inc. | ||||
08/28/2028 | 4.900% | 4,060,000 | 4,501,634 | |
Gilead Sciences, Inc. | ||||
03/01/2026 | 3.650% | 6,830,000 | 7,811,629 | |
Jaguar Holding Co. II/PPD Development LP(a) | ||||
06/15/2028 | 5.000% | 6,570,000 | 6,724,632 | |
Perrigo Finance Unlimited Co. | ||||
06/15/2030 | 3.150% | 3,100,000 | 3,133,375 | |
Pfizer, Inc. | ||||
05/28/2030 | 1.700% | 2,750,000 | 2,796,447 | |
Takeda Pharmaceutical Co., Ltd.(c) | ||||
03/31/2030 | 2.050% | 10,700,000 | 10,695,555 | |
Upjohn, Inc.(a) | ||||
06/22/2030 | 2.700% | 4,103,000 | 4,216,689 | |
06/22/2050 | 4.000% | 1,691,000 | 1,809,828 | |
Zoetis, Inc. | ||||
05/15/2030 | 2.000% | 2,555,000 | 2,626,540 | |
Total | 83,428,536 | |||
Property & Casualty 0.4% | ||||
Hartford Financial Services Group, Inc. (The) | ||||
08/19/2049 | 3.600% | 3,561,000 | 3,789,827 |
Variable Portfolio Funds | Semiannual Report 2020 | 41 |
CTIVP® – American Century Diversified Bond Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Liberty Mutual Group, Inc.(a) | ||||
06/15/2049 | 4.500% | 1,610,000 | 1,824,802 | |
Markel Corp. | ||||
07/01/2022 | 4.900% | 2,840,000 | 3,041,493 | |
WR Berkley Corp. | ||||
03/15/2022 | 4.625% | 2,820,000 | 2,989,441 | |
Total | 11,645,563 | |||
Railroads 0.6% | ||||
Burlington Northern Santa Fe LLC | ||||
09/15/2041 | 4.950% | 2,350,000 | 3,076,672 | |
04/01/2045 | 4.150% | 3,985,000 | 4,922,708 | |
CSX Corp. | ||||
06/01/2027 | 3.250% | 3,400,000 | 3,811,790 | |
Norfolk Southern Corp. | ||||
05/15/2050 | 3.050% | 1,750,000 | 1,824,705 | |
Union Pacific Corp. | ||||
02/05/2030 | 2.400% | 2,300,000 | 2,455,218 | |
08/15/2039 | 3.550% | 2,390,000 | 2,675,681 | |
Total | 18,766,774 | |||
Refining 0.1% | ||||
Phillips 66 | ||||
12/15/2030 | 2.150% | 3,080,000 | 2,992,919 | |
Retail REIT 0.4% | ||||
Kimco Realty Corp. | ||||
10/01/2026 | 2.800% | 2,160,000 | 2,207,618 | |
National Retail Properties, Inc. | ||||
04/15/2030 | 2.500% | 3,206,000 | 3,062,821 | |
Regency Centers LP | ||||
06/15/2030 | 3.700% | 3,500,000 | 3,765,936 | |
VEREIT Operating Partnership LP | ||||
01/15/2028 | 3.400% | 2,776,000 | 2,796,870 | |
Total | 11,833,245 | |||
Retailers 0.6% | ||||
AutoNation, Inc. | ||||
06/01/2030 | 4.750% | 1,050,000 | 1,139,922 | |
Costco Wholesale Corp. | ||||
04/20/2030 | 1.600% | 3,810,000 | 3,859,312 | |
Home Depot Inc (The) | ||||
04/15/2050 | 3.350% | 4,770,000 | 5,493,688 | |
Home Depot, Inc. (The) | ||||
02/15/2024 | 3.750% | 1,860,000 | 2,054,012 | |
06/15/2047 | 3.900% | 240,000 | 291,499 | |
Target Corp. | ||||
02/15/2030 | 2.350% | 4,150,000 | 4,462,871 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Walmart, Inc. | ||||
06/29/2048 | 4.050% | 120,000 | 157,482 | |
Total | 17,458,786 | |||
Supermarkets 0.2% | ||||
Albertsons Companies, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(a) | ||||
02/15/2030 | 4.875% | 5,036,000 | 5,171,080 | |
Kroger Co. (The) | ||||
10/15/2046 | 3.875% | 2,200,000 | 2,464,559 | |
Total | 7,635,639 | |||
Technology 2.6% | ||||
Adobe, Inc. | ||||
02/01/2030 | 2.300% | 3,800,000 | 4,098,270 | |
Analog Devices, Inc. | ||||
04/01/2025 | 2.950% | 800,000 | 865,490 | |
Apple, Inc. | ||||
05/11/2025 | 1.125% | 995,000 | 1,014,616 | |
Broadcom Corp./Cayman Finance Ltd. | ||||
01/15/2025 | 3.125% | 1,134,000 | 1,210,821 | |
Broadcom, Inc.(a) | ||||
11/15/2023 | 2.250% | 4,160,000 | 4,297,471 | |
11/15/2025 | 3.150% | 4,830,000 | 5,141,488 | |
CommScope Finance LLC(a) | ||||
03/01/2024 | 5.500% | 2,826,000 | 2,861,313 | |
CommScope Technologies LLC(a) | ||||
03/15/2027 | 5.000% | 3,480,000 | 3,136,600 | |
Equinix, Inc. | ||||
07/15/2025 | 1.250% | 2,520,000 | 2,518,894 | |
07/15/2027 | 1.800% | 1,420,000 | 1,418,724 | |
Fiserv, Inc. | ||||
06/01/2027 | 2.250% | 3,280,000 | 3,440,960 | |
07/01/2029 | 3.500% | 1,788,000 | 2,008,999 | |
Global Payments, Inc. | ||||
08/15/2029 | 3.200% | 3,100,000 | 3,320,014 | |
Infor, Inc.(a) | ||||
07/15/2023 | 1.450% | 700,000 | 704,194 | |
07/15/2025 | 1.750% | 870,000 | 874,010 | |
International Business Machines Corp. | ||||
05/15/2027 | 1.700% | 4,200,000 | 4,289,431 | |
05/15/2030 | 1.950% | 2,300,000 | 2,352,212 | |
Iron Mountain, Inc.(a) | ||||
07/15/2028 | 5.000% | 2,036,000 | 1,994,870 | |
Microchip Technology, Inc.(a) | ||||
09/01/2023 | 2.670% | 5,790,000 | 5,963,079 | |
Motorola Solutions, Inc. | ||||
05/23/2029 | 4.600% | 3,350,000 | 3,879,352 |
42 | Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – American Century Diversified Bond Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
MSCI, Inc.(a) | ||||
11/15/2029 | 4.000% | 3,835,000 | 3,911,688 | |
NetApp, Inc. | ||||
06/22/2025 | 1.875% | 820,000 | 831,594 | |
NXP BV/Funding LLC(a) | ||||
09/01/2022 | 3.875% | 3,351,000 | 3,539,806 | |
NXP BV/Funding LLC /USA, Inc.(a) | ||||
05/01/2027 | 3.150% | 2,471,000 | 2,612,856 | |
NXP BV/Funding LLC/USA, Inc.(a) | ||||
05/01/2025 | 2.700% | 810,000 | 848,183 | |
Oracle Corp. | ||||
10/15/2022 | 2.500% | 2,910,000 | 3,040,525 | |
07/15/2026 | 2.650% | 970,000 | 1,049,148 | |
PayPal Holdings, Inc. | ||||
06/01/2030 | 2.300% | 4,511,000 | 4,709,399 | |
QUALCOMM, Inc. | ||||
05/20/2030 | 2.150% | 2,430,000 | 2,535,861 | |
Seagate HDD Cayman(a) | ||||
01/15/2031 | 4.125% | 360,000 | 379,426 | |
Texas Instruments, Inc. | ||||
05/04/2030 | 1.750% | 1,900,000 | 1,931,734 | |
Total | 80,781,028 | |||
Transportation Services 0.1% | ||||
Rumo Luxembourg Sarl(a),(c) | ||||
01/10/2028 | 5.250% | 2,400,000 | 2,400,000 | |
Treasury 0.1% | ||||
Jordan Government International Bond(a) | ||||
10/10/2047 | 7.375% | 3,000,000 | 3,088,484 | |
Wireless 1.2% | ||||
American Tower Corp. | ||||
10/15/2026 | 3.375% | 3,420,000 | 3,790,373 | |
Crown Castle International Corp. | ||||
07/01/2030 | 3.300% | 5,579,000 | 6,136,488 | |
01/15/2031 | 2.250% | 900,000 | 907,995 | |
SBA Communications Corp.(a) | ||||
02/15/2027 | 3.875% | 3,585,000 | 3,573,566 | |
Sprint Corp. | ||||
02/15/2025 | 7.625% | 6,350,000 | 7,325,488 | |
T-Mobile U.S.A., Inc.(a) | ||||
04/15/2030 | 3.875% | 4,805,000 | 5,348,194 | |
T-Mobile USA, Inc.(a) | ||||
02/15/2031 | 2.550% | 3,290,000 | 3,312,912 | |
Vodafone Group PLC | ||||
02/19/2023 | 2.950% | 5,689,000 | 5,998,016 | |
Total | 36,393,032 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Wirelines 1.3% | ||||
AT&T, Inc. | ||||
02/15/2022 | 3.000% | 534,000 | 556,034 | |
03/01/2022 | 3.200% | 1,228,000 | 1,281,118 | |
02/17/2023 | 3.600% | 1,959,000 | 2,101,222 | |
06/01/2027 | 2.300% | 1,220,000 | 1,263,462 | |
06/01/2031 | 2.750% | 5,700,000 | 5,936,791 | |
06/01/2041 | 3.500% | 1,080,000 | 1,131,747 | |
11/15/2046 | 5.150% | 2,049,000 | 2,520,010 | |
Deutsche Telekom AG(a) | ||||
01/21/2050 | 3.625% | 3,840,000 | 4,255,492 | |
Telecom Italia SpA(a) | ||||
05/30/2024 | 5.303% | 3,144,000 | 3,291,327 | |
Telefonica Emisiones SAU | ||||
02/16/2021 | 5.462% | 3,310,000 | 3,404,491 | |
Verizon Communications, Inc. | ||||
03/22/2030 | 3.150% | 7,306,000 | 8,229,637 | |
11/01/2034 | 4.400% | 5,000,000 | 6,199,185 | |
08/21/2054 | 5.012% | 841,000 | 1,223,751 | |
Total | 41,394,267 | |||
Total Corporate Bonds & Notes (Cost $1,204,335,521) | 1,246,471,641 | |||
Foreign Government Obligations(f) 1.9% | ||||
Chile 0.1% | ||||
Chile Government International Bond | ||||
09/14/2021 | 3.250% | 2,300,000 | 2,370,855 | |
Colombia 0.0% | ||||
Ecopetrol SA | ||||
05/28/2045 | 5.875% | 1,750,000 | 1,838,811 | |
Dominican Republic 0.1% | ||||
Dominican Republic International Bond(a) | ||||
01/25/2027 | 5.950% | 2,400,000 | 2,416,692 | |
Egypt 0.2% | ||||
Egypt Government International Bond(a) | ||||
01/31/2027 | 7.500% | 1,000,000 | 1,048,140 | |
01/31/2047 | 8.500% | 4,000,000 | 3,911,683 | |
Total | 4,959,823 | |||
Jordan 0.1% | ||||
Jordan Government International Bond(a) | ||||
10/10/2047 | 7.375% | 2,500,000 | 2,573,737 |
Variable Portfolio Funds | Semiannual Report 2020 | 43 |
CTIVP® – American Century Diversified Bond Fund, June 30, 2020 (Unaudited)
Foreign Government Obligations(f) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Mexico 1.0% | ||||
Petroleos Mexicanos | ||||
02/04/2021 | 6.375% | 12,408,000 | 12,441,611 | |
01/24/2022 | 4.875% | 9,259,000 | 9,216,420 | |
03/13/2027 | 6.500% | 9,400,000 | 8,552,325 | |
Total | 30,210,356 | |||
Namibia 0.1% | ||||
Namibia International Bonds(a) | ||||
10/29/2025 | 5.250% | 2,200,000 | 2,234,446 | |
Norway 0.0% | ||||
Equinor ASA | ||||
11/18/2049 | 3.250% | 1,590,000 | 1,694,737 | |
Russian Federation 0.1% | ||||
Russian Foreign Bond - Eurobond(a) | ||||
06/23/2047 | 5.250% | 3,200,000 | 4,232,799 | |
Serbia 0.0% | ||||
Serbia International Bond(a) | ||||
09/28/2021 | 7.250% | 200,000 | 213,000 | |
Tunisia 0.1% | ||||
Banque Centrale de Tunisie International Bond(a) | ||||
01/30/2025 | 5.750% | 3,600,000 | 3,339,976 | |
Turkey 0.1% | ||||
Turkey Government International Bond | ||||
03/17/2036 | 6.875% | 3,000,000 | 2,926,168 | |
Total Foreign Government Obligations (Cost $60,101,439) | 59,011,400 | |||
Inflation-Indexed Bonds 3.6% | ||||
United States 3.6% | ||||
U.S. Treasury Inflation-Indexed Bond | ||||
04/15/2024 | 0.500% | 19,823,310 | 20,841,404 | |
07/15/2029 | 0.250% | 26,661,978 | 29,186,261 | |
01/15/2030 | 0.125% | 54,808,600 | 59,259,946 | |
Total | 109,287,611 | |||
Total Inflation-Indexed Bonds (Cost $106,358,625) | 109,287,611 | |||
Municipal Bonds 2.0% | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Higher Education 0.2% | ||||
California State University | ||||
Taxable Refunding Revenue Bonds | ||||
Series 2020B | ||||
11/01/2051 | 2.975% | 2,250,000 | 2,409,997 | |
Los Angeles Community College District | ||||
Unlimited General Obligation Bonds | ||||
Build America Bonds | ||||
Series 2010 | ||||
08/01/2049 | 6.750% | 800,000 | 1,413,256 | |
Rutgers, The State University of New Jersey | ||||
Revenue Bonds | ||||
Build America Bonds | ||||
Series 2010 | ||||
05/01/2040 | 5.665% | 525,000 | 702,944 | |
University of Texas System (The) | ||||
Revenue Bonds | ||||
Series 2020 | ||||
08/15/2040 | 5.000% | 1,970,000 | 3,027,181 | |
Total | 7,553,378 | |||
Hospital 0.2% | ||||
Escambia County Health Facilities Authority | ||||
Taxable Refunding Revenue Bonds | ||||
Health Care Facilities | ||||
Series 2020 (AGM) | ||||
08/15/2040 | 3.607% | 2,170,000 | 2,181,284 | |
Regents of the University of California Medical Center | ||||
Taxable Revenue Bonds | ||||
Series 2020N | ||||
05/15/2060 | 3.256% | 3,200,000 | 3,326,560 | |
Total | 5,507,844 | |||
Joint Power Authority 0.1% | ||||
Energy Northwest | ||||
Refunding Revenue Bonds | ||||
Columbia Generating Station | ||||
Series 2020 | ||||
07/01/2039 | 5.000% | 2,460,000 | 3,241,025 | |
Local General Obligation 0.1% | ||||
City of Chicago | ||||
Unlimited General Obligation Bonds | ||||
Taxable | ||||
01/01/2029 | 7.045% | 1,000,000 | 1,048,240 | |
City of Houston | ||||
Limited General Obligation Bonds | ||||
Taxable | ||||
Series 2017 | ||||
03/01/2047 | 3.961% | 800,000 | 971,368 | |
Total | 2,019,608 |
44 | Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – American Century Diversified Bond Fund, June 30, 2020 (Unaudited)
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Municipal Power 0.0% | ||||
Sacramento Municipal Utility District | ||||
Revenue Bonds | ||||
Build America Bonds | ||||
Series 2010 | ||||
05/15/2036 | 6.156% | 900,000 | 1,232,442 | |
Other Bond Issue 0.1% | ||||
City of San Francisco Public Utilities Commission Water | ||||
Revenue Bonds | ||||
Build America Bonds | ||||
Series 2010 | ||||
11/01/2040 | 6.000% | 1,050,000 | 1,477,623 | |
San Diego County Regional Airport Authority | ||||
Revenue Bonds | ||||
Taxable Senior Consolidated Rental Car Facility | ||||
Series 2014 | ||||
07/01/2043 | 5.594% | 935,000 | 979,945 | |
Total | 2,457,568 | |||
Pool / Bond Bank 0.0% | ||||
Ohio Water Development Authority Water Pollution Control Loan Fund | ||||
Revenue Bonds | ||||
Subordinated Series 2020A | ||||
06/01/2030 | 5.000% | 500,000 | 690,145 | |
12/01/2030 | 5.000% | 440,000 | 605,290 | |
Total | 1,295,435 | |||
Ports 0.1% | ||||
Port Authority of New York & New Jersey | ||||
Revenue Bonds | ||||
Consolidated 168th | ||||
Series 2011 | ||||
10/01/2051 | 4.926% | 2,000,000 | 2,784,480 | |
Sales Tax 0.1% | ||||
Santa Clara Valley Transportation Authority | ||||
Revenue Bonds | ||||
Build America Bonds | ||||
Series 2010 | ||||
04/01/2032 | 5.876% | 2,220,000 | 2,809,055 | |
Special Non Property Tax 0.2% | ||||
Missouri Highway & Transportation Commission | ||||
Revenue Bonds | ||||
Build America Bonds | ||||
Series 2009 | ||||
05/01/2033 | 5.445% | 1,700,000 | 2,236,486 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
New York State Dormitory Authority | ||||
Unrefunded Revenue Bonds | ||||
Taxable | ||||
Series 2019F | ||||
02/15/2043 | 3.190% | 3,015,000 | 3,280,983 | |
Total | 5,517,469 | |||
State Appropriated 0.1% | ||||
Kentucky Turnpike Authority | ||||
Revenue Bonds | ||||
Build America Bonds | ||||
Series 2010B | ||||
07/01/2030 | 5.722% | 2,050,000 | 2,548,253 | |
State General Obligation 0.3% | ||||
State of California | ||||
Unlimited General Obligation Bonds | ||||
Build America Bonds | ||||
Series 2009 | ||||
10/01/2039 | 7.300% | 3,445,000 | 5,759,489 | |
Taxable | ||||
Series 2018 | ||||
04/01/2038 | 4.600% | 2,335,000 | 2,728,611 | |
Total | 8,488,100 | |||
Transportation 0.1% | ||||
Metropolitan Transportation Authority | ||||
Revenue Bonds | ||||
Taxable Build America Bonds | ||||
Series 2010 | ||||
11/15/2040 | 6.687% | 1,650,000 | 2,092,283 | |
Turnpike / Bridge / Toll Road 0.4% | ||||
Bay Area Toll Authority | ||||
Revenue Bonds | ||||
Build America Bonds | ||||
Subordinated Series 2010-S1 | ||||
04/01/2040 | 6.918% | 1,265,000 | 1,997,776 | |
Foothill-Eastern Transportation Corridor Agency | ||||
Refunding Revenue Bonds | ||||
Taxable Toll Road | ||||
Series 2019A | ||||
01/15/2049 | 4.094% | 2,285,000 | 2,346,238 | |
Grand Parkway Transportation Corp. | ||||
Taxable Refunding Revenue Bonds | ||||
Subordinate Tier Toll | ||||
Series 2020 | ||||
10/01/2052 | 3.236% | 1,715,000 | 1,787,013 | |
New Jersey Turnpike Authority | ||||
Revenue Bonds | ||||
Taxable Build America Bonds | ||||
Series 2009 | ||||
01/01/2040 | 7.414% | 1,275,000 | 2,160,704 |
Variable Portfolio Funds | Semiannual Report 2020 | 45 |
CTIVP® – American Century Diversified Bond Fund, June 30, 2020 (Unaudited)
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Ohio Turnpike & Infrastructure Commission | ||||
Taxable Refunding Revenue Bonds | ||||
Junior Lien - Infrastructure Projects | ||||
Series 2020 | ||||
02/15/2048 | 3.216% | 2,640,000 | 2,733,430 | |
Total | 11,025,161 | |||
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 | 1,372,535 | |
Total Municipal Bonds (Cost $52,351,690) | 59,944,636 | |||
Residential Mortgage-Backed Securities - Agency 18.4% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal Home Loan Mortgage Corp. | ||||
11/01/2022- 06/01/2033 | 5.000% | 510,565 | 562,343 | |
03/01/2034- 08/01/2038 | 5.500% | 1,706,764 | 1,958,053 | |
02/01/2038 | 6.000% | 525,025 | 612,877 | |
10/01/2048 | 4.000% | 6,200,341 | 6,569,399 | |
Federal Home Loan Mortgage Corp.(b) | ||||
12-month USD LIBOR + 1.864% Cap 9.994% 07/01/2036 | 3.679% | 1,220,038 | 1,286,426 | |
1-year CMT + 2.250% Cap 10.825% 07/01/2036 | 4.419% | 1,243,037 | 1,299,925 | |
1-year CMT + 2.135% Cap 10.712% 10/01/2036 | 4.147% | 907,718 | 949,092 | |
1-year CMT + 2.254% Cap 10.150% 04/01/2037 | 3.948% | 1,050,128 | 1,100,482 | |
12-month USD LIBOR + 1.802% Cap 10.957% 02/01/2038 | 3.767% | 500,796 | 528,586 | |
12-month USD LIBOR + 1.817% Cap 10.809% 06/01/2038 | 3.803% | 314,920 | 331,660 | |
12-month USD LIBOR + 1.880% Cap 8.639% 07/01/2040 | 4.514% | 162,433 | 169,740 | |
12-month USD LIBOR + 1.785% Cap 9.140% 09/01/2040 | 3.895% | 327,841 | 341,708 | |
12-month USD LIBOR + 1.880% Cap 7.543% 05/01/2041 | 3.650% | 131,754 | 138,796 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
12-month USD LIBOR + 1.867% Cap 9.321% 07/01/2041 | 3.918% | 756,153 | 794,493 | |
12-month USD LIBOR + 1.650% Cap 7.086% 12/01/2042 | 3.669% | 884,660 | 917,001 | |
12-month USD LIBOR + 1.640% Cap 6.828% 02/01/2043 | 3.640% | 166,541 | 171,355 | |
12-month USD LIBOR + 1.650% Cap 6.774% 06/01/2043 | 4.153% | 100,275 | 100,950 | |
Federal National Mortgage Association | ||||
09/01/2022- 05/01/2039 | 6.500% | 486,952 | 577,547 | |
07/01/2031- 01/01/2042 | 5.000% | 14,402,647 | 16,421,377 | |
04/01/2033- 01/01/2039 | 5.500% | 6,679,378 | 7,649,311 | |
07/01/2033- 09/01/2049 | 4.500% | 37,978,134 | 41,247,067 | |
12/01/2033- 09/01/2037 | 6.000% | 3,002,563 | 3,493,988 | |
03/01/2034- 09/01/2049 | 3.500% | 88,921,664 | 94,873,007 | |
10/01/2040- 07/01/2049 | 4.000% | 76,126,904 | 81,291,035 | |
Federal National Mortgage Association(b) | ||||
6-month USD LIBOR + 1.565% Floor 1.565%, Cap 11.213% 06/01/2035 | 2.472% | 710,572 | 730,715 | |
6-month USD LIBOR + 1.565% Floor 1.565%, Cap 11.276% 06/01/2035 | 2.509% | 659,478 | 677,498 | |
6-month USD LIBOR + 1.565% Floor 1.565%, Cap 11.191% 06/01/2035 | 2.560% | 1,497,804 | 1,540,475 | |
6-month USD LIBOR + 1.565% Floor 1.565%, Cap 11.147% 06/01/2035 | 2.565% | 610,620 | 628,034 | |
1-year CMT + 2.163% Floor 2.163%, Cap 9.654% 03/01/2038 | 4.017% | 1,165,671 | 1,214,971 | |
12-month USD LIBOR + 1.836% Floor 1.836%, Cap 9.107% 03/01/2040 | 3.887% | 287,216 | 299,973 | |
12-month USD LIBOR + 1.790% Floor 1.790%, Cap 8.656% 08/01/2040 | 3.432% | 307,727 | 319,137 | |
12-month USD LIBOR + 1.767% Floor 1.767%, Cap 8.789% 10/01/2040 | 3.789% | 678,510 | 704,843 | |
12-month USD LIBOR + 1.750% Floor 1.750%, Cap 8.175% 08/01/2041 | 4.259% | 641,028 | 666,853 |
46 | Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – American Century Diversified Bond Fund, June 30, 2020 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
12-month USD LIBOR + 1.610% Floor 1.610%, Cap 8.168% 03/01/2047 | 3.168% | 4,438,364 | 4,644,950 | |
12-month USD LIBOR + 1.610% Floor 1.610%, Cap 8.148% 04/01/2047 | 3.148% | 4,099,386 | 4,284,921 | |
CMO Series 2005-106 Class UF | ||||
1-month USD LIBOR + 0.300% Floor 0.300%, Cap 7.000% 11/25/2035 | 0.485% | 761,509 | 759,902 | |
Freddie Mac Structured Agency Credit Risk Debt Notes(b) | ||||
CMO Series 2015-HQ2 Class M3 | ||||
1-month USD LIBOR + 3.250% 05/25/2025 | 3.435% | 1,972,000 | 2,034,064 | |
Government National Mortgage Association | ||||
07/20/2039- 10/20/2040 | 5.000% | 6,324,703 | 7,148,717 | |
02/15/2040- 06/15/2041 | 4.500% | 14,465,617 | 16,339,640 | |
07/15/2040- 11/20/2040 | 4.000% | 6,837,694 | 7,503,208 | |
04/20/2042- 03/20/2043 | 3.500% | 17,015,965 | 18,500,305 | |
07/20/2046- 02/20/2047 | 2.500% | 19,347,880 | 20,544,326 | |
Government National Mortgage Association TBA(c) | ||||
07/21/2050 | 2.500% | 54,700,000 | 57,580,297 | |
Uniform Mortgage-Backed Security TBA(c) | ||||
07/14/2050 | 2.500% | 78,000,000 | 81,315,000 | |
07/14/2050 | 3.000% | 70,000,000 | 73,724,218 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $550,285,414) | 564,548,265 | |||
Residential Mortgage-Backed Securities - Non-Agency 6.8% | ||||
Arroyo Mortgage Trust(a),(g),(h) | ||||
CMO Series 2020-1 Class A1B | ||||
03/25/2055 | 2.100% | 5,000,000 | 4,999,936 | |
Bear Stearns Adjustable Rate Mortgage Trust(b) | ||||
CMO Series 2006-1 Class A1 | ||||
1-year CMT + 2.250% Floor 2.250%, Cap 9.895% 02/25/2036 | 3.840% | 1,688,935 | 1,669,609 | |
Citicorp Mortgage Securities Trust | ||||
CMO Series 2007-8 Class 1A3 | ||||
09/25/2037 | 6.000% | 1,254,746 | 1,292,979 | |
Citigroup Mortgage Loan Trust, Inc.(d) | ||||
CMO Series 2004-UST1 Class A4 | ||||
08/25/2034 | 2.970% | 300,047 | 282,106 | |
CMO Series 2005-4 Class A | ||||
08/25/2035 | 4.576% | 1,197,134 | 1,182,534 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
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 | 2.320% | 881,336 | 863,673 | |
Connecticut Avenue Securities Trust(a),(b) | ||||
CMO Series 2020-SBT1 Class 2M2 | ||||
1-month USD LIBOR + 3.650% 02/25/2040 | 3.835% | 4,700,000 | 4,402,656 | |
Countrywide Home Loan Mortgage Pass-Through Trust | ||||
CMO Series 2004-4 Class A19 | ||||
05/25/2034 | 5.250% | 345,794 | 356,775 | |
CMO Series 2004-5 Class 2A4 | ||||
05/25/2034 | 5.500% | 110,089 | 112,073 | |
Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates(d) | ||||
CMO Series 2005-3 Class 1A1 | ||||
07/25/2035 | 5.480% | 1,778,805 | 1,894,239 | |
Credit Suisse First Boston Mortgage-Backed Trust(d) | ||||
CMO Series 2004-AR6 Class 2A1 | ||||
10/25/2034 | 3.250% | 373,945 | 372,420 | |
Fannie Mae Connecticut Avenue Securities(b) | ||||
1-month USD LIBOR + 6.950% 08/25/2028 | 7.135% | 4,119,050 | 4,348,159 | |
CMO Series 14-C02 Class 1M2 | ||||
1-month USD LIBOR + 2.600% Floor 2.600% 05/25/2024 | 2.785% | 6,602,588 | 5,773,867 | |
CMO Series 2014-C02 Class 2M2 | ||||
1-month USD LIBOR + 2.600% Floor 2.600% 05/25/2024 | 2.785% | 3,860,806 | 3,408,018 | |
CMO Series 2014-C04 Class 2M2 | ||||
1-month USD LIBOR + 5.000% 11/25/2024 | 5.185% | 1,968,005 | 2,021,700 | |
CMO Series 2015-C03 Class 1M2 | ||||
1-month USD LIBOR + 5.000% Floor 5.000% 07/25/2025 | 5.185% | 4,289,698 | 4,374,905 | |
CMO Series 2015-C04 Class 1M2 | ||||
1-month USD LIBOR + 5.700% 04/25/2028 | 5.885% | 6,051,525 | 6,359,747 | |
CMO Series 2016-C01 Class 1M2 | ||||
1-month USD LIBOR + 6.750% 08/25/2028 | 6.935% | 3,736,426 | 3,915,472 | |
CMO Series 2016-C03 Class 2M2 | ||||
1-month USD LIBOR + 5.900% 10/25/2028 | 6.085% | 3,647,706 | 3,791,679 | |
CMO Series 2016-C06 Class 1M2 | ||||
1-month USD LIBOR + 4.250% 04/25/2029 | 4.435% | 9,529,160 | 9,953,063 |
Variable Portfolio Funds | Semiannual Report 2020 | 47 |
CTIVP® – American Century Diversified Bond Fund, June 30, 2020 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2017-C03 Class 1M2 | ||||
1-month USD LIBOR + 3.000% 10/25/2029 | 3.185% | 2,755,000 | 2,770,754 | |
CMO Series 2017-C05 Class 1M2 | ||||
1-month USD LIBOR + 2.200% 01/25/2030 | 2.385% | 4,656,094 | 4,559,091 | |
CMO Series 2017-C06 Class 2M2 | ||||
1-month USD LIBOR + 2.800% Floor 2.800% 02/25/2030 | 2.985% | 10,399,795 | 10,217,342 | |
CMO Series 2017-C07 Class 1M2 | ||||
1-month USD LIBOR + 2.400% Floor 2.400% 05/25/2030 | 2.585% | 2,240,086 | 2,189,619 | |
Federal Home Loan Mortgage Corp.(a),(b) | ||||
CMO Series 2019-DNA3 Class M2 | ||||
1-month USD LIBOR + 2.050% 07/25/2049 | 2.235% | 3,480,835 | 3,402,842 | |
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 | 1.985% | 3,075,433 | 3,007,652 | |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Trust(a),(b) | ||||
CMO Series 2020-DNA2 Class M2 | ||||
1-month USD LIBOR + 1.850% 02/25/2050 | 2.035% | 8,000,000 | 7,572,235 | |
CMO Series 2020-HQA2 Class M2 | ||||
1-month USD LIBOR + 3.100% 03/25/2050 | 3.285% | 4,015,587 | 3,848,159 | |
Federal National Mortgage Association(b) | ||||
CMO Series 2014-C03 Class 1M2 | ||||
1-month USD LIBOR + 3.000% Floor 3.000% 07/25/2024 | 3.168% | 5,339,998 | 4,675,942 | |
First Horizon Mortgage Pass-Through Trust(d) | ||||
CMO Series 2005-AR3 Class 4A1 | ||||
08/25/2035 | 4.073% | 355,011 | 358,010 | |
Flagstar Mortgage Trust(a) | ||||
CMO Series 2017-1 Class 1A5 | ||||
03/25/2047 | 3.500% | 874,272 | 889,003 | |
Freddie Mac Structured Agency Credit Risk Debt Notes(b) | ||||
CMO Series 2013-DN2 Class M2 | ||||
1-month USD LIBOR + 4.250% 11/25/2023 | 4.435% | 13,849,462 | 11,018,309 | |
CMO Series 2015-DNA1 Class M3 | ||||
1-month USD LIBOR + 3.300% 10/25/2027 | 3.485% | 10,955,000 | 11,120,085 | |
CMO Series 2016-DNA3 Class M3 | ||||
1-month USD LIBOR + 5.000% 12/25/2028 | 5.185% | 7,624,131 | 7,861,510 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2016-DNA4 Class M3 | ||||
1-month USD LIBOR + 3.800% Floor 3.800% 03/25/2029 | 3.985% | 9,600,000 | 9,696,191 | |
GSR Mortgage Loan Trust(d) | ||||
CMO Series 2005-AR6 Class 2A1 | ||||
09/25/2035 | 4.065% | 995,809 | 988,736 | |
JPMorgan Mortgage Trust(d) | ||||
CMO Series 2005-A4 Class 1A1 | ||||
07/25/2035 | 3.192% | 416,585 | 417,705 | |
CMO Series 2005-A4 Class 2A1 | ||||
07/25/2035 | 3.341% | 328,804 | 317,870 | |
CMO Series 2005-S2 Class 3A1 | ||||
02/25/2032 | 7.165% | 220,460 | 224,910 | |
CMO Series 2006-A3 Class 7A1 | ||||
04/25/2035 | 3.994% | 450,608 | 450,968 | |
CMO Series 2006-A4 Class 3A1 | ||||
06/25/2036 | 3.839% | 1,802,652 | 1,493,462 | |
JPMorgan Mortgage Trust | ||||
CMO Series 2006-S1 Class 1A2 | ||||
04/25/2036 | 6.500% | 3,233,914 | 3,504,740 | |
MASTR Adjustable Rate Mortgages Trust(d) | ||||
CMO Series 2004-13 Class 3A7 | ||||
11/21/2034 | 4.088% | 612,123 | 611,301 | |
Merrill Lynch Mortgage Investors Trust(d) | ||||
CMO Series 2005-A2 Class A2 | ||||
02/25/2035 | 3.738% | 1,206,935 | 1,190,096 | |
New Residential Mortgage Loan Trust(a),(d) | ||||
CMO Series 2017-2A Class A3 | ||||
03/25/2057 | 4.000% | 3,857,860 | 4,144,729 | |
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 | 1.685% | 5,095,336 | 5,095,334 | |
Sequoia Mortgage Trust(a) | ||||
CMO Series 2017-CH1 Class A1 | ||||
10/25/2047 | 4.000% | 2,272,035 | 2,320,400 | |
Sequoia Mortgage Trust(a),(d) | ||||
CMO Series 2018-CH2 Class A12 | ||||
06/25/2048 | 4.000% | 1,133,391 | 1,144,102 | |
Structured Adjustable Rate Mortgage Loan Trust(d) | ||||
CMO Series 2004-8 Class 2A1 | ||||
07/25/2034 | 3.522% | 1,430,895 | 1,401,140 | |
Towd Point Mortgage Trust(a),(d) | ||||
CMO Series 2017-3 Class M1 | ||||
07/25/2057 | 3.500% | 5,500,000 | 5,722,913 | |
CMO Series 2017-6 Class A1 | ||||
10/25/2057 | 2.750% | 7,663,203 | 7,862,105 |
48 | Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – American Century Diversified Bond Fund, June 30, 2020 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2018-4 Class A1 | ||||
06/25/2058 | 3.000% | 7,566,542 | 7,991,593 | |
Verus Securitization Trust(a),(d) | ||||
CMO Series 2020-1 Class A3 | ||||
01/25/2060 | 2.724% | 6,060,678 | 6,019,300 | |
WaMu Mortgage Pass-Through Certificates Trust | ||||
CMO Series 2003-S11 Class 3A5 | ||||
11/25/2033 | 5.950% | 145,278 | 148,801 | |
WaMu Mortgage Pass-Through Certificates Trust(d) | ||||
CMO Series 2005-AR7 Class A3 | ||||
08/25/2035 | 3.848% | 1,986,682 | 1,870,497 | |
Wells Fargo Mortgage Backed Securities(a),(d) | ||||
CMO Series 2018-1 Class A3 | ||||
07/25/2047 | 3.500% | 8,410,716 | 8,614,593 | |
Wells Fargo Mortgage-Backed Securities Trust | ||||
CMO Series 2006-7 Class 3A1 | ||||
06/25/2036 | 6.000% | 508,621 | 519,402 | |
Wells Fargo Mortgage-Backed Securities Trust(d) | ||||
CMO Series 2006-AR5 Class 2A1 | ||||
04/25/2036 | 3.995% | 1,250,601 | 1,165,645 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $208,121,242) | 207,782,696 | |||
U.S. Treasury Obligations 25.4% | ||||
U.S. Treasury | ||||
11/15/2022 | 1.625% | 15,000,000 | 15,517,969 | |
12/15/2022 | 1.625% | 50,000,000 | 51,792,969 | |
03/15/2023 | 0.500% | 50,000,000 | 50,445,312 | |
03/31/2023 | 1.500% | 20,000,000 | 20,729,688 | |
04/15/2023 | 0.250% | 20,000,000 | 20,045,313 | |
06/15/2023 | 0.250% | 23,000,000 | 23,050,312 | |
11/30/2024 | 1.500% | 40,000,000 | 42,190,625 | |
02/28/2025 | 1.125% | 60,000,000 | 62,390,625 | |
03/31/2025 | 0.500% | 37,800,000 | 38,195,719 | |
05/31/2025 | 0.250% | 24,000,000 | 23,966,250 | |
08/31/2026 | 1.375% | 10,000,000 | 10,580,469 |
U.S. Treasury Obligations (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
01/31/2027 | 1.500% | 24,000,000 | 25,620,000 | |
02/28/2027 | 1.125% | 27,100,000 | 28,272,922 | |
03/31/2027 | 0.625% | 70,000,000 | 70,700,000 | |
04/30/2027 | 0.500% | 18,500,000 | 18,526,016 | |
11/15/2029 | 1.750% | 1,000,000 | 1,104,063 | |
05/15/2038 | 4.500% | 9,000,000 | 14,197,500 | |
02/15/2039 | 3.500% | 11,100,000 | 15,703,031 | |
05/15/2040 | 1.125% | 52,000,000 | 51,520,625 | |
11/15/2041 | 3.125% | 6,400,000 | 8,664,000 | |
05/15/2042 | 3.000% | 16,000,000 | 21,302,500 | |
02/15/2044 | 3.625% | 2,400,000 | 3,513,375 | |
11/15/2044 | 3.000% | 15,000,000 | 20,083,594 | |
02/15/2045 | 2.500% | 22,000,000 | 27,132,187 | |
05/15/2045 | 3.000% | 6,900,000 | 9,264,328 | |
11/15/2045 | 3.000% | 3,000,000 | 4,043,437 | |
08/15/2049 | 2.250% | 26,000,000 | 31,265,000 | |
11/15/2049 | 2.375% | 24,500,000 | 30,257,500 | |
02/15/2050 | 2.000% | 7,700,000 | 8,818,906 | |
05/15/2050 | 1.250% | 400,000 | 384,375 | |
U.S. Treasury(i) | ||||
11/15/2028 | 3.125% | 1,000,000 | 1,209,063 | |
11/15/2048 | 3.375% | 19,000,000 | 27,915,156 | |
Total U.S. Treasury Obligations (Cost $731,322,881) | 778,402,829 |
Money Market Funds 1.1% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(j),(k) | 35,271,765 | 35,271,765 |
Total Money Market Funds (Cost $35,271,765) | 35,271,765 | |
Total Investments in Securities (Cost: $3,198,016,998) | 3,306,543,075 | |
Other Assets & Liabilities, Net | (240,131,370) | |
Net Assets | 3,066,411,705 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
25,567,688 CNY | 3,595,765 USD | Goldman Sachs | 09/23/2020 | — | (4,610) |
12,185,276,903 COP | 3,308,744 USD | Goldman Sachs | 09/23/2020 | 88,651 | — |
3,679,777,427 KRW | 3,089,913 USD | Goldman Sachs | 09/23/2020 | 20,251 | — |
15,853,363 MYR | 3,688,973 USD | Goldman Sachs | 09/23/2020 | 3,059 | — |
31,305,625 NOK | 3,355,348 USD | Goldman Sachs | 09/23/2020 | 101,878 | — |
16,542,890 PEN | 4,784,501 USD | Goldman Sachs | 09/23/2020 | 120,816 | — |
153,218,436 PHP | 3,052,464 USD | Goldman Sachs | 09/23/2020 | — | (13,827) |
Variable Portfolio Funds | Semiannual Report 2020 | 49 |
CTIVP® – American Century Diversified Bond Fund, June 30, 2020 (Unaudited)
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
23,675,789 PLN | 5,961,272 USD | Goldman Sachs | 09/23/2020 | — | (24,609) |
3,703,321 USD | 15,853,363 MYR | Goldman Sachs | 09/23/2020 | — | (17,406) |
6,402,977 USD | 59,392,802 NOK | Goldman Sachs | 09/23/2020 | — | (230,518) |
3,046,092 USD | 153,218,436 PHP | Goldman Sachs | 09/23/2020 | 20,199 | — |
6,044,079 USD | 23,675,789 PLN | Goldman Sachs | 09/23/2020 | — | (58,198) |
7,254,047 USD | 66,737,232 SEK | Goldman Sachs | 09/23/2020 | — | (84,577) |
6,103,487 USD | 190,312,808 THB | Goldman Sachs | 09/23/2020 | 53,083 | — |
8,660,728 CAD | 6,463,182 USD | JPMorgan | 09/23/2020 | 82,679 | — |
66,954,101 MXN | 2,898,470 USD | JPMorgan | 09/23/2020 | 17,692 | — |
3,063,093 USD | 2,477,635 GBP | JPMorgan | 09/23/2020 | 8,458 | — |
6,094,930 USD | 652,910,269 JPY | JPMorgan | 09/23/2020 | — | (41,026) |
2,957,382 USD | 66,954,101 MXN | JPMorgan | 09/23/2020 | — | (76,604) |
1,833,857,238 HUF | 6,066,550 USD | UBS | 09/23/2020 | 250,678 | — |
5,232,403 NZD | 3,363,284 USD | UBS | 09/23/2020 | — | (12,880) |
5,787,047 USD | 1,833,857,238 HUF | UBS | 09/23/2020 | 28,824 | — |
6,048,819 USD | 463,520,985 INR | UBS | 09/23/2020 | 31,181 | — |
3,412,908 USD | 5,232,403 NZD | UBS | 09/23/2020 | — | (36,744) |
Total | 827,449 | (600,999) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Long Bond | 92 | 09/2020 | USD | 16,427,750 | 114,678 | — |
U.S. Treasury 2-Year Note | 602 | 09/2020 | USD | 132,938,532 | 54,892 | — |
U.S. Treasury 5-Year Note | 149 | 09/2020 | USD | 18,735,586 | 27,423 | — |
U.S. Ultra Treasury Bond | 18 | 09/2020 | USD | 3,926,813 | 67,759 | — |
Total | 264,752 | — |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury Ultra 10-Year Note | (1,217) | 09/2020 | USD | (191,658,484) | — | (2,015,980) |
Cleared credit default swap contracts - buy protection | |||||||||||
Reference entity | Counterparty | Maturity date | Pay fixed rate (%) | Payment frequency | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America High Yield Index, Series 33 | Goldman Sachs | 12/20/2024 | 5.000 | Quarterly | USD | 124,200,000 | (4,039,744) | — | — | — | (4,039,744) |
(a) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At June 30, 2020, the total value of these securities amounted to $692,983,830, which represents 22.60% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of June 30, 2020. |
(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 June 30, 2020. |
(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 June 30, 2020. |
(f) | Principal and interest may not be guaranteed by a governmental entity. |
(g) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At June 30, 2020, the total value of these securities amounted to $4,999,936, which represents 0.16% of total net assets. |
50 | Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – American Century Diversified Bond Fund, June 30, 2020 (Unaudited)
(h) | Valuation based on significant unobservable inputs. |
(i) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(j) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
(k) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | ||||||||
81,282,283 | 1,205,373,857 | (1,251,384,375) | — | 35,271,765 | 3,771 | 489,106 | 35,271,765 |
AGM | Assured Guaranty Municipal Corporation |
CMO | Collateralized Mortgage Obligation |
CMT | Constant Maturity Treasury |
LIBOR | London Interbank Offered Rate |
TBA | To Be Announced |
CAD | Canada Dollar |
CNY | China Yuan Renminbi |
COP | Colombian Peso |
GBP | British Pound |
HUF | Hungarian Forint |
INR | Indian Rupee |
JPY | Japanese Yen |
KRW | South Korean Won |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
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. |
Variable Portfolio Funds | Semiannual Report 2020 | 51 |
CTIVP® – American Century Diversified Bond Fund, June 30, 2020 (Unaudited)
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Asset-Backed Securities — Non-Agency | — | 157,323,631 | — | 157,323,631 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 88,498,601 | — | 88,498,601 |
Corporate Bonds & Notes | — | 1,246,471,641 | — | 1,246,471,641 |
Foreign Government Obligations | — | 59,011,400 | — | 59,011,400 |
Inflation-Indexed Bonds | — | 109,287,611 | — | 109,287,611 |
Municipal Bonds | — | 59,944,636 | — | 59,944,636 |
Residential Mortgage-Backed Securities - Agency | — | 564,548,265 | — | 564,548,265 |
Residential Mortgage-Backed Securities - Non-Agency | — | 202,782,760 | 4,999,936 | 207,782,696 |
U.S. Treasury Obligations | 778,402,829 | — | — | 778,402,829 |
Money Market Funds | 35,271,765 | — | — | 35,271,765 |
Total Investments in Securities | 813,674,594 | 2,487,868,545 | 4,999,936 | 3,306,543,075 |
Investments in Derivatives | ||||
Asset | ||||
Forward Foreign Currency Exchange Contracts | — | 827,449 | — | 827,449 |
Futures Contracts | 264,752 | — | — | 264,752 |
Liability | ||||
Forward Foreign Currency Exchange Contracts | — | (600,999) | — | (600,999) |
Futures Contracts | (2,015,980) | — | — | (2,015,980) |
Swap Contracts | — | (4,039,744) | — | (4,039,744) |
Total | 811,923,366 | 2,484,055,251 | 4,999,936 | 3,300,978,553 |
52 | Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – CenterSquare Real Estate Fund, June 30, 2020 (Unaudited)
Common Stocks 99.3% | ||
Issuer | Shares | Value ($) |
Real Estate 99.3% | ||
Diversified REITs 6.2% | ||
Empire State Realty Trust, Inc., Class A | 202,470 | 1,417,290 |
STORE Capital Corp. | 116,220 | 2,767,198 |
VEREIT, Inc. | 777,057 | 4,996,476 |
WP Carey, Inc. | 67,258 | 4,550,004 |
Total Diversified REITs | 13,730,968 | |
Health Care REITs 11.8% | ||
Diversified Healthcare Trust | 65,890 | 291,563 |
Healthcare Trust of America, Inc., Class A | 92,724 | 2,459,041 |
Healthpeak Properties, Inc. | 297,140 | 8,189,179 |
Medical Properties Trust, Inc. | 198,950 | 3,740,260 |
Sabra Health Care REIT, Inc. | 147,270 | 2,125,106 |
Ventas, Inc. | 157,160 | 5,755,199 |
Welltower, Inc. | 73,300 | 3,793,275 |
Total Health Care REITs | 26,353,623 | |
Hotel & Resort REITs 3.3% | ||
Apple Hospitality REIT, Inc. | 125,826 | 1,215,479 |
DiamondRock Hospitality Co. | 143,223 | 792,023 |
Host Hotels & Resorts, Inc. | 331,720 | 3,579,259 |
Ryman Hospitality Properties, Inc. | 34,200 | 1,183,320 |
Xenia Hotels & Resorts, Inc. | 66,175 | 617,413 |
Total Hotel & Resort REITs | 7,387,494 | |
Industrial REITs 12.9% | ||
Americold Realty Trust | 112,720 | 4,091,736 |
Duke Realty Corp. | 90,730 | 3,210,935 |
ProLogis, Inc. | 163,910 | 15,297,720 |
Rexford Industrial Realty, Inc. | 46,815 | 1,939,545 |
STAG Industrial, Inc. | 140,655 | 4,124,005 |
Total Industrial REITs | 28,663,941 | |
Office REITs 8.6% | ||
Boston Properties, Inc. | 54,160 | 4,894,981 |
Columbia Property Trust, Inc. | 110,412 | 1,450,814 |
Cousins Properties, Inc. | 101,770 | 3,035,799 |
Douglas Emmett, Inc. | 52,084 | 1,596,895 |
JBG SMITH Properties | 145,070 | 4,289,720 |
Kilroy Realty Corp. | 43,357 | 2,545,056 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
SL Green Realty Corp. | 26,070 | 1,284,990 |
Total Office REITs | 19,098,255 | |
Residential REITs 20.5% | ||
American Campus Communities, Inc. | 33,760 | 1,180,250 |
American Homes 4 Rent, Class A | 82,230 | 2,211,987 |
Apartment Investment & Management Co., Class A | 64,380 | 2,423,263 |
AvalonBay Communities, Inc. | 40,090 | 6,199,518 |
Equity Residential | 137,920 | 8,112,454 |
Invitation Homes, Inc. | 375,314 | 10,332,394 |
Mid-America Apartment Communities, Inc. | 46,630 | 5,347,062 |
Sun Communities, Inc. | 38,141 | 5,174,971 |
UDR, Inc. | 125,450 | 4,689,321 |
Total Residential REITs | 45,671,220 | |
Retail REITs 8.7% | ||
Brixmor Property Group, Inc. | 197,970 | 2,537,975 |
Realty Income Corp. | 91,170 | 5,424,615 |
Regency Centers Corp. | 36,430 | 1,671,773 |
Retail Opportunity Investments Corp. | 207,843 | 2,354,861 |
Retail Properties of America, Inc., Class A | 449,050 | 3,287,046 |
Simon Property Group, Inc. | 31,910 | 2,182,006 |
Urban Edge Properties | 172,272 | 2,044,869 |
Total Retail REITs | 19,503,145 | |
Specialized REITs 27.3% | ||
American Tower Corp. | 34,370 | 8,886,020 |
CubeSmart | 172,290 | 4,650,107 |
CyrusOne, Inc. | 39,410 | 2,867,078 |
Digital Realty Trust, Inc. | 52,040 | 7,395,404 |
Equinix, Inc. | 24,910 | 17,494,293 |
Extra Space Storage, Inc. | 38,790 | 3,583,032 |
Gaming and Leisure Properties, Inc. | 45,830 | 1,585,718 |
Iron Mountain, Inc. | 121,410 | 3,168,801 |
Life Storage, Inc. | 28,160 | 2,673,792 |
Public Storage | 8,740 | 1,677,119 |
Variable Portfolio Funds | Semiannual Report 2020 | 53 |
CTIVP® – CenterSquare Real Estate Fund, June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
SBA Communications Corp. | 22,878 | 6,815,814 |
Total Specialized REITs | 60,797,178 | |
Total Real Estate | 221,205,824 | |
Total Common Stocks (Cost: $229,145,352) | 221,205,824 | |
Money Market Funds 0.5% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(a),(b) | 1,066,422 | 1,066,422 |
Total Money Market Funds (Cost: $1,066,422) | 1,066,422 | |
Total Investments in Securities (Cost $230,211,774) | 222,272,246 | |
Other Assets & Liabilities, Net | 334,321 | |
Net Assets | $222,606,567 |
(a) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
(b) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | ||||||||
2,584,081 | 175,551,097 | (177,068,788) | 32 | 1,066,422 | 993 | 17,070 | 1,066,422 |
■ | 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). |
54 | Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – CenterSquare Real Estate Fund, June 30, 2020 (Unaudited)
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Real Estate | 221,205,824 | — | — | 221,205,824 |
Total Common Stocks | 221,205,824 | — | — | 221,205,824 |
Money Market Funds | 1,066,422 | — | — | 1,066,422 |
Total Investments in Securities | 222,272,246 | — | — | 222,272,246 |
Variable Portfolio Funds | Semiannual Report 2020 | 55 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, June 30, 2020 (Unaudited)
Common Stocks 99.6% | ||
Issuer | Shares | Value ($) |
Communication Services 9.2% | ||
Entertainment 0.9% | ||
Activision Blizzard, Inc. | 21,623 | 1,641,186 |
Electronic Arts, Inc.(a) | 12,769 | 1,686,147 |
Netflix, Inc.(a) | 22,733 | 10,344,424 |
Total | 13,671,757 | |
Interactive Media & Services 7.9% | ||
Alphabet, Inc., Class A(a) | 25,434 | 36,066,684 |
Alphabet, Inc., Class C(a) | 25,459 | 35,989,097 |
Facebook, Inc., Class A(a) | 245,876 | 55,831,063 |
Total | 127,886,844 | |
Media 0.4% | ||
Cable One, Inc. | 888 | 1,576,067 |
Charter Communications, Inc., Class A(a) | 9,390 | 4,789,275 |
Total | 6,365,342 | |
Total Communication Services | 147,923,943 | |
Consumer Discretionary 14.4% | ||
Automobiles 0.8% | ||
Tesla Motors, Inc.(a) | 11,852 | 12,797,908 |
Distributors 0.6% | ||
Pool Corp. | 35,288 | 9,593,749 |
Diversified Consumer Services 0.1% | ||
Grand Canyon Education, Inc.(a) | 4,882 | 441,968 |
H&R Block, Inc. | 119,380 | 1,704,746 |
Total | 2,146,714 | |
Hotels, Restaurants & Leisure 0.8% | ||
Domino’s Pizza, Inc. | 7,735 | 2,857,619 |
Hilton Worldwide Holdings, Inc. | 14,143 | 1,038,803 |
Yum China Holdings, Inc. | 29,900 | 1,437,293 |
Yum! Brands, Inc. | 87,141 | 7,573,424 |
Total | 12,907,139 | |
Household Durables 0.5% | ||
NVR, Inc.(a) | 2,418 | 7,879,657 |
Tempur Sealy International, Inc.(a) | 9,720 | 699,354 |
Total | 8,579,011 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Internet & Direct Marketing Retail 7.3% | ||
Amazon.com, Inc.(a) | 41,309 | 113,964,095 |
eBay, Inc. | 71,901 | 3,771,208 |
Total | 117,735,303 | |
Multiline Retail 0.6% | ||
Dollar General Corp. | 39,234 | 7,474,469 |
Target Corp. | 11,570 | 1,387,590 |
Total | 8,862,059 | |
Specialty Retail 3.0% | ||
AutoZone, Inc.(a) | 14,263 | 16,090,376 |
Burlington Stores, Inc.(a) | 6,644 | 1,308,403 |
Home Depot, Inc. (The) | 61,363 | 15,372,045 |
Lowe’s Companies, Inc. | 82,712 | 11,176,045 |
TJX Companies, Inc. (The) | 72,146 | 3,647,702 |
Total | 47,594,571 | |
Textiles, Apparel & Luxury Goods 0.7% | ||
Nike, Inc., Class B | 118,918 | 11,659,910 |
Total Consumer Discretionary | 231,876,364 | |
Consumer Staples 5.2% | ||
Beverages 2.0% | ||
Coca-Cola Co. (The) | 258,432 | 11,546,742 |
Monster Beverage Corp.(a) | 150,510 | 10,433,353 |
PepsiCo, Inc. | 85,445 | 11,300,956 |
Total | 33,281,051 | |
Food & Staples Retailing 1.6% | ||
Costco Wholesale Corp. | 54,693 | 16,583,464 |
Sprouts Farmers Market, Inc.(a) | 363,810 | 9,309,898 |
Total | 25,893,362 | |
Food Products 0.2% | ||
Campbell Soup Co. | 27,602 | 1,369,887 |
Lamb Weston Holdings, Inc. | 20,114 | 1,285,888 |
Total | 2,655,775 |
56 | Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Household Products 0.9% | ||
Church & Dwight Co., Inc. | 36,182 | 2,796,869 |
Clorox Co. (The) | 26,563 | 5,827,125 |
Procter & Gamble Co. (The) | 44,447 | 5,314,528 |
Reynolds Consumer Products, Inc. | 13,831 | 480,489 |
Total | 14,419,011 | |
Personal Products 0.5% | ||
Estee Lauder Companies, Inc. (The), Class A | 34,462 | 6,502,290 |
Herbalife Nutrition Ltd.(a) | 42,011 | 1,889,655 |
Total | 8,391,945 | |
Total Consumer Staples | 84,641,144 | |
Financials 3.2% | ||
Capital Markets 2.9% | ||
Artisan Partners Asset Management, Inc., Class A | 47,406 | 1,540,695 |
Cboe Global Markets, Inc. | 5,888 | 549,233 |
Eaton Vance Corp. | 54,821 | 2,116,090 |
LPL Financial Holdings, Inc. | 3,162 | 247,901 |
Moody’s Corp. | 40,908 | 11,238,655 |
MSCI, Inc. | 27,294 | 9,111,283 |
S&P Global, Inc. | 65,163 | 21,469,905 |
SEI Investments Co. | 6,360 | 349,673 |
T. Rowe Price Group, Inc. | 8,253 | 1,019,245 |
Total | 47,642,680 | |
Consumer Finance 0.0% | ||
OneMain Holdings, Inc. | 31,490 | 772,765 |
Insurance 0.3% | ||
Aon PLC, Class A | 4,960 | 955,296 |
Brown & Brown, Inc. | 78,255 | 3,189,674 |
Total | 4,144,970 | |
Total Financials | 52,560,415 | |
Health Care 14.8% | ||
Biotechnology 3.5% | ||
AbbVie, Inc. | 218,399 | 21,442,414 |
Amgen, Inc. | 52,370 | 12,351,988 |
Biogen, Inc.(a) | 16,194 | 4,332,705 |
Exelixis, Inc.(a) | 102,668 | 2,437,338 |
Global Blood Therapeutics, Inc.(a) | 18,629 | 1,176,049 |
Neurocrine Biosciences, Inc.(a) | 6,155 | 750,910 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Sarepta Therapeutics, Inc.(a) | 16,943 | 2,716,640 |
Seattle Genetics, Inc.(a) | 3,629 | 616,640 |
Vertex Pharmaceuticals, Inc.(a) | 38,204 | 11,091,003 |
Total | 56,915,687 | |
Health Care Equipment & Supplies 4.0% | ||
Abbott Laboratories | 70,735 | 6,467,301 |
Align Technology, Inc.(a) | 22,437 | 6,157,610 |
Danaher Corp. | 4,542 | 803,162 |
DexCom, Inc.(a) | 22,025 | 8,928,935 |
Edwards Lifesciences Corp.(a) | 134,808 | 9,316,581 |
IDEXX Laboratories, Inc.(a) | 4,174 | 1,378,088 |
Intuitive Surgical, Inc.(a) | 16,566 | 9,439,804 |
Novocure Ltd.(a) | 36,019 | 2,135,926 |
ResMed, Inc. | 25,425 | 4,881,600 |
STERIS PLC | 2,086 | 320,076 |
Stryker Corp. | 29,132 | 5,249,295 |
Varian Medical Systems, Inc.(a) | 18,550 | 2,272,746 |
West Pharmaceutical Services, Inc. | 27,642 | 6,279,433 |
Total | 63,630,557 | |
Health Care Providers & Services 3.1% | ||
Anthem, Inc. | 5,462 | 1,436,397 |
Chemed Corp. | 22,216 | 10,020,971 |
HCA Healthcare, Inc. | 69,915 | 6,785,950 |
Humana, Inc. | 9,247 | 3,585,524 |
UnitedHealth Group, Inc. | 94,954 | 28,006,682 |
Total | 49,835,524 | |
Health Care Technology 0.4% | ||
Veeva Systems Inc., Class A(a) | 28,654 | 6,717,071 |
Life Sciences Tools & Services 0.5% | ||
Bruker Corp. | 28,077 | 1,142,173 |
Illumina, Inc.(a) | 2,234 | 827,362 |
Repligen Corp.(a) | 4,156 | 513,723 |
Thermo Fisher Scientific, Inc. | 17,048 | 6,177,172 |
Total | 8,660,430 |
Variable Portfolio Funds | Semiannual Report 2020 | 57 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Pharmaceuticals 3.3% | ||
Bristol-Myers Squibb Co. | 108,135 | 6,358,338 |
Eli Lilly and Co. | 78,551 | 12,896,503 |
Johnson & Johnson | 90,791 | 12,767,939 |
Merck & Co., Inc. | 244,252 | 18,888,007 |
Zoetis, Inc. | 19,170 | 2,627,057 |
Total | 53,537,844 | |
Total Health Care | 239,297,113 | |
Industrials 4.4% | ||
Aerospace & Defense 1.9% | ||
Curtiss-Wright Corp. | 44,234 | 3,949,211 |
HEICO Corp. | 61,257 | 6,104,260 |
HEICO Corp., Class A | 17,900 | 1,454,196 |
Hexcel Corp. | 98,362 | 4,447,930 |
Lockheed Martin Corp. | 32,913 | 12,010,612 |
Mercury Systems, Inc.(a) | 33,411 | 2,628,109 |
Total | 30,594,318 | |
Air Freight & Logistics 0.1% | ||
Expeditors International of Washington, Inc. | 12,491 | 949,816 |
Building Products 0.1% | ||
Allegion PLC | 6,932 | 708,589 |
Armstrong World Industries, Inc. | 2,840 | 221,406 |
Total | 929,995 | |
Commercial Services & Supplies 0.5% | ||
Cintas Corp. | 9,895 | 2,635,632 |
Copart, Inc.(a) | 51,895 | 4,321,297 |
Rollins, Inc. | 15,920 | 674,849 |
Total | 7,631,778 | |
Electrical Equipment 1.0% | ||
Rockwell Automation, Inc. | 74,976 | 15,969,888 |
Industrial Conglomerates 0.2% | ||
Honeywell International, Inc. | 26,428 | 3,821,225 |
Machinery 0.2% | ||
Illinois Tool Works, Inc. | 19,853 | 3,471,297 |
Professional Services 0.1% | ||
Verisk Analytics, Inc. | 10,726 | 1,825,565 |
Road & Rail 0.3% |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Landstar System, Inc. | 17,335 | 1,946,894 |
Union Pacific Corp. | 17,029 | 2,879,093 |
Total | 4,825,987 | |
Trading Companies & Distributors 0.0% | ||
Fastenal Co. | 19,431 | 832,424 |
Total Industrials | 70,852,293 | |
Information Technology 46.0% | ||
Communications Equipment 0.8% | ||
Cisco Systems, Inc. | 232,253 | 10,832,280 |
Motorola Solutions, Inc. | 16,268 | 2,279,635 |
Total | 13,111,915 | |
Electronic Equipment, Instruments & Components 0.9% | ||
CDW Corp. | 14,716 | 1,709,705 |
Jabil, Inc. | 275,342 | 8,832,971 |
Keysight Technologies, Inc.(a) | 31,725 | 3,197,246 |
Total | 13,739,922 | |
IT Services 9.1% | ||
Accenture PLC, Class A | 63,283 | 13,588,126 |
Akamai Technologies, Inc.(a) | 28,275 | 3,027,970 |
Booz Allen Hamilton Holdings Corp. | 16,668 | 1,296,604 |
Euronet Worldwide, Inc.(a) | 4,357 | 417,488 |
Fiserv, Inc.(a) | 10,117 | 987,621 |
FleetCor Technologies, Inc.(a) | 11,138 | 2,801,541 |
Global Payments, Inc. | 14,334 | 2,431,333 |
GoDaddy, Inc., Class A(a) | 160,959 | 11,803,123 |
Jack Henry & Associates, Inc. | 12,157 | 2,237,253 |
MasterCard, Inc., Class A | 91,581 | 27,080,502 |
Paychex, Inc. | 63,041 | 4,775,356 |
PayPal Holdings, Inc.(a) | 125,455 | 21,858,025 |
Science Applications International Corp. | 18,571 | 1,442,595 |
Square, Inc., Class A(a) | 102,325 | 10,737,985 |
VeriSign, Inc.(a) | 48,600 | 10,051,938 |
Visa, Inc., Class A | 170,455 | 32,926,792 |
Total | 147,464,252 |
58 | Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Semiconductors & Semiconductor Equipment 7.8% | ||
Advanced Micro Devices, Inc.(a) | 89,337 | 4,700,019 |
Applied Materials, Inc. | 51,917 | 3,138,383 |
Broadcom, Inc. | 50,089 | 15,808,589 |
Enphase Energy, Inc.(a) | 16,973 | 807,406 |
Entegris, Inc. | 26,515 | 1,565,711 |
Inphi Corp.(a) | 5,752 | 675,860 |
Lam Research Corp. | 37,873 | 12,250,401 |
Microchip Technology, Inc. | 29,243 | 3,079,580 |
Monolithic Power Systems, Inc. | 15,428 | 3,656,436 |
NVIDIA Corp. | 96,176 | 36,538,224 |
QUALCOMM, Inc. | 169,246 | 15,436,928 |
SolarEdge Technologies, Inc.(a) | 13,304 | 1,846,329 |
Teradyne, Inc. | 158,013 | 13,353,679 |
Texas Instruments, Inc. | 36,387 | 4,620,057 |
Universal Display Corp. | 48,320 | 7,229,638 |
Xilinx, Inc. | 8,494 | 835,725 |
Total | 125,542,965 | |
Software 17.7% | ||
Adobe, Inc.(a) | 61,853 | 26,925,229 |
Atlassian Corp. PLC, Class A(a) | 33,060 | 5,959,726 |
Autodesk, Inc.(a) | 16,904 | 4,043,268 |
Cadence Design Systems, Inc.(a) | 25,093 | 2,407,924 |
Citrix Systems, Inc. | 15,924 | 2,355,319 |
Coupa Software, Inc.(a) | 5,570 | 1,543,113 |
Dropbox, Inc., Class A(a) | 62,340 | 1,357,142 |
Fair Isaac Corp.(a) | 10,822 | 4,524,029 |
Fortinet, Inc.(a) | 64,011 | 8,786,790 |
Intuit, Inc. | 39,133 | 11,590,803 |
Manhattan Associates, Inc.(a) | 69,732 | 6,568,754 |
Microsoft Corp. | 762,556 | 155,187,772 |
Oracle Corp. | 427,151 | 23,608,636 |
Palo Alto Networks, Inc.(a) | 3,472 | 797,414 |
Paycom Software, Inc.(a) | 3,091 | 957,375 |
RingCentral, Inc., Class A(a) | 8,533 | 2,431,990 |
Salesforce.com, Inc.(a) | 60,688 | 11,368,683 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
ServiceNow, Inc.(a) | 31,578 | 12,790,985 |
Workday, Inc., Class A(a) | 15,885 | 2,976,214 |
Total | 286,181,166 | |
Technology Hardware, Storage & Peripherals 9.7% | ||
Apple, Inc. | 426,565 | 155,610,912 |
NCR Corp.(a) | 49,922 | 864,649 |
Total | 156,475,561 | |
Total Information Technology | 742,515,781 | |
Materials 1.4% | ||
Chemicals 1.2% | ||
NewMarket Corp. | 13,677 | 5,477,365 |
Scotts Miracle-Gro Co. (The), Class A | 88,351 | 11,880,559 |
Sherwin-Williams Co. (The) | 3,671 | 2,121,287 |
Total | 19,479,211 | |
Construction Materials 0.2% | ||
Eagle Materials, Inc. | 54,824 | 3,849,741 |
Total Materials | 23,328,952 | |
Real Estate 1.0% | ||
Equity Real Estate Investment Trusts (REITS) 1.0% | ||
American Tower Corp. | 51,947 | 13,430,377 |
Crown Castle International Corp. | 9,425 | 1,577,274 |
Life Storage, Inc. | 12,040 | 1,143,198 |
Total | 16,150,849 | |
Total Real Estate | 16,150,849 | |
Total Common Stocks (Cost $1,168,844,857) | 1,609,146,854 | |
Money Market Funds 0.5% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(b),(c) | 7,267,768 | 7,267,768 |
Total Money Market Funds (Cost $7,267,768) | 7,267,768 | |
Total Investments in Securities (Cost: $1,176,112,625) | 1,616,414,622 | |
Other Assets & Liabilities, Net | (1,399,330) | |
Net Assets | 1,615,015,292 |
Variable Portfolio Funds | Semiannual Report 2020 | 59 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, June 30, 2020 (Unaudited)
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | ||||||||
17,373,120 | 64,418,464 | (74,524,419) | 603 | 7,267,768 | 3,012 | 74,171 | 7,267,768 |
■ | 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 | 147,923,943 | — | — | 147,923,943 |
Consumer Discretionary | 231,876,364 | — | — | 231,876,364 |
Consumer Staples | 84,641,144 | — | — | 84,641,144 |
Financials | 52,560,415 | — | — | 52,560,415 |
Health Care | 239,297,113 | — | — | 239,297,113 |
Industrials | 70,852,293 | — | — | 70,852,293 |
Information Technology | 742,515,781 | — | — | 742,515,781 |
60 | Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, June 30, 2020 (Unaudited)
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Materials | 23,328,952 | — | — | 23,328,952 |
Real Estate | 16,150,849 | — | — | 16,150,849 |
Total Common Stocks | 1,609,146,854 | — | — | 1,609,146,854 |
Money Market Funds | 7,267,768 | — | — | 7,267,768 |
Total Investments in Securities | 1,616,414,622 | — | — | 1,616,414,622 |
Variable Portfolio Funds | Semiannual Report 2020 | 61 |
CTIVP® – MFS® Value Fund, June 30, 2020 (Unaudited)
Common Stocks 99.2% | ||
Issuer | Shares | Value ($) |
Communication Services 3.4% | ||
Diversified Telecommunication Services 0.5% | ||
Verizon Communications, Inc. | 100,036 | 5,514,985 |
Media 2.9% | ||
Comcast Corp., Class A | 856,953 | 33,404,028 |
Total Communication Services | 38,919,013 | |
Consumer Discretionary 1.0% | ||
Auto Components 0.2% | ||
Aptiv PLC | 35,431 | 2,760,783 |
Hotels, Restaurants & Leisure 0.3% | ||
Marriott International, Inc., Class A | 39,445 | 3,381,620 |
Specialty Retail 0.5% | ||
Lowe’s Companies, Inc. | 43,465 | 5,872,991 |
Total Consumer Discretionary | 12,015,394 | |
Consumer Staples 7.3% | ||
Beverages 2.1% | ||
Diageo PLC | 525,539 | 17,467,533 |
PepsiCo, Inc. | 50,585 | 6,690,372 |
Total | 24,157,905 | |
Food Products 3.3% | ||
Archer-Daniels-Midland Co. | 169,455 | 6,761,254 |
Danone SA(a) | 68,631 | 4,763,895 |
JM Smucker Co. (The) | 31,560 | 3,339,364 |
Nestlé SA, Registered Shares | 201,262 | 22,314,044 |
Total | 37,178,557 | |
Household Products 1.4% | ||
Colgate-Palmolive Co. | 35,045 | 2,567,397 |
Kimberly-Clark Corp. | 51,639 | 7,299,172 |
Reckitt Benckiser Group PLC | 68,116 | 6,266,568 |
Total | 16,133,137 | |
Tobacco 0.5% | ||
Philip Morris International, Inc. | 80,571 | 5,644,804 |
Total Consumer Staples | 83,114,403 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Energy 2.8% | ||
Oil, Gas & Consumable Fuels 2.8% | ||
Chevron Corp. | 83,109 | 7,415,816 |
ConocoPhillips Co. | 226,292 | 9,508,790 |
EOG Resources, Inc. | 111,593 | 5,653,301 |
Pioneer Natural Resources Co. | 33,660 | 3,288,582 |
Suncor Energy, Inc. | 397,977 | 6,710,146 |
Total | 32,576,635 | |
Total Energy | 32,576,635 | |
Financials 25.0% | ||
Banks 9.4% | ||
Citigroup, Inc. | 473,950 | 24,218,845 |
JPMorgan Chase & Co. | 465,960 | 43,828,198 |
PNC Financial Services Group, Inc. (The) | 107,038 | 11,261,468 |
Truist Financial Corp. | 308,417 | 11,581,058 |
U.S. Bancorp | 445,234 | 16,393,516 |
Total | 107,283,085 | |
Capital Markets 6.3% | ||
BlackRock, Inc. | 26,897 | 14,634,389 |
Goldman Sachs Group, Inc. (The) | 94,547 | 18,684,378 |
Moody’s Corp. | 26,127 | 7,177,871 |
Nasdaq, Inc. | 145,552 | 17,389,097 |
State Street Corp. | 116,170 | 7,382,604 |
T. Rowe Price Group, Inc. | 53,688 | 6,630,468 |
Total | 71,898,807 | |
Consumer Finance 0.9% | ||
American Express Co. | 106,312 | 10,120,902 |
Insurance 8.4% | ||
Aon PLC, Class A | 146,242 | 28,166,209 |
Chubb Ltd. | 186,431 | 23,605,893 |
Marsh & McLennan Companies, Inc. | 226,433 | 24,312,111 |
Travelers Companies, Inc. (The) | 177,551 | 20,249,692 |
Total | 96,333,905 | |
Total Financials | 285,636,699 |
62 | Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – MFS® Value Fund, June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Health Care 19.9% | ||
Health Care Equipment & Supplies 6.8% | ||
Abbott Laboratories | 194,497 | 17,782,861 |
Boston Scientific Corp.(a) | 250,557 | 8,797,056 |
Danaher Corp. | 112,164 | 19,833,960 |
Medtronic PLC | 332,712 | 30,509,691 |
Total | 76,923,568 | |
Health Care Providers & Services 3.5% | ||
Cigna Corp. | 154,656 | 29,021,198 |
McKesson Corp. | 71,990 | 11,044,706 |
Total | 40,065,904 | |
Life Sciences Tools & Services 1.8% | ||
Thermo Fisher Scientific, Inc. | 57,021 | 20,660,989 |
Pharmaceuticals 7.8% | ||
Johnson & Johnson | 331,366 | 46,600,001 |
Merck & Co., Inc. | 212,009 | 16,394,656 |
Pfizer, Inc. | 612,275 | 20,021,392 |
Roche Holding AG, Genusschein Shares | 18,154 | 6,289,445 |
Total | 89,305,494 | |
Total Health Care | 226,955,955 | |
Industrials 17.3% | ||
Aerospace & Defense 4.2% | ||
Lockheed Martin Corp. | 36,683 | 13,386,360 |
Northrop Grumman Corp. | 85,445 | 26,269,211 |
Raytheon Technologies Corp. | 134,084 | 8,262,256 |
Total | 47,917,827 | |
Building Products 2.9% | ||
Carrier Global Corp. | 96,170 | 2,136,897 |
Johnson Controls International PLC | 333,608 | 11,389,377 |
Masco Corp. | 208,423 | 10,464,919 |
Trane Technologies PLC | 102,506 | 9,120,984 |
Total | 33,112,177 | |
Electrical Equipment 1.3% | ||
Eaton Corp. PLC | 166,900 | 14,600,412 |
Industrial Conglomerates 2.4% | ||
Honeywell International, Inc. | 187,758 | 27,147,929 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Machinery 3.3% | ||
Illinois Tool Works, Inc. | 123,504 | 21,594,674 |
Otis Worldwide Corp. | 67,042 | 3,812,008 |
Stanley Black & Decker, Inc. | 89,710 | 12,503,780 |
Total | 37,910,462 | |
Professional Services 1.2% | ||
Equifax, Inc. | 78,702 | 13,527,300 |
Road & Rail 2.0% | ||
Canadian National Railway Co. | 80,273 | 7,109,780 |
Union Pacific Corp. | 93,871 | 15,870,770 |
Total | 22,980,550 | |
Total Industrials | 197,196,657 | |
Information Technology 10.9% | ||
IT Services 5.8% | ||
Accenture PLC, Class A | 150,506 | 32,316,649 |
Fidelity National Information Services, Inc. | 123,559 | 16,568,026 |
Fiserv, Inc.(a) | 170,532 | 16,647,334 |
Total | 65,532,009 | |
Semiconductors & Semiconductor Equipment 5.1% | ||
Analog Devices, Inc. | 70,453 | 8,640,356 |
Intel Corp. | 216,599 | 12,959,118 |
NXP Semiconductors NV | 92,006 | 10,492,364 |
Texas Instruments, Inc. | 208,462 | 26,468,420 |
Total | 58,560,258 | |
Total Information Technology | 124,092,267 | |
Materials 3.6% | ||
Chemicals 3.6% | ||
DuPont de Nemours, Inc. | 159,810 | 8,490,705 |
PPG Industries, Inc. | 168,505 | 17,871,640 |
Sherwin-Williams Co. (The) | 25,007 | 14,450,295 |
Total | 40,812,640 | |
Total Materials | 40,812,640 | |
Real Estate 0.3% | ||
Equity Real Estate Investment Trusts (REITS) 0.3% | ||
Public Storage | 20,701 | 3,972,315 |
Total Real Estate | 3,972,315 |
Variable Portfolio Funds | Semiannual Report 2020 | 63 |
CTIVP® – MFS® Value Fund, June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Utilities 7.7% | ||
Electric Utilities 6.5% | ||
American Electric Power Co., Inc. | 86,045 | 6,852,624 |
Duke Energy Corp. | 321,507 | 25,685,194 |
FirstEnergy Corp. | 369,410 | 14,325,720 |
Southern Co. (The) | 401,079 | 20,795,946 |
Xcel Energy, Inc. | 112,535 | 7,033,437 |
Total | 74,692,921 | |
Multi-Utilities 1.2% | ||
Dominion Energy, Inc. | 161,153 | 13,082,401 |
Total Utilities | 87,775,322 | |
Total Common Stocks (Cost $919,066,453) | 1,133,067,300 | |
Money Market Funds 1.0% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(b),(c) | 11,062,995 | 11,062,995 |
Total Money Market Funds (Cost $11,062,995) | 11,062,995 | |
Total Investments in Securities (Cost: $930,129,448) | 1,144,130,295 | |
Other Assets & Liabilities, Net | (1,976,058) | |
Net Assets | 1,142,154,237 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | ||||||||
16,905,211 | 146,828,811 | (152,671,308) | 281 | 11,062,995 | 3,493 | 46,836 | 11,062,995 |
■ | 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). |
64 | Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – MFS® Value Fund, June 30, 2020 (Unaudited)
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 38,919,013 | — | — | 38,919,013 |
Consumer Discretionary | 12,015,394 | — | — | 12,015,394 |
Consumer Staples | 32,302,363 | 50,812,040 | — | 83,114,403 |
Energy | 32,576,635 | — | — | 32,576,635 |
Financials | 285,636,699 | — | — | 285,636,699 |
Health Care | 220,666,510 | 6,289,445 | — | 226,955,955 |
Industrials | 197,196,657 | — | — | 197,196,657 |
Information Technology | 124,092,267 | — | — | 124,092,267 |
Materials | 40,812,640 | — | — | 40,812,640 |
Real Estate | 3,972,315 | — | — | 3,972,315 |
Utilities | 87,775,322 | — | — | 87,775,322 |
Total Common Stocks | 1,075,965,815 | 57,101,485 | — | 1,133,067,300 |
Money Market Funds | 11,062,995 | — | — | 11,062,995 |
Total Investments in Securities | 1,087,028,810 | 57,101,485 | — | 1,144,130,295 |
Variable Portfolio Funds | Semiannual Report 2020 | 65 |
CTIVP® – Morgan Stanley Advantage Fund, June 30, 2020 (Unaudited)
Common Stocks 97.4% | ||
Issuer | Shares | Value ($) |
Communication Services 18.7% | ||
Entertainment 8.3% | ||
Activision Blizzard, Inc. | 380,846 | 28,906,212 |
Spotify Technology SA(a) | 496,127 | 128,095,030 |
Take-Two Interactive Software, Inc.(a) | 129,802 | 18,116,465 |
Total | 175,117,707 | |
Interactive Media & Services 10.4% | ||
Alphabet, Inc., Class C(a) | 19,606 | 27,715,237 |
Facebook, Inc., Class A(a) | 414,603 | 94,143,903 |
Match Group, Inc.(a) | 364,677 | 39,038,673 |
Twitter, Inc.(a) | 1,919,944 | 57,195,132 |
Total | 218,092,945 | |
Total Communication Services | 393,210,652 | |
Consumer Discretionary 10.6% | ||
Hotels, Restaurants & Leisure 1.1% | ||
Starbucks Corp. | 313,476 | 23,068,699 |
Internet & Direct Marketing Retail 8.3% | ||
Amazon.com, Inc.(a) | 53,052 | 146,360,919 |
Chewy, Inc., Class A(a) | 620,008 | 27,708,157 |
Total | 174,069,076 | |
Textiles, Apparel & Luxury Goods 1.2% | ||
Nike, Inc., Class B | 269,048 | 26,380,157 |
Total Consumer Discretionary | 223,517,932 | |
Consumer Staples 1.3% | ||
Food & Staples Retailing 1.3% | ||
Costco Wholesale Corp. | 89,671 | 27,189,144 |
Total Consumer Staples | 27,189,144 | |
Energy 0.3% | ||
Oil, Gas & Consumable Fuels 0.3% | ||
Texas Pacific Land Trust | 9,099 | 5,411,084 |
Total Energy | 5,411,084 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Financials 1.7% | ||
Capital Markets 1.7% | ||
Intercontinental Exchange, Inc. | 179,669 | 16,457,680 |
S&P Global, Inc. | 55,693 | 18,349,730 |
Total | 34,807,410 | |
Total Financials | 34,807,410 | |
Health Care 14.5% | ||
Health Care Equipment & Supplies 5.5% | ||
Danaher Corp. | 118,089 | 20,881,678 |
Intuitive Surgical, Inc.(a) | 166,110 | 94,654,461 |
Total | 115,536,139 | |
Health Care Technology 5.0% | ||
Veeva Systems Inc., Class A(a) | 452,418 | 106,055,828 |
Pharmaceuticals 4.0% | ||
Royalty Pharma PLC, Class A(a) | 614,773 | 29,847,229 |
Zoetis, Inc. | 391,729 | 53,682,542 |
Total | 83,529,771 | |
Total Health Care | 305,121,738 | |
Industrials 3.7% | ||
Aerospace & Defense 2.3% | ||
HEICO Corp., Class A | 595,555 | 48,382,888 |
Industrial Conglomerates 1.4% | ||
Roper Technologies, Inc. | 74,955 | 29,102,029 |
Total Industrials | 77,484,917 | |
Information Technology 41.2% | ||
Electronic Equipment, Instruments & Components 1.9% | ||
Adyen NV(a) | 27,358 | 39,819,396 |
IT Services 20.9% | ||
Okta, Inc.(a) | 384,770 | 77,042,497 |
Shopify, Inc., Class A(a) | 182,151 | 172,897,729 |
Square, Inc., Class A(a) | 1,057,968 | 111,023,162 |
Twilio, Inc., Class A(a) | 355,994 | 78,112,204 |
Total | 439,075,592 |
66 | Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – Morgan Stanley Advantage Fund, June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Software 18.4% | ||
Autodesk, Inc.(a) | 239,006 | 57,167,845 |
Coupa Software, Inc.(a) | 294,842 | 81,683,028 |
ServiceNow, Inc.(a) | 242,091 | 98,061,381 |
Slack Technologies, Inc.(a) | 1,809,637 | 56,261,614 |
Workday, Inc., Class A(a) | 287,976 | 53,955,183 |
Zoom Video Communications, Inc., Class A(a) | 149,930 | 38,013,252 |
Total | 385,142,303 | |
Total Information Technology | 864,037,291 | |
Materials 5.4% | ||
Chemicals 4.3% | ||
Ecolab, Inc. | 321,041 | 63,871,107 |
Sherwin-Williams Co. (The) | 45,437 | 26,255,770 |
Total | 90,126,877 | |
Containers & Packaging 0.9% | ||
Ball Corp. | 270,890 | 18,824,146 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Metals & Mining 0.2% | ||
Royal Gold, Inc. | 32,583 | 4,050,719 |
Total Materials | 113,001,742 | |
Total Common Stocks (Cost $1,376,841,442) | 2,043,781,910 | |
Money Market Funds 2.0% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(b),(c) | 41,527,369 | 41,527,369 |
Total Money Market Funds (Cost $41,527,369) | 41,527,369 | |
Total Investments in Securities (Cost: $1,418,368,811) | 2,085,309,279 | |
Other Assets & Liabilities, Net | 12,638,465 | |
Net Assets | 2,097,947,744 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | ||||||||
50,981,933 | 394,444,500 | (403,899,627) | 563 | 41,527,369 | 1,971 | 212,562 | 41,527,369 |
■ | 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 | Semiannual Report 2020 | 67 |
CTIVP® – Morgan Stanley Advantage Fund, June 30, 2020 (Unaudited)
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 393,210,652 | — | — | 393,210,652 |
Consumer Discretionary | 223,517,932 | — | — | 223,517,932 |
Consumer Staples | 27,189,144 | — | — | 27,189,144 |
Energy | 5,411,084 | — | — | 5,411,084 |
Financials | 34,807,410 | — | — | 34,807,410 |
Health Care | 305,121,738 | — | — | 305,121,738 |
Industrials | 77,484,917 | — | — | 77,484,917 |
Information Technology | 824,217,895 | 39,819,396 | — | 864,037,291 |
Materials | 113,001,742 | — | — | 113,001,742 |
Total Common Stocks | 2,003,962,514 | 39,819,396 | — | 2,043,781,910 |
Money Market Funds | 41,527,369 | — | — | 41,527,369 |
Total Investments in Securities | 2,045,489,883 | 39,819,396 | — | 2,085,309,279 |
68 | Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – T. Rowe Price Large Cap Value Fund, June 30, 2020 (Unaudited)
Common Stocks 97.6% | ||
Issuer | Shares | Value ($) |
Communication Services 5.1% | ||
Diversified Telecommunication Services 1.4% | ||
Verizon Communications, Inc. | 354,813 | 19,560,841 |
Entertainment 1.0% | ||
Walt Disney Co. (The) | 117,367 | 13,087,594 |
Media 2.7% | ||
Comcast Corp., Class A | 391,425 | 15,257,747 |
Fox Corp., Class B | 459,547 | 12,334,241 |
News Corp., Class A | 795,213 | 9,431,226 |
Total | 37,023,214 | |
Total Communication Services | 69,671,649 | |
Consumer Discretionary 2.3% | ||
Auto Components 0.7% | ||
Magna International, Inc. | 204,699 | 9,115,247 |
Hotels, Restaurants & Leisure 0.8% | ||
Las Vegas Sands Corp. | 176,982 | 8,059,760 |
McDonald’s Corp. | 15,511 | 2,861,314 |
Total | 10,921,074 | |
Internet & Direct Marketing Retail 0.1% | ||
Booking Holdings, Inc.(a) | 1,000 | 1,592,340 |
Multiline Retail 0.3% | ||
Kohl’s Corp. | 162,756 | 3,380,442 |
Specialty Retail 0.4% | ||
TJX Companies, Inc. (The) | 120,000 | 6,067,200 |
Total Consumer Discretionary | 31,076,303 | |
Consumer Staples 8.9% | ||
Beverages 0.7% | ||
PepsiCo, Inc. | 74,469 | 9,849,270 |
Food & Staples Retailing 1.3% | ||
Walmart, Inc. | 152,052 | 18,212,788 |
Food Products 3.9% | ||
Bunge Ltd. | 248,763 | 10,231,622 |
ConAgra Foods, Inc. | 496,389 | 17,458,001 |
Tyson Foods, Inc., Class A | 421,072 | 25,142,209 |
Total | 52,831,832 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Household Products 1.5% | ||
Kimberly-Clark Corp. | 144,168 | 20,378,147 |
Tobacco 1.5% | ||
Philip Morris International, Inc. | 286,294 | 20,057,758 |
Total Consumer Staples | 121,329,795 | |
Energy 7.8% | ||
Energy Equipment & Services 0.3% | ||
Schlumberger Ltd. | 216,000 | 3,972,240 |
Oil, Gas & Consumable Fuels 7.5% | ||
ConocoPhillips Co. | 241,807 | 10,160,730 |
Enbridge, Inc. | 238,000 | 7,239,960 |
Exxon Mobil Corp. | 415,845 | 18,596,588 |
Pioneer Natural Resources Co. | 113,898 | 11,127,835 |
TC Energy Corp. | 507,846 | 21,766,280 |
Total SA, ADR | 839,324 | 32,280,401 |
Total | 101,171,794 | |
Total Energy | 105,144,034 | |
Financials 20.5% | ||
Banks 6.8% | ||
Bank of America Corp. | 161,000 | 3,823,750 |
Fifth Third Bancorp | 1,101,183 | 21,230,808 |
JPMorgan Chase & Co. | 264,345 | 24,864,291 |
Signature Bank | 87,967 | 9,405,432 |
Wells Fargo & Co. | 1,259,484 | 32,242,790 |
Total | 91,567,071 | |
Capital Markets 5.3% | ||
Charles Schwab Corp. (The) | 365,808 | 12,342,362 |
Franklin Resources, Inc. | 185,531 | 3,890,585 |
Morgan Stanley | 895,216 | 43,238,933 |
State Street Corp. | 202,121 | 12,844,790 |
Total | 72,316,670 | |
Consumer Finance 0.2% | ||
Capital One Financial Corp. | 40,970 | 2,564,312 |
Diversified Financial Services 0.7% | ||
Equitable Holdings, Inc. | 530,066 | 10,224,973 |
Variable Portfolio Funds | Semiannual Report 2020 | 69 |
CTIVP® – T. Rowe Price Large Cap Value Fund, June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Insurance 7.5% | ||
American International Group, Inc. | 912,301 | 28,445,545 |
Chubb Ltd. | 269,886 | 34,172,966 |
Marsh & McLennan Companies, Inc. | 175,038 | 18,793,830 |
MetLife, Inc. | 548,591 | 20,034,543 |
Total | 101,446,884 | |
Total Financials | 278,119,910 | |
Health Care 16.9% | ||
Biotechnology 2.7% | ||
AbbVie, Inc. | 237,267 | 23,294,874 |
Gilead Sciences, Inc. | 166,533 | 12,813,049 |
Total | 36,107,923 | |
Health Care Equipment & Supplies 5.8% | ||
Becton Dickinson and Co. | 89,574 | 21,432,371 |
Hologic, Inc.(a) | 303,318 | 17,289,126 |
Medtronic PLC | 297,984 | 27,325,133 |
Zimmer Biomet Holdings, Inc. | 101,439 | 12,107,759 |
Total | 78,154,389 | |
Health Care Providers & Services 2.0% | ||
CVS Health Corp. | 410,353 | 26,660,634 |
Life Sciences Tools & Services 0.7% | ||
Thermo Fisher Scientific, Inc. | 27,159 | 9,840,792 |
Pharmaceuticals 5.7% | ||
Elanco Animal Health, Inc.(a) | 368,728 | 7,909,216 |
Johnson & Johnson | 232,006 | 32,627,004 |
Merck & Co., Inc. | 96,313 | 7,447,884 |
Perrigo Co. PLC | 223,097 | 12,330,571 |
Pfizer, Inc. | 530,208 | 17,337,802 |
Total | 77,652,477 | |
Total Health Care | 228,416,215 | |
Industrials 10.6% | ||
Aerospace & Defense 1.5% | ||
Boeing Co. (The) | 79,026 | 14,485,466 |
Raytheon Technologies Corp. | 85,153 | 5,247,128 |
Total | 19,732,594 | |
Air Freight & Logistics 2.3% | ||
United Parcel Service, Inc., Class B | 283,375 | 31,505,632 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Airlines 0.7% | ||
Southwest Airlines Co. | 292,992 | 10,014,466 |
Building Products 0.6% | ||
Fortune Brands Home & Security, Inc. | 129,343 | 8,268,898 |
Commercial Services & Supplies 0.6% | ||
Stericycle, Inc.(a) | 136,691 | 7,651,962 |
Electrical Equipment 0.7% | ||
Rockwell Automation, Inc. | 43,150 | 9,190,950 |
Industrial Conglomerates 2.2% | ||
General Electric Co. | 4,452,631 | 30,411,470 |
Machinery 1.5% | ||
Cummins, Inc. | 42,000 | 7,276,920 |
Illinois Tool Works, Inc. | 72,728 | 12,716,491 |
Total | 19,993,411 | |
Professional Services 0.5% | ||
Nielsen Holdings PLC | 481,751 | 7,158,820 |
Total Industrials | 143,928,203 | |
Information Technology 11.8% | ||
Communications Equipment 1.7% | ||
Cisco Systems, Inc. | 499,707 | 23,306,335 |
Electronic Equipment, Instruments & Components 0.7% | ||
TE Connectivity Ltd. | 107,923 | 8,801,121 |
Semiconductors & Semiconductor Equipment 6.6% | ||
Applied Materials, Inc. | 436,662 | 26,396,218 |
NXP Semiconductors NV | 73,100 | 8,336,324 |
QUALCOMM, Inc. | 377,405 | 34,423,110 |
Texas Instruments, Inc. | 156,134 | 19,824,334 |
Total | 88,979,986 | |
Software 2.8% | ||
Microsoft Corp. | 188,844 | 38,431,642 |
Total Information Technology | 159,519,084 | |
Materials 4.2% | ||
Chemicals 2.7% | ||
CF Industries Holdings, Inc. | 376,535 | 10,595,695 |
DuPont de Nemours, Inc. | 481,247 | 25,568,653 |
Total | 36,164,348 |
70 | Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – T. Rowe Price Large Cap Value Fund, June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Containers & Packaging 1.5% | ||
International Paper Co. | 572,859 | 20,170,365 |
Total Materials | 56,334,713 | |
Real Estate 2.3% | ||
Equity Real Estate Investment Trusts (REITS) 2.3% | ||
SL Green Realty Corp. | 202,411 | 9,976,838 |
Weyerhaeuser Co. | 946,352 | 21,255,066 |
Total | 31,231,904 | |
Total Real Estate | 31,231,904 | |
Utilities 7.2% | ||
Electric Utilities 5.4% | ||
Edison International | 313,783 | 17,041,555 |
NextEra Energy, Inc. | 85,929 | 20,637,568 |
Southern Co. (The) | 688,403 | 35,693,695 |
Total | 73,372,818 | |
Multi-Utilities 1.8% | ||
Ameren Corp. | 86,550 | 6,089,658 |
CenterPoint Energy, Inc. | 555,031 | 10,362,429 |
Sempra Energy | 66,116 | 7,750,779 |
Total | 24,202,866 | |
Total Utilities | 97,575,684 | |
Total Common Stocks (Cost $1,362,524,129) | 1,322,347,494 |
Convertible Preferred Stocks 1.6% | |||
Issuer | Shares | Value ($) | |
Health Care 0.3% | |||
Health Care Equipment & Supplies 0.3% | |||
Becton Dickinson and Co. | 6.000% | 73,945 | 3,907,254 |
Total Health Care | 3,907,254 |
Convertible Preferred Stocks (continued) | |||
Issuer | Shares | Value ($) | |
Utilities 1.3% | |||
Electric Utilities 0.4% | |||
Southern Co. (The) | 6.750% | 131,961 | 5,814,201 |
Multi-Utilities 0.9% | |||
Sempra Energy | 6.000% | 92,320 | 9,024,992 |
Sempra Energy | 6.750% | 25,254 | 2,481,458 |
Total | 11,506,450 | ||
Total Utilities | 17,320,651 | ||
Total Convertible Preferred Stocks (Cost $22,107,212) | 21,227,905 | ||
Preferred Stocks 0.0% | |||
Health Care 0.0% | |||
Pharmaceuticals 0.0% | |||
Elanco Animal Health, Inc. | 5.000% | 12,718 | 493,532 |
Total Health Care | 493,532 | ||
Total Preferred Stocks (Cost $635,900) | 493,532 |
Money Market Funds 0.3% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(b),(c) | 4,694,217 | 4,694,217 |
Total Money Market Funds (Cost $4,694,217) | 4,694,217 | |
Total Investments in Securities (Cost: $1,389,961,458) | 1,348,763,148 | |
Other Assets & Liabilities, Net | 6,489,384 | |
Net Assets | 1,355,252,532 |
Variable Portfolio Funds | Semiannual Report 2020 | 71 |
CTIVP® – T. Rowe Price Large Cap Value Fund, June 30, 2020 (Unaudited)
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | ||||||||
33,924,102 | 99,890,204 | (129,122,170) | 2,081 | 4,694,217 | 8,618 | 110,554 | 4,694,217 |
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). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 69,671,649 | — | — | 69,671,649 |
Consumer Discretionary | 31,076,303 | — | — | 31,076,303 |
Consumer Staples | 121,329,795 | — | — | 121,329,795 |
72 | Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – T. Rowe Price Large Cap Value Fund, June 30, 2020 (Unaudited)
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Energy | 105,144,034 | — | — | 105,144,034 |
Financials | 278,119,910 | — | — | 278,119,910 |
Health Care | 228,416,215 | — | — | 228,416,215 |
Industrials | 143,928,203 | — | — | 143,928,203 |
Information Technology | 159,519,084 | — | — | 159,519,084 |
Materials | 56,334,713 | — | — | 56,334,713 |
Real Estate | 31,231,904 | — | — | 31,231,904 |
Utilities | 97,575,684 | — | — | 97,575,684 |
Total Common Stocks | 1,322,347,494 | — | — | 1,322,347,494 |
Convertible Preferred Stocks | ||||
Health Care | — | 3,907,254 | — | 3,907,254 |
Utilities | — | 17,320,651 | — | 17,320,651 |
Total Convertible Preferred Stocks | — | 21,227,905 | — | 21,227,905 |
Preferred Stocks | ||||
Health Care | — | 493,532 | — | 493,532 |
Total Preferred Stocks | — | 493,532 | — | 493,532 |
Money Market Funds | 4,694,217 | — | — | 4,694,217 |
Total Investments in Securities | 1,327,041,711 | 21,721,437 | — | 1,348,763,148 |
Variable Portfolio Funds | Semiannual Report 2020 | 73 |
CTIVP® – TCW Core Plus Bond Fund, June 30, 2020 (Unaudited)
Asset-Backed Securities — Non-Agency 4.7% | ||||
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 | 2.069% | 6,697,508 | 6,602,718 | |
Apidos CLO XXII(a),(b) | ||||
Series 2015-22A Class A1R | ||||
3-month USD LIBOR + 1.060% 04/20/2031 | 2.195% | 8,000,000 | 7,794,176 | |
BlueMountain CLO Ltd.(a),(b) | ||||
Series 2015-2A Class A1R | ||||
3-month USD LIBOR + 0.930% Floor 0.930% 07/18/2027 | 2.065% | 7,203,153 | 7,096,957 | |
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 | 0.985% | 3,090,000 | 2,963,034 | |
Global SC Finance II SRL(a) | ||||
Series 2014-1A Class A2 | ||||
07/17/2029 | 3.090% | 2,251,959 | 2,142,724 | |
Henderson Receivables LLC(a) | ||||
Series 2014-2A Class A | ||||
01/17/2073 | 3.610% | 2,650,593 | 2,866,260 | |
Higher Education Funding I(a),(b) | ||||
Series 2014-1 Class A | ||||
3-month USD LIBOR + 1.050% Floor 1.050% 05/25/2034 | 1.410% | 2,438,780 | 2,322,295 | |
LCM(a),(b) | ||||
Series 2019A Class AR | ||||
3-month USD LIBOR + 1.240% Floor 1.240% 07/15/2027 | 2.459% | 8,000,000 | 7,903,232 | |
Magnetite XXI Ltd.(a),(b) | ||||
Series 2019-21A Class A | ||||
3-month USD LIBOR + 1.280% Floor 1.280% 04/20/2030 | 2.415% | 6,400,000 | 6,319,264 | |
Navient Student Loan Trust(b) | ||||
Series 2014-1 Class A3 | ||||
1-month USD LIBOR + 0.510% Floor 0.510% 06/25/2031 | 0.695% | 5,445,065 | 5,165,398 | |
Series 2014-2 Class A | ||||
1-month USD LIBOR + 0.640% Floor 0.640% 03/25/2083 | 0.825% | 5,169,493 | 4,753,962 |
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 | 0.805% | 5,483,310 | 5,009,058 | |
Series 2014-4 Class A | ||||
1-month USD LIBOR + 0.620% Floor 0.620% 03/25/2083 | 0.805% | 3,972,448 | 3,633,280 | |
Series 2015-2 Class A3 | ||||
1-month USD LIBOR + 0.570% Floor 0.570% 11/26/2040 | 0.755% | 10,125,621 | 9,272,276 | |
Navient Student Loan Trust(a),(b) | ||||
Series 2016-2 Class A3 | ||||
1-month USD LIBOR + 1.500% 06/25/2065 | 1.685% | 7,950,000 | 7,911,457 | |
Series 2017-3A Class A3 | ||||
1-month USD LIBOR + 1.050% 07/26/2066 | 1.235% | 7,900,000 | 7,629,155 | |
Nelnet Student Loan Trust(a),(b) | ||||
Series 2014-4A Class A2 | ||||
1-month USD LIBOR + 0.950% Floor 0.950% 11/25/2048 | 1.135% | 4,345,000 | 3,837,567 | |
SLC Student Loan Trust(b) | ||||
Series 2006-1 Class B | ||||
3-month USD LIBOR + 0.210% Floor 0.210% 03/15/2055 | 0.951% | 377,397 | 325,876 | |
SLM Student Loan Trust(a),(b) | ||||
Series 2004-3 Class A6A | ||||
3-month USD LIBOR + 0.550% Floor 0.550% 10/25/2064 | 1.541% | 7,479,645 | 7,106,840 | |
Series 2009-3 Class A | ||||
1-month USD LIBOR + 0.750% Floor 0.750% 01/25/2045 | 0.935% | 3,154,400 | 2,968,073 | |
SLM Student Loan Trust(b) | ||||
Series 2007-3 Class A4 | ||||
3-month USD LIBOR + 0.060% Floor 0.060% 01/25/2022 | 1.051% | 10,913,223 | 10,516,864 | |
Series 2007-7 Class A4 | ||||
3-month USD LIBOR + 0.330% 01/25/2022 | 1.321% | 5,314,618 | 5,022,361 |
74 | Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – TCW Core Plus Bond Fund, June 30, 2020 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2007-7 Class B | ||||
3-month USD LIBOR + 0.750% Floor 0.750% 10/27/2070 | 1.741% | 1,990,000 | 1,562,488 | |
Series 2008-4 Class A4 | ||||
3-month USD LIBOR + 1.650% Floor 1.650% 07/25/2022 | 2.641% | 1,525,598 | 1,492,767 | |
Series 2008-5 Class B | ||||
3-month USD LIBOR + 1.850% Floor 1.850% 07/25/2073 | 2.841% | 5,860,000 | 5,307,241 | |
Series 2008-6 Class A4 | ||||
3-month USD LIBOR + 1.100% 07/25/2023 | 2.091% | 5,373,646 | 5,112,405 | |
Series 2008-8 Class A4 | ||||
3-month USD LIBOR + 1.500% Floor 1.500% 04/25/2023 | 2.491% | 1,339,314 | 1,326,174 | |
Series 2008-9 Class B | ||||
3-month USD LIBOR + 2.250% Floor 2.250% 10/25/2083 | 3.241% | 5,775,000 | 5,489,427 | |
Wachovia Student Loan Trust(a),(b) | ||||
Series 2006-1 Class A6 | ||||
3-month USD LIBOR + 0.170% Floor 0.170% 04/25/2040 | 1.161% | 11,245,451 | 10,607,175 | |
Total Asset-Backed Securities — Non-Agency (Cost $156,716,560) | 150,060,504 | |||
Commercial Mortgage-Backed Securities - Agency 1.4% | ||||
Federal Home Loan Mortgage Corp. Multiclass Certificates(c),(d) | ||||
Series 2020-RR06 Class AX | ||||
10/27/2028 | 1.878% | 5,815,000 | 750,992 | |
Series 2020-RR06 Class BX | ||||
05/27/2033 | 1.836% | 5,475,000 | 928,988 | |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates | ||||
Series K155 Class A3 | ||||
04/25/2033 | 3.750% | 6,990,000 | 8,665,413 | |
Series S8FX Class A2 | ||||
03/25/2027 | 3.291% | 13,225,000 | 14,727,470 | |
Federal National Mortgage Association | ||||
11/01/2037 | 3.210% | 6,985,178 | 8,168,027 | |
04/01/2040 | 2.455% | 4,525,000 | 4,586,796 | |
Series 2001-M2 Class Z2 | ||||
06/25/2031 | 6.300% | 27,393 | 27,519 | |
Federal National Mortgage Association(c),(d) | ||||
Series 2020-M10 Class X1 | ||||
12/25/2030 | 1.923% | 8,727,594 | 1,286,065 |
Commercial Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2020-M10 Class X2 | ||||
12/25/2030 | 1.826% | 18,247,655 | 2,582,987 | |
Series 2020-M10 Class X3 | ||||
11/25/2028 | 1.438% | 7,385,997 | 679,600 | |
Series 2020-M10 Class X4 | ||||
07/25/2032 | 0.999% | 6,383,946 | 535,508 | |
Series 2020-M10 Class X5 | ||||
11/25/2028 | 1.554% | 7,280,000 | 755,928 | |
Series 2020-M10 Class X6 | ||||
08/25/2028 | 1.497% | 7,680,000 | 756,313 | |
Series 2020-M10 Class X8 | ||||
12/25/2027 | 0.776% | 7,050,000 | 297,874 | |
Series 2020-M10 Class X9 | ||||
12/25/2027 | 0.981% | 6,092,115 | 284,664 | |
Government National Mortgage Association(c),(d) | ||||
CMO Series 2011-121 Class | ||||
06/16/2043 | 0.122% | 3,612,322 | 13,458 | |
CMO Series 2011-78 Class IX | ||||
08/16/2046 | 0.088% | 2,479,467 | 26,080 | |
CMO Series 2012-55 Class | ||||
04/16/2052 | 0.206% | 1,402,971 | 6,842 | |
Government National Mortgage Association(d) | ||||
CMO Series 2012-125 Class IK | ||||
08/16/2052 | 0.561% | 9,581,985 | 62,387 | |
Total Commercial Mortgage-Backed Securities - Agency (Cost $43,658,546) | 45,142,911 | |||
Commercial Mortgage-Backed Securities - Non-Agency 0.8% | ||||
BB-UBS Trust(a) | ||||
Series 2012-SHOW Class A | ||||
11/05/2036 | 3.430% | 2,620,000 | 2,583,981 | |
BX Trust(a) | ||||
Series 2019-OC11 Class A | ||||
12/09/2041 | 3.202% | 1,355,000 | 1,413,667 | |
Commercial Mortgage Trust(a) | ||||
Series 2016-787S Class A | ||||
02/10/2036 | 3.545% | 3,095,000 | 3,352,806 | |
DBJPM Mortgage Trust(a) | ||||
Series 2016-SFC Class A | ||||
08/10/2036 | 2.833% | 3,800,000 | 3,655,032 | |
Hudson Yards Mortgage Trust(a) | ||||
Series 2019-30HY Class A | ||||
07/10/2039 | 3.228% | 2,770,000 | 3,099,205 | |
JPMorgan Chase Commercial Mortgage Securities Trust(a) | ||||
Series 2019-OSB Class A | ||||
06/05/2039 | 3.397% | 2,720,000 | 3,023,752 |
Variable Portfolio Funds | Semiannual Report 2020 | 75 |
CTIVP® – TCW Core Plus Bond Fund, June 30, 2020 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
MKT Mortgage Trust(a) | ||||
Series 2020-525M Class A | ||||
02/12/2040 | 2.694% | 3,690,000 | 3,886,783 | |
Natixis Commercial Mortgage Securities Trust(a) | ||||
Series 2020-2PAC Class A | ||||
01/15/2025 | 2.966% | 2,825,000 | 2,922,494 | |
RBS Commercial Funding, Inc., Trust(a),(c) | ||||
Series 2013-GSP Class A | ||||
01/15/2032 | 3.961% | 3,035,000 | 3,083,993 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $26,527,141) | 27,021,713 | |||
Commercial Paper 0.3% | ||||
Issuer | Effective Yield | Principal Amount ($) | Value ($) | |
Automotive 0.3% | ||||
Ford Motor Credit Co. LLC(a) | ||||
10/08/2020 | 3.760% | 8,490,000 | 8,403,351 | |
Total Commercial Paper (Cost $8,417,623) | 8,403,351 |
Common Stocks 0.0% | ||
Issuer | Shares | Value ($) |
Utilities 0.0% | ||
Electric Utilities 0.0% | ||
Homer City Holdings(e) | 32,056 | 120,210 |
Total Utilities | 120,210 | |
Total Common Stocks (Cost $1,930,228) | 120,210 |
Corporate Bonds & Notes 28.6% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Aerospace & Defense 0.2% | ||||
BAE Systems PLC(a) | ||||
04/15/2030 | 3.400% | 3,155,000 | 3,437,881 | |
Northrop Grumman Corp. | ||||
05/01/2050 | 5.250% | 2,190,000 | 3,156,252 | |
Total | 6,594,133 | |||
Airlines 0.6% | ||||
America West Airlines Pass-Through Trust | ||||
04/02/2021 | 7.100% | 876,767 | 701,161 | |
American Airlines Pass-Through Trust | ||||
01/31/2021 | 5.250% | 1,038,862 | 875,863 | |
01/15/2023 | 4.950% | 923,815 | 741,482 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Continental Airlines Pass-Through Trust | ||||
06/15/2021 | 6.703% | 123,454 | 124,280 | |
04/19/2022 | 5.983% | 7,293,557 | 6,783,561 | |
Delta Air Lines Pass-Through Trust | ||||
06/10/2028 | 2.000% | 9,000,000 | 8,582,951 | |
Total | 17,809,298 | |||
Apartment REIT 0.1% | ||||
Post Apartment Homes LP | ||||
12/01/2022 | 3.375% | 2,315,000 | 2,416,704 | |
Automotive 1.6% | ||||
Daimler Finance North America LLC(a) | ||||
10/30/2021 | 2.200% | 4,235,000 | 4,289,948 | |
Daimler Finance North America LLC(a),(b) | ||||
3-month USD LIBOR + 0.900% 02/15/2022 | 1.292% | 3,000,000 | 2,959,710 | |
Ford Motor Credit Co. LLC | ||||
11/02/2020 | 2.343% | 3,000,000 | 3,000,326 | |
01/15/2021 | 3.200% | 2,850,000 | 2,810,714 | |
02/01/2021 | 5.750% | 190,000 | 190,807 | |
03/18/2021 | 3.336% | 1,420,000 | 1,405,750 | |
10/12/2021 | 3.813% | 1,955,000 | 1,937,116 | |
01/07/2022 | 5.596% | 1,082,000 | 1,090,265 | |
03/28/2022 | 3.339% | 3,060,000 | 2,975,561 | |
Ford Motor Credit Co. LLC(b) | ||||
3-month USD LIBOR + 0.810% 04/05/2021 | 2.183% | 2,000,000 | 1,919,307 | |
3-month USD LIBOR + 0.880% 10/12/2021 | 2.191% | 2,095,000 | 1,974,658 | |
3-month USD LIBOR + 1.270% 03/28/2022 | 1.576% | 6,300,000 | 5,915,120 | |
3-month USD LIBOR + 1.080% 08/03/2022 | 1.636% | 1,940,000 | 1,768,766 | |
General Motors Co. | ||||
10/02/2023 | 4.875% | 1,320,000 | 1,401,704 | |
General Motors Financial Co., Inc. | ||||
07/06/2021 | 3.200% | 1,175,000 | 1,188,083 | |
09/25/2021 | 4.375% | 2,325,000 | 2,387,844 | |
11/06/2021 | 4.200% | 5,934,000 | 6,098,315 | |
04/10/2022 | 3.450% | 3,155,000 | 3,214,022 | |
06/30/2022 | 3.150% | 3,420,000 | 3,475,906 | |
Total | 50,003,922 | |||
Banking 4.8% | ||||
Bank of America Corp. | ||||
10/19/2020 | 2.625% | 2,000,000 | 2,013,163 | |
Bank of America Corp.(f) | ||||
07/21/2021 | 2.369% | 14,195,000 | 14,208,059 | |
12/20/2023 | 3.004% | 8,937,000 | 9,383,299 | |
02/13/2031 | 2.496% | 1,575,000 | 1,652,738 | |
04/29/2031 | 2.592% | 2,200,000 | 2,331,613 |
76 | Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – TCW Core Plus Bond Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
03/20/2051 | 4.083% | 5,278,000 | 6,528,140 | |
Bank of America Corp.(b) | ||||
Subordinated | ||||
3-month USD LIBOR + 0.650% 12/01/2026 | 1.000% | 1,000,000 | 922,461 | |
Citigroup, Inc. | ||||
10/21/2026 | 3.200% | 3,095,000 | 3,395,622 | |
Citigroup, Inc.(f) | ||||
03/31/2031 | 4.412% | 3,110,000 | 3,690,179 | |
06/03/2031 | 2.572% | 5,010,000 | 5,177,705 | |
Fifth Third Bancorp | ||||
05/05/2027 | 2.550% | 4,635,000 | 4,964,431 | |
Global Bank Corp.(a) | ||||
10/20/2021 | 4.500% | 300,000 | 306,336 | |
Goldman Sachs Group, Inc. (The)(f) | ||||
09/29/2025 | 3.272% | 7,485,000 | 8,056,137 | |
06/05/2028 | 3.691% | 1,490,000 | 1,667,404 | |
Goldman Sachs Group, Inc. (The) | ||||
02/07/2030 | 2.600% | 1,645,000 | 1,724,849 | |
JPMorgan Chase & Co.(f) | ||||
12/05/2024 | 4.023% | 6,015,000 | 6,627,083 | |
04/22/2031 | 2.522% | 7,750,000 | 8,186,894 | |
04/22/2051 | 3.109% | 5,000,000 | 5,338,201 | |
JPMorgan Chase & Co. | ||||
06/15/2026 | 3.200% | 3,000,000 | 3,326,544 | |
Lloyds Banking Group PLC(f) | ||||
03/17/2023 | 2.858% | 4,200,000 | 4,326,478 | |
07/09/2025 | 3.870% | 4,114,000 | 4,467,430 | |
Lloyds Banking Group PLC | ||||
03/12/2024 | 3.900% | 3,175,000 | 3,451,661 | |
Morgan Stanley(b) | ||||
SOFR + 0.700% 01/20/2023 | 0.756% | 5,485,000 | 5,460,727 | |
Nationwide Building Society(a),(f) | ||||
04/26/2023 | 3.622% | 4,149,000 | 4,314,848 | |
03/08/2024 | 3.766% | 1,000,000 | 1,056,232 | |
Northern Trust Corp. | ||||
05/01/2030 | 1.950% | 7,500,000 | 7,739,435 | |
Santander UK Group Holdings PLC(f) | ||||
11/15/2024 | 4.796% | 1,500,000 | 1,657,899 | |
Wells Fargo & Co. | ||||
07/22/2020 | 2.600% | 4,065,000 | 4,069,746 | |
Wells Fargo & Co.(f) | ||||
06/02/2028 | 2.393% | 3,830,000 | 3,957,072 | |
10/30/2030 | 2.879% | 2,945,000 | 3,143,799 | |
02/11/2031 | 2.572% | 4,780,000 | 4,997,649 | |
04/30/2041 | 3.068% | 4,635,000 | 4,837,754 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
04/04/2051 | 5.013% | 7,745,000 | 10,748,868 | |
Total | 153,730,456 | |||
Brokerage/Asset Managers/Exchanges 0.1% | ||||
Raymond James Financial, Inc. | ||||
04/01/2030 | 4.650% | 301,000 | 358,534 | |
07/15/2046 | 4.950% | 2,180,000 | 2,639,005 | |
Total | 2,997,539 | |||
Cable and Satellite 0.7% | ||||
CCO Holdings LLC/Capital Corp.(a) | ||||
06/01/2029 | 5.375% | 1,068,000 | 1,126,664 | |
08/15/2030 | 4.500% | 3,836,000 | 3,912,280 | |
05/01/2032 | 4.500% | 1,734,000 | 1,757,178 | |
Charter Communications Operating LLC/Capital | ||||
10/23/2045 | 6.484% | 450,000 | 596,842 | |
04/01/2048 | 5.750% | 935,000 | 1,160,115 | |
03/01/2050 | 4.800% | 870,000 | 982,467 | |
CSC Holdings LLC(a) | ||||
02/01/2028 | 5.375% | 855,000 | 888,036 | |
02/01/2029 | 6.500% | 229,000 | 250,713 | |
Intelsat Jackson Holdings SA(a),(g) | ||||
10/15/2024 | 0.000% | 3,372,000 | 2,029,563 | |
Intelsat Jackson Holdings SA(a) | ||||
07/15/2025 | 9.750% | 2,323,000 | 1,424,509 | |
Time Warner Cable LLC | ||||
11/15/2040 | 5.875% | 3,280,000 | 4,050,750 | |
09/01/2041 | 5.500% | 850,000 | 1,028,169 | |
Virgin Media Secured Finance PLC(a) | ||||
08/15/2026 | 5.500% | 1,000,000 | 1,025,037 | |
05/15/2029 | 5.500% | 1,750,000 | 1,833,195 | |
Total | 22,065,518 | |||
Chemicals 0.2% | ||||
International Flavors & Fragrances, Inc. | ||||
09/26/2048 | 5.000% | 4,005,000 | 4,621,940 | |
Sasol Financing USA LLC | ||||
03/27/2024 | 5.875% | 925,000 | 833,618 | |
Total | 5,455,558 | |||
Consumer Cyclical Services 0.2% | ||||
IHS Markit Ltd.(a) | ||||
11/01/2022 | 5.000% | 1,335,000 | 1,432,980 | |
02/15/2025 | 4.750% | 1,565,000 | 1,762,143 | |
IHS Markit Ltd. | ||||
08/01/2028 | 4.750% | 2,500,000 | 2,932,264 | |
Matthews International Corp.(a) | ||||
12/01/2025 | 5.250% | 706,000 | 643,682 | |
Total | 6,771,069 |
Variable Portfolio Funds | Semiannual Report 2020 | 77 |
CTIVP® – TCW Core Plus Bond Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Consumer Products 0.1% | ||||
Procter & Gamble Co. (The) | ||||
03/25/2030 | 3.000% | 1,560,000 | 1,786,143 | |
Diversified Manufacturing 0.1% | ||||
General Electric Co.(b) | ||||
3-month USD LIBOR + 0.380% 05/05/2026 | 0.921% | 2,000,000 | 1,745,012 | |
General Electric Co. | ||||
03/15/2032 | 6.750% | 1,725,000 | 2,100,714 | |
01/14/2038 | 5.875% | 517,000 | 579,504 | |
Total | 4,425,230 | |||
Electric 1.3% | ||||
AEP Transmission Co. LLC | ||||
04/01/2050 | 3.650% | 305,000 | 353,512 | |
Appalachian Power Co. | ||||
05/15/2033 | 5.950% | 3,225,000 | 4,296,844 | |
Dominion Energy, Inc. | ||||
03/15/2025 | 3.300% | 3,990,000 | 4,350,449 | |
Duke Energy Carolinas LLC | ||||
12/15/2041 | 4.250% | 900,000 | 1,119,926 | |
Entergy Louisiana LLC | ||||
04/01/2025 | 3.780% | 5,900,000 | 6,388,729 | |
ITC Holdings Corp. | ||||
07/01/2023 | 4.050% | 1,740,000 | 1,867,902 | |
11/15/2027 | 3.350% | 1,000,000 | 1,108,655 | |
Metropolitan Edison Co.(a) | ||||
04/15/2025 | 4.000% | 3,000,000 | 3,354,963 | |
Mong Duong Finance Holdings BV(a) | ||||
05/07/2029 | 5.125% | 700,000 | 698,249 | |
Monongahela Power Co.(a) | ||||
12/15/2043 | 5.400% | 2,511,000 | 3,520,172 | |
Northern States Power Co. | ||||
08/15/2045 | 4.000% | 2,250,000 | 2,755,796 | |
PacifiCorp | ||||
07/01/2025 | 3.350% | 2,000,000 | 2,197,775 | |
Pennsylvania Electric Co.(a) | ||||
03/15/2028 | 3.250% | 6,950,000 | 7,591,924 | |
Public Service Co. of Oklahoma | ||||
02/01/2021 | 4.400% | 2,256,000 | 2,305,696 | |
Total | 41,910,592 | |||
Environmental 0.1% | ||||
GFL Environmental, Inc.(a) | ||||
12/15/2026 | 5.125% | 920,000 | 949,748 | |
Republic Services, Inc. | ||||
03/01/2030 | 2.300% | 1,324,000 | 1,381,161 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Waste Pro USA, Inc.(a) | ||||
02/15/2026 | 5.500% | 1,790,000 | 1,707,802 | |
Total | 4,038,711 | |||
Finance Companies 1.4% | ||||
AerCap Ireland Capital DAC/Global Aviation Trust | ||||
05/15/2021 | 4.500% | 3,735,000 | 3,756,853 | |
10/01/2021 | 5.000% | 1,000,000 | 1,011,302 | |
05/26/2022 | 3.500% | 1,375,000 | 1,356,536 | |
AerCap Ireland Capital Ltd./Global Aviation Trust | ||||
02/01/2022 | 3.950% | 2,000,000 | 1,996,569 | |
Air Lease Corp. | ||||
03/01/2025 | 3.250% | 2,810,000 | 2,816,893 | |
Avolon Holdings Funding Ltd.(a) | ||||
05/15/2024 | 5.250% | 2,035,000 | 1,853,407 | |
02/15/2025 | 2.875% | 1,310,000 | 1,103,323 | |
GE Capital Funding LLC(a) | ||||
05/15/2030 | 4.400% | 3,000,000 | 3,118,326 | |
GE Capital International Funding Co. Unlimited Co. | ||||
11/15/2035 | 4.418% | 15,697,000 | 15,896,323 | |
Park Aerospace Holdings Ltd.(a) | ||||
08/15/2022 | 5.250% | 3,375,000 | 3,161,981 | |
03/15/2023 | 4.500% | 5,955,000 | 5,432,722 | |
02/15/2024 | 5.500% | 2,620,000 | 2,397,511 | |
Total | 43,901,746 | |||
Food and Beverage 1.4% | ||||
Anheuser-Busch Companies LLC/InBev Worldwide, Inc. | ||||
02/01/2046 | 4.900% | 4,150,000 | 5,032,380 | |
Anheuser-Busch InBev Worldwide, Inc. | ||||
04/15/2048 | 4.600% | 1,850,000 | 2,162,584 | |
06/01/2050 | 4.500% | 1,785,000 | 2,120,821 | |
Bacardi Ltd.(a) | ||||
05/15/2028 | 4.700% | 970,000 | 1,116,254 | |
05/15/2048 | 5.300% | 1,400,000 | 1,736,075 | |
Kraft Heinz Foods Co. (The) | ||||
07/15/2035 | 5.000% | 1,770,000 | 1,946,922 | |
06/04/2042 | 5.000% | 5,304,000 | 5,532,588 | |
07/15/2045 | 5.200% | 7,145,000 | 7,741,977 | |
06/01/2046 | 4.375% | 4,965,000 | 4,871,370 | |
Kraft Heinz Foods Co. (The)(a) | ||||
08/01/2039 | 7.125% | 2,284,000 | 2,919,471 | |
10/01/2049 | 4.875% | 4,685,000 | 4,852,835 | |
Lamb Weston Holdings, Inc.(a) | ||||
11/01/2024 | 4.625% | 926,000 | 960,557 | |
Post Holdings, Inc.(a) | ||||
08/15/2026 | 5.000% | 1,000,000 | 1,004,738 | |
03/01/2027 | 5.750% | 2,000,000 | 2,062,759 | |
Total | 44,061,331 |
78 | Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – TCW Core Plus Bond Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Gaming 0.6% | ||||
Churchill Downs, Inc.(a) | ||||
04/01/2027 | 5.500% | 3,184,000 | 3,115,855 | |
01/15/2028 | 4.750% | 465,000 | 445,978 | |
Colt Merger Sub, Inc.(a),(h) | ||||
07/01/2025 | 6.250% | 957,000 | 953,714 | |
GLP Capital LP/Financing II, Inc. | ||||
11/01/2023 | 5.375% | 2,120,000 | 2,265,040 | |
09/01/2024 | 3.350% | 1,800,000 | 1,811,821 | |
06/01/2025 | 5.250% | 2,185,000 | 2,375,609 | |
04/15/2026 | 5.375% | 550,000 | 601,784 | |
06/01/2028 | 5.750% | 870,000 | 963,950 | |
01/15/2029 | 5.300% | 2,325,000 | 2,515,816 | |
01/15/2030 | 4.000% | 1,615,000 | 1,600,972 | |
MGM Growth Properties Operating Partnership LP/Finance Co-Issuer, Inc. | ||||
05/01/2024 | 5.625% | 1,036,000 | 1,072,514 | |
Total | 17,723,053 | |||
Health Care 2.8% | ||||
Advocate Health & Hospitals Corp. | ||||
06/15/2030 | 2.211% | 2,065,000 | 2,096,347 | |
06/15/2050 | 3.008% | 1,400,000 | 1,452,338 | |
Becton Dickinson and Co.(b) | ||||
3-month USD LIBOR + 0.875% 12/29/2020 | 1.181% | 2,998,000 | 2,995,262 | |
Becton Dickinson and Co. | ||||
06/06/2022 | 2.894% | 2,000,000 | 2,070,306 | |
06/06/2024 | 3.363% | 1,380,000 | 1,485,296 | |
Cigna Corp. | ||||
03/15/2030 | 2.400% | 2,640,000 | 2,740,155 | |
08/15/2038 | 4.800% | 5,000,000 | 6,334,967 | |
12/15/2048 | 4.900% | 2,390,000 | 3,150,292 | |
Cigna Corp.(a) | ||||
10/15/2047 | 3.875% | 1,190,000 | 1,344,839 | |
CVS Health Corp. | ||||
07/20/2045 | 5.125% | 2,090,000 | 2,699,202 | |
03/25/2048 | 5.050% | 11,070,000 | 14,470,699 | |
Encompass Health Corp. | ||||
02/01/2030 | 4.750% | 1,241,000 | 1,190,202 | |
Hartford HealthCare Corp. | ||||
04/01/2044 | 5.746% | 3,000,000 | 3,646,547 | |
HCA, Inc. | ||||
05/01/2023 | 4.750% | 625,000 | 676,620 | |
04/15/2025 | 5.250% | 2,188,000 | 2,507,162 | |
06/15/2026 | 5.250% | 2,990,000 | 3,449,797 | |
06/15/2039 | 5.125% | 2,000,000 | 2,328,316 | |
06/15/2049 | 5.250% | 3,250,000 | 3,894,282 | |
IQVIA, Inc.(a) | ||||
05/15/2027 | 5.000% | 821,000 | 837,321 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Kaiser Foundation Hospitals | ||||
04/01/2042 | 4.875% | 1,800,000 | 2,451,163 | |
NYU Langone Hospitals | ||||
07/01/2042 | 4.428% | 5,936,000 | 6,756,222 | |
07/01/2055 | 3.380% | 1,915,000 | 1,851,160 | |
Partners Healthcare System, Inc. | ||||
07/01/2060 | 3.342% | 2,858,000 | 3,033,069 | |
Teleflex, Inc. | ||||
11/15/2027 | 4.625% | 752,000 | 790,681 | |
Tenet Healthcare Corp. | ||||
07/15/2024 | 4.625% | 850,000 | 832,567 | |
Tenet Healthcare Corp.(a) | ||||
01/01/2026 | 4.875% | 3,790,000 | 3,713,796 | |
11/01/2027 | 5.125% | 390,000 | 385,810 | |
Thermo Fisher Scientific, Inc. | ||||
03/25/2030 | 4.497% | 5,623,000 | 6,928,531 | |
Zimmer Biomet Holdings, Inc. | ||||
03/20/2030 | 3.550% | 3,175,000 | 3,427,700 | |
Total | 89,540,649 | |||
Healthcare Insurance 0.9% | ||||
Anthem, Inc. | ||||
08/15/2021 | 3.700% | 2,355,000 | 2,417,836 | |
05/15/2022 | 3.125% | 3,000,000 | 3,140,934 | |
12/01/2047 | 4.375% | 1,500,000 | 1,864,261 | |
Centene Corp.(a) | ||||
04/01/2025 | 5.250% | 530,000 | 545,427 | |
Centene Corp. | ||||
02/15/2030 | 3.375% | 4,500,000 | 4,540,321 | |
Humana, Inc. | ||||
04/01/2030 | 4.875% | 1,333,000 | 1,648,330 | |
Molina Healthcare, Inc. | ||||
11/15/2022 | 5.375% | 1,677,000 | 1,725,900 | |
Molina Healthcare, Inc.(a) | ||||
06/15/2028 | 4.375% | 3,208,000 | 3,209,485 | |
UnitedHealth Group, Inc. | ||||
01/15/2047 | 4.200% | 1,500,000 | 1,888,559 | |
12/15/2048 | 4.450% | 1,245,000 | 1,642,934 | |
08/15/2049 | 3.700% | 590,000 | 701,097 | |
08/15/2059 | 3.875% | 2,035,000 | 2,488,221 | |
05/15/2060 | 3.125% | 1,510,000 | 1,614,083 | |
Total | 27,427,388 | |||
Healthcare REIT 0.2% | ||||
HCP, Inc. | ||||
11/15/2023 | 4.250% | 163,000 | 177,775 | |
08/15/2024 | 3.875% | 2,000,000 | 2,199,491 |
Variable Portfolio Funds | Semiannual Report 2020 | 79 |
CTIVP® – TCW Core Plus Bond Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Ventas Realty LP | ||||
10/15/2026 | 3.250% | 4,095,000 | 4,195,312 | |
Total | 6,572,578 | |||
Independent Energy 0.3% | ||||
Antero Resources Corp. | ||||
12/01/2022 | 5.125% | 1,192,000 | 861,022 | |
03/01/2025 | 5.000% | 2,918,000 | 1,731,935 | |
Canadian Natural Resources Ltd. | ||||
06/01/2027 | 3.850% | 1,200,000 | 1,283,110 | |
EQT Corp. | ||||
10/01/2027 | 3.900% | 2,125,000 | 1,727,832 | |
Hess Corp. | ||||
02/15/2041 | 5.600% | 2,000,000 | 2,098,281 | |
Marathon Oil Corp. | ||||
07/15/2023 | 8.125% | 2,000,000 | 2,219,475 | |
Range Resources Corp. | ||||
05/15/2025 | 4.875% | 493,000 | 372,075 | |
Total | 10,293,730 | |||
Integrated Energy 0.8% | ||||
BP Capital Markets America, Inc. | ||||
04/06/2030 | 3.633% | 4,730,000 | 5,365,217 | |
02/24/2050 | 3.000% | 1,820,000 | 1,783,450 | |
Chevron Corp. | ||||
05/11/2030 | 2.236% | 3,950,000 | 4,150,695 | |
Exxon Mobil Corp. | ||||
03/19/2030 | 3.482% | 2,625,000 | 2,995,711 | |
10/15/2030 | 2.610% | 855,000 | 916,109 | |
03/19/2040 | 4.227% | 1,915,000 | 2,315,010 | |
03/19/2050 | 4.327% | 6,665,000 | 8,340,022 | |
04/15/2051 | 3.452% | 810,000 | 896,495 | |
Total | 26,762,709 | |||
Leisure 0.0% | ||||
Live Nation Entertainment, Inc.(a) | ||||
10/15/2027 | 4.750% | 947,000 | 817,235 | |
Life Insurance 0.6% | ||||
Massachusetts Mutual Life Insurance Co.(a) | ||||
Subordinated | ||||
04/15/2050 | 3.375% | 3,205,000 | 3,294,254 | |
Metropolitan Life Global Funding I(a) | ||||
04/09/2030 | 2.950% | 4,000,000 | 4,382,696 | |
New York Life Insurance Co.(a) | ||||
Subordinated | ||||
05/15/2050 | 3.750% | 4,400,000 | 4,965,258 | |
Teachers Insurance & Annuity Association of America(a) | ||||
Subordinated | ||||
05/15/2050 | 3.300% | 1,000,000 | 1,040,985 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Teachers Insurance & Annuity Association of America(a),(f) | ||||
Subordinated | ||||
09/15/2054 | 4.375% | 3,920,000 | 4,142,666 | |
Total | 17,825,859 | |||
Media and Entertainment 0.4% | ||||
Walt Disney Co. (The) | ||||
01/13/2031 | 2.650% | 2,355,000 | 2,503,410 | |
03/23/2040 | 4.625% | 3,500,000 | 4,378,299 | |
01/13/2051 | 3.600% | 4,795,000 | 5,321,978 | |
Total | 12,203,687 | |||
Metals and Mining 0.0% | ||||
Volcan Cia Minera SAA(a) | ||||
02/02/2022 | 5.375% | 150,000 | 142,545 | |
Midstream 1.4% | ||||
Enbridge Energy Partners LP | ||||
10/15/2025 | 5.875% | 2,500,000 | 2,982,621 | |
Energy Transfer Operating LP | ||||
06/01/2027 | 5.500% | 341,000 | 380,917 | |
05/15/2030 | 3.750% | 4,670,000 | 4,639,490 | |
05/15/2050 | 5.000% | 1,090,000 | 1,033,304 | |
Energy Transfer Partners LP | ||||
02/01/2042 | 6.500% | 1,525,000 | 1,663,831 | |
03/15/2045 | 5.150% | 3,048,000 | 2,895,641 | |
EQT Midstream Partners LP | ||||
07/15/2028 | 5.500% | 695,000 | 661,875 | |
Kinder Morgan Energy Partners LP | ||||
03/15/2035 | 5.800% | 1,000,000 | 1,150,886 | |
Plains All American Pipeline LP/Finance Corp. | ||||
10/15/2025 | 4.650% | 1,973,000 | 2,107,751 | |
12/15/2026 | 4.500% | 2,000,000 | 2,119,711 | |
Rockies Express Pipeline LLC(a) | ||||
07/15/2029 | 4.950% | 910,000 | 847,890 | |
04/15/2040 | 6.875% | 1,890,000 | 1,815,834 | |
Sabine Pass Liquefaction LLC | ||||
03/15/2027 | 5.000% | 2,500,000 | 2,791,883 | |
Sabine Pass Liquefaction LLC(a) | ||||
05/15/2030 | 4.500% | 5,000,000 | 5,545,214 | |
Sunoco Logistics Partners Operations LP | ||||
05/15/2045 | 5.350% | 925,000 | 901,709 | |
Targa Resources Partners LP/Finance Corp. | ||||
01/15/2029 | 6.875% | 899,000 | 941,878 | |
TC PipeLines LP | ||||
05/25/2027 | 3.900% | 4,500,000 | 4,731,687 |
80 | Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – TCW Core Plus Bond Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Williams Companies, Inc. (The) | ||||
11/15/2023 | 4.500% | 2,200,000 | 2,410,467 | |
09/15/2025 | 4.000% | 2,350,000 | 2,603,048 | |
04/15/2040 | 6.300% | 1,000,000 | 1,206,335 | |
Total | 43,431,972 | |||
Office REIT 0.4% | ||||
Boston Properties LP | ||||
05/15/2021 | 4.125% | 1,351,000 | 1,377,353 | |
01/30/2031 | 3.250% | 3,575,000 | 3,856,240 | |
Piedmont Operating Partnership LP | ||||
06/01/2023 | 3.400% | 4,815,000 | 4,907,776 | |
SL Green Operating Partnership LP | ||||
10/15/2022 | 3.250% | 4,000,000 | 4,002,840 | |
Total | 14,144,209 | |||
Oil Field Services 0.1% | ||||
Transocean Phoenix 2 Ltd.(a) | ||||
10/15/2024 | 7.750% | 464,100 | 434,626 | |
Transocean Pontus Ltd.(a) | ||||
08/01/2025 | 6.125% | 1,050,430 | 963,578 | |
Transocean Poseidon Ltd.(a) | ||||
02/01/2027 | 6.875% | 1,227,000 | 1,083,259 | |
Transocean Proteus Ltd.(a) | ||||
12/01/2024 | 6.250% | 364,000 | 334,528 | |
USA Compression Partners LP/Finance Corp. | ||||
09/01/2027 | 6.875% | 684,000 | 652,210 | |
Total | 3,468,201 | |||
Other Industry 0.3% | ||||
Duke University | ||||
10/01/2044 | 2.682% | 2,000,000 | 2,100,554 | |
10/01/2055 | 2.832% | 2,000,000 | 2,102,308 | |
Emory University | ||||
09/01/2050 | 2.969% | 3,175,000 | 3,391,950 | |
PowerTeam Services LLC(a) | ||||
12/04/2025 | 9.033% | 2,981,000 | 3,036,927 | |
Total | 10,631,739 | |||
Other REIT 0.1% | ||||
American Campus Communities Operating Partnership LP | ||||
07/01/2024 | 4.125% | 1,000,000 | 1,048,374 | |
CyrusOne LP/Finance Corp. | ||||
11/15/2024 | 2.900% | 1,000,000 | 1,051,722 | |
Total | 2,100,096 | |||
Packaging 0.2% | ||||
Berry Global Escrow Corp.(a) | ||||
07/15/2026 | 4.875% | 582,000 | 587,592 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
OI European Group BV(a) | ||||
03/15/2023 | 4.000% | 135,000 | 132,895 | |
Sealed Air Corp.(a) | ||||
12/01/2022 | 4.875% | 1,022,000 | 1,057,041 | |
09/15/2025 | 5.500% | 591,000 | 639,770 | |
Trivium Packaging Finance BV(a) | ||||
08/15/2026 | 5.500% | 4,000,000 | 4,063,746 | |
Total | 6,481,044 | |||
Paper 0.0% | ||||
WRKCo, Inc. | ||||
03/15/2029 | 4.900% | 1,460,000 | 1,737,892 | |
Pharmaceuticals 1.7% | ||||
AbbVie, Inc.(a) | ||||
10/01/2022 | 3.250% | 2,000,000 | 2,094,580 | |
06/15/2024 | 3.850% | 3,057,000 | 3,357,061 | |
03/15/2025 | 3.800% | 1,450,000 | 1,607,201 | |
03/15/2035 | 4.550% | 530,000 | 642,424 | |
11/21/2039 | 4.050% | 1,425,000 | 1,666,066 | |
11/21/2049 | 4.250% | 6,930,000 | 8,388,299 | |
AbbVie, Inc. | ||||
11/06/2042 | 4.400% | 1,500,000 | 1,806,629 | |
05/14/2045 | 4.700% | 1,000,000 | 1,245,454 | |
05/14/2046 | 4.450% | 1,425,000 | 1,740,965 | |
11/14/2048 | 4.875% | 1,100,000 | 1,434,945 | |
Amgen, Inc. | ||||
05/01/2045 | 4.400% | 1,375,000 | 1,704,413 | |
06/15/2051 | 4.663% | 1,230,000 | 1,637,815 | |
Bausch Health Companies, Inc.(a) | ||||
11/01/2025 | 5.500% | 846,000 | 866,906 | |
04/01/2026 | 9.250% | 252,000 | 273,183 | |
Bayer US Finance II LLC(a) | ||||
07/15/2024 | 3.375% | 2,860,000 | 3,094,130 | |
12/15/2025 | 4.250% | 1,835,000 | 2,108,422 | |
12/15/2028 | 4.375% | 6,405,000 | 7,491,737 | |
06/25/2038 | 4.625% | 2,925,000 | 3,541,536 | |
06/25/2048 | 4.875% | 6,145,000 | 7,787,880 | |
Bayer US Finance LLC(a) | ||||
10/08/2024 | 3.375% | 3,000,000 | 3,266,859 | |
Total | 55,756,505 | |||
Property & Casualty 0.7% | ||||
Aon Corp. | ||||
05/15/2030 | 2.800% | 4,755,000 | 5,090,427 | |
Berkshire Hathaway Finance Corp. | ||||
08/15/2048 | 4.200% | 1,240,000 | 1,569,442 | |
Farmers Exchange Capital(a) | ||||
Subordinated | ||||
07/15/2028 | 7.050% | 3,225,000 | 3,980,395 |
Variable Portfolio Funds | Semiannual Report 2020 | 81 |
CTIVP® – TCW Core Plus Bond Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Farmers Exchange Capital II(a),(f) | ||||
Subordinated | ||||
11/01/2053 | 6.151% | 3,810,000 | 4,691,667 | |
Marsh & McLennan Companies, Inc. | ||||
11/15/2030 | 2.250% | 5,000,000 | 5,200,226 | |
Nationwide Mutual Insurance Co.(a),(b) | ||||
Subordinated | ||||
3-month USD LIBOR + 2.290% 12/15/2024 | 2.603% | 2,815,000 | 2,774,605 | |
Total | 23,306,762 | |||
Restaurants 0.2% | ||||
McDonald’s Corp. | ||||
09/01/2049 | 3.625% | 1,435,000 | 1,590,121 | |
Starbucks Corp. | ||||
03/12/2027 | 2.000% | 3,500,000 | 3,667,877 | |
Total | 5,257,998 | |||
Retailers 0.4% | ||||
Alimentation Couche-Tard, Inc.(a) | ||||
07/26/2022 | 2.700% | 1,365,000 | 1,399,854 | |
01/25/2030 | 2.950% | 1,331,000 | 1,370,249 | |
01/25/2050 | 3.800% | 3,355,000 | 3,470,223 | |
Rite Aid Corp.(a) | ||||
04/01/2023 | 6.125% | 1,032,000 | 1,002,893 | |
Walgreens Boots Alliance, Inc. | ||||
06/01/2026 | 3.450% | 1,400,000 | 1,515,671 | |
11/18/2044 | 4.800% | 2,500,000 | 2,703,522 | |
Total | 11,462,412 | |||
Supermarkets 0.1% | ||||
Kroger Co. (The) | ||||
01/15/2049 | 5.400% | 1,325,000 | 1,846,656 | |
Technology 0.7% | ||||
Apple, Inc. | ||||
05/11/2050 | 2.650% | 1,950,000 | 2,045,928 | |
Broadcom Corp./Cayman Finance Ltd. | ||||
01/15/2024 | 3.625% | 5,662,000 | 6,087,044 | |
Broadcom, Inc.(a) | ||||
10/15/2022 | 3.125% | 1,500,000 | 1,562,096 | |
10/15/2024 | 3.625% | 2,960,000 | 3,219,574 | |
Diamond 1 Finance Corp./Diamond 2 Finance Corp.(a) | ||||
06/15/2021 | 4.420% | 2,200,000 | 2,260,996 | |
Fiserv, Inc. | ||||
06/01/2030 | 2.650% | 3,180,000 | 3,369,969 | |
NXP BV/Funding LLC(a) | ||||
06/01/2021 | 4.125% | 1,500,000 | 1,544,323 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
SS&C Technologies, Inc.(a) | ||||
09/30/2027 | 5.500% | 1,067,000 | 1,089,083 | |
Total | 21,179,013 | |||
Tobacco 0.5% | ||||
BAT Capital Corp. | ||||
08/15/2037 | 4.390% | 1,870,000 | 2,039,626 | |
08/15/2047 | 4.540% | 6,792,000 | 7,362,098 | |
Reynolds American, Inc. | ||||
08/15/2035 | 5.700% | 1,185,000 | 1,450,164 | |
08/15/2045 | 5.850% | 4,180,000 | 5,114,176 | |
Total | 15,966,064 | |||
Wireless 1.3% | ||||
Sprint Corp. | ||||
09/15/2023 | 7.875% | 270,000 | 304,400 | |
Sprint Spectrum Co. I/II/III LLC(a) | ||||
09/20/2021 | 3.360% | 2,067,187 | 2,095,400 | |
03/20/2025 | 4.738% | 8,295,000 | 8,983,606 | |
03/20/2028 | 5.152% | 2,780,000 | 3,210,273 | |
T-Mobile U.S.A., Inc. | ||||
03/01/2023 | 6.000% | 2,196,000 | 2,209,217 | |
04/15/2024 | 6.000% | 1,894,000 | 1,932,521 | |
T-Mobile U.S.A., Inc.(a) | ||||
04/15/2030 | 3.875% | 3,000,000 | 3,339,143 | |
04/15/2040 | 4.375% | 3,000,000 | 3,473,154 | |
T-Mobile USA, Inc.(a) | ||||
02/15/2031 | 2.550% | 3,590,000 | 3,615,001 | |
Vodafone Group PLC | ||||
05/30/2048 | 5.250% | 3,085,000 | 4,001,323 | |
06/19/2049 | 4.875% | 4,340,000 | 5,510,315 | |
09/17/2050 | 4.250% | 1,960,000 | 2,284,019 | |
Total | 40,958,372 | |||
Wirelines 1.0% | ||||
AT&T, Inc. | ||||
02/15/2030 | 4.300% | 800,000 | 936,883 | |
05/15/2035 | 4.500% | 620,000 | 731,270 | |
03/01/2037 | 5.250% | 5,640,000 | 6,990,576 | |
08/15/2037 | 4.900% | 540,000 | 649,433 | |
03/01/2039 | 4.850% | 2,796,000 | 3,377,082 | |
12/15/2042 | 4.300% | 1,000,000 | 1,119,875 | |
06/15/2044 | 4.800% | 7,795,000 | 9,029,883 | |
05/15/2046 | 4.750% | 2,360,000 | 2,780,541 | |
C&W Senior Financing DAC(a) | ||||
09/15/2027 | 6.875% | 480,000 | 475,138 | |
Koninklijke KPN NV | ||||
10/01/2030 | 8.375% | 1,300,000 | 1,885,141 | |
Level 3 Financing, Inc. | ||||
05/01/2025 | 5.375% | 2,500,000 | 2,561,540 |
82 | Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – TCW Core Plus Bond Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Level 3 Financing, Inc.(a) | ||||
09/15/2027 | 4.625% | 496,000 | 498,908 | |
Verizon Communications, Inc. | ||||
09/21/2028 | 4.329% | 1,000,000 | 1,205,695 | |
Total | 32,241,965 | |||
Total Corporate Bonds & Notes (Cost $855,629,446) | 907,248,283 | |||
Foreign Government Obligations(i) 1.8% | ||||
Azerbaijan 0.0% | ||||
Southern Gas Corridor CJSC(a) | ||||
03/24/2026 | 6.875% | 800,000 | 920,434 | |
Chile 0.1% | ||||
Corporación Nacional del Cobre de Chile(a) | ||||
01/14/2030 | 3.150% | 635,000 | 661,791 | |
Corporación Nacional del Cobre de Chile(a) | ||||
08/01/2027 | 3.625% | 1,200,000 | 1,285,647 | |
Empresa de Transporte de Pasajeros Metro SA(a) | ||||
05/07/2030 | 3.650% | 520,000 | 558,955 | |
Total | 2,506,393 | |||
Colombia 0.1% | ||||
Colombia Government International Bond | ||||
01/28/2026 | 4.500% | 1,000,000 | 1,085,604 | |
04/25/2027 | 3.875% | 407,000 | 430,515 | |
01/30/2030 | 3.000% | 200,000 | 198,048 | |
05/15/2049 | 5.200% | 1,221,000 | 1,431,276 | |
Total | 3,145,443 | |||
Croatia 0.0% | ||||
Croatia Government International Bond(a) | ||||
01/26/2024 | 6.000% | 1,025,000 | 1,173,893 | |
Dominican Republic 0.1% | ||||
Dominican Republic International Bond(a) | ||||
01/27/2025 | 5.500% | 518,000 | 524,553 | |
07/19/2028 | 6.000% | 1,665,000 | 1,676,370 | |
01/30/2030 | 4.500% | 300,000 | 272,497 | |
Total | 2,473,420 | |||
Egypt 0.0% | ||||
Egypt Government International Bond(a) | ||||
02/21/2023 | 5.577% | 750,000 | 766,137 | |
Indonesia 0.2% | ||||
Indonesia Government International Bond | ||||
02/14/2030 | 2.850% | 701,000 | 716,156 | |
PT Indonesia Asahan Aluminium Persero(a) | ||||
11/15/2028 | 6.530% | 1,200,000 | 1,422,280 |
Foreign Government Obligations(i) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
PT Pertamina Persero(a) | ||||
08/25/2030 | 3.100% | 1,443,000 | 1,449,273 | |
PT Perusahaan Gas Negara Persero Tbk(a) | ||||
05/16/2024 | 5.125% | 1,100,000 | 1,150,422 | |
Total | 4,738,131 | |||
Kazakhstan 0.1% | ||||
KazMunayGas National Co. JSC(a) | ||||
04/19/2047 | 5.750% | 1,355,000 | 1,580,872 | |
Malaysia 0.0% | ||||
Petronas Capital Ltd.(a) | ||||
04/21/2030 | 3.500% | 500,000 | 553,894 | |
Mexico 0.5% | ||||
Banco Nacional de Comercio Exterior SNC(a),(f) | ||||
Subordinated | ||||
08/11/2026 | 3.800% | 300,000 | 292,539 | |
Mexico Government International Bond | ||||
01/11/2028 | 3.750% | 731,000 | 761,976 | |
04/16/2030 | 3.250% | 3,651,000 | 3,620,717 | |
Petroleos Mexicanos | ||||
03/13/2027 | 6.500% | 2,715,000 | 2,470,166 | |
09/21/2047 | 6.750% | 3,348,000 | 2,577,335 | |
Petroleos Mexicanos(a) | ||||
01/23/2050 | 7.690% | 5,375,000 | 4,461,451 | |
01/28/2060 | 6.950% | 1,730,000 | 1,329,121 | |
Total | 15,513,305 | |||
Netherlands 0.1% | ||||
Petrobras Global Finance BV(a) | ||||
01/15/2030 | 5.093% | 1,524,000 | 1,517,854 | |
Panama 0.0% | ||||
Panama Government International Bond | ||||
01/23/2030 | 3.160% | 1,386,000 | 1,493,510 | |
Paraguay 0.0% | ||||
Paraguay Government International Bond(a) | ||||
01/25/2023 | 4.625% | 200,000 | 210,590 | |
Peru 0.1% | ||||
Fondo MIVIVIENDA SA(a) | ||||
01/31/2023 | 3.500% | 500,000 | 514,119 | |
Peruvian Government International Bond | ||||
08/25/2027 | 4.125% | 1,562,000 | 1,792,186 | |
06/20/2030 | 2.844% | 1,382,000 | 1,480,009 | |
Petroleos del Peru SA(a) | ||||
06/19/2032 | 4.750% | 300,000 | 332,768 | |
Total | 4,119,082 |
Variable Portfolio Funds | Semiannual Report 2020 | 83 |
CTIVP® – TCW Core Plus Bond Fund, June 30, 2020 (Unaudited)
Foreign Government Obligations(i) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Qatar 0.1% | ||||
Qatar Government International Bond(a) | ||||
04/23/2028 | 4.500% | 1,956,000 | 2,309,282 | |
06/02/2046 | 4.625% | 729,000 | 942,812 | |
Total | 3,252,094 | |||
Russian Federation 0.1% | ||||
Russian Foreign Bond - Eurobond(a) | ||||
03/21/2029 | 4.375% | 2,200,000 | 2,500,621 | |
Saudi Arabia 0.1% | ||||
Saudi Arabia Government International Bond(a) | ||||
04/17/2025 | 4.000% | 820,000 | 910,381 | |
Saudi Arabian Oil Co.(a) | ||||
04/16/2039 | 4.250% | 200,000 | 223,314 | |
Saudi Government International Bond(a) | ||||
03/04/2028 | 3.625% | 725,000 | 797,197 | |
02/03/2032 | 2.750% | 300,000 | 308,674 | |
10/26/2046 | 4.500% | 740,000 | 854,072 | |
01/21/2055 | 3.750% | 200,000 | 204,623 | |
Total | 3,298,261 | |||
South Africa 0.0% | ||||
Republic of South Africa Government International Bond | ||||
10/12/2028 | 4.300% | 475,000 | 440,859 | |
South Africa Government International Bond | ||||
01/17/2024 | 4.665% | 850,000 | 867,093 | |
Total | 1,307,952 | |||
Turkey 0.0% | ||||
Turkey Government International Bond | ||||
03/23/2023 | 3.250% | 1,070,000 | 1,011,315 | |
United Arab Emirates 0.1% | ||||
Abu Dhabi Government International Bond(a) | ||||
09/30/2029 | 2.500% | 2,014,000 | 2,113,014 | |
DP World Crescent Ltd.(a) | ||||
09/26/2028 | 4.848% | 940,000 | 990,576 | |
Total | 3,103,590 | |||
Uruguay 0.1% | ||||
Uruguay Government International Bond | ||||
10/27/2027 | 4.375% | 1,247,705 | 1,426,130 | |
01/23/2031 | 4.375% | 600,000 | 702,361 | |
Total | 2,128,491 | |||
Total Foreign Government Obligations (Cost $57,594,290) | 57,315,282 | |||
Inflation-Indexed Bonds 3.7% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
United States 3.7% | ||||
U.S. Treasury Inflation-Indexed Bond | ||||
04/15/2025 | 0.125% | 27,931,764 | 29,305,738 | |
07/15/2029 | 0.250% | 37,372,877 | 40,911,239 | |
02/15/2050 | 0.250% | 42,124,837 | 47,281,101 | |
Total | 117,498,078 | |||
Total Inflation-Indexed Bonds (Cost $109,161,001) | 117,498,078 | |||
Municipal Bonds 1.1% | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Higher Education 0.1% | ||||
Health & Educational Facilities Authority of the State of Missouri | ||||
Taxable Revenue Bonds | ||||
Washington University | ||||
Series 2017 | ||||
08/15/2057 | 3.652% | 1,365,000 | 1,687,304 | |
Indiana University | ||||
Taxable Refunding Revenue Bonds | ||||
Series 2020B | ||||
06/01/2060 | 3.067% | 2,000,000 | 2,260,520 | |
Total | 3,947,824 | |||
Hospital 0.3% | ||||
Regents of the University of California Medical Center | ||||
Revenue Bonds | ||||
Series 2020 | ||||
05/15/2050 | 3.006% | 630,000 | 637,906 | |
Taxable Revenue Bonds | ||||
Series 2020N | ||||
05/15/2060 | 3.256% | 9,820,000 | 10,208,381 | |
Total | 10,846,287 | |||
Local General Obligation 0.3% | ||||
City of New York | ||||
Unlimited General Obligation Bonds | ||||
Build America Bonds | ||||
Series 2009 | ||||
10/01/2031 | 5.206% | 2,400,000 | 2,999,136 | |
Series 2010 | ||||
10/01/2024 | 5.047% | 5,000,000 | 5,646,950 | |
Total | 8,646,086 | |||
Special Non Property Tax 0.1% | ||||
New York City Transitional Finance Authority Future Tax | ||||
Secured Revenue Bonds | ||||
Build America Bonds | ||||
Series 2010 | ||||
08/01/2037 | 5.508% | 2,110,000 | 2,952,840 |
84 | Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – TCW Core Plus Bond Fund, June 30, 2020 (Unaudited)
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
State General Obligation 0.2% | ||||
Commonwealth of Massachusetts | ||||
Unlimited General Obligation Bonds | ||||
Series 2020C | ||||
03/01/2049 | 3.000% | 5,010,000 | 5,303,586 | |
Transportation 0.1% | ||||
Metropolitan Transportation Authority | ||||
Revenue Bonds | ||||
Taxable Green Bond | ||||
Series 2020C-2 | ||||
11/15/2049 | 5.175% | 1,915,000 | 2,233,886 | |
Total Municipal Bonds (Cost $31,150,038) | 33,930,509 | |||
Residential Mortgage-Backed Securities - Agency 34.2% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal Home Loan Mortgage Corp. | ||||
04/01/2031- 03/01/2047 | 3.000% | 73,902,032 | 78,185,337 | |
12/01/2031- 06/01/2040 | 2.500% | 39,019,960 | 40,815,812 | |
09/01/2032- 01/01/2050 | 3.500% | 178,389,061 | 193,661,733 | |
07/01/2035- 10/01/2048 | 5.000% | 6,802,742 | 7,496,246 | |
04/01/2036- 09/01/2039 | 6.000% | 175,644 | 199,313 | |
06/01/2038- 01/01/2040 | 5.500% | 694,950 | 792,180 | |
03/01/2039- 10/01/2048 | 4.500% | 12,851,911 | 14,039,944 | |
08/01/2044- 01/01/2049 | 4.000% | 28,919,574 | 31,717,617 | |
CMO Series 360 Class 250 | ||||
11/15/2047 | 2.500% | 3,836,247 | 3,995,069 | |
Federal Home Loan Mortgage Corp.(b) | ||||
CMO Series 2863 Class FM | ||||
1-month USD LIBOR + 0.500% Floor 0.500%, Cap 7.000% 10/15/2031 | 0.685% | 989,664 | 991,834 | |
Federal Home Loan Mortgage Corp.(b),(d) | ||||
CMO Series 2980 Class SL | ||||
-1.0 x 1-month USD LIBOR + 6.700% Cap 6.700% 11/15/2034 | 6.515% | 277,015 | 72,583 | |
Federal Home Loan Mortgage Corp.(d) | ||||
CMO Series 4037 Class PI | ||||
04/15/2027 | 3.000% | 476,947 | 23,772 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 4090 Class EI | ||||
08/15/2022 | 2.500% | 277,619 | 4,691 | |
CMO Series 4093 Class IA | ||||
03/15/2042 | 4.000% | 2,157,500 | 664,713 | |
Federal National Mortgage Association | ||||
12/01/2025- 06/01/2049 | 3.500% | 46,537,647 | 49,662,515 | |
06/01/2032- 11/01/2049 | 3.000% | 27,838,733 | 29,232,370 | |
05/01/2033- 08/01/2039 | 5.000% | 257,618 | 291,919 | |
11/01/2038- 11/01/2040 | 6.000% | 2,848,416 | 3,406,044 | |
05/01/2040 | 2.500% | 22,908,370 | 23,904,738 | |
08/01/2043- 07/01/2047 | 4.000% | 42,994,051 | 46,719,156 | |
02/01/2046- 08/01/2048 | 4.500% | 20,293,790 | 21,856,859 | |
CMO Series 2013-13 Class PH | ||||
04/25/2042 | 2.500% | 4,458,121 | 4,635,627 | |
CMO Series 2018-54 Class KA | ||||
01/25/2047 | 3.500% | 5,212,330 | 5,434,841 | |
CMO Series 2018-86 Class JA | ||||
05/25/2047 | 4.000% | 3,946,842 | 4,114,529 | |
CMO Series 2018-94D Class KD | ||||
12/25/2048 | 3.500% | 3,561,220 | 3,740,296 | |
CMO Series 2019-1 Class KP | ||||
02/25/2049 | 3.250% | 6,736,510 | 7,068,017 | |
Federal National Mortgage Association(b),(d) | ||||
CMO Series 2004-94 Class HJ | ||||
-1.0 x 1-month USD LIBOR + 6.700% Cap 6.700% 10/25/2034 | 6.516% | 38,528 | 1,512 | |
CMO Series 2006-8 Class HL | ||||
-1.0 x 1-month USD LIBOR + 6.700% Cap 6.700% 03/25/2036 | 6.516% | 1,167,897 | 249,389 | |
CMO Series 2013-81 Class NS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 10/25/2042 | 6.016% | 404,014 | 56,107 | |
Federal National Mortgage Association(d) | ||||
CMO Series 2013-45 Class IK | ||||
02/25/2043 | 3.000% | 339,569 | 35,401 |
Variable Portfolio Funds | Semiannual Report 2020 | 85 |
CTIVP® – TCW Core Plus Bond Fund, June 30, 2020 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Government National Mortgage Association | ||||
08/15/2033- 08/20/2048 | 4.500% | 17,305,203 | 18,907,676 | |
04/15/2035- 10/20/2047 | 5.000% | 8,450,430 | 9,345,354 | |
07/15/2040- 10/20/2048 | 4.000% | 24,073,671 | 25,727,111 | |
04/20/2046- 07/20/2049 | 3.500% | 58,282,448 | 62,026,542 | |
11/20/2046- 10/20/2049 | 3.000% | 40,595,277 | 42,790,496 | |
Government National Mortgage Association(j) | ||||
CMO Series 2006-26 Class | ||||
06/20/2036 | 0.000% | 31,735 | 29,863 | |
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 | 5.960% | 789,636 | 53,432 | |
Government National Mortgage Association TBA(h) | ||||
07/21/2050 | 2.500% | 22,750,000 | 23,947,930 | |
07/21/2050 | 3.000% | 9,900,000 | 10,488,973 | |
Uniform Mortgage-Backed Security TBA(h) | ||||
08/14/2028- 08/13/2050 | 2.000% | 15,850,000 | 16,286,247 | |
08/19/2034- 08/13/2050 | 2.500% | 245,800,000 | 256,352,932 | |
08/19/2034- 09/12/2049 | 3.000% | 42,010,000 | 44,112,226 | |
07/14/2050 | 5.000% | 2,150,000 | 2,349,547 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $1,053,562,476) | 1,085,488,493 | |||
Residential Mortgage-Backed Securities - Non-Agency 6.3% | ||||
Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-Through Certificates(b) | ||||
CMO Series 2005-R8 Class M3 | ||||
1-month USD LIBOR + 0.765% Floor 0.770% 10/25/2035 | 0.950% | 15,086,309 | 14,009,177 | |
Asset-Backed Funding Certificates Trust(b) | ||||
CMO Series 2005-HE1 Class M1 | ||||
1-month USD LIBOR + 0.630% Floor 0.630% 03/25/2035 | 0.815% | 2,494,429 | 2,482,481 | |
Banc of America Funding Trust(b) | ||||
CMO Series 2006-G Class 2A1 | ||||
1-month USD LIBOR + 0.220% Floor 0.220%, Cap 10.500% 07/20/2036 | 0.630% | 1,147,799 | 1,139,256 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
BCAP LLC Trust(b) | ||||
CMO Series 2007-AA1 Class 2A1 | ||||
1-month USD LIBOR + 0.180% Floor 0.180% 03/25/2037 | 0.365% | 6,551,366 | 5,840,990 | |
BCAP LLC Trust(a),(c) | ||||
CMO Series 2013-RR5 Class 2A1 | ||||
03/26/2037 | 3.349% | 755,084 | 753,242 | |
CMO Series 2014-RR2 Class 11A1 | ||||
05/26/2037 | 0.333% | 181,294 | 180,892 | |
CIM Trust(a),(c) | ||||
CMO Series 2019-R4 Class A1 | ||||
10/25/2059 | 3.000% | 11,988,808 | 11,157,064 | |
CMO Series 2020-R3 Class A1A | ||||
01/26/2060 | 4.000% | 14,138,613 | 14,231,261 | |
CIM Trust(a),(c),(k),(l) | ||||
CMO Series 2020-R4 Class A1A | ||||
06/25/2060 | 3.300% | 14,500,000 | 14,663,850 | |
CIT Mortgage Loan Trust(a),(b) | ||||
CMO Series 2007-1 Class 2A3 | ||||
1-month USD LIBOR + 1.450% Floor 1.450% 10/25/2037 | 1.735% | 5,281,130 | 5,287,782 | |
Citigroup Mortgage Loan Trust, Inc.(a),(c) | ||||
CMO Series 2015-6 Class 2A1 | ||||
12/25/2035 | 0.712% | 1,017,453 | 1,010,481 | |
CitiMortgage Alternative Loan Trust | ||||
CMO Series 2006-A5 Class 1A12 | ||||
10/25/2036 | 6.000% | 1,792,008 | 1,756,226 | |
Countrywide Alternative Loan Trust(b) | ||||
CMO Series 2005-76 Class 1A1 | ||||
1-year MTA + 1.480% Floor 1.480% 01/25/2036 | 2.803% | 3,862,075 | 3,675,087 | |
Countrywide Alternative Loan Trust(c) | ||||
CMO Series 2006-HY12 Class A5 | ||||
08/25/2036 | 3.565% | 6,283,161 | 6,314,119 | |
Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates(c) | ||||
CMO Series 2004-AR5 Class 2A1 | ||||
06/25/2034 | 3.762% | 834,392 | 832,716 | |
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 | 0.607% | 41,960 | 41,905 | |
CMO Series 2015-5R Class 2A1 | ||||
1-month USD LIBOR + 0.280% Floor 0.280% 04/27/2047 | 0.794% | 1,781,538 | 1,747,249 |
86 | Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – TCW Core Plus Bond Fund, June 30, 2020 (Unaudited)
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 | 3.159% | 3,149,726 | 2,999,571 | |
CSMC Trust(a),(c) | ||||
CMO Series 2018-RPL9 Class A | ||||
09/25/2057 | 3.850% | 10,296,885 | 10,927,980 | |
CWABS Asset-Backed Certificates Trust(b) | ||||
CMO Series 2006-14 Class 2A3 | ||||
1-month USD LIBOR + 0.240% Floor 0.240% 02/25/2037 | 0.408% | 5,661,357 | 5,285,028 | |
First Horizon Alternative Mortgage Securities Trust(c) | ||||
CMO Series 2005-AA10 Class 2A1 | ||||
12/25/2035 | 3.009% | 2,215,941 | 1,897,494 | |
CMO Series 2005-AA7 Class 2A1 | ||||
09/25/2035 | 3.550% | 1,486,046 | 1,378,979 | |
CMO Series 2005-AA8 Class 2A1 | ||||
10/25/2035 | 3.583% | 2,958,631 | 2,329,906 | |
First Horizon Alternative Mortgage Securities Trust | ||||
CMO Series 2006-FA8 Class 1A11 | ||||
02/25/2037 | 6.000% | 1,033,762 | 687,343 | |
GMAC Mortgage Loan Trust(c) | ||||
CMO Series 2005-AR6 Class 2A1 | ||||
11/19/2035 | 4.404% | 1,831,947 | 1,661,516 | |
GS Mortgage-Backed Securities Trust(a) | ||||
CMO Series 2018-RPL1 Class A1A | ||||
10/25/2057 | 3.750% | 10,331,789 | 10,818,354 | |
GSR Mortgage Loan Trust(c) | ||||
CMO Series 2005-AR6 Class 4A5 | ||||
09/25/2035 | 4.148% | 460,729 | 453,155 | |
HarborView Mortgage Loan Trust(b) | ||||
CMO Series 2006-10 Class 1A1A | ||||
1-month USD LIBOR + 0.200% Floor 0.200% 11/19/2036 | 0.394% | 11,993,534 | 10,082,913 | |
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 | 0.455% | 4,619,492 | 2,607,117 | |
JPMorgan Mortgage Acquisition Trust(b) | ||||
CMO Series 2006-FRE1 Class M1 | ||||
1-month USD LIBOR + 0.390% Floor 0.390% 05/25/2035 | 0.575% | 10,000,000 | 9,788,728 | |
Long Beach Mortgage Loan Trust(b) | ||||
CMO Series 2006-10 Class 1A | ||||
1-month USD LIBOR + 0.150% Floor 0.150% 11/25/2036 | 0.335% | 5,913,811 | 4,263,126 |
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 | 0.408% | 4,114,225 | 2,841,249 | |
Merrill Lynch Mortgage-Backed Securities Trust(b) | ||||
CMO Series 2007-2 Class 1A1 | ||||
1-year CMT + 2.400% Floor 2.400% 08/25/2036 | 3.723% | 1,346,580 | 1,246,111 | |
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 | 0.445% | 1,041,709 | 1,016,346 | |
MortgageIT Trust(b) | ||||
CMO Series 2005-4 Class A1 | ||||
1-month USD LIBOR + 0.280% Floor 0.280%, Cap 11.500% 10/25/2035 | 0.745% | 3,059,989 | 3,000,507 | |
Nationstar Home Equity Loan Trust(b) | ||||
CMO Series 2006-B Class AV4 | ||||
1-month USD LIBOR + 0.280% Floor 0.280% 09/25/2036 | 0.448% | 3,300,691 | 3,239,058 | |
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 | 0.860% | 8,670,837 | 8,402,217 | |
Option One Mortgage Loan Trust(b) | ||||
CMO Series 2006-1 Class 1A1 | ||||
1-month USD LIBOR + 0.220% Floor 0.220% 01/25/2036 | 0.405% | 7,110,118 | 6,635,626 | |
RALI Trust(c) | ||||
CMO Series 2005-QA8 Class CB21 | ||||
07/25/2035 | 4.257% | 1,371,662 | 1,000,438 | |
Saxon Asset Securities Trust(b) | ||||
CMO Series 2006-2 Class A2 | ||||
1-month USD LIBOR + 0.130% Floor 0.130% 09/25/2036 | 0.315% | 594,065 | 591,286 | |
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 | 0.625% | 8,167,843 | 7,621,155 | |
WaMu Mortgage Pass-Through Certificates Trust(c) | ||||
CMO Series 2003-AR10 Class A7 | ||||
10/25/2033 | 4.189% | 678,144 | 661,221 |
Variable Portfolio Funds | Semiannual Report 2020 | 87 |
CTIVP® – TCW Core Plus Bond Fund, June 30, 2020 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2003-AR9 Class 1A6 | ||||
09/25/2033 | 4.275% | 524,985 | 502,409 | |
CMO Series 2005-AR4 Class A5 | ||||
04/25/2035 | 3.571% | 821,042 | 812,187 | |
CMO Series 2007-HY2 Class 1A1 | ||||
12/25/2036 | 3.515% | 2,938,956 | 2,827,568 | |
WaMu Mortgage Pass-Through Certificates Trust(b) | ||||
CMO Series 2005-AR15 Class A1A1 | ||||
1-month USD LIBOR + 0.260% 11/25/2045 | 0.688% | 2,773,816 | 2,614,000 | |
CMO Series 2006-AR11 Class 1A | ||||
1-year MTA + 0.960% Floor 0.960% 09/25/2046 | 2.283% | 5,146,875 | 4,479,478 | |
CMO Series 2006-AR4 Class 1A1A | ||||
1-year MTA + 0.940% Floor 0.940% 05/25/2046 | 2.263% | 3,599,539 | 3,376,783 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $204,123,838) | 201,172,627 | |||
Senior Loans 0.9% | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Aerospace & Defense 0.0% | ||||
TransDigm Inc.(b),(m) | ||||
Tranche E Term Loan | ||||
1-month USD LIBOR + 2.250% 05/30/2025 | 2.428% | 938,232 | 840,309 | |
Airlines 0.0% | ||||
American Airlines, Inc.(b),(m),(n) | ||||
Term Loan | ||||
1-month USD LIBOR + 1.750% 01/29/2027 | 500,000 | 375,750 | ||
Automotive 0.0% | ||||
Panther BF Aggregator 2 LP(b),(m) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 3.500% 04/30/2026 | 3.678% | 595,500 | 565,725 | |
Cable and Satellite 0.1% | ||||
Charter Communications Operating LLC/Safari LLC(b),(m) | ||||
Tranche B2 Term Loan | ||||
3-month USD LIBOR + 1.750% 02/01/2027 | 1.930% | 248,747 | 238,830 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
CSC Holdings LLC(b),(m) | ||||
Term Loan | ||||
3-month USD LIBOR + 2.250% 01/15/2026 | 2.435% | 1,382,500 | 1,305,232 | |
Total | 1,544,062 | |||
Electric 0.0% | ||||
Homer City Generation LP(g),(l),(m) | ||||
Term Loan | ||||
04/05/2023 | 0.000% | 378,649 | 283,987 | |
Vistra Operations Co., LLC(b),(m) | ||||
Term Loan | ||||
3-month USD LIBOR + 1.750% 12/31/2025 | 1.931% | 348,083 | 335,402 | |
Total | 619,389 | |||
Environmental 0.1% | ||||
Clean Harbors, Inc.(b),(m) | ||||
Term Loan | ||||
3-month USD LIBOR + 1.750% 06/28/2024 | 1.928% | 342,929 | 334,929 | |
GFL Environmental, Inc.(b),(m) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.000% Floor 1.000% 05/30/2025 | 4.000% | 1,249,327 | 1,212,109 | |
Total | 1,547,038 | |||
Finance Companies 0.1% | ||||
Avolon Borrower 1 LLC(b),(m) | ||||
Tranche B3 Term Loan | ||||
3-month USD LIBOR + 1.750% Floor 0.750% 01/15/2025 | 2.500% | 175,812 | 163,198 | |
Delos Finance SARL(b),(m) | ||||
Term Loan | ||||
3-month USD LIBOR + 1.750% 10/06/2023 | 2.058% | 1,625,500 | 1,548,792 | |
Total | 1,711,990 | |||
Gaming 0.0% | ||||
Caesars Entertainment Operating Co., LLC(b),(m) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 2.000% 10/07/2024 | 2.178% | 325,963 | 324,232 | |
Churchill Downs, Inc.(b),(m) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 2.000% 12/27/2024 | 2.180% | 391,960 | 376,282 | |
Total | 700,514 |
88 | Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – TCW Core Plus Bond Fund, June 30, 2020 (Unaudited)
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Health Care 0.1% | ||||
Change Healthcare Holdings, Inc.(b),(m) | ||||
Term Loan | ||||
3-month USD LIBOR + 2.500% Floor 1.000% 03/01/2024 | 3.500% | 1,250,000 | 1,198,088 | |
Gentiva Health Services, Inc.(b),(m) | ||||
Tranche B 1st Lien Term Loan | ||||
1-month USD LIBOR + 3.250% 07/02/2025 | 3.438% | 275,808 | 266,500 | |
IQVIA, Inc./Quintiles IMS(b),(m) | ||||
Tranche B2 Term Loan | ||||
3-month USD LIBOR + 1.750% 01/17/2025 | 1.928% | 440,932 | 425,777 | |
MPH Acquisition Holdings LLC(b),(m) | ||||
Term Loan | ||||
3-month USD LIBOR + 2.750% Floor 1.000% 06/07/2023 | 3.750% | 760,553 | 721,574 | |
Total | 2,611,939 | |||
Other Industry 0.0% | ||||
PowerTeam Services, LLC(b),(m) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 3.250% Floor 1.000% 03/06/2025 | 4.250% | 1,458,435 | 1,388,547 | |
Packaging 0.1% | ||||
Berry Global, Inc.(b),(m) | ||||
Tranche Y Term Loan | ||||
1-month USD LIBOR + 2.000% 07/01/2026 | 2.177% | 742,500 | 708,159 | |
Reynolds Group Holdings, Inc.(b),(m) | ||||
Term Loan | ||||
3-month USD LIBOR + 2.750% Floor 1.000% 02/05/2023 | 2.928% | 1,058,826 | 1,008,955 | |
Total | 1,717,114 | |||
Pharmaceuticals 0.2% | ||||
Bausch Health Companies, Inc.(b),(m) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.000% 06/02/2025 | 3.190% | 2,067,152 | 2,005,923 | |
Elanco Animal Health, Inc.(b),(m),(n) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 1.750% 02/04/2027 | 3,625,000 | 3,449,804 | ||
Total | 5,455,727 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Restaurants 0.0% | ||||
New Red Finance, Inc./Burger King/Tim Hortons(b),(m) | ||||
Tranche B4 Term Loan | ||||
3-month USD LIBOR + 1.750% 11/19/2026 | 1.928% | 540,775 | 511,573 | |
Technology 0.0% | ||||
SS&C Technologies Holdings, Inc.(b),(m) | ||||
Tranche B3 Term Loan | ||||
1-month USD LIBOR + 1.750% 04/16/2025 | 1.928% | 278,675 | 266,221 | |
Tranche B4 Term Loan | ||||
3-month USD LIBOR + 1.750% 04/16/2025 | 1.928% | 195,789 | 187,039 | |
Total | 453,260 | |||
Transportation Services 0.0% | ||||
PODS LLC(b),(m) | ||||
Tranche B4 Term Loan | ||||
3-month USD LIBOR + 2.750% Floor 1.000% 12/06/2024 | 3.750% | 434,213 | 414,404 | |
Wireless 0.1% | ||||
SBA Senior Finance II LLC(b),(m) | ||||
Term Loan | ||||
3-month USD LIBOR + 1.750% 04/11/2025 | 1.930% | 1,425,900 | 1,369,463 | |
T-Mobile U.S.A., Inc.(b),(m) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.000% 04/01/2027 | 3.178% | 2,350,000 | 2,344,924 | |
Total | 3,714,387 | |||
Wirelines 0.1% | ||||
CenturyLink, Inc.(b),(m) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 2.250% 03/15/2027 | 2.428% | 248,750 | 233,964 | |
Frontier Communications Corp.(b),(m) | ||||
Tranche B1 Term Loan | ||||
3-month USD LIBOR + 3.750% Floor 0.750% 06/15/2024 | 5.352% | 1,741,049 | 1,692,230 | |
Telenet Financing USD LLC(b),(m) | ||||
Tranche AR Term Loan | ||||
6-month USD LIBOR + 2.000% 04/30/2028 | 2.185% | 750,000 | 705,937 |
Variable Portfolio Funds | Semiannual Report 2020 | 89 |
CTIVP® – TCW Core Plus Bond Fund, June 30, 2020 (Unaudited)
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Zayo Group LLC/Capital, Inc.(b),(m) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.000% 03/09/2027 | 3.178% | 1,546,125 | 1,464,057 | |
Total | 4,096,188 | |||
Total Senior Loans (Cost $28,820,876) | 28,267,916 | |||
Treasury Bills 6.2% | ||||
Issuer | Effective Yield | Principal Amount ($) | Value ($) | |
United States 6.2% | ||||
U.S. Cash Management Bills | ||||
11/03/2020 | 0.150% | 23,930,000 | 23,917,513 | |
U.S. Treasury Bills(o) | ||||
09/10/2020 | 0.130% | 8,722,000 | 8,719,767 | |
U.S. Treasury Bills | ||||
10/08/2020 | 0.140% | 112,500,000 | 112,455,484 | |
10/22/2020 | 0.150% | 16,710,000 | 16,702,252 | |
12/03/2020 | 0.150% | 34,860,000 | 34,837,633 | |
Total | 196,632,649 | |||
Total Treasury Bills (Cost $196,604,613) | 196,632,649 | |||
U.S. Treasury Obligations 8.8% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
U.S. Treasury | ||||
05/31/2022 | 0.125% | 4,605,000 | 4,601,762 | |
04/30/2025 | 0.375% | 37,875,000 | 38,040,703 | |
05/31/2025 | 0.250% | 68,145,000 | 68,049,171 | |
06/30/2025 | 0.250% | 66,440,000 | 66,315,425 | |
05/15/2030 | 0.625% | 24,665,000 | 24,599,484 | |
02/15/2050 | 2.000% | 35,635,000 | 40,813,211 | |
05/15/2050 | 1.250% | 39,096,000 | 37,568,812 | |
Total U.S. Treasury Obligations (Cost $278,566,542) | 279,988,568 |
Money Market Funds 12.1% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(p),(q) | 385,142,032 | 385,142,032 |
Total Money Market Funds (Cost $385,161,977) | 385,142,032 | |
Total Investments in Securities (Cost: $3,437,625,195) | 3,523,433,126 | |
Other Assets & Liabilities, Net | (346,747,575) | |
Net Assets | 3,176,685,551 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 5-Year Note | 1,964 | 09/2020 | USD | 246,957,657 | 601,346 | — |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Ultra Bond 10-Year Note | (77) | 09/2020 | USD | (12,126,297) | — | (98,427) |
(a) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At June 30, 2020, the total value of these securities amounted to $468,243,029, which represents 14.74% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of June 30, 2020. |
(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 June 30, 2020. |
(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. |
90 | Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – TCW Core Plus Bond Fund, June 30, 2020 (Unaudited)
(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 June 30, 2020. |
(g) | Represents securities that have defaulted on payment of interest. The Fund has stopped accruing interest on these securities. At June 30, 2020, the total value of these securities amounted to $2,313,550, which represents 0.07% of total net assets. |
(h) | Represents a security purchased on a when-issued basis. |
(i) | Principal and interest may not be guaranteed by a governmental entity. |
(j) | Represents principal only securities which have the right to receive the principal portion only on an underlying pool of mortgage loans. |
(k) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At June 30, 2020, the total value of these securities amounted to $14,663,850, which represents 0.46% of total net assets. |
(l) | Valuation based on significant unobservable inputs. |
(m) | The stated interest rate represents the weighted average interest rate at June 30, 2020 of contracts within the senior loan facility. Interest rates on contracts are primarily determined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. These base lending rates are primarily the LIBOR and other short-term rates. Base lending rates may be subject to a floor or minimum rate. The interest rate for senior loans purchased on a when-issued or delayed delivery basis will be determined upon settlement, therefore no interest rate is disclosed. Senior loans often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, cannot be predicted with accuracy. As a result, remaining maturities of senior loans may be less than the stated maturities. Generally, the Fund is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. |
(n) | Represents a security purchased on a forward commitment basis. |
(o) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(p) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
(q) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | ||||||||
91,943,308 | 1,824,839,242 | (1,531,621,976) | (18,542) | 385,142,032 | (138,128) | 1,528,689 | 385,142,032 |
CMO | Collateralized Mortgage Obligation |
CMT | Constant Maturity Treasury |
LIBOR | London Interbank Offered Rate |
MTA | Monthly Treasury Average |
SOFR | Secured Overnight Financing Rate |
TBA | To Be Announced |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Variable Portfolio Funds | Semiannual Report 2020 | 91 |
CTIVP® – TCW Core Plus Bond Fund, June 30, 2020 (Unaudited)
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Asset-Backed Securities — Non-Agency | — | 150,060,504 | — | 150,060,504 |
Commercial Mortgage-Backed Securities - Agency | — | 45,142,911 | — | 45,142,911 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 27,021,713 | — | 27,021,713 |
Commercial Paper | — | 8,403,351 | — | 8,403,351 |
Common Stocks | ||||
Utilities | — | 120,210 | — | 120,210 |
Total Common Stocks | — | 120,210 | — | 120,210 |
Corporate Bonds & Notes | — | 907,248,283 | — | 907,248,283 |
Foreign Government Obligations | — | 57,315,282 | — | 57,315,282 |
Inflation-Indexed Bonds | — | 117,498,078 | — | 117,498,078 |
Municipal Bonds | — | 33,930,509 | — | 33,930,509 |
Residential Mortgage-Backed Securities - Agency | — | 1,085,488,493 | — | 1,085,488,493 |
Residential Mortgage-Backed Securities - Non-Agency | — | 186,508,777 | 14,663,850 | 201,172,627 |
Senior Loans | — | 27,983,929 | 283,987 | 28,267,916 |
Treasury Bills | 196,632,649 | — | — | 196,632,649 |
U.S. Treasury Obligations | 279,988,568 | — | — | 279,988,568 |
Money Market Funds | 385,142,032 | — | — | 385,142,032 |
Total Investments in Securities | 861,763,249 | 2,646,722,040 | 14,947,837 | 3,523,433,126 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 601,346 | — | — | 601,346 |
Liability | ||||
Futures Contracts | (98,427) | — | — | (98,427) |
Total | 862,266,168 | 2,646,722,040 | 14,947,837 | 3,523,936,045 |
92 | Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – Wells Fargo Short Duration Government Fund, June 30, 2020 (Unaudited)
Asset-Backed Securities — Non-Agency 12.4% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Avis Budget Rental Car Funding AESOP LLC(a) | ||||
Series 2019-1A Class A | ||||
03/20/2023 | 3.450% | 16,988,000 | 17,032,650 | |
Ford Credit Auto Owner Trust(a) | ||||
Series 2017-1 Class A | ||||
08/15/2028 | 2.620% | 20,855,000 | 21,433,295 | |
Series 2018-2 Class A | ||||
01/15/2030 | 3.470% | 13,020,000 | 13,756,730 | |
Ford Credit Auto Owner Trust | ||||
Series 2020-B Class A4 | ||||
11/15/2025 | 0.790% | 4,677,000 | 4,682,659 | |
GM Financial Consumer Automobile Receivables Trust | ||||
Series 2020-2 Class A3 | ||||
12/16/2024 | 1.490% | 4,622,000 | 4,712,178 | |
Navient Private Education Loan Trust(a) | ||||
Series 2017-A Class A2A | ||||
12/16/2058 | 2.880% | 2,963,498 | 3,014,323 | |
Navient Private Education Refi Loan Trust(a) | ||||
Series 2019-GA Class A | ||||
10/15/2068 | 2.400% | 19,331,161 | 19,668,029 | |
Series 2020-DA Class A | ||||
05/15/2069 | 1.690% | 24,956,000 | 24,940,580 | |
Nelnet Student Loan Trust(b) | ||||
Series 2004-4 Class A5 | ||||
3-month USD LIBOR + 0.160% Floor 0.160% 01/25/2037 | 1.151% | 11,433,460 | 10,998,443 | |
Nelnet Student Loan Trust(a),(b) | ||||
Series 2012-1A Class A | ||||
1-month USD LIBOR + 0.800% Floor 0.800% 12/27/2039 | 0.985% | 7,115,222 | 6,955,977 | |
Series 2016-1A Class A | ||||
1-month USD LIBOR + 0.800% 09/25/2065 | 0.985% | 6,269,034 | 6,204,806 | |
SLC Student Loan Trust(b) | ||||
Series 2010-1 Class A | ||||
3-month USD LIBOR + 0.875% Floor 0.875% 11/25/2042 | 1.235% | 2,332,042 | 2,324,817 | |
SLM Student Loan Trust(b) | ||||
Series 2005-6 Class A6 | ||||
3-month USD LIBOR + 0.140% 10/27/2031 | 1.131% | 2,516,109 | 2,446,252 | |
Series 2012-3 Class A | ||||
1-month USD LIBOR + 0.650% 12/27/2038 | 0.835% | 7,512,094 | 7,271,341 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2013-4 Class A | ||||
1-month USD LIBOR + 0.550% 06/25/2043 | 0.735% | 16,697,132 | 16,105,457 | |
SMB Private Education Loan Trust(a) | ||||
Series 2015-A Class A2A | ||||
06/15/2027 | 2.490% | 1,637,389 | 1,645,356 | |
Series 2016-B Class A2A | ||||
02/17/2032 | 2.430% | 102,125 | 104,355 | |
SMB Private Education Loan Trust(a),(b) | ||||
Series 2016-B Class A2B | ||||
1-month USD LIBOR + 1.450% 02/17/2032 | 1.635% | 2,225,556 | 2,231,378 | |
Series 2017-A Class A2B | ||||
1-month USD LIBOR + 0.900% 09/15/2034 | 1.085% | 5,633,778 | 5,566,111 | |
Series 2017-B Class A2B | ||||
1-month USD LIBOR + 0.750% Floor 0.750% 10/15/2035 | 0.935% | 7,135,488 | 6,891,041 | |
SoFi Professional Loan Program LLC(a),(b) | ||||
Series 2016-C Class A1 | ||||
1-month USD LIBOR + 1.100% 10/27/2036 | 1.285% | 692,784 | 676,977 | |
Series 2016-D Class A1 | ||||
1-month USD LIBOR + 0.950% 01/25/2039 | 1.135% | 1,478,656 | 1,478,656 | |
Series 2016-E Class A1 | ||||
1-month USD LIBOR + 0.850% 07/25/2039 | 1.035% | 1,636,695 | 1,599,523 | |
Series 2017-A Class A1 | ||||
1-month USD LIBOR + 0.700% Floor 0.700% 03/26/2040 | 0.885% | 923,915 | 902,018 | |
Series 2017-C Class A1 | ||||
1-month USD LIBOR + 0.600% 07/25/2040 | 0.785% | 1,112,363 | 1,072,760 | |
SoFi Professional Loan Program LLC(a) | ||||
Series 2017-E Class A2B | ||||
11/26/2040 | 2.720% | 4,104,000 | 4,171,000 | |
SoFi Professional Loan Program Trust(a) | ||||
Series 2020-C Class AFX | ||||
02/15/2046 | 1.950% | 5,146,000 | 5,214,123 | |
Total Asset-Backed Securities — Non-Agency (Cost $193,528,922) | 193,100,835 | |||
Variable Portfolio Funds | Semiannual Report 2020 | 93 |
CTIVP® – Wells Fargo Short Duration Government Fund, June 30, 2020 (Unaudited)
Commercial Mortgage-Backed Securities - Agency 0.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
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 | 0.383% | 205,262 | 204,984 | |
Total Commercial Mortgage-Backed Securities - Agency (Cost $205,262) | 204,984 | |||
Commercial Mortgage-Backed Securities - Non-Agency 0.1% | ||||
Citigroup Commercial Mortgage Trust | ||||
Series 2014-GC25 Class AAB | ||||
10/10/2047 | 3.371% | 1,330,056 | 1,377,020 | |
DBUBS Mortgage Trust(a) | ||||
Series 2011-LC2A Class A1 | ||||
07/10/2044 | 3.527% | 58,550 | 58,979 | |
GS Mortgage Securities Corp. Trust(a) | ||||
Series 2010-C2 Class A1 | ||||
12/10/2043 | 3.849% | 110,585 | 110,792 | |
GS Mortgage Securities Trust | ||||
Series 2012-GCJ7 Class AAB | ||||
05/10/2045 | 2.935% | 623,810 | 625,485 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $2,147,729) | 2,172,276 | |||
Corporate Bonds & Notes 0.8% | ||||
Banking 0.8% | ||||
Nordea Bank Abp(a) | ||||
06/09/2023 | 1.000% | 9,374,000 | 9,464,928 | |
State Street Corp.(a),(c) | ||||
03/30/2023 | 2.825% | 2,327,000 | 2,413,310 | |
Total | 11,878,238 | |||
Total Corporate Bonds & Notes (Cost $11,691,345) | 11,878,238 | |||
Foreign Government Obligations(d) 0.4% | ||||
Canada 0.4% | ||||
HSBC Bank Canada(a) | ||||
05/14/2023 | 0.950% | 6,464,000 | 6,507,982 | |
Total Foreign Government Obligations (Cost $6,457,148) | 6,507,982 | |||
Residential Mortgage-Backed Securities - Agency 64.1% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal Home Loan Mortgage Corp. | ||||
11/01/2028 | 2.500% | 35,506,462 | 37,690,805 | |
03/01/2031 | 3.500% | 4,856,976 | 5,235,689 | |
04/01/2031- 04/01/2049 | 4.500% | 75,902,964 | 83,482,720 | |
10/01/2033- 07/01/2049 | 4.000% | 21,611,517 | 23,640,907 | |
CMO Series 2010-3653 Class AU | ||||
04/15/2040 | 4.000% | 1,223,919 | 1,310,381 | |
CMO Series 204788 Class GL | ||||
07/15/2042 | 4.500% | 15,962,357 | 16,099,357 | |
CMO Series 3738 Class BP | ||||
12/15/2038 | 4.000% | 2,475,201 | 2,516,154 | |
CMO Series 4239 Class AB | ||||
12/15/2039 | 4.000% | 2,161,970 | 2,198,688 | |
CMO Series 4332 Class GL | ||||
05/15/2039 | 4.000% | 2,802,578 | 2,850,363 | |
CMO Series 4425 Class LA | ||||
07/15/2039 | 4.000% | 3,207,909 | 3,264,002 | |
CMO Series 4426 Class QC | ||||
07/15/2037 | 1.750% | 17,761,332 | 18,343,428 | |
CMO Series 4891 Class PA | ||||
07/15/2048 | 3.500% | 13,509,314 | 14,137,315 | |
Federal Home Loan Mortgage Corp.(b) | ||||
12-month USD LIBOR + 1.844% Cap 8.409% 05/01/2042 | 3.406% | 1,935,035 | 2,032,252 | |
12-month USD LIBOR + 1.650% Cap 7.342% 03/01/2043 | 2.342% | 4,751,855 | 4,899,360 | |
12-month USD LIBOR + 1.638% Floor 1.638%, Cap 7.874% 07/01/2047 | 2.874% | 18,223,606 | 18,987,613 | |
Federal Home Loan Mortgage Corp. Structured Pass-Through Securities | ||||
Series T-11 Class A8 | ||||
01/25/2028 | 6.500% | 654,080 | 722,738 | |
Federal National Mortgage Association | ||||
04/01/2032- 02/01/2034 | 4.000% | 16,181,392 | 17,422,245 | |
04/01/2035 | 3.000% | 17,162,340 | 18,453,253 | |
06/01/2035 | 3.500% | 5,538,776 | 6,054,415 | |
10/01/2040- 12/01/2049 | 5.000% | 113,949,972 | 128,349,401 | |
06/01/2048- 11/01/2049 | 4.500% | 54,155,081 | 59,985,397 | |
06/01/2049 | 5.500% | 22,137,777 | 25,046,996 | |
CMO Series 2009-20 Class DT | ||||
04/25/2039 | 4.500% | 1,880,687 | 2,132,526 | |
CMO Series 2011-14 Class GD | ||||
04/25/2040 | 4.000% | 10,611,274 | 10,999,922 |
94 | Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – Wells Fargo Short Duration Government Fund, June 30, 2020 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2013-103 Class H | ||||
03/25/2038 | 4.500% | 2,591,997 | 2,644,363 | |
CMO Series 2013-71 Class AC | ||||
03/25/2038 | 2.000% | 4,886,103 | 4,913,705 | |
CMO Series 2013-90 Class A | ||||
11/25/2038 | 4.000% | 2,281,349 | 2,312,593 | |
CMO Series 2015-57 Class AB | ||||
08/25/2045 | 3.000% | 3,723,589 | 4,006,386 | |
CMO Series 2019-33 Class MA | ||||
07/25/2055 | 3.500% | 15,703,133 | 16,437,538 | |
Federal National Mortgage Association(b) | ||||
12-month USD LIBOR + 1.685% Floor 1.685%, Cap 7.430% 11/01/2042 | 2.430% | 8,732,902 | 9,034,337 | |
12-month USD LIBOR + 1.579% Floor 1.579%, Cap 7.755% 06/01/2045 | 2.755% | 4,203,324 | 4,361,140 | |
12-month USD LIBOR + 1.564% Floor 1.564%, Cap 7.474% 09/01/2045 | 2.474% | 7,736,183 | 7,995,992 | |
12-month USD LIBOR + 1.585% Floor 1.585%, Cap 7.662% 01/01/2046 | 2.662% | 9,158,036 | 9,506,424 | |
12-month USD LIBOR + 1.610% Floor 1.610%, Cap 7.644% 02/01/2046 | 2.644% | 8,175,971 | 8,447,674 | |
12-month USD LIBOR + 1.578% Floor 1.578%, Cap 7.678% 02/01/2046 | 2.678% | 14,480,761 | 14,964,104 | |
12-month USD LIBOR + 1.600% Floor 1.600%, Cap 7.866% 04/01/2046 | 2.866% | 8,360,594 | 8,658,198 | |
12-month USD LIBOR + 1.600% Floor 1.600%, Cap 7.876% 07/01/2046 | 2.876% | 24,270,096 | 25,101,555 | |
12-month USD LIBOR + 1.600% Floor 1.600%, Cap 7.534% 10/01/2046 | 2.534% | 13,746,718 | 14,261,903 | |
1-year CMT + 2.038% Floor 2.038%, Cap 9.963% 03/01/2049 | 3.963% | 8,976,291 | 9,379,469 | |
Government National Mortgage Association | ||||
09/20/2044- 04/20/2048 | 4.000% | 34,071,161 | 36,650,858 | |
03/20/2048- 04/20/2049 | 4.500% | 62,174,896 | 67,345,743 | |
03/20/2048- 05/20/2049 | 5.000% | 85,207,852 | 94,530,157 | |
01/20/2049- 05/20/2049 | 5.500% | 49,651,455 | 53,930,644 | |
CMO Series 2017-99 Class DE | ||||
07/20/2045 | 2.500% | 10,178,334 | 10,430,358 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2018-154 Class WP | ||||
11/20/2048 | 3.500% | 2,102,729 | 2,193,600 | |
CMO Series 2018-36 Class KC | ||||
02/20/2046 | 3.000% | 8,477,218 | 8,850,829 | |
CMO Series 2019-132 Class NA | ||||
09/20/2049 | 3.500% | 3,040,888 | 3,136,511 | |
CMO Series 2020-11 Class ME | ||||
02/20/2049 | 2.500% | 23,942,639 | 24,995,574 | |
Government National Mortgage Association(e) | ||||
CMO Series 2011-137 Class WA | ||||
07/20/2040 | 5.569% | 2,501,310 | 2,958,146 | |
Uniform Mortgage-Backed Security TBA(f) | ||||
08/14/2028- 09/17/2028 | 2.000% | 41,600,000 | 42,929,578 | |
07/16/2035 | 2.500% | 7,200,000 | 7,538,063 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $980,120,255) | 1,003,371,369 | |||
Residential Mortgage-Backed Securities - Non-Agency 5.1% | ||||
Angel Oak Mortgage Trust I LLC(a),(e) | ||||
CMO Series 2019-2 Class A1 | ||||
03/25/2049 | 3.628% | 4,407,704 | 4,502,392 | |
Bunker Hill Loan Depositary Trust(a),(e) | ||||
CMO Series 2019-1 Class A1 | ||||
10/26/2048 | 3.613% | 5,191,104 | 5,339,562 | |
CMO Series 2019-2 Class A1 | ||||
07/25/2049 | 2.880% | 6,219,877 | 6,369,704 | |
COLT Mortgage Loan Trust(a),(e) | ||||
CMO Series 2018-4 Class A1 | ||||
12/28/2048 | 4.006% | 7,156,076 | 7,270,415 | |
CMO Series 2019-1 Class A1 | ||||
03/25/2049 | 3.705% | 1,686,337 | 1,734,191 | |
CSMC Trust(a),(e) | ||||
CMO Series 2020-AFC1 Class A1 | ||||
02/25/2050 | 2.240% | 9,464,960 | 9,610,158 | |
GCAT LLC(a) | ||||
CMO Series 2019-NQM1 Class A1 | ||||
02/25/2059 | 2.985% | 5,345,915 | 5,569,284 | |
Verus Securitization Trust(a),(e) | ||||
CMO Series 2018-2 Class A1 | ||||
06/01/2058 | 3.677% | 4,748,812 | 4,847,464 | |
CMO Series 2019-1 Class A1 | ||||
02/25/2059 | 3.836% | 5,289,849 | 5,392,282 | |
CMO Series 2019-2 Class A1 | ||||
04/25/2059 | 3.211% | 7,021,407 | 7,156,794 | |
CMO Series 2019-4 Class A1 | ||||
11/25/2059 | 2.642% | 5,996,961 | 6,048,942 |
Variable Portfolio Funds | Semiannual Report 2020 | 95 |
CTIVP® – Wells Fargo Short Duration Government Fund, June 30, 2020 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2019-INV2 Class A1 | ||||
07/25/2059 | 2.913% | 8,919,071 | 9,086,385 | |
CMO Series 2019-INV3 Class A1 | ||||
11/25/2059 | 2.692% | 7,068,175 | 7,160,922 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $78,535,391) | 80,088,495 | |||
U.S. Treasury Obligations 16.3% | ||||
U.S. Treasury | ||||
09/30/2021 | 1.500% | 28,684,000 | 29,159,079 | |
03/15/2022 | 2.375% | 37,958,000 | 39,384,391 | |
04/30/2022 | 0.125% | 55,678,000 | 55,641,026 | |
05/15/2022 | 2.125% | 22,222,000 | 23,033,624 | |
05/31/2022 | 0.125% | 36,556,000 | 36,530,297 | |
05/15/2023 | 0.125% | 130,000 | 129,817 | |
06/15/2023 | 0.250% | 70,650,000 | 70,804,547 | |
Total U.S. Treasury Obligations (Cost $253,859,438) | 254,682,781 |
Money Market Funds 3.6% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(g),(h) | 56,720,856 | 56,720,856 |
Total Money Market Funds (Cost $56,721,174) | 56,720,856 | |
Total Investments in Securities (Cost: $1,583,266,664) | 1,608,727,816 | |
Other Assets & Liabilities, Net | (44,044,751) | |
Net Assets | 1,564,683,065 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 2-Year Note | 2,442 | 09/2020 | USD | 539,262,284 | 148,093 | — |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 5-Year Note | (883) | 09/2020 | USD | (111,030,352) | — | (332,375) |
U.S. Ultra Bond 10-Year Note | (167) | 09/2020 | USD | (26,299,891) | — | (156,897) |
Total | — | (489,272) |
(a) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At June 30, 2020, the total value of these securities amounted to $243,204,174, which represents 15.54% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of June 30, 2020. |
(c) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of June 30, 2020. |
(d) | Principal and interest may not be guaranteed by a governmental entity. |
(e) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of June 30, 2020. |
(f) | Represents a security purchased on a when-issued basis. |
(g) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
96 | Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – Wells Fargo Short Duration Government Fund, June 30, 2020 (Unaudited)
(h) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | ||||||||
14,742,010 | 776,905,324 | (734,926,160) | (318) | 56,720,856 | 4,317 | 169,362 | 56,720,856 |
CMO | Collateralized Mortgage Obligation |
CMT | Constant Maturity Treasury |
LIBOR | London Interbank Offered Rate |
TBA | To Be Announced |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Variable Portfolio Funds | Semiannual Report 2020 | 97 |
CTIVP® – Wells Fargo Short Duration Government Fund, June 30, 2020 (Unaudited)
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2020:
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Asset-Backed Securities — Non-Agency | — | 193,100,835 | — | 193,100,835 |
Commercial Mortgage-Backed Securities - Agency | — | 204,984 | — | 204,984 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 2,172,276 | — | 2,172,276 |
Corporate Bonds & Notes | — | 11,878,238 | — | 11,878,238 |
Foreign Government Obligations | — | 6,507,982 | — | 6,507,982 |
Residential Mortgage-Backed Securities - Agency | — | 1,003,371,369 | — | 1,003,371,369 |
Residential Mortgage-Backed Securities - Non-Agency | — | 80,088,495 | — | 80,088,495 |
U.S. Treasury Obligations | 254,682,781 | — | — | 254,682,781 |
Money Market Funds | 56,720,856 | — | — | 56,720,856 |
Total Investments in Securities | 311,403,637 | 1,297,324,179 | — | 1,608,727,816 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 148,093 | — | — | 148,093 |
Liability | ||||
Futures Contracts | (489,272) | — | — | (489,272) |
Total | 311,062,458 | 1,297,324,179 | — | 1,608,386,637 |
98 | Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – Westfield Mid Cap Growth Fund, June 30, 2020 (Unaudited)
Common Stocks 99.8% | ||
Issuer | Shares | Value ($) |
Consumer Discretionary 10.7% | ||
Hotels, Restaurants & Leisure 3.2% | ||
Chipotle Mexican Grill, Inc.(a) | 6,854 | 7,212,875 |
Hilton Worldwide Holdings, Inc. | 140,430 | 10,314,584 |
Total | 17,527,459 | |
Specialty Retail 6.2% | ||
O’Reilly Automotive, Inc.(a) | 35,680 | 15,045,185 |
Ross Stores, Inc. | 116,470 | 9,927,903 |
Ulta Beauty, Inc.(a) | 43,628 | 8,874,808 |
Total | 33,847,896 | |
Textiles, Apparel & Luxury Goods 1.3% | ||
lululemon athletica, Inc.(a) | 23,640 | 7,375,917 |
Total Consumer Discretionary | 58,751,272 | |
Financials 5.5% | ||
Capital Markets 3.9% | ||
Brookfield Asset Management, Inc., Class A | 138,940 | 4,571,126 |
MSCI, Inc. | 19,095 | 6,374,293 |
Tradeweb Markets, Inc., Class A | 182,890 | 10,633,224 |
Total | 21,578,643 | |
Insurance 1.6% | ||
Arthur J Gallagher & Co. | 88,130 | 8,591,794 |
Total Financials | 30,170,437 | |
Health Care 21.8% | ||
Biotechnology 6.0% | ||
Ascendis Pharma A/S ADR(a) | 71,410 | 10,561,539 |
BioMarin Pharmaceutical, Inc.(a) | 109,300 | 13,481,062 |
Seattle Genetics, Inc.(a) | 53,120 | 9,026,151 |
Total | 33,068,752 | |
Health Care Equipment & Supplies 11.0% | ||
Align Technology, Inc.(a) | 30,490 | 8,367,676 |
Cooper Companies, Inc. (The) | 32,649 | 9,260,562 |
DexCom, Inc.(a) | 26,400 | 10,702,560 |
IDEXX Laboratories, Inc.(a) | 46,235 | 15,264,947 |
Masimo Corp.(a) | 36,680 | 8,362,673 |
STERIS PLC | 52,890 | 8,115,442 |
Total | 60,073,860 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Health Care Providers & Services 1.4% | ||
Quest Diagnostics, Inc. | 65,490 | 7,463,240 |
Life Sciences Tools & Services 3.4% | ||
ICON PLC(a) | 43,480 | 7,324,641 |
Mettler-Toledo International, Inc.(a) | 14,051 | 11,318,783 |
Total | 18,643,424 | |
Total Health Care | 119,249,276 | |
Industrials 15.0% | ||
Aerospace & Defense 5.1% | ||
L3 Harris Technologies, Inc. | 48,031 | 8,149,420 |
Teledyne Technologies, Inc.(a) | 30,195 | 9,389,135 |
TransDigm Group, Inc. | 23,585 | 10,425,749 |
Total | 27,964,304 | |
Building Products 1.0% | ||
Trane Technologies PLC | 58,760 | 5,228,465 |
Commercial Services & Supplies 0.6% | ||
Waste Connections, Inc. | 37,520 | 3,519,001 |
Electrical Equipment 3.6% | ||
AMETEK, Inc. | 98,990 | 8,846,736 |
Rockwell Automation, Inc. | 49,615 | 10,567,995 |
Total | 19,414,731 | |
Professional Services 2.8% | ||
CoStar Group, Inc.(a) | 9,172 | 6,518,265 |
TransUnion | 99,564 | 8,666,051 |
Total | 15,184,316 | |
Road & Rail 1.9% | ||
JB Hunt Transport Services, Inc. | 87,407 | 10,518,558 |
Total Industrials | 81,829,375 | |
Information Technology 41.1% | ||
Communications Equipment 1.2% | ||
Motorola Solutions, Inc. | 48,020 | 6,729,043 |
IT Services 15.0% | ||
Cognizant Technology Solutions Corp., Class A | 155,220 | 8,819,600 |
Fidelity National Information Services, Inc. | 93,462 | 12,532,320 |
FleetCor Technologies, Inc.(a) | 57,209 | 14,389,780 |
Variable Portfolio Funds | Semiannual Report 2020 | 99 |
CTIVP® – Westfield Mid Cap Growth Fund, June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Global Payments, Inc. | 107,360 | 18,210,403 |
MongoDB, Inc.(a) | 25,560 | 5,785,250 |
Square, Inc., Class A(a) | 74,590 | 7,827,475 |
Twilio, Inc., Class A(a) | 66,810 | 14,659,450 |
Total | 82,224,278 | |
Semiconductors & Semiconductor Equipment 5.6% | ||
Applied Materials, Inc. | 167,110 | 10,101,799 |
Microchip Technology, Inc. | 57,250 | 6,028,998 |
NXP Semiconductors NV | 56,480 | 6,440,979 |
Xilinx, Inc. | 81,180 | 7,987,300 |
Total | 30,559,076 | |
Software 18.5% | ||
Dropbox, Inc., Class A(a) | 485,710 | 10,573,907 |
Fortinet, Inc.(a) | 112,980 | 15,508,764 |
HubSpot, Inc.(a) | 24,510 | 5,498,818 |
NiCE Ltd., ADR(a) | 42,540 | 8,050,270 |
ServiceNow, Inc.(a) | 37,583 | 15,223,370 |
Splunk, Inc.(a) | 97,937 | 19,460,082 |
SS&C Technologies Holdings, Inc. | 196,475 | 11,096,908 |
Zendesk, Inc.(a) | 181,670 | 16,083,245 |
Total | 101,495,364 | |
Technology Hardware, Storage & Peripherals 0.8% | ||
NCR Corp.(a) | 239,893 | 4,154,947 |
Total Information Technology | 225,162,708 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Materials 1.7% | ||
Chemicals 1.7% | ||
RPM International, Inc. | 122,740 | 9,212,865 |
Total Materials | 9,212,865 | |
Real Estate 4.0% | ||
Equity Real Estate Investment Trusts (REITS) 4.0% | ||
SBA Communications Corp. | 42,060 | 12,530,515 |
Sun Communities, Inc. | 69,562 | 9,438,172 |
Total | 21,968,687 | |
Total Real Estate | 21,968,687 | |
Total Common Stocks (Cost $432,173,767) | 546,344,620 | |
Money Market Funds 0.3% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(b),(c) | 1,481,614 | 1,481,614 |
Total Money Market Funds (Cost $1,481,614) | 1,481,614 | |
Total Investments in Securities (Cost: $433,655,381) | 547,826,234 | |
Other Assets & Liabilities, Net | (371,111) | |
Net Assets | 547,455,123 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | ||||||||
4,978,088 | 102,055,729 | (105,552,203) | — | 1,481,614 | 7,516 | 38,614 | 1,481,614 |
ADR | American Depositary Receipt |
100 | Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – Westfield Mid Cap Growth Fund, June 30, 2020 (Unaudited)
■ | 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 | 58,751,272 | — | — | 58,751,272 |
Financials | 30,170,437 | — | — | 30,170,437 |
Health Care | 119,249,276 | — | — | 119,249,276 |
Industrials | 81,829,375 | — | — | 81,829,375 |
Information Technology | 225,162,708 | — | — | 225,162,708 |
Materials | 9,212,865 | — | — | 9,212,865 |
Real Estate | 21,968,687 | — | — | 21,968,687 |
Total Common Stocks | 546,344,620 | — | — | 546,344,620 |
Money Market Funds | 1,481,614 | — | — | 1,481,614 |
Total Investments in Securities | 547,826,234 | — | — | 547,826,234 |
Variable Portfolio Funds | Semiannual Report 2020 | 101 |
Variable Portfolio – Partners Core Bond Fund, June 30, 2020 (Unaudited)
Asset-Backed Securities — Agency 0.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
COLT Mortgage Loan Trust | ||||
Series 2019 | ||||
11/25/2049 | 2.579% | 1,384,449 | 1,399,324 | |
Total Asset-Backed Securities — Agency (Cost $1,384,439) | 1,399,324 | |||
Asset-Backed Securities — Non-Agency 8.3% | ||||
Academic Loan Funding Trust(a),(b) | ||||
Series 2013-1A Class A | ||||
1-month USD LIBOR + 0.800% Floor 0.800% 12/26/2044 | 0.985% | 824,049 | 768,119 | |
American Tower Trust I(a) | ||||
Series 13 Class 2A | ||||
03/15/2023 | 3.070% | 1,900,000 | 1,943,866 | |
AmeriCredit Automobile Receivables Trust | ||||
Series 2017-1 Class B | ||||
02/18/2022 | 2.300% | 283,177 | 283,519 | |
Series 2017-1 Class C | ||||
08/18/2022 | 2.710% | 594,000 | 600,574 | |
Series 2017-1 Class D | ||||
01/18/2023 | 3.130% | 1,332,000 | 1,349,464 | |
Avis Budget Rental Car Funding AESOP LLC(a) | ||||
Series 2017-1A Class A | ||||
09/20/2023 | 3.070% | 613,000 | 615,106 | |
Series 2019-3A Class A | ||||
03/20/2026 | 2.360% | 1,653,000 | 1,595,659 | |
Business Jet Securities LLC(a) | ||||
Series 2018-1 Class A | ||||
02/15/2033 | 4.335% | 918,752 | 923,399 | |
Series 2018-2 Class A | ||||
06/15/2033 | 4.447% | 1,573,883 | 1,561,520 | |
Series 2019-1 Class A | ||||
07/15/2034 | 4.212% | 3,907,927 | 3,797,452 | |
BXG Receivables Note Trust(a) | ||||
Series 2012-A Class A | ||||
12/02/2027 | 2.660% | 69,157 | 69,157 | |
Cabela’s Credit Card Master Note Trust | ||||
Series 2015-2 Class A1 | ||||
07/17/2023 | 2.250% | 926,000 | 923,833 | |
Capital Auto Receivables Asset Trust(a) | ||||
Series 2018-1 Class A3 | ||||
01/20/2022 | 2.790% | 875,668 | 878,028 | |
Capital One Multi-Asset Execution Trust(b) | ||||
Series 2016-A2 Class A2 | ||||
1-month USD LIBOR + 0.630% 02/15/2024 | 0.815% | 3,368,000 | 3,380,914 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Carvana Auto Receivables Trust(a) | ||||
Series 2019-2A Class A3 | ||||
03/15/2023 | 2.580% | 3,373,000 | 3,380,009 | |
Series 2019-2A Class C | ||||
06/17/2024 | 3.000% | 4,000,000 | 4,018,604 | |
Subordinated Series 2019-3A Class D | ||||
04/15/2025 | 3.040% | 4,440,000 | 4,269,062 | |
Chase Funding Trust(b) | ||||
Series 2003-2 Class 2A2 | ||||
1-month USD LIBOR + 0.560% Floor 0.560% 02/25/2033 | 0.745% | 629,361 | 553,084 | |
Chase Funding Trust(c) | ||||
Series 2003-4 Class 1A5 | ||||
05/25/2033 | 5.916% | 313,152 | 325,608 | |
Series 2003-6 Class 1A5 | ||||
11/25/2034 | 5.850% | 261,209 | 273,426 | |
CNH Equipment Trust | ||||
Series 2020-A Class A3 | ||||
06/16/2025 | 1.160% | 1,880,000 | 1,895,372 | |
Series 2020-A Class A4 | ||||
04/15/2027 | 1.510% | 528,000 | 528,917 | |
College Ave Student Loans LLC(a),(b) | ||||
Series 2017-A Class A1 | ||||
1-month USD LIBOR + 1.650% Floor 1.650% 11/26/2046 | 1.835% | 836,566 | 786,420 | |
College Ave. Student Loans LLC(a) | ||||
Series 2018-A Class A2 | ||||
12/26/2047 | 4.130% | 707,537 | 701,094 | |
Series 2019-A Class A2 | ||||
12/28/2048 | 3.280% | 703,614 | 694,098 | |
Conix Mortgage Asset Trust(a),(d),(e),(f) | ||||
Series 2013-1 Class A | ||||
12/25/2047 | 0.000% | 1,078,519 | 17,041 | |
COOF Securitization Trust Ltd.(a),(c),(f),(g) | ||||
CMO Series 2014-1 Class A | ||||
06/25/2040 | 2.910% | 587,378 | 43,161 | |
CPS Auto Receivables Trust(a) | ||||
Series 2015-C Class D | ||||
08/16/2021 | 4.630% | 511,117 | 505,465 | |
Subordinated, Series 2015-B Class C | ||||
05/17/2021 | 4.200% | 364,860 | 365,793 | |
Credit Acceptance Auto Loan Trust(a) | ||||
Series 2018-1A Class A | ||||
02/16/2027 | 3.010% | 674,399 | 676,288 |
102 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners Core Bond Fund, June 30, 2020 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated Series 2020-1A Class B | ||||
04/16/2029 | 2.390% | 3,260,000 | 3,212,294 | |
Subordinated, Series 2017-2A Class C | ||||
06/15/2026 | 3.350% | 344,000 | 343,284 | |
Diamond Resorts Owner Trust(a) | ||||
Series 2017-1A Class A | ||||
10/22/2029 | 3.270% | 504,578 | 505,989 | |
Series 2018-1 Class A | ||||
01/21/2031 | 3.700% | 935,716 | 948,746 | |
Drive Auto Receivables Trust | ||||
Series 2018-4 Class C | ||||
11/15/2024 | 3.660% | 2,134,298 | 2,154,610 | |
Subordinated Series 2018-3 Class C | ||||
09/16/2024 | 3.720% | 1,459,716 | 1,471,472 | |
Subordinated Series 2019-1 Class D | ||||
06/15/2026 | 4.090% | 970,000 | 980,123 | |
Subordinated Series 2020-2 Class C | ||||
08/17/2026 | 2.280% | 1,885,000 | 1,901,241 | |
Subordinated, Series 2017-1 Class D | ||||
03/15/2023 | 3.840% | 1,115,277 | 1,127,737 | |
Drive Auto Receivables Trust(a) | ||||
Subordinated, Series 2016-CA Class D | ||||
03/15/2024 | 4.180% | 1,969,040 | 1,996,463 | |
Subordinated, Series 2017-3 Class D | ||||
12/15/2023 | 3.530% | 2,869,421 | 2,909,988 | |
Subordinated, Series 2017-AA Class D | ||||
05/15/2024 | 4.160% | 1,279,902 | 1,296,557 | |
DT Asset Trust(a),(d),(f) | ||||
Series 2017-B Class A | ||||
12/16/2022 | 5.840% | 1,500,000 | 1,495,995 | |
DT Auto Owner Trust(a) | ||||
Series 2017-3A Class D | ||||
05/15/2023 | 3.580% | 517,259 | 521,610 | |
Series 2020-2A Class B | ||||
03/16/2026 | 2.080% | 3,500,000 | 3,500,769 | |
Subordinated Series 2019-4A Class C | ||||
07/15/2025 | 2.730% | 2,895,000 | 2,924,871 | |
Subordinated, Series 2016-4A | ||||
10/17/2022 | 3.770% | 295,907 | 294,958 | |
Subordinated, Series 2017-1A Class D | ||||
11/15/2022 | 3.550% | 545,612 | 548,099 | |
ENGS Commercial Finance Trust(a) | ||||
Series 2016-1A Class A2 | ||||
02/22/2022 | 2.630% | 3,653 | 3,655 | |
Exeter Automobile Receivables Trust(a) | ||||
Series 2017-1A Class C | ||||
12/15/2022 | 3.950% | 532,877 | 530,337 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2018-4A Class B | ||||
11/15/2022 | 3.640% | 416,914 | 415,157 | |
Series 2020-2A Class B | ||||
07/15/2024 | 2.080% | 3,500,000 | 3,500,620 | |
First Investors Auto Owner Trust(a) | ||||
Series 2015-2A Class D | ||||
12/15/2021 | 4.220% | 152,052 | 152,052 | |
Flagship Credit Auto Trust(a) | ||||
Series 2016-1 Class C | ||||
06/15/2022 | 6.220% | 2,353,794 | 2,366,002 | |
Series 2019-2 Class A | ||||
10/16/2023 | 2.830% | 2,613,230 | 2,651,648 | |
Series 2019-4 Class D | ||||
01/15/2026 | 3.120% | 3,600,000 | 3,559,800 | |
Subordinated, Series 2015-3 Class C | ||||
03/15/2022 | 4.650% | 339,476 | 339,897 | |
Subordinated, Series 2016-4 Class C | ||||
11/15/2022 | 2.710% | 773,588 | 777,120 | |
Ford Credit Auto Owner Trust(a) | ||||
Series 2017-2 Class A | ||||
03/15/2029 | 2.360% | 3,567,000 | 3,654,694 | |
Series 2018-1 Class A | ||||
07/15/2031 | 3.190% | 6,064,000 | 6,479,632 | |
Series 2018-2 Class A | ||||
01/15/2030 | 3.470% | 3,970,000 | 4,194,640 | |
Series 2019-1 Class A | ||||
07/15/2030 | 3.520% | 2,093,000 | 2,229,355 | |
Series 2020-1 Class A | ||||
08/15/2031 | 2.040% | 6,989,000 | 6,942,631 | |
Ford Credit Auto Owner Trust | ||||
Series 2020-A Class A3 | ||||
08/15/2024 | 1.040% | 2,778,000 | 2,805,360 | |
Series 2020-A Class A4 | ||||
07/15/2025 | 1.350% | 913,000 | 919,117 | |
Series 2020-B Class A4 | ||||
11/15/2025 | 0.790% | 2,421,000 | 2,423,929 | |
FORT CRE LLC(a),(b) | ||||
Series 2018-1A Class D | ||||
1-month USD LIBOR + 3.430% Floor 3.430% 11/21/2035 | 3.620% | 6,025,000 | 4,967,303 | |
Foundation Finance Trust(a) | ||||
Series 2019-1A Class A | ||||
11/15/2034 | 3.860% | 1,118,273 | 1,128,560 | |
Foundation Finance Trust(a),(d),(f) | ||||
Series 2020-1A Class A | ||||
07/16/2040 | 3.540% | 4,286,000 | 4,285,571 |
Variable Portfolio Funds | Semiannual Report 2020 | 103 |
Variable Portfolio – Partners Core Bond Fund, June 30, 2020 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Franklin Limited Duration Income Trust(a),(c),(d),(f) | ||||
Series 2019-1 Class A | ||||
08/15/2020 | 5.500% | 1,926,476 | 1,348,627 | |
Freed ABS Trust(a) | ||||
Subordinated Series 2020-FP1 Class B | ||||
03/18/2027 | 3.060% | 4,000,000 | 3,706,454 | |
FREED ABS Trust(a) | ||||
Series 2018-1 Class A | ||||
07/18/2024 | 3.610% | 156,614 | 156,562 | |
Series 2018-2 Class A | ||||
10/20/2025 | 3.990% | 497,659 | 497,853 | |
Series 2019-2 Class A | ||||
11/18/2026 | 2.620% | 1,105,147 | 1,089,756 | |
GLS Auto Receivables Issuer Trust(a) | ||||
Series 2019-1A Class A | ||||
01/17/2023 | 3.370% | 339,266 | 342,166 | |
GM Financial Automobile Leasing Trust | ||||
Series 2020-2 Class A3 | ||||
07/20/2023 | 0.800% | 1,569,000 | 1,569,873 | |
Series 2020-2 Class A4 | ||||
07/22/2024 | 1.010% | 454,000 | 454,538 | |
GM Financial Consumer Automobile Receivables Trust | ||||
Series 2020-2 Class A3 | ||||
12/16/2024 | 1.490% | 1,436,000 | 1,464,017 | |
Series 2020-2 Class A4 | ||||
08/18/2025 | 1.740% | 718,000 | 741,080 | |
Gold Key Resorts(a) | ||||
Series 2014-A Class A | ||||
03/17/2031 | 3.220% | 131,834 | 131,823 | |
Goodgreen(a) | ||||
Series 2019-2A Class A | ||||
04/15/2055 | 2.760% | 2,055,187 | 2,036,335 | |
Goodgreen Trust(a) | ||||
Series 2017-1A Class A | ||||
10/15/2052 | 3.740% | 302,591 | 316,203 | |
Series 2017-2A Class A | ||||
10/15/2053 | 3.260% | 1,523,988 | 1,552,609 | |
Series 2017-R1A Class R | ||||
10/20/2052 | 5.000% | 2,598,792 | 2,617,487 | |
Hero Funding(a) | ||||
Series 2017-3A Class A2 | ||||
09/20/2048 | 3.950% | 1,291,565 | 1,354,453 | |
HERO Funding Trust(a) | ||||
Series 2016-3A Class A1 | ||||
09/20/2042 | 3.080% | 708,663 | 723,149 | |
Series 2017-1A Class A2 | ||||
09/20/2047 | 4.460% | 961,922 | 1,022,289 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Hilton Grand Vacations Trust(a) | ||||
Series 2017-AA Class A | ||||
12/26/2028 | 2.660% | 468,292 | 465,301 | |
Honda Auto Receivables Owner Trust | ||||
Series 2020-2 Class A3 | ||||
07/15/2024 | 0.820% | 3,281,000 | 3,301,944 | |
Series 2020-2 Class A4 | ||||
10/15/2026 | 1.090% | 1,120,000 | 1,130,409 | |
Kabbage Funding LLC(a) | ||||
Series 2019-1 Class A | ||||
03/15/2024 | 3.825% | 3,511,112 | 3,459,632 | |
Lending Point Asset Securitization Trust(a) | ||||
Series 2020-1 Class B | ||||
02/10/2026 | 3.107% | 4,900,000 | 4,701,640 | |
LendingPoint Asset Securitization Trust(a) | ||||
Series 2019-2 Class A | ||||
11/10/2025 | 3.071% | 2,069,959 | 2,084,114 | |
Lendmark Funding Trust(a) | ||||
Subordinated Series 2019-1A Class C | ||||
12/20/2027 | 3.900% | 3,600,000 | 3,117,035 | |
LL ABS Trust(a) | ||||
Series 2019-1A Class A | ||||
03/15/2027 | 2.870% | 1,283,522 | 1,280,860 | |
LV Tower 52 Issuer(a),(d),(f) | ||||
Series 2013-1 Class A | ||||
02/15/2023 | 5.750% | 2,651,169 | 2,673,943 | |
Series 2013-1 Class M | ||||
02/15/2023 | 7.750% | 990,199 | 998,705 | |
Mariner Finance Issuance Trust(a) | ||||
Series 2019-AA Class B | ||||
07/20/2032 | 3.510% | 2,115,000 | 1,893,597 | |
Series 2019-AA Class C | ||||
07/20/2032 | 4.010% | 5,560,000 | 5,256,944 | |
Mercedes-Benz Auto Receivables Trust | ||||
Series 2020-1 Class A3 | ||||
02/18/2025 | 0.550% | 3,007,000 | 3,008,255 | |
Series 2020-1 Class A4 | ||||
10/15/2026 | 0.770% | 792,000 | 793,198 | |
Mid-State Capital Corp. Trust(a) | ||||
Series 2006-1 Class M1 | ||||
10/15/2040 | 6.083% | 943,400 | 1,012,401 | |
Series 2010-1 Class M | ||||
12/15/2045 | 5.250% | 403,152 | 416,964 | |
Navient Private Education Loan Trust(a),(b) | ||||
Series 2016-AA Class A2B | ||||
1-month USD LIBOR + 2.150% 12/15/2045 | 2.335% | 2,908,784 | 2,947,110 |
104 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners Core Bond Fund, June 30, 2020 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Navient Private Education Loan Trust(a) | ||||
Series 2018-BA Class A2A | ||||
12/15/2059 | 3.610% | 1,442,039 | 1,485,063 | |
Navient Private Education Refi Loan Trust(a) | ||||
Series 2018-A Class A2 | ||||
02/18/2042 | 3.190% | 594,337 | 605,397 | |
Series 2018-CA Class A2 | ||||
06/16/2042 | 3.520% | 3,724,000 | 3,842,702 | |
Series 2018-DA Class A2A | ||||
12/15/2059 | 4.000% | 3,395,000 | 3,552,682 | |
Series 2019-A Class A2A | ||||
01/15/2043 | 3.420% | 3,873,000 | 3,958,936 | |
Series 2019-CA Class A2 | ||||
02/15/2068 | 3.130% | 1,760,000 | 1,816,458 | |
Series 2019-D Class A2A | ||||
12/15/2059 | 3.010% | 3,183,000 | 3,170,986 | |
Series 2019-FA Class A2 | ||||
08/15/2068 | 2.600% | 3,711,000 | 3,795,600 | |
Series 2019-GA Class A | ||||
10/15/2068 | 2.400% | 3,180,676 | 3,236,103 | |
Series 2020-A Class A2A | ||||
11/15/2068 | 2.460% | 2,065,000 | 2,104,060 | |
Series 2020-BA Class A2 | ||||
01/15/2069 | 2.120% | 1,596,000 | 1,620,713 | |
Series 2020-CA Class A2A | ||||
11/15/2068 | 2.150% | 1,571,000 | 1,562,897 | |
Series 2020-DA Class A | ||||
05/15/2069 | 1.690% | 1,958,000 | 1,956,790 | |
Navient Private Education Refi Loan Trust(a),(b) | ||||
Series 2020-A Class A2B | ||||
1-month USD LIBOR + 0.900% Floor 1.350% 11/15/2068 | 1.085% | 1,790,000 | 1,744,134 | |
Navient Student Loan Trust(b) | ||||
Series 2014-1 Class A3 | ||||
1-month USD LIBOR + 0.510% Floor 0.510% 06/25/2031 | 0.695% | 1,270,751 | 1,205,483 | |
Series 2015-1 Class A2 | ||||
1-month USD LIBOR + 0.600% Floor 0.600% 04/25/2040 | 0.785% | 1,103,199 | 1,057,590 | |
Navient Student Loan Trust(a),(b) | ||||
Series 2016-1A Class A | ||||
1-month USD LIBOR + 0.700% 02/25/2070 | 0.885% | 7,653,134 | 7,251,361 | |
Series 2016-3A Class A2 | ||||
1-month USD LIBOR + 0.850% 06/25/2065 | 1.035% | 142,148 | 142,177 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Navient Student Loan Trust(a) | ||||
Series 2018-EA Class A2 | ||||
12/15/2059 | 4.000% | 1,791,000 | 1,809,432 | |
Series 2019-BA Class A2A | ||||
12/15/2059 | 3.390% | 2,597,000 | 2,739,444 | |
NCUA Guaranteed Notes(b) | ||||
CMO Series 2010-A1 Class A | ||||
1-month USD LIBOR + 0.350% Floor 0.350% 12/07/2020 | 0.530% | 63,097 | 63,019 | |
Nelnet Student Loan Trust(b) | ||||
Series 2004-3 Class A5 | ||||
3-month USD LIBOR + 0.180% 10/27/2036 | 1.171% | 393,638 | 385,434 | |
Series 2004-4 Class A5 | ||||
3-month USD LIBOR + 0.160% Floor 0.160% 01/25/2037 | 1.151% | 2,781,242 | 2,675,422 | |
Series 2005-1 Class A5 | ||||
3-month USD LIBOR + 0.110% Floor 0.110% 10/25/2033 | 1.101% | 2,478,724 | 2,346,281 | |
Series 2005-2 Class A5 | ||||
3-month USD LIBOR + 0.100% Floor 0.100% 03/23/2037 | 0.406% | 6,272,317 | 5,938,226 | |
Series 2005-3 Class A5 | ||||
3-month USD LIBOR + 0.120% Floor 0.120% 12/24/2035 | 0.426% | 7,494,140 | 7,168,570 | |
Series 2005-4 Class A4 | ||||
3-month USD LIBOR + 0.180% Floor 0.180% 03/22/2032 | 0.486% | 569,136 | 529,715 | |
Nelnet Student Loan Trust(a),(b) | ||||
Series 2012-2A Class A | ||||
1-month USD LIBOR + 0.800% 12/26/2033 | 0.985% | 759,315 | 749,919 | |
OnDeck Asset Securitization Trust LLC(a) | ||||
Series 2018-1A Class A | ||||
04/18/2022 | 3.500% | 1,149,047 | 1,144,350 | |
Oportun Funding VIII LLC(a) | ||||
Series 2018-A Class A | ||||
03/08/2024 | 3.610% | 2,978,000 | 2,982,271 | |
Oportun Funding X LLC(a) | ||||
Series 2018-C Class A | ||||
10/08/2024 | 4.100% | 4,604,000 | 4,620,223 | |
Purchasing Power Funding LLC(a) | ||||
Series 2018-A Class A | ||||
08/15/2022 | 3.340% | 2,205,419 | 2,209,085 |
Variable Portfolio Funds | Semiannual Report 2020 | 105 |
Variable Portfolio – Partners Core Bond Fund, June 30, 2020 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Renew(a) | ||||
Series 2017-1A Class A | ||||
09/20/2052 | 3.670% | 391,192 | 403,725 | |
Santander Drive Auto Receivables Trust | ||||
Series 2020-1 Class A3 | ||||
02/15/2024 | 2.030% | 903,000 | 905,078 | |
Santander Retail Auto Lease Trust(a) | ||||
Series 2018-A Class A3 | ||||
05/20/2021 | 2.930% | 508,171 | 508,555 | |
Series 2020-A Class A4 | ||||
03/20/2024 | 1.760% | 4,410,000 | 4,380,374 | |
Santander Revolving Auto Loan Trust(a) | ||||
Series 2019-A Class A | ||||
01/26/2032 | 2.510% | 4,503,000 | 4,630,556 | |
SART(f) | ||||
Series 2017-1 Class X | ||||
11/17/2025 | 4.750% | 2,332,374 | 2,309,050 | |
SART(a),(f) | ||||
Series 2018-1 Class A | ||||
06/15/2025 | 4.750% | 2,919,241 | 2,919,241 | |
SLM Student Loan Trust(a),(b) | ||||
Series 2003-1 Class A5C | ||||
3-month USD LIBOR + 0.750% Floor 0.750% 12/15/2032 | 1.491% | 601,240 | 555,175 | |
SLM Student Loan Trust(b) | ||||
Series 2007-2 Class A4 | ||||
3-month USD LIBOR + 0.060% 07/25/2022 | 1.051% | 2,048,699 | 1,906,949 | |
Series 2012-1 Class A3 | ||||
1-month USD LIBOR + 0.950% Floor 0.950% 09/25/2028 | 1.135% | 2,974,491 | 2,819,342 | |
Series 2012-2 Class A | ||||
1-month USD LIBOR + 0.700% Floor 0.700% 01/25/2029 | 0.885% | 6,308,434 | 5,860,233 | |
SMB Private Education Loan Trust(a) | ||||
Series 2015-B Class A2A | ||||
07/15/2027 | 2.980% | 1,961,805 | 1,994,677 | |
Series 2016-A Class A2A | ||||
05/15/2031 | 2.700% | 1,840,377 | 1,881,869 | |
Series 2018-C Class A2A | ||||
11/15/2035 | 3.630% | 3,059,752 | 3,132,082 | |
Series 2019-A Class A2A | ||||
07/15/2036 | 3.440% | 5,028,000 | 5,102,688 | |
Series 2020-PTA Class A2A | ||||
09/15/2054 | 1.600% | 9,884,000 | 9,746,893 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
SMB Private Education Loan Trust(a),(b) | ||||
Series 2015-C Class A2B | ||||
1-month USD LIBOR + 1.400% Floor 1.400% 07/15/2027 | 1.585% | 107,418 | 107,756 | |
Series 2016-B Class A2B | ||||
1-month USD LIBOR + 1.450% 02/17/2032 | 1.635% | 2,327,137 | 2,333,225 | |
Series 2016-C Class A2B | ||||
1-month USD LIBOR + 1.100% Floor 1.100% 09/15/2034 | 1.285% | 400,815 | 397,719 | |
Series 2017-A Class A2B | ||||
1-month USD LIBOR + 0.900% 09/15/2034 | 1.085% | 3,338,944 | 3,298,839 | |
Series 2017-B Class A2B | ||||
1-month USD LIBOR + 0.750% Floor 0.750% 10/15/2035 | 0.935% | 1,709,063 | 1,650,514 | |
SoFi Consumer Loan Program LLC(a) | ||||
Series 2016-2A Class A | ||||
10/27/2025 | 3.090% | 38,634 | 38,527 | |
SoFi Professional Loan Program LLC(a),(b) | ||||
Series 2017-C Class A1 | ||||
1-month USD LIBOR + 0.600% 07/25/2040 | 0.785% | 629,470 | 607,059 | |
Series 2017-E Class A1 | ||||
1-month USD LIBOR + 0.500% 11/26/2040 | 0.685% | 115,017 | 109,695 | |
SoFi Professional Loan Program LLC(a) | ||||
Series 2017-D Class A2FX | ||||
09/25/2040 | 2.650% | 511,662 | 518,821 | |
Series 2017-E Class A2B | ||||
11/26/2040 | 2.720% | 2,807,000 | 2,852,826 | |
Series 2018-A Class A2B | ||||
02/25/2042 | 2.950% | 945,000 | 967,430 | |
SoFi Professional Loan Program Trust(a) | ||||
Series 2018-B Class A2FX | ||||
08/25/2047 | 3.340% | 2,400,000 | 2,425,828 | |
Series 2020-A Class A2FX | ||||
05/15/2046 | 2.540% | 4,159,000 | 4,294,339 | |
Series 2020-C Class AFX | ||||
02/15/2046 | 1.950% | 3,947,000 | 3,999,250 | |
Synchrony Card Funding LLC | ||||
Series 2019-A1 Class A | ||||
03/17/2025 | 2.950% | 4,541,000 | 4,702,537 | |
Series 2019-A2 Class A | ||||
06/16/2025 | 2.340% | 4,550,000 | 4,677,019 |
106 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners Core Bond Fund, June 30, 2020 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Synchrony Card Issuance Trust | ||||
Series 2018-A1 Class A1 | ||||
09/15/2024 | 3.380% | 2,000,000 | 2,059,282 | |
Toyota Auto Loan Extended Note Trust(a) | ||||
Series 2020-1A Class A | ||||
05/25/2033 | 1.350% | 11,448,000 | 11,577,991 | |
Toyota Auto Receivables Owner Trust | ||||
Series 2020-B Class A3 | ||||
08/15/2024 | 1.360% | 2,201,000 | 2,239,537 | |
Tricolor Auto Securitization Trust(a) | ||||
Series 2018-1A Class A | ||||
12/15/2020 | 5.050% | 299,280 | 297,897 | |
Series 2018-2A Class A | ||||
10/15/2021 | 3.960% | 254,266 | 253,182 | |
Subordinated Series 2018-2A Class B | ||||
02/15/2022 | 4.760% | 1,904,441 | 1,905,805 | |
Tricon American Homes Trust(a) | ||||
Series 2016-SFR1 Class A | ||||
11/17/2033 | 2.589% | 1,636,625 | 1,644,594 | |
Upstart Securitization Trust(a) | ||||
Series 2020-1 Class A | ||||
04/22/2030 | 2.322% | 5,134,409 | 5,136,023 | |
US Auto Funding LLC(a) | ||||
Series 2018-1A Class A | ||||
07/15/2023 | 5.500% | 829,208 | 845,870 | |
Verizon Owner Trust | ||||
Series 2019-C Class A1A | ||||
04/22/2024 | 1.940% | 4,976,000 | 5,102,250 | |
Series 2020-A Class A1A | ||||
07/22/2024 | 1.850% | 4,627,000 | 4,746,553 | |
VM Debt LLC(a),(f) | ||||
Series 2019-1 Class A1A | ||||
06/17/2024 | 7.500% | 2,639,531 | 2,483,218 | |
Volkswagen Auto Loan Enhanced Trust | ||||
Series 2020-1 Class A3 | ||||
11/20/2024 | 0.980% | 2,379,000 | 2,378,789 | |
Series 2020-1 Class A4 | ||||
08/20/2026 | 1.260% | 892,000 | 891,699 | |
VSE Voi Mortgage LLC(a) | ||||
Series 2018-A Class A | ||||
02/20/2036 | 3.560% | 715,344 | 723,656 | |
Westgate Resorts LLC(a) | ||||
Series 2017-1A Class B | ||||
12/20/2030 | 3.050% | 325,741 | 324,613 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
World Financial Network Credit Card Master Trust | ||||
Series 2019-A Class A | ||||
12/15/2025 | 3.140% | 2,015,000 | 2,075,906 | |
Total Asset-Backed Securities — Non-Agency (Cost $389,179,975) | 386,048,523 | |||
Commercial Mortgage-Backed Securities - Agency 6.5% | ||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates | ||||
Series 2017 K065 Class A2 | ||||
04/25/2027 | 3.243% | 1,408,000 | 1,601,051 | |
Series 2017 K065 Class AM | ||||
05/25/2027 | 3.326% | 755,000 | 841,690 | |
Series 2017 K066 Class A2 | ||||
06/25/2027 | 3.117% | 1,858,000 | 2,109,162 | |
Series K077 Class A2 | ||||
05/25/2028 | 3.850% | 2,115,000 | 2,521,841 | |
Series KJ07 Class A2 | ||||
12/25/2022 | 2.312% | 3,501,193 | 3,646,960 | |
Series KPLB Class A | ||||
05/25/2025 | 2.770% | 7,500,000 | 8,152,237 | |
Series KS07 Class A2 | ||||
09/25/2025 | 2.735% | 3,600,000 | 3,876,040 | |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates(c) | ||||
Series 2017-K070 Class A2 | ||||
11/25/2027 | 3.303% | 1,311,000 | 1,511,362 | |
Series K081 Class A2 | ||||
08/25/2028 | 3.900% | 2,245,000 | 2,692,262 | |
Series W5FX Class AFX | ||||
04/25/2028 | 3.336% | 1,256,000 | 1,429,926 | |
Federal National Mortgage Association | ||||
07/01/2020 | 4.066% | 2,168,501 | 2,168,555 | |
01/01/2021 | 4.325% | 571,175 | 574,388 | |
09/01/2021 | 2.120% | 2,800,000 | 2,845,106 | |
06/01/2022 | 2.790% | 2,342,163 | 2,413,730 | |
07/01/2022 | 2.670% | 5,000,000 | 5,158,085 | |
08/01/2022 | 2.650% | 7,000,000 | 7,229,812 | |
11/01/2022 | 2.450% | 5,932,275 | 6,134,415 | |
02/01/2023 | 2.460% | 2,486,143 | 2,584,700 | |
04/01/2023 | 2.500% | 6,000,000 | 6,249,219 | |
04/01/2023 | 2.640% | 2,650,268 | 2,780,662 | |
05/01/2023 | 2.520% | 3,000,000 | 3,129,933 | |
06/01/2023 | 2.420% | 2,591,310 | 2,716,976 | |
06/01/2023 | 2.510% | 1,717,669 | 1,800,219 | |
07/01/2023 | 3.670% | 6,000,000 | 6,474,661 | |
08/01/2023 | 3.590% | 2,500,000 | 2,688,127 | |
11/01/2023 | 3.690% | 1,174,173 | 1,268,747 | |
07/01/2025 | 3.070% | 9,508,132 | 10,308,613 | |
09/01/2025 | 3.100% | 2,434,936 | 2,620,031 | |
12/01/2025 | 3.765% | 6,835,806 | 7,695,492 | |
07/01/2026 | 4.450% | 2,592,910 | 2,980,751 | |
10/01/2026 | 3.235% | 1,347,773 | 1,503,873 |
Variable Portfolio Funds | Semiannual Report 2020 | 107 |
Variable Portfolio – Partners Core Bond Fund, June 30, 2020 (Unaudited)
Commercial Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
12/01/2026 | 3.240% | 1,500,000 | 1,689,712 | |
01/01/2027 | 3.710% | 2,981,667 | 3,378,993 | |
02/01/2027 | 3.340% | 1,000,000 | 1,120,925 | |
03/01/2027 | 2.910% | 3,445,711 | 3,820,245 | |
05/01/2027 | 2.430% | 2,399,357 | 2,602,673 | |
06/01/2027 | 2.370% | 4,550,000 | 4,902,616 | |
06/01/2027 | 3.000% | 2,000,000 | 2,239,330 | |
07/01/2027 | 3.210% | 918,887 | 1,033,042 | |
08/01/2027 | 2.900% | 3,500,000 | 3,899,659 | |
06/01/2028 | 3.570% | 2,787,000 | 3,203,959 | |
10/01/2028 | 3.890% | 1,342,000 | 1,578,375 | |
11/01/2028 | 4.250% | 567,291 | 669,971 | |
12/01/2028 | 3.930% | 8,530,000 | 10,065,506 | |
01/01/2029 | 4.070% | 5,120,000 | 5,381,439 | |
02/01/2029 | 3.740% | 1,515,000 | 1,772,040 | |
10/01/2029 | 3.200% | 8,488,707 | 9,692,718 | |
02/01/2030 | 2.570% | 2,560,000 | 2,822,999 | |
02/01/2030 | 2.920% | 2,829,172 | 3,169,689 | |
02/01/2030 | 3.550% | 1,000,000 | 1,165,723 | |
06/01/2030 | 3.130% | 4,812,000 | 5,393,488 | |
06/01/2030 | 3.670% | 6,600,000 | 7,715,449 | |
06/01/2030 | 3.800% | 5,000,000 | 5,903,267 | |
07/01/2030 | 3.210% | 4,205,000 | 4,790,431 | |
07/01/2030 | 3.300% | 4,022,000 | 4,633,098 | |
07/01/2030 | 3.340% | 2,500,000 | 2,876,733 | |
07/01/2030 | 3.850% | 4,500,000 | 5,322,854 | |
09/01/2030 | 3.390% | 5,506,297 | 6,293,278 | |
09/01/2030 | 3.410% | 7,500,000 | 8,654,830 | |
01/01/2032 | 2.730% | 2,647,248 | 2,884,096 | |
01/01/2032 | 2.730% | 1,825,000 | 2,046,359 | |
01/01/2032 | 2.780% | 2,258,496 | 2,537,450 | |
01/01/2032 | 2.970% | 1,639,155 | 1,863,396 | |
02/01/2032 | 2.990% | 3,000,000 | 3,424,689 | |
05/01/2033 | 3.530% | 2,594,000 | 3,099,694 | |
04/01/2035 | 3.330% | 2,493,289 | 2,950,795 | |
06/01/2036 | 3.150% | 2,772,818 | 3,221,613 | |
06/01/2037 | 5.889% | 400,719 | 421,785 | |
Series 2011-M1 Class A3 | ||||
06/25/2021 | 3.763% | 588,306 | 597,790 | |
Series 2015-M10 Class A2 | ||||
04/25/2027 | 3.092% | 11,666,000 | 12,980,871 | |
Series 2017-M5 Class A2 | ||||
04/25/2029 | 3.176% | 1,929,000 | 2,188,799 | |
Series 2017-T1 Class A | ||||
06/25/2027 | 2.898% | 2,772,265 | 2,995,681 | |
Federal National Mortgage Association(c) | ||||
CMO Series 2013-M13 Class A2 | ||||
04/25/2023 | 2.632% | 1,878,362 | 1,965,768 | |
CMO Series 2014-M3 Class A2 | ||||
01/25/2024 | 3.501% | 1,445,808 | 1,566,933 | |
CMO Series 2015-M11 Class A2 | ||||
04/25/2025 | 2.915% | 2,000,000 | 2,146,256 |
Commercial Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2017-M12 Class A2 | ||||
06/25/2027 | 3.181% | 2,402,000 | 2,674,016 | |
Series 2017-M7 Class A2 | ||||
02/25/2027 | 2.961% | 546,000 | 605,080 | |
Series 2018-M10 Class A2 | ||||
07/25/2028 | 3.497% | 2,683,000 | 3,095,488 | |
Series 2018-M3 Class A2 | ||||
02/25/2030 | 3.193% | 1,057,000 | 1,196,286 | |
Series 2018-M4 Class A2 | ||||
03/25/2028 | 3.147% | 1,473,000 | 1,661,976 | |
FREMF Mortgage Trust(a),(c) | ||||
Subordinated, Series 2015-K44 Class B | ||||
01/25/2048 | 3.807% | 3,410,000 | 3,629,931 | |
Subordinated, Series 2016-K59 Class B | ||||
11/25/2049 | 3.696% | 2,383,000 | 2,539,795 | |
Subordinated, Series 2016-K722 Class B | ||||
07/25/2049 | 3.975% | 1,400,000 | 1,459,654 | |
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 | 0.653% | 2,009,067 | 2,001,816 | |
CMO Series 2015-H15 Class FJ | ||||
1-month USD LIBOR + 0.440% Floor 0.440%, Cap 11.000% 06/20/2065 | 0.743% | 3,002,161 | 2,991,610 | |
CMO Series 2015-H16 Class FG | ||||
1-month USD LIBOR + 0.440% Floor 0.440%, Cap 11.000% 07/20/2065 | 0.743% | 2,876,223 | 2,866,089 | |
CMO Series 2015-H16 Class FL | ||||
1-month USD LIBOR + 0.440% Floor 0.440%, Cap 11.000% 07/20/2065 | 0.743% | 1,583,829 | 1,578,071 | |
CMO Series 2015-H18 Class FA | ||||
1-month USD LIBOR + 0.450% Floor 0.450%, Cap 11.000% 06/20/2065 | 0.753% | 980,808 | 978,516 | |
Government National Mortgage Association(c) | ||||
CMO Series 2014-168 Class VB | ||||
06/16/2047 | 3.386% | 3,140,769 | 3,367,582 | |
Total Commercial Mortgage-Backed Securities - Agency (Cost $275,059,171) | 303,039,553 | |||
Commercial Mortgage-Backed Securities - Non-Agency 2.9% | ||||
American Homes 4 Rent Trust(a) | ||||
Series 2014-SFR2 Class A | ||||
10/17/2036 | 3.786% | 2,352,005 | 2,526,632 |
108 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners Core Bond Fund, June 30, 2020 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2014-SFR2 Class E | ||||
10/17/2036 | 6.231% | 500,000 | 553,829 | |
Series 2014-SFR3 Class A | ||||
12/17/2036 | 3.678% | 1,038,995 | 1,114,675 | |
Series 2014-SFR3 Class E | ||||
12/17/2036 | 6.418% | 1,000,000 | 1,112,406 | |
Series 2015-SFR1 Class A | ||||
04/17/2052 | 3.467% | 1,132,219 | 1,212,175 | |
Series 2015-SFR1 Class E | ||||
04/17/2052 | 5.639% | 1,150,000 | 1,256,365 | |
Subordinated, Series 2014-SFR3 Class C | ||||
12/17/2036 | 4.596% | 200,000 | 216,142 | |
Subordinated, Series 2015-SFR2 Class D | ||||
10/17/2045 | 5.036% | 2,000,000 | 2,232,173 | |
Subordinated, Series 2015-SFR2 Class E | ||||
10/17/2045 | 6.070% | 1,820,000 | 2,036,431 | |
Americold 2010 LLC Trust(a),(d),(f) | ||||
Series 2017-TL Class A | ||||
12/26/2037 | 3.000% | 2,840,000 | 2,811,600 | |
AMSR Trust(a) | ||||
Series 2020-SFR2 Class C | ||||
07/17/2037 | 2.533% | 4,000,000 | 4,040,223 | |
B2R Mortgage Trust(a) | ||||
Series 2015-2 Class A | ||||
11/15/2048 | 3.336% | 305,745 | 305,612 | |
BBCMS Mortgage Trust | ||||
Series 2018-C2 Class ASB | ||||
12/15/2051 | 4.236% | 3,294,000 | 3,758,859 | |
BB-UBS Trust(a) | ||||
Series 2012-SHOW Class A | ||||
11/05/2036 | 3.430% | 3,700,000 | 3,649,134 | |
Series 2012-TFT Class A | ||||
06/05/2030 | 2.892% | 386,000 | 352,475 | |
Bear Stearns Commercial Mortgage Securities Trust(a),(c),(g) | ||||
CMO Series 2007-T26 Class X1 | ||||
01/12/2045 | 0.009% | 12,556,212 | 4,815 | |
Benchmark Mortgage Trust | ||||
Series 2018-B1 Class ASB | ||||
01/15/2051 | 3.602% | 449,000 | 492,587 | |
Camden Property Trust(a),(d),(f) | ||||
Series 2016-SFR1 Class A | ||||
12/05/2026 | 5.000% | 4,802,166 | 4,791,661 | |
CD Mortgage Trust(c) | ||||
Series 2017-CD4 Class A4 | ||||
05/10/2050 | 3.514% | 961,000 | 1,068,954 | |
CD Mortgage Trust | ||||
Series 2017-CD6 Class ASB | ||||
11/13/2050 | 3.332% | 1,499,000 | 1,628,218 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CFCRE Commercial Mortgage Trust | ||||
Series 2017-C8 Class A1 | ||||
06/15/2050 | 1.965% | 137,123 | 137,634 | |
Series 2017-C8 Class ASB | ||||
06/15/2050 | 3.367% | 1,040,000 | 1,108,916 | |
Citigroup Commercial Mortgage Trust | ||||
Series 2020-GC46 Class A5 | ||||
01/15/2053 | 2.717% | 6,215,000 | 6,703,792 | |
Citigroup/Deutsche Bank Commercial Mortgage Trust(a),(c),(g) | ||||
CMO Series 2006-CD2 Class X | ||||
01/15/2046 | 0.023% | 2,024,000 | 1 | |
CMO Series 2007-CD4 Class XC | ||||
12/11/2049 | 1.514% | 49,335 | 1,795 | |
COBALT CMBS Commercial Mortgage Trust(c),(g) | ||||
CMO Series 2006-C1 Class | ||||
08/15/2048 | 1.089% | 377,855 | 3,212 | |
Colony American Finance Ltd.(a) | ||||
Series 2016-2 Class A | ||||
11/15/2048 | 2.554% | 793,135 | 795,574 | |
COMM Mortgage Trust | ||||
Series 2015-LC21 Class A4 | ||||
07/10/2048 | 3.708% | 726,000 | 797,889 | |
Series 2015-LC23 Class A4 | ||||
10/10/2048 | 3.774% | 1,453,000 | 1,608,225 | |
COMM Mortgage Trust(a) | ||||
Series 2018-HOME Class A | ||||
04/10/2033 | 3.942% | 3,125,000 | 3,528,258 | |
Series 2020-CBM Class A2 | ||||
02/10/2037 | 2.896% | 4,000,000 | 3,888,988 | |
Series 2020-CBM Class C | ||||
02/10/2037 | 3.402% | 3,480,000 | 3,222,602 | |
Commercial Mortgage Trust(c),(g) | ||||
CMO Series 2012-CR2 Class XA | ||||
08/15/2045 | 1.790% | 2,019,318 | 53,100 | |
Commercial Mortgage Trust | ||||
Series 2012-LC4 Class A4 | ||||
12/10/2044 | 3.288% | 4,694,657 | 4,768,737 | |
Series 2014-CR19 Class ASB | ||||
08/10/2047 | 3.499% | 932,022 | 972,604 | |
Series 2014-UBS2 Class A5 | ||||
03/10/2047 | 3.961% | 1,396,375 | 1,511,977 | |
Series 2015-CR25 Class A4 | ||||
08/10/2048 | 3.759% | 2,187,000 | 2,401,074 | |
Commercial Mortgage Trust(a) | ||||
Series 2013-300P Class A1 | ||||
08/10/2030 | 4.353% | 2,000,000 | 2,144,040 |
Variable Portfolio Funds | Semiannual Report 2020 | 109 |
Variable Portfolio – Partners Core Bond Fund, June 30, 2020 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Commercial Mortgage Trust(a),(c) | ||||
Series 2013-SFS Class A2 | ||||
04/12/2035 | 3.086% | 624,000 | 608,790 | |
Corevest American Finance Trust(a) | ||||
Subordinated Series 2019-1 Class B | ||||
03/15/2052 | 3.880% | 1,960,000 | 2,004,332 | |
CoreVest American Finance Trust(a) | ||||
Series 2019-3 Class A | ||||
10/15/2052 | 2.705% | 2,181,558 | 2,214,725 | |
Credit Suisse Commercial Mortgage Trust(d),(f) | ||||
Series 2019-SFR Class A1 | ||||
07/25/2023 | 3.500% | 2,569,671 | 2,559,932 | |
CSAIL Commercial Mortgage Trust | ||||
Series 2015-C2 Class A4 | ||||
06/15/2057 | 3.504% | 931,000 | 1,006,852 | |
Series 2015-C4 Class A4 | ||||
11/15/2048 | 3.808% | 1,279,000 | 1,409,711 | |
DBJPM Mortgage Trust | ||||
Series 2017-C6 Class ASB | ||||
06/10/2050 | 3.121% | 347,000 | 370,303 | |
FREMF Mortgage Trust(a),(c) | ||||
Series 2020-K737 Class B | ||||
01/25/2053 | 3.415% | 4,000,000 | 4,144,028 | |
GS Mortgage Securities Corp. II(a) | ||||
Series 2012-ALOH Class A | ||||
04/10/2034 | 3.551% | 2,000,000 | 2,023,104 | |
GS Mortgage Securities Corp. Trust(a),(c),(g) | ||||
CMO Series 2006-GG8 Class X | ||||
11/10/2039 | 1.270% | 1,744,861 | 5,721 | |
GS Mortgage Securities Trust | ||||
Series 2015-GC28 Class A5 | ||||
02/10/2048 | 3.396% | 1,407,000 | 1,512,807 | |
Series 2015-GC32 Class AAB | ||||
07/10/2048 | 3.513% | 7,000,000 | 7,320,168 | |
Series 2015-GC34 Class A4 | ||||
10/10/2048 | 3.506% | 1,030,000 | 1,125,108 | |
Impact Funding Affordable Multifamily Housing Mortgage Loan Trust(a) | ||||
Series 2010-1 Class A1 | ||||
01/25/2051 | 5.314% | 2,332,396 | 2,499,246 | |
Independence Plaza Trust(a) | ||||
Series 2018-INDP Class A | ||||
07/10/2035 | 3.763% | 2,060,000 | 2,164,592 | |
JPMBB Commercial Mortgage Securities Trust | ||||
Series 2014-C23 Class A4 | ||||
09/15/2047 | 3.670% | 708,000 | 762,726 | |
Series 2014-C26 Class A4 | ||||
01/15/2048 | 3.494% | 1,413,000 | 1,527,864 | |
Series 2015-C28 Class A3 | ||||
10/15/2048 | 2.912% | 2,998,190 | 3,155,610 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2015-C29 Class A4 | ||||
05/15/2048 | 3.611% | 1,090,000 | 1,187,670 | |
Series 2015-C33 Class A4 | ||||
12/15/2048 | 3.770% | 500,000 | 553,698 | |
Series 2020-COR7 Class A5 | ||||
05/13/2053 | 2.180% | 1,178,000 | 1,215,735 | |
JPMCC Commercial Mortgage Securities Trust | ||||
Series 2017-JP6 Class ASB | ||||
07/15/2050 | 3.283% | 2,855,000 | 3,056,720 | |
JPMDB Commercial Mortgage Securities Trust | ||||
Series 2018-C8 Class ASB | ||||
06/15/2051 | 4.145% | 722,000 | 811,329 | |
JPMorgan Chase Commercial Mortgage Securities Trust(c),(g) | ||||
CMO Series 2006-CB15 Class X1 | ||||
06/12/2043 | 0.395% | 3,546,265 | 12,362 | |
JPMorgan Chase Commercial Mortgage Securities Trust(a),(c),(g) | ||||
CMO Series 2010-C2 Class XA | ||||
11/15/2043 | 1.752% | 2,123,458 | 88 | |
KGS-Alpha SBA COOF Trust(a),(c),(d),(f),(g) | ||||
CMO Series 2012-2 Class A | ||||
08/25/2038 | 0.657% | 1,771,178 | 24,354 | |
CMO Series 2013-2 Class A | ||||
03/25/2039 | 1.728% | 2,709,376 | 99,485 | |
CMO Series 2014-2 Class A | ||||
04/25/2040 | 2.763% | 634,850 | 40,273 | |
Ladder Capital Commercial Mortgage Trust(a) | ||||
Series 2013-GCP Class A2 | ||||
02/15/2036 | 3.985% | 1,535,000 | 1,675,312 | |
LB-UBS Commercial Mortgage Trust(a),(c),(g) | ||||
CMO Series 2006-C1 Class XCL | ||||
02/15/2041 | 0.390% | 1,914,689 | 221 | |
Merrill Lynch/Countrywide Commercial Mortgage Trust(a),(c),(g) | ||||
CMO Series 2006-4 Class XC | ||||
12/12/2049 | 0.747% | 300,883 | 4 | |
Morgan Stanley Bank of America Merrill Lynch Trust(c) | ||||
Series 2013-C10 Class A4 | ||||
07/15/2046 | 4.218% | 167,000 | 179,143 | |
Morgan Stanley Bank of America Merrill Lynch Trust | ||||
Series 2015-C25 Class ASB | ||||
10/15/2048 | 3.383% | 631,000 | 663,234 | |
Morgan Stanley Capital I Trust(a),(c),(g) | ||||
CMO Series 2006-IQ12 Class X1 | ||||
12/15/2043 | 0.627% | 520,431 | 8 | |
CMO Series 2006-T21 Class X | ||||
10/12/2052 | 0.076% | 3,565,661 | 1,971 | |
CMO Series 2007-HQ11 Class X | ||||
02/12/2044 | 0.365% | 403,369 | 280 |
110 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners Core Bond Fund, June 30, 2020 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Morgan Stanley Capital I Trust | ||||
Series 2018-L1 Class A4 | ||||
10/15/2051 | 4.407% | 888,000 | 1,058,754 | |
MRCD MARK Mortgage Trust(a) | ||||
Series 2019-PARK Class A | ||||
12/15/2036 | 2.718% | 4,000,000 | 4,052,562 | |
Series 2019-PARK Class D | ||||
12/15/2036 | 2.718% | 2,375,000 | 2,289,793 | |
RBS Commercial Funding, Inc., Trust(a) | ||||
Series 2013-SMV Class A | ||||
03/11/2031 | 3.260% | 797,000 | 780,762 | |
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 | 889,944 | |
Vericrest Opportunity Loan Trust(a),(h),(i) | ||||
CMO Series 2020-NPL6 Class A1A | ||||
12/31/2049 | 3.967% | 3,715,000 | 3,715,000 | |
VNDO Mortgage Trust(a) | ||||
Series 2012-6AVE Class A | ||||
11/15/2030 | 2.996% | 1,165,409 | 1,198,570 | |
Series 2013-PENN Class A | ||||
12/13/2029 | 3.808% | 3,000,000 | 3,028,935 | |
Wachovia Bank Commercial Mortgage Trust(a),(c),(g) | ||||
CMO Series 2004-C12 Class | ||||
07/15/2041 | 0.802% | 1,477,290 | 24 | |
CMO Series 2006-C24 Class XC | ||||
03/15/2045 | 0.000% | 514,833 | 5 | |
WF-RBS Commercial Mortgage Trust(a) | ||||
Series 2011-C3 Class A4 | ||||
03/15/2044 | 4.375% | 1,145,138 | 1,157,710 | |
WF-RBS Commercial Mortgage Trust | ||||
Series 2012-C6 Class A4 | ||||
04/15/2045 | 3.440% | 926,442 | 944,874 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $133,739,341) | 136,167,823 | |||
Corporate Bonds & Notes 30.6% | ||||
Aerospace & Defense 0.5% | ||||
Airbus Finance BV(a) | ||||
04/17/2023 | 2.700% | 589,000 | 611,151 | |
Airbus Group SE(a) | ||||
04/10/2027 | 3.150% | 409,000 | 424,645 | |
04/10/2047 | 3.950% | 150,000 | 160,979 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Boeing Co. (The) | ||||
05/01/2023 | 4.508% | 2,818,000 | 2,978,015 | |
02/01/2027 | 2.700% | 1,153,000 | 1,123,758 | |
02/01/2030 | 2.950% | 1,224,000 | 1,198,140 | |
05/01/2050 | 5.805% | 860,000 | 1,017,984 | |
General Dynamics Corp. | ||||
04/01/2040 | 4.250% | 305,000 | 379,710 | |
Harris Corp. | ||||
04/27/2035 | 4.854% | 310,000 | 394,117 | |
Lockheed Martin Corp. | ||||
05/15/2036 | 4.500% | 400,000 | 518,795 | |
Northrop Grumman Corp. | ||||
10/15/2022 | 2.550% | 2,377,000 | 2,479,315 | |
08/01/2023 | 3.250% | 2,191,000 | 2,357,064 | |
01/15/2025 | 2.930% | 103,000 | 111,300 | |
01/15/2028 | 3.250% | 1,536,000 | 1,713,366 | |
05/01/2040 | 5.150% | 1,171,000 | 1,565,914 | |
10/15/2047 | 4.030% | 780,000 | 938,149 | |
Raytheon Technologies Corp.(a) | ||||
03/15/2024 | 3.200% | 175,000 | 187,891 | |
04/15/2047 | 4.350% | 528,000 | 642,535 | |
United Technologies Corp. | ||||
08/16/2023 | 3.650% | 154,000 | 166,890 | |
08/16/2025 | 3.950% | 1,083,000 | 1,234,050 | |
11/16/2028 | 4.125% | 1,110,000 | 1,306,457 | |
11/16/2038 | 4.450% | 1,008,000 | 1,231,013 | |
06/01/2042 | 4.500% | 450,000 | 559,482 | |
11/01/2046 | 3.750% | 450,000 | 511,064 | |
11/16/2048 | 4.625% | 584,000 | 755,876 | |
Total | 24,567,660 | |||
Agencies 0.1% | ||||
Crowley Conro LLC | ||||
08/15/2043 | 4.181% | 726,620 | 913,653 | |
Israel Government AID Bond(j) | ||||
11/01/2024 | 0.000% | 5,000,000 | 4,744,815 | |
Total | 5,658,468 | |||
Airlines 0.3% | ||||
Air Canada Pass-Through Trust(a) | ||||
05/15/2025 | 4.125% | 1,653,898 | 1,499,151 | |
Series 2017-1 Class A | ||||
01/15/2030 | 3.550% | 502,221 | 410,416 | |
Series 2017-1 Class AA | ||||
01/15/2030 | 3.300% | 354,509 | 313,342 | |
American Airlines Pass-Through Trust | ||||
Series 2015-1 Class A | ||||
05/01/2027 | 3.375% | 489,046 | 408,685 | |
Series 2016-2 Class A | ||||
06/15/2028 | 3.650% | 183,040 | 148,503 |
Variable Portfolio Funds | Semiannual Report 2020 | 111 |
Variable Portfolio – Partners Core Bond Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2016-3 Class AA | ||||
10/15/2028 | 3.000% | 2,754,705 | 2,510,115 | |
Series 2017-1 Class AA | ||||
02/15/2029 | 3.650% | 584,815 | 553,973 | |
Series 2017-2 Class B | ||||
10/15/2025 | 3.700% | 180,300 | 124,334 | |
British Airways Pass-Through Trust(a) | ||||
Series 2018-1 Class A | ||||
09/20/2031 | 4.125% | 598,310 | 488,169 | |
Series 2018-1 Class AA | ||||
09/20/2031 | 3.800% | 432,836 | 411,050 | |
Series 2019-1 Class AA | ||||
12/15/2032 | 3.300% | 654,055 | 588,657 | |
Continental Airlines Pass-Through Trust | ||||
04/19/2022 | 5.983% | 516,068 | 479,982 | |
10/29/2024 | 4.000% | 122,086 | 110,358 | |
Southwest Airlines Co. | ||||
05/04/2023 | 4.750% | 1,608,000 | 1,651,800 | |
06/15/2027 | 5.125% | 2,411,000 | 2,491,490 | |
Spirit Airlines Pass-Through Trust | ||||
02/15/2030 | 3.375% | 274,155 | 253,236 | |
United Airlines, Inc. Pass-Through Trust | ||||
08/15/2025 | 4.300% | 220,501 | 201,825 | |
03/01/2026 | 4.600% | 222,144 | 162,902 | |
Series 2016-1 Class AA | ||||
07/07/2028 | 3.100% | 694,467 | 660,798 | |
Series 2016-1 Class B | ||||
01/07/2026 | 3.650% | 108,560 | 80,281 | |
Series 2018-1 Class AA | ||||
03/01/2030 | 3.500% | 765,082 | 713,439 | |
Series 2019-1 Class A | ||||
08/25/2031 | 4.550% | 889,460 | 730,604 | |
Series 2019-1 Class AA | ||||
08/25/2031 | 4.150% | 995,491 | 966,343 | |
Total | 15,959,453 | |||
Apartment REIT 0.2% | ||||
ERP Operating LP | ||||
12/01/2028 | 4.150% | 480,000 | 568,012 | |
Essex Portfolio LP | ||||
03/15/2032 | 2.650% | 865,000 | 915,282 | |
Mid-America Apartments LP | ||||
10/15/2023 | 4.300% | 771,000 | 844,547 | |
06/15/2024 | 3.750% | 1,762,000 | 1,905,864 | |
11/15/2025 | 4.000% | 921,000 | 1,032,430 | |
06/01/2027 | 3.600% | 109,000 | 121,113 | |
03/15/2029 | 3.950% | 757,000 | 870,394 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
UDR, Inc. | ||||
09/01/2026 | 2.950% | 363,000 | 387,458 | |
01/15/2030 | 3.200% | 550,000 | 592,721 | |
08/15/2031 | 3.000% | 115,000 | 122,648 | |
Total | 7,360,469 | |||
Automotive 0.4% | ||||
BMW U.S. Capital LLC(a) | ||||
09/15/2023 | 2.250% | 720,000 | 744,428 | |
BorgWarner, Inc. | ||||
07/01/2027 | 2.650% | 1,666,000 | 1,708,468 | |
Daimler Finance North America LLC(a) | ||||
03/10/2025 | 2.125% | 2,078,000 | 2,097,406 | |
General Motors Co. | ||||
04/01/2048 | 5.400% | 1,119,000 | 1,121,787 | |
General Motors Financial Co., Inc. | ||||
03/20/2023 | 5.200% | 2,491,000 | 2,661,929 | |
04/13/2024 | 3.950% | 186,000 | 192,074 | |
02/26/2025 | 2.900% | 1,906,000 | 1,898,746 | |
04/09/2025 | 4.350% | 439,000 | 462,692 | |
06/20/2025 | 2.750% | 4,224,000 | 4,171,908 | |
Harley-Davidson Financial Services, Inc.(a) | ||||
06/08/2025 | 3.350% | 1,542,000 | 1,575,096 | |
Magna International, Inc. | ||||
06/15/2030 | 2.450% | 610,000 | 623,657 | |
Toyota Motor Credit Corp. | ||||
08/25/2023 | 1.350% | 2,305,000 | 2,347,495 | |
02/13/2030 | 2.150% | 235,000 | 247,021 | |
Total | 19,852,707 | |||
Banking 7.6% | ||||
ABN AMRO Bank NV(a) | ||||
Subordinated | ||||
07/28/2025 | 4.750% | 431,000 | 475,548 | |
AIB Group PLC(a) | ||||
10/12/2023 | 4.750% | 875,000 | 942,641 | |
American Express Co. | ||||
Subordinated | ||||
12/05/2024 | 3.625% | 170,000 | 188,002 | |
American Express Credit Corp. | ||||
05/05/2021 | 2.250% | 331,000 | 335,389 | |
ANZ New Zealand International Ltd.(a) | ||||
08/06/2020 | 2.850% | 478,000 | 479,128 | |
02/13/2030 | 2.550% | 1,400,000 | 1,499,069 | |
ASB Bank Ltd.(a) | ||||
05/23/2024 | 3.125% | 860,000 | 917,176 | |
Australia & New Zealand Banking Group Ltd.(a) | ||||
Subordinated | ||||
05/19/2026 | 4.400% | 226,000 | 250,886 |
112 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners Core Bond Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand(a) | ||||
04/17/2025 | 5.375% | 1,051,000 | 1,150,364 | |
Banco Santander SA | ||||
05/28/2025 | 2.746% | 2,400,000 | 2,483,794 | |
05/28/2030 | 3.490% | 600,000 | 642,855 | |
Bank of America Corp.(h) | ||||
01/20/2023 | 3.124% | 2,184,000 | 2,261,172 | |
04/24/2023 | 2.881% | 575,000 | 595,469 | |
12/20/2023 | 3.004% | 4,039,000 | 4,240,701 | |
07/23/2024 | 3.864% | 250,000 | 271,348 | |
10/01/2025 | 3.093% | 5,013,000 | 5,403,980 | |
10/22/2025 | 2.456% | 4,573,000 | 4,806,656 | |
04/24/2028 | 3.705% | 1,800,000 | 2,035,769 | |
12/20/2028 | 3.419% | 6,136,000 | 6,832,586 | |
07/23/2029 | 4.271% | 3,784,000 | 4,448,693 | |
02/07/2030 | 3.974% | 1,718,000 | 1,993,023 | |
02/13/2031 | 2.496% | 4,955,000 | 5,199,568 | |
04/29/2031 | 2.592% | 780,000 | 826,663 | |
Bank of America Corp. | ||||
01/22/2024 | 4.125% | 245,000 | 271,901 | |
Subordinated | ||||
11/25/2027 | 4.183% | 2,127,000 | 2,431,736 | |
Bank of America NA | ||||
Subordinated | ||||
10/15/2036 | 6.000% | 700,000 | 993,251 | |
Bank of Montreal | ||||
02/05/2024 | 3.300% | 700,000 | 758,894 | |
05/01/2025 | 1.850% | 1,300,000 | 1,345,151 | |
Bank of Montreal(h) | ||||
Subordinated | ||||
12/15/2032 | 3.803% | 583,000 | 623,644 | |
Bank of New York Mellon Corp. (The)(h) | ||||
05/16/2023 | 2.661% | 200,000 | 207,375 | |
Bank of New York Mellon Corp. (The) | ||||
08/16/2023 | 2.200% | 1,100,000 | 1,149,843 | |
11/18/2025 | 3.950% | 575,000 | 663,514 | |
Bank of Nova Scotia (The) | ||||
05/01/2023 | 1.625% | 3,740,000 | 3,827,074 | |
Subordinated | ||||
12/16/2025 | 4.500% | 260,000 | 293,768 | |
Banque Federative du Credit Mutuel SA(a) | ||||
07/20/2023 | 3.750% | 500,000 | 540,867 | |
Barclays PLC | ||||
03/16/2025 | 3.650% | 1,100,000 | 1,192,534 | |
06/24/2031 | 2.645% | 2,860,000 | 2,847,265 | |
Barclays PLC(h) | ||||
06/20/2030 | 5.088% | 2,667,000 | 3,029,557 | |
BNP Paribas SA(a) | ||||
03/01/2023 | 3.500% | 1,000,000 | 1,058,751 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
BNP Paribas SA(a),(h) | ||||
11/19/2025 | 2.819% | 4,466,000 | 4,671,213 | |
06/09/2026 | 2.219% | 2,921,000 | 2,985,510 | |
01/13/2031 | 3.052% | 1,871,000 | 1,968,799 | |
BNZ International Funding Ltd.(a) | ||||
09/14/2021 | 2.100% | 450,000 | 457,164 | |
02/21/2022 | 2.900% | 800,000 | 827,277 | |
11/03/2022 | 2.650% | 600,000 | 624,393 | |
BPCE SA | ||||
12/02/2026 | 3.375% | 700,000 | 778,406 | |
BPCE SA(a) | ||||
Subordinated | ||||
07/11/2024 | 4.625% | 500,000 | 544,521 | |
Canadian Imperial Bank of Commerce | ||||
01/28/2025 | 2.250% | 2,000,000 | 2,095,817 | |
Capital One Financial Corp. | ||||
05/11/2023 | 2.600% | 5,364,000 | 5,600,049 | |
01/29/2024 | 3.900% | 1,075,000 | 1,169,904 | |
05/11/2027 | 3.650% | 1,524,000 | 1,676,440 | |
Subordinated | ||||
10/29/2025 | 4.200% | 700,000 | 778,050 | |
Citibank NA | ||||
01/23/2024 | 3.650% | 2,000,000 | 2,193,149 | |
Citigroup, Inc. | ||||
04/25/2022 | 2.750% | 900,000 | 932,344 | |
12/01/2025 | 7.000% | 765,000 | 970,324 | |
10/21/2026 | 3.200% | 3,110,000 | 3,412,079 | |
01/15/2028 | 6.625% | 215,000 | 279,953 | |
Citigroup, Inc.(h) | ||||
01/24/2023 | 3.142% | 500,000 | 517,189 | |
04/24/2025 | 3.352% | 645,000 | 696,297 | |
04/08/2026 | 3.106% | 10,630,000 | 11,427,250 | |
07/24/2028 | 3.668% | 600,000 | 669,868 | |
03/20/2030 | 3.980% | 1,300,000 | 1,485,889 | |
11/05/2030 | 2.976% | 2,144,000 | 2,278,026 | |
01/29/2031 | 2.666% | 2,000,000 | 2,071,126 | |
03/31/2031 | 4.412% | 4,812,000 | 5,709,692 | |
06/03/2031 | 2.572% | 3,081,000 | 3,184,133 | |
01/24/2039 | 3.878% | 100,000 | 115,777 | |
Citizens Bank NA | ||||
03/29/2023 | 3.700% | 250,000 | 265,150 | |
Citizens Financial Group, Inc. | ||||
02/06/2030 | 2.500% | 550,000 | 556,644 | |
Subordinated | ||||
12/03/2025 | 4.300% | 386,000 | 428,907 | |
Comerica, Inc. | ||||
02/01/2029 | 4.000% | 700,000 | 786,638 |
Variable Portfolio Funds | Semiannual Report 2020 | 113 |
Variable Portfolio – Partners Core Bond Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Commonwealth Bank of Australia(a) | ||||
09/06/2021 | 2.000% | 500,000 | 509,336 | |
03/16/2023 | 3.450% | 540,000 | 580,353 | |
05/18/2026 | 2.850% | 540,000 | 592,736 | |
Subordinated | ||||
12/09/2025 | 4.500% | 703,000 | 791,014 | |
Compass Bank | ||||
06/11/2021 | 3.500% | 450,000 | 459,738 | |
Cooperatieve Rabobank UA(a) | ||||
09/30/2110 | 5.800% | 500,000 | 807,458 | |
Cooperatieve Rabobank UA | ||||
Subordinated | ||||
08/04/2025 | 4.375% | 589,000 | 662,397 | |
07/21/2026 | 3.750% | 712,000 | 784,777 | |
Credit Agricole SA(a) | ||||
04/24/2023 | 3.750% | 250,000 | 267,585 | |
Subordinated | ||||
03/17/2025 | 4.375% | 340,000 | 376,584 | |
Credit Agricole SA(a),(h) | ||||
06/16/2026 | 1.907% | 880,000 | 891,511 | |
Credit Suisse AG | ||||
04/09/2025 | 2.950% | 925,000 | 1,002,852 | |
Credit Suisse Group AG(a) | ||||
01/09/2023 | 3.574% | 6,229,000 | 6,450,269 | |
Credit Suisse Group AG(a),(h) | ||||
12/14/2023 | 2.997% | 1,414,000 | 1,471,232 | |
09/11/2025 | 2.593% | 770,000 | 795,511 | |
06/05/2026 | 2.193% | 3,511,000 | 3,556,332 | |
01/12/2029 | 3.869% | 250,000 | 275,511 | |
Credit Suisse Group Funding Guernsey Ltd. | ||||
06/09/2023 | 3.800% | 1,924,000 | 2,068,970 | |
03/26/2025 | 3.750% | 500,000 | 548,951 | |
Danske Bank A/S(a) | ||||
01/12/2022 | 5.000% | 1,823,000 | 1,914,627 | |
03/02/2022 | 2.700% | 542,000 | 557,797 | |
06/22/2024 | 1.226% | 3,879,000 | 3,894,287 | |
Danske Bank A/S(a),(h) | ||||
12/20/2025 | 3.244% | 3,442,000 | 3,569,069 | |
Danske Bank AS(a),(h) | ||||
09/20/2022 | 3.001% | 3,672,000 | 3,730,579 | |
Discover Bank | ||||
07/27/2026 | 3.450% | 633,000 | 684,300 | |
Federation des Caisses Desjardins du Quebec(a) | ||||
02/10/2025 | 2.050% | 2,000,000 | 2,056,885 | |
Fifth Third Bancorp | ||||
01/25/2024 | 3.650% | 525,000 | 572,239 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Goldman Sachs Group, Inc. (The)(h) | ||||
06/05/2023 | 2.908% | 900,000 | 932,848 | |
07/24/2023 | 2.905% | 652,000 | 677,323 | |
09/29/2025 | 3.272% | 1,245,000 | 1,339,999 | |
06/05/2028 | 3.691% | 1,744,000 | 1,951,646 | |
Goldman Sachs Group, Inc. (The) | ||||
03/03/2024 | 4.000% | 316,000 | 349,166 | |
01/23/2025 | 3.500% | 578,000 | 631,224 | |
04/01/2025 | 3.500% | 9,425,000 | 10,336,264 | |
05/22/2025 | 3.750% | 4,028,000 | 4,459,228 | |
11/16/2026 | 3.500% | 3,951,000 | 4,339,491 | |
01/26/2027 | 3.850% | 3,369,000 | 3,786,256 | |
02/07/2030 | 2.600% | 1,600,000 | 1,677,665 | |
Subordinated | ||||
10/21/2025 | 4.250% | 531,000 | 597,504 | |
10/01/2037 | 6.750% | 1,276,000 | 1,838,009 | |
HSBC Holdings PLC | ||||
03/30/2022 | 4.000% | 306,000 | 323,158 | |
03/08/2026 | 4.300% | 855,000 | 965,140 | |
Subordinated | ||||
03/14/2024 | 4.250% | 2,500,000 | 2,695,448 | |
HSBC Holdings PLC(h) | ||||
11/22/2023 | 3.033% | 288,000 | 300,615 | |
05/18/2024 | 3.950% | 657,000 | 705,927 | |
03/13/2028 | 4.041% | 744,000 | 821,155 | |
Huntington Bancshares, Inc. | ||||
02/04/2030 | 2.550% | 1,900,000 | 1,965,401 | |
ING Groep NV | ||||
04/09/2024 | 3.550% | 875,000 | 953,405 | |
ING Groep NV(a),(h),(i) | ||||
07/01/2026 | 1.400% | 930,000 | 932,667 | |
JPMorgan Chase & Co.(h) | ||||
04/01/2023 | 3.207% | 2,451,000 | 2,550,573 | |
06/01/2024 | 1.514% | 7,678,000 | 7,805,868 | |
06/01/2028 | 2.182% | 2,303,000 | 2,387,973 | |
03/24/2031 | 4.493% | 914,000 | 1,117,885 | |
Subordinated | ||||
05/13/2031 | 2.956% | 3,190,000 | 3,383,778 | |
JPMorgan Chase & Co. | ||||
10/01/2026 | 2.950% | 217,000 | 237,842 | |
KeyBank NA | ||||
05/22/2022 | 3.180% | 1,373,000 | 1,429,294 | |
Lloyds Banking Group PLC(h) | ||||
06/15/2023 | 1.326% | 1,559,000 | 1,567,914 | |
07/09/2025 | 3.870% | 4,140,000 | 4,495,664 | |
Lloyds Banking Group PLC | ||||
03/22/2028 | 4.375% | 392,000 | 452,652 | |
Subordinated | ||||
12/10/2025 | 4.582% | 500,000 | 554,753 |
114 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners Core Bond Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Macquarie Bank Ltd.(a) | ||||
07/29/2025 | 4.000% | 960,000 | 1,075,313 | |
01/15/2026 | 3.900% | 370,000 | 416,422 | |
Macquarie Group Ltd.(a) | ||||
01/14/2021 | 6.250% | 926,000 | 952,382 | |
Macquarie Group Ltd.(a),(h) | ||||
11/28/2028 | 3.763% | 340,000 | 365,099 | |
01/15/2030 | 5.033% | 1,145,000 | 1,346,102 | |
Mitsubishi UFJ Financial Group, Inc. | ||||
03/01/2021 | 2.950% | 222,000 | 224,957 | |
02/22/2022 | 2.998% | 177,000 | 183,320 | |
07/26/2023 | 3.761% | 670,000 | 726,993 | |
09/13/2023 | 2.527% | 384,000 | 402,344 | |
03/07/2024 | 3.407% | 755,000 | 815,362 | |
02/25/2025 | 2.193% | 2,080,000 | 2,149,606 | |
07/18/2039 | 3.751% | 710,000 | 806,441 | |
Mizuho Financial Group, Inc. | ||||
02/28/2022 | 2.953% | 435,000 | 450,716 | |
Mizuho Financial Group, Inc.(h) | ||||
05/25/2026 | 2.226% | 1,150,000 | 1,180,290 | |
09/13/2030 | 2.869% | 642,000 | 679,039 | |
Morgan Stanley | ||||
07/24/2020 | 5.500% | 324,000 | 325,011 | |
01/25/2021 | 5.750% | 372,000 | 383,048 | |
07/28/2021 | 5.500% | 4,335,000 | 4,563,462 | |
05/19/2022 | 2.750% | 2,801,000 | 2,907,953 | |
10/23/2024 | 3.700% | 800,000 | 886,425 | |
07/23/2025 | 4.000% | 2,053,000 | 2,326,544 | |
01/20/2027 | 3.625% | 1,547,000 | 1,742,531 | |
01/27/2045 | 4.300% | 500,000 | 628,345 | |
Morgan Stanley(h) | ||||
04/24/2024 | 3.737% | 130,000 | 140,068 | |
04/28/2026 | 2.188% | 4,005,000 | 4,173,868 | |
07/22/2028 | 3.591% | 889,000 | 998,356 | |
01/24/2029 | 3.772% | 333,000 | 379,102 | |
04/22/2039 | 4.457% | 630,000 | 792,924 | |
National Australia Bank Ltd.(a),(h) | ||||
Subordinated | ||||
08/02/2034 | 3.933% | 935,000 | 1,017,622 | |
Nationwide Building Society(a),(h) | ||||
08/01/2024 | 4.363% | 1,373,000 | 1,485,420 | |
NatWest Markets PLC(a) | ||||
09/29/2022 | 3.625% | 1,225,000 | 1,283,354 | |
Nordea Bank Abp(a) | ||||
09/17/2020 | 2.500% | 3,500,000 | 3,514,119 | |
Subordinated | ||||
09/21/2022 | 4.250% | 910,000 | 967,793 | |
Northern Trust Corp. | ||||
05/01/2030 | 1.950% | 2,100,000 | 2,167,042 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Northern Trust Corp.(h) | ||||
Junior Subordinated | ||||
05/08/2032 | 3.375% | 231,000 | 246,817 | |
PNC Bank NA | ||||
Subordinated | ||||
01/30/2023 | 2.950% | 570,000 | 599,395 | |
Rabobank Nederland NY | ||||
01/10/2022 | 2.750% | 620,000 | 640,964 | |
Regions Financial Corp. | ||||
08/14/2023 | 3.800% | 385,000 | 418,588 | |
Royal Bank of Canada | ||||
10/05/2023 | 3.700% | 1,000,000 | 1,092,262 | |
Royal Bank of Scotland Group PLC(h) | ||||
05/22/2024 | 2.359% | 666,000 | 683,148 | |
03/22/2025 | 4.269% | 540,000 | 586,639 | |
05/22/2028 | 3.073% | 2,897,000 | 3,044,488 | |
05/08/2030 | 4.445% | 1,718,000 | 1,990,919 | |
Subordinated | ||||
11/01/2029 | 3.754% | 1,951,000 | 2,016,515 | |
Santander Holdings USA, Inc. | ||||
06/02/2025 | 3.450% | 2,310,000 | 2,407,213 | |
Santander UK Group Holdings PLC(a) | ||||
Subordinated | ||||
09/15/2025 | 4.750% | 640,000 | 694,581 | |
Societe Generale SA(a) | ||||
03/28/2024 | 3.875% | 725,000 | 774,005 | |
10/16/2024 | 2.625% | 817,000 | 836,162 | |
01/22/2025 | 2.625% | 4,177,000 | 4,258,069 | |
01/22/2030 | 3.000% | 2,500,000 | 2,543,141 | |
Subordinated | ||||
04/14/2025 | 4.250% | 900,000 | 953,771 | |
Societe Generale SA(a),(h),(i) | ||||
07/08/2035 | 3.653% | 1,004,000 | 1,004,000 | |
SouthTrust Bank | ||||
Subordinated | ||||
05/15/2025 | 7.690% | 500,000 | 608,480 | |
Standard Chartered PLC(a),(h) | ||||
01/20/2023 | 4.247% | 600,000 | 622,600 | |
01/30/2026 | 2.819% | 1,450,000 | 1,483,616 | |
05/21/2030 | 4.305% | 350,000 | 386,441 | |
Subordinated | ||||
03/15/2033 | 4.866% | 700,000 | 758,157 | |
State Street Corp.(a),(h) | ||||
03/30/2023 | 2.825% | 1,932,000 | 2,003,659 | |
State Street Corp.(h) | ||||
05/15/2023 | 2.653% | 250,000 | 259,439 | |
12/03/2024 | 3.776% | 300,000 | 331,518 | |
State Street Corp. | ||||
05/15/2023 | 3.100% | 630,000 | 676,648 |
Variable Portfolio Funds | Semiannual Report 2020 | 115 |
Variable Portfolio – Partners Core Bond Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Sumitomo Mitsui Financial Group, Inc. | ||||
01/11/2022 | 2.846% | 1,200,000 | 1,239,475 | |
10/18/2022 | 2.778% | 452,000 | 472,696 | |
07/14/2026 | 2.632% | 590,000 | 628,801 | |
10/19/2026 | 3.010% | 297,000 | 323,362 | |
07/16/2029 | 3.040% | 2,255,000 | 2,439,071 | |
Sumitomo Mitsui Financial Group, Inc.(i) | ||||
07/08/2025 | 1.474% | 4,187,000 | 4,189,951 | |
07/08/2030 | 2.130% | 1,203,000 | 1,204,483 | |
SunTrust Bank | ||||
Subordinated | ||||
05/15/2026 | 3.300% | 500,000 | 549,339 | |
SunTrust Banks, Inc. | ||||
01/27/2022 | 2.700% | 355,000 | 366,024 | |
05/01/2025 | 4.000% | 191,000 | 217,294 | |
SVB Financial Group | ||||
06/05/2030 | 3.125% | 617,000 | 661,518 | |
Svenska Handelsbanken AB | ||||
10/01/2020 | 2.400% | 1,500,000 | 1,507,729 | |
Truist Financial Corp. | ||||
06/05/2030 | 1.950% | 680,000 | 692,789 | |
U.S. Bancorp | ||||
01/24/2022 | 2.625% | 309,000 | 318,989 | |
Subordinated | ||||
04/27/2026 | 3.100% | 735,000 | 814,537 | |
UBS AG(a) | ||||
04/21/2022 | 1.750% | 970,000 | 988,078 | |
UBS Group AG(a),(h) | ||||
08/13/2030 | 3.126% | 400,000 | 431,006 | |
UBS Group Funding Switzerland AG(a) | ||||
05/23/2023 | 3.491% | 960,000 | 1,003,527 | |
09/24/2025 | 4.125% | 200,000 | 226,830 | |
UBS Group Funding Switzerland AG(a),(h) | ||||
08/15/2023 | 2.859% | 3,935,000 | 4,076,352 | |
Wells Fargo & Co. | ||||
03/04/2021 | 2.500% | 460,000 | 466,405 | |
01/24/2023 | 3.069% | 796,000 | 825,035 | |
01/24/2024 | 3.750% | 600,000 | 655,633 | |
09/09/2024 | 3.300% | 750,000 | 821,462 | |
09/29/2025 | 3.550% | 2,000,000 | 2,230,304 | |
12/07/2046 | 4.750% | 752,000 | 963,624 | |
Subordinated | ||||
06/03/2026 | 4.100% | 777,000 | 876,080 | |
06/14/2046 | 4.400% | 698,000 | 840,484 | |
Wells Fargo & Co.(h) | ||||
02/11/2026 | 2.164% | 800,000 | 825,054 | |
04/30/2026 | 2.188% | 745,000 | 770,353 | |
06/17/2027 | 3.196% | 1,270,000 | 1,375,166 | |
04/30/2041 | 3.068% | 2,730,000 | 2,849,422 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Westpac Banking Corp. | ||||
05/13/2026 | 2.850% | 500,000 | 548,867 | |
Subordinated | ||||
07/24/2039 | 4.421% | 525,000 | 617,400 | |
Westpac Banking Corp.(h) | ||||
11/23/2031 | 4.322% | 600,000 | 665,790 | |
Subordinated | ||||
02/04/2030 | 2.894% | 1,630,000 | 1,657,604 | |
Total | 353,829,360 | |||
Brokerage/Asset Managers/Exchanges 0.4% | ||||
Affiliated Managers Group, Inc. | ||||
06/15/2030 | 3.300% | 2,401,000 | 2,451,067 | |
BlackRock, Inc. | ||||
01/28/2031 | 1.900% | 1,600,000 | 1,637,700 | |
Brookfield Finance LLC | ||||
04/15/2050 | 3.450% | 620,000 | 592,569 | |
Brookfield Finance, Inc. | ||||
03/29/2029 | 4.850% | 385,000 | 452,609 | |
04/15/2030 | 4.350% | 1,968,000 | 2,232,463 | |
09/20/2047 | 4.700% | 369,000 | 428,431 | |
Charles Schwab Corp. (The) | ||||
05/22/2029 | 3.250% | 1,148,000 | 1,291,261 | |
03/22/2030 | 4.625% | 762,000 | 952,154 | |
Daiwa Securities Group, Inc.(a) | ||||
04/19/2022 | 3.129% | 305,000 | 314,670 | |
Invesco Finance PLC | ||||
01/15/2026 | 3.750% | 567,000 | 622,157 | |
Nomura Holdings, Inc. | ||||
01/16/2025 | 2.648% | 2,125,000 | 2,216,233 | |
01/16/2030 | 3.103% | 3,876,000 | 4,036,440 | |
Total | 17,227,754 | |||
Building Materials 0.0% | ||||
CRH America Finance, Inc.(a) | ||||
05/09/2027 | 3.400% | 311,000 | 328,322 | |
Martin Marietta Materials, Inc. | ||||
06/01/2027 | 3.450% | 395,000 | 425,100 | |
Masco Corp. | ||||
08/15/2032 | 6.500% | 540,000 | 660,478 | |
Total | 1,413,900 | |||
Cable and Satellite 0.7% | ||||
Charter Communications Operating LLC/Capital | ||||
07/23/2022 | 4.464% | 717,000 | 764,845 | |
04/01/2038 | 5.375% | 286,000 | 345,117 | |
03/01/2050 | 4.800% | 1,756,000 | 1,983,003 |
116 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners Core Bond Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Comcast Corp. | ||||
04/15/2024 | 3.700% | 1,454,000 | 1,610,276 | |
04/01/2025 | 3.100% | 1,535,000 | 1,688,338 | |
10/15/2025 | 3.950% | 1,898,000 | 2,173,632 | |
03/01/2026 | 3.150% | 622,000 | 691,531 | |
10/15/2028 | 4.150% | 1,885,000 | 2,258,434 | |
02/01/2030 | 2.650% | 1,088,000 | 1,183,049 | |
01/15/2031 | 1.950% | 3,755,000 | 3,826,296 | |
08/15/2034 | 4.200% | 400,000 | 493,955 | |
10/15/2038 | 4.600% | 2,551,000 | 3,236,701 | |
11/01/2039 | 3.250% | 640,000 | 704,933 | |
04/01/2040 | 3.750% | 2,594,000 | 3,033,081 | |
11/01/2049 | 3.999% | 500,000 | 607,404 | |
02/01/2050 | 3.450% | 531,000 | 601,812 | |
01/15/2051 | 2.800% | 1,231,000 | 1,258,952 | |
11/01/2052 | 4.049% | 800,000 | 981,267 | |
10/15/2058 | 4.950% | 1,635,000 | 2,332,870 | |
Cox Communications, Inc.(a) | ||||
08/15/2047 | 4.600% | 274,000 | 346,787 | |
TCI Communications, Inc. | ||||
02/15/2028 | 7.125% | 415,000 | 573,844 | |
Time Warner Cable LLC | ||||
05/01/2037 | 6.550% | 1,118,000 | 1,462,943 | |
06/15/2039 | 6.750% | 1,400,000 | 1,863,260 | |
Total | 34,022,330 | |||
Chemicals 0.3% | ||||
Air Liquide Finance SA(a) | ||||
09/27/2023 | 2.250% | 515,000 | 537,402 | |
Air Products and Chemicals, Inc. | ||||
05/15/2027 | 1.850% | 1,660,000 | 1,742,391 | |
05/15/2040 | 2.700% | 386,000 | 405,803 | |
05/15/2050 | 2.800% | 1,040,000 | 1,093,424 | |
Albemarle Corp. | ||||
12/01/2044 | 5.450% | 270,000 | 280,659 | |
Chevron Phillips Chemical Co. LLC /LP(a) | ||||
04/01/2025 | 5.125% | 1,015,000 | 1,166,272 | |
DowDuPont, Inc. | ||||
11/15/2023 | 4.205% | 1,988,000 | 2,180,249 | |
11/15/2025 | 4.493% | 1,416,000 | 1,624,840 | |
11/15/2038 | 5.319% | 290,000 | 367,225 | |
International Flavors & Fragrances, Inc. | ||||
09/26/2028 | 4.450% | 210,000 | 236,456 | |
09/26/2048 | 5.000% | 261,000 | 301,205 | |
Nutrien Ltd. | ||||
04/01/2029 | 4.200% | 155,000 | 179,009 | |
05/13/2030 | 2.950% | 1,030,000 | 1,094,601 | |
03/15/2035 | 4.125% | 700,000 | 780,047 | |
04/01/2049 | 5.000% | 1,382,000 | 1,764,838 | |
Sherwin-Williams Co. (The) | ||||
06/01/2024 | 3.125% | 165,000 | 177,605 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Union Carbide Corp. | ||||
06/01/2025 | 7.500% | 300,000 | 360,078 | |
10/01/2096 | 7.750% | 920,000 | 1,190,975 | |
Total | 15,483,079 | |||
Construction Machinery 0.2% | ||||
Deere & Co. | ||||
04/15/2025 | 2.750% | 1,568,000 | 1,707,736 | |
04/15/2050 | 3.750% | 690,000 | 846,817 | |
John Deere Capital Corp. | ||||
07/05/2022 | 0.550% | 2,299,000 | 2,303,146 | |
04/06/2023 | 1.200% | 1,771,000 | 1,804,031 | |
09/14/2026 | 2.250% | 385,000 | 415,072 | |
03/09/2027 | 1.750% | 1,061,000 | 1,103,472 | |
09/08/2027 | 2.800% | 700,000 | 781,559 | |
Total | 8,961,833 | |||
Consumer Cyclical Services 0.2% | ||||
Amazon.com, Inc. | ||||
06/03/2030 | 1.500% | 3,201,000 | 3,243,134 | |
08/22/2037 | 3.875% | 550,000 | 675,173 | |
06/03/2050 | 2.500% | 1,370,000 | 1,394,412 | |
06/03/2060 | 2.700% | 1,250,000 | 1,282,506 | |
Booking Holdings, Inc. | ||||
03/15/2023 | 2.750% | 321,000 | 336,607 | |
Ford Foundation (The) | ||||
06/01/2070 | 2.815% | 440,000 | 453,603 | |
Mastercard, Inc. | ||||
03/26/2027 | 3.300% | 768,000 | 871,517 | |
Total | 8,256,952 | |||
Consumer Products 0.0% | ||||
Mead Johnson Nutrition Co. | ||||
06/01/2044 | 4.600% | 350,000 | 443,996 | |
Procter & Gamble Co. (The) | ||||
03/25/2027 | 2.800% | 382,000 | 425,769 | |
03/25/2040 | 3.550% | 225,000 | 269,812 | |
03/25/2050 | 3.600% | 392,000 | 492,488 | |
Unilever Capital Corp. | ||||
03/22/2025 | 3.375% | 230,000 | 256,573 | |
Total | 1,888,638 | |||
Diversified Manufacturing 0.3% | ||||
Eaton Corp. | ||||
04/01/2024 | 7.625% | 500,000 | 612,980 | |
General Electric Co. | ||||
01/09/2023 | 3.100% | 256,000 | 267,724 | |
01/05/2026 | 5.550% | 1,700,000 | 1,953,822 | |
05/01/2027 | 3.450% | 3,361,000 | 3,438,123 | |
05/01/2030 | 3.625% | 2,928,000 | 2,928,895 | |
01/14/2038 | 5.875% | 125,000 | 140,112 |
Variable Portfolio Funds | Semiannual Report 2020 | 117 |
Variable Portfolio – Partners Core Bond Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Honeywell International, Inc. | ||||
06/01/2030 | 1.950% | 1,150,000 | 1,201,577 | |
Nvent Finance Sarl | ||||
04/15/2028 | 4.550% | 450,000 | 472,144 | |
Roper Technologies, Inc. | ||||
06/30/2030 | 2.000% | 710,000 | 710,368 | |
WW Grainger, Inc. | ||||
06/15/2045 | 4.600% | 200,000 | 251,202 | |
Xylem, Inc. | ||||
01/30/2031 | 2.250% | 515,000 | 517,313 | |
Total | 12,494,260 | |||
Electric 2.5% | ||||
AEP Texas, Inc.(i) | ||||
07/01/2030 | 2.100% | 381,000 | 381,240 | |
AEP Transmission Co., LLC | ||||
09/15/2049 | 3.150% | 440,000 | 466,711 | |
Alabama Power Co. | ||||
02/15/2033 | 5.700% | 467,000 | 633,187 | |
05/15/2038 | 6.125% | 70,000 | 100,579 | |
10/01/2049 | 3.450% | 1,506,000 | 1,664,657 | |
Ameren Corp. | ||||
01/15/2031 | 3.500% | 361,000 | 405,063 | |
Appalachian Power Co. | ||||
03/01/2049 | 4.500% | 215,000 | 261,532 | |
Arizona Public Service Co. | ||||
05/15/2025 | 3.150% | 1,905,000 | 2,078,787 | |
Ausgrid Finance Pty Ltd.(a) | ||||
05/01/2023 | 3.850% | 850,000 | 896,785 | |
Baltimore Gas & Electric Co. | ||||
08/15/2046 | 3.500% | 376,000 | 416,732 | |
Berkshire Hathaway Energy Co. | ||||
11/15/2023 | 3.750% | 976,000 | 1,068,797 | |
02/01/2025 | 3.500% | 529,000 | 589,175 | |
Black Hills Corp. | ||||
10/15/2029 | 3.050% | 2,435,000 | 2,587,723 | |
10/15/2049 | 3.875% | 677,000 | 725,208 | |
CenterPoint Energy Houston Electric LLC | ||||
07/01/2050 | 2.900% | 521,000 | 546,635 | |
CenterPoint Energy, Inc. | ||||
09/01/2022 | 2.500% | 147,000 | 151,938 | |
09/01/2024 | 2.500% | 1,640,000 | 1,732,257 | |
03/01/2030 | 2.950% | 713,000 | 761,096 | |
China Southern Power Grid International Finance BVI Co., Ltd.(a) | ||||
05/08/2027 | 3.500% | 720,000 | 788,654 | |
CMS Energy Corp. | ||||
08/15/2027 | 3.450% | 300,000 | 330,724 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Commonwealth Edison Co. | ||||
06/15/2046 | 3.650% | 243,000 | 283,149 | |
Connecticut Light & Power Co. (The) | ||||
04/01/2048 | 4.000% | 236,000 | 289,423 | |
Consumers Energy Co. | ||||
05/01/2060 | 2.500% | 637,000 | 610,511 | |
08/31/2064 | 4.350% | 547,000 | 704,500 | |
Dominion Energy, Inc. | ||||
08/15/2021 | 2.000% | 1,059,000 | 1,073,937 | |
08/15/2026 | 2.850% | 976,000 | 1,047,602 | |
08/01/2033 | 5.250% | 1,315,000 | 1,592,353 | |
DTE Electric Co. | ||||
06/15/2042 | 3.950% | 364,000 | 411,209 | |
03/01/2050 | 2.950% | 1,664,000 | 1,726,291 | |
DTE Energy Co. | ||||
10/01/2024 | 2.529% | 1,343,000 | 1,413,750 | |
03/15/2027 | 3.800% | 1,517,000 | 1,669,819 | |
03/01/2030 | 2.950% | 1,008,000 | 1,053,589 | |
Duke Energy Carolinas LLC | ||||
12/01/2028 | 6.000% | 600,000 | 786,076 | |
12/15/2041 | 4.250% | 313,000 | 389,485 | |
Duke Energy Corp. | ||||
09/01/2021 | 1.800% | 1,586,000 | 1,606,936 | |
09/01/2026 | 2.650% | 1,196,000 | 1,298,031 | |
06/01/2030 | 2.450% | 1,238,000 | 1,302,360 | |
Duke Energy Indiana LLC | ||||
05/15/2046 | 3.750% | 550,000 | 642,776 | |
Duke Energy Ohio, Inc. | ||||
06/01/2030 | 2.125% | 1,151,000 | 1,196,068 | |
02/01/2049 | 4.300% | 295,000 | 376,920 | |
Duke Energy Progress LLC | ||||
04/01/2035 | 5.700% | 300,000 | 410,058 | |
10/15/2046 | 3.700% | 323,000 | 376,823 | |
09/15/2047 | 3.600% | 300,000 | 346,117 | |
Duquesne Light Holdings, Inc.(a) | ||||
08/01/2027 | 3.616% | 700,000 | 724,071 | |
Edison International | ||||
06/15/2027 | 5.750% | 500,000 | 574,720 | |
03/15/2028 | 4.125% | 1,200,000 | 1,259,822 | |
Emera U.S. Finance LP | ||||
06/15/2046 | 4.750% | 600,000 | 713,435 | |
Enel Finance International NV(a) | ||||
09/14/2025 | 4.625% | 210,000 | 239,822 | |
05/25/2027 | 3.625% | 380,000 | 415,125 | |
04/06/2028 | 3.500% | 335,000 | 359,634 | |
Entergy Arkansas, Inc. | ||||
04/01/2026 | 3.500% | 307,000 | 346,557 | |
Entergy Corp. | ||||
09/01/2026 | 2.950% | 336,000 | 370,137 |
118 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners Core Bond Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Entergy Louisiana LLC | ||||
06/01/2031 | 3.050% | 472,000 | 526,389 | |
Evergy Kansas Central, Inc. | ||||
04/15/2050 | 3.450% | 2,037,000 | 2,245,336 | |
Evergy Metro, Inc. | ||||
06/01/2030 | 2.250% | 1,535,000 | 1,611,344 | |
Evergy, Inc. | ||||
09/15/2024 | 2.450% | 1,407,000 | 1,488,455 | |
09/15/2029 | 2.900% | 994,000 | 1,066,326 | |
Exelon Corp. | ||||
04/15/2050 | 4.700% | 1,705,000 | 2,177,632 | |
Exelon Generation Co. LLC | ||||
06/15/2022 | 4.250% | 384,000 | 405,989 | |
06/01/2025 | 3.250% | 1,290,000 | 1,391,502 | |
10/01/2039 | 6.250% | 300,000 | 356,391 | |
FirstEnergy Corp. | ||||
07/15/2022 | 2.850% | 321,000 | 333,072 | |
03/15/2023 | 4.250% | 1,912,000 | 2,066,865 | |
01/15/2026 | 1.600% | 627,000 | 633,466 | |
07/15/2027 | 3.900% | 1,407,000 | 1,593,305 | |
03/01/2030 | 2.650% | 1,835,000 | 1,919,288 | |
03/01/2050 | 3.400% | 1,745,000 | 1,859,179 | |
FirstEnergy Transmission LLC(a) | ||||
04/01/2049 | 4.550% | 325,000 | 395,341 | |
Florida Power & Light Co. | ||||
09/01/2035 | 5.400% | 600,000 | 825,502 | |
Fortis, Inc. | ||||
10/04/2026 | 3.055% | 620,000 | 668,508 | |
Interstate Power & Light Co. | ||||
09/30/2049 | 3.500% | 578,000 | 625,268 | |
ITC Holdings Corp. | ||||
11/15/2022 | 2.700% | 1,515,000 | 1,579,771 | |
ITC Holdings Corp.(a) | ||||
05/14/2030 | 2.950% | 530,000 | 565,110 | |
Jersey Central Power & Light Co.(a) | ||||
01/15/2026 | 4.300% | 260,000 | 300,981 | |
Jersey Central Power & Light Co. | ||||
06/01/2037 | 6.150% | 150,000 | 192,240 | |
Kansas City Power & Light Co. | ||||
10/01/2041 | 5.300% | 750,000 | 999,066 | |
06/15/2047 | 4.200% | 400,000 | 490,890 | |
Metropolitan Edison Co.(a) | ||||
01/15/2029 | 4.300% | 1,189,000 | 1,400,867 | |
MidAmerican Energy Co. | ||||
11/01/2035 | 5.750% | 600,000 | 869,988 | |
08/01/2048 | 3.650% | 800,000 | 949,436 | |
Mid-Atlantic Interstate Transmission LLC(a) | ||||
05/15/2028 | 4.100% | 255,000 | 289,923 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Mississippi Power Co. | ||||
03/30/2028 | 3.950% | 1,848,000 | 2,099,972 | |
03/15/2042 | 4.250% | 1,110,000 | 1,301,417 | |
National Rural Utilities Cooperative Finance Corp. | ||||
03/15/2029 | 3.700% | 270,000 | 311,711 | |
Nevada Power Co. | ||||
04/01/2036 | 6.650% | 225,000 | 319,481 | |
09/15/2040 | 5.375% | 546,000 | 712,445 | |
New England Power Co.(a) | ||||
12/05/2047 | 3.800% | 168,000 | 190,566 | |
NextEra Energy Capital Holdings, Inc. | ||||
05/01/2025 | 2.750% | 2,469,000 | 2,676,048 | |
06/01/2030 | 2.250% | 2,399,000 | 2,475,805 | |
Niagara Mohawk Power Corp.(a) | ||||
10/01/2034 | 4.278% | 753,000 | 904,515 | |
NRG Energy, Inc.(a) | ||||
06/15/2029 | 4.450% | 585,000 | 619,770 | |
Oncor Electric Delivery Co. LLC | ||||
11/15/2028 | 3.700% | 1,150,000 | 1,348,526 | |
03/15/2029 | 5.750% | 155,000 | 202,627 | |
Pacific Gas & Electric Co.(e) | ||||
04/15/2042 | 0.000% | 1,000,000 | 1,122,799 | |
Pacific Gas and Electric Co. | ||||
06/16/2022 | 1.750% | 2,255,000 | 2,258,691 | |
08/01/2027 | 2.100% | 2,701,000 | 2,672,746 | |
02/01/2031 | 2.500% | 3,812,000 | 3,729,508 | |
08/01/2040 | 3.300% | 504,000 | 491,263 | |
08/01/2050 | 3.500% | 491,000 | 474,637 | |
PacifiCorp | ||||
10/15/2037 | 6.250% | 200,000 | 289,919 | |
PECO Energy Co. | ||||
06/15/2050 | 2.800% | 1,151,000 | 1,184,664 | |
Pennsylvania Electric Co.(a) | ||||
03/15/2028 | 3.250% | 780,000 | 852,043 | |
Potomac Electric Power Co. | ||||
12/15/2038 | 7.900% | 160,000 | 240,158 | |
03/15/2043 | 4.150% | 250,000 | 302,079 | |
PPL Capital Funding, Inc. | ||||
06/15/2022 | 4.200% | 313,000 | 331,823 | |
06/01/2023 | 3.400% | 212,000 | 224,731 | |
05/15/2026 | 3.100% | 1,828,000 | 1,978,884 | |
04/15/2030 | 4.125% | 1,955,000 | 2,228,256 | |
03/15/2044 | 5.000% | 1,008,000 | 1,205,771 | |
Progress Energy, Inc. | ||||
01/15/2021 | 4.400% | 187,000 | 189,118 | |
Public Service Co. of New Hampshire | ||||
11/01/2023 | 3.500% | 303,000 | 328,070 | |
Public Service Co. of Oklahoma | ||||
02/01/2021 | 4.400% | 231,000 | 236,089 |
Variable Portfolio Funds | Semiannual Report 2020 | 119 |
Variable Portfolio – Partners Core Bond Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Public Service Electric and Gas Co. | ||||
05/01/2050 | 2.700% | 1,671,000 | 1,719,122 | |
San Diego Gas & Electric Co. | ||||
06/01/2026 | 6.000% | 525,000 | 648,446 | |
Southern California Edison Co. | ||||
03/01/2028 | 3.650% | 200,000 | 224,997 | |
08/01/2029 | 2.850% | 766,000 | 811,671 | |
01/15/2036 | 5.550% | 130,000 | 162,459 | |
02/01/2038 | 5.950% | 210,000 | 275,952 | |
10/01/2043 | 4.650% | 351,000 | 429,795 | |
03/01/2048 | 4.125% | 1,227,000 | 1,425,814 | |
Southern Co. (The) | ||||
07/01/2026 | 3.250% | 250,000 | 277,823 | |
Southern Power Co. | ||||
09/15/2041 | 5.150% | 1,166,000 | 1,331,258 | |
Southwestern Electric Power Co. | ||||
04/01/2045 | 3.900% | 428,000 | 455,305 | |
Southwestern Public Service Co. | ||||
08/15/2041 | 4.500% | 338,000 | 416,963 | |
Toledo Edison Co. (The) | ||||
05/15/2037 | 6.150% | 600,000 | 863,498 | |
Trans-Allegheny Interstate Line Co.(a) | ||||
06/01/2025 | 3.850% | 529,000 | 595,106 | |
Union Electric Co. | ||||
06/15/2027 | 2.950% | 286,000 | 313,016 | |
Virginia Electric and Power Co. | ||||
03/15/2023 | 2.750% | 127,000 | 133,096 | |
Wisconsin Electric Power Co. | ||||
06/01/2025 | 3.100% | 192,000 | 209,979 | |
Xcel Energy, Inc. | ||||
09/15/2041 | 4.800% | 90,000 | 109,296 | |
Total | 115,933,744 | |||
Environmental 0.0% | ||||
Waste Management, Inc. | ||||
06/15/2029 | 3.450% | 390,000 | 400,510 | |
Finance Companies 0.7% | ||||
AerCap Ireland Capital DAC/Global Aviation Trust | ||||
12/16/2021 | 4.450% | 720,000 | 727,125 | |
05/26/2022 | 3.500% | 743,000 | 733,022 | |
01/23/2023 | 3.300% | 935,000 | 913,571 | |
01/16/2024 | 4.875% | 788,000 | 780,137 | |
01/15/2025 | 3.500% | 400,000 | 375,448 | |
07/15/2025 | 6.500% | 1,996,000 | 2,087,329 | |
04/03/2026 | 4.450% | 1,020,000 | 969,949 | |
AerCap Ireland Capital DAC/Global Aviation Trust(i) | ||||
09/15/2023 | 4.500% | 2,000,000 | 2,001,650 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
AerCap Ireland Capital Ltd./Global Aviation Trust | ||||
02/01/2022 | 3.950% | 412,000 | 411,293 | |
07/01/2022 | 4.625% | 342,000 | 345,571 | |
Air Lease Corp. | ||||
07/03/2023 | 3.875% | 1,000,000 | 1,015,618 | |
09/15/2023 | 3.000% | 520,000 | 513,945 | |
03/01/2025 | 3.250% | 645,000 | 646,582 | |
07/01/2025 | 3.375% | 2,000,000 | 2,003,229 | |
10/01/2029 | 3.250% | 659,000 | 623,940 | |
Aviation Capital Group LLC(a) | ||||
05/01/2023 | 3.875% | 350,000 | 332,154 | |
08/01/2025 | 4.125% | 500,000 | 449,686 | |
11/01/2027 | 3.500% | 600,000 | 494,367 | |
Avolon Holdings Funding Ltd.(a) | ||||
02/15/2025 | 2.875% | 1,767,000 | 1,488,222 | |
05/01/2026 | 4.375% | 790,000 | 668,921 | |
GE Capital Funding LLC(a) | ||||
05/15/2025 | 3.450% | 3,258,000 | 3,411,850 | |
05/15/2030 | 4.400% | 659,000 | 684,992 | |
GE Capital International Funding Co. Unlimited Co. | ||||
11/15/2035 | 4.418% | 5,170,000 | 5,235,650 | |
International Lease Finance Corp. | ||||
01/15/2022 | 8.625% | 1,000,000 | 1,076,061 | |
08/15/2022 | 5.875% | 574,000 | 602,438 | |
Park Aerospace Holdings Ltd.(a) | ||||
08/15/2022 | 5.250% | 1,735,000 | 1,625,492 | |
SMBC Aviation Capital Finance DAC(a) | ||||
07/15/2022 | 3.000% | 693,000 | 696,651 | |
Total | 30,914,893 | |||
Food and Beverage 1.1% | ||||
Anheuser-Busch Companies LLC/InBev Worldwide, Inc. | ||||
02/01/2036 | 4.700% | 6,603,000 | 7,750,526 | |
02/01/2046 | 4.900% | 808,000 | 979,798 | |
Anheuser-Busch InBev Finance, Inc. | ||||
02/01/2044 | 4.625% | 30,000 | 34,679 | |
Anheuser-Busch InBev Worldwide, Inc. | ||||
01/23/2025 | 4.150% | 1,582,000 | 1,793,455 | |
01/23/2029 | 4.750% | 480,000 | 579,335 | |
06/01/2030 | 3.500% | 945,000 | 1,062,506 | |
06/01/2040 | 4.350% | 1,480,000 | 1,690,956 | |
04/15/2048 | 4.600% | 1,005,000 | 1,174,809 | |
10/06/2048 | 4.439% | 690,000 | 794,755 | |
06/01/2050 | 4.500% | 1,940,000 | 2,304,982 | |
04/15/2058 | 4.750% | 100,000 | 120,481 | |
Bacardi Ltd.(a) | ||||
05/15/2048 | 5.300% | 570,000 | 706,831 | |
Bunge Ltd. Finance Corp. | ||||
11/24/2020 | 3.500% | 141,000 | 142,283 |
120 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners Core Bond Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Campbell Soup Co. | ||||
04/24/2030 | 2.375% | 600,000 | 621,408 | |
03/15/2048 | 4.800% | 265,000 | 347,454 | |
Cargill, Inc.(a) | ||||
03/01/2023 | 3.250% | 140,000 | 148,645 | |
07/23/2023 | 1.375% | 3,500,000 | 3,556,490 | |
11/01/2036 | 7.250% | 300,000 | 463,032 | |
Coca-Cola Co. (The) | ||||
06/01/2050 | 2.600% | 322,000 | 324,966 | |
Coca-Cola Femsa SAB de CV | ||||
01/22/2030 | 2.750% | 750,000 | 787,892 | |
Conagra Brands, Inc. | ||||
11/01/2038 | 5.300% | 180,000 | 235,266 | |
Constellation Brands, Inc. | ||||
02/15/2023 | 3.200% | 368,000 | 389,798 | |
11/15/2025 | 4.400% | 360,000 | 415,632 | |
12/06/2026 | 3.700% | 617,000 | 690,974 | |
11/15/2048 | 5.250% | 144,000 | 188,103 | |
05/01/2050 | 3.750% | 1,208,000 | 1,314,347 | |
Diageo Capital PLC | ||||
09/29/2025 | 1.375% | 1,020,000 | 1,038,279 | |
04/29/2030 | 2.000% | 1,450,000 | 1,498,678 | |
Fomento Economico Mexicano SAB de CV | ||||
01/16/2050 | 3.500% | 1,270,000 | 1,309,000 | |
General Mills, Inc. | ||||
04/17/2025 | 4.000% | 400,000 | 452,177 | |
04/15/2030 | 2.875% | 2,455,000 | 2,673,484 | |
04/17/2038 | 4.550% | 100,000 | 125,188 | |
Hormel Foods Corp. | ||||
06/11/2030 | 1.800% | 1,679,000 | 1,708,778 | |
Ingredion, Inc. | ||||
06/01/2030 | 2.900% | 1,940,000 | 2,069,003 | |
06/01/2050 | 3.900% | 726,000 | 829,229 | |
Kellogg Co. | ||||
06/01/2030 | 2.100% | 720,000 | 731,569 | |
Keurig Dr Pepper, Inc. | ||||
05/25/2025 | 4.417% | 250,000 | 288,269 | |
05/25/2038 | 4.985% | 323,000 | 412,684 | |
05/01/2050 | 3.800% | 784,000 | 887,099 | |
Keurig Dr. Pepper, Inc. | ||||
06/15/2027 | 3.430% | 135,000 | 149,057 | |
McCormick & Co., Inc. MD | ||||
04/15/2030 | 2.500% | 1,765,000 | 1,854,345 | |
Mondelez International, Inc. | ||||
05/04/2025 | 1.500% | 838,000 | 853,567 | |
04/13/2030 | 2.750% | 730,000 | 787,619 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
PepsiCo, Inc. | ||||
03/19/2025 | 2.250% | 1,045,000 | 1,116,861 | |
03/19/2027 | 2.625% | 657,000 | 720,812 | |
05/01/2030 | 1.625% | 1,605,000 | 1,634,928 | |
Sysco Corp. | ||||
07/15/2026 | 3.300% | 273,000 | 291,721 | |
02/15/2030 | 2.400% | 780,000 | 770,721 | |
04/01/2050 | 6.600% | 399,000 | 551,556 | |
Tyson Foods, Inc. | ||||
08/15/2034 | 4.875% | 200,000 | 251,144 | |
08/15/2044 | 5.150% | 825,000 | 1,041,041 | |
Total | 52,666,212 | |||
Gaming 0.0% | ||||
GLP Capital LP/Financing II, Inc. | ||||
01/15/2029 | 5.300% | 760,000 | 822,374 | |
01/15/2030 | 4.000% | 623,000 | 617,589 | |
Total | 1,439,963 | |||
Health Care 1.3% | ||||
Abbott Laboratories | ||||
11/30/2026 | 3.750% | 947,000 | 1,101,792 | |
01/30/2028 | 1.150% | 780,000 | 782,682 | |
06/30/2030 | 1.400% | 830,000 | 825,992 | |
11/30/2036 | 4.750% | 870,000 | 1,165,603 | |
11/30/2046 | 4.900% | 1,065,000 | 1,524,039 | |
Advocate Health & Hospitals Corp. | ||||
06/15/2030 | 2.211% | 690,000 | 700,474 | |
Ascension Health | ||||
11/15/2029 | 2.532% | 1,000,000 | 1,072,893 | |
Becton Dickinson and Co. | ||||
12/15/2024 | 3.734% | 160,000 | 176,620 | |
12/15/2044 | 4.685% | 900,000 | 1,106,986 | |
Bon Secours Mercy Health, Inc. | ||||
06/01/2030 | 3.464% | 1,290,000 | 1,425,300 | |
Boston Scientific Corp. | ||||
03/01/2026 | 3.750% | 535,000 | 607,391 | |
03/01/2039 | 4.550% | 500,000 | 611,767 | |
Cigna Corp. | ||||
09/17/2021 | 3.400% | 1,655,000 | 1,709,726 | |
10/15/2028 | 4.375% | 376,000 | 445,273 | |
03/15/2050 | 3.400% | 361,000 | 389,417 | |
Cigna Corp.(a) | ||||
02/25/2026 | 4.500% | 577,000 | 671,386 | |
03/01/2027 | 3.400% | 1,830,000 | 2,020,739 | |
07/15/2046 | 4.800% | 218,000 | 274,963 | |
10/15/2047 | 3.875% | 1,595,000 | 1,802,537 | |
Cottage Health Obligated Group | ||||
11/01/2049 | 3.304% | 610,000 | 673,564 |
Variable Portfolio Funds | Semiannual Report 2020 | 121 |
Variable Portfolio – Partners Core Bond Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CVS Health Corp. | ||||
03/09/2023 | 3.700% | 2,006,000 | 2,153,176 | |
12/05/2023 | 4.000% | 1,095,000 | 1,201,496 | |
08/15/2026 | 3.000% | 811,000 | 885,183 | |
03/25/2028 | 4.300% | 500,000 | 583,518 | |
08/15/2029 | 3.250% | 810,000 | 893,691 | |
03/25/2038 | 4.780% | 579,000 | 716,393 | |
03/25/2048 | 5.050% | 2,200,000 | 2,875,839 | |
CVS Pass-Through Trust(a) | ||||
10/10/2025 | 6.204% | 144,826 | 154,212 | |
01/10/2032 | 7.507% | 105,327 | 130,952 | |
01/10/2034 | 5.926% | 725,062 | 837,891 | |
01/10/2036 | 4.704% | 1,772,488 | 1,890,274 | |
08/11/2036 | 4.163% | 155,134 | 162,951 | |
Danaher Corp. | ||||
09/15/2025 | 3.350% | 753,000 | 837,442 | |
Dentsply Sirona, Inc. | ||||
06/01/2030 | 3.250% | 818,000 | 859,375 | |
DH Europe Finance II Sarl | ||||
11/15/2022 | 2.050% | 1,200,000 | 1,239,179 | |
11/15/2024 | 2.200% | 2,057,000 | 2,162,848 | |
11/15/2029 | 2.600% | 2,585,000 | 2,749,649 | |
11/15/2049 | 3.400% | 626,000 | 701,379 | |
Hartford HealthCare Corp. | ||||
07/01/2054 | 3.447% | 1,350,000 | 1,193,963 | |
HCA, Inc. | ||||
06/15/2026 | 5.250% | 700,000 | 807,645 | |
06/15/2029 | 4.125% | 1,000,000 | 1,103,365 | |
06/15/2039 | 5.125% | 660,000 | 768,344 | |
06/15/2047 | 5.500% | 300,000 | 366,247 | |
06/15/2049 | 5.250% | 399,000 | 478,098 | |
Memorial Health Services | ||||
11/01/2049 | 3.447% | 1,230,000 | 1,265,840 | |
NYU Langone Hospitals | ||||
07/01/2055 | 3.380% | 550,000 | 531,665 | |
Partners Healthcare System, Inc. | ||||
07/01/2060 | 3.342% | 3,000,000 | 3,183,767 | |
Providence St Joseph Health Obligated Group | ||||
10/01/2026 | 2.746% | 307,000 | 328,565 | |
Quest Diagnostics, Inc. | ||||
06/30/2031 | 2.800% | 525,000 | 551,711 | |
Rush Obligated Group | ||||
11/15/2029 | 3.922% | 1,242,000 | 1,387,887 | |
Stryker Corp. | ||||
06/15/2025 | 1.150% | 1,609,000 | 1,620,198 | |
06/15/2030 | 1.950% | 1,465,000 | 1,474,481 | |
06/15/2050 | 2.900% | 1,128,000 | 1,129,698 | |
Thermo Fisher Scientific, Inc. | ||||
03/25/2030 | 4.497% | 2,802,000 | 3,452,560 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Zimmer Biomet Holdings, Inc. | ||||
03/19/2023 | 3.700% | 174,000 | 184,746 | |
Total | 59,953,372 | |||
Healthcare Insurance 0.3% | ||||
Aetna, Inc. | ||||
12/15/2037 | 6.750% | 590,000 | 838,790 | |
08/15/2047 | 3.875% | 596,000 | 670,568 | |
Anthem, Inc. | ||||
12/01/2024 | 3.350% | 350,000 | 384,957 | |
12/01/2027 | 3.650% | 1,030,000 | 1,173,673 | |
03/01/2028 | 4.101% | 565,000 | 661,565 | |
05/15/2030 | 2.250% | 1,991,000 | 2,046,429 | |
12/01/2047 | 4.375% | 94,000 | 116,827 | |
05/15/2050 | 3.125% | 800,000 | 831,809 | |
UnitedHealth Group, Inc. | ||||
12/15/2025 | 3.700% | 811,000 | 929,887 | |
03/15/2026 | 3.100% | 642,000 | 716,280 | |
05/15/2030 | 2.000% | 2,067,000 | 2,163,656 | |
07/15/2035 | 4.625% | 658,000 | 856,924 | |
08/15/2039 | 3.500% | 976,000 | 1,134,846 | |
05/15/2040 | 2.750% | 958,000 | 1,025,547 | |
10/15/2047 | 3.750% | 646,000 | 769,988 | |
05/15/2050 | 2.900% | 641,000 | 675,985 | |
08/15/2059 | 3.875% | 414,000 | 506,203 | |
05/15/2060 | 3.125% | 401,000 | 428,641 | |
Total | 15,932,575 | |||
Healthcare REIT 0.2% | ||||
HCP, Inc. | ||||
03/01/2024 | 4.200% | 81,000 | 88,248 | |
08/15/2024 | 3.875% | 694,000 | 763,223 | |
07/15/2029 | 3.500% | 703,000 | 765,338 | |
Healthcare Trust of America Holdings LP | ||||
04/15/2023 | 3.700% | 720,000 | 754,936 | |
07/01/2027 | 3.750% | 1,600,000 | 1,692,420 | |
Healthpeak Properties, Inc. | ||||
01/15/2031 | 2.875% | 754,000 | 772,585 | |
Ventas Realty LP | ||||
01/15/2026 | 4.125% | 258,000 | 276,962 | |
04/01/2027 | 3.850% | 246,000 | 259,782 | |
11/15/2030 | 4.750% | 921,000 | 1,037,393 | |
Welltower, Inc. | ||||
02/15/2027 | 2.700% | 294,000 | 303,779 | |
01/15/2030 | 3.100% | 520,000 | 538,342 | |
03/15/2041 | 6.500% | 530,000 | 672,807 | |
Total | 7,925,815 | |||
Independent Energy 0.3% | ||||
Apache Corp. | ||||
09/01/2040 | 5.100% | 290,000 | 239,689 | |
04/15/2043 | 4.750% | 268,000 | 215,124 |
122 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners Core Bond Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Devon Energy Corp. | ||||
07/15/2041 | 5.600% | 606,000 | 593,099 | |
06/15/2045 | 5.000% | 398,000 | 355,597 | |
Diamondback Energy, Inc. | ||||
05/31/2025 | 4.750% | 1,295,000 | 1,387,334 | |
12/01/2026 | 3.250% | 1,919,000 | 1,925,471 | |
Encana Corp. | ||||
11/01/2031 | 7.375% | 695,000 | 644,720 | |
EOG Resources, Inc. | ||||
04/15/2030 | 4.375% | 1,385,000 | 1,651,051 | |
EQT Corp. | ||||
10/01/2027 | 3.900% | 302,000 | 245,555 | |
Hess Corp. | ||||
01/15/2040 | 6.000% | 810,000 | 872,576 | |
Marathon Oil Corp. | ||||
07/15/2027 | 4.400% | 1,475,000 | 1,454,825 | |
10/01/2037 | 6.600% | 150,000 | 152,337 | |
Noble Energy, Inc. | ||||
11/15/2024 | 3.900% | 882,000 | 885,555 | |
01/15/2028 | 3.850% | 384,000 | 370,277 | |
10/15/2029 | 3.250% | 485,000 | 441,405 | |
03/01/2041 | 6.000% | 400,000 | 389,553 | |
11/15/2044 | 5.050% | 250,000 | 227,478 | |
08/15/2047 | 4.950% | 943,000 | 847,829 | |
10/15/2049 | 4.200% | 1,057,000 | 885,834 | |
Total | 13,785,309 | |||
Integrated Energy 0.8% | ||||
BP Capital Markets America, Inc. | ||||
04/06/2025 | 3.194% | 1,868,000 | 2,036,259 | |
02/11/2026 | 3.410% | 520,000 | 575,261 | |
04/06/2027 | 3.543% | 1,883,000 | 2,094,444 | |
BP Capital Markets PLC | ||||
09/19/2027 | 3.279% | 801,000 | 873,840 | |
Chevron Corp. | ||||
05/11/2023 | 1.141% | 2,866,000 | 2,915,123 | |
05/11/2025 | 1.554% | 3,990,000 | 4,103,667 | |
05/11/2027 | 1.995% | 1,761,000 | 1,840,378 | |
05/11/2030 | 2.236% | 2,872,000 | 3,017,923 | |
05/11/2050 | 3.078% | 1,676,000 | 1,777,758 | |
ENI SpA(a) | ||||
09/12/2023 | 4.000% | 510,000 | 551,759 | |
Exxon Mobil Corp. | ||||
04/15/2023 | 1.571% | 3,655,000 | 3,750,571 | |
03/19/2025 | 2.992% | 2,314,000 | 2,513,700 | |
10/15/2030 | 2.610% | 1,400,000 | 1,500,061 | |
08/16/2039 | 2.995% | 815,000 | 856,908 | |
08/16/2049 | 3.095% | 1,015,000 | 1,045,524 | |
Husky Energy, Inc. | ||||
04/15/2022 | 3.950% | 750,000 | 767,334 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Petro-Canada | ||||
05/15/2035 | 5.950% | 250,000 | 296,612 | |
Suncor Energy, Inc. | ||||
05/15/2023 | 2.800% | 1,982,000 | 2,069,082 | |
05/15/2025 | 3.100% | 1,595,000 | 1,703,062 | |
Total Capital International SA | ||||
06/29/2041 | 2.986% | 2,021,000 | 2,065,214 | |
05/29/2050 | 3.127% | 2,575,000 | 2,638,458 | |
Total | 38,992,938 | |||
Life Insurance 0.8% | ||||
AIA Group Ltd.(a) | ||||
04/06/2028 | 3.900% | 500,000 | 555,102 | |
04/09/2029 | 3.600% | 320,000 | 353,183 | |
AIG SunAmerica Global Financing X(a) | ||||
03/15/2032 | 6.900% | 585,000 | 872,432 | |
American International Group, Inc. | ||||
06/30/2025 | 2.500% | 4,553,000 | 4,820,549 | |
04/01/2028 | 4.200% | 1,128,000 | 1,275,495 | |
06/30/2030 | 3.400% | 1,695,000 | 1,834,137 | |
07/16/2044 | 4.500% | 1,005,000 | 1,156,878 | |
04/01/2048 | 4.750% | 1,559,000 | 1,872,141 | |
Athene Global Funding(a) | ||||
11/12/2026 | 2.950% | 3,060,000 | 3,073,174 | |
Athene Holding Ltd. | ||||
04/03/2030 | 6.150% | 2,359,000 | 2,709,965 | |
Brighthouse Financial, Inc. | ||||
06/22/2047 | 4.700% | 842,000 | 765,167 | |
Dai-ichi Life Insurance Co. Ltd. (The)(a),(h) | ||||
Junior Subordinated | ||||
12/31/2049 | 4.000% | 1,062,000 | 1,126,627 | |
Guardian Life Insurance Co. of America (The)(a) | ||||
Subordinated | ||||
01/24/2077 | 4.850% | 208,000 | 264,547 | |
Jackson National Life Global Funding(a) | ||||
06/11/2025 | 3.875% | 279,000 | 309,670 | |
04/29/2026 | 3.050% | 1,073,000 | 1,160,217 | |
John Hancock Life Insurance Co.(a) | ||||
Subordinated | ||||
02/15/2024 | 7.375% | 250,000 | 295,063 | |
Lincoln National Corp. | ||||
01/15/2030 | 3.050% | 2,451,000 | 2,592,003 | |
Manulife Financial Corp.(h) | ||||
Subordinated | ||||
02/24/2032 | 4.061% | 1,400,000 | 1,483,325 | |
MetLife, Inc. | ||||
09/15/2023 | 4.368% | 600,000 | 670,027 | |
11/13/2043 | 4.875% | 490,000 | 633,189 |
Variable Portfolio Funds | Semiannual Report 2020 | 123 |
Variable Portfolio – Partners Core Bond Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Metropolitan Life Global Funding I(a) | ||||
01/11/2024 | 3.600% | 800,000 | 876,073 | |
09/19/2027 | 3.000% | 500,000 | 544,478 | |
Nationwide Financial Services, Inc.(a) | ||||
11/30/2049 | 3.900% | 1,807,000 | 1,776,857 | |
New York Life Global Funding(a) | ||||
01/10/2028 | 3.000% | 404,000 | 446,867 | |
New York Life Insurance Co.(a) | ||||
Subordinated | ||||
05/15/2069 | 4.450% | 750,000 | 930,805 | |
Prudential Financial, Inc. | ||||
02/25/2050 | 4.350% | 775,000 | 926,530 | |
Prudential Insurance Co. of America (The)(a) | ||||
Subordinated | ||||
07/01/2025 | 8.300% | 2,060,000 | 2,650,024 | |
Reliance Standard Life Global Funding II(a) | ||||
09/19/2023 | 3.850% | 520,000 | 557,757 | |
Teachers Insurance & Annuity Association of America(a) | ||||
Subordinated | ||||
09/15/2044 | 4.900% | 450,000 | 576,177 | |
05/15/2047 | 4.270% | 300,000 | 358,162 | |
Total | 37,466,621 | |||
Lodging 0.1% | ||||
Marriott International, Inc. | ||||
05/01/2025 | 5.750% | 613,000 | 666,150 | |
06/15/2030 | 4.625% | 1,823,000 | 1,892,360 | |
Total | 2,558,510 | |||
Media and Entertainment 0.3% | ||||
CBS Corp. | ||||
08/15/2024 | 3.700% | 1,019,000 | 1,106,506 | |
01/15/2045 | 4.600% | 139,000 | 146,789 | |
Discovery Communications LLC | ||||
05/15/2030 | 3.625% | 611,000 | 667,763 | |
06/01/2040 | 6.350% | 490,000 | 658,677 | |
09/20/2047 | 5.200% | 365,000 | 423,956 | |
Grupo Televisa SAB | ||||
01/31/2046 | 6.125% | 356,000 | 453,750 | |
Viacom, Inc. | ||||
03/15/2043 | 4.375% | 481,000 | 496,449 | |
09/01/2043 | 5.850% | 528,000 | 621,814 | |
ViacomCBS, Inc. | ||||
05/15/2025 | 4.750% | 1,246,000 | 1,423,876 | |
01/15/2031 | 4.950% | 757,000 | 889,315 | |
05/19/2032 | 4.200% | 2,366,000 | 2,639,997 | |
05/19/2050 | 4.950% | 796,000 | 885,128 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Walt Disney Co. (The) | ||||
07/15/2024 | 9.500% | 407,000 | 532,141 | |
04/30/2028 | 7.300% | 350,000 | 487,153 | |
05/13/2040 | 3.500% | 918,000 | 1,004,966 | |
01/13/2051 | 3.600% | 820,000 | 910,119 | |
05/13/2060 | 3.800% | 572,000 | 661,370 | |
Total | 14,009,769 | |||
Metals and Mining 0.3% | ||||
Anglo American Capital PLC(a) | ||||
09/11/2024 | 3.625% | 245,000 | 257,483 | |
09/11/2027 | 4.000% | 400,000 | 430,060 | |
Barrick Gold Corp. | ||||
10/15/2035 | 6.450% | 780,000 | 1,037,097 | |
Barrick North America Finance LLC | ||||
05/30/2041 | 5.700% | 918,000 | 1,230,923 | |
05/01/2043 | 5.750% | 340,000 | 477,473 | |
BHP Billiton Finance U.S.A. Ltd. | ||||
03/01/2026 | 6.420% | 1,372,000 | 1,733,585 | |
Newmont Corp. | ||||
10/01/2030 | 2.250% | 1,202,000 | 1,216,743 | |
Nucor Corp. | ||||
06/01/2025 | 2.000% | 802,000 | 830,591 | |
06/01/2030 | 2.700% | 802,000 | 841,710 | |
12/01/2037 | 6.400% | 1,000,000 | 1,385,904 | |
Steel Dynamics, Inc. | ||||
06/15/2025 | 2.400% | 583,000 | 599,244 | |
04/15/2030 | 3.450% | 819,000 | 858,353 | |
01/15/2031 | 3.250% | 583,000 | 594,433 | |
Teck Resources Ltd.(a) | ||||
07/15/2030 | 3.900% | 1,162,000 | 1,160,971 | |
Total | 12,654,570 | |||
Midstream 0.9% | ||||
Boardwalk Pipelines LP | ||||
05/03/2029 | 4.800% | 395,000 | 415,710 | |
Buckeye Partners LP | ||||
11/15/2043 | 5.850% | 770,000 | 669,208 | |
Cameron LNG LLC(a) | ||||
01/15/2039 | 3.701% | 885,000 | 955,505 | |
Enbridge, Inc. | ||||
01/15/2025 | 2.500% | 3,557,000 | 3,717,540 | |
11/15/2029 | 3.125% | 1,628,000 | 1,702,113 | |
06/10/2044 | 4.500% | 500,000 | 571,426 | |
Enbridge, Inc.(h) | ||||
Subordinated | ||||
03/01/2078 | 6.250% | 350,000 | 348,450 | |
Energy Transfer Operating LP | ||||
05/15/2050 | 5.000% | 1,485,000 | 1,407,758 |
124 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners Core Bond Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Energy Transfer Partners LP | ||||
01/15/2026 | 4.750% | 449,000 | 489,958 | |
06/01/2041 | 6.050% | 1,219,000 | 1,280,170 | |
12/15/2045 | 6.125% | 287,000 | 298,435 | |
Enterprise Products Operating LLC | ||||
04/15/2038 | 7.550% | 303,000 | 421,312 | |
02/15/2043 | 4.450% | 305,000 | 339,934 | |
01/31/2050 | 4.200% | 1,207,000 | 1,346,407 | |
01/31/2051 | 3.700% | 1,077,000 | 1,126,954 | |
01/31/2060 | 3.950% | 777,000 | 808,785 | |
EQT Midstream Partners LP | ||||
07/15/2028 | 5.500% | 700,000 | 666,637 | |
Kinder Morgan Energy Partners LP | ||||
03/01/2043 | 5.000% | 710,000 | 787,069 | |
Magellan Midstream Partners LP | ||||
06/01/2030 | 3.250% | 1,537,000 | 1,627,186 | |
12/01/2042 | 4.200% | 404,000 | 393,199 | |
MPLX LP | ||||
01/15/2025 | 5.250% | 253,000 | 263,065 | |
03/15/2028 | 4.000% | 280,000 | 295,976 | |
04/15/2038 | 4.500% | 764,000 | 763,293 | |
04/15/2048 | 4.700% | 400,000 | 407,423 | |
02/15/2049 | 5.500% | 675,000 | 747,751 | |
ONEOK Partners LP | ||||
10/01/2036 | 6.650% | 1,240,000 | 1,390,955 | |
ONEOK, Inc. | ||||
09/01/2029 | 3.400% | 155,000 | 150,867 | |
07/15/2048 | 5.200% | 400,000 | 405,973 | |
Phillips 66 Partners LP | ||||
10/01/2026 | 3.550% | 171,000 | 185,606 | |
12/15/2029 | 3.150% | 770,000 | 792,406 | |
Plains All American Pipeline LP/Finance Corp. | ||||
12/15/2029 | 3.550% | 1,519,000 | 1,473,895 | |
09/15/2030 | 3.800% | 901,000 | 883,684 | |
06/15/2044 | 4.700% | 680,000 | 611,349 | |
02/15/2045 | 4.900% | 318,000 | 296,282 | |
Southern Natural Gas Co. LLC | ||||
03/01/2032 | 8.000% | 360,000 | 520,320 | |
Sunoco Logistics Partners Operations LP | ||||
02/15/2040 | 6.850% | 652,000 | 707,195 | |
04/01/2044 | 5.300% | 505,000 | 487,489 | |
05/15/2045 | 5.350% | 81,000 | 78,960 | |
TC PipeLines LP | ||||
05/25/2027 | 3.900% | 247,000 | 259,717 | |
Tennessee Gas Pipeline Co. LLC(a) | ||||
03/01/2030 | 2.900% | 2,660,000 | 2,731,326 | |
Texas Eastern Transmission LP(a) | ||||
10/15/2022 | 2.800% | 660,000 | 672,488 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
TransCanada PipeLines Ltd. | ||||
10/16/2023 | 3.750% | 1,906,000 | 2,056,938 | |
01/15/2026 | 4.875% | 239,000 | 281,190 | |
03/01/2034 | 4.625% | 525,000 | 605,615 | |
10/15/2037 | 6.200% | 500,000 | 669,450 | |
Transcontinental Gas Pipe Line Co. LLC(a) | ||||
05/15/2030 | 3.250% | 795,000 | 849,518 | |
05/15/2050 | 3.950% | 1,273,000 | 1,372,436 | |
Williams Companies, Inc. (The) | ||||
01/15/2025 | 3.900% | 749,000 | 817,875 | |
03/01/2048 | 4.850% | 320,000 | 349,351 | |
Williams Partners LP | ||||
03/04/2044 | 5.400% | 753,000 | 832,773 | |
Total | 41,334,922 | |||
Natural Gas 0.2% | ||||
APT Pipelines Ltd.(a) | ||||
07/15/2027 | 4.250% | 569,000 | 635,299 | |
Brooklyn Union Gas Co. (The)(a) | ||||
03/15/2048 | 4.273% | 360,000 | 434,113 | |
CenterPoint Energy Resources Corp. | ||||
01/15/2021 | 4.500% | 395,000 | 399,351 | |
09/01/2047 | 4.100% | 735,000 | 818,134 | |
NiSource Finance Corp. | ||||
02/01/2042 | 5.800% | 381,000 | 500,720 | |
NiSource, Inc. | ||||
02/15/2023 | 3.850% | 237,000 | 253,445 | |
09/01/2029 | 2.950% | 755,000 | 823,306 | |
ONE Gas, Inc. | ||||
05/15/2030 | 2.000% | 1,090,000 | 1,111,789 | |
Southern California Gas Co. | ||||
06/15/2026 | 2.600% | 431,000 | 466,820 | |
02/01/2030 | 2.550% | 2,277,000 | 2,459,974 | |
Southern Co. Gas Capital Corp. | ||||
10/01/2023 | 2.450% | 201,000 | 210,773 | |
06/15/2026 | 3.250% | 169,000 | 181,315 | |
10/01/2046 | 3.950% | 247,000 | 267,031 | |
Total | 8,562,070 | |||
Office REIT 0.1% | ||||
Alexandria Real Estate Equities, Inc. | ||||
04/15/2026 | 3.800% | 122,000 | 137,292 | |
12/15/2030 | 4.900% | 1,535,000 | 1,922,530 | |
02/01/2050 | 4.000% | 661,000 | 804,282 | |
Boston Properties LP | ||||
12/01/2028 | 4.500% | 350,000 | 418,344 | |
Government Properties Income Trust | ||||
07/15/2022 | 4.000% | 471,000 | 466,221 |
Variable Portfolio Funds | Semiannual Report 2020 | 125 |
Variable Portfolio – Partners Core Bond Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Office Properties Income Trust | ||||
02/01/2022 | 4.150% | 2,095,000 | 2,079,946 | |
Total | 5,828,615 | |||
Oil Field Services 0.1% | ||||
Baker Hughes, Inc. | ||||
09/15/2040 | 5.125% | 300,000 | 367,050 | |
Halliburton Co. | ||||
11/15/2035 | 4.850% | 497,000 | 518,388 | |
08/01/2043 | 4.750% | 260,000 | 255,208 | |
National Oilwell Varco, Inc. | ||||
12/01/2029 | 3.600% | 1,000,000 | 976,320 | |
Schlumberger Finance Canada Ltd.(a) | ||||
11/20/2022 | 2.650% | 759,000 | 782,684 | |
Schlumberger Holdings Corp.(a) | ||||
05/01/2024 | 3.750% | 184,000 | 198,397 | |
05/17/2028 | 3.900% | 1,029,000 | 1,107,161 | |
Total | 4,205,208 | |||
Other Financial Institutions 0.0% | ||||
Children’s Hospital Corp. (The)(i) | ||||
02/01/2050 | 2.585% | 680,000 | 683,728 | |
Mitsubishi UFJ Lease & Finance Co., Ltd.(a) | ||||
09/19/2022 | 2.652% | 335,000 | 343,965 | |
ORIX Corp. | ||||
07/18/2022 | 2.900% | 252,000 | 260,973 | |
01/16/2024 | 4.050% | 300,000 | 327,893 | |
Total | 1,616,559 | |||
Other Industry 0.2% | ||||
CK Hutchison International 16 Ltd.(a) | ||||
10/03/2021 | 1.875% | 335,000 | 336,988 | |
CK Hutchison International Ltd.(a) | ||||
04/11/2029 | 3.625% | 730,000 | 813,331 | |
Emory University | ||||
09/01/2030 | 2.143% | 1,270,000 | 1,309,100 | |
Leland Stanford Junior University (The) | ||||
06/01/2027 | 1.289% | 309,000 | 312,723 | |
Pepperdine University | ||||
12/01/2059 | 3.301% | 560,000 | 580,833 | |
President and Fellows of Harvard College | ||||
10/15/2050 | 2.517% | 1,975,000 | 2,062,139 | |
07/15/2056 | 3.300% | 1,071,000 | 1,297,779 | |
Trustees of the University of Pennsylvania (The) | ||||
02/15/2119 | 3.610% | 815,000 | 951,636 | |
University of Southern California | ||||
10/01/2120 | 3.226% | 690,000 | 720,150 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Yale University | ||||
04/15/2025 | 0.873% | 1,342,000 | 1,349,526 | |
04/15/2030 | 1.482% | 1,150,000 | 1,162,697 | |
Total | 10,896,902 | |||
Other REIT 0.1% | ||||
American Campus Communities Operating Partnership LP | ||||
02/01/2030 | 2.850% | 1,955,000 | 1,885,786 | |
Digital Realty Trust LP | ||||
08/15/2027 | 3.700% | 231,000 | 263,286 | |
Duke Realty LP | ||||
06/30/2026 | 3.250% | 203,000 | 222,311 | |
Goodman Australia Industrial Fund Bond Issuer Pty Ltd.(a) | ||||
09/30/2026 | 3.400% | 921,000 | 964,883 | |
Life Storage LP | ||||
06/15/2029 | 4.000% | 820,000 | 896,403 | |
Prologis LP | ||||
10/01/2026 | 3.250% | 279,000 | 312,446 | |
04/15/2050 | 3.000% | 1,600,000 | 1,689,013 | |
WP Carey, Inc. | ||||
10/01/2026 | 4.250% | 345,000 | 368,235 | |
Total | 6,602,363 | |||
Other Utility 0.1% | ||||
American Water Capital Corp. | ||||
10/15/2037 | 6.593% | 300,000 | 445,742 | |
12/01/2046 | 4.000% | 431,000 | 515,588 | |
05/01/2050 | 3.450% | 1,198,000 | 1,353,433 | |
Total | 2,314,763 | |||
Paper 0.2% | ||||
Georgia-Pacific LLC(a) | ||||
09/30/2025 | 1.750% | 2,536,000 | 2,614,969 | |
04/30/2027 | 2.100% | 1,224,000 | 1,266,389 | |
04/30/2030 | 2.300% | 2,010,000 | 2,094,401 | |
International Paper Co. | ||||
08/15/2047 | 4.400% | 755,000 | 887,359 | |
Packaging Corp. of America | ||||
12/15/2049 | 4.050% | 785,000 | 925,708 | |
WRKCo, Inc. | ||||
03/15/2025 | 3.750% | 350,000 | 382,250 | |
06/01/2028 | 3.900% | 170,000 | 187,967 | |
Total | 8,359,043 | |||
Pharmaceuticals 1.8% | ||||
AbbVie, Inc. | ||||
11/06/2022 | 2.900% | 2,404,000 | 2,520,877 | |
11/14/2023 | 3.750% | 201,000 | 219,610 | |
11/14/2028 | 4.250% | 565,000 | 666,526 | |
11/06/2042 | 4.400% | 280,000 | 337,237 |
126 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners Core Bond Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
05/14/2046 | 4.450% | 1,155,000 | 1,411,098 | |
AbbVie, Inc.(a) | ||||
11/21/2022 | 2.300% | 4,370,000 | 4,520,779 | |
11/21/2024 | 2.600% | 1,870,000 | 1,984,142 | |
03/15/2025 | 3.800% | 3,125,000 | 3,463,795 | |
11/21/2026 | 2.950% | 751,000 | 816,386 | |
11/21/2029 | 3.200% | 5,094,000 | 5,591,620 | |
03/15/2035 | 4.550% | 1,000,000 | 1,212,122 | |
11/21/2039 | 4.050% | 3,652,000 | 4,269,805 | |
11/21/2049 | 4.250% | 1,447,000 | 1,751,496 | |
Amgen, Inc. | ||||
02/21/2027 | 2.200% | 665,000 | 698,967 | |
02/25/2031 | 2.300% | 1,200,000 | 1,248,639 | |
02/21/2040 | 3.150% | 823,000 | 882,644 | |
02/21/2050 | 3.375% | 748,000 | 826,954 | |
AstraZeneca PLC | ||||
09/15/2037 | 6.450% | 290,000 | 435,899 | |
09/18/2042 | 4.000% | 1,000,000 | 1,223,261 | |
Biogen, Inc. | ||||
05/01/2030 | 2.250% | 790,000 | 798,656 | |
05/01/2050 | 3.150% | 1,103,000 | 1,064,004 | |
Bristol-Myers Squibb Co.(a) | ||||
08/15/2025 | 3.875% | 836,000 | 951,617 | |
06/15/2026 | 3.200% | 2,226,000 | 2,496,224 | |
11/15/2027 | 3.450% | 1,084,000 | 1,247,103 | |
02/20/2028 | 3.900% | 2,062,000 | 2,422,649 | |
07/26/2029 | 3.400% | 2,541,000 | 2,933,957 | |
06/15/2039 | 4.125% | 476,000 | 605,059 | |
08/15/2045 | 5.000% | 605,000 | 851,353 | |
11/15/2047 | 4.350% | 351,000 | 461,922 | |
02/20/2048 | 4.550% | 400,000 | 539,462 | |
10/26/2049 | 4.250% | 610,000 | 804,183 | |
Eli Lilly and Co. | ||||
05/15/2050 | 2.250% | 1,759,000 | 1,683,822 | |
Gilead Sciences, Inc. | ||||
03/01/2046 | 4.750% | 383,000 | 516,610 | |
03/01/2047 | 4.150% | 1,000,000 | 1,276,015 | |
Merck & Co., Inc. | ||||
06/24/2030 | 1.450% | 1,570,000 | 1,570,261 | |
06/24/2040 | 2.350% | 546,000 | 555,700 | |
02/10/2045 | 3.700% | 524,000 | 633,752 | |
06/24/2050 | 2.450% | 1,546,000 | 1,553,219 | |
Mylan NV | ||||
06/15/2026 | 3.950% | 200,000 | 223,443 | |
Novartis Capital Corp. | ||||
02/14/2027 | 2.000% | 1,315,000 | 1,397,296 | |
08/14/2030 | 2.200% | 1,297,000 | 1,370,976 | |
Perrigo Finance Unlimited Co. | ||||
06/15/2030 | 3.150% | 1,980,000 | 2,001,317 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Pfizer, Inc. | ||||
03/11/2022 | 2.800% | 722,000 | 751,348 | |
03/15/2039 | 3.900% | 900,000 | 1,108,421 | |
05/28/2040 | 2.550% | 1,140,000 | 1,179,331 | |
05/28/2050 | 2.700% | 1,214,000 | 1,253,251 | |
Shire Acquisitions Investments Ireland DAC | ||||
09/23/2023 | 2.875% | 2,174,000 | 2,303,818 | |
09/23/2026 | 3.200% | 1,480,000 | 1,643,893 | |
Takeda Pharmaceutical Co., Ltd. | ||||
11/26/2023 | 4.400% | 1,377,000 | 1,533,035 | |
11/26/2028 | 5.000% | 1,000,000 | 1,233,031 | |
Takeda Pharmaceutical Co., Ltd.(i) | ||||
03/31/2030 | 2.050% | 2,800,000 | 2,798,837 | |
07/09/2040 | 3.025% | 835,000 | 841,667 | |
07/09/2050 | 3.175% | 2,073,000 | 2,075,082 | |
07/09/2060 | 3.375% | 1,085,000 | 1,082,696 | |
Upjohn, Inc.(a) | ||||
06/22/2030 | 2.700% | 933,000 | 958,852 | |
06/22/2040 | 3.850% | 1,297,000 | 1,393,530 | |
06/22/2050 | 4.000% | 684,000 | 732,065 | |
Zoetis, Inc. | ||||
05/15/2030 | 2.000% | 890,000 | 914,920 | |
05/15/2050 | 3.000% | 350,000 | 369,238 | |
Total | 84,213,472 | |||
Property & Casualty 0.3% | ||||
American Financial Group, Inc. | ||||
08/15/2026 | 3.500% | 555,000 | 592,111 | |
04/02/2030 | 5.250% | 1,935,000 | 2,290,723 | |
Arch Capital Group Ltd. | ||||
06/30/2050 | 3.635% | 993,000 | 1,039,464 | |
Assurant, Inc. | ||||
09/27/2023 | 4.200% | 545,000 | 583,743 | |
Chubb INA Holdings, Inc. | ||||
05/15/2024 | 3.350% | 750,000 | 825,281 | |
Cincinnati Financial Corp. | ||||
11/01/2034 | 6.125% | 1,000,000 | 1,400,128 | |
CNA Financial Corp. | ||||
08/15/2027 | 3.450% | 500,000 | 536,012 | |
Fidelity National Financial, Inc. | ||||
06/15/2030 | 3.400% | 1,244,000 | 1,297,236 | |
Hartford Financial Services Group, Inc. (The) | ||||
10/01/2041 | 6.100% | 265,000 | 366,007 | |
04/15/2043 | 4.300% | 430,000 | 495,546 | |
Liberty Mutual Group, Inc.(a) | ||||
10/15/2050 | 3.951% | 700,000 | 739,077 | |
Markel Corp. | ||||
11/01/2027 | 3.500% | 306,000 | 327,162 |
Variable Portfolio Funds | Semiannual Report 2020 | 127 |
Variable Portfolio – Partners Core Bond Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Nationwide Mutual Insurance Co.(a) | ||||
Subordinated | ||||
04/30/2050 | 4.350% | 1,025,000 | 1,083,295 | |
OneBeacon US Holdings, Inc. | ||||
11/09/2022 | 4.600% | 600,000 | 622,178 | |
Progressive Corp. (The)(h) | ||||
12/31/2049 | 5.375% | 320,000 | 317,327 | |
Travelers Property Casualty Corp. | ||||
04/15/2026 | 7.750% | 605,000 | 812,988 | |
Total | 13,328,278 | |||
Railroads 0.3% | ||||
Burlington Northern Santa Fe LLC | ||||
08/15/2030 | 7.950% | 500,000 | 750,622 | |
05/01/2040 | 5.750% | 790,000 | 1,107,825 | |
02/15/2050 | 3.550% | 206,000 | 240,564 | |
02/15/2051 | 3.050% | 538,000 | 582,764 | |
CSX Corp. | ||||
10/01/2036 | 6.000% | 450,000 | 619,692 | |
03/01/2048 | 4.300% | 94,000 | 117,367 | |
11/15/2048 | 4.750% | 936,000 | 1,241,756 | |
09/15/2049 | 3.350% | 80,000 | 88,777 | |
Norfolk Southern Corp. | ||||
08/15/2052 | 4.050% | 600,000 | 713,883 | |
Union Pacific Corp. | ||||
03/01/2022 | 2.950% | 1,332,000 | 1,385,976 | |
03/01/2024 | 3.150% | 637,000 | 690,373 | |
02/05/2027 | 2.150% | 1,189,000 | 1,259,764 | |
02/05/2030 | 2.400% | 1,472,000 | 1,571,340 | |
03/01/2049 | 4.300% | 192,000 | 245,103 | |
02/05/2050 | 3.250% | 1,890,000 | 2,072,231 | |
09/15/2067 | 4.100% | 200,000 | 239,289 | |
02/05/2070 | 3.750% | 233,000 | 264,957 | |
Total | 13,192,283 | |||
Refining 0.1% | ||||
Marathon Petroleum Corp. | ||||
12/15/2023 | 4.750% | 601,000 | 659,681 | |
09/15/2024 | 3.625% | 1,981,000 | 2,108,691 | |
05/01/2025 | 4.700% | 1,405,000 | 1,572,871 | |
04/01/2048 | 4.500% | 193,000 | 198,337 | |
Phillips 66 | ||||
11/15/2044 | 4.875% | 40,000 | 49,490 | |
Valero Energy Corp. | ||||
04/15/2023 | 2.700% | 1,270,000 | 1,318,003 | |
04/15/2032 | 7.500% | 181,000 | 251,811 | |
Total | 6,158,884 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Restaurants 0.2% | ||||
McDonald’s Corp. | ||||
09/01/2025 | 1.450% | 1,503,000 | 1,542,212 | |
09/01/2029 | 2.625% | 432,000 | 462,577 | |
03/01/2030 | 2.125% | 207,000 | 212,509 | |
12/09/2035 | 4.700% | 283,000 | 358,932 | |
10/15/2037 | 6.300% | 268,000 | 389,282 | |
Starbucks Corp. | ||||
05/07/2022 | 1.300% | 956,000 | 968,747 | |
11/15/2030 | 2.550% | 1,728,000 | 1,814,422 | |
03/12/2050 | 3.350% | 376,000 | 383,911 | |
11/15/2050 | 3.500% | 954,000 | 1,004,962 | |
Total | 7,137,554 | |||
Retail REIT 0.4% | ||||
Brixmor Operating Partnership LP | ||||
02/01/2025 | 3.850% | 1,000,000 | 1,033,612 | |
DDR Corp. | ||||
02/01/2025 | 3.625% | 482,000 | 485,908 | |
06/01/2027 | 4.700% | 200,000 | 205,184 | |
Federal Realty Investment Trust | ||||
01/15/2024 | 3.950% | 1,193,000 | 1,271,277 | |
National Retail Properties, Inc. | ||||
11/15/2025 | 4.000% | 728,000 | 791,464 | |
12/15/2026 | 3.600% | 618,000 | 654,393 | |
Realty Income Corp. | ||||
07/15/2024 | 3.875% | 642,000 | 701,015 | |
04/15/2025 | 3.875% | 255,000 | 278,753 | |
01/15/2031 | 3.250% | 1,718,000 | 1,864,411 | |
Regency Centers LP | ||||
09/15/2029 | 2.950% | 2,292,000 | 2,315,282 | |
Scentre Group Trust 1 / 2(a) | ||||
02/12/2025 | 3.500% | 1,040,000 | 1,083,585 | |
Scentre Group Trust 1/Trust 2(a) | ||||
01/28/2026 | 3.625% | 1,189,000 | 1,246,132 | |
Spirit Realty LP | ||||
09/15/2026 | 4.450% | 93,000 | 96,397 | |
07/15/2029 | 4.000% | 439,000 | 430,949 | |
01/15/2030 | 3.400% | 907,000 | 855,189 | |
STORE Capital Corp. | ||||
03/15/2028 | 4.500% | 2,833,000 | 2,859,543 | |
03/15/2029 | 4.625% | 960,000 | 992,690 | |
VEREIT Operating Partnership LP | ||||
01/15/2028 | 3.400% | 798,000 | 803,999 | |
Total | 17,969,783 | |||
Retailers 0.9% | ||||
Advance Auto Parts, Inc.(a) | ||||
04/15/2030 | 3.900% | 2,428,000 | 2,596,410 |
128 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners Core Bond Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Alimentation Couche-Tard, Inc.(a) | ||||
01/25/2030 | 2.950% | 440,000 | 452,975 | |
01/25/2050 | 3.800% | 1,270,000 | 1,313,616 | |
AutoNation, Inc. | ||||
06/01/2030 | 4.750% | 1,204,000 | 1,307,110 | |
Costco Wholesale Corp. | ||||
04/20/2030 | 1.600% | 4,533,000 | 4,591,669 | |
04/20/2032 | 1.750% | 2,768,000 | 2,805,072 | |
Dollar General Corp. | ||||
05/01/2028 | 4.125% | 365,000 | 426,837 | |
04/03/2030 | 3.500% | 907,000 | 1,019,920 | |
04/03/2050 | 4.125% | 173,000 | 207,083 | |
Home Depot Inc (The) | ||||
04/15/2027 | 2.500% | 929,000 | 1,017,125 | |
06/15/2029 | 2.950% | 428,000 | 480,400 | |
04/15/2030 | 2.700% | 934,000 | 1,026,751 | |
04/15/2050 | 3.350% | 1,149,000 | 1,323,322 | |
Home Depot, Inc. (The) | ||||
12/15/2049 | 3.125% | 3,360,000 | 3,680,074 | |
Lowe’s Companies, Inc. | ||||
04/15/2025 | 4.000% | 815,000 | 928,961 | |
04/05/2029 | 3.650% | 1,213,000 | 1,389,143 | |
04/15/2040 | 5.000% | 918,000 | 1,190,943 | |
04/05/2049 | 4.550% | 717,000 | 907,172 | |
04/15/2050 | 5.125% | 262,000 | 360,681 | |
NIKE, Inc. | ||||
03/27/2025 | 2.400% | 1,110,000 | 1,197,369 | |
03/27/2027 | 2.750% | 740,000 | 813,854 | |
03/27/2030 | 2.850% | 731,000 | 813,749 | |
03/27/2050 | 3.375% | 905,000 | 1,042,079 | |
O’Reilly Automotive, Inc. | ||||
03/15/2026 | 3.550% | 480,000 | 539,729 | |
09/01/2027 | 3.600% | 432,000 | 484,393 | |
04/01/2030 | 4.200% | 1,546,000 | 1,824,191 | |
Ralph Lauren Corp. | ||||
06/15/2022 | 1.700% | 1,303,000 | 1,324,428 | |
06/15/2030 | 2.950% | 1,600,000 | 1,642,932 | |
TJX Companies, Inc. (The) | ||||
04/15/2030 | 3.875% | 560,000 | 658,329 | |
Walmart, Inc. | ||||
06/26/2025 | 3.550% | 1,561,000 | 1,767,966 | |
07/08/2026 | 3.050% | 706,000 | 796,558 | |
06/26/2028 | 3.700% | 1,968,000 | 2,325,365 | |
06/29/2048 | 4.050% | 14,000 | 18,373 | |
Total | 42,274,579 | |||
Supermarkets 0.1% | ||||
Kroger Co. (The) | ||||
05/01/2030 | 2.200% | 2,000,000 | 2,078,184 | |
01/15/2050 | 3.950% | 700,000 | 803,795 | |
Total | 2,881,979 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Supranational 0.2% | ||||
Asian Development Bank | ||||
04/07/2022 | 0.625% | 6,711,000 | 6,753,927 | |
Inter-American Development Bank | ||||
04/03/2025 | 0.875% | 2,967,000 | 3,023,514 | |
Total | 9,777,441 | |||
Technology 2.2% | ||||
Adobe, Inc. | ||||
02/01/2030 | 2.300% | 2,670,000 | 2,879,574 | |
Analog Devices, Inc. | ||||
12/05/2023 | 3.125% | 244,000 | 262,259 | |
12/05/2036 | 4.500% | 198,000 | 234,334 | |
Apple, Inc. | ||||
05/13/2025 | 3.200% | 552,000 | 616,020 | |
09/11/2026 | 2.050% | 2,411,000 | 2,573,106 | |
02/09/2027 | 3.350% | 1,619,000 | 1,838,409 | |
05/11/2027 | 3.200% | 571,000 | 646,739 | |
06/20/2027 | 3.000% | 562,000 | 629,416 | |
09/12/2027 | 2.900% | 1,244,000 | 1,391,405 | |
08/04/2046 | 3.850% | 672,000 | 835,305 | |
02/09/2047 | 4.250% | 657,000 | 855,814 | |
11/13/2047 | 3.750% | 495,000 | 606,334 | |
09/11/2049 | 2.950% | 1,460,000 | 1,596,083 | |
05/11/2050 | 2.650% | 1,068,000 | 1,120,539 | |
Arrow Electronics, Inc. | ||||
09/08/2024 | 3.250% | 219,000 | 231,263 | |
01/12/2028 | 3.875% | 376,000 | 394,247 | |
Broadcom Corp./Cayman Finance Ltd. | ||||
01/15/2027 | 3.875% | 1,821,000 | 1,966,789 | |
Broadcom, Inc.(a) | ||||
04/15/2025 | 4.700% | 1,894,000 | 2,135,505 | |
11/15/2025 | 3.150% | 4,207,000 | 4,478,310 | |
04/15/2026 | 4.250% | 1,289,000 | 1,432,910 | |
09/15/2028 | 4.110% | 1,775,000 | 1,940,618 | |
04/15/2029 | 4.750% | 1,265,000 | 1,435,677 | |
04/15/2030 | 5.000% | 1,007,000 | 1,155,871 | |
11/15/2030 | 4.150% | 2,532,000 | 2,753,571 | |
Dell International LLC/EMC Corp.(a) | ||||
06/15/2026 | 6.020% | 1,068,000 | 1,221,848 | |
DXC Technology Co. | ||||
04/15/2024 | 4.250% | 302,000 | 327,557 | |
Equinix, Inc. | ||||
11/18/2024 | 2.625% | 1,014,000 | 1,079,434 | |
11/18/2026 | 2.900% | 2,116,000 | 2,280,373 | |
Fiserv, Inc. | ||||
07/01/2026 | 3.200% | 1,649,000 | 1,822,682 | |
10/01/2028 | 4.200% | 124,000 | 145,551 | |
07/01/2029 | 3.500% | 1,380,000 | 1,550,570 | |
07/01/2049 | 4.400% | 345,000 | 417,974 |
Variable Portfolio Funds | Semiannual Report 2020 | 129 |
Variable Portfolio – Partners Core Bond Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
HP, Inc. | ||||
06/17/2025 | 2.200% | 2,408,000 | 2,486,467 | |
06/17/2027 | 3.000% | 785,000 | 822,923 | |
Intel Corp. | ||||
11/15/2029 | 2.450% | 887,000 | 957,492 | |
03/25/2040 | 4.600% | 764,000 | 1,013,853 | |
02/15/2060 | 3.100% | 700,000 | 774,697 | |
International Business Machines Corp. | ||||
05/15/2026 | 3.300% | 1,879,000 | 2,112,151 | |
05/15/2027 | 1.700% | 2,985,000 | 3,048,560 | |
05/15/2039 | 4.150% | 554,000 | 670,487 | |
KLA Corp. | ||||
03/01/2050 | 3.300% | 1,023,000 | 1,056,862 | |
Lam Research Corp. | ||||
06/15/2030 | 1.900% | 1,372,000 | 1,398,927 | |
06/15/2050 | 2.875% | 1,354,000 | 1,385,133 | |
Micron Technology, Inc. | ||||
04/24/2023 | 2.497% | 2,373,000 | 2,466,225 | |
Microsoft Corp. | ||||
02/06/2024 | 2.875% | 445,000 | 480,199 | |
02/12/2035 | 3.500% | 300,000 | 365,143 | |
11/03/2035 | 4.200% | 462,000 | 605,611 | |
02/06/2037 | 4.100% | 759,000 | 980,383 | |
06/01/2050 | 2.525% | 436,000 | 454,699 | |
08/08/2056 | 3.950% | 314,000 | 404,411 | |
06/01/2060 | 2.675% | 1,660,000 | 1,731,453 | |
NetApp, Inc. | ||||
06/22/2025 | 1.875% | 1,690,000 | 1,713,894 | |
NVIDIA Corp. | ||||
04/01/2040 | 3.500% | 775,000 | 903,416 | |
04/01/2050 | 3.500% | 1,935,000 | 2,216,705 | |
NXP BV/Funding LLC /USA, Inc.(a) | ||||
05/01/2027 | 3.150% | 1,296,000 | 1,370,401 | |
NXP BV/Funding LLC/USA, Inc.(a) | ||||
05/01/2025 | 2.700% | 762,000 | 797,920 | |
06/18/2026 | 3.875% | 2,665,000 | 2,974,372 | |
06/18/2029 | 4.300% | 1,007,000 | 1,145,729 | |
05/01/2030 | 3.400% | 1,640,000 | 1,765,082 | |
Oracle Corp. | ||||
02/15/2023 | 2.625% | 996,000 | 1,047,379 | |
11/15/2024 | 2.950% | 519,000 | 564,330 | |
04/01/2027 | 2.800% | 2,296,000 | 2,506,614 | |
07/08/2034 | 4.300% | 164,000 | 203,952 | |
05/15/2035 | 3.900% | 735,000 | 889,729 | |
07/15/2036 | 3.850% | 835,000 | 978,677 | |
11/15/2037 | 3.800% | 529,000 | 612,501 | |
04/01/2040 | 3.600% | 2,700,000 | 3,051,805 | |
11/15/2047 | 4.000% | 1,157,000 | 1,363,828 | |
04/01/2060 | 3.850% | 1,267,000 | 1,482,517 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
PayPal Holdings, Inc. | ||||
06/01/2023 | 1.350% | 2,075,000 | 2,114,557 | |
06/01/2025 | 1.650% | 2,904,000 | 3,004,428 | |
QUALCOMM, Inc. | ||||
05/20/2030 | 2.150% | 2,375,000 | 2,478,465 | |
Texas Instruments, Inc. | ||||
03/12/2025 | 1.375% | 952,000 | 979,856 | |
Total | 100,237,920 | |||
Tobacco 0.2% | ||||
Altria Group, Inc. | ||||
05/06/2025 | 2.350% | 1,229,000 | 1,291,587 | |
05/06/2030 | 3.400% | 988,000 | 1,063,437 | |
09/16/2046 | 3.875% | 411,000 | 409,525 | |
05/06/2050 | 4.450% | 1,008,000 | 1,101,943 | |
BAT Capital Corp. | ||||
04/02/2027 | 4.700% | 1,608,000 | 1,844,113 | |
08/15/2027 | 3.557% | 1,499,000 | 1,614,091 | |
08/15/2037 | 4.390% | 109,000 | 118,887 | |
08/15/2047 | 4.540% | 425,000 | 460,673 | |
Reynolds American, Inc. | ||||
08/15/2045 | 5.850% | 822,000 | 1,005,706 | |
Total | 8,909,962 | |||
Transportation Services 0.1% | ||||
Brambles U.S.A., Inc.(a) | ||||
10/23/2025 | 4.125% | 300,000 | 328,929 | |
Element Fleet Management Corp.(a) | ||||
06/15/2025 | 3.850% | 1,541,000 | 1,579,094 | |
ERAC U.S.A. Finance LLC(a) | ||||
02/15/2045 | 4.500% | 399,000 | 399,076 | |
JB Hunt Transport Services, Inc. | ||||
03/01/2026 | 3.875% | 495,000 | 565,303 | |
Penske Truck Leasing Co. LP/Finance Corp.(a) | ||||
03/14/2023 | 2.700% | 350,000 | 358,510 | |
Ryder System, Inc. | ||||
09/01/2021 | 2.250% | 700,000 | 709,366 | |
Total | 3,940,278 | |||
Wireless 0.9% | ||||
America Movil SAB de CV | ||||
04/22/2029 | 3.625% | 795,000 | 882,165 | |
04/22/2049 | 4.375% | 662,000 | 807,041 | |
American Tower Corp. | ||||
10/15/2026 | 3.375% | 425,000 | 471,026 | |
08/15/2029 | 3.800% | 1,500,000 | 1,699,748 | |
06/15/2030 | 2.100% | 750,000 | 752,503 | |
10/15/2049 | 3.700% | 800,000 | 872,623 |
130 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners Core Bond Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Crown Castle International Corp. | ||||
03/01/2027 | 4.000% | 611,000 | 694,729 | |
07/01/2030 | 3.300% | 2,158,000 | 2,373,641 | |
01/15/2031 | 2.250% | 1,470,000 | 1,483,059 | |
Rogers Communications, Inc. | ||||
05/01/2049 | 4.350% | 550,000 | 672,307 | |
T-Mobile U.S.A., Inc.(a) | ||||
04/15/2025 | 3.500% | 4,816,000 | 5,248,627 | |
04/15/2027 | 3.750% | 4,962,000 | 5,500,955 | |
04/15/2030 | 3.875% | 6,234,000 | 6,938,739 | |
T-Mobile USA, Inc.(a) | ||||
02/15/2026 | 1.500% | 3,646,000 | 3,647,195 | |
02/15/2028 | 2.050% | 4,484,000 | 4,491,660 | |
02/15/2031 | 2.550% | 3,554,000 | 3,578,751 | |
Vodafone Group PLC | ||||
05/30/2048 | 5.250% | 400,000 | 518,810 | |
06/19/2049 | 4.875% | 1,070,000 | 1,358,534 | |
09/17/2050 | 4.250% | 1,427,000 | 1,662,905 | |
Total | 43,655,018 | |||
Wirelines 1.1% | ||||
AT&T, Inc. | ||||
02/15/2022 | 3.000% | 1,155,000 | 1,202,658 | |
06/30/2022 | 3.000% | 1,852,000 | 1,935,395 | |
02/17/2023 | 3.600% | 1,390,000 | 1,490,913 | |
03/11/2024 | 3.900% | 829,000 | 911,394 | |
01/15/2025 | 3.950% | 843,000 | 940,279 | |
05/15/2025 | 3.400% | 2,909,000 | 3,192,504 | |
06/01/2027 | 2.300% | 5,203,000 | 5,388,356 | |
02/15/2030 | 4.300% | 2,284,000 | 2,674,802 | |
06/01/2031 | 2.750% | 2,413,000 | 2,513,241 | |
05/15/2035 | 4.500% | 695,000 | 819,730 | |
03/01/2037 | 5.250% | 434,000 | 537,927 | |
03/01/2039 | 4.850% | 731,000 | 882,921 | |
08/15/2040 | 6.000% | 875,000 | 1,172,151 | |
06/01/2041 | 3.500% | 1,889,000 | 1,979,510 | |
10/15/2041 | 5.375% | 581,000 | 728,177 | |
12/15/2043 | 5.350% | 353,000 | 445,496 | |
03/09/2048 | 4.500% | 1,403,000 | 1,634,428 | |
02/15/2050 | 5.150% | 697,000 | 889,062 | |
06/01/2051 | 3.650% | 764,000 | 801,621 | |
06/01/2060 | 3.850% | 804,000 | 857,330 | |
Deutsche Telekom AG(a) | ||||
01/21/2050 | 3.625% | 792,000 | 877,695 | |
Deutsche Telekom International Finance BV(a) | ||||
01/19/2027 | 3.600% | 402,000 | 449,827 | |
Qwest Corp. | ||||
12/01/2021 | 6.750% | 1,063,000 | 1,120,578 | |
Telefonica Emisiones SAU | ||||
02/16/2021 | 5.462% | 120,000 | 123,426 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Verizon Communications, Inc. | ||||
11/01/2024 | 3.500% | 1,754,000 | 1,939,221 | |
08/15/2026 | 2.625% | 75,000 | 81,596 | |
03/22/2027 | 3.000% | 755,000 | 836,952 | |
02/08/2029 | 3.875% | 235,000 | 277,052 | |
12/03/2029 | 4.016% | 1,086,000 | 1,298,384 | |
03/22/2030 | 3.150% | 2,395,000 | 2,697,780 | |
11/01/2034 | 4.400% | 5,075,000 | 6,292,173 | |
01/15/2036 | 4.272% | 1,114,000 | 1,374,132 | |
03/16/2037 | 5.250% | 457,000 | 620,906 | |
08/21/2046 | 4.862% | 1,087,000 | 1,473,744 | |
09/15/2048 | 4.522% | 979,000 | 1,294,043 | |
03/15/2055 | 4.672% | 575,000 | 782,809 | |
Total | 52,538,213 | |||
Total Corporate Bonds & Notes (Cost $1,342,523,086) | 1,427,547,753 | |||
Foreign Government Obligations(k) 1.4% | ||||
Canada 0.0% | ||||
Hydro-Quebec | ||||
02/01/2021 | 9.400% | 750,000 | 788,927 | |
Ontario Teachers’ Cadillac Fairview Properties Trust(a) | ||||
03/20/2027 | 3.875% | 804,000 | 867,636 | |
Total | 1,656,563 | |||
Colombia 0.2% | ||||
Colombia Government International Bond | ||||
02/26/2024 | 4.000% | 893,000 | 939,290 | |
04/15/2031 | 3.125% | 2,678,000 | 2,659,633 | |
09/18/2037 | 7.375% | 150,000 | 205,219 | |
05/15/2049 | 5.200% | 200,000 | 234,443 | |
05/15/2051 | 4.125% | 870,000 | 874,706 | |
Ecopetrol SA | ||||
01/16/2025 | 4.125% | 300,000 | 300,648 | |
06/26/2026 | 5.375% | 580,000 | 609,692 | |
04/29/2030 | 6.875% | 1,257,000 | 1,439,756 | |
05/28/2045 | 5.875% | 800,000 | 840,599 | |
Total | 8,103,986 | |||
Germany 0.1% | ||||
Landwirtschaftliche Rentenbank | ||||
05/27/2025 | 0.500% | 4,606,000 | 4,611,818 | |
Indonesia 0.1% | ||||
Indonesia Government International Bond | ||||
04/15/2070 | 4.450% | 1,477,000 | 1,698,497 | |
PT Hutama Karya Persero(a) | ||||
05/11/2030 | 3.750% | 903,000 | 950,460 | |
Total | 2,648,957 |
Variable Portfolio Funds | Semiannual Report 2020 | 131 |
Variable Portfolio – Partners Core Bond Fund, June 30, 2020 (Unaudited)
Foreign Government Obligations(k) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Israel 0.0% | ||||
Israel Government International Bond | ||||
04/03/2120 | 4.500% | 763,000 | 989,620 | |
State of Israel | ||||
01/15/2050 | 3.375% | 821,000 | 903,521 | |
Total | 1,893,141 | |||
Japan 0.1% | ||||
Japan Bank for International Cooperation | ||||
10/17/2024 | 1.750% | 2,034,000 | 2,128,683 | |
Mexico 0.4% | ||||
Mexico City Airport Trust(a) | ||||
07/31/2047 | 5.500% | 200,000 | 176,286 | |
Mexico Government International Bond | ||||
01/30/2025 | 3.600% | 757,000 | 802,166 | |
04/27/2025 | 3.900% | 1,960,000 | 2,097,676 | |
01/21/2026 | 4.125% | 1,673,000 | 1,807,011 | |
04/22/2029 | 4.500% | 4,312,000 | 4,683,559 | |
04/16/2030 | 3.250% | 2,896,000 | 2,871,979 | |
03/08/2044 | 4.750% | 2,090,000 | 2,191,898 | |
01/15/2047 | 4.350% | 479,000 | 479,697 | |
02/10/2048 | 4.600% | 722,000 | 747,403 | |
04/27/2051 | 5.000% | 1,043,000 | 1,126,050 | |
10/12/2110 | 5.750% | 458,000 | 508,209 | |
Total | 17,491,934 | |||
Netherlands 0.0% | ||||
MDGH - GMTN BV(a) | ||||
11/07/2029 | 2.875% | 1,403,000 | 1,472,316 | |
Norway 0.1% | ||||
Equinor ASA | ||||
01/22/2026 | 1.750% | 1,151,000 | 1,179,654 | |
09/23/2027 | 7.250% | 400,000 | 538,566 | |
05/22/2030 | 2.375% | 768,000 | 799,166 | |
11/18/2049 | 3.250% | 552,000 | 588,361 | |
Total | 3,105,747 | |||
Panama 0.0% | ||||
Panama Government International Bond | ||||
04/16/2050 | 4.500% | 275,000 | 336,358 | |
Paraguay 0.1% | ||||
Paraguay Government International Bond(a) | ||||
04/28/2031 | 4.950% | 1,350,000 | 1,505,250 | |
03/30/2050 | 5.400% | 2,073,000 | 2,360,236 | |
Total | 3,865,486 |
Foreign Government Obligations(k) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Peru 0.0% | ||||
Peruvian Government International Bond | ||||
01/23/2026 | 2.392% | 909,000 | 945,421 | |
01/23/2031 | 2.783% | 529,000 | 564,131 | |
11/18/2050 | 5.625% | 98,000 | 154,772 | |
Total | 1,664,324 | |||
Qatar 0.1% | ||||
Qatar Government International Bond(a) | ||||
04/16/2025 | 3.400% | 2,936,000 | 3,195,654 | |
04/16/2030 | 3.750% | 2,185,000 | 2,492,716 | |
Total | 5,688,370 | |||
Singapore 0.0% | ||||
BOC Aviation Ltd.(a) | ||||
09/18/2022 | 2.750% | 400,000 | 402,825 | |
10/10/2024 | 3.500% | 310,000 | 321,836 | |
Total | 724,661 | |||
Sweden 0.1% | ||||
Svensk Exportkredit AB | ||||
04/06/2023 | 0.750% | 4,037,000 | 4,072,500 | |
United Arab Emirates 0.1% | ||||
Abu Dhabi Government International Bond(a) | ||||
04/16/2025 | 2.500% | 4,321,000 | 4,545,699 | |
Total Foreign Government Obligations (Cost $60,750,983) | 64,010,543 | |||
Inflation-Indexed Bonds 0.0% | ||||
United States 0.0% | ||||
U.S. Treasury Inflation-Indexed Bond | ||||
01/15/2022 | 0.125% | 1,132,790 | 1,148,190 | |
01/15/2029 | 2.500% | 1,194,170 | 1,531,022 | |
Total | 2,679,212 | |||
Total Inflation-Indexed Bonds (Cost $2,474,517) | 2,679,212 | |||
Municipal Bonds 0.4% | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Airport 0.0% | ||||
City of Los Angeles Department of Airports | ||||
Revenue Bonds | ||||
Build America Bonds | ||||
Series 2009 | ||||
05/15/2039 | 6.582% | 420,000 | 561,805 |
132 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners Core Bond Fund, June 30, 2020 (Unaudited)
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Higher Education 0.1% | ||||
Los Angeles Community College District | ||||
Unlimited General Obligation Bonds | ||||
Build America Bonds | ||||
Series 2010 | ||||
08/01/2049 | 6.750% | 1,455,000 | 2,570,359 | |
Ohio State University (The) | ||||
Revenue Bonds | ||||
Taxable | ||||
Series 2011A | ||||
06/01/2111 | 4.800% | 2,014,000 | 3,067,201 | |
University of Texas System (The) | ||||
Refunding Revenue Bonds | ||||
Taxable | ||||
Series 2020B | ||||
08/15/2049 | 2.439% | 685,000 | 674,424 | |
Total | 6,311,984 | |||
Hospital 0.0% | ||||
Regents of the University of California Medical Center | ||||
Taxable Revenue Bonds | ||||
Series 2020N | ||||
05/15/2120 | 3.706% | 1,360,000 | 1,409,545 | |
Joint Power Authority 0.1% | ||||
American Municipal Power, Inc. | ||||
Revenue Bonds | ||||
Build America Bonds | ||||
Series 2010 | ||||
02/15/2050 | 7.499% | 1,265,000 | 2,053,728 | |
Ports 0.1% | ||||
Port Authority of New York & New Jersey | ||||
Revenue Bonds | ||||
Consolidated 174th | ||||
Series 2012 | ||||
10/01/2062 | 4.458% | 1,850,000 | 2,455,930 | |
Taxable Consolidated 160th | ||||
Series 2010 | ||||
11/01/2040 | 5.647% | 835,000 | 1,191,729 | |
Total | 3,647,659 | |||
Special Non Property Tax 0.0% | ||||
New York State Dormitory Authority | ||||
Revenue Bonds | ||||
Build America Bonds | ||||
Series 2010 | ||||
03/15/2040 | 5.600% | 415,000 | 591,304 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
State General Obligation 0.0% | ||||
State of California | ||||
Unlimited General Obligation Bonds | ||||
Build America Bonds | ||||
Series 2009 | ||||
10/01/2039 | 7.300% | 295,000 | 493,193 | |
Series 2010 | ||||
11/01/2040 | 7.600% | 260,000 | 477,300 | |
Total | 970,493 | |||
Turnpike / Bridge / Toll Road 0.1% | ||||
North Texas Tollway Authority | ||||
Revenue Bonds | ||||
Series 2009 (BAM) | ||||
01/01/2049 | 6.718% | 1,164,000 | 2,053,436 | |
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 | 589,386 | |
Total Municipal Bonds (Cost $14,012,457) | 18,189,340 | |||
Residential Mortgage-Backed Securities - Agency 28.1% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal Home Loan Mortgage Corp. | ||||
11/01/2022- 10/17/2038 | 6.500% | 1,198,862 | 1,365,181 | |
05/01/2031- 05/01/2050 | 2.500% | 4,108,937 | 4,290,740 | |
12/01/2032- 11/01/2049 | 4.000% | 64,589,174 | 70,676,530 | |
03/01/2033- 02/01/2050 | 3.000% | 1,565,546 | 1,667,065 | |
06/01/2035- 04/01/2036 | 5.500% | 100,684 | 113,552 | |
09/01/2037 | 6.000% | 867,800 | 1,013,466 | |
02/01/2048- 11/01/2049 | 3.500% | 10,156,607 | 10,860,420 | |
05/01/2048- 12/01/2048 | 5.000% | 8,211,084 | 9,118,204 | |
06/01/2048- 08/01/2049 | 4.500% | 46,806,071 | 51,723,849 | |
CMO Series 2017-4742 Class PA | ||||
10/15/2047 | 3.000% | 4,661,307 | 4,950,080 | |
CMO Series 2127 Class PG | ||||
02/15/2029 | 6.250% | 191,676 | 210,602 | |
CMO Series 2165 Class PE | ||||
06/15/2029 | 6.000% | 71,031 | 80,892 |
Variable Portfolio Funds | Semiannual Report 2020 | 133 |
Variable Portfolio – Partners Core Bond Fund, June 30, 2020 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2326 Class ZQ | ||||
06/15/2031 | 6.500% | 369,123 | 419,037 | |
CMO Series 2399 Class TH | ||||
01/15/2032 | 6.500% | 180,314 | 212,532 | |
CMO Series 2517 Class Z | ||||
10/15/2032 | 5.500% | 158,148 | 175,444 | |
CMO Series 2557 Class HL | ||||
01/15/2033 | 5.300% | 326,300 | 377,619 | |
CMO Series 262 Class 35 | ||||
07/15/2042 | 3.500% | 4,480,186 | 5,018,851 | |
CMO Series 2752 Class EZ | ||||
02/15/2034 | 5.500% | 863,337 | 989,686 | |
CMO Series 2764 Class ZG | ||||
03/15/2034 | 5.500% | 572,990 | 660,513 | |
CMO Series 2953 Class PG | ||||
03/15/2035 | 5.500% | 3,039,133 | 3,535,102 | |
CMO Series 2986 Class CH | ||||
06/15/2025 | 5.000% | 295,595 | 314,223 | |
CMO Series 2989 Class TG | ||||
06/15/2025 | 5.000% | 238,110 | 252,885 | |
CMO Series 299 Class 300 | ||||
01/15/2043 | 3.000% | 733,957 | 777,511 | |
CMO Series 2990 Class UZ | ||||
06/15/2035 | 5.750% | 1,003,717 | 1,163,411 | |
CMO Series 3101 Class UZ | ||||
01/15/2036 | 6.000% | 303,061 | 364,076 | |
CMO Series 3123 Class AZ | ||||
03/15/2036 | 6.000% | 373,047 | 433,803 | |
CMO Series 3143 Class BC | ||||
02/15/2036 | 5.500% | 376,169 | 431,091 | |
CMO Series 3164 Class MG | ||||
06/15/2036 | 6.000% | 112,507 | 122,782 | |
CMO Series 3195 Class PD | ||||
07/15/2036 | 6.500% | 265,684 | 308,264 | |
CMO Series 3200 Class AY | ||||
08/15/2036 | 5.500% | 259,380 | 303,475 | |
CMO Series 3213 Class JE | ||||
09/15/2036 | 6.000% | 422,602 | 496,685 | |
CMO Series 3229 Class HE | ||||
10/15/2026 | 5.000% | 579,433 | 619,275 | |
CMO Series 3402 Class NC | ||||
12/15/2022 | 5.000% | 68,696 | 71,044 | |
CMO Series 3423 Class PB | ||||
03/15/2038 | 5.500% | 827,231 | 964,316 | |
CMO Series 3453 Class B | ||||
05/15/2038 | 5.500% | 30,730 | 34,989 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 3461 Class Z | ||||
06/15/2038 | 6.000% | 1,570,010 | 1,814,576 | |
CMO Series 3501 Class CB | ||||
01/15/2039 | 5.500% | 358,738 | 417,646 | |
CMO Series 3684 Class CY | ||||
06/15/2025 | 4.500% | 1,299,297 | 1,379,219 | |
CMO Series 3704 Class CT | ||||
12/15/2036 | 7.000% | 545,708 | 665,740 | |
CMO Series 3704 Class DT | ||||
11/15/2036 | 7.500% | 519,874 | 638,786 | |
CMO Series 3704 Class ET | ||||
12/15/2036 | 7.500% | 376,197 | 468,312 | |
CMO Series 3707 Class B | ||||
08/15/2025 | 4.500% | 1,285,517 | 1,365,866 | |
CMO Series 3819 Class ZQ | ||||
04/15/2036 | 6.000% | 588,260 | 700,986 | |
CMO Series 3827 Class BM | ||||
08/15/2039 | 5.500% | 100,080 | 102,142 | |
CMO Series 3890 Class ME | ||||
07/15/2041 | 5.000% | 1,000,000 | 1,246,861 | |
CMO Series 4015 Class MY | ||||
03/15/2042 | 3.500% | 2,000,000 | 2,214,603 | |
CMO Series 4177 Class MQ | ||||
03/15/2043 | 2.500% | 1,000,000 | 1,059,562 | |
CMO Series 4205 Class PA | ||||
05/15/2043 | 1.750% | 4,071,639 | 4,195,825 | |
CMO Series 4217 Class KY | ||||
06/15/2043 | 3.000% | 1,200,000 | 1,336,086 | |
CMO Series 4240 Class B | ||||
08/15/2033 | 3.000% | 2,000,000 | 2,235,272 | |
CMO Series 4426 Class QC | ||||
07/15/2037 | 1.750% | 1,841,898 | 1,902,263 | |
CMO Series 4705 Class A | ||||
09/15/2042 | 4.500% | 1,293,004 | 1,328,563 | |
CMO Series 4763 Class CA | ||||
09/15/2038 | 3.000% | 438,667 | 473,016 | |
CMO Series 4767 Class KA | ||||
03/15/2048 | 3.000% | 455,396 | 493,270 | |
CMO Series 4786 Class DP | ||||
07/15/2042 | 4.500% | 561,081 | 567,934 | |
CMO Series 4838 Class KZ | ||||
09/15/2048 | 4.000% | 5,344,103 | 5,799,069 | |
CMO Series 4880 Class DA | ||||
05/15/2050 | 3.000% | 2,414,032 | 2,589,391 | |
CMO Series 4988 Class AF | ||||
08/15/2040 | 0.540% | 7,477,000 | 7,465,317 |
134 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners Core Bond Fund, June 30, 2020 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series R006 Class ZA | ||||
04/15/2036 | 6.000% | 447,399 | 536,586 | |
CMO Series R007 Class ZA | ||||
05/15/2036 | 6.000% | 857,457 | 1,019,759 | |
CMO STRIPS Series 264 Class 30 | ||||
07/15/2042 | 3.000% | 549,026 | 593,898 | |
Federal Home Loan Mortgage Corp.(b) | ||||
1-year CMT + 2.250% Cap 10.188% 07/01/2036 | 3.853% | 63,863 | 66,895 | |
12-month USD LIBOR + 1.849% Cap 9.066% 07/01/2040 | 4.071% | 194,946 | 203,795 | |
CMO Series 2551 Class NS | ||||
-1.8 x 1-month USD LIBOR + 14.483% Cap 14.483% 01/15/2033 | 14.145% | 121,716 | 168,902 | |
CMO Series 343 Class F4 | ||||
1-month USD LIBOR + 0.350% Floor 0.350%, Cap 9,999.000% 10/15/2037 | 0.720% | 1,494,054 | 1,487,719 | |
CMO Series 3852 Class QN | ||||
-3.6 x 1-month USD LIBOR + 27.211% Cap 5.500% 05/15/2041 | 5.500% | 414,323 | 465,110 | |
CMO Series 3966 Class BF | ||||
1-month USD LIBOR + 0.500% Floor 0.500%, Cap 7.000% 10/15/2040 | 0.685% | 551,212 | 552,255 | |
CMO Series 4048 Class FJ | ||||
1-month USD LIBOR + 0.400% Floor 0.400%, Cap 9,999.000% 07/15/2037 | 0.770% | 683,517 | 682,098 | |
CMO Series 4087 Class FA | ||||
1-month USD LIBOR + 0.450% Floor 0.450%, Cap 6.500% 05/15/2039 | 0.635% | 365,801 | 366,169 | |
CMO Series 4846 Class PF | ||||
1-month USD LIBOR + 0.350% Floor 0.350%, Cap 6.500% 12/15/2048 | 0.535% | 507,220 | 506,857 | |
Structured Pass-Through Securities | ||||
1-year MTA + 1.200% Floor 1.200% 10/25/2044 | 2.889% | 596,483 | 602,465 | |
Federal Home Loan Mortgage Corp.(l) | ||||
CMO Series 3077 Class TO | ||||
04/15/2035 | 0.000% | 108,121 | 105,226 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 3100 Class | ||||
01/15/2036 | 0.000% | 159,201 | 150,414 | |
CMO Series 3117 Class OG | ||||
02/15/2036 | 0.000% | 81,709 | 77,752 | |
CMO Series 3181 Class OH | ||||
07/15/2036 | 0.000% | 346,377 | 324,831 | |
CMO Series 3316 Class JO | ||||
05/15/2037 | 0.000% | 14,342 | 13,657 | |
CMO Series 3607 Class TO | ||||
10/15/2039 | 0.000% | 267,654 | 250,111 | |
CMO STRIPS Series 197 Class | ||||
04/01/2028 | 0.000% | 136,142 | 132,172 | |
CMO STRIPS Series 310 Class | ||||
09/15/2043 | 0.000% | 1,717,616 | 1,584,651 | |
Federal Home Loan Mortgage Corp.(b),(g) | ||||
CMO Series 3380 Class SI | ||||
-1.0 x 1-month USD LIBOR + 6.370% Cap 6.370% 10/15/2037 | 6.185% | 2,209,184 | 515,244 | |
CMO Series 3385 Class SN | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 11/15/2037 | 5.815% | 46,029 | 7,084 | |
CMO Series 3451 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 05/15/2038 | 5.865% | 101,892 | 16,082 | |
CMO Series 3531 Class SM | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 05/15/2039 | 5.915% | 61,910 | 9,606 | |
CMO Series 3608 Class SC | ||||
-1.0 x 1-month USD LIBOR + 6.250% Cap 6.250% 12/15/2039 | 6.065% | 282,749 | 56,282 | |
CMO Series 3740 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 10/15/2040 | 5.815% | 489,470 | 92,655 | |
CMO Series 3740 Class SC | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 10/15/2040 | 5.815% | 585,962 | 107,580 |
Variable Portfolio Funds | Semiannual Report 2020 | 135 |
Variable Portfolio – Partners Core Bond Fund, June 30, 2020 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO STRIPS Series 239 Class S30 | ||||
-1.0 x 1-month USD LIBOR + 7.700% Cap 7.700% 08/15/2036 | 7.515% | 338,164 | 84,705 | |
Federal Home Loan Mortgage Corp.(c) | ||||
CMO Series 3688 Class CU | ||||
11/15/2021 | 6.959% | 14,400 | 14,600 | |
CMO Series 3688 Class GT | ||||
11/15/2046 | 7.385% | 369,605 | 438,979 | |
CMO Series 4272 Class W | ||||
04/15/2040 | 5.657% | 1,999,591 | 2,286,766 | |
Federal Home Loan Mortgage Corp.(g) | ||||
CMO Series 3714 Class IP | ||||
08/15/2040 | 5.000% | 525,538 | 60,637 | |
CMO Series 3800 Class AI | ||||
11/15/2029 | 4.000% | 224,897 | 3,045 | |
Federal Home Loan Mortgage Corp.(c),(g) | ||||
CMO Series 3802 Class LS | ||||
01/15/2040 | 3.203% | 620,188 | 33,688 | |
Federal National Mortgage Association | ||||
05/01/2022 | 7.500% | 7,437 | 7,494 | |
01/01/2023- 11/01/2048 | 6.000% | 767,922 | 862,658 | |
02/01/2024- 10/01/2038 | 6.500% | 2,218,429 | 2,595,725 | |
11/01/2028- 08/01/2031 | 2.500% | 2,752,789 | 2,887,375 | |
05/01/2033- 02/01/2050 | 3.500% | 29,159,530 | 31,344,033 | |
07/01/2033- 01/01/2059 | 4.000% | 122,098,895 | 134,397,985 | |
11/01/2033- 06/01/2049 | 5.500% | 7,333,350 | 8,314,111 | |
05/01/2034- 01/01/2059 | 4.500% | 67,927,003 | 76,084,128 | |
12/01/2034- 05/01/2050 | 3.000% | 31,740,203 | 33,660,432 | |
01/01/2036- 11/01/2049 | 5.000% | 64,209,870 | 73,087,151 | |
11/01/2037- 01/01/2039 | 7.000% | 589,599 | 701,321 | |
CMO Series 1999-7 Class AB | ||||
03/25/2029 | 6.000% | 147,501 | 167,662 | |
CMO Series 2001-60 Class PX | ||||
11/25/2031 | 6.000% | 213,577 | 248,436 | |
CMO Series 2002-50 Class ZA | ||||
05/25/2031 | 6.000% | 708,885 | 806,199 | |
CMO Series 2002-78 Class Z | ||||
12/25/2032 | 5.500% | 252,022 | 292,855 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2003-W19 Class 1A7 | ||||
11/25/2033 | 5.620% | 2,756,912 | 3,165,337 | |
CMO Series 2004-50 Class VZ | ||||
07/25/2034 | 5.500% | 1,068,885 | 1,223,251 | |
CMO Series 2004-65 Class LT | ||||
08/25/2024 | 4.500% | 129,326 | 135,521 | |
CMO Series 2004-W10 Class A6 | ||||
08/25/2034 | 5.750% | 2,192,362 | 2,519,602 | |
CMO Series 2005-121 Class DX | ||||
01/25/2026 | 5.500% | 308,280 | 329,713 | |
CMO Series 2006-105 Class ME | ||||
11/25/2036 | 5.500% | 677,462 | 790,765 | |
CMO Series 2006-16 Class HZ | ||||
03/25/2036 | 5.500% | 800,435 | 926,078 | |
CMO Series 2006-W3 Class 2A | ||||
09/25/2046 | 6.000% | 208,750 | 237,763 | |
CMO Series 2007-104 Class ZE | ||||
08/25/2037 | 6.000% | 196,050 | 225,271 | |
CMO Series 2007-116 Class PB | ||||
08/25/2035 | 5.500% | 211,672 | 248,356 | |
CMO Series 2007-18 Class MZ | ||||
03/25/2037 | 6.000% | 294,564 | 333,567 | |
CMO Series 2007-42 Class B | ||||
05/25/2037 | 6.000% | 209,438 | 244,748 | |
CMO Series 2007-76 Class ZG | ||||
08/25/2037 | 6.000% | 482,855 | 564,949 | |
CMO Series 2008-80 Class GP | ||||
09/25/2038 | 6.250% | 31,053 | 36,096 | |
CMO Series 2009-59 Class HB | ||||
08/25/2039 | 5.000% | 448,618 | 511,758 | |
CMO Series 2009-60 Class HT | ||||
08/25/2039 | 6.000% | 442,976 | 525,433 | |
CMO Series 2009-79 Class UA | ||||
03/25/2038 | 7.000% | 40,005 | 46,247 | |
CMO Series 2009-W1 Class A | ||||
12/25/2049 | 6.000% | 950,630 | 1,101,065 | |
CMO Series 2010-111 Class AM | ||||
10/25/2040 | 5.500% | 1,764,915 | 2,107,478 | |
CMO Series 2010-148 Class MA | ||||
02/25/2039 | 4.000% | 41,374 | 41,561 | |
CMO Series 2010-2 Class LC | ||||
02/25/2040 | 5.000% | 1,200,000 | 1,459,910 | |
CMO Series 2010-83 Class DN | ||||
12/25/2020 | 4.500% | 40,847 | 40,950 | |
CMO Series 2011-118 Class MT | ||||
11/25/2041 | 7.000% | 676,554 | 823,507 |
136 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners Core Bond Fund, June 30, 2020 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2011-118 Class NT | ||||
11/25/2041 | 7.000% | 767,681 | 916,566 | |
CMO Series 2011-31 Class DB | ||||
04/25/2031 | 3.500% | 3,143,929 | 3,397,417 | |
CMO Series 2011-39 Class ZA | ||||
11/25/2032 | 6.000% | 321,345 | 374,139 | |
CMO Series 2011-44 Class EB | ||||
05/25/2026 | 3.000% | 1,799,510 | 1,872,533 | |
CMO Series 2011-46 Class B | ||||
05/25/2026 | 3.000% | 3,892,636 | 4,056,055 | |
CMO Series 2011-59 Class NZ | ||||
07/25/2041 | 5.500% | 1,575,282 | 1,855,085 | |
CMO Series 2012-151 Class NX | ||||
01/25/2043 | 1.500% | 1,485,768 | 1,532,989 | |
CMO Series 2012-66 Class CB | ||||
06/25/2032 | 3.000% | 3,000,000 | 3,361,322 | |
CMO Series 2013-100 Class WB | ||||
10/25/2033 | 3.000% | 3,000,000 | 3,302,742 | |
CMO Series 2013-101 Class E | ||||
10/25/2033 | 3.000% | 3,000,000 | 3,281,104 | |
CMO Series 2013-108 Class GU | ||||
10/25/2033 | 3.000% | 2,575,000 | 2,852,126 | |
CMO Series 2013-30 Class CA | ||||
04/25/2043 | 1.500% | 443,764 | 452,999 | |
CMO Series 2013-43 Class BP | ||||
05/25/2043 | 1.750% | 5,459,415 | 5,672,910 | |
CMO Series 2013-59 Class PY | ||||
06/25/2043 | 2.500% | 1,000,000 | 1,063,173 | |
CMO Series 2013-81 Class TA | ||||
02/25/2043 | 3.000% | 2,500,000 | 2,584,344 | |
CMO Series 2013-90 Class DL | ||||
09/25/2033 | 3.500% | 1,500,000 | 1,749,026 | |
CMO Series 2014-73 Class MA | ||||
11/25/2044 | 2.500% | 1,198,021 | 1,276,646 | |
CMO Series 2015-84 Class PA | ||||
08/25/2033 | 1.700% | 4,548,047 | 4,699,820 | |
CMO Series 2016-48 Class MA | ||||
06/25/2038 | 2.000% | 5,989,187 | 6,201,989 | |
CMO Series 2016-57 Class PC | ||||
06/25/2046 | 1.750% | 8,762,496 | 9,046,395 | |
CMO Series 2017-13 Class PA | ||||
08/25/2046 | 3.000% | 62,753 | 67,137 | |
CMO Series 2017-42 Class H | ||||
11/25/2043 | 3.000% | 1,164,804 | 1,205,313 | |
CMO Series 2018-14 Class KC | ||||
03/25/2048 | 3.000% | 131,644 | 141,829 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2018-15 Class AB | ||||
03/25/2048 | 3.000% | 71,071 | 76,531 | |
CMO Series 2018-8 Class KL | ||||
03/25/2047 | 2.500% | 1,818,363 | 1,905,582 | |
CMO Series 2019-25 Class PA | ||||
05/25/2048 | 3.000% | 3,306,281 | 3,552,331 | |
CMO Series 2019-35 Class A | ||||
07/25/2049 | 3.000% | 1,372,021 | 1,444,785 | |
CMO Series 2019-35 Class MB | ||||
07/25/2049 | 3.000% | 1,998,812 | 2,145,423 | |
CMO Series 2019-8 Class GA | ||||
03/25/2049 | 3.000% | 8,452,000 | 8,874,150 | |
CMO Series 2020-M5 Class A2 | ||||
01/25/2030 | 2.210% | 5,600,000 | 6,012,493 | |
CMO Series G94-8 Class K | ||||
07/17/2024 | 8.000% | 97,786 | 107,682 | |
CMO STRIPS Series 414 Class A35 | ||||
10/25/2042 | 3.500% | 311,644 | 332,255 | |
Series 2012-M5 Class A2 | ||||
02/25/2022 | 2.715% | 1,170,009 | 1,197,580 | |
Series 2013-M9 Class A2 | ||||
01/25/2023 | 2.389% | 1,434,861 | 1,484,066 | |
Federal National Mortgage Association(m) | ||||
09/01/2032 | 3.500% | 2,979,336 | 3,133,211 | |
Federal National Mortgage Association(b) | ||||
6-month USD LIBOR + 2.500% Floor 2.500%, Cap 11.256% 03/01/2036 | 4.032% | 260,186 | 275,952 | |
12-month USD LIBOR + 1.579% Floor 1.579%, Cap 7.755% 06/01/2045 | 2.755% | 1,393,887 | 1,446,221 | |
12-month USD LIBOR + 1.585% Floor 1.585%, Cap 7.662% 01/01/2046 | 2.662% | 4,965,063 | 5,153,943 | |
CMO Series 2003-130 Class CS | ||||
-2.0 x 1-month USD LIBOR + 14.100% Cap 14.100% 12/25/2033 | 13.731% | 5,777 | 5,965 | |
CMO Series 2003-W8 Class 3F1 | ||||
1-month USD LIBOR + 0.400% Floor 0.400%, Cap 8.000% 05/25/2042 | 0.585% | 176,661 | 176,125 | |
CMO Series 2005-SV Class 75 | ||||
-4.0 x 1-month USD LIBOR + 24.200% Cap 24.200% 09/25/2035 | 23.462% | 59,168 | 97,065 |
Variable Portfolio Funds | Semiannual Report 2020 | 137 |
Variable Portfolio – Partners Core Bond Fund, June 30, 2020 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2005-W3 Class 2AF | ||||
1-month USD LIBOR + 0.220% Floor 0.220%, Cap 9.500% 03/25/2045 | 0.405% | 370,254 | 368,827 | |
CMO Series 2007-101 Class A2 | ||||
1-month USD LIBOR + 0.250% Floor 0.250% 06/27/2036 | 0.435% | 223,015 | 216,311 | |
CMO Series 2010-28 Class BS | ||||
-2.2 x 1-month USD LIBOR + 11.588% Cap 11.588% 04/25/2040 | 11.172% | 61,969 | 79,275 | |
CMO Series 2010-35 Class SJ | ||||
-3.3 x 1-month USD LIBOR + 17.667% Cap 17.667% 04/25/2040 | 17.052% | 397,434 | 560,976 | |
CMO Series 2010-49 Class SC | ||||
-2.0 x 1-month USD LIBOR + 12.660% Cap 12.660% 03/25/2040 | 12.291% | 322,593 | 408,012 | |
CMO Series 2011-75 Class FA | ||||
1-month USD LIBOR + 0.550% Floor 0.550%, Cap 6.500% 08/25/2041 | 0.735% | 179,136 | 179,810 | |
Federal National Mortgage Association(b),(g) | ||||
CMO Series 1996-4 Class SA | ||||
-1.0 x 1-month USD LIBOR + 8.500% Cap 8.500% 02/25/2024 | 8.316% | 38,367 | 4,353 | |
CMO Series 2006-117 Class GS | ||||
-1.0 x 1-month USD LIBOR + 6.650% Cap 6.650% 12/25/2036 | 6.466% | 162,923 | 35,204 | |
CMO Series 2006-43 Class SI | ||||
-1.0 x 1-month USD LIBOR + 6.600% Cap 6.600% 06/25/2036 | 6.416% | 871,375 | 206,829 | |
CMO Series 2006-58 Class IG | ||||
-1.0 x 1-month USD LIBOR + 6.520% Cap 6.520% 07/25/2036 | 6.336% | 336,212 | 61,107 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2006-8 Class WN | ||||
-1.0 x 1-month USD LIBOR + 6.700% Cap 6.700% 03/25/2036 | 6.516% | 911,579 | 222,346 | |
CMO Series 2006-94 Class GI | ||||
-1.0 x 1-month USD LIBOR + 6.650% Cap 6.650% 10/25/2026 | 6.466% | 395,787 | 43,923 | |
CMO Series 2007-109 Class PI | ||||
-1.0 x 1-month USD LIBOR + 6.350% Cap 6.350% 12/25/2037 | 6.166% | 459,444 | 97,063 | |
CMO Series 2007-65 Class KI | ||||
-1.0 x 1-month USD LIBOR + 6.620% Cap 6.620% 07/25/2037 | 6.436% | 152,871 | 25,385 | |
CMO Series 2007-72 Class EK | ||||
-1.0 x 1-month USD LIBOR + 6.400% Cap 6.400% 07/25/2037 | 6.216% | 819,031 | 168,692 | |
CMO Series 2007-W7 Class 2A2 | ||||
-1.0 x 1-month USD LIBOR + 6.530% Cap 6.530% 07/25/2037 | 6.346% | 286,661 | 47,272 | |
CMO Series 2009-112 Class ST | ||||
-1.0 x 1-month USD LIBOR + 6.250% Cap 6.250% 01/25/2040 | 6.066% | 272,577 | 59,550 | |
CMO Series 2009-17 Class QS | ||||
-1.0 x 1-month USD LIBOR + 6.650% Cap 6.650% 03/25/2039 | 6.466% | 82,623 | 11,879 | |
CMO Series 2009-37 Class KI | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 06/25/2039 | 5.816% | 507,299 | 87,202 | |
CMO Series 2009-68 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.750% Cap 6.750% 09/25/2039 | 6.566% | 386,085 | 73,370 |
138 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners Core Bond Fund, June 30, 2020 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2010-125 Class SA | ||||
-1.0 x 1-month USD LIBOR + 4.440% Cap 4.440% 11/25/2040 | 4.256% | 1,219,615 | 157,393 | |
CMO Series 2010-147 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.530% Cap 6.530% 01/25/2041 | 6.346% | 1,636,435 | 389,704 | |
CMO Series 2010-35 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.420% Cap 6.420% 04/25/2040 | 6.236% | 171,138 | 27,712 | |
CMO Series 2010-42 Class S | ||||
-1.0 x 1-month USD LIBOR + 6.400% Cap 6.400% 05/25/2040 | 6.216% | 136,173 | 28,280 | |
CMO Series 2010-68 Class SA | ||||
-1.0 x 1-month USD LIBOR + 5.000% Cap 5.000% 07/25/2040 | 4.816% | 913,072 | 131,750 | |
Federal National Mortgage Association(c) | ||||
CMO Series 2003-W16 Class AF5 | ||||
11/25/2033 | 4.560% | 500,836 | 558,972 | |
CMO Series 2010-61 Class WA | ||||
06/25/2040 | 6.014% | 124,789 | 145,396 | |
CMO Series 2011-2 Class WA | ||||
02/25/2051 | 5.849% | 134,896 | 154,995 | |
CMO Series 2011-43 Class WA | ||||
05/25/2051 | 5.894% | 201,295 | 234,886 | |
Federal National Mortgage Association(l) | ||||
CMO Series 2006-113 Class | ||||
07/25/2036 | 0.000% | 13,388 | 13,343 | |
CMO Series 2006-15 Class OP | ||||
03/25/2036 | 0.000% | 153,215 | 145,194 | |
CMO Series 2006-8 Class WQ | ||||
03/25/2036 | 0.000% | 248,613 | 227,754 | |
CMO Series 2009-86 Class BO | ||||
03/25/2037 | 0.000% | 72,086 | 68,629 | |
CMO Series 2013-101 Class DO | ||||
10/25/2043 | 0.000% | 1,918,586 | 1,737,717 | |
CMO Series 2013-128 Class | ||||
12/25/2043 | 0.000% | 1,349,947 | 1,191,222 | |
CMO Series 2013-92 Class | ||||
09/25/2043 | 0.000% | 1,375,591 | 1,274,562 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO STRIPS Series 293 Class 1 | ||||
12/25/2024 | 0.000% | 83,978 | 82,785 | |
Federal National Mortgage Association(g) | ||||
CMO Series 2009-71 Class BI | ||||
08/25/2024 | 4.500% | 5,167 | 20 | |
CMO Series 2009-86 Class IP | ||||
10/25/2039 | 5.500% | 117,363 | 21,139 | |
CMO Series 2010-155 Class KI | ||||
01/25/2021 | 3.000% | 41,762 | 202 | |
Federal National Mortgage Association(c),(g) | ||||
CMO Series 2011-30 Class LS | ||||
04/25/2041 | 2.880% | 495,839 | 31,977 | |
Government National Mortgage Association | ||||
09/20/2038 | 7.000% | 77,345 | 92,940 | |
08/20/2039 | 6.000% | 314,639 | 358,733 | |
05/20/2045- 04/20/2050 | 4.000% | 33,898,310 | 36,654,856 | |
08/15/2047- 04/20/2050 | 4.500% | 30,939,201 | 33,944,618 | |
01/20/2048- 03/20/2050 | 3.500% | 40,003,151 | 43,035,535 | |
03/20/2048- 03/20/2049 | 5.000% | 35,233,255 | 38,574,907 | |
02/20/2050- 03/20/2050 | 3.000% | 9,427,522 | 10,030,358 | |
04/20/2063 | 4.349% | 681,648 | 690,821 | |
05/20/2063 | 4.315% | 655,028 | 663,067 | |
05/20/2063 | 4.327% | 811,662 | 823,867 | |
06/20/2063 | 4.237% | 1,623,127 | 1,645,615 | |
CMO Series 2003-75 Class ZX | ||||
09/16/2033 | 6.000% | 565,725 | 652,819 | |
CMO Series 2005-26 Class XY | ||||
03/20/2035 | 5.500% | 530,739 | 612,527 | |
CMO Series 2005-72 Class AZ | ||||
09/20/2035 | 5.500% | 652,915 | 739,990 | |
CMO Series 2006-17 Class JN | ||||
04/20/2036 | 6.000% | 243,574 | 282,890 | |
CMO Series 2006-33 Class NA | ||||
01/20/2036 | 5.000% | 51,067 | 51,518 | |
CMO Series 2006-38 Class ZK | ||||
08/20/2036 | 6.500% | 811,657 | 938,160 | |
CMO Series 2006-69 Class MB | ||||
12/20/2036 | 5.500% | 918,015 | 1,058,943 | |
CMO Series 2008-23 Class PH | ||||
03/20/2038 | 5.000% | 782,305 | 868,600 | |
CMO Series 2009-104 Class AB | ||||
08/16/2039 | 7.000% | 757,382 | 854,247 | |
CMO Series 2010-130 Class CP | ||||
10/16/2040 | 7.000% | 429,337 | 521,213 |
Variable Portfolio Funds | Semiannual Report 2020 | 139 |
Variable Portfolio – Partners Core Bond Fund, June 30, 2020 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2013-H01 Class FA | ||||
01/20/2063 | 1.650% | 571,461 | 572,475 | |
CMO Series 2013-H04 Class BA | ||||
02/20/2063 | 1.650% | 266,914 | 267,378 | |
CMO Series 2013-H07 Class JA | ||||
03/20/2063 | 1.750% | 434,918 | 435,700 | |
CMO Series 2013-H09 Class HA | ||||
04/20/2063 | 1.650% | 1,173,839 | 1,177,659 | |
CMO Series 2017-167 Class BQ | ||||
08/20/2044 | 2.500% | 1,739,709 | 1,802,037 | |
CMO Series 2019-132 Class NA | ||||
09/20/2049 | 3.500% | 2,775,631 | 2,862,913 | |
CMO Series 2019-31 Class JC | ||||
03/20/2049 | 3.500% | 1,677,915 | 1,771,138 | |
Government National Mortgage Association(c) | ||||
03/20/2048 | 4.761% | 5,917,723 | 6,721,986 | |
CMO Series 2010-H17 Class XQ | ||||
07/20/2060 | 5.300% | 94,418 | 99,425 | |
CMO Series 2011-137 Class WA | ||||
07/20/2040 | 5.569% | 837,912 | 990,948 | |
CMO Series 2012-141 Class WC | ||||
01/20/2042 | 3.687% | 623,752 | 693,628 | |
CMO Series 2013-54 Class WA | ||||
11/20/2042 | 4.788% | 1,418,334 | 1,619,228 | |
CMO Series 2013-75 Class WA | ||||
06/20/2040 | 5.155% | 429,130 | 494,338 | |
Government National Mortgage Association(b),(g) | ||||
CMO Series 2005-3 Class SE | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 01/20/2035 | 5.910% | 731,791 | 144,770 | |
CMO Series 2007-40 Class SN | ||||
-1.0 x 1-month USD LIBOR + 6.680% Cap 6.680% 07/20/2037 | 6.490% | 517,476 | 112,132 | |
CMO Series 2008-62 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 07/20/2038 | 5.960% | 477,242 | 76,220 | |
CMO Series 2008-76 Class US | ||||
-1.0 x 1-month USD LIBOR + 5.900% Cap 5.900% 09/20/2038 | 5.710% | 586,178 | 111,156 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2008-95 Class DS | ||||
-1.0 x 1-month USD LIBOR + 7.300% Cap 7.300% 12/20/2038 | 7.110% | 498,637 | 105,873 | |
CMO Series 2009-102 Class SM | ||||
-1.0 x 1-month USD LIBOR + 6.400% Cap 6.400% 06/16/2039 | 6.205% | 36,712 | 502 | |
CMO Series 2009-106 Class ST | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 02/20/2038 | 5.810% | 826,198 | 153,051 | |
CMO Series 2009-64 Class SN | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 07/16/2039 | 5.905% | 360,301 | 55,183 | |
CMO Series 2009-67 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 08/16/2039 | 5.855% | 235,754 | 36,859 | |
CMO Series 2009-72 Class SM | ||||
-1.0 x 1-month USD LIBOR + 6.250% Cap 6.250% 08/16/2039 | 6.055% | 610,865 | 125,255 | |
CMO Series 2009-81 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.090% Cap 6.090% 09/20/2039 | 5.900% | 790,513 | 165,530 | |
CMO Series 2010-47 Class PX | ||||
-1.0 x 1-month USD LIBOR + 6.700% Cap 6.700% 06/20/2037 | 6.510% | 945,129 | 212,391 | |
CMO Series 2011-75 Class SM | ||||
-1.0 x 1-month USD LIBOR + 6.600% Cap 6.600% 05/20/2041 | 6.410% | 479,988 | 90,316 | |
Government National Mortgage Association(b) | ||||
CMO Series 2007-16 Class NS | ||||
-3.5 x 1-month USD LIBOR + 23.275% Cap 23.275% 04/20/2037 | 22.610% | 84,976 | 128,582 |
140 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners Core Bond Fund, June 30, 2020 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2012-H10 Class FA | ||||
1-month USD LIBOR + 0.550% Floor 0.550%, Cap 10.500% 12/20/2061 | 0.853% | 1,322,517 | 1,323,009 | |
CMO Series 2012-H21 Class CF | ||||
1-month USD LIBOR + 0.700% Floor 0.700% 05/20/2061 | 1.716% | 27,003 | 27,084 | |
CMO Series 2012-H21 Class DF | ||||
1-month USD LIBOR + 0.650% Floor 0.650% 05/20/2061 | 0.953% | 24,094 | 24,145 | |
CMO Series 2012-H26 Class MA | ||||
1-month USD LIBOR + 0.550% Floor 0.550% 07/20/2062 | 0.853% | 20,820 | 20,824 | |
CMO Series 2012-H28 Class FA | ||||
1-month USD LIBOR + 0.580% Floor 0.580% 09/20/2062 | 0.883% | 51,044 | 51,066 | |
CMO Series 2012-H29 Class FA | ||||
1-month USD LIBOR + 0.515% Floor 0.515%, Cap 11.500% 10/20/2062 | 0.818% | 1,241,950 | 1,241,497 | |
CMO Series 2013-H01 Class TA | ||||
1-month USD LIBOR + 0.500% Floor 0.500%, Cap 10.500% 01/20/2063 | 0.803% | 22,692 | 22,682 | |
CMO Series 2013-H05 Class FB | ||||
1-month USD LIBOR + 0.400% Floor 0.400% 02/20/2062 | 1.416% | 110,867 | 110,693 | |
CMO Series 2013-H07 Class GA | ||||
1-month USD LIBOR + 0.470% Floor 0.470%, Cap 10.500% 03/20/2063 | 0.773% | 1,418,606 | 1,416,547 | |
CMO Series 2013-H07 Class HA | ||||
1-month USD LIBOR + 0.410% Floor 0.410%, Cap 11.000% 03/20/2063 | 0.713% | 1,040,406 | 1,037,347 | |
CMO Series 2013-H09 Class GA | ||||
1-month USD LIBOR + 0.480% Floor 0.480%, Cap 11.000% 04/20/2063 | 0.783% | 1,800,274 | 1,798,365 | |
CMO Series 2013-H09 Class SA | ||||
1-month USD LIBOR + 0.500% Floor 0.500%, Cap 10.500% 04/20/2063 | 0.803% | 2,241,993 | 2,239,378 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2013-H21 Class FA | ||||
1-month USD LIBOR + 0.750% Floor 0.750% 09/20/2063 | 1.053% | 3,480,201 | 3,495,034 | |
CMO Series 2013-H21 Class FB | ||||
1-month USD LIBOR + 0.700% Floor 0.700% 09/20/2063 | 1.003% | 3,344,880 | 3,356,725 | |
CMO Series 2015-H23 Class FB | ||||
1-month USD LIBOR + 0.520% Floor 0.520%, Cap 11.000% 09/20/2065 | 0.823% | 1,446,684 | 1,445,868 | |
CMO Series 2015-H26 Class FG | ||||
1-month USD LIBOR + 0.520% Floor 0.520%, Cap 11.000% 10/20/2065 | 1.536% | 747,461 | 747,020 | |
CMO Series 2015-H30 Class FE | ||||
1-month USD LIBOR + 0.600% Floor 0.600%, Cap 11.000% 11/20/2065 | 0.903% | 6,013,488 | 6,028,777 | |
CMO Series 2020-H05 Class FK | ||||
1-month USD LIBOR + 0.610% Floor 0.610% 03/20/2070 | 0.800% | 5,526,291 | 5,547,141 | |
Government National Mortgage Association(l) | ||||
CMO Series 2008-1 Class PO | ||||
01/20/2038 | 0.000% | 86,421 | 81,733 | |
CMO Series 2010-14 Class AO | ||||
12/20/2032 | 0.000% | 19,497 | 19,451 | |
CMO Series 2010-157 Class OP | ||||
12/20/2040 | 0.000% | 566,762 | 541,590 | |
Government National Mortgage Association(g) | ||||
CMO Series 2010-107 Class IL | ||||
07/20/2039 | 6.000% | 633,874 | 144,426 | |
Government National Mortgage Association TBA(i) | ||||
09/21/2046 | 2.500% | 15,400,000 | 16,145,336 | |
09/19/2049 | 3.000% | 16,700,000 | 17,626,980 | |
08/20/2050 | 2.000% | 4,100,000 | 4,244,461 | |
Seasoned Credit Risk Transfer Trust | ||||
CMO Series 2018-4 Class MZ (FHLMC) | ||||
03/25/2058 | 3.500% | 3,497,928 | 4,261,763 | |
Uniform Mortgage-Backed Security TBA(i) | ||||
07/18/2028- 09/14/2050 | 2.000% | 102,795,000 | 105,849,195 | |
07/16/2035- 08/13/2050 | 2.500% | 200,100,000 | 208,187,778 | |
07/14/2050 | 3.000% | 11,300,000 | 11,901,195 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $1,273,971,050) | 1,312,318,310 | |||
Variable Portfolio Funds | Semiannual Report 2020 | 141 |
Variable Portfolio – Partners Core Bond Fund, June 30, 2020 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency 2.7% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Angel Oak Mortgage Trust(a),(c) | ||||
CMO Series 2020-2 Class A1A | ||||
01/26/2065 | 2.531% | 4,280,289 | 4,307,670 | |
Angel Oak Mortgage Trust I LLC(a),(c) | ||||
CMO Series 2019-2 Class A1 | ||||
03/25/2049 | 3.628% | 732,450 | 748,185 | |
Asset-Backed Funding Certificates Trust(c) | ||||
CMO Series 2005-AG1 Class A4 | ||||
01/25/2034 | 5.010% | 129,290 | 131,311 | |
Banc of America Funding Trust | ||||
CMO Series 2004-3 Class 1A1 | ||||
10/25/2034 | 5.500% | 61,876 | 65,330 | |
Bear Stearns Adjustable Rate Mortgage Trust(c) | ||||
CMO Series 2003-4 Class 3A1 | ||||
07/25/2033 | 3.175% | 44,886 | 44,449 | |
CMO Series 2003-7 Class 6A | ||||
10/25/2033 | 3.937% | 185,963 | 181,916 | |
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 | 0.825% | 64,666 | 64,707 | |
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 | 1.085% | 257,186 | 228,726 | |
Bunker Hill Loan Depositary Trust(a),(c) | ||||
CMO Series 2019-1 Class A1 | ||||
10/26/2048 | 3.613% | 1,025,541 | 1,054,870 | |
CMO Series 2019-2 Class A1 | ||||
07/25/2049 | 2.880% | 1,617,450 | 1,656,412 | |
CMO Series 2019-3 Class A1 | ||||
11/25/2059 | 2.724% | 1,884,923 | 1,926,620 | |
Chase Mortgage Finance Corp.(c) | ||||
CMO Series 2007-A1 Class 1A3 | ||||
02/25/2037 | 3.988% | 338,151 | 329,678 | |
CMO Series 2007-A1 Class 2A1 | ||||
02/25/2037 | 3.512% | 111,172 | 108,456 | |
CMO Series 2007-A1 Class 7A1 | ||||
02/25/2037 | 3.657% | 72,961 | 70,627 | |
Citigroup Mortgage Loan Trust, Inc. | ||||
CMO Series 2003-1 Class 3A4 | ||||
09/25/2033 | 5.250% | 73,291 | 73,732 | |
CMO Series 2005-2 Class 2A11 | ||||
05/25/2035 | 5.500% | 164,311 | 170,331 | |
Citigroup Mortgage Loan Trust, Inc.(a),(c) | ||||
CMO Series 2009-10 Class 1A1 | ||||
09/25/2033 | 4.275% | 197,226 | 189,586 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
COLT Mortgage Loan Trust(a),(c) | ||||
CMO Series 2019-1 Class A1 | ||||
03/25/2049 | 3.705% | 602,428 | 619,523 | |
CMO Series 2019-2 Class A1 | ||||
05/25/2049 | 3.337% | 1,128,464 | 1,151,151 | |
CMO Series 2020-2 Class A1 | ||||
03/25/2065 | 1.853% | 1,972,611 | 1,983,010 | |
Countrywide Home Loan Mortgage Pass-Through Trust | ||||
CMO Series 2004-13 Class 1A4 | ||||
08/25/2034 | 5.500% | 189,418 | 197,000 | |
CMO Series 2004-3 Class A26 | ||||
04/25/2034 | 5.500% | 102,677 | 106,788 | |
CMO Series 2004-5 Class 1A4 | ||||
06/25/2034 | 5.500% | 213,568 | 218,275 | |
Credit Suisse First Boston Mortgage Securities Corp. | ||||
CMO Series 2003-21 Class 1A4 | ||||
09/25/2033 | 5.250% | 73,440 | 75,836 | |
CMO Series 2004-5 Class 3A1 | ||||
09/25/2034 | 5.250% | 27,288 | 25,015 | |
Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates | ||||
CMO Series 2003-27 Class 5A4 | ||||
11/25/2033 | 5.250% | 117,697 | 121,045 | |
CMO Series 2004-4 Class 2A4 | ||||
09/25/2034 | 5.500% | 128,511 | 132,431 | |
CMO Series 2004-8 Class 1A4 | ||||
12/25/2034 | 5.500% | 167,256 | 172,148 | |
Credit Suisse Mortgage Capital Certificates(a),(c) | ||||
CMO Series 2010-17R Class 1A1 | ||||
06/26/2036 | 3.799% | 4,761 | 4,752 | |
DBRR Trust(a),(c) | ||||
CMO Series 2015-LCM Class A2 | ||||
06/10/2034 | 3.535% | 3,152,000 | 2,896,728 | |
DBRR Trust(a) | ||||
Series 2015-LCM Class A1 | ||||
06/10/2034 | 2.998% | 2,428,841 | 2,290,025 | |
GCAT LLC(a) | ||||
CMO Series 2019-NQM1 Class A1 | ||||
02/25/2059 | 2.985% | 585,736 | 610,210 | |
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 | 0.535% | 635,415 | 535,006 | |
GSMPS Mortgage Loan Trust(a),(c),(g) | ||||
CMO Series 2005-RP3 Class 1AS | ||||
09/25/2035 | 3.954% | 492,182 | 71,567 | |
GSR Mortgage Loan Trust | ||||
CMO Series 2003-7F Class 1A4 | ||||
06/25/2033 | 5.250% | 189,628 | 196,343 |
142 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners Core Bond Fund, June 30, 2020 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
GSR Mortgage Loan Trust(b) | ||||
CMO Series 2005-5F Class 8A3 | ||||
1-month USD LIBOR + 0.500% Floor 0.500%, Cap 5.500% 06/25/2035 | 0.685% | 11,774 | 10,913 | |
HarborView Mortgage Loan Trust(c) | ||||
CMO Series 2004-3 Class 1A | ||||
05/19/2034 | 4.092% | 717,248 | 716,656 | |
Headlands Residential(a) | ||||
CMO Series 2018-RPL1 Class A | ||||
06/25/2023 | 4.250% | 3,125,000 | 3,175,007 | |
Headlands Residential LLC(a),(c) | ||||
CMO Series 2017-RPL1 Class A | ||||
08/25/2022 | 3.875% | 2,690,000 | 2,660,319 | |
Headlands Residential LLC(a) | ||||
CMO Series 2019-RPL1 | ||||
06/25/2024 | 3.967% | 3,600,000 | 3,565,017 | |
Impac CMB Trust(b) | ||||
CMO Series 2005-4 Class 2A1 | ||||
1-month USD LIBOR + 0.600% Floor 0.600%, Cap 10.250% 05/25/2035 | 0.785% | 187,705 | 170,033 | |
Impac Secured Assets CMN Owner Trust(c) | ||||
CMO Series 2003-3 Class A1 | ||||
08/25/2033 | 4.879% | 99,869 | 102,516 | |
Impac Secured Assets Trust(b) | ||||
CMO Series 2006-1 Class 2A1 | ||||
1-month USD LIBOR + 0.350% Floor 0.350%, Cap 11.500% 05/25/2036 | 0.535% | 102,670 | 94,573 | |
CMO Series 2006-2 Class 2A1 | ||||
1-month USD LIBOR + 0.350% Floor 0.350%, Cap 11.500% 08/25/2036 | 0.535% | 82,558 | 81,501 | |
JPMorgan Mortgage Trust(c) | ||||
CMO Series 2006-A2 Class 5A3 | ||||
11/25/2033 | 4.098% | 230,224 | 228,155 | |
CMO Series 2007-A1 Class 5A5 | ||||
07/25/2035 | 3.968% | 185,362 | 179,355 | |
LHOME Mortgage Trust(a) | ||||
CMO Series 2019-RTL3 Class A1 | ||||
07/25/2024 | 3.868% | 3,640,000 | 3,648,963 | |
CMO Series 2020-RTL1 Class A1 | ||||
10/25/2024 | 3.228% | 5,550,000 | 5,498,718 | |
MASTR Adjustable Rate Mortgages Trust(c) | ||||
CMO Series 2004-13 Class 2A1 | ||||
04/21/2034 | 4.331% | 128,038 | 125,861 | |
CMO Series 2004-13 Class 3A7 | ||||
11/21/2034 | 4.088% | 232,968 | 232,655 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
MASTR Asset Securitization Trust(a) | ||||
CMO Series 2004-P7 Class A6 | ||||
12/27/2033 | 5.500% | 34,886 | 35,127 | |
MASTR Seasoned Securities Trust | ||||
CMO Series 2004-2 Class A1 | ||||
08/25/2032 | 6.500% | 144,325 | 148,157 | |
CMO Series 2004-2 Class A2 | ||||
08/25/2032 | 6.500% | 227,312 | 235,019 | |
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 | 0.965% | 88,373 | 83,784 | |
CMO Series 2003-E Class A1 | ||||
1-month USD LIBOR + 0.620% Floor 0.620%, Cap 11.750% 10/25/2028 | 0.805% | 319,990 | 311,423 | |
CMO Series 2004-A Class A1 | ||||
1-month USD LIBOR + 0.460% Floor 0.460%, Cap 11.750% 04/25/2029 | 0.645% | 266,985 | 251,309 | |
CMO Series 2004-G Class A2 | ||||
6-month USD LIBOR + 0.600% Floor 0.600%, Cap 11.750% 01/25/2030 | 2.524% | 74,994 | 71,084 | |
Merrill Lynch Mortgage Investors Trust(c) | ||||
CMO Series 2004-1 Class 2A1 | ||||
12/25/2034 | 3.413% | 189,662 | 184,444 | |
CMO Series 2004-A4 Class A2 | ||||
08/25/2034 | 3.834% | 227,312 | 227,637 | |
Morgan Stanley Mortgage Loan Trust(c) | ||||
CMO Series 2004-3 Class 4A | ||||
04/25/2034 | 5.621% | 214,817 | 230,795 | |
NACC Reperforming Loan Remic Trust(a) | ||||
CMO Series 2004-R2 Class A1 | ||||
10/25/2034 | 6.500% | 132,044 | 129,693 | |
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 | 0.734% | 437,140 | 436,347 | |
NCUA Guaranteed Notes | ||||
CMO Series 2010-R3 Class 3A | ||||
12/08/2020 | 2.400% | 12,992 | 13,019 | |
New Residential Mortgage Loan Trust(a),(c) | ||||
CMO Series 2019-NQM2 Class A1 | ||||
04/25/2049 | 3.600% | 783,752 | 802,374 | |
CMO Series 2019-NQM4 Class A1 | ||||
09/25/2059 | 2.492% | 1,280,680 | 1,279,156 |
Variable Portfolio Funds | Semiannual Report 2020 | 143 |
Variable Portfolio – Partners Core Bond Fund, June 30, 2020 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Oportun Funding VII LLC(a) | ||||
CMO Series 2017-B Class A | ||||
10/10/2023 | 3.220% | 736,000 | 731,069 | |
PRPM LLC(a),(c) | ||||
CMO Series 2020-1A Class A1 | ||||
02/25/2025 | 2.981% | 4,153,386 | 4,114,027 | |
RALI Trust | ||||
CMO Series 2004-QS3 Class CB | ||||
03/25/2020 | 5.000% | 1,030 | 975 | |
RBSSP Resecuritization Trust(a) | ||||
CMO Series 2009-1 Class 1A1 | ||||
02/26/2036 | 6.500% | 157,781 | 161,768 | |
Residential Asset Mortgage Products Trust | ||||
CMO Series 2004-SL2 Class A3 | ||||
10/25/2031 | 7.000% | 235,512 | 246,570 | |
Residential Asset Securitization Trust(c) | ||||
CMO Series 2004-IP2 Class 1A1 | ||||
12/25/2034 | 4.009% | 291,267 | 285,528 | |
Seasoned Credit Risk Transfer Trust | ||||
CMO Series 2019-3 Class MB (FHLMC) | ||||
10/25/2058 | 3.500% | 1,570,000 | 1,764,210 | |
CMO Series 2019-4 Class M55D (FHLMC) | ||||
02/25/2059 | 4.000% | 3,095,569 | 3,405,134 | |
Seasoned Loans Structured Transaction | ||||
CMO Series 2018-2 Class A1 | ||||
11/25/2028 | 3.500% | 5,397,759 | 5,722,798 | |
Sequoia Mortgage Trust(b) | ||||
CMO Series 2003-1 Class 1A | ||||
1-month USD LIBOR + 0.760% Floor 0.760%, Cap 12.500% 04/20/2033 | 0.950% | 562,922 | 541,868 | |
CMO Series 2003-8 Class A1 | ||||
1-month USD LIBOR + 0.640% Floor 0.640%, Cap 11.500% 01/20/2034 | 0.830% | 499,471 | 481,640 | |
CMO Series 2004-11 Class A1 | ||||
1-month USD LIBOR + 0.600% Floor 0.600%, Cap 11.500% 12/20/2034 | 0.790% | 505,940 | 482,623 | |
CMO Series 2004-12 Class A3 | ||||
6-month USD LIBOR + 0.320% Floor 0.320%, Cap 11.500% 01/20/2035 | 0.745% | 208,404 | 187,723 | |
SG Residential Mortgage Trust(a),(c) | ||||
CMO Series 2019-3 Class A1 | ||||
09/25/2059 | 2.703% | 1,312,151 | 1,308,228 | |
Starwood Mortgage Residential Trust(a),(c) | ||||
CMO Series 2019-INV1 Class A1 | ||||
08/25/2049 | 2.610% | 1,411,556 | 1,431,019 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2020-1 Class A1 | ||||
02/25/2050 | 2.275% | 2,963,914 | 2,983,051 | |
Structured Adjustable Rate Mortgage Loan Trust(c) | ||||
CMO Series 2004-4 Class 5A | ||||
04/25/2034 | 3.798% | 100,386 | 97,130 | |
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 | 0.854% | 336,381 | 324,690 | |
CMO Series 2005-AR5 Class A3 | ||||
1-month USD LIBOR + 0.250% Floor 0.250%, Cap 11.000% 07/19/2035 | 0.694% | 168,556 | 159,264 | |
Structured Asset Securities Corp.(c) | ||||
CMO Series 2004-4XS Class 1A5 | ||||
02/25/2034 | 5.490% | 337,278 | 353,185 | |
Structured Asset Securities Corp. Mortgage Pass-Through Certificates(c) | ||||
CMO Series 2003-34A Class 3A3 | ||||
11/25/2033 | 3.743% | 323,466 | 316,466 | |
CMO Series 2003-40A Class 3A2 | ||||
01/25/2034 | 3.520% | 173,691 | 171,438 | |
CMO Series 2004-6XS Class A5A | ||||
03/25/2034 | 6.030% | 139,141 | 141,490 | |
CMO Series 2004-6XS Class A5B (AMBAC) | ||||
03/25/2034 | 6.050% | 166,969 | 169,785 | |
Thornburg Mortgage Securities Trust(c) | ||||
CMO Series 2004-4 Class 3A | ||||
12/25/2044 | 3.470% | 141,454 | 137,608 | |
Toorak Mortgage Corp., Ltd.(c) | ||||
CMO Series 2019-2 Class A1 | ||||
09/25/2022 | 3.721% | 2,494,000 | 2,491,632 | |
TVC Mortgage Trust(a) | ||||
CMO Series 2020-RTL1 Class A1 | ||||
09/25/2024 | 3.474% | 4,600,000 | 4,538,136 | |
Vendee Mortgage Trust | ||||
CMO Series 1998-2 Class 1G | ||||
06/15/2028 | 6.750% | 189,162 | 220,965 | |
Vericrest Opportunity Loan Transferee LXIV LLC(a) | ||||
Series 2017-NP11 Class A1 | ||||
10/25/2047 | 3.375% | 1,119,586 | 1,118,912 | |
Vericrest Opportunity Loan Transferee LXXXIII LLC(a),(c) | ||||
CMO Series 2019-NPL9 Class A1A | ||||
11/26/2049 | 3.327% | 2,626,443 | 2,621,815 | |
Vericrest Opportunity Loan Transferee LXXXV LLC(a),(c) | ||||
CMO Series 2020-NPL1 Class A1A | ||||
01/25/2050 | 3.228% | 2,389,898 | 2,374,728 |
144 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners Core Bond Fund, June 30, 2020 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Vericrest Opportunity Loan Transferee LXXXVII LLC(a),(c) | ||||
CMO Series 2020-NPL3 Class A1A | ||||
02/25/2050 | 2.981% | 3,054,274 | 3,024,433 | |
Vericrest Opportunity Loan Transferee LXXXVIII LLC(a),(c) | ||||
CMO Series 2020-NPL4 Class A1 | ||||
03/25/2050 | 2.981% | 3,832,750 | 3,779,132 | |
Vericrest Opportunity Loan Trust(a),(c) | ||||
CMO Series 2019-NPL8 Class A1A | ||||
11/25/2049 | 3.278% | 2,413,875 | 2,411,146 | |
CMO Series 2020-NPL2 Class A1A | ||||
02/25/2050 | 2.981% | 5,547,794 | 5,494,355 | |
Verus Securitization(a),(h) | ||||
CMO Series 2020-INV1 Class A1 | ||||
04/25/2060 | 1.977% | 2,927,812 | 2,932,311 | |
Verus Securitization Trust(a),(c) | ||||
CMO Series 2019-1 Class A1 | ||||
02/25/2059 | 3.836% | 605,742 | 617,471 | |
CMO Series 2019-2 Class A1 | ||||
04/25/2059 | 3.211% | 1,907,387 | 1,944,166 | |
CMO Series 2019-3 Class A1 | ||||
07/25/2059 | 2.784% | 2,696,913 | 2,750,086 | |
CMO Series 2019-4 Class A1 | ||||
11/25/2059 | 2.642% | 3,857,629 | 3,891,067 | |
CMO Series 2019-INV1 Class A1 | ||||
12/25/2059 | 3.402% | 1,115,238 | 1,141,311 | |
CMO Series 2019-INV2 Class A1 | ||||
07/25/2059 | 2.913% | 1,427,715 | 1,454,498 | |
CMO Series 2019-INV3 Class A1 | ||||
11/25/2059 | 2.692% | 897,486 | 909,263 | |
CMO Series 2020-1 Class A1 | ||||
01/25/2060 | 2.417% | 3,974,224 | 3,998,868 | |
CMO Series 2020-2 Class A1 | ||||
05/25/2060 | 2.226% | 4,187,490 | 4,192,058 | |
Visio Trust(a),(c) | ||||
CMO Series 2019-1 Class A1 | ||||
06/25/2054 | 3.572% | 736,099 | 758,465 | |
WaMu Mortgage Pass-Through Certificates Trust(c) | ||||
CMO Series 2003-AR11 Class A6 | ||||
10/25/2033 | 4.134% | 328,350 | 312,710 | |
CMO Series 2003-AR5 Class A7 | ||||
06/25/2033 | 3.740% | 114,553 | 110,906 | |
CMO Series 2003-AR6 Class A1 | ||||
06/25/2033 | 3.101% | 139,359 | 137,065 | |
CMO Series 2003-AR7 Class A7 | ||||
08/25/2033 | 4.124% | 166,938 | 161,180 | |
CMO Series 2004-AR3 Class A2 | ||||
06/25/2034 | 3.665% | 102,411 | 98,723 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
WaMu Mortgage Pass-Through Certificates Trust | ||||
CMO Series 2004-S3 Class 1A5 | ||||
07/25/2034 | 5.000% | 38,366 | 38,847 | |
Wells Fargo Mortgage-Backed Securities Trust(c) | ||||
CMO Series 2004-U Class A1 | ||||
10/25/2034 | 4.326% | 275,988 | 274,332 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $126,582,583) | 127,206,937 | |||
U.S. Government & Agency Obligations 1.0% | ||||
Federal Home Loan Banks | ||||
10/24/2029 | 4.000% | 1,600,000 | 2,002,392 | |
Federal National Mortgage Association(j) | ||||
STRIPS | ||||
05/15/2030 | 0.000% | 3,750,000 | 3,295,834 | |
Israel Government AID Bond(j) | ||||
11/01/2024 | 0.000% | 10,385,000 | 9,886,711 | |
Israel Government AID Bond | ||||
09/18/2033 | 5.500% | 1,000,000 | 1,493,827 | |
Private Export Funding Corp. | ||||
05/15/2022 | 2.800% | 1,500,000 | 1,567,145 | |
Residual Funding Corp.(j) | ||||
STRIPS | ||||
10/15/2020 | 0.000% | 7,500,000 | 7,477,443 | |
Resolution Funding Corp.(j) | ||||
10/15/2027 | 0.000% | 470,000 | 423,278 | |
Tennessee Valley Authority | ||||
04/01/2036 | 5.880% | 4,870,000 | 7,576,340 | |
09/15/2060 | 4.625% | 835,000 | 1,301,575 | |
09/15/2065 | 4.250% | 1,423,000 | 2,133,371 | |
Tennessee Valley Authority(j) | ||||
STRIPS | ||||
11/01/2025 | 0.000% | 8,500,000 | 8,116,893 | |
06/15/2035 | 0.000% | 750,000 | 571,926 | |
Total U.S. Government & Agency Obligations (Cost $40,421,699) | 45,846,735 | |||
U.S. Treasury Obligations 22.3% | ||||
U.S. Treasury | ||||
08/31/2020 | 1.375% | 20,000,000 | 20,039,063 | |
10/31/2020 | 2.875% | 1,000,000 | 1,008,906 | |
11/15/2020 | 2.625% | 2,900,000 | 2,926,621 | |
01/31/2021 | 1.375% | 36,959,000 | 37,217,424 | |
02/15/2021 | 3.625% | 6,600,000 | 6,741,797 | |
02/28/2021 | 1.125% | 2,500,000 | 2,515,625 | |
04/30/2021 | 2.250% | 11,226,000 | 11,419,824 | |
05/15/2021 | 2.625% | 3,975,100 | 4,060,037 | |
05/15/2021 | 3.125% | 17,466,000 | 17,913,566 | |
05/31/2021 | 1.375% | 42,751,000 | 43,220,259 | |
05/31/2021 | 2.000% | 2,000,000 | 2,033,359 |
Variable Portfolio Funds | Semiannual Report 2020 | 145 |
Variable Portfolio – Partners Core Bond Fund, June 30, 2020 (Unaudited)
U.S. Treasury Obligations (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
09/30/2021 | 1.125% | 5,620,000 | 5,686,738 | |
10/31/2021 | 1.250% | 7,000,000 | 7,100,352 | |
10/31/2021 | 2.000% | 1,500,000 | 1,536,445 | |
11/30/2021 | 1.875% | 4,500,000 | 4,608,281 | |
01/15/2022 | 2.500% | 1,000,000 | 1,035,820 | |
02/28/2022 | 1.750% | 11,000,000 | 11,288,320 | |
03/15/2022 | 2.375% | 8,490,000 | 8,809,038 | |
05/15/2022 | 2.125% | 1,017,000 | 1,054,144 | |
05/31/2022 | 0.125% | 7,391,000 | 7,385,803 | |
06/30/2022 | 0.125% | 93,253,000 | 93,198,359 | |
07/15/2022 | 1.750% | 46,000,000 | 47,480,625 | |
08/31/2022 | 1.625% | 6,000,000 | 6,188,906 | |
09/30/2022 | 1.750% | 5,000,000 | 5,177,734 | |
05/15/2023 | 1.750% | 5,474,000 | 5,721,185 | |
06/15/2023 | 0.250% | 21,034,000 | 21,080,012 | |
06/30/2023 | 1.375% | 4,000,000 | 4,143,125 | |
08/15/2023 | 2.500% | 7,350,000 | 7,881,152 | |
10/31/2023 | 1.625% | 8,000,000 | 8,381,250 | |
02/29/2024 | 2.125% | 5,136,000 | 5,495,119 | |
05/15/2024 | 2.500% | 640,000 | 696,150 | |
06/30/2024 | 2.000% | 565,000 | 604,771 | |
08/31/2024 | 1.875% | 742,000 | 792,317 | |
11/15/2024 | 2.250% | 837,000 | 909,584 | |
12/31/2024 | 1.750% | 57,042,700 | 60,839,605 | |
04/30/2025 | 2.875% | 525,000 | 590,174 | |
05/31/2025 | 2.875% | 20,336,000 | 22,897,065 | |
06/30/2025 | 0.250% | 10,342,000 | 10,322,609 | |
11/15/2025 | 2.250% | 1,283,000 | 1,413,505 | |
02/28/2026 | 2.500% | 7,646,000 | 8,559,936 | |
05/15/2026 | 1.625% | 395,000 | 423,236 | |
08/15/2026 | 1.500% | 284,000 | 302,593 | |
11/15/2026 | 2.000% | 1,085,000 | 1,191,296 | |
12/31/2026 | 1.750% | 3,697,800 | 4,005,180 | |
02/15/2027 | 2.250% | 502,000 | 560,671 | |
05/31/2027 | 0.500% | 11,022,000 | 11,032,333 | |
06/30/2027 | 0.500% | 386,000 | 386,241 | |
08/15/2029 | 1.625% | 60,000 | 65,466 | |
05/15/2030 | 0.625% | 6,855,000 | 6,836,791 | |
05/15/2040 | 1.125% | 21,171,000 | 20,975,830 | |
11/15/2041 | 3.125% | 4,640,000 | 6,281,400 | |
11/15/2042 | 2.750% | 56,522,000 | 72,401,149 | |
02/15/2043 | 3.125% | 2,000,000 | 2,711,250 | |
05/15/2043 | 2.875% | 7,938,000 | 10,366,532 | |
11/15/2043 | 3.750% | 7,932,000 | 11,806,286 | |
02/15/2044 | 3.625% | 16,518,000 | 24,180,803 | |
05/15/2044 | 3.375% | 5,000,000 | 7,071,875 | |
08/15/2044 | 3.125% | 4,620,000 | 6,300,525 | |
11/15/2044 | 3.000% | 25,624,000 | 34,308,134 | |
02/15/2045 | 2.500% | 11,825,000 | 14,583,551 | |
08/15/2045 | 2.875% | 13,210,000 | 17,404,175 | |
08/15/2046 | 2.250% | 12,755,000 | 15,124,640 | |
08/15/2049 | 2.250% | 3,970,000 | 4,773,925 |
U.S. Treasury Obligations (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
11/15/2049 | 2.375% | 15,705,000 | 19,395,675 | |
02/15/2050 | 2.000% | 21,612,000 | 24,752,494 | |
05/15/2050 | 1.250% | 16,573,000 | 15,925,617 | |
U.S. Treasury(j) | ||||
STRIPS | ||||
02/15/2021 | 0.000% | 30,520,000 | 30,499,733 | |
05/15/2021 | 0.000% | 18,630,000 | 18,603,802 | |
08/15/2021 | 0.000% | 11,045,000 | 11,030,331 | |
11/15/2021 | 0.000% | 6,245,000 | 6,232,315 | |
02/15/2022 | 0.000% | 6,565,000 | 6,546,792 | |
05/15/2022 | 0.000% | 9,005,000 | 8,977,563 | |
08/15/2022 | 0.000% | 1,700,000 | 1,693,625 | |
11/15/2022 | 0.000% | 5,975,000 | 5,947,692 | |
02/15/2023 | 0.000% | 20,665,000 | 20,558,446 | |
05/15/2023 | 0.000% | 8,680,000 | 8,627,106 | |
08/15/2023 | 0.000% | 7,320,000 | 7,267,673 | |
11/15/2023 | 0.000% | 5,449,000 | 5,403,024 | |
02/15/2024 | 0.000% | 2,201,000 | 2,179,162 | |
08/15/2024 | 0.000% | 1,000,000 | 986,797 | |
11/15/2024 | 0.000% | 4,500,000 | 4,433,731 | |
02/15/2025 | 0.000% | 1,000,000 | 983,945 | |
05/15/2025 | 0.000% | 2,500,000 | 2,453,418 | |
02/15/2026 | 0.000% | 5,500,000 | 5,357,129 | |
02/15/2031 | 0.000% | 4,185,000 | 3,815,870 | |
11/15/2031 | 0.000% | 6,640,000 | 5,998,825 | |
02/15/2032 | 0.000% | 6,875,000 | 6,179,981 | |
08/15/2032 | 0.000% | 1,500,000 | 1,336,758 | |
08/15/2033 | 0.000% | 4,000,000 | 3,506,563 | |
11/15/2033 | 0.000% | 7,400,000 | 6,449,852 | |
02/15/2034 | 0.000% | 4,400,000 | 3,827,141 | |
05/15/2034 | 0.000% | 2,400,000 | 2,076,188 | |
11/15/2034 | 0.000% | 1,850,000 | 1,587,893 | |
02/15/2035 | 0.000% | 4,210,000 | 3,597,906 | |
11/15/2041 | 0.000% | 13,100,000 | 9,684,277 | |
Total U.S. Treasury Obligations (Cost $975,133,344) | 1,038,985,811 |
Money Market Funds 3.2% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(n),(o) | 148,199,638 | 148,199,638 |
Total Money Market Funds (Cost $148,205,555) | 148,199,638 | |
Total Investments in Securities (Cost: $4,783,438,200) | 5,011,639,502 | |
Other Assets & Liabilities, Net | (346,606,640) | |
Net Assets | 4,665,032,862 |
146 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners Core Bond Fund, June 30, 2020 (Unaudited)
(a) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At June 30, 2020, the total value of these securities amounted to $766,385,427, which represents 16.43% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of June 30, 2020. |
(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 June 30, 2020. |
(d) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At June 30, 2020, the total value of these securities amounted to $23,447,187, which represents 0.50% of total net assets. |
(e) | Represents securities that have defaulted on payment of interest. The Fund has stopped accruing interest on these securities. At June 30, 2020, the total value of these securities amounted to $1,139,840, which represents 0.02% of total net assets. |
(f) | Valuation based on significant unobservable inputs. |
(g) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
(h) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of June 30, 2020. |
(i) | Represents a security purchased on a when-issued basis. |
(j) | Zero coupon bond. |
(k) | Principal and interest may not be guaranteed by a governmental entity. |
(l) | Represents principal only securities which have the right to receive the principal portion only on an underlying pool of mortgage loans. |
(m) | Represents a security purchased on a forward commitment basis. |
(n) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
(o) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | ||||||||
122,305,518 | 2,070,653,970 | (2,044,756,295) | (3,555) | 148,199,638 | 71,069 | 1,093,572 | 148,199,638 |
AID | Agency for International Development |
AMBAC | Ambac Assurance Corporation |
BAM | Build America Mutual Assurance Co. |
CMO | Collateralized Mortgage Obligation |
CMT | Constant Maturity Treasury |
FHLMC | Federal Home Loan Mortgage Corporation |
LIBOR | London Interbank Offered Rate |
MTA | Monthly Treasury Average |
STRIPS | Separate Trading of Registered Interest and Principal Securities |
TBA | To Be Announced |
■ | 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.). |
Variable Portfolio Funds | Semiannual Report 2020 | 147 |
Variable Portfolio – Partners Core Bond Fund, June 30, 2020 (Unaudited)
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Asset-Backed Securities — Agency | — | 1,399,324 | — | 1,399,324 |
Asset-Backed Securities — Non-Agency | — | 367,473,971 | 18,574,552 | 386,048,523 |
Commercial Mortgage-Backed Securities - Agency | — | 303,039,553 | — | 303,039,553 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 123,540,518 | 12,627,305 | 136,167,823 |
Corporate Bonds & Notes | — | 1,427,547,753 | — | 1,427,547,753 |
Foreign Government Obligations | — | 64,010,543 | — | 64,010,543 |
Inflation-Indexed Bonds | — | 2,679,212 | — | 2,679,212 |
Municipal Bonds | — | 18,189,340 | — | 18,189,340 |
Residential Mortgage-Backed Securities - Agency | — | 1,312,318,310 | — | 1,312,318,310 |
Residential Mortgage-Backed Securities - Non-Agency | — | 127,206,937 | — | 127,206,937 |
U.S. Government & Agency Obligations | — | 45,846,735 | — | 45,846,735 |
U.S. Treasury Obligations | 843,142,273 | 195,843,538 | — | 1,038,985,811 |
Money Market Funds | 148,199,638 | — | — | 148,199,638 |
Total Investments in Securities | 991,341,911 | 3,989,095,734 | 31,201,857 | 5,011,639,502 |
148 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners Core Bond Fund, June 30, 2020 (Unaudited)
The following table is a reconciliation of Level 3 assets for which significant observable and unobservable inputs were used to determine fair value:
Balance as of 12/31/2019 ($) | Increase (decrease) in accrued discounts/ premiums ($) | Realized gain (loss) ($) | Change in unrealized appreciation (depreciation)(a) ($) | Purchases ($) | Sales ($) | Transfers into Level 3 ($) | Transfers out of Level 3 ($) | Balance as of 06/30/2020 ($) | |
Asset-Backed Securities — Non-Agency | 19,685,474 | (10,033) | — | (912,597) | 4,285,531 | (4,473,823) | — | — | 18,574,552 |
Commercial Mortgage-Backed Securities — Non-Agency | 12,772,895 | (58,339) | 15 | (49,026) | — | (38,240) | — | — | 12,627,305 |
Residential Mortgage-Backed Securities — Agency | 7,521,722 | — | — | — | (7,521,722) | — | — | — | — |
Residential Mortgage-Backed Securities — Non-Agency | 6,994,402 | 1,566 | — | (240) | (6,701,222) | (294,506) | — | — | — |
Total | 46,974,493 | (66,806) | 15 | (961,863) | (9,937,413) | (4,806,569) | — | — | 31,201,857 |
Variable Portfolio Funds | Semiannual Report 2020 | 149 |
Variable Portfolio – Partners International Core Equity Fund, June 30, 2020 (Unaudited)
Common Stocks 96.9% | ||
Issuer | Shares | Value ($) |
Argentina 1.1% | ||
MercadoLibre, Inc.(a) | 29,750 | 29,326,657 |
Australia 3.9% | ||
Aurizon Holdings Ltd. | 2,802,997 | 9,538,254 |
BHP Group Ltd. | 356,010 | 8,863,902 |
BlueScope Steel Ltd. | 1,748,583 | 14,404,568 |
Brambles Ltd. | 166,816 | 1,264,865 |
Caltex Australia Ltd. | 38,354 | 781,515 |
CIMIC Group Ltd. | 225,467 | 3,788,886 |
Coles Group Ltd. | 604,951 | 7,191,276 |
CSL Ltd. | 18,135 | 3,606,853 |
Dexus Property Group | 174,549 | 1,120,312 |
Fortescue Metals Group Ltd. | 1,805,378 | 17,551,303 |
Goodman Group | 233,344 | 2,407,698 |
GPT Group (The) | 167,171 | 485,651 |
LendLease Group | 179,716 | 1,553,330 |
Mirvac Group | 5,853,941 | 8,842,985 |
Origin Energy Ltd. | 178,064 | 724,586 |
Rio Tinto Ltd. | 38,359 | 2,626,579 |
South32 Ltd. | 9,850,991 | 13,946,297 |
Stockland | 200,439 | 464,779 |
Vicinity Centres | 673,095 | 674,647 |
Woolworths Group Ltd. | 17,357 | 447,408 |
Total | 100,285,694 | |
Austria 0.6% | ||
Erste Group Bank AG(a) | 652,032 | 15,399,521 |
Belgium 0.8% | ||
Ageas SA/NV | 77,429 | 2,744,063 |
Colruyt SA | 19,897 | 1,093,528 |
Galapagos NV(a) | 23,864 | 4,710,222 |
KBC Group NV | 46,342 | 2,662,405 |
Proximus SADP | 95,382 | 1,943,608 |
Solvay SA | 36,877 | 2,958,488 |
UCB SA | 32,276 | 3,745,515 |
Total | 19,857,829 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
China 1.8% | ||
Alibaba Group Holding Ltd., ADR(a) | 101,730 | 21,943,161 |
Tencent Holdings Ltd. | 383,600 | 24,580,287 |
Total | 46,523,448 | |
Denmark 2.3% | ||
Danske Bank A/S(a) | 70,043 | 936,366 |
H Lundbeck A/S | 32,106 | 1,213,107 |
Novo Nordisk A/S, Class B | 344,553 | 22,446,847 |
Pandora A/S | 228,465 | 12,477,500 |
Vestas Wind Systems A/S | 219,627 | 22,490,422 |
Total | 59,564,242 | |
Finland 0.8% | ||
KONE OYJ, Class B | 56,982 | 3,930,015 |
Nokia OYJ | 1,931,644 | 8,441,026 |
Orion Oyj, Class B | 92,466 | 4,484,080 |
UPM-Kymmene OYJ | 84,825 | 2,456,930 |
Wartsila OYJ | 215,846 | 1,790,457 |
Total | 21,102,508 | |
France 6.6% | ||
Alstom SA | 22,385 | 1,043,162 |
AtoS(a) | 218,544 | 18,736,460 |
BNP Paribas SA(a) | 122,464 | 4,892,926 |
Bouygues SA(a) | 105,055 | 3,598,605 |
Capgemini SE | 69,025 | 7,965,587 |
Carrefour SA | 55,994 | 868,358 |
Cie de Saint-Gobain(a) | 336,551 | 12,143,083 |
CNP Assurances(a) | 49,996 | 579,875 |
Credit Agricole SA(a) | 190,766 | 1,811,454 |
Dassault Aviation SA(a) | 1,494 | 1,370,741 |
Eiffage SA(a) | 4,762 | 436,516 |
Electricite de France SA | 155,500 | 1,445,695 |
Engie SA(a) | 134,066 | 1,662,677 |
Gecina SA | 7,424 | 916,917 |
Hermes International | 911 | 764,883 |
Ingenico Group SA(a) | 14,204 | 2,282,218 |
Ipsen SA | 52,569 | 4,459,510 |
150 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners International Core Equity Fund, June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
L’Oreal SA | 16,091 | 5,193,316 |
Peugeot SA(a) | 1,126,843 | 18,479,247 |
Publicis Groupe SA(a) | 121,995 | 3,963,009 |
Sanofi | 284,954 | 29,060,935 |
Schneider Electric SE | 86,848 | 9,660,685 |
Schneider Electric SE | 265,877 | 29,403,205 |
Societe Generale SA(a) | 84,390 | 1,410,975 |
STMicroelectronics NV | 320,342 | 8,731,974 |
Total | 170,882,013 | |
Germany 12.2% | ||
Adidas AG(a) | 87,121 | 22,969,602 |
Allianz SE, Registered Shares | 100,054 | 20,445,275 |
Bayer AG, Registered Shares | 337,165 | 24,991,862 |
Bayerische Motoren Werke AG | 340,391 | 21,730,791 |
Brenntag AG | 81,545 | 4,323,523 |
Continental AG(a) | 153,190 | 15,060,308 |
Delivery Hero SE(a),(b) | 20,203 | 2,076,207 |
Deutsche Boerse AG | 20,724 | 3,750,561 |
Deutsche Wohnen SE | 550,649 | 24,743,745 |
Fresenius Medical Care AG & Co. KGaA(a) | 227,806 | 19,598,115 |
Fresenius SE & Co. KGaA(a) | 70,575 | 3,507,780 |
GEA Group AG | 784,468 | 24,897,651 |
HeidelbergCement AG | 33,285 | 1,781,804 |
Hochtief AG | 108,037 | 9,613,063 |
Infineon Technologies AG | 1,123,943 | 26,336,437 |
KION Group AG(a) | 121,916 | 7,506,351 |
Knorr-Bremse AG(a) | 233,708 | 23,718,027 |
Nemetschek SE | 15,035 | 1,033,089 |
SAP SE | 343,577 | 48,028,445 |
Siemens Healthineers AG | 59,118 | 2,841,691 |
Uniper SE | 33,650 | 1,085,855 |
Vonovia SE(a) | 55,420 | 3,387,439 |
Total | 313,427,621 | |
Hong Kong 4.6% | ||
AIA Group Ltd. | 3,550,600 | 33,225,113 |
ASM Pacific Technology Ltd. | 91,200 | 963,801 |
CK Asset Holdings Ltd. | 2,771,500 | 16,620,116 |
CK Hutchison Holdings Ltd. | 2,244,500 | 14,534,455 |
CLP Holdings Ltd. | 210,500 | 2,067,371 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Henderson Land Development Co., Ltd. | 614,900 | 2,345,045 |
Hong Kong Exchanges and Clearing Ltd. | 630,500 | 26,854,087 |
Kerry Properties Ltd. | 2,031,000 | 5,275,791 |
New World Development Co., Ltd. | 130,500 | 619,625 |
WH Group Ltd. | 17,622,000 | 15,228,834 |
Total | 117,734,238 | |
India 0.8% | ||
HDFC Bank Ltd., ADR | 452,304 | 20,561,740 |
Isle of Man 0.1% | ||
GVC Holdings PLC | 254,602 | 2,333,658 |
Italy 0.8% | ||
Assicurazioni Generali SpA | 27,973 | 424,917 |
DiaSorin SpA | 22,587 | 4,337,733 |
Fiat Chrysler Automobiles NV(a) | 253,304 | 2,562,957 |
Intesa Sanpaolo SpA(a) | 1,878,953 | 3,610,765 |
Poste Italiane SpA | 457,784 | 3,998,853 |
Prysmian SpA | 40,692 | 943,986 |
UniCredit SpA(a) | 389,719 | 3,596,801 |
Total | 19,476,012 | |
Japan 16.7% | ||
Alfresa Holdings Corp. | 248,100 | 5,200,513 |
Amada Holdings Co., Ltd. | 234,800 | 1,922,511 |
Astellas Pharma, Inc. | 525,400 | 8,773,950 |
Brother Industries Ltd. | 589,600 | 10,652,361 |
Calbee, Inc. | 132,300 | 3,656,725 |
Dainippon Sumitomo Pharma Co., Ltd. | 49,900 | 691,495 |
Daiwa House Industry Co., Ltd. | 96,000 | 2,267,030 |
Electric Power Development Co., Ltd. | 39,300 | 744,990 |
FUJIFILM Holdings Corp. | 66,700 | 2,854,874 |
Fujitsu Ltd. | 135,100 | 15,817,961 |
Fukuoka Financial Group, Inc. | 35,300 | 558,125 |
Hirose Electric Co., Ltd. | 5,200 | 571,003 |
Hitachi Ltd. | 432,500 | 13,746,939 |
ITOCHU Corp. | 118,000 | 2,553,263 |
Japan Post Insurance Co., Ltd. | 209,300 | 2,757,817 |
JGC Holdings Corp. | 187,600 | 1,978,229 |
Kajima Corp. | 102,600 | 1,226,774 |
Kamigumi Co., Ltd. | 368,200 | 7,241,203 |
Variable Portfolio Funds | Semiannual Report 2020 | 151 |
Variable Portfolio – Partners International Core Equity Fund, June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
KDDI Corp. | 74,300 | 2,216,900 |
Keikyu Corp. | 42,000 | 642,689 |
Keyence Corp. | 1,500 | 628,592 |
Koito Manufacturing Co., Ltd. | 141,100 | 5,708,850 |
Konami Holdings Corp. | 20,900 | 697,409 |
Kyushu Railway Co. | 16,100 | 418,338 |
Lion Corp. | 138,000 | 3,319,125 |
Marubeni Corp. | 971,700 | 4,413,850 |
Mazda Motor Corp. | 244,300 | 1,476,034 |
Mebuki Financial Group, Inc. | 842,500 | 1,962,567 |
Medipal Holdings Corp. | 50,600 | 976,611 |
Mitsubishi Corp. | 46,500 | 982,625 |
Mitsubishi Estate Co., Ltd. | 210,500 | 3,136,833 |
Mitsubishi Gas Chemical Co., Inc. | 204,600 | 3,111,852 |
Mitsui Fudosan Co., Ltd. | 150,500 | 2,673,592 |
MS&AD Insurance Group Holdings, Inc. | 299,800 | 8,256,104 |
Nagoya Railroad Co., Ltd. | 51,000 | 1,437,454 |
Nexon Co., Ltd. | 181,600 | 4,096,248 |
NGK Spark Plug Co., Ltd. | 34,900 | 501,614 |
Nikon Corp. | 686,300 | 5,763,770 |
Nintendo Co., Ltd. | 51,000 | 22,800,512 |
Nippon Prologis REIT, Inc. | 602 | 1,829,258 |
Nitto Denko Corp. | 58,800 | 3,333,381 |
NTT DoCoMo, Inc. | 168,400 | 4,470,687 |
Obayashi Corp. | 1,174,400 | 11,041,079 |
Olympus Corp. | 77,400 | 1,490,143 |
Ono Pharmaceutical Co., Ltd. | 42,400 | 1,237,509 |
ORIX Corp. | 911,600 | 11,319,570 |
Otsuka Corp. | 135,100 | 7,135,397 |
Panasonic Corp. | 282,300 | 2,475,502 |
Pola Orbis Holdings, Inc. | 296,700 | 5,179,953 |
Recruit Holdings Co., Ltd. | 435,300 | 14,970,054 |
Resona Holdings, Inc. | 4,386,800 | 15,011,162 |
Ricoh Co., Ltd. | 60,400 | 433,405 |
Rohm Co., Ltd. | 197,200 | 13,112,103 |
Ryohin Keikaku Co., Ltd. | 30,300 | 430,973 |
Sekisui Chemical Co., Ltd. | 30,300 | 434,130 |
Sekisui House Ltd. | 425,500 | 8,123,716 |
Shimamura Co., Ltd. | 84,100 | 5,696,268 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Shimizu Corp. | 1,380,800 | 11,375,154 |
Shinsei Bank Ltd. | 896,100 | 10,838,517 |
Shionogi & Co., Ltd. | 297,700 | 18,675,728 |
SMC Corp. | 40,600 | 20,865,194 |
Sony Corp. | 355,000 | 24,505,714 |
Square Enix Holdings Co., Ltd. | 51,100 | 2,588,937 |
Sumco Corp. | 442,300 | 6,799,982 |
Sumitomo Corp. | 194,700 | 2,239,330 |
Sumitomo Electric Industries Ltd. | 270,000 | 3,114,640 |
Sumitomo Heavy Industries Ltd. | 249,800 | 5,463,392 |
Sumitomo Mitsui Trust Holdings, Inc. | 79,800 | 2,248,793 |
Sumitomo Realty & Development Co., Ltd. | 59,500 | 1,642,360 |
Sundrug Co., Ltd. | 61,700 | 2,042,007 |
Suzuken Co., Ltd. | 131,100 | 4,897,859 |
Taiheiyo Cement Corp. | 72,200 | 1,677,506 |
Taisei Corp. | 204,700 | 7,460,518 |
Taisho Pharmaceutical Holdings Co., Ltd. | 17,000 | 1,043,240 |
Takeda Pharmaceutical Co., Ltd. | 590,900 | 21,229,836 |
Teijin Ltd. | 214,200 | 3,410,415 |
Tokyo Electric Power Co. Holdings, Inc.(a) | 161,100 | 495,574 |
Tokyo Electron Ltd. | 24,800 | 6,119,246 |
Toshiba Corp. | 60,600 | 1,944,034 |
Tosoh Corp. | 124,000 | 1,703,377 |
Toyoda Gosei Co., Ltd. | 33,400 | 697,845 |
Toyota Tsusho Corp. | 27,800 | 708,937 |
Yamaha Motor Co., Ltd. | 50,300 | 792,223 |
Total | 430,741,980 | |
Netherlands 6.1% | ||
ASML Holding NV | 165,065 | 60,382,932 |
ING Groep NV | 425,250 | 2,964,378 |
Koninklijke Ahold Delhaize NV | 763,380 | 20,805,203 |
Koninklijke Philips NV | 663,348 | 30,943,660 |
Randstad NV | 59,681 | 2,668,637 |
Royal Dutch Shell PLC, Class A | 1,607,789 | 26,318,483 |
Wolters Kluwer NV | 153,271 | 11,971,337 |
Total | 156,054,630 | |
New Zealand 0.7% | ||
Xero Ltd.(a) | 300,721 | 18,889,839 |
152 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners International Core Equity Fund, June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Norway 1.4% | ||
DNB ASA(a) | 1,422,063 | 18,980,988 |
Equinor ASA | 1,238,414 | 17,840,184 |
Total | 36,821,172 | |
Singapore 1.4% | ||
Ascendas Real Estate Investment Trust | 668,600 | 1,534,044 |
Genting Singapore Ltd. | 1,914,900 | 1,053,526 |
Oversea-Chinese Banking Corp., Ltd. | 2,499,700 | 16,292,525 |
Venture Corp., Ltd. | 269,500 | 3,149,567 |
Yangzijiang Shipbuilding Holdings Ltd. | 20,204,300 | 13,601,411 |
Total | 35,631,073 | |
South Korea 1.2% | ||
Samsung Electronics Co., Ltd. GDR | 28,894 | 31,587,350 |
Spain 3.3% | ||
Banco Bilbao Vizcaya Argentaria SA | 4,117,868 | 14,177,678 |
Enagas SA | 514,369 | 12,583,289 |
Endesa SA | 497,982 | 12,353,061 |
Iberdrola SA | 2,116,189 | 24,705,833 |
Naturgy Energy Group SA | 476,999 | 8,905,055 |
Red Electrica Corp. SA | 461,523 | 8,634,883 |
Repsol SA | 432,946 | 3,825,501 |
Total | 85,185,300 | |
Sweden 2.2% | ||
Atlas Copco AB, Class B | 44,131 | 1,639,822 |
Essity AB, Class B(a) | 188,269 | 6,103,945 |
Evolution Gaming Group AB | 69,825 | 4,147,300 |
Investor AB, Class B | 48,809 | 2,589,215 |
Lundin Energy AB | 39,752 | 970,173 |
Sandvik AB(a) | 125,765 | 2,367,621 |
SKF AB, Class B | 114,381 | 2,138,184 |
Swedbank AB, Class A(a) | 526,632 | 6,762,418 |
Swedish Match AB | 162,157 | 11,441,093 |
Telefonaktiebolaget LM Ericsson, Class B | 1,992,505 | 18,469,638 |
Total | 56,629,409 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Switzerland 13.0% | ||
Adecco Group AG, Registered Shares | 287,213 | 13,537,956 |
Alcon, Inc.(a) | 292,713 | 16,819,063 |
Chocoladefabriken Lindt & Spruengli AG | 1,576 | 13,016,725 |
Cie Financiere Richemont SA, Class A, Registered Shares | 305,920 | 19,731,939 |
Coca-Cola HBC AG | 269,681 | 6,750,954 |
Credit Suisse Group AG, Registered Shares(a) | 480,028 | 4,994,629 |
LafargeHolcim Ltd., Registered Shares(a) | 199,508 | 8,789,533 |
Logitech International SA | 78,815 | 5,164,700 |
Lonza Group AG, Registered Shares(a) | 36,774 | 19,479,104 |
Nestlé SA, Registered Shares | 561,430 | 62,246,095 |
Novartis AG, Registered Shares | 428,498 | 37,331,203 |
Roche Holding AG, Genusschein Shares | 236,559 | 81,955,756 |
Schindler Holding AG | 65,448 | 15,488,848 |
Sika AG | 59,563 | 11,482,106 |
Sonova Holding AG(a) | 71,670 | 14,346,563 |
Swatch Group AG (The) | 16,493 | 3,310,340 |
Total | 334,445,514 | |
Taiwan 1.4% | ||
Taiwan Semiconductor Manufacturing Co., Ltd., ADR | 641,214 | 36,401,719 |
United Kingdom 12.5% | ||
3i Group PLC | 110,213 | 1,134,863 |
Anglo American PLC | 525,558 | 12,115,805 |
Associated British Foods PLC | 75,977 | 1,796,415 |
Aviva PLC | 5,606,033 | 19,000,962 |
BAE Systems PLC | 1,231,824 | 7,365,648 |
Barclays Bank PLC | 2,182,883 | 3,079,609 |
Barratt Developments PLC | 103,903 | 638,602 |
Berkeley Group Holdings PLC | 58,486 | 3,012,043 |
BHP Group PLC | 1,384,984 | 28,341,032 |
BP PLC | 1,514,157 | 5,800,804 |
British American Tobacco PLC | 349,681 | 13,411,256 |
BT Group PLC | 13,158,359 | 18,609,224 |
Bunzl PLC | 846,242 | 22,698,844 |
Burberry Group PLC | 856,097 | 16,916,572 |
Centrica PLC | 1,785,132 | 848,206 |
Compass Group PLC | 236,978 | 3,260,453 |
Diageo PLC | 750,879 | 24,957,241 |
Variable Portfolio Funds | Semiannual Report 2020 | 153 |
Variable Portfolio – Partners International Core Equity Fund, June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Evraz PLC | 1,280,558 | 4,537,126 |
GlaxoSmithKline PLC | 1,477,463 | 29,844,311 |
Kingfisher PLC | 3,300,685 | 9,080,807 |
London Stock Exchange Group PLC | 34,147 | 3,551,126 |
M&G PLC | 3,695,676 | 7,673,873 |
Marks & Spencer Group PLC | 1,210,445 | 1,484,331 |
Micro Focus International PLC | 157,595 | 840,778 |
National Grid PLC | 1,340,046 | 16,349,099 |
NMC Health PLC(a),(c),(d) | 293,698 | 0 |
Ocado Group PLC(a) | 436,960 | 10,980,966 |
Persimmon PLC(a) | 138,440 | 3,918,069 |
Rio Tinto PLC | 423,290 | 23,821,312 |
Royal Dutch Shell PLC, Class A | 282,010 | 4,515,338 |
Royal Dutch Shell PLC, Class B | 411,948 | 6,245,255 |
Sage Group PLC (The) | 1,212,387 | 10,063,949 |
Smith & Nephew PLC | 90,106 | 1,679,003 |
Standard Chartered PLC | 241,926 | 1,311,432 |
Taylor Wimpey PLC | 997,278 | 1,760,205 |
Total | 320,644,559 | |
United States 0.6% | ||
Booking Holdings, Inc.(a) | 9,872 | 15,719,580 |
Total Common Stocks (Cost $2,451,094,484) | 2,495,227,306 |
Preferred Stocks 0.3% | |||
Issuer | Shares | Value ($) | |
Germany 0.3% | |||
Porsche Automobil Holding SE(a) | 25,531 | 1,478,723 | |
Volkswagen AG | 50,130 | 7,619,764 | |
Total | 9,098,487 | ||
Total Preferred Stocks (Cost $10,625,732) | 9,098,487 |
Money Market Funds 2.0% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(e),(f) | 51,817,041 | 51,817,041 |
Total Money Market Funds (Cost $51,817,147) | 51,817,041 | |
Total Investments in Securities (Cost $2,513,537,363) | 2,556,142,834 | |
Other Assets & Liabilities, Net | 19,781,347 | |
Net Assets | $2,575,924,181 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
MSCI EAFE Index | 332 | 09/2020 | USD | 29,521,440 | 291,111 | — |
(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. At June 30, 2020, the total value of these securities amounted to $2,076,207, which represents 0.08% of total net assets. |
(c) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At June 30, 2020, the total value of these securities amounted to $0, which represents less than 0.01% of total net assets. |
(d) | Valuation based on significant unobservable inputs. |
(e) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
154 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners International Core Equity Fund, June 30, 2020 (Unaudited)
(f) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | ||||||||
75,234,641 | 453,282,296 | (476,704,080) | 4,184 | 51,817,041 | 19,258 | 334,599 | 51,817,041 |
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 | Semiannual Report 2020 | 155 |
Variable Portfolio – Partners International Core Equity Fund, June 30, 2020 (Unaudited)
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2020:
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Argentina | 29,326,657 | — | — | 29,326,657 |
Australia | — | 100,285,694 | — | 100,285,694 |
Austria | — | 15,399,521 | — | 15,399,521 |
Belgium | — | 19,857,829 | — | 19,857,829 |
China | 21,943,161 | 24,580,287 | — | 46,523,448 |
Denmark | — | 59,564,242 | — | 59,564,242 |
Finland | — | 21,102,508 | — | 21,102,508 |
France | — | 170,882,013 | — | 170,882,013 |
Germany | — | 313,427,621 | — | 313,427,621 |
Hong Kong | — | 117,734,238 | — | 117,734,238 |
India | 20,561,740 | — | — | 20,561,740 |
Isle of Man | — | 2,333,658 | — | 2,333,658 |
Italy | — | 19,476,012 | — | 19,476,012 |
Japan | — | 430,741,980 | — | 430,741,980 |
Netherlands | — | 156,054,630 | — | 156,054,630 |
New Zealand | — | 18,889,839 | — | 18,889,839 |
Norway | — | 36,821,172 | — | 36,821,172 |
Singapore | — | 35,631,073 | — | 35,631,073 |
South Korea | — | 31,587,350 | — | 31,587,350 |
Spain | — | 85,185,300 | — | 85,185,300 |
Sweden | — | 56,629,409 | — | 56,629,409 |
Switzerland | — | 334,445,514 | — | 334,445,514 |
Taiwan | 36,401,719 | — | — | 36,401,719 |
United Kingdom | — | 320,644,559 | 0* | 320,644,559 |
United States | 15,719,580 | — | — | 15,719,580 |
Total Common Stocks | 123,952,857 | 2,371,274,449 | 0* | 2,495,227,306 |
Preferred Stocks | ||||
Germany | — | 9,098,487 | — | 9,098,487 |
Total Preferred Stocks | — | 9,098,487 | — | 9,098,487 |
Money Market Funds | 51,817,041 | — | — | 51,817,041 |
Total Investments in Securities | 175,769,898 | 2,380,372,936 | 0* | 2,556,142,834 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 291,111 | — | — | 291,111 |
Total | 176,061,009 | 2,380,372,936 | 0* | 2,556,433,945 |
* | Rounds to zero. |
156 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners International Growth Fund, June 30, 2020 (Unaudited)
Common Stocks 99.4% | ||
Issuer | Shares | Value ($) |
Argentina 1.1% | ||
MercadoLibre, Inc.(a) | 11,505 | 11,341,284 |
Australia 2.8% | ||
Aristocrat Leisure Ltd. | 398,043 | 7,127,562 |
Cochlear Ltd. | 21,100 | 2,770,199 |
CSL Ltd. | 92,741 | 18,445,168 |
Total | 28,342,929 | |
Canada 3.8% | ||
Alimentation Couche-Tard, Inc., Class B | 179,500 | 5,628,547 |
Brookfield Asset Management, Inc., Class A | 337,265 | 11,096,019 |
Canadian National Railway Co. | 166,497 | 14,730,373 |
Dollarama, Inc. | 232,739 | 7,741,966 |
Total | 39,196,905 | |
China 9.9% | ||
Alibaba Group Holding Ltd.(a) | 990,320 | 26,722,599 |
China Merchants Bank Co., Ltd., Class H | 2,465,500 | 11,425,481 |
CNOOC Ltd. | 3,284,000 | 3,685,726 |
NetEase, Inc., ADR | 33,809 | 14,516,908 |
TAL Education Group, ADR(a) | 249,653 | 17,071,272 |
Tencent Holdings Ltd. | 427,200 | 27,374,084 |
Total | 100,796,070 | |
Denmark 7.4% | ||
Chr. Hansen Holding A/S | 92,180 | 9,507,949 |
Coloplast A/S, Class B | 124,750 | 19,444,531 |
DSV PANALPINA A/S | 65,282 | 8,018,913 |
Novo Nordisk A/S, Class B | 318,237 | 20,732,419 |
Novozymes AS, Class B | 100,000 | 5,797,591 |
Ørsted A/S | 104,616 | 12,072,836 |
Total | 75,574,239 | |
Finland 1.4% | ||
KONE OYJ, Class B | 83,000 | 5,724,460 |
Neste OYJ | 217,855 | 8,556,490 |
Total | 14,280,950 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
France 10.0% | ||
Air Liquide SA | 41,400 | 5,985,893 |
Airbus Group SE(a) | 120,035 | 8,600,964 |
Capgemini SE | 105,081 | 12,126,502 |
Dassault Systemes | 33,900 | 5,884,799 |
L’Oreal SA | 57,208 | 18,463,690 |
LVMH Moet Hennessy Louis Vuitton SE | 64,113 | 28,305,577 |
Safran SA(a) | 113,663 | 11,433,507 |
Teleperformance SA(a) | 28,066 | 7,147,902 |
Total SA | 111,000 | 4,279,984 |
Total | 102,228,818 | |
Germany 5.5% | ||
Adidas AG(a) | 23,000 | 6,063,990 |
Infineon Technologies AG | 679,433 | 15,920,598 |
Rational AG | 14,341 | 8,036,523 |
SAP SE | 161,216 | 22,536,298 |
TeamViewer AG(a) | 73,116 | 3,992,285 |
Total | 56,549,694 | |
Hong Kong 3.9% | ||
AIA Group Ltd. | 2,255,600 | 21,107,014 |
CLP Holdings Ltd. | 499,500 | 4,905,710 |
Hang Lung Properties Ltd. | 2,365,000 | 5,622,261 |
Hong Kong & China Gas Co., Ltd. | 2,295,500 | 3,567,594 |
Jardine Matheson Holdings Ltd. | 115,700 | 4,837,514 |
Total | 40,040,093 | |
India 2.1% | ||
Housing Development Finance Corp., Ltd. | 352,187 | 8,189,095 |
Reliance Industries Ltd. | 581,588 | 13,229,045 |
Reliance Industries Ltd.(a) | 43,273 | 457,124 |
Total | 21,875,264 | |
Ireland 1.4% | ||
Kingspan Group PLC | 227,659 | 14,696,823 |
Japan 13.5% | ||
Asahi Intecc Co., Ltd. | 199,900 | 5,705,217 |
Daikin Industries Ltd. | 134,100 | 21,697,382 |
Daito Trust Construction Co., Ltd. | 39,200 | 3,612,728 |
Variable Portfolio Funds | Semiannual Report 2020 | 157 |
Variable Portfolio – Partners International Growth Fund, June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
FANUC Corp. | 31,300 | 5,611,151 |
Hoya Corp. | 128,800 | 12,333,759 |
Kao Corp. | 62,100 | 4,928,120 |
Keyence Corp. | 66,940 | 28,051,980 |
Makita Corp. | 121,400 | 4,414,645 |
MISUMI Group, Inc. | 104,000 | 2,611,273 |
Murata Manufacturing Co., Ltd. | 92,600 | 5,458,631 |
Shimano, Inc. | 14,300 | 2,749,730 |
Shin-Etsu Chemical Co., Ltd. | 46,500 | 5,457,311 |
Shiseido Co., Ltd. | 166,600 | 10,615,857 |
SMC Corp. | 38,400 | 19,734,568 |
Sysmex Corp. | 68,900 | 5,288,880 |
Total | 138,271,232 | |
Luxembourg 0.3% | ||
Tenaris SA | 402,352 | 2,614,732 |
Netherlands 2.8% | ||
Adyen NV(a) | 10,974 | 15,972,588 |
ASML Holding NV | 34,037 | 12,451,179 |
Total | 28,423,767 | |
Portugal 0.4% | ||
Galp Energia SGPS SA | 348,700 | 4,044,917 |
Singapore 0.4% | ||
Ascendas Real Estate Investment Trust | 1,833,100 | 4,205,887 |
Spain 1.4% | ||
Amadeus IT Group SA, Class A | 170,605 | 8,957,128 |
Industria de Diseno Textil SA | 207,400 | 5,503,038 |
Total | 14,460,166 | |
Sweden 3.3% | ||
Atlas Copco AB, Class A | 400,114 | 17,039,033 |
Hexagon AB, Class B(a) | 280,036 | 16,445,276 |
Total | 33,484,309 | |
Switzerland 10.1% | ||
Givaudan SA | 1,490 | 5,569,576 |
Kuehne & Nagel International AG(a) | 37,100 | 6,179,694 |
Lonza Group AG, Registered Shares(a) | 33,509 | 17,749,641 |
Nestlé SA, Registered Shares | 47,650 | 5,282,985 |
Novartis AG, Registered Shares | 60,400 | 5,262,113 |
Partners Group Holding AG | 13,823 | 12,588,506 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Roche Holding AG, Genusschein Shares | 17,600 | 6,097,512 |
SGS SA, Registered Shares | 1,795 | 4,397,113 |
Sika AG | 60,079 | 11,581,577 |
Straumann Holding AG, Registered Shares | 14,775 | 12,772,793 |
Temenos AG | 81,317 | 12,638,608 |
VAT Group AG | 15,900 | 2,920,400 |
Total | 103,040,518 | |
Taiwan 2.6% | ||
Taiwan Semiconductor Manufacturing Co., Ltd. | 1,791,000 | 19,127,021 |
Taiwan Semiconductor Manufacturing Co., Ltd., ADR | 128,600 | 7,300,622 |
Total | 26,427,643 | |
United Kingdom 14.3% | ||
Abcam PLC | 194,686 | 3,215,670 |
Ashtead Group PLC | 289,551 | 9,767,443 |
Atlassian Corp. PLC, Class A(a) | 36,380 | 6,558,223 |
Compass Group PLC | 777,070 | 10,691,288 |
Diageo PLC | 441,170 | 14,663,329 |
Experian PLC | 659,004 | 23,130,296 |
Halma PLC | 273,068 | 7,779,767 |
Intertek Group PLC | 69,500 | 4,680,900 |
London Stock Exchange Group PLC | 136,171 | 14,161,137 |
Reckitt Benckiser Group PLC | 59,300 | 5,455,509 |
RELX PLC | 566,962 | 13,122,775 |
Rentokil Initial PLC | 1,447,925 | 9,155,479 |
Segro PLC | 975,876 | 10,793,174 |
Smith & Nephew PLC | 266,400 | 4,964,003 |
Spirax-Sarco Engineering PLC | 65,781 | 8,098,297 |
Total | 146,237,290 | |
United States 1.0% | ||
lululemon athletica, Inc.(a) | 33,420 | 10,427,374 |
Total Common Stocks (Cost $911,528,426) | 1,016,560,904 | |
158 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners International Growth Fund, June 30, 2020 (Unaudited)
Money Market Funds 0.5% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(b),(c) | 4,901,514 | 4,901,514 |
Total Money Market Funds (Cost $4,901,514) | 4,901,514 | |
Total Investments in Securities (Cost $916,429,940) | 1,021,462,418 | |
Other Assets & Liabilities, Net | 1,486,764 | |
Net Assets | $1,022,949,182 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | ||||||||
23,668,741 | 241,263,371 | (260,030,598) | — | 4,901,514 | 3,249 | 97,638 | 4,901,514 |
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 | Semiannual Report 2020 | 159 |
Variable Portfolio – Partners International Growth Fund, June 30, 2020 (Unaudited)
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Argentina | 11,341,284 | — | — | 11,341,284 |
Australia | — | 28,342,929 | — | 28,342,929 |
Canada | 39,196,905 | — | — | 39,196,905 |
China | 31,588,180 | 69,207,890 | — | 100,796,070 |
Denmark | — | 75,574,239 | — | 75,574,239 |
Finland | — | 14,280,950 | — | 14,280,950 |
France | — | 102,228,818 | — | 102,228,818 |
Germany | — | 56,549,694 | — | 56,549,694 |
Hong Kong | — | 40,040,093 | — | 40,040,093 |
India | — | 21,875,264 | — | 21,875,264 |
Ireland | — | 14,696,823 | — | 14,696,823 |
Japan | — | 138,271,232 | — | 138,271,232 |
Luxembourg | — | 2,614,732 | — | 2,614,732 |
Netherlands | — | 28,423,767 | — | 28,423,767 |
Portugal | — | 4,044,917 | — | 4,044,917 |
Singapore | — | 4,205,887 | — | 4,205,887 |
Spain | — | 14,460,166 | — | 14,460,166 |
Sweden | — | 33,484,309 | — | 33,484,309 |
Switzerland | — | 103,040,518 | — | 103,040,518 |
Taiwan | 7,300,622 | 19,127,021 | — | 26,427,643 |
United Kingdom | 6,558,223 | 139,679,067 | — | 146,237,290 |
United States | 10,427,374 | — | — | 10,427,374 |
Total Common Stocks | 106,412,588 | 910,148,316 | — | 1,016,560,904 |
Money Market Funds | 4,901,514 | — | — | 4,901,514 |
Total Investments in Securities | 111,314,102 | 910,148,316 | — | 1,021,462,418 |
160 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners International Value Fund, June 30, 2020 (Unaudited)
Common Stocks 96.9% | ||
Issuer | Shares | Value ($) |
Australia 4.4% | ||
AMP Ltd.(a) | 247,119 | 319,754 |
Aurizon Holdings Ltd. | 64,744 | 220,316 |
Australia & New Zealand Banking Group Ltd. | 391,139 | 5,075,087 |
Bank of Queensland Ltd. | 70,643 | 303,550 |
Bendigo & Adelaide Bank Ltd. | 74,897 | 365,772 |
BlueScope Steel Ltd. | 132,090 | 1,088,138 |
Boral Ltd. | 177,752 | 472,572 |
Challenger Ltd. | 635,500 | 1,967,995 |
Cleanaway Waste Management Ltd. | 314,194 | 482,406 |
Crown Resorts Ltd. | 31,489 | 212,125 |
Downer EDI Ltd. | 73,812 | 225,937 |
Fortescue Metals Group Ltd. | 218,469 | 2,123,885 |
Harvey Norman Holdings Ltd. | 144,797 | 355,952 |
Incitec Pivot Ltd. | 377,247 | 491,786 |
LendLease Group | 485,961 | 4,200,281 |
Macquarie Group Ltd. | 65,800 | 5,460,884 |
National Australia Bank Ltd. | 213,271 | 2,702,649 |
Newcrest Mining Ltd. | 25,286 | 560,694 |
Oil Search Ltd. | 590,230 | 1,308,045 |
Origin Energy Ltd. | 183,341 | 746,060 |
QBE Insurance Group Ltd. | 86,998 | 536,874 |
Qube Holdings Ltd. | 94,323 | 191,346 |
Santos Ltd. | 1,076,829 | 4,002,116 |
South32 Ltd. | 912,298 | 1,291,563 |
Star Entertainment Group Ltd. (The) | 124,401 | 247,176 |
Suncorp Group Ltd. | 124,230 | 798,290 |
Tabcorp Holdings Ltd | 197,785 | 466,507 |
Westpac Banking Corp. | 463,714 | 5,811,910 |
Woodside Petroleum Ltd. | 106,705 | 1,612,597 |
Worley Ltd. | 39,240 | 240,103 |
Total | 43,882,370 | |
Austria 0.0% | ||
Raiffeisen Bank International AG(a) | 21,750 | 388,744 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Belgium 1.3% | ||
Ageas SA/NV | 20,098 | 712,268 |
Groupe Bruxelles Lambert SA | 50,000 | 4,188,004 |
KBC Group NV | 115,488 | 6,634,928 |
Solvay SA | 16,013 | 1,284,656 |
UCB SA | 3,668 | 425,658 |
Total | 13,245,514 | |
China 0.6% | ||
Baidu, Inc., ADR(a) | 15,000 | 1,798,350 |
China Mobile Ltd. | 658,000 | 4,442,856 |
Total | 6,241,206 | |
Denmark 1.5% | ||
AP Moller - Maersk A/S, Class A | 214 | 234,000 |
AP Moller - Maersk A/S, Class B | 4,088 | 4,791,166 |
Carlsberg A/S, Class B | 12,199 | 1,617,687 |
Danske Bank A/S(a) | 35,892 | 479,820 |
Demant A/S(a) | 8,210 | 217,574 |
Drilling Co. of 1972 A/S (The)(a) | 41,500 | 879,940 |
DSV PANALPINA A/S | 15,851 | 1,947,057 |
Genmab A/S(a) | 1,071 | 361,134 |
H Lundbeck A/S | 14,919 | 563,706 |
ISS A/S(a) | 14,509 | 230,381 |
Novozymes AS, Class B | 3,346 | 193,987 |
Rockwool International A/S, Class B | 1,023 | 278,414 |
Tryg AS | 7,192 | 208,959 |
Vestas Wind Systems A/S | 27,955 | 2,862,671 |
Total | 14,866,496 | |
Finland 0.2% | ||
Fortum OYJ | 32,037 | 611,206 |
Nordea Bank(a) | 151,420 | 1,047,247 |
Stora Enso OYJ, Class R | 41,120 | 492,179 |
Total | 2,150,632 |
Variable Portfolio Funds | Semiannual Report 2020 | 161 |
Variable Portfolio – Partners International Value Fund, June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
France 10.2% | ||
Airbus Group SE(a) | 11,600 | 831,184 |
Amundi SA(a),(b) | 4,056 | 318,856 |
Arkema SA | 72,736 | 6,991,671 |
AtoS(a) | 26,742 | 2,292,675 |
AXA SA(a) | 93,971 | 1,977,425 |
BNP Paribas SA(a) | 90,706 | 3,624,067 |
Bollore SA | 98,517 | 310,857 |
Bouygues SA(a) | 63,932 | 2,189,958 |
Carrefour SA | 167,520 | 2,597,909 |
Cie de Saint-Gobain(a) | 120,546 | 4,349,415 |
Cie Generale des Etablissements Michelin CSA(a) | 41,805 | 4,357,463 |
CNP Assurances(a) | 22,168 | 257,114 |
Credit Agricole SA(a) | 64,549 | 612,937 |
Dassault Aviation SA(a) | 2,100 | 1,926,745 |
Electricite de France SA | 132,766 | 1,234,335 |
Engie SA(a) | 832,224 | 10,321,185 |
EssilorLuxottica SA(a) | 1,042 | 134,010 |
Faurecia SE(a) | 15,015 | 589,918 |
Iliad SA(a) | 269 | 52,512 |
Natixis SA(a) | 81,427 | 214,767 |
Orange SA | 291,524 | 3,486,034 |
Peugeot SA(a) | 160,129 | 2,625,977 |
Publicis Groupe SA(a) | 10,599 | 344,309 |
Renault SA(a) | 58,804 | 1,505,007 |
Rexel SA | 217,400 | 2,491,653 |
Sanofi | 104,096 | 10,616,194 |
SCOR SE(a) | 14,477 | 399,830 |
SES SA FDR | 20,760 | 141,851 |
Societe Generale SA(a) | 147,324 | 2,463,212 |
Total SA | 464,071 | 17,893,841 |
Ubisoft Entertainment SA(a) | 24,900 | 2,061,981 |
Valeo SA | 19,689 | 519,304 |
Veolia Environnement SA | 289,200 | 6,530,472 |
Vivendi SA | 191,700 | 4,953,469 |
Total | 101,218,137 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Germany 10.0% | ||
Allianz SE, Registered Shares | 40,431 | 8,261,768 |
BASF SE | 27,972 | 1,571,168 |
Bayer AG, Registered Shares | 130,442 | 9,668,822 |
Bayerische Motoren Werke AG | 87,900 | 5,611,595 |
Commerzbank AG(a) | 159,182 | 709,452 |
Continental AG(a) | 9,981 | 981,245 |
Covestro AG(a) | 19,575 | 745,577 |
Daimler AG, Registered Shares(a) | 205,632 | 8,365,903 |
Deutsche Bank AG, Registered Shares(a) | 222,232 | 2,120,115 |
Deutsche Bank AG, Registered Shares(a) | 48,636 | 463,015 |
Deutsche Boerse AG | 28,900 | 5,230,227 |
Deutsche Lufthansa AG, Registered Shares(a) | 87,665 | 879,500 |
Evonik Industries AG | 25,685 | 654,197 |
Fraport AG Frankfurt Airport Services Worldwide(a) | 4,741 | 207,679 |
Fresenius SE & Co. KGaA(a) | 169,700 | 8,434,578 |
Hapag-Lloyd AG(b) | 4,428 | 259,229 |
HeidelbergCement AG | 137,732 | 7,373,034 |
Infineon Technologies AG | 332,900 | 7,800,573 |
Metro AG | 21,106 | 200,300 |
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen, Registered Shares | 2,761 | 718,951 |
RWE AG | 75,756 | 2,651,996 |
SAP SE | 74,100 | 10,358,399 |
Siemens AG, Registered Shares | 80,300 | 9,470,355 |
Talanx AG | 65,347 | 2,428,577 |
Telefonica Deutschland Holding AG | 286,273 | 844,273 |
Uniper SE | 40,764 | 1,315,418 |
Volkswagen AG(a) | 9,711 | 1,567,915 |
Total | 98,893,861 | |
Hong Kong 2.5% | ||
Bank of East Asia Ltd. (The) | 51,800 | 118,741 |
BOC Aviation Ltd.(b) | 46,800 | 301,277 |
BOC Hong Kong Holdings Ltd. | 37,500 | 120,071 |
Cathay Pacific Airways Ltd. | 301,000 | 291,018 |
CK Asset Holdings Ltd. | 816,500 | 4,896,383 |
CK Hutchison Holdings Ltd. | 1,361,268 | 8,815,010 |
CK Infrastructure Holdings Ltd. | 53,500 | 276,555 |
Guoco Group Ltd. | 2,000 | 28,705 |
162 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners International Value Fund, June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Hang Lung Properties Ltd. | 186,000 | 442,174 |
Henderson Land Development Co., Ltd. | 129,748 | 494,819 |
Kerry Properties Ltd. | 156,500 | 406,529 |
MTR Corp. | 141,342 | 735,084 |
New World Development Co., Ltd. | 279,159 | 1,325,472 |
NWS Holdings Ltd. | 226,296 | 196,843 |
Sino Land Co., Ltd. | 308,266 | 390,018 |
SJM Holdings Ltd. | 471,000 | 528,055 |
Sun Hung Kai Properties Ltd. | 166,976 | 2,133,158 |
Swire Pacific Ltd., Class A | 90,500 | 480,987 |
Swire Pacific Ltd., Class B | 217,500 | 208,191 |
WH Group Ltd. | 1,096,500 | 947,589 |
Wharf Holdings Ltd. (The) | 135,000 | 276,233 |
Wheelock & Co., Ltd.(c),(d) | 99,000 | 827,203 |
Yue Yuen Industrial Holdings Ltd. | 77,000 | 117,369 |
Total | 24,357,484 | |
Ireland 1.7% | ||
AIB Group PLC(a) | 1,843,749 | 2,327,994 |
Bank of Ireland Group PLC(a) | 49,246 | 101,473 |
CRH PLC | 39,134 | 1,347,002 |
CRH PLC, ADR | 31,669 | 1,086,563 |
Flutter Entertainment PLC(a) | 3,822 | 504,597 |
Linde PLC | 16,400 | 3,478,604 |
Ryanair Holdings PLC, ADR(a) | 19,400 | 1,286,996 |
Smurfit Kappa Group PLC | 194,000 | 6,519,510 |
Total | 16,652,739 | |
Isle of Man 0.3% | ||
GVC Holdings PLC | 295,400 | 2,707,609 |
Israel 0.5% | ||
Bank Hapoalim BM | 97,747 | 584,347 |
Check Point Software Technologies Ltd.(a) | 28,800 | 3,093,984 |
Teva Pharmaceutical Industries Ltd., ADR(a) | 71,699 | 884,049 |
Total | 4,562,380 | |
Italy 2.1% | ||
ENI SpA | 115,006 | 1,102,449 |
Fiat Chrysler Automobiles NV(a) | 404,715 | 4,094,949 |
Fiat Chrysler Automobiles NV(a) | 3,688 | 37,765 |
Intesa Sanpaolo SpA(a) | 511,784 | 983,490 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Mediobanca Banca di Credito Finanziario SpA | 448,693 | 3,240,144 |
Prysmian SpA | 157,000 | 3,642,137 |
Telecom Italia SpA | 3,712,318 | 1,463,901 |
Telecom Italia SpA, Savings Shares | 388,078 | 151,041 |
UniCredit SpA(a) | 660,176 | 6,092,906 |
Total | 20,808,782 | |
Japan 25.8% | ||
Aeon Credit Service Co., Ltd. | 21,400 | 234,712 |
AGC, Inc. | 53,000 | 1,519,485 |
Air Water, Inc. | 17,100 | 241,605 |
Aisin Seiki Co., Ltd. | 34,700 | 1,017,124 |
Alfresa Holdings Corp. | 19,900 | 417,131 |
Alps Electric Co., Ltd. | 7,700 | 99,247 |
Amada Holdings Co., Ltd. | 53,800 | 440,507 |
Aozora Bank Ltd. | 10,800 | 188,321 |
Asahi Kasei Corp. | 140,800 | 1,152,559 |
Astellas Pharma, Inc. | 473,900 | 7,913,922 |
Bank of Kyoto Ltd. (The) | 6,200 | 220,285 |
Bridgestone Corp. | 10,000 | 322,755 |
Brother Industries Ltd. | 10,100 | 182,478 |
Canon Marketing Japan, Inc. | 9,100 | 186,082 |
Chiba Bank Ltd. (The) | 61,900 | 292,648 |
Chugoku Bank Ltd. (The) | 24,000 | 222,679 |
Citizen Watch Co., Ltd. | 12,000 | 39,118 |
Coca-Cola Bottlers Japan Holdings, Inc. | 14,125 | 256,178 |
Concordia Financial Group Ltd. | 123,500 | 397,060 |
Credit Saison Co., Ltd. | 26,900 | 309,085 |
Dai Nippon Printing Co., Ltd. | 30,300 | 696,608 |
Daicel Corp. | 51,300 | 397,594 |
Dai-ichi Life Holdings, Inc. | 65,500 | 784,035 |
Daio Paper Corp. | 12,800 | 171,019 |
Daiwa Securities Group, Inc. | 1,010,500 | 4,245,013 |
DeNA Co., Ltd. | 12,000 | 149,824 |
Denka Co., Ltd. | 114,300 | 2,801,470 |
Denso Corp. | 55,000 | 2,156,938 |
Dentsu Group, Inc. | 29,500 | 699,788 |
DIC Corp. | 11,500 | 289,463 |
Dowa Holdings | 11,400 | 346,020 |
Ebara Corp. | 17,200 | 405,870 |
Variable Portfolio Funds | Semiannual Report 2020 | 163 |
Variable Portfolio – Partners International Value Fund, June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
ENEOS Holdings, Inc. | 1,421,800 | 5,068,100 |
FANUC Corp. | 34,700 | 6,220,669 |
Fuji Media Holdings, Inc. | 11,100 | 107,304 |
FUJIFILM Holdings Corp. | 3,100 | 132,685 |
Fujitsu Ltd. | 42,600 | 4,987,751 |
Fukuoka Financial Group, Inc. | 22,400 | 354,165 |
Fukuyama Transporting Co., Ltd. | 4,900 | 171,700 |
Fuyo General Lease Co., Ltd. | 2,600 | 144,870 |
Glory Ltd. | 5,300 | 120,895 |
Hachijuni Bank Ltd. (The) | 60,700 | 231,041 |
Hankyu Hanshin Holdings, Inc. | 17,700 | 597,875 |
Haseko Corp. | 30,000 | 378,788 |
Heiwa Corp. | 8,600 | 143,837 |
Hino Motors Ltd. | 70,000 | 474,922 |
Hitachi Capital Corp. | 13,200 | 292,203 |
Hitachi Ltd. | 285,400 | 9,071,390 |
Hitachi Metals Ltd. | 22,000 | 263,688 |
Honda Motor Co., Ltd. | 350,200 | 8,962,903 |
Ibiden Co., Ltd. | 9,500 | 278,064 |
Idemitsu Kosan Co., Ltd. | 32,100 | 685,080 |
IHI Corp. | 29,400 | 426,557 |
Iida Group Holdings Co., Ltd. | 22,500 | 345,788 |
Inpex Corp. | 175,400 | 1,095,243 |
Isetan Mitsukoshi Holdings Ltd. | 45,100 | 259,551 |
Isuzu Motors Ltd. | 140,300 | 1,274,954 |
ITOCHU Corp. | 30,400 | 657,790 |
Itoham Yonekyu Holdings, Inc. | 20,000 | 120,534 |
Iyo Bank Ltd. (The) | 37,500 | 229,543 |
J. Front Retailing Co., Ltd. | 49,300 | 329,826 |
Japan Airlines Co., Ltd. | 178,000 | 3,212,105 |
Japan Post Holdings Co., Ltd. | 77,700 | 554,520 |
JFE Holdings, Inc. | 119,900 | 866,819 |
JGC Holdings Corp. | 22,100 | 233,043 |
JSR Corp. | 17,200 | 333,678 |
JTEKT Corp. | 59,800 | 466,930 |
Kajima Corp. | 88,100 | 1,053,399 |
Kamigumi Co., Ltd. | 16,100 | 316,631 |
Kandenko Co., Ltd. | 21,400 | 181,895 |
Kaneka Corp. | 13,400 | 348,750 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Kawasaki Heavy Industries Ltd. | 30,200 | 436,199 |
Kinden Corp. | 18,600 | 307,401 |
Kirin Holdings Co., Ltd. | 179,900 | 3,792,249 |
Kobe Steel Ltd.(a) | 39,000 | 135,134 |
Kokuyo Co., Ltd. | 6,100 | 73,960 |
Konica Minolta, Inc. | 166,300 | 578,329 |
K’s Holdings Corp. | 27,800 | 379,751 |
Kuraray Co., Ltd. | 88,600 | 927,175 |
Kyocera Corp. | 100,900 | 5,507,584 |
Kyushu Financial Group, Inc. | 52,800 | 223,600 |
LIXIL Group Corp. | 30,800 | 432,564 |
Mabuchi Motor Co., Ltd. | 3,500 | 111,691 |
Maeda Corp. | 10,000 | 76,537 |
Maeda Road Construction Co., Ltd. | 4,700 | 88,637 |
Marubeni Corp. | 154,100 | 699,984 |
Maruichi Steel Tube Ltd. | 8,000 | 199,403 |
Matsumotokiyoshi Holdings Co., Ltd. | 62,200 | 2,260,262 |
Mazda Motor Corp. | 156,900 | 947,973 |
Mebuki Financial Group, Inc. | 71,250 | 165,974 |
Medipal Holdings Corp. | 16,200 | 312,670 |
Mitsubishi Chemical Holdings Corp. | 188,100 | 1,096,937 |
Mitsubishi Corp. | 108,400 | 2,290,679 |
Mitsubishi Gas Chemical Co., Inc. | 25,300 | 384,799 |
Mitsubishi Heavy Industries Ltd. | 47,500 | 1,121,480 |
Mitsubishi Logistics Corp. | 8,200 | 211,634 |
Mitsubishi Materials Corp. | 31,400 | 663,026 |
Mitsubishi Motors Corp. | 142,200 | 352,432 |
Mitsubishi UFJ Financial Group, Inc. | 589,600 | 2,320,386 |
Mitsubishi UFJ Lease & Finance Co., Ltd. | 170,700 | 814,555 |
Mitsui & Co., Ltd. | 80,700 | 1,195,701 |
Mitsui Chemicals, Inc. | 44,700 | 934,950 |
Mitsui Fudosan Co., Ltd. | 80,800 | 1,435,390 |
Mitsui OSK Lines Ltd. | 23,700 | 421,701 |
Mizuho Financial Group, Inc. | 1,145,400 | 1,408,893 |
MS&AD Insurance Group Holdings, Inc. | 46,900 | 1,291,565 |
Nagase & Co., Ltd. | 16,100 | 201,397 |
NEC Corp. | 16,600 | 797,558 |
NGK Insulators Ltd. | 47,000 | 651,213 |
NGK Spark Plug Co., Ltd. | 23,200 | 333,451 |
164 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners International Value Fund, June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
NH Foods Ltd. | 11,100 | 446,670 |
NHK Spring Co., Ltd. | 58,700 | 381,765 |
Nikkon Holdings Co., Ltd. | 4,000 | 79,526 |
Nikon Corp. | 78,300 | 657,589 |
Nintendo Co., Ltd. | 18,400 | 8,226,067 |
Nippo Corp. | 16,300 | 411,704 |
Nippon Electric Glass Co., Ltd. | 12,400 | 194,783 |
Nippon Express Co., Ltd. | 18,800 | 974,846 |
Nippon Kayaku Co., Ltd. | 16,400 | 171,566 |
Nippon Paper Industries Co., Ltd. | 42,900 | 601,704 |
Nippon Shokubai Co., Ltd. | 7,400 | 387,889 |
Nippon Steel Corp. | 72,800 | 687,920 |
Nippon Yusen KK | 43,700 | 618,492 |
Nipro Corp. | 14,800 | 164,023 |
Nissan Motor Co., Ltd. | 412,200 | 1,528,622 |
NOK Corp. | 19,000 | 236,652 |
Nomura Holdings, Inc. | 164,600 | 739,644 |
Nomura Real Estate Holdings, Inc. | 30,700 | 571,554 |
NSK Ltd. | 87,300 | 651,488 |
Obayashi Corp. | 150,800 | 1,417,741 |
Oji Holdings Corp. | 209,800 | 978,794 |
Olympus Corp. | 415,600 | 8,001,337 |
ORIX Corp. | 747,700 | 9,284,382 |
Panasonic Corp. | 59,000 | 517,374 |
Rakuten, Inc. | 711,800 | 6,287,331 |
Rengo Co., Ltd. | 33,200 | 270,640 |
Resona Holdings, Inc. | 170,250 | 582,577 |
Ricoh Co., Ltd. | 161,600 | 1,159,574 |
Rohm Co., Ltd. | 6,800 | 452,141 |
Sankyo Co., Ltd. | 5,000 | 121,027 |
Sega Sammy Holdings, Inc. | 214,100 | 2,566,464 |
Seiko Epson Corp. | 19,500 | 223,386 |
Seino Holdings Corp. | 21,600 | 281,566 |
Sekisui House Ltd. | 41,800 | 798,052 |
Seven & I Holdings Co., Ltd. | 274,100 | 8,966,776 |
Shimamura Co., Ltd. | 3,600 | 243,835 |
Shimizu Corp. | 138,600 | 1,141,799 |
Shinsei Bank Ltd. | 19,800 | 239,485 |
Shizuoka Bank Ltd. (The) | 47,400 | 304,925 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Showa Denko KK | 23,800 | 537,200 |
SoftBank Group Corp. | 45,600 | 2,299,502 |
Sojitz Corp. | 164,700 | 359,982 |
Sompo Holdings, Inc. | 21,600 | 743,588 |
Sony Corp. | 193,700 | 13,371,146 |
Square Enix Holdings Co., Ltd. | 91,700 | 4,645,901 |
Subaru Corp. | 22,600 | 473,237 |
Sumitomo Chemical Co., Ltd. | 362,200 | 1,089,787 |
Sumitomo Corp. | 117,200 | 1,347,968 |
Sumitomo Electric Industries Ltd. | 155,900 | 1,798,416 |
Sumitomo Forestry Co., Ltd. | 27,900 | 351,011 |
Sumitomo Heavy Industries Ltd. | 19,800 | 433,047 |
Sumitomo Metal Mining Co., Ltd. | 19,800 | 557,762 |
Sumitomo Mitsui Financial Group, Inc. | 412,500 | 11,641,494 |
Sumitomo Mitsui Trust Holdings, Inc. | 29,600 | 834,139 |
Sumitomo Osaka Cement Co., Ltd. | 4,600 | 162,081 |
Sumitomo Realty & Development Co., Ltd. | 10,700 | 295,349 |
Sumitomo Rubber Industries Ltd. | 54,800 | 542,767 |
Suzuken Co., Ltd. | 8,500 | 317,558 |
Suzuki Motor Corp. | 15,800 | 539,509 |
T&D Holdings, Inc. | 75,100 | 645,050 |
Taiheiyo Cement Corp. | 25,000 | 580,854 |
Taisho Pharmaceutical Holdings Co., Ltd. | 4,000 | 245,468 |
Takashimaya Co., Ltd. | 23,500 | 196,777 |
Takeda Pharmaceutical Co., Ltd. | 4,727 | 169,831 |
Teijin Ltd. | 40,200 | 640,050 |
THK Co., Ltd. | 7,700 | 191,712 |
Toda Corp. | 32,000 | 207,008 |
Toho Holdings Co., Ltd. | 4,500 | 84,103 |
Tokai Carbon Co., Ltd. | 30,000 | 283,499 |
Tokio Marine Holdings, Inc. | 3,900 | 170,715 |
Tokyo Broadcasting System Holdings, Inc. | 6,900 | 110,375 |
Tokyo Tatemono Co., Ltd. | 27,100 | 311,919 |
Tokyu Fudosan Holdings Corp | 147,200 | 692,499 |
Toppan Printing Co., Ltd. | 29,900 | 499,896 |
Toray Industries, Inc. | 129,300 | 610,300 |
Toshiba Corp. | 242,700 | 7,785,762 |
Tosoh Corp. | 63,400 | 870,920 |
Toyo Seikan Group Holdings Ltd. | 20,300 | 228,928 |
Variable Portfolio Funds | Semiannual Report 2020 | 165 |
Variable Portfolio – Partners International Value Fund, June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Toyo Tire Corp. | 16,400 | 221,322 |
Toyoda Gosei Co., Ltd. | 17,600 | 367,726 |
Toyota Boshoku Corp. | 15,000 | 202,275 |
Toyota Industries Corp. | 157,200 | 8,355,601 |
Toyota Motor Corp. | 133,174 | 8,374,526 |
Toyota Tsusho Corp. | 25,900 | 660,484 |
TS Tech Co., Ltd. | 7,900 | 217,770 |
Tsumura & Co. | 3,600 | 94,286 |
Ube Industries Ltd. | 20,800 | 358,479 |
Universal Entertainment Corp.(a) | 2,800 | 54,666 |
Yamada Denki Co., Ltd. | 102,200 | 506,954 |
Yamaguchi Financial Group, Inc. | 8,900 | 54,692 |
Yamaha Motor Co., Ltd. | 44,000 | 692,998 |
Yokohama Rubber Co., Ltd. (The) | 33,100 | 468,035 |
Zeon Corp. | 26,300 | 242,881 |
Total | 254,688,448 | |
Netherlands 5.4% | ||
ABN AMRO Bank NV | 38,373 | 330,225 |
Aegon NV | 203,560 | 601,717 |
Akzo Nobel NV | 2,657 | 238,706 |
ArcelorMittal SA(a) | 469,771 | 4,975,750 |
ASML Holding NV | 16,900 | 6,182,241 |
EXOR NV | 31,300 | 1,796,534 |
Heineken Holding NV | 78,900 | 6,457,724 |
ING Groep NV | 290,474 | 2,024,867 |
Koninklijke Ahold Delhaize NV | 266,410 | 7,260,754 |
Koninklijke DSM NV | 37,862 | 5,255,925 |
Koninklijke Philips NV | 237,880 | 11,096,555 |
Koninklijke Vopak NV | 3,799 | 200,946 |
NN Group NV | 23,797 | 799,764 |
NXP Semiconductors NV | 44,800 | 5,108,992 |
Randstad NV | 25,671 | 1,147,879 |
Total | 53,478,579 | |
New Zealand 0.1% | ||
Air New Zealand Ltd. | 132,134 | 113,322 |
Auckland International Airport Ltd. | 105,892 | 450,333 |
Chorus Ltd. | 5,341 | 25,872 |
EBOS Group Ltd. | 13,818 | 193,485 |
Fletcher Building Ltd. | 167,813 | 403,831 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Fonterra Co-operative Group Ltd.(a) | 28,970 | 69,905 |
Ryman Healthcare Ltd. | 12,292 | 104,285 |
Total | 1,361,033 | |
Norway 0.9% | ||
DNB ASA(a) | 104,412 | 1,393,639 |
Equinor ASA | 15,256 | 219,773 |
Mowi ASA | 235,600 | 4,490,929 |
Norsk Hydro ASA(a) | 232,826 | 649,558 |
SpareBank 1 SR-Bank ASA(a) | 22,923 | 167,704 |
Storebrand ASA(a) | 70,516 | 367,476 |
Subsea 7 SA(a) | 37,719 | 240,531 |
Yara International ASA | 29,463 | 1,027,148 |
Total | 8,556,758 | |
Portugal 0.1% | ||
Banco Espirito Santo SA, Registered Shares(a),(c),(d) | 533,756 | 1 |
EDP Renovaveis SA | 52,877 | 730,710 |
Total | 730,711 | |
Singapore 1.2% | ||
CapitaLand Ltd.(a) | 405,600 | 856,889 |
City Developments Ltd. | 101,000 | 617,219 |
DBS Group Holdings Ltd. | 376,600 | 5,666,637 |
Frasers Property Ltd. | 88,900 | 80,864 |
Hongkong Land Holdings Ltd. | 142,300 | 591,900 |
Jardine Cycle & Carriage Ltd. | 4,200 | 61,293 |
Keppel Corp., Ltd. | 323,100 | 1,391,568 |
Olam International Ltd. | 146,000 | 146,749 |
Oversea-Chinese Banking Corp., Ltd. | 43,900 | 286,131 |
Singapore Airlines Ltd. | 657,550 | 1,774,874 |
UOL Group Ltd. | 65,389 | 321,498 |
Yangzijiang Shipbuilding Holdings Ltd. | 170,700 | 114,914 |
Total | 11,910,536 | |
Spain 1.2% | ||
Banco Bilbao Vizcaya Argentaria SA | 70,413 | 242,430 |
Banco Bilbao Vizcaya Argentaria SA, ADR | 132,595 | 450,823 |
Banco de Sabadell SA | 619,091 | 217,513 |
Banco Santander SA | 2,120,308 | 5,187,250 |
Bankia SA | 137,224 | 146,710 |
Repsol SA | 35,175 | 310,805 |
166 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners International Value Fund, June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Siemens Gamesa Renewable Energy SA(a) | 290,500 | 5,172,338 |
Total | 11,727,869 | |
Sweden 2.5% | ||
Billerudkorsnas AB | 36,604 | 525,373 |
Boliden AB | 71,925 | 1,649,704 |
Dometic Group AB(a),(b) | 39,580 | 357,682 |
Getinge AB, Series CPO | 40,135 | 747,891 |
Holmen AB, Class B(a) | 12,881 | 413,714 |
ICA Gruppen AB | 7,624 | 362,403 |
Intrum Justitia AB | 12,516 | 230,404 |
Investor AB, Class B | 83,600 | 4,434,805 |
Millicom International Cellular SA, SDR(a) | 8,970 | 236,138 |
Pandox AB(a) | 8,462 | 98,223 |
Peab AB, Class B(a) | 27,086 | 223,893 |
Saab AB, Class B(a) | 12,858 | 323,177 |
Skandinaviska Enskilda Banken AB, Class A(a) | 178,975 | 1,553,601 |
SKF AB, Class B | 47,399 | 886,054 |
SSAB AB, Class A(a) | 55,958 | 154,971 |
SSAB AB, Class B(a) | 93,035 | 248,317 |
Svenska Cellulosa AB SCA, Class A(a) | 12,348 | 144,525 |
Svenska Cellulosa AB, Class B(a) | 67,964 | 812,929 |
Svenska Handelsbanken AB, Class A(a) | 77,906 | 739,743 |
Svenska Handelsbanken AB, Class B(a) | 4,569 | 45,641 |
Swedbank AB, Class A(a) | 66,249 | 850,695 |
Telia Co. AB | 506,969 | 1,896,673 |
Trelleborg AB, Class B(a) | 34,782 | 510,313 |
Volvo AB(a) | 17,596 | 271,767 |
Volvo AB, B Shares(a) | 418,396 | 6,583,416 |
Total | 24,302,052 | |
Switzerland 10.1% | ||
ABB Ltd. | 670,335 | 15,205,166 |
Adecco Group AG, Registered Shares | 45,576 | 2,148,252 |
Alcon, Inc.(a) | 85,189 | 4,894,894 |
Baloise Holding AG, Registered Shares | 5,930 | 893,358 |
Banque Cantonale Vaudoise, Registered Shares | 2,050 | 199,634 |
Cie Financiere Richemont SA, Class A, Registered Shares | 65,886 | 4,249,668 |
Clariant AG, Registered Shares(a) | 9,546 | 187,874 |
Credit Suisse Group AG, Registered Shares(a) | 118,622 | 1,234,247 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Helvetia Holding AG, Registered Shares, ADR | 2,272 | 212,818 |
Julius Baer Group Ltd.(a) | 35,685 | 1,498,684 |
LafargeHolcim Ltd., Registered Shares(a) | 50,271 | 2,214,741 |
Lonza Group AG, Registered Shares(a) | 10,976 | 5,813,962 |
Nestlé SA, Registered Shares | 127,900 | 14,180,353 |
Novartis AG, ADR | 3,967 | 346,478 |
Novartis AG, Registered Shares | 145,716 | 12,694,933 |
Roche Holding AG, Genusschein Shares | 15,800 | 5,473,903 |
Swatch Group AG (The) | 4,292 | 861,455 |
Swatch Group AG (The), Registered Shares | 9,574 | 376,503 |
Swiss Life Holding AG, Registered Shares | 4,894 | 1,820,660 |
Swiss Prime Site AG(a) | 5,634 | 522,640 |
Swiss Re AG | 14,172 | 1,098,819 |
Swisscom AG | 6,499 | 3,408,083 |
UBS AG | 1,016,651 | 11,741,368 |
UBS Group AG, Registered Shares | 37,077 | 427,869 |
Vifor Pharma AG | 6,606 | 999,402 |
Zurich Insurance Group AG | 20,428 | 7,238,264 |
Total | 99,944,028 | |
United Kingdom 14.3% | ||
3i Group PLC | 2,894 | 29,799 |
Anglo American PLC | 111,975 | 2,581,385 |
Antofagasta PLC | 51,374 | 594,621 |
Ashtead Group PLC | 144,000 | 4,857,562 |
Aviva PLC | 2,780,649 | 9,424,669 |
Barclays Bank PLC | 943,222 | 1,330,697 |
Barclays Bank PLC, ADR | 40,465 | 229,032 |
Barratt Developments PLC | 363,376 | 2,233,360 |
BHP Group PLC, ADR | 48,900 | 2,012,235 |
BP PLC | 918,647 | 3,519,378 |
BP PLC, ADR | 260,061 | 6,064,623 |
British American Tobacco PLC | 124,004 | 4,755,904 |
British American Tobacco, ADR | 5,312 | 206,212 |
British Land Co. PLC (The) | 717,500 | 3,432,137 |
Bunzl PLC | 94,500 | 2,534,784 |
Carnival PLC | 19,076 | 233,346 |
DCC PLC | 76,300 | 6,366,757 |
Glencore PLC(a) | 1,550,603 | 3,303,104 |
HSBC Holdings PLC, ADR | 249,440 | 5,819,435 |
Variable Portfolio Funds | Semiannual Report 2020 | 167 |
Variable Portfolio – Partners International Value Fund, June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
IG Group Holdings PLC | 160,400 | 1,619,736 |
Imperial Brands PLC | 185,600 | 3,533,203 |
Inchcape PLC | 622,800 | 3,784,885 |
Informa PLC | 394,600 | 2,281,476 |
Investec PLC | 163,201 | 327,476 |
J. Sainsbury PLC | 613,588 | 1,587,941 |
Kingfisher PLC | 607,325 | 1,670,866 |
Lloyds Banking Group PLC | 10,643,437 | 4,105,818 |
Melrose Industries PLC | 173,342 | 244,333 |
Ninety One PLC(a) | 104,646 | 268,779 |
Pearson PLC, ADR | 71,052 | 513,706 |
Persimmon PLC(a) | 151,600 | 4,290,517 |
Phoenix Group Holdings PLC | 51,123 | 408,521 |
Royal Bank of Scotland Group PLC | 312,959 | 469,828 |
Royal Bank of Scotland Group PLC, ADR | 149,591 | 456,253 |
Royal Dutch Shell PLC, ADR, Class A | 6,997 | 228,732 |
Royal Dutch Shell PLC, ADR, Class B | 282,991 | 8,617,076 |
Royal Dutch Shell PLC, Class B | 241,675 | 3,663,865 |
Savills PLC | 89,200 | 909,751 |
Smith & Nephew PLC | 228,200 | 4,252,198 |
Standard Chartered PLC | 326,854 | 1,771,809 |
Standard Life Aberdeen PLC | 233,430 | 773,517 |
Tesco PLC | 2,974,600 | 8,366,554 |
Unilever PLC | 194,900 | 10,513,119 |
Vodafone Group PLC | 10,022,183 | 15,932,876 |
WPP PLC | 113,682 | 886,301 |
WPP PLC, ADR | 5,288 | 206,919 |
Total | 141,215,095 | |
Total Common Stocks (Cost $1,078,910,790) | 957,891,063 |
Preferred Stocks 0.8% | |||
Issuer | Shares | Value ($) | |
Germany 0.8% | |||
BMW AG | 11,454 | 556,402 | |
Porsche Automobil Holding SE(a) | 22,025 | 1,275,660 | |
Volkswagen AG | 42,448 | 6,452,099 | |
Total | 8,284,161 | ||
Total Preferred Stocks (Cost $11,108,037) | 8,284,161 |
Rights 0.0% | ||
Issuer | Shares | Value ($) |
Spain 0.0% | ||
REPSOL SA(a) | 35,175 | 17,124 |
Total Rights (Cost $19,484) | 17,124 | |
Money Market Funds 1.7% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(e),(f) | 17,055,013 | 17,055,013 |
Total Money Market Funds (Cost $17,055,013) | 17,055,013 | |
Total Investments in Securities (Cost $1,107,093,324) | 983,247,361 | |
Other Assets & Liabilities, Net | 5,659,218 | |
Net Assets | $988,906,579 |
(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. At June 30, 2020, the total value of these securities amounted to $1,237,044, which represents 0.13% of total net assets. |
(c) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At June 30, 2020, the total value of these securities amounted to $827,204, which represents 0.08% of total net assets. |
(d) | Valuation based on significant unobservable inputs. |
(e) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
168 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners International Value Fund, June 30, 2020 (Unaudited)
(f) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | ||||||||
4,382,395 | 286,701,808 | (274,029,190) | — | 17,055,013 | 2,405 | 19,722 | 17,055,013 |
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). |
Variable Portfolio Funds | Semiannual Report 2020 | 169 |
Variable Portfolio – Partners International Value Fund, June 30, 2020 (Unaudited)
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2020:
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Australia | — | 43,882,370 | — | 43,882,370 |
Austria | — | 388,744 | — | 388,744 |
Belgium | — | 13,245,514 | — | 13,245,514 |
China | 1,798,350 | 4,442,856 | — | 6,241,206 |
Denmark | — | 14,866,496 | — | 14,866,496 |
Finland | — | 2,150,632 | — | 2,150,632 |
France | — | 101,218,137 | — | 101,218,137 |
Germany | 463,015 | 98,430,846 | — | 98,893,861 |
Hong Kong | — | 23,530,281 | 827,203 | 24,357,484 |
Ireland | 5,852,163 | 10,800,576 | — | 16,652,739 |
Isle of Man | — | 2,707,609 | — | 2,707,609 |
Israel | 3,978,033 | 584,347 | — | 4,562,380 |
Italy | 37,765 | 20,771,017 | — | 20,808,782 |
Japan | — | 254,688,448 | — | 254,688,448 |
Netherlands | 5,108,992 | 48,369,587 | — | 53,478,579 |
New Zealand | — | 1,361,033 | — | 1,361,033 |
Norway | — | 8,556,758 | — | 8,556,758 |
Portugal | — | 730,710 | 1 | 730,711 |
Singapore | — | 11,910,536 | — | 11,910,536 |
Spain | 450,823 | 11,277,046 | — | 11,727,869 |
Sweden | — | 24,302,052 | — | 24,302,052 |
Switzerland | 774,347 | 99,169,681 | — | 99,944,028 |
United Kingdom | 24,354,223 | 116,860,872 | — | 141,215,095 |
Total Common Stocks | 42,817,711 | 914,246,148 | 827,204 | 957,891,063 |
Preferred Stocks | ||||
Germany | — | 8,284,161 | — | 8,284,161 |
Total Preferred Stocks | — | 8,284,161 | — | 8,284,161 |
Rights | ||||
Spain | — | 17,124 | — | 17,124 |
Total Rights | — | 17,124 | — | 17,124 |
Money Market Funds | 17,055,013 | — | — | 17,055,013 |
Total Investments in Securities | 59,872,724 | 922,547,433 | 827,204 | 983,247,361 |
170 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners Small Cap Growth Fund, June 30, 2020 (Unaudited)
Common Stocks 98.8% | ||
Issuer | Shares | Value ($) |
Communication Services 0.8% | ||
Diversified Telecommunication Services 0.3% | ||
Cogent Communications Holdings, Inc. | 23,729 | 1,835,675 |
Media 0.5% | ||
Cardlytics, Inc.(a) | 20,500 | 1,434,590 |
TechTarget, Inc.(a) | 55,932 | 1,679,638 |
Total | 3,114,228 | |
Total Communication Services | 4,949,903 | |
Consumer Discretionary 11.4% | ||
Auto Components 0.4% | ||
Fox Factory Holding Corp.(a) | 10,880 | 898,797 |
Stoneridge, Inc.(a) | 73,452 | 1,517,518 |
Total | 2,416,315 | |
Automobiles 0.6% | ||
Thor Industries, Inc. | 31,816 | 3,389,359 |
Diversified Consumer Services 0.5% | ||
Chegg, Inc.(a) | 9,980 | 671,255 |
K12, Inc.(a) | 75,652 | 2,060,760 |
Total | 2,732,015 | |
Hotels, Restaurants & Leisure 2.2% | ||
Cheesecake Factory, Inc. (The) | 42,338 | 970,387 |
Cracker Barrel Old Country Store, Inc. | 14,133 | 1,567,491 |
GAN Ltd.(a) | 60,693 | 1,544,637 |
Lindblad Expeditions Holdings, Inc.(a) | 105,917 | 817,679 |
Papa John’s International, Inc. | 22,200 | 1,762,902 |
Wingstop, Inc. | 46,342 | 6,440,148 |
Total | 13,103,244 | |
Household Durables 2.5% | ||
Installed Building Products, Inc.(a) | 43,438 | 2,987,665 |
iRobot Corp.(a) | 22,761 | 1,909,648 |
LGI Homes, Inc.(a) | 34,756 | 3,059,571 |
Purple Innovation, Inc.(a) | 78,700 | 1,416,600 |
Skyline Champion Corp.(a) | 72,579 | 1,766,573 |
Sonos, Inc.(a) | 152,150 | 2,225,954 |
Universal Electronics, Inc.(a) | 32,979 | 1,544,077 |
Total | 14,910,088 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Internet & Direct Marketing Retail 1.2% | ||
1-800-Flowers.com, Inc., Class A(a) | 83,178 | 1,665,224 |
Fiverr International Ltd.(a) | 33,100 | 2,443,442 |
PetMed Express, Inc. | 44,021 | 1,568,908 |
Shutterstock, Inc. | 41,413 | 1,448,213 |
Total | 7,125,787 | |
Leisure Products 0.4% | ||
YETI Holdings, Inc.(a) | 62,332 | 2,663,446 |
Multiline Retail 0.1% | ||
Ollie’s Bargain Outlet Holdings, Inc.(a) | 8,420 | 822,213 |
Specialty Retail 1.7% | ||
Boot Barn Holdings, Inc.(a) | 114,560 | 2,469,914 |
Five Below, Inc.(a) | 3,506 | 374,826 |
Lithia Motors, Inc., Class A | 15,870 | 2,401,607 |
Monro, Inc. | 54,366 | 2,986,868 |
Sleep Number Corp.(a) | 46,770 | 1,947,503 |
Vroom, Inc.(a) | 3,000 | 156,420 |
Total | 10,337,138 | |
Textiles, Apparel & Luxury Goods 1.8% | ||
Crocs, Inc.(a) | 129,710 | 4,775,922 |
Deckers Outdoor Corp.(a) | 19,960 | 3,919,944 |
G-III Apparel Group Ltd.(a) | 55,626 | 739,270 |
Steven Madden Ltd. | 52,927 | 1,306,768 |
Total | 10,741,904 | |
Total Consumer Discretionary | 68,241,509 | |
Consumer Staples 3.6% | ||
Beverages 0.2% | ||
Boston Beer Co., Inc. (The), Class A(a) | 1,690 | 906,939 |
Food & Staples Retailing 1.6% | ||
Grocery Outlet Holding Corp.(a) | 37,630 | 1,535,304 |
Performance Food Group Co.(a) | 147,836 | 4,307,941 |
Sprouts Farmers Market, Inc.(a) | 88,821 | 2,272,929 |
The Chefs’ Warehouse(a) | 102,530 | 1,392,358 |
Total | 9,508,532 |
Variable Portfolio Funds | Semiannual Report 2020 | 171 |
Variable Portfolio – Partners Small Cap Growth Fund, June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Food Products 1.3% | ||
Freshpet, Inc.(a) | 75,030 | 6,277,010 |
Hostess Brands, Inc.(a) | 118,859 | 1,452,457 |
Total | 7,729,467 | |
Household Products 0.3% | ||
Central Garden & Pet Co., Class A(a) | 58,675 | 1,982,628 |
Personal Products 0.2% | ||
Inter Parfums, Inc. | 24,030 | 1,157,044 |
Total Consumer Staples | 21,284,610 | |
Energy 0.1% | ||
Energy Equipment & Services 0.1% | ||
Core Laboratories NV | 27,000 | 548,640 |
Total Energy | 548,640 | |
Financials 6.7% | ||
Banks 0.2% | ||
Hilltop Holdings, Inc. | 76,028 | 1,402,716 |
Capital Markets 1.9% | ||
Assetmark Financial Holdings, Inc.(a) | 60,864 | 1,660,979 |
Blucora, Inc.(a) | 73,201 | 835,955 |
Cohen & Steers, Inc. | 63,409 | 4,314,982 |
Evercore, Inc., Class A | 29,751 | 1,752,929 |
Stifel Financial Corp. | 62,600 | 2,969,118 |
Total | 11,533,963 | |
Consumer Finance 1.8% | ||
Green Dot Corp., Class A(a) | 35,289 | 1,731,984 |
LendingTree, Inc.(a) | 25,476 | 7,376,066 |
PRA Group, Inc.(a) | 47,952 | 1,853,825 |
Total | 10,961,875 | |
Insurance 2.5% | ||
AMERISAFE, Inc. | 25,139 | 1,537,501 |
CNO Financial Group, Inc. | 90,227 | 1,404,834 |
eHealth, Inc.(a) | 25,100 | 2,465,824 |
Goosehead Insurance, Inc., Class A(a) | 18,143 | 1,363,628 |
Kinsale Capital Group, Inc. | 41,119 | 6,382,080 |
Primerica, Inc. | 14,056 | 1,638,930 |
Selectquote, Inc.(a) | 7,069 | 179,058 |
Total | 14,971,855 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Thrifts & Mortgage Finance 0.3% | ||
Axos Financial, Inc.(a) | 69,612 | 1,537,033 |
Total Financials | 40,407,442 | |
Health Care 31.3% | ||
Biotechnology 10.2% | ||
ACADIA Pharmaceuticals, Inc.(a) | 44,883 | 2,175,479 |
Akebia Therapeutics, Inc.(a) | 119,919 | 1,628,500 |
Arcutis Biotherapeutics, Inc.(a) | 81,982 | 2,479,136 |
Arena Pharmaceuticals, Inc.(a) | 29,900 | 1,882,205 |
Biohaven Pharmaceutical Holding Co., Ltd.(a) | 27,600 | 2,017,836 |
BioSpecifics Technologies Corp.(a) | 17,904 | 1,097,157 |
CareDx, Inc.(a) | 27,549 | 976,061 |
Castle Biosciences, Inc.(a) | 83,038 | 3,129,702 |
Coherus Biosciences, Inc.(a) | 88,642 | 1,583,146 |
Deciphera Pharmaceuticals, Inc.(a) | 24,426 | 1,458,721 |
Dicerna Pharmaceuticals, Inc.(a) | 77,921 | 1,979,193 |
Eagle Pharmaceuticals, Inc.(a) | 32,427 | 1,555,847 |
Emergent Biosolutions, Inc.(a) | 12,600 | 996,408 |
Fate Therapeutics, Inc.(a) | 40,600 | 1,392,986 |
Fusion Pharmaceuticals, Inc.(a) | 2,382 | 41,614 |
Halozyme Therapeutics, Inc.(a) | 258,169 | 6,921,511 |
Insmed, Inc.(a) | 88,993 | 2,450,867 |
Invitae Corp.(a) | 90,560 | 2,743,062 |
Krystal Biotech, Inc.(a) | 28,701 | 1,188,795 |
Natera, Inc.(a) | 109,649 | 5,467,099 |
ORIC Pharmaceuticals, Inc.(a) | 10,998 | 370,963 |
PTC Therapeutics, Inc.(a) | 57,655 | 2,925,415 |
Puma Biotechnology, Inc.(a) | 145,611 | 1,518,723 |
Radius Health, Inc.(a) | 86,031 | 1,172,603 |
REGENXBIO, Inc.(a) | 25,192 | 927,821 |
Retrophin, Inc.(a) | 84,685 | 1,728,421 |
Vanda Pharmaceuticals, Inc.(a) | 81,611 | 933,630 |
Veracyte, Inc.(a) | 66,964 | 1,734,368 |
Vericel Corp.(a) | 274,086 | 3,787,868 |
Voyager Therapeutics, Inc.(a) | 117,784 | 1,486,434 |
Xencor, Inc.(a) | 46,322 | 1,500,370 |
Total | 61,251,941 |
172 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners Small Cap Growth Fund, June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Health Care Equipment & Supplies 8.1% | ||
AtriCure, Inc.(a) | 43,410 | 1,951,280 |
AxoGen, Inc.(a) | 148,397 | 1,371,188 |
Cantel Medical Corp. | 30,840 | 1,364,053 |
Cardiovascular Systems, Inc.(a) | 41,942 | 1,323,270 |
CONMED Corp. | 25,159 | 1,811,196 |
Glaukos Corp.(a) | 16,238 | 623,864 |
Globus Medical, Inc., Class A(a) | 26,421 | 1,260,546 |
Haemonetics Corp.(a) | 17,116 | 1,532,909 |
ICU Medical, Inc.(a) | 17,950 | 3,308,365 |
Integer Holdings Corp.(a) | 32,209 | 2,352,867 |
iRhythm Technologies, Inc.(a) | 37,291 | 4,321,654 |
Mesa Laboratories, Inc. | 1,900 | 411,920 |
Novocure Ltd.(a) | 22,655 | 1,343,442 |
Orthofix Medical, Inc.(a) | 40,794 | 1,305,408 |
OrthoPediatrics Corp.(a) | 54,920 | 2,403,299 |
Progenity, Inc.(a) | 66,801 | 601,209 |
Quidel Corp.(a) | 24,444 | 5,469,101 |
Shockwave Medical, Inc.(a) | 55,081 | 2,609,187 |
SI-BONE, Inc.(a) | 88,590 | 1,412,125 |
Silk Road Medical, Inc.(a) | 21,790 | 912,783 |
Tactile Systems Technology, Inc.(a) | 36,417 | 1,508,756 |
Tandem Diabetes Care, Inc.(a) | 46,784 | 4,627,873 |
Vapotherm, Inc.(a) | 84,600 | 3,467,754 |
Varex Imaging Corp.(a) | 64,322 | 974,478 |
Total | 48,268,527 | |
Health Care Providers & Services 4.8% | ||
Addus HomeCare Corp.(a) | 34,100 | 3,156,296 |
Amedisys, Inc.(a) | 17,439 | 3,462,339 |
AMN Healthcare Services, Inc.(a) | 62,248 | 2,816,099 |
BioTelemetry, Inc.(a) | 69,066 | 3,121,092 |
Fulgent Genetics, Inc.(a) | 97,935 | 1,566,960 |
HealthEquity, Inc.(a) | 56,200 | 3,297,254 |
LHC Group, Inc.(a) | 30,821 | 5,372,717 |
R1 RCM, Inc.(a) | 163,718 | 1,825,456 |
Select Medical Holdings Corp.(a) | 85,646 | 1,261,566 |
U.S. Physical Therapy, Inc. | 34,600 | 2,803,292 |
Total | 28,683,071 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Health Care Technology 2.5% | ||
Health Catalyst, Inc.(a) | 69,809 | 2,036,328 |
HMS Holdings Corp.(a) | 121,999 | 3,951,548 |
Inspire Medical Systems, Inc.(a) | 22,000 | 1,914,440 |
Omnicell, Inc.(a) | 77,971 | 5,506,312 |
Phreesia, Inc.(a) | 64,370 | 1,820,384 |
Total | 15,229,012 | |
Life Sciences Tools & Services 4.4% | ||
Adaptive Biotechnologies Corp.(a) | 23,170 | 1,120,965 |
Bruker Corp. | 87,478 | 3,558,605 |
Codexis, Inc.(a) | 256,046 | 2,918,924 |
Medpace Holdings, Inc.(a) | 59,855 | 5,567,712 |
NeoGenomics, Inc.(a) | 225,215 | 6,977,161 |
Pra Health Sciences, Inc.(a) | 33,328 | 3,242,481 |
Repligen Corp.(a) | 22,203 | 2,744,513 |
Total | 26,130,361 | |
Pharmaceuticals 1.3% | ||
Amphastar Pharmaceuticals, Inc.(a) | 73,764 | 1,656,739 |
Collegium Pharmaceutical, Inc.(a) | 83,391 | 1,459,343 |
MyoKardia, Inc.(a) | 13,310 | 1,286,012 |
Pacira Pharmaceuticals, Inc.(a) | 25,100 | 1,316,997 |
Supernus Pharmaceuticals, Inc.(a) | 87,950 | 2,088,812 |
Total | 7,807,903 | |
Total Health Care | 187,370,815 | |
Industrials 14.9% | ||
Aerospace & Defense 1.7% | ||
Astronics Corp.(a) | 79,000 | 834,240 |
Kratos Defense & Security Solutions, Inc.(a) | 283,460 | 4,430,480 |
Mercury Systems, Inc.(a) | 58,239 | 4,581,079 |
Total | 9,845,799 | |
Air Freight & Logistics 0.9% | ||
Echo Global Logistics, Inc.(a) | 52,399 | 1,132,866 |
Forward Air Corp. | 33,727 | 1,680,279 |
HUB Group, Inc., Class A(a) | 37,432 | 1,791,496 |
Radiant Logistics, Inc.(a) | 181,304 | 712,525 |
Total | 5,317,166 |
Variable Portfolio Funds | Semiannual Report 2020 | 173 |
Variable Portfolio – Partners Small Cap Growth Fund, June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Building Products 0.8% | ||
AZEK Co., Inc. (The)(a) | 6,700 | 213,462 |
Builders FirstSource, Inc.(a) | 104,504 | 2,163,233 |
CSW Industrials, Inc. | 20,690 | 1,429,886 |
Gibraltar Industries, Inc.(a) | 23,993 | 1,151,904 |
Total | 4,958,485 | |
Commercial Services & Supplies 2.0% | ||
Casella Waste Systems, Inc., Class A(a) | 140,710 | 7,333,805 |
Healthcare Services Group, Inc. | 78,062 | 1,909,397 |
Herman Miller, Inc. | 47,304 | 1,116,847 |
Steelcase, Inc., Class A | 130,400 | 1,572,624 |
Total | 11,932,673 | |
Construction & Engineering 0.9% | ||
Dycom Industries, Inc.(a) | 42,059 | 1,719,792 |
EMCOR Group, Inc. | 23,688 | 1,566,724 |
MasTec, Inc.(a) | 47,110 | 2,113,826 |
Total | 5,400,342 | |
Electrical Equipment 0.7% | ||
Atkore International Group, Inc.(a) | 55,856 | 1,527,662 |
TPI Composites, Inc.(a) | 109,141 | 2,550,625 |
Total | 4,078,287 | |
Machinery 3.8% | ||
Albany International Corp., Class A | 38,623 | 2,267,556 |
Astec Industries, Inc. | 30,047 | 1,391,477 |
Chart Industries, Inc.(a) | 55,662 | 2,699,051 |
Mueller Industries, Inc. | 54,703 | 1,454,006 |
Mueller Water Products, Inc., Class A | 166,310 | 1,568,303 |
Proto Labs, Inc.(a) | 33,705 | 3,790,801 |
Rexnord Corp. | 194,220 | 5,661,513 |
Tennant Co. | 30,313 | 1,970,648 |
Watts Water Technologies, Inc., Class A | 21,982 | 1,780,542 |
Total | 22,583,897 | |
Professional Services 2.2% | ||
ASGN, Inc.(a) | 102,670 | 6,846,036 |
Huron Consulting Group, Inc.(a) | 42,506 | 1,880,891 |
Insperity, Inc. | 47,603 | 3,081,342 |
Korn/Ferry International | 51,139 | 1,571,501 |
Total | 13,379,770 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Road & Rail 0.6% | ||
Marten Transport Ltd. | 74,200 | 1,866,872 |
Saia, Inc.(a) | 16,100 | 1,789,998 |
Total | 3,656,870 | |
Trading Companies & Distributors 1.3% | ||
Applied Industrial Technologies, Inc. | 37,001 | 2,308,493 |
Foundation Building Materials, Inc.(a) | 98,641 | 1,539,786 |
SiteOne Landscape Supply, Inc.(a) | 18,740 | 2,135,798 |
Systemax, Inc. | 91,734 | 1,884,216 |
Total | 7,868,293 | |
Total Industrials | 89,021,582 | |
Information Technology 26.1% | ||
Communications Equipment 0.5% | ||
Netscout Systems, Inc.(a) | 61,404 | 1,569,486 |
Viavi Solutions, Inc.(a) | 114,697 | 1,461,240 |
Total | 3,030,726 | |
Electronic Equipment, Instruments & Components 3.7% | ||
Benchmark Electronics, Inc. | 64,486 | 1,392,898 |
ePlus, Inc.(a) | 47,265 | 3,340,690 |
Fabrinet(a) | 40,082 | 2,501,919 |
II-VI, Inc.(a) | 74,942 | 3,538,761 |
Itron, Inc.(a) | 23,713 | 1,570,986 |
Novanta, Inc.(a) | 51,390 | 5,486,910 |
Plexus Corp.(a) | 59,875 | 4,224,780 |
Total | 22,056,944 | |
IT Services 2.6% | ||
Endava PLC, ADR(a) | 47,278 | 2,283,528 |
Evo Payments, Inc., Class A(a) | 109,000 | 2,488,470 |
ExlService Holdings, Inc.(a) | 24,378 | 1,545,565 |
Fastly, Inc.(a) | 18,100 | 1,540,853 |
LiveRamp Holdings, Inc.(a) | 63,461 | 2,695,189 |
TTEC Holdings, Inc. | 38,379 | 1,786,926 |
Virtusa Corp.(a) | 95,971 | 3,116,178 |
Total | 15,456,709 |
174 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners Small Cap Growth Fund, June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Semiconductors & Semiconductor Equipment 5.3% | ||
Advanced Energy Industries, Inc.(a) | 25,116 | 1,702,614 |
Ambarella, Inc.(a) | 39,191 | 1,794,948 |
Brooks Automation, Inc. | 39,206 | 1,734,473 |
Diodes, Inc.(a) | 47,870 | 2,427,009 |
Entegris, Inc. | 54,150 | 3,197,558 |
Formfactor, Inc.(a) | 77,456 | 2,271,784 |
Impinj, Inc.(a) | 48,118 | 1,321,801 |
Inphi Corp.(a) | 27,599 | 3,242,883 |
Photronics, Inc.(a) | 144,872 | 1,612,425 |
Power Integrations, Inc. | 23,194 | 2,739,907 |
Semtech Corp.(a) | 133,293 | 6,960,560 |
Silicon Laboratories, Inc.(a) | 27,666 | 2,774,070 |
Total | 31,780,032 | |
Software 14.0% | ||
Blackline, Inc.(a) | 38,867 | 3,222,463 |
Bottomline Technologies de, Inc.(a) | 35,945 | 1,824,928 |
Box, Inc., Class A(a) | 92,795 | 1,926,424 |
CommVault Systems, Inc.(a) | 44,741 | 1,731,477 |
Cornerstone OnDemand, Inc.(a) | 34,192 | 1,318,444 |
Descartes Systems Group, Inc. (The)(a) | 66,770 | 3,532,133 |
Envestnet, Inc.(a) | 145,632 | 10,709,777 |
Everbridge, Inc.(a) | 20,040 | 2,772,734 |
Five9, Inc.(a) | 21,035 | 2,327,943 |
Globant SA(a) | 9,170 | 1,374,125 |
j2 Global, Inc.(a) | 40,261 | 2,544,898 |
Mimecast Ltd.(a) | 49,540 | 2,063,836 |
New Relic, Inc.(a) | 23,400 | 1,612,260 |
OneSpan, Inc.(a) | 80,939 | 2,260,626 |
Pegasystems, Inc. | 51,073 | 5,167,055 |
PROS Holdings, Inc.(a) | 31,400 | 1,395,102 |
Q2 Holdings, Inc.(a) | 78,068 | 6,697,454 |
Qualys, Inc.(a) | 26,743 | 2,781,807 |
Rapid7, Inc.(a) | 107,110 | 5,464,752 |
Sprout Social, Inc., Class A(a) | 81,592 | 2,202,984 |
SPS Commerce, Inc.(a) | 94,888 | 7,127,987 |
Talend SA, ADR(a) | 114,775 | 3,978,102 |
Tenable Holdings, Inc.(a) | 57,987 | 1,728,593 |
Upland Software, Inc.(a) | 51,694 | 1,796,883 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Verint Systems, Inc.(a) | 71,863 | 3,246,770 |
Workiva, Inc.(a) | 36,486 | 1,951,636 |
Zuora, Inc., Class A(a) | 118,124 | 1,506,081 |
Total | 84,267,274 | |
Total Information Technology | 156,591,685 | |
Materials 1.7% | ||
Chemicals 0.9% | ||
Balchem Corp. | 30,845 | 2,925,957 |
Innospec, Inc. | 21,399 | 1,653,073 |
PQ Group Holdings, Inc.(a) | 41,590 | 550,651 |
Total | 5,129,681 | |
Construction Materials 0.3% | ||
Summit Materials, Inc., Class A(a) | 115,864 | 1,863,093 |
Metals & Mining 0.5% | ||
Carpenter Technology Corp. | 20,513 | 498,056 |
Materion Corp. | 42,547 | 2,616,215 |
Total | 3,114,271 | |
Total Materials | 10,107,045 | |
Real Estate 1.8% | ||
Equity Real Estate Investment Trusts (REITS) 1.8% | ||
CareTrust REIT, Inc. | 79,724 | 1,368,064 |
Community Healthcare Trust, Inc. | 16,200 | 662,580 |
EastGroup Properties, Inc. | 15,741 | 1,867,040 |
QTS Realty Trust Inc., Class A | 106,761 | 6,842,312 |
Total | 10,739,996 | |
Total Real Estate | 10,739,996 | |
Utilities 0.4% | ||
Electric Utilities 0.2% | ||
PNM Resources, Inc. | 30,714 | 1,180,646 |
Independent Power and Renewable Electricity Producers 0.2% | ||
Ormat Technologies, Inc. | 22,260 | 1,413,288 |
Total Utilities | 2,593,934 | |
Total Common Stocks (Cost $530,693,857) | 591,857,161 | |
Variable Portfolio Funds | Semiannual Report 2020 | 175 |
Variable Portfolio – Partners Small Cap Growth Fund, June 30, 2020 (Unaudited)
Money Market Funds 1.2% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(b),(c) | 7,201,271 | 7,201,271 |
Total Money Market Funds (Cost $7,201,498) | 7,201,271 | |
Total Investments in Securities (Cost: $537,895,355) | 599,058,432 | |
Other Assets & Liabilities, Net | 170,851 | |
Net Assets | 599,229,283 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | ||||||||
7,334,418 | 46,254,878 | (46,388,000) | (25) | 7,201,271 | 1,744 | 41,468 | 7,201,271 |
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). |
176 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners Small Cap Growth Fund, June 30, 2020 (Unaudited)
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 4,949,903 | — | — | 4,949,903 |
Consumer Discretionary | 68,241,509 | — | — | 68,241,509 |
Consumer Staples | 21,284,610 | — | — | 21,284,610 |
Energy | 548,640 | — | — | 548,640 |
Financials | 40,407,442 | — | — | 40,407,442 |
Health Care | 187,370,815 | — | — | 187,370,815 |
Industrials | 89,021,582 | — | — | 89,021,582 |
Information Technology | 156,591,685 | — | — | 156,591,685 |
Materials | 10,107,045 | — | — | 10,107,045 |
Real Estate | 10,739,996 | — | — | 10,739,996 |
Utilities | 2,593,934 | — | — | 2,593,934 |
Total Common Stocks | 591,857,161 | — | — | 591,857,161 |
Money Market Funds | 7,201,271 | — | — | 7,201,271 |
Total Investments in Securities | 599,058,432 | — | — | 599,058,432 |
Variable Portfolio Funds | Semiannual Report 2020 | 177 |
June 30, 2020 (Unaudited)
CTIVP® – American Century Diversified Bond Fund | CTIVP® – CenterSquare Real Estate Fund | CTIVP® – Los Angeles Capital Large Cap Growth Fund | CTIVP® – MFS® Value Fund | |
Assets | ||||
Investments in securities, at value | ||||
Unaffiliated issuers (cost $3,162,745,233, $229,145,352, $1,168,844,857, $919,066,453, respectively) | $3,271,271,310 | $221,205,824 | $1,609,146,854 | $1,133,067,300 |
Affiliated issuers (cost $35,271,765, $1,066,422, $7,267,768, $11,062,995, respectively) | 35,271,765 | 1,066,422 | 7,267,768 | 11,062,995 |
Cash | 185,771 | — | — | — |
Foreign currency (cost $3, $—, $—, $26,171, respectively) | 3 | — | — | 26,171 |
Unrealized appreciation on forward foreign currency exchange contracts | 827,449 | — | — | — |
Receivable for: | ||||
Investments sold | 16,063,723 | 576,016 | — | 839,459 |
Investments sold on a delayed delivery basis | 130,265,393 | — | — | — |
Capital shares sold | 150,208 | 158 | 16,730 | — |
Dividends | 8,532 | 837,858 | 531,968 | 1,417,464 |
Interest | 16,779,556 | — | — | — |
Foreign tax reclaims | 45,772 | 2,911 | 555 | 73,712 |
Variation margin for futures contracts | 300,657 | — | — | — |
Total assets | 3,471,170,139 | 223,689,189 | 1,616,963,875 | 1,146,487,101 |
Liabilities | ||||
Due to custodian | — | — | 555 | 29,566 |
Unrealized depreciation on forward foreign currency exchange contracts | 600,999 | — | — | — |
Payable for: | ||||
Investments purchased | 20,911,350 | 888,664 | — | 688,528 |
Investments purchased on a delayed delivery basis | 378,585,441 | — | — | — |
Capital shares purchased | 3,403,212 | 120,974 | 1,795,407 | 3,445,703 |
Variation margin for futures contracts | 77,899 | — | — | — |
Variation margin for swap contracts | 945,589 | — | — | — |
Management services fees | 40,146 | 4,516 | 29,783 | 21,697 |
Distribution and/or service fees | 128 | 166 | 107 | 377 |
Service fees | 1,093 | 315 | 515 | 1,929 |
Compensation of board members | 158,545 | 43,841 | 92,756 | 108,739 |
Compensation of chief compliance officer | 238 | 47 | 192 | 190 |
Other expenses | 33,794 | 24,099 | 29,268 | 36,135 |
Total liabilities | 404,758,434 | 1,082,622 | 1,948,583 | 4,332,864 |
Net assets applicable to outstanding capital stock | $3,066,411,705 | $222,606,567 | $1,615,015,292 | $1,142,154,237 |
Represented by | ||||
Paid in capital | 2,857,675,607 | 174,968,921 | — | — |
Total distributable earnings (loss) | 208,736,098 | 47,637,646 | — | — |
Trust capital | $— | $— | $1,615,015,292 | $1,142,154,237 |
Total - representing net assets applicable to outstanding capital stock | $3,066,411,705 | $222,606,567 | $1,615,015,292 | $1,142,154,237 |
Class 1 | ||||
Net assets | $3,047,680,971 | $198,118,138 | $1,598,962,334 | $1,086,304,175 |
Shares outstanding | 265,329,575 | 23,809,039 | 42,044,149 | 42,848,418 |
Net asset value per share | $11.49 | $8.32 | $38.03 | $25.35 |
Class 2 | ||||
Net assets | $18,730,734 | $24,488,429 | $16,052,958 | $55,850,062 |
Shares outstanding | 1,639,503 | 2,965,252 | 433,176 | 2,258,280 |
Net asset value per share | $11.42 | $8.26 | $37.06 | $24.73 |
178 | Variable Portfolio Funds | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
CTIVP® – Morgan Stanley Advantage Fund | CTIVP® – T. Rowe Price Large Cap Value Fund | CTIVP® – TCW Core Plus Bond Fund | CTIVP® – Wells Fargo Short Duration Government Fund | |
Assets | ||||
Investments in securities, at value | ||||
Unaffiliated issuers (cost $1,376,841,442, $1,385,267,241, $3,052,463,218, $1,526,545,490, respectively) | $2,043,781,910 | $1,344,068,931 | $3,138,291,094 | $1,552,006,960 |
Affiliated issuers (cost $41,527,369, $4,694,217, $385,161,977, $56,721,174, respectively) | 41,527,369 | 4,694,217 | 385,142,032 | 56,720,856 |
Cash | — | — | 278,339 | — |
Foreign currency (cost $1,420, $—, $—, $—, respectively) | 1,385 | — | — | — |
Margin deposits on: | ||||
Futures contracts | — | — | 120,000 | 2,042,000 |
Receivable for: | ||||
Investments sold | 11,933,359 | 7,743,686 | — | 782,590 |
Investments sold on a delayed delivery basis | — | — | 345,054,380 | 66,074,167 |
Capital shares sold | 8,391 | 77 | 207,689 | 346,392 |
Dividends | 300,409 | 2,671,579 | 90,487 | 9,821 |
Interest | — | — | 12,500,480 | 3,963,298 |
Interfund lending | 5,900,000 | — | — | — |
Foreign tax reclaims | — | 158,405 | 41,583 | — |
Variation margin for futures contracts | — | — | 19,250 | 135,477 |
Prepaid expenses | 1 | — | — | — |
Total assets | 2,103,452,824 | 1,359,336,895 | 3,881,745,334 | 1,682,081,561 |
Liabilities | ||||
Due to custodian | — | — | — | 130,000 |
Payable for: | ||||
Investments purchased | — | 562,306 | — | 129,833 |
Investments purchased on a delayed delivery basis | — | — | 701,235,121 | 116,307,383 |
Capital shares purchased | 5,341,328 | 3,355,527 | 3,561,306 | 678,916 |
Variation margin for futures contracts | — | — | 61,375 | — |
Management services fees | 37,513 | 25,433 | 41,503 | 18,088 |
Distribution and/or service fees | 181 | 156 | 114 | 355 |
Service fees | 752 | 767 | 552 | 586 |
Compensation of board members | 97,321 | 110,411 | 118,927 | 103,579 |
Compensation of chief compliance officer | 247 | 223 | 337 | 230 |
Other expenses | 27,738 | 29,540 | 40,548 | 29,526 |
Total liabilities | 5,505,080 | 4,084,363 | 705,059,783 | 117,398,496 |
Net assets applicable to outstanding capital stock | $2,097,947,744 | $1,355,252,532 | $3,176,685,551 | $1,564,683,065 |
Represented by | ||||
Paid in capital | — | — | 2,818,141,764 | 1,463,029,288 |
Total distributable earnings (loss) | — | — | 358,543,787 | 101,653,777 |
Trust capital | $2,097,947,744 | $1,355,252,532 | $— | $— |
Total - representing net assets applicable to outstanding capital stock | $2,097,947,744 | $1,355,252,532 | $3,176,685,551 | $1,564,683,065 |
Class 1 | ||||
Net assets | $2,071,002,311 | $1,332,096,055 | $3,160,069,659 | $1,512,351,446 |
Shares outstanding | 43,928,971 | 62,372,951 | 270,415,186 | 142,709,646 |
Net asset value per share | $47.14 | $21.36 | $11.69 | $10.60 |
Class 2 | ||||
Net assets | $26,945,433 | $23,156,477 | $16,615,892 | $52,331,619 |
Shares outstanding | 586,211 | 1,112,081 | 1,429,291 | 4,965,664 |
Net asset value per share | $45.97 | $20.82 | $11.63 | $10.54 |
Variable Portfolio Funds | Semiannual Report 2020 | 179 |
June 30, 2020 (Unaudited)
CTIVP® – Westfield Mid Cap Growth Fund | Variable Portfolio – Partners Core Bond Fund | Variable Portfolio – Partners International Core Equity Fund | Variable Portfolio – Partners International Growth Fund | |
Assets | ||||
Investments in securities, at value | ||||
Unaffiliated issuers (cost $432,173,767, $4,635,232,645, $2,461,720,216, $911,528,426, respectively) | $546,344,620 | $4,863,439,864 | $2,504,325,793 | $1,016,560,904 |
Affiliated issuers (cost $1,481,614, $148,205,555, $51,817,147, $4,901,514, respectively) | 1,481,614 | 148,199,638 | 51,817,041 | 4,901,514 |
Foreign currency (cost $—, $—, $21,426,406, $188,200, respectively) | — | — | 5,658,720 | 216,254 |
Cash collateral held at broker for: | ||||
TBA | — | 750,000 | — | — |
Margin deposits on: | ||||
Futures contracts | — | — | 3,242,800 | — |
Receivable for: | ||||
Investments sold | — | 42,566,633 | 77,612,786 | — |
Investments sold on a delayed delivery basis | — | 362,962,230 | — | — |
Capital shares sold | — | 228,797 | 122 | — |
Dividends | 104,533 | 65,702 | 3,245,592 | 689,337 |
Interest | — | 18,859,319 | — | — |
Foreign tax reclaims | — | 110,713 | 9,734,011 | 2,786,492 |
Expense reimbursement due from Investment Manager | — | — | — | 289 |
Total assets | 547,930,767 | 5,437,182,896 | 2,655,636,865 | 1,025,154,790 |
Liabilities | ||||
Due to custodian | — | 945,251 | 647 | 64,988 |
Payable for: | ||||
Investments purchased | — | 30,074,170 | 78,756,015 | 352,998 |
Investments purchased on a delayed delivery basis | — | 736,937,770 | — | — |
Capital shares purchased | 379,997 | 3,911,652 | 636,020 | 1,621,925 |
Variation margin for futures contracts | — | — | 57,339 | — |
Management services fees | 11,899 | 59,589 | 54,465 | 24,666 |
Distribution and/or service fees | 163 | 105 | 50 | 233 |
Service fees | 1,206 | 677 | 332 | 2,062 |
Compensation of board members | 58,610 | 154,802 | 106,259 | 102,097 |
Compensation of chief compliance officer | 73 | 449 | 346 | 103 |
Other expenses | 23,696 | 65,569 | 95,612 | 36,536 |
Other liabilities | — | — | 5,599 | — |
Total liabilities | 475,644 | 772,150,034 | 79,712,684 | 2,205,608 |
Net assets applicable to outstanding capital stock | $547,455,123 | $4,665,032,862 | $2,575,924,181 | $1,022,949,182 |
Represented by | ||||
Paid in capital | — | 4,175,536,119 | 2,704,384,374 | 889,541,135 |
Total distributable earnings (loss) | — | 489,496,743 | (128,460,193) | 133,408,047 |
Trust capital | $547,455,123 | $— | $— | $— |
Total - representing net assets applicable to outstanding capital stock | $547,455,123 | $4,665,032,862 | $2,575,924,181 | $1,022,949,182 |
Class 1 | ||||
Net assets | $523,189,861 | $4,649,805,939 | $2,568,524,834 | $988,364,056 |
Shares outstanding | 16,347,469 | 393,329,657 | 261,479,708 | 89,528,458 |
Net asset value per share | $32.00 | $11.82 | $9.82 | $11.04 |
Class 2 | ||||
Net assets | $24,265,262 | $15,226,923 | $7,399,347 | $34,585,126 |
Shares outstanding | 778,562 | 1,295,857 | 758,797 | 3,150,149 |
Net asset value per share | $31.17 | $11.75 | $9.75 | $10.98 |
180 | Variable Portfolio Funds | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Variable Portfolio – Partners International Value Fund | Variable Portfolio – Partners Small Cap Growth Fund | |
Assets | ||
Investments in securities, at value | ||
Unaffiliated issuers (cost $1,090,038,311, $530,693,857, respectively) | $966,192,348 | $591,857,161 |
Affiliated issuers (cost $17,055,013, $7,201,498, respectively) | 17,055,013 | 7,201,271 |
Foreign currency (cost $1,187,741, $—, respectively) | 1,185,042 | — |
Receivable for: | ||
Investments sold | — | 807,688 |
Capital shares sold | 14,949 | — |
Dividends | 1,570,987 | 130,481 |
Foreign tax reclaims | 4,545,929 | — |
Expense reimbursement due from Investment Manager | 963 | 143 |
Total assets | 990,565,231 | 599,996,744 |
Liabilities | ||
Payable for: | ||
Investments purchased | — | 548,397 |
Capital shares purchased | 1,518,729 | 128,287 |
Management services fees | 22,830 | 13,855 |
Distribution and/or service fees | 119 | 79 |
Service fees | 1,447 | 546 |
Compensation of board members | 87,976 | 51,835 |
Compensation of chief compliance officer | 98 | 80 |
Other expenses | 23,255 | 24,382 |
Other liabilities | 4,198 | — |
Total liabilities | 1,658,652 | 767,461 |
Net assets applicable to outstanding capital stock | $988,906,579 | $599,229,283 |
Represented by | ||
Paid in capital | 1,232,688,047 | — |
Total distributable earnings (loss) | (243,781,468) | — |
Trust capital | $— | $599,229,283 |
Total - representing net assets applicable to outstanding capital stock | $988,906,579 | $599,229,283 |
Class 1 | ||
Net assets | $971,371,952 | $587,488,978 |
Shares outstanding | 129,102,402 | 23,329,930 |
Net asset value per share | $7.52 | $25.18 |
Class 2 | ||
Net assets | $17,534,627 | $11,740,305 |
Shares outstanding | 2,338,519 | 478,278 |
Net asset value per share | $7.50 | $24.55 |
Variable Portfolio Funds | Semiannual Report 2020 | 181 |
Six Months Ended June 30, 2020 (Unaudited)
CTIVP® – American Century Diversified Bond Fund | CTIVP® – CenterSquare Real Estate Fund | CTIVP® – Los Angeles Capital Large Cap Growth Fund | CTIVP® – MFS® Value Fund | |
Net investment income | ||||
Income: | ||||
Dividends — unaffiliated issuers | $261,060 | $4,484,685 | $8,764,973 | $15,882,643 |
Dividends — affiliated issuers | 489,106 | 17,070 | 74,171 | 46,836 |
Interest | 38,653,351 | — | — | — |
Interfund lending | 1,921 | — | — | — |
Foreign taxes withheld | — | (239) | — | (366,377) |
Total income | 39,405,438 | 4,501,516 | 8,839,144 | 15,563,102 |
Expenses: | ||||
Management services fees | 7,335,265 | 1,016,592 | 5,400,334 | 4,349,811 |
Distribution and/or service fees | ||||
Class 2 | 23,278 | 32,858 | 17,896 | 70,965 |
Service fees | 5,789 | 7,001 | 4,071 | 16,572 |
Compensation of board members | 18,643 | 5,622 | 12,294 | 9,652 |
Custodian fees | 16,882 | 5,898 | 6,849 | 13,265 |
Printing and postage fees | 4,029 | 6,136 | 3,615 | 12,338 |
Audit fees | 14,669 | 14,669 | 14,669 | 14,669 |
Legal fees | 18,995 | 5,434 | 11,838 | 10,361 |
Line of credit interest | — | — | — | 224 |
Interest on collateral | 804 | — | — | — |
Interest on interfund lending | — | — | 14 | 1,307 |
Compensation of chief compliance officer | 365 | 47 | 206 | 149 |
Other | 17,521 | 5,155 | 14,151 | 12,574 |
Total expenses | 7,456,240 | 1,099,412 | 5,485,937 | 4,511,887 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | — | — | — | (7,947) |
Total net expenses | 7,456,240 | 1,099,412 | 5,485,937 | 4,503,940 |
Net investment income | 31,949,198 | 3,402,104 | 3,353,207 | 11,059,162 |
Realized and unrealized gain (loss) — net | ||||
Net realized gain (loss) on: | ||||
Investments — unaffiliated issuers | 38,205,483 | 18,091,775 | 157,637,547 | 75,342,639 |
Investments — affiliated issuers | 3,771 | 993 | 3,012 | 3,493 |
Foreign currency translations | — | 26 | — | (21,582) |
Forward foreign currency exchange contracts | 1,736,052 | — | — | — |
Futures contracts | 8,170,137 | — | — | — |
Swap contracts | 6,404,190 | — | — | — |
Net realized gain | 54,519,633 | 18,092,794 | 157,640,559 | 75,324,550 |
Net change in unrealized appreciation (depreciation) on: | ||||
Investments — unaffiliated issuers | 48,045,130 | (56,210,291) | (4,389,633) | (279,959,929) |
Investments — affiliated issuers | — | 32 | 603 | 281 |
Foreign currency translations | — | (54) | — | (176) |
Forward foreign currency exchange contracts | 24,535 | — | — | — |
Futures contracts | (999,475) | — | — | — |
Swap contracts | (4,039,744) | — | — | — |
Net change in unrealized appreciation (depreciation) | 43,030,446 | (56,210,313) | (4,389,030) | (279,959,824) |
Net realized and unrealized gain (loss) | 97,550,079 | (38,117,519) | 153,251,529 | (204,635,274) |
Net increase (decrease) in net assets resulting from operations | $129,499,277 | $(34,715,415) | $156,604,736 | $(193,576,112) |
182 | Variable Portfolio Funds | Semiannual Report 2020 |
Six Months Ended June 30, 2020 (Unaudited)
CTIVP® – Morgan Stanley Advantage Fund | CTIVP® – T. Rowe Price Large Cap Value Fund | CTIVP® – TCW Core Plus Bond Fund | CTIVP® – Wells Fargo Short Duration Government Fund | |
Net investment income | ||||
Income: | ||||
Dividends — unaffiliated issuers | $2,353,003 | $23,916,065 | $— | $— |
Dividends — affiliated issuers | 212,562 | 110,554 | 1,528,689 | 169,362 |
Interest | — | — | 35,966,323 | 16,201,887 |
Foreign taxes withheld | (28,953) | (623,471) | (4,449) | — |
Total income | 2,536,612 | 23,403,148 | 37,490,563 | 16,371,249 |
Expenses: | ||||
Management services fees | 6,385,109 | 5,096,483 | 7,435,989 | 3,262,005 |
Distribution and/or service fees | ||||
Class 2 | 25,255 | 29,079 | 17,539 | 48,651 |
Service fees | 5,695 | 6,754 | 4,077 | 10,096 |
Compensation of board members | 14,129 | 11,432 | 20,551 | 11,776 |
Custodian fees | 9,221 | 9,066 | 19,592 | 7,662 |
Printing and postage fees | 4,148 | 5,379 | 3,049 | 6,419 |
Audit fees | 15,365 | 14,669 | 20,053 | 14,669 |
Legal fees | 13,285 | 11,687 | 19,044 | 11,659 |
Interest on interfund lending | 1,398 | — | — | — |
Compensation of chief compliance officer | 233 | 193 | 309 | 139 |
Other | 17,059 | 33,425 | 20,449 | 14,257 |
Total expenses | 6,490,897 | 5,218,167 | 7,560,652 | 3,387,333 |
Net investment income (loss) | (3,954,285) | 18,184,981 | 29,929,911 | 12,983,916 |
Realized and unrealized gain (loss) — net | ||||
Net realized gain (loss) on: | ||||
Investments — unaffiliated issuers | 318,084,732 | 8,544,974 | 90,126,048 | 9,681,222 |
Investments — affiliated issuers | 1,971 | 8,618 | (138,128) | 4,317 |
Foreign currency translations | (17,699) | 2,301 | 253 | — |
Forward foreign currency exchange contracts | — | — | 802,104 | — |
Futures contracts | — | — | 26,732,176 | 4,422,123 |
Net realized gain | 318,069,004 | 8,555,893 | 117,522,453 | 14,107,662 |
Net change in unrealized appreciation (depreciation) on: | ||||
Investments — unaffiliated issuers | 277,170,663 | (342,372,172) | 36,447,687 | 20,471,807 |
Investments — affiliated issuers | 563 | 2,081 | (18,542) | (318) |
Foreign currency translations | (917) | (15) | — | — |
Forward foreign currency exchange contracts | — | — | (453,691) | — |
Futures contracts | — | — | 2,184,417 | (480,314) |
Net change in unrealized appreciation (depreciation) | 277,170,309 | (342,370,106) | 38,159,871 | 19,991,175 |
Net realized and unrealized gain (loss) | 595,239,313 | (333,814,213) | 155,682,324 | 34,098,837 |
Net increase (decrease) in net assets resulting from operations | $591,285,028 | $(315,629,232) | $185,612,235 | $47,082,753 |
Variable Portfolio Funds | Semiannual Report 2020 | 183 |
Six Months Ended June 30, 2020 (Unaudited)
CTIVP® – Westfield Mid Cap Growth Fund | Variable Portfolio – Partners Core Bond Fund | Variable Portfolio – Partners International Core Equity Fund | Variable Portfolio – Partners International Growth Fund | |
Net investment income | ||||
Income: | ||||
Dividends — unaffiliated issuers | $1,583,371 | $— | $45,756,245 | $7,127,249 |
Dividends — affiliated issuers | 38,614 | 1,093,572 | 334,599 | 97,638 |
Interest | — | 55,729,475 | 15,925 | — |
Interfund lending | 20 | 724 | 42 | — |
Foreign taxes withheld | (13,865) | (11,950) | (4,743,852) | (753,430) |
Total income | 1,608,140 | 56,811,821 | 41,362,959 | 6,471,457 |
Expenses: | ||||
Management services fees | 2,146,398 | 10,321,421 | 9,871,831 | 4,337,574 |
Distribution and/or service fees | ||||
Class 2 | 29,287 | 17,029 | 8,981 | 40,196 |
Service fees | 7,092 | 4,047 | 2,188 | 9,745 |
Compensation of board members | 6,223 | 23,913 | 18,387 | 7,317 |
Custodian fees | 5,575 | 37,396 | 156,044 | 58,096 |
Printing and postage fees | 5,430 | 4,910 | 4,123 | 7,770 |
Audit fees | 14,669 | 32,077 | 53,316 | 54,051 |
Legal fees | 6,405 | 24,787 | 16,732 | 8,601 |
Interest on collateral | — | 14 | — | — |
Interest on interfund lending | 7 | — | — | — |
Compensation of chief compliance officer | 57 | 424 | 297 | 122 |
Other | 5,960 | 26,039 | 21,595 | 18,225 |
Total expenses | 2,227,103 | 10,492,057 | 10,153,494 | 4,541,697 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | — | — | — | (36,338) |
Total net expenses | 2,227,103 | 10,492,057 | 10,153,494 | 4,505,359 |
Net investment income (loss) | (618,963) | 46,319,764 | 31,209,465 | 1,966,098 |
Realized and unrealized gain (loss) — net | ||||
Net realized gain (loss) on: | ||||
Investments — unaffiliated issuers | 6,176,094 | 92,081,468 | (176,275,227) | 27,935,090 |
Investments — affiliated issuers | 7,516 | 71,069 | 19,258 | 3,249 |
Foreign currency translations | — | — | (1,882,697) | (317,342) |
Futures contracts | — | — | (4,681,658) | — |
Net realized gain (loss) | 6,183,610 | 92,152,537 | (182,820,324) | 27,620,997 |
Net change in unrealized appreciation (depreciation) on: | ||||
Investments — unaffiliated issuers | (7,488,827) | 117,031,282 | (146,382,239) | (59,225,231) |
Investments — affiliated issuers | — | (3,555) | 4,184 | — |
Foreign currency translations | — | — | 33,229 | 46,737 |
Futures contracts | — | — | 427,986 | — |
Net change in unrealized appreciation (depreciation) | (7,488,827) | 117,027,727 | (145,916,840) | (59,178,494) |
Net realized and unrealized gain (loss) | (1,305,217) | 209,180,264 | (328,737,164) | (31,557,497) |
Net increase (decrease) in net assets resulting from operations | $(1,924,180) | $255,500,028 | $(297,527,699) | $(29,591,399) |
184 | Variable Portfolio Funds | Semiannual Report 2020 |
Six Months Ended June 30, 2020 (Unaudited)
Variable Portfolio – Partners International Value Fund | Variable Portfolio – Partners Small Cap Growth Fund | |
Net investment income | ||
Income: | ||
Dividends — unaffiliated issuers | $14,801,857 | $1,108,205 |
Dividends — affiliated issuers | 19,722 | 41,468 |
Interfund lending | 63 | — |
Foreign taxes withheld | (1,469,189) | (1,009) |
Total income | 13,352,453 | 1,148,664 |
Expenses: | ||
Management services fees | 3,636,541 | 2,337,297 |
Distribution and/or service fees | ||
Class 2 | 23,143 | 12,913 |
Service fees | 5,901 | 3,067 |
Compensation of board members | 7,209 | 6,530 |
Custodian fees | 48,725 | 8,617 |
Printing and postage fees | 3,838 | 4,202 |
Audit fees | 44,982 | 14,669 |
Legal fees | 8,079 | 6,411 |
Compensation of chief compliance officer | 113 | 55 |
Other | 12,507 | 8,695 |
Total expenses | 3,791,038 | 2,402,456 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (95,362) | (20,604) |
Total net expenses | 3,695,676 | 2,381,852 |
Net investment income (loss) | 9,656,777 | (1,233,188) |
Realized and unrealized gain (loss) — net | ||
Net realized gain (loss) on: | ||
Investments — unaffiliated issuers | (123,992,934) | 13,572,089 |
Investments — affiliated issuers | 2,405 | 1,744 |
Foreign currency translations | (36,217) | — |
Net realized gain (loss) | (124,026,746) | 13,573,833 |
Net change in unrealized appreciation (depreciation) on: | ||
Investments — unaffiliated issuers | (111,114,965) | (12,395,845) |
Investments — affiliated issuers | — | (25) |
Foreign currency translations | 66,065 | — |
Net change in unrealized appreciation (depreciation) | (111,048,900) | (12,395,870) |
Net realized and unrealized gain (loss) | (235,075,646) | 1,177,963 |
Net decrease in net assets resulting from operations | $(225,418,869) | $(55,225) |
Variable Portfolio Funds | Semiannual Report 2020 | 185 |
CTIVP® – American Century Diversified Bond Fund | CTIVP® – CenterSquare Real Estate Fund | |||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||||
Net investment income | $31,949,198 | $61,945,269 | $3,402,104 | $10,372,607 |
Net realized gain | 54,519,633 | 24,314,151 | 18,092,794 | 32,779,377 |
Net change in unrealized appreciation (depreciation) | 43,030,446 | 104,075,182 | (56,210,313) | 69,340,489 |
Net increase (decrease) in net assets resulting from operations | 129,499,277 | 190,334,602 | (34,715,415) | 112,492,473 |
Distributions to shareholders | ||||
Net investment income and net realized gains | ||||
Class 1 | — | (115,409,086) | — | (8,795,167) |
Class 2 | — | (878,027) | — | (452,916) |
Total distributions to shareholders | — | (116,287,113) | — | (9,248,083) |
Increase (decrease) in net assets from capital stock activity | 17,536,511 | 839,918,857 | (281,842,970) | 9,402,580 |
Total increase (decrease) in net assets | 147,035,788 | 913,966,346 | (316,558,385) | 112,646,970 |
Net assets at beginning of period | 2,919,375,917 | 2,005,409,571 | 539,164,952 | 426,517,982 |
Net assets at end of period | $3,066,411,705 | $2,919,375,917 | $222,606,567 | $539,164,952 |
CTIVP® – American Century Diversified Bond Fund | CTIVP® – CenterSquare Real Estate Fund | |||||||
Six Months Ended | Year Ended | Six Months Ended | Year Ended | |||||
June 30, 2020 (Unaudited) | December 31, 2019 | June 30, 2020 (Unaudited) | December 31, 2019 | |||||
Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||||||
Class 1 | ||||||||
Subscriptions | 28,990,290 | 322,993,476 | 97,039,092 | 1,062,030,439 | 16,677 | 144,377 | 24,062 | 231,848 |
Distributions reinvested | — | — | 10,725,752 | 115,409,086 | — | — | 960,171 | 8,795,167 |
Redemptions | (27,203,816) | (304,701,522) | (31,217,452) | (342,673,000) | (27,883,998) | (280,929,196) | (1,927) | (18,282) |
Net increase (decrease) | 1,786,474 | 18,291,954 | 76,547,392 | 834,766,525 | (27,867,321) | (280,784,819) | 982,306 | 9,008,733 |
Class 2 | ||||||||
Subscriptions | 114,716 | 1,281,788 | 519,107 | 5,672,160 | 108,345 | 875,316 | 282,522 | 2,688,188 |
Distributions reinvested | — | — | 81,829 | 878,027 | — | — | 49,662 | 452,916 |
Redemptions | (182,360) | (2,037,231) | (128,195) | (1,397,855) | (238,762) | (1,933,467) | (298,192) | (2,747,257) |
Net increase (decrease) | (67,644) | (755,443) | 472,741 | 5,152,332 | (130,417) | (1,058,151) | 33,992 | 393,847 |
Total net increase (decrease) | 1,718,830 | 17,536,511 | 77,020,133 | 839,918,857 | (27,997,738) | (281,842,970) | 1,016,298 | 9,402,580 |
186 | Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund | CTIVP® – MFS® Value Fund | |||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||||
Net investment income | $3,353,207 | $8,445,789 | $11,059,162 | $25,964,043 |
Net realized gain | 157,640,559 | 122,386,458 | 75,324,550 | 182,631,264 |
Net change in unrealized appreciation (depreciation) | (4,389,030) | 377,748,339 | (279,959,824) | 217,733,215 |
Net increase (decrease) in net assets resulting from operations | 156,604,736 | 508,580,586 | (193,576,112) | 426,328,522 |
Decrease in net assets from capital stock activity | (571,055,753) | (59,644,246) | (221,844,990) | (502,000,293) |
Total increase (decrease) in net assets | (414,451,017) | 448,936,340 | (415,421,102) | (75,671,771) |
Net assets at beginning of period | 2,029,466,309 | 1,580,529,969 | 1,557,575,339 | 1,633,247,110 |
Net assets at end of period | $1,615,015,292 | $2,029,466,309 | $1,142,154,237 | $1,557,575,339 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund | CTIVP® – MFS® Value Fund | |||||||
Six Months Ended | Year Ended | Six Months Ended | Year Ended | |||||
June 30, 2020 (Unaudited) | December 31, 2019 | June 30, 2020 (Unaudited) | December 31, 2019 | |||||
Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||||||
Class 1 | ||||||||
Subscriptions | 246,855 | 7,655,286 | 367,160 | 11,380,219 | 11,593,100 | 338,445,417 | 238,495 | 6,302,198 |
Redemptions | (16,008,973) | (578,844,251) | (2,266,904) | (70,741,772) | (19,960,128) | (560,565,723) | (19,731,939) | (513,539,610) |
Net decrease | (15,762,118) | (571,188,965) | (1,899,744) | (59,361,553) | (8,367,028) | (222,120,306) | (19,493,444) | (507,237,412) |
Class 2 | ||||||||
Subscriptions | 25,693 | 851,344 | 37,214 | 1,122,836 | 147,763 | 3,604,790 | 326,349 | 8,502,301 |
Redemptions | (24,394) | (718,132) | (46,086) | (1,405,529) | (135,505) | (3,329,474) | (127,957) | (3,265,182) |
Net increase (decrease) | 1,299 | 133,212 | (8,872) | (282,693) | 12,258 | 275,316 | 198,392 | 5,237,119 |
Total net decrease | (15,760,819) | (571,055,753) | (1,908,616) | (59,644,246) | (8,354,770) | (221,844,990) | (19,295,052) | (502,000,293) |
Variable Portfolio Funds | Semiannual Report 2020 | 187 |
CTIVP® – Morgan Stanley Advantage Fund | CTIVP® – T. Rowe Price Large Cap Value Fund | |||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||||
Net investment income (loss) | $(3,954,285) | $(1,266,065) | $18,184,981 | $43,349,140 |
Net realized gain | 318,069,004 | 282,297,583 | 8,555,893 | 113,613,420 |
Net change in unrealized appreciation (depreciation) | 277,170,309 | 234,645,356 | (342,370,106) | 317,456,413 |
Net increase (decrease) in net assets resulting from operations | 591,285,028 | 515,676,874 | (315,629,232) | 474,418,973 |
Decrease in net assets from capital stock activity | (857,724,437) | (58,339,863) | (344,356,127) | (419,205,872) |
Total increase (decrease) in net assets | (266,439,409) | 457,337,011 | (659,985,359) | 55,213,101 |
Net assets at beginning of period | 2,364,387,153 | 1,907,050,142 | 2,015,237,891 | 1,960,024,790 |
Net assets at end of period | $2,097,947,744 | $2,364,387,153 | $1,355,252,532 | $2,015,237,891 |
CTIVP® – Morgan Stanley Advantage Fund | CTIVP® – T. Rowe Price Large Cap Value Fund | |||||||
Six Months Ended | Year Ended | Six Months Ended | Year Ended | |||||
June 30, 2020 (Unaudited) | December 31, 2019 | June 30, 2020 (Unaudited) | December 31, 2019 | |||||
Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||||||
Class 1 | ||||||||
Subscriptions | 594,910 | 19,224,294 | 2,551,930 | 87,028,483 | 5,425,520 | 113,156,138 | 4,033,809 | 94,788,787 |
Redemptions | (22,607,235) | (878,563,077) | (4,321,445) | (147,525,817) | (18,961,392) | (458,350,554) | (21,894,664) | (515,929,463) |
Net decrease | (22,012,325) | (859,338,783) | (1,769,515) | (60,497,334) | (13,535,872) | (345,194,416) | (17,860,855) | (421,140,676) |
Class 2 | ||||||||
Subscriptions | 90,775 | 3,589,968 | 158,829 | 5,227,126 | 109,438 | 2,329,475 | 193,911 | 4,511,698 |
Redemptions | (56,132) | (1,975,622) | (91,493) | (3,069,655) | (71,120) | (1,491,186) | (112,132) | (2,576,894) |
Net increase | 34,643 | 1,614,346 | 67,336 | 2,157,471 | 38,318 | 838,289 | 81,779 | 1,934,804 |
Total net decrease | (21,977,682) | (857,724,437) | (1,702,179) | (58,339,863) | (13,497,554) | (344,356,127) | (17,779,076) | (419,205,872) |
188 | Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – TCW Core Plus Bond Fund | CTIVP® – Wells Fargo Short Duration Government Fund | |||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||||
Net investment income | $29,929,911 | $73,258,477 | $12,983,916 | $45,141,524 |
Net realized gain | 117,522,453 | 98,236,894 | 14,107,662 | 19,775,460 |
Net change in unrealized appreciation (depreciation) | 38,159,871 | 64,674,065 | 19,991,175 | 4,223,327 |
Net increase in net assets resulting from operations | 185,612,235 | 236,169,436 | 47,082,753 | 69,140,311 |
Distributions to shareholders | ||||
Net investment income and net realized gains | ||||
Class 1 | — | (74,637,337) | — | (20,494,923) |
Class 2 | — | (232,202) | — | (226,890) |
Total distributions to shareholders | — | (74,869,539) | — | (20,721,813) |
Increase (decrease) in net assets from capital stock activity | 170,184,374 | (63,281,170) | (16,812,572) | (483,703,277) |
Total increase (decrease) in net assets | 355,796,609 | 98,018,727 | 30,270,181 | (435,284,779) |
Net assets at beginning of period | 2,820,888,942 | 2,722,870,215 | 1,534,412,884 | 1,969,697,663 |
Net assets at end of period | $3,176,685,551 | $2,820,888,942 | $1,564,683,065 | $1,534,412,884 |
CTIVP® – TCW Core Plus Bond Fund | CTIVP® – Wells Fargo Short Duration Government Fund | |||||||
Six Months Ended | Year Ended | Six Months Ended | Year Ended | |||||
June 30, 2020 (Unaudited) | December 31, 2019 | June 30, 2020 (Unaudited) | December 31, 2019 | |||||
Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||||||
Class 1 | ||||||||
Subscriptions | 34,767,137 | 388,371,511 | 14,400,724 | 156,536,197 | 682,942 | 7,135,785 | 2,240,976 | 22,814,492 |
Distributions reinvested | — | — | 6,949,472 | 74,637,337 | — | — | 2,015,233 | 20,494,923 |
Redemptions | (19,522,557) | (221,835,771) | (27,617,067) | (298,097,553) | (4,357,573) | (45,562,529) | (51,749,834) | (530,609,050) |
Net increase (decrease) | 15,244,580 | 166,535,740 | (6,266,871) | (66,924,019) | (3,674,631) | (38,426,744) | (47,493,625) | (487,299,635) |
Class 2 | ||||||||
Subscriptions | 385,916 | 4,355,597 | 393,355 | 4,259,003 | 2,401,352 | 25,052,129 | 917,755 | 9,297,102 |
Distributions reinvested | — | — | 21,681 | 232,202 | — | — | 22,376 | 226,890 |
Redemptions | (62,538) | (706,963) | (78,593) | (848,356) | (330,904) | (3,437,957) | (584,391) | (5,927,634) |
Net increase | 323,378 | 3,648,634 | 336,443 | 3,642,849 | 2,070,448 | 21,614,172 | 355,740 | 3,596,358 |
Total net increase (decrease) | 15,567,958 | 170,184,374 | (5,930,428) | (63,281,170) | (1,604,183) | (16,812,572) | (47,137,885) | (483,703,277) |
Variable Portfolio Funds | Semiannual Report 2020 | 189 |
CTIVP® – Westfield Mid Cap Growth Fund | Variable Portfolio – Partners Core Bond Fund | |||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||||
Net investment income (loss) | $(618,963) | $1,428,599 | $46,319,764 | $97,378,623 |
Net realized gain | 6,183,610 | 85,890,797 | 92,152,537 | 87,186,762 |
Net change in unrealized appreciation (depreciation) | (7,488,827) | 113,670,885 | 117,027,727 | 113,220,278 |
Net increase (decrease) in net assets resulting from operations | (1,924,180) | 200,990,281 | 255,500,028 | 297,785,663 |
Distributions to shareholders | ||||
Net investment income and net realized gains | ||||
Class 1 | — | — | — | (87,417,075) |
Class 2 | — | — | — | (218,895) |
Total distributions to shareholders | — | — | — | (87,635,970) |
Increase (decrease) in net assets from capital stock activity | (32,487,242) | (129,185,647) | 638,188,464 | 16,601,795 |
Total increase (decrease) in net assets | (34,411,422) | 71,804,634 | 893,688,492 | 226,751,488 |
Net assets at beginning of period | 581,866,545 | 510,061,911 | 3,771,344,370 | 3,544,592,882 |
Net assets at end of period | $547,455,123 | $581,866,545 | $4,665,032,862 | $3,771,344,370 |
CTIVP® – Westfield Mid Cap Growth Fund | Variable Portfolio – Partners Core Bond Fund | |||||||
Six Months Ended | Year Ended | Six Months Ended | Year Ended | |||||
June 30, 2020 (Unaudited) | December 31, 2019 | June 30, 2020 (Unaudited) | December 31, 2019 | |||||
Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||||||
Class 1 | ||||||||
Subscriptions | 178,110 | 4,676,322 | 67,451 | 1,920,149 | 78,086,477 | 887,721,244 | 22,532,382 | 249,021,037 |
Distributions reinvested | — | — | — | — | — | — | 8,027,279 | 87,417,075 |
Redemptions | (1,100,154) | (35,746,270) | (4,524,809) | (131,362,216) | (21,905,821) | (252,260,038) | (29,429,770) | (321,681,520) |
Net increase (decrease) | (922,044) | (31,069,948) | (4,457,358) | (129,442,067) | 56,180,656 | 635,461,206 | 1,129,891 | 14,756,592 |
Class 2 | ||||||||
Subscriptions | 25,543 | 728,059 | 84,358 | 2,341,547 | 357,996 | 4,091,086 | 241,827 | 2,654,205 |
Distributions reinvested | — | — | — | — | — | — | 20,175 | 218,895 |
Redemptions | (77,002) | (2,145,353) | (75,897) | (2,085,127) | (118,227) | (1,363,828) | (94,160) | (1,027,897) |
Net increase (decrease) | (51,459) | (1,417,294) | 8,461 | 256,420 | 239,769 | 2,727,258 | 167,842 | 1,845,203 |
Total net increase (decrease) | (973,503) | (32,487,242) | (4,448,897) | (129,185,647) | 56,420,425 | 638,188,464 | 1,297,733 | 16,601,795 |
190 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners International Core Equity Fund | Variable Portfolio – Partners International Growth Fund | |||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||||
Net investment income | $31,209,465 | $82,261,716 | $1,966,098 | $7,832,994 |
Net realized gain (loss) | (182,820,324) | 4,899,844 | 27,620,997 | 14,809,456 |
Net change in unrealized appreciation (depreciation) | (145,916,840) | 419,847,523 | (59,178,494) | 185,443,297 |
Net increase (decrease) in net assets resulting from operations | (297,527,699) | 507,009,083 | (29,591,399) | 208,085,747 |
Distributions to shareholders | ||||
Net investment income and net realized gains | ||||
Class 1 | (14,014,160) | (131,224,072) | (13,141,970) | (36,558,331) |
Class 2 | (40,703) | (316,961) | (418,968) | (1,423,605) |
Total distributions to shareholders | (14,054,863) | (131,541,033) | (13,560,938) | (37,981,936) |
Increase (decrease) in net assets from capital stock activity | (14,627,045) | (247,041,245) | (27,120,748) | 99,811,028 |
Total increase (decrease) in net assets | (326,209,607) | 128,426,805 | (70,273,085) | 269,914,839 |
Net assets at beginning of period | 2,902,133,788 | 2,773,706,983 | 1,093,222,267 | 823,307,428 |
Net assets at end of period | $2,575,924,181 | $2,902,133,788 | $1,022,949,182 | $1,093,222,267 |
Variable Portfolio – Partners International Core Equity Fund | Variable Portfolio – Partners International Growth Fund | |||||||
Six Months Ended | Year Ended | Six Months Ended | Year Ended | |||||
June 30, 2020 (Unaudited) | December 31, 2019 | June 30, 2020 (Unaudited) | December 31, 2019 | |||||
Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||||||
Class 1 | ||||||||
Subscriptions | 11,146,607 | 107,232,349 | 2,298,808 | 23,828,550 | 11,968,756 | 130,971,007 | 23,141,178 | 255,960,862 |
Distributions reinvested | 1,520,718 | 14,014,160 | 12,465,920 | 131,224,072 | 1,228,639 | 13,141,970 | 3,502,691 | 36,558,331 |
Redemptions | (13,578,347) | (135,884,087) | (37,595,492) | (402,477,631) | (15,943,439) | (171,758,205) | (18,245,663) | (192,110,566) |
Net increase (decrease) | (911,022) | (14,637,578) | (22,830,764) | (247,425,009) | (2,746,044) | (27,645,228) | 8,398,206 | 100,408,627 |
Class 2 | ||||||||
Subscriptions | 62,799 | 557,086 | 113,775 | 1,184,063 | 248,021 | 2,486,320 | 218,143 | 2,265,279 |
Distributions reinvested | 4,449 | 40,703 | 30,286 | 316,961 | 38,819 | 418,968 | 136,919 | 1,423,605 |
Redemptions | (63,646) | (587,256) | (107,299) | (1,117,260) | (233,605) | (2,380,808) | (411,469) | (4,286,483) |
Net increase (decrease) | 3,602 | 10,533 | 36,762 | 383,764 | 53,235 | 524,480 | (56,407) | (597,599) |
Total net increase (decrease) | (907,420) | (14,627,045) | (22,794,002) | (247,041,245) | (2,692,809) | (27,120,748) | 8,341,799 | 99,811,028 |
Variable Portfolio Funds | Semiannual Report 2020 | 191 |
Variable Portfolio – Partners International Value Fund | Variable Portfolio – Partners Small Cap Growth Fund | |||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||||
Net investment income (loss) | $9,656,777 | $26,861,216 | $(1,233,188) | $(2,398,928) |
Net realized gain (loss) | (124,026,746) | (599,189) | 13,573,833 | 29,612,990 |
Net change in unrealized appreciation (depreciation) | (111,048,900) | 83,600,969 | (12,395,870) | 90,219,073 |
Net increase (decrease) in net assets resulting from operations | (225,418,869) | 109,862,996 | (55,225) | 117,433,135 |
Distributions to shareholders | ||||
Net investment income and net realized gains | ||||
Class 1 | (5,850,749) | (57,034,764) | — | — |
Class 2 | (136,870) | (1,437,725) | — | — |
Total distributions to shareholders | (5,987,619) | (58,472,489) | — | — |
Increase (decrease) in net assets from capital stock activity | 168,507,133 | 159,159,980 | 13,500,391 | (119,412,576) |
Total increase (decrease) in net assets | (62,899,355) | 210,550,487 | 13,445,166 | (1,979,441) |
Net assets at beginning of period | 1,051,805,934 | 841,255,447 | 585,784,117 | 587,763,558 |
Net assets at end of period | $988,906,579 | $1,051,805,934 | $599,229,283 | $585,784,117 |
Variable Portfolio – Partners International Value Fund | Variable Portfolio – Partners Small Cap Growth Fund | |||||||
Six Months Ended | Year Ended | Six Months Ended | Year Ended | |||||
June 30, 2020 (Unaudited) | December 31, 2019 | June 30, 2020 (Unaudited) | December 31, 2019 | |||||
Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||||||
Class 1 | ||||||||
Subscriptions | 32,102,257 | 238,094,079 | 27,322,528 | 261,667,235 | 891,747 | 17,676,894 | 979,564 | 23,356,226 |
Distributions reinvested | 877,174 | 5,850,749 | 6,053,916 | 57,034,764 | — | — | — | — |
Redemptions | (9,749,998) | (74,589,992) | (17,097,348) | (162,424,783) | (196,145) | (4,577,617) | (6,021,481) | (143,855,339) |
Net increase (decrease) | 23,229,433 | 169,354,836 | 16,279,096 | 156,277,216 | 695,602 | 13,099,277 | (5,041,917) | (120,499,113) |
Class 2 | ||||||||
Subscriptions | 129,558 | 948,653 | 404,643 | 3,800,109 | 73,038 | 1,545,980 | 78,530 | 1,836,824 |
Distributions reinvested | 20,582 | 136,870 | 152,938 | 1,437,725 | — | — | — | — |
Redemptions | (253,834) | (1,933,226) | (251,063) | (2,355,070) | (49,967) | (1,144,866) | (32,190) | (750,287) |
Net increase (decrease) | (103,694) | (847,703) | 306,518 | 2,882,764 | 23,071 | 401,114 | 46,340 | 1,086,537 |
Total net increase (decrease) | 23,125,739 | 168,507,133 | 16,585,614 | 159,159,980 | 718,673 | 13,500,391 | (4,995,577) | (119,412,576) |
192 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio Funds | Semiannual Report 2020 | 193 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $11.01 | 0.12 | 0.36 | 0.48 | — | — | — |
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(e) | (0.24) | (0.05) | (0.29) |
Class 2 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $10.96 | 0.10 | 0.36 | 0.46 | — | — | — |
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) | Annualized. |
(d) | Ratios include interest on collateral expense which is less than 0.01%. |
(e) | Rounds to zero. |
194 | Variable Portfolio Funds | Semiannual Report 2020 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $11.49 | 4.36% | 0.48%(c),(d) | 0.48%(c),(d) | 2.08%(c) | 104% | $3,047,681 |
Year Ended 12/31/2019 | $11.01 | 9.73% | 0.50%(d) | 0.50%(d) | 2.84% | 94% | $2,900,664 |
Year Ended 12/31/2018 | $10.65 | (1.05%) | 0.48%(d) | 0.48%(d) | 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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $11.42 | 4.20% | 0.73%(c),(d) | 0.73%(c),(d) | 1.84%(c) | 104% | $18,731 |
Year Ended 12/31/2019 | $10.96 | 9.40% | 0.75%(d) | 0.75%(d) | 2.58% | 94% | $18,712 |
Year Ended 12/31/2018 | $10.61 | (1.31%) | 0.73%(d) | 0.73%(d) | 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 | Semiannual Report 2020 | 195 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $9.85 | 0.11 | (1.64) | (1.53) | — | — | — |
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(d) | 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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $9.79 | 0.11 | (1.64) | (1.53) | — | — | — |
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(d) | 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) | Annualized. |
(d) | Calculation of the net gain (loss) per share (both realized and unrealized) does not correlate to the aggregate realized and unrealized gain (loss) presented in the Statement of Operations due to the timing of subscriptions and redemptions of Fund shares in relation to fluctuations in the market value of the portfolio. |
196 | Variable Portfolio Funds | Semiannual Report 2020 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $8.32 | (15.53%) | 0.79%(c) | 0.79%(c) | 2.50%(c) | 58% | $198,118 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $8.26 | (15.63%) | 1.04%(c) | 1.04%(c) | 2.63%(c) | 58% | $24,488 |
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 | Semiannual Report 2020 | 197 |
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 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $34.85 | 0.07 | 3.11 | 3.18 |
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)(e) | 1.21 | 1.21 |
Class 2 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $34.01 | 0.03 | 3.02 | 3.05 |
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) | Annualized. |
(d) | Ratios include interfund lending expense which is less than 0.01%. |
(e) | Rounds to zero. |
198 | Variable Portfolio Funds | Semiannual Report 2020 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $38.03 | 9.12% | 0.69%(c),(d) | 0.69%(c),(d) | 0.43%(c) | 17% | $1,598,962 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $37.06 | 8.97% | 0.95%(c),(d) | 0.95%(c),(d) | 0.18%(c) | 17% | $16,053 |
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 | Semiannual Report 2020 | 199 |
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 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $29.16 | 0.23 | (4.04) | (3.81) |
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(f) | (0.73) | (0.14) |
Class 2 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $28.48 | 0.19 | (3.94) | (3.75) |
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(g) | (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) | Annualized. |
(d) | Ratios include interfund lending expense which is less than 0.01%. |
(e) | Ratios include line of credit interest expense which is less than 0.01%. |
(f) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.28 per share. |
(g) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.33 per share. |
200 | Variable Portfolio Funds | Semiannual Report 2020 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $25.35 | (13.06%) | 0.71%(c),(d),(e) | 0.71%(c),(d),(e) | 1.78%(c) | 10% | $1,086,304 |
Year Ended 12/31/2019 | $29.16 | 29.83% | 0.70%(d) | 0.70%(d) | 1.62% | 12% | $1,493,599 |
Year Ended 12/31/2018 | $22.46 | (10.02%) | 0.69%(d) | 0.69%(d) | 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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $24.73 | (13.17%) | 0.96%(c),(d),(e) | 0.96%(c),(d),(e) | 1.55%(c) | 10% | $55,850 |
Year Ended 12/31/2019 | $28.48 | 29.51% | 0.95%(d) | 0.95%(d) | 1.36% | 12% | $63,976 |
Year Ended 12/31/2018 | $21.99 | (10.25%) | 0.94%(d) | 0.94%(d) | 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 | Semiannual Report 2020 | 201 |
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 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $35.57 | (0.08) | 11.65 | 11.57 |
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(e) | 0.54 | 1.25 |
Class 2 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $34.72 | (0.12) | 11.37 | 11.25 |
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(f) | 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) | Annualized. |
(d) | Ratios include interfund lending expense which is less than 0.01%. |
(e) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.64 per share. |
(f) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.57 per share. |
202 | Variable Portfolio Funds | Semiannual Report 2020 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $47.14 | 32.53% | 0.67%(c),(d) | 0.67%(c),(d) | (0.41%) | 37% | $2,071,002 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $45.97 | 32.40% | 0.93%(c),(d) | 0.93%(c),(d) | (0.66%) | 37% | $26,945 |
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 | Semiannual Report 2020 | 203 |
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 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $26.19 | 0.27 | (5.10) | (4.83) |
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 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $25.56 | 0.24 | (4.98) | (4.74) |
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. |
(c) | Annualized. |
204 | Variable Portfolio Funds | Semiannual Report 2020 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $21.36 | (18.44%) | 0.70%(c) | 0.70%(c) | 2.46%(c) | 16% | $1,332,096 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $20.82 | (18.54%) | 0.95%(c) | 0.95%(c) | 2.26%(c) | 16% | $23,156 |
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 | Semiannual Report 2020 | 205 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $11.01 | 0.11 | 0.57 | 0.68 | — | — | — |
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)(d) | (0.09) |
Class 2 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $10.96 | 0.09 | 0.58 | 0.67 | — | — | — |
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)(d) | (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) | Annualized. |
(d) | Rounds to zero. |
206 | Variable Portfolio Funds | Semiannual Report 2020 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $11.69 | 6.18% | 0.48%(c) | 0.48%(c) | 1.92%(c) | 190% | $3,160,070 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $11.63 | 6.11% | 0.74%(c) | 0.74%(c) | 1.65%(c) | 190% | $16,616 |
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 | Semiannual Report 2020 | 207 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $10.28 | 0.09 | 0.23 | 0.32 | — | — | — |
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)(d) | (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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $10.24 | 0.07 | 0.23 | 0.30 | — | — | — |
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)(d) | (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) | Annualized. |
(d) | Rounds to zero. |
208 | Variable Portfolio Funds | Semiannual Report 2020 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $10.60 | 3.11% | 0.43%(c) | 0.43%(c) | 1.69%(c) | 187% | $1,512,351 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $10.54 | 2.93% | 0.69%(c) | 0.69%(c) | 1.39%(c) | 187% | $52,332 |
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 | Semiannual Report 2020 | 209 |
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 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $32.18 | (0.03) | (0.15) | (0.18) |
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)(e) | (0.52) |
Class 2 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $31.38 | (0.07) | (0.14) | (0.21) |
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)(e) | (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) | Annualized. |
(d) | Ratios include interfund lending expense which is less than 0.01%. |
(e) | 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. |
210 | Variable Portfolio Funds | Semiannual Report 2020 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $32.00 | (0.56%) | 0.83%(c),(d) | 0.83%(c),(d) | (0.22%)(c) | 42% | $523,190 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $31.17 | (0.67%) | 1.08%(c),(d) | 1.08%(c),(d) | (0.47%)(c) | 42% | $24,265 |
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 | Semiannual Report 2020 | 211 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $11.15 | 0.12 | 0.55 | 0.67 | — | — | — |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $11.10 | 0.10 | 0.55 | 0.65 | — | — | — |
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. |
(c) | Annualized. |
(d) | Ratios include interest on collateral expense which is less than 0.01%. |
212 | Variable Portfolio Funds | Semiannual Report 2020 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $11.82 | 6.01% | 0.48%(c),(d) | 0.48%(c),(d) | 2.10%(c) | 181% | $4,649,806 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $11.75 | 5.86% | 0.73%(c),(d) | 0.73%(c),(d) | 1.85%(c) | 181% | $15,227 |
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 | Semiannual Report 2020 | 213 |
Variable Portfolio – Partners 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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $11.03 | 0.12 | (1.28) | (1.16) | (0.02) | (0.03) | (0.05) |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $10.96 | 0.11 | (1.27) | (1.16) | (0.02) | (0.03) | (0.05) |
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. |
(c) | Annualized. |
214 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners 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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $9.82 | (10.45%) | 0.80%(c) | 0.80%(c) | 2.46%(c) | 167% | $2,568,525 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $9.75 | (10.52%) | 1.05%(c) | 1.05%(c) | 2.22%(c) | 167% | $7,399 |
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 | Semiannual Report 2020 | 215 |
Variable Portfolio – Partners International Growth 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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $11.46 | 0.02 | (0.29) | (0.27) | (0.03) | (0.12) | (0.15) |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $11.40 | 0.01 | (0.30) | (0.29) | (0.01) | (0.12) | (0.13) |
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. |
(c) | Annualized. |
216 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners International 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 ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $11.04 | (2.33%) | 0.93%(c) | 0.92%(c) | 0.41%(c) | 91% | $988,364 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $10.98 | (2.48%) | 1.18%(c) | 1.17%(c) | 0.17%(c) | 91% | $34,585 |
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 | Semiannual Report 2020 | 217 |
Variable Portfolio – Partners 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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $9.71 | 0.09 | (2.22) | (2.13) | (0.06) | — | (0.06) |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $9.69 | 0.08 | (2.21) | (2.13) | (0.06) | — | (0.06) |
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) | Annualized. |
(d) | Ratios include interfund lending expense which is less than 0.01%. |
(e) | Ratios include line of credit interest expense which is less than 0.01%. |
218 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners 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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $7.52 | (21.89%) | 0.88%(c) | 0.86%(c) | 2.26%(c) | 102% | $971,372 |
Year Ended 12/31/2019 | $9.71 | 13.53% | 0.88%(d) | 0.88%(d) | 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%(e) | 0.91%(e) | 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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $7.50 | (21.94%) | 1.13%(c) | 1.11%(c) | 2.05%(c) | 102% | $17,535 |
Year Ended 12/31/2019 | $9.69 | 13.20% | 1.13%(d) | 1.13%(d) | 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%(e) | 1.16%(e) | 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 | Semiannual Report 2020 | 219 |
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 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $25.38 | (0.05) | (0.15)(c) | (0.20) |
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 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $24.77 | (0.08) | (0.14)(c) | (0.22) |
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. |
(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) | Annualized. |
220 | Variable Portfolio Funds | Semiannual Report 2020 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $25.18 | (0.79%) | 0.88%(d) | 0.88%(d) | (0.45%)(d) | 29% | $587,489 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $24.55 | (0.89%) | 1.13%(d) | 1.13%(d) | (0.70%)(d) | 29% | $11,740 |
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 | Semiannual Report 2020 | 221 |
June 30, 2020 (Unaudited)
Current Fund names | Prior Fund names |
Variable Portfolio — Partners International Core Equity Fund | CTIVP® — AQR International Core Equity Fund |
Variable Portfolio — Partners International Growth Fund | CTIVP® — William Blair International Leaders Fund |
Variable Portfolio — Partners International Value Fund | CTIVP® — DFA International Value Fund |
222 | Variable Portfolio Funds | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Variable Portfolio Funds | Semiannual Report 2020 | 223 |
June 30, 2020 (Unaudited)
224 | Variable Portfolio Funds | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
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 | Semiannual Report 2020 | 225 |
June 30, 2020 (Unaudited)
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 | Variable Portfolio — Partners International Core Equity 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 |
226 | Variable Portfolio Funds | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
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 | Semiannual Report 2020 | 227 |
June 30, 2020 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 827,449 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 264,752* |
Total | 1,092,201 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 4,039,744* |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 600,999 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 2,015,980* |
Total | 6,656,723 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
228 | Variable Portfolio Funds | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 6,404,190 | 6,404,190 |
Foreign exchange risk | 1,736,052 | — | — | 1,736,052 |
Interest rate risk | — | 8,170,137 | — | 8,170,137 |
Total | 1,736,052 | 8,170,137 | 6,404,190 | 16,310,379 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | (4,039,744) | (4,039,744) |
Foreign exchange risk | 24,535 | — | — | 24,535 |
Interest rate risk | — | (999,475) | — | (999,475) |
Total | 24,535 | (999,475) | (4,039,744) | (5,014,684) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 216,029,943 |
Futures contracts — short | 132,496,586 |
Credit default swap contracts — buy protection | 168,430,000 |
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 1,762,519 | (1,814,545) |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2020. |
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 601,346* |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 98,427* |
Variable Portfolio Funds | Semiannual Report 2020 | 229 |
June 30, 2020 (Unaudited)
* | 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 ($) | Futures contracts ($) | Total ($) |
Foreign exchange risk | 802,104 | — | 802,104 |
Interest rate risk | — | 26,732,176 | 26,732,176 |
Total | 802,104 | 26,732,176 | 27,534,280 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Total ($) |
Foreign exchange risk | (453,691) | — | (453,691) |
Interest rate risk | — | 2,184,417 | 2,184,417 |
Total | (453,691) | 2,184,417 | 1,730,726 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 318,162,391 |
Futures contracts — short | 34,161,957 |
Derivative instrument | Average unrealized appreciation ($)** | Average unrealized depreciation ($)** |
Forward foreign currency exchange contracts | 37,351 | — |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2020. |
** | Based on the ending daily outstanding amounts for the six months ended June 30, 2020. |
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 148,093* |
230 | Variable Portfolio Funds | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 489,272* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Interest rate risk | 4,422,123 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Interest rate risk | (480,314) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 608,690,098 |
Futures contracts — short | 143,438,512 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2020. |
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 291,111* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Variable Portfolio Funds | Semiannual Report 2020 | 231 |
June 30, 2020 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Equity risk | (4,681,658) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Equity risk | 427,986 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 44,933,175 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2020. |
232 | Variable Portfolio Funds | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Variable Portfolio Funds | Semiannual Report 2020 | 233 |
June 30, 2020 (Unaudited)
Goldman Sachs ($)(a) | Goldman Sachs ($)(a) | JPMorgan ($) | UBS ($) | Total ($) | |
Assets | |||||
Forward foreign currency exchange contracts | 407,937 | - | 108,829 | 310,683 | 827,449 |
Total assets | 407,937 | - | 108,829 | 310,683 | 827,449 |
Liabilities | |||||
Centrally cleared credit default swap contracts (b) | - | 945,589 | - | - | 945,589 |
Forward foreign currency exchange contracts | 433,745 | - | 117,630 | 49,624 | 600,999 |
Total liabilities | 433,745 | 945,589 | 117,630 | 49,624 | 1,546,588 |
Total financial and derivative net assets | (25,808) | (945,589) | (8,801) | 261,059 | (719,139) |
Total collateral received (pledged) (c) | - | (945,589) | - | - | (945,589) |
Net amount (d) | (25,808) | - | (8,801) | 261,059 | 226,450 |
(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) | 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. |
234 | Variable Portfolio Funds | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Variable Portfolio Funds | Semiannual Report 2020 | 235 |
June 30, 2020 (Unaudited)
High (%) | Low (%) | Effective management services fee rate (%) | |
CTIVP® – American Century Diversified Bond Fund | 0.50 | 0.34 | 0.48 |
CTIVP® – CenterSquare Real Estate Fund | 0.75 | 0.66 | 0.75 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund | 0.71 | 0.53 | 0.69 |
CTIVP® – MFS® Value Fund | 0.71 | 0.53 | 0.70 |
CTIVP® – Morgan Stanley Advantage Fund | 0.71 | 0.53 | 0.67 |
CTIVP® – T. Rowe Price Large Cap Value Fund | 0.71 | 0.53 | 0.69 |
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 |
Variable Portfolio – Partners Core Bond Fund | 0.50 | 0.34 | 0.47 |
Variable Portfolio – Partners International Core Equity Fund | 0.87 | 0.67 | 0.78 |
Variable Portfolio – Partners International Growth Fund | 0.92 | 0.75 | 0.89 |
Variable Portfolio – Partners International Value Fund | 0.87 | 0.67 | 0.85 |
Variable Portfolio – Partners Small Cap Growth Fund | 0.87 | 0.75 | 0.86 |
236 | Variable Portfolio Funds | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Fund | Subadviser(s) |
CTIVP® — American Century Diversified Bond Fund | American Century Investment Management, Inc. |
CTIVP® — CenterSquare Real Estate Fund | CenterSquare Investment Management LLC |
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. |
Variable Portfolio — Partners Core Bond Fund | J.P. Morgan Investment Management Inc. Wells Capital Management Incorporated |
Variable Portfolio — Partners International Core Equity Fund | AQR Capital Management, LLC Schroder Investment Management North America Inc.(a) Schroder Investment Management North America Limited(a) |
Variable Portfolio — Partners International Growth Fund | Walter Scott & Partners Limited (b) William Blair Investment Management, LLC |
Variable Portfolio — Partners International Value Fund | Dimensional Fund Advisors LP Thompson, Siegel & Walmsley LLC(c) |
Variable Portfolio — Partners Small Cap Growth Fund | BMO Asset Management Corp. Scout Investments, Inc. Wells Capital Management Incorporated |
(a) | Effective May 12, 2020, the Investment Manager entered into a Subadvisory Agreement with Schroder Investment Management North America Inc. (SIMNA Inc.) to serve as a subadviser to the Fund. Schroder Investment Management North America Limited (SIMNA Ltd.), an affiliate of SIMNA Inc., assists in providing day-to-day portfolio management of the Fund pursuant to a Sub-Subadvisory Agreement between SIMNA Inc. and SIMNA Ltd. |
(b) | Effective May 15, 2020, the Investment Manager entered into a Subadvisory Agreement with Walter Scott & Partners Limited to serve as a subadviser to the Fund. |
(c) | Effective May 18, 2020, the Investment Manager entered into a Subadvisory Agreement with Thompson, Siegel and Walmsley LLC to serve as a subadvisor to the Fund. |
Variable Portfolio Funds | Semiannual Report 2020 | 237 |
June 30, 2020 (Unaudited)
Effective service fee rate (%) | |
CTIVP® – American Century Diversified Bond Fund | 0.00 |
CTIVP® – CenterSquare Real Estate Fund | 0.01 |
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 |
Variable Portfolio – Partners Core Bond Fund | 0.00 |
Variable Portfolio – Partners International Core Equity Fund | 0.00 |
Variable Portfolio – Partners International Growth Fund | 0.00 |
Variable Portfolio – Partners International Value Fund | 0.00 |
Variable Portfolio – Partners Small Cap Growth Fund | 0.00 |
238 | Variable Portfolio Funds | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Contractual expense cap May 1, 2020 through April 30, 2021 | Contractual expense cap prior to May 1, 2020 | |||
Class 1 (%) | Class 2 (%) | Class 1 (%) | Class 2 (%) | |
CTIVP® – CenterSquare Real Estate Fund | 0.89 | 1.14 | 0.91 | 1.16 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund | 0.73 | 0.98 | 0.73 | 0.98 |
CTIVP® – MFS® Value Fund | 0.72 | 0.97 | 0.73 | 0.98 |
CTIVP® – Morgan Stanley Advantage Fund | 0.74 | 0.99 | 0.78 | 1.03 |
CTIVP® – T. Rowe Price Large Cap Value Fund | 0.71 | 0.96 | 0.71 | 0.96 |
CTIVP® – TCW Core Plus Bond Fund | 0.54 | 0.79 | 0.56 | 0.81 |
CTIVP® – Wells Fargo Short Duration Government Fund | 0.46 | 0.71 | 0.46 | 0.71 |
CTIVP® – Westfield Mid Cap Growth Fund | 0.85 | 1.10 | 0.84 | 1.09 |
Variable Portfolio – Partners International Core Equity Fund | 0.88 | 1.13 | 0.88 | 1.13 |
Variable Portfolio – Partners International Growth Fund | 0.92 | 1.17 | 0.92 | 1.17 |
Variable Portfolio – Partners International Value Fund | 0.84 | 1.09 | 0.88 | 1.13 |
Variable Portfolio – Partners Small Cap Growth Fund | 0.87 | 1.12 | 0.88 | 1.13 |
Contractual expense cap July 1, 2020 through April 30, 2021 | Voluntary expense cap May 1, 2020 through June 30, 2020 | Contractual expense cap prior to May 1, 2020 | ||||
Class 1 (%) | Class 2 (%) | Class 1 (%) | Class 2 (%) | Class 1 (%) | Class 2 (%) | |
CTIVP® – American Century Diversified Bond Fund | 0.56 | 0.81 | 0.56 | 0.81 | 0.56 | 0.81 |
Variable Portfolio – Partners Core Bond Fund | 0.56 | 0.81 | 0.56 | 0.81 | 0.56 | 0.81 |
Variable Portfolio Funds | Semiannual Report 2020 | 239 |
June 30, 2020 (Unaudited)
Fund | Tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation (depreciation) ($) |
CTIVP® – American Century Diversified Bond Fund | 3,198,017,000 | 130,376,000 | (27,414,000) | 102,962,000 |
CTIVP® – CenterSquare Real Estate Fund | 230,212,000 | 18,072,000 | (26,012,000) | (7,940,000) |
CTIVP® – TCW Core Plus Bond Fund | 3,437,625,000 | 118,483,000 | (32,172,000) | 86,311,000 |
CTIVP® – Wells Fargo Short Duration Government Fund | 1,583,267,000 | 28,454,000 | (3,334,000) | 25,120,000 |
Variable Portfolio – Partners Core Bond Fund | 4,783,438,000 | 244,528,000 | (16,326,000) | 228,202,000 |
Variable Portfolio – Partners International Core Equity Fund | 2,513,537,000 | 188,314,000 | (145,417,000) | 42,897,000 |
Variable Portfolio – Partners International Growth Fund | 916,430,000 | 140,962,000 | (35,930,000) | 105,032,000 |
Variable Portfolio – Partners International Value Fund | 1,107,093,000 | 43,471,000 | (167,317,000) | (123,846,000) |
Fund | 2019 ($) | No expiration short-term ($) | No expiration long-term ($) | Total ($) |
CTIVP® – American Century Diversified Bond Fund | — | — | (38,307,572) | (38,307,572) |
Variable Portfolio – Partners International Value Fund | — | — | (2,016,658) | (2,016,658) |
240 | Variable Portfolio Funds | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Purchases ($) | Proceeds from sales ($) | Purchases of U.S. Government securities ($) | Proceeds from sales of U.S. Government securities ($) | |
CTIVP® – American Century Diversified Bond Fund | 3,339,487,649 | 3,225,084,888 | 1,832,098,546 | 1,884,254,946 |
CTIVP® – CenterSquare Real Estate Fund | 156,253,676 | 431,268,586 | — | — |
CTIVP® – Los Angeles Capital Large Cap Growth Fund | 268,305,433 | 825,460,194 | — | — |
CTIVP® – MFS® Value Fund | 128,631,167 | 333,260,810 | — | — |
CTIVP® – Morgan Stanley Advantage Fund | 707,924,872 | 1,569,609,568 | — | — |
CTIVP® – T. Rowe Price Large Cap Value Fund | 237,368,467 | 535,902,772 | — | — |
CTIVP® – TCW Core Plus Bond Fund | 5,707,805,587 | 5,642,668,603 | 5,058,115,317 | 5,309,704,527 |
CTIVP® – Wells Fargo Short Duration Government Fund | 2,879,777,795 | 2,872,624,060 | 2,721,325,848 | 2,713,148,962 |
CTIVP® – Westfield Mid Cap Growth Fund | 222,289,235 | 251,252,882 | — | — |
Variable Portfolio – Partners Core Bond Fund | 8,880,950,008 | 7,941,749,157 | 7,187,213,594 | 6,769,837,385 |
Variable Portfolio – Partners International Core Equity Fund | 4,160,340,806 | 4,141,931,476 | — | — |
Variable Portfolio – Partners International Growth Fund | 879,046,241 | 898,059,304 | — | — |
Variable Portfolio – Partners International Value Fund | 1,038,098,094 | 879,702,538 | — | — |
Variable Portfolio – Partners Small Cap Growth Fund | 169,488,819 | 156,920,400 | — | — |
Variable Portfolio Funds | Semiannual Report 2020 | 241 |
June 30, 2020 (Unaudited)
Fund | Borrower or Lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
CTIVP® – American Century Diversified Bond Fund | Lender | 14,500,000 | 1.59 | 3 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund | Borrower | 800,000 | 0.61 | 1 |
CTIVP® – MFS® Value Fund | Borrower | 7,466,667 | 2.09 | 3 |
CTIVP® – Morgan Stanley Advantage Fund | Borrower | 6,866,667 | 0.61 | 12 |
CTIVP® – Morgan Stanley Advantage Fund | Lender | 5,900,000 | 0.62 | 1 |
CTIVP® – Westfield Mid Cap Growth Fund | Borrower | 400,000 | 0.62 | 1 |
CTIVP® – Westfield Mid Cap Growth Fund | Lender | 1,200,000 | 0.61 | 1 |
Variable Portfolio – Partners Core Bond Fund | Lender | 3,022,222 | 1.26 | 9 |
Variable Portfolio – Partners International Core Equity Fund | Lender | 500,000 | 1.00 | 3 |
Variable Portfolio – Partners International Value Fund | Lender | 3,700,000 | 0.61 | 1 |
Fund | Average loan balance ($) | Weighted average interest rate (%) | Days outstanding |
CTIVP® – MFS® Value Fund | 1,050,000 | 1.89 | 4 |
242 | Variable Portfolio Funds | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Variable Portfolio Funds | Semiannual Report 2020 | 243 |
June 30, 2020 (Unaudited)
244 | Variable Portfolio Funds | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Variable Portfolio Funds | Semiannual Report 2020 | 245 |
June 30, 2020 (Unaudited)
246 | Variable Portfolio Funds | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Variable Portfolio Funds | Semiannual Report 2020 | 247 |
June 30, 2020 (Unaudited)
248 | Variable Portfolio Funds | Semiannual Report 2020 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
Variable Portfolio Funds | Semiannual Report 2020 | 249 |
Fund | Subadviser(s) |
CTIVP® — American Century Diversified Bond Fund | American Century Investment Management, Inc. |
CTIVP® — CenterSquare Real Estate Fund | CenterSquare Investment Management LLC |
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. |
Variable Portfolio — Partners Core Bond Fund | J.P. Morgan Investment Management Inc. Wells Capital Management Incorporated |
Variable Portfolio - Partners International Core Equity Fund | AQR Capital Management, LLC Schroder Investment Management North America Inc.* Schroder Investment Management North America Limited* |
Variable Portfolio - Partners International Growth Fund | William Blair Investment Management, LLC Walter Scott & Partners Limited* |
Variable Portfolio - Partners International Value Fund | Dimensional Fund Advisors LP Thompson Siegel & Walmsley LLC* |
Variable Portfolio — Partners Small Cap Growth Fund | BMO Asset Management Corp. Scout Investments, Inc.* Wells Capital Management Incorporated |
* | The Subadvisory Agreements with Schroder Investment Management North America Inc., Walter Scott & Partners Limited and Thompson Siegel & Walmsley LLC, and the Sub-Subadvisory Agreement with Schroder Investment Management North America Limited were approved by the applicable Fund’s Board of Trustees at their meetings held on March 16-17, 2020 and are reflected in the Board Considerations and Approvals of Subadvisory Agreements that follow this discussion. Therefore, the renewals of the Subadvisory Agreements with Schroder Investment Management North America Inc., Walter Scott & Partners Limited and Thompson Siegel & Walmsley LLC, and the Sub-Subadvisory Agreement with Schroder Investment Management North America, Limited were not considered and are not reflected in this discussion. |
250 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio Funds | Semiannual Report 2020 | 251 |
252 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio Funds | Semiannual Report 2020 | 253 |
254 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio Funds | Semiannual Report 2020 | 255 |
256 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio Funds | Semiannual Report 2020 | 257 |
258 | Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio Funds | Semiannual Report 2020 | 259 |
June 30, 2020
3 | |
6 | |
8 | |
11 | |
13 | |
15 | |
17 | |
19 | |
107 | |
110 | |
112 | |
116 | |
128 | |
156 | |
157 | |
161 |
Columbia Variable Portfolio – Global Strategic Income Fund (Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | -2.53 | 0.56 | 0.19 | 1.20 | |
Class 2 | 05/03/10 | -2.62 | 0.41 | -0.02 | 0.96 | |
Class 3 | 05/01/96 | -2.57 | 0.54 | 0.10 | 1.08 | |
Bloomberg Barclays Global Aggregate Hedged USD Index | 3.90 | 6.07 | 4.44 | 4.07 | ||
Bloomberg Barclays Global Credit Hedged USD Index | 3.43 | 6.90 | 5.18 | 4.96 |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 3 |
Columbia Variable Portfolio – Global Strategic Income Fund (Unaudited)
Quality breakdown (%) (at June 30, 2020) | |
AAA rating | 2.0 |
AA rating | 4.9 |
A rating | 7.8 |
BBB rating | 42.0 |
BB rating | 16.9 |
B rating | 12.5 |
CCC rating | 2.9 |
Not rated | 11.0 |
Total | 100.0 |
4 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
Columbia Variable Portfolio – Global Strategic Income Fund (Unaudited)
Country breakdown (%) (at June 30, 2020) | |
Angola | 0.2 |
Australia | 1.1 |
Belarus | 0.2 |
Bermuda | 0.9 |
Brazil | 1.0 |
Canada | 0.6 |
Cayman Islands | 0.3 |
Chile | 0.2 |
China | 0.6 |
Colombia | 0.7 |
Costa Rica | 0.2 |
Dominican Republic | 0.8 |
Egypt | 0.7 |
El Salvador | 0.4 |
France | 1.1 |
Germany | 0.9 |
Ghana | 0.2 |
Guatemala | 0.5 |
Honduras | 0.2 |
India | 1.0 |
Indonesia | 2.7 |
Ireland | 1.0 |
Italy | 0.8 |
Ivory Coast | 0.3 |
Jersey | 0.3 |
Kazakhstan | 0.3 |
Luxembourg | 1.1 |
Malaysia | 0.2 |
Mauritius | 0.6 |
Mexico | 1.2 |
Netherlands | 2.9 |
Norway | 0.3 |
Panama | 0.2 |
Paraguay | 0.5 |
Peru | 0.5 |
Qatar | 1.0 |
Romania | 0.6 |
Russian Federation | 0.3 |
Saudi Arabia | 1.0 |
Senegal | 0.4 |
Spain | 0.4 |
Sri Lanka | 0.1 |
Sweden | 0.9 |
Turkey | 0.9 |
Ukraine | 0.3 |
United Arab Emirates | 1.5 |
United Kingdom | 7.6 |
United States(a) | 59.6 |
Virgin Islands | 0.7 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds. |
Market exposure through derivatives investments (% of notional exposure) (at June 30, 2020)(a) | |||
Long | Short | Net | |
Fixed Income Derivative Contracts | 1.9 | (67.2) | (65.3) |
Foreign Currency Derivative Contracts | (34.7) | (34.7) | |
Total Notional Market Value of Derivative Contracts | 1.9 | (101.9) | (100.0) |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 5 |
Columbia Variable Portfolio – Intermediate Bond Fund (Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | 6.57 | 8.81 | 4.93 | 4.51 | |
Class 2 | 05/03/10 | 6.40 | 8.55 | 4.68 | 4.26 | |
Class 3 | 10/13/81 | 6.47 | 8.60 | 4.80 | 4.37 | |
Bloomberg Barclays U.S. Aggregate Bond Index | 6.14 | 8.74 | 4.30 | 3.82 |
6 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
Columbia Variable Portfolio – Intermediate Bond Fund (Unaudited)
Portfolio breakdown (%) (at June 30, 2020) | |
Asset-Backed Securities — Agency | 0.0(a) |
Asset-Backed Securities — Non-Agency | 12.7 |
Commercial Mortgage-Backed Securities - Agency | 1.4 |
Commercial Mortgage-Backed Securities - Non-Agency | 6.4 |
Corporate Bonds & Notes | 22.5 |
Foreign Government Obligations | 2.7 |
Money Market Funds | 2.1 |
Municipal Bonds | 0.0(a) |
Options Purchased Puts | 0.1 |
Residential Mortgage-Backed Securities - Agency | 29.0 |
Residential Mortgage-Backed Securities - Non-Agency | 22.3 |
Senior Loans | 0.0(a) |
U.S. Treasury Obligations | 0.8 |
Total | 100.0 |
(a) | Rounds to zero. |
Quality breakdown (%) (at June 30, 2020) | |
AAA rating | 27.6 |
AA rating | 14.7 |
A rating | 9.2 |
BBB rating | 22.5 |
BB rating | 6.4 |
B rating | 2.6 |
CCC rating | 0.9 |
Not rated | 16.1 |
Total | 100.0 |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 7 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund (Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | 5.65 | 6.98 | 4.53 | 4.28 | |
Class 2 | 05/03/10 | 5.43 | 6.58 | 4.26 | 4.02 | |
Class 3 | 09/13/04 | 5.51 | 6.83 | 4.39 | 4.15 | |
Bloomberg Barclays World Government Inflation-Linked Bond Index USD Hedged | 6.53 | 7.95 | 5.44 | 4.84 |
8 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund (Unaudited)
Quality breakdown (%) (at June 30, 2020) | |
AAA rating | 50.1 |
AA rating | 32.7 |
A rating | 7.6 |
BBB rating | 9.4 |
B rating | 0.0(a) |
Not rated | 0.2 |
Total | 100.0 |
(a) | Rounds to zero. |
Country breakdown (%) (at June 30, 2020) | |
Australia | 1.3 |
Canada | 2.0 |
Colombia | 0.2 |
Denmark | 0.3 |
France | 7.8 |
Germany | 2.5 |
Greece | 0.0(a) |
Hungary | 0.0(a) |
Indonesia | 0.1 |
Italy | 6.4 |
Japan | 6.9 |
Mexico | 0.3 |
New Zealand | 1.2 |
Spain | 3.1 |
Sweden | 0.9 |
United Kingdom | 23.4 |
United States(b) | 43.5 |
Uruguay | 0.1 |
Total | 100.0 |
(a) | Rounds to zero. |
(b) | Includes investments in Money Market Funds. |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 9 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund (Unaudited)
Market exposure through derivatives investments (% of notional exposure) (at June 30, 2020)(a) | |||
Long | Short | Net | |
Fixed Income Derivative Contracts | 75.4 | (133.8) | (58.4) |
Foreign Currency Derivative Contracts | 31.5 | (73.1) | (41.6) |
Total Notional Market Value of Derivative Contracts | 106.9 | (206.9) | (100.0) |
10 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – Victory Sycamore Established Value Fund (Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | -14.77 | -7.95 | 6.02 | 11.50 | |
Class 2 | 05/03/10 | -14.86 | -8.16 | 5.76 | 11.23 | |
Class 3 | 02/04/04 | -14.81 | -8.06 | 5.89 | 11.36 | |
Russell Midcap Value Index | -18.09 | -11.81 | 3.32 | 10.29 |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 11 |
CTIVP® – Victory Sycamore Established Value Fund (Unaudited)
Portfolio breakdown (%) (at June 30, 2020) | |
Common Stocks | 98.7 |
Money Market Funds | 1.3 |
Total | 100.0 |
Equity sector breakdown (%) (at June 30, 2020) | |
Communication Services | 2.1 |
Consumer Discretionary | 9.2 |
Consumer Staples | 8.0 |
Energy | 3.5 |
Financials | 18.1 |
Health Care | 6.8 |
Industrials | 15.3 |
Information Technology | 15.0 |
Materials | 11.1 |
Real Estate | 8.1 |
Utilities | 2.8 |
Total | 100.0 |
12 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners Core Equity Fund (Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | -4.53 | 3.97 | 7.97 | 10.67 | |
Class 2 | 05/03/10 | -4.63 | 3.69 | 7.69 | 10.39 | |
Class 3 | 05/01/06 | -4.62 | 3.79 | 7.82 | 10.53 | |
S&P 500 Index | -3.08 | 7.51 | 10.73 | 13.99 |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 13 |
Variable Portfolio – Partners Core Equity Fund (Unaudited)
Portfolio breakdown (%) (at June 30, 2020) | |
Common Stocks | 97.8 |
Money Market Funds | 2.2 |
Total | 100.0 |
Equity sector breakdown (%) (at June 30, 2020) | |
Communication Services | 8.1 |
Consumer Discretionary | 10.3 |
Consumer Staples | 5.6 |
Energy | 2.4 |
Financials | 12.0 |
Health Care | 17.4 |
Industrials | 6.7 |
Information Technology | 27.7 |
Materials | 3.3 |
Real Estate | 2.3 |
Utilities | 4.2 |
Total | 100.0 |
14 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners Small Cap Value Fund (Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1 | 05/03/10 | -22.83 | -19.50 | -0.57 | 6.32 | |
Class 2 | 05/03/10 | -22.90 | -19.67 | -0.81 | 6.06 | |
Class 3 | 08/14/01 | -22.88 | -19.60 | -0.69 | 6.19 | |
Russell 2000 Value Index | -23.50 | -17.48 | 1.26 | 7.82 |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 15 |
Variable Portfolio – Partners Small Cap Value Fund (Unaudited)
Portfolio breakdown (%) (at June 30, 2020) | |
Common Stocks | 96.1 |
Exchange-Traded Equity Funds | 0.3 |
Money Market Funds | 3.6 |
Rights | 0.0(a) |
Total | 100.0 |
(a) | Rounds to zero. |
Equity sector breakdown (%) (at June 30, 2020) | |
Communication Services | 1.4 |
Consumer Discretionary | 10.0 |
Consumer Staples | 3.8 |
Energy | 4.4 |
Financials | 23.6 |
Health Care | 8.6 |
Industrials | 16.3 |
Information Technology | 14.3 |
Materials | 5.9 |
Real Estate | 7.9 |
Utilities | 3.8 |
Total | 100.0 |
16 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
(Unaudited)
January 1, 2020 — June 30, 2020 | |||||||
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 | 974.70 | 1,021.93 | 2.90 | 2.97 | 0.59 |
Class 2 | 1,000.00 | 1,000.00 | 973.80 | 1,020.69 | 4.12 | 4.22 | 0.84 |
Class 3 | 1,000.00 | 1,000.00 | 974.30 | 1,021.33 | 3.49 | 3.57 | 0.71 |
Columbia Variable Portfolio – Intermediate Bond Fund | |||||||
Class 1 | 1,000.00 | 1,000.00 | 1,065.70 | 1,022.43 | 2.52 | 2.46 | 0.49 |
Class 2 | 1,000.00 | 1,000.00 | 1,064.00 | 1,021.18 | 3.80 | 3.72 | 0.74 |
Class 3 | 1,000.00 | 1,000.00 | 1,064.70 | 1,021.83 | 3.13 | 3.07 | 0.61 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | |||||||
Class 1 | 1,000.00 | 1,000.00 | 1,056.50 | 1,021.83 | 3.12 | 3.07 | 0.61 |
Class 2 | 1,000.00 | 1,000.00 | 1,054.30 | 1,020.54 | 4.44 | 4.37 | 0.87 |
Class 3 | 1,000.00 | 1,000.00 | 1,055.10 | 1,021.18 | 3.78 | 3.72 | 0.74 |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 17 |
(Unaudited)
January 1, 2020 — June 30, 2020 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
CTIVP® – Victory Sycamore Established Value Fund | |||||||
Class 1 | 1,000.00 | 1,000.00 | 852.30 | 1,020.93 | 3.64 | 3.97 | 0.79 |
Class 2 | 1,000.00 | 1,000.00 | 851.40 | 1,019.69 | 4.79 | 5.22 | 1.04 |
Class 3 | 1,000.00 | 1,000.00 | 851.90 | 1,020.29 | 4.24 | 4.62 | 0.92 |
Variable Portfolio – Partners Core Equity Fund | |||||||
Class 1 | 1,000.00 | 1,000.00 | 954.70 | 1,021.48 | 3.30 | 3.42 | 0.68 |
Class 2 | 1,000.00 | 1,000.00 | 953.70 | 1,020.24 | 4.52 | 4.67 | 0.93 |
Class 3 | 1,000.00 | 1,000.00 | 953.80 | 1,020.84 | 3.93 | 4.07 | 0.81 |
Variable Portfolio – Partners Small Cap Value Fund | |||||||
Class 1 | 1,000.00 | 1,000.00 | 771.70 | 1,020.49 | 3.88 | 4.42 | 0.88 |
Class 2 | 1,000.00 | 1,000.00 | 771.00 | 1,019.24 | 4.98 | 5.67 | 1.13 |
Class 3 | 1,000.00 | 1,000.00 | 771.20 | 1,019.84 | 4.45 | 5.07 | 1.01 |
18 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
Columbia Variable Portfolio – Global Strategic Income Fund, June 30, 2020 (Unaudited)
Asset-Backed Securities — Non-Agency 2.3% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Cayman Islands 0.3% | ||||
RR 3 Ltd.(a),(b) | ||||
Series 2014-14A Class A1R2 | ||||
3-month USD LIBOR + 1.090% Floor 1.090% 01/15/2030 | 2.309% | 250,000 | 244,134 | |
United States 2.0% | ||||
Conn’s Receivables Funding LLC(a) | ||||
Series 2019-B Class B | ||||
06/17/2024 | 3.620% | 1,000,000 | 924,102 | |
Octagon Investment Partners Ltd.(a),(b) | ||||
Series 2018-18A Class A2 | ||||
3-month USD LIBOR + 1.470% 04/16/2031 | 2.646% | 500,000 | 473,959 | |
Prosper Marketplace Issuance Trust(a) | ||||
Series 2019-1A Class B | ||||
04/15/2025 | 4.030% | 700,000 | 686,493 | |
Total | 2,084,554 | |||
Total Asset-Backed Securities — Non-Agency (Cost $2,444,485) | 2,328,688 | |||
Commercial Mortgage-Backed Securities - Non-Agency(c) 5.3% | ||||
United Kingdom 0.4% | ||||
Tesco Property Finance 3 PLC(a) | ||||
04/13/2040 | 5.744% | GBP | 284,315 | 471,036 |
United States 4.9% | ||||
BAMLL Commercial Mortgage Securities Trust(a),(b) | ||||
Subordinated Series 2018-DSNY Class D | ||||
1-month USD LIBOR + 1.700% Floor 1.700% 09/15/2034 | 1.885% | 500,000 | 447,423 | |
CALI Mortgage Trust(a),(d) | ||||
Series 2019-101C Class F | ||||
03/10/2039 | 4.469% | 300,000 | 254,920 | |
CHT Mortgage Trust(a),(b) | ||||
Series 2017-CSMO Class A | ||||
1-month USD LIBOR + 0.931% Floor 0.931% 11/15/2036 | 1.115% | 1,000,000 | 966,719 | |
Credit Suisse Mortgage Capital Certificates OA LLC(a) | ||||
Subordinated Series 2014-USA Class E | ||||
09/15/2037 | 4.373% | 750,000 | 564,097 | |
Subordinated Series 2014-USA Class F | ||||
09/15/2037 | 4.373% | 260,000 | 190,379 |
Commercial Mortgage-Backed Securities - Non-Agency(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CSMC Trust(a),(d) | ||||
Subordinated Series 2019-UVIL Class E | ||||
12/15/2041 | 3.393% | 300,000 | 213,957 | |
Hilton U.S.A. Trust(a) | ||||
Subordinated Series 2016-SFP Class F | ||||
11/05/2035 | 6.155% | 550,000 | 473,080 | |
JPMorgan Chase Commercial Mortgage Securities Trust(a),(d) | ||||
Subordinated Series 2015-UES Class E | ||||
09/05/2032 | 3.742% | 1,150,000 | 1,132,487 | |
Progress Residential Trust(a) | ||||
Series 2019-SFR1 Class E | ||||
08/17/2035 | 4.466% | 500,000 | 515,236 | |
Series 2020-SFR1 Class F | ||||
04/17/2037 | 3.431% | 100,000 | 95,991 | |
Subordinated Series 2019-SFR2 Class E | ||||
05/17/2036 | 4.142% | 200,000 | 206,191 | |
Total | 5,060,480 | |||
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $5,790,632) | 5,531,516 | |||
Corporate Bonds & Notes(c) 55.2% | ||||
Australia 1.1% | ||||
Aurizon Network Pty Ltd.(a) | ||||
06/01/2026 | 3.125% | EUR | 450,000 | 557,422 |
Ausgrid Finance Pty Ltd.(a) | ||||
07/30/2025 | 1.250% | EUR | 470,000 | 543,118 |
Total | 1,100,540 | |||
Bermuda 0.9% | ||||
Bacardi Ltd.(a) | ||||
07/03/2023 | 2.750% | EUR | 450,000 | 517,662 |
05/15/2048 | 5.300% | 345,000 | 427,818 | |
Total | 945,480 | |||
Brazil 0.5% | ||||
Braskem America Finance Co.(a) | ||||
07/22/2041 | 7.125% | 200,000 | 204,690 | |
Vale Overseas Ltd. | ||||
11/21/2036 | 6.875% | 200,000 | 261,243 | |
Total | 465,933 | |||
Canada 0.5% | ||||
1011778 BC ULC/New Red Finance, Inc.(a) | ||||
04/15/2025 | 5.750% | 24,000 | 25,222 | |
01/15/2028 | 3.875% | 16,000 | 15,521 |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 19 |
Columbia Variable Portfolio – Global Strategic Income Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Bausch Health Companies, Inc.(a) | ||||
03/15/2024 | 7.000% | 4,000 | 4,148 | |
04/15/2025 | 6.125% | 45,000 | 45,594 | |
11/01/2025 | 5.500% | 37,000 | 37,914 | |
01/15/2028 | 7.000% | 6,000 | 6,188 | |
01/30/2028 | 5.000% | 19,000 | 17,903 | |
02/15/2029 | 6.250% | 36,000 | 36,201 | |
01/30/2030 | 5.250% | 20,000 | 18,952 | |
Bombardier, Inc.(a) | ||||
12/01/2024 | 7.500% | 18,000 | 11,694 | |
03/15/2025 | 7.500% | 14,000 | 9,122 | |
04/15/2027 | 7.875% | 23,000 | 14,992 | |
Canadian Natural Resources Ltd. | ||||
06/01/2047 | 4.950% | 25,000 | 27,424 | |
Clarios Global LP(a) | ||||
05/15/2025 | 6.750% | 12,000 | 12,490 | |
GFL Environmental, Inc.(a) | ||||
06/01/2025 | 4.250% | 15,000 | 15,116 | |
12/15/2026 | 5.125% | 17,000 | 17,550 | |
05/01/2027 | 8.500% | 18,000 | 19,576 | |
HudBay Minerals, Inc.(a) | ||||
01/15/2023 | 7.250% | 23,000 | 22,676 | |
01/15/2025 | 7.625% | 92,000 | 87,926 | |
Hulk Finance Corp.(a) | ||||
06/01/2026 | 7.000% | 16,000 | 16,679 | |
Panther BF Aggregator 2 LP/Finance Co., Inc.(a) | ||||
05/15/2027 | 8.500% | 39,000 | 39,247 | |
Ritchie Bros. Auctioneers, Inc.(a) | ||||
01/15/2025 | 5.375% | 14,000 | 14,392 | |
Rockpoint Gas Storage Canada Ltd.(a) | ||||
03/31/2023 | 7.000% | 41,000 | 37,687 | |
Total | 554,214 | |||
Cayman Islands 0.0% | ||||
Global Aircraft Leasing Co., Ltd.(a),(e) | ||||
09/15/2024 | 6.500% | 49,000 | 34,597 | |
China 0.6% | ||||
JD.com, Inc. | ||||
01/14/2030 | 3.375% | 400,000 | 427,032 | |
Tencent Holdings Ltd.(a) | ||||
06/03/2050 | 3.240% | 200,000 | 200,676 | |
Total | 627,708 | |||
France 1.1% | ||||
Altice France SA(a) | ||||
05/01/2026 | 7.375% | 106,000 | 110,363 | |
02/01/2027 | 8.125% | 28,000 | 30,684 | |
01/15/2028 | 5.500% | 41,000 | 41,434 |
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Banijay Group SAS(a) | ||||
03/01/2026 | 6.500% | EUR | 100,000 | 100,645 |
Casino Guichard Perrachon SA(a),(f) | ||||
01/25/2023 | 4.561% | EUR | 100,000 | 107,596 |
Credit Mutuel Arkea SA(a) | ||||
01/17/2025 | 1.375% | EUR | 500,000 | 587,061 |
Elis SA(a) | ||||
04/11/2024 | 1.750% | EUR | 100,000 | 107,872 |
SPCM SA(a) | ||||
09/15/2025 | 4.875% | 29,000 | 29,333 | |
Total | 1,114,988 | |||
Germany 0.9% | ||||
Grand City Properties SA(a) | ||||
08/03/2026 | 1.375% | EUR | 500,000 | 577,897 |
IHO Verwaltungs GmbH(a),(e) | ||||
09/15/2026 | 4.750% | 12,000 | 11,816 | |
05/15/2029 | 6.375% | 15,000 | 15,250 | |
Techem Verwaltungsgesellschaft 674 mbH(a) | ||||
07/30/2026 | 6.000% | EUR | 100,000 | 114,724 |
Vier Gas Transport GmbH(a) | ||||
09/10/2034 | 0.500% | EUR | 200,000 | 213,406 |
Total | 933,093 | |||
India 0.6% | ||||
Adani Ports & Special Economic Zone Ltd.(a) | ||||
07/30/2027 | 4.000% | 400,000 | 388,241 | |
GMR Hyderabad International Airport Ltd.(a) | ||||
10/27/2027 | 4.250% | 300,000 | 265,107 | |
Total | 653,348 | |||
Ireland 0.9% | ||||
Ardagh Packaging Finance PLC/Holdings USA, Inc.(a) | ||||
02/15/2025 | 6.000% | 13,000 | 13,311 | |
08/15/2027 | 5.250% | 58,000 | 56,947 | |
eircom Finance DAC(a) | ||||
05/15/2026 | 3.500% | EUR | 100,000 | 112,912 |
Endo Dac/Finance LLC/Finco, Inc.(a) | ||||
07/31/2027 | 9.500% | 27,000 | 28,558 | |
GE Capital International Funding Co. Unlimited Co. | ||||
11/15/2035 | 4.418% | 745,000 | 754,460 | |
Total | 966,188 | |||
Italy 0.8% | ||||
Assicurazioni Generali SpA(a),(f) | ||||
Subordinated | ||||
06/08/2048 | 5.000% | EUR | 380,000 | 476,832 |
20 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
Columbia Variable Portfolio – Global Strategic Income Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Autostrade per l’Italia SpA(a) | ||||
09/26/2029 | 1.875% | EUR | 200,000 | 201,237 |
Enel SpA(a),(f) | ||||
05/24/2080 | 3.500% | EUR | 100,000 | 116,364 |
Telecom Italia Capital SA | ||||
09/30/2034 | 6.000% | 14,000 | 15,229 | |
Total | 809,662 | |||
Jersey 0.3% | ||||
Heathrow Funding Ltd.(a) | ||||
03/14/2034 | 1.875% | EUR | 200,000 | 226,955 |
LHC3 PLC(a),(e) | ||||
08/15/2024 | 4.125% | EUR | 100,000 | 112,538 |
Total | 339,493 | |||
Luxembourg 1.1% | ||||
Altice France Holding SA(a) | ||||
05/15/2027 | 8.000% | EUR | 100,000 | 118,545 |
02/15/2028 | 6.000% | 76,000 | 71,846 | |
ARD Finance SA(a),(e) | ||||
06/30/2027 | 6.500% | 13,000 | 12,871 | |
Bevco Lux Sarl(a) | ||||
02/09/2023 | 1.750% | EUR | 550,000 | 620,801 |
FAGE International SA/USA Dairy Industry, Inc.(a) | ||||
08/15/2026 | 5.625% | 44,000 | 42,200 | |
Garfunkelux Holdco 3 SA(a) | ||||
08/01/2022 | 7.500% | EUR | 100,000 | 105,977 |
INEOS Group Holdings SA(a) | ||||
08/01/2024 | 5.625% | 27,000 | 26,150 | |
SIG Combibloc PurchaseCo Sarl(a) | ||||
06/18/2025 | 2.125% | EUR | 100,000 | 114,406 |
Total | 1,112,796 | |||
Mauritius 0.6% | ||||
Network i2i Ltd.(a),(f) | ||||
12/31/2049 | 5.650% | 650,000 | 628,231 | |
Mexico 0.4% | ||||
Cemex SAB de CV(a) | ||||
04/16/2026 | 7.750% | 400,000 | 409,053 | |
Netherlands 2.1% | ||||
Alcoa Nederland Holding BV(a) | ||||
09/30/2024 | 6.750% | 4,000 | 4,103 | |
05/15/2028 | 6.125% | 21,000 | 21,657 | |
Alpha 2 BV(a),(e) | ||||
06/01/2023 | 8.750% | 37,000 | 36,952 | |
Atotech U.S.A., Inc.(a) | ||||
02/01/2025 | 6.250% | 40,000 | 39,596 |
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Braskem Netherlands Finance BV(a) | ||||
01/31/2050 | 5.875% | 200,000 | 173,920 | |
Constellium NV(a) | ||||
03/01/2025 | 6.625% | 29,000 | 29,433 | |
02/15/2026 | 5.875% | 80,000 | 80,169 | |
Constellium SE(a) | ||||
06/15/2028 | 5.625% | 15,000 | 14,721 | |
Darling Global Finance BV(a) | ||||
05/15/2026 | 3.625% | EUR | 100,000 | 113,093 |
Innogy Finance BV(a) | ||||
06/03/2030 | 6.250% | GBP | 315,000 | 551,857 |
LKQ European Holdings BV(a) | ||||
04/01/2026 | 3.625% | EUR | 100,000 | 114,036 |
NXP BV/Funding LLC/USA, Inc.(a) | ||||
05/01/2030 | 3.400% | 30,000 | 32,288 | |
PPF Telecom Group BV(a) | ||||
03/27/2026 | 3.125% | EUR | 100,000 | 111,792 |
Starfruit Finco BV/US Holdco LLC(a) | ||||
10/01/2026 | 8.000% | 66,000 | 67,821 | |
Telefonica Europe BV(a),(f) | ||||
12/31/2049 | 3.875% | EUR | 100,000 | 112,364 |
Trivium Packaging Finance BV(a) | ||||
08/15/2026 | 5.500% | 25,000 | 25,398 | |
08/15/2027 | 8.500% | 23,000 | 24,579 | |
United Group BV(a) | ||||
07/01/2024 | 4.875% | EUR | 100,000 | 111,534 |
Volkswagen International Finance NV(a) | ||||
11/16/2038 | 4.125% | EUR | 200,000 | 275,291 |
Ziggo Bond Co. BV(a) | ||||
02/28/2030 | 5.125% | 12,000 | 11,897 | |
Ziggo Bond Finance BV(a) | ||||
01/15/2027 | 6.000% | 62,000 | 62,753 | |
Ziggo BV(a) | ||||
01/15/2027 | 5.500% | 103,000 | 104,188 | |
Total | 2,119,442 | |||
Norway 0.3% | ||||
DNB Bank ASA(a) | ||||
04/09/2024 | 0.250% | EUR | 300,000 | 339,285 |
Spain 0.4% | ||||
Grifols SA(a) | ||||
11/15/2027 | 2.250% | EUR | 100,000 | 110,848 |
NorteGas Energia Distribucion SAU(a) | ||||
09/28/2027 | 2.065% | EUR | 235,000 | 279,614 |
Total | 390,462 |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 21 |
Columbia Variable Portfolio – Global Strategic Income Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Sweden 0.9% | ||||
Akelius Residential Property AB(a) | ||||
02/07/2025 | 1.750% | EUR | 380,000 | 431,923 |
Akelius Residential Property AB(a),(f) | ||||
10/05/2078 | 3.875% | EUR | 100,000 | 112,848 |
Sagax AB(a) | ||||
01/17/2024 | 2.000% | EUR | 365,000 | 409,493 |
Total | 954,264 | |||
United Kingdom 7.0% | ||||
BAT International Finance PLC(a) | ||||
03/25/2025 | 2.750% | EUR | 305,000 | 370,511 |
BP Capital Markets PLC(a) | ||||
11/08/2027 | 0.831% | EUR | 250,000 | 276,708 |
British Telecommunications PLC(a) | ||||
06/23/2027 | 1.500% | EUR | 440,000 | 514,083 |
BUPA Finance PLC(a) | ||||
Subordinated | ||||
12/08/2026 | 5.000% | GBP | 200,000 | 272,616 |
Cadent Finance PLC(a) | ||||
09/22/2024 | 0.625% | EUR | 330,000 | 374,357 |
Credit Agricole SA(a) | ||||
05/03/2027 | 1.375% | EUR | 500,000 | 606,450 |
DS Smith PLC(a) | ||||
09/12/2026 | 0.875% | EUR | 470,000 | 509,805 |
G4S International Finance PLC(a) | ||||
05/24/2025 | 1.875% | EUR | 280,000 | 306,406 |
GKN Holdings Ltd.(a) | ||||
09/19/2022 | 5.375% | GBP | 275,000 | 355,246 |
HBOS PLC(f) | ||||
Subordinated | ||||
03/18/2030 | 4.500% | EUR | 255,000 | 310,289 |
Imperial Brands Finance PLC(a) | ||||
02/26/2026 | 3.375% | EUR | 425,000 | 525,365 |
International Game Technology PLC(a) | ||||
07/15/2024 | 3.500% | EUR | 100,000 | 108,980 |
01/15/2029 | 5.250% | 21,000 | 20,504 | |
NGG Finance PLC(a),(f) | ||||
09/05/2082 | 2.125% | EUR | 250,000 | 275,822 |
Rolls-Royce PLC(a) | ||||
05/09/2024 | 0.875% | EUR | 285,000 | 289,830 |
Royal Bank of Scotland Group PLC(a),(f) | ||||
03/02/2026 | 1.750% | EUR | 335,000 | 385,276 |
Sky PLC(a) | ||||
09/16/2024 | 3.750% | 1,125,000 | 1,251,872 | |
Virgin Media Finance PLC(a) | ||||
07/15/2030 | 5.000% | 35,000 | 34,104 |
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Virgin Media Secured Finance PLC(a) | ||||
08/15/2026 | 5.500% | 31,000 | 31,776 | |
05/15/2029 | 5.500% | 33,000 | 34,569 | |
Vodafone Group PLC(a),(f) | ||||
10/03/2078 | 4.200% | EUR | 100,000 | 121,889 |
Western Power Distribution PLC(a) | ||||
10/16/2026 | 3.500% | GBP | 205,000 | 274,707 |
Total | 7,251,165 | |||
United States 34.0% | ||||
AbbVie, Inc.(a) | ||||
06/15/2044 | 4.850% | 70,000 | 87,025 | |
11/21/2049 | 4.250% | 175,000 | 211,826 | |
Acadia Healthcare Co., Inc. | ||||
07/01/2022 | 5.125% | 29,000 | 29,006 | |
02/15/2023 | 5.625% | 4,000 | 4,000 | |
03/01/2024 | 6.500% | 32,000 | 32,533 | |
Acadia Healthcare Co., Inc.(a) | ||||
07/01/2028 | 5.500% | 6,000 | 6,046 | |
Advisor Group Holdings, Inc.(a) | ||||
08/01/2027 | 10.750% | 12,000 | 11,937 | |
AES Corp. (The) | ||||
05/15/2026 | 6.000% | 28,000 | 29,139 | |
09/01/2027 | 5.125% | 15,000 | 15,569 | |
AG Issuer LLC(a) | ||||
03/01/2028 | 6.250% | 10,000 | 9,474 | |
Albertsons Companies LLC/Safeway, Inc./New Albertsons LP | ||||
03/15/2025 | 5.750% | 22,000 | 22,471 | |
Albertsons Companies LLC/Safeway, Inc./New Albertsons LP(a) | ||||
03/15/2026 | 7.500% | 17,000 | 18,416 | |
02/15/2028 | 5.875% | 19,000 | 19,600 | |
Albertsons Companies, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(a) | ||||
01/15/2027 | 4.625% | 31,000 | 30,998 | |
02/15/2030 | 4.875% | 16,000 | 16,429 | |
Alliance Data Systems Corp.(a) | ||||
12/15/2024 | 4.750% | 7,000 | 6,292 | |
Alliant Holdings Intermediate LLC/Co-Issuer(a) | ||||
10/15/2027 | 6.750% | 49,000 | 48,651 | |
American Builders & Contractors Supply Co., Inc.(a) | ||||
05/15/2026 | 5.875% | 35,000 | 35,069 | |
01/15/2028 | 4.000% | 64,000 | 62,139 | |
Amgen, Inc. | ||||
02/21/2050 | 3.375% | 110,000 | 121,611 | |
Angus Chemical Co.(a) | ||||
02/15/2023 | 8.750% | 61,000 | 61,597 | |
Anheuser-Busch Companies LLC/InBev Worldwide, Inc. | ||||
02/01/2046 | 4.900% | 805,000 | 976,160 |
22 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
Columbia Variable Portfolio – Global Strategic Income Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Apergy Corp. | ||||
05/01/2026 | 6.375% | 23,000 | 21,356 | |
Appalachian Power Co. | ||||
05/15/2044 | 4.400% | 800,000 | 941,838 | |
APX Group, Inc. | ||||
12/01/2022 | 7.875% | 45,000 | 44,755 | |
09/01/2023 | 7.625% | 47,000 | 43,304 | |
11/01/2024 | 8.500% | 53,000 | 51,909 | |
Aramark International Finance Sarl(a) | ||||
04/01/2025 | 3.125% | EUR | 100,000 | 106,844 |
Aramark Services, Inc.(a) | ||||
05/01/2025 | 6.375% | 11,000 | 11,358 | |
02/01/2028 | 5.000% | 16,000 | 15,197 | |
Archrock Partners LP/Finance Corp.(a) | ||||
04/01/2028 | 6.250% | 26,000 | 23,941 | |
Asbury Automotive Group, Inc.(a) | ||||
03/01/2028 | 4.500% | 3,000 | 2,911 | |
Ascend Learning LLC(a) | ||||
08/01/2025 | 6.875% | 25,000 | 25,340 | |
08/01/2025 | 6.875% | 24,000 | 24,152 | |
ASGN, Inc.(a) | ||||
05/15/2028 | 4.625% | 31,000 | 30,257 | |
AT&T, Inc. | ||||
05/19/2032 | 2.050% | EUR | 100,000 | 116,894 |
06/15/2045 | 4.350% | 700,000 | 783,464 | |
Avantor, Inc.(a) | ||||
10/01/2024 | 4.750% | EUR | 100,000 | 115,720 |
10/01/2025 | 9.000% | 59,000 | 63,387 | |
Axalta Coating Systems LLC/Dutch Holding B BV(a) | ||||
06/15/2027 | 4.750% | 14,000 | 14,074 | |
Banff Merger Sub, Inc.(a) | ||||
09/01/2026 | 9.750% | 8,000 | 8,059 | |
Bausch Health Companies, Inc.(a) | ||||
04/01/2026 | 9.250% | 35,000 | 37,942 | |
01/31/2027 | 8.500% | 55,000 | 58,647 | |
Beacon Roofing Supply, Inc.(a) | ||||
11/01/2025 | 4.875% | 37,000 | 33,094 | |
11/15/2026 | 4.500% | 21,000 | 20,515 | |
Becton Dickinson and Co. | ||||
12/15/2026 | 1.900% | EUR | 365,000 | 424,739 |
06/06/2027 | 3.700% | 333,000 | 371,753 | |
Berry Global Escrow Corp.(a) | ||||
07/15/2026 | 4.875% | 22,000 | 22,211 | |
Berry Global, Inc. | ||||
10/15/2022 | 6.000% | 13,000 | 13,045 | |
07/15/2023 | 5.125% | 63,000 | 63,375 | |
Big River Steel LLC/Finance Corp.(a) | ||||
09/01/2025 | 7.250% | 46,000 | 42,959 |
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Boxer Parent Co., Inc.(a) | ||||
10/02/2025 | 7.125% | 9,000 | 9,436 | |
03/01/2026 | 9.125% | 6,000 | 6,194 | |
Boyd Gaming Corp.(a) | ||||
06/01/2025 | 8.625% | 10,000 | 10,455 | |
12/01/2027 | 4.750% | 42,000 | 36,122 | |
Boyd Gaming Corp. | ||||
04/01/2026 | 6.375% | 18,000 | 17,106 | |
Broadcom Corp./Cayman Finance Ltd. | ||||
01/15/2027 | 3.875% | 150,000 | 162,009 | |
Burlington Coat Factory Warehouse Corp.(a) | ||||
04/15/2025 | 6.250% | 5,000 | 5,212 | |
BWAY Holding Co.(a) | ||||
04/15/2024 | 5.500% | 44,000 | 43,258 | |
BWX Technologies, Inc.(a) | ||||
06/30/2028 | 4.125% | 25,000 | 24,935 | |
Caesars Resort Collection LLC/CRC Finco, Inc.(a) | ||||
10/15/2025 | 5.250% | 21,000 | 18,274 | |
Callon Petroleum Co. | ||||
10/01/2024 | 6.125% | 14,000 | 5,243 | |
07/01/2026 | 6.375% | 95,000 | 31,516 | |
Calpine Corp.(a) | ||||
06/01/2026 | 5.250% | 22,000 | 22,218 | |
02/15/2028 | 4.500% | 31,000 | 30,442 | |
03/15/2028 | 5.125% | 39,000 | 38,176 | |
Camelot Finance SA(a) | ||||
11/01/2026 | 4.500% | 21,000 | 21,000 | |
Carrizo Oil & Gas, Inc. | ||||
04/15/2023 | 6.250% | 4,000 | 1,522 | |
Catalent Pharma Solutions, Inc.(a) | ||||
01/15/2026 | 4.875% | 26,000 | 26,513 | |
07/15/2027 | 5.000% | 8,000 | 8,310 | |
03/01/2028 | 2.375% | EUR | 100,000 | 106,732 |
CCO Holdings LLC/Capital Corp.(a) | ||||
02/15/2026 | 5.750% | 49,000 | 50,797 | |
05/01/2026 | 5.500% | 2,000 | 2,071 | |
05/01/2027 | 5.125% | 86,000 | 88,969 | |
03/01/2030 | 4.750% | 111,000 | 113,642 | |
08/15/2030 | 4.500% | 36,000 | 36,716 | |
CD&R Smokey Buyer, Inc.(a),(g) | ||||
07/15/2025 | 6.750% | 20,000 | 20,824 | |
CDK Global, Inc. | ||||
06/01/2027 | 4.875% | 21,000 | 21,539 | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Operations LLC(a) | ||||
05/01/2025 | 5.500% | 27,000 | 27,111 | |
Centene Corp.(a) | ||||
08/15/2026 | 5.375% | 34,000 | 35,376 |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 23 |
Columbia Variable Portfolio – Global Strategic Income Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Centene Corp. | ||||
12/15/2029 | 4.625% | 72,000 | 75,967 | |
02/15/2030 | 3.375% | 44,000 | 44,394 | |
Centennial Resource Production LLC(a) | ||||
01/15/2026 | 5.375% | 26,000 | 13,240 | |
04/01/2027 | 6.875% | 32,000 | 16,298 | |
CenturyLink, Inc. | ||||
03/15/2022 | 5.800% | 78,000 | 80,146 | |
04/01/2024 | 7.500% | 24,000 | 26,397 | |
04/01/2025 | 5.625% | 73,000 | 75,503 | |
CenturyLink, Inc.(a) | ||||
12/15/2026 | 5.125% | 26,000 | 25,964 | |
02/15/2027 | 4.000% | 16,000 | 15,535 | |
CF Industries, Inc. | ||||
03/15/2034 | 5.150% | 12,000 | 12,845 | |
03/15/2044 | 5.375% | 5,000 | 5,412 | |
CFX Escrow Corp.(a) | ||||
02/15/2024 | 6.000% | 9,000 | 9,283 | |
02/15/2026 | 6.375% | 11,000 | 11,495 | |
Change Healthcare Holdings LLC/Finance, Inc.(a) | ||||
03/01/2025 | 5.750% | 57,000 | 56,276 | |
Charles River Laboratories International, Inc.(a) | ||||
04/01/2026 | 5.500% | 14,000 | 14,648 | |
05/01/2028 | 4.250% | 10,000 | 9,994 | |
Charter Communications Operating LLC/Capital | ||||
07/01/2049 | 5.125% | 100,000 | 115,944 | |
03/01/2050 | 4.800% | 210,000 | 237,147 | |
04/01/2051 | 3.700% | 165,000 | 162,287 | |
Chemours Co. (The) | ||||
05/15/2023 | 6.625% | 24,000 | 22,972 | |
05/15/2027 | 5.375% | 8,000 | 7,249 | |
Cheniere Energy Partners LP | ||||
10/01/2026 | 5.625% | 39,000 | 38,707 | |
Cheniere Energy Partners LP(a) | ||||
10/01/2029 | 4.500% | 8,000 | 7,779 | |
CHS/Community Health Systems, Inc. | ||||
03/31/2023 | 6.250% | 36,000 | 33,883 | |
CHS/Community Health Systems, Inc.(a) | ||||
02/15/2025 | 6.625% | 33,000 | 31,469 | |
Cinemark USA, Inc.(a) | ||||
05/01/2025 | 8.750% | 26,000 | 27,244 | |
Citigroup, Inc.(f) | ||||
06/03/2031 | 2.572% | 225,000 | 232,532 | |
Clean Harbors, Inc.(a) | ||||
07/15/2027 | 4.875% | 11,000 | 11,301 | |
07/15/2029 | 5.125% | 8,000 | 8,291 | |
Clear Channel Worldwide Holdings, Inc. | ||||
02/15/2024 | 9.250% | 40,000 | 37,107 |
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Clear Channel Worldwide Holdings, Inc.(a) | ||||
08/15/2027 | 5.125% | 45,000 | 43,218 | |
Clearway Energy Operating LLC | ||||
10/15/2025 | 5.750% | 65,000 | 67,419 | |
09/15/2026 | 5.000% | 31,000 | 31,710 | |
Clearway Energy Operating LLC(a) | ||||
03/15/2028 | 4.750% | 21,000 | 21,392 | |
CMS Energy Corp. | ||||
11/15/2025 | 3.600% | 682,000 | 729,909 | |
Colt Merger Sub, Inc.(a),(g) | ||||
07/01/2025 | 5.750% | 11,000 | 11,058 | |
07/01/2025 | 6.250% | 44,000 | 43,849 | |
07/01/2027 | 8.125% | 22,000 | 21,265 | |
CommScope Technologies LLC(a) | ||||
06/15/2025 | 6.000% | 35,000 | 33,766 | |
Core & Main LP(a) | ||||
08/15/2025 | 6.125% | 63,000 | 62,719 | |
CrownRock LP/Finance, Inc.(a) | ||||
10/15/2025 | 5.625% | 73,000 | 65,462 | |
CSC Holdings LLC(a) | ||||
10/15/2025 | 10.875% | 81,000 | 87,090 | |
02/01/2028 | 5.375% | 66,000 | 68,550 | |
02/01/2029 | 6.500% | 128,000 | 140,136 | |
01/15/2030 | 5.750% | 23,000 | 23,934 | |
12/01/2030 | 4.625% | 41,000 | 39,844 | |
CSX Corp. | ||||
09/15/2049 | 3.350% | 195,000 | 216,395 | |
CVS Health Corp. | ||||
03/25/2048 | 5.050% | 455,000 | 594,776 | |
DCP Midstream Operating LP | ||||
07/15/2027 | 5.625% | 21,000 | 21,131 | |
05/15/2029 | 5.125% | 28,000 | 26,802 | |
04/01/2044 | 5.600% | 102,000 | 82,037 | |
Delek Logistics Partners LP/Finance Corp. | ||||
05/15/2025 | 6.750% | 32,000 | 29,263 | |
Delta Air Lines, Inc. | ||||
01/15/2026 | 7.375% | 29,000 | 28,048 | |
Diamond Sports Group LLC/Finance Co.(a) | ||||
08/15/2026 | 5.375% | 25,000 | 18,070 | |
08/15/2027 | 6.625% | 22,000 | 11,775 | |
Discovery Communications LLC | ||||
05/15/2049 | 5.300% | 20,000 | 23,985 | |
DISH DBS Corp. | ||||
03/15/2023 | 5.000% | 35,000 | 34,961 | |
11/15/2024 | 5.875% | 25,000 | 24,876 | |
07/01/2026 | 7.750% | 88,000 | 93,260 | |
DISH DBS Corp.(a),(g) | ||||
07/01/2028 | 7.375% | 35,000 | 35,043 |
24 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
Columbia Variable Portfolio – Global Strategic Income Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
DTE Energy Co. | ||||
06/01/2024 | 3.500% | 750,000 | 808,673 | |
10/01/2026 | 2.850% | 490,000 | 520,379 | |
Duke Energy Corp. | ||||
09/01/2046 | 3.750% | 345,000 | 390,395 | |
06/15/2049 | 4.200% | 190,000 | 232,378 | |
Eldorado Resorts, Inc. | ||||
04/01/2025 | 6.000% | 39,000 | 40,771 | |
09/15/2026 | 6.000% | 24,000 | 26,527 | |
Emera U.S. Finance LP | ||||
06/15/2046 | 4.750% | 620,000 | 737,216 | |
Encompass Health Corp. | ||||
02/01/2028 | 4.500% | 13,000 | 12,473 | |
Endeavor Energy Resources LP/Finance, Inc.(a) | ||||
07/15/2025 | 6.625% | 11,000 | 11,085 | |
01/30/2026 | 5.500% | 14,000 | 13,437 | |
01/30/2028 | 5.750% | 23,000 | 22,162 | |
Energizer Holdings, Inc.(a) | ||||
07/15/2026 | 6.375% | 36,000 | 37,260 | |
01/15/2027 | 7.750% | 29,000 | 30,981 | |
Ensemble S Merger Sub, Inc.(a) | ||||
09/30/2023 | 9.000% | 10,000 | 10,103 | |
Enterprise Products Operating LLC | ||||
01/31/2060 | 3.950% | 120,000 | 124,909 | |
EQM Midstream Partners LP(a) | ||||
07/01/2025 | 6.000% | 23,000 | 23,294 | |
07/01/2027 | 6.500% | 21,000 | 21,508 | |
ERAC U.S.A. Finance LLC(a) | ||||
11/01/2046 | 4.200% | 170,000 | 164,323 | |
Expedia Group, Inc.(a) | ||||
05/01/2025 | 6.250% | 5,000 | 5,312 | |
05/01/2025 | 7.000% | 3,000 | 3,142 | |
FedEx Corp. | ||||
04/01/2046 | 4.550% | 350,000 | 377,375 | |
Fidelity National Information Services, Inc. | ||||
05/21/2027 | 1.500% | EUR | 271,000 | 314,531 |
Fiserv, Inc. | ||||
07/01/2027 | 1.125% | EUR | 450,000 | 511,113 |
Five Corners Funding Trust(a) | ||||
11/15/2023 | 4.419% | 1,200,000 | 1,336,704 | |
Flex Acquisition Co., Inc.(a) | ||||
07/15/2026 | 7.875% | 31,000 | 30,039 | |
Ford Motor Co. | ||||
04/21/2023 | 8.500% | 11,000 | 11,630 | |
04/22/2025 | 9.000% | 11,000 | 11,892 | |
04/22/2030 | 9.625% | 4,000 | 4,741 | |
Ford Motor Credit Co. LLC | ||||
09/08/2024 | 3.664% | 91,000 | 85,766 |
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Freeport-McMoRan, Inc. | ||||
09/01/2029 | 5.250% | 36,000 | 36,829 | |
03/15/2043 | 5.450% | 99,000 | 97,315 | |
Front Range BidCo, Inc.(a) | ||||
03/01/2027 | 4.000% | 44,000 | 41,843 | |
03/01/2028 | 6.125% | 62,000 | 60,267 | |
frontdoor, Inc.(a) | ||||
08/15/2026 | 6.750% | 12,000 | 12,766 | |
Gartner, Inc.(a) | ||||
04/01/2025 | 5.125% | 52,000 | 53,236 | |
07/01/2028 | 4.500% | 28,000 | 28,283 | |
Gates Global LLC/Co.(a) | ||||
01/15/2026 | 6.250% | 53,000 | 52,328 | |
Genesis Energy LP/Finance Corp. | ||||
10/01/2025 | 6.500% | 4,000 | 3,436 | |
02/01/2028 | 7.750% | 18,000 | 15,840 | |
Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/U.S. Holdings I LLC(a) | ||||
11/30/2024 | 10.000% | 33,000 | 34,238 | |
Georgia Power Co. | ||||
01/30/2050 | 3.700% | 50,000 | 56,128 | |
Goldman Sachs Group, Inc. (The) | ||||
02/07/2030 | 2.600% | 150,000 | 157,281 | |
Guardian Life Insurance Co. of America (The)(a) | ||||
Subordinated | ||||
06/19/2064 | 4.875% | 275,000 | 349,656 | |
H&E Equipment Services, Inc. | ||||
09/01/2025 | 5.625% | 21,000 | 21,266 | |
HCA, Inc. | ||||
02/01/2025 | 5.375% | 48,000 | 51,372 | |
09/01/2028 | 5.625% | 20,000 | 22,305 | |
02/01/2029 | 5.875% | 23,000 | 26,003 | |
09/01/2030 | 3.500% | 27,000 | 25,882 | |
Herc Holdings, Inc.(a) | ||||
07/15/2027 | 5.500% | 33,000 | 33,162 | |
Hertz Corp. (The)(a),(h) | ||||
06/01/2022 | 0.000% | 25,000 | 18,852 | |
10/15/2024 | 0.000% | 102,000 | 31,741 | |
08/01/2026 | 0.000% | 63,000 | 19,664 | |
01/15/2028 | 0.000% | 169,000 | 52,766 | |
Hertz Corp. (The) | ||||
10/15/2022 | 6.250% | 12,000 | 3,735 | |
Hilcorp Energy I LP/Finance Co.(a) | ||||
10/01/2025 | 5.750% | 33,000 | 27,435 | |
11/01/2028 | 6.250% | 30,000 | 23,836 | |
Hillenbrand, Inc. | ||||
06/15/2025 | 5.750% | 7,000 | 7,245 | |
Hill-Rom Holdings, Inc.(a) | ||||
02/15/2025 | 5.000% | 25,000 | 25,850 |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 25 |
Columbia Variable Portfolio – Global Strategic Income Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Hilton Domestic Operating Co., Inc.(a) | ||||
05/01/2025 | 5.375% | 14,000 | 13,941 | |
05/01/2028 | 5.750% | 15,000 | 15,201 | |
Hilton Domestic Operating Co., Inc. | ||||
05/01/2026 | 5.125% | 42,000 | 41,812 | |
Holly Energy Partners LP/Finance Corp.(a) | ||||
02/01/2028 | 5.000% | 36,000 | 34,294 | |
Hologic, Inc.(a) | ||||
10/15/2025 | 4.375% | 38,000 | 38,435 | |
02/01/2028 | 4.625% | 12,000 | 12,527 | |
Honeywell International, Inc. | ||||
03/10/2032 | 0.750% | EUR | 100,000 | 109,948 |
HUB International Ltd.(a) | ||||
05/01/2026 | 7.000% | 50,000 | 49,859 | |
IAA Spinco, Inc.(a) | ||||
06/15/2027 | 5.500% | 22,000 | 22,744 | |
iHeartCommunications, Inc. | ||||
05/01/2026 | 6.375% | 17,082 | 17,019 | |
05/01/2027 | 8.375% | 90,385 | 82,752 | |
iHeartCommunications, Inc.(a) | ||||
08/15/2027 | 5.250% | 12,000 | 11,496 | |
01/15/2028 | 4.750% | 25,000 | 23,098 | |
Illuminate Buyer LLC/Holdings IV, Inc.(a) | ||||
07/01/2028 | 9.000% | 4,000 | 4,170 | |
Innophos Holdings, Inc.(a) | ||||
02/15/2028 | 9.375% | 28,000 | 27,530 | |
International Game Technology PLC(a) | ||||
02/15/2022 | 6.250% | 45,000 | 45,448 | |
02/15/2025 | 6.500% | 27,000 | 27,583 | |
IQVIA, Inc.(a) | ||||
01/15/2028 | 2.250% | EUR | 100,000 | 108,167 |
IRB Holding Corp.(a) | ||||
06/15/2025 | 7.000% | 48,000 | 49,432 | |
02/15/2026 | 6.750% | 92,000 | 87,918 | |
Iron Mountain, Inc. | ||||
08/15/2024 | 5.750% | 60,000 | 60,575 | |
Iron Mountain, Inc.(a) | ||||
01/15/2025 | 3.000% | EUR | 100,000 | 110,209 |
07/15/2028 | 5.000% | 20,000 | 19,596 | |
07/15/2030 | 5.250% | 50,000 | 49,250 | |
Jagged Peak Energy LLC | ||||
05/01/2026 | 5.875% | 28,000 | 27,277 | |
Jaguar Holding Co. II/PPD Development LP(a) | ||||
06/15/2025 | 4.625% | 14,000 | 14,235 | |
06/15/2028 | 5.000% | 13,000 | 13,306 | |
KAR Auction Services, Inc.(a) | ||||
06/01/2025 | 5.125% | 45,000 | 44,281 |
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Kinder Morgan Energy Partners LP | ||||
03/01/2043 | 5.000% | 105,000 | 116,398 | |
Kinder Morgan, Inc. | ||||
02/15/2046 | 5.050% | 485,000 | 556,406 | |
Kraft Heinz Foods Co. (The)(a) | ||||
05/25/2028 | 2.250% | EUR | 400,000 | 443,225 |
Kraft Heinz Foods Co. (The) | ||||
06/01/2046 | 4.375% | 505,000 | 495,477 | |
Kroger Co. (The) | ||||
01/15/2048 | 4.650% | 210,000 | 261,904 | |
L Brands Inc. | ||||
03/01/2033 | 6.950% | 16,000 | 11,246 | |
L Brands, Inc.(a) | ||||
07/01/2025 | 6.875% | 10,000 | 10,332 | |
07/01/2025 | 9.375% | 7,000 | 7,009 | |
L Brands, Inc. | ||||
06/15/2029 | 7.500% | 9,000 | 7,910 | |
11/01/2035 | 6.875% | 34,000 | 28,349 | |
Ladder Capital Finance Holdings LLLP/Corp.(a) | ||||
10/01/2025 | 5.250% | 41,000 | 35,309 | |
Lamar Media Corp.(a) | ||||
02/15/2028 | 3.750% | 14,000 | 13,265 | |
01/15/2029 | 4.875% | 14,000 | 14,151 | |
02/15/2030 | 4.000% | 5,000 | 4,800 | |
Lamb Weston Holdings, Inc.(a) | ||||
11/01/2024 | 4.625% | 17,000 | 17,634 | |
11/01/2026 | 4.875% | 25,000 | 25,909 | |
05/15/2028 | 4.875% | 13,000 | 13,765 | |
Lennar Corp. | ||||
11/15/2024 | 5.875% | 34,000 | 37,147 | |
06/01/2026 | 5.250% | 21,000 | 22,763 | |
Live Nation Entertainment, Inc.(a) | ||||
05/15/2027 | 6.500% | 30,000 | 30,905 | |
10/15/2027 | 4.750% | 15,000 | 12,945 | |
Matador Resources Co. | ||||
09/15/2026 | 5.875% | 85,000 | 63,053 | |
Match Group, Inc.(a) | ||||
12/15/2027 | 5.000% | 2,000 | 2,082 | |
06/01/2028 | 4.625% | 20,000 | 20,259 | |
02/15/2029 | 5.625% | 6,000 | 6,339 | |
Mattel, Inc.(a) | ||||
12/15/2027 | 5.875% | 28,000 | 28,856 | |
Mattel, Inc. | ||||
11/01/2041 | 5.450% | 27,000 | 22,374 | |
Meritage Homes Corp. | ||||
04/01/2022 | 7.000% | 26,000 | 27,527 | |
MGM Growth Properties Operating Partnership LP/Finance Co-Issuer, Inc.(a) | ||||
06/15/2025 | 4.625% | 18,000 | 17,659 |
26 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
Columbia Variable Portfolio – Global Strategic Income Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
MGM Growth Properties Operating Partnership LP/Finance Co-Issuer, Inc. | ||||
09/01/2026 | 4.500% | 20,000 | 19,698 | |
02/01/2027 | 5.750% | 18,000 | 18,621 | |
01/15/2028 | 4.500% | 18,000 | 17,463 | |
Microchip Technology, Inc.(a) | ||||
09/01/2025 | 4.250% | 27,000 | 27,126 | |
Mileage Plus Holdings LLC/Intellectual Property Assets Ltd.(a),(g) | ||||
06/20/2027 | 6.500% | 58,580 | 58,640 | |
Minerals Technologies, Inc.(a) | ||||
07/01/2028 | 5.000% | 19,000 | 19,285 | |
Moog, Inc.(a) | ||||
12/15/2027 | 4.250% | 18,000 | 17,556 | |
MPH Acquisition Holdings LLC(a) | ||||
06/01/2024 | 7.125% | 29,000 | 26,967 | |
MTS Systems Corp.(a) | ||||
08/15/2027 | 5.750% | 8,000 | 7,379 | |
Nabors Industries Ltd.(a) | ||||
01/15/2026 | 7.250% | 28,000 | 17,482 | |
01/15/2028 | 7.500% | 13,000 | 8,029 | |
Nabors Industries, Inc. | ||||
09/15/2023 | 5.100% | 17,000 | 8,059 | |
Navient Corp. | ||||
03/25/2021 | 5.875% | 41,000 | 40,291 | |
06/15/2022 | 6.500% | 40,000 | 39,290 | |
01/25/2023 | 5.500% | 19,000 | 18,247 | |
03/25/2024 | 6.125% | 37,000 | 35,221 | |
03/15/2027 | 5.000% | 18,000 | 15,329 | |
NCR Corp. | ||||
12/15/2023 | 6.375% | 49,000 | 49,852 | |
NCR Corp.(a) | ||||
04/15/2025 | 8.125% | 20,000 | 21,206 | |
09/01/2027 | 5.750% | 21,000 | 20,973 | |
Netflix, Inc. | ||||
04/15/2028 | 4.875% | 50,000 | 53,352 | |
11/15/2028 | 5.875% | 17,000 | 19,344 | |
05/15/2029 | 6.375% | 3,000 | 3,495 | |
Netflix, Inc.(a) | ||||
05/15/2029 | 4.625% | EUR | 100,000 | 124,708 |
11/15/2029 | 5.375% | 24,000 | 26,290 | |
06/15/2030 | 4.875% | 32,000 | 34,306 | |
Newell Brands, Inc. | ||||
06/01/2025 | 4.875% | 11,000 | 11,509 | |
NextEra Energy Operating Partners LP(a) | ||||
07/15/2024 | 4.250% | 21,000 | 21,135 | |
09/15/2027 | 4.500% | 65,000 | 67,992 | |
NFP Corp.(a) | ||||
05/15/2025 | 7.000% | 11,000 | 11,550 | |
07/15/2025 | 6.875% | 51,000 | 50,296 |
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
NiSource, Inc. | ||||
05/15/2047 | 4.375% | 425,000 | 517,960 | |
Noble Energy, Inc. | ||||
11/15/2043 | 5.250% | 150,000 | 138,309 | |
Novelis Corp.(a) | ||||
09/30/2026 | 5.875% | 93,000 | 92,870 | |
01/30/2030 | 4.750% | 43,000 | 41,079 | |
Novolex(a) | ||||
01/15/2025 | 6.875% | 15,000 | 14,423 | |
NRG Energy, Inc. | ||||
01/15/2027 | 6.625% | 61,000 | 63,894 | |
NRG Energy, Inc.(a) | ||||
06/15/2029 | 5.250% | 32,000 | 33,692 | |
NuStar Logistics LP | ||||
02/01/2022 | 4.750% | 14,000 | 13,693 | |
06/01/2026 | 6.000% | 17,000 | 16,345 | |
04/28/2027 | 5.625% | 46,000 | 44,455 | |
Occidental Petroleum Corp. | ||||
08/15/2024 | 2.900% | 61,000 | 52,131 | |
08/15/2029 | 3.500% | 37,000 | 27,079 | |
05/01/2031 | 7.500% | 13,000 | 12,089 | |
Occidental Petroleum Corp.(g) | ||||
07/15/2025 | 8.000% | 48,000 | 48,184 | |
Ortho-Clinical Diagnostics, Inc./SA(a) | ||||
06/01/2025 | 7.375% | 7,000 | 7,124 | |
02/01/2028 | 7.250% | 27,000 | 27,415 | |
Outfront Media Capital LLC/Corp.(a) | ||||
08/15/2027 | 5.000% | 11,000 | 9,929 | |
03/15/2030 | 4.625% | 37,000 | 33,807 | |
Par Pharmaceutical, Inc.(a) | ||||
04/01/2027 | 7.500% | 35,000 | 35,901 | |
Parsley Energy LLC/Finance Corp.(a) | ||||
10/15/2027 | 5.625% | 48,000 | 47,291 | |
02/15/2028 | 4.125% | 27,000 | 24,458 | |
Pattern Energy Group, Inc.(a) | ||||
02/01/2024 | 5.875% | 43,000 | 43,240 | |
Peachtree Corners Funding Trust(a) | ||||
02/15/2025 | 3.976% | 1,100,000 | 1,200,127 | |
Performance Food Group, Inc.(a) | ||||
05/01/2025 | 6.875% | 7,000 | 7,303 | |
10/15/2027 | 5.500% | 34,000 | 32,811 | |
PetSmart, Inc.(a) | ||||
03/15/2023 | 7.125% | 77,000 | 75,909 | |
06/01/2025 | 5.875% | 54,000 | 54,190 | |
PG&E Corp. | ||||
07/01/2028 | 5.000% | 25,000 | 24,991 | |
07/01/2030 | 5.250% | 17,000 | 17,095 |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 27 |
Columbia Variable Portfolio – Global Strategic Income Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Pilgrim’s Pride Corp.(a) | ||||
03/15/2025 | 5.750% | 5,000 | 4,985 | |
09/30/2027 | 5.875% | 29,000 | 29,017 | |
Plains All American Pipeline LP/Finance Corp. | ||||
06/15/2044 | 4.700% | 975,000 | 876,567 | |
Plantronics, Inc.(a) | ||||
05/31/2023 | 5.500% | 46,000 | 40,281 | |
Platform Specialty Products Corp.(a) | ||||
12/01/2025 | 5.875% | 77,000 | 77,846 | |
Post Holdings, Inc.(a) | ||||
08/15/2026 | 5.000% | 70,000 | 70,332 | |
03/01/2027 | 5.750% | 41,000 | 42,287 | |
01/15/2028 | 5.625% | 12,000 | 12,392 | |
04/15/2030 | 4.625% | 67,000 | 65,692 | |
PPL Capital Funding, Inc. | ||||
06/01/2023 | 3.400% | 1,287,000 | 1,364,289 | |
PQ Corp.(a) | ||||
11/15/2022 | 6.750% | 101,000 | 102,873 | |
12/15/2025 | 5.750% | 38,000 | 38,395 | |
Prestige Brands, Inc.(a) | ||||
03/01/2024 | 6.375% | 52,000 | 53,484 | |
01/15/2028 | 5.125% | 14,000 | 14,054 | |
Provident Funding Associates LP/Finance Corp.(a) | ||||
06/15/2025 | 6.375% | 57,000 | 53,868 | |
PTC, Inc.(a) | ||||
02/15/2025 | 3.625% | 7,000 | 6,941 | |
02/15/2028 | 4.000% | 11,000 | 10,922 | |
QEP Resources, Inc. | ||||
03/01/2026 | 5.625% | 30,000 | 18,970 | |
Qualitytech LP/QTS Finance Corp.(a) | ||||
11/15/2025 | 4.750% | 59,000 | 60,478 | |
Quicken Loans, Inc.(a) | ||||
05/01/2025 | 5.750% | 49,000 | 50,121 | |
01/15/2028 | 5.250% | 50,000 | 51,538 | |
Radiate HoldCo LLC/Finance, Inc.(a) | ||||
02/15/2023 | 6.875% | 10,000 | 10,151 | |
02/15/2025 | 6.625% | 35,000 | 35,036 | |
Refinitiv US Holdings, Inc.(a) | ||||
05/15/2026 | 4.500% | EUR | 100,000 | 117,192 |
05/15/2026 | 6.250% | 85,000 | 90,085 | |
11/15/2026 | 8.250% | 48,000 | 51,956 | |
Resideo Funding, Inc.(a) | ||||
11/01/2026 | 6.125% | 41,000 | 40,047 | |
Reynolds Group Issuer, Inc./LLC(a) | ||||
07/15/2024 | 7.000% | 65,000 | 65,285 | |
Sabre GLBL, Inc.(a) | ||||
04/15/2025 | 9.250% | 5,000 | 5,264 |
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
SBA Communications Corp. | ||||
09/01/2024 | 4.875% | 91,000 | 93,159 | |
Scientific Games International, Inc.(a),(g) | ||||
07/01/2025 | 8.625% | 21,000 | 19,637 | |
Scientific Games International, Inc.(a) | ||||
10/15/2025 | 5.000% | 51,000 | 47,291 | |
03/15/2026 | 8.250% | 47,000 | 42,141 | |
05/15/2028 | 7.000% | 13,000 | 10,379 | |
11/15/2029 | 7.250% | 14,000 | 11,233 | |
Scotts Miracle-Gro Co. (The) | ||||
10/15/2029 | 4.500% | 7,000 | 7,203 | |
Scripps Escrow, Inc.(a) | ||||
07/15/2027 | 5.875% | 12,000 | 11,371 | |
Select Medical Corp.(a) | ||||
08/15/2026 | 6.250% | 39,000 | 39,425 | |
Sempra Energy | ||||
06/15/2024 | 3.550% | 465,000 | 504,263 | |
06/15/2027 | 3.250% | 260,000 | 285,411 | |
SESI LLC | ||||
09/15/2024 | 7.750% | 14,000 | 4,990 | |
Shea Homes LP/Funding Corp.(a) | ||||
02/15/2028 | 4.750% | 38,000 | 35,951 | |
Silgan Holdings, Inc.(a) | ||||
06/01/2028 | 2.250% | EUR | 100,000 | 108,118 |
Sirius XM Radio, Inc.(a) | ||||
07/15/2024 | 4.625% | 17,000 | 17,423 | |
07/15/2026 | 5.375% | 46,000 | 47,629 | |
07/01/2030 | 4.125% | 49,000 | 48,450 | |
Six Flags Theme Parks, Inc.(a) | ||||
07/01/2025 | 7.000% | 13,000 | 13,495 | |
SM Energy Co. | ||||
06/01/2025 | 5.625% | 14,000 | 7,421 | |
09/15/2026 | 6.750% | 43,000 | 21,800 | |
01/15/2027 | 6.625% | 37,000 | 18,274 | |
Solera LLC/Finance, Inc.(a) | ||||
03/01/2024 | 10.500% | 19,000 | 19,330 | |
Southern Co. (The) | ||||
07/01/2046 | 4.400% | 405,000 | 483,431 | |
Spectrum Brands, Inc. | ||||
07/15/2025 | 5.750% | 48,000 | 49,254 | |
Spectrum Brands, Inc.(a) | ||||
10/01/2026 | 4.000% | EUR | 100,000 | 109,936 |
Springleaf Finance Corp. | ||||
03/15/2023 | 5.625% | 21,000 | 21,233 | |
10/01/2023 | 8.250% | 33,000 | 34,756 | |
03/15/2024 | 6.125% | 27,000 | 27,406 | |
06/01/2025 | 8.875% | 12,000 | 12,824 |
28 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
Columbia Variable Portfolio – Global Strategic Income Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Sprint Capital Corp. | ||||
11/15/2028 | 6.875% | 81,000 | 98,790 | |
03/15/2032 | 8.750% | 16,000 | 22,885 | |
Sprint Corp. | ||||
03/01/2026 | 7.625% | 49,000 | 57,874 | |
SPX FLOW, Inc.(a) | ||||
08/15/2024 | 5.625% | 9,000 | 9,196 | |
Staples, Inc.(a) | ||||
04/15/2026 | 7.500% | 10,000 | 7,876 | |
04/15/2027 | 10.750% | 7,000 | 4,153 | |
Sunoco LP/Finance Corp. | ||||
01/15/2023 | 4.875% | 13,000 | 12,949 | |
02/15/2026 | 5.500% | 37,000 | 35,937 | |
Surgery Center Holdings, Inc.(a) | ||||
04/15/2027 | 10.000% | 15,000 | 15,162 | |
Tallgrass Energy Partners LP/Finance Corp.(a) | ||||
03/01/2027 | 6.000% | 26,000 | 23,140 | |
01/15/2028 | 5.500% | 21,000 | 17,956 | |
Targa Resources Partners LP/Finance Corp. | ||||
02/01/2027 | 5.375% | 21,000 | 20,260 | |
01/15/2028 | 5.000% | 64,000 | 60,158 | |
Targa Resources Partners LP/Finance Corp.(a) | ||||
03/01/2030 | 5.500% | 62,000 | 59,684 | |
Taylor Morrison Communities, Inc.(a) | ||||
01/31/2025 | 5.875% | 26,000 | 26,357 | |
01/15/2028 | 5.750% | 21,000 | 21,759 | |
Teachers Insurance & Annuity Association of America(a) | ||||
Subordinated | ||||
09/15/2044 | 4.900% | 700,000 | 896,275 | |
TEGNA, Inc.(a) | ||||
09/15/2029 | 5.000% | 31,000 | 29,030 | |
Teleflex, Inc. | ||||
06/01/2026 | 4.875% | 11,000 | 11,329 | |
11/15/2027 | 4.625% | 25,000 | 26,286 | |
Teleflex, Inc.(a) | ||||
06/01/2028 | 4.250% | 10,000 | 10,266 | |
Tempo Acquisition LLC/Finance Corp.(a) | ||||
06/01/2025 | 5.750% | 15,000 | 15,418 | |
06/01/2025 | 6.750% | 8,000 | 8,114 | |
Tenet Healthcare Corp. | ||||
06/15/2023 | 6.750% | 43,000 | 42,669 | |
08/01/2025 | 7.000% | 26,000 | 25,337 | |
Tenet Healthcare Corp.(a) | ||||
04/01/2025 | 7.500% | 28,000 | 29,771 | |
02/01/2027 | 6.250% | 54,000 | 53,559 | |
11/01/2027 | 5.125% | 74,000 | 73,205 | |
06/15/2028 | 4.625% | 10,000 | 9,746 |
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
TerraForm Power Operating LLC(a) | ||||
01/31/2028 | 5.000% | 22,000 | 23,120 | |
01/15/2030 | 4.750% | 28,000 | 28,535 | |
Thermo Fisher Scientific, Inc. | ||||
10/01/2049 | 1.875% | EUR | 150,000 | 160,610 |
T-Mobile U.S.A., Inc. | ||||
01/15/2026 | 6.500% | 96,000 | 100,437 | |
02/01/2026 | 4.500% | 23,000 | 23,272 | |
02/01/2028 | 4.750% | 43,000 | 45,422 | |
TransDigm, Inc. | ||||
05/15/2025 | 6.500% | 42,000 | 39,322 | |
06/15/2026 | 6.375% | 16,000 | 14,598 | |
Subordinated | ||||
11/15/2027 | 5.500% | 61,000 | 53,229 | |
TransDigm, Inc.(a) | ||||
12/15/2025 | 8.000% | 30,000 | 31,512 | |
03/15/2026 | 6.250% | 132,000 | 131,612 | |
TransMontaigne Partners LP/TLP Finance Corp. | ||||
02/15/2026 | 6.125% | 41,000 | 39,598 | |
Transocean Guardian Ltd.(a) | ||||
01/15/2024 | 5.875% | 17,535 | 15,233 | |
Transocean Sentry Ltd.(a) | ||||
05/15/2023 | 5.375% | 27,000 | 22,815 | |
Transocean, Inc.(a) | ||||
02/01/2027 | 8.000% | 15,000 | 8,285 | |
TRI Pointe Group, Inc. | ||||
06/15/2028 | 5.700% | 14,000 | 14,310 | |
TRI Pointe Group, Inc./Homes | ||||
06/15/2024 | 5.875% | 15,000 | 15,485 | |
TriMas Corp.(a) | ||||
10/15/2025 | 4.875% | 5,000 | 5,014 | |
Twitter, Inc.(a) | ||||
12/15/2027 | 3.875% | 21,000 | 21,005 | |
Uber Technologies, Inc.(a) | ||||
11/01/2023 | 7.500% | 25,000 | 25,147 | |
05/15/2025 | 7.500% | 31,000 | 31,246 | |
Union Pacific Corp. | ||||
08/15/2059 | 3.950% | 200,000 | 235,160 | |
United Rentals North America, Inc. | ||||
09/15/2026 | 5.875% | 40,000 | 41,911 | |
12/15/2026 | 6.500% | 39,000 | 40,958 | |
07/15/2030 | 4.000% | 13,000 | 12,587 | |
USA Compression Partners LP/Finance Corp. | ||||
09/01/2027 | 6.875% | 20,000 | 19,070 | |
USI, Inc.(a) | ||||
05/01/2025 | 6.875% | 15,000 | 15,120 | |
Vail Resorts, Inc.(a) | ||||
05/15/2025 | 6.250% | 6,000 | 6,276 |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 29 |
Columbia Variable Portfolio – Global Strategic Income Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Valvoline, Inc.(a) | ||||
08/15/2025 | 4.375% | 25,000 | 25,148 | |
02/15/2030 | 4.250% | 22,000 | 21,570 | |
Valvoline, Inc. | ||||
08/15/2025 | 4.375% | 33,000 | 33,253 | |
Verizon Communications, Inc. | ||||
10/27/2026 | 1.375% | EUR | 340,000 | 399,564 |
Verscend Escrow Corp.(a) | ||||
08/15/2026 | 9.750% | 47,000 | 50,638 | |
Viasat, Inc.(a) | ||||
04/15/2027 | 5.625% | 13,000 | 13,335 | |
VICI Properties LP/Note Co., Inc.(a) | ||||
12/01/2026 | 4.250% | 23,000 | 22,098 | |
08/15/2030 | 4.125% | 43,000 | 40,996 | |
Viking Cruises Ltd.(a) | ||||
05/15/2025 | 13.000% | 2,000 | 2,100 | |
09/15/2027 | 5.875% | 51,000 | 30,425 | |
Vistra Operations Co. LLC(a) | ||||
09/01/2026 | 5.500% | 14,000 | 14,329 | |
02/15/2027 | 5.625% | 48,000 | 49,252 | |
07/31/2027 | 5.000% | 29,000 | 29,302 | |
VOC Escrow Ltd.(a) | ||||
02/15/2028 | 5.000% | 8,000 | 6,024 | |
Welbilt, Inc. | ||||
02/15/2024 | 9.500% | 16,000 | 15,272 | |
Wells Fargo & Co. | ||||
10/23/2026 | 3.000% | 160,000 | 174,791 | |
WESCO Distribution, Inc. | ||||
06/15/2024 | 5.375% | 18,000 | 18,005 | |
WESCO Distribution, Inc.(a) | ||||
06/15/2025 | 7.125% | 32,000 | 33,736 | |
06/15/2028 | 7.250% | 26,000 | 27,557 | |
Williams Companies, Inc. (The) | ||||
09/15/2045 | 5.100% | 365,000 | 398,948 | |
WPX Energy, Inc. | ||||
09/15/2024 | 5.250% | 50,000 | 49,418 | |
01/15/2030 | 4.500% | 96,000 | 84,470 | |
WR Grace & Co-Conn(a) | ||||
06/15/2027 | 4.875% | 29,000 | 29,375 | |
Wynn Las Vegas LLC/Capital Corp.(a) | ||||
03/01/2025 | 5.500% | 30,000 | 27,565 | |
Wynn Resorts Finance LLC/Capital Corp.(a) | ||||
04/15/2025 | 7.750% | 7,000 | 7,052 | |
XPO Logistics, Inc.(a) | ||||
06/15/2022 | 6.500% | 20,000 | 20,025 |
Corporate Bonds & Notes(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Yum! Brands, Inc.(a) | ||||
04/01/2025 | 7.750% | 5,000 | 5,392 | |
01/15/2030 | 4.750% | 16,000 | 16,350 | |
Total | 35,311,665 | |||
Virgin Islands 0.2% | ||||
Gold Fields Orogen Holdings BVI Ltd.(a) | ||||
05/15/2024 | 5.125% | 200,000 | 214,701 | |
Total Corporate Bonds & Notes (Cost $55,442,101) | 57,276,308 | |||
Foreign Government Obligations(c),(i) 17.8% | ||||
Angola 0.2% | ||||
Angolan Government International Bond(a) | ||||
11/26/2049 | 9.125% | 200,000 | 163,395 | |
Belarus 0.2% | ||||
Republic of Belarus International Bond(a) | ||||
06/29/2027 | 7.625% | 200,000 | 206,185 | |
Brazil 0.5% | ||||
Brazilian Government International Bond | ||||
01/27/2045 | 5.000% | 250,000 | 240,550 | |
Petrobras Global Finance BV | ||||
05/20/2023 | 4.375% | 250,000 | 254,007 | |
Total | 494,557 | |||
Canada 0.0% | ||||
NOVA Chemicals Corp.(a) | ||||
05/01/2025 | 5.000% | 6,000 | 5,601 | |
06/01/2027 | 5.250% | 32,000 | 28,154 | |
Total | 33,755 | |||
Chile 0.2% | ||||
Chile Government International Bond | ||||
01/25/2050 | 3.500% | 200,000 | 225,723 | |
Colombia 0.7% | ||||
Colombia Government International Bond | ||||
01/30/2030 | 3.000% | 400,000 | 396,096 | |
04/15/2031 | 3.125% | 200,000 | 198,628 | |
Ecopetrol SA | ||||
04/29/2030 | 6.875% | 135,000 | 154,628 | |
Total | 749,352 | |||
Costa Rica 0.2% | ||||
Costa Rica Government International Bond(a) | ||||
01/26/2023 | 4.250% | 200,000 | 189,114 |
30 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
Columbia Variable Portfolio – Global Strategic Income Fund, June 30, 2020 (Unaudited)
Foreign Government Obligations(c),(i) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Dominican Republic 0.8% | ||||
Dominican Republic International Bond(a) | ||||
04/20/2027 | 8.625% | 642,000 | 716,535 | |
01/30/2030 | 4.500% | 150,000 | 136,248 | |
Total | 852,783 | |||
Egypt 0.7% | ||||
Egypt Government International Bond(a) | ||||
01/15/2032 | 7.053% | 200,000 | 189,896 | |
03/01/2049 | 8.700% | 355,000 | 348,242 | |
03/01/2049 | 8.700% | 200,000 | 196,192 | |
Total | 734,330 | |||
El Salvador 0.4% | ||||
El Salvador Government International Bond(a) | ||||
02/28/2029 | 8.625% | 250,000 | 240,035 | |
04/10/2032 | 8.250% | 200,000 | 183,867 | |
Total | 423,902 | |||
Ghana 0.2% | ||||
Ghana Government International Bond(a) | ||||
02/11/2027 | 6.375% | 200,000 | 187,132 | |
Guatemala 0.4% | ||||
Guatemala Government Bond(a) | ||||
04/24/2032 | 5.375% | 200,000 | 221,171 | |
06/01/2050 | 6.125% | 200,000 | 231,599 | |
Total | 452,770 | |||
Honduras 0.2% | ||||
Honduras Government International Bond(a) | ||||
06/24/2030 | 5.625% | 200,000 | 203,607 | |
India 0.4% | ||||
Export-Import Bank of India(a) | ||||
01/15/2030 | 3.250% | 200,000 | 197,141 | |
Indian Railway Finance Corp., Ltd.(a) | ||||
02/13/2030 | 3.249% | 200,000 | 197,997 | |
Total | 395,138 | |||
Indonesia 2.7% | ||||
Indonesia Government International Bond(a) | ||||
05/05/2021 | 4.875% | 364,000 | 374,971 | |
01/08/2027 | 4.350% | 400,000 | 444,309 | |
01/15/2045 | 5.125% | 200,000 | 245,185 | |
Perusahaan Penerbit SBSN Indonesia III(a) | ||||
06/23/2025 | 2.300% | 200,000 | 200,314 | |
PT Indonesia Asahan Aluminium Persero(a) | ||||
05/15/2030 | 5.450% | 200,000 | 222,151 | |
11/15/2048 | 6.757% | 200,000 | 245,027 |
Foreign Government Obligations(c),(i) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
PT Pertamina Persero(a) | ||||
01/21/2030 | 3.100% | 400,000 | 402,873 | |
PT Perusahaan Perseroan Persero/Listrik Negara(a) | ||||
06/30/2050 | 4.000% | 200,000 | 195,573 | |
Saka Energi Indonesia PT(a) | ||||
05/05/2024 | 4.450% | 500,000 | 458,653 | |
Total | 2,789,056 | |||
Ivory Coast 0.3% | ||||
Ivory Coast Government International Bond(a) | ||||
03/03/2028 | 6.375% | 250,000 | 255,828 | |
Kazakhstan 0.3% | ||||
KazMunayGas National Co. JSC(a) | ||||
04/24/2030 | 5.375% | 300,000 | 339,967 | |
Malaysia 0.2% | ||||
Petronas Capital Ltd.(a) | ||||
04/21/2030 | 3.500% | 200,000 | 221,558 | |
Mexico 0.8% | ||||
Petroleos Mexicanos(a) | ||||
01/23/2030 | 6.840% | 250,000 | 219,390 | |
01/28/2031 | 5.950% | 400,000 | 329,480 | |
01/23/2050 | 7.690% | 273,000 | 226,600 | |
Total | 775,470 | |||
Netherlands 0.8% | ||||
Stedin Holding NV(a),(f) | ||||
12/31/2049 | 3.250% | EUR | 270,000 | 307,315 |
Syngenta Finance NV(a) | ||||
04/24/2028 | 5.182% | 500,000 | 533,852 | |
Total | 841,167 | |||
Panama 0.2% | ||||
Panama Government International Bond | ||||
01/23/2030 | 3.160% | 200,000 | 215,514 | |
Paraguay 0.5% | ||||
Paraguay Government International Bond(a) | ||||
08/11/2044 | 6.100% | 250,000 | 305,731 | |
03/30/2050 | 5.400% | 200,000 | 227,712 | |
Total | 533,443 | |||
Peru 0.5% | ||||
Peruvian Government International Bond | ||||
06/20/2030 | 2.844% | 500,000 | 535,459 |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 31 |
Columbia Variable Portfolio – Global Strategic Income Fund, June 30, 2020 (Unaudited)
Foreign Government Obligations(c),(i) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Qatar 1.0% | ||||
Qatar Government International Bond(a) | ||||
03/14/2029 | 4.000% | 400,000 | 460,321 | |
04/16/2030 | 3.750% | 200,000 | 228,166 | |
04/23/2048 | 5.103% | 250,000 | 341,577 | |
Total | 1,030,064 | |||
Romania 0.6% | ||||
Romanian Government International Bond(a) | ||||
01/22/2024 | 4.875% | 232,000 | 252,643 | |
04/03/2049 | 4.625% | EUR | 300,000 | 386,231 |
Total | 638,874 | |||
Russian Federation 0.2% | ||||
Gazprom PJSC via Gaz Finance PLC(a) | ||||
02/25/2030 | 3.250% | 245,000 | 243,951 | |
Saudi Arabia 0.9% | ||||
Saudi Arabian Oil Co.(a) | ||||
04/16/2029 | 3.500% | 300,000 | 324,624 | |
Saudi Government International Bond(a) | ||||
01/21/2055 | 3.750% | 625,000 | 639,448 | |
Total | 964,072 | |||
Senegal 0.4% | ||||
Senegal Government International Bond(a) | ||||
07/30/2024 | 6.250% | 400,000 | 420,999 | |
Sri Lanka 0.1% | ||||
Sri Lanka Government International Bond(a) | ||||
03/14/2029 | 7.850% | 200,000 | 132,214 | |
Turkey 0.9% | ||||
Turkey Government International Bond | ||||
03/25/2027 | 6.000% | 250,000 | 244,096 | |
02/17/2028 | 5.125% | 500,000 | 460,624 | |
01/14/2041 | 6.000% | 200,000 | 172,920 | |
Total | 877,640 | |||
Ukraine 0.3% | ||||
NAK Naftogaz Ukraine via Kondor Finance PLC(a) | ||||
11/08/2026 | 7.625% | 200,000 | 194,552 | |
Ukraine Government International Bond(a) | ||||
09/01/2026 | 7.750% | 100,000 | 104,277 | |
Total | 298,829 | |||
United Arab Emirates 1.5% | ||||
Abu Dhabi Government International Bond(a) | ||||
09/30/2049 | 3.125% | 850,000 | 887,534 | |
04/16/2050 | 3.875% | 200,000 | 237,009 |
Foreign Government Obligations(c),(i) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
DP World Crescent Ltd.(a) | ||||
07/18/2029 | 3.875% | 200,000 | 196,421 | |
DP World PLC(a) | ||||
07/02/2037 | 6.850% | 200,000 | 243,754 | |
Total | 1,564,718 | |||
Virgin Islands 0.5% | ||||
Sinopec Group Overseas Development 2016 Ltd.(a) | ||||
09/29/2026 | 2.750% | 250,000 | 265,270 | |
State Grid Overseas Investment 2016 Ltd.(a) | ||||
05/04/2027 | 3.500% | 200,000 | 220,730 | |
Total | 486,000 | |||
Total Foreign Government Obligations (Cost $18,324,892) | 18,476,566 | |||
Residential Mortgage-Backed Securities - Agency 0.4% | ||||
United States 0.4% | ||||
Federal National Mortgage Association(b),(j) | ||||
CMO Series 2019-33 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 07/25/2049 | 5.866% | 293,794 | 62,482 | |
Government National Mortgage Association(b),(j) | ||||
CMO Series 2017-141 Class ES | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 09/20/2047 | 6.010% | 196,147 | 47,095 | |
CMO Series 2018-155 Class ES | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 11/20/2048 | 5.910% | 176,788 | 31,078 | |
CMO Series 2019-23 Class LS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 02/20/2049 | 5.860% | 645,903 | 134,827 | |
CMO Series 2019-23 Class SQ | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 02/20/2049 | 5.860% | 753,133 | 153,069 | |
Total | 428,551 | |||
Total Residential Mortgage-Backed Securities - Agency (Cost $342,486) | 428,551 | |||
Residential Mortgage-Backed Securities - Non-Agency 13.9% | ||||
United States 13.9% | ||||
Angel Oak Mortgage Trust I LLC(a),(d) | ||||
CMO Series 2019-1 Class M1 | ||||
11/25/2048 | 4.500% | 1,000,000 | 1,006,675 |
32 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
Columbia Variable Portfolio – Global Strategic Income Fund, June 30, 2020 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Bayview Koitere Fund Trust(a),(d),(k),(l) | ||||
CMO Series 2020-LT1 Class A1 | ||||
06/28/2035 | 4.213% | 750,000 | 750,000 | |
Bellemeade Re Ltd.(a),(b) | ||||
CMO Series 2019-1A Class M1B | ||||
1-month USD LIBOR + 1.750% Floor 1.750% 03/25/2029 | 1.935% | 1,000,000 | 923,246 | |
CMO Series 2019-3A Class M1B | ||||
1-month USD LIBOR + 1.600% Floor 1.600% 07/25/2029 | 1.785% | 200,000 | 189,087 | |
COLT Mortgage Loan Trust(a),(d) | ||||
CMO Series 2019-1 Class M1 | ||||
03/25/2049 | 4.518% | 1,000,000 | 999,008 | |
Eagle Re Ltd.(a),(b) | ||||
CMO Series 2019-1 Class M1B | ||||
1-month USD LIBOR + 1.800% 04/25/2029 | 1.985% | 421,095 | 417,615 | |
Eagle RE Ltd.(a),(b) | ||||
Subordinated CMO Series 2020-1 Class M1C | ||||
1-month USD LIBOR + 1.800% 01/25/2030 | 1.985% | 797,000 | 692,280 | |
GCAT LLC(a) | ||||
CMO Series 2019-NQM1 Class M1 | ||||
02/25/2059 | 3.849% | 440,000 | 439,672 | |
GCAT LLC(a),(d) | ||||
CMO Series 2020-1 Class A1 | ||||
01/26/2060 | 2.981% | 501,671 | 495,104 | |
Homeward Opportunities Fund I Trust(a),(d) | ||||
CMO Series 2019-1 Class B1 | ||||
01/25/2059 | 4.800% | 700,000 | 680,658 | |
CMO Series 2019-2 Class A3 | ||||
09/25/2059 | 3.007% | 214,009 | 212,246 | |
Legacy Mortgage Asset Trust(a) | ||||
CMO Series 2019-GS1 Class A1 | ||||
01/25/2059 | 4.000% | 761,545 | 739,798 | |
New Residential Mortgage LLC(a) | ||||
Subordinated CMO Series 2018-FNT1 Class G | ||||
05/25/2023 | 5.670% | 591,223 | 557,929 | |
PMT Credit Risk Transfer Trust(a),(b) | ||||
CMO Series 2019-1R Class A | ||||
1-month USD LIBOR + 2.000% Floor 2.000% 03/27/2024 | 2.184% | 316,242 | 288,063 | |
PNMAC GMSR Issuer Trust(a),(b) | ||||
CMO Series 2018-GT2 Class A | ||||
1-month USD LIBOR + 2.650% 08/25/2025 | 2.835% | 1,000,000 | 954,642 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Preston Ridge Partners Mortgage LLC(a),(d) | ||||
CMO Series 2019-1A Class A1 | ||||
01/25/2024 | 4.500% | 764,282 | 770,633 | |
RCO V Mortgage LLC(a),(d) | ||||
CMO Series 2019-2 Class A1 | ||||
11/25/2024 | 3.475% | 181,594 | 181,235 | |
SG Residential Mortgage Trust(a),(d) | ||||
CMO Series 2019-3 Class M1 | ||||
09/25/2059 | 3.526% | 400,000 | 380,022 | |
Toorak Mortgage Corp., Ltd.(a),(d) | ||||
CMO Series 2018-1 Class A1 | ||||
08/25/2021 | 4.336% | 500,000 | 500,378 | |
CMO Series 2019-1 Class A1 | ||||
03/25/2022 | 4.458% | 500,000 | 500,404 | |
Vericrest Opportunity Loan Transferee LXXXVII LLC(a),(d) | ||||
CMO Series 2020-NPL3 Class A1A | ||||
02/25/2050 | 2.981% | 469,888 | 465,297 | |
Vericrest Opportunity Loan Transferee LXXXVIII LLC(a),(d) | ||||
CMO Series 2020-NPL4 Class A1 | ||||
03/25/2050 | 2.981% | 238,355 | 235,021 | |
Vericrest Opportunity Loan Trust(a),(d) | ||||
CMO Series 2020-NPL5 Class A1B | ||||
03/25/2050 | 3.475% | 812,500 | 781,257 | |
Verus Securitization Trust(a),(d) | ||||
CMO Series 2019-1 Class A1 | ||||
02/25/2059 | 3.836% | 365,773 | 372,856 | |
CMO Series 2020-1 Class M1 | ||||
01/25/2060 | 3.021% | 400,000 | 371,999 | |
Verus Securitization Trust(a) | ||||
CMO Series 2020-INV1 Class M1 | ||||
04/25/2060 | 5.500% | 500,000 | 506,207 | |
Total | 14,411,332 | |||
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $14,717,069) | 14,411,332 |
Money Market Funds 3.2% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(m),(n) | 3,352,051 | 3,352,051 |
Total Money Market Funds (Cost $3,352,221) | 3,352,051 | |
Total Investments in Securities (Cost $100,413,886) | 101,805,012 | |
Other Assets & Liabilities, Net | 2,007,560 | |
Net Assets | $103,812,572 |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 33 |
Columbia Variable Portfolio – Global Strategic Income Fund, June 30, 2020 (Unaudited)
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
16,322,000 EUR | 18,278,894 USD | UBS | 07/27/2020 | — | (69,484) |
1,470,000 GBP | 1,816,848 USD | UBS | 07/27/2020 | — | (4,948) |
Total | — | (74,432) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 10-Year Note | 8 | 09/2020 | USD | 1,113,375 | 2,985 | — |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Long Bond | (23) | 09/2020 | USD | (4,106,938) | — | (11,550) |
U.S. Treasury 10-Year Note | (126) | 09/2020 | USD | (17,535,656) | — | (47,521) |
U.S. Ultra Treasury Bond | (21) | 09/2020 | USD | (4,581,281) | 17,179 | — |
Total | 17,179 | (59,071) |
Credit default swap contracts - buy protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Pay fixed rate (%) | Payment frequency | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit iTraxx Asia ex-Japan Investment Grade Index, Series 32 | Barclays | 12/20/2024 | 1.000 | Quarterly | USD | 171,429 | (2,738) | (43) | — | (3,358) | 576 | — |
Deutsche Bank AG | Citi | 12/20/2024 | 1.000 | Quarterly | EUR | 600,000 | 62,081 | (169) | 66,416 | — | — | (4,504) |
Markit iTraxx Asia ex-Japan Investment Grade Index, Series 32 | Citi | 12/20/2024 | 1.000 | Quarterly | USD | 2,783,000 | (44,451) | (696) | — | (53,735) | 8,588 | — |
Markit iTraxx Asia ex-Japan Investment Grade Index, Series 32 | Citi | 12/20/2024 | 1.000 | Quarterly | USD | 500,000 | (7,986) | (126) | — | (9,793) | 1,682 | — |
Markit iTraxx Asia ex-Japan Investment Grade Index, Series 32 | Citi | 12/20/2024 | 1.000 | Quarterly | USD | 171,428 | (2,738) | (43) | — | (3,192) | 411 | — |
Markit iTraxx Asia ex-Japan Investment Grade Index, Series 32 | Goldman Sachs International | 12/20/2024 | 1.000 | Quarterly | USD | 257,143 | (4,107) | (64) | — | (4,787) | 616 | — |
Total | 61 | (1,141) | 66,416 | (74,865) | 11,873 | (4,504) |
34 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
Columbia Variable Portfolio – Global Strategic Income Fund, June 30, 2020 (Unaudited)
Cleared credit default swap contracts - buy protection | |||||||||||
Reference entity | Counterparty | Maturity date | Pay fixed rate (%) | Payment frequency | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America Investment Grade Index, Series 34 | Morgan Stanley | 06/20/2025 | 1.000 | Quarterly | USD | 1,658,000 | (18,620) | — | — | — | (18,620) |
Markit iTraxx Europe Main Index, Series 33 | Morgan Stanley | 06/20/2025 | 1.000 | Quarterly | EUR | 5,787,000 | (65,789) | — | — | — | (65,789) |
Total | (84,409) | — | — | — | (84,409) |
(a) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At June 30, 2020, the total value of these securities amounted to $71,244,814, which represents 68.63% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of June 30, 2020. |
(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 June 30, 2020. |
(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 June 30, 2020. |
(g) | Represents a security purchased on a when-issued basis. |
(h) | Represents securities that have defaulted on payment of interest. The Fund has stopped accruing interest on these securities. At June 30, 2020, the total value of these securities amounted to $123,023, which represents 0.12% of total net assets. |
(i) | Principal and interest may not be guaranteed by a governmental entity. |
(j) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
(k) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At June 30, 2020, the total value of these securities amounted to $750,000, which represents 0.72% of total net assets. |
(l) | Valuation based on significant unobservable inputs. |
(m) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
(n) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | ||||||||
4,043,270 | 41,192,723 | (41,883,866) | (76) | 3,352,051 | 1,064 | 18,392 | 3,352,051 |
CMO | Collateralized Mortgage Obligation |
LIBOR | London Interbank Offered Rate |
EUR | Euro |
GBP | British Pound |
USD | US Dollar |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 35 |
Columbia Variable Portfolio – Global Strategic Income Fund, June 30, 2020 (Unaudited)
■ | 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 | — | 2,328,688 | — | 2,328,688 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 5,531,516 | — | 5,531,516 |
Corporate Bonds & Notes | — | 57,276,308 | — | 57,276,308 |
Foreign Government Obligations | — | 18,476,566 | — | 18,476,566 |
Residential Mortgage-Backed Securities - Agency | — | 428,551 | — | 428,551 |
Residential Mortgage-Backed Securities - Non-Agency | — | 13,661,332 | 750,000 | 14,411,332 |
Money Market Funds | 3,352,051 | — | — | 3,352,051 |
Total Investments in Securities | 3,352,051 | 97,702,961 | 750,000 | 101,805,012 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 20,164 | — | — | 20,164 |
Swap Contracts | — | 11,873 | — | 11,873 |
Liability | ||||
Forward Foreign Currency Exchange Contracts | — | (74,432) | — | (74,432) |
Futures Contracts | (59,071) | — | — | (59,071) |
Swap Contracts | — | (88,913) | — | (88,913) |
Total | 3,313,144 | 97,551,489 | 750,000 | 101,614,633 |
36 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2020 (Unaudited)
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% | 252,498 | 270,301 | |
Total Asset-Backed Securities — Agency (Cost $256,863) | 270,301 | |||
Asset-Backed Securities — Non-Agency 16.0% | ||||
American Credit Acceptance Receivables Trust(a) | ||||
Series 2019-4 Class D | ||||
12/12/2025 | 2.970% | 9,600,000 | 9,623,025 | |
Apidos CLO XXXIII(a),(b),(c) | ||||
Series 2020-33A Class C | ||||
3-month USD LIBOR + 2.700% Floor 2.850% 07/24/2031 | 2.000% | 5,250,000 | 5,249,995 | |
ARES XLVI CLO Ltd.(a),(b) | ||||
Series 2017-46A Class B1 | ||||
3-month USD LIBOR + 1.350% 01/15/2030 | 2.569% | 18,020,000 | 17,328,915 | |
Avant Loans Funding Trust(a) | ||||
Series 2019-A Class A | ||||
07/15/2022 | 3.480% | 4,124,531 | 4,130,875 | |
Series 2019-B Class A | ||||
10/15/2026 | 2.720% | 15,594,625 | 15,623,076 | |
Series 2020-REV1 Class A | ||||
05/15/2029 | 2.170% | 19,483,000 | 19,211,686 | |
Subordinated Series 2018-A Class B | ||||
12/15/2022 | 3.950% | 153,616 | 153,599 | |
Subordinated Series 2018-B Class B | ||||
07/15/2022 | 4.110% | 5,574,340 | 5,619,725 | |
Bain Capital Credit CLO(a),(b) | ||||
Series 2018-1A Class B | ||||
3-month USD LIBOR + 1.400% 04/23/2031 | 2.443% | 22,300,000 | 20,813,281 | |
Carlyle Global Market Strategies CLO Ltd.(a),(b) | ||||
Series 2013-1A Class A1R | ||||
3-month USD LIBOR + 1.220% 08/14/2030 | 1.644% | 5,946,835 | 5,814,000 | |
Carlyle Group LP(a),(b) | ||||
Series 2017-5A Class A2 | ||||
3-month USD LIBOR + 1.400% 01/20/2030 | 2.535% | 12,000,000 | 11,222,808 | |
Cent CLO Ltd.(a),(b) | ||||
Series 2018-C17A Class A2R | ||||
3-month USD LIBOR + 1.600% 04/30/2031 | 2.360% | 21,000,000 | 19,874,421 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CLUB Credit Trust(a) | ||||
Subordinated Series 2017-P2 Class B | ||||
01/15/2024 | 3.560% | 1,629,903 | 1,622,607 | |
Conn’s Receivables Funding LLC(a) | ||||
Series 2018-A Class A | ||||
01/15/2023 | 3.250% | 1,218,046 | 1,206,993 | |
Series 2019-B Class A | ||||
06/17/2024 | 2.660% | 8,379,039 | 8,191,098 | |
Series 2019-B Class B | ||||
06/17/2024 | 3.620% | 11,000,000 | 10,165,119 | |
Consumer Lending Receivables Trust(a) | ||||
Series 2019-A Class A | ||||
04/15/2026 | 3.520% | 7,738,031 | 7,676,270 | |
Series 2019-A Class B | ||||
04/15/2026 | 4.010% | 6,720,000 | 6,596,982 | |
Consumer Loan Underlying Bond CLUB Credit Trust(a) | ||||
Series 2019-P2 Class A | ||||
10/15/2026 | 2.470% | 6,044,944 | 6,056,612 | |
Series 2020-P1 Class A | ||||
03/15/2028 | 2.260% | 6,175,632 | 6,180,366 | |
Consumer Loan Underlying Bond Credit Trust(a) | ||||
Series 2018-P1 Class A | ||||
07/15/2025 | 3.390% | 2,735,544 | 2,713,443 | |
Series 2018-P2 Class A | ||||
10/15/2025 | 3.470% | 3,596,641 | 3,607,954 | |
Dryden 57 CLO Ltd.(a),(b) | ||||
Series 2018-57A Class B | ||||
3-month USD LIBOR + 1.350% Floor 1.350% 05/15/2031 | 1.742% | 14,617,500 | 13,957,403 | |
DT Auto Owner Trust(a) | ||||
Subordinated Series 2018-3A Class D | ||||
07/15/2024 | 4.190% | 11,675,000 | 12,040,812 | |
Subordinated Series 2020-1A Class D | ||||
11/17/2025 | 2.550% | 10,000,000 | 9,914,161 | |
ENVA LLC(a) | ||||
Series 2019-A Class A | ||||
06/22/2026 | 3.960% | 3,073,665 | 3,082,789 | |
Exeter Automobile Receivables Trust(a) | ||||
Series 2019-4A Class D | ||||
09/15/2025 | 2.580% | 9,600,000 | 9,564,230 | |
Series 2020-2A Class C | ||||
05/15/2025 | 3.280% | 8,540,000 | 8,776,632 | |
Subordinated Series 2020-1A Class D | ||||
12/15/2025 | 2.730% | 10,700,000 | 9,645,345 |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 37 |
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2020 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
GLS Auto Receivables Issuer Trust(a) | ||||
Series 2020-1A Class B | ||||
11/15/2024 | 2.430% | 13,000,000 | 13,061,871 | |
Subordinated Series 2019-4A Class C | ||||
08/15/2025 | 3.060% | 4,225,000 | 4,260,257 | |
Goldentree Loan Opportunities XI Ltd.(a),(b) | ||||
Series 2015-11A Class BR2 | ||||
3-month USD LIBOR + 1.350% 01/18/2031 | 2.485% | 10,000,000 | 9,634,240 | |
LendingClub Receivables Trust(a) | ||||
Series 2019-1 Class A | ||||
07/17/2045 | 4.000% | 11,891,665 | 11,807,076 | |
Series 2019-2 Class A | ||||
08/15/2025 | 4.000% | 14,415,778 | 14,314,282 | |
Series 2019-3 Class A | ||||
10/15/2025 | 3.750% | 15,549,408 | 15,442,447 | |
Series 2019-7 Class A | ||||
01/15/2027 | 3.750% | 14,850,989 | 14,808,607 | |
Series 2020-1 Class A | ||||
01/16/2046 | 3.500% | 19,722,031 | 19,594,670 | |
Series 2020-2 Class A | ||||
02/15/2046 | 3.600% | 10,059,340 | 10,023,764 | |
Series 2020-T1 Class A | ||||
02/15/2046 | 3.500% | 19,141,468 | 19,072,913 | |
Madison Park Funding XXIV Ltd.(a),(b) | ||||
Series 2016-24A Class BR | ||||
3-month USD LIBOR + 1.750% 10/20/2029 | 2.885% | 20,000,000 | 19,410,700 | |
Madison Park Funding XXVII Ltd.(a),(b) | ||||
Series 2018-27A Class A2 | ||||
3-month USD LIBOR + 1.350% 04/20/2030 | 2.485% | 27,300,000 | 25,842,207 | |
Madison Park Funding XXXII Ltd.(a),(b) | ||||
Series 2018-32A Class C | ||||
3-month USD LIBOR + 2.900% Floor 2.900% 01/22/2031 | 3.998% | 14,000,000 | 13,746,572 | |
Marlette Funding Trust(a) | ||||
Series 2019-1A Class B | ||||
04/16/2029 | 3.940% | 11,039,000 | 10,592,474 | |
Subordinated Series 2018-4A Class B | ||||
12/15/2028 | 4.210% | 8,700,000 | 8,363,565 | |
Octagon Investment Partners 30 Ltd.(a),(b) | ||||
Series 2017-1A Class A1 | ||||
3-month USD LIBOR + 1.320% 03/17/2030 | 2.455% | 7,000,000 | 6,874,973 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Octagon Investment Partners 35 Ltd.(a),(b) | ||||
Series 2018-1A Class A2 | ||||
3-month USD LIBOR + 1.400% Floor 1.400% 01/20/2031 | 2.535% | 20,375,000 | 19,437,546 | |
Octagon Investment Partners XXII Ltd.(a),(b) | ||||
Series 2014-1A Class BRR | ||||
3-month USD LIBOR + 1.450% Floor 1.450% 01/22/2030 | 2.548% | 45,625,000 | 44,138,811 | |
OneMain Financial Issuance Trust(a) | ||||
Series 2018-1A Class A | ||||
03/14/2029 | 3.300% | 23,470,000 | 23,405,507 | |
OZLM Funding IV Ltd.(a),(b) | ||||
Series 2013-4A Class D2R | ||||
3-month USD LIBOR + 7.250% 10/22/2030 | 8.348% | 2,007,405 | 1,511,578 | |
OZLM XXI(a),(b) | ||||
Series 2017-21A Class A1 | ||||
3-month USD LIBOR + 1.150% 01/20/2031 | 2.285% | 31,700,000 | 30,879,699 | |
Series 2017-21A Class A2 | ||||
3-month USD LIBOR + 1.450% 01/20/2031 | 2.585% | 20,000,000 | 18,948,180 | |
Pagaya AI Debt Selection Trust(a),(d) | ||||
Series 2019-1 Class A | ||||
06/15/2026 | 3.690% | 11,330,011 | 10,933,460 | |
Pagaya AI Debt Selection Trust(a) | ||||
Series 2019-2 Class A2A | ||||
09/15/2026 | 3.929% | 6,407,415 | 6,361,364 | |
Series 2019-3 Class A | ||||
11/16/2026 | 3.821% | 17,271,331 | 17,060,389 | |
Prosper Marketplace Issuance Trust(a) | ||||
Series 2018-1A Class C | ||||
06/17/2024 | 4.870% | 8,546,499 | 8,508,676 | |
Series 2019-1A Class A | ||||
04/15/2025 | 3.540% | 1,440,976 | 1,433,523 | |
Series 2019-2A Class A | ||||
09/15/2025 | 3.200% | 1,033,574 | 1,030,864 | |
Series 2019-3A Class B | ||||
07/15/2025 | 3.590% | 5,000,000 | 4,908,788 | |
Subordinated Series 2017-1A Class C | ||||
06/15/2023 | 5.800% | 1,032,706 | 1,018,853 | |
Subordinated Series 2017-2A Class C | ||||
09/15/2023 | 5.370% | 2,788,826 | 2,737,776 | |
Prosper Pass-Through Trust(a),(d),(e) | ||||
Series 2019-ST2 Class A | ||||
11/15/2025 | 3.750% | 11,716,288 | 11,247,636 |
38 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2020 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
RR 3 Ltd.(a),(b) | ||||
Series 2014-14A Class A2R2 | ||||
3-month USD LIBOR + 1.400% Floor 1.400% 01/15/2030 | 2.619% | 28,000,000 | 27,138,608 | |
SoFi Consumer Loan Program LLC(a) | ||||
Series 2016-5 Class A | ||||
09/25/2028 | 3.060% | 2,227,628 | 2,232,333 | |
Series 2017-5 Class A2 | ||||
09/25/2026 | 2.780% | 1,845,342 | 1,863,761 | |
SoFi Consumer Loan Program Trust(a) | ||||
Series 2018-1 Class A2 | ||||
02/25/2027 | 3.140% | 5,119,215 | 5,161,352 | |
Series 2019-2 Class A | ||||
04/25/2028 | 3.010% | 2,671,656 | 2,706,106 | |
Stewart Park CLO Ltd.(a),(b) | ||||
Series 2017-1A Class BR | ||||
3-month USD LIBOR + 1.370% Floor 1.370% 01/15/2030 | 2.589% | 11,171,429 | 10,746,758 | |
Upgrade Receivables Trust(a) | ||||
Series 2019-1A Class A | ||||
03/15/2025 | 3.480% | 740,701 | 739,847 | |
Westlake Automobile Receivables Trust(a) | ||||
Subordinated Series 2019-3A Class D | ||||
11/15/2024 | 2.720% | 15,300,000 | 15,328,352 | |
Total Asset-Backed Securities — Non-Agency (Cost $758,502,530) | 741,994,607 | |||
Commercial Mortgage-Backed Securities - Agency 1.8% | ||||
Federal National Mortgage Association(f) | ||||
Series 2017-M15 Class ATS2 | ||||
11/25/2027 | 3.196% | 52,500,000 | 57,461,266 | |
FRESB Mortgage Trust(f) | ||||
Series 2018-SB45 Class A10F | ||||
11/25/2027 | 3.160% | 12,149,342 | 13,174,405 | |
Government National Mortgage Association(f),(g) | ||||
Series 2019-147 Class IO | ||||
06/16/2061 | 0.681% | 194,372,465 | 13,676,435 | |
Total Commercial Mortgage-Backed Securities - Agency (Cost $78,782,989) | 84,312,106 | |||
Commercial Mortgage-Backed Securities - Non-Agency 8.0% | ||||
American Homes 4 Rent Trust(a) | ||||
Series 2014-SFR3 Class A | ||||
12/17/2036 | 3.678% | 2,260,600 | 2,425,262 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
BBCMS Trust(a),(b) | ||||
Subordinated Series 2018-BXH Class E | ||||
1-month USD LIBOR + 2.250% Floor 2.250% 10/15/2037 | 2.435% | 10,581,000 | 8,021,098 | |
Subordinated Series 2018-BXH Class F | ||||
1-month USD LIBOR + 2.950% Floor 2.950% 10/15/2037 | 3.135% | 3,950,000 | 2,692,891 | |
BFLD Trust(a),(b) | ||||
Series 2019-DPLO Class F | ||||
1-month USD LIBOR + 2.540% Floor 2.540% 10/15/2034 | 2.725% | 6,800,000 | 5,739,632 | |
Braemar Hotels & Resorts Trust(a),(b) | ||||
Series 2018-PRME Class D | ||||
1-month USD LIBOR + 1.800% Floor 1.925% 06/15/2035 | 1.985% | 6,950,000 | 5,861,981 | |
Series 2018-PRME Class E | ||||
1-month USD LIBOR + 2.400% Floor 2.400% 06/15/2035 | 2.585% | 6,310,000 | 4,944,996 | |
Series 2018-PRME Class F | ||||
1-month USD LIBOR + 2.900% Floor 2.900% 06/15/2035 | 3.085% | 2,000,000 | 1,437,862 | |
BX Trust(a),(b) | ||||
Series 2018-GW Class F | ||||
1-month USD LIBOR + 2.420% Floor 2.420% 05/15/2035 | 2.605% | 13,450,000 | 11,568,627 | |
Series 2018-GW Class G | ||||
1-month USD LIBOR + 2.920% Floor 2.920% 05/15/2035 | 3.105% | 1,500,000 | 1,230,226 | |
CALI Mortgage Trust(a),(f) | ||||
Series 2019-101C Class E | ||||
03/10/2039 | 4.469% | 6,500,000 | 6,531,132 | |
CHT Mortgage Trust(a),(b) | ||||
Series 2017-CSMO Class C | ||||
1-month USD LIBOR + 1.500% Floor 1.350% 11/15/2036 | 1.685% | 18,000,000 | 16,651,294 | |
Series 2017-CSMO Class E | ||||
1-month USD LIBOR + 3.000% Floor 3.000% 11/15/2036 | 3.185% | 20,800,000 | 18,721,901 |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 39 |
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2020 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CLNY Trust(a),(b) | ||||
Series 2019-IKPR Class A | ||||
1-month USD LIBOR + 1.129% Floor 1.129% 11/15/2038 | 1.314% | 11,400,000 | 10,260,674 | |
Series 2019-IKPR Class E | ||||
1-month USD LIBOR + 2.721% Floor 2.721% 11/15/2038 | 2.906% | 14,900,000 | 12,219,572 | |
COMM Mortgage Trust(a),(f) | ||||
Series 2020-CBM Class E | ||||
02/10/2037 | 3.754% | 10,950,000 | 9,065,884 | |
Cosmopolitan Hotel Mortgage Trust(a),(b) | ||||
Subordinated Series 2017-CSMO Class F | ||||
1-month USD LIBOR + 3.741% Floor 3.800% 11/15/2036 | 3.926% | 3,800,000 | 3,400,484 | |
Credit Suisse Mortgage Capital Certificates OA LLC(a) | ||||
Subordinated Series 2014-USA Class D | ||||
09/15/2037 | 4.373% | 4,200,000 | 3,242,431 | |
Subordinated Series 2014-USA Class E | ||||
09/15/2037 | 4.373% | 19,065,000 | 14,339,332 | |
Subordinated Series 2014-USA Class F | ||||
09/15/2037 | 4.373% | 17,500,000 | 12,813,993 | |
Credit Suisse Mortgage Capital Trust(a) | ||||
Series 2014-USA Class A2 | ||||
09/15/2037 | 3.953% | 8,400,000 | 8,198,239 | |
Hilton U.S.A. Trust(a),(f) | ||||
Series 2016-HHV Class F | ||||
11/05/2038 | 4.333% | 4,500,000 | 3,645,158 | |
Hilton U.S.A. Trust(a) | ||||
Series 2016-SFP Class A | ||||
11/05/2035 | 2.828% | 5,400,000 | 5,229,148 | |
Subordinated Series 2016-SFP Class E | ||||
11/05/2035 | 5.519% | 10,901,000 | 10,160,652 | |
Independence Plaza Trust(a) | ||||
Series 2018-INDP Class B | ||||
07/10/2035 | 3.911% | 10,375,000 | 10,593,255 | |
Invitation Homes Trust(a),(b) | ||||
Subordinated Series 2018-SFR1 Class E | ||||
1-month USD LIBOR + 2.000% 03/17/2037 | 2.185% | 9,133,752 | 8,840,995 | |
Subordinated Series 2018-SFR3 Class E | ||||
1-month USD LIBOR + 2.000% Floor 2.000% 07/17/2037 | 2.194% | 12,850,000 | 12,215,368 | |
Morgan Stanley Capital I Trust(a) | ||||
Series 2019-MEAD Class E | ||||
11/10/2036 | 3.177% | 13,400,000 | 10,630,907 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Progress Residential Trust(a) | ||||
Series 2017-SFR1 Class A | ||||
08/17/2034 | 2.768% | 10,316,541 | 10,474,653 | |
Series 2018-SF3 Class A | ||||
10/17/2035 | 3.880% | 20,361,199 | 20,999,692 | |
Series 2018-SFR1 Class A | ||||
03/17/2035 | 3.255% | 18,941,949 | 19,182,254 | |
Series 2018-SFR2 Class A | ||||
08/17/2035 | 3.712% | 13,515,000 | 13,852,159 | |
Series 2019-SFR3 Class F | ||||
09/17/2036 | 3.867% | 2,775,000 | 2,720,366 | |
Series 2020-SFR1 Class E | ||||
04/17/2037 | 3.032% | 19,775,000 | 19,099,041 | |
Subordinated Series 2019-SFR2 Class F | ||||
05/17/2036 | 4.837% | 12,185,000 | 12,209,435 | |
Subordinated Series 2019-SRF4 Class F | ||||
10/17/2036 | 3.684% | 1,735,000 | 1,680,734 | |
Subordinated Series 2020-SFR2 Class E | ||||
06/18/2037 | 5.115% | 5,900,000 | 6,225,987 | |
RETL(a),(b) | ||||
Subordinated Series 2019-RVP Class C | ||||
1-month USD LIBOR + 2.100% Floor 2.100% 03/15/2036 | 2.285% | 16,200,000 | 14,167,185 | |
UBS Commercial Mortgage Trust(a),(b) | ||||
Series 2018-NYCH Class B | ||||
1-month USD LIBOR + 1.250% Floor 1.250% 02/15/2032 | 1.435% | 10,469,000 | 9,878,502 | |
Series 2018-NYCH Class E | ||||
1-month USD LIBOR + 2.900% Floor 3.200% 02/15/2032 | 3.085% | 16,259,000 | 13,423,360 | |
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 | 1.385% | 9,000,000 | 7,749,893 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $395,055,043) | 372,346,255 | |||
Corporate Bonds & Notes 28.3% | ||||
Aerospace & Defense 0.9% | ||||
Bombardier, Inc.(a) | ||||
12/01/2024 | 7.500% | 739,000 | 480,118 | |
04/15/2027 | 7.875% | 91,000 | 59,315 | |
Moog, Inc.(a) | ||||
12/15/2027 | 4.250% | 158,000 | 154,106 |
40 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Northrop Grumman Corp. | ||||
01/15/2025 | 2.930% | 11,960,000 | 12,923,767 | |
01/15/2028 | 3.250% | 14,895,000 | 16,614,968 | |
05/01/2050 | 5.250% | 6,727,000 | 9,695,026 | |
TransDigm, Inc.(a) | ||||
12/15/2025 | 8.000% | 876,000 | 920,142 | |
03/15/2026 | 6.250% | 1,135,000 | 1,131,664 | |
TransDigm, Inc. | ||||
06/15/2026 | 6.375% | 1,208,000 | 1,102,131 | |
03/15/2027 | 7.500% | 168,000 | 161,419 | |
Subordinated | ||||
11/15/2027 | 5.500% | 658,000 | 574,179 | |
Total | 43,816,835 | |||
Airlines 0.0% | ||||
Delta Air Lines, Inc. | ||||
01/15/2026 | 7.375% | 441,000 | 426,522 | |
Automotive 0.1% | ||||
Allison Transmission, Inc.(a) | ||||
10/01/2024 | 5.000% | 323,000 | 324,360 | |
Clarios Global LP(a) | ||||
05/15/2025 | 6.750% | 80,000 | 83,265 | |
Delphi Technologies PLC(a) | ||||
10/01/2025 | 5.000% | 167,000 | 179,323 | |
Ford Motor Co. | ||||
04/21/2023 | 8.500% | 112,000 | 118,419 | |
04/22/2025 | 9.000% | 112,000 | 121,078 | |
04/22/2030 | 9.625% | 33,000 | 39,117 | |
Ford Motor Credit Co. LLC | ||||
03/18/2021 | 3.336% | 1,063,000 | 1,052,332 | |
09/08/2024 | 3.664% | 1,131,000 | 1,065,949 | |
06/16/2025 | 5.125% | 419,000 | 419,111 | |
01/09/2027 | 4.271% | 799,000 | 745,400 | |
IAA Spinco, Inc.(a) | ||||
06/15/2027 | 5.500% | 504,000 | 521,035 | |
IHO Verwaltungs GmbH(a),(h) | ||||
09/15/2026 | 4.750% | 285,000 | 280,642 | |
05/15/2029 | 6.375% | 2,000 | 2,033 | |
KAR Auction Services, Inc.(a) | ||||
06/01/2025 | 5.125% | 681,000 | 670,119 | |
Panther BF Aggregator 2 LP/Finance Co., Inc.(a) | ||||
05/15/2026 | 6.250% | 125,000 | 128,877 | |
05/15/2027 | 8.500% | 532,000 | 535,363 | |
Total | 6,286,423 | |||
Banking 2.1% | ||||
Ally Financial, Inc. | ||||
11/01/2031 | 8.000% | 156,000 | 201,458 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Bank of America Corp.(i) | ||||
04/29/2031 | 2.592% | 24,250,000 | 25,700,730 | |
03/20/2051 | 4.083% | 1,665,000 | 2,059,370 | |
BBVA Bancomer SA(a),(i) | ||||
Subordinated | ||||
11/12/2029 | 5.350% | 2,910,000 | 2,845,694 | |
Citigroup, Inc.(i) | ||||
06/03/2031 | 2.572% | 6,120,000 | 6,324,861 | |
Goldman Sachs Group, Inc. (The) | ||||
02/07/2030 | 2.600% | 8,375,000 | 8,781,527 | |
JPMorgan Chase & Co.(i) | ||||
10/15/2030 | 2.739% | 33,235,000 | 35,618,160 | |
Morgan Stanley(i) | ||||
01/22/2031 | 2.699% | 7,550,000 | 8,013,630 | |
Wells Fargo & Co. | ||||
10/23/2026 | 3.000% | 9,035,000 | 9,870,214 | |
Total | 99,415,644 | |||
Brokerage/Asset Managers/Exchanges 0.0% | ||||
Advisor Group Holdings, Inc.(a) | ||||
08/01/2027 | 10.750% | 102,000 | 101,463 | |
AG Issuer LLC(a) | ||||
03/01/2028 | 6.250% | 100,000 | 94,744 | |
NFP Corp.(a) | ||||
05/15/2025 | 7.000% | 94,000 | 98,700 | |
07/15/2025 | 6.875% | 513,000 | 505,922 | |
Total | 800,829 | |||
Building Materials 0.5% | ||||
American Builders & Contractors Supply Co., Inc.(a) | ||||
05/15/2026 | 5.875% | 825,000 | 826,622 | |
01/15/2028 | 4.000% | 417,000 | 404,877 | |
Beacon Roofing Supply, Inc.(a) | ||||
11/01/2025 | 4.875% | 606,000 | 542,030 | |
11/15/2026 | 4.500% | 432,000 | 422,025 | |
Cemex SAB de CV(a) | ||||
11/19/2029 | 5.450% | 19,663,000 | 18,185,473 | |
Core & Main LP(a) | ||||
08/15/2025 | 6.125% | 973,000 | 968,667 | |
James Hardie International Finance DAC(a) | ||||
01/15/2025 | 4.750% | 732,000 | 744,763 | |
Total | 22,094,457 | |||
Cable and Satellite 1.0% | ||||
CCO Holdings LLC/Capital Corp.(a) | ||||
05/01/2027 | 5.125% | 1,025,000 | 1,060,385 | |
05/01/2027 | 5.875% | 901,000 | 939,600 | |
03/01/2030 | 4.750% | 1,837,000 | 1,880,717 | |
08/15/2030 | 4.500% | 725,000 | 739,417 |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 41 |
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Charter Communications Operating LLC/Capital | ||||
03/01/2050 | 4.800% | 8,585,000 | 9,694,807 | |
04/01/2051 | 3.700% | 6,820,000 | 6,707,864 | |
Comcast Corp. | ||||
01/15/2051 | 2.800% | 13,165,000 | 13,463,931 | |
CSC Holdings LLC(a) | ||||
10/15/2025 | 6.625% | 663,000 | 688,692 | |
05/15/2026 | 5.500% | 1,078,000 | 1,109,436 | |
02/01/2028 | 5.375% | 726,000 | 754,052 | |
02/01/2029 | 6.500% | 809,000 | 885,705 | |
01/15/2030 | 5.750% | 1,311,000 | 1,364,240 | |
12/01/2030 | 4.125% | 422,000 | 418,265 | |
12/01/2030 | 4.625% | 210,000 | 204,079 | |
DISH DBS Corp. | ||||
11/15/2024 | 5.875% | 427,000 | 424,885 | |
07/01/2026 | 7.750% | 1,213,000 | 1,285,507 | |
DISH DBS Corp.(a),(c) | ||||
07/01/2028 | 7.375% | 561,000 | 561,689 | |
Radiate HoldCo LLC/Finance, Inc.(a) | ||||
02/15/2023 | 6.875% | 325,000 | 329,922 | |
02/15/2025 | 6.625% | 382,000 | 382,388 | |
Sirius XM Radio, Inc.(a) | ||||
07/15/2024 | 4.625% | 157,000 | 160,908 | |
04/15/2025 | 5.375% | 679,000 | 697,673 | |
07/01/2030 | 4.125% | 758,000 | 749,494 | |
Viasat, Inc.(a) | ||||
04/15/2027 | 5.625% | 126,000 | 129,245 | |
Virgin Media Finance PLC(a) | ||||
07/15/2030 | 5.000% | 907,000 | 883,778 | |
Virgin Media Secured Finance PLC(a) | ||||
08/15/2026 | 5.500% | 36,000 | 36,901 | |
05/15/2029 | 5.500% | 576,000 | 603,383 | |
Ziggo Bond Co. BV(a) | ||||
02/28/2030 | 5.125% | 303,000 | 300,408 | |
Ziggo Bond Finance BV(a) | ||||
01/15/2027 | 6.000% | 740,000 | 748,990 | |
Ziggo BV(a) | ||||
01/15/2027 | 5.500% | 522,000 | 528,022 | |
Total | 47,734,383 | |||
Chemicals 0.3% | ||||
Alpha 2 BV(a),(h) | ||||
06/01/2023 | 8.750% | 409,000 | 408,470 | |
Angus Chemical Co.(a) | ||||
02/15/2023 | 8.750% | 340,000 | 343,329 | |
Atotech U.S.A., Inc.(a) | ||||
02/01/2025 | 6.250% | 407,000 | 402,885 | |
Axalta Coating Systems LLC(a) | ||||
08/15/2024 | 4.875% | 405,000 | 409,949 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Axalta Coating Systems LLC/Dutch Holding B BV(a) | ||||
06/15/2027 | 4.750% | 454,000 | 456,409 | |
CF Industries, Inc. | ||||
03/15/2034 | 5.150% | 96,000 | 102,760 | |
03/15/2044 | 5.375% | 44,000 | 47,629 | |
Chemours Co. (The) | ||||
05/15/2023 | 6.625% | 157,000 | 150,275 | |
05/15/2025 | 7.000% | 30,000 | 28,668 | |
05/15/2027 | 5.375% | 68,000 | 61,618 | |
Illuminate Buyer LLC/Holdings IV, Inc.(a) | ||||
07/01/2028 | 9.000% | 66,000 | 68,807 | |
INEOS Group Holdings SA(a) | ||||
08/01/2024 | 5.625% | 732,000 | 708,955 | |
Innophos Holdings, Inc.(a) | ||||
02/15/2028 | 9.375% | 427,000 | 419,825 | |
LYB International Finance III LLC | ||||
05/01/2050 | 4.200% | 2,960,000 | 3,185,758 | |
Minerals Technologies, Inc.(a) | ||||
07/01/2028 | 5.000% | 314,000 | 318,705 | |
Phosagro OAO Via Phosagro Bond Funding DAC(a) | ||||
11/03/2021 | 3.950% | 705,000 | 723,646 | |
Platform Specialty Products Corp.(a) | ||||
12/01/2025 | 5.875% | 1,003,000 | 1,014,018 | |
PQ Corp.(a) | ||||
11/15/2022 | 6.750% | 680,000 | 692,612 | |
12/15/2025 | 5.750% | 684,000 | 691,113 | |
SPCM SA(a) | ||||
09/15/2025 | 4.875% | 185,000 | 187,128 | |
Starfruit Finco BV/US Holdco LLC(a) | ||||
10/01/2026 | 8.000% | 1,019,000 | 1,047,117 | |
WR Grace & Co-Conn(a) | ||||
06/15/2027 | 4.875% | 457,000 | 462,911 | |
Total | 11,932,587 | |||
Construction Machinery 0.0% | ||||
H&E Equipment Services, Inc. | ||||
09/01/2025 | 5.625% | 226,000 | 228,863 | |
Herc Holdings, Inc.(a) | ||||
07/15/2027 | 5.500% | 295,000 | 296,447 | |
Ritchie Bros. Auctioneers, Inc.(a) | ||||
01/15/2025 | 5.375% | 406,000 | 417,370 | |
United Rentals North America, Inc. | ||||
09/15/2026 | 5.875% | 584,000 | 611,900 | |
12/15/2026 | 6.500% | 245,000 | 257,299 | |
05/15/2027 | 5.500% | 411,000 | 425,464 | |
07/15/2030 | 4.000% | 127,000 | 122,965 | |
Total | 2,360,308 |
42 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Consumer Cyclical Services 0.1% | ||||
APX Group, Inc. | ||||
12/01/2022 | 7.875% | 441,000 | 438,596 | |
09/01/2023 | 7.625% | 336,000 | 309,578 | |
11/01/2024 | 8.500% | 511,000 | 500,477 | |
ASGN, Inc.(a) | ||||
05/15/2028 | 4.625% | 278,000 | 271,336 | |
Expedia Group, Inc.(a) | ||||
05/01/2025 | 6.250% | 60,000 | 63,744 | |
05/01/2025 | 7.000% | 30,000 | 31,420 | |
frontdoor, Inc.(a) | ||||
08/15/2026 | 6.750% | 578,000 | 614,887 | |
Match Group, Inc.(a) | ||||
12/15/2027 | 5.000% | 17,000 | 17,693 | |
06/01/2028 | 4.625% | 219,000 | 221,833 | |
02/15/2029 | 5.625% | 157,000 | 165,864 | |
Staples, Inc.(a) | ||||
04/15/2026 | 7.500% | 238,000 | 187,452 | |
04/15/2027 | 10.750% | 63,000 | 37,381 | |
Uber Technologies, Inc.(a) | ||||
11/01/2023 | 7.500% | 204,000 | 205,202 | |
05/15/2025 | 7.500% | 412,000 | 415,272 | |
Total | 3,480,735 | |||
Consumer Products 0.1% | ||||
CD&R Smokey Buyer, Inc.(a),(c) | ||||
07/15/2025 | 6.750% | 326,000 | 339,433 | |
Energizer Holdings, Inc.(a) | ||||
06/15/2025 | 5.500% | 241,000 | 248,376 | |
07/15/2026 | 6.375% | 482,000 | 498,869 | |
01/15/2027 | 7.750% | 254,000 | 271,351 | |
Mattel, Inc.(a) | ||||
12/31/2025 | 6.750% | 514,000 | 533,121 | |
12/15/2027 | 5.875% | 279,000 | 287,530 | |
Mattel, Inc. | ||||
11/01/2041 | 5.450% | 61,000 | 50,549 | |
Newell Brands, Inc. | ||||
06/01/2025 | 4.875% | 406,000 | 424,782 | |
Prestige Brands, Inc.(a) | ||||
03/01/2024 | 6.375% | 464,000 | 477,245 | |
01/15/2028 | 5.125% | 121,000 | 121,463 | |
Scotts Miracle-Gro Co. (The) | ||||
12/15/2026 | 5.250% | 116,000 | 120,965 | |
10/15/2029 | 4.500% | 69,000 | 71,004 | |
Spectrum Brands, Inc. | ||||
07/15/2025 | 5.750% | 462,000 | 474,070 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Valvoline, Inc.(a) | ||||
08/15/2025 | 4.375% | 413,000 | 415,452 | |
02/15/2030 | 4.250% | 212,000 | 207,855 | |
Total | 4,542,065 | |||
Diversified Manufacturing 0.4% | ||||
BWX Technologies, Inc.(a) | ||||
07/15/2026 | 5.375% | 403,000 | 417,070 | |
06/30/2028 | 4.125% | 384,000 | 382,996 | |
Carrier Global Corp.(a) | ||||
04/05/2040 | 3.377% | 10,720,000 | 10,436,300 | |
04/05/2050 | 3.577% | 5,360,000 | 5,233,156 | |
CFX Escrow Corp.(a) | ||||
02/15/2024 | 6.000% | 86,000 | 88,706 | |
02/15/2026 | 6.375% | 104,000 | 108,680 | |
Gates Global LLC/Co.(a) | ||||
01/15/2026 | 6.250% | 649,000 | 640,776 | |
MTS Systems Corp.(a) | ||||
08/15/2027 | 5.750% | 65,000 | 59,958 | |
Resideo Funding, Inc.(a) | ||||
11/01/2026 | 6.125% | 333,000 | 325,257 | |
SPX FLOW, Inc.(a) | ||||
08/15/2024 | 5.625% | 232,000 | 237,044 | |
Stevens Holding Co., Inc.(a) | ||||
10/01/2026 | 6.125% | 144,000 | 150,780 | |
WESCO Distribution, Inc. | ||||
06/15/2024 | 5.375% | 362,000 | 362,110 | |
WESCO Distribution, Inc.(a) | ||||
06/15/2025 | 7.125% | 509,000 | 536,618 | |
06/15/2028 | 7.250% | 395,000 | 418,647 | |
Total | 19,398,098 | |||
Electric 4.4% | ||||
AEP Texas, Inc. | ||||
01/15/2050 | 3.450% | 6,785,000 | 7,315,194 | |
AES Corp. (The) | ||||
09/01/2027 | 5.125% | 73,000 | 75,769 | |
Appalachian Power Co. | ||||
05/15/2044 | 4.400% | 10,365,000 | 12,202,690 | |
Berkshire Hathaway Energy Co.(a) | ||||
10/15/2050 | 4.250% | 1,690,000 | 2,123,084 | |
Calpine Corp.(a) | ||||
06/01/2026 | 5.250% | 443,000 | 447,380 | |
02/15/2028 | 4.500% | 471,000 | 462,529 | |
03/15/2028 | 5.125% | 295,000 | 288,767 | |
Clearway Energy Operating LLC | ||||
10/15/2025 | 5.750% | 323,000 | 335,021 | |
09/15/2026 | 5.000% | 712,000 | 728,304 |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 43 |
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Clearway Energy Operating LLC(a) | ||||
03/15/2028 | 4.750% | 179,000 | 182,342 | |
CMS Energy Corp. | ||||
03/01/2024 | 3.875% | 4,145,000 | 4,482,044 | |
11/15/2025 | 3.600% | 585,000 | 626,095 | |
02/15/2027 | 2.950% | 619,000 | 645,622 | |
03/31/2043 | 4.700% | 640,000 | 787,257 | |
Consolidated Edison Co. of New York, Inc. | ||||
06/15/2047 | 3.875% | 9,180,000 | 10,607,264 | |
DTE Energy Co. | ||||
10/01/2026 | 2.850% | 18,977,000 | 20,153,530 | |
Duke Energy Corp. | ||||
06/01/2030 | 2.450% | 6,945,000 | 7,306,049 | |
09/01/2046 | 3.750% | 19,180,000 | 21,703,704 | |
06/15/2049 | 4.200% | 1,585,000 | 1,938,521 | |
Duke Energy Indiana LLC | ||||
04/01/2050 | 2.750% | 2,595,000 | 2,626,858 | |
Emera U.S. Finance LP | ||||
06/15/2046 | 4.750% | 17,116,000 | 20,351,910 | |
Eversource Energy | ||||
01/15/2028 | 3.300% | 3,850,000 | 4,229,433 | |
Georgia Power Co. | ||||
01/30/2050 | 3.700% | 1,885,000 | 2,116,041 | |
Indiana Michigan Power Co. | ||||
07/01/2047 | 3.750% | 1,322,000 | 1,516,566 | |
NextEra Energy Operating Partners LP(a) | ||||
07/15/2024 | 4.250% | 187,000 | 188,204 | |
09/15/2027 | 4.500% | 598,000 | 625,524 | |
NRG Energy, Inc. | ||||
01/15/2027 | 6.625% | 504,000 | 527,909 | |
01/15/2028 | 5.750% | 43,000 | 45,460 | |
NRG Energy, Inc.(a) | ||||
06/15/2029 | 5.250% | 181,000 | 190,570 | |
PacifiCorp. | ||||
02/15/2050 | 4.150% | 3,475,000 | 4,369,377 | |
Pattern Energy Group, Inc.(a) | ||||
02/01/2024 | 5.875% | 410,000 | 412,286 | |
PG&E Corp. | ||||
07/01/2028 | 5.000% | 175,000 | 174,936 | |
07/01/2030 | 5.250% | 132,000 | 132,734 | |
San Diego Gas & Electric Co. | ||||
04/15/2050 | 3.320% | 4,235,000 | 4,647,555 | |
Southern Co. (The) | ||||
07/01/2036 | 4.250% | 2,260,000 | 2,568,960 | |
07/01/2046 | 4.400% | 15,525,000 | 18,531,517 | |
TerraForm Power Operating LLC(a) | ||||
01/31/2028 | 5.000% | 249,000 | 261,671 | |
01/15/2030 | 4.750% | 232,000 | 236,436 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Vistra Operations Co. LLC(a) | ||||
09/01/2026 | 5.500% | 153,000 | 156,600 | |
02/15/2027 | 5.625% | 475,000 | 487,391 | |
07/31/2027 | 5.000% | 242,000 | 244,516 | |
WEC Energy Group, Inc. | ||||
06/15/2025 | 3.550% | 3,420,000 | 3,814,802 | |
Xcel Energy, Inc. | ||||
06/01/2025 | 3.300% | 6,610,000 | 7,251,247 | |
06/15/2028 | 4.000% | 10,550,000 | 12,342,429 | |
06/01/2030 | 3.400% | 20,370,000 | 23,215,855 | |
Total | 203,677,953 | |||
Environmental 0.0% | ||||
Clean Harbors, Inc.(a) | ||||
07/15/2027 | 4.875% | 103,000 | 105,817 | |
07/15/2029 | 5.125% | 72,000 | 74,621 | |
GFL Environmental, Inc.(a) | ||||
06/01/2025 | 4.250% | 584,000 | 588,513 | |
12/15/2026 | 5.125% | 145,000 | 149,688 | |
05/01/2027 | 8.500% | 244,000 | 265,366 | |
Hulk Finance Corp.(a) | ||||
06/01/2026 | 7.000% | 427,000 | 445,109 | |
Total | 1,629,114 | |||
Finance Companies 1.5% | ||||
Alliance Data Systems Corp.(a) | ||||
12/15/2024 | 4.750% | 60,000 | 53,928 | |
GE Capital International Funding Co. Unlimited Co. | ||||
11/15/2020 | 2.342% | 32,380,000 | 32,584,396 | |
11/15/2035 | 4.418% | 30,980,000 | 31,373,389 | |
Global Aircraft Leasing Co., Ltd.(a),(h) | ||||
09/15/2024 | 6.500% | 455,000 | 321,256 | |
Navient Corp. | ||||
06/15/2022 | 6.500% | 1,347,000 | 1,323,099 | |
Provident Funding Associates LP/Finance Corp.(a) | ||||
06/15/2025 | 6.375% | 647,000 | 611,449 | |
Quicken Loans, Inc.(a) | ||||
05/01/2025 | 5.750% | 1,034,000 | 1,057,652 | |
Springleaf Finance Corp. | ||||
03/15/2023 | 5.625% | 148,000 | 149,641 | |
03/15/2024 | 6.125% | 241,000 | 244,619 | |
03/15/2025 | 6.875% | 876,000 | 900,033 | |
06/01/2025 | 8.875% | 129,000 | 137,863 | |
Total | 68,757,325 | |||
Food and Beverage 2.4% | ||||
Anheuser-Busch Companies LLC/InBev Worldwide, Inc. | ||||
02/01/2046 | 4.900% | 31,231,000 | 37,871,389 |
44 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Bacardi Ltd.(a) | ||||
05/15/2048 | 5.300% | 15,640,000 | 19,394,437 | |
Conagra Brands, Inc. | ||||
11/01/2048 | 5.400% | 8,300,000 | 11,458,628 | |
Cott Holdings, Inc.(a) | ||||
04/01/2025 | 5.500% | 519,000 | 522,608 | |
FAGE International SA/USA Dairy Industry, Inc.(a) | ||||
08/15/2026 | 5.625% | 659,000 | 632,035 | |
Grupo Bimbo SAB de CV(a) | ||||
06/27/2024 | 3.875% | 2,256,000 | 2,426,521 | |
JBS USA LUX SA/Food Co./Finance, Inc.(a) | ||||
01/15/2030 | 5.500% | 496,000 | 507,967 | |
Kraft Heinz Foods Co. (The) | ||||
06/01/2046 | 4.375% | 25,418,000 | 24,938,666 | |
Lamb Weston Holdings, Inc.(a) | ||||
05/15/2028 | 4.875% | 129,000 | 136,594 | |
Mondelez International, Inc. | ||||
04/13/2030 | 2.750% | 1,885,000 | 2,033,782 | |
Performance Food Group, Inc.(a) | ||||
05/01/2025 | 6.875% | 77,000 | 80,329 | |
10/15/2027 | 5.500% | 118,000 | 113,873 | |
Pilgrim’s Pride Corp.(a) | ||||
03/15/2025 | 5.750% | 515,000 | 513,440 | |
09/30/2027 | 5.875% | 328,000 | 328,197 | |
Post Holdings, Inc.(a) | ||||
03/01/2027 | 5.750% | 1,238,000 | 1,276,848 | |
01/15/2028 | 5.625% | 176,000 | 181,751 | |
04/15/2030 | 4.625% | 1,673,000 | 1,640,341 | |
Tyson Foods, Inc.(b) | ||||
3-month USD LIBOR + 0.450% Floor 0.450% 08/21/2020 | 0.824% | 5,245,000 | 5,245,380 | |
Total | 109,302,786 | |||
Gaming 0.2% | ||||
Boyd Gaming Corp.(a) | ||||
06/01/2025 | 8.625% | 107,000 | 111,864 | |
12/01/2027 | 4.750% | 247,000 | 212,434 | |
Boyd Gaming Corp. | ||||
04/01/2026 | 6.375% | 25,000 | 23,759 | |
08/15/2026 | 6.000% | 388,000 | 364,550 | |
Caesars Resort Collection LLC/CRC Finco, Inc.(a) | ||||
10/15/2025 | 5.250% | 246,000 | 214,071 | |
Colt Merger Sub, Inc.(a),(c) | ||||
07/01/2025 | 5.750% | 171,000 | 171,908 | |
07/01/2025 | 6.250% | 713,000 | 710,552 | |
07/01/2027 | 8.125% | 357,000 | 345,072 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Eldorado Resorts, Inc. | ||||
04/01/2025 | 6.000% | 386,000 | 403,524 | |
09/15/2026 | 6.000% | 239,000 | 264,163 | |
International Game Technology PLC(a) | ||||
02/15/2022 | 6.250% | 266,000 | 268,648 | |
02/15/2025 | 6.500% | 364,000 | 371,863 | |
01/15/2029 | 5.250% | 323,000 | 315,373 | |
MGM Growth Properties Operating Partnership LP/Finance Co-Issuer, Inc.(a) | ||||
06/15/2025 | 4.625% | 280,000 | 274,694 | |
MGM Growth Properties Operating Partnership LP/Finance Co-Issuer, Inc. | ||||
09/01/2026 | 4.500% | 505,000 | 497,367 | |
02/01/2027 | 5.750% | 496,000 | 513,110 | |
Scientific Games International, Inc.(a),(c) | ||||
07/01/2025 | 8.625% | 203,000 | 189,823 | |
Scientific Games International, Inc.(a) | ||||
10/15/2025 | 5.000% | 1,151,000 | 1,067,304 | |
03/15/2026 | 8.250% | 472,000 | 423,200 | |
05/15/2028 | 7.000% | 119,000 | 95,010 | |
11/15/2029 | 7.250% | 120,000 | 96,285 | |
Stars Group Holdings BV/Co-Borrower LLC(a) | ||||
07/15/2026 | 7.000% | 177,000 | 186,698 | |
VICI Properties LP/Note Co., Inc.(a) | ||||
12/01/2026 | 4.250% | 203,000 | 195,037 | |
02/15/2027 | 3.750% | 242,000 | 227,164 | |
12/01/2029 | 4.625% | 162,000 | 158,819 | |
08/15/2030 | 4.125% | 189,000 | 180,191 | |
Wynn Las Vegas LLC/Capital Corp.(a) | ||||
03/01/2025 | 5.500% | 311,000 | 285,760 | |
Wynn Resorts Finance LLC/Capital Corp.(a) | ||||
04/15/2025 | 7.750% | 71,000 | 71,522 | |
Total | 8,239,765 | |||
Health Care 1.7% | ||||
Acadia Healthcare Co., Inc. | ||||
03/01/2024 | 6.500% | 618,000 | 628,296 | |
Acadia Healthcare Co., Inc.(a) | ||||
07/01/2028 | 5.500% | 431,000 | 434,275 | |
Avantor, Inc.(a) | ||||
10/01/2024 | 6.000% | 1,040,000 | 1,084,093 | |
10/01/2025 | 9.000% | 600,000 | 644,614 | |
Becton Dickinson and Co.(b) | ||||
3-month USD LIBOR + 1.030% 06/06/2022 | 1.348% | 10,234,000 | 10,234,911 | |
Becton Dickinson and Co. | ||||
06/06/2024 | 3.363% | 4,750,000 | 5,112,431 | |
05/20/2030 | 2.823% | 9,750,000 | 10,307,885 | |
Change Healthcare Holdings LLC/Finance, Inc.(a) | ||||
03/01/2025 | 5.750% | 1,039,000 | 1,025,809 |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 45 |
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Charles River Laboratories International, Inc.(a) | ||||
04/01/2026 | 5.500% | 216,000 | 225,998 | |
05/01/2028 | 4.250% | 91,000 | 90,946 | |
CHS/Community Health Systems, Inc. | ||||
03/31/2023 | 6.250% | 543,000 | 511,071 | |
CHS/Community Health Systems, Inc.(a) | ||||
02/15/2025 | 6.625% | 327,000 | 311,829 | |
Cigna Corp. | ||||
12/15/2048 | 4.900% | 5,645,000 | 7,440,752 | |
CVS Health Corp. | ||||
03/25/2048 | 5.050% | 14,535,000 | 19,000,145 | |
DaVita, Inc. | ||||
05/01/2025 | 5.000% | 68,000 | 69,523 | |
Encompass Health Corp. | ||||
02/01/2028 | 4.500% | 231,000 | 221,629 | |
02/01/2030 | 4.750% | 120,000 | 115,088 | |
HCA, Inc. | ||||
02/01/2025 | 5.375% | 189,000 | 202,278 | |
09/01/2028 | 5.625% | 501,000 | 558,737 | |
02/01/2029 | 5.875% | 214,000 | 241,942 | |
09/01/2030 | 3.500% | 120,000 | 115,030 | |
Hill-Rom Holdings, Inc.(a) | ||||
02/15/2025 | 5.000% | 707,000 | 731,042 | |
IQVIA, Inc.(a) | ||||
05/15/2027 | 5.000% | 246,000 | 250,890 | |
Memorial Sloan-Kettering Cancer Center | ||||
07/01/2052 | 4.125% | 12,885,000 | 16,394,176 | |
MPH Acquisition Holdings LLC(a) | ||||
06/01/2024 | 7.125% | 244,000 | 226,896 | |
Ortho-Clinical Diagnostics, Inc./SA(a) | ||||
06/01/2025 | 7.375% | 111,000 | 112,966 | |
02/01/2028 | 7.250% | 88,000 | 89,354 | |
Select Medical Corp.(a) | ||||
08/15/2026 | 6.250% | 792,000 | 800,623 | |
Teleflex, Inc.(a) | ||||
06/01/2028 | 4.250% | 103,000 | 105,741 | |
Tenet Healthcare Corp. | ||||
04/01/2022 | 8.125% | 140,000 | 146,689 | |
07/15/2024 | 4.625% | 482,000 | 472,115 | |
05/01/2025 | 5.125% | 257,000 | 248,338 | |
08/01/2025 | 7.000% | 499,000 | 486,267 | |
Tenet Healthcare Corp.(a) | ||||
04/01/2025 | 7.500% | 290,000 | 308,344 | |
01/01/2026 | 4.875% | 495,000 | 485,047 | |
02/01/2027 | 6.250% | 301,000 | 298,539 | |
11/01/2027 | 5.125% | 750,000 | 741,943 | |
06/15/2028 | 4.625% | 153,000 | 149,112 | |
Total | 80,625,364 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Healthcare Insurance 0.3% | ||||
Centene Corp. | ||||
01/15/2025 | 4.750% | 212,000 | 216,806 | |
01/15/2025 | 4.750% | 133,000 | 136,122 | |
12/15/2027 | 4.250% | 480,000 | 495,120 | |
12/15/2029 | 4.625% | 622,000 | 656,273 | |
02/15/2030 | 3.375% | 430,000 | 433,853 | |
Centene Corp.(a) | ||||
04/01/2025 | 5.250% | 496,000 | 510,437 | |
06/01/2026 | 5.375% | 745,000 | 775,342 | |
08/15/2026 | 5.375% | 358,000 | 372,485 | |
UnitedHealth Group, Inc. | ||||
05/15/2040 | 2.750% | 4,420,000 | 4,731,647 | |
10/15/2047 | 3.750% | 3,220,000 | 3,838,023 | |
Total | 12,166,108 | |||
Home Construction 0.1% | ||||
Lennar Corp. | ||||
11/15/2024 | 5.875% | 356,000 | 388,947 | |
06/01/2026 | 5.250% | 104,000 | 112,733 | |
Meritage Homes Corp. | ||||
04/01/2022 | 7.000% | 439,000 | 464,789 | |
06/01/2025 | 6.000% | 408,000 | 435,531 | |
Shea Homes LP/Funding Corp.(a) | ||||
02/15/2028 | 4.750% | 159,000 | 150,428 | |
Taylor Morrison Communities, Inc.(a) | ||||
01/15/2028 | 5.750% | 191,000 | 197,906 | |
Taylor Morrison Communities, Inc./Holdings II(a) | ||||
04/15/2023 | 5.875% | 387,000 | 398,373 | |
TRI Pointe Group, Inc. | ||||
06/15/2028 | 5.700% | 324,000 | 331,173 | |
TRI Pointe Group, Inc./Homes | ||||
06/15/2024 | 5.875% | 142,000 | 146,595 | |
Total | 2,626,475 | |||
Independent Energy 0.5% | ||||
Callon Petroleum Co. | ||||
10/01/2024 | 6.125% | 130,000 | 48,686 | |
07/01/2026 | 6.375% | 1,050,000 | 348,332 | |
Canadian Natural Resources Ltd. | ||||
06/01/2027 | 3.850% | 4,485,000 | 4,795,624 | |
06/30/2033 | 6.450% | 1,795,000 | 2,166,527 | |
Carrizo Oil & Gas, Inc. | ||||
04/15/2023 | 6.250% | 33,000 | 12,554 | |
Centennial Resource Production LLC(a) | ||||
01/15/2026 | 5.375% | 229,000 | 116,611 | |
04/01/2027 | 6.875% | 279,000 | 142,098 | |
CrownRock LP/Finance, Inc.(a) | ||||
10/15/2025 | 5.625% | 762,000 | 683,318 |
46 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Endeavor Energy Resources LP/Finance, Inc.(a) | ||||
07/15/2025 | 6.625% | 169,000 | 170,310 | |
01/30/2026 | 5.500% | 85,000 | 81,585 | |
01/30/2028 | 5.750% | 313,000 | 301,590 | |
Energuate Trust(a) | ||||
05/03/2027 | 5.875% | 3,755,000 | 3,699,809 | |
EQT Corp. | ||||
10/01/2027 | 3.900% | 599,000 | 487,045 | |
Hilcorp Energy I LP/Finance Co.(a) | ||||
10/01/2025 | 5.750% | 722,000 | 600,253 | |
11/01/2028 | 6.250% | 247,000 | 196,248 | |
Jagged Peak Energy LLC | ||||
05/01/2026 | 5.875% | 860,000 | 837,782 | |
Matador Resources Co. | ||||
09/15/2026 | 5.875% | 980,000 | 726,968 | |
Occidental Petroleum Corp. | ||||
02/15/2022 | 3.125% | 338,000 | 325,662 | |
08/15/2022 | 2.700% | 593,000 | 552,099 | |
08/15/2024 | 2.900% | 1,035,000 | 884,512 | |
03/15/2046 | 6.600% | 573,000 | 499,123 | |
Occidental Petroleum Corp.(c) | ||||
07/15/2025 | 8.000% | 494,000 | 495,891 | |
Parsley Energy LLC/Finance Corp.(a) | ||||
10/15/2027 | 5.625% | 411,000 | 404,925 | |
02/15/2028 | 4.125% | 264,000 | 239,144 | |
PDC Energy, Inc. | ||||
09/15/2024 | 6.125% | 27,000 | 25,415 | |
05/15/2026 | 5.750% | 120,000 | 109,122 | |
QEP Resources, Inc. | ||||
03/01/2026 | 5.625% | 278,000 | 175,785 | |
SM Energy Co. | ||||
09/15/2026 | 6.750% | 550,000 | 278,841 | |
01/15/2027 | 6.625% | 351,000 | 173,360 | |
WPX Energy, Inc. | ||||
09/15/2024 | 5.250% | 350,000 | 345,928 | |
06/15/2028 | 5.875% | 230,000 | 220,987 | |
01/15/2030 | 4.500% | 941,000 | 827,983 | |
Total | 20,974,117 | |||
Integrated Energy 0.1% | ||||
Cenovus Energy, Inc. | ||||
11/15/2039 | 6.750% | 495,000 | 485,764 | |
Lukoil International Finance BV(a) | ||||
04/24/2023 | 4.563% | 2,256,000 | 2,393,167 | |
Total | 2,878,931 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Leisure 0.0% | ||||
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Operations LLC(a) | ||||
05/01/2025 | 5.500% | 412,000 | 413,687 | |
Cinemark USA, Inc.(a) | ||||
05/01/2025 | 8.750% | 306,000 | 320,646 | |
Live Nation Entertainment, Inc.(a) | ||||
11/01/2024 | 4.875% | 92,000 | 82,854 | |
03/15/2026 | 5.625% | 206,000 | 195,236 | |
05/15/2027 | 6.500% | 306,000 | 315,234 | |
Six Flags Theme Parks, Inc.(a) | ||||
07/01/2025 | 7.000% | 138,000 | 143,252 | |
Vail Resorts, Inc.(a) | ||||
05/15/2025 | 6.250% | 499,000 | 521,930 | |
Viking Cruises Ltd.(a) | ||||
09/15/2027 | 5.875% | 504,000 | 300,675 | |
VOC Escrow Ltd.(a) | ||||
02/15/2028 | 5.000% | 77,000 | 57,979 | |
Total | 2,351,493 | |||
Life Insurance 0.7% | ||||
Brighthouse Financial, Inc. | ||||
06/22/2047 | 4.700% | 85,000 | 77,244 | |
Massachusetts Mutual Life Insurance Co.(a) | ||||
Subordinated | ||||
10/15/2070 | 3.729% | 2,810,000 | 2,886,769 | |
Peachtree Corners Funding Trust(a) | ||||
02/15/2025 | 3.976% | 4,984,000 | 5,437,667 | |
Teachers Insurance & Annuity Association of America(a) | ||||
Subordinated | ||||
09/15/2044 | 4.900% | 992,000 | 1,270,150 | |
05/15/2047 | 4.270% | 6,800,000 | 8,118,339 | |
05/15/2050 | 3.300% | 3,705,000 | 3,856,847 | |
Voya Financial, Inc. | ||||
06/15/2026 | 3.650% | 6,161,000 | 6,808,527 | |
06/15/2046 | 4.800% | 4,816,000 | 5,712,981 | |
Total | 34,168,524 | |||
Lodging 0.0% | ||||
Hilton Domestic Operating Co., Inc.(a) | ||||
05/01/2025 | 5.375% | 138,000 | 137,423 | |
05/01/2028 | 5.750% | 152,000 | 154,035 | |
Hilton Domestic Operating Co., Inc. | ||||
05/01/2026 | 5.125% | 282,000 | 280,736 | |
Total | 572,194 | |||
Media and Entertainment 0.4% | ||||
Clear Channel Worldwide Holdings, Inc. | ||||
02/15/2024 | 9.250% | 581,000 | 538,978 |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 47 |
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Clear Channel Worldwide Holdings, Inc.(a) | ||||
08/15/2027 | 5.125% | 426,000 | 409,128 | |
Diamond Sports Group LLC/Finance Co.(a) | ||||
08/15/2026 | 5.375% | 265,000 | 191,541 | |
08/15/2027 | 6.625% | 193,000 | 103,299 | |
Discovery Communications LLC | ||||
05/15/2049 | 5.300% | 8,547,000 | 10,250,028 | |
iHeartCommunications, Inc. | ||||
05/01/2026 | 6.375% | 142,350 | 141,826 | |
05/01/2027 | 8.375% | 673,774 | 616,873 | |
iHeartCommunications, Inc.(a) | ||||
08/15/2027 | 5.250% | 274,000 | 262,493 | |
01/15/2028 | 4.750% | 213,000 | 196,794 | |
Lamar Media Corp.(a) | ||||
02/15/2028 | 3.750% | 138,000 | 130,756 | |
01/15/2029 | 4.875% | 146,000 | 147,570 | |
02/15/2030 | 4.000% | 53,000 | 50,880 | |
Netflix, Inc. | ||||
04/15/2028 | 4.875% | 1,215,000 | 1,296,445 | |
11/15/2028 | 5.875% | 311,000 | 353,890 | |
05/15/2029 | 6.375% | 32,000 | 37,284 | |
Netflix, Inc.(a) | ||||
11/15/2029 | 5.375% | 379,000 | 415,162 | |
06/15/2030 | 4.875% | 276,000 | 295,889 | |
Outfront Media Capital LLC/Corp.(a) | ||||
08/15/2027 | 5.000% | 94,000 | 84,845 | |
03/15/2030 | 4.625% | 321,000 | 293,296 | |
Scripps Escrow, Inc.(a) | ||||
07/15/2027 | 5.875% | 105,000 | 99,492 | |
TEGNA, Inc.(a) | ||||
09/15/2029 | 5.000% | 279,000 | 261,270 | |
Twitter, Inc.(a) | ||||
12/15/2027 | 3.875% | 179,000 | 179,040 | |
Total | 16,356,779 | |||
Metals and Mining 0.2% | ||||
Alcoa Nederland Holding BV(a) | ||||
09/30/2024 | 6.750% | 336,000 | 344,660 | |
Big River Steel LLC/Finance Corp.(a) | ||||
09/01/2025 | 7.250% | 703,000 | 656,532 | |
Constellium NV(a) | ||||
05/15/2024 | 5.750% | 290,000 | 288,734 | |
03/01/2025 | 6.625% | 157,000 | 159,344 | |
02/15/2026 | 5.875% | 1,622,000 | 1,625,432 | |
Constellium SE(a) | ||||
06/15/2028 | 5.625% | 215,000 | 210,994 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Freeport-McMoRan, Inc. | ||||
11/14/2024 | 4.550% | 514,000 | 522,718 | |
09/01/2029 | 5.250% | 316,000 | 323,276 | |
03/15/2043 | 5.450% | 1,285,000 | 1,263,127 | |
HudBay Minerals, Inc.(a) | ||||
01/15/2023 | 7.250% | 356,000 | 350,984 | |
01/15/2025 | 7.625% | 992,000 | 948,075 | |
Novelis Corp.(a) | ||||
09/30/2026 | 5.875% | 773,000 | 771,922 | |
01/30/2030 | 4.750% | 1,401,000 | 1,338,414 | |
Total | 8,804,212 | |||
Midstream 2.0% | ||||
Cheniere Energy Partners LP | ||||
10/01/2026 | 5.625% | 408,000 | 404,938 | |
Cheniere Energy Partners LP(a) | ||||
10/01/2029 | 4.500% | 83,000 | 80,711 | |
DCP Midstream Operating LP | ||||
03/15/2023 | 3.875% | 105,000 | 101,835 | |
05/15/2029 | 5.125% | 599,000 | 573,378 | |
04/01/2044 | 5.600% | 290,000 | 233,241 | |
Delek Logistics Partners LP/Finance Corp. | ||||
05/15/2025 | 6.750% | 297,000 | 271,597 | |
Enterprise Products Operating LLC | ||||
01/31/2060 | 3.950% | 2,320,000 | 2,414,905 | |
EQM Midstream Partners LP(a) | ||||
07/01/2025 | 6.000% | 354,000 | 358,528 | |
07/01/2027 | 6.500% | 336,000 | 344,121 | |
Genesis Energy LP/Finance Corp. | ||||
10/01/2025 | 6.500% | 41,000 | 35,215 | |
02/01/2028 | 7.750% | 397,000 | 349,360 | |
Holly Energy Partners LP/Finance Corp.(a) | ||||
02/01/2028 | 5.000% | 350,000 | 333,412 | |
Kinder Morgan, Inc. | ||||
02/15/2046 | 5.050% | 23,450,000 | 26,902,496 | |
MPLX LP | ||||
04/15/2048 | 4.700% | 6,430,000 | 6,549,324 | |
NuStar Logistics LP | ||||
06/01/2026 | 6.000% | 170,000 | 163,448 | |
04/28/2027 | 5.625% | 345,000 | 333,414 | |
Plains All American Pipeline LP/Finance Corp. | ||||
06/15/2044 | 4.700% | 28,370,000 | 25,505,841 | |
Rockpoint Gas Storage Canada Ltd.(a) | ||||
03/31/2023 | 7.000% | 418,000 | 384,226 | |
Sunoco LP/Finance Corp. | ||||
01/15/2023 | 4.875% | 644,000 | 641,474 | |
02/15/2026 | 5.500% | 361,000 | 350,632 |
48 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Tallgrass Energy Partners LP/Finance Corp.(a) | ||||
03/01/2027 | 6.000% | 228,000 | 202,922 | |
01/15/2028 | 5.500% | 241,000 | 206,066 | |
Targa Resources Partners LP/Finance Corp. | ||||
02/01/2027 | 5.375% | 839,000 | 809,452 | |
01/15/2028 | 5.000% | 75,000 | 70,498 | |
01/15/2029 | 6.875% | 208,000 | 217,921 | |
Targa Resources Partners LP/Finance Corp.(a) | ||||
03/01/2030 | 5.500% | 844,000 | 812,468 | |
TransMontaigne Partners LP/TLP Finance Corp. | ||||
02/15/2026 | 6.125% | 610,000 | 589,139 | |
Western Gas Partners LP | ||||
08/15/2048 | 5.500% | 8,000,000 | 6,523,356 | |
Williams Companies, Inc. (The) | ||||
09/15/2045 | 5.100% | 16,620,000 | 18,165,798 | |
Total | 93,929,716 | |||
Natural Gas 1.1% | ||||
NiSource, Inc. | ||||
02/15/2023 | 3.850% | 4,755,000 | 5,084,947 | |
05/01/2030 | 3.600% | 5,900,000 | 6,759,928 | |
02/15/2043 | 5.250% | 990,000 | 1,282,158 | |
05/15/2047 | 4.375% | 14,315,000 | 17,446,094 | |
Sempra Energy | ||||
11/15/2020 | 2.850% | 10,845,000 | 10,899,066 | |
11/15/2025 | 3.750% | 7,365,000 | 8,096,219 | |
06/15/2027 | 3.250% | 637,000 | 699,256 | |
Total | 50,267,668 | |||
Oil Field Services 0.0% | ||||
Apergy Corp. | ||||
05/01/2026 | 6.375% | 233,000 | 216,346 | |
Archrock Partners LP/Finance Corp.(a) | ||||
04/01/2028 | 6.250% | 227,000 | 209,023 | |
Nabors Industries Ltd.(a) | ||||
01/15/2026 | 7.250% | 367,000 | 229,137 | |
01/15/2028 | 7.500% | 152,000 | 93,874 | |
SESI LLC | ||||
09/15/2024 | 7.750% | 124,000 | 44,198 | |
Transocean Guardian Ltd.(a) | ||||
01/15/2024 | 5.875% | 156,145 | 135,648 | |
Transocean Pontus Ltd.(a) | ||||
08/01/2025 | 6.125% | 88,510 | 81,192 | |
Transocean Poseidon Ltd.(a) | ||||
02/01/2027 | 6.875% | 121,000 | 106,825 | |
Transocean Sentry Ltd.(a) | ||||
05/15/2023 | 5.375% | 168,000 | 141,960 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Transocean, Inc.(a) | ||||
01/15/2026 | 7.500% | 85,000 | 46,328 | |
02/01/2027 | 8.000% | 145,000 | 80,088 | |
USA Compression Partners LP/Finance Corp. | ||||
04/01/2026 | 6.875% | 233,000 | 226,234 | |
Total | 1,610,853 | |||
Other Industry 0.0% | ||||
Hillenbrand, Inc. | ||||
06/15/2025 | 5.750% | 103,000 | 106,600 | |
Other REIT 0.0% | ||||
Ladder Capital Finance Holdings LLLP/Corp.(a) | ||||
10/01/2025 | 5.250% | 623,000 | 536,525 | |
Packaging 0.1% | ||||
ARD Finance SA(a),(h) | ||||
06/30/2027 | 6.500% | 84,000 | 83,169 | |
Ardagh Packaging Finance PLC/Holdings USA, Inc.(a) | ||||
02/15/2025 | 6.000% | 698,000 | 714,725 | |
08/15/2026 | 4.125% | 851,000 | 836,932 | |
08/15/2027 | 5.250% | 483,000 | 473,956 | |
08/15/2027 | 5.250% | 279,000 | 273,935 | |
Berry Global Escrow Corp.(a) | ||||
07/15/2026 | 4.875% | 144,000 | 145,384 | |
Berry Global, Inc. | ||||
05/15/2022 | 5.500% | 78,000 | 78,097 | |
Berry Global, Inc.(a) | ||||
02/15/2026 | 4.500% | 79,000 | 77,867 | |
BWAY Holding Co.(a) | ||||
04/15/2024 | 5.500% | 440,000 | 432,584 | |
Flex Acquisition Co., Inc.(a) | ||||
07/15/2026 | 7.875% | 411,000 | 398,255 | |
Reynolds Group Issuer, Inc./LLC(a) | ||||
07/15/2023 | 5.125% | 409,000 | 411,021 | |
07/15/2024 | 7.000% | 320,000 | 321,401 | |
Trivium Packaging Finance BV(a) | ||||
08/15/2026 | 5.500% | 360,000 | 365,737 | |
08/15/2027 | 8.500% | 221,000 | 236,175 | |
Total | 4,849,238 | |||
Pharmaceuticals 1.2% | ||||
AbbVie, Inc.(a) | ||||
06/15/2044 | 4.850% | 7,435,000 | 9,243,283 | |
11/21/2049 | 4.250% | 14,605,000 | 17,678,370 | |
Amgen, Inc. | ||||
02/21/2050 | 3.375% | 12,605,000 | 13,935,508 |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 49 |
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Bausch Health Companies, Inc.(a) | ||||
03/15/2024 | 7.000% | 166,000 | 172,144 | |
04/15/2025 | 6.125% | 952,000 | 964,561 | |
11/01/2025 | 5.500% | 436,000 | 446,774 | |
04/01/2026 | 9.250% | 484,000 | 524,686 | |
01/31/2027 | 8.500% | 883,000 | 941,554 | |
08/15/2027 | 5.750% | 484,000 | 512,793 | |
01/30/2028 | 5.000% | 156,000 | 146,997 | |
02/15/2029 | 6.250% | 365,000 | 367,033 | |
01/30/2030 | 5.250% | 155,000 | 146,881 | |
Bristol-Myers Squibb Co.(a) | ||||
02/20/2048 | 4.550% | 1,900,000 | 2,562,445 | |
Catalent Pharma Solutions, Inc.(a) | ||||
01/15/2026 | 4.875% | 649,000 | 661,798 | |
07/15/2027 | 5.000% | 57,000 | 59,206 | |
Endo Dac/Finance LLC/Finco, Inc.(a) | ||||
07/31/2027 | 9.500% | 185,000 | 195,674 | |
06/30/2028 | 6.000% | 257,000 | 165,765 | |
Jaguar Holding Co. II/PPD Development LP(a) | ||||
06/15/2025 | 4.625% | 142,000 | 144,384 | |
06/15/2028 | 5.000% | 368,000 | 376,661 | |
Johnson & Johnson | ||||
12/05/2033 | 4.375% | 4,343,000 | 5,714,189 | |
Par Pharmaceutical, Inc.(a) | ||||
04/01/2027 | 7.500% | 595,000 | 610,323 | |
Total | 55,571,029 | |||
Property & Casualty 0.0% | ||||
Alliant Holdings Intermediate LLC/Co-Issuer(a) | ||||
10/15/2027 | 6.750% | 719,000 | 713,874 | |
HUB International Ltd.(a) | ||||
05/01/2026 | 7.000% | 618,000 | 616,252 | |
USI, Inc.(a) | ||||
05/01/2025 | 6.875% | 146,000 | 147,167 | |
Total | 1,477,293 | |||
Railroads 0.5% | ||||
CSX Corp. | ||||
09/15/2049 | 3.350% | 2,254,000 | 2,501,304 | |
11/01/2066 | 4.250% | 6,465,000 | 7,816,208 | |
Norfolk Southern Corp. | ||||
05/15/2050 | 3.050% | 1,485,000 | 1,548,393 | |
Union Pacific Corp. | ||||
03/20/2060 | 3.839% | 2,715,000 | 3,169,027 | |
02/05/2070 | 3.750% | 6,110,000 | 6,948,027 | |
Total | 21,982,959 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Restaurants 0.1% | ||||
1011778 BC ULC/New Red Finance, Inc.(a) | ||||
05/15/2024 | 4.250% | 1,234,000 | 1,234,898 | |
04/15/2025 | 5.750% | 101,000 | 106,144 | |
10/15/2025 | 5.000% | 165,000 | 164,054 | |
01/15/2028 | 3.875% | 139,000 | 134,841 | |
IRB Holding Corp.(a) | ||||
06/15/2025 | 7.000% | 509,000 | 524,186 | |
02/15/2026 | 6.750% | 906,000 | 865,799 | |
Yum! Brands, Inc.(a) | ||||
04/01/2025 | 7.750% | 470,000 | 506,881 | |
Total | 3,536,803 | |||
Retailers 0.2% | ||||
Asbury Automotive Group, Inc.(a) | ||||
03/01/2028 | 4.500% | 28,000 | 27,166 | |
Burlington Coat Factory Warehouse Corp.(a) | ||||
04/15/2025 | 6.250% | 51,000 | 53,163 | |
L Brands, Inc.(a) | ||||
07/01/2025 | 6.875% | 410,000 | 423,601 | |
07/01/2025 | 9.375% | 105,000 | 105,139 | |
L Brands, Inc. | ||||
06/15/2029 | 7.500% | 130,000 | 114,257 | |
11/01/2035 | 6.875% | 303,000 | 252,642 | |
Lowe’s Companies, Inc. | ||||
05/03/2047 | 4.050% | 7,035,000 | 8,266,634 | |
Penske Automotive Group, Inc. | ||||
08/15/2020 | 3.750% | 600,000 | 598,703 | |
12/01/2024 | 5.375% | 211,000 | 211,327 | |
PetSmart, Inc.(a) | ||||
03/15/2023 | 7.125% | 851,000 | 838,938 | |
06/01/2025 | 5.875% | 610,000 | 612,146 | |
Total | 11,503,716 | |||
Supermarkets 0.3% | ||||
Albertsons Companies LLC/Safeway, Inc./New Albertsons LP | ||||
03/15/2025 | 5.750% | 212,000 | 216,536 | |
Albertsons Companies LLC/Safeway, Inc./New Albertsons LP(a) | ||||
03/15/2026 | 7.500% | 171,000 | 185,248 | |
02/15/2028 | 5.875% | 316,000 | 325,972 | |
Albertsons Companies, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(a) | ||||
01/15/2027 | 4.625% | 829,000 | 828,954 | |
02/15/2030 | 4.875% | 159,000 | 163,265 | |
Kroger Co. (The) | ||||
04/15/2042 | 5.000% | 3,154,000 | 3,943,370 | |
02/01/2047 | 4.450% | 5,000 | 6,118 | |
01/15/2048 | 4.650% | 6,386,000 | 7,964,390 | |
Total | 13,633,853 |
50 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Technology 1.7% | ||||
Ascend Learning LLC(a) | ||||
08/01/2025 | 6.875% | 688,000 | 692,364 | |
08/01/2025 | 6.875% | 242,000 | 245,287 | |
Banff Merger Sub, Inc.(a) | ||||
09/01/2026 | 9.750% | 66,000 | 66,486 | |
Boxer Parent Co., Inc.(a) | ||||
10/02/2025 | 7.125% | 103,000 | 107,990 | |
03/01/2026 | 9.125% | 62,000 | 64,009 | |
Broadcom Corp./Cayman Finance Ltd. | ||||
01/15/2027 | 3.875% | 21,230,000 | 22,929,676 | |
Broadcom, Inc.(a) | ||||
11/15/2030 | 4.150% | 3,715,000 | 4,040,093 | |
Camelot Finance SA(a) | ||||
11/01/2026 | 4.500% | 424,000 | 424,000 | |
CDK Global, Inc. | ||||
06/01/2027 | 4.875% | 205,000 | 210,257 | |
CommScope Technologies LLC(a) | ||||
06/15/2025 | 6.000% | 525,000 | 506,483 | |
Ensemble S Merger Sub, Inc.(a) | ||||
09/30/2023 | 9.000% | 100,000 | 101,026 | |
Gartner, Inc.(a) | ||||
04/01/2025 | 5.125% | 820,000 | 839,496 | |
07/01/2028 | 4.500% | 458,000 | 462,635 | |
Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/U.S. Holdings I LLC(a) | ||||
11/30/2024 | 10.000% | 474,000 | 491,781 | |
Intel Corp. | ||||
02/15/2060 | 3.100% | 8,140,000 | 9,008,620 | |
International Business Machines Corp. | ||||
05/15/2040 | 2.850% | 6,270,000 | 6,529,833 | |
Iron Mountain, Inc.(a) | ||||
07/15/2028 | 5.000% | 312,000 | 305,697 | |
09/15/2029 | 4.875% | 139,000 | 135,084 | |
07/15/2030 | 5.250% | 797,000 | 785,047 | |
Microchip Technology, Inc.(a) | ||||
09/01/2025 | 4.250% | 633,000 | 635,945 | |
Microsoft Corp. | ||||
08/08/2046 | 3.700% | 1,890,000 | 2,363,151 | |
NCR Corp. | ||||
07/15/2022 | 5.000% | 233,000 | 232,529 | |
12/15/2023 | 6.375% | 485,000 | 493,436 | |
NCR Corp.(a) | ||||
04/15/2025 | 8.125% | 395,000 | 418,828 | |
09/01/2027 | 5.750% | 211,000 | 210,726 | |
09/01/2029 | 6.125% | 261,000 | 260,560 | |
NXP BV/Funding LLC/USA, Inc.(a) | ||||
05/01/2030 | 3.400% | 2,090,000 | 2,249,404 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Oracle Corp. | ||||
04/01/2060 | 3.850% | 11,880,000 | 13,900,793 | |
Plantronics, Inc.(a) | ||||
05/31/2023 | 5.500% | 768,000 | 672,511 | |
PTC, Inc.(a) | ||||
02/15/2025 | 3.625% | 73,000 | 72,384 | |
02/15/2028 | 4.000% | 105,000 | 104,254 | |
QUALCOMM, Inc. | ||||
05/20/2050 | 3.250% | 3,550,000 | 3,900,046 | |
Qualitytech LP/QTS Finance Corp.(a) | ||||
11/15/2025 | 4.750% | 1,044,000 | 1,070,160 | |
Refinitiv US Holdings, Inc.(a) | ||||
05/15/2026 | 6.250% | 39,000 | 41,333 | |
11/15/2026 | 8.250% | 525,000 | 568,273 | |
Sabre GLBL, Inc.(a) | ||||
04/15/2025 | 9.250% | 196,000 | 206,362 | |
Solera LLC/Finance, Inc.(a) | ||||
03/01/2024 | 10.500% | 171,000 | 173,974 | |
Tempo Acquisition LLC/Finance Corp.(a) | ||||
06/01/2025 | 5.750% | 305,000 | 313,494 | |
06/01/2025 | 6.750% | 76,000 | 77,084 | |
VeriSign, Inc. | ||||
05/01/2023 | 4.625% | 475,000 | 478,797 | |
Verscend Escrow Corp.(a) | ||||
08/15/2026 | 9.750% | 579,000 | 623,816 | |
Total | 77,013,724 | |||
Transportation Services 0.8% | ||||
Avis Budget Car Rental LLC/Finance, Inc. | ||||
04/01/2023 | 5.500% | 18,000 | 14,807 | |
Avis Budget Car Rental LLC/Finance, Inc.(a) | ||||
03/15/2025 | 5.250% | 31,000 | 24,097 | |
07/15/2027 | 5.750% | 234,000 | 178,779 | |
ERAC U.S.A. Finance LLC(a) | ||||
12/01/2026 | 3.300% | 7,985,000 | 8,092,803 | |
11/01/2046 | 4.200% | 3,105,000 | 3,001,303 | |
FedEx Corp. | ||||
04/01/2046 | 4.550% | 18,390,000 | 19,828,353 | |
Hertz Corp. (The)(a),(j) | ||||
06/01/2022 | 0.000% | 264,000 | 199,076 | |
10/15/2024 | 0.000% | 4,958,000 | 1,542,870 | |
08/01/2026 | 0.000% | 1,515,000 | 472,880 | |
01/15/2028 | 0.000% | 5,882,000 | 1,836,515 | |
Hertz Corp. (The) | ||||
10/15/2022 | 6.250% | 651,000 | 202,650 | |
XPO Logistics, Inc.(a) | ||||
06/15/2022 | 6.500% | 212,000 | 212,264 | |
Total | 35,606,397 |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 51 |
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2020 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Wireless 0.6% | ||||
Altice France Holding SA(a) | ||||
05/15/2027 | 10.500% | 404,000 | 446,535 | |
02/15/2028 | 6.000% | 624,000 | 589,889 | |
Altice France SA(a) | ||||
05/01/2026 | 7.375% | 873,000 | 908,930 | |
02/01/2027 | 8.125% | 290,000 | 317,801 | |
01/15/2028 | 5.500% | 797,000 | 805,436 | |
American Tower Corp. | ||||
08/15/2029 | 3.800% | 10,590,000 | 12,000,222 | |
SBA Communications Corp. | ||||
09/01/2024 | 4.875% | 931,000 | 953,089 | |
SBA Communications Corp.(a) | ||||
02/15/2027 | 3.875% | 362,000 | 360,845 | |
Sprint Capital Corp. | ||||
03/15/2032 | 8.750% | 159,000 | 227,419 | |
Sprint Corp. | ||||
02/15/2025 | 7.625% | 1,682,000 | 1,940,389 | |
T-Mobile U.S.A., Inc. | ||||
01/15/2026 | 6.500% | 1,084,000 | 1,134,101 | |
02/01/2026 | 4.500% | 361,000 | 365,267 | |
04/15/2027 | 5.375% | 350,000 | 370,227 | |
02/01/2028 | 4.750% | 553,000 | 584,148 | |
T-Mobile U.S.A., Inc.(a) | ||||
04/15/2040 | 4.375% | 5,195,000 | 6,014,346 | |
Total | 27,018,644 | |||
Wirelines 1.7% | ||||
AT&T, Inc. | ||||
03/01/2029 | 4.350% | 28,403,000 | 33,089,068 | |
06/15/2045 | 4.350% | 18,655,000 | 20,879,313 | |
CenturyLink, Inc. | ||||
03/15/2022 | 5.800% | 960,000 | 986,412 | |
12/01/2023 | 6.750% | 552,000 | 593,883 | |
CenturyLink, Inc.(a) | ||||
12/15/2026 | 5.125% | 740,000 | 738,974 | |
02/15/2027 | 4.000% | 156,000 | 151,470 | |
Front Range BidCo, Inc.(a) | ||||
03/01/2027 | 4.000% | 432,000 | 410,818 | |
03/01/2028 | 6.125% | 738,000 | 717,371 | |
Telecom Italia Capital SA | ||||
09/30/2034 | 6.000% | 119,000 | 129,451 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Verizon Communications, Inc. | ||||
09/21/2028 | 4.329% | 3,565,000 | 4,298,301 | |
08/10/2033 | 4.500% | 11,250,000 | 14,082,248 | |
03/22/2050 | 4.000% | 3,780,000 | 4,816,521 | |
Total | 80,893,830 | |||
Total Corporate Bonds & Notes (Cost $1,218,937,994) | 1,314,958,874 | |||
Foreign Government Obligations(k),(l) 3.5% | ||||
Belarus 0.0% | ||||
Republic of Belarus International Bond(a) | ||||
02/28/2023 | 6.875% | 1,365,000 | 1,366,117 | |
Canada 0.0% | ||||
NOVA Chemicals Corp.(a) | ||||
05/01/2025 | 5.000% | 167,000 | 155,887 | |
06/01/2027 | 5.250% | 319,000 | 280,663 | |
Total | 436,550 | |||
Colombia 0.3% | ||||
Colombia Government International Bond | ||||
05/15/2049 | 5.200% | 5,983,000 | 7,013,368 | |
Ecopetrol SA | ||||
04/29/2030 | 6.875% | 4,800,000 | 5,497,873 | |
Total | 12,511,241 | |||
Dominican Republic 0.0% | ||||
Dominican Republic International Bond(a) | ||||
01/25/2027 | 5.950% | 1,630,000 | 1,641,336 | |
Egypt 0.1% | ||||
Egypt Government International Bond(a) | ||||
01/31/2047 | 8.500% | 2,105,000 | 2,058,523 | |
Honduras 0.1% | ||||
Honduras Government International Bond(a) | ||||
03/15/2024 | 7.500% | 3,545,000 | 3,829,242 | |
03/15/2024 | 7.500% | 2,256,000 | 2,436,889 | |
Total | 6,266,131 | |||
Indonesia 0.2% | ||||
Pertamina Persero PT(a) | ||||
01/21/2050 | 4.175% | 7,086,000 | 7,013,346 | |
Ivory Coast 0.3% | ||||
Ivory Coast Government International Bond(a) | ||||
03/03/2028 | 6.375% | 5,205,000 | 5,326,329 | |
10/17/2031 | 5.875% | EUR | 10,000,000 | 10,559,618 |
Total | 15,885,947 |
52 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2020 (Unaudited)
Foreign Government Obligations(k),(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Mexico 1.4% | ||||
Petroleos Mexicanos | ||||
09/21/2047 | 6.750% | 39,229,000 | 30,199,011 | |
02/12/2048 | 6.350% | 17,045,000 | 12,653,771 | |
Petroleos Mexicanos(a) | ||||
01/28/2060 | 6.950% | 27,920,000 | 21,450,322 | |
Total | 64,303,104 | |||
Netherlands 0.1% | ||||
Equate Petrochemical BV(a) | ||||
03/03/2022 | 3.000% | 2,256,000 | 2,281,648 | |
Oman 0.1% | ||||
Oman Government International Bond(a) | ||||
06/15/2021 | 3.625% | 2,256,000 | 2,237,588 | |
06/15/2026 | 4.750% | 2,500,000 | 2,310,454 | |
Total | 4,548,042 | |||
Romania 0.2% | ||||
Romanian Government International Bond(a) | ||||
05/26/2028 | 2.875% | EUR | 9,400,000 | 10,997,296 |
Russian Federation 0.1% | ||||
Gazprom OAO Via Gaz Capital SA(a) | ||||
02/06/2028 | 4.950% | 2,740,000 | 3,080,078 | |
Saudi Arabia 0.2% | ||||
Saudi Government International Bond(a) | ||||
01/21/2055 | 3.750% | 7,800,000 | 7,980,313 | |
Senegal 0.0% | ||||
Senegal Government International Bond(a) | ||||
05/23/2033 | 6.250% | 1,775,000 | 1,808,205 | |
South Africa 0.1% | ||||
Republic of South Africa Government International Bond | ||||
09/30/2029 | 4.850% | 5,000,000 | 4,737,023 | |
Turkey 0.1% | ||||
Turkey Government International Bond | ||||
02/17/2028 | 5.125% | 4,000,000 | 3,684,990 | |
Ukraine 0.0% | ||||
Ukraine Government International Bond(a) | ||||
09/25/2032 | 7.375% | 1,800,000 | 1,813,104 | |
United Arab Emirates 0.2% | ||||
Abu Dhabi Government International Bond(a) | ||||
09/30/2049 | 3.125% | 5,300,000 | 5,534,034 |
Foreign Government Obligations(k),(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Abu Dhabi National Energy Co. PJSC(a) | ||||
01/12/2023 | 3.625% | 2,256,000 | 2,371,021 | |
Total | 7,905,055 | |||
Total Foreign Government Obligations (Cost $166,498,991) | 160,318,049 | |||
Municipal Bonds 0.0% | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Water & Sewer 0.0% | ||||
City of Chicago Waterworks | ||||
Revenue Bonds | ||||
Build America Bonds | ||||
Series 2010 | ||||
11/01/2040 | 6.742% | 1,510,000 | 2,159,511 | |
Total Municipal Bonds (Cost $1,911,268) | 2,159,511 | |||
Residential Mortgage-Backed Securities - Agency 36.4% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal Home Loan Mortgage Corp. | ||||
08/01/2045 | 3.500% | 24,948,620 | 27,530,019 | |
10/01/2045 | 4.000% | 15,823,052 | 17,086,673 | |
Federal Home Loan Mortgage Corp.(b),(g) | ||||
CMO Series 3922 Class SH | ||||
-1.0 x 1-month USD LIBOR + 5.900% Cap 5.900% 09/15/2041 | 5.715% | 926,145 | 147,157 | |
CMO Series 4097 Class ST | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 08/15/2042 | 5.865% | 2,441,320 | 461,863 | |
CMO Series 4831 Class SD | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 10/15/2048 | 6.015% | 16,273,695 | 3,574,704 | |
CMO Series 4903 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 08/25/2049 | 5.866% | 48,653,993 | 10,494,880 | |
CMO Series 4979 Class KS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 06/25/2048 | 5.866% | 24,114,081 | 5,236,978 |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 53 |
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2020 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO STRIPS Series 2012-278 Class S1 | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 09/15/2042 | 5.865% | 5,691,902 | 1,046,367 | |
CMO STRIPS Series 309 Class S4 | ||||
-1.0 x 1-month USD LIBOR + 5.970% Cap 5.970% 08/15/2043 | 5.785% | 2,234,855 | 439,182 | |
Federal Home Loan Mortgage Corp.(g) | ||||
CMO Series 4176 Class BI | ||||
03/15/2043 | 3.500% | 2,435,396 | 354,728 | |
CMO Series 4182 Class DI | ||||
05/15/2039 | 3.500% | 4,497,568 | 127,499 | |
Federal Home Loan Mortgage Corp.(f),(g) | ||||
CMO Series 4620 Class AS | ||||
11/15/2042 | 3.202% | 2,316,375 | 137,840 | |
Federal National Mortgage Association | ||||
02/01/2027- 08/01/2029 | 3.000% | 13,539,241 | 14,252,469 | |
08/01/2034 | 5.500% | 730,337 | 838,242 | |
08/01/2040- 08/01/2041 | 4.500% | 4,804,492 | 5,339,290 | |
08/01/2043- 06/01/2045 | 3.500% | 10,382,464 | 11,247,016 | |
05/01/2044- 05/01/2048 | 4.000% | 45,194,449 | 49,040,688 | |
CMO Series 2017-72 Class B | ||||
09/25/2047 | 3.000% | 27,142,581 | 29,027,376 | |
Federal National Mortgage Association(m) | ||||
10/01/2040- 06/01/2044 | 4.500% | 11,018,585 | 12,257,239 | |
Federal National Mortgage Association(g) | ||||
CMO Series 2012-131 Class MI | ||||
01/25/2040 | 3.500% | 4,162,607 | 257,337 | |
Federal National Mortgage Association(b),(g) | ||||
CMO Series 2013-101 Class CS | ||||
-1.0 x 1-month USD LIBOR + 5.900% Cap 5.900% 10/25/2043 | 5.716% | 3,782,896 | 859,747 | |
CMO Series 2014-93 Class ES | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 01/25/2045 | 5.966% | 4,727,782 | 854,192 | |
CMO Series 2016-31 Class VS | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 06/25/2046 | 5.816% | 2,979,673 | 605,998 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2016-53 Class KS | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 08/25/2046 | 5.816% | 15,798,233 | 3,564,786 | |
CMO Series 2016-57 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 08/25/2046 | 5.816% | 40,404,270 | 9,228,198 | |
CMO Series 2017-109 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 01/25/2048 | 5.966% | 17,583,155 | 4,132,335 | |
CMO Series 2017-20 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 04/25/2047 | 5.916% | 18,656,790 | 3,981,820 | |
CMO Series 2017-54 Class NS | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 07/25/2047 | 5.966% | 13,990,181 | 3,072,876 | |
CMO Series 2017-54 Class SN | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 07/25/2047 | 5.966% | 31,700,788 | 6,401,400 | |
CMO Series 2018-66 Class SM | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 09/25/2048 | 6.016% | 19,974,781 | 3,945,117 | |
CMO Series 2018-67 MS Class MS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 09/25/2048 | 6.016% | 18,621,929 | 3,217,253 | |
CMO Series 2018-74 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 10/25/2048 | 5.966% | 29,266,865 | 6,608,265 | |
CMO Series 2019-33 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 07/25/2049 | 5.866% | 71,205,958 | 15,143,485 |
54 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2020 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2019-60 Class SH | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 10/25/2049 | 5.866% | 45,642,694 | 11,035,340 | |
CMO Series 2019-67 Class SE | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 11/25/2049 | 5.866% | 36,442,504 | 8,086,985 | |
Government National Mortgage Association(m) | ||||
04/20/2048 | 4.500% | 34,985,162 | 37,774,086 | |
Government National Mortgage Association(g) | ||||
CMO Series 2014-184 Class CI | ||||
11/16/2041 | 3.500% | 5,235,602 | 509,392 | |
Government National Mortgage Association(b),(g) | ||||
CMO Series 2017-130 Class HS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 08/20/2047 | 6.010% | 19,749,672 | 5,003,455 | |
CMO Series 2017-149 Class BS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 10/20/2047 | 6.010% | 27,749,588 | 6,792,289 | |
CMO Series 2017-163 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 11/20/2047 | 6.010% | 15,047,702 | 2,826,466 | |
CMO Series 2017-37 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 03/20/2047 | 5.960% | 18,102,530 | 3,867,368 | |
CMO Series 2018-103 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 08/20/2048 | 6.010% | 20,722,750 | 3,453,368 | |
CMO Series 2018-112 Class LS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 08/20/2048 | 6.010% | 20,999,586 | 4,656,505 | |
CMO Series 2018-125 Class SK | ||||
-1.0 x 1-month USD LIBOR + 6.250% Cap 6.250% 09/20/2048 | 6.060% | 24,104,977 | 4,864,341 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2018-134 Class KS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 10/20/2048 | 6.010% | 19,862,517 | 4,042,580 | |
CMO Series 2018-139 Class SC | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 10/20/2048 | 5.960% | 17,746,015 | 3,399,001 | |
CMO Series 2018-148 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 01/20/2048 | 6.010% | 46,663,574 | 10,135,328 | |
CMO Series 2018-151 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 11/20/2048 | 5.960% | 39,439,935 | 7,618,005 | |
CMO Series 2018-89 Class MS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 06/20/2048 | 6.010% | 20,896,854 | 4,338,007 | |
CMO Series 2018-91 Class DS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 07/20/2048 | 6.010% | 23,212,475 | 4,304,424 | |
CMO Series 2018-97 Class SM | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 07/20/2048 | 6.010% | 26,411,092 | 4,494,368 | |
CMO Series 2019-20 Class JS | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 02/20/2049 | 5.810% | 33,778,992 | 7,471,626 | |
CMO Series 2019-5 Class SH | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 01/20/2049 | 5.960% | 25,478,648 | 5,306,048 | |
CMO Series 2019-56 Class SG | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 05/20/2049 | 5.960% | 27,785,931 | 5,688,908 |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 55 |
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2020 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2019-59 Class KS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 05/20/2049 | 5.860% | 28,127,011 | 5,305,027 | |
CMO Series 2019-85 Class SC | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 07/20/2049 | 5.960% | 25,906,661 | 4,756,634 | |
CMO Series 2020-21 Class VS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 02/20/2050 | 5.860% | 25,229,839 | 3,241,060 | |
CMO Series 2020-62 Class SG | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 05/20/2050 | 5.960% | 26,922,851 | 5,024,030 | |
Government National Mortgage Association TBA(c) | ||||
07/21/2050 | 3.500% | 149,000,000 | 157,224,101 | |
Uniform Mortgage-Backed Security TBA(c) | ||||
07/16/2035- 07/14/2050 | 2.500% | 498,500,000 | 519,871,055 | |
07/16/2035- 07/14/2050 | 3.000% | 340,000,000 | 357,949,843 | |
07/16/2035- 07/14/2050 | 3.500% | 97,000,000 | 102,011,757 | |
07/14/2050 | 4.000% | 83,000,000 | 87,955,683 | |
07/14/2050 | 4.500% | 50,000,000 | 53,722,656 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $1,639,038,034) | 1,693,242,755 | |||
Residential Mortgage-Backed Securities - Non-Agency 28.0% | ||||
Ajax Mortgage Loan Trust(a) | ||||
Series 2017-B Class A | ||||
09/25/2056 | 3.163% | 15,166,606 | 14,355,713 | |
Angel Oak Mortgage Trust I LLC(a),(f) | ||||
CMO Series 2018-3 Class M1 | ||||
09/25/2048 | 4.421% | 10,544,000 | 10,705,777 | |
CMO Series 2019-2 Class A2 | ||||
03/25/2049 | 3.782% | 5,616,039 | 5,755,216 | |
CMO Series 2019-2 Class A3 | ||||
03/25/2049 | 3.833% | 4,670,180 | 4,773,985 | |
Angel Oak Mortgage Trust LLC(a),(f) | ||||
CMO Series 2017-3 Class A3 | ||||
11/25/2047 | 2.986% | 2,740,430 | 2,739,005 | |
Arroyo Mortgage Trust(a) | ||||
CMO Series 2018-1 Class A2 | ||||
04/25/2048 | 4.016% | 4,415,348 | 4,489,757 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Arroyo Mortgage Trust(a),(f) | ||||
CMO Series 2019-2 Class A3 | ||||
04/25/2049 | 3.800% | 8,006,230 | 8,124,581 | |
ASG Resecuritization Trust(a),(f) | ||||
CMO Series 2009-2 Class G75 | ||||
05/24/2036 | 3.287% | 1,888,415 | 1,890,425 | |
Bayview Opportunity Master Fund IIIb Trust(a),(f) | ||||
Series 2019-LT2 Class A1 | ||||
10/28/2034 | 3.376% | 2,432,731 | 2,425,341 | |
Bayview Opportunity Master Fund Trust(a),(f) | ||||
CMO Series 2020-RN1 Class A1 | ||||
02/28/2035 | 3.228% | 5,541,788 | 5,508,283 | |
BCAP LLC Trust(a),(f) | ||||
CMO Series 2010-RR11 Class 8A1 | ||||
05/27/2037 | 3.960% | 304,789 | 305,127 | |
Bellemeade Re Ltd.(a),(b) | ||||
CMO Series 2017-1 Class M2 | ||||
1-month USD LIBOR + 3.350% 10/25/2027 | 3.535% | 6,981,487 | 6,601,772 | |
CMO Series 2018-2A Class M1B | ||||
1-month USD LIBOR + 1.350% 08/25/2028 | 1.535% | 7,730,756 | 7,603,898 | |
CMO Series 2018-2A Class M1C | ||||
1-month USD LIBOR + 1.600% 08/25/2028 | 1.785% | 18,740,000 | 17,637,921 | |
CMO Series 2019-1A Class M1A | ||||
1-month USD LIBOR + 1.300% Floor 1.300% 03/25/2029 | 1.485% | 888,045 | 884,366 | |
CMO Series 2019-3A Class M1A | ||||
1-month USD LIBOR + 1.100% Floor 1.100% 07/25/2029 | 1.285% | 1,693,363 | 1,680,484 | |
CMO Series 2019-3A Class M1B | ||||
1-month USD LIBOR + 1.600% Floor 1.600% 07/25/2029 | 1.785% | 29,000,000 | 27,417,554 | |
CMO Series 2019-4A Class M1C | ||||
1-month USD LIBOR + 2.500% Floor 2.500% 10/25/2029 | 2.685% | 3,774,500 | 3,367,385 | |
Series 2019-4A Class M1A | ||||
1-month USD LIBOR + 1.400% Floor 1.400% 10/25/2029 | 1.585% | 2,493,861 | 2,473,374 | |
Bellemeade Re Ltd.(a),(b),(d),(e) | ||||
CMO Series 2020-1A Class M1A | ||||
1-month USD LIBOR + 2.650% 06/25/2030 | 2.845% | 18,116,000 | 18,116,000 |
56 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2020 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2020-1A Class M1B | ||||
1-month USD LIBOR + 3.400% 06/25/2030 | 3.595% | 3,850,000 | 3,850,000 | |
BRAVO Residential Funding Trust(a),(f) | ||||
CMO Series 2019-NQM2 Class A1 | ||||
11/25/2059 | 2.748% | 6,496,623 | 6,483,630 | |
CMO Series 2019-NQM2 Class A3 | ||||
11/25/2059 | 3.108% | 2,915,443 | 2,858,578 | |
CMO Series 2019-NQM2 Class M1 | ||||
11/25/2059 | 3.451% | 3,750,000 | 3,330,741 | |
Bunker Hill Loan Depositary Trust(a),(f) | ||||
CMO Series 2019-3 Class A3 | ||||
11/25/2059 | 3.135% | 10,512,044 | 10,620,680 | |
CHL GMSR Issuer Trust(a),(b) | ||||
CMO Series 2018-GT1 Class A | ||||
1-month USD LIBOR + 1.000% 05/25/2023 | 2.935% | 14,900,000 | 14,357,624 | |
CIM Trust(a),(f) | ||||
CMO Series 2018-R4 Class A1 | ||||
12/26/2057 | 4.070% | 18,536,330 | 19,045,149 | |
CIM Trust(a),(b) | ||||
CMO Series 2018-R6 Class A1 | ||||
1-month USD LIBOR + 1.076% Floor 1.080% 09/25/2058 | 1.247% | 1,787,085 | 1,745,238 | |
Citigroup Mortgage Loan Trust, Inc.(a),(f) | ||||
CMO Series 2013-11 Class 3A3 | ||||
09/25/2034 | 4.072% | 43,272 | 43,179 | |
CMO Series 2014-12 Class 3A1 | ||||
10/25/2035 | 3.701% | 2,103,719 | 2,113,586 | |
CMO Series 2014-C Class A | ||||
02/25/2054 | 3.250% | 257,348 | 257,691 | |
CMO Series 2015-A Class A4 | ||||
06/25/2058 | 4.250% | 1,237,996 | 1,318,285 | |
CMO Series 2018-RP2 Class A1 | ||||
02/25/2058 | 3.500% | 7,823,363 | 8,063,297 | |
CMO Series 2019-IMC1 Class A3 | ||||
07/25/2049 | 3.030% | 7,502,948 | 7,470,692 | |
Citigroup Mortgage Loan Trust, Inc.(a),(g) | ||||
CMO Series 2015-A Class A1IO | ||||
06/25/2058 | 1.000% | 3,597,989 | 43,366 | |
Citigroup Mortgage Loan Trust, Inc.(a) | ||||
CMO Series 2015-RP2 Class A | ||||
01/25/2053 | 4.250% | 3,833,028 | 4,112,325 | |
CMO Series 2015-RP2 Class B3 | ||||
01/25/2053 | 4.250% | 3,394,808 | 3,551,420 | |
Subordinated CMO Series 2014-C Class B1 | ||||
02/25/2054 | 4.250% | 6,000,000 | 6,049,352 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
COLT Mortgage Loan Trust(a),(f) | ||||
CMO Series 2020-2 Class A2 | ||||
03/25/2065 | 3.094% | 3,906,000 | 3,986,563 | |
Connecticut Avenue Securities Trust(a),(b) | ||||
CMO Series 2019-HRP1 Class M2 | ||||
1-month USD LIBOR + 2.150% 11/25/2039 | 2.335% | 13,941,144 | 12,931,313 | |
Credit Suisse Mortgage Capital Certificates(a),(f) | ||||
CMO Series 2011-12R Class 3A1 | ||||
07/27/2036 | 3.901% | 601,126 | 596,729 | |
Credit Suisse Mortgage Trust(a) | ||||
CMO Series 2018-RPL2 Class A1 | ||||
08/25/2062 | 4.030% | 5,108,949 | 5,178,880 | |
CSMC Trust(a) | ||||
CMO Series 2018-RPL7 Class A1 | ||||
08/26/2058 | 4.000% | 19,702,953 | 19,863,575 | |
CSMC Trust(a),(f) | ||||
CMO Series 2020-RPL2 Class A12 | ||||
02/25/2060 | 3.552% | 9,964,482 | 9,991,726 | |
Deephaven Residential Mortgage Trust(a),(f) | ||||
CMO Series 2017-2A Class M1 | ||||
06/25/2047 | 3.897% | 500,000 | 502,930 | |
CMO Series 2018-4A Class M1 | ||||
10/25/2058 | 4.735% | 11,655,000 | 11,542,696 | |
Deephaven Residential Mortgage Trust(a) | ||||
CMO Series 2017-3A Class M1 | ||||
10/25/2047 | 3.511% | 846,000 | 838,889 | |
CMO Series 2018-1A Class M1 | ||||
12/25/2057 | 3.939% | 5,900,000 | 5,860,445 | |
Eagle Re Ltd.(a),(b) | ||||
CMO Series 2020-1 Class M1B | ||||
1-month USD LIBOR + 1.450% 01/25/2030 | 1.635% | 34,600,000 | 32,099,731 | |
Ellington Financial Mortgage Trust(a),(f) | ||||
CMO Series 2018-1 Class A2 | ||||
10/25/2058 | 4.293% | 3,571,979 | 3,646,713 | |
CMO Series 2018-1 Class A3 | ||||
10/25/2058 | 4.394% | 4,119,165 | 4,196,835 | |
CMO Series 2019-2 Class M1 | ||||
11/25/2059 | 3.469% | 5,761,000 | 5,403,485 | |
FMC GMSR Issuer Trust(a),(f) | ||||
CMO Series 2019-GT1 Class A | ||||
05/25/2024 | 5.070% | 39,500,000 | 38,716,257 | |
Freddie Mac Structured Agency Credit Risk Debt Notes(a),(b),(c) | ||||
CMO Series 2020-DNA3 Class M2 | ||||
1-month USD LIBOR + 3.000% 06/25/2050 | 3.171% | 12,300,000 | 12,300,000 |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 57 |
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2020 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
GCAT LLC(a),(f) | ||||
CMO Series 2019-3 Class A1 | ||||
10/25/2049 | 3.352% | 5,147,317 | 5,015,369 | |
CMO Series 2020-1 Class A1 | ||||
01/26/2060 | 2.981% | 11,466,760 | 11,295,022 | |
GCAT LLC(a) | ||||
CMO Series 2019-NQM1 Class A3 | ||||
02/25/2059 | 3.395% | 10,780,831 | 11,023,060 | |
GCAT Trust(a),(f) | ||||
CMO Series 2019-NQM2 Class A2 | ||||
09/25/2059 | 3.060% | 5,259,715 | 5,347,594 | |
CMO Series 2019-NQM3 Class A3 | ||||
11/25/2059 | 3.043% | 7,322,922 | 7,356,337 | |
Genworth Mortgage Insurance Corp.(a),(b) | ||||
CMO Series 2019-1 Class M1 | ||||
1-month USD LIBOR + 1.900% Floor 1.900% 11/26/2029 | 2.085% | 16,100,000 | 15,689,052 | |
Grand Avenue Mortgage Loan Trust(a) | ||||
CMO Series 2017-RPL1 Class A1 | ||||
08/25/2064 | 3.250% | 29,989,853 | 29,151,852 | |
Headlands Residential LLC(a) | ||||
CMO Series 2019-RPL1 | ||||
06/25/2024 | 3.967% | 25,265,000 | 25,019,487 | |
JPMorgan Resecuritization Trust(a) | ||||
CMO Series 2014-5 Class 6A | ||||
09/27/2036 | 4.000% | 189,428 | 190,170 | |
Legacy Mortgage Asset Trust(a) | ||||
CMO Series 2017-GS1 Class A1 | ||||
01/25/2057 | 6.500% | 8,840,497 | 8,784,672 | |
CMO Series 2017-GS1 Class A2 | ||||
01/25/2057 | 6.500% | 3,031,499 | 2,887,595 | |
CMO Series 2019-GS1 Class A1 | ||||
01/25/2059 | 4.000% | 9,214,688 | 8,951,557 | |
LVII Resecuritization Trust(a),(f) | ||||
Subordinated CMO Series 2009-3 Class B3 | ||||
11/27/2037 | 5.110% | 12,074,562 | 12,127,174 | |
New Residential Mortgage LLC(a) | ||||
CMO Series 2018-FNT2 Class E | ||||
07/25/2054 | 5.120% | 6,303,008 | 5,922,596 | |
Subordinated CMO Series 2018-FNT1 Class D | ||||
05/25/2023 | 4.690% | 13,361,649 | 12,823,731 | |
Subordinated CMO Series 2018-FNT1 Class E | ||||
05/25/2023 | 4.890% | 5,616,622 | 5,414,300 | |
New Residential Mortgage Loan Trust(a) | ||||
CMO Series 2018-RPL1 Class A1 | ||||
12/25/2057 | 3.500% | 9,702,892 | 10,146,668 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
NRZ Excess Spread-Collateralized Notes(a) | ||||
Series 2018-PLS1 Class A | ||||
01/25/2023 | 3.193% | 18,240,764 | 18,342,166 | |
Series 2018-PLS1 Class C | ||||
01/25/2023 | 3.981% | 11,946,416 | 11,813,116 | |
Subordinated CMO Series 2018-PLS1 Class B | ||||
01/25/2023 | 3.588% | 4,110,595 | 4,120,675 | |
Subordinated CMO Series 2018-PLS2 Class C | ||||
02/25/2023 | 4.102% | 8,002,627 | 8,084,130 | |
Subordinated CMO Series 2018-PLS2 Class D | ||||
02/25/2023 | 4.593% | 10,598,074 | 10,705,608 | |
Oaktown Re II Ltd.(a),(b) | ||||
CMO Series 2018-1A Class M1 | ||||
1-month USD LIBOR + 1.550% 07/25/2028 | 1.735% | 798,781 | 795,802 | |
Oaktown Re III Ltd.(a),(b) | ||||
CMO Series 2019-1A Class M1A | ||||
1-month USD LIBOR + 1.400% Floor 1.400% 07/25/2029 | 1.585% | 257,839 | 257,839 | |
CMO Series 2019-1A Class M1B | ||||
1-month USD LIBOR + 1.950% Floor 1.950% 07/25/2029 | 2.135% | 14,000,000 | 13,574,896 | |
Oaktown Re Ltd.(a),(b) | ||||
Subordinated CMO Series 2017-1A Class M2 | ||||
1-month USD LIBOR + 4.000% 04/25/2027 | 4.947% | 1,218,181 | 1,205,162 | |
OMSR(a),(d),(e) | ||||
CMO Series 2019-PLS1 Class A | ||||
11/25/2024 | 5.069% | 10,417,991 | 8,360,438 | |
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 | 2.184% | 19,765,129 | 18,003,940 | |
Series 2019-2R Class A | ||||
1-month USD LIBOR + 2.750% Floor 2.750% 05/27/2023 | 2.934% | 17,529,525 | 16,499,681 | |
PNMAC GMSR Issuer Trust(a),(b) | ||||
CMO Series 2018-GT1 Class A | ||||
1-month USD LIBOR + 2.850% Floor 2.850% 02/25/2023 | 3.035% | 54,900,000 | 53,805,991 | |
CMO Series 2018-GT2 Class A | ||||
1-month USD LIBOR + 2.650% 08/25/2025 | 2.835% | 73,650,000 | 70,309,383 |
58 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2020 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Preston Ridge Partners Mortgage LLC(a),(f) | ||||
CMO Series 2018-1A Class A1 | ||||
04/25/2023 | 3.750% | 10,994,305 | 11,031,112 | |
CMO Series 2019-1A Class A1 | ||||
01/25/2024 | 4.500% | 22,233,663 | 22,418,398 | |
Preston Ridge Partners Mortgage LLC(a) | ||||
CMO Series 2019-2A Class A1 | ||||
04/25/2024 | 3.967% | 6,048,038 | 6,094,181 | |
Preston Ridge Partners Mortgage Trust(a),(f) | ||||
CMO Series 2019-4A Class A2 | ||||
11/25/2024 | 4.654% | 10,053,000 | 9,724,868 | |
Pretium Mortgage Credit Partners I LLC(a),(f) | ||||
CMO Series 2020-NPL2 Class A1 | ||||
02/27/2060 | 3.721% | 9,100,000 | 9,105,924 | |
PRPM LLC(a),(f) | ||||
CMO Series 2019-3A Class A1 | ||||
07/25/2024 | 3.351% | 31,919,514 | 31,894,415 | |
CMO Series 2020-1A Class A1 | ||||
02/25/2025 | 2.981% | 58,940,743 | 58,382,203 | |
Radnor Re Ltd.(a),(b) | ||||
CMO Series 2020-1 Class M1B | ||||
1-month USD LIBOR + 1.450% Floor 1.450% 02/25/2030 | 1.618% | 17,350,000 | 15,387,319 | |
Radnor RE Ltd.(a),(b) | ||||
CMO Series 2019-2 Class M1B | ||||
1-month USD LIBOR + 1.750% Floor 1.750% 06/25/2029 | 1.935% | 10,000,000 | 9,872,912 | |
RBSSP Resecuritization Trust(a),(f) | ||||
CMO Series 2010-1 Class 3A2 | ||||
08/26/2035 | 4.576% | 1,150,915 | 1,117,954 | |
RCO Trust(a),(f) | ||||
CMO Series 2018-VFS1 Class A2 | ||||
12/26/2053 | 4.472% | 6,011,830 | 6,183,671 | |
RCO V Mortgage LLC(a),(f) | ||||
CMO Series 2018-2 Class A1 | ||||
10/25/2023 | 4.458% | 17,610,833 | 17,610,814 | |
CMO Series 2019-2 Class A1 | ||||
11/25/2024 | 3.475% | 26,921,230 | 26,868,112 | |
RCO V Mortgage LLC(a) | ||||
CMO Series 2019-1 Class A1 | ||||
05/24/2024 | 3.721% | 12,662,529 | 12,657,769 | |
Residential Mortgage Loan Trust(a),(f) | ||||
CMO Series 2019-3 Class A3 | ||||
09/25/2059 | 3.044% | 3,320,042 | 3,275,354 | |
SG Residential Mortgage Trust(a),(f) | ||||
CMO Series 2019-3 Class M1 | ||||
09/25/2059 | 3.526% | 7,700,000 | 7,315,427 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Toorak Mortgage Corp., Ltd.(a),(f) | ||||
CMO Series 2018-1 Class A1 | ||||
08/25/2021 | 4.336% | 26,200,000 | 26,219,786 | |
Toorak Mortgage Corp., Ltd.(f) | ||||
CMO Series 2019-2 Class A1 | ||||
09/25/2022 | 3.721% | 12,200,000 | 12,188,415 | |
Towd Point Mortgage Trust(a),(b) | ||||
CMO Series 2019-HY1 Class A1 | ||||
1-month USD LIBOR + 1.000% 10/25/2048 | 1.185% | 7,291,795 | 7,257,552 | |
Vericrest Opportunity Loan Transferee LXXXV LLC(a),(f) | ||||
CMO Series 2020-NPL1 Class A1A | ||||
01/25/2050 | 3.228% | 4,128,423 | 4,102,217 | |
Vericrest Opportunity Loan Transferee LXXXVII LLC(a),(f) | ||||
CMO Series 2020-NPL3 Class A1A | ||||
02/25/2050 | 2.981% | 21,004,009 | 20,798,794 | |
CMO Series 2020-NPL3 Class A1B | ||||
02/25/2050 | 3.672% | 14,600,000 | 14,165,482 | |
Vericrest Opportunity Loan Transferee LXXXVIII LLC(a),(f) | ||||
CMO Series 2020-NPL4 Class A1 | ||||
03/25/2050 | 2.981% | 14,301,306 | 14,101,239 | |
Vericrest Opportunity Loan Trust(a),(f) | ||||
CMO Series 2019-NPL5 Class A1A | ||||
09/25/2049 | 3.352% | 15,468,193 | 15,401,580 | |
CMO Series 2019-NPL5 Class A1B | ||||
09/25/2049 | 4.250% | 5,950,000 | 5,728,884 | |
CMO Series 2019-NPL7 Class A1A | ||||
10/25/2049 | 3.179% | 5,311,899 | 5,260,784 | |
CMO Series 2019-NPL8 Class A1A | ||||
11/25/2049 | 3.278% | 15,523,572 | 15,506,026 | |
CMO Series 2020-NPL5 Class A1A | ||||
03/25/2050 | 2.982% | 12,039,769 | 11,945,085 | |
Vericrest Opportunity Loan Trust(a),(c),(f) | ||||
CMO Series 2020-NPL6 Class A1B | ||||
12/31/2049 | 4.949% | 12,000,000 | 12,000,000 | |
Verus Securitization Trust(a),(f) | ||||
CMO Series 2018-3 Class A3 | ||||
10/25/2058 | 4.282% | 5,991,143 | 6,032,310 | |
CMO Series 2019-1 Class A1 | ||||
02/25/2059 | 3.836% | 3,563,513 | 3,632,517 | |
CMO Series 2019-3 Class A3 | ||||
07/25/2059 | 3.040% | 7,632,969 | 7,581,021 | |
CMO Series 2019-4 Class A3 | ||||
11/25/2059 | 3.000% | 4,488,497 | 4,480,277 | |
CMO Series 2019-INV3 Class A3 | ||||
11/25/2059 | 3.100% | 8,619,721 | 8,473,769 | |
CMO Series 2020-1 Class A3 | ||||
01/25/2060 | 2.724% | 16,146,610 | 16,036,374 |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 59 |
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2020 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Visio Trust(a),(f) | ||||
CMO Series 2019-1 Class A1 | ||||
06/25/2054 | 3.572% | 9,542,022 | 9,831,956 | |
CMO Series 2019-2 Class A3 | ||||
11/25/2054 | 3.076% | 7,578,216 | 7,430,359 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $1,296,636,929) | 1,299,967,487 | |||
Senior Loans 0.0% | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Consumer Cyclical Services 0.0% | ||||
8th Avenue Food & Provisions, Inc.(b),(n) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 3.500% 10/01/2025 | 3.685% | 273,089 | 264,271 | |
2nd Lien Term Loan | ||||
3-month USD LIBOR + 7.750% 10/01/2026 | 7.935% | 76,349 | 72,595 | |
Total | 336,866 | |||
Finance Companies 0.0% | ||||
Ellie Mae, Inc.(b),(n) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 3.750% 04/17/2026 | 4.058% | 358,293 | 346,290 | |
Food and Beverage 0.0% | ||||
BellRing Brands LLC(b),(n) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 5.000% Floor 1.000% 10/21/2024 | 6.000% | 219,375 | 217,868 | |
Froneri International Ltd.(b),(n) | ||||
2nd Lien Term Loan | ||||
1-month USD LIBOR + 5.750% 01/31/2028 | 5.928% | 57,000 | 54,008 | |
Total | 271,876 | |||
Metals and Mining 0.0% | ||||
Big River Steel LLC(b),(n) | ||||
Term Loan | ||||
3-month USD LIBOR + 5.000% Floor 1.000% 08/23/2023 | 6.000% | 325,594 | 305,244 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Technology 0.0% | ||||
Ascend Learning LLC(b),(n) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.000% Floor 1.000% 07/12/2024 | 4.000% | 132,129 | 125,440 | |
Informatica LLC(n),(o) | ||||
2nd Lien Term Loan | ||||
02/25/2025 | 7.125% | 327,000 | 326,591 | |
Project Alpha Intermediate Holding, Inc.(b),(n) | ||||
Term Loan | ||||
3-month USD LIBOR + 4.250% 04/26/2024 | 6.130% | 223,199 | 214,830 | |
Ultimate Software Group, Inc. (The)(b),(n) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 3.750% 05/04/2026 | 3.928% | 164,755 | 159,344 | |
Total | 826,205 | |||
Total Senior Loans (Cost $2,144,683) | 2,086,481 | |||
U.S. Treasury Obligations 0.9% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
U.S. Treasury | ||||
08/15/2027 | 2.250% | 30,048,500 | 33,743,527 | |
08/15/2048 | 3.000% | 7,560,000 | 10,396,181 | |
Total U.S. Treasury Obligations (Cost $37,272,716) | 44,139,708 |
Options Purchased Puts 0.1% | ||||
Value ($) | ||||
(Cost $3,103,110) | 2,634,272 |
Money Market Funds 2.7% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(p),(q) | 123,187,664 | 123,187,664 |
Total Money Market Funds (Cost $123,187,913) | 123,187,664 | |
Total Investments in Securities (Cost: $5,721,329,063) | 5,841,618,070 | |
Other Assets & Liabilities, Net | (1,195,418,156) | |
Net Assets | 4,646,199,914 |
60 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2020 (Unaudited)
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
19,256,000 EUR | 21,564,660 USD | UBS | 07/27/2020 | — | (81,974) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Euro-BTP | 371 | 09/2020 | EUR | 53,379,480 | 1,742,307 | — |
Euro-OAT | 279 | 09/2020 | EUR | 46,774,350 | 821,594 | — |
Long Gilt | 1,524 | 09/2020 | GBP | 209,763,360 | 1,128,334 | — |
U.S. Treasury 2-Year Note | 1,781 | 09/2020 | USD | 393,294,892 | 46,591 | — |
U.S. Treasury 5-Year Note | 2,399 | 09/2020 | USD | 301,655,509 | 724,133 | — |
U.S. Ultra Bond 10-Year Note | 169 | 09/2020 | USD | 26,614,859 | 108,260 | — |
U.S. Ultra Treasury Bond | 683 | 09/2020 | USD | 149,000,719 | 113,461 | — |
Total | 4,684,680 | — |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Euro-Bund | (1,279) | 09/2020 | EUR | (225,769,080) | — | (1,899,645) |
U.S. Treasury 10-Year Note | (1,796) | 09/2020 | USD | (249,952,688) | — | (2,034,246) |
Total | — | (3,933,891) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
10-Year OTC interest rate swap with Deutsche Bank to receive 3-Month USD LIBOR BBA and pay exercise rate | Morgan Stanley | USD | 383,100,000 | 383,100,000 | 1.00 | 12/29/2020 | 3,103,110 | 2,634,272 |
Interest rate swap contracts | ||||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
U.S. CPI Urban Consumers NSA | Fixed rate of 1.172% | Receives at Maturity, Pays at Maturity | Citi | 03/17/2030 | USD | 66,961,000 | 1,963,715 | — | — | — | 1,963,715 | — |
U.S. CPI Urban Consumers NSA | Fixed rate of 1.185% | Receives at Maturity, Pays at Maturity | Citi | 04/22/2030 | USD | 46,000,000 | 1,291,626 | — | — | — | 1,291,626 | — |
Total | 3,255,341 | — | — | — | 3,255,341 | — |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 61 |
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2020 (Unaudited)
Credit default swap contracts - buy protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Pay fixed rate (%) | Payment frequency | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | USD | 17,000,000 | 3,472,420 | (8,500) | 739,030 | — | 2,724,890 | — |
Markit CMBX North America Index, Series 11 BBB- | JPMorgan | 11/18/2054 | 3.000 | Monthly | USD | 3,700,000 | 756,798 | (1,850) | 135,590 | — | 619,358 | — |
Markit CMBX North America Index, Series 11 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | USD | 4,000,000 | 817,040 | (2,000) | 248,747 | — | 566,293 | — |
Total | 5,046,258 | (12,350) | 1,123,367 | — | 3,910,541 | — |
Credit default swap contracts - sell protection | |||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CMBX North America Index, Series 11 BBB- | Citi | 11/18/2054 | 3.000 | Monthly | 6.577 | USD | 9,790,000 | (2,002,446) | 4,895 | — | (2,727,518) | 729,967 | — |
Markit CMBX North America Index, Series 12 AAA | Citi | 08/17/2061 | 0.500 | Monthly | 0.554 | USD | 19,850,000 | (83,826) | 1,654 | — | (1,235,824) | 1,153,652 | — |
Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 7.039 | USD | 19,200,000 | (3,921,793) | 9,600 | — | (3,794,539) | — | (117,654) |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 7.039 | USD | 10,000,000 | (2,042,600) | 5,000 | — | (2,088,006) | 50,406 | — |
Total | (8,050,665) | 21,149 | — | (9,845,887) | 1,934,025 | (117,654) |
* | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America High Yield Index, Series 34 | Morgan Stanley | 06/20/2025 | 5.000 | Quarterly | 5.169 | USD | 362,586,500 | 21,606,168 | — | — | 21,606,168 | — |
* | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
Reference index and values for swap contracts as of period end | ||
Reference index | Reference rate | |
U.S. CPI Urban Consumers NSA | United States Consumer Price All Urban Non-Seasonally Adjusted Index | 0.646% |
62 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2020 (Unaudited)
(a) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At June 30, 2020, the total value of these securities amounted to $2,774,892,235, which represents 59.72% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of June 30, 2020. |
(c) | Represents a security purchased on a when-issued basis. |
(d) | Valuation based on significant unobservable inputs. |
(e) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At June 30, 2020, the total value of these securities amounted to $41,574,074, which represents 0.89% of total net assets. |
(f) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of June 30, 2020. |
(g) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
(h) | Payment-in-kind security. Interest can be paid by issuing additional par of the security or in cash. |
(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 June 30, 2020. |
(j) | Represents securities that have defaulted on payment of interest. The Fund has stopped accruing interest on these securities. At June 30, 2020, the total value of these securities amounted to $4,051,341, which represents 0.09% of total net assets. |
(k) | Principal amounts are denominated in United States Dollars unless otherwise noted. |
(l) | Principal and interest may not be guaranteed by a governmental entity. |
(m) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(n) | The stated interest rate represents the weighted average interest rate at June 30, 2020 of contracts within the senior loan facility. Interest rates on contracts are primarily determined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. These base lending rates are primarily the LIBOR and other short-term rates. Base lending rates may be subject to a floor or minimum rate. The interest rate for senior loans purchased on a when-issued or delayed delivery basis will be determined upon settlement, therefore no interest rate is disclosed. Senior loans often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, cannot be predicted with accuracy. As a result, remaining maturities of senior loans may be less than the stated maturities. Generally, the Fund is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. |
(o) | Represents a security purchased on a forward commitment basis. |
(p) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
(q) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | ||||||||
151,565,631 | 1,078,575,585 | (1,106,957,170) | 3,618 | 123,187,664 | 32,443 | 795,090 | 123,187,664 |
CMO | Collateralized Mortgage Obligation |
LIBOR | London Interbank Offered Rate |
STRIPS | Separate Trading of Registered Interest and Principal Securities |
TBA | To Be Announced |
EUR | Euro |
GBP | British Pound |
USD | US Dollar |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 63 |
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2020 (Unaudited)
pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Asset-Backed Securities — Agency | — | 270,301 | — | 270,301 |
Asset-Backed Securities — Non-Agency | — | 719,813,511 | 22,181,096 | 741,994,607 |
Commercial Mortgage-Backed Securities - Agency | — | 84,312,106 | — | 84,312,106 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 372,346,255 | — | 372,346,255 |
Corporate Bonds & Notes | — | 1,314,958,874 | — | 1,314,958,874 |
Foreign Government Obligations | — | 160,318,049 | — | 160,318,049 |
Municipal Bonds | — | 2,159,511 | — | 2,159,511 |
Residential Mortgage-Backed Securities - Agency | — | 1,693,242,755 | — | 1,693,242,755 |
Residential Mortgage-Backed Securities - Non-Agency | — | 1,269,641,049 | 30,326,438 | 1,299,967,487 |
Senior Loans | — | 2,086,481 | — | 2,086,481 |
U.S. Treasury Obligations | 44,139,708 | — | — | 44,139,708 |
Options Purchased Puts | — | 2,634,272 | — | 2,634,272 |
Money Market Funds | 123,187,664 | — | — | 123,187,664 |
Total Investments in Securities | 167,327,372 | 5,621,783,164 | 52,507,534 | 5,841,618,070 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 4,684,680 | — | — | 4,684,680 |
Swap Contracts | — | 30,706,075 | — | 30,706,075 |
Liability | ||||
Forward Foreign Currency Exchange Contracts | — | (81,974) | — | (81,974) |
Futures Contracts | (3,933,891) | — | — | (3,933,891) |
Swap Contracts | — | (117,654) | — | (117,654) |
Total | 168,078,161 | 5,652,289,611 | 52,507,534 | 5,872,875,306 |
64 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2020 (Unaudited)
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 12/31/2019 ($) | Increase (decrease) in accrued discounts/ premiums ($) | Realized gain (loss) ($) | Change in unrealized appreciation (depreciation)(a) ($) | Purchases ($) | Sales ($) | Transfers into Level 3 ($) | Transfers out of Level 3 ($) | Balance as of 06/30/2020 ($) | |
Asset-Backed Securities — Non-Agency | 36,278,926 | — | (9,532,437) | 6,380,999 | — | (10,946,392) | — | — | 22,181,096 |
Residential Mortgage-Backed Securities — Non-Agency | 15,329,942 | 154,752 | — | (40,774) | 30,789,566 | (577,106) | — | (15,329,942) | 30,326,438 |
Total | 51,608,868 | 154,752 | (9,532,437) | 6,340,225 | 30,789,566 | (11,523,498) | — | (15,329,942) | 52,507,534 |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 65 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, June 30, 2020 (Unaudited)
Foreign Government Obligations(a),(b) 2.1% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Colombia 0.2% | ||||
Colombia Government International Bond | ||||
01/30/2030 | 3.000% | 245,000 | 242,609 | |
Greece 0.0% | ||||
Hellenic Republic Government Bond(c) | ||||
10/15/2042 | 0.000% | EUR | 12,871,600 | 41,938 |
Hungary 0.0% | ||||
Hungary Government International Bond(d) | ||||
04/28/2032 | 1.625% | EUR | 45,000 | 50,719 |
Indonesia 0.1% | ||||
Indonesia Government International Bond | ||||
02/14/2030 | 2.850% | 60,000 | 61,297 | |
Mexico 0.3% | ||||
Mexico Government International Bond | ||||
04/22/2029 | 4.500% | 65,000 | 70,601 | |
04/16/2030 | 3.250% | 195,000 | 193,382 | |
Total | 263,983 | |||
Spain 1.4% | ||||
Spain Government Bond(d) | ||||
04/30/2030 | 0.500% | EUR | 1,285,000 | 1,457,899 |
Uruguay 0.1% | ||||
Uruguay Government International Bond | ||||
01/23/2031 | 4.375% | 60,000 | 70,236 | |
Total Foreign Government Obligations (Cost $2,671,279) | 2,188,681 | |||
Inflation-Indexed Bonds(a) 97.5% | ||||
Australia 1.3% | ||||
Australia Government Bond(d) | ||||
02/21/2022 | 1.250% | AUD | 454,838 | 319,329 |
09/20/2030 | 2.500% | AUD | 360,843 | 315,662 |
08/21/2035 | 2.000% | AUD | 198,742 | 177,185 |
08/21/2040 | 1.250% | AUD | 125,313 | 103,777 |
Australia Government Index-Linked Bond(d) | ||||
09/20/2025 | 3.000% | AUD | 545,449 | 438,240 |
Total | 1,354,193 | |||
Canada 2.0% | ||||
Canadian Government Real Return Bond | ||||
12/01/2021 | 4.250% | CAD | 269,514 | 209,667 |
12/01/2026 | 4.250% | CAD | 224,041 | 214,575 |
12/01/2031 | 4.000% | CAD | 304,419 | 336,513 |
12/01/2036 | 3.000% | CAD | 256,928 | 284,958 |
Inflation-Indexed Bonds(a) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
12/01/2041 | 2.000% | CAD | 262,326 | 276,639 |
12/01/2044 | 1.500% | CAD | 363,903 | 367,696 |
12/01/2047 | 1.250% | CAD | 258,652 | 259,334 |
12/01/2050 | 0.500% | CAD | 83,529 | 72,486 |
Total | 2,021,868 | |||
Denmark 0.3% | ||||
Denmark Government Bond | ||||
11/15/2023 | 0.100% | DKK | 1,685,787 | 265,745 |
France 7.8% | ||||
France Government Bond OAT(d) | ||||
07/25/2023 | 2.100% | EUR | 997,815 | 1,221,695 |
03/01/2025 | 0.100% | EUR | 389,786 | 456,814 |
07/25/2027 | 1.850% | EUR | 33,628 | 45,586 |
07/25/2029 | 3.400% | EUR | 338,003 | 534,996 |
07/25/2030 | 0.700% | EUR | 720,277 | 949,974 |
07/25/2032 | 3.150% | EUR | 453,747 | 771,461 |
07/25/2047 | 0.100% | EUR | 444,775 | 613,692 |
French Republic Government Bond OAT(d) | ||||
07/25/2022 | 1.100% | EUR | 1,473,011 | 1,720,245 |
07/25/2024 | 0.250% | EUR | 186,407 | 219,989 |
03/01/2028 | 0.100% | EUR | 363,195 | 437,935 |
07/25/2036 | 0.100% | EUR | 206,268 | 266,895 |
07/25/2040 | 1.800% | EUR | 463,549 | 802,277 |
Total | 8,041,559 | |||
Germany 2.4% | ||||
Bundesrepublik Deutschland Bundesobligation Inflation-Linked Bond(d) | ||||
04/15/2030 | 0.500% | EUR | 497,984 | 655,760 |
Deutsche Bundesrepublik Inflation-Linked Bond(d) | ||||
04/15/2023 | 0.100% | EUR | 591,728 | 677,555 |
04/15/2026 | 0.100% | EUR | 597,058 | 717,442 |
04/15/2046 | 0.100% | EUR | 298,111 | 458,107 |
Total | 2,508,864 | |||
Italy 6.4% | ||||
Italy Buoni Poliennali Del Tesoro(d) | ||||
09/15/2021 | 2.100% | EUR | 318,091 | 365,572 |
05/15/2022 | 0.100% | EUR | 322,400 | 359,278 |
05/22/2023 | 0.450% | EUR | 170,892 | 191,795 |
09/15/2023 | 2.600% | EUR | 1,326,431 | 1,603,352 |
09/15/2026 | 3.100% | EUR | 428,128 | 555,933 |
05/15/2028 | 1.300% | EUR | 1,226,248 | 1,433,134 |
09/15/2032 | 1.250% | EUR | 707,022 | 824,564 |
09/15/2035 | 2.350% | EUR | 488,869 | 656,337 |
09/15/2041 | 2.550% | EUR | 427,223 | 601,578 |
Total | 6,591,543 |
66 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, June 30, 2020 (Unaudited)
Inflation-Indexed Bonds(a) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Japan 6.9% | ||||
Japanese Government CPI-Linked Bond | ||||
09/10/2023 | 0.100% | JPY | 735,000 | 6,807 |
03/10/2024 | 0.100% | JPY | 104,300 | 968 |
09/10/2024 | 0.100% | JPY | 43,239,000 | 399,653 |
03/10/2025 | 0.100% | JPY | 119,192,400 | 1,098,926 |
03/10/2026 | 0.100% | JPY | 94,292,224 | 869,352 |
03/10/2027 | 0.100% | JPY | 96,401,184 | 888,792 |
03/10/2028 | 0.100% | JPY | 110,385,349 | 1,018,745 |
03/10/2029 | 0.100% | JPY | 306,404,280 | 2,833,427 |
Total | 7,116,670 | |||
New Zealand 1.2% | ||||
New Zealand Government Inflation-Linked Bond(d) | ||||
09/20/2030 | 3.000% | NZD | 617,195 | 513,849 |
09/20/2035 | 2.500% | NZD | 582,986 | 498,869 |
New Zealand Government Inflation-Linked Bond | ||||
09/20/2040 | 2.500% | NZD | 300,695 | 270,679 |
Total | 1,283,397 | |||
Spain 1.7% | ||||
Spain Government Inflation-Linked Bond | ||||
11/30/2023 | 0.150% | EUR | 200,799 | 231,799 |
Spain Government Inflation-Linked Bond(d) | ||||
11/30/2024 | 1.800% | EUR | 293,997 | 366,217 |
11/30/2027 | 0.650% | EUR | 329,207 | 402,056 |
11/30/2030 | 1.000% | EUR | 230,364 | 296,140 |
11/30/2033 | 0.700% | EUR | 385,123 | 487,380 |
Total | 1,783,592 | |||
Sweden 0.9% | ||||
Sweden Inflation-Linked Bond | ||||
12/01/2020 | 4.000% | SEK | 13,584 | 1,494 |
06/01/2022 | 0.250% | SEK | 2,663,212 | 294,947 |
06/01/2025 | 1.000% | SEK | 3,178,869 | 385,441 |
12/01/2028 | 3.500% | SEK | 1,630,881 | 254,598 |
Total | 936,480 | |||
United Kingdom 23.5% | ||||
United Kingdom Gilt Inflation-Linked Bond(d) | ||||
03/22/2024 | 0.125% | GBP | 434,520 | 595,342 |
03/22/2026 | 0.125% | GBP | 33,991 | 49,683 |
11/22/2027 | 1.250% | GBP | 22,616 | 37,547 |
08/10/2028 | 0.125% | GBP | 330,079 | 520,773 |
11/22/2032 | 1.250% | GBP | 175,184 | 349,759 |
03/22/2034 | 0.750% | GBP | 453,586 | 890,690 |
01/26/2035 | 2.000% | GBP | 570,105 | 1,288,019 |
11/22/2036 | 0.125% | GBP | 405,108 | 787,856 |
11/22/2037 | 1.125% | GBP | 593,180 | 1,352,065 |
03/22/2040 | 0.625% | GBP | 581,085 | 1,300,051 |
08/10/2041 | 0.125% | GBP | 224,632 | 480,192 |
11/22/2042 | 0.625% | GBP | 585,297 | 1,397,241 |
Inflation-Indexed Bonds(a) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
03/22/2044 | 0.125% | GBP | 651,769 | 1,461,169 |
03/22/2046 | 0.125% | GBP | 435,852 | 1,014,774 |
11/22/2047 | 0.750% | GBP | 505,710 | 1,376,123 |
08/10/2048 | 0.125% | GBP | 367,356 | 898,461 |
03/22/2050 | 0.500% | GBP | 537,956 | 1,464,806 |
03/22/2052 | 0.250% | GBP | 453,315 | 1,224,495 |
11/22/2055 | 1.250% | GBP | 482,591 | 1,743,576 |
11/22/2056 | 0.125% | GBP | 206,347 | 600,014 |
03/22/2058 | 0.125% | GBP | 402,501 | 1,197,305 |
03/22/2062 | 0.375% | GBP | 496,292 | 1,697,927 |
11/22/2065 | 0.125% | GBP | 228,073 | 797,786 |
03/22/2068 | 0.125% | GBP | 451,938 | 1,683,861 |
Total | 24,209,515 | |||
United States 43.1% | ||||
U.S. Treasury Inflation-Indexed Bond | ||||
04/15/2022 | 0.125% | 2,698,880 | 2,737,956 | |
07/15/2022 | 0.125% | 2,079,307 | 2,128,278 | |
01/15/2023 | 0.125% | 858,617 | 879,548 | |
04/15/2023 | 0.625% | 2,452,094 | 2,549,607 | |
07/15/2023 | 0.375% | 285,456 | 297,276 | |
07/15/2024 | 0.125% | 124,175 | 129,731 | |
10/15/2024 | 0.125% | 229,841 | 240,824 | |
01/15/2025 | 0.250% | 1,266,502 | 1,332,951 | |
04/15/2025 | 0.125% | 69,482 | 72,900 | |
07/15/2025 | 0.375% | 2,319,067 | 2,476,887 | |
01/15/2026 | 0.625% | 2,433,213 | 2,634,867 | |
01/15/2026 | 2.000% | 1,233,650 | 1,433,011 | |
07/15/2026 | 0.125% | 1,348,791 | 1,432,745 | |
01/15/2027 | 0.375% | 680,776 | 734,019 | |
01/15/2027 | 2.375% | 1,125,154 | 1,366,106 | |
07/15/2027 | 0.375% | 1,163,413 | 1,264,377 | |
01/15/2028 | 0.500% | 1,183,795 | 1,298,316 | |
01/15/2028 | 1.750% | 685,345 | 817,753 | |
04/15/2028 | 3.625% | 64,993 | 87,457 | |
07/15/2028 | 0.750% | 1,285,943 | 1,450,430 | |
01/15/2029 | 2.500% | 659,779 | 845,890 | |
07/15/2029 | 0.250% | 706,643 | 773,546 | |
01/15/2030 | 0.125% | 2,541,126 | 2,747,507 | |
04/15/2032 | 3.375% | 174,778 | 259,871 | |
02/15/2040 | 2.125% | 827,982 | 1,220,391 | |
02/15/2041 | 2.125% | 1,100,524 | 1,642,759 | |
02/15/2042 | 0.750% | 1,020,059 | 1,219,664 | |
02/15/2043 | 0.625% | 925,591 | 1,088,643 | |
02/15/2044 | 1.375% | 302,527 | 412,784 | |
02/15/2045 | 0.750% | 930,915 | 1,137,768 | |
02/15/2046 | 1.000% | 10,821 | 14,022 | |
02/15/2047 | 0.875% | 605,408 | 772,328 | |
02/15/2048 | 1.000% | 972,129 | 1,285,673 | |
02/15/2049 | 1.000% | 499,256 | 666,592 | |
02/15/2050 | 0.250% | 488,652 | 548,466 |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 67 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, June 30, 2020 (Unaudited)
Inflation-Indexed Bonds(a) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
U.S. Treasury Inflation-Indexed Bond(e) | ||||
01/15/2029 | 0.875% | 3,795,629 | 4,329,693 | |
Total | 44,330,636 | |||
Total Inflation-Indexed Bonds (Cost $92,843,222) | 100,444,062 |
Options Purchased Calls 0.6% | |||||
Value ($) | |||||
(Cost $185,228) | 567,360 | ||||
Options Purchased Puts 0.1% | |||||
(Cost $272,597) | 77,797 |
Money Market Funds 0.1% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(f),(g) | 63,936 | 63,936 |
Total Money Market Funds (Cost $63,936) | 63,936 | |
Total Investments in Securities (Cost $96,036,262) | 103,341,836 | |
Other Assets & Liabilities, Net | (362,831) | |
Net Assets | $102,979,005 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
2,025,952 AUD | 1,365,940 USD | Citi | 07/06/2020 | — | (32,205) |
1,747,000 DKK | 260,601 USD | Citi | 07/06/2020 | — | (2,821) |
133,876 GBP | 165,968 USD | Citi | 07/06/2020 | 78 | — |
2,626,000 GBP | 3,252,733 USD | Citi | 07/06/2020 | — | (1,236) |
789,917,000 JPY | 7,334,352 USD | Citi | 07/06/2020 | 18,224 | — |
8,726,000 SEK | 926,748 USD | Citi | 07/06/2020 | — | (9,748) |
169,106 USD | 151,361 EUR | Citi | 07/06/2020 | 964 | — |
546,954 USD | 484,000 EUR | Citi | 07/06/2020 | — | (3,130) |
376,237 USD | 297,000 GBP | Citi | 07/06/2020 | — | (8,214) |
209,452 CAD | 155,000 USD | Citi | 07/08/2020 | 716 | — |
860,297 CAD | 620,000 USD | Citi | 07/08/2020 | — | (13,701) |
630,000 USD | 877,418 CAD | Citi | 07/08/2020 | 16,312 | — |
155,000 USD | 210,077 CAD | Citi | 07/08/2020 | — | (256) |
200,000 EUR | 185,056 GBP | Citi | 08/05/2020 | 4,480 | — |
340,000 EUR | 306,636 GBP | Citi | 08/05/2020 | — | (2,249) |
185,000 EUR | 168,023 GBP | Citi | 11/02/2020 | — | (101) |
2,854,000 CAD | 2,081,929 USD | Deutsche Bank | 07/06/2020 | — | (20,335) |
438,484 EUR | 497,959 USD | Deutsche Bank | 07/06/2020 | 5,277 | — |
18,192,576 EUR | 19,987,517 USD | Deutsche Bank | 07/06/2020 | — | (453,728) |
330,335 GBP | 411,813 USD | Deutsche Bank | 07/06/2020 | 2,483 | — |
17,076,227 GBP | 21,081,943 USD | Deutsche Bank | 07/06/2020 | — | (77,810) |
9,288,012 JPY | 86,943 USD | Deutsche Bank | 07/06/2020 | 918 | — |
2,009,000 NZD | 1,252,234 USD | Deutsche Bank | 07/06/2020 | — | (44,187) |
132,422 USD | 180,100 CAD | Deutsche Bank | 07/06/2020 | 240 | — |
19,425,737 USD | 17,274,800 EUR | Deutsche Bank | 07/06/2020 | — | (15,709) |
19,840,005 USD | 16,188,879 GBP | Deutsche Bank | 07/06/2020 | 220,204 | — |
200,486 USD | 161,400 GBP | Deutsche Bank | 07/06/2020 | — | (489) |
223,235 USD | 24,072,000 JPY | Deutsche Bank | 07/06/2020 | — | (282) |
630,000 USD | 882,937 CAD | Deutsche Bank | 07/08/2020 | 20,378 | — |
107,642 CAD | 79,038 USD | Deutsche Bank | 08/05/2020 | — | (258) |
17,274,800 EUR | 19,438,037 USD | Deutsche Bank | 08/05/2020 | 14,617 | — |
307,341 EUR | 345,441 USD | Deutsche Bank | 08/05/2020 | — | (127) |
68 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, June 30, 2020 (Unaudited)
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
512,518 GBP | 550,000 EUR | Deutsche Bank | 08/05/2020 | — | (16,798) |
16,394,533 GBP | 20,097,626 USD | Deutsche Bank | 08/05/2020 | — | (221,520) |
Total | 304,891 | (924,904) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Canadian Government 10-Year Bond | 11 | 09/2020 | CAD | 1,692,020 | 1,104 | — |
Eurodollar 90-Day | 3 | 06/2022 | USD | 748,500 | 10,308 | — |
Long Gilt | 21 | 09/2020 | GBP | 2,890,440 | 8,017 | — |
Short Term Euro-BTP | 9 | 09/2020 | EUR | 1,006,920 | 7,022 | — |
U.S. Long Bond | 1 | 09/2020 | USD | 178,563 | 908 | — |
U.S. Treasury 2-Year Note | 29 | 09/2020 | USD | 6,404,016 | 1,609 | — |
U.S. Treasury 5-Year Note | 31 | 09/2020 | USD | 3,898,008 | 8,680 | — |
U.S. Ultra Treasury Bond | 3 | 09/2020 | USD | 654,469 | 8,935 | — |
Total | 46,583 | — |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Euro-BTP | (3) | 09/2020 | EUR | (431,640) | — | (14,497) |
Euro-Bund | (9) | 09/2020 | EUR | (1,588,680) | — | (20,990) |
Japanese 10-Year Government Bond | (2) | 09/2020 | JPY | (303,900,000) | 1,633 | — |
U.S. Treasury 10-Year Note | (3) | 09/2020 | USD | (417,516) | 141 | — |
U.S. Treasury 10-Year Note | (12) | 09/2020 | USD | (1,670,063) | — | (3,563) |
U.S. Treasury Ultra 10-Year Note | (4) | 09/2020 | USD | (629,938) | 247 | — |
U.S. Treasury Ultra 10-Year Note | (56) | 09/2020 | USD | (8,819,125) | — | (33,842) |
Total | 2,021 | (72,892) |
Call option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | 400,000 | 400,000 | 1.46 | 08/16/2021 | 14,315 | 31,057 |
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 | 70,214 |
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 | 68,915 |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | 220,000 | 220,000 | 1.49 | 02/25/2025 | 11,555 | 17,461 |
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 | 19,406 |
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 | 19,327 |
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 | 5,688 | 19,649 |
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 | 75,041 |
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 | 17,825 |
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA | Deutsche Bank | USD | 130,000 | 130,000 | 0.89 | 04/30/2025 | 7,014 | 6,184 |
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA | Deutsche Bank | USD | 95,000 | 95,000 | 1.28 | 06/04/2025 | 5,140 | 6,409 |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 69 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, June 30, 2020 (Unaudited)
Call option contracts purchased (continued) | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA | Deutsche Bank | USD | 95,000 | 95,000 | 1.42 | 06/05/2025 | 5,092 | 7,189 |
1-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | 1,200,000 | 1,200,000 | 0.39 | 05/22/2023 | 3,660 | 3,998 |
1-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | 2,110,000 | 2,110,000 | 1.77 | 11/05/2024 | 12,438 | 26,510 |
20-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 6-Month JPY LIBOR BBA | Deutsche Bank | JPY | 11,600,000 | 11,600,000 | 0.78 | 04/16/2021 | 3,626 | 11,288 |
2-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | 2,630,000 | 2,630,000 | 1.25 | 08/10/2020 | 14,897 | 54,383 |
2-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA | Deutsche Bank | USD | 3,890,000 | 3,890,000 | 1.20 | 09/23/2020 | 14,540 | 76,936 |
30-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA | Barclays | USD | 100,000 | 100,000 | 0.83 | 11/23/2020 | 6,920 | 4,093 |
90-Day Euro$ Future | UBS | USD | 10,978,000 | 44 | 99.75 | 12/13/2021 | 7,772 | 19,250 |
EUR Call/GBP Put | Citi | EUR | 465,000 | 465,000 | 0.90 | 11/02/2020 | 7,439 | 12,225 |
Total | 185,228 | 567,360 |
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 | 785,000 | 785,000 | 2.35 | 07/13/2020 | 2,939 | — |
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 | 2,578 |
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 | 1,842 |
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 | 1,867 |
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 | 1,836 |
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 | 15,697 | 1,902 |
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 | 3,866 |
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 | 3,896 |
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | 220,000 | 220,000 | 1.49 | 02/25/2025 | 11,555 | 7,772 |
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 | 1,753 |
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 | 1,769 |
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 | 1,726 |
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 | 10,658 |
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 | 3,057 |
10-Year OTC interest rate swap with Deutsche Bank to receive 3-Month USD LIBOR BBA and pay exercise rate | Deutsche Bank | USD | 130,000 | 130,000 | 0.89 | 04/30/2025 | 7,013 | 8,087 |
10-Year OTC interest rate swap with Deutsche Bank to receive 3-Month USD LIBOR BBA and pay exercise rate | Deutsche Bank | USD | 95,000 | 95,000 | 1.28 | 06/04/2025 | 5,140 | 4,274 |
70 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, June 30, 2020 (Unaudited)
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 Deutsche Bank to receive 3-Month USD LIBOR BBA and pay exercise rate | Deutsche Bank | USD | 95,000 | 95,000 | 1.42 | 06/05/2025 | 5,092 | 3,764 |
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 | 353 |
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 | 2,677 |
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 | 118 |
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 | 3,121 |
30-Year OTC interest rate swap with Deutsche Bank to receive 3-Month USD LIBOR BBA and pay exercise rate | Deutsche Bank | USD | 90,000 | 90,000 | 1.35 | 09/04/2020 | 3,645 | 561 |
30-Year OTC interest rate swap with Deutsche Bank to receive 3-Month USD LIBOR BBA and pay exercise rate | Barclays | USD | 100,000 | 100,000 | 0.83 | 11/23/2020 | 6,920 | 6,933 |
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 | 59 |
U.S. Long Bond | UBS | USD | 535,688 | 3 | 175.00 | 08/21/2020 | 9,370 | 3,328 |
Total | 272,597 | 77,797 |
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 | (500,000) | (500,000) | 1.20 | 8/17/2020 | (9,350) | (27,517) |
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) | (30,625) |
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) | (22,846) |
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) | (108,360) |
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | (212,500) | (212,500) | 0.71 | 4/01/2021 | (6,056) | (4,850) |
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | (320,000) | (320,000) | 0.74 | 4/01/2021 | (8,960) | (7,749) |
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | (87,500) | (87,500) | 0.85 | 4/07/2021 | (2,275) | (2,695) |
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) | 0.88 | 4/14/2021 | (2,750) | (3,262) |
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) | 0.77 | 4/15/2021 | (2,740) | (2,616) |
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | (120,000) | (120,000) | 0.79 | 4/15/2021 | (3,247) | (3,302) |
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) | (54,251) |
10-Year OTC interest rate swap with Deutsche Bank to receive 3-Month USD LIBOR BBA and pay exercise rate | Deutsche Bank | USD | (110,000) | (110,000) | 0.69 | 4/06/2021 | (2,989) | (2,418) |
10-Year OTC interest rate swap with Deutsche Bank to receive 3-Month USD LIBOR BBA and pay exercise rate | Deutsche Bank | USD | (120,000) | (120,000) | 0.74 | 4/06/2021 | (3,120) | (2,950) |
10-Year OTC interest rate swap with Deutsche Bank to receive 3-Month USD LIBOR BBA and pay exercise rate | Deutsche Bank | USD | (210,000) | (210,000) | 0.87 | 4/09/2021 | (5,691) | (6,774) |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 71 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, June 30, 2020 (Unaudited)
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 Deutsche Bank to receive 3-Month USD LIBOR BBA and pay exercise rate | Deutsche Bank | USD | (100,000) | (100,000) | 0.72 | 4/16/2021 | (2,760) | (2,371) |
10-Year OTC interest rate swap with Deutsche Bank to receive 3-Month USD LIBOR BBA and pay exercise rate | Deutsche Bank | USD | (320,000) | (320,000) | 0.74 | 4/19/2021 | (8,888) | (7,926) |
10-Year OTC interest rate swap with Deutsche Bank to receive 3-Month USD LIBOR BBA and pay exercise rate | Deutsche Bank | USD | (200,000) | (200,000) | 0.69 | 5/13/2021 | (5,092) | (4,593) |
10-Year OTC interest rate swap with Deutsche Bank to receive 3-Month USD LIBOR BBA and pay exercise rate | Deutsche Bank | USD | (410,000) | (410,000) | 0.75 | 6/02/2021 | (10,281) | (10,795) |
10-Year OTC interest rate swap with Deutsche Bank to receive 3-Month USD LIBOR BBA and pay exercise rate | Deutsche Bank | USD | (205,000) | (205,000) | 0.74 | 6/25/2021 | (5,397) | (5,471) |
10-Year OTC interest rate swap with Deutsche Bank to receive 3-Month USD LIBOR BBA and pay exercise rate | Deutsche Bank | USD | (205,000) | (205,000) | 0.72 | 6/29/2021 | (5,356) | (5,208) |
10-Year OTC interest rate swap with Deutsche Bank to receive 3-Month USD LIBOR BBA and pay exercise rate | Deutsche Bank | USD | (210,000) | (210,000) | 0.74 | 5/02/2022 | (7,266) | (6,635) |
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) | (28,632) |
1-Year OTC interest rate swap with Deutsche Bank to receive 3-Month USD LIBOR BBA and pay exercise rate | Deutsche Bank | USD | (2,110,000) | (2,110,000) | 0.37 | 3/17/2021 | (3,640) | (4,491) |
1-Year OTC interest rate swap with Deutsche Bank to receive 3-Month USD LIBOR BBA and pay exercise rate | Deutsche Bank | USD | (700,000) | (700,000) | 0.61 | 4/06/2023 | (2,608) | (3,227) |
1-Year OTC interest rate swap with Deutsche Bank to receive 3-Month USD LIBOR BBA and pay exercise rate | Deutsche Bank | USD | (1,200,000) | (1,200,000) | 0.69 | 4/11/2023 | (4,605) | (6,177) |
2-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | (5,250,000) | (5,250,000) | 0.75 | 8/10/2020 | (12,220) | (56,070) |
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) | (29,307) |
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) | (29,374) |
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) | (75,986) |
30-Year OTC interest rate swap with Deutsche Bank to receive 3-Month USD LIBOR BBA and pay exercise rate | Deutsche Bank | USD | (470,000) | (470,000) | 1.39 | 8/21/2020 | (15,040) | (61,263) |
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) | (4,452) |
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) | (5,241) |
5-Year OTC interest rate swap with Citi to receive 6-Month EURIBOR and pay exercise rate | Citi | EUR | (530,000) | (530,000) | (0.02) | 4/07/2022 | (6,597) | (11,205) |
5-Year OTC interest rate swap with Deutsche Bank to receive 3-Month USD LIBOR BBA and pay exercise rate | Deutsche Bank | USD | (230,000) | (230,000) | 0.20 | 9/22/2020 | (322) | (327) |
5-Year OTC interest rate swap with Deutsche Bank to receive 3-Month USD LIBOR BBA and pay exercise rate | Deutsche Bank | USD | (230,000) | (230,000) | 0.20 | 9/24/2020 | (276) | (339) |
72 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, June 30, 2020 (Unaudited)
Call 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 Deutsche Bank to receive 3-Month USD LIBOR BBA and pay exercise rate | Deutsche Bank | USD | (1,845,000) | (1,845,000) | 0.25 | 6/29/2021 | (11,623) | (10,828) |
5-Year OTC interest rate swap with Deutsche Bank to receive 3-Month USD LIBOR BBA and pay exercise rate | Deutsche Bank | USD | (570,000) | (570,000) | 0.61 | 6/15/2022 | (8,593) | (9,207) |
5-Year OTC interest rate swap with Deutsche Bank to receive 6-Month EURIBOR and pay exercise rate | Deutsche Bank | EUR | (460,000) | (460,000) | (0.12) | 4/04/2022 | (5,818) | (7,973) |
90-Day Euro$ Future | UBS | USD | (5,489,000) | (22) | 99.38 | 12/13/2021 | (9,589) | (26,125) |
Total | (256,032) | (693,438) |
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 | (270,000) | (270,000) | 2.35 | 07/10/2020 | (2,862) | — |
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) | — |
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) | — |
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) | — |
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) | (1) |
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) | (12) |
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) | (29) |
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) | (22) |
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) | (23) |
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) | (75) |
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) | (80) |
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) | (27) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (212,500) | (212,500) | 0.71 | 04/01/2021 | (6,056) | (4,702) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (320,000) | (320,000) | 0.74 | 04/01/2021 | (8,960) | (6,658) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (87,500) | (87,500) | 0.85 | 04/07/2021 | (2,275) | (1,410) |
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) | 0.88 | 04/14/2021 | (2,750) | (1,545) |
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) | 0.77 | 04/15/2021 | (2,740) | (2,011) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (120,000) | (120,000) | 0.79 | 04/15/2021 | (3,247) | (2,282) |
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) | 2.10 | 01/06/2022 | (7,750) | (1,119) |
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) | 2.15 | 01/10/2022 | (8,000) | (1,035) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (360,000) | (360,000) | 1.95 | 01/28/2022 | (8,415) | (1,613) |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 73 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, June 30, 2020 (Unaudited)
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 Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (260,000) | (260,000) | 1.85 | 02/22/2022 | (4,000) | (1,485) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (260,000) | (260,000) | 1.85 | 02/22/2022 | (4,446) | (1,485) |
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) | (1,787) |
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) | (459) |
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) | (898) |
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) | (465) |
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) | (911) |
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) | (1,289) |
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) | (2,223) |
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) | (1,303) |
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) | (2,244) |
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) | (5,711) |
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) | (5,016) |
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) | — |
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA | Deutsche Bank | EUR | (1,040,000) | (1,040,000) | 0.18 | 07/16/2020 | (14,189) | (104) |
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA | Deutsche Bank | USD | (120,000) | (120,000) | 0.74 | 04/06/2021 | (3,120) | (2,484) |
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA | Deutsche Bank | USD | (110,000) | (110,000) | 0.69 | 04/06/2021 | (2,989) | (2,555) |
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA | Deutsche Bank | USD | (210,000) | (210,000) | 0.87 | 04/09/2021 | (5,691) | (3,239) |
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA | Deutsche Bank | USD | (100,000) | (100,000) | 0.72 | 04/16/2021 | (2,760) | (2,241) |
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA | Deutsche Bank | USD | (320,000) | (320,000) | 0.74 | 04/19/2021 | (8,888) | (6,885) |
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA | Deutsche Bank | USD | (200,000) | (200,000) | 0.69 | 05/13/2021 | (5,092) | (5,036) |
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA | Deutsche Bank | USD | (870,000) | (870,000) | 1.00 | 06/01/2021 | (13,115) | (11,738) |
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA | Deutsche Bank | USD | (410,000) | (410,000) | 0.75 | 06/02/2021 | (10,281) | (9,569) |
74 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, June 30, 2020 (Unaudited)
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 | UBS | USD | (820,000) | (820,000) | 3.87 | 06/07/2021 | (15,878) | (17) |
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA | Deutsche Bank | USD | (200,000) | (200,000) | 1.05 | 06/11/2021 | (2,840) | (2,504) |
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA | Deutsche Bank | USD | (205,000) | (205,000) | 0.74 | 06/25/2021 | (5,397) | (5,072) |
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA | Deutsche Bank | USD | (205,000) | (205,000) | 0.72 | 06/29/2021 | (5,356) | (5,367) |
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA | Deutsche Bank | USD | (240,000) | (240,000) | 1.60 | 02/28/2022 | (4,380) | (2,128) |
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA | Deutsche Bank | USD | (240,000) | (240,000) | 1.60 | 03/03/2022 | (4,272) | (2,152) |
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA | Deutsche Bank | USD | (237,000) | (237,000) | 1.60 | 03/04/2022 | (3,910) | (2,131) |
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA | Deutsche Bank | USD | (380,000) | (380,000) | 1.60 | 03/04/2022 | (6,384) | (3,417) |
10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA | Deutsche Bank | USD | (210,000) | (210,000) | 0.74 | 05/02/2022 | (7,266) | (7,988) |
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) | — |
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) | (7) |
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) | (14) |
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) | (15) |
1-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA | Deutsche Bank | USD | (2,110,000) | (2,110,000) | 0.37 | 03/17/2021 | (3,640) | (636) |
1-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA | Deutsche Bank | USD | (1,650,000) | (1,650,000) | 0.55 | 04/21/2022 | (2,896) | (1,410) |
1-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA | Deutsche Bank | USD | (700,000) | (700,000) | 0.61 | 04/06/2023 | (2,608) | (1,379) |
1-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA | Deutsche Bank | USD | (1,200,000) | (1,200,000) | 0.69 | 04/11/2023 | (4,605) | (2,097) |
2-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) | 1.05 | 10/02/2020 | (1,795) | — |
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) | — |
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) | (2) |
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) | (2) |
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 | (5,438) | (1) |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 75 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, June 30, 2020 (Unaudited)
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 | (2,790,000) | (2,790,000) | 0.12 | 04/08/2021 | (10,607) | (508) |
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) | (235) |
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) | (229) |
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) | (299) |
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) | (158) |
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) | (162) |
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) | (167) |
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) | (201) |
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) | (223) |
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) | (527) |
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) | (939) |
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) | (2,767) |
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) | (329) |
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) | (274) |
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) | (249) |
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) | (154) |
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) | (194) |
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) | (183) |
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) | (233) |
2-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA | Deutsche Bank | USD | (1,870,000) | (1,870,000) | 0.60 | 09/24/2020 | (2,174) | (11) |
2-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA | Deutsche Bank | USD | (1,020,000) | (1,020,000) | 1.05 | 10/02/2020 | (1,326) | — |
2-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA | Deutsche Bank | USD | (945,000) | (945,000) | 1.00 | 10/05/2020 | (992) | — |
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) | (2,795) |
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) | (2,417) |
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) | (54) |
5-Year OTC interest rate swap with Citi to receive exercise rate and pay 6-Month EURIBOR | Citi | EUR | (530,000) | (530,000) | (0.02) | 04/07/2022 | (6,597) | (3,651) |
5-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA | Deutsche Bank | USD | (230,000) | (230,000) | 0.50 | 09/22/2020 | (437) | (303) |
76 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, June 30, 2020 (Unaudited)
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 Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA | Deutsche Bank | USD | (230,000) | (230,000) | 0.50 | 09/24/2020 | (546) | (321) |
5-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 3-Month USD LIBOR BBA | Deutsche Bank | USD | (570,000) | (570,000) | 0.61 | 06/15/2022 | (8,593) | (7,833) |
5-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 6-Month EURIBOR | Deutsche Bank | EUR | (460,000) | (460,000) | (0.12) | 04/04/2022 | (5,818) | (3,907) |
Total | (538,718) | (157,433) |
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 1.528% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 11/22/2020 | USD | 1,120,000 | 6,850 | — | — | 6,850 | — |
3-Month USD LIBOR | Fixed rate of 1.560% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 03/27/2021 | USD | 2,120,000 | (28,714) | — | — | — | (28,714) |
3-Month USD LIBOR | Fixed rate of 1.560% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 03/30/2021 | USD | 450,000 | (6,063) | — | — | — | (6,063) |
3-Month USD LIBOR | Fixed rate of 1.770% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 06/15/2021 | USD | 610,000 | (9,165) | — | — | — | (9,165) |
Fixed rate of 2.014% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 07/02/2021 | USD | 245,000 | 5,856 | — | — | 5,856 | — |
6-Month EURIBOR | Fixed rate of -0.450% | Receives SemiAnnually, Pays Annually | Goldman Sachs | 12/16/2021 | EUR | 495,000 | 1,609 | — | — | 1,609 | — |
Fixed rate of -0.298% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | Goldman Sachs | 01/16/2022 | EUR | 980,000 | 1,607 | — | — | 1,607 | — |
Fixed rate of 2.526% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 02/07/2022 | USD | 6,090,000 | 282,224 | — | — | 282,224 | — |
3-Month USD LIBOR | Fixed rate of 0.000% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 02/26/2022 | USD | 5,810,000 | (240,401) | — | — | — | (240,401) |
Fixed rate of -0.479% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | Goldman Sachs | 03/05/2022 | EUR | 500,000 | (813) | — | — | — | (813) |
Fixed rate of 0.000% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | Goldman Sachs | 03/06/2022 | EUR | 300,000 | (484) | — | — | — | (484) |
Fixed rate of 0.000% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | Goldman Sachs | 03/09/2022 | EUR | 360,000 | (673) | — | — | — | (673) |
6-Month EURIBOR | Fixed rate of -0.354% | Receives SemiAnnually, Pays Annually | Goldman Sachs | 03/20/2022 | EUR | 240,000 | (224) | — | — | — | (224) |
6-Month EURIBOR | Fixed rate of -0.335% | Receives SemiAnnually, Pays Annually | Goldman Sachs | 03/20/2022 | EUR | 230,000 | (314) | — | — | — | (314) |
6-Month EURIBOR | Fixed rate of -0.298% | Receives SemiAnnually, Pays Annually | Goldman Sachs | 03/23/2022 | EUR | 1,100,000 | (2,318) | — | — | — | (2,318) |
3-Month USD LIBOR | Fixed rate of 1.870% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 06/02/2022 | USD | 2,330,000 | (39,273) | — | — | — | (39,273) |
3-Month USD LIBOR | Fixed rate of 0.000% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 06/03/2022 | USD | 2,817,500 | (39,287) | — | — | — | (39,287) |
3-Month USD LIBOR | Fixed rate of 0.248% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 06/15/2022 | USD | 650,000 | (434) | — | — | — | (434) |
Fixed rate of 1.744% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 06/16/2022 | USD | 750,000 | 22,736 | — | — | 22,736 | — |
6-Month EURIBOR | Fixed rate of -0.376% | Receives SemiAnnually, Pays Annually | Goldman Sachs | 06/19/2022 | EUR | 640,000 | 175 | — | — | 175 | — |
Fixed rate of -0.250% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | Goldman Sachs | 06/24/2022 | EUR | 222,000 | 623 | — | — | 623 | — |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 77 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, June 30, 2020 (Unaudited)
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 -0.290% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | Goldman Sachs | 06/25/2022 | EUR | 83,000 | 162 | — | — | 162 | — |
Fixed rate of -0.280% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | Goldman Sachs | 06/26/2022 | EUR | 83,000 | 185 | — | — | 185 | — |
Fixed rate of -0.275% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | Goldman Sachs | 06/30/2022 | EUR | 84,000 | 200 | — | — | 200 | — |
Fixed rate of 1.713% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 07/13/2022 | USD | 3,750,000 | 57,229 | — | — | 57,229 | — |
Fixed rate of -0.296% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | Goldman Sachs | 07/16/2022 | EUR | 330,000 | 710 | — | — | 710 | — |
Fixed rate of -0.300% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | Goldman Sachs | 07/20/2022 | EUR | 560,000 | 1,156 | — | — | 1,156 | — |
Fixed rate of -0.303% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | Goldman Sachs | 07/20/2022 | EUR | 480,000 | 959 | — | — | 959 | — |
Fixed rate of 0.297% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 07/30/2022 | USD | 320,000 | 503 | — | — | 503 | — |
Fixed rate of 0.295% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 08/10/2022 | USD | 100,000 | 156 | — | — | 156 | — |
Fixed rate of 0.730% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 09/04/2022 | USD | 1,140,000 | 11,782 | — | — | 11,782 | — |
Fixed rate of 0.733% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 09/04/2022 | USD | 430,000 | 4,474 | — | — | 4,474 | — |
Fixed rate of 0.692% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 09/08/2022 | USD | 285,000 | 2,724 | — | — | 2,724 | — |
Fixed rate of 0.668% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 09/08/2022 | USD | 125,000 | 1,135 | — | — | 1,135 | — |
Fixed rate of 0.508% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 09/11/2022 | USD | 290,000 | 1,705 | — | — | 1,705 | — |
6-Month EURIBOR | Fixed rate of -0.257% | Receives SemiAnnually, Pays Annually | Goldman Sachs | 09/22/2022 | EUR | 450,000 | (1,538) | — | — | — | (1,538) |
Fixed rate of 0.383% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 09/28/2022 | USD | 210,000 | 714 | — | — | 714 | — |
Fixed rate of 0.345% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 09/29/2022 | USD | 1,030,000 | 2,720 | — | — | 2,720 | — |
Fixed rate of 0.370% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 09/29/2022 | USD | 420,000 | 1,323 | — | — | 1,323 | — |
Fixed rate of 0.428% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 09/29/2022 | USD | 240,000 | 1,035 | — | — | 1,035 | — |
Fixed rate of -0.316% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | Goldman Sachs | 09/29/2022 | EUR | 500,000 | 1,026 | — | — | 1,026 | — |
Fixed rate of 0.356% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 09/29/2022 | USD | 260,000 | 744 | — | — | 744 | — |
Fixed rate of 0.353% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 10/02/2022 | USD | 530,000 | 1,490 | — | — | 1,490 | — |
Fixed rate of -0.329% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | Goldman Sachs | 10/02/2022 | EUR | 450,000 | 798 | — | — | 798 | — |
Fixed rate of -0.342% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | Goldman Sachs | 10/02/2022 | EUR | 510,000 | 748 | — | — | 748 | — |
Fixed rate of -0.346% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | Goldman Sachs | 11/02/2022 | EUR | 330,000 | 463 | — | — | 463 | — |
Fixed rate of -0.310% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | Goldman Sachs | 02/01/2023 | EUR | 530,000 | 1,207 | — | — | 1,207 | — |
Fixed rate of -0.333% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | Goldman Sachs | 02/12/2023 | EUR | 270,000 | 475 | — | — | 475 | — |
Fixed rate of 1.095% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 03/01/2023 | USD | 1,160,000 | 20,706 | — | — | 20,706 | — |
78 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, June 30, 2020 (Unaudited)
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 0.878% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 03/02/2023 | USD | 580,000 | 7,837 | — | — | 7,837 | — |
Fixed rate of 0.882% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 03/02/2023 | USD | 575,000 | 7,809 | — | — | 7,809 | — |
Fixed rate of 0.873% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 03/02/2023 | USD | 420,000 | 5,629 | — | — | 5,629 | — |
Fixed rate of 1.058% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 03/02/2023 | USD | 140,000 | 2,396 | — | — | 2,396 | — |
Fixed rate of -0.414% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | Goldman Sachs | 03/02/2023 | EUR | 620,000 | (42) | — | — | — | (42) |
Fixed rate of -0.474% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | Goldman Sachs | 03/04/2023 | EUR | 250,000 | (359) | — | — | — | (359) |
6-Month EURIBOR | Fixed rate of -0.180% | Receives SemiAnnually, Pays Annually | Goldman Sachs | 03/24/2023 | EUR | 1,000,000 | (5,274) | — | — | — | (5,274) |
6-Month EURIBOR | Fixed rate of -0.175% | Receives SemiAnnually, Pays Annually | Goldman Sachs | 03/24/2023 | EUR | 1,005,000 | (5,415) | — | — | — | (5,415) |
6-Month EURIBOR | Fixed rate of -0.169% | Receives SemiAnnually, Pays Annually | Goldman Sachs | 03/24/2023 | EUR | 1,005,000 | (5,557) | — | — | — | (5,557) |
6-Month EURIBOR | Fixed rate of 0.098% | Receives SemiAnnually, Pays Annually | Goldman Sachs | 04/12/2023 | EUR | 1,310,000 | (15,177) | — | — | — | (15,177) |
Fixed rate of -0.307% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | Goldman Sachs | 04/29/2023 | EUR | 460,000 | 1,074 | — | — | 1,074 | — |
Fixed rate of -0.342% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | Goldman Sachs | 05/03/2023 | EUR | 330,000 | 504 | — | — | 504 | — |
Fixed rate of -0.382% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | Goldman Sachs | 05/04/2023 | EUR | 310,000 | 194 | — | — | 194 | — |
Fixed rate of 0.297% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 05/05/2023 | USD | 430,000 | 782 | — | — | 782 | — |
Fixed rate of -0.368% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | Goldman Sachs | 05/06/2023 | EUR | 220,000 | 208 | — | — | 208 | — |
Fixed rate of 0.307% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 06/14/2023 | USD | 450,000 | 868 | — | — | 868 | — |
Fixed rate of 0.294% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 06/14/2023 | USD | 450,000 | 751 | — | — | 751 | — |
Fixed rate of -0.415% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | Goldman Sachs | 06/24/2023 | EUR | 230,000 | (47) | — | — | — | (47) |
Fixed rate of -0.395% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | Goldman Sachs | 06/25/2023 | EUR | 230,000 | 67 | — | — | 67 | — |
Fixed rate of -0.419% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | Goldman Sachs | 07/02/2023 | EUR | 260,000 | (11) | — | — | — | (11) |
3-Month USD LIBOR | Fixed rate of 1.771% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 07/12/2023 | USD | 3,810,000 | (58,295) | — | — | — | (58,295) |
6-Month EURIBOR | Fixed rate of -0.300% | Receives SemiAnnually, Pays Annually | Goldman Sachs | 07/25/2023 | EUR | 1,340,000 | (3,253) | — | — | — | (3,253) |
Fixed rate of -0.454% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | Goldman Sachs | 08/11/2023 | EUR | 160,000 | (181) | — | — | — | (181) |
Fixed rate of -0.577% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | Goldman Sachs | 08/17/2023 | EUR | 160,000 | (631) | — | — | — | (631) |
Fixed rate of -0.433% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | Goldman Sachs | 09/14/2023 | EUR | 130,000 | (92) | — | — | — | (92) |
Fixed rate of -0.450% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | Goldman Sachs | 09/28/2023 | EUR | 280,000 | (314) | — | — | — | (314) |
Fixed rate of -0.436% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | Goldman Sachs | 10/06/2023 | EUR | 130,000 | (106) | — | — | — | (106) |
6-Month EURIBOR | Fixed rate of -0.167% | Receives SemiAnnually, Pays Annually | Goldman Sachs | 12/13/2023 | EUR | 460,000 | (2,404) | — | — | — | (2,404) |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 79 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, June 30, 2020 (Unaudited)
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 EURIBOR | Fixed rate of -0.115% | Receives SemiAnnually, Pays Annually | Goldman Sachs | 12/27/2023 | EUR | 380,000 | (2,421) | — | — | — | (2,421) |
6-Month EURIBOR | Fixed rate of -0.056% | Receives SemiAnnually, Pays Annually | Goldman Sachs | 01/03/2024 | EUR | 240,000 | (1,848) | — | — | — | (1,848) |
6-Month EURIBOR | Fixed rate of -0.050% | Receives SemiAnnually, Pays Annually | Goldman Sachs | 01/03/2024 | EUR | 240,000 | (1,884) | — | — | — | (1,884) |
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 | (78,958) | — | — | — | (78,958) |
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 | (27,526) | — | — | — | (27,526) |
Fixed rate of 3.208% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 10/29/2024 | USD | 1,025,000 | 122,707 | — | — | 122,707 | — |
6-Month EURIBOR | Fixed rate of -0.173% | Receives SemiAnnually, Pays Annually | Goldman Sachs | 11/11/2024 | EUR | 100,000 | (804) | — | — | — | (804) |
6-Month EURIBOR | Fixed rate of -0.216% | Receives SemiAnnually, Pays Annually | Goldman Sachs | 11/21/2024 | EUR | 160,000 | (910) | — | — | — | (910) |
Fixed rate of 0.000% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 11/29/2024 | USD | 2,000,000 | 228,767 | — | — | 228,767 | — |
3-Month USD LIBOR | Fixed rate of 2.572% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 02/07/2025 | USD | 1,720,000 | (197,307) | — | — | — | (197,307) |
Fixed rate of 2.521% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 02/28/2025 | USD | 560,000 | 56,648 | — | — | 56,648 | — |
6-Month EURIBOR | Fixed rate of -0.175% | Receives SemiAnnually, Pays Annually | Goldman Sachs | 03/18/2025 | EUR | 25,000 | (282) | — | — | — | (282) |
3-Month USD LIBOR | Fixed rate of 0.626% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 04/14/2025 | USD | 330,000 | (4,334) | — | — | — | (4,334) |
Fixed rate of 0.000% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 06/02/2025 | USD | 320,000 | 559 | — | — | 559 | — |
Fixed rate of 0.760% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 09/08/2025 | USD | 113,000 | 2,367 | — | — | 2,367 | — |
3-Month USD LIBOR | Fixed rate of 0.820% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 09/08/2025 | USD | 220,000 | (5,275) | — | — | — | (5,275) |
3-Month USD LIBOR | Fixed rate of 0.652% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 04/20/2027 | USD | 60,000 | (355) | — | — | — | (355) |
Fixed rate of 0.680% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 06/20/2027 | USD | 325,000 | 1,958 | — | — | 1,958 | — |
Fixed rate of 0.652% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 06/20/2027 | USD | 325,000 | 1,513 | — | — | 1,513 | — |
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 | 48,407 | — | — | 48,407 | — |
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 | 31,399 | — | — | 31,399 | — |
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 | (59,627) | — | — | — | (59,627) |
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 | 16,337 | — | — | 16,337 | — |
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 | (31,422) | — | — | — | (31,422) |
80 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, June 30, 2020 (Unaudited)
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 ($) |
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 | (34,040) | — | — | — | (34,040) |
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 | (6,064) | — | — | — | (6,064) |
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 | 21,241 | — | — | 21,241 | — |
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 | (10,285) | — | — | — | (10,285) |
Fixed rate of 0.000% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 12/16/2029 | USD | 392,000 | 42,729 | — | — | 42,729 | — |
Fixed rate of 1.797% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 01/07/2030 | USD | 120,000 | 14,022 | — | — | 14,022 | — |
Fixed rate of 1.726% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 01/08/2030 | USD | 120,000 | 13,181 | — | — | 13,181 | — |
6-Month EURIBOR | Fixed rate of 0.185% | Receives SemiAnnually, Pays Annually | Goldman Sachs | 01/16/2030 | EUR | 200,000 | (8,856) | — | — | — | (8,856) |
Fixed rate of 1.750% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 01/23/2030 | USD | 130,000 | 14,658 | — | — | 14,658 | — |
Fixed rate of 1.694% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 01/28/2030 | USD | 120,000 | 12,899 | — | — | 12,899 | — |
Fixed rate of 0.000% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 01/29/2030 | USD | 120,000 | 11,567 | — | — | 11,567 | — |
Fixed rate of 0.000% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 01/30/2030 | USD | 120,000 | 11,881 | — | — | 11,881 | — |
3-Month USD LIBOR | Fixed rate of 1.631% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 02/10/2030 | USD | 120,000 | (12,244) | — | — | — | (12,244) |
U.S. CPI Urban Consumers NSA | Fixed rate of 1.850% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 02/10/2030 | USD | 1,080,000 | (46,038) | — | — | — | (46,038) |
Fixed rate of 0.682% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 02/15/2030 | USD | 290,000 | 1,526 | — | — | 1,526 | — |
Eurostat Eurozone HICP ex-Tobacco NSA | Fixed rate of 1.147% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 02/15/2030 | EUR | 540,000 | (23,957) | — | — | — | (23,957) |
Fixed rate of 1.432% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 02/25/2030 | USD | 120,000 | 9,866 | — | — | 9,866 | — |
Fixed rate of 0.000% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 02/26/2030 | USD | 120,000 | 8,521 | — | — | 8,521 | — |
Fixed rate of 0.000% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 02/26/2030 | USD | 100,000 | 7,041 | — | — | 7,041 | — |
3-Month USD LIBOR | Fixed rate of 0.000% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 02/27/2030 | USD | 240,000 | (16,886) | — | — | — | (16,886) |
Fixed rate of 0.000% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 03/02/2030 | USD | 120,000 | 7,566 | — | — | 7,566 | — |
3-Month USD LIBOR | Fixed rate of 0.000% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 03/11/2030 | USD | 60,000 | (354) | — | — | — | (354) |
U.S. CPI Urban Consumers NSA | Fixed rate of 1.235% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 03/13/2030 | USD | 1,030,000 | 23,299 | — | — | 23,299 | — |
Fixed rate of 3.298% | UK Retail Price Index All Items Monthly | Receives at Maturity, Pays at Maturity | Goldman Sachs | 03/15/2030 | GBP | 645,000 | 920 | — | — | 920 | — |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 81 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, June 30, 2020 (Unaudited)
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 0.706% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 03/25/2030 | USD | 160,000 | 1,575 | — | — | 1,575 | — |
Fixed rate of 0.639% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 04/07/2030 | USD | 170,000 | (97) | — | — | — | (97) |
Fixed rate of 0.820% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 04/14/2030 | USD | 170,000 | 2,952 | — | — | 2,952 | — |
Fixed rate of 1.570% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 04/29/2030 | USD | 130,000 | 12,031 | — | — | 12,031 | — |
Fixed rate of 0.661% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 04/29/2030 | USD | 50,000 | 127 | — | — | 127 | — |
Fixed rate of 0.592% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 05/01/2030 | USD | 110,000 | (434) | — | — | — | (434) |
Fixed rate of 0.619% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 05/04/2030 | USD | 150,000 | (153) | — | — | — | (153) |
Fixed rate of 0.642% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 05/05/2030 | USD | 110,000 | 137 | — | — | 137 | — |
Fixed rate of 0.599% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 05/18/2030 | USD | 110,000 | (317) | — | — | — | (317) |
3-Month USD LIBOR | Fixed rate of 0.000% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 06/02/2030 | USD | 170,000 | (309) | — | — | — | (309) |
Fixed rate of 0.000% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 06/03/2030 | USD | 150,000 | 519 | — | — | 519 | — |
Fixed rate of 0.703% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 06/16/2030 | USD | 150,000 | 1,042 | — | — | 1,042 | — |
Fixed rate of 0.664% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 06/17/2030 | USD | 40,000 | 125 | — | — | 125 | — |
Fixed rate of -0.147% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | Goldman Sachs | 06/23/2030 | EUR | 475,000 | 1,298 | — | — | 1,298 | — |
Fixed rate of 0.702% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 06/23/2030 | USD | 80,000 | 540 | — | — | 540 | — |
Fixed rate of 0.659% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 06/29/2030 | USD | 20,000 | 48 | — | — | 48 | — |
Fixed rate of 0.662% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 06/30/2030 | USD | 30,000 | 79 | — | — | 79 | — |
Fixed rate of 0.000% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 07/01/2030 | USD | 30,000 | 3 | — | — | 3 | — |
Fixed rate of 0.639% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 07/02/2030 | USD | 110,000 | (2) | — | — | — | (2) |
3-Month USD LIBOR | Fixed rate of 1.760% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 07/09/2030 | USD | 125,000 | (13,878) | — | — | — | (13,878) |
3-Month USD LIBOR | Fixed rate of 0.670% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 07/17/2030 | USD | 130,000 | (410) | — | — | — | (410) |
3-Month USD LIBOR | Fixed rate of 0.700% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 07/22/2030 | USD | 240,000 | (1,441) | — | — | — | (1,441) |
3-Month USD LIBOR | Fixed rate of 1.315% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 08/27/2030 | USD | 390,000 | (25,717) | — | — | — | (25,717) |
Fixed rate of 1.020% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 09/08/2030 | USD | 160,000 | 5,835 | — | — | 5,835 | — |
3-Month USD LIBOR | Fixed rate of 0.680% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 09/16/2030 | USD | 250,000 | (687) | — | — | — | (687) |
3-Month NZD LIBOR | Fixed rate of 1.080% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 09/16/2030 | NZD | 1,510,000 | (30,828) | — | — | — | (30,828) |
3-Month USD LIBOR | Fixed rate of 0.652% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 11/04/2030 | USD | 250,000 | (5) | — | — | — | (5) |
Fixed rate of 2.447% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 05/18/2031 | USD | 80,000 | 13,665 | — | — | 13,665 | — |
82 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, June 30, 2020 (Unaudited)
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 0.761% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 06/03/2031 | USD | 294,000 | (1,322) | — | — | — | (1,322) |
Fixed rate of 2.102% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 06/22/2031 | USD | 40,000 | 5,435 | — | — | 5,435 | — |
3-Month USD LIBOR | Fixed rate of 0.760% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 05/03/2032 | USD | 310,000 | 1,375 | — | — | 1,375 | — |
3-Month USD LIBOR | Fixed rate of 0.765% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 05/04/2032 | USD | 320,000 | 1,268 | — | — | 1,268 | — |
3-Month USD LIBOR | Fixed rate of 0.770% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 05/06/2032 | USD | 210,000 | 740 | — | — | 740 | — |
6-Month JPY BBA LIBOR | Fixed rate of 0.336% | Receives SemiAnnually, Pays SemiAnnually | Goldman Sachs | 02/08/2034 | JPY | 3,070,000 | (847) | — | — | — | (847) |
3-Month USD LIBOR | Fixed rate of 1.645% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 08/22/2034 | USD | 120,000 | (7,448) | — | — | — | (7,448) |
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 | (49,815) | — | — | — | (49,815) |
3-Month USD LIBOR | Fixed rate of 1.907% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 10/21/2034 | USD | 150,000 | (12,933) | — | — | — | (12,933) |
3-Month USD LIBOR | Fixed rate of 1.933% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 10/22/2034 | USD | 120,000 | (10,642) | — | — | — | (10,642) |
3-Month USD LIBOR | Fixed rate of 1.976% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 10/23/2034 | USD | 60,000 | (5,567) | — | — | — | (5,567) |
3-Month USD LIBOR | Fixed rate of 1.982% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 10/23/2034 | USD | 60,000 | (5,599) | — | — | — | (5,599) |
3-Month USD LIBOR | Fixed rate of 1.998% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 11/07/2034 | USD | 130,000 | (12,300) | — | — | — | (12,300) |
3-Month USD LIBOR | Fixed rate of 2.111% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 11/12/2034 | USD | 130,000 | (13,698) | — | — | — | (13,698) |
UK Retail Price Index All Items Monthly | Fixed rate of 3.360% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 01/15/2035 | GBP | 300,000 | (8,608) | — | — | — | (8,608) |
UK Retail Price Index All Items Monthly | Fixed rate of 3.390% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 01/15/2035 | GBP | 300,000 | (11,203) | — | — | — | (11,203) |
Fixed rate of 0.921% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 05/16/2035 | USD | 110,000 | (1,307) | — | — | — | (1,307) |
6-Month JPY BBA LIBOR | Fixed rate of 0.295% | Receives SemiAnnually, Pays SemiAnnually | Goldman Sachs | 06/17/2039 | JPY | 2,550,000 | (327) | — | — | — | (327) |
6-Month JPY BBA LIBOR | Fixed rate of 0.167% | Receives SemiAnnually, Pays SemiAnnually | Goldman Sachs | 08/08/2039 | JPY | 1,860,000 | 178 | — | — | 178 | — |
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 | 65,699 | — | — | 65,699 | — |
3-Month USD LIBOR | Fixed rate of 2.098% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 10/23/2039 | USD | 70,000 | (6,082) | — | — | — | (6,082) |
Fixed rate of 3.341% | UK Retail Price Index All Items Monthly | Receives at Maturity, Pays at Maturity | Goldman Sachs | 01/15/2040 | GBP | 300,000 | 17,030 | — | — | 17,030 | — |
Fixed rate of 3.310% | UK Retail Price Index All Items Monthly | Receives at Maturity, Pays at Maturity | Goldman Sachs | 01/15/2040 | GBP | 300,000 | 12,924 | — | — | 12,924 | — |
6-Month JPY BBA LIBOR | Fixed rate of 0.715% | Receives SemiAnnually, Pays SemiAnnually | Goldman Sachs | 03/21/2044 | JPY | 1,800,000 | (1,256) | — | — | — | (1,256) |
6-Month JPY BBA LIBOR | Fixed rate of 0.201% | Receives SemiAnnually, Pays SemiAnnually | Goldman Sachs | 08/28/2044 | JPY | 930,000 | 244 | — | — | 244 | — |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 83 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, June 30, 2020 (Unaudited)
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 3.270% | UK Retail Price Index All Items Monthly | Receives at Maturity, Pays at Maturity | Goldman Sachs | 10/15/2044 | GBP | 630,000 | 71,048 | — | — | 71,048 | — |
3-Month USD LIBOR | Fixed rate of 2.110% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 11/15/2044 | USD | 160,000 | (14,191) | — | — | — | (14,191) |
Fixed rate of 3.220% | UK Retail Price Index All Items Monthly | Receives at Maturity, Pays at Maturity | Goldman Sachs | 01/15/2045 | GBP | 300,000 | 21,192 | — | — | 21,192 | — |
Fixed rate of 3.239% | UK Retail Price Index All Items Monthly | Receives at Maturity, Pays at Maturity | Goldman Sachs | 01/15/2045 | GBP | 200,000 | 16,508 | — | — | 16,508 | — |
6-Month JPY BBA LIBOR | Fixed rate of 0.371% | Receives SemiAnnually, Pays SemiAnnually | Goldman Sachs | 01/30/2045 | JPY | 1,450,000 | (43) | — | — | — | (43) |
3-Month USD LIBOR | Fixed rate of 0.920% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 11/15/2045 | USD | 190,000 | 26 | — | — | 26 | — |
3-Month USD LIBOR | Fixed rate of 2.378% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 07/05/2049 | USD | 60,000 | (6,866) | — | — | — | (6,866) |
3-Month USD LIBOR | Fixed rate of 1.709% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 08/16/2049 | USD | 50,000 | (2,897) | — | — | — | (2,897) |
3-Month USD LIBOR | Fixed rate of 1.667% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 08/17/2049 | USD | 40,000 | (2,174) | — | — | — | (2,174) |
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 | (90,062) | — | — | — | (90,062) |
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 | (40,766) | — | — | — | (40,766) |
UK Retail Price Index All Items Monthly | Fixed rate of 3.133% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 01/15/2050 | GBP | 200,000 | (23,369) | — | — | — | (23,369) |
UK Retail Price Index All Items Monthly | Fixed rate of 3.111% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 01/15/2050 | GBP | 300,000 | (29,595) | — | — | — | (29,595) |
Fixed rate of 1.828% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 02/10/2050 | USD | 50,000 | 12,588 | — | — | 12,588 | — |
Fixed rate of 0.000% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 03/11/2050 | USD | 20,000 | (1,210) | — | — | — | (1,210) |
Fixed rate of 1.820% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 05/07/2050 | USD | 85,000 | 20,987 | — | — | 20,987 | — |
3-Month USD LIBOR | Fixed rate of 0.000% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 05/18/2050 | USD | 40,000 | 1,235 | — | — | 1,235 | — |
3-Month USD LIBOR | Fixed rate of 2.350% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 06/15/2050 | USD | 150,000 | (58,778) | — | — | — | (58,778) |
6-Month EURIBOR | Fixed rate of 0.055% | Receives SemiAnnually, Pays Annually | Goldman Sachs | 06/23/2050 | EUR | 155,000 | (1,073) | — | — | — | (1,073) |
Fixed rate of 1.103% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 08/21/2050 | USD | 75,000 | 3,693 | — | — | 3,693 | — |
Fixed rate of 1.250% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 09/08/2050 | USD | 37,000 | 3,273 | — | — | 3,273 | — |
3-Month USD LIBOR | Fixed rate of 1.090% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 06/20/2052 | USD | 60,000 | (1,894) | — | — | — | (1,894) |
3-Month USD LIBOR | Fixed rate of 1.136% | Receives Quarterly, Pays SemiAnnually | Goldman Sachs | 06/20/2052 | USD | 60,000 | (2,640) | — | — | — | (2,640) |
Fixed rate of 1.929% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Goldman Sachs | 12/01/2056 | USD | 10,000 | 2,353 | — | — | 2,353 | — |
Total | (61,647) | — | — | 1,475,679 | (1,537,326) |
84 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, June 30, 2020 (Unaudited)
Reference index and values for swap contracts as of period end | ||
Reference index | Reference rate | |
3-Month NZD LIBOR | London Interbank Offered Rate | 0.255% |
3-Month USD LIBOR | London Interbank Offered Rate | 0.344% |
6-Month EURIBOR | Euro Interbank Offered Rate | (0.308%) |
6-Month JPY BBA LIBOR | London Interbank Offered Rate | (0.017%) |
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 | 0.646% |
UK Retail Price Index All Items Monthly | United Kingdom Retail Price Index All Items | 0.600% |
(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. At June 30, 2020, the total value of these securities amounted to $46,778,803, which represents 45.43% of total net assets. |
(e) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(f) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
(g) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | ||||||||
1,082,616 | 22,811,812 | (23,830,492) | — | 63,936 | 955 | 11,899 | 63,936 |
EURIBOR | Euro Interbank Offered Rate |
LIBOR | London Interbank Offered Rate |
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 |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 85 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund, June 30, 2020 (Unaudited)
pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Foreign Government Obligations | — | 2,188,681 | — | 2,188,681 |
Inflation-Indexed Bonds | — | 100,444,062 | — | 100,444,062 |
Options Purchased Calls | 19,250 | 548,110 | — | 567,360 |
Options Purchased Puts | 3,328 | 74,469 | — | 77,797 |
Money Market Funds | 63,936 | — | — | 63,936 |
Total Investments in Securities | 86,514 | 103,255,322 | — | 103,341,836 |
Investments in Derivatives | ||||
Asset | ||||
Forward Foreign Currency Exchange Contracts | — | 304,891 | — | 304,891 |
Futures Contracts | 48,604 | — | — | 48,604 |
Swap Contracts | — | 1,475,679 | — | 1,475,679 |
Liability | ||||
Forward Foreign Currency Exchange Contracts | — | (924,904) | — | (924,904) |
Futures Contracts | (72,892) | — | — | (72,892) |
Options Contracts Written | (26,125) | (824,746) | — | (850,871) |
Swap Contracts | — | (1,537,326) | — | (1,537,326) |
Total | 36,101 | 101,748,916 | — | 101,785,017 |
86 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – Victory Sycamore Established Value Fund, June 30, 2020 (Unaudited)
Common Stocks 98.8% | ||
Issuer | Shares | Value ($) |
Communication Services 2.0% | ||
Media 2.0% | ||
Interpublic Group of Companies, Inc. (The) | 420,000 | 7,207,200 |
ViacomCBS, Inc., Class B | 182,000 | 4,244,240 |
Total | 11,451,440 | |
Total Communication Services | 11,451,440 | |
Consumer Discretionary 9.1% | ||
Auto Components 2.7% | ||
Aptiv PLC | 49,000 | 3,818,080 |
BorgWarner, Inc. | 330,000 | 11,649,000 |
Total | 15,467,080 | |
Hotels, Restaurants & Leisure 5.4% | ||
Darden Restaurants, Inc. | 141,250 | 10,702,513 |
Las Vegas Sands Corp. | 88,200 | 4,016,628 |
Marriott International, Inc., Class A | 71,700 | 6,146,841 |
Yum! Brands, Inc. | 106,500 | 9,255,915 |
Total | 30,121,897 | |
Household Durables 1.0% | ||
Mohawk Industries, Inc.(a) | 55,800 | 5,678,208 |
Total Consumer Discretionary | 51,267,185 | |
Consumer Staples 7.9% | ||
Food & Staples Retailing 3.1% | ||
Kroger Co. (The) | 251,775 | 8,522,584 |
Sysco Corp. | 165,200 | 9,029,832 |
Total | 17,552,416 | |
Food Products 4.8% | ||
Archer-Daniels-Midland Co. | 358,925 | 14,321,107 |
Hormel Foods Corp. | 96,400 | 4,653,228 |
Tyson Foods, Inc., Class A | 134,000 | 8,001,140 |
Total | 26,975,475 | |
Total Consumer Staples | 44,527,891 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Energy 3.5% | ||
Oil, Gas & Consumable Fuels 3.5% | ||
Cimarex Energy Co. | 168,400 | 4,629,316 |
Devon Energy Corp. | 370,800 | 4,204,872 |
Parsley Energy, Inc., Class A | 367,600 | 3,925,968 |
Valero Energy Corp. | 115,300 | 6,781,946 |
Total | 19,542,102 | |
Total Energy | 19,542,102 | |
Financials 17.9% | ||
Banks 4.4% | ||
Prosperity Bancshares, Inc. | 155,800 | 9,251,404 |
TCF Financial Corp. | 222,500 | 6,545,950 |
Zions Bancorp | 254,200 | 8,642,800 |
Total | 24,440,154 | |
Capital Markets 1.5% | ||
E*TRADE Financial Corp. | 171,400 | 8,523,722 |
Insurance 12.0% | ||
Aflac, Inc. | 209,500 | 7,548,285 |
Alleghany Corp. | 23,270 | 11,382,288 |
Allstate Corp. (The) | 98,175 | 9,521,993 |
American Financial Group, Inc. | 139,000 | 8,820,940 |
Arthur J Gallagher & Co. | 76,600 | 7,467,734 |
Everest Re Group Ltd. | 44,500 | 9,175,900 |
Old Republic International Corp. | 338,000 | 5,512,780 |
WR Berkley Corp. | 142,000 | 8,135,180 |
Total | 67,565,100 | |
Total Financials | 100,528,976 | |
Health Care 6.7% | ||
Health Care Equipment & Supplies 1.6% | ||
Hill-Rom Holdings, Inc. | 83,800 | 9,199,564 |
Health Care Providers & Services 4.1% | ||
AmerisourceBergen Corp. | 57,650 | 5,809,391 |
Molina Healthcare, Inc.(a) | 36,600 | 6,514,068 |
Quest Diagnostics, Inc. | 94,100 | 10,723,636 |
Total | 23,047,095 |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 87 |
CTIVP® – Victory Sycamore Established Value Fund, June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Life Sciences Tools & Services 1.0% | ||
QIAGEN NV(a) | 132,900 | 5,689,449 |
Total Health Care | 37,936,108 | |
Industrials 15.1% | ||
Aerospace & Defense 1.7% | ||
Textron, Inc. | 291,800 | 9,603,138 |
Airlines 0.4% | ||
Alaska Air Group, Inc. | 55,800 | 2,023,308 |
Building Products 1.7% | ||
Owens Corning | 171,600 | 9,568,416 |
Commercial Services & Supplies 0.9% | ||
Republic Services, Inc. | 62,300 | 5,111,715 |
Electrical Equipment 1.3% | ||
Hubbell, Inc. | 59,300 | 7,433,848 |
Machinery 4.0% | ||
AGCO Corp. | 170,600 | 9,461,476 |
Parker-Hannifin Corp. | 51,100 | 9,365,097 |
Xylem, Inc. | 57,000 | 3,702,720 |
Total | 22,529,293 | |
Professional Services 1.3% | ||
ManpowerGroup, Inc. | 108,100 | 7,431,875 |
Road & Rail 3.8% | ||
JB Hunt Transport Services, Inc. | 80,600 | 9,699,404 |
Landstar System, Inc. | 103,300 | 11,601,623 |
Total | 21,301,027 | |
Total Industrials | 85,002,620 | |
Information Technology 14.8% | ||
Communications Equipment 1.1% | ||
Motorola Solutions, Inc. | 42,750 | 5,990,558 |
Electronic Equipment, Instruments & Components 4.2% | ||
Amphenol Corp., Class A | 38,800 | 3,717,428 |
Coherent, Inc.(a) | 62,925 | 8,241,916 |
Flex Ltd.(a) | 887,000 | 9,091,750 |
Zebra Technologies Corp., Class A(a) | 11,400 | 2,917,830 |
Total | 23,968,924 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
IT Services 5.1% | ||
DXC Technology Co. | 200,400 | 3,306,600 |
Genpact Ltd. | 244,500 | 8,929,140 |
Leidos Holdings, Inc. | 77,400 | 7,250,058 |
MAXIMUS, Inc. | 129,100 | 9,095,095 |
Total | 28,580,893 | |
Semiconductors & Semiconductor Equipment 1.9% | ||
KLA Corp. | 18,900 | 3,675,672 |
Skyworks Solutions, Inc. | 54,300 | 6,942,798 |
Total | 10,618,470 | |
Software 1.6% | ||
Nuance Communications, Inc.(a) | 362,500 | 9,173,062 |
Technology Hardware, Storage & Peripherals 0.9% | ||
Hewlett Packard Enterprise Co. | 502,000 | 4,884,460 |
Total Information Technology | 83,216,367 | |
Materials 11.0% | ||
Chemicals 3.2% | ||
Eastman Chemical Co. | 144,450 | 10,059,498 |
Westlake Chemical Corp. | 154,700 | 8,299,655 |
Total | 18,359,153 | |
Containers & Packaging 4.7% | ||
AptarGroup, Inc. | 68,700 | 7,693,026 |
Avery Dennison Corp. | 101,500 | 11,580,135 |
Packaging Corp. of America | 71,100 | 7,095,780 |
Total | 26,368,941 | |
Metals & Mining 3.1% | ||
Reliance Steel & Aluminum Co. | 99,097 | 9,407,278 |
Steel Dynamics, Inc. | 301,400 | 7,863,526 |
Total | 17,270,804 | |
Total Materials | 61,998,898 | |
Real Estate 8.0% | ||
Equity Real Estate Investment Trusts (REITS) 8.0% | ||
American Homes 4 Rent, Class A | 199,000 | 5,353,100 |
Healthcare Trust of America, Inc., Class A | 260,300 | 6,903,156 |
Highwoods Properties, Inc. | 249,500 | 9,313,835 |
Lamar Advertising Co., Class A | 145,500 | 9,713,580 |
88 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – Victory Sycamore Established Value Fund, June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
National Retail Properties, Inc. | 195,000 | 6,918,600 |
Public Storage | 34,700 | 6,658,583 |
Total | 44,860,854 | |
Total Real Estate | 44,860,854 | |
Utilities 2.8% | ||
Electric Utilities 2.8% | ||
Alliant Energy Corp. | 162,000 | 7,750,080 |
Xcel Energy, Inc. | 129,000 | 8,062,500 |
Total | 15,812,580 | |
Total Utilities | 15,812,580 | |
Total Common Stocks (Cost $591,894,190) | 556,145,021 | |
Money Market Funds 1.3% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(b),(c) | 7,068,884 | 7,068,884 |
Total Money Market Funds (Cost $7,069,328) | 7,068,884 | |
Total Investments in Securities (Cost: $598,963,518) | 563,213,905 | |
Other Assets & Liabilities, Net | (454,597) | |
Net Assets | 562,759,308 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | ||||||||
22,714,277 | 38,442,448 | (54,087,935) | 94 | 7,068,884 | 3,422 | 71,403 | 7,068,884 |
■ | 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 | Semiannual Report 2020 | 89 |
CTIVP® – Victory Sycamore Established Value Fund, June 30, 2020 (Unaudited)
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 11,451,440 | — | — | 11,451,440 |
Consumer Discretionary | 51,267,185 | — | — | 51,267,185 |
Consumer Staples | 44,527,891 | — | — | 44,527,891 |
Energy | 19,542,102 | — | — | 19,542,102 |
Financials | 100,528,976 | — | — | 100,528,976 |
Health Care | 37,936,108 | — | — | 37,936,108 |
Industrials | 85,002,620 | — | — | 85,002,620 |
Information Technology | 83,216,367 | — | — | 83,216,367 |
Materials | 61,998,898 | — | — | 61,998,898 |
Real Estate | 44,860,854 | — | — | 44,860,854 |
Utilities | 15,812,580 | — | — | 15,812,580 |
Total Common Stocks | 556,145,021 | — | — | 556,145,021 |
Money Market Funds | 7,068,884 | — | — | 7,068,884 |
Total Investments in Securities | 563,213,905 | — | — | 563,213,905 |
90 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners Core Equity Fund, June 30, 2020 (Unaudited)
Common Stocks 97.8% | ||
Issuer | Shares | Value ($) |
Communication Services 7.9% | ||
Diversified Telecommunication Services 1.0% | ||
Verizon Communications, Inc. | 547,485 | 30,182,848 |
Entertainment 1.0% | ||
Electronic Arts, Inc.(a) | 120,211 | 15,873,863 |
Madison Square Garden Sports Corp., Class A(a) | 48,076 | 7,061,884 |
Take-Two Interactive Software, Inc.(a) | 45,127 | 6,298,375 |
Total | 29,234,122 | |
Interactive Media & Services 5.3% | ||
Alphabet, Inc., Class C(a) | 89,260 | 126,178,829 |
Facebook, Inc., Class A(a) | 143,589 | 32,604,754 |
Total | 158,783,583 | |
Media 0.6% | ||
Altice U.S.A., Inc., Class A(a) | 139,481 | 3,143,901 |
Cable One, Inc. | 2,060 | 3,656,191 |
Omnicom Group, Inc. | 189,568 | 10,350,413 |
Total | 17,150,505 | |
Total Communication Services | 235,351,058 | |
Consumer Discretionary 10.1% | ||
Automobiles 1.4% | ||
Ford Motor Co. | 3,326,486 | 20,225,035 |
General Motors Co. | 871,109 | 22,039,058 |
Total | 42,264,093 | |
Diversified Consumer Services 0.1% | ||
Graham Holdings Co., Class B | 8,406 | 2,880,484 |
Hotels, Restaurants & Leisure 2.8% | ||
Domino’s Pizza, Inc. | 5,094 | 1,881,927 |
Hilton Worldwide Holdings, Inc. | 118,843 | 8,729,018 |
Las Vegas Sands Corp. | 121,026 | 5,511,524 |
Marriott International, Inc., Class A | 101,523 | 8,703,567 |
McDonald’s Corp. | 97,901 | 18,059,798 |
Starbucks Corp. | 334,744 | 24,633,811 |
Yum! Brands, Inc. | 158,546 | 13,779,233 |
Total | 81,298,878 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Internet & Direct Marketing Retail 4.6% | ||
Amazon.com, Inc.(a) | 47,537 | 131,146,026 |
Expedia Group, Inc. | 71,205 | 5,853,051 |
Total | 136,999,077 | |
Multiline Retail 0.4% | ||
Dollar Tree, Inc.(a) | 133,490 | 12,371,853 |
Specialty Retail 0.8% | ||
AutoZone, Inc.(a) | 11,974 | 13,508,109 |
Best Buy Co., Inc. | 9,469 | 826,359 |
Home Depot, Inc. (The) | 5,464 | 1,368,787 |
TJX Companies, Inc. (The) | 148,300 | 7,498,048 |
Total | 23,201,303 | |
Total Consumer Discretionary | 299,015,688 | |
Consumer Staples 5.4% | ||
Beverages 1.5% | ||
Coca-Cola Co. (The) | 459,000 | 20,508,120 |
PepsiCo, Inc. | 180,387 | 23,857,985 |
Total | 44,366,105 | |
Food & Staples Retailing 0.6% | ||
Costco Wholesale Corp. | 15,700 | 4,760,397 |
Kroger Co. (The) | 202,334 | 6,849,006 |
Sprouts Farmers Market, Inc.(a) | 75,469 | 1,931,252 |
Walgreens Boots Alliance, Inc. | 138,004 | 5,849,989 |
Total | 19,390,644 | |
Food Products 1.7% | ||
Archer-Daniels-Midland Co. | 243,013 | 9,696,219 |
Hershey Co. (The) | 100,856 | 13,072,955 |
Kellogg Co. | 95,144 | 6,285,212 |
Mondelez International, Inc., Class A | 400,055 | 20,454,812 |
Pilgrim’s Pride Corp.(a) | 69,734 | 1,177,807 |
Total | 50,687,005 | |
Household Products 1.2% | ||
Colgate-Palmolive Co. | 266,005 | 19,487,526 |
Kimberly-Clark Corp. | 107,204 | 15,153,286 |
Total | 34,640,812 |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 91 |
Variable Portfolio – Partners Core Equity Fund, June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Tobacco 0.4% | ||
Philip Morris International, Inc. | 168,911 | 11,833,905 |
Total Consumer Staples | 160,918,471 | |
Energy 2.4% | ||
Energy Equipment & Services 0.1% | ||
TechnipFMC PLC | 536,090 | 3,666,855 |
Oil, Gas & Consumable Fuels 2.3% | ||
ConocoPhillips Co. | 265,500 | 11,156,310 |
EOG Resources, Inc. | 509,779 | 25,825,404 |
HollyFrontier Corp. | 50,261 | 1,467,621 |
Marathon Oil Corp. | 437,263 | 2,676,050 |
Phillips 66 | 189,307 | 13,611,173 |
Pioneer Natural Resources Co. | 117,554 | 11,485,026 |
Targa Resources Corp. | 13,498 | 270,905 |
Total | 66,492,489 | |
Total Energy | 70,159,344 | |
Financials 11.8% | ||
Banks 1.4% | ||
JPMorgan Chase & Co. | 121,399 | 11,418,790 |
M&T Bank Corp. | 60,569 | 6,297,359 |
PNC Financial Services Group, Inc. (The) | 220,584 | 23,207,643 |
Total | 40,923,792 | |
Capital Markets 4.2% | ||
Bank of New York Mellon Corp. (The) | 415,513 | 16,059,577 |
Charles Schwab Corp. (The) | 491,306 | 16,576,664 |
CME Group, Inc. | 66,027 | 10,732,028 |
Intercontinental Exchange, Inc. | 390,311 | 35,752,488 |
Morgan Stanley | 504,562 | 24,370,345 |
Northern Trust Corp. | 113,511 | 9,005,963 |
Raymond James Financial, Inc. | 53,667 | 3,693,900 |
State Street Corp. | 150,453 | 9,561,288 |
Total | 125,752,253 | |
Consumer Finance 0.9% | ||
Capital One Financial Corp. | 205,447 | 12,858,928 |
SLM Corp. | 347,294 | 2,441,477 |
Synchrony Financial | 443,614 | 9,830,486 |
Total | 25,130,891 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Insurance 5.3% | ||
Allstate Corp. (The) | 148,449 | 14,398,068 |
American International Group, Inc. | 414,488 | 12,923,736 |
Assurant, Inc. | 65,416 | 6,756,819 |
Brighthouse Financial, Inc.(a) | 170,190 | 4,734,686 |
Chubb Ltd. | 176,858 | 22,393,760 |
Everest Re Group Ltd. | 27,813 | 5,735,041 |
Marsh & McLennan Companies, Inc. | 217,502 | 23,353,190 |
Mercury General Corp. | 89,696 | 3,655,112 |
MetLife, Inc. | 403,227 | 14,725,850 |
Reinsurance Group of America, Inc. | 26,535 | 2,081,405 |
Travelers Companies, Inc. (The) | 180,890 | 20,630,504 |
Unum Group | 309,717 | 5,138,205 |
Willis Towers Watson PLC | 101,899 | 20,069,008 |
Total | 156,595,384 | |
Total Financials | 348,402,320 | |
Health Care 17.0% | ||
Biotechnology 3.5% | ||
AbbVie, Inc. | 513,104 | 50,376,551 |
Biogen, Inc.(a) | 2,452 | 656,033 |
bluebird bio, Inc.(a) | 19,346 | 1,180,880 |
Gilead Sciences, Inc. | 330,816 | 25,452,983 |
Sage Therapeutics, Inc.(a) | 21,536 | 895,467 |
United Therapeutics Corp.(a) | 68,332 | 8,268,172 |
Vertex Pharmaceuticals, Inc.(a) | 56,318 | 16,349,678 |
Total | 103,179,764 | |
Health Care Equipment & Supplies 3.9% | ||
ABIOMED, Inc.(a) | 32,513 | 7,853,840 |
Align Technology, Inc.(a) | 45,768 | 12,560,570 |
Becton Dickinson and Co. | 89,218 | 21,347,191 |
Boston Scientific Corp.(a) | 455,475 | 15,991,727 |
Danaher Corp. | 148,479 | 26,255,541 |
Edwards Lifesciences Corp.(a) | 98,763 | 6,825,511 |
ICU Medical, Inc.(a) | 21,886 | 4,033,809 |
Medtronic PLC | 216,794 | 19,880,010 |
Total | 114,748,199 |
92 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners Core Equity Fund, June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Health Care Providers & Services 4.5% | ||
AmerisourceBergen Corp. | 127,397 | 12,837,796 |
Anthem, Inc. | 95,658 | 25,156,141 |
Cardinal Health, Inc. | 139,518 | 7,281,444 |
Cigna Corp. | 115,046 | 21,588,382 |
HCA Healthcare, Inc. | 35,800 | 3,474,748 |
Humana, Inc. | 52,089 | 20,197,510 |
McKesson Corp. | 117,309 | 17,997,547 |
Molina Healthcare, Inc.(a) | 18,534 | 3,298,681 |
UnitedHealth Group, Inc. | 69,933 | 20,626,738 |
Total | 132,458,987 | |
Health Care Technology 0.2% | ||
Cerner Corp. | 92,466 | 6,338,544 |
Pharmaceuticals 4.9% | ||
Eli Lilly and Co. | 278,606 | 45,741,533 |
Johnson & Johnson | 261,874 | 36,827,341 |
Merck & Co., Inc. | 370,373 | 28,640,944 |
Mylan NV(a) | 815,170 | 13,107,934 |
Pfizer, Inc. | 684,708 | 22,389,951 |
Total | 146,707,703 | |
Total Health Care | 503,433,197 | |
Industrials 6.6% | ||
Aerospace & Defense 0.3% | ||
Howmet Aerospace, Inc. | 269,173 | 4,266,392 |
Textron, Inc. | 180,064 | 5,925,906 |
Total | 10,192,298 | |
Air Freight & Logistics 1.1% | ||
CH Robinson Worldwide, Inc. | 126,241 | 9,980,614 |
Expeditors International of Washington, Inc. | 129,227 | 9,826,421 |
United Parcel Service, Inc., Class B | 115,800 | 12,874,644 |
Total | 32,681,679 | |
Commercial Services & Supplies 0.7% | ||
Waste Connections, Inc. | 215,455 | 20,207,524 |
Electrical Equipment 0.3% | ||
Rockwell Automation, Inc. | 36,069 | 7,682,697 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Industrial Conglomerates 1.4% | ||
General Electric Co. | 2,979,389 | 20,349,227 |
Honeywell International, Inc. | 144,800 | 20,936,632 |
Total | 41,285,859 | |
Machinery 2.0% | ||
AGCO Corp. | 110,701 | 6,139,477 |
Deere & Co. | 92,006 | 14,458,743 |
PACCAR, Inc. | 248,327 | 18,587,276 |
Parker-Hannifin Corp. | 48,681 | 8,921,767 |
Stanley Black & Decker, Inc. | 73,900 | 10,300,182 |
Total | 58,407,445 | |
Road & Rail 0.8% | ||
Landstar System, Inc. | 37,000 | 4,155,470 |
Union Pacific Corp. | 120,966 | 20,451,722 |
Total | 24,607,192 | |
Total Industrials | 195,064,694 | |
Information Technology 27.1% | ||
Communications Equipment 0.9% | ||
Arista Networks, Inc.(a) | 30,572 | 6,421,037 |
CommScope Holding Co., Inc.(a) | 428,361 | 3,568,247 |
F5 Networks, Inc.(a) | 59,006 | 8,230,157 |
Juniper Networks, Inc. | 313,434 | 7,165,101 |
Total | 25,384,542 | |
Electronic Equipment, Instruments & Components 0.8% | ||
Amphenol Corp., Class A | 166,691 | 15,970,665 |
Arrow Electronics, Inc.(a) | 100,253 | 6,886,379 |
Avnet, Inc. | 78,196 | 2,180,495 |
Total | 25,037,539 | |
IT Services 4.9% | ||
Accenture PLC, Class A | 73,155 | 15,707,842 |
DXC Technology Co. | 190,200 | 3,138,300 |
Fidelity National Information Services, Inc. | 145,459 | 19,504,597 |
Fiserv, Inc.(a) | 247,299 | 24,141,328 |
MasterCard, Inc., Class A | 123,135 | 36,411,019 |
VeriSign, Inc.(a) | 90,361 | 18,689,366 |
Visa, Inc., Class A | 134,906 | 26,059,792 |
Total | 143,652,244 |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 93 |
Variable Portfolio – Partners Core Equity Fund, June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Semiconductors & Semiconductor Equipment 3.6% | ||
Applied Materials, Inc. | 189,300 | 11,443,185 |
Cirrus Logic, Inc.(a) | 52,244 | 3,227,634 |
Micron Technology, Inc.(a) | 447,321 | 23,045,978 |
NVIDIA Corp. | 25,500 | 9,687,705 |
QUALCOMM, Inc. | 496,437 | 45,280,019 |
Texas Instruments, Inc. | 118,261 | 15,015,599 |
Total | 107,700,120 | |
Software 9.5% | ||
Autodesk, Inc.(a) | 37,831 | 9,048,797 |
Citrix Systems, Inc. | 110,963 | 16,412,537 |
Dropbox, Inc., Class A(a) | 339,878 | 7,399,144 |
FireEye, Inc.(a) | 249,824 | 3,041,607 |
Fortinet, Inc.(a) | 87,415 | 11,999,457 |
Microsoft Corp. | 992,857 | 202,056,328 |
New Relic, Inc.(a) | 18,274 | 1,259,079 |
NortonLifeLock, Inc. | 173,416 | 3,438,839 |
Nutanix, Inc., Class A(a) | 27,700 | 656,629 |
Salesforce.com, Inc.(a) | 121,877 | 22,831,218 |
Teradata Corp.(a) | 206,561 | 4,296,469 |
Total | 282,440,104 | |
Technology Hardware, Storage & Peripherals 7.4% | ||
Apple, Inc. | 395,378 | 144,233,895 |
Dell Technologies, Inc.(a) | 129,150 | 7,095,501 |
Hewlett Packard Enterprise Co. | 1,156,718 | 11,254,866 |
HP, Inc. | 982,942 | 17,132,679 |
NetApp, Inc. | 234,238 | 10,393,140 |
Pure Storage, Inc., Class A(a) | 179,258 | 3,106,541 |
Seagate Technology PLC | 146,467 | 7,090,468 |
Western Digital Corp. | 319,774 | 14,118,022 |
Xerox Holdings Corp. | 258,049 | 3,945,569 |
Total | 218,370,681 | |
Total Information Technology | 802,585,230 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Materials 3.3% | ||
Chemicals 3.3% | ||
Air Products & Chemicals, Inc. | 64,350 | 15,537,951 |
Celanese Corp., Class A | 57,683 | 4,980,350 |
Corteva, Inc. | 528,554 | 14,159,962 |
Element Solutions, Inc.(a) | 171,483 | 1,860,591 |
FMC Corp. | 56,703 | 5,648,753 |
Linde PLC | 136,029 | 28,853,111 |
LyondellBasell Industries NV, Class A | 115,553 | 7,594,143 |
Mosaic Co. (The) | 312,648 | 3,911,226 |
PPG Industries, Inc. | 129,195 | 13,702,422 |
Total | 96,248,509 | |
Total Materials | 96,248,509 | |
Real Estate 2.2% | ||
Equity Real Estate Investment Trusts (REITS) 1.9% | ||
American Tower Corp. | 87,570 | 22,640,348 |
Boston Properties, Inc. | 41,181 | 3,721,939 |
Essex Property Trust, Inc. | 19,601 | 4,491,961 |
Gaming and Leisure Properties, Inc. | 189,435 | 6,554,451 |
Invitation Homes, Inc. | 115,925 | 3,191,415 |
Mid-America Apartment Communities, Inc. | 51,089 | 5,858,375 |
Public Storage | 46,539 | 8,930,369 |
Spirit Realty Capital, Inc. | 8,685 | 302,759 |
Total | 55,691,617 | |
Real Estate Management & Development 0.3% | ||
CBRE Group, Inc., Class A(a) | 219,081 | 9,906,843 |
Total Real Estate | 65,598,460 | |
Utilities 4.0% | ||
Electric Utilities 3.0% | ||
American Electric Power Co., Inc. | 190,578 | 15,177,632 |
Entergy Corp. | 151,326 | 14,195,892 |
Exelon Corp. | 228,311 | 8,285,406 |
FirstEnergy Corp. | 225,211 | 8,733,683 |
NextEra Energy, Inc. | 129,166 | 31,021,798 |
NRG Energy, Inc. | 132,460 | 4,312,898 |
Pinnacle West Capital Corp. | 99,411 | 7,285,832 |
Portland General Electric Co. | 47,296 | 1,977,446 |
Total | 90,990,587 |
94 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners Core Equity Fund, June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Multi-Utilities 1.0% | ||
Sempra Energy | 156,187 | 18,309,802 |
WEC Energy Group, Inc. | 119,888 | 10,508,183 |
Total | 28,817,985 | |
Total Utilities | 119,808,572 | |
Total Common Stocks (Cost $2,709,168,033) | 2,896,585,543 | |
Money Market Funds 2.2% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(b),(c) | 65,458,955 | 65,458,955 |
Total Money Market Funds (Cost $65,462,076) | 65,458,955 | |
Total Investments in Securities (Cost: $2,774,630,109) | 2,962,044,498 | |
Other Assets & Liabilities, Net | (1,188,753) | |
Net Assets | 2,960,855,745 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
(c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | ||||||||
46,266,272 | 1,150,661,750 | (1,131,467,289) | (1,778) | 65,458,955 | 20,308 | 399,569 | 65,458,955 |
■ | 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 | Semiannual Report 2020 | 95 |
Variable Portfolio – Partners Core Equity Fund, June 30, 2020 (Unaudited)
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 | 235,351,058 | — | — | 235,351,058 |
Consumer Discretionary | 299,015,688 | — | — | 299,015,688 |
Consumer Staples | 160,918,471 | — | — | 160,918,471 |
Energy | 70,159,344 | — | — | 70,159,344 |
Financials | 348,402,320 | — | — | 348,402,320 |
Health Care | 503,433,197 | — | — | 503,433,197 |
Industrials | 195,064,694 | — | — | 195,064,694 |
Information Technology | 802,585,230 | — | — | 802,585,230 |
Materials | 96,248,509 | — | — | 96,248,509 |
Real Estate | 65,598,460 | — | — | 65,598,460 |
Utilities | 119,808,572 | — | — | 119,808,572 |
Total Common Stocks | 2,896,585,543 | — | — | 2,896,585,543 |
Money Market Funds | 65,458,955 | — | — | 65,458,955 |
Total Investments in Securities | 2,962,044,498 | — | — | 2,962,044,498 |
96 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners Small Cap Value Fund, June 30, 2020 (Unaudited)
Common Stocks 96.2% | ||
Issuer | Shares | Value ($) |
Communication Services 1.3% | ||
Diversified Telecommunication Services 0.4% | ||
Liberty Latin America Ltd., Class C(a) | 18,856 | 178,001 |
ORBCOMM, Inc.(a) | 75,431 | 290,409 |
Vonage Holdings Corp.(a) | 193,520 | 1,946,811 |
Total | 2,415,221 | |
Entertainment 0.1% | ||
Madison Square Garden Entertainment Corp.(a) | 1,216 | 91,200 |
Madison Square Garden Sports Corp., Class A(a) | 1,716 | 252,063 |
Total | 343,263 | |
Interactive Media & Services 0.3% | ||
TrueCar, Inc.(a) | 150,353 | 387,911 |
Yelp, Inc.(a) | 64,608 | 1,494,383 |
Total | 1,882,294 | |
Media 0.5% | ||
comScore, Inc.(a) | 131,251 | 406,878 |
Marchex, Inc.(a) | 13,192 | 20,843 |
Scholastic Corp. | 26,441 | 791,644 |
TEGNA, Inc. | 94,392 | 1,051,527 |
Tribune Publishing Co. | 20,390 | 203,696 |
Total | 2,474,588 | |
Wireless Telecommunication Services 0.0% | ||
Gogo(a) | 34,909 | 110,313 |
Total Communication Services | 7,225,679 | |
Consumer Discretionary 9.6% | ||
Auto Components 2.1% | ||
Adient PLC(a) | 52,479 | 861,705 |
American Axle & Manufacturing Holdings, Inc.(a) | 253,738 | 1,928,409 |
Cooper Tire & Rubber Co. | 88,197 | 2,435,119 |
Cooper-Standard Holding, Inc.(a) | 52,113 | 690,497 |
Dana, Inc. | 199,435 | 2,431,113 |
Garrett Motion, Inc.(a) | 94,477 | 523,403 |
Goodyear Tire & Rubber Co. (The) | 113,232 | 1,012,860 |
Modine Manufacturing Co.(a) | 103,028 | 568,714 |
Tenneco, Inc.(a) | 141,685 | 1,071,139 |
Total | 11,522,959 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Distributors 0.3% | ||
Core-Mark Holding Co., Inc. | 68,818 | 1,717,353 |
Diversified Consumer Services 0.5% | ||
American Public Education, Inc.(a) | 33,222 | 983,371 |
Houghton Mifflin Harcourt Co.(a) | 9,525 | 17,240 |
K12, Inc.(a) | 47,773 | 1,301,337 |
Universal Technical Institute, Inc.(a) | 40,318 | 280,210 |
Total | 2,582,158 | |
Hotels, Restaurants & Leisure 1.4% | ||
Del Taco Restaurants, Inc.(a) | 56,591 | 335,585 |
International Game Technology PLC | 83,409 | 742,340 |
Jack in the Box, Inc. | 52,099 | 3,860,015 |
Papa John’s International, Inc. | 27,982 | 2,222,051 |
PlayAGS, Inc.(a) | 79,233 | 267,807 |
Red Lion Hotels Corp.(a) | 26,678 | 62,160 |
Total | 7,489,958 | |
Household Durables 1.4% | ||
GoPro, Inc., Class A(a) | 244,774 | 1,165,124 |
Hooker Furniture Corp. | 22,388 | 435,447 |
La-Z-Boy, Inc. | 100,609 | 2,722,480 |
M/I Homes, Inc.(a) | 79,858 | 2,750,309 |
Tupperware Brands Corp. | 19,355 | 91,936 |
Universal Electronics, Inc.(a) | 4,386 | 205,353 |
Zagg, Inc.(a) | 54,439 | 170,938 |
Total | 7,541,587 | |
Internet & Direct Marketing Retail 0.3% | ||
Quotient Technology, Inc.(a) | 235,991 | 1,727,454 |
Leisure Products 1.3% | ||
Brunswick Corp. | 40,283 | 2,578,515 |
Sturm Ruger & Co., Inc. | 28,587 | 2,172,612 |
Vista Outdoor, Inc.(a) | 162,986 | 2,355,147 |
Total | 7,106,274 |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 97 |
Variable Portfolio – Partners Small Cap Value Fund, June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Specialty Retail 1.3% | ||
Aaron’s, Inc. | 56,677 | 2,573,136 |
GameStop Corp., Class A(a) | 92,489 | 401,402 |
Group 1 Automotive, Inc. | 29,111 | 1,920,453 |
Hibbett Sports, Inc.(a) | 41,123 | 861,116 |
Office Depot, Inc. | 457,493 | 1,075,108 |
Total | 6,831,215 | |
Textiles, Apparel & Luxury Goods 1.0% | ||
Fossil Group, Inc.(a) | 105,054 | 488,501 |
G-III Apparel Group Ltd.(a) | 52,933 | 703,480 |
Gildan Activewear, Inc. | 64,471 | 998,656 |
Rocky Brands, Inc. | 6,755 | 138,883 |
Under Armour, Inc., Class A(a) | 179,894 | 1,752,167 |
Unifi, Inc.(a) | 28,242 | 363,757 |
Vera Bradley, Inc.(a) | 44,265 | 196,537 |
Wolverine World Wide, Inc. | 29,036 | 691,347 |
Total | 5,333,328 | |
Total Consumer Discretionary | 51,852,286 | |
Consumer Staples 3.7% | ||
Food & Staples Retailing 0.5% | ||
Rite Aid Corp.(a) | 54,310 | 926,528 |
SpartanNash Co. | 82,363 | 1,750,214 |
Total | 2,676,742 | |
Food Products 3.1% | ||
Farmer Brothers Co.(a) | 18,564 | 136,260 |
Hain Celestial Group, Inc. (The)(a) | 276,601 | 8,715,698 |
Hostess Brands, Inc.(a) | 205,015 | 2,505,283 |
Pilgrim’s Pride Corp.(a) | 68,396 | 1,155,208 |
Post Holdings, Inc.(a) | 1,687 | 147,815 |
TreeHouse Foods, Inc.(a) | 95,039 | 4,162,708 |
Total | 16,822,972 | |
Household Products 0.1% | ||
Central Garden & Pet Co., Class A(a) | 4,721 | 159,523 |
Total Consumer Staples | 19,659,237 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Energy 4.2% | ||
Energy Equipment & Services 0.5% | ||
Exterran Corp.(a) | 38,321 | 206,550 |
Helmerich & Payne, Inc. | 59,395 | 1,158,797 |
Matrix Service Co.(a) | 50,671 | 492,522 |
Nabors Industries Ltd. | 10,953 | 405,480 |
NexTier Oilfield Solutions, Inc.(a) | 205,260 | 502,887 |
ProPetro Holding Corp.(a) | 16,401 | 84,301 |
Total | 2,850,537 | |
Oil, Gas & Consumable Fuels 3.7% | ||
Arch Resources, Inc. | 33,848 | 961,622 |
Bonanza Creek Energy, Inc.(a) | 51,037 | 756,368 |
Brigham Minerals, Inc., Class A | 127,819 | 1,578,564 |
CONSOL Energy, Inc.(a) | 16,858 | 85,470 |
Delek U.S. Holdings, Inc. | 72,085 | 1,255,000 |
Dorian LPG Ltd.(a) | 127,602 | 987,639 |
Green Plains, Inc.(a) | 99,392 | 1,015,289 |
International Seaways, Inc. | 69,314 | 1,132,591 |
Magnolia Oil & Gas Corp., Class A(a) | 287,162 | 1,740,202 |
Par Pacific Holdings, Inc.(a) | 60,604 | 544,830 |
Parsley Energy, Inc., Class A | 192,928 | 2,060,471 |
PDC Energy, Inc.(a) | 117,522 | 1,461,973 |
REX American Resources Corp.(a) | 9,956 | 690,648 |
SFL Corp Ltd. | 39,875 | 370,439 |
World Fuel Services Corp. | 114,830 | 2,958,021 |
WPX Energy, Inc.(a) | 342,173 | 2,183,064 |
Total | 19,782,191 | |
Total Energy | 22,632,728 | |
Financials 22.7% | ||
Banks 14.1% | ||
1st Source Corp. | 1,420 | 50,524 |
Altabancorp | 4,806 | 107,991 |
Amalgamated Bank, Class A | 15,821 | 199,977 |
American National Bankshares, Inc. | 1,443 | 36,133 |
Atlantic Capital Bancshares, Inc.(a) | 15,895 | 193,283 |
BancFirst Corp. | 15,418 | 625,508 |
Bancorp, Inc. (The)(a) | 85,187 | 834,833 |
Bank of Commerce Holdings | 4,393 | 33,299 |
98 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners Small Cap Value Fund, June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Bank of Marin Bancorp | 5,273 | 175,749 |
Bank of Princeton (The) | 1,636 | 32,851 |
BankFinancial Corp. | 5,583 | 46,897 |
BankUnited, Inc. | 39,110 | 791,978 |
Bankwell Financial Group, Inc. | 1,067 | 16,965 |
Banner Corp. | 99,843 | 3,794,034 |
Baycom Corp.(a) | 3,846 | 49,652 |
Boston Private Financial Holdings, Inc. | 24,046 | 165,436 |
Bryn Mawr Bank Corp. | 8,010 | 221,557 |
Cadence BanCorp | 247,821 | 2,195,694 |
Cambridge Bancorp | 2,250 | 133,290 |
Camden National Corp. | 524 | 18,099 |
Capital City Bank Group, Inc. | 9,298 | 194,793 |
Capstar Financial Holdings, Inc. | 9,955 | 119,460 |
Carter Bank & Trust | 10,265 | 82,839 |
Cathay General Bancorp | 101,162 | 2,660,561 |
CBTX, Inc. | 15,314 | 321,594 |
Central Pacific Financial Corp. | 40,767 | 653,495 |
Central Valley Community Bancorp | 6,884 | 105,945 |
Chemung Financial Corp. | 1,513 | 41,305 |
Coastal Financial Corp.(a) | 1,797 | 26,092 |
Community Bank System, Inc. | 38,852 | 2,215,341 |
Community Trust Bancorp, Inc. | 14,148 | 463,488 |
Cullen/Frost Bankers, Inc. | 2,370 | 177,063 |
Eagle Bancorp, Inc. | 44,741 | 1,465,268 |
Enterprise Financial Services Corp. | 86,834 | 2,702,274 |
Equity Bancshares, Inc., Class A(a) | 1,089 | 18,992 |
Esquire Financial Holdings, Inc.(a) | 4,700 | 79,430 |
Evans Bancorp, Inc. | 2,305 | 53,614 |
FB Financial Corp. | 27,396 | 678,599 |
Financial Institutions, Inc. | 10,745 | 199,964 |
First BanCorp | 175,623 | 981,733 |
First BanCorp | 16,716 | 419,237 |
First Busey Corp. | 212,608 | 3,965,139 |
First Business Financial Services, Inc. | 4,892 | 80,473 |
First Commonwealth Financial Corp. | 65,153 | 539,467 |
First Financial Corp. | 7,955 | 293,062 |
First Internet Bancorp | 1,858 | 30,880 |
First Interstate Bancsystem, Inc. | 33,356 | 1,032,702 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
First Merchants Corp. | 14,908 | 411,014 |
Glacier Bancorp, Inc. | 26,255 | 926,539 |
Great Southern Bancorp, Inc. | 7,337 | 296,121 |
Guaranty Bancshares, Inc. | 4,163 | 107,697 |
Hanmi Financial Corp. | 42,384 | 411,549 |
HBT Financial, Inc. | 10,394 | 138,552 |
Heartland Financial U.S.A., Inc. | 83,382 | 2,788,294 |
Heritage Commerce Corp. | 53,323 | 400,189 |
Heritage Financial Corp. | 17,733 | 354,660 |
Hilltop Holdings, Inc. | 17,060 | 314,757 |
HomeTrust Bancshares, Inc. | 11,200 | 179,200 |
Iberiabank Corp. | 12,091 | 550,624 |
Independent Bank Corp. | 13,378 | 198,663 |
Investors Bancorp, Inc. | 498,289 | 4,235,456 |
Lakeland Bancorp, Inc. | 20,330 | 232,372 |
Lakeland Financial Corp. | 64,452 | 3,002,819 |
Live Oak Bancshares, Inc. | 38,048 | 552,076 |
Macatawa Bank Corp. | 5,661 | 44,269 |
Metropolitan Bank Holding Corp.(a) | 4,564 | 146,413 |
Midland States Bancorp, Inc. | 8,100 | 121,095 |
MidWestOne Financial Group, Inc. | 3,337 | 66,740 |
National Bank Holdings Corp., Class A | 116,427 | 3,143,529 |
National Bankshares, Inc. | 300 | 8,580 |
Nicolet Bankshares, Inc.(a) | 7,700 | 421,960 |
Northeast Bank | 5,237 | 91,909 |
Northrim BanCorp, Inc. | 4,990 | 125,449 |
OFG Bancorp | 66,523 | 889,413 |
Old Second Bancorp, Inc. | 3,066 | 23,853 |
Origin Bancorp, Inc. | 3,727 | 81,994 |
Park National Corp. | 1,730 | 121,757 |
Peapack-Gladstone Financial Corp. | 10,316 | 193,219 |
Peoples Bancorp, Inc. | 5,777 | 122,935 |
Pinnacle Financial Partners, Inc. | 68,486 | 2,875,727 |
Preferred Bank | 72,548 | 3,108,682 |
Professional Holding Corp., Class A(a) | 3,940 | 54,687 |
QCR Holdings, Inc. | 11,375 | 354,673 |
RBB Bancorp | 15,260 | 208,299 |
Renasant Corp. | 169,345 | 4,216,691 |
Republic First Bancorp, Inc.(a) | 34,628 | 84,492 |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 99 |
Variable Portfolio – Partners Small Cap Value Fund, June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Seacoast Banking Corp. of Florida(a) | 140,749 | 2,871,280 |
Select Bancorp, Inc.(a) | 3,402 | 27,692 |
Shore Bancshares, Inc. | 6,927 | 76,820 |
Sierra Bancorp | 3,689 | 69,648 |
SmartFinancial, Inc. | 7,670 | 124,101 |
South Plains Financial, Inc. | 3,538 | 50,381 |
Southern First Bancshares, Inc.(a) | 4,241 | 117,518 |
Spirit of Texas Bancshares, Inc.(a) | 7,980 | 98,234 |
UMB Financial Corp. | 20,890 | 1,076,880 |
Umpqua Holdings Corp. | 246,165 | 2,619,196 |
United Community Banks, Inc. | 127,303 | 2,561,336 |
Univest Corporation of Pennsylvania | 8,500 | 137,190 |
WesBanco, Inc. | 72,356 | 1,469,550 |
Western Alliance Bancorp | 54,444 | 2,061,794 |
Wintrust Financial Corp. | 42,160 | 1,839,019 |
Total | 76,134,147 | |
Capital Markets 1.4% | ||
Cowen, Inc. | 25,833 | 418,753 |
Donnelley Financial Solutions, Inc.(a) | 49,064 | 412,138 |
Evercore, Inc., Class A | 40,000 | 2,356,800 |
Piper Sandler Companies | 43,294 | 2,561,273 |
Waddell & Reed Financial, Inc., Class A | 122,739 | 1,903,682 |
Total | 7,652,646 | |
Consumer Finance 0.9% | ||
Elevate Credit, Inc.(a) | 17,085 | 25,286 |
Green Dot Corp., Class A(a) | 45,010 | 2,209,091 |
LendingClub Corp.(a) | 128,691 | 585,544 |
OneMain Holdings, Inc. | 49,330 | 1,210,558 |
SLM Corp. | 131,205 | 922,371 |
Total | 4,952,850 | |
Diversified Financial Services 0.1% | ||
Marlin Business Services Corp. | 10,750 | 90,945 |
Voya Financial, Inc. | 9,965 | 464,867 |
Total | 555,812 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Insurance 3.8% | ||
American Equity Investment Life Holding Co. | 40,384 | 997,889 |
AMERISAFE, Inc. | 26,130 | 1,598,111 |
Argo Group International Holdings Ltd. | 38,927 | 1,355,827 |
Assurant, Inc. | 13,039 | 1,346,798 |
Brighthouse Financial, Inc.(a) | 50,523 | 1,405,550 |
BRP Group, Inc., Class A(a) | 100,272 | 1,731,697 |
CNO Financial Group, Inc. | 139,531 | 2,172,498 |
Donegal Group, Inc., Class A | 9,321 | 132,545 |
Employers Holdings, Inc. | 51,691 | 1,558,484 |
Enstar Group Ltd.(a) | 500 | 76,385 |
FedNat Holding Co. | 8,788 | 97,283 |
Hallmark Financial Services, Inc.(a) | 17,106 | 59,700 |
HCI Group, Inc. | 10,207 | 471,359 |
Heritage Insurance Holdings, Inc. | 17,910 | 234,442 |
Horace Mann Educators Corp. | 45,878 | 1,685,099 |
James River Group Holdings Ltd. | 18,400 | 828,000 |
National General Holdings Corp. | 49,593 | 1,071,705 |
ProSight Global, Inc.(a) | 4,919 | 43,779 |
Protective Insurance Corp., Class B | 4,676 | 70,467 |
Reinsurance Group of America, Inc. | 11,759 | 922,376 |
Selective Insurance Group, Inc. | 12,843 | 677,340 |
Stewart Information Services Corp. | 36,322 | 1,180,828 |
Third Point Reinsurance Ltd.(a) | 36,503 | 274,137 |
United Insurance Holdings Corp. | 15,835 | 123,830 |
Universal Insurance Holdings, Inc. | 31,572 | 560,403 |
Total | 20,676,532 | |
Mortgage Real Estate Investment Trusts (REITS) 0.4% | ||
Ladder Capital Corp., Class A | 236,585 | 1,916,339 |
Thrifts & Mortgage Finance 2.0% | ||
Bridgewater Bancshares, Inc.(a) | 10,377 | 106,364 |
Flagstar Bancorp, Inc. | 89,097 | 2,622,125 |
Home Bancorp, Inc. | 3,207 | 85,787 |
HomeStreet, Inc. | 33,418 | 822,417 |
Merchants Bancorp | 9,142 | 169,036 |
Meridian Bancorp, Inc. | 16,350 | 189,660 |
OP Bancorp | 6,132 | 42,311 |
PCSB Financial Corp. | 10,479 | 132,874 |
100 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners Small Cap Value Fund, June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Radian Group, Inc. | 163,065 | 2,529,138 |
Riverview Bancorp, Inc. | 4,320 | 24,408 |
Southern Missouri Bancorp, Inc. | 681 | 16,548 |
TrustCo Bank Corp. | 108,835 | 688,925 |
Washington Federal, Inc. | 52,464 | 1,408,134 |
WSFS Financial Corp. | 56,313 | 1,616,183 |
Total | 10,453,910 | |
Total Financials | 122,342,236 | |
Health Care 8.3% | ||
Biotechnology 1.6% | ||
Aduro Biotech, Inc.(a) | 22,751 | 52,555 |
Aldeyra Therapeutics, Inc.(a) | 18,101 | 75,481 |
Alkermes PLC(a) | 52,024 | 1,009,526 |
AnaptysBio, Inc.(a) | 5,054 | 112,906 |
Applied Genetic Technologies Corp.(a) | 8,528 | 47,245 |
Aptinyx, Inc.(a) | 11,671 | 48,668 |
BeyondSpring, Inc.(a) | 8,069 | 121,681 |
Calithera Biosciences, Inc.(a) | 13,841 | 73,081 |
Catalyst Biosciences, Inc.(a) | 11,337 | 66,548 |
Chimerix, Inc.(a) | 103,130 | 319,703 |
Concert Pharmaceuticals, Inc.(a) | 33,818 | 336,489 |
Cyclerion Therapeutics, Inc.(a) | 7,200 | 42,552 |
Enanta Pharmaceuticals, Inc.(a) | 13,624 | 684,061 |
Five Prime Therapeutics, Inc.(a) | 49,983 | 304,896 |
GlycoMimetics, Inc.(a) | 20,669 | 77,715 |
Gossamer Bio, Inc.(a) | 18,694 | 243,022 |
Harpoon Therapeutics, Inc.(a) | 5,368 | 89,109 |
Immunogen, Inc.(a) | 18,160 | 83,536 |
Jounce Therapeutics, Inc.(a) | 6,721 | 46,375 |
Prothena Corp., PLC(a) | 45,509 | 476,024 |
Rubius Therapeutics, Inc.(a) | 13,985 | 83,630 |
Savara, Inc.(a) | 12,246 | 30,493 |
Spectrum Pharmaceuticals, Inc.(a) | 75,924 | 256,623 |
Spero Therapeutics, Inc.(a) | 19,134 | 258,883 |
Sutro Biopharma, Inc.(a) | 5,467 | 42,424 |
United Therapeutics Corp.(a) | 29,384 | 3,555,464 |
Total | 8,538,690 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Health Care Equipment & Supplies 3.1% | ||
Angiodynamics, Inc.(a) | 56,374 | 573,323 |
Chembio Diagnostics, Inc.(a) | 91,909 | 298,704 |
ICU Medical, Inc.(a) | 19,916 | 3,670,718 |
Invacare Corp. | 14,000 | 89,180 |
LivaNova PLC(a) | 26,043 | 1,253,450 |
Natus Medical, Inc.(a) | 69,375 | 1,513,762 |
Orthofix Medical, Inc.(a) | 266,600 | 8,531,200 |
Varex Imaging Corp.(a) | 51,031 | 773,120 |
Total | 16,703,457 | |
Health Care Providers & Services 2.6% | ||
AMN Healthcare Services, Inc.(a) | 35,258 | 1,595,072 |
Cross Country Healthcare, Inc.(a) | 45,790 | 282,066 |
Magellan Health, Inc.(a) | 95,377 | 6,960,613 |
Mednax, Inc.(a) | 218,690 | 3,739,599 |
Molina Healthcare, Inc.(a) | 2,511 | 446,908 |
Owens & Minor, Inc. | 77,909 | 593,667 |
Triple-S Management Corp., Class B(a) | 1,185 | 22,539 |
Total | 13,640,464 | |
Health Care Technology 0.4% | ||
Allscripts Healthcare Solutions, Inc.(a) | 252,861 | 1,711,869 |
Computer Programs & Systems, Inc. | 17,634 | 401,879 |
Total | 2,113,748 | |
Life Sciences Tools & Services 0.0% | ||
Harvard Bioscience, Inc.(a) | 23,000 | 71,300 |
Pacific Biosciences of California, Inc.(a) | 9,244 | 31,892 |
Total | 103,192 | |
Pharmaceuticals 0.6% | ||
AMAG Pharmaceuticals, Inc.(a) | 69,340 | 530,451 |
Assertio Holdings, Inc.(a) | 1,248 | 1,069 |
Cymabay Therapeutics, Inc.(a) | 15,341 | 53,540 |
Endo International PLC(a) | 110,992 | 380,703 |
Lannett Co., Inc.(a) | 28,885 | 209,705 |
Menlo Therapeutics, Inc.(a) | 2,840 | 4,913 |
Prestige Consumer Healthcare, Inc.(a) | 52,369 | 1,966,980 |
Strongbridge Biopharma PLC(a) | 53,044 | 200,506 |
Total | 3,347,867 | |
Total Health Care | 44,447,418 |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 101 |
Variable Portfolio – Partners Small Cap Value Fund, June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Industrials 15.7% | ||
Aerospace & Defense 0.9% | ||
AAR Corp. | 20,716 | 428,200 |
Astronics Corp.(a) | 64,025 | 676,104 |
Parsons Corp.(a) | 47,277 | 1,713,318 |
Triumph Group, Inc. | 127,842 | 1,151,856 |
Vectrus, Inc.(a) | 20,953 | 1,029,421 |
Total | 4,998,899 | |
Air Freight & Logistics 0.7% | ||
Air Transport Services Group, Inc.(a) | 133,027 | 2,962,511 |
Echo Global Logistics, Inc.(a) | 44,189 | 955,366 |
Total | 3,917,877 | |
Airlines 0.0% | ||
American Airlines Group, Inc. | 8,011 | 104,704 |
Building Products 1.3% | ||
Apogee Enterprises, Inc. | 46,808 | 1,078,456 |
Armstrong Flooring, Inc.(a) | 2,150 | 6,429 |
Gibraltar Industries, Inc.(a) | 64,691 | 3,105,815 |
Quanex Building Products Corp. | 153,302 | 2,127,832 |
Resideo Technologies, Inc.(a) | 63,178 | 740,446 |
Total | 7,058,978 | |
Commercial Services & Supplies 0.9% | ||
Brink’s Co. (The) | 24,398 | 1,110,353 |
Interface, Inc. | 61,325 | 499,186 |
Pitney Bowes, Inc. | 430,132 | 1,118,343 |
SP Plus Corp.(a) | 100,116 | 2,073,402 |
Total | 4,801,284 | |
Construction & Engineering 2.3% | ||
AECOM(a) | 15,578 | 585,421 |
Aegion Corp.(a) | 113,360 | 1,799,023 |
Arcosa, Inc. | 39,139 | 1,651,666 |
EMCOR Group, Inc. | 63,229 | 4,181,966 |
Orion Group Holdings, Inc.(a) | 7,328 | 23,010 |
Primoris Services Corp. | 39,944 | 709,406 |
Sterling Construction Co., Inc.(a) | 193,713 | 2,028,175 |
Tutor Perini Corp.(a) | 124,450 | 1,515,801 |
Total | 12,494,468 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Electrical Equipment 2.9% | ||
AZZ, Inc. | 55,891 | 1,918,179 |
EnerSys | 35,231 | 2,268,172 |
LSI Industries, Inc. | 18,393 | 119,003 |
Powell Industries, Inc. | 14,035 | 384,418 |
Regal Beloit Corp. | 122,465 | 10,693,644 |
Total | 15,383,416 | |
Machinery 4.1% | ||
AGCO Corp. | 13,715 | 760,634 |
Astec Industries, Inc. | 79,513 | 3,682,247 |
Briggs & Stratton Corp. | 140,637 | 184,234 |
CIRCOR International, Inc.(a) | 78,189 | 1,992,256 |
Columbus McKinnon Corp. | 79,075 | 2,645,059 |
Commercial Vehicle Group, Inc.(a) | 57,590 | 166,435 |
Graham Corp. | 2,900 | 36,946 |
Hyster-Yale Materials Handling, Inc. | 10,955 | 423,520 |
Kennametal, Inc. | 86,459 | 2,482,238 |
LB Foster Co., Class A(a) | 4,971 | 63,480 |
Lydall, Inc.(a) | 28,114 | 381,226 |
Manitowoc Co., Inc. (The)(a) | 210,888 | 2,294,461 |
Meritor, Inc.(a) | 1,600 | 31,680 |
Park-Ohio Holdings Corp. | 9,884 | 163,975 |
REV Group, Inc. | 49,337 | 300,956 |
SPX Corp.(a) | 120,860 | 4,973,389 |
Terex Corp. | 69,066 | 1,296,369 |
Wabash National Corp. | 659 | 6,999 |
Total | 21,886,104 | |
Professional Services 1.5% | ||
CBIZ, Inc.(a) | 102,270 | 2,451,412 |
GP Strategies Corp.(a) | 1,296 | 11,120 |
Huron Consulting Group, Inc.(a) | 23,980 | 1,061,115 |
Kelly Services, Inc., Class A | 11,975 | 189,385 |
Korn/Ferry International | 72,310 | 2,222,086 |
ManpowerGroup, Inc. | 7,700 | 529,375 |
Resources Connection, Inc. | 11,735 | 140,468 |
TrueBlue, Inc.(a) | 80,765 | 1,233,281 |
Total | 7,838,242 |
102 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners Small Cap Value Fund, June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Road & Rail 0.4% | ||
ArcBest Corp. | 36,327 | 963,029 |
TFI International, Inc. | 35,219 | 1,248,513 |
Total | 2,211,542 | |
Trading Companies & Distributors 0.7% | ||
BMC Stock Holdings, Inc.(a) | 23,993 | 603,184 |
CAI International, Inc.(a) | 1,686 | 28,089 |
DXP Enterprises, Inc.(a) | 1,382 | 27,516 |
Foundation Building Materials, Inc.(a) | 14,825 | 231,418 |
Herc Holdings Inc(a) | 25,896 | 795,784 |
MRC Global, Inc.(a) | 157,923 | 933,325 |
Veritiv Corp.(a) | 28,284 | 479,697 |
WESCO International, Inc.(a) | 23,923 | 839,936 |
Total | 3,938,949 | |
Total Industrials | 84,634,463 | |
Information Technology 13.8% | ||
Communications Equipment 2.1% | ||
ADTRAN, Inc. | 57,454 | 627,972 |
Casa Systems, Inc.(a) | 24,264 | 100,938 |
CommScope Holding Co., Inc.(a) | 51,393 | 428,104 |
DASAN Zhone Solutions, Inc.(a) | 14,859 | 132,691 |
EMCORE Corp.(a) | 12,184 | 38,745 |
Infinera Corp.(a) | 184,333 | 1,091,252 |
KVH Industries, Inc.(a) | 4,500 | 40,185 |
NETGEAR, Inc.(a) | 98,970 | 2,562,333 |
Netscout Systems, Inc.(a) | 44,930 | 1,148,411 |
PCTEL, Inc.(a) | 4,737 | 31,643 |
Plantronics, Inc. | 35,767 | 525,060 |
Radware Ltd.(a) | 127,388 | 3,005,083 |
Ribbon Communications, Inc.(a) | 85,810 | 337,233 |
Sierra Wireless, Inc.(a) | 144,784 | 1,300,160 |
Total | 11,369,810 | |
Electronic Equipment, Instruments & Components 3.6% | ||
Arlo Technologies, Inc.(a) | 127,955 | 330,124 |
Arrow Electronics, Inc.(a) | 9,198 | 631,811 |
Avnet, Inc. | 133,695 | 3,728,085 |
Bel Fuse, Inc., Class B | 12,854 | 137,923 |
Belden, Inc. | 52,368 | 1,704,578 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Benchmark Electronics, Inc. | 56,148 | 1,212,797 |
Daktronics, Inc. | 40,821 | 177,571 |
FARO Technologies, Inc.(a) | 117,528 | 6,299,501 |
FLIR Systems, Inc. | 46,712 | 1,895,106 |
Scansource, Inc.(a) | 9,307 | 224,206 |
SYNNEX Corp. | 12,972 | 1,553,656 |
TTM Technologies, Inc.(a) | 112,870 | 1,338,638 |
Total | 19,233,996 | |
IT Services 0.7% | ||
Conduent, Inc.(a) | 670,608 | 1,602,753 |
CSG Systems International, Inc. | 39,431 | 1,632,049 |
KBR, Inc. | 29,992 | 676,320 |
Total | 3,911,122 | |
Semiconductors & Semiconductor Equipment 2.1% | ||
Alpha & Omega Semiconductor Ltd.(a) | 31,512 | 342,851 |
Ambarella, Inc.(a) | 10,895 | 498,991 |
Cirrus Logic, Inc.(a) | 33,350 | 2,060,363 |
Diodes, Inc.(a) | 31,621 | 1,603,185 |
MKS Instruments, Inc. | 3,620 | 409,929 |
NeoPhotonics Corp.(a) | 81,917 | 727,423 |
Semtech Corp.(a) | 22,078 | 1,152,913 |
Synaptics, Inc.(a) | 57,301 | 3,444,936 |
Veeco Instruments, Inc.(a) | 52,415 | 707,078 |
Total | 10,947,669 | |
Software 3.5% | ||
Alarm.com Holdings, Inc.(a) | 15,028 | 973,965 |
Asure Software, Inc.(a) | 10,223 | 65,734 |
Avaya Holdings Corp.(a) | 86,084 | 1,063,998 |
CommVault Systems, Inc.(a) | 55,557 | 2,150,056 |
FireEye, Inc.(a) | 172,759 | 2,103,341 |
j2 Global, Inc.(a) | 33,784 | 2,135,487 |
Progress Software Corp. | 195,988 | 7,594,535 |
Rosetta Stone, Inc.(a) | 53,092 | 895,131 |
SeaChange International, Inc.(a) | 60,337 | 91,109 |
Synchronoss Technologies, Inc.(a) | 81,691 | 288,369 |
Telenav, Inc.(a) | 37,025 | 203,267 |
Xperi Holding Corp. | 79,670 | 1,175,929 |
Total | 18,740,921 |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 103 |
Variable Portfolio – Partners Small Cap Value Fund, June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Technology Hardware, Storage & Peripherals 1.8% | ||
Diebold, Inc.(a) | 23,380 | 141,683 |
NCR Corp.(a) | 541,837 | 9,384,617 |
Super Micro Computer, Inc.(a) | 10,020 | 284,467 |
Total | 9,810,767 | |
Total Information Technology | 74,014,285 | |
Materials 5.7% | ||
Chemicals 1.7% | ||
AdvanSix, Inc.(a) | 47,838 | 561,618 |
Ashland Global Holdings, Inc. | 12,229 | 845,024 |
Element Solutions, Inc.(a) | 23,349 | 253,337 |
Ferro Corp.(a) | 144,027 | 1,719,682 |
Intrepid Potash, Inc.(a) | 8,619 | 8,533 |
Kraton Performance Polymers, Inc.(a) | 44,229 | 764,277 |
Minerals Technologies, Inc. | 50,946 | 2,390,896 |
Rayonier Advanced Materials, Inc.(a) | 75,753 | 212,866 |
Stepan Co. | 6,228 | 604,739 |
Trinseo SA | 67,201 | 1,489,174 |
Total | 8,850,146 | |
Construction Materials 0.4% | ||
Summit Materials, Inc., Class A(a) | 119,387 | 1,919,743 |
Containers & Packaging 0.5% | ||
O-I Glass, Inc. | 17,519 | 157,321 |
Silgan Holdings, Inc. | 81,933 | 2,653,810 |
Total | 2,811,131 | |
Metals & Mining 2.0% | ||
Allegheny Technologies, Inc.(a) | 77,992 | 794,738 |
Coeur Mining, Inc.(a) | 99,274 | 504,312 |
Compass Minerals International, Inc. | 104,628 | 5,100,615 |
Olympic Steel, Inc. | 14,750 | 173,313 |
Ryerson Holding Corp.(a) | 21,100 | 118,793 |
Schnitzer Steel Industries, Inc., Class A | 157,787 | 2,783,363 |
SunCoke Energy, Inc. | 334,963 | 991,490 |
TimkenSteel Corp.(a) | 67,899 | 264,127 |
Total | 10,730,751 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Paper & Forest Products 1.1% | ||
Boise Cascade Co. | 51,062 | 1,920,442 |
PH Glatfelter Co. | 252,582 | 4,053,941 |
Verso Corp., Class A | 8,136 | 97,306 |
Total | 6,071,689 | |
Total Materials | 30,383,460 | |
Real Estate 7.6% | ||
Equity Real Estate Investment Trusts (REITS) 7.6% | ||
Armada Hoffler Properties, Inc. | 19,244 | 191,478 |
Brandywine Realty Trust | 188,654 | 2,054,442 |
Camden Property Trust | 2,200 | 200,684 |
Columbia Property Trust, Inc. | 39,512 | 519,188 |
CorEnergy Infrastructure Trust, Inc. | 28,679 | 262,413 |
CorePoint Lodging, Inc. | 63,920 | 269,103 |
Cousins Properties, Inc. | 30,332 | 904,803 |
Empire State Realty Trust, Inc., Class A | 150,513 | 1,053,591 |
Equity Commonwealth | 292,165 | 9,407,713 |
Franklin Street Properties Corp. | 34,316 | 174,668 |
Front Yard Residential Corp. | 129,133 | 1,123,457 |
Gaming and Leisure Properties, Inc. | 41,972 | 1,452,231 |
Investors Real Estate Trust | 18,114 | 1,276,856 |
Kite Realty Group Trust | 55,929 | 645,421 |
Lexington Realty Trust | 256,252 | 2,703,459 |
National Health Investors, Inc. | 6,016 | 365,292 |
New Senior Investment Group, Inc. | 43,915 | 158,972 |
Physicians Realty Trust | 122,195 | 2,140,856 |
Piedmont Office Realty Trust, Inc. | 56,953 | 945,989 |
Preferred Apartment Communities, Inc., Class A | 138,972 | 1,056,187 |
Retail Opportunity Investments Corp. | 280,665 | 3,179,935 |
Retail Value, Inc. | 21,234 | 262,452 |
RLJ Lodging Trust | 139,532 | 1,317,182 |
SITE Centers Corp. | 46,934 | 380,165 |
Spirit Realty Capital, Inc. | 47,308 | 1,649,157 |
STAG Industrial, Inc. | 85,431 | 2,504,837 |
Summit Hotel Properties, Inc. | 268,845 | 1,594,251 |
Sunstone Hotel Investors, Inc. | 166,247 | 1,354,913 |
Washington Real Estate Investment Trust | 76,158 | 1,690,708 |
Total | 40,840,403 |
104 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
Variable Portfolio – Partners Small Cap Value Fund, June 30, 2020 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Real Estate Management & Development 0.0% | ||
CTO Realty Growth, Inc. | 4,366 | 172,457 |
Total Real Estate | 41,012,860 | |
Utilities 3.6% | ||
Electric Utilities 1.2% | ||
Allete, Inc. | 38,927 | 2,125,803 |
PNM Resources, Inc. | 70,852 | 2,723,551 |
Portland General Electric Co. | 44,612 | 1,865,228 |
Total | 6,714,582 | |
Gas Utilities 1.3% | ||
New Jersey Resources Corp. | 55,770 | 1,820,891 |
ONE Gas, Inc. | 21,529 | 1,658,809 |
Southwest Gas Holdings, Inc. | 17,158 | 1,184,760 |
Spire, Inc. | 31,759 | 2,086,884 |
Total | 6,751,344 | |
Multi-Utilities 0.5% | ||
Avista Corp. | 4,015 | 146,106 |
Black Hills Corp. | 43,464 | 2,462,670 |
Total | 2,608,776 | |
Water Utilities 0.6% | ||
California Water Service Group | 71,170 | 3,394,809 |
Total Utilities | 19,469,511 | |
Total Common Stocks (Cost $578,321,940) | 517,674,163 | |
Exchange-Traded Equity Funds 0.3% | ||
Shares | Value ($) | |
U.S. Small Cap 0.3% | ||
iShares S&P Small-Cap 600 Value ETF | 14,627 | 1,760,652 |
Total Exchange-Traded Equity Funds (Cost $1,507,703) | 1,760,652 | |
Rights —% | ||
Issuer | Shares | Value ($) |
Industrials —% | ||
Airlines —% | ||
American Airlines Escrow(a),(b),(c) | 185,100 | 0 |
Total Industrials | 0 | |
Total Rights (Cost $—) | 0 | |
Money Market Funds 3.6% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(d),(e) | 19,537,191 | 19,537,191 |
Total Money Market Funds (Cost $19,538,642) | 19,537,191 | |
Total Investments in Securities (Cost: $599,368,285) | 538,972,006 | |
Other Assets & Liabilities, Net | (509,831) | |
Net Assets | 538,462,175 |
(a) | Non-income producing investment. |
(b) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At June 30, 2020, the total value of these securities amounted to $0, which represents less than 0.01% of total net assets. |
(c) | Valuation based on significant unobservable inputs. |
(d) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
(e) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | ||||||||
30,294,374 | 95,004,067 | (105,759,975) | (1,275) | 19,537,191 | 11,590 | 128,094 | 19,537,191 |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 105 |
Variable Portfolio – Partners Small Cap Value Fund, June 30, 2020 (Unaudited)
■ | 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 | 7,225,679 | — | — | 7,225,679 |
Consumer Discretionary | 51,852,286 | — | — | 51,852,286 |
Consumer Staples | 19,659,237 | — | — | 19,659,237 |
Energy | 22,632,728 | — | — | 22,632,728 |
Financials | 122,342,236 | — | — | 122,342,236 |
Health Care | 44,447,418 | — | — | 44,447,418 |
Industrials | 84,634,463 | — | — | 84,634,463 |
Information Technology | 74,014,285 | — | — | 74,014,285 |
Materials | 30,383,460 | — | — | 30,383,460 |
Real Estate | 41,012,860 | — | — | 41,012,860 |
Utilities | 19,469,511 | — | — | 19,469,511 |
Total Common Stocks | 517,674,163 | — | — | 517,674,163 |
Exchange-Traded Equity Funds | 1,760,652 | — | — | 1,760,652 |
Rights | ||||
Industrials | — | — | 0* | 0* |
Total Rights | — | — | 0* | 0* |
Money Market Funds | 19,537,191 | — | — | 19,537,191 |
Total Investments in Securities | 538,972,006 | — | 0* | 538,972,006 |
* | Rounds to zero. |
106 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
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 $97,061,665, $5,595,038,040, $95,514,501, respectively) | $98,452,961 | $5,715,796,134 | $102,632,743 |
Affiliated issuers (cost $3,352,221, $123,187,913, $63,936, respectively) | 3,352,051 | 123,187,664 | 63,936 |
Options purchased (cost $—, $3,103,110, $457,825, respectively) | — | 2,634,272 | 645,157 |
Cash | 2 | — | — |
Foreign currency (cost $866,407, $303,158, $95,649, respectively) | 885,728 | 303,593 | 95,824 |
Cash collateral held at broker for: | |||
Swap contracts | — | 1,743,000 | — |
TBA | — | 255,000 | — |
Margin deposits on: | |||
Futures contracts | 565,400 | — | 323,701 |
Swap contracts | 122,316 | 50,222,482 | 457,590 |
Unrealized appreciation on forward foreign currency exchange contracts | — | — | 304,891 |
Unrealized appreciation on swap contracts | 11,873 | 9,099,907 | — |
Upfront payments on swap contracts | 66,416 | 1,123,367 | — |
Receivable for: | |||
Investments sold | 213,552 | 38,036,833 | 180,322 |
Investments sold on a delayed delivery basis | — | 3,904,651 | — |
Capital shares sold | — | 379,229 | 37,298 |
Dividends | 1,086 | 29,600 | 79 |
Interest | 914,480 | 24,584,985 | 269,347 |
Foreign tax reclaims | 4,734 | 83,152 | 6,503 |
Variation margin for futures contracts | 52,125 | 848,254 | 23,637 |
Variation margin for swap contracts | — | 2,938,495 | 61,020 |
Expense reimbursement due from Investment Manager | 681 | — | 164 |
Prepaid expenses | — | — | 58 |
Total assets | 104,643,405 | 5,975,170,618 | 105,102,270 |
Liabilities | |||
Option contracts written, at value (premiums received $—, $—, $794,750, respectively) | — | — | 850,871 |
Due to custodian | — | 477,394 | — |
Unrealized depreciation on forward foreign currency exchange contracts | 74,432 | 81,974 | 924,904 |
Unrealized depreciation on swap contracts | 4,504 | 117,654 | — |
Upfront receipts on swap contracts | 74,865 | 9,845,887 | — |
Payable for: | |||
Investments purchased | 134,381 | 2,346,731 | 24,209 |
Investments purchased on a delayed delivery basis | 259,573 | 1,309,244,920 | — |
Capital shares purchased | 131,062 | 5,177,768 | 69,722 |
Variation margin for futures contracts | 1,250 | 1,176,373 | 12,344 |
Variation margin for swap contracts | 14,340 | — | 46,515 |
Management services fees | 1,845 | 59,512 | 1,439 |
Distribution and/or service fees | 389 | 2,330 | 418 |
Service fees | 5,121 | 27,694 | 5,033 |
Compensation of board members | 94,895 | 318,406 | 134,991 |
Compensation of chief compliance officer | 13 | 534 | 14 |
Other expenses | 34,163 | 93,527 | 52,805 |
Total liabilities | 830,833 | 1,328,970,704 | 2,123,265 |
Net assets applicable to outstanding capital stock | $103,812,572 | $4,646,199,914 | $102,979,005 |
Represented by | |||
Paid in capital | 109,110,500 | 4,054,919,279 | 94,711,741 |
Total distributable earnings (loss) | (5,297,928) | 591,280,635 | 8,267,264 |
Total - representing net assets applicable to outstanding capital stock | $103,812,572 | $4,646,199,914 | $102,979,005 |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 107 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio – Global Strategic Income Fund | Columbia Variable Portfolio – Intermediate Bond Fund | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | |
Class 1 | |||
Net assets | $9,912 | $4,026,239,850 | $37,482 |
Shares outstanding | 1,182 | 354,425,321 | 6,272 |
Net asset value per share | $8.38(a) | $11.36 | $5.98 |
Class 2 | |||
Net assets | $9,916,482 | $62,832,800 | $19,127,924 |
Shares outstanding | 1,202,324 | 5,561,107 | 3,279,719 |
Net asset value per share | $8.25 | $11.30 | $5.83 |
Class 3 | |||
Net assets | $93,886,178 | $557,127,264 | $83,813,599 |
Shares outstanding | 11,276,469 | 49,024,136 | 14,114,715 |
Net asset value per share | $8.33 | $11.36 | $5.94 |
(a) | Net asset value per share rounds to this amount due to fractional shares outstanding. |
108 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
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 $591,894,190, $2,709,168,033, $579,829,643, respectively) | $556,145,021 | $2,896,585,543 | $519,434,815 |
Affiliated issuers (cost $7,069,328, $65,462,076, $19,538,642, respectively) | 7,068,884 | 65,458,955 | 19,537,191 |
Receivable for: | |||
Investments sold | 2,036,866 | 9,385,120 | 2,378,003 |
Capital shares sold | 13 | — | — |
Dividends | 572,743 | 2,832,394 | 452,020 |
Foreign tax reclaims | — | 72,559 | 913 |
Expense reimbursement due from Investment Manager | — | — | 394 |
Total assets | 565,823,527 | 2,974,334,571 | 541,803,336 |
Liabilities | |||
Payable for: | |||
Investments purchased | 2,751,249 | 11,167,173 | 2,982,855 |
Capital shares purchased | 207,534 | 2,086,102 | 195,020 |
Management services fees | 11,640 | 53,544 | 12,595 |
Distribution and/or service fees | 482 | 163 | 289 |
Service fees | 5,309 | 3,081 | 4,371 |
Compensation of board members | 59,758 | 135,519 | 105,100 |
Compensation of chief compliance officer | 71 | 275 | 88 |
Other expenses | 28,176 | 32,969 | 40,843 |
Total liabilities | 3,064,219 | 13,478,826 | 3,341,161 |
Net assets applicable to outstanding capital stock | $562,759,308 | $2,960,855,745 | $538,462,175 |
Represented by | |||
Trust capital | $562,759,308 | $2,960,855,745 | $538,462,175 |
Total - representing net assets applicable to outstanding capital stock | $562,759,308 | $2,960,855,745 | $538,462,175 |
Class 1 | |||
Net assets | $464,739,823 | $2,922,490,011 | $459,254,765 |
Shares outstanding | 17,984,583 | 128,359,921 | 20,491,534 |
Net asset value per share | $25.84 | $22.77 | $22.41 |
Class 2 | |||
Net assets | $44,350,833 | $9,836,745 | $6,190,824 |
Shares outstanding | 1,759,446 | 442,516 | 283,394 |
Net asset value per share | $25.21 | $22.23 | $21.85 |
Class 3 | |||
Net assets | $53,668,652 | $28,528,989 | $73,016,586 |
Shares outstanding | 2,101,655 | 1,268,821 | 3,302,161 |
Net asset value per share | $25.54 | $22.48 | $22.11 |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 109 |
Six Months Ended June 30, 2020 (Unaudited)
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 | $— | $1,242,985 | $— |
Dividends — affiliated issuers | 18,392 | 795,090 | 11,899 |
Interest | 1,949,150 | 79,848,977 | (64,832)(a) |
Foreign taxes withheld | (2,484) | (72,223) | (331) |
Total income | 1,965,058 | 81,814,829 | (53,264) |
Expenses: | |||
Management services fees | 344,181 | 10,777,273 | 270,117 |
Distribution and/or service fees | |||
Class 2 | 12,763 | 71,370 | 24,309 |
Class 3 | 59,801 | 333,733 | 54,034 |
Service fees | 31,759 | 175,148 | 31,747 |
Compensation of board members | 1,676 | 22,306 | (42) |
Custodian fees | 26,513 | 31,529 | 28,047 |
Printing and postage fees | 10,737 | 52,368 | 10,380 |
Audit fees | 19,642 | 24,615 | 24,615 |
Legal fees | 4,336 | 27,131 | 4,333 |
Interest on collateral | — | 27,729 | — |
Compensation of chief compliance officer | 12 | 490 | 11 |
Other | 2,779 | 32,388 | 2,771 |
Total expenses | 514,199 | 11,576,080 | 450,322 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (129,327) | — | (45,531) |
Total net expenses | 384,872 | 11,576,080 | 404,791 |
Net investment income (loss) | 1,580,186 | 70,238,749 | (458,055) |
Realized and unrealized gain (loss) — net | |||
Net realized gain (loss) on: | |||
Investments — unaffiliated issuers | 24,078 | 61,903,668 | 1,050,505 |
Investments — affiliated issuers | 1,064 | 32,443 | 955 |
Foreign currency translations | 99,600 | 95,229 | 39,335 |
Forward foreign currency exchange contracts | 301,159 | 489,720 | 1,445,790 |
Futures contracts | (2,703,500) | 75,979,202 | (151,224) |
Options purchased | — | 24,067,305 | (9,140) |
Options contracts written | — | (25,962,342) | 103,376 |
Swap contracts | 747,163 | 24,319,369 | (537,945) |
Net realized gain (loss) | (1,530,436) | 160,924,594 | 1,941,652 |
Net change in unrealized appreciation (depreciation) on: | |||
Investments — unaffiliated issuers | (3,113,186) | 6,069,347 | 3,508,952 |
Investments — affiliated issuers | (76) | 3,618 | — |
Foreign currency translations | (57,953) | (7,837) | (46,722) |
Forward foreign currency exchange contracts | 188,277 | 380,403 | 608,715 |
Futures contracts | (353,074) | 6,958,894 | 6,392 |
Options purchased | — | (468,838) | 269,333 |
Options contracts written | — | 167,366 | (138,538) |
Swap contracts | 76,628 | 44,201,077 | (230,266) |
Net change in unrealized appreciation (depreciation) | (3,259,384) | 57,304,030 | 3,977,866 |
Net realized and unrealized gain (loss) | (4,789,820) | 218,228,624 | 5,919,518 |
Net increase (decrease) in net assets resulting from operations | $(3,209,634) | $288,467,373 | $5,461,463 |
(a) | Includes amortization of bond premiums and deflationary adjustments for U.S. Treasury and Foreign Government Inflation Bonds which exceeded the aggregate of interest accrued to income for the period. |
110 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
Six Months Ended June 30, 2020 (Unaudited)
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 | $6,692,880 | $25,929,452 | $4,675,517 |
Dividends — affiliated issuers | 71,403 | 399,569 | 128,094 |
Interfund lending | — | 1,104 | 313 |
Foreign taxes withheld | — | (12,653) | (14,750) |
Total income | 6,764,283 | 26,317,472 | 4,789,174 |
Expenses: | |||
Management services fees | 2,142,968 | 9,301,471 | 2,341,323 |
Distribution and/or service fees | |||
Class 2 | 57,005 | 12,093 | 8,066 |
Class 3 | 34,949 | 18,040 | 46,603 |
Service fees | 30,995 | 12,664 | 24,370 |
Compensation of board members | 6,498 | 16,276 | 4,435 |
Custodian fees | 8,459 | 21,885 | 32,928 |
Printing and postage fees | 9,844 | 5,154 | 9,371 |
Audit fees | 14,669 | 14,669 | 14,669 |
Legal fees | 6,644 | 16,596 | 6,564 |
Compensation of chief compliance officer | 69 | 286 | 61 |
Other | 6,151 | 16,325 | 6,728 |
Total expenses | 2,318,251 | 9,435,459 | 2,495,118 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | — | — | (57,197) |
Total net expenses | 2,318,251 | 9,435,459 | 2,437,921 |
Net investment income | 4,446,032 | 16,882,013 | 2,351,253 |
Realized and unrealized gain (loss) — net | |||
Net realized gain (loss) on: | |||
Investments — unaffiliated issuers | 10,099,788 | (100,235,179) | (63,455,479) |
Investments — affiliated issuers | 3,422 | 20,308 | 11,590 |
Foreign currency translations | — | — | (77) |
Net realized gain (loss) | 10,103,210 | (100,214,871) | (63,443,966) |
Net change in unrealized appreciation (depreciation) on: | |||
Investments — unaffiliated issuers | (110,331,764) | (63,866,937) | (87,952,655) |
Investments — affiliated issuers | 94 | (1,778) | (1,275) |
Foreign currency translations | — | — | 25 |
Net change in unrealized appreciation (depreciation) | (110,331,670) | (63,868,715) | (87,953,905) |
Net realized and unrealized loss | (100,228,460) | (164,083,586) | (151,397,871) |
Net decrease in net assets resulting from operations | $(95,782,428) | $(147,201,573) | $(149,046,618) |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 111 |
Columbia Variable Portfolio – Global Strategic Income Fund | Columbia Variable Portfolio – Intermediate Bond Fund | |||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||||
Net investment income | $1,580,186 | $3,566,730 | $70,238,749 | $158,269,740 |
Net realized gain (loss) | (1,530,436) | 277,152 | 160,924,594 | 78,457,519 |
Net change in unrealized appreciation (depreciation) | (3,259,384) | 7,961,184 | 57,304,030 | 166,878,552 |
Net increase (decrease) in net assets resulting from operations | (3,209,634) | 11,805,066 | 288,467,373 | 403,605,811 |
Distributions to shareholders | ||||
Net investment income and net realized gains | ||||
Class 1 | (512) | — | — | (129,529,414) |
Class 2 | (522,982) | — | — | (1,341,354) |
Class 3 | (4,964,649) | — | — | (16,363,714) |
Total distributions to shareholders | (5,488,143) | — | — | (147,234,482) |
Decrease in net assets from capital stock activity | (918,595) | (12,152,728) | (302,309,805) | (72,368,867) |
Total increase (decrease) in net assets | (9,616,372) | (347,662) | (13,842,432) | 184,002,462 |
Net assets at beginning of period | 113,428,944 | 113,776,606 | 4,660,042,346 | 4,476,039,884 |
Net assets at end of period | $103,812,572 | $113,428,944 | $4,646,199,914 | $4,660,042,346 |
Columbia Variable Portfolio – Global Strategic Income Fund | Columbia Variable Portfolio – Intermediate Bond Fund | |||||||
Six Months Ended | Year Ended | Six Months Ended | Year Ended | |||||
June 30, 2020 (Unaudited) | December 31, 2019 | June 30, 2020 (Unaudited) | December 31, 2019 | |||||
Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||||||
Class 1 | ||||||||
Subscriptions | — | — | — | — | 7,607,413 | 81,753,106 | 16,675,735 | 175,143,003 |
Distributions reinvested | 66 | 512 | — | — | — | — | 12,407,032 | 129,529,414 |
Redemptions | — | — | — | — | (35,332,037) | (381,352,076) | (35,693,824) | (374,529,744) |
Net increase (decrease) | 66 | 512 | — | — | (27,724,624) | (299,598,970) | (6,611,057) | (69,857,327) |
Class 2 | ||||||||
Subscriptions | 111,673 | 937,743 | 167,892 | 1,453,562 | 831,840 | 9,101,555 | 1,386,392 | 14,561,853 |
Distributions reinvested | 68,904 | 522,982 | — | — | — | — | 128,852 | 1,341,354 |
Redemptions | (178,190) | (1,439,192) | (144,045) | (1,239,293) | (263,301) | (2,812,473) | (251,956) | (2,636,071) |
Net increase | 2,387 | 21,533 | 23,847 | 214,269 | 568,539 | 6,289,082 | 1,263,288 | 13,267,136 |
Class 3 | ||||||||
Subscriptions | 158,175 | 1,397,350 | 283,910 | 2,483,622 | 1,271,703 | 13,901,335 | 943,494 | 9,998,241 |
Distributions reinvested | 648,126 | 4,964,649 | — | — | — | — | 1,565,906 | 16,363,714 |
Redemptions | (879,777) | (7,302,639) | (1,717,109) | (14,850,619) | (2,134,034) | (22,901,252) | (4,034,379) | (42,140,631) |
Net decrease | (73,476) | (940,640) | (1,433,199) | (12,366,997) | (862,331) | (8,999,917) | (1,524,979) | (15,778,676) |
Total net decrease | (71,023) | (918,595) | (1,409,352) | (12,152,728) | (28,018,416) | (302,309,805) | (6,872,748) | (72,368,867) |
112 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | CTIVP® – Victory Sycamore Established Value Fund | |||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||||
Net investment income (loss) | $(458,055) | $538,685 | $4,446,032 | $7,522,925 |
Net realized gain | 1,941,652 | 1,686,244 | 10,103,210 | 61,584,508 |
Net change in unrealized appreciation (depreciation) | 3,977,866 | 6,425,326 | (110,331,670) | 80,514,291 |
Net increase (decrease) in net assets resulting from operations | 5,461,463 | 8,650,255 | (95,782,428) | 149,621,724 |
Distributions to shareholders | ||||
Net investment income and net realized gains | ||||
Class 1 | — | (424) | — | — |
Class 2 | — | (568,883) | — | — |
Class 3 | — | (2,986,617) | — | — |
Total distributions to shareholders | — | (3,555,924) | — | — |
Increase (decrease) in net assets from capital stock activity | (11,300,961) | (10,218,119) | 1,941,025 | (30,020,638) |
Total increase (decrease) in net assets | (5,839,498) | (5,123,788) | (93,841,403) | 119,601,086 |
Net assets at beginning of period | 108,818,503 | 113,942,291 | 656,600,711 | 536,999,625 |
Net assets at end of period | $102,979,005 | $108,818,503 | $562,759,308 | $656,600,711 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | CTIVP® – Victory Sycamore Established Value Fund | |||||||
Six Months Ended | Year Ended | Six Months Ended | Year Ended | |||||
June 30, 2020 (Unaudited) | December 31, 2019 | June 30, 2020 (Unaudited) | December 31, 2019 | |||||
Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||||||
Class 1 | ||||||||
Subscriptions | 4,690 | 27,638 | 2,754 | 15,665 | 408,523 | 9,167,592 | 385,399 | 10,953,755 |
Distributions reinvested | — | — | 75 | 424 | — | — | — | — |
Redemptions | (3,287) | (19,036) | (32) | (186) | (67,694) | (1,942,154) | (1,469,945) | (42,232,511) |
Net increase (decrease) | 1,403 | 8,602 | 2,797 | 15,903 | 340,829 | 7,225,438 | (1,084,546) | (31,278,756) |
Class 2 | ||||||||
Subscriptions | 166,113 | 943,929 | 610,685 | 3,377,740 | 61,780 | 1,522,243 | 214,966 | 5,875,384 |
Distributions reinvested | — | — | 103,811 | 568,883 | — | — | — | — |
Redemptions | (439,167) | (2,471,211) | (420,142) | (2,319,724) | (131,187) | (3,173,299) | (134,545) | (3,580,034) |
Net increase (decrease) | (273,054) | (1,527,282) | 294,354 | 1,626,899 | (69,407) | (1,651,056) | 80,421 | 2,295,350 |
Class 3 | ||||||||
Subscriptions | 309,054 | 1,765,879 | 521,418 | 2,924,918 | 28,679 | 774,632 | 148,859 | 4,074,904 |
Distributions reinvested | — | — | 536,197 | 2,986,617 | — | — | — | — |
Redemptions | (2,020,760) | (11,548,160) | (3,162,954) | (17,772,456) | (177,894) | (4,407,989) | (186,287) | (5,112,136) |
Net decrease | (1,711,706) | (9,782,281) | (2,105,339) | (11,860,921) | (149,215) | (3,633,357) | (37,428) | (1,037,232) |
Total net increase (decrease) | (1,983,357) | (11,300,961) | (1,808,188) | (10,218,119) | 122,207 | 1,941,025 | (1,041,553) | (30,020,638) |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 113 |
Variable Portfolio – Partners Core Equity Fund | Variable Portfolio – Partners Small Cap Value Fund | |||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||||
Net investment income | $16,882,013 | $26,084,952 | $2,351,253 | $7,210,557 |
Net realized gain (loss) | (100,214,871) | 277,901,298 | (63,443,966) | 4,632,342 |
Net change in unrealized appreciation (depreciation) | (63,868,715) | 178,416,930 | (87,953,905) | 114,910,197 |
Net increase (decrease) in net assets resulting from operations | (147,201,573) | 482,403,180 | (149,046,618) | 126,753,096 |
Increase (decrease) in net assets from capital stock activity | 826,724,038 | (17,343,111) | 18,297,250 | (127,843,282) |
Total increase (decrease) in net assets | 679,522,465 | 465,060,069 | (130,749,368) | (1,090,186) |
Net assets at beginning of period | 2,281,333,280 | 1,816,273,211 | 669,211,543 | 670,301,729 |
Net assets at end of period | $2,960,855,745 | $2,281,333,280 | $538,462,175 | $669,211,543 |
Variable Portfolio – Partners Core Equity Fund | Variable Portfolio – Partners Small Cap Value Fund | |||||||
Six Months Ended | Year Ended | Six Months Ended | Year Ended | |||||
June 30, 2020 (Unaudited) | December 31, 2019 | June 30, 2020 (Unaudited) | December 31, 2019 | |||||
Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||||||
Class 1 | ||||||||
Subscriptions | 40,914,337 | 973,220,097 | 8,809,618 | 189,907,794 | 1,144,331 | 22,819,591 | 758,779 | 20,858,210 |
Redemptions | (6,382,676) | (143,292,062) | (9,215,834) | (200,379,741) | (167,965) | (3,804,615) | (4,935,650) | (136,973,809) |
Net increase (decrease) | 34,531,661 | 829,928,035 | (406,216) | (10,471,947) | 976,366 | 19,014,976 | (4,176,871) | (116,115,599) |
Class 2 | ||||||||
Subscriptions | 12,381 | 254,517 | 27,500 | 567,406 | 18,624 | 397,287 | 39,350 | 1,051,309 |
Redemptions | (31,391) | (679,994) | (67,129) | (1,433,920) | (27,289) | (615,588) | (28,677) | (765,258) |
Net increase (decrease) | (19,010) | (425,477) | (39,629) | (866,514) | (8,665) | (218,301) | 10,673 | 286,051 |
Class 3 | ||||||||
Subscriptions | 13,637 | 284,468 | 28,333 | 581,034 | 220,256 | 4,365,467 | 50,562 | 1,359,130 |
Redemptions | (139,106) | (3,062,988) | (307,199) | (6,585,684) | (207,134) | (4,864,892) | (492,003) | (13,372,864) |
Net increase (decrease) | (125,469) | (2,778,520) | (278,866) | (6,004,650) | 13,122 | (499,425) | (441,441) | (12,013,734) |
Total net increase (decrease) | 34,387,182 | 826,724,038 | (724,711) | (17,343,111) | 980,823 | 18,297,250 | (4,607,639) | (127,843,282) |
114 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 115 |
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 | ||||||||
Six Months Ended 6/30/2020 (Unaudited) | $9.11 | 0.13 | (0.40) | — | (0.27) | (0.46) | — | (0.46) |
Year Ended 12/31/2019 | $8.21 | 0.29 | 0.61 | 0.00(d) | 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 | ||||||||
Six Months Ended 6/30/2020 (Unaudited) | $8.96 | 0.12 | (0.39) | — | (0.27) | (0.44) | — | (0.44) |
Year Ended 12/31/2019 | $8.09 | 0.26 | 0.61 | 0.00(d) | 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 | ||||||||
Six Months Ended 6/30/2020 (Unaudited) | $9.05 | 0.13 | (0.40) | — | (0.27) | (0.45) | — | (0.45) |
Year Ended 12/31/2019 | $8.16 | 0.27 | 0.62 | 0.00(d) | 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) | Annualized. |
(d) | Rounds to zero. |
(e) | 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%. |
(f) | Ratios include interest on collateral expense which is less than 0.01%. |
116 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $8.38 | (2.53%) | 0.84%(c) | 0.59%(c) | 3.12%(c) | 33% | $10 |
Year Ended 12/31/2019 | $9.11 | 10.96%(e) | 0.87% | 0.59% | 3.27% | 57% | $10 |
Year Ended 12/31/2018 | $8.21 | (5.20%) | 0.86%(f) | 0.64%(f) | 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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $8.25 | (2.62%) | 1.08%(c) | 0.84%(c) | 2.87%(c) | 33% | $9,916 |
Year Ended 12/31/2019 | $8.96 | 10.75%(e) | 1.12% | 0.84% | 3.01% | 57% | $10,750 |
Year Ended 12/31/2018 | $8.09 | (5.51%) | 1.10%(f) | 0.89%(f) | 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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $8.33 | (2.57%) | 0.96%(c) | 0.71%(c) | 3.00%(c) | 33% | $93,886 |
Year Ended 12/31/2019 | $9.05 | 10.91%(e) | 1.00% | 0.72% | 3.14% | 57% | $102,668 |
Year Ended 12/31/2018 | $8.16 | (5.34%) | 0.97%(f) | 0.76%(f) | 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 | Semiannual Report 2020 | 117 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $10.66 | 0.17 | 0.53 | 0.70 | — | — | — |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $10.62 | 0.15 | 0.53 | 0.68 | — | — | — |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $10.67 | 0.16 | 0.53 | 0.69 | — | — | — |
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) | Annualized. |
(d) | Ratios include interest on collateral expense which is less than 0.01%. |
118 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $11.36 | 6.57% | 0.49%(c),(d) | 0.49%(c),(d) | 3.07%(c) | 143% | $4,026,240 |
Year Ended 12/31/2019 | $10.66 | 9.25% | 0.49%(d) | 0.49%(d) | 3.46% | 256% | $4,074,589 |
Year Ended 12/31/2018 | $10.08 | 0.40% | 0.49%(d) | 0.49%(d) | 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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $11.30 | 6.40% | 0.74%(c),(d) | 0.74%(c),(d) | 2.83%(c) | 143% | $62,833 |
Year Ended 12/31/2019 | $10.62 | 9.03% | 0.74%(d) | 0.74%(d) | 3.19% | 256% | $53,012 |
Year Ended 12/31/2018 | $10.04 | 0.14% | 0.74%(d) | 0.74%(d) | 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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $11.36 | 6.47% | 0.61%(c),(d) | 0.61%(c),(d) | 2.95%(c) | 143% | $557,127 |
Year Ended 12/31/2019 | $10.67 | 9.12% | 0.61%(d) | 0.61%(d) | 3.33% | 256% | $532,441 |
Year Ended 12/31/2018 | $10.09 | 0.27% | 0.61%(d) | 0.61%(d) | 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 | Semiannual Report 2020 | 119 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $5.66 | (0.02) | 0.34 | 0.32 | — | — | — |
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)(e) | (0.08) | (3.51) | (0.83) | (4.34) |
Class 2 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $5.53 | (0.03) | 0.33 | 0.30 | — | — | — |
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(f) | 0.42 | 0.42 | — | — | — |
Year Ended 12/31/2015 | $9.41 | (0.02) | (0.08)(e) | (0.10) | (3.49) | (0.83) | (4.32) |
Class 3 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $5.63 | (0.02) | 0.33 | 0.31 | — | — | — |
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(f) | 0.43 | 0.43 | — | — | — |
Year Ended 12/31/2015 | $9.48 | (0.02) | (0.07)(e) | (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) | Annualized. |
(d) | Ratios include interest on collateral expense which is less than 0.01%. |
(e) | 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. |
(f) | Rounds to zero. |
120 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $5.98 | 5.65% | 0.71%(c) | 0.61%(c) | (0.76%)(c) | 32% | $37 |
Year Ended 12/31/2019 | $5.66 | 7.90% | 0.71%(d) | 0.61%(d) | 0.57% | 62% | $28 |
Year Ended 12/31/2018 | $5.42 | (0.33%) | 0.71%(d) | 0.61%(d) | 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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $5.83 | 5.43% | 0.95%(c) | 0.87%(c) | (0.97%)(c) | 32% | $19,128 |
Year Ended 12/31/2019 | $5.53 | 7.63% | 0.96%(d) | 0.86%(d) | 0.38% | 62% | $19,663 |
Year Ended 12/31/2018 | $5.30 | (0.71%) | 0.95%(d) | 0.86%(d) | 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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $5.94 | 5.51% | 0.83%(c) | 0.74%(c) | (0.84%)(c) | 32% | $83,814 |
Year Ended 12/31/2019 | $5.63 | 7.81% | 0.83%(d) | 0.73%(d) | 0.49% | 62% | $89,128 |
Year Ended 12/31/2018 | $5.39 | (0.51%) | 0.82%(d) | 0.74%(d) | 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 | Semiannual Report 2020 | 121 |
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 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $30.32 | 0.21 | (4.69) | (4.48) |
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)(d) | 0.05 |
Class 2 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $29.61 | 0.17 | (4.57) | (4.40) |
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)(d) | 0.00(e) |
Class 3 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $29.98 | 0.19 | (4.63) | (4.44) |
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)(d) | 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) | Annualized. |
(d) | Calculation of the net gain (loss) per share (both realized and unrealized) does not correlate to the aggregate realized and unrealized gain (loss) presented in the Statement of Operations due to the timing of subscriptions and redemptions of Fund shares in relation to fluctuations in the market value of the portfolio. |
(e) | Rounds to zero. |
122 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $25.84 | (14.77%) | 0.79%(c) | 0.79%(c) | 1.62%(c) | 22% | $464,740 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $25.21 | (14.86%) | 1.04%(c) | 1.04%(c) | 1.36%(c) | 22% | $44,351 |
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%(e) | 1.18% | 1.14% | 0.63% | 53% | $14,431 |
Class 3 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $25.54 | (14.81%) | 0.92%(c) | 0.92%(c) | 1.49%(c) | 22% | $53,669 |
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 | Semiannual Report 2020 | 123 |
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 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $23.85 | 0.13 | (1.21) | (1.08) |
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(d) | (0.55) | 0.09 |
Class 2 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $23.31 | 0.10 | (1.18) | (1.08) |
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(e) | (0.60) | 0.05 |
Class 3 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $23.57 | 0.12 | (1.21) | (1.09) |
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(d) | (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) | Annualized. |
(d) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.39 per share. |
(e) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.43 per share. |
124 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $22.77 | (4.53%) | 0.68%(c) | 0.68%(c) | 1.23%(c) | 50% | $2,922,490 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $22.23 | (4.63%) | 0.93%(c) | 0.93%(c) | 0.95%(c) | 50% | $9,837 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $22.48 | (4.62%) | 0.81%(c) | 0.81%(c) | 1.07%(c) | 50% | $28,529 |
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 | Semiannual Report 2020 | 125 |
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 | |||||
Six Months Ended 6/30/2020 (Unaudited) | $29.04 | 0.10 | (6.73) | — | (6.63) |
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(d) | 5.33 |
Year Ended 12/31/2015 | $22.92 | 0.19 | (2.30) | — | (2.11) |
Class 2 | |||||
Six Months Ended 6/30/2020 (Unaudited) | $28.34 | 0.07 | (6.56) | — | (6.49) |
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(d) | 5.20 |
Year Ended 12/31/2015 | $22.65 | 0.14 | (2.28) | — | (2.14) |
Class 3 | |||||
Six Months Ended 6/30/2020 (Unaudited) | $28.67 | 0.09 | (6.65) | — | (6.56) |
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(d) | 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) | Annualized. |
(d) | Rounds to zero. |
(e) | 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%. |
126 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $22.41 | (22.83%) | 0.90%(c) | 0.88%(c) | 0.89%(c) | 61% | $459,255 |
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%(e) | 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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $21.85 | (22.90%) | 1.15%(c) | 1.13%(c) | 0.63%(c) | 61% | $6,191 |
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%(e) | 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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $22.11 | (22.88%) | 1.03%(c) | 1.01%(c) | 0.76%(c) | 61% | $73,017 |
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%(e) | 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 | Semiannual Report 2020 | 127 |
June 30, 2020 (Unaudited)
128 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 129 |
June 30, 2020 (Unaudited)
130 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
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 | Semiannual Report 2020 | 131 |
June 30, 2020 (Unaudited)
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 | 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 produce incremental earnings | CTIVP® — BlackRock Global Inflation-Protected Securities Fund |
132 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Credit default swap contracts | Funds |
To increase or decrease its credit exposure to an index | Columbia Variable Portfolio — Global Strategic Income Fund and Columbia Variable Portfolio — Intermediate Bond Fund |
To increase or decrease its credit exposure to a single issuer of debt securities | Columbia Variable Portfolio — Global Strategic Income Fund |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 133 |
June 30, 2020 (Unaudited)
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 | Columbia Variable Portfolio — Intermediate Bond Fund and CTIVP® — BlackRock Global Inflation-Protected Securities Fund |
134 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 11,873* |
Credit risk | Upfront payments on swap contracts | 66,416 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 20,164* |
Total | 98,453 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 88,913* |
Credit risk | Upfront receipts on swap contracts | 74,865 |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 74,432 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 59,071* |
Total | 297,281 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 135 |
June 30, 2020 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 747,163 | 747,163 |
Foreign exchange risk | 301,159 | — | — | 301,159 |
Interest rate risk | — | (2,703,500) | — | (2,703,500) |
Total | 301,159 | (2,703,500) | 747,163 | (1,655,178) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 76,628 | 76,628 |
Foreign exchange risk | 188,277 | — | — | 188,277 |
Interest rate risk | — | (353,074) | — | (353,074) |
Total | 188,277 | (353,074) | 76,628 | (88,169) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 1,111,438 |
Futures contracts — short | 29,427,969 |
Credit default swap contracts — buy protection | 14,758,640 |
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 467,993 | (37,216) |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2020. |
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 27,450,734* |
Credit risk | Upfront payments on swap contracts | 1,123,367 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 4,684,680* |
Interest rate risk | Investments, at value — Options purchased | 2,634,272 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 3,255,341* |
Total | 39,148,394 |
136 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 117,654* |
Credit risk | Upfront receipts on swap contracts | 9,845,887 |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 81,974 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 3,933,891* |
Total | 13,979,406 |
* | 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 | — | — | — | — | 24,319,369 | 24,319,369 |
Foreign exchange risk | 489,720 | — | — | — | — | 489,720 |
Interest rate risk | — | 75,979,202 | (25,962,342) | 24,067,305 | — | 74,084,165 |
Total | 489,720 | 75,979,202 | (25,962,342) | 24,067,305 | 24,319,369 | 98,893,254 |
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 | — | — | — | — | 40,945,736 | 40,945,736 |
Foreign exchange risk | 380,403 | — | — | — | — | 380,403 |
Interest rate risk | — | 6,958,894 | 167,366 | (468,838) | 3,255,341 | 9,912,763 |
Total | 380,403 | 6,958,894 | 167,366 | (468,838) | 44,201,077 | 51,238,902 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 1,243,987,168 |
Futures contracts — short | 251,802,075 |
Credit default swap contracts — buy protection | 29,950,000 |
Credit default swap contracts — sell protection | 454,606,250 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 16,099,182 |
Options contracts — written | (14,605,687) |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 137 |
June 30, 2020 (Unaudited)
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 602,167 | (40,987) |
Interest rate swap contracts | 1,627,671 | (248,504) |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2020. |
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 304,891 |
Foreign exchange risk | Investments, at value — Options purchased | 12,225 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 48,604* |
Interest rate risk | Investments, at value — Options purchased | 632,932 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 1,475,679* |
Total | 2,474,331 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 924,904 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 72,892* |
Interest rate risk | Options contracts written, at value | 850,871 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 1,537,326* |
Total | 3,385,993 |
* | 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. |
138 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts written ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Foreign exchange risk | 1,445,790 | — | 10,977 | 41,385 | — | 1,498,152 |
Interest rate risk | — | (151,224) | 92,399 | (50,525) | (537,945) | (647,295) |
Total | 1,445,790 | (151,224) | 103,376 | (9,140) | (537,945) | 850,857 |
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 | 608,715 | — | 2,139 | 10,683 | — | 621,537 |
Interest rate risk | — | 6,392 | (140,677) | 258,650 | (230,266) | (105,901) |
Total | 608,715 | 6,392 | (138,538) | 269,333 | (230,266) | 515,636 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 18,150,278 |
Futures contracts — short | 14,264,358 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 664,142 |
Options contracts — written | (1,049,987) |
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 916,800 | (723,383) |
Interest rate swap contracts | 1,712,929 | (1,876,168) |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2020. |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 139 |
June 30, 2020 (Unaudited)
140 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Barclays ($) | Citi ($) | Goldman Sachs International ($) | Morgan Stanley ($) | UBS ($) | Total ($) | |
Assets | ||||||
OTC credit default swap contracts (a) | - | 61,912 | - | - | - | 61,912 |
Liabilities | ||||||
Centrally cleared credit default swap contracts (b) | - | - | - | 14,340 | - | 14,340 |
Forward foreign currency exchange contracts | - | - | - | - | 74,432 | 74,432 |
OTC credit default swap contracts (a) | 2,781 | 56,040 | 4,171 | - | - | 62,992 |
Total liabilities | 2,781 | 56,040 | 4,171 | 14,340 | 74,432 | 151,764 |
Total financial and derivative net assets | (2,781) | 5,872 | (4,171) | (14,340) | (74,432) | (89,852) |
Total collateral received (pledged) (c) | - | - | - | (14,340) | - | (14,340) |
Net amount (d) | (2,781) | 5,872 | (4,171) | - | (74,432) | (75,512) |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 141 |
June 30, 2020 (Unaudited)
(a) | 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. |
(b) | Centrally cleared swaps are included within payable/receivable for variation margin on the Statement of Assets and Liabilities. |
(c) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(d) | Represents the net amount due from/(to) counterparties in the event of default. |
Citi ($)(a) | Citi ($)(a) | JPMorgan ($) | Morgan Stanley ($)(a) | Morgan Stanley ($)(a) | UBS ($) | Total ($) | |||
Assets | |||||||||
Centrally cleared credit default swap contracts (b) | - | - | - | - | 2,938,495 | - | 2,938,495 | ||
Options purchased puts | - | - | - | 2,634,272 | - | - | 2,634,272 | ||
OTC credit default swap contracts (c) | - | - | 4,218,868 | 815,040 | - | - | 5,033,908 | ||
OTC interest rate swap contracts (c) | 3,255,341 | - | - | - | - | 3,255,341 | |||
Total assets | 3,255,341 | - | 4,218,868 | 3,449,312 | 2,938,495 | - | 13,862,016 | ||
Liabilities | |||||||||
Forward foreign currency exchange contracts | - | - | - | - | - | 81,974 | 81,974 | ||
OTC credit default swap contracts (c) | 2,079,723 | 3,912,193 | 2,037,600 | - | - | 8,029,516 | |||
Total liabilities | - | 2,079,723 | 3,912,193 | 2,037,600 | - | 81,974 | 8,111,490 | ||
Total financial and derivative net assets | 3,255,341 | (2,079,723) | 306,675 | 1,411,712 | 2,938,495 | (81,974) | 5,750,526 | ||
Total collateral received (pledged) (d) | 2,993,000 | (1,743,000) | 306,675 | 790,000 | - | - | 2,346,675 | ||
Net amount (e) | 262,341 | (336,723) | - | 621,712 | 2,938,495 | (81,974) | 3,403,851 |
(a) | Exposure can only be netted across transactions governed under the same master agreement with the same legal entity. |
(b) | Centrally cleared swaps are included within payable/receivable for variation margin on the Statement of Assets and Liabilities. |
(c) | Over-the-Counter (OTC) swap contracts are presented at market value plus periodic payments receivable (payable), which is comprised of unrealized appreciation, unrealized depreciation, upfront payments and upfront receipts. |
(d) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(e) | Represents the net amount due from/(to) counterparties in the event of default. |
142 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Barclays ($) | Citi ($) | Deutsche Bank ($) | Goldman Sachs ($) | UBS ($) | Total ($) | |
Assets | ||||||
Centrally cleared interest rate swap contracts (a) | - | - | - | 61,020 | - | 61,020 |
Forward foreign currency exchange contracts | - | 40,774 | 264,117 | - | - | 304,891 |
Options purchased calls | 4,093 | 436,011 | 108,006 | - | 19,250 | 567,360 |
Options purchased puts | 6,933 | 50,320 | 17,157 | - | 3,387 | 77,797 |
Total assets | 11,026 | 527,105 | 389,280 | 61,020 | 22,637 | 1,011,068 |
Liabilities | ||||||
Centrally cleared interest rate swap contracts (a) | - | - | - | 46,515 | - | 46,515 |
Forward foreign currency exchange contracts | - | 73,661 | 851,243 | - | - | 924,904 |
Options contracts written | - | 497,263 | 327,466 | - | 26,142 | 850,871 |
Total liabilities | - | 570,924 | 1,178,709 | 46,515 | 26,142 | 1,822,290 |
Total financial and derivative net assets | 11,026 | (43,819) | (789,429) | 14,505 | (3,505) | (811,222) |
Total collateral received (pledged) (b) | - | (43,819) | (789,429) | - | - | (833,248) |
Net amount (c) | 11,026 | - | - | 14,505 | (3,505) | 22,026 |
(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 | Semiannual Report 2020 | 143 |
June 30, 2020 (Unaudited)
144 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
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 | 0.67 |
Variable Portfolio – Partners Small Cap Value Fund | 0.87 | 0.75 | 0.86 |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 145 |
June 30, 2020 (Unaudited)
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) T. Rowe Price Associates, Inc. (T. Rowe Price) |
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. |
146 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
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 | Semiannual Report 2020 | 147 |
June 30, 2020 (Unaudited)
May 1, 2020 through April 30, 2021 | Prior to May 1, 2020 | |||||
Class 1 (%) | Class 2 (%) | Class 3 (%) | Class 1 (%) | Class 2 (%) | Class 3 (%) | |
Columbia Variable Portfolio – Global Strategic Income Fund | 0.61 | 0.86 | 0.735 | 0.58 | 0.83 | 0.705 |
Columbia Variable Portfolio – Intermediate Bond Fund | 0.55 | 0.80 | 0.675 | 0.52 | 0.77 | 0.645 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | 0.65 | 0.90 | 0.775 | 0.60 | 0.85 | 0.725 |
CTIVP® – Victory Sycamore Established Value Fund | 0.85 | 1.10 | 0.975 | 0.85 | 1.10 | 0.975 |
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 |
Fund | Tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
Columbia Variable Portfolio – Global Strategic Income Fund | 100,480,000 | 3,882,000 | (2,681,000) | 1,201,000 |
Columbia Variable Portfolio – Intermediate Bond Fund | 5,722,452,000 | 252,601,000 | (101,055,000) | 151,546,000 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | 95,242,000 | 10,818,000 | (4,275,000) | 6,543,000 |
Fund | 2019 ($) | No expiration short-term ($) | No expiration long-term ($) | Total ($) |
Columbia Variable Portfolio – Global Strategic Income Fund | — | (1,832,667) | (4,013,534) | (5,846,201) |
148 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Purchases ($) | Proceeds from sales ($) | Purchases of U.S. Government securities ($) | Proceeds from sales of U.S. Government securities ($) | |
Columbia Variable Portfolio – Global Strategic Income Fund | 31,766,584 | 31,897,525 | — | — |
Columbia Variable Portfolio – Intermediate Bond Fund | 8,081,629,448 | 7,789,366,496 | 6,605,969,078 | 6,542,311,552 |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | 33,584,459 | 40,644,514 | 27,453,209 | 36,173,414 |
CTIVP® – Victory Sycamore Established Value Fund | 140,800,210 | 122,652,475 | — | — |
Variable Portfolio – Partners Core Equity Fund | 2,199,199,262 | 1,374,658,102 | — | — |
Variable Portfolio – Partners Small Cap Value Fund | 349,168,972 | 321,270,373 | — | — |
Fund | Borrower or Lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Variable Portfolio – Partners Core Equity Fund | Lender | 18,900,000 | 2.10 | 1 |
Variable Portfolio – Partners Small Cap Value Fund | Lender | 6,100,000 | 0.62 | 3 |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 149 |
June 30, 2020 (Unaudited)
150 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 151 |
June 30, 2020 (Unaudited)
152 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 153 |
June 30, 2020 (Unaudited)
154 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 155 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
156 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
VP Fund | Subadviser(s) |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | BlackRock Financial Management, Inc. (BlackRock) BlackRock International Limited (BIL) |
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) T. Rowe Price Associates, Inc. (T. Rowe Price) |
Variable Portfolio – Partners Small Cap Value Fund | Jacobs Levy Nuveen Asset Management, LLC (Nuveen Asset Management) Segall Bryant & Hamill, LLC (SBH) |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 157 |
158 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 159 |
160 | Columbia Variable Portfolio Funds | Semiannual Report 2020 |
Columbia Variable Portfolio Funds | Semiannual Report 2020 | 161 |
June 30, 2020
Variable Portfolio – Conservative Portfolio (Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1* | 02/20/19 | 2.40 | 5.36 | 4.00 | 4.51 | |
Class 2 | 05/07/10 | 2.34 | 5.09 | 3.93 | 4.47 | |
Class 4 | 05/07/10 | 2.28 | 5.09 | 3.92 | 4.48 | |
Blended Benchmark | 3.96 | 7.96 | 5.16 | 5.46 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | 6.14 | 8.74 | 4.30 | 3.82 | ||
Russell 3000 Index | -3.48 | 6.53 | 10.03 | 13.72 | ||
MSCI EAFE Index (Net) | -11.34 | -5.13 | 2.05 | 5.73 |
* | 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 | Semiannual Report 2020 | 3 |
Variable Portfolio – Conservative Portfolio (Unaudited)
Portfolio breakdown (%) (at June 30, 2020) | |
Alternative Strategies Funds | 0.1 |
Equity Funds | 23.7 |
Fixed Income Funds | 70.4 |
Money Market Funds | 5.8 |
Total | 100.0 |
4 | Portfolio Navigator Funds | Semiannual Report 2020 |
Variable Portfolio – Moderately Conservative Portfolio (Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1* | 02/20/19 | 1.32 | 5.17 | 4.52 | 5.61 | |
Class 2 | 05/07/10 | 1.20 | 4.92 | 4.45 | 5.57 | |
Class 4 | 05/07/10 | 1.20 | 4.92 | 4.45 | 5.58 | |
Blended Benchmark | 2.21 | 7.19 | 5.70 | 6.61 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | 6.14 | 8.74 | 4.30 | 3.82 | ||
Russell 3000 Index | -3.48 | 6.53 | 10.03 | 13.72 | ||
MSCI EAFE Index (Net) | -11.34 | -5.13 | 2.05 | 5.73 |
* | 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 | Semiannual Report 2020 | 5 |
Variable Portfolio – Moderately Conservative Portfolio (Unaudited)
Portfolio breakdown (%) (at June 30, 2020) | |
Alternative Strategies Funds | 0.2 |
Equity Funds | 33.8 |
Fixed Income Funds | 59.4 |
Money Market Funds | 6.6 |
Total | 100.0 |
6 | Portfolio Navigator Funds | Semiannual Report 2020 |
Variable Portfolio – Moderate Portfolio (Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1* | 02/20/19 | 0.11 | 4.75 | 5.02 | 6.74 | |
Class 2 | 05/07/10 | 0.00 | 4.46 | 4.95 | 6.70 | |
Class 4 | 05/07/10 | 0.00 | 4.51 | 4.95 | 6.71 | |
Blended Benchmark | 0.48 | 6.43 | 6.26 | 7.80 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | 6.14 | 8.74 | 4.30 | 3.82 | ||
Russell 3000 Index | -3.48 | 6.53 | 10.03 | 13.72 | ||
MSCI EAFE Index (Net) | -11.34 | -5.13 | 2.05 | 5.73 |
* | 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 | Semiannual Report 2020 | 7 |
Variable Portfolio – Moderate Portfolio (Unaudited)
Portfolio breakdown (%) (at June 30, 2020) | |
Alternative Strategies Funds | 0.3 |
Equity Funds | 48.3 |
Fixed Income Funds | 47.5 |
Money Market Funds | 3.9 |
Total | 100.0 |
8 | Portfolio Navigator Funds | Semiannual Report 2020 |
Variable Portfolio – Moderately Aggressive Portfolio (Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1* | 02/20/19 | -1.48 | 3.96 | 5.35 | 7.67 | |
Class 2 | 05/07/10 | -1.58 | 3.70 | 5.28 | 7.64 | |
Class 4 | 05/07/10 | -1.58 | 3.69 | 5.29 | 7.66 | |
Blended Benchmark | -1.31 | 5.57 | 6.78 | 8.95 | ||
Russell 3000 Index | -3.48 | 6.53 | 10.03 | 13.72 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | 6.14 | 8.74 | 4.30 | 3.82 | ||
MSCI EAFE Index (Net) | -11.34 | -5.13 | 2.05 | 5.73 |
* | 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 | Semiannual Report 2020 | 9 |
Variable Portfolio – Moderately Aggressive Portfolio (Unaudited)
Portfolio breakdown (%) (at June 30, 2020) | |
Alternative Strategies Funds | 0.3 |
Equity Funds | 62.9 |
Fixed Income Funds | 29.7 |
Money Market Funds | 7.1 |
Total | 100.0 |
10 | Portfolio Navigator Funds | Semiannual Report 2020 |
Variable Portfolio – Aggressive Portfolio (Unaudited)
Average annual total returns (%) (for the period ended June 30, 2020) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class 1* | 02/20/19 | -3.27 | 3.00 | 5.64 | 8.62 | |
Class 2 | 05/07/10 | -3.41 | 2.75 | 5.57 | 8.58 | |
Class 4 | 05/07/10 | -3.44 | 2.75 | 5.56 | 8.59 | |
Blended Benchmark | -3.25 | 4.49 | 7.16 | 9.98 | ||
Russell 3000 Index | -3.48 | 6.53 | 10.03 | 13.72 | ||
MSCI EAFE Index (Net) | -11.34 | -5.13 | 2.05 | 5.73 | ||
Bloomberg Barclays U.S. Aggregate Bond Index | 6.14 | 8.74 | 4.30 | 3.82 |
* | 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 | Semiannual Report 2020 | 11 |
Variable Portfolio – Aggressive Portfolio (Unaudited)
Portfolio breakdown (%) (at June 30, 2020) | |
Alternative Strategies Funds | 0.4 |
Equity Funds | 79.1 |
Fixed Income Funds | 15.9 |
Money Market Funds | 4.6 |
Total | 100.0 |
12 | Portfolio Navigator Funds | Semiannual Report 2020 |
(Unaudited)
January 1, 2020 — June 30, 2020 | ||||||||||
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 | 1,024.00 | 1,024.27 | 0.60 | 0.60 | 0.12 | 3.27 | 3.27 | 0.65 |
Class 2 | 1,000.00 | 1,000.00 | 1,023.40 | 1,023.02 | 1.86 | 1.86 | 0.37 | 4.53 | 4.53 | 0.90 |
Class 4 | 1,000.00 | 1,000.00 | 1,022.80 | 1,023.02 | 1.86 | 1.86 | 0.37 | 4.53 | 4.53 | 0.90 |
Variable Portfolio – Moderately Conservative Portfolio | ||||||||||
Class 1 | 1,000.00 | 1,000.00 | 1,013.20 | 1,024.32 | 0.55 | 0.55 | 0.11 | 3.35 | 3.37 | 0.67 |
Class 2 | 1,000.00 | 1,000.00 | 1,012.00 | 1,023.07 | 1.80 | 1.81 | 0.36 | 4.60 | 4.63 | 0.92 |
Class 4 | 1,000.00 | 1,000.00 | 1,012.00 | 1,023.07 | 1.80 | 1.81 | 0.36 | 4.60 | 4.63 | 0.92 |
Portfolio Navigator Funds | Semiannual Report 2020 | 13 |
(Unaudited)
January 1, 2020 — June 30, 2020 | ||||||||||
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 | 1,001.10 | 1,024.32 | 0.55 | 0.55 | 0.11 | 3.58 | 3.62 | 0.72 |
Class 2 | 1,000.00 | 1,000.00 | 1,000.00 | 1,023.07 | 1.79 | 1.81 | 0.36 | 4.82 | 4.88 | 0.97 |
Class 4 | 1,000.00 | 1,000.00 | 1,000.00 | 1,023.07 | 1.79 | 1.81 | 0.36 | 4.82 | 4.88 | 0.97 |
Variable Portfolio – Moderately Aggressive Portfolio | ||||||||||
Class 1 | 1,000.00 | 1,000.00 | 985.20 | 1,024.22 | 0.64 | 0.65 | 0.13 | 3.80 | 3.88 | 0.77 |
Class 2 | 1,000.00 | 1,000.00 | 984.20 | 1,022.97 | 1.87 | 1.91 | 0.38 | 5.03 | 5.13 | 1.02 |
Class 4 | 1,000.00 | 1,000.00 | 984.20 | 1,022.97 | 1.87 | 1.91 | 0.38 | 5.03 | 5.13 | 1.02 |
Variable Portfolio – Aggressive Portfolio | ||||||||||
Class 1 | 1,000.00 | 1,000.00 | 967.30 | 1,024.27 | 0.59 | 0.60 | 0.12 | 3.96 | 4.08 | 0.81 |
Class 2 | 1,000.00 | 1,000.00 | 965.90 | 1,023.07 | 1.76 | 1.81 | 0.36 | 5.13 | 5.28 | 1.05 |
Class 4 | 1,000.00 | 1,000.00 | 965.60 | 1,023.07 | 1.76 | 1.81 | 0.36 | 5.13 | 5.28 | 1.05 |
14 | Portfolio Navigator Funds | Semiannual Report 2020 |
Variable Portfolio – Conservative Portfolio, June 30, 2020 (Unaudited)
Alternative Strategies Funds 0.1% | ||
Shares | Value ($) | |
Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares(a),(b) | 292,599 | 1,340,103 |
Total Alternative Strategies Funds (Cost $1,591,738) | 1,340,103 | |
Equity Funds 23.6% | ||
Global Real Estate 0.2% | ||
CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares(a),(b) | 306,682 | 2,551,594 |
International 7.8% | ||
Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares(a) | 601,999 | 9,457,407 |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(a) | 1,793,107 | 21,051,076 |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares(a) | 1,733,734 | 16,782,545 |
Variable Portfolio - Partners International Core Equity Fund, Class 1 Shares(a) | 2,405,040 | 23,617,496 |
Variable Portfolio - Partners International Growth Fund, Class 1 Shares(a) | 1,115,986 | 12,320,482 |
Variable Portfolio - Partners International Value Fund, Class 1 Shares(a) | 1,605,502 | 12,073,373 |
Total | 95,302,379 | |
U.S. Large Cap 13.5% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 447,772 | 11,807,740 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 280,870 | 15,981,482 |
Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares(a),(b) | 143,275 | 3,685,040 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 596,905 | 14,433,158 |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 1,056,004 | 12,534,761 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 463,624 | 10,927,616 |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares(a),(b) | 372,243 | 15,355,038 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares(a),(b) | 404,512 | 15,383,608 |
CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 536,625 | 13,603,437 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 371,921 | 17,532,370 |
Equity Funds (continued) | ||
Shares | Value ($) | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 612,455 | 13,082,041 |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares(a),(b) | 981,539 | 22,349,643 |
Total | 166,675,934 | |
U.S. Mid Cap 1.2% | ||
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(a),(b) | 275,364 | 7,115,409 |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(a),(b) | 235,794 | 7,545,418 |
Total | 14,660,827 | |
U.S. Small Cap 0.9% | ||
Columbia Variable Portfolio - Small Cap Value Fund, Class 1 Shares(a) | 144,550 | 1,795,308 |
Columbia Variable Portfolio - Small Company Growth Fund, Class 1 Shares(a),(b) | 125,293 | 2,685,038 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 143,327 | 3,608,978 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 127,398 | 2,854,997 |
Total | 10,944,321 | |
Total Equity Funds (Cost $254,332,998) | 290,135,055 | |
Fixed Income Funds 69.9% | ||
Emerging Markets 0.6% | ||
Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares(a) | 809,820 | 7,442,250 |
High Yield 0.4% | ||
Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares(a) | 698,238 | 5,118,082 |
Investment Grade 68.5% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a),(b) | 16,433,922 | 186,689,348 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a),(b) | 1,208,857 | 12,173,192 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a),(b) | 3,034,826 | 37,996,015 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a),(b) | 4,808,744 | 52,655,746 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a),(b) | 4,790,943 | 55,047,939 |
Portfolio Navigator Funds | Semiannual Report 2020 | 15 |
Variable Portfolio – Conservative Portfolio, June 30, 2020 (Unaudited)
Fixed Income Funds (continued) | ||
Shares | Value ($) | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a),(b) | 11,155,782 | 130,411,093 |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a),(b) | 3,701,561 | 39,236,548 |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares(a),(b) | 27,856,884 | 329,268,371 |
Total | 843,478,252 | |
Multisector 0.4% | ||
Columbia Variable Portfolio – Strategic Income Fund, Class 1 Shares(a) | 1,198,352 | 5,057,045 |
Total Fixed Income Funds (Cost $799,453,461) | 861,095,629 | |
Money Market Funds 5.8% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(a),(c) | 55,202,529 | 55,202,529 |
Columbia Variable Portfolio – Government Money Market Fund, Class 1 Shares, 0.010%(a),(c) | 16,001,444 | 16,001,444 |
Total Money Market Funds (Cost $71,208,284) | 71,203,973 | |
Total Investments in Securities (Cost: $1,126,586,481) | 1,223,774,760 | |
Other Assets & Liabilities, Net | 7,882,821 | |
Net Assets | 1,231,657,581 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 10-Year Note | 129 | 09/2020 | USD | 17,953,172 | 48,137 | — |
U.S. Ultra Treasury Bond | 106 | 09/2020 | USD | 23,124,563 | — | (87,398) |
Total | 48,137 | (87,398) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
EURO STOXX 50 Index | (754) | 09/2020 | EUR | (24,301,420) | — | (889,214) |
MSCI Emerging Markets Index | (250) | 09/2020 | USD | (12,321,250) | — | (327,888) |
Russell 2000 Index E-mini | (73) | 09/2020 | USD | (5,247,240) | — | (212,064) |
S&P 500 Index E-mini | (186) | 09/2020 | USD | (28,738,860) | — | (618,911) |
TOPIX Index | (23) | 09/2020 | JPY | (358,455,000) | 145,618 | — |
Total | 145,618 | (2,048,077) |
(a) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | |||||||||
45,513,393 | 65,213,280 | (55,520,316) | (3,828) | 55,202,529 | — | 2,959 | 234,452 | 55,202,529 | |
Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares | |||||||||
11,032,227 | — | (9,745,316) | 53,192 | 1,340,103 | — | (1,508,316) | — | 292,599 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
8,064,101 | 4,331,620 | (727,026) | 139,045 | 11,807,740 | — | 384,682 | — | 447,772 |
16 | Portfolio Navigator Funds | Semiannual Report 2020 |
Variable Portfolio – Conservative Portfolio, June 30, 2020 (Unaudited)
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
18,715,304 | 3,959,620 | (4,225,021) | (2,468,421) | 15,981,482 | — | 2,957,687 | — | 280,870 | |
Columbia Variable Portfolio – Diversified Absolute Return Fund, Class 1 Shares | |||||||||
12,983,477 | — | (14,135,856) | 1,152,379 | — | — | (1,381,533) | — | — | |
Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares | |||||||||
1,169,309 | 3,060,000 | — | (544,269) | 3,685,040 | — | — | — | 143,275 | |
Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares | |||||||||
5,002,070 | 2,838,411 | — | (398,231) | 7,442,250 | — | — | 119,411 | 809,820 | |
Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares | |||||||||
1,941,458 | 7,597,853 | — | (81,904) | 9,457,407 | 1,211,988 | — | 50,474 | 601,999 | |
Columbia Variable Portfolio – Government Money Market Fund, Class 1 Shares, 0.010% | |||||||||
15,952,799 | 48,645 | — | — | 16,001,444 | 6,557 | — | 41,537 | 16,001,444 | |
Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares | |||||||||
5,334,536 | — | — | (216,454) | 5,118,082 | — | — | — | 698,238 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
213,728,226 | 15,838,477 | (52,390,511) | 9,513,156 | 186,689,348 | — | 1,919,155 | — | 16,433,922 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
3,204,539 | 9,762,697 | — | 1,465,922 | 14,433,158 | — | — | — | 596,905 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
14,006,700 | — | (2,324,214) | 490,706 | 12,173,192 | — | (100,798) | — | 1,208,857 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
26,721,635 | 7,919,239 | (732,823) | 4,087,964 | 37,996,015 | — | 156,544 | — | 3,034,826 | |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares | |||||||||
14,302,832 | 8,375,557 | — | (1,627,313) | 21,051,076 | 263,253 | — | 186,304 | 1,793,107 | |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares | |||||||||
11,195,560 | 1,398,000 | — | (58,799) | 12,534,761 | — | — | — | 1,056,004 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
4,561,214 | 7,052,696 | — | (686,294) | 10,927,616 | — | — | — | 463,624 | |
Columbia Variable Portfolio - Small Cap Value Fund, Class 1 Shares | |||||||||
2,265,095 | — | — | (469,787) | 1,795,308 | — | — | — | 144,550 | |
Columbia Variable Portfolio - Small Company Growth Fund, Class 1 Shares | |||||||||
2,232,729 | — | — | 452,309 | 2,685,038 | — | — | — | 125,293 | |
Columbia Variable Portfolio – Strategic Income Fund, Class 1 Shares | |||||||||
5,116,962 | — | — | (59,917) | 5,057,045 | — | — | — | 1,198,352 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
39,870,041 | 15,838,478 | (4,321,227) | 1,268,454 | 52,655,746 | — | 125,606 | — | 4,808,744 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
73,908,438 | 31,141,479 | (51,753,277) | 1,751,299 | 55,047,939 | — | 1,237,974 | — | 4,790,943 | |
CTIVP® – AQR Managed Futures Strategy Fund, Class 1 Shares | |||||||||
7,323,086 | 336,140 | (10,887,448) | 3,228,222 | — | — | (3,317,083) | 336,141 | — | |
CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares | |||||||||
7,555,241 | — | (4,834,431) | (169,216) | 2,551,594 | — | (196,430) | — | 306,682 | |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares | |||||||||
18,611,281 | 6,561,100 | (7,585,746) | (804,090) | 16,782,545 | — | (1,019,038) | 35,708 | 1,733,734 |
Portfolio Navigator Funds | Semiannual Report 2020 | 17 |
Variable Portfolio – Conservative Portfolio, June 30, 2020 (Unaudited)
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
14,383,685 | 3,167,695 | (2,446,912) | 250,570 | 15,355,038 | — | 1,564,088 | — | 372,243 | |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares | |||||||||
14,110,342 | 3,167,695 | (1,990,600) | 96,171 | 15,383,608 | — | 1,769,400 | — | 404,512 | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
23,788,035 | 3,167,696 | (8,258,803) | (5,093,491) | 13,603,437 | — | 3,905,906 | — | 536,625 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
20,176,600 | 3,167,695 | (5,089,507) | (722,418) | 17,532,370 | — | 5,871,493 | — | 371,921 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
2,926,397 | 12,982,695 | (790,548) | (2,036,503) | 13,082,041 | — | 98,819 | — | 612,455 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
115,532,698 | 15,838,479 | (7,856,812) | 6,896,728 | 130,411,093 | — | 592,171 | — | 11,155,782 | |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares | |||||||||
4,082,605 | 3,167,696 | — | (134,892) | 7,115,409 | — | — | — | 275,364 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
40,240,618 | — | (2,199,214) | 1,195,144 | 39,236,548 | — | 24,203 | — | 3,701,561 | |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares | |||||||||
3,709,998 | 3,167,694 | — | 667,726 | 7,545,418 | — | — | — | 235,794 | |
Variable Portfolio – Columbia Wanger International Equities Fund, Class 1 Shares | |||||||||
1,145,404 | 16,564 | (1,749,679) | 587,711 | — | — | (936,949) | 16,563 | — | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | |||||||||
211,735,300 | 107,575,479 | (5,155,794) | 15,113,386 | 329,268,371 | — | 180,407 | — | 27,856,884 | |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares | |||||||||
19,512,578 | 3,233,696 | — | (396,631) | 22,349,643 | — | — | — | 981,539 | |
Variable Portfolio - Partners International Core Equity Fund, Class 1 Shares | |||||||||
18,813,343 | 6,460,773 | (517,776) | (1,138,844) | 23,617,496 | 77,308 | 38,223 | 48,075 | 2,405,040 | |
Variable Portfolio - Partners International Growth Fund, Class 1 Shares | |||||||||
6,839,767 | 6,498,532 | (1,928,768) | 910,951 | 12,320,482 | 137,286 | (74,768) | 25,854 | 1,115,986 | |
Variable Portfolio - Partners International Value Fund, Class 1 Shares | |||||||||
6,737,543 | 6,413,418 | (311,402) | (766,186) | 12,073,373 | — | (60,403) | 78,028 | 1,605,502 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
3,637,643 | — | — | (28,665) | 3,608,978 | — | — | — | 143,327 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
3,699,648 | — | — | (844,651) | 2,854,997 | — | — | — | 127,398 | |
Total | 1,081,384,457 | 30,570,231 | 1,223,774,760 | 1,696,392 | 12,233,999 | 1,172,547 |
(b) | Non-income producing investment. |
(c) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
EUR | Euro |
JPY | Japanese Yen |
USD | US Dollar |
18 | Portfolio Navigator Funds | Semiannual Report 2020 |
Variable Portfolio – Conservative Portfolio, June 30, 2020 (Unaudited)
■ | 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 | — | — | — | 1,340,103 | 1,340,103 |
Equity Funds | — | — | — | 290,135,055 | 290,135,055 |
Fixed Income Funds | — | — | — | 861,095,629 | 861,095,629 |
Money Market Funds | 71,203,973 | — | — | — | 71,203,973 |
Total Investments in Securities | 71,203,973 | — | — | 1,152,570,787 | 1,223,774,760 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 193,755 | — | — | — | 193,755 |
Liability | |||||
Futures Contracts | (2,135,475) | — | — | — | (2,135,475) |
Total | 69,262,253 | — | — | 1,152,570,787 | 1,221,833,040 |
Portfolio Navigator Funds | Semiannual Report 2020 | 19 |
Variable Portfolio – Moderately Conservative Portfolio, June 30, 2020 (Unaudited)
Alternative Strategies Funds 0.2% | ||
Shares | Value ($) | |
Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares(a),(b) | 1,409,906 | 6,457,370 |
Total Alternative Strategies Funds (Cost $7,669,889) | 6,457,370 | |
Equity Funds 33.6% | ||
Global Real Estate 0.4% | ||
CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares(a),(b) | 1,458,287 | 12,132,949 |
International 9.8% | ||
Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares(a) | 584,862 | 9,188,188 |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(a) | 5,612,081 | 65,885,827 |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares(a) | 5,374,667 | 52,026,780 |
Variable Portfolio - Partners International Core Equity Fund, Class 1 Shares(a) | 9,115,719 | 89,516,360 |
Variable Portfolio - Partners International Growth Fund, Class 1 Shares(a) | 3,240,615 | 35,776,383 |
Variable Portfolio - Partners International Value Fund, Class 1 Shares(a) | 4,681,022 | 35,201,284 |
Total | 287,594,822 | |
U.S. Large Cap 20.6% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 1,345,650 | 35,484,795 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 916,060 | 52,123,835 |
Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares(a),(b) | 578,658 | 14,883,077 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 2,128,542 | 51,468,146 |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 5,044,812 | 59,881,912 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 1,481,343 | 34,915,262 |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares(a),(b) | 1,341,282 | 55,327,894 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares(a),(b) | 1,457,669 | 55,435,158 |
CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 1,950,091 | 49,434,802 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 1,325,139 | 62,467,052 |
Equity Funds (continued) | ||
Shares | Value ($) | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 2,129,889 | 45,494,424 |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares(a),(b) | 3,752,617 | 85,447,089 |
Total | 602,363,446 | |
U.S. Mid Cap 0.9% | ||
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(a),(b) | 490,276 | 12,668,719 |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(a),(b) | 462,754 | 14,808,142 |
Total | 27,476,861 | |
U.S. Small Cap 1.9% | ||
Columbia Variable Portfolio - Small Cap Value Fund, Class 1 Shares(a) | 710,291 | 8,821,816 |
Columbia Variable Portfolio - Small Company Growth Fund, Class 1 Shares(a),(b) | 615,669 | 13,193,787 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 726,753 | 18,299,649 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 664,493 | 14,891,279 |
Total | 55,206,531 | |
Total Equity Funds (Cost $780,048,986) | 984,774,609 | |
Fixed Income Funds 59.0% | ||
Emerging Markets 0.7% | ||
Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares(a) | 2,056,710 | 18,901,167 |
High Yield 0.4% | ||
Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares(a) | 1,687,052 | 12,366,095 |
Investment Grade 57.5% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a),(b) | 24,511,774 | 278,453,754 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a),(b) | 4,970,376 | 50,051,689 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a),(b) | 6,287,419 | 78,718,490 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a),(b) | 3,165,286 | 34,659,876 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a),(b) | 22,183,433 | 254,887,648 |
20 | Portfolio Navigator Funds | Semiannual Report 2020 |
Variable Portfolio – Moderately Conservative Portfolio, June 30, 2020 (Unaudited)
Fixed Income Funds (continued) | ||
Shares | Value ($) | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a),(b) | 23,919,081 | 279,614,061 |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a),(b) | 10,486,338 | 111,155,180 |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares(a),(b) | 50,753,513 | 599,906,518 |
Total | 1,687,447,216 | |
Multisector 0.4% | ||
Columbia Variable Portfolio – Strategic Income Fund, Class 1 Shares(a) | 2,939,769 | 12,405,824 |
Total Fixed Income Funds (Cost $1,607,376,573) | 1,731,120,302 | |
Money Market Funds 6.6% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(a),(c) | 178,739,261 | 178,739,261 |
Columbia Variable Portfolio – Government Money Market Fund, Class 1 Shares, 0.010%(a),(c) | 15,031,608 | 15,031,608 |
Total Money Market Funds (Cost $193,778,703) | 193,770,869 | |
Total Investments in Securities (Cost: $2,588,874,151) | 2,916,123,150 | |
Other Assets & Liabilities, Net | 16,473,701 | |
Net Assets | 2,932,596,851 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
EURO STOXX 50 Index | 844 | 09/2020 | EUR | 27,202,120 | 982,811 | — |
S&P 500 Index E-mini | 101 | 09/2020 | USD | 15,605,510 | 335,573 | — |
SPI 200 Index | 92 | 09/2020 | AUD | 13,551,600 | 101,492 | — |
U.S. Ultra Treasury Bond | 145 | 09/2020 | USD | 31,632,656 | — | (119,554) |
Total | 1,419,876 | (119,554) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
MSCI Emerging Markets Index | (585) | 09/2020 | USD | (28,831,725) | — | (767,257) |
Russell 2000 Index E-mini | (378) | 09/2020 | USD | (27,170,640) | — | (1,098,082) |
TOPIX Index | (79) | 09/2020 | JPY | (1,231,215,000) | 500,166 | — |
U.S. Treasury 10-Year Note | (194) | 09/2020 | USD | (26,999,344) | — | (73,167) |
U.S. Treasury 2-Year Note | (85) | 09/2020 | USD | (18,770,391) | — | (4,801) |
Total | 500,166 | (1,943,307) |
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America Investment Grade Index, Series 34 | Morgan Stanley | 06/20/2025 | 1.000 | Quarterly | 0.762 | USD | 105,005,000 | 2,901,997 | — | — | 2,901,997 | — |
* | 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. |
Portfolio Navigator Funds | Semiannual Report 2020 | 21 |
Variable Portfolio – Moderately Conservative Portfolio, June 30, 2020 (Unaudited)
(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. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | |||||||||
112,213,107 | 160,596,747 | (94,063,394) | (7,199) | 178,739,261 | — | 9,432 | 588,084 | 178,739,261 | |
Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares | |||||||||
33,029,614 | — | (26,408,043) | (164,201) | 6,457,370 | — | (4,317,043) | — | 1,409,906 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
32,394,239 | 8,456,099 | (2,358,465) | (3,007,078) | 35,484,795 | — | 1,960,434 | — | 1,345,650 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
66,891,792 | 695,123 | (9,005,534) | (6,457,546) | 52,123,835 | — | 4,464,634 | — | 916,060 | |
Columbia Variable Portfolio – Diversified Absolute Return Fund, Class 1 Shares | |||||||||
31,047,388 | — | (33,266,319) | 2,218,931 | — | — | (2,766,907) | — | — | |
Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares | |||||||||
26,951,487 | — | (5,318,093) | (6,750,317) | 14,883,077 | — | 4,078,174 | — | 578,658 | |
Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares | |||||||||
12,014,764 | 7,914,269 | — | (1,027,866) | 18,901,167 | — | — | 303,269 | 2,056,710 | |
Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares | |||||||||
9,003,230 | 1,783,946 | — | (1,598,988) | 9,188,188 | 1,166,867 | — | 60,979 | 584,862 | |
Columbia Variable Portfolio – Government Money Market Fund, Class 1 Shares, 0.010% | |||||||||
14,985,911 | 45,697 | — | — | 15,031,608 | 6,160 | — | 39,020 | 15,031,608 | |
Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares | |||||||||
12,604,102 | 278,049 | — | (516,056) | 12,366,095 | — | — | — | 1,687,052 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
362,423,829 | 1,112,197 | (98,846,468) | 13,764,196 | 278,453,754 | — | 3,325,400 | — | 24,511,774 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
43,136,858 | 3,579,050 | — | 4,752,238 | 51,468,146 | — | — | — | 2,128,542 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
54,902,821 | 834,148 | (7,796,751) | 2,111,471 | 50,051,689 | — | (598,583) | — | 4,970,376 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
74,473,945 | — | (4,749,158) | 8,993,703 | 78,718,490 | — | 1,009,375 | — | 6,287,419 | |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares | |||||||||
73,235,605 | 2,742,953 | (1,134,860) | (8,957,871) | 65,885,827 | 823,930 | (140,861) | 740,023 | 5,612,081 | |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares | |||||||||
47,197,932 | 13,139,000 | — | (455,020) | 59,881,912 | — | — | — | 5,044,812 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
166,885 | 40,296,000 | — | (5,547,623) | 34,915,262 | — | — | — | 1,481,343 | |
Columbia Variable Portfolio - Small Cap Value Fund, Class 1 Shares | |||||||||
11,130,262 | — | — | (2,308,446) | 8,821,816 | — | — | — | 710,291 | |
Columbia Variable Portfolio - Small Company Growth Fund, Class 1 Shares | |||||||||
10,971,222 | — | — | 2,222,565 | 13,193,787 | — | — | — | 615,669 | |
Columbia Variable Portfolio – Strategic Income Fund, Class 1 Shares | |||||||||
12,271,944 | 278,049 | — | (144,169) | 12,405,824 | — | — | — | 2,939,769 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
40,730,745 | — | (6,773,713) | 702,844 | 34,659,876 | — | 424,455 | — | 3,165,286 |
22 | Portfolio Navigator Funds | Semiannual Report 2020 |
Variable Portfolio – Moderately Conservative Portfolio, June 30, 2020 (Unaudited)
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
268,754,681 | 36,961,197 | (61,599,351) | 10,771,121 | 254,887,648 | — | 460,518 | — | 22,183,433 | |
CTIVP® – AQR Managed Futures Strategy Fund, Class 1 Shares | |||||||||
21,608,170 | 991,848 | (30,771,909) | 8,171,891 | — | — | (8,434,091) | 991,848 | — | |
CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares | |||||||||
33,436,470 | — | (19,553,297) | (1,750,224) | 12,132,949 | — | (45,297) | — | 1,458,287 | |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares | |||||||||
94,990,414 | 973,630 | (32,716,822) | (11,220,442) | 52,026,780 | — | (458,556) | 139,482 | 5,374,667 | |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
61,312,865 | 278,049 | (5,292,607) | (970,413) | 55,327,894 | — | 6,241,392 | — | 1,341,282 | |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares | |||||||||
74,829,875 | 417,074 | (9,271,207) | (10,540,584) | 55,435,158 | — | 16,096,794 | — | 1,457,669 | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
125,582,446 | 417,074 | (27,897,839) | (48,666,879) | 49,434,802 | — | 41,214,061 | — | 1,950,091 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
94,986,291 | — | (15,440,723) | (17,078,516) | 62,467,052 | — | 35,356,278 | — | 1,325,139 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
84,503,896 | — | (11,363,672) | (27,645,800) | 45,494,424 | — | 16,422,228 | — | 2,129,889 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
181,853,075 | 96,803,197 | (13,146,578) | 14,104,367 | 279,614,061 | — | 1,249,754 | — | 23,919,081 | |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares | |||||||||
14,865,153 | — | — | (2,196,434) | 12,668,719 | — | — | — | 490,276 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
114,889,690 | — | (7,124,030) | 3,389,520 | 111,155,180 | — | 74,136 | — | 10,486,338 | |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares | |||||||||
14,891,438 | — | — | (83,296) | 14,808,142 | — | — | — | 462,754 | |
Variable Portfolio – Columbia Wanger International Equities Fund, Class 1 Shares | |||||||||
6,074,066 | 87,836 | (9,095,022) | 2,933,120 | — | — | (4,785,125) | 87,836 | — | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | |||||||||
461,789,533 | 125,034,197 | (16,783,714) | 29,866,502 | 599,906,518 | — | 491,887 | — | 50,753,513 | |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares | |||||||||
81,931,113 | 12,497,074 | (2,074,423) | (6,906,675) | 85,447,089 | — | 2,244,477 | — | 3,752,617 | |
Variable Portfolio - Partners International Core Equity Fund, Class 1 Shares | |||||||||
95,518,910 | 4,461,009 | — | (10,463,559) | 89,516,360 | 292,611 | — | 186,251 | 9,115,719 | |
Variable Portfolio - Partners International Growth Fund, Class 1 Shares | |||||||||
33,129,635 | 11,579,200 | (7,589,082) | (1,343,370) | 35,776,383 | 397,957 | (390,914) | 61,095 | 3,240,615 | |
Variable Portfolio - Partners International Value Fund, Class 1 Shares | |||||||||
32,637,715 | 17,042,056 | (9,137,210) | (5,341,277) | 35,201,284 | — | (1,939,044) | 169,858 | 4,681,022 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
18,009,941 | 417,073 | — | (127,365) | 18,299,649 | — | — | — | 726,753 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
18,791,575 | 417,073 | — | (4,317,369) | 14,891,279 | — | — | — | 664,493 | |
Total | 3,016,164,634 | (81,592,114) | 2,916,123,150 | 2,687,525 | 111,247,008 | 3,367,745 |
Portfolio Navigator Funds | Semiannual Report 2020 | 23 |
Variable Portfolio – Moderately Conservative Portfolio, June 30, 2020 (Unaudited)
(b) | Non-income producing investment. |
(c) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
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 ($) | |
Investments in Securities | |||||
Alternative Strategies Funds | — | — | — | 6,457,370 | 6,457,370 |
Equity Funds | — | — | — | 984,774,609 | 984,774,609 |
Fixed Income Funds | — | — | — | 1,731,120,302 | 1,731,120,302 |
Money Market Funds | 193,770,869 | — | — | — | 193,770,869 |
Total Investments in Securities | 193,770,869 | — | — | 2,722,352,281 | 2,916,123,150 |
24 | Portfolio Navigator Funds | Semiannual Report 2020 |
Variable Portfolio – Moderately Conservative Portfolio, June 30, 2020 (Unaudited)
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 1,920,042 | — | — | — | 1,920,042 |
Swap Contracts | — | 2,901,997 | — | — | 2,901,997 |
Liability | |||||
Futures Contracts | (2,062,861) | — | — | — | (2,062,861) |
Total | 193,628,050 | 2,901,997 | — | 2,722,352,281 | 2,918,882,328 |
Portfolio Navigator Funds | Semiannual Report 2020 | 25 |
Variable Portfolio – Moderate Portfolio, June 30, 2020 (Unaudited)
Alternative Strategies Funds 0.3% | ||
Shares | Value ($) | |
Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares(a),(b) | 10,192,734 | 46,682,722 |
Total Alternative Strategies Funds (Cost $55,448,474) | 46,682,722 | |
Equity Funds 47.9% | ||
Global Real Estate 0.6% | ||
CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares(a),(b) | 12,025,106 | 100,048,885 |
International 13.4% | ||
Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares(a) | 4,234,443 | 66,523,096 |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(a) | 42,897,239 | 503,613,583 |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares(a) | 40,759,596 | 394,552,887 |
Variable Portfolio - Partners International Core Equity Fund, Class 1 Shares(a) | 69,618,634 | 683,654,989 |
Variable Portfolio - Partners International Growth Fund, Class 1 Shares(a) | 24,477,959 | 270,236,663 |
Variable Portfolio - Partners International Value Fund, Class 1 Shares(a) | 35,252,409 | 265,098,120 |
Total | 2,183,679,338 | |
U.S. Large Cap 29.9% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 10,703,384 | 282,248,224 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 7,853,894 | 446,886,597 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 17,625,237 | 426,178,222 |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 42,042,671 | 499,046,502 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 17,306,356 | 407,910,805 |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares(a),(b) | 11,157,163 | 460,232,963 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares(a),(b) | 12,050,334 | 458,274,188 |
CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 13,979,393 | 354,377,622 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 10,743,411 | 506,444,398 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 15,311,566 | 327,055,056 |
Equity Funds (continued) | ||
Shares | Value ($) | |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares(a),(b) | 30,435,403 | 693,014,138 |
Total | 4,861,668,715 | |
U.S. Mid Cap 1.4% | ||
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(a),(b) | 3,996,779 | 103,276,777 |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(a),(b) | 3,822,074 | 122,306,372 |
Total | 225,583,149 | |
U.S. Small Cap 2.6% | ||
Columbia Variable Portfolio - Small Cap Value Fund, Class 1 Shares(a) | 5,760,122 | 71,540,714 |
Columbia Variable Portfolio - Small Company Growth Fund, Class 1 Shares(a),(b) | 4,992,782 | 106,995,312 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 5,510,050 | 138,743,071 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 4,963,794 | 111,238,616 |
Total | 428,517,713 | |
Total Equity Funds (Cost $6,082,318,635) | 7,799,497,800 | |
Fixed Income Funds 47.2% | ||
Emerging Markets 0.6% | ||
Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares(a) | 11,617,935 | 106,768,823 |
High Yield 0.4% | ||
Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares(a) | 8,068,172 | 59,139,700 |
Investment Grade 45.8% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a),(b) | 132,790,191 | 1,508,496,567 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a),(b) | 14,214,712 | 143,142,148 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a),(b) | 60,242,388 | 754,234,702 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a),(b) | 26,469,238 | 289,838,151 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a),(b) | 109,128,464 | 1,253,886,048 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a),(b) | 95,423,426 | 1,115,499,855 |
26 | Portfolio Navigator Funds | Semiannual Report 2020 |
Variable Portfolio – Moderate Portfolio, June 30, 2020 (Unaudited)
Fixed Income Funds (continued) | ||
Shares | Value ($) | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a),(b) | 94,142,786 | 997,913,531 |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares(a),(b) | 117,856,067 | 1,393,058,712 |
Total | 7,456,069,714 | |
Multisector 0.4% | ||
Columbia Variable Portfolio – Strategic Income Fund, Class 1 Shares(a) | 14,333,231 | 60,486,234 |
Total Fixed Income Funds (Cost $7,073,511,111) | 7,682,464,471 | |
Money Market Funds 3.9% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(a),(c) | 606,839,834 | 606,839,834 |
Columbia Variable Portfolio – Government Money Market Fund, Class 1 Shares, 0.010%(a),(c) | 29,908,129 | 29,908,129 |
Total Money Market Funds (Cost $636,806,320) | 636,747,963 | |
Total Investments in Securities (Cost: $13,848,084,540) | 16,165,392,956 | |
Other Assets & Liabilities, Net | 121,868,851 | |
Net Assets | 16,287,261,807 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
EURO STOXX 50 Index | 8,709 | 09/2020 | EUR | 280,691,070 | 7,758,190 | — |
FTSE 100 Index | 1,045 | 09/2020 | GBP | 64,241,375 | 1,571,695 | — |
Russell 2000 Index E-mini | 733 | 09/2020 | USD | 52,688,040 | 174,880 | — |
S&P 500 Index E-mini | 1,106 | 09/2020 | USD | 170,888,060 | 3,674,707 | — |
SPI 200 Index | 670 | 09/2020 | AUD | 98,691,000 | 739,128 | — |
U.S. Ultra Treasury Bond | 226 | 09/2020 | USD | 49,303,313 | — | (186,340) |
Total | 13,918,600 | (186,340) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
MSCI Emerging Markets Index | (4,863) | 09/2020 | USD | (239,672,955) | — | (6,378,069) |
U.S. Treasury 10-Year Note | (1,936) | 09/2020 | USD | (269,436,750) | — | (730,162) |
Total | — | (7,108,231) |
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America Investment Grade Index, Series 34 | Morgan Stanley | 06/20/2025 | 1.000 | Quarterly | 0.762 | USD | 710,859,000 | 19,645,836 | — | — | 19,645,836 | — |
* | 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. |
Portfolio Navigator Funds | Semiannual Report 2020 | 27 |
Variable Portfolio – Moderate Portfolio, June 30, 2020 (Unaudited)
(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. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | |||||||||
303,607,262 | 980,750,470 | (677,462,258) | (55,640) | 606,839,834 | — | 42,601 | 1,584,425 | 606,839,834 | |
Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares | |||||||||
196,307,358 | — | (147,757,012) | (1,867,624) | 46,682,722 | — | (25,192,012) | — | 10,192,734 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
345,912,549 | — | (30,526,420) | (33,137,905) | 282,248,224 | — | 25,644,155 | — | 10,703,384 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
805,048,172 | — | (219,911,909) | (138,249,666) | 446,886,597 | — | 128,188,665 | — | 7,853,894 | |
Columbia Variable Portfolio – Diversified Absolute Return Fund, Class 1 Shares | |||||||||
144,289,156 | — | (157,761,226) | 13,472,070 | — | — | (16,018,725) | — | — | |
Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares | |||||||||
67,466,544 | 45,118,103 | — | (5,815,824) | 106,768,823 | — | — | 1,713,104 | 11,617,935 | |
Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares | |||||||||
69,442,246 | 8,978,269 | — | (11,897,419) | 66,523,096 | 8,525,085 | — | 453,185 | 4,234,443 | |
Columbia Variable Portfolio – Government Money Market Fund, Class 1 Shares, 0.010% | |||||||||
29,817,207 | 90,922 | — | — | 29,908,129 | 12,256 | — | 77,637 | 29,908,129 | |
Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares | |||||||||
61,640,833 | — | — | (2,501,133) | 59,139,700 | — | — | — | 8,068,172 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
1,502,031,667 | — | (83,648,564) | 90,113,464 | 1,508,496,567 | — | 4,192,586 | — | 132,790,191 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
406,056,276 | — | (7,772,673) | 27,894,619 | 426,178,222 | — | 13,515,327 | — | 17,625,237 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
156,286,262 | — | (18,683,557) | 5,539,443 | 143,142,148 | — | (1,115,327) | — | 14,214,712 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
678,437,984 | — | (14,467,048) | 90,263,766 | 754,234,702 | — | 3,101,182 | — | 60,242,388 | |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares | |||||||||
472,968,005 | 86,422,863 | — | (55,777,285) | 503,613,583 | 6,297,899 | — | 5,177,964 | 42,897,239 | |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares | |||||||||
483,184,015 | 17,166,000 | — | (1,303,513) | 499,046,502 | — | — | — | 42,042,671 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
51,215,413 | 453,613,999 | (11,580,005) | (85,338,602) | 407,910,805 | — | 14,772,340 | — | 17,306,356 | |
Columbia Variable Portfolio - Small Cap Value Fund, Class 1 Shares | |||||||||
90,261,110 | — | — | (18,720,396) | 71,540,714 | — | — | — | 5,760,122 | |
Columbia Variable Portfolio - Small Company Growth Fund, Class 1 Shares | |||||||||
88,971,370 | — | — | 18,023,942 | 106,995,312 | — | — | — | 4,992,782 | |
Columbia Variable Portfolio – Strategic Income Fund, Class 1 Shares | |||||||||
61,202,895 | — | — | (716,661) | 60,486,234 | — | — | — | 14,333,231 | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
298,416,075 | — | (16,890,944) | 8,313,020 | 289,838,151 | — | 677,287 | — | 26,469,238 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
1,066,219,151 | 224,485,000 | (87,660,992) | 50,842,889 | 1,253,886,048 | — | 180,157 | — | 109,128,464 |
28 | Portfolio Navigator Funds | Semiannual Report 2020 |
Variable Portfolio – Moderate Portfolio, June 30, 2020 (Unaudited)
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
CTIVP® – AQR Managed Futures Strategy Fund, Class 1 Shares | |||||||||
127,266,870 | 5,841,744 | (180,659,671) | 47,551,057 | — | — | (49,095,354) | 5,841,744 | — | |
CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares | |||||||||
253,917,827 | — | (139,678,399) | (14,190,543) | 100,048,885 | — | (1,113,400) | — | 12,025,106 | |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares | |||||||||
785,619,235 | 1,151,023 | (308,967,044) | (83,250,327) | 394,552,887 | — | (16,843,814) | 1,151,023 | 40,759,596 | |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
711,571,234 | — | (132,251,843) | (119,086,428) | 460,232,963 | — | 168,599,157 | — | 11,157,163 | |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares | |||||||||
689,466,082 | — | (91,652,087) | (139,539,807) | 458,274,188 | — | 188,095,913 | — | 12,050,334 | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
816,411,859 | — | (136,426,538) | (325,607,699) | 354,377,622 | — | 261,582,612 | — | 13,979,393 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
752,502,447 | — | (101,894,407) | (144,163,642) | 506,444,398 | — | 291,008,707 | — | 10,743,411 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
674,150,745 | — | (100,003,528) | (247,092,161) | 327,055,056 | — | 153,899,622 | — | 15,311,566 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
896,158,780 | 243,066,000 | (80,072,491) | 56,347,566 | 1,115,499,855 | — | 7,768,659 | — | 95,423,426 | |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares | |||||||||
121,182,348 | — | — | (17,905,571) | 103,276,777 | — | — | — | 3,996,779 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
993,717,352 | — | (26,055,628) | 30,251,807 | 997,913,531 | — | 296,717 | — | 94,142,786 | |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares | |||||||||
122,994,345 | — | — | (687,973) | 122,306,372 | — | — | — | 3,822,074 | |
Variable Portfolio – Columbia Wanger International Equities Fund, Class 1 Shares | |||||||||
43,186,973 | 624,519 | (64,144,329) | 20,332,837 | — | — | (33,500,703) | 624,519 | — | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | |||||||||
985,993,199 | 419,249,000 | (84,633,434) | 72,449,947 | 1,393,058,712 | — | 3,207,716 | — | 117,856,067 | |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares | |||||||||
224,165,786 | 559,650,999 | (19,272,604) | (71,530,043) | 693,014,138 | — | 24,647,971 | — | 30,435,403 | |
Variable Portfolio - Partners International Core Equity Fund, Class 1 Shares | |||||||||
736,202,398 | 28,772,515 | — | (81,319,924) | 683,654,989 | 2,237,829 | — | 1,427,685 | 69,618,634 | |
Variable Portfolio - Partners International Growth Fund, Class 1 Shares | |||||||||
258,536,664 | 68,445,729 | (49,922,293) | (6,823,437) | 270,236,663 | 3,026,824 | (6,001,718) | 477,905 | 24,477,959 | |
Variable Portfolio - Partners International Value Fund, Class 1 Shares | |||||||||
254,659,637 | 110,878,010 | (58,789,082) | (41,650,445) | 265,098,120 | — | (14,868,508) | 1,318,010 | 35,252,409 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
139,845,081 | — | — | (1,102,010) | 138,743,071 | — | — | — | 5,510,050 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
144,148,568 | — | — | (32,909,952) | 111,238,616 | — | — | — | 4,963,794 | |
Total | 17,110,478,980 | (1,150,845,203) | 16,165,392,956 | 20,099,893 | 1,125,671,813 | 19,847,201 |
(b) | Non-income producing investment. |
(c) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
Portfolio Navigator Funds | Semiannual Report 2020 | 29 |
Variable Portfolio – Moderate Portfolio, June 30, 2020 (Unaudited)
AUD | Australian Dollar |
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 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Alternative Strategies Funds | — | — | — | 46,682,722 | 46,682,722 |
Equity Funds | — | — | — | 7,799,497,800 | 7,799,497,800 |
Fixed Income Funds | — | — | — | 7,682,464,471 | 7,682,464,471 |
Money Market Funds | 636,747,963 | — | — | — | 636,747,963 |
Total Investments in Securities | 636,747,963 | — | — | 15,528,644,993 | 16,165,392,956 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 13,918,600 | — | — | — | 13,918,600 |
Swap Contracts | — | 19,645,836 | — | — | 19,645,836 |
30 | Portfolio Navigator Funds | Semiannual Report 2020 |
Variable Portfolio – Moderate Portfolio, June 30, 2020 (Unaudited)
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Liability | |||||
Futures Contracts | (7,294,571) | — | — | — | (7,294,571) |
Total | 643,371,992 | 19,645,836 | — | 15,528,644,993 | 16,191,662,821 |
Portfolio Navigator Funds | Semiannual Report 2020 | 31 |
Variable Portfolio – Moderately Aggressive Portfolio, June 30, 2020 (Unaudited)
Alternative Strategies Funds 0.3% | ||
Shares | Value ($) | |
Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares(a),(b) | 4,741,806 | 21,717,469 |
Total Alternative Strategies Funds (Cost $25,780,066) | 21,717,469 | |
Equity Funds 62.3% | ||
Global Real Estate 0.8% | ||
CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares(a),(b) | 7,160,710 | 59,577,106 |
International 16.7% | ||
Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares(a) | 1,614,697 | 25,366,888 |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(a) | 23,512,286 | 276,034,241 |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares(a) | 22,138,391 | 214,299,622 |
Variable Portfolio - Partners International Core Equity Fund, Class 1 Shares(a) | 38,747,145 | 380,496,964 |
Variable Portfolio - Partners International Growth Fund, Class 1 Shares(a) | 13,392,296 | 147,850,950 |
Variable Portfolio - Partners International Value Fund, Class 1 Shares(a) | 19,612,605 | 147,486,791 |
Total | 1,191,535,456 | |
U.S. Large Cap 39.9% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 5,862,171 | 154,585,441 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 4,438,760 | 252,565,442 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 10,439,199 | 252,419,832 |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 25,006,131 | 296,822,777 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 9,831,566 | 231,730,002 |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares(a),(b) | 6,617,578 | 272,975,110 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares(a),(b) | 7,137,830 | 271,451,665 |
CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 7,983,953 | 202,393,210 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 6,487,439 | 305,817,873 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 8,865,483 | 189,366,720 |
Equity Funds (continued) | ||
Shares | Value ($) | |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares(a),(b) | 18,446,193 | 420,019,807 |
Total | 2,850,147,879 | |
U.S. Mid Cap 1.9% | ||
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(a),(b) | 2,423,369 | 62,619,858 |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(a),(b) | 2,289,744 | 73,271,816 |
Total | 135,891,674 | |
U.S. Small Cap 3.0% | ||
Columbia Variable Portfolio - Small Cap Value Fund, Class 1 Shares(a) | 3,107,998 | 38,601,335 |
Columbia Variable Portfolio - Small Company Growth Fund, Class 1 Shares(a),(b) | 2,949,296 | 63,203,408 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 2,540,108 | 63,959,923 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 2,308,723 | 51,738,494 |
Total | 217,503,160 | |
Total Equity Funds (Cost $3,495,208,633) | 4,454,655,275 | |
Fixed Income Funds 29.5% | ||
Emerging Markets 0.6% | ||
Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares(a) | 4,480,813 | 41,178,673 |
High Yield 0.3% | ||
Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares(a) | 2,634,844 | 19,313,403 |
Investment Grade 28.4% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a),(b) | 45,258,357 | 514,134,933 |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a),(b) | 5,699,866 | 57,397,656 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a),(b) | 9,326,955 | 116,773,474 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a),(b) | 9,621,386 | 105,354,172 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a),(b) | 32,335,170 | 371,531,100 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a),(b) | 18,220,210 | 212,994,261 |
32 | Portfolio Navigator Funds | Semiannual Report 2020 |
Variable Portfolio – Moderately Aggressive Portfolio, June 30, 2020 (Unaudited)
Fixed Income Funds (continued) | ||
Shares | Value ($) | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares(a),(b) | 9,883,143 | 104,761,320 |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares(a),(b) | 46,408,882 | 548,552,985 |
Total | 2,031,499,901 | |
Multisector 0.2% | ||
Columbia Variable Portfolio – Strategic Income Fund, Class 1 Shares(a) | 3,108,367 | 13,117,310 |
Total Fixed Income Funds (Cost $1,949,823,622) | 2,105,109,287 | |
Money Market Funds 7.0% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.253%(a),(c) | 502,136,921 | 502,136,921 |
Total Money Market Funds (Cost $502,141,644) | 502,136,921 | |
Total Investments in Securities (Cost: $5,972,953,965) | 7,083,618,952 | |
Other Assets & Liabilities, Net | 61,081,924 | |
Net Assets | 7,144,700,876 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
EURO STOXX 50 Index | 4,825 | 09/2020 | EUR | 155,509,750 | 3,530,242 | — |
FTSE 100 Index | 669 | 09/2020 | GBP | 41,126,775 | 1,006,185 | — |
Russell 2000 Index E-mini | 747 | 09/2020 | USD | 53,694,360 | 178,221 | — |
S&P 500 Index E-mini | 356 | 09/2020 | USD | 55,005,560 | 847,878 | — |
SPI 200 Index | 370 | 09/2020 | AUD | 54,501,000 | 408,175 | — |
U.S. Ultra Treasury Bond | 471 | 09/2020 | USD | 102,751,594 | — | (388,346) |
Total | 5,970,701 | (388,346) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
MSCI Emerging Markets Index | (1,499) | 09/2020 | USD | (73,878,215) | — | (1,966,014) |
U.S. Treasury 10-Year Note | (436) | 09/2020 | USD | (60,678,938) | — | (164,437) |
U.S. Treasury 2-Year Note | (201) | 09/2020 | USD | (44,386,453) | — | (11,354) |
Total | — | (2,141,805) |
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America Investment Grade Index, Series 34 | Morgan Stanley | 06/20/2025 | 1.000 | Quarterly | 0.762 | USD | 340,775,000 | 9,417,915 | — | — | 9,417,915 | — |
* | 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. |
Portfolio Navigator Funds | Semiannual Report 2020 | 33 |
Variable Portfolio – Moderately Aggressive Portfolio, June 30, 2020 (Unaudited)
(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. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | |||||||||
301,359,290 | 491,149,482 | (290,368,453) | (3,398) | 502,136,921 | — | 19,075 | 1,558,667 | 502,136,921 | |
Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares | |||||||||
119,793,415 | 361,961 | (99,731,828) | 1,293,921 | 21,717,469 | — | (20,222,827) | — | 4,741,806 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
153,079,130 | 47,243,353 | (21,637,941) | (24,099,101) | 154,585,441 | — | 17,926,500 | — | 5,862,171 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
444,202,685 | 434,353 | (117,689,097) | (74,382,499) | 252,565,442 | — | 67,234,342 | — | 4,438,760 | |
Columbia Variable Portfolio – Diversified Absolute Return Fund, Class 1 Shares | |||||||||
56,485,533 | 361,961 | (62,490,238) | 5,642,744 | — | — | (6,654,017) | — | — | |
Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares | |||||||||
23,296,150 | 20,190,710 | — | (2,308,187) | 41,178,673 | — | — | 660,711 | 4,480,813 | |
Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares | |||||||||
37,230,078 | 3,858,977 | (9,217,773) | (6,504,394) | 25,366,888 | 3,291,014 | 673,338 | 206,002 | 1,614,697 | |
Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares | |||||||||
20,130,204 | — | — | (816,801) | 19,313,403 | — | — | — | 2,634,844 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
520,718,601 | 579,137 | (37,557,723) | 30,394,918 | 514,134,933 | — | 2,006,716 | — | 45,258,357 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
209,353,044 | 19,873,391 | — | 23,193,397 | 252,419,832 | — | — | — | 10,439,199 | |
Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | |||||||||
60,485,544 | 72,392 | (5,237,013) | 2,076,733 | 57,397,656 | — | (291,457) | — | 5,699,866 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
106,967,482 | 144,784 | (4,204,036) | 13,865,244 | 116,773,474 | — | 741,519 | — | 9,326,955 | |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares | |||||||||
269,045,289 | 48,611,838 | (10,654,176) | (30,968,710) | 276,034,241 | 3,455,840 | (763,066) | 2,860,214 | 23,512,286 | |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares | |||||||||
304,727,794 | — | (6,227,834) | (1,677,183) | 296,822,777 | — | 1,382,166 | — | 25,006,131 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
251,378,290 | 49,447,569 | (19,717,557) | (49,378,300) | 231,730,002 | — | 5,010,218 | — | 9,831,566 | |
Columbia Variable Portfolio - Small Cap Value Fund, Class 1 Shares | |||||||||
53,318,316 | — | (4,350,870) | (10,366,111) | 38,601,335 | — | (865,678) | — | 3,107,998 | |
Columbia Variable Portfolio - Small Company Growth Fund, Class 1 Shares | |||||||||
52,556,451 | — | — | 10,646,957 | 63,203,408 | — | — | — | 2,949,296 | |
Columbia Variable Portfolio – Strategic Income Fund, Class 1 Shares | |||||||||
13,272,728 | — | — | (155,418) | 13,117,310 | — | — | — | 3,108,367 | |
Columbia Variable Portfolio – U.S. Equities Fund, Class 1 Shares | |||||||||
39,228,456 | 144,784 | (31,191,140) | (8,182,100) | — | — | (2,956,782) | — | — | |
Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | |||||||||
102,107,398 | 72,392 | — | 3,174,382 | 105,354,172 | — | — | — | 9,621,386 | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
389,529,168 | 506,745 | (34,263,062) | 15,758,249 | 371,531,100 | — | 355,823 | — | 32,335,170 |
34 | Portfolio Navigator Funds | Semiannual Report 2020 |
Variable Portfolio – Moderately Aggressive Portfolio, June 30, 2020 (Unaudited)
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
CTIVP® – AQR Managed Futures Strategy Fund, Class 1 Shares | |||||||||
64,543,388 | 2,962,640 | (91,273,398) | 23,767,370 | — | — | (24,550,561) | 2,962,640 | — | |
CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares | |||||||||
155,534,358 | — | (88,398,546) | (7,558,706) | 59,577,106 | — | (1,455,546) | — | 7,160,710 | |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares | |||||||||
446,825,215 | 1,004,120 | (193,357,554) | (40,172,159) | 214,299,622 | — | (16,865,780) | 642,160 | 22,138,391 | |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
376,724,788 | 289,569 | (37,012,086) | (67,027,161) | 272,975,110 | — | 95,107,913 | — | 6,617,578 | |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares | |||||||||
376,454,295 | — | (43,221,944) | (61,780,686) | 271,451,665 | — | 89,329,056 | — | 7,137,830 | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
57,423,176 | 245,132,569 | (37,380,507) | (62,782,028) | 202,393,210 | — | 21,966,153 | — | 7,983,953 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
405,364,732 | — | (53,002,796) | (46,544,063) | 305,817,873 | — | 132,353,203 | — | 6,487,439 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
380,381,013 | 434,353 | (55,976,338) | (135,472,308) | 189,366,720 | — | 80,722,322 | — | 8,865,483 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
219,538,097 | 289,569 | (18,007,119) | 11,173,714 | 212,994,261 | — | 1,775,101 | — | 18,220,210 | |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares | |||||||||
73,476,552 | — | — | (10,856,694) | 62,619,858 | — | — | — | 2,423,369 | |
CTIVP® – Wells Fargo Short Duration Government Fund, Class 1 Shares | |||||||||
101,526,864 | 72,392 | — | 3,162,064 | 104,761,320 | — | — | — | 9,883,143 | |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares | |||||||||
73,683,970 | — | — | (412,154) | 73,271,816 | — | — | — | 2,289,744 | |
Variable Portfolio – Columbia Wanger International Equities Fund, Class 1 Shares | |||||||||
28,043,247 | 405,528 | (40,862,919) | 12,414,144 | — | — | (20,964,631) | 405,528 | — | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | |||||||||
356,468,517 | 187,576,961 | (22,830,867) | 27,338,374 | 548,552,985 | — | 1,896,908 | — | 46,408,882 | |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares | |||||||||
245,520,164 | 219,682,176 | (7,779,812) | (37,402,721) | 420,019,807 | — | 12,002,408 | — | 18,446,193 | |
Variable Portfolio - Partners International Core Equity Fund, Class 1 Shares | |||||||||
417,211,171 | 35,281,003 | (27,605,010) | (44,390,200) | 380,496,964 | 1,248,057 | (2,877,234) | 779,985 | 38,747,145 | |
Variable Portfolio - Partners International Growth Fund, Class 1 Shares | |||||||||
147,050,290 | 32,392,784 | (28,287,558) | (3,304,566) | 147,850,950 | 1,656,219 | (3,559,783) | 274,605 | 13,392,296 | |
Variable Portfolio - Partners International Value Fund, Class 1 Shares | |||||||||
146,550,778 | 47,645,469 | (20,904,288) | (25,805,168) | 147,486,791 | — | (6,067,624) | 806,292 | 19,612,605 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
67,208,463 | — | (1,186,694) | (2,061,846) | 63,959,923 | — | 1,286,083 | — | 2,540,108 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
70,200,192 | — | (1,650,922) | (16,810,776) | 51,738,494 | — | 821,855 | — | 2,308,723 | |
Total | 7,737,994,316 | (587,321,227) | 7,083,618,952 | 9,651,130 | 424,515,713 | 11,156,804 |
(b) | Non-income producing investment. |
(c) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
Portfolio Navigator Funds | Semiannual Report 2020 | 35 |
Variable Portfolio – Moderately Aggressive Portfolio, June 30, 2020 (Unaudited)
AUD | Australian Dollar |
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 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Alternative Strategies Funds | — | — | — | 21,717,469 | 21,717,469 |
Equity Funds | — | — | — | 4,454,655,275 | 4,454,655,275 |
Fixed Income Funds | — | — | — | 2,105,109,287 | 2,105,109,287 |
Money Market Funds | 502,136,921 | — | — | — | 502,136,921 |
Total Investments in Securities | 502,136,921 | — | — | 6,581,482,031 | 7,083,618,952 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 5,970,701 | — | — | — | 5,970,701 |
Swap Contracts | — | 9,417,915 | — | — | 9,417,915 |
36 | Portfolio Navigator Funds | Semiannual Report 2020 |
Variable Portfolio – Moderately Aggressive Portfolio, June 30, 2020 (Unaudited)
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Liability | |||||
Futures Contracts | (2,530,151) | — | — | — | (2,530,151) |
Total | 505,577,471 | 9,417,915 | — | 6,581,482,031 | 7,096,477,417 |
Portfolio Navigator Funds | Semiannual Report 2020 | 37 |
Variable Portfolio – Aggressive Portfolio, June 30, 2020 (Unaudited)
Alternative Strategies Funds 0.4% | ||
Shares | Value ($) | |
Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares(a),(b) | 1,973,898 | 9,040,452 |
Total Alternative Strategies Funds (Cost $10,738,004) | 9,040,452 | |
Equity Funds 78.4% | ||
Global Real Estate 1.0% | ||
CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares(a),(b) | 2,820,086 | 23,463,115 |
International 21.6% | ||
Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares(a) | 991,347 | 15,574,063 |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(a) | 9,781,929 | 114,839,843 |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares(a) | 9,218,631 | 89,236,351 |
Variable Portfolio - Partners International Core Equity Fund, Class 1 Shares(a) | 15,715,804 | 154,329,193 |
Variable Portfolio - Partners International Growth Fund, Class 1 Shares(a) | 5,613,330 | 61,971,170 |
Variable Portfolio - Partners International Value Fund, Class 1 Shares(a) | 8,131,393 | 61,148,074 |
Total | 497,098,694 | |
U.S. Large Cap 49.7% | ||
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 2,570,675 | 67,788,705 |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 2,064,248 | 117,455,695 |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 4,228,399 | 102,242,678 |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 10,939,952 | 129,857,228 |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 4,209,600 | 99,220,268 |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares(a),(b) | 2,620,859 | 108,110,432 |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares(a),(b) | 2,814,256 | 107,026,159 |
CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 3,331,261 | 84,447,479 |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 2,522,803 | 118,924,927 |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 3,211,636 | 68,600,548 |
Equity Funds (continued) | ||
Shares | Value ($) | |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares(a),(b) | 6,259,138 | 142,520,572 |
Total | 1,146,194,691 | |
U.S. Mid Cap 2.3% | ||
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(a),(b) | 935,275 | 24,167,508 |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(a),(b) | 888,166 | 28,421,325 |
Total | 52,588,833 | |
U.S. Small Cap 3.8% | ||
Columbia Variable Portfolio - Small Cap Value Fund, Class 1 Shares(a) | 1,248,063 | 15,500,947 |
Columbia Variable Portfolio - Small Company Growth Fund, Class 1 Shares(a),(b) | 1,156,619 | 24,786,347 |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 1,016,567 | 25,597,147 |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 920,125 | 20,619,991 |
Total | 86,504,432 | |
Total Equity Funds (Cost $1,453,352,482) | 1,805,849,765 | |
Fixed Income Funds 15.8% | ||
Emerging Markets 0.5% | ||
Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares(a) | 1,193,338 | 10,966,780 |
High Yield 0.0% | ||
Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares(a) | 6,602 | 48,390 |
Investment Grade 15.2% | ||
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a),(b) | 7,948,887 | 90,299,355 |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a),(b) | 3,778,613 | 47,308,230 |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a),(b) | 7,076,694 | 81,311,216 |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a),(b) | 5,277,946 | 61,699,191 |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares(a),(b) | 5,878,633 | 69,485,438 |
Total | 350,103,430 |
38 | Portfolio Navigator Funds | Semiannual Report 2020 |
Variable Portfolio – Aggressive Portfolio, June 30, 2020 (Unaudited)
Fixed Income Funds (continued) | ||
Shares | Value ($) | |
Multisector 0.1% | ||
Columbia Variable Portfolio – Strategic Income Fund, Class 1 Shares(a) | 679,799 | 2,868,753 |
Total Fixed Income Funds (Cost $335,021,231) | 363,987,353 | |
Money Market Funds 4.5% | ||
Columbia Short-Term Cash Fund, 0.253%(a),(c) | 105,158,545 | 105,158,545 |
Total Money Market Funds (Cost $105,163,145) | 105,158,545 | |
Total Investments in Securities (Cost: $1,904,274,862) | 2,284,036,115 | |
Other Assets & Liabilities, Net | 20,056,178 | |
Net Assets | 2,304,092,293 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
EURO STOXX 50 Index | 1,814 | 09/2020 | EUR | 58,465,220 | 1,103,717 | — |
FTSE 100 Index | 257 | 09/2020 | GBP | 15,799,075 | 386,531 | — |
Russell 2000 Index E-mini | 302 | 09/2020 | USD | 21,707,760 | 72,052 | — |
SPI 200 Index | 162 | 09/2020 | AUD | 23,862,600 | 178,715 | — |
Total | 1,741,015 | — |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
MSCI Emerging Markets Index | (708) | 09/2020 | USD | (34,893,780) | — | (928,578) |
S&P 500 Index E-mini | (44) | 09/2020 | USD | (6,798,440) | — | (146,409) |
U.S. Ultra Treasury Bond | (13) | 09/2020 | USD | (2,836,031) | 10,638 | — |
Total | 10,638 | (1,074,987) |
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America Investment Grade Index, Series 34 | Morgan Stanley | 06/20/2025 | 1.000 | Quarterly | 0.762 | USD | 83,555,000 | 2,309,189 | — | — | 2,309,189 | — |
* | 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. |
Portfolio Navigator Funds | Semiannual Report 2020 | 39 |
Variable Portfolio – Aggressive Portfolio, June 30, 2020 (Unaudited)
(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. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2020 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Short-Term Cash Fund, 0.253% | |||||||||
60,455,523 | 123,883,398 | (79,176,043) | (4,333) | 105,158,545 | — | 6,294 | 310,915 | 105,158,545 | |
Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares | |||||||||
43,123,694 | — | (34,522,613) | 439,371 | 9,040,452 | — | (7,400,612) | — | 1,973,898 | |
Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | |||||||||
70,938,338 | 8,179,484 | (5,227,529) | (6,101,588) | 67,788,705 | — | 4,472,820 | — | 2,570,675 | |
Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | |||||||||
166,160,674 | 672,553 | (26,419,702) | (22,957,830) | 117,455,695 | — | 19,796,411 | — | 2,064,248 | |
Columbia Variable Portfolio – Diversified Absolute Return Fund, Class 1 Shares | |||||||||
11,555,241 | 835,963 | (13,433,939) | 1,042,735 | — | — | (1,248,544) | — | — | |
Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares | |||||||||
5,083,339 | 6,524,961 | — | (641,520) | 10,966,780 | — | — | 175,962 | 1,193,338 | |
Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares | |||||||||
16,049,121 | 2,268,936 | — | (2,743,994) | 15,574,063 | 1,995,851 | — | 104,946 | 991,347 | |
Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares | |||||||||
50,437 | — | — | (2,047) | 48,390 | — | — | — | 6,602 | |
Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | |||||||||
64,708,748 | 27,135,000 | (6,571,316) | 5,026,923 | 90,299,355 | — | 357,504 | — | 7,948,887 | |
Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | |||||||||
154,065,344 | 504,415 | (24,575,727) | (27,751,354) | 102,242,678 | — | 40,153,273 | — | 4,228,399 | |
Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | |||||||||
41,526,953 | — | — | 5,781,277 | 47,308,230 | — | — | — | 3,778,613 | |
Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares | |||||||||
109,892,581 | 20,628,182 | (2,934,976) | (12,745,944) | 114,839,843 | 1,437,307 | (163,448) | 1,183,318 | 9,781,929 | |
Columbia Variable Portfolio - Select Large Cap Equity Fund, Class 1 Shares | |||||||||
105,830,137 | 24,917,364 | — | (890,273) | 129,857,228 | — | — | — | 10,939,952 | |
Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares | |||||||||
142,407,718 | 588,484 | (16,140,953) | (27,634,981) | 99,220,268 | — | 8,102,688 | — | 4,209,600 | |
Columbia Variable Portfolio - Small Cap Value Fund, Class 1 Shares | |||||||||
20,908,894 | 946 | (1,275,247) | (4,133,646) | 15,500,947 | — | (255,560) | — | 1,248,063 | |
Columbia Variable Portfolio - Small Company Growth Fund, Class 1 Shares | |||||||||
20,610,127 | 946 | — | 4,175,274 | 24,786,347 | — | — | — | 1,156,619 | |
Columbia Variable Portfolio – Strategic Income Fund, Class 1 Shares | |||||||||
2,902,743 | — | — | (33,990) | 2,868,753 | — | — | — | 679,799 | |
Columbia Variable Portfolio – U.S. Equities Fund, Class 1 Shares | |||||||||
16,323,421 | 167,193 | (13,388,247) | (3,102,367) | — | — | (1,620,743) | — | — | |
CTIVP® – American Century Diversified Bond Fund, Class 1 Shares | |||||||||
99,264,749 | — | (21,053,925) | 3,100,392 | 81,311,216 | — | 600,895 | — | 7,076,694 | |
CTIVP® – AQR Managed Futures Strategy Fund, Class 1 Shares | |||||||||
13,360,404 | 613,263 | (18,703,365) | 4,729,698 | — | — | (4,891,817) | 613,263 | — | |
CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares | |||||||||
58,345,605 | — | (32,705,291) | (2,177,199) | 23,463,115 | — | (1,439,291) | — | 2,820,086 |
40 | Portfolio Navigator Funds | Semiannual Report 2020 |
Variable Portfolio – Aggressive Portfolio, June 30, 2020 (Unaudited)
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
CTIVP® – Lazard International Equity Advantage Fund, Class 1 Shares | |||||||||
182,233,719 | 850,926 | (76,745,524) | (17,102,770) | 89,236,351 | — | (5,971,175) | 262,442 | 9,218,631 | |
CTIVP® – Loomis Sayles Growth Fund, Class 1 Shares | |||||||||
131,049,588 | 504,415 | (17,533,038) | (5,910,533) | 108,110,432 | — | 16,566,963 | — | 2,620,859 | |
CTIVP® – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares | |||||||||
128,157,765 | 168,138 | (10,912,109) | (10,387,635) | 107,026,159 | — | 20,498,890 | — | 2,814,256 | |
CTIVP® – MFS® Value Fund, Class 1 Shares | |||||||||
35,592,771 | 83,931,346 | (12,412,208) | (22,664,430) | 84,447,479 | — | 6,988,491 | — | 3,331,261 | |
CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares | |||||||||
94,299,867 | 336,276 | (1,720,594) | 26,009,378 | 118,924,927 | — | 3,492,406 | — | 2,522,803 | |
CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares | |||||||||
111,413,153 | 588,484 | (10,700,969) | (32,700,120) | 68,600,548 | — | 13,926,729 | — | 3,211,636 | |
CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares | |||||||||
59,456,587 | — | (1,262,020) | 3,504,624 | 61,699,191 | — | 123,743 | — | 5,277,946 | |
CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares | |||||||||
28,302,874 | 42,035 | — | (4,177,401) | 24,167,508 | — | — | — | 935,275 | |
CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares | |||||||||
28,531,743 | 42,034 | — | (152,452) | 28,421,325 | — | — | — | 888,166 | |
Variable Portfolio – Columbia Wanger International Equities Fund, Class 1 Shares | |||||||||
10,124,336 | 146,406 | (14,460,132) | 4,189,390 | — | — | (7,276,336) | 146,406 | — | |
Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | |||||||||
56,578,032 | 10,458,000 | (1,297,619) | 3,747,025 | 69,485,438 | — | 88,145 | — | 5,878,633 | |
Variable Portfolio - Partners Core Equity Fund, Class 1 Shares | |||||||||
78,978,727 | 78,998,346 | (3,808,426) | (11,648,075) | 142,520,572 | — | 3,120,394 | — | 6,259,138 | |
Variable Portfolio - Partners International Core Equity Fund, Class 1 Shares | |||||||||
170,147,504 | 12,866,557 | (11,515,693) | (17,169,175) | 154,329,193 | 506,259 | (1,815,344) | 318,815 | 15,715,804 | |
Variable Portfolio - Partners International Growth Fund, Class 1 Shares | |||||||||
60,289,821 | 12,521,110 | (9,097,074) | (1,742,687) | 61,971,170 | 693,714 | (782,489) | 114,981 | 5,613,330 | |
Variable Portfolio - Partners International Value Fund, Class 1 Shares | |||||||||
59,609,366 | 21,320,735 | (9,590,396) | (10,191,631) | 61,148,074 | — | (2,661,576) | 325,390 | 8,131,393 | |
Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | |||||||||
26,499,117 | 42,035 | (483,640) | (460,365) | 25,597,147 | — | 209,242 | — | 1,016,567 | |
Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | |||||||||
27,522,435 | 42,035 | (470,704) | (6,473,775) | 20,619,991 | — | 222,178 | — | 920,125 | |
Total | 2,512,351,196 | (189,956,028) | 2,284,036,115 | 4,633,131 | 103,200,131 | 3,556,438 |
(b) | Non-income producing investment. |
(c) | The rate shown is the seven-day current annualized yield at June 30, 2020. |
AUD | Australian Dollar |
EUR | Euro |
GBP | British Pound |
USD | US Dollar |
Portfolio Navigator Funds | Semiannual Report 2020 | 41 |
Variable Portfolio – Aggressive Portfolio, June 30, 2020 (Unaudited)
■ | 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 | — | — | — | 9,040,452 | 9,040,452 |
Equity Funds | — | — | — | 1,805,849,765 | 1,805,849,765 |
Fixed Income Funds | — | — | — | 363,987,353 | 363,987,353 |
Money Market Funds | 105,158,545 | — | — | — | 105,158,545 |
Total Investments in Securities | 105,158,545 | — | — | 2,178,877,570 | 2,284,036,115 |
Investments in Derivatives | |||||
Asset | |||||
Futures Contracts | 1,751,653 | — | — | — | 1,751,653 |
Swap Contracts | — | 2,309,189 | — | — | 2,309,189 |
Liability | |||||
Futures Contracts | (1,074,987) | — | — | — | (1,074,987) |
Total | 105,835,211 | 2,309,189 | — | 2,178,877,570 | 2,287,021,970 |
42 | Portfolio Navigator Funds | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Variable Portfolio – Conservative Portfolio | Variable Portfolio – Moderately Conservative Portfolio | Variable Portfolio – Moderate Portfolio | |
Assets | |||
Investments in securities, at value | |||
Affiliated issuers (cost $1,126,586,481, $2,588,874,151, $13,848,084,540, respectively) | $1,223,774,760 | $2,916,123,150 | $16,165,392,956 |
Margin deposits on: | |||
Futures contracts | 8,582,438 | 12,643,379 | 92,064,282 |
Swap contracts | — | 3,954,585 | 26,771,609 |
Receivable for: | |||
Investments sold | 623,268 | 1,237,497 | 18,390,844 |
Capital shares sold | 320,093 | 1,017,452 | — |
Dividends | 12,430 | 40,198 | 136,714 |
Variation margin for futures contracts | 52,500 | 512,184 | 5,423,686 |
Variation margin for swap contracts | — | 146,069 | 988,853 |
Expense reimbursement due from Investment Manager | — | 1,880 | — |
Total assets | 1,233,365,489 | 2,935,676,394 | 16,309,168,944 |
Liabilities | |||
Payable for: | |||
Capital shares purchased | 943,361 | 2,254,949 | 18,390,844 |
Variation margin for futures contracts | 599,596 | 470,577 | 1,809,235 |
Management services fees | 1,918 | 5,371 | 22,738 |
Distribution and/or service fees | 8,396 | 19,931 | 110,684 |
Service fees | 60,277 | 143,716 | 800,362 |
Compensation of board members | 70,272 | 139,583 | 580,086 |
Compensation of chief compliance officer | 120 | 347 | 2,004 |
Other expenses | 23,968 | 45,069 | 191,184 |
Total liabilities | 1,707,908 | 3,079,543 | 21,907,137 |
Net assets applicable to outstanding capital stock | $1,231,657,581 | $2,932,596,851 | $16,287,261,807 |
Represented by | |||
Trust capital | $1,231,657,581 | $2,932,596,851 | $16,287,261,807 |
Total - representing net assets applicable to outstanding capital stock | $1,231,657,581 | $2,932,596,851 | $16,287,261,807 |
Class 1 | |||
Net assets | $120,166 | $747,689 | $5,914,237 |
Shares outstanding | 7,832 | 44,302 | 318,967 |
Net asset value per share | $15.34 | $16.88 | $18.54 |
Class 2 | |||
Net assets | $632,106,411 | $1,448,058,350 | $7,884,822,803 |
Shares outstanding | 41,350,849 | 86,057,657 | 426,119,978 |
Net asset value per share | $15.29 | $16.83 | $18.50 |
Class 4 | |||
Net assets | $599,431,004 | $1,483,790,812 | $8,396,524,767 |
Shares outstanding | 39,226,791 | 88,015,386 | 453,183,629 |
Net asset value per share | $15.28 | $16.86 | $18.53 |
Portfolio Navigator Funds | Semiannual Report 2020 | 43 |
June 30, 2020 (Unaudited)
Variable Portfolio – Moderately Aggressive Portfolio | Variable Portfolio – Aggressive Portfolio | |
Assets | ||
Investments in securities, at value | ||
Affiliated issuers (cost $5,972,953,965, $1,904,274,862, respectively) | $7,083,618,952 | $2,284,036,115 |
Margin deposits on: | ||
Futures contracts | 47,094,261 | 16,662,750 |
Swap contracts | 12,833,902 | 3,146,759 |
Receivable for: | ||
Investments sold | 9,020,842 | 2,587,640 |
Capital shares sold | 16,901 | 14,330 |
Dividends | 112,601 | 23,678 |
Variation margin for futures contracts | 2,330,789 | 815,754 |
Variation margin for swap contracts | 474,041 | 116,231 |
Total assets | 7,155,502,289 | 2,307,403,257 |
Liabilities | ||
Payable for: | ||
Capital shares purchased | 9,037,743 | 2,601,970 |
Variation margin for futures contracts | 944,787 | 426,492 |
Management services fees | 14,697 | 3,723 |
Distribution and/or service fees | 48,379 | 15,564 |
Service fees | 351,776 | 113,245 |
Compensation of board members | 305,851 | 109,929 |
Compensation of chief compliance officer | 933 | 298 |
Other expenses | 97,247 | 39,743 |
Total liabilities | 10,801,413 | 3,310,964 |
Net assets applicable to outstanding capital stock | $7,144,700,876 | $2,304,092,293 |
Represented by | ||
Trust capital | $7,144,700,876 | $2,304,092,293 |
Total - representing net assets applicable to outstanding capital stock | $7,144,700,876 | $2,304,092,293 |
Class 1 | ||
Net assets | $19,203,438 | $7,529,987 |
Shares outstanding | 962,098 | 353,582 |
Net asset value per share | $19.96 | $21.30 |
Class 2 | ||
Net assets | $3,932,616,498 | $1,299,427,824 |
Shares outstanding | 197,452,138 | 61,098,874 |
Net asset value per share | $19.92 | $21.27 |
Class 4 | ||
Net assets | $3,192,880,940 | $997,134,482 |
Shares outstanding | 160,061,447 | 46,810,853 |
Net asset value per share | $19.95 | $21.30 |
44 | Portfolio Navigator Funds | Semiannual Report 2020 |
Six Months Ended June 30, 2020 (Unaudited)
Variable Portfolio – Conservative Portfolio | Variable Portfolio – Moderately Conservative Portfolio | Variable Portfolio – Moderate Portfolio | |
Net investment income | |||
Income: | |||
Dividends — affiliated issuers | $1,172,547 | $3,367,745 | $19,847,201 |
Other income | 1,795 | 9,087 | 14,828 |
Total income | 1,174,342 | 3,376,832 | 19,862,029 |
Expenses: | |||
Management services fees | 309,489 | 817,404 | 3,306,153 |
Distribution and/or service fees | |||
Class 2 | 703,869 | 1,763,120 | 9,616,880 |
Class 4 | 712,494 | 1,840,137 | 10,450,463 |
Service fees | 340,507 | 864,486 | 4,813,827 |
Compensation of board members | 9,705 | 19,148 | 90,963 |
Custodian fees | 9,488 | 9,723 | 10,128 |
Printing and postage fees | 8,621 | 21,622 | 114,776 |
Audit fees | 5,470 | 5,470 | 5,470 |
Legal fees | 9,229 | 18,298 | 84,509 |
Compensation of chief compliance officer | 115 | 315 | 1,775 |
Other | 8,259 | 18,978 | 96,692 |
Total expenses | 2,117,246 | 5,378,701 | 28,591,636 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | — | (189,772) | — |
Total net expenses | 2,117,246 | 5,188,929 | 28,591,636 |
Net investment loss | (942,904) | (1,812,097) | (8,729,607) |
Realized and unrealized gain (loss) — net | |||
Net realized gain (loss) on: | |||
Investments — affiliated issuers | 12,233,999 | 111,247,008 | 1,125,671,813 |
Capital gain distributions from underlying affiliated funds | 1,696,392 | 2,687,525 | 20,099,893 |
Foreign currency translations | 9,774 | 268,809 | 2,397,623 |
Futures contracts | (9,136,635) | (5,387,931) | (69,480,099) |
Swap contracts | (634,336) | (2,700,380) | (18,280,936) |
Net realized gain | 4,169,194 | 106,115,031 | 1,060,408,294 |
Net change in unrealized appreciation (depreciation) on: | |||
Investments — affiliated issuers | 30,570,231 | (81,592,114) | (1,150,845,203) |
Foreign currency translations | 53,202 | 88,446 | 408,788 |
Futures contracts | (972,021) | 5,992,054 | 43,857,073 |
Swap contracts | (156,626) | 2,164,280 | 14,651,667 |
Net change in unrealized appreciation (depreciation) | 29,494,786 | (73,347,334) | (1,091,927,675) |
Net realized and unrealized gain (loss) | 33,663,980 | 32,767,697 | (31,519,381) |
Net increase (decrease) in net assets resulting from operations | $32,721,076 | $30,955,600 | $(40,248,988) |
Portfolio Navigator Funds | Semiannual Report 2020 | 45 |
Six Months Ended June 30, 2020 (Unaudited)
Variable Portfolio – Moderately Aggressive Portfolio | Variable Portfolio – Aggressive Portfolio | |
Net investment income | ||
Income: | ||
Dividends — affiliated issuers | $11,156,804 | $3,556,438 |
Other income | (6,456) | (3,563) |
Total income | 11,150,348 | 3,552,875 |
Expenses: | ||
Management services fees | 2,163,767 | 541,661 |
Distribution and/or service fees | ||
Class 2 | 4,842,202 | 1,591,821 |
Class 4 | 4,004,246 | 1,239,316 |
Service fees | 2,124,951 | 680,269 |
Compensation of board members | 41,421 | 16,180 |
Custodian fees | 11,076 | 9,928 |
Printing and postage fees | 54,109 | 18,120 |
Audit fees | 5,470 | 5,470 |
Legal fees | 39,520 | 15,184 |
Compensation of chief compliance officer | 784 | 257 |
Other | 45,518 | 16,228 |
Total expenses | 13,333,064 | 4,134,434 |
Net investment loss | (2,182,716) | (581,559) |
Realized and unrealized gain (loss) — net | ||
Net realized gain (loss) on: | ||
Investments — affiliated issuers | 424,515,713 | 103,200,131 |
Capital gain distributions from underlying affiliated funds | 9,651,130 | 4,633,131 |
Foreign currency translations | 1,018,937 | 403,201 |
Futures contracts | (4,394,027) | (10,286,381) |
Swap contracts | (8,763,601) | (2,148,756) |
Net realized gain | 422,028,152 | 95,801,326 |
Net change in unrealized appreciation (depreciation) on: | ||
Investments — affiliated issuers | (587,321,227) | (189,956,028) |
Foreign currency translations | 430,745 | 120,125 |
Futures contracts | 16,321,816 | 3,601,245 |
Swap contracts | 7,023,785 | 1,722,169 |
Net change in unrealized appreciation (depreciation) | (563,544,881) | (184,512,489) |
Net realized and unrealized loss | (141,516,729) | (88,711,163) |
Net decrease in net assets resulting from operations | $(143,699,445) | $(89,292,722) |
46 | Portfolio Navigator Funds | Semiannual Report 2020 |
Variable Portfolio – Conservative Portfolio | Variable Portfolio – Moderately Conservative Portfolio | |||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||||
Net investment income (loss) | $(942,904) | $20,186,362 | $(1,812,097) | $46,121,408 |
Net realized gain | 4,169,194 | 12,195,227 | 106,115,031 | 65,617,289 |
Net change in unrealized appreciation (depreciation) | 29,494,786 | 74,141,904 | (73,347,334) | 264,799,042 |
Net increase in net assets resulting from operations | 32,721,076 | 106,523,493 | 30,955,600 | 376,537,739 |
Increase (decrease) in net assets from capital stock activity | 115,556,995 | (44,184,461) | (125,189,481) | (239,794,040) |
Total increase (decrease) in net assets | 148,278,071 | 62,339,032 | (94,233,881) | 136,743,699 |
Net assets at beginning of period | 1,083,379,510 | 1,021,040,478 | 3,026,830,732 | 2,890,087,033 |
Net assets at end of period | $1,231,657,581 | $1,083,379,510 | $2,932,596,851 | $3,026,830,732 |
Variable Portfolio – Conservative Portfolio | Variable Portfolio – Moderately Conservative Portfolio | |||||||
Six Months Ended | Year Ended | Six Months Ended | Year Ended | |||||
June 30, 2020 (Unaudited) | December 31, 2019 | June 30, 2020 (Unaudited) | December 31, 2019 | |||||
Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||||||
Class 1 | ||||||||
Subscriptions | 17,421 | 261,971 | 11,645 | 172,115 | 38,937 | 657,054 | 9,727 | 158,681 |
Redemptions | (21,132) | (319,836) | (102) | (1,467) | (3,993) | (64,182) | (369) | (5,968) |
Net increase (decrease) | (3,711) | (57,865) | 11,543 | 170,648 | 34,944 | 592,872 | 9,358 | 152,713 |
Class 2 | ||||||||
Subscriptions | 8,236,187 | 120,494,026 | 5,071,785 | 73,533,204 | 2,259,519 | 37,299,270 | 4,557,665 | 72,994,838 |
Redemptions | (1,727,564) | (25,820,686) | (3,615,856) | (51,744,812) | (4,240,195) | (68,673,522) | (6,053,368) | (95,467,719) |
Net increase (decrease) | 6,508,623 | 94,673,340 | 1,455,929 | 21,788,392 | (1,980,676) | (31,374,252) | (1,495,703) | (22,472,881) |
Class 4 | ||||||||
Subscriptions | 4,106,403 | 58,936,973 | 2,039,641 | 29,588,105 | 717,615 | 11,583,357 | 707,934 | 11,329,146 |
Redemptions | (2,544,316) | (37,995,453) | (6,681,070) | (95,731,606) | (6,509,830) | (105,991,458) | (14,444,813) | (228,803,018) |
Net increase (decrease) | 1,562,087 | 20,941,520 | (4,641,429) | (66,143,501) | (5,792,215) | (94,408,101) | (13,736,879) | (217,473,872) |
Total net increase (decrease) | 8,066,999 | 115,556,995 | (3,173,957) | (44,184,461) | (7,737,947) | (125,189,481) | (15,223,224) | (239,794,040) |
Portfolio Navigator Funds | Semiannual Report 2020 | 47 |
Variable Portfolio – Moderate Portfolio | Variable Portfolio – Moderately Aggressive Portfolio | |||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||||
Net investment income (loss) | $(8,729,607) | $210,275,773 | $(2,182,716) | $76,281,640 |
Net realized gain | 1,060,408,294 | 561,036,589 | 422,028,152 | 471,336,977 |
Net change in unrealized appreciation (depreciation) | (1,091,927,675) | 1,771,253,395 | (563,544,881) | 798,917,724 |
Net increase (decrease) in net assets resulting from operations | (40,248,988) | 2,542,565,757 | (143,699,445) | 1,346,536,341 |
Decrease in net assets from capital stock activity | (855,892,556) | (1,685,092,034) | (476,562,624) | (1,223,596,112) |
Total increase (decrease) in net assets | (896,141,544) | 857,473,723 | (620,262,069) | 122,940,229 |
Net assets at beginning of period | 17,183,403,351 | 16,325,929,628 | 7,764,962,945 | 7,642,022,716 |
Net assets at end of period | $16,287,261,807 | $17,183,403,351 | $7,144,700,876 | $7,764,962,945 |
Variable Portfolio – Moderate Portfolio | Variable Portfolio – Moderately Aggressive Portfolio | |||||||
Six Months Ended | Year Ended | Six Months Ended | Year Ended | |||||
June 30, 2020 (Unaudited) | December 31, 2019 | June 30, 2020 (Unaudited) | December 31, 2019 | |||||
Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||||||
Class 1 | ||||||||
Subscriptions | 153,060 | 2,731,305 | 207,338 | 3,698,450 | 493,078 | 9,572,008 | 531,073 | 10,217,090 |
Redemptions | (18,336) | (334,080) | (23,095) | (420,402) | (21,235) | (416,504) | (40,818) | (780,699) |
Net increase | 134,724 | 2,397,225 | 184,243 | 3,278,048 | 471,843 | 9,155,504 | 490,255 | 9,436,391 |
Class 2 | ||||||||
Subscriptions | 1,422,994 | 25,627,889 | 4,800,221 | 84,481,065 | 1,117,205 | 22,289,743 | 658,167 | 12,654,981 |
Redemptions | (15,427,446) | (272,626,482) | (22,575,202) | (394,588,333) | (11,594,701) | (222,975,981) | (28,331,168) | (536,531,795) |
Net decrease | (14,004,452) | (246,998,593) | (17,774,981) | (310,107,268) | (10,477,496) | (200,686,238) | (27,673,001) | (523,876,814) |
Class 4 | ||||||||
Subscriptions | 322,456 | 5,901,747 | 191,644 | 3,297,703 | 64,820 | 1,253,220 | 128,269 | 2,411,563 |
Redemptions | (34,787,281) | (617,192,935) | (78,918,045) | (1,381,560,517) | (14,961,997) | (286,285,110) | (37,551,062) | (711,567,252) |
Net decrease | (34,464,825) | (611,291,188) | (78,726,401) | (1,378,262,814) | (14,897,177) | (285,031,890) | (37,422,793) | (709,155,689) |
Total net decrease | (48,334,553) | (855,892,556) | (96,317,139) | (1,685,092,034) | (24,902,830) | (476,562,624) | (64,605,539) | (1,223,596,112) |
48 | Portfolio Navigator Funds | Semiannual Report 2020 |
Variable Portfolio – Aggressive Portfolio | ||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, 2019 | |
Operations | ||
Net investment income (loss) | $(581,559) | $16,136,464 |
Net realized gain | 95,801,326 | 198,371,072 |
Net change in unrealized appreciation (depreciation) | (184,512,489) | 273,568,522 |
Net increase (decrease) in net assets resulting from operations | (89,292,722) | 488,076,058 |
Decrease in net assets from capital stock activity | (127,200,619) | (348,718,015) |
Total increase (decrease) in net assets | (216,493,341) | 139,358,043 |
Net assets at beginning of period | 2,520,585,634 | 2,381,227,591 |
Net assets at end of period | $2,304,092,293 | $2,520,585,634 |
Variable Portfolio – Aggressive Portfolio | ||||
Six Months Ended | Year Ended | |||
June 30, 2020 (Unaudited) | December 31, 2019 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Subscriptions | 178,069 | 3,622,729 | 199,413 | 4,143,568 |
Redemptions | (9,901) | (209,764) | (13,999) | (292,813) |
Net increase | 168,168 | 3,412,965 | 185,414 | 3,850,755 |
Class 2 | ||||
Subscriptions | 699,980 | 13,700,306 | 644,563 | 13,134,931 |
Redemptions | (3,343,985) | (68,142,660) | (8,806,463) | (179,890,637) |
Net decrease | (2,644,005) | (54,442,354) | (8,161,900) | (166,755,706) |
Class 4 | ||||
Subscriptions | 187,693 | 3,533,090 | 144,611 | 2,958,408 |
Redemptions | (3,832,976) | (79,704,320) | (9,203,891) | (188,771,472) |
Net decrease | (3,645,283) | (76,171,230) | (9,059,280) | (185,813,064) |
Total net decrease | (6,121,120) | (127,200,619) | (17,035,766) | (348,718,015) |
Portfolio Navigator Funds | Semiannual Report 2020 | 49 |
Variable Portfolio – Conservative Portfolio
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $14.98 | 0.00(c) | 0.36 | 0.36 |
Year Ended 12/31/2019(e) | $13.95 | 0.13 | 0.90 | 1.03 |
Class 2 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $14.94 | (0.01) | 0.36 | 0.35 |
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 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $14.94 | (0.01) | 0.35 | 0.34 |
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) | Rounds to zero. |
(d) | Annualized. |
(e) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
50 | Portfolio Navigator Funds | Semiannual Report 2020 |
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 (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $15.34 | 2.40% | 0.12%(d) | 0.12%(d) | 0.07%(d) | 20% | $120 |
Year Ended 12/31/2019(e) | $14.98 | 7.38% | 0.13%(d) | 0.13%(d) | 1.10%(d) | 18% | $173 |
Class 2 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $15.29 | 2.34% | 0.37%(d) | 0.37%(d) | (0.17%)(d) | 20% | $632,106 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $15.28 | 2.28% | 0.37%(d) | 0.37%(d) | (0.17%)(d) | 20% | $599,431 |
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 | Semiannual Report 2020 | 51 |
Variable Portfolio – Moderately Conservative Portfolio
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $16.66 | 0.01 | 0.21 | 0.22 |
Year Ended 12/31/2019(d) | $15.35 | 0.26 | 1.05 | 1.31 |
Class 2 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $16.63 | (0.01) | 0.21 | 0.20 |
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 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $16.66 | (0.01) | 0.21 | 0.20 |
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) | Annualized. |
(d) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
52 | Portfolio Navigator Funds | Semiannual Report 2020 |
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 (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $16.88 | 1.32% | 0.13%(c) | 0.11%(c) | 0.18%(c) | 14% | $748 |
Year Ended 12/31/2019(d) | $16.66 | 8.53% | 0.12%(c) | 0.11%(c) | 1.91%(c) | 12% | $156 |
Class 2 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $16.83 | 1.20% | 0.37%(c) | 0.36%(c) | (0.12%)(c) | 14% | $1,448,058 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $16.86 | 1.20% | 0.37%(c) | 0.36%(c) | (0.13%)(c) | 14% | $1,483,791 |
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 | Semiannual Report 2020 | 53 |
Variable Portfolio – Moderate Portfolio
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $18.52 | 0.01 | 0.01(c) | 0.02 |
Year Ended 12/31/2019(e) | $16.92 | 0.21 | 1.39 | 1.60 |
Class 2 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $18.50 | (0.01) | 0.01(c) | 0.00 |
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 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $18.53 | (0.01) | 0.01(c) | 0.00 |
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) | 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) | Annualized. |
(e) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
54 | Portfolio Navigator Funds | Semiannual Report 2020 |
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 (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $18.54 | 0.11% | 0.11%(d) | 0.11%(d) | 0.15%(d) | 14% | $5,914 |
Year Ended 12/31/2019(e) | $18.52 | 9.46% | 0.10%(d) | 0.10%(d) | 1.38%(d) | 9% | $3,412 |
Class 2 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $18.50 | 0.00% | 0.36%(d) | 0.36%(d) | (0.11%)(d) | 14% | $7,884,823 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $18.53 | 0.00% | 0.36%(d) | 0.36%(d) | (0.11%)(d) | 14% | $8,396,525 |
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 | Semiannual Report 2020 | 55 |
Variable Portfolio – Moderately Aggressive Portfolio
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $20.26 | 0.02 | (0.32) | (0.30) |
Year Ended 12/31/2019(d) | $18.37 | 0.18 | 1.71 | 1.89 |
Class 2 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $20.24 | (0.01) | (0.31) | (0.32) |
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 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $20.27 | (0.01) | (0.31) | (0.32) |
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) | Annualized. |
(d) | Class 1 shares are based on operations from February 20, 2019 (commencement of operations) through the stated period end. |
56 | Portfolio Navigator Funds | Semiannual Report 2020 |
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 (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $19.96 | (1.48%) | 0.13%(c) | 0.13%(c) | 0.21%(c) | 14% | $19,203 |
Year Ended 12/31/2019(d) | $20.26 | 10.29% | 0.12%(c) | 0.12%(c) | 1.11%(c) | 10% | $9,932 |
Class 2 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $19.92 | (1.58%) | 0.38%(c) | 0.38%(c) | (0.06%)(c) | 14% | $3,932,616 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $19.95 | (1.58%) | 0.38%(c) | 0.38%(c) | (0.06%)(c) | 14% | $3,192,881 |
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 | Semiannual Report 2020 | 57 |
Variable Portfolio – Aggressive Portfolio
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | |
Class 1 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $22.02 | 0.02 | (0.74) | (0.72) |
Year Ended 12/31/2019(d) | $19.79 | 0.14 | 2.09 | 2.23 |
Class 2 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $22.02 | (0.01) | (0.74) | (0.75) |
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 | ||||
Six Months Ended 6/30/2020 (Unaudited) | $22.06 | (0.01) | (0.75) | (0.76) |
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) | Annualized. |
(d) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
58 | Portfolio Navigator Funds | Semiannual Report 2020 |
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 (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class 1 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $21.30 | (3.27%) | 0.12%(c) | 0.12%(c) | 0.21%(c) | 14% | $7,530 |
Year Ended 12/31/2019(d) | $22.02 | 11.27% | 0.11%(c) | 0.11%(c) | 0.78%(c) | 14% | $4,083 |
Class 2 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $21.27 | (3.41%) | 0.36%(c) | 0.36%(c) | (0.05%)(c) | 14% | $1,299,428 |
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 | |||||||
Six Months Ended 6/30/2020 (Unaudited) | $21.30 | (3.44%) | 0.36%(c) | 0.36%(c) | (0.05%)(c) | 14% | $997,134 |
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% | $1,608,428 |
Portfolio Navigator Funds | Semiannual Report 2020 | 59 |
June 30, 2020 (Unaudited)
60 | Portfolio Navigator Funds | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Portfolio Navigator Funds | Semiannual Report 2020 | 61 |
June 30, 2020 (Unaudited)
62 | Portfolio Navigator Funds | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Portfolio Navigator Funds | Semiannual Report 2020 | 63 |
June 30, 2020 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 145,618* |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 48,137* |
Total | 193,755 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 2,048,077* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 87,398* |
Total | 2,135,475 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
64 | Portfolio Navigator Funds | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | Swap contracts ($) | Total ($) | |||
Commodity-related investment risk | — | (634,336) | (634,336) | |||
Equity risk | (13,418,815) | — | (13,418,815) | |||
Interest rate risk | 4,282,180 | — | 4,282,180 | |||
Total | (9,136,635) | (634,336) | (9,770,971) | |||
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | Swap contracts ($) | Total ($) | |||
Credit risk | — | (156,626) | (156,626) | |||
Equity risk | (1,574,680) | — | (1,574,680) | |||
Interest rate risk | 602,659 | — | 602,659 | |||
Total | (972,021) | (156,626) | (1,128,647) |
Derivative instrument | Average notional amounts ($) |
Futures contracts — long | 34,701,721* |
Futures contracts — short | 42,789,140* |
Credit default swap contracts — sell protection | (9,432,077)** |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2020. |
** | Based on the ending daily outstanding amounts for the six months ended June 30, 2020. |
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of trust capital — unrealized appreciation on swap contracts | 2,901,997* |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 1,920,042* |
Total | 4,822,039 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 1,865,339* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 197,522* |
Total | 2,062,861 |
* | 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 | Semiannual Report 2020 | 65 |
June 30, 2020 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | Swap contracts ($) | Total ($) | |||
Commodity-related investment risk | — | (2,700,380) | (2,700,380) | |||
Equity risk | (13,324,027) | — | (13,324,027) | |||
Interest rate risk | 7,936,096 | — | 7,936,096 | |||
Total | (5,387,931) | (2,700,380) | (8,088,311) | |||
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | Swap contracts ($) | Total ($) | |||
Credit risk | — | 2,164,280 | 2,164,280 | |||
Equity risk | 3,465,000 | — | 3,465,000 | |||
Interest rate risk | 2,527,054 | — | 2,527,054 | |||
Total | 5,992,054 | 2,164,280 | 8,156,334 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 87,534,994 |
Futures contracts — short | 94,601,331 |
Credit default swap contracts — sell protection | 52,502,500 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2020. |
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of trust capital — unrealized appreciation on swap contracts | 19,645,836* |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 13,918,600* |
Total | 33,564,436 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 6,378,069* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 916,502* |
Total | 7,294,571 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
66 | Portfolio Navigator Funds | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | Swap contracts ($) | Total ($) | |||
Credit risk | — | (18,280,936) | (18,280,936) | |||
Equity risk | (57,861,816) | — | (57,861,816) | |||
Interest rate risk | (11,618,283) | — | (11,618,283) | |||
Total | (69,480,099) | (18,280,936) | (87,761,035) | |||
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | Swap contracts ($) | Total ($) | |||
Credit risk | — | 14,651,667 | 14,651,667 | |||
Equity risk | 33,307,805 | — | 33,307,805 | |||
Interest rate risk | 10,549,268 | — | 10,549,268 | |||
Total | 43,857,073 | 14,651,667 | 58,508,740 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 700,537,932 |
Futures contracts — short | 600,627,116 |
Credit default swap contracts — sell protection | 710,859,000 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2020. |
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of trust capital — unrealized appreciation on swap contracts | 9,417,915* |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 5,970,701* |
Total | 15,388,616 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 1,966,014* |
Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 564,137* |
Total | 2,530,151 |
* | 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 | Semiannual Report 2020 | 67 |
June 30, 2020 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | Swap contracts ($) | Total ($) | |||
Credit risk | — | (8,763,601) | (8,763,601) | |||
Equity risk | (17,902,135) | — | (17,902,135) | |||
Interest rate risk | 13,508,108 | — | 13,508,108 | |||
Total | (4,394,027) | (8,763,601) | (13,157,628) | |||
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | Swap contracts ($) | Total ($) | |||
Credit risk | — | 7,023,785 | 7,023,785 | |||
Equity risk | 11,058,647 | — | 11,058,647 | |||
Interest rate risk | 5,263,169 | — | 5,263,169 | |||
Total | 16,321,816 | 7,023,785 | 23,345,601 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 379,804,511 |
Futures contracts — short | 194,017,986 |
Credit default swap contracts — sell protection | 340,775,000 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2020. |
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of trust capital — unrealized appreciation on swap contracts | 2,309,189* |
Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 1,741,015* |
Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 10,638* |
Total | 4,060,842 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 1,074,987* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
68 | Portfolio Navigator Funds | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | Swap contracts ($) | Total ($) | |||
Credit risk | — | (2,148,756) | (2,148,756) | |||
Equity risk | (9,631,731) | — | (9,631,731) | |||
Interest rate risk | (654,650) | — | (654,650) | |||
Total | (10,286,381) | (2,148,756) | (12,435,137) | |||
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||||
Risk exposure category | Futures contracts ($) | Swap contracts ($) | Total ($) | |||
Credit risk | — | 1,722,169 | 1,722,169 | |||
Equity risk | 2,591,173 | — | 2,591,173 | |||
Interest rate risk | 1,010,072 | — | 1,010,072 | |||
Total | 3,601,245 | 1,722,169 | 5,323,414 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 98,887,271 |
Futures contracts — short | 56,286,981 |
Credit default swap contracts — sell protection | 83,555,000 |
* | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2020. |
Morgan Stanley ($) | |
Assets | |
Centrally cleared credit default swap contracts (a) | 146,069 |
Total financial and derivative net assets | 146,069 |
Total collateral received (pledged) (b) | - |
Net amount (c) | 146,069 |
(a) | Centrally cleared swaps are included within payable/receivable for variation margin on the Statement of Assets and Liabilities. |
(b) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(c) | Represents the net amount due from/(to) counterparties in the event of default. |
Morgan Stanley ($) | |
Assets | |
Centrally cleared credit default swap contracts (a) | 988,853 |
Total financial and derivative net assets | 988,853 |
Total collateral received (pledged) (b) | - |
Net amount (c) | 988,853 |
Portfolio Navigator Funds | Semiannual Report 2020 | 69 |
June 30, 2020 (Unaudited)
(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 ($) | |
Assets | |
Centrally cleared credit default swap contracts (a) | 474,041 |
Total financial and derivative net assets | 474,041 |
Total collateral received (pledged) (b) | - |
Net amount (c) | 474,041 |
(a) | Centrally cleared swaps are included within payable/receivable for variation margin on the Statement of Assets and Liabilities. |
(b) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(c) | Represents the net amount due from/(to) counterparties in the event of default. |
Morgan Stanley ($) | |
Assets | |
Centrally cleared credit default swap contracts (a) | 116,231 |
Total financial and derivative net assets | 116,231 |
Total collateral received (pledged) (b) | - |
Net amount (c) | 116,231 |
(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. |
70 | Portfolio Navigator Funds | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Effective management services fee rate (%) | |
Variable Portfolio – Conservative Portfolio | 0.05 |
Variable Portfolio – Moderately Conservative Portfolio | 0.06 |
Variable Portfolio – Moderate Portfolio | 0.04 |
Variable Portfolio – Moderately Aggressive Portfolio | 0.06 |
Variable Portfolio – Aggressive Portfolio | 0.05 |
Portfolio Navigator Funds | Semiannual Report 2020 | 71 |
June 30, 2020 (Unaudited)
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 |
72 | Portfolio Navigator Funds | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Contractual expense cap May 1, 2020 through April 30, 2021 | Contractual expense cap prior to May 1, 2020 | |||||
Class 1 (%) | Class 2 (%) | Class 4 (%) | Class 1 (%) | Class 2 (%) | Class 4 (%) | |
Variable Portfolio - Conservative Portfolio | 0.22 | 0.47 | 0.47 | 0.22 | 0.47 | 0.47 |
Variable Portfolio - Moderate Portfolio | 0.19 | 0.44 | 0.44 | 0.24 | 0.49 | 0.49 |
Variable Portfolio - Moderately Aggressive Portfolio | 0.18 | 0.43 | 0.43 | 0.22 | 0.47 | 0.47 |
Variable Portfolio - Aggressive Portfolio | 0.18 | 0.43 | 0.43 | 0.11 | 0.36 | 0.36 |
Contractual expense cap July 1, 2020 through April 30, 2021 | Voluntary expense cap May 1, 2020 through June 30, 2020 | Contractual expense cap prior to May 1, 2020 | |||||||
Class 1 (%) | Class 2 (%) | Class 4 (%) | Class 1 (%) | Class 2 (%) | Class 4 (%) | Class 1 (%) | Class 2 (%) | Class 4 (%) | |
Variable Portfolio - Moderately Conservative Portfolio | 0.22 | 0.47 | 0.47 | 0.11 | 0.36 | 0.36 | 0.11 | 0.36 | 0.36 |
Purchases ($) | Proceeds from sales ($) | |
Variable Portfolio – Conservative Portfolio | 304,037,177 | 214,189,752 |
Variable Portfolio – Moderately Conservative Portfolio | 389,486,473 | 585,752,468 |
Variable Portfolio – Moderate Portfolio | 2,273,463,775 | 3,496,712,943 |
Variable Portfolio – Moderately Aggressive Portfolio | 965,073,482 | 1,657,405,287 |
Variable Portfolio – Aggressive Portfolio | 315,896,565 | 502,156,811 |
Portfolio Navigator Funds | Semiannual Report 2020 | 73 |
June 30, 2020 (Unaudited)
74 | Portfolio Navigator Funds | Semiannual Report 2020 |
June 30, 2020 (Unaudited)
Portfolio Navigator Funds | Semiannual Report 2020 | 75 |
June 30, 2020 (Unaudited)
76 | Portfolio Navigator Funds | Semiannual Report 2020 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
Portfolio Navigator Funds | Semiannual Report 2020 | 77 |
78 | Portfolio Navigator Funds | Semiannual Report 2020 |
Portfolio Navigator Funds | Semiannual Report 2020 | 79 |
80 | Portfolio Navigator Funds | Semiannual Report 2020 |
Portfolio Navigator Funds | Semiannual Report 2020 | 81 |
Not applicable for semiannual reports.
Item 3. Audit Committee Financial Expert.
Not applicable for semiannual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable for semiannual reports.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments
(a)The registrant's "Schedule I – Investments in securities of unaffiliated issuers" (as set forth in 17 CFR 210.12-12) is included in Item 1 of this Form N-CSR.
(b)Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the registrant's board of directors.
Item 11. Controls and Procedures.
(a)The registrant's principal executive officer and principal financial officer, based on their evaluation of the registrant's disclosure controls and procedures as of a date within 90 days of the filing of this report, have concluded that such controls and procedures are adequately designed to ensure that information required to be disclosed by the registrant in Form N-CSR is accumulated and communicated to the registrant's management, including the principal executive officer and principal financial officer, or persons performing similar functions, as appropriate to allow timely decisions regarding required disclosure.
(b)There was no change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable.
Item 13. Exhibits.
(a)(1) Code of ethics required to be disclosed under Item 2 of Form N-CSR: Not applicable for semiannual reports.
(a)(3) Not applicable.
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 |
| August 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 |
| August 21, 2020 |
|
By (Signature and Title) | /s/ Michael G. Clarke | ||
|
| Michael G. Clarke, Chief Financial Officer, Principal Financial Officer | |
|
| and Senior Vice President | |
Date |
| August 21, 2020 |
|
By (Signature and Title) | /s/ Joseph Beranek | ||
|
| Joseph Beranek, Treasurer, Chief Accounting Officer and Principal | |
|
| Financial Officer | |
Date |
| August 21, 2020 |
|